<PAGE>
- BT PYRAMID MUTUAL AND ADVISOR FUNDS -
BT INVESTMENT EQUITY 500 INDEX FUND
EAFE EQUITY INDEX FUND
SMALL CAP INDEX FUND
ANNUAL REPORT
-------------
DECEMBER-1996
<PAGE>
- --------------------------------------------------------------------------------
BT PYRAMID MUTUAL AND ADVISOR FUNDS
TABLE OF CONTENTS
- --------------------------------------------------------------------------------
INTRODUCTION TO ANNUAL REPORT. . . . . . . . . . . . . . . . . . . . . . . . .3
LETTERS TO SHAREHOLDERS
BT Pyramid Mutual Funds
BT Investment Equity 500 Index Fund. . . . . . . . . . . . . . . . . . .4
BT Advisor Funds
EAFE Equity Index Fund . . . . . . . . . . . . . . . . . . . . . . . . .6
Small Cap Index Fund . . . . . . . . . . . . . . . . . . . . . . . . . .8
BT PYRAMID MUTUAL AND ADVISOR FUNDS
Statement of Assets and Liabilities . . . . . . . . . . . . . . . . . . . 10
Statement of Operations . . . . . . . . . . . . . . . . . . . . . . . . . 11
Statement of Changes in Net Assets. . . . . . . . . . . . . . . . . . . . 12
Financial Highlights. . . . . . . . . . . . . . . . . . . . . . . . . . . 14
Notes to Financial Statements . . . . . . . . . . . . . . . . . . . . . . 16
Report of Independent Accountants . . . . . . . . . . . . . . . . . . . . 18
BT PORTFOLIOS
Schedules of Portfolio Investments. . . . . . . . . . . . . . . . . . . . 19
Statement of Assets and Liabilities . . . . . . . . . . . . . . . . . . . 50
Statement of Operations . . . . . . . . . . . . . . . . . . . . . . . . . 51
Statement of Changes in Net Assets. . . . . . . . . . . . . . . . . . . . 52
Financial Highlights. . . . . . . . . . . . . . . . . . . . . . . . . . . 54
Notes to Financial Statements . . . . . . . . . . . . . . . . . . . . . . 55
Report of Independent Accountants . . . . . . . . . . . . . . . . . . . . 58
2
<PAGE>
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BT PYRAMID MUTUAL AND ADVISOR FUNDS
INTRODUCTION TO ANNUAL REPORT
- --------------------------------------------------------------------------------
The good news is that as the U.S. stock markets continued to soar in 1996 and
the European markets as a whole performed nearly as well, index investing
received a great deal of attention in the past year. The bad news is that much
of the media has focused on the results of the index strategy over just one or
two years. It is important to recognize that index funds may not be the ideal
investment for those seeking short-term performance results. Rather, for
investors with a long-term perspective, indexing, both in the U.S. and
internationally, provides several advantages. Indexing allows you to participate
in a portfolio of securities that is carefully structured to replicate, as
closely as possible, the broad diversification and total return performance of
an unmanaged group of securities, namely its benchmark index. Of course,
indexing does not protect investors from the risks and downturns of various
markets. However, unlike many actively managed funds, indexing does ensure that
returns will not dramatically underperform relative to other funds investing in
the same type of securities in any given year. The BT Pyramid Mutual and Advisor
Funds offer these advantages--plus the global investment expertise, financial
strength, and extensive research resources of Bankers Trust. While we neither
evaluate short-term fluctuations in the Index Funds' performance nor manage
according to a given outlook for the equity markets or the economy in general,
we do continue to monitor economic conditions and how they affect the financial
markets, as we seek to closely track the performance of the appropriate equity
markets.
In that light, please take the time to read this annual report for the BT
Pyramid Mutual and Advisor Funds and keep it for your records. It provides a
review of the markets, the portfolios, and our outlook--all in an easy-to-read,
consolidated format. Also included are complete financial summaries of the
Funds' operations and listing of the Portfolios' holdings. This is the first
annual report for the EAFE Equity Index Fund and Small Cap Index Fund.
We appreciate your ongoing support of the BT Pyramid Mutual and Advisor Funds
and look forward to continuing to serve your investment needs for many years
ahead.
3
<PAGE>
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BT PYRAMID MUTUAL AND ADVISOR FUNDS
LETTER TO SHAREHOLDERS OF BT INVESTMENT EQUITY 500 INDEX FUND
- --------------------------------------------------------------------------------
The BT Investment Equity 500 Index Fund (the "Fund") returned 22.83% for the
twelve months ended December 31, 1996, tightly tracking both the 22.96% return
of the S&P 500 Index and the 22.30% return of the Lipper S&P 500 Average. Since
its inception on December 31, 1992, the Fund is up 86.62% cumulatively in total
return as of December 31, 1996. This is a 16.88% average annualized total
return.*
MARKET ACTIVITY
The bull market continued to roar in 1996 for equities, even if just a little
less quietly than it did in 1995. The major difference between the two years
was the higher degree of market volatility in 1996. Certainly, moderate growth
of the economy, benign inflation, and interest rates unchanged by the Federal
Reserve Board since January 1996 contributed to the year's low volatility by
historical standards. So, too, did sustained positive numbers for employment,
wages, and consumer confidence as well as the anticipated and then actual status
quo results of the presidential and congressional elections.
- --------------------------------------------------------------------------------
OBJECTIVE
Seeks to match the performance of the stock market, as represented by the S&P
500 Index, before expenses.
- --------------------------------------------------------------------------------
Still, volatility dominated equities progress as mixed economic signals and
investors' concerns gave way to significant, though short-lived, "hiccups."
After running strong through June, the Dow Jones Industrial Average plummeted
161 points on July 15, 1996. Wall Street held its breath, and economists had a
field day predicting future chaos. But within two days, Wall Street exhaled,
and the so-called experts were forced to admit that it is harder than ever to
predict what happens next. By the middle of October, the Dow Jones broke the
6,000 barrier for the first time, and by Thanksgiving, the Dow leaped past 6,500
points. The Standard & Poor's 500 Index also moved to new record highs with
increasing frequency, completely confounding general expectations that a serious
stock market correction was at hand. Alan Greenspan's comments in early December
about a "bubble" in stock prices and "irrational exuberance" in the market led
to another wobble, but even that lasted less than a day. Small capitalization
stocks slightly outperformed large cap stocks for the first six months of 1996,
however, the July correction hit smaller cap stocks much harder than larger cap
equities. Jitters led investors to the more seasoned, well known companies, and
thus, for the twelve month period, large capitalization stocks outperformed
small cap stocks. Within the large cap sector, growth stocks outperformed value
stocks by approximately 1.50%. However, the opposite was true in small cap
equities, where value stocks outperformed growth stocks by more than 10.00%,
primarily due to the lag of the technology sector in the second half of the
year.
- --------------------------------------------------------------------------------
INVESTMENT INSTRUMENTS
Primarily equity securities, consisting of common stock of current S&P 500
companies.
- --------------------------------------------------------------------------------
Overall, leading groups for 1996 included oil and gas drilling, shoes, and
electronic semi-conductors. Trucking and transport, broadcast/media, and
machines were the year's biggest losing sectors.
- --------------------------------------------------------------------------------
TEN LARGEST STOCK HOLDINGS
- --------------------------------------------------------------------------------
General Electric Co. Merck & Company, Inc.
Coca Cola Co. Philip Morris Companies, Inc.
Exxon Corp. Royal Dutch Petroleum Co.
Intel Corp. IBM Corp.
Microsoft Corp. Proctor & Gamble Co.
- --------------------------------------------------------------------------------
MANAGER OUTLOOK
As the current stock market continues its run in what, to date, qualifies as the
longest bull market in American economic history, the dominant question looking
ahead is probably whether the market can repeat its performance in 1997.
December numbers reported strength in industrial production, capacity
utilization, and exports. Plus, stronger employment and income triggered a
boost in end of year final sales, consumer spending, and consumer confidence.
All of these factors suggest that the economy will likely expand somewhat in the
months ahead, driving up wages and renewing inflationary pressures that, in
turn, may drive up interest rates. While these conditions would serve as a drag
on equities, we also believe that corporate profits are strong enough to
overcome the effect of any increase in interest rates. Thus, in all, we believe
there is still great opportunity for capital appreciation through equities, and
we maintain a positive outlook for stock market performance.
/s/ Frank Salerno
Frank Salerno
PORTFOLIO MANAGER OF THE
EQUITY 500 INDEX PORTFOLIO
December 31, 1996
- --------------
* 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.
4
<PAGE>
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BT PYRAMID MUTUAL AND ADVISOR FUNDS
LETTER TO SHAREHOLDERS OF BT INVESTMENT EQUITY 500 INDEX FUND
- --------------------------------------------------------------------------------
DIVERSIFICATION OF PORTFOLIO INVESTMENTS
BY SECTOR AS OF DECEMBER 31, 1996
(PERCENTAGES ARE BASED ON MARKET VALUE)
[Pie Chart]
Consumer Durables 4% Chemicals 3%
Other 5% Consumer Non-Durables 15%
Retail Trade 5% Finance & Building 15%
Energy 9% Capital Goods 14%
Business Equipment & Service 10% Health Care 10%
Utilities 10%
- --------------------------------------------------------------------------------
PERFORMANCE COMPARISON
- --------------------------------------------------------------------------------
Comparison of Change in Value of a $10,000 Investment in the BT Investment
Equity 500 Index Fund and the S&P 500 Index since December 31, 1992.
- --------------------------------------------------------------------------------
Total Return
Ended December 31, 1996
One Year Since 12/31/92*
22.83% 86.62%
* 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.
- --------------------------------------------------------------------------------
[Graph]
BT Investment Equity 500
Index Fund - $18,662 S&P 500 Index - $18,867
------------------------ -----------------------
12/92 10000 10000
3/93 10420 10437
6/93 10465 10487
9/93 10713 10758
12/93 10953 11008
3/94 10539 10590
6/94 10581 10635
9/94 11093 11155
12/94 11079 11153
3/95 12148 12239
6/95 13307 13408
9/95 14351 14473
12/95 15194 15344
3/96 16007 16168
6/96 16702 16894
9/96 17212 17416
12/96 18662 18867
Past performance is not indicative of future performance. The S&P 500 Index is
unmanaged and investments may not be made in an index.
5
<PAGE>
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BT ADVISOR FUNDS
LETTER TO SHAREHOLDERS OF EAFE EQUITY INDEX FUND
- --------------------------------------------------------------------------------
The EAFE Equity Index Fund (the "Fund") has not been in operation for a full
twelve months, but from the Fund's Institutional Class Shares inception on
January 24, 1996 through December 31, 1996, it was up 7.22% in total return,
significantly outperforming the 5.61% return of the MSCI EAFE Index for the same
period.* From the Advisor Class Shares inception on June 21, 1996 through
December 31, 1996, it was up 1.57% in total return as compared to 1.46% for the
MSCI EAFE Index. The MSCI EAFE Index is an unmanaged capitalization-weighted
index containing approxmiately 1,100 equity securities of companies located
outside the United States.
MARKET ACTIVITY
Overall, 18 of the 20 EAFE markets posted gains for the twelve month period
ended December 31, 1996, and the MSCI EAFE Index was up 6.05%. Sixteen nations
had double-digit returns, and twelve of those posted annual gains of between 20%
and 40%. There was higher correlation among the global markets than usual
during 1996, but Europe continued to hold its market leadership over the Pacific
Basin countries. Japan had the worst annual performance. Equities added to
performance for the year, while currencies detracted. Specifically, the EAFE
basket of currencies fell 4.4% in value as the U.S. dollar strengthened in 1996.
In fact, the U.S. dollar strengthened against all of the continental European
currencies, most significantly 7.1% against the Deutschemark. It also
strengthened 11.1% against the Yen. The dollar weakened only against the
British Sterling.
- --------------------------------------------------------------------------------
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 21.1% during the annual period, tracking the S&P 500
return of 22.96% extremely closely. Also like the U.S., several of the European
markets either reached or were close to all-time highs in the second half of the
year, including Germany, the United Kingdom, France, Switzerland, the
Netherlands, Sweden, Belgium, Spain, Denmark, Norway, and Ireland.
This positive climate for European equities was primarily boosted by widespread
and multiple interest rate cuts, which started in January with Germany and
continued throughout the year in virtually all of the European countries. The
one interruption to this trend was in mid-summer, when the decline in the U.S.
market was echoed throughout the world. Most markets began the third quarter
falling in reaction to fear of rising U.S. interest rates, but when the Federal
Reserve Board did not act, fears subsided, markets finished up for the quarter,
and another round of interest rate cuts ensued.
- --------------------------------------------------------------------------------
INVESTMENT INSTRUMENTS
Invests primarily in equity securities of business enterprises organized and
domiciled outside of the United States. Statistical methods will be employed to
replicate the Index by buying most of the relevant Index securities
- --------------------------------------------------------------------------------
For the year, the markets also benefitted from a corporate downsizing trend,
strong earnings, improving local bond markets, and various nations' moves to
meet the Maastricht criteria for European Monetary Union. Another positive
influence on the markets was U.S. economic data showing moderate growth, which,
in turn, suggested that global economic growth would not be excessive. British
stocks, in particular, rallied from the first half of the year on improving
economic growth and favorable inflation reports.
PACIFIC BASIN
The Pacific Basin overall was down 8.6% during the annual period, primarily due
to Japan's negative 15.5% return. After rallying in the second quarter, the
Japanese stock market was hurt by foreign selling and expectations of an
interest rate hike. Though strong GDP growth in the first quarter indicated
that Japan was emerging from its recession, subsequent economic reports did not
support this. Many analysts feel the Japanese economy is still weak and that
the government is not likely to pass deregulation measures that would boost the
economy. Its government also revealed a fiscal 1997 budget containing tax
increases and lower stimulatory spending, adding to investor worries about both
the economy's strength as well as earnings that have still not recovered. It is
interesting to note that, based on this poor performance, Japan's weighting in
the EAFE Index has dropped from about 40% earlier in the year to 32% at year
end.
Singapore also had a negative return for the year. This was in part due to
reports of declining export growth, as it was hurt by its currency being pegged
to the strengthening U.S. dollar, and in part due to reduced GDP forecasts.
Concerns continue over Hong Kong's market in anticipation of the nation being
taken over by China in mid-1997. Nevertheless, Hong Kong actually performed
quite well in the last six months of 1996, with most of the market's earnings
coming from rebounding property-related businesses.
- --------------------------------------------------------------------------------
TEN LARGEST STOCK HOLDINGS
- --------------------------------------------------------------------------------
Toyota Motor Corp. Glaxo Wellcome Plc.
Royal Dutch Petroleum Co. Roche Holding AG-Genuschine
Bank of Tokyo--Mitsubishi Sumitomo Bank
Novartis AG Deutsche Telekom
British Petroleum Co. Plc. Fuji Bank Ltd.
- --------------------------------------------------------------------------------
MANAGER OUTLOOK
While we remain extremely cautious in our outlook for Japan, we do maintain our
positive outlook for the equity markets of Europe and the Pacific Basin ex-
Japan. Europe, in particular, may still see further interest rate cuts in the
coming months, and based on its strong but slightly lagging performance in
comparison to the U.S. equities market, there may still be room for further
earnings growth in many of these nations' markets. Of course, as an index fund,
designed to
- --------------
* 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.
6
<PAGE>
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BT ADVISOR FUNDS
LETTER TO SHAREHOLDERS OF EAFE EQUITY INDEX FUND
- --------------------------------------------------------------------------------
DIVERSIFICATION OF PORTFOLIO INVESTMENTS
BY COUNTRY AS OF DECEMBER 31, 1996
(PERCENTAGES ARE BASED ON MARKET VALUE)
[Pie Chart]
Sweden 2% Spain 2%
Malaysia 2% Other 10%
Australia 3% Japan 31%
Italy 3% United Kingdom 18%
Hong Kong 4% Germany 8%
Netherlands 5%
Switzerland 5%
France 7%
replicate as closely as possible the broad diversification and total return of
the MSCI EAFE Index with net dividends, we neither evaluate short-term
fluctuations in the Fund's performance nor manage according to a given outlook
for the equity markets or the economies in general. Still, we will continue
monitoring economic conditions and how they affect the financial markets. The
MSCI EAFE Index is an unmanaged capitalization-weighted index containing
approximately 1,100 equity securities of companies located outside the United
States.
As always, we appreciate your support of the EAFE Equity Index Fund and look
forward to continue serving your investment needs for many years ahead.
/s/ Richard J. Vella
Richard J. Vella
PORTFOLIO MANAGER OF THE
EAFE EQUITY INDEX PORTFOLIO
DECEMBER 31, 1996
- --------------------------------------------------------------------------------
PERFORMANCE COMPARISON
Comparison of Change in Value of a $10,000 Investment in the EAFE Equity Index
Fund - Institutional Class, and the MSCI EAFE Index since January 31, 1996.
- --------------------------------------------------------------------------------
Total Return for the Period
Ended December 31, 1996
Institutional Advisor
Since 1/24/96* Since 6/21/96*
7.22% 1.57%
* 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.
Comparison of Change in Value of a $10,000 Investment in the EAFE Equity Index
Fund - Advisor Class, and the MSCI EAFE Index since June 30, 1996.
- --------------------------------------------------------------------------------
[Graph]
EAFE Equity Index Fund -
Institutional Class - $10,553 MSCI EAFE Index - $10,561
----------------------------- -------------------------
1/96 10000 10000
3/96 10217 10247
6/96 10404 10409
9/96 10384 10396
12/96 10553 10561
[Graph]
EAFE Equity Index Fund -
Advisor Class - $10,126 MSCI EAFE Index - $10,146
----------------------------- -------------------------
6/96 10000 10000
9/96 9970 9987
12/96 10126 10146
Past performance is not indicative of future performance. The MSCI EAFE Index is
unmanaged and investments may not be made in an index.
7
<PAGE>
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BT ADVISOR FUNDS
LETTER TO SHAREHOLDERS OF SMALL CAP INDEX FUND
- --------------------------------------------------------------------------------
The Small Cap Index Fund (the "Fund") has not been in operation for a full
year, but from the Fund's Institutional Class Shares inception on July 10,
1996 through December 31, 1996, it was up 9.47% in total return, as compared
to 15.66% in total return for its benchmark, the Russell 2000 Index, which
measures small capitalization equities.* From the Advisor Class Shares
inception August 8, 1996 through December 31, 1996, it was up 10.87% in total
return as compared to 9.31% for the Russell 2000 Index. For the quarter ended
December 31, the Institutional and Advisor Classes returned 4.76% and 4.89%,
respectively, as compared to 5.20% for the Index. Both classes significantly
outperformed the 2.48% return of the Lipper Small Cap Average for the
quarter. Please note that, given the Fund Shares' inception dates, the
following annual review will primarily focus on activities for the second
half of the calendar year.
MARKET ACTIVITY
The bull market continued to roar in 1996 for equities, supported by moderate
growth of the economy, benign inflation, and interest rates unchanged by the
Federal Reserve Board since January 1996. Sustained positive numbers for
employment, wages, and consumer confidence as well as the anticipated and then
actual status quo results of the presidential and congressional elections also
contributed to the positive market environment. Still, there was a significantly
higher degree of market volatility in 1996 than in the previous year, especially
for small cap stocks. For example, small cap stocks slightly outperformed large
cap stocks for the first six months of 1996. However, when the market dropped
over the weeks from June 5 through July 15, small cap stocks were hit much
harder than larger cap equities. In fact, the Russell 2000 Index fell over 8%
during this short period, as jitters led investors to the more seasoned, well
known, larger cap companies. Volatility continued to dominate, as small cap
stocks bounced back a bit in August and September, fell again in October, and
then rallied in November and December.
- --------------------------------------------------------------------------------
OBJECTIVE
Seeks to replicate as closely as possible (before deduction of expenses of the
Fund and Portfolio) the total return of the Russell 2000 Index.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
INVESTMENT INSTRUMENTS
Primarily equity securities, consisting of common stock of current Russell 2000
companies.
- --------------------------------------------------------------------------------
Leading small cap groups for the second half of the year included energy,
financial services, and consumer durables. Health care, consumer non-durables,
and retail trade were the six months' biggest losing sectors. For the last
quarter, the leading sectors were energy, financial services, and chemicals, and
the worst performing sectors were metals, business equipment, and health care.
Overall, small cap value stocks outperformed growth stocks by a ratio of nearly
2 to 1 during 1996, primarily due to the lag in the technology sector in the
second half of the year. The Russell 2000 Index returned 16.50% for 1996. It is
certainly worth noting that though invested in the Small Cap Index Fund for less
than half the calendar year, investors benefited from a return that was more
than half of the Index's annual return. This was primarily due to the fact that
the Fund avoided most of the mid-summer market correction.
- --------------------------------------------------------------------------------
TEN LARGEST STOCK HOLDINGS
- --------------------------------------------------------------------------------
Dura Pharmaceuticals, Inc. Public Storage, Inc.
Microchip Technology, Inc. Dean Foods Co.
BJ Services Co. Vornado Realty Trust
Miller Herman, Inc. Crompton & Knowles Corp.
United Waste Systems, Inc. Parker & Parsely Petrol Corp.
- --------------------------------------------------------------------------------
MANAGER OUTLOOK
As the current stock market continues its run in what, to date, qualifies as the
longest bull market in American economic history, the dominant question looking
ahead is probably whether the market can repeat its performance in 1997.
December numbers reported strength in industrial production, capacity
utilization, and exports. Plus, stronger employment and income triggered a
boost in end of year final sales, consumer spending, and consumer confidence.
All of these factors suggest that the economy will likely expand somewhat in the
months ahead, driving up wages and renewing inflationary pressures that, in
turn, may drive up interest rates. While these conditions would serve as a drag
on equities, we also believe that corporate profits are strong enough to
overcome the effect of any increase in interest rates. Our outlook is also
positive for small cap stocks, in particular. We believe their outperformance
over large cap stocks in December combined with small caps' anticipated strength
in January, as investors begin the new year re-evaluating their portfolios and
seeking opportunities for superior growth, bodes well for the small cap market.
Of course, it is important to reiterate that as an index fund, designed to
replicate the broad diversification and returns of the Russell 2000 Index, we
neither evaluate short-term fluctuations in the Fund's performance nor manage
according to a given outlook for the equity markets or the economy in general.
Still, we will continue monitoring economic conditions and how they affect the
financial markets, as we seek to closely track the performance of the small cap
stock market.
- --------------------
* 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.
8
<PAGE>
- --------------------------------------------------------------------------------
BT ADVISOR FUNDS
LETTER TO SHAREHOLDERS OF SMALL CAP INDEX FUND
- --------------------------------------------------------------------------------
DIVERSIFICATION OF PORTFOLIO INVESTMENTS
BY SECTOR AS OF DECEMBER 31, 1996
(PERCENTAGES ARE BASED ON MARKET VALUE)
Capital Goods 14% Business Equipment & Services 13%
Finance & Building 26% Consumer Non- Durables 12%
Forest Products 1% Health Care 9%
Transportation 2% Utilities 5%
Metals 2% Retail Trade 5%
Chemicals 3% Consumer Durables 4%
Energy 4%
We appreciate your ongoing support of the Small Cap Index Fund and look forward
to continuing to serve your investment needs for many years ahead.
/s/ Frank Salerno
Frank Salerno
Portfolio Manager of the
Small Cap Index Portfolio
December 31, 1996
- --------------------------------------------------------------------------------
PERFORMANCE COMPARISON
- --------------------------------------------------------------------------------
Comparison of Change in Value of a $10,000 Investment in the Small Cap Index
Fund -Institutional Class, and the Russell 2000 Index since July 31, 1996.
- --------------------------------------------------------------------------------
TOTAL RETURN FOR THE PERIOD
ENDED DECEMBER 31, 1996
Institutional Advisor
Since 7/10/96* Since 8/8/96*
9.47% 10.87%
* 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.
- --------------------------------------------------------------------------------
Comparison of Change in Value of a $10,000 Investment in the Small Cap Index
Fund - Advisor Class, and the Russell 2000 Index since August 31, 1996.
[Graph]
Small Cap Index Fund -
Institutional Class - $11,523 Russell 2000 Index - $11,566
----------------------------- ----------------------------
7/96 10000 10000
9/96 11000 10994
12/96 11523 11566
[Graph]
Small Cap Index Fund -
Advisor Class - $10,902 Russell 2000 Index - $10,931
----------------------------- ----------------------------
8/96 10000 10000
9/96 10393 10391
12/96 10902 10931
Past performance is not indicative of future performance. The Russell 2000
Index is unmanaged and investments may not be an index.
9
<PAGE>
- --------------------------------------------------------------------------------
BT PYRAMID MUTUAL AND ADVISOR FUNDS
STATEMENT OF ASSETS AND LIABILITIES DECEMBER 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
BT INVESTMENT EAFE EQUITY SMALL CAP
EQUITY 500 INDEX INDEX INDEX
---------------- ---------------- ----------------
<S> <C> <C> <C>
ASSETS
Investment in Portfolio, at Value*. . . . . . . . . . . . . . . . . $ 447,439,852 $ 40,391,829 $ 61,416,116
Receivable for Shares of Beneficial Interest Subscribed . . . . . . 4,435,393 2,100 200,750
Deferred Organizational Expense . . . . . . . . . . . . . . . . . . -- 7,311 8,128
Prepaid Expenses and Other. . . . . . . . . . . . . . . . . . . . . 11,634 10,951 10,225
Due from Bankers Trust. . . . . . . . . . . . . . . . . . . . . . . -- 37,360 47,225
---------------- ---------------- ----------------
TOTAL ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 451,886,879 40,449,551 61,682,444
---------------- ---------------- ----------------
LIABILITIES
Due to Bankers Trust. . . . . . . . . . . . . . . . . . . . . . . . 42,343 -- --
Payable for Shares of Beneficial Interest Redeemed. . . . . . . . . 37,842 -- --
Accrued Expenses and Other. . . . . . . . . . . . . . . . . . . . . 44,254 65,005 47,542
---------------- ---------------- ----------------
Total Liabilities. . . . . . . . . . . . . . . . . . . . . . . . . . . 124,439 65,005 47,542
---------------- ---------------- ----------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 451,762,440 $ 40,384,546 $ 61,634,902
---------------- ---------------- ----------------
---------------- ---------------- ----------------
COMPOSITION OF NET ASSETS
Paid-in Capital . . . . . . . . . . . . . . . . . . . . . . . . . . $ 325,520,978 $ 38,794,102 $ 59,106,556
Accumulated Net Investment Income (Loss). . . . . . . . . . . . . . 24,622 -- (5,031)
Accumulated Net Realized Gain (Loss) from Investments, Futures
and Forward Foreign Currency Transactions . . . . . . . . . . . . (749,375) 4,558 53,802
Net Unrealized Appreciation on Investments, Futures, Foreign
Currencies and Forward Foreign Currency Contracts . . . . . . . . 126,966,215 1,585,886 2,479,575
---------------- ---------------- ----------------
NET ASSETS, DECEMBER 31, 1996. . . . . . . . . . . . . . . . . . . . . $ 451,762,440 $ 40,384,546 $ 61,634,902
---------------- ---------------- ----------------
---------------- ---------------- ----------------
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE (net assets
divided by shares outstanding) . . . . . . . . . . . . . . . . . . . $ 16.51 $ -- $ --
---------------- ---------------- ----------------
---------------- ---------------- ----------------
Institutional Class+. . . . . . . . . . . . . . . . . . . . . . . . -- 10.62 10.90
---------------- ---------------- ----------------
---------------- ---------------- ----------------
Advisor Class++ . . . . . . . . . . . . . . . . . . . . . . . . . . -- 10.14 11.04
---------------- ---------------- ----------------
---------------- ---------------- ----------------
SHARES OUTSTANDING ($0.001 par value per share, unlimited number of
shares of beneficial interest authorized) . . . . . . . . . . . . 27,370,025 -- --
Institutional Class . . . . . . . . . . . . . . . . . . . . . . . . -- 3,735,688 5,645,008
Advisor Class . . . . . . . . . . . . . . . . . . . . . . . . . . . -- 70,726 6,991
---------------- ---------------- ----------------
---------------- ---------------- ----------------
</TABLE>
- --------------------
* Allocated from Equity 500 Index Portfolio, EAFE Equity Index Portfolio and
Small Cap Index Portfolio, respectively.
+ Based on net assets of $39,667,483 and shares of 3,735,688 and net assets
of $61,557,728 and shares of 5,645,008 for the EAFE Equity Index Fund and
Small Cap Index Fund, respectively.
++ Based on net assets of $717,063 and shares of 70,726 and net assets of
$77,174 and shares of 6,991 for the EAFE Equity Index Fund and Small Cap
Index Fund, respectively.
See Notes to Financial Statements on Pages 16 and 17
10
<PAGE>
- --------------------------------------------------------------------------------
BT PYRAMID MUTUAL AND ADVISOR FUNDS
STATEMENT OF OPERATIONS FOR THE PERIOD ENDED DECEMBER 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
BT INVESTMENT EAFE EQUITY SMALL CAP
EQUITY 500 INDEX INDEX INDEX
---------------- ---------------- ----------------
<S> <C> <C> <C>
INVESTMENT INCOME
Income, net*. . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 7,700,258 $ 462,361 $ 235,046
---------------- ---------------- ----------------
EXPENSES
Administration and Service Fees . . . . . . . . . . . . . . . . . . 1,049,314 41,404 26,726
Shareholder Reports . . . . . . . . . . . . . . . . . . . . . . . . 35,377 31,217 13,942
Registration Fees . . . . . . . . . . . . . . . . . . . . . . . . . 25,010 14,743 11,083
Professional Fees . . . . . . . . . . . . . . . . . . . . . . . . . 14,444 14,869 11,966
Trustees Fees . . . . . . . . . . . . . . . . . . . . . . . . . . . 7,010 12,501 10,705
Amortization of Organizational Expenses . . . . . . . . . . . . . . -- 1,689 --
Miscellaneous . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,223 2,087 1,949
---------------- ---------------- ----------------
Total Expenses. . . . . . . . . . . . . . . . . . . . . . . . . . . 1,134,378 118,510 76,371
Less: Expenses Absorbed by Bankers Trust . . . . . . . . . . . . . (595,135) (104,356) (69,671)
---------------- ---------------- ----------------
Net Expenses . . . . . . . . . . . . . . . . . . . . . . . . . . 539,243 14,154 6,700
---------------- ---------------- ----------------
NET INVESTMENT INCOME. . . . . . . . . . . . . . . . . . . . . . . . . 7,161,015 448,207 228,346
---------------- ---------------- ----------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES, FOREIGN
CURRENCIES AND FORWARD FOREIGN CURRENCY CONTRACTS
Net Realized Gain from Investment Transactions. . . . . . . . . . . 3,453,711 142 120,542
Net Realized Gain (Loss) from Futures, Foreign Currencies and
Forward Foreign Currency Transactions . . . . . . . . . . . . . . 1,463,232 (71,395) (40,054)
Net Change in Unrealized Appreciation on Investments, Futures,
Foreign Currencies and Forward Foreign Currency Contracts . . . . 62,670,824 1,585,886 2,479,575
---------------- ---------------- ----------------
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS, FUTURES, FOREIGN
CURRENCIES AND FORWARD FOREIGN CURRENCY CONTRACTS . . . . . . . . . 67,587,767 1,514,633 2,560,063
---------------- ---------------- ----------------
NET INCREASE IN NET ASSETS FROM OPERATIONS. . . . . . . . . . . . . . $ 74,748,782 $ 1,962,840 $ 2,788,409
---------------- ---------------- ----------------
---------------- ---------------- ----------------
</TABLE>
* Net income allocated from Equity 500 Index Portfolio, EAFE Equity Index
Portfolio and Small Cap Index Portfolio, respectively.
See Notes to Financial Statements on Pages 16 and 17
11
<PAGE>
- --------------------------------------------------------------------------------
BT PYRAMID MUTUAL AND ADVISOR FUNDS
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
BT INVESTMENT EQUITY 500 INDEX FUND
-------------------------------------
FOR THE FOR THE
YEAR ENDED YEAR ENDED
DECEMBER 31, 1996 DECEMBER 31, 1995
----------------- -----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS
Net Investment Income . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 7,161,015 $ 5,447,788
Net Realized Gain from Investments and Futures Transactions . . . . . . . . . 4,916,943 1,496,201
Net Change in Unrealized Appreciation on Investments and Futures Contracts. . 62,670,824 63,867,891
----------------- -----------------
Net Increase in Net Assets from Operations . . . . . . . . . . . . . . . . . . . 74,748,782 70,811,880
----------------- -----------------
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income . . . . . . . . . . . . . . . . . . . . . . . . . . . . (7,138,143) (5,486,695)
Net Realized Gain from Investments and Futures Transactions . . . . . . . . . (3,704,248) (1,330,630)
----------------- -----------------
Total Distributions. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (10,842,391) (6,817,325)
----------------- -----------------
CAPITAL TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST
Proceeds from Sales of Shares . . . . . . . . . . . . . . . . . . . . . . . . 173,561,745 58,017,824
Dividend Reinvestments. . . . . . . . . . . . . . . . . . . . . . . . . . . . 10,594,759 6,791,560
Cost of Shares Redeemed . . . . . . . . . . . . . . . . . . . . . . . . . . . (73,440,345) (33,561,682)
----------------- -----------------
Net Increase from Capital Transactions in Shares of Beneficial Interest. . . . . 110,716,159 31,247,702
----------------- -----------------
TOTAL INCREASE IN NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . 174,622,550 95,242,257
NET ASSETS
Beginning of Year. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 277,139,890 181,897,633
----------------- -----------------
End of Year (including undistributed net investment income of $24,622 and $1,750
for 1996 and 1995, respectively) . . . . . . . . . . . . . . . . . . . . . . . $ 451,762,440 $ 277,139,890
----------------- -----------------
----------------- -----------------
</TABLE>
<TABLE>
<CAPTION>
EAFE EQUITY INDEX FUND
FOR THE PERIOD ENDED
DECEMBER 31, 1996
----------------------
<S> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS
Net Investment Income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 448,207
Net Realized Loss from Investments, Futures, Foreign Currencies and Forward
Foreign Currency Contracts. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (71,253)
Net Change in Unrealized Appreciation on Investments, Futures, Foreign Currencies
and Forward Foreign Currency Contracts. . . . . . . . . . . . . . . . . . . . . . . . 1,585,886
-----------------
Net Increase in Net Assets from Operations . . . . . . . . . . . . . . . . . . . . . . . . 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 resulting from Institutional Class . . . . . . . . . . . . . . . . . . . . 38,089,199
Net Increase resulting from Advisor Class . . . . . . . . . . . . . . . . . . . . . . . 704,893
-----------------
Net Increase from Capital Transactions in Shares of Beneficial Interest. . . . . . . . . . 38,794,092
-----------------
TOTAL INCREASE IN NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 40,384,536
NET ASSETS
Beginning of Period. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10
-----------------
End of Period. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 40,384,546
-----------------
-----------------
</TABLE>
See Notes to Financial Statements on Pages 16 and 17
12
<PAGE>
- --------------------------------------------------------------------------------
BT PYRAMID MUTUAL AND ADVISOR FUNDS
STATEMENT OF CHANGES IN NET ASSETS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SMALL CAP INDEX FUND
--------------------
FOR THE PERIOD ENDED
DECEMBER 31, 1996
--------------------
<S> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS
Net Investment Income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 228,346
Net Realized Gain from Investments and Futures Transactions . . . . . . . . . . . . . . 80,488
Net Change in Unrealized Appreciation on Investments and Futures Contracts. . . . . . . 2,479,575
-----------------
Net Increase in Net Assets from Operations . . . . . . . . . . . . . . . . . . . . . . . . 2,788,409
-----------------
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (233,377)
Net Realized Gain from Investment Transactions. . . . . . . . . . . . . . . . . . . . . (26,686)
-----------------
Total Distributions. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (260,063)
-----------------
CAPITAL TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST
Net Increase resulting from Institutional Class Shares. . . . . . . . . . . . . . . . . 59,031,305
Net increase resulting from Advisor Class Shares. . . . . . . . . . . . . . . . . . . . 75,241
-----------------
Net Increase from Capital Transactions in Shares of Beneficial Interest. . . . . . . . . . 59,106,546
-----------------
TOTAL INCREASE IN NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 61,634,892
NET ASSETS
Beginning of Period. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10
-----------------
End of Period (including accumulated net investment loss of $5,031). . . . . . . . . . . . $ 61,634,902
-----------------
-----------------
</TABLE>
See Notes to Financial Statements on Pages 16 and 17
13
<PAGE>
- --------------------------------------------------------------------------------
BT PYRAMID MUTUAL AND ADVISOR FUNDS
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
Contained below are selected data for a share outstanding, total investment
return, other supplemental data and ratios to average net assets for each period
indicated for the BT Investment Equity 500 Index Fund, EAFE Equity Index Fund
and Small Cap Index Fund.
<TABLE>
<CAPTION>
BT INVESTMENT EQUITY 500 INDEX FUND
------------------------------------------------------------------------
FOR THE YEAR ENDED
DECEMBER 31, DECEMBER 31, 1992
----------------------------------------------------- (COMMENCEMENT
1996 1995 1994 1993 OF OPERATIONS)
-------- -------- -------- -------- -----------------
<S> <C> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE, BEGINNING OF PERIOD . . . . . . . . . . $ 13.82 $ 10.36 $ 10.57 $ 10.00 $ 10.00
-------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income . . . . . . . . . . . . . . . . 0.30 0.29 0.22 0.24 --
Net Realized and Unrealized Gain (Loss) on
Investments and Futures Transactions. . . . . . . . 2.83 3.53 (0.10) 0.71 --
-------- -------- -------- -------- --------
Total from Investment Operations . . . . . . . . . . . . 3.13 3.82 0.12 0.95 --
-------- -------- -------- -------- --------
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income . . . . . . . . . . . . . . . . (0.30) (0.29) (0.22) (0.24) --
Net Realized Gain from Investments and Futures
Transactions. . . . . . . . . . . . . . . . . . . . (0.14) (0.07) (0.11) (0.14) --
-------- -------- -------- -------- --------
Total Distributions. . . . . . . . . . . . . . . . . . . (0.44) (0.36) (0.33) (0.38) --
-------- -------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD . . . . . . . . . . . . . $ 16.51 $ 13.82 $ 10.36 $ 10.57 $ 10.00
-------- -------- -------- -------- --------
-------- -------- -------- -------- --------
Total Investment Return. . . . . . . . . . . . . . . . . 22.83% 37.15% 1.15% 9.53% --
Supplemental Data and Ratios:
Net Assets, End of Period (000s omitted). . . . . . . $451,762 $277,140 $181,898 $ 1,835 $ 100
Ratios to Average Net Assets:
Net Investment Income. . . . . . . . . . . . . . . 2.05% 2.38% 2.68% 2.53% --
Expenses, including expenses of the
Equity 500 Index Portfolio . . . . . . . . . . . 0.25% 0.25% 0.25% 0.25% --
Decrease Reflected in Above Expense Ratio Due
to Absorption of Expenses by Bankers Trust . . . 0.22% 0.23% 0.29% 1.82% --
</TABLE>
<TABLE>
<CAPTION>
EAFE EQUITY INDEX FUND
------------------------------------------------------------------------
INSTITUTIONAL CLASS SHARES ADVISOR CLASS SHARES
FOR THE PERIOD JANUARY 24, 1996 FOR THE PERIOD JUNE 21, 1996
(COMMENCEMENT OF OPERATIONS) (COMMENCEMENT OF OPERATIONS)
TO DECEMBER 31, 1996 TO DECEMBER 31, 1996
------------------------------- ----------------------------
<S> <C> <C>
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE, BEGINNING OF PERIOD . . . . . . . . . . $ 10.00 $ 10.00
-------- --------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income . . . . . . . . . . . . . . . . 0.12 0.02
Net Realized and Unrealized Gain on Investments and
Foreign Currency Transactions . . . . . . . . . . . 0.60 0.12
-------- --------
Total from Investment Operations . . . . . . . . . . . . 0.72 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 . . . . . . . . . . . . . $ 10.62 $ 10.14
-------- --------
-------- --------
TOTAL INVESTMENT RETURN. . . . . . . . . . . . . . . . . 7.22% 1.57%
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period (000s omitted). . . . . . . $ 39,667 $ 717
Ratios to Average Net Assets:
Net Investment Income. . . . . . . . . . . . . . . 1.64%* 0.67%*
Expenses, including expenses of the
EAFE Equity Index Portfolio. . . . . . . . . . . 0.40%* 0.65%*
Decrease Reflected in Above Expense Ratio Due
to Absorption of Expenses by Bankers Trust . . . 0.48%* 1.70%*
</TABLE>
- --------------------
* Annualized
+ Less than $0.01
See Notes to Financial Statements on Pages 16 and 17
14
<PAGE>
- --------------------------------------------------------------------------------
BT PYRAMID MUTUAL AND ADVISOR FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SMALL CAP INDEX FUND
------------------------------------------------------------------------
INSTITUTIONAL CLASS SHARES ADVISOR CLASS SHARES
------------------------------- ----------------------------
FOR THE PERIOD FOR THE PERIOD
JULY 10, 1996 AUGUST 8, 1996
(COMMENCEMENT OF OPERATIONS) (COMMENCEMENT OF OPERATIONS)
TO DECEMBER 31, 1996 TO DECEMBER 31, 1996
------------------------------- ----------------------------
<S> <C> <C>
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE, BEGINNING OF PERIOD . . . . . . . . . . $ 10.00 $ 10.00
-------- --------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income . . . . . . . . . . . . . . . . 0.04 0.02
Net Realized and Unrealized Gain on Investments and
Futures Transactions. . . . . . . . . . . . . . . . 0.90 1.06
-------- --------
Total from Investment Operations . . . . . . . . . . . . 0.94 1.08
-------- --------
Distributions to Shareholders
Net Investment Income . . . . . . . . . . . . . . . . (0.04) (0.04)
Net Realized Gain from Investment Transactions. . . . (0.00)+ (0.00)+
-------- --------
Total Distributions. . . . . . . . . . . . . . . . . . . (0.04) (0.04)
-------- --------
Net Asset Value, End of Period . . . . . . . . . . . . . $ 10.90 $ 11.04
-------- --------
-------- --------
Total Investment Return. . . . . . . . . . . . . . . . . 9.47% 10.87%
Supplemental Data and Ratios:
Net Assets, End of Period (000s omitted). . . . . . . $ 61,558 $ 77
Ratios to Average Net Assets:
Net Investment Income. . . . . . . . . . . . . . . 1.71%* 1.61%*
Expenses, including expenses of the
Small Cap Index Portfolio. . . . . . . . . . . . 0.25%* 0.45%*
Decrease Reflected in Above Expense Ratio Due
to Absorption of Expenses by Bankers Trust . . . 0.62%* 22.69%*
</TABLE>
- --------------------
* Annualized
+ Less than $0.01
See Notes to Financial Statements on Pages 16 and 17
15
<PAGE>
- --------------------------------------------------------------------------------
BT PYRAMID MUTUAL AND ADVISOR FUNDS
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
NOTE 1--ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
A. ORGANIZATION
BT Pyramid Mutual Funds Trust and BT Advisor Funds Trust (collectively, the
"Trusts") are registered under the Investment Company Act of 1940 (the "Act"),
as amended, as open-end management investment companies. The BT Pyramid Mutual
Funds Trust was organized on February 28, 1992, as a business trust under the
laws of the Commonwealth of Massachusetts. The BT Advisor Funds Trust was
organized on July 24, 1995, as a business trust under the laws of the
Commonwealth of Massachusetts. The BT Investment Equity 500 Index Fund, EAFE
Equity Index Fund and Small Cap Index Fund (collectively, the "Funds") are
offered to investors by their respective Trusts.
The BT Advisor EAFE Equity Index and Small Cap Index Funds offers two classes of
shares to investors, Institutional Class and Advisor Class shares (the
"Shares"). Both classes of shares have identical rights to earnings, assets and
voting privileges, except that each class has its own expenses directly
attributable to a particular class and exclusive voting rights with respect to
matters affecting a single class. The following Funds commenced operations and
began offering shares of beneficial interest on the following dates:
COMMENCEMENT OF
OPERATIONS AND ISSUANCE
FUND OF SHARES
- ------------------------------ -----------------------
BT Investment Equity 500 Index December 31, 1992
EAFE Equity Index January 24, 1996
Small Cap Index July 10, 1996
The following shares commenced operations and began offering shares of
beneficial interest as follows:
COMMENCEMENT OF
OPERATIONS AND ISSUANCE OF
FUND/CLASS OF SHARES BENEFICIAL SHARE OFFERING
- ------------------------------ --------------------------
EAFE Equity Index:
Institutional January 24, 1996
Advisor June 21, 1996
Small Cap Index:
Institutional July 10, 1996
Advisor August 8, 1996
The Portfolios are open-end management investment companies registered under the
Act. The Funds seek to achieve their investment objectives by investing all of
their investable assets in the respective Portfolio. At December 31, 1996, each
Fund's proportionate interest in net assets for its respective Portfolio was:
FUND PRO RATA INTEREST
- ------------------------------ -----------------------
BT Investment Equity 500 Index 23.24%
EAFE Equity Index 99.99%
Small Cap Index 74.82%
The financial statements of the Portfolios, including the Schedules of Portfolio
Investments, are contained elsewhere in this report.
B. INVESTMENT INCOME
The Funds earn income, net of expenses, daily on their investments in the
respective 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 are allocated daily to each class of shares
based upon the relative proportion of net assets.
C. ORGANIZATIONAL EXPENSES
Costs incurred by the Funds in connection with their respective organization and
initial registration are being amortized evenly over a five year period.
D. DIVIDENDS
It is the Funds' policy to declare and distribute dividends annually for EAFE
Equity Index and Small Cap Index, and quarterly for BT Investment Equity 500
Index, to shareholders from net investment income. Dividends payable to
shareholders are recorded by the Funds on the ex-dividend date. Distributions of
net realized short-term and long-term capital gains, if any, will be made
annually.
E. FEDERAL INCOME TAXES
It is the Funds' policy to comply with the requirements of the Internal Revenue
Code. Therefore, no federal income tax provision is required. Each of the Funds
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. For the period
ended December 31, 1996, the EAFE Equity Index Fund reclassified $135,500 from
accumulated net realized gains to accumulated net investment income.
F. OTHER
The Trusts account separately for the assets, liabilities and operations of each
of the Funds and Classes. Expenses directly attributable to each Class are
charged to that Class, while expenses which are attributable to all of the
Trusts' Funds are allocated among them.
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions that
affect the reported amounts in the financial statements.
NOTE 2--FEES AND TRANSACTIONS WITH AFFILIATES
The Funds have 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 each of the Funds in return for a fee computed daily and
paid monthly at an annual rate of each Fund or Class average daily net assets.
The following table provides annual rates and aggregate fees for each of the
Funds or Class for the period ended December 31, 1996:
FUND/CLASS OF SHARES ANNUAL RATE AGGREGATE FEES
- ------------------------------ ----------- --------------
BT Investment Equity 500 Index 0.30 of 1% $ 1,049,314
EAFE Equity Index:
Institutional Class 0.15 of 1% 40,876
Advisor Class 0.30 of 1% 528
Small Cap Index:
Institutional Class 0.20 of 1% 26,700
Advisor Class 0.25 of 1% 26
16
<PAGE>
- --------------------------------------------------------------------------------
BT PYRAMID MUTUAL AND ADVISOR FUNDS
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
On September 30, 1996, the Trusts entered into a Distribution Agreement with
Edgewood Services, Inc. ("Edgewood"). Prior to September 30, Signature Broker-
Dealer Services, Inc. ("Signature") was the Trust's distributor. Under the
Distribution Agreement with the Trust, pursuant to Rule 12b-1 of the 1940 Act,
Edgewood, and previously Signature, may seek reimbursement at an annual rate not
exceeding 0.20 of 1% of each Fund's average daily net assets, for expenses
incurred in connection with any activities primarily intended to result in the
sale of each Fund's shares. For the period ended December 31, 1996, there were
no reimbursable expenses incurred under this agreement.
The EAFE Equity Index and Small Cap Index Funds' 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
Fund or Class of shares, to the extent necessary, to limit all expenses as
follows: BT Investment Equity 500 Index to 0.17 of 1% of the average daily net
assets of the Fund, excluding expenses of the Portfolio, and 0.25 of 1% of the
average daily net assets of the Fund, including expenses of the Portfolio; 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; Small Cap 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 0.25% of 1% of the average daily net assets of the Class,
including expenses of the Portfolio; Small Cap Index Fund Advisor Class of
Shares to 0.25 of 1% of the average daily net assets of the Class, excluding
expenses of the Portfolio and 0.45 of 1% of the average daily net assets of the
Class, including expenses of the Portfolio. For the period ended December 31,
1996, expenses have been reduced as follows:
FUND/CLASS OF SHARES EXPENSES REDUCED
- ------------------------------ ----------------
BT Investment Equity 500 Index $ 595,135
EAFE Equity Index:
Institutional Class 101,564
Advisor Class 2,792
Small Cap Index:
Institutional Class 67,349
Advisor Class 2,322
Each of the Funds are subject to such limitations as may from time to time be
imposed by the Blue Sky laws of states in which the Funds sell their shares.
Currently, the most restrictive jurisdiction imposed expense limitation of 2.5%
of the first $30,000,000 of the average daily net assets, 2.0% of the next
$70,000,000 and 1.5% of any excess over $100,000,000.
Certain trustees and officers of the Funds are also directors, officers and/or
employees of Edgewood and/or Signature. None of the trustees so affiliated
received compensation for services as trustees of the Funds. Similarly, none of
the Funds' officers received compensation from the Funds.
NOTE 3--SHARES OF BENEFICIAL INTEREST
At December 31, 1996, there were an unlimited number of shares of benefical
interest authorized. Transactions in shares of beneficial interest were as
follows:
<TABLE>
<CAPTION>
FOR THE PERIOD ENDED DECEMBER 31, 1996*
--------------------------------------------------------------------------------------------------------------------
EAFE EQUITY INDEX SMALL CAP INDEX
-------------------------------------------------------- --------------------------------------------------------
INSTITUTIONAL ADVISOR INSTITUTIONAL ADVISOR
CLASS SHARES CLASS SHARES CLASS SHARES CLASS SHARES
-------------------------- -------------------------- -------------------------- --------------------------
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
--------- ------------ --------- ------------ --------- ------------ --------- ------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Sold 3,700,377 $ 37,717,871 73,338 $ 731,005 5,856,530 $ 61,197,553 7,680 $ 82,456
Reinvested 35,310 371,328 94 936 24,061 259,737 15 161
Redeemed -- -- (2,706) (27,048) (235,584) (2,425,985) (704) (7,376)
--------- ------------ --------- ------------ --------- ------------ --------- ------------
Increase 3,735,687 $ 38,089,199 70,726 $ 704,893 5,645,007 $ 59,031,305 6,991 $ 75,241
--------- ------------ --------- ------------ --------- ------------ --------- ------------
--------- ------------ --------- ------------ --------- ------------ --------- ------------
<CAPTION>
BT Investment Equity 500 Index
---------------------------------------------------------
For the year ended For the year ended
December 31, 1996 December 31, 1995
--------------------------- ---------------------------
Shares Amount Shares Amount
---------- ------------ ---------- ------------
<S> <C> <C> <C> <C>
Sold 11,525,460 $173,561,745 4,695,533 $ 58,017,824
Reinvested 671,568 10,594,759 528,399 6,791,560
Redeemed (4,875,018) (73,440,345) (2,741,244) (33,561,682)
---------- ------------ ---------- ------------
Increase 7,322,010 $110,716,159 2,482,688 $ 31,247,702
---------- ------------ ---------- ------------
---------- ------------ ---------- ------------
</TABLE>
* Commencement of operations for the EAFE Equity Index Institutional Class and
Advisor Class was January 24, 1996 and June 21, 1996, respectively, and for
the Small Cap Index Institutional Class and Advisor Class was July 10, 1996
and August 8, 1996, respectively.
17
<PAGE>
- --------------------------------------------------------------------------------
BT PYRAMID MUTUAL AND ADVISOR FUNDS
REPORT OF INDEPENDENT ACCOUNTANTS
- --------------------------------------------------------------------------------
To the Trustees and Shareholders of BT Pyramid Mutual and Advisor Funds:
We have audited the accompanying statement of assets and liabilities of the BT
Investment Equity 500 Index Fund (one of the Funds comprising BT Pyramid Mutual
Funds) and the EAFE Equity Index and Small Cap Index Funds (two of the Funds
comprising BT Advisor Funds) as of December 31, 1996, and the related statement
of operations for the periods then ended, the statement of changes in net assets
for each of the two years in the period then ended for the BT Investment Equity
500 Index Fund, for the period January 24, 1996 (commencement of operations) to
December 31, 1996 for the EAFE Equity Index Fund and for the period July 10,
1996 (commencement of operations) to December 31, 1996 for the Small Cap Index
Fund and the financial highlights for each of the periods presented therein.
These financial statements and financial highlights are the responsibility of
the Fund's management. Our responsibility is to express an opinion on these
financial statements and financial highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned as of
December 31, 1996, by correspondence with the custodian. An audit also includes
assessing the accounting principles used and significant estimates made by
management, as well as evaluating the overall financial statement presentation.
We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of each
of the Funds as of December 31, 1996, the results of their operations, the
changes in their net assets and the financial highlights for the periods
referred to above, in conformity with generally accepted accounting principles.
Coopers & Lybrand L.L.P.
Kansas City, Missouri
January 27, 1997
18
<PAGE>
- --------------------------------------------------------------------------------
EQUITY 500 INDEX PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS DECEMBER 31, 1996
- --------------------------------------------------------------------------------
Shares Description Value
- ------ ----------- -----
COMMON STOCKS - 93.88%
AEROSPACE - 2.00%
114,744 Boeing Co.. . . . . . . . . . . . . . . . . . . . . $ 12,205,893
17,022 General Dynamics Corp.. . . . . . . . . . . . . . . 1,200,051
64,745 Lockheed Martin Corp. . . . . . . . . . . . . . . . 5,924,168
69,576 McDonnell Douglas Corp. . . . . . . . . . . . . . . 4,452,864
17,079 Northrop Grumman Corp.. . . . . . . . . . . . . . . 1,413,287
77,514 Raytheon Co.. . . . . . . . . . . . . . . . . . . . 3,730,361
71,924 Rockwell International Corp.. . . . . . . . . . . . 4,378,374
79,512 United Technologies Corp. . . . . . . . . . . . . . 5,247,792
--------------
38,552,790
--------------
AIRLINES - 0.30%
28,102 AMR Corp. . . . . . . . . . . . . . . . . . . . . . 2,476,489
26,649 Delta Air Lines, Inc. . . . . . . . . . . . . . . . 1,888,748
45,100 Southwest Airlines Co.. . . . . . . . . . . . . . . 997,838
20,915 USAir Group, Inc. . . . . . . . . . . . . . . . . . 488,888
--------------
5,851,963
--------------
APPAREL, TEXTILES - 0.62%
16,503 Charming Shoppes, Inc. (a). . . . . . . . . . . . . 83,546
77,614 Corning, Inc. . . . . . . . . . . . . . . . . . . . 3,589,648
18,200 Fruit of the Loom, Inc. Cl. A (a) . . . . . . . . . 689,325
25,303 Liz Claiborne, Inc. . . . . . . . . . . . . . . . . 977,328
61,348 Nike, Inc. Cl. B. . . . . . . . . . . . . . . . . . 3,665,543
24,429 Reebok International Ltd. . . . . . . . . . . . . . 1,026,018
7,511 Russell Corp. . . . . . . . . . . . . . . . . . . . 223,452
7,504 Spring Industries, Inc. Cl. A . . . . . . . . . . . 322,672
6,149 Stride Rite Corp. . . . . . . . . . . . . . . . . . 61,490
20,415 V.F. Corp.. . . . . . . . . . . . . . . . . . . . . 1,378,013
--------------
12,017,035
--------------
AUTO RELATED - 2.20%
12,500 AutoZone, Inc. (a). . . . . . . . . . . . . . . . . 343,750
236,702 Chrysler Corp.. . . . . . . . . . . . . . . . . . . 7,811,166
12,534 Cummins Engine, Inc.. . . . . . . . . . . . . . . . 576,564
26,574 Dana Corp.. . . . . . . . . . . . . . . . . . . . . 866,977
27,782 Eaton Corp. . . . . . . . . . . . . . . . . . . . . 1,937,794
21,444 Echlin Inc. . . . . . . . . . . . . . . . . . . . . 678,167
375,964 Ford Motor Co.. . . . . . . . . . . . . . . . . . . 11,983,852
246,284 General Motors Corp.. . . . . . . . . . . . . . . . 13,730,333
43,084 Genuine Parts Co. . . . . . . . . . . . . . . . . . 1,917,238
13,490 PACCAR Inc. . . . . . . . . . . . . . . . . . . . . 917,320
24,643 Parker-Hannifin Corp. . . . . . . . . . . . . . . . 954,916
12,748 Timken Co.. . . . . . . . . . . . . . . . . . . . . 584,814
--------------
42,302,891
--------------
BANKS - 6.85%
35,234 Ahmanson (H.F.) & Co. . . . . . . . . . . . . . . . 1,145,105
141,134 Banc One Corp.. . . . . . . . . . . . . . . . . . . 6,068,762
50,567 Bank of Boston Corp.. . . . . . . . . . . . . . . . 3,248,930
132,000 Bank of New York Company, Inc.. . . . . . . . . . . 4,455,000
116,436 BankAmerica Corp. . . . . . . . . . . . . . . . . . 11,614,491
65,494 Barnett Banks, Inc. . . . . . . . . . . . . . . . . 2,693,441
52,454 Boatmen's Bancshares, Inc.. . . . . . . . . . . . . 3,383,283
139,052 Chase Manhattan Corp. . . . . . . . . . . . . . . . 12,410,391
148,766 Citicorp Co.. . . . . . . . . . . . . . . . . . . . 15,322,898
39,000 Comerica Inc. . . . . . . . . . . . . . . . . . . . 2,042,625
74,964 Corestates Financial Corp.. . . . . . . . . . . . . 3,888,757
37,100 Fifth Third Bancorp . . . . . . . . . . . . . . . . 2,330,344
106,536 First Chicago NBD Corp. . . . . . . . . . . . . . . 5,726,310
92,250 First Union Corp. . . . . . . . . . . . . . . . . . 6,826,500
13,717 Golden West Financial Corp. . . . . . . . . . . . . 865,886
48,784 Great Western Financial Corp. . . . . . . . . . . . 1,414,736
75,400 KeyCorp . . . . . . . . . . . . . . . . . . . . . . 3,807,700
43,862 Mellon Bank Corp. . . . . . . . . . . . . . . . . . 3,114,202
62,560 Morgan (J.P.) & Company, Inc. . . . . . . . . . . . 6,107,420
66,500 National City Corp. . . . . . . . . . . . . . . . . 2,984,187
94,326 NationsBank Corp. . . . . . . . . . . . . . . . . . 9,220,366
124,208 Norwest Corp. . . . . . . . . . . . . . . . . . . . 5,403,048
14,300 Republic New York Corp. . . . . . . . . . . . . . . 1,167,238
67,160 Suntrust Banks, Inc.. . . . . . . . . . . . . . . . 3,307,630
53,188 U.S. Bancorp. . . . . . . . . . . . . . . . . . . . 2,390,136
49,100 Wachovia Corp.. . . . . . . . . . . . . . . . . . . 2,774,150
30,170 Wells Fargo & Co. . . . . . . . . . . . . . . . . . 8,138,357
--------------
131,851,893
--------------
BEVERAGES - 3.57%
162,180 Anheuser-Busch Companies, Inc.. . . . . . . . . . . 6,487,200
7,519 Brown Forman, Inc. Cl. B. . . . . . . . . . . . . . 343,994
806,922 Coca-Cola Co. . . . . . . . . . . . . . . . . . . . 42,464,270
5,668 Coors (Adolph), Inc. Cl. B. . . . . . . . . . . . . 107,692
498,694 PepsiCo Inc.. . . . . . . . . . . . . . . . . . . . 14,586,800
124,337 Seagram Ltd.. . . . . . . . . . . . . . . . . . . . 4,818,059
--------------
68,808,015
--------------
BUILDING & CONSTRUCTION - 0.65%
13,283 Armstrong World Industries, Inc.. . . . . . . . . . 923,168
6,490 Centex Corp.. . . . . . . . . . . . . . . . . . . . 244,186
9,466 Crane Co. . . . . . . . . . . . . . . . . . . . . . 274,514
8,706 Fleetwood Enterprises, Inc. . . . . . . . . . . . . 239,415
151,151 Home Depot, Inc.. . . . . . . . . . . . . . . . . . 7,576,444
55,611 Masco Corp. . . . . . . . . . . . . . . . . . . . . 2,001,996
12,950 Owens Corning . . . . . . . . . . . . . . . . . . . 551,994
23,130 Stanley Works . . . . . . . . . . . . . . . . . . . 624,510
--------------
12,436,227
--------------
BUILDING, FOREST PRODUCTS - 0.46%
19,603 Boise Cascade Corp. . . . . . . . . . . . . . . . . 622,395
33,528 Champion International Corp.. . . . . . . . . . . . 1,450,086
29,801 Georgia-Pacific Corp. . . . . . . . . . . . . . . . 2,145,672
10,377 Johnson Controls, Inc.. . . . . . . . . . . . . . . 859,994
1,845 Kaufman & Broad Home Corp.. . . . . . . . . . . . . 23,754
27,758 Louisiana Pacific Corp. . . . . . . . . . . . . . . 586,388
4,501 Potlatch Corp.. . . . . . . . . . . . . . . . . . . 193,543
62,594 Weyerhaeuser Co.. . . . . . . . . . . . . . . . . . 2,965,391
--------------
8,847,223
--------------
CHEMICALS & TOXIC WASTE - 2.94%
32,204 Air Products & Chemical Corp. . . . . . . . . . . . 2,226,101
See Notes to Financial Statements on Pages 55 through 57
19
<PAGE>
- --------------------------------------------------------------------------------
EQUITY 500 INDEX PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS DECEMBER 31, 1996
- --------------------------------------------------------------------------------
Shares Description Value
- ------ ----------- -----
87,440 Amgen Inc. (a). . . . . . . . . . . . . . . . . . . $ 4,754,550
76,576 Dow Chemical Co.. . . . . . . . . . . . . . . . . . 6,001,644
178,996 Du Pont (E.I.) de Nemours & Co. . . . . . . . . . . 16,892,747
27,481 Eastman Chemical Co.. . . . . . . . . . . . . . . . 1,518,325
9,350 FMC Corp. (a) . . . . . . . . . . . . . . . . . . . 655,669
30,749 Grace (W.R.) & Co.. . . . . . . . . . . . . . . . . 1,591,261
23,296 Great Lakes Chemical Corp.. . . . . . . . . . . . . 1,089,088
35,514 Hercules, Inc.. . . . . . . . . . . . . . . . . . . 1,535,980
27,402 Mallinckrodt, Inc.. . . . . . . . . . . . . . . . . 1,209,113
188,020 Monsanto Co.. . . . . . . . . . . . . . . . . . . . 7,309,277
48,606 Morton International, Inc.. . . . . . . . . . . . . 1,980,695
16,525 Nalco Chemical Co.. . . . . . . . . . . . . . . . . 596,966
56,642 PPG Industries, Inc.. . . . . . . . . . . . . . . . 3,179,032
16,038 Raychem Corp. . . . . . . . . . . . . . . . . . . . 1,285,045
22,259 Rohm & Haas Co. . . . . . . . . . . . . . . . . . . 1,816,891
18,600 Sigma-Aldrich Corp. . . . . . . . . . . . . . . . . 1,161,338
44,017 Union Carbide Corp. . . . . . . . . . . . . . . . . 1,799,195
--------------
56,602,917
--------------
COMPUTER SERVICES - 1.02%
56,100 3Com Corp. (a). . . . . . . . . . . . . . . . . . . 4,116,337
87,012 Automatic Data Processing, Inc. . . . . . . . . . . 3,730,639
51,400 Cabletron Systems, Inc. (a) . . . . . . . . . . . . 1,709,050
124,050 CUC International, Inc. (a) . . . . . . . . . . . . 2,946,188
59,400 Dell Computer Corp. (a) . . . . . . . . . . . . . . 3,155,625
75,200 EMC Corp. (a) . . . . . . . . . . . . . . . . . . . 2,491,000
58,015 Silicon Graphics, Inc. (a). . . . . . . . . . . . . 1,479,383
--------------
19,628,222
--------------
COMPUTER SOFTWARE - 3.26%
210,900 Cisco Systems, Inc. (a) . . . . . . . . . . . . . . 13,418,512
115,350 Computer Associates International Inc.. . . . . . . 5,738,663
382,300 Microsoft Corp. (a) . . . . . . . . . . . . . . . . 31,587,538
208,404 Oracle Corp. (a). . . . . . . . . . . . . . . . . . 8,700,867
83,100 Seagate Technology (a). . . . . . . . . . . . . . . 3,282,450
--------------
62,728,030
--------------
CONTAINERS - 0.25%
27,930 Avery Dennison Corp.. . . . . . . . . . . . . . . . 988,024
2,854 Ball Corp.. . . . . . . . . . . . . . . . . . . . . 74,204
42,650 Crown Cork & Seal Company, Inc. . . . . . . . . . . 2,319,094
26,249 Stone Container Corp. . . . . . . . . . . . . . . . 390,454
19,322 Temple-Inland, Inc. . . . . . . . . . . . . . . . . 1,045,803
--------------
4,817,579
--------------
COSMETICS & TOILETRIES - 0.95%
1,399 Alberto-Culver Co. Cl. B. . . . . . . . . . . . . . 67,152
45,028 Avon Products, Inc. . . . . . . . . . . . . . . . . 2,572,225
178,408 Gillette Co.. . . . . . . . . . . . . . . . . . . . 13,871,222
39,387 International Flavors & Fragrance, Inc. . . . . . . 1,772,415
--------------
18,283,014
--------------
DIVERSIFIED - 1.36%
47,469 Allegheny Teledyne, Inc.. . . . . . . . . . . . . . 1,091,787
20,702 Ceridian Corp. (a). . . . . . . . . . . . . . . . . 838,431
46,600 First Bank System, Inc. . . . . . . . . . . . . . . 3,180,450
35,100 Loews Corp. . . . . . . . . . . . . . . . . . . . . 3,308,175
134,578 Minnesota Mining & Manufacturing Co.. . . . . . . . 11,153,152
3,927 NACCO Industries, Inc. Cl. A. . . . . . . . . . . . 210,094
40,064 Pall Corp.. . . . . . . . . . . . . . . . . . . . . 1,021,632
51,715 Praxair, Inc. . . . . . . . . . . . . . . . . . . . 2,385,354
22,420 Supervalu, Inc. . . . . . . . . . . . . . . . . . . 636,168
24,303 Textron, Inc. . . . . . . . . . . . . . . . . . . . 2,290,558
--------------
26,115,801
--------------
DRUGS - 5.43%
201,966 American Home Products Corp.. . . . . . . . . . . . 11,840,257
163,289 Bristol Myers Squibb Co.. . . . . . . . . . . . . . 17,757,679
178,370 Lilly (Eli) & Co. . . . . . . . . . . . . . . . . . 13,021,010
385,297 Merck & Company, Inc. . . . . . . . . . . . . . . . 30,534,787
205,104 Pfizer Inc. . . . . . . . . . . . . . . . . . . . . 16,997,994
118,558 Schering-Plough Corp. . . . . . . . . . . . . . . . 7,676,630
89,786 Warner-Lambert Co.. . . . . . . . . . . . . . . . . 6,733,950
--------------
104,562,307
--------------
ELECTRICAL EQUIPMENT - 4.26%
527,222 General Electric Co.. . . . . . . . . . . . . . . . 52,129,075
46,700 General Instrument Corp. (a). . . . . . . . . . . . 1,009,887
15,572 General Signal Corp.. . . . . . . . . . . . . . . . 665,703
15,665 Grainger (W.W.), Inc. . . . . . . . . . . . . . . . 1,257,116
324,040 Hewlett-Packard Co. . . . . . . . . . . . . . . . . 16,283,010
39,023 ITT Corp. (New) (a) . . . . . . . . . . . . . . . . 1,692,623
39,123 ITT Hartford Group, Inc.. . . . . . . . . . . . . . 2,640,802
39,023 ITT Industries, Inc.. . . . . . . . . . . . . . . . 956,064
53,532 Tyco International Ltd. . . . . . . . . . . . . . . 2,830,505
129,910 Westinghouse Electric Corp. . . . . . . . . . . . . 2,581,961
--------------
82,046,746
--------------
ELECTRONICS - 4.30%
46,741 Advanced Micro Devices, Inc. (a). . . . . . . . . . 1,203,581
88,306 AlliedSignal, Inc.. . . . . . . . . . . . . . . . . 5,916,502
74,873 AMP Inc.. . . . . . . . . . . . . . . . . . . . . . 2,873,251
57,200 Applied Materials (a) . . . . . . . . . . . . . . . 2,055,625
74,300 Emerson Electric Co.. . . . . . . . . . . . . . . . 7,188,525
14,371 Harris Corp.. . . . . . . . . . . . . . . . . . . . 986,210
263,014 Intel Corp. . . . . . . . . . . . . . . . . . . . . 34,438,396
43,800 LSI Logic Corp. (a) . . . . . . . . . . . . . . . . 1,171,650
65,700 Micron Technology, Inc. . . . . . . . . . . . . . . 1,913,512
188,142 Motorola, Inc.. . . . . . . . . . . . . . . . . . . 11,547,215
48,026 National Semiconductor Corp. (a). . . . . . . . . . 1,170,634
81,301 Northern Telecom Ltd. . . . . . . . . . . . . . . . 5,030,499
12,825 Perkin-Elmer Corp.. . . . . . . . . . . . . . . . . 755,072
17,638 Scientific-Atlanta, Inc.. . . . . . . . . . . . . . 264,570
7,938 Tektronix, Inc. . . . . . . . . . . . . . . . . . . 406,823
59,328 Texas Instruments, Inc. . . . . . . . . . . . . . . 3,782,160
20,800 Thomas & Betts Corp.. . . . . . . . . . . . . . . . 923,000
5,527 Trinova Corp. . . . . . . . . . . . . . . . . . . . 201,045
14,359 Western Atlas, Inc. (a) . . . . . . . . . . . . . . 1,017,694
--------------
82,845,964
--------------
See Notes to Financial Statements on Pages 55 through 57
20
<PAGE>
- --------------------------------------------------------------------------------
EQUITY 500 INDEX PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS DECEMBER 31, 1996
- --------------------------------------------------------------------------------
Shares Description Value
- ------ ----------- -----
ENVIRONMENTAL CONTROL - 0.41%
67,335 Browning-Ferris Industries, Inc.. . . . . . . . . . $ 1,767,544
69,400 Laidlaw, Inc. Cl. B . . . . . . . . . . . . . . . . 798,100
6,726 Safety-Kleen. . . . . . . . . . . . . . . . . . . . 110,138
162,358 WMX Technologies, Inc.. . . . . . . . . . . . . . . 5,296,930
--------------
7,972,712
--------------
FINANCIAL SERVICES - 3.75%
155,166 American Express Co.. . . . . . . . . . . . . . . . 8,766,879
19,352 Beneficial Corp.. . . . . . . . . . . . . . . . . . 1,226,433
52,974 Dean Witter, Discover & Co. . . . . . . . . . . . . 3,509,527
59,256 Federal Home Loan Mortgage Corp.. . . . . . . . . . 6,525,567
345,864 Federal National Mortgage Assn. . . . . . . . . . . 12,883,434
149,200 First Data Corp.. . . . . . . . . . . . . . . . . . 5,445,800
87,144 Fleet Financial Group, Inc. . . . . . . . . . . . . 4,346,307
46,200 Green Tree Financial Corp.. . . . . . . . . . . . . 1,784,475
31,158 Household International, Inc. . . . . . . . . . . . 2,874,325
68,745 MBNA Corp.. . . . . . . . . . . . . . . . . . . . . 2,852,918
50,938 Merrill Lynch & Co., Inc. . . . . . . . . . . . . . 4,151,447
45,700 Morgan Stanley Group, Inc.. . . . . . . . . . . . . 2,610,613
115,333 PNC Banc Corp.. . . . . . . . . . . . . . . . . . . 4,339,404
38,233 Salomon, Inc. . . . . . . . . . . . . . . . . . . . 1,801,730
201,912 Travelers Group, Inc. . . . . . . . . . . . . . . . 9,161,757
--------------
72,280,616
--------------
FOOD SERVICES, LODGING - 0.59%
46,319 Darden Restaurants, Inc.. . . . . . . . . . . . . . 405,291
220,114 McDonald's Corp.. . . . . . . . . . . . . . . . . . 9,960,159
43,462 Wendy's International, Inc. . . . . . . . . . . . . 890,971
--------------
11,256,421
--------------
FOODS - 2.91%
178,802 Archer-Daniels-Midland Co.. . . . . . . . . . . . . 3,933,644
77,477 Campbell Soup Co. . . . . . . . . . . . . . . . . . 6,217,529
73,516 ConAgra, Inc. . . . . . . . . . . . . . . . . . . . 3,657,421
49,230 CPC International, Inc. . . . . . . . . . . . . . . 3,815,325
48,619 General Mills, Inc. . . . . . . . . . . . . . . . . 3,081,229
123,675 Heinz, (H.J.) Co. . . . . . . . . . . . . . . . . . 4,421,381
38,094 Hershey Foods Corp. . . . . . . . . . . . . . . . . 1,666,613
65,207 Kellogg Co. . . . . . . . . . . . . . . . . . . . . 4,279,209
23,500 Pioneer Hi-Bred International, Inc. . . . . . . . . 1,645,000
47,484 Quaker Oats Co. . . . . . . . . . . . . . . . . . . 1,810,328
30,705 Ralston Purina Co.. . . . . . . . . . . . . . . . . 2,252,979
150,387 Sara Lee Corp.. . . . . . . . . . . . . . . . . . . 5,601,916
61,710 Sysco Corp. . . . . . . . . . . . . . . . . . . . . 2,013,289
52,717 Unilever N.V., ADR. . . . . . . . . . . . . . . . . 9,238,654
21,827 Whitman Corp. . . . . . . . . . . . . . . . . . . . 499,293
33,492 Wrigley (WM) Jr. Co.. . . . . . . . . . . . . . . . 1,883,925
--------------
56,017,735
--------------
FOREST PRODUCTS & PAPER - 0.06%
16,000 Willamette Industries, Inc. . . . . . . . . . . . . 1,118,000
HEALTHCARE - 1.10%
245,022 Abbott Laboratories . . . . . . . . . . . . . . . . 12,434,866
212,322 Columbia/HCA Healthcare Corp. . . . . . . . . . . . 8,652,122
--------------
21,086,988
--------------
HOSPITAL SUPPLIES & HEALTHCARE - 2.53%
23,601 Allergan, Inc.. . . . . . . . . . . . . . . . . . . 840,786
31,534 Alza Corp. (a). . . . . . . . . . . . . . . . . . . 815,942
12,477 Bard (C.R.), Inc. . . . . . . . . . . . . . . . . . 349,356
18,223 Bausch & Lomb, Inc. . . . . . . . . . . . . . . . . 637,805
92,463 Baxter International, Inc.. . . . . . . . . . . . . 3,790,983
42,332 Becton, Dickinson Co. . . . . . . . . . . . . . . . 1,836,150
20,682 Beverly Enterprises (a) . . . . . . . . . . . . . . 263,695
37,950 Biomet, Inc.. . . . . . . . . . . . . . . . . . . . 573,994
59,400 Boston Scientific Corp. (a) . . . . . . . . . . . . 3,564,000
23,200 Guidant Corp. . . . . . . . . . . . . . . . . . . . 1,322,400
54,200 Humana, Inc. (a). . . . . . . . . . . . . . . . . . 1,036,575
424,396 Johnson & Johnson . . . . . . . . . . . . . . . . . 21,113,701
18,360 Manor Care, Inc.. . . . . . . . . . . . . . . . . . 495,720
79,552 Medtronic, Inc. . . . . . . . . . . . . . . . . . . 5,409,536
10,274 Shared Medical Systems Corp.. . . . . . . . . . . . 505,995
27,219 St. Jude Medical, Inc. (a). . . . . . . . . . . . . 1,160,210
62,510 Tenet Healthcare Corp. (a). . . . . . . . . . . . . 1,367,406
61,300 United Healthcare Corp. . . . . . . . . . . . . . . 2,758,500
21,548 US Surgical Corp. . . . . . . . . . . . . . . . . . 848,453
--------------
48,691,207
--------------
HOTEL/MOTEL - 0.37%
43,200 HFS, Inc. (a) . . . . . . . . . . . . . . . . . . . 2,581,200
80,341 Hilton Hotels Corp. . . . . . . . . . . . . . . . . 2,098,909
44,190 Marriott International, Inc.. . . . . . . . . . . . 2,441,497
--------------
7,121,606
--------------
HOUSEHOLD FURNISHINGS - 0.17%
20,612 Maytag Corp.. . . . . . . . . . . . . . . . . . . . 407,087
47,858 Newell Co.. . . . . . . . . . . . . . . . . . . . . 1,507,527
27,339 Whirlpool Corp. . . . . . . . . . . . . . . . . . . 1,274,681
--------------
3,189,295
--------------
HOUSEHOLD PRODUCTS - 1.65%
17,652 Clorox Co.. . . . . . . . . . . . . . . . . . . . . 1,771,819
47,651 Colgate-Palmolive Co. . . . . . . . . . . . . . . . 4,395,805
218,470 Procter & Gamble Co.. . . . . . . . . . . . . . . . 23,485,525
44,002 Rubbermaid, Inc.. . . . . . . . . . . . . . . . . . 1,001,046
22,196 Tupperware Corp.. . . . . . . . . . . . . . . . . . 1,190,261
--------------
31,844,456
--------------
INSURANCE - 3.18%
50,459 Aetna, Inc. . . . . . . . . . . . . . . . . . . . . 4,036,720
6,909 Alexander & Alexander Services, Inc.. . . . . . . . 120,044
142,450 Allstate Corp.. . . . . . . . . . . . . . . . . . . 8,244,294
68,654 American General Corp.. . . . . . . . . . . . . . . 2,806,232
148,767 American International Group, Inc.. . . . . . . . . 16,104,028
31,700 Aon Corp. . . . . . . . . . . . . . . . . . . . . . 1,969,362
57,972 Chubb Corp. . . . . . . . . . . . . . . . . . . . . 3,115,995
25,833 Cigna Corp. . . . . . . . . . . . . . . . . . . . . 3,529,434
27,378 General Re Corp.. . . . . . . . . . . . . . . . . . 4,318,879
See Notes to Financial Statements on Pages 55 through 57
21
<PAGE>
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EQUITY 500 INDEX PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS DECEMBER 31, 1996
- --------------------------------------------------------------------------------
Shares Description Value
- ------ ----------- -----
19,477 Jefferson-Pilot Corp. . . . . . . . . . . . . . . . $ 1,102,885
28,510 Lincoln National Corp.. . . . . . . . . . . . . . . 1,496,775
24,962 Marsh & McLennan Companies, Inc.. . . . . . . . . . 2,596,048
14,000 MBIA, Inc.. . . . . . . . . . . . . . . . . . . . . 1,417,500
19,300 MGIC Investment Corp. . . . . . . . . . . . . . . . 1,466,800
31,598 Providian Corp. . . . . . . . . . . . . . . . . . . 1,623,347
43,302 SAFECO Corp.. . . . . . . . . . . . . . . . . . . . 1,707,723
30,130 St. Paul Companies, Inc.. . . . . . . . . . . . . . 1,766,371
18,834 Torchmark Corp. . . . . . . . . . . . . . . . . . . 951,117
26,000 UNUM Corp.. . . . . . . . . . . . . . . . . . . . . 1,878,500
30,017 USF&G Corp. . . . . . . . . . . . . . . . . . . . . 626,605
11,930 USLife Corp.. . . . . . . . . . . . . . . . . . . . 396,673
--------------
61,275,332
--------------
LEISURE RELATED - 1.13%
29,114 American Greetings Corp. Cl. A. . . . . . . . . . . 826,110
24,842 Brunswick Corp. . . . . . . . . . . . . . . . . . . 596,208
215,457 Disney (Walt) Co. . . . . . . . . . . . . . . . . . 15,001,194
18,939 Harcourt General, Inc.. . . . . . . . . . . . . . . 873,561
37,115 Harrah's Entertainment, Inc. (a). . . . . . . . . . 737,661
29,425 Hasbro, Inc.. . . . . . . . . . . . . . . . . . . . 1,143,897
5,839 Jostens, Inc. . . . . . . . . . . . . . . . . . . . 123,349
90,965 Mattel, Inc.. . . . . . . . . . . . . . . . . . . . 2,524,279
--------------
21,826,259
--------------
MACHINERY - 1.32%
25,971 Black & Decker Corp.. . . . . . . . . . . . . . . . 782,376
10,182 Briggs & Stratton Corp. . . . . . . . . . . . . . . 448,008
26,000 Case Corp.. . . . . . . . . . . . . . . . . . . . . 1,417,000
64,082 Caterpillar, Inc. . . . . . . . . . . . . . . . . . 4,822,171
7,847 Cincinnati Milacron, Inc. . . . . . . . . . . . . . 171,653
38,648 Cooper Industries, Inc. . . . . . . . . . . . . . . 1,628,047
84,923 Deere & Co. . . . . . . . . . . . . . . . . . . . . 3,449,997
36,204 Dover Corp. . . . . . . . . . . . . . . . . . . . . 1,819,251
59,882 Dresser Industries, Inc.. . . . . . . . . . . . . . 1,856,342
30,130 Echo Bay Mines Ltd. . . . . . . . . . . . . . . . . 199,611
15,447 Giddings & Lewis, Inc.. . . . . . . . . . . . . . . 198,880
15,322 Harnischfeger Industries, Inc.. . . . . . . . . . . 737,371
40,496 Illinois Tool Works . . . . . . . . . . . . . . . . 3,234,618
34,831 Ingersoll-Rand Co.. . . . . . . . . . . . . . . . . 1,549,980
9,792 Millipore Corp. . . . . . . . . . . . . . . . . . . 405,144
10,958 Navistar International Corp. (a). . . . . . . . . . 99,992
14,394 Snap-On, Inc. . . . . . . . . . . . . . . . . . . . 512,786
39,872 TRW, Inc. . . . . . . . . . . . . . . . . . . . . . 1,973,664
--------------
25,306,891
--------------
METALS - 1.31%
66,036 Alcan Aluminium Ltd.. . . . . . . . . . . . . . . . 2,220,460
57,900 Aluminum Co. of America . . . . . . . . . . . . . . 3,691,125
66,735 Armco, Inc. (a) . . . . . . . . . . . . . . . . . . 275,282
16,649 Asarco, Inc.. . . . . . . . . . . . . . . . . . . . 414,144
120,900 Barrick Gold Corp.. . . . . . . . . . . . . . . . . 3,475,875
46,200 Battle Mountain Gold Co.. . . . . . . . . . . . . . 317,625
42,349 Bethlehem Steel Corp. (a) . . . . . . . . . . . . . 381,141
23,594 Cyprus Amax Minerals Co.. . . . . . . . . . . . . . 551,510
36,408 Engelhard Corp. . . . . . . . . . . . . . . . . . . 696,303
31,700 Freeport-McMoRan Copper & Gold, Inc. Cl. B . . . . 947,037
58,143 Homestake Mining Co.. . . . . . . . . . . . . . . . 828,538
52,766 Inco Ltd. . . . . . . . . . . . . . . . . . . . . . 1,681,916
17,603 Inland Steel Industries, Inc. . . . . . . . . . . . 352,060
34,534 Newmont Mining Corp.. . . . . . . . . . . . . . . . 1,545,397
25,594 Nucor Corp. . . . . . . . . . . . . . . . . . . . . 1,305,294
21,408 Phelps Dodge Corp.. . . . . . . . . . . . . . . . . 1,445,040
80,604 Placer Dome, Inc. . . . . . . . . . . . . . . . . . 1,753,137
24,349 Reynolds Metals Co. . . . . . . . . . . . . . . . . 1,372,675
38,808 Santa Fe Pacific Gold Corp. . . . . . . . . . . . . 596,673
31,677 USX-U.S. Steel Group. . . . . . . . . . . . . . . . 993,866
21,679 Worthington Industries, Inc.. . . . . . . . . . . . 392,932
--------------
25,238,030
--------------
MISCELLANEOUS - 0.10%
1 ACNielsen Corp. (a) . . . . . . . . . . . . . . . . 15
58,479 Cognizant Corp. . . . . . . . . . . . . . . . . . . 1,929,807
--------------
1,929,822
--------------
OFFICE EQUIPMENT & COMPUTERS - 2.90%
43,662 Alco Standard Corp. . . . . . . . . . . . . . . . . 2,254,051
33,957 Amdahl Corp. (a). . . . . . . . . . . . . . . . . . 411,729
42,342 Apple Computer, Inc. (a). . . . . . . . . . . . . . 883,889
19,514 Autodesk, Inc.. . . . . . . . . . . . . . . . . . . 546,392
85,713 Compaq Computer Corp. (a) . . . . . . . . . . . . . 6,364,190
25,886 Computer Sciences Corp. (a) . . . . . . . . . . . . 2,125,888
5,545 Data General Corp. (a). . . . . . . . . . . . . . . 80,402
48,432 Digital Equipment Corp. (a) . . . . . . . . . . . . 1,761,714
41,319 Honeywell, Inc. . . . . . . . . . . . . . . . . . . 2,716,724
8,246 Intergraph Corp. (a). . . . . . . . . . . . . . . . 84,522
166,041 IBM Corp. . . . . . . . . . . . . . . . . . . . . . 25,072,191
23,079 Moore Corp. Ltd.. . . . . . . . . . . . . . . . . . 470,235
109,692 Novell, Inc. (a). . . . . . . . . . . . . . . . . . 1,038,646
47,498 Pitney Bowes, Inc.. . . . . . . . . . . . . . . . . 2,588,641
120,556 Sun Microsystems, Inc. (a). . . . . . . . . . . . . 3,096,782
30,060 Tandem Computers, Inc. (a). . . . . . . . . . . . . 413,325
59,499 Unisys Corp. (a). . . . . . . . . . . . . . . . . . 401,618
106,235 Xerox Corp. . . . . . . . . . . . . . . . . . . . . 5,590,617
--------------
55,901,556
--------------
OIL RELATED - 8.81%
31,493 Amerada Hess Corp.. . . . . . . . . . . . . . . . . 1,822,657
157,902 Amoco Corp. . . . . . . . . . . . . . . . . . . . . 12,711,111
16,487 Ashland, Inc. . . . . . . . . . . . . . . . . . . . 723,367
50,825 Atlantic Richfield Co.. . . . . . . . . . . . . . . 6,734,312
46,644 Baker Hughes, Inc.. . . . . . . . . . . . . . . . . 1,609,218
41,000 Burlington Resources, Inc.. . . . . . . . . . . . . 2,065,375
213,766 Chevron Corp. . . . . . . . . . . . . . . . . . . . 13,894,790
397,057 Exxon Corp. . . . . . . . . . . . . . . . . . . . . 38,911,586
28,581 Fluor Corp. . . . . . . . . . . . . . . . . . . . . 1,793,458
17,338 Foster Wheeler Corp.. . . . . . . . . . . . . . . . 643,673
40,690 Halliburton Co. . . . . . . . . . . . . . . . . . . 2,451,572
10,308 Helmerich & Payne, Inc. . . . . . . . . . . . . . . 537,305
13,032 Kerr-McGee Corp.. . . . . . . . . . . . . . . . . . 938,304
See Notes to Financial Statements on Pages 55 through 57
22
<PAGE>
- --------------------------------------------------------------------------------
EQUITY 500 INDEX PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS DECEMBER 31, 1996
- --------------------------------------------------------------------------------
Shares Description Value
- ------ ----------- -----
10,262 Louisiana Land & Exploration Co.. . . . . . . . . . $ 550,300
25,587 McDermott International, Inc. . . . . . . . . . . . 425,384
126,571 Mobil Corp. . . . . . . . . . . . . . . . . . . . . 15,473,305
49,728 Noram Energy Corp.. . . . . . . . . . . . . . . . . 764,568
106,414 Occidental Petroleum Corp.. . . . . . . . . . . . . 2,487,427
26,079 Oryx Energy Co. (a) . . . . . . . . . . . . . . . . 645,455
17,754 Pennzoil Co.. . . . . . . . . . . . . . . . . . . . 1,003,101
79,606 Phillips Petroleum Co.. . . . . . . . . . . . . . . 3,522,566
31,100 Rowan Companies, Inc. (a) . . . . . . . . . . . . . 703,638
171,101 Royal Dutch Petroleum Co. . . . . . . . . . . . . . 29,215,496
20,069 Santa Fe Energy Resources, Inc. (a) . . . . . . . . 278,457
77,481 Schlumberger Ltd. . . . . . . . . . . . . . . . . . 7,738,415
29,345 Sun Co. . . . . . . . . . . . . . . . . . . . . . . 715,284
59,234 Tenneco, Inc. . . . . . . . . . . . . . . . . . . . 2,672,934
86,461 Texaco, Inc.. . . . . . . . . . . . . . . . . . . . 8,483,986
79,848 Union Pacific Resources Group, Inc. . . . . . . . . 2,335,554
85,137 Unocal Corp.. . . . . . . . . . . . . . . . . . . . 3,458,691
96,764 USX-Marathon Group. . . . . . . . . . . . . . . . . 2,310,241
54,318 Williams Companies, Inc.. . . . . . . . . . . . . . 2,036,925
--------------
169,658,455
--------------
PAPER - 0.90%
11,831 Bemis Co. . . . . . . . . . . . . . . . . . . . . . 436,268
99,044 International Paper Co. . . . . . . . . . . . . . . 3,998,902
31,335 James River Corp. . . . . . . . . . . . . . . . . . 1,037,972
90,365 Kimberly-Clark Corp.. . . . . . . . . . . . . . . . 8,607,266
20,351 Mead Corp.. . . . . . . . . . . . . . . . . . . . . 1,182,902
26,203 Union Camp Corp.. . . . . . . . . . . . . . . . . . 1,251,193
25,760 Westvaco Corp.. . . . . . . . . . . . . . . . . . . 740,600
--------------
17,255,103
--------------
PHARMACEUTICALS - 0.34%
166,832 Pharmacia & Upjohn, Inc.. . . . . . . . . . . . . . 6,610,718
--------------
PHOTOGRAPHY & OPTICAL - 0.48%
105,026 Eastman Kodak Co. . . . . . . . . . . . . . . . . . 8,428,337
16,882 Polaroid Corp.. . . . . . . . . . . . . . . . . . . 734,367
--------------
9,162,704
--------------
PRINTING & PUBLISHING - 1.21%
31,791 Deluxe Corp.. . . . . . . . . . . . . . . . . . . . 1,041,155
53,852 Donnelley (RR) & Sons Co. . . . . . . . . . . . . . 1,689,606
36,872 Dow Jones & Co. . . . . . . . . . . . . . . . . . . 1,249,039
64,479 Dun & Bradstreet Corp.. . . . . . . . . . . . . . . 1,531,376
46,596 Gannett Co. . . . . . . . . . . . . . . . . . . . . 3,488,875
3,404 Harland (John H.) Co. . . . . . . . . . . . . . . . 112,332
34,226 Knight-Ridder, Inc. . . . . . . . . . . . . . . . . 1,309,145
35,930 McGraw-Hill Companies, Inc. . . . . . . . . . . . . 1,657,271
4,336 Meredith Corp.. . . . . . . . . . . . . . . . . . . 228,724
25,784 New York Times Co. Cl. A. . . . . . . . . . . . . . 979,792
178,715 Time Warner, Inc. . . . . . . . . . . . . . . . . . 6,701,813
31,029 Times Mirror Co. Cl. A. . . . . . . . . . . . . . . 1,543,693
21,698 Tribune Co. . . . . . . . . . . . . . . . . . . . . 1,711,430
--------------
23,244,251
--------------
PROFESSIONAL SERVICES - 0.38%
35,135 Block (H&R), Inc. . . . . . . . . . . . . . . . . . 1,018,915
15,800 Ecolab, Inc.. . . . . . . . . . . . . . . . . . . . 594,475
8,025 EG&G, Inc.. . . . . . . . . . . . . . . . . . . . . 161,503
23,007 Interpublic Group of Companies, Inc.. . . . . . . . 1,092,833
18,726 National Service Industries, Inc. . . . . . . . . . 699,884
69,392 Service Corp International. . . . . . . . . . . . . 1,942,976
23,343 Transamerica Corp.. . . . . . . . . . . . . . . . . 1,844,097
--------------
7,354,683
--------------
RAILROADS - 0.93%
47,062 Burlington Northern Santa Fe Corp.. . . . . . . . . 4,064,980
27,113 Conrail, Inc. . . . . . . . . . . . . . . . . . . . 2,701,133
64,932 CSX Corp. . . . . . . . . . . . . . . . . . . . . . 2,743,377
39,751 Norfolk Southern Corp.. . . . . . . . . . . . . . . 3,478,212
81,247 Union Pacific Corp. . . . . . . . . . . . . . . . . 4,884,976
--------------
17,872,678
--------------
REAL ESTATE - 0.02%
10,666 Pulte Corp. . . . . . . . . . . . . . . . . . . . . 327,979
--------------
RETAIL - 3.74%
83,102 Albertson's, Inc. . . . . . . . . . . . . . . . . . 2,960,509
50,018 American Stores Co. . . . . . . . . . . . . . . . . 2,044,486
29,846 Circuit City Stores, Inc. . . . . . . . . . . . . . 899,111
37,419 CVS Corp. . . . . . . . . . . . . . . . . . . . . . 1,548,211
66,708 Dayton Hudson Corp. . . . . . . . . . . . . . . . . 2,618,289
37,197 Dillard Department Stores, Inc. Cl. A . . . . . . . 1,148,457
71,100 Federated Department Stores, Inc. (a) . . . . . . . 2,426,287
5,679 Fleming Companies, Inc. . . . . . . . . . . . . . . 97,963
91,014 Gap, Inc. . . . . . . . . . . . . . . . . . . . . . 2,741,797
17,593 Giant Food, Inc. Cl. A. . . . . . . . . . . . . . . 606,958
8,325 Great Atlantic & Pacific Tea Company, Inc.. . . . . 265,359
164,403 Kmart Corp. (a) . . . . . . . . . . . . . . . . . . 1,705,681
44,260 Kroger Co. (a). . . . . . . . . . . . . . . . . . . 2,058,090
89,747 Limited, Inc. . . . . . . . . . . . . . . . . . . . 1,649,101
5,613 Longs Drug Stores Corp. . . . . . . . . . . . . . . 275,739
57,194 Lowe's Companies, Inc.. . . . . . . . . . . . . . . 2,030,387
85,098 May Department Stores Co. . . . . . . . . . . . . . 3,978,331
8,430 Mercantile Stores Co. . . . . . . . . . . . . . . . 416,231
27,329 Nordstrom, Inc. . . . . . . . . . . . . . . . . . . 968,471
77,950 Penney (J.C.) Company, Inc. . . . . . . . . . . . . 3,800,063
15,812 Pep-Boys-Manny Moe & Jack . . . . . . . . . . . . . 486,219
68,299 Price/Costco, Inc. (a). . . . . . . . . . . . . . . 1,716,012
43,701 Rite Aid Corp.. . . . . . . . . . . . . . . . . . . 1,737,115
122,009 Sears, Roebuck & Co.. . . . . . . . . . . . . . . . 5,627,665
23,337 Sherwin-Williams Co.. . . . . . . . . . . . . . . . 1,306,872
17,083 Tandy Corp. . . . . . . . . . . . . . . . . . . . . 751,652
25,954 TJX Companies, Inc. . . . . . . . . . . . . . . . . 1,229,571
88,818 Toys 'R' Us Inc. (a). . . . . . . . . . . . . . . . 2,664,540
83,734 Walgreen Co.. . . . . . . . . . . . . . . . . . . . 3,349,360
730,548 Wal-Mart Stores, Inc. . . . . . . . . . . . . . . . 16,711,286
41,680 Winn-Dixie Stores, Inc. . . . . . . . . . . . . . . 1,318,130
37,522 Woolworth Corp. (a) . . . . . . . . . . . . . . . . 820,794
--------------
71,958,737
--------------
See Notes to Financial Statements on Pages 55 through 57
23
<PAGE>
- --------------------------------------------------------------------------------
EQUITY 500 INDEX PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS DECEMBER 31, 1996
- --------------------------------------------------------------------------------
Shares Description Value
- ------ ----------- -----
TELECOMMUNICATIONS - 3.90%
1 360 Communications Co. (a). . . . . . . . . . . . $ 23
167,735 Airtouch Communications (a) . . . . . . . . . . . 4,235,309
53,000 Alltel Corp.. . . . . . . . . . . . . . . . . . . 1,662,875
173,952 Ameritech Corp. . . . . . . . . . . . . . . . . . 10,545,840
20,184 Andrew Corp. (a). . . . . . . . . . . . . . . . . 1,071,013
59,900 Bay Networks, Inc. (a). . . . . . . . . . . . . . 1,250,412
95,562 Comcast Corp. Cl. A . . . . . . . . . . . . . . . 1,702,198
38,890 DSC Communications Corp. (a). . . . . . . . . . . 695,159
17,300 Frontier Corp.. . . . . . . . . . . . . . . . . . 391,413
310,336 GTE Corp. . . . . . . . . . . . . . . . . . . . . 14,120,288
9,306 King World Productions, Inc. (a). . . . . . . . . 343,159
202,241 Lucent Technologies, Inc. . . . . . . . . . . . . 9,353,646
225,420 MCI Communications Corp.. . . . . . . . . . . . . 7,368,416
144,400 NYNEX Corp. . . . . . . . . . . . . . . . . . . . 6,949,250
1 TCI Satellite Entertainment, Inc. (a) . . . . . . 6
178,416 Tele-Communications, Inc. Cl. A (a) . . . . . . . 2,330,559
58,100 Tellabs, Inc. (a) . . . . . . . . . . . . . . . . 2,186,013
93,749 Viacom, Inc. Cl. B (a). . . . . . . . . . . . . . 3,269,496
288,600 WorldCom, Inc. (a). . . . . . . . . . . . . . . . 7,521,638
---------------
74,996,713
---------------
TIRE & RUBBER - 0.19%
19,051 Cooper Tire & Rubber Co.. . . . . . . . . . . . . 376,257
13,452 Goodrich (B.F.) . . . . . . . . . . . . . . . . . 544,806
52,136 Goodyear Tire & Rubber Co.. . . . . . . . . . . . 2,678,487
---------------
3,599,550
---------------
TOBACCO - 1.78%
57,674 American Brands, Inc. . . . . . . . . . . . . . . 2,862,072
260,166 Philip Morris Companies, Inc. . . . . . . . . . . 29,301,196
65,207 UST Corp. . . . . . . . . . . . . . . . . . . . . 2,111,077
---------------
34,274,345
---------------
TRUCKING, SHIPPING - 0.12%
6,782 Caliber System, Inc.. . . . . . . . . . . . . . . 130,554
31,650 Federal Express (a) . . . . . . . . . . . . . . . 1,408,425
30,417 Ryder Systems, Inc. . . . . . . . . . . . . . . . 855,478
---------------
2,394,457
---------------
UTILITIES - 7.18%
56,110 American Electric Power Co. . . . . . . . . . . . 2,307,524
517,106 AT&T Corp.. . . . . . . . . . . . . . . . . . . . 22,494,111
42,125 Baltimore Gas & Electric Co.. . . . . . . . . . . 1,126,844
141,039 Bell Atlantic Corp. . . . . . . . . . . . . . . . 9,132,275
314,132 BellSouth Corp. . . . . . . . . . . . . . . . . . 12,683,080
40,628 Carolina Power & Light Co.. . . . . . . . . . . . 1,482,922
74,830 Central & South West Corp.. . . . . . . . . . . . 1,917,519
49,022 CINergy Corp. . . . . . . . . . . . . . . . . . . 1,636,109
29,566 Coastal Corp. . . . . . . . . . . . . . . . . . . 1,445,038
14,735 Columbia Gas System, Inc. . . . . . . . . . . . . 937,514
73,136 Consolidated Edison of New York, Inc. . . . . . . 2,139,228
34,005 Consolidated Natural Gas Co.. . . . . . . . . . . 1,878,776
51,606 Dominion Resources, Inc.. . . . . . . . . . . . . 1,986,831
42,976 DTE Energy Co.. . . . . . . . . . . . . . . . . . 1,391,348
59,087 Duke Power Co.. . . . . . . . . . . . . . . . . . 2,732,774
3,742 Eastern Enterprises . . . . . . . . . . . . . . . 132,373
149,570 Edison International. . . . . . . . . . . . . . . 2,972,704
85,966 Enron Corp. . . . . . . . . . . . . . . . . . . . 3,707,284
15,824 ENSERCH Corp. . . . . . . . . . . . . . . . . . . 363,952
80,907 Entergy Corp. . . . . . . . . . . . . . . . . . . 2,245,169
60,194 FPL Group, Inc. . . . . . . . . . . . . . . . . . 2,768,924
46,600 GPU, Inc. . . . . . . . . . . . . . . . . . . . . 1,566,925
93,156 Houston Industries, Inc.. . . . . . . . . . . . . 2,107,654
39,542 Niagara Mohawk Power Corp. (a). . . . . . . . . . 390,477
10,369 NICOR, Inc. . . . . . . . . . . . . . . . . . . . 370,692
16,644 Northern States Power Co. . . . . . . . . . . . . 763,543
61,984 Ohio Edison Co. . . . . . . . . . . . . . . . . . 1,410,136
12,491 ONEOK, Inc. . . . . . . . . . . . . . . . . . . . 374,730
38,300 PP&L Resources, Inc.. . . . . . . . . . . . . . . 880,900
22,768 Pacific Enterprises . . . . . . . . . . . . . . . 691,578
138,505 Pacific Gas & Electric Co.. . . . . . . . . . . . 2,908,605
136,035 Pacific Telesis Group . . . . . . . . . . . . . . 4,999,286
82,789 PacifiCorp. . . . . . . . . . . . . . . . . . . . 1,697,174
51,358 PanEnergy Corp. . . . . . . . . . . . . . . . . . 2,311,110
78,684 PECO Energy Co. . . . . . . . . . . . . . . . . . 1,986,771
5,255 People's Energy . . . . . . . . . . . . . . . . . 178,013
85,994 Public Service Enterprise Corp. . . . . . . . . . 2,343,336
191,262 SBC Communications, Inc.. . . . . . . . . . . . . 9,897,809
31,010 Sonat, Inc. . . . . . . . . . . . . . . . . . . . 1,597,015
218,558 Southern Co.. . . . . . . . . . . . . . . . . . . 4,944,875
115,482 Sprint Corp.. . . . . . . . . . . . . . . . . . . 4,604,845
73,065 Texas Utilities Co. . . . . . . . . . . . . . . . 2,977,399
162,128 US West, Inc. - Communications Group. . . . . . . 5,228,628
194,228 US West, Inc. - Media Group (a) . . . . . . . . . 3,593,218
74,825 Unicom Corp.. . . . . . . . . . . . . . . . . . . 2,029,628
25,120 Union Electric Co.. . . . . . . . . . . . . . . . 967,120
---------------
138,303,766
---------------
TOTAL COMMON STOCKS (Cost $1,328,011,568) . . . . . . . . . . . $1,807,369,682
---------------
Principal
Amount
- ---------
SHORT-TERM INVESTMENTS - 1.77%
U.S. TREASURY BILLS - 1.77%
$4,053,000 5.30%, 1/23/97. . . . . . . . . . . . . . . . . . $ 4,041,510
1,545,000 4.98%, 3/6/97 (b) . . . . . . . . . . . . . . . . 1,531,643
22,197,000 5.17%, 4/3/97 . . . . . . . . . . . . . . . . . . 21,913,655
6,734,000 5.12%, 4/24/97. . . . . . . . . . . . . . . . . . 6,628,620
---------------
TOTAL SHORT-TERM INVESTMENTS (Cost $34,111,154). . . . . . . . . $ 34,115,428
---------------
TOTAL INVESTMENTS (Cost $1,362,122,722) - 95.65% . . . . . . . . $1,841,485,110
Other Assets Less Liabilities - 4.35%. . . . . . . . . . . . . 83,738,456
---------------
NET ASSETS - 100%. . . . . . . . . . . . . . . . . . . . . . . . $1,925,223,566
---------------
---------------
- --------------------
(a) Non-Income Producing Security.
(b) Held as collateral for futures contracts.
See Notes to Financial Statements on Pages 55 through 57
24
<PAGE>
- --------------------------------------------------------------------------------
EAFE EQUITY INDEX PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS DECEMBER 31, 1996
- --------------------------------------------------------------------------------
Shares Description Value
- ------ ----------- -----
COMMON STOCKS - 99.22%
AUSTRALIA - 2.79%
5,500 Amcor Ltd. (Packaging and Container). . . . . . . . $ 35,342
8,770 Boral Ltd. (Building Materials) . . . . . . . . . . 24,938
1,700 Brambles Industries Ltd. (Transportation) . . . . . 33,150
14,253 Broken Hill Proprietary Co. Ltd. (Metals) . . . . . 202,875
4,441 Coca-Cola Amatil Ltd. (Beverages) . . . . . . . . . 47,445
10,934 Coles Myer Ltd. (Retail). . . . . . . . . . . . . . 44,988
3,000 CRA Ltd. (Metals and Mining). . . . . . . . . . . . 47,062
6,700 CSR Ltd. (Building Materials) . . . . . . . . . . . 23,416
16,300 Foster's Brewing Group Ltd. (Brewery) . . . . . . . 33,015
12,400 General Property Trust (Real Estate). . . . . . . . 24,131
2,172 Gio Australia Holdings Ltd. (Insurance) . . . . . . 5,555
3,400 ICI Australia Ltd. (Chemicals). . . . . . . . . . . 36,863
1,676 Lend Lease Corp. Ltd. (Financial Services). . . . . 32,482
21,076 M.I.M. Holdings Ltd. (Metals and Mining) . . . . . 29,464
10,946 National Australia Bank (Financial Services) . . . 128,677
1,545 Newcrest Mining Ltd. (Metals and Mining). . . . . . 6,136
15,052 News Corporation (Services) . . . . . . . . . . . . 79,387
19,400 Normandy Mining Ltd. (Metals and Mining). . . . . . 26,812
8,100 Pacific Dunlop Ltd. (Holding Companies) . . . . . . 20,588
10,500 Pioneer International Ltd. (Building Materials) . . 31,276
2,800 Plutonic Resources Ltd. (Metals and Mining) . . . . 13,011
4,100 Santos Ltd. (Oil/Gas) . . . . . . . . . . . . . . . 16,609
4,401 Southcorp Holdings Ltd. (Holding Companies) . . . . 13,983
1,700 TABCORP Holdings Ltd. (Leisure Time). . . . . . . . 8,102
15,030 Westfield Trust Units (Real Estate) . . . . . . . . 28,413
14,200 Westpac Banking Corp. Ltd. (Banks). . . . . . . . . 80,758
8,319 WMC Ltd. (Metals and Mining). . . . . . . . . . . . 52,400
--------------
1,126,878
--------------
AUSTRIA - 0.39%
20 Bank Austria AG - New (Banks) (a) . . . . . . . . . 1,471
430 Bank Austria AG (Banks) . . . . . . . . . . . . . . 31,736
70 Boehler - Uddeholm AG (Steel) . . . . . . . . . . . 5,005
190 Creditanstalt - Bankverein (Banks). . . . . . . . . 12,848
60 EA - Generali AG (Insurance) . . . . . . . . . . . 17,713
100 Flughafen Wien AG (Transportation). . . . . . . . . 5,092
260 Oesterreichisch Elektrizitatswirtschafts
- A- AG (Verbundgesellschaft) (Utilities) . . . . 19,441
200 OMV AG (Oil/Gas). . . . . . . . . . . . . . . . . . 22,529
140 VA Technologies AG (Oil/Gas) . . . . . . . . . . . 21,950
90 Wienerberger Baustoffindustrie AG
(Building Materials) . . . . . . . . . . . . . . 17,436
--------------
155,221
--------------
BELGIUM - 1.24%
400 Delhaize-Le Lion, SA (Foods). . . . . . . . . . . . 23,737
400 Electrabel SA (Utilities) . . . . . . . . . . . . . 94,570
350 Fortis AG (Insurance) . . . . . . . . . . . . . . . 56,085
160 Generale de Banque SA (Banks) . . . . . . . . . . . 57,297
10 Generale de Banque-STRIP VVPR (Banks) . . . . . . . 6
250 Groupe Bruxelles Lambert SA (Financial Services). . 32,151
100 Kredietbank Belgium (Banks) . . . . . . . . . . . . 32,741
200 Petrofina SA (Oil/Gas). . . . . . . . . . . . . . . 63,593
150 Royale Belge (Insurance). . . . . . . . . . . . . . 30,931
100 Solvay SA - A (Terme) (Chemicals) . . . . . . . . . 61,153
100 Tractebel (Utilities) . . . . . . . . . . . . . . . 46,514
--------------
498,778
--------------
DENMARK - 0.88%
200 Carlsberg AS (Brewery). . . . . . . . . . . . . . . 13,494
200 Carlsberg AS (Brewery). . . . . . . . . . . . . . . 13,494
1 Dampskibsselskabet Svendborg AS (Transportation). . 37,465
508 Danisco AS (Food Processing). . . . . . . . . . . . 30,830
500 Den Danske Bank (Banks) . . . . . . . . . . . . . . 40,262
2 D/S 1912 -B (Transportation). . . . . . . . . . . . 51,365
100 FLS Industries AS - B (Engineering and
Construction) . . . . . . . . . . . . . . . . . . 12,799
300 Novo Nordisk AS (Biopharmaceuticals). . . . . . . . 56,451
126 Sophus Berendsen AS - B (Commercial Services) . . . 16,191
48 Sophus Berendsen AS (Diversified) . . . . . . . . . 6,184
996 Tele Danmark - B (Utilities). . . . . . . . . . . . 54,875
400 Unidanmark AS - A (Banks) . . . . . . . . . . . . . 20,682
--------------
354,092
--------------
FINLAND - 0.64%
200 Cultor OY 1 (Food Processing) . . . . . . . . . . . 10,848
1,100 Kemira Oy (Chemicals) . . . . . . . . . . . . . . . 13,842
500 Kesko (Retail). . . . . . . . . . . . . . . . . . . 7,041
7,000 Merita Ltd. - A (Banks) (a) . . . . . . . . . . . . 21,718
200 Metra Oy - A (Diversified). . . . . . . . . . . . . 11,239
1,300 Nokia AB - A (Telecommunications Equipment). . . . 75,253
900 Nokia AB - K (Telecommunications Equipment) . . . . 51,942
700 Outokumpu OY - A (Metals and Mining). . . . . . . . 11,922
100 Sampo Insurance Co. Ltd. - A Free (Insurance) . . . 7,876
100 Stockmann AB - A (Retail) . . . . . . . . . . . . . 6,075
2,000 UPM-Kymmene Corp. (Forest Products) (a) . . . . . . 41,875
--------------
259,631
--------------
FRANCE - 6.85%
302 Accor SA (Lodging). . . . . . . . . . . . . . . . . 38,165
1,263 Alcatel Alsthom (Telecommunications Equipment). . . 101,258
1,570 AXA (Insurance) . . . . . . . . . . . . . . . . . . 99,658
1,822 Banque Nationale de Paris (Banks) . . . . . . . . . 70,373
300 BIC (Manufacturing) . . . . . . . . . . . . . . . . 44,895
50 Bouygues (Property and Development) . . . . . . . . 5,174
252 Canal Plus (Broadcasting) . . . . . . . . . . . . . 55,550
275 Carrefour Supermarche (Retail). . . . . . . . . . . 178,580
150 Compagnie Bancaire SA (Financial Services). . . . . 17,716
713 Compagnie De Saint Gobain (Building Materials). . . 100,666
1,100 Compagnie de Suez SA (Financial Services) . . . . . 46,676
See Notes to Financial Statements on Pages 55 through 57
25
<PAGE>
- --------------------------------------------------------------------------------
EAFE EQUITY INDEX PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS DECEMBER 31, 1996
- --------------------------------------------------------------------------------
Shares Description Value
- ------ ----------- -----
1,059 Compagnie Financiere de Paribas - A
(Financial Services). . . . . . . . . . . . . . . $ 71,479
1,778 Compagnie Francaise de Petroleum
Total - B (Energy). . . . . . . . . . . . . . . . 144,325
1,050 Compagnie Generale des Eaux (Diversified) . . . . . 129,867
2,100 Elf Aquitaine (Energy). . . . . . . . . . . . . . . 190,781
200 Eridania Beghin-Say SA (Agriculture) . . . . . . . 32,123
600 Etablissements Economiques du Casino
Guichard-Perrachon (Foods). . . . . . . . . . . . 27,883
608 Groupe Danone (Food Processing) . . . . . . . . . . 84,555
509 Havas (Advertising) . . . . . . . . . . . . . . . . 35,638
617 LaFarge (Building Materials). . . . . . . . . . . . 36,945
400 Lagardere SCA (Diversified) . . . . . . . . . . . . 10,956
540 L'Air Liquide (Chemicals) . . . . . . . . . . . . . 84,135
200 LeGrand (Electronics) . . . . . . . . . . . . . . . 34,008
485 L'Oreal (Household Products). . . . . . . . . . . . 182,290
650 LVMH (Moet-Hennessy Louis Vuitton)
(Wine and Spirits). . . . . . . . . . . . . . . . 181,167
510 Lyonnaise des Eaux-Dumez (Diversified). . . . . . . 47,372
1,060 Michelin - B (Tire and Rubber). . . . . . . . . . . 57,110
600 Pernod Ricard (Beverages) . . . . . . . . . . . . . 33,123
200 Pinault-Printemps SA (Retail) . . . . . . . . . . . 79,172
200 Promodes (Retail) . . . . . . . . . . . . . . . . . 56,359
450 PSA Peugeot Citroen (Autos and Trucks). . . . . . . 50,550
2,381 Rhone - Poulenc - A (Chemicals) . . . . . . . . . . 81,018
858 Sanofi SA (Pharmaceuticals) . . . . . . . . . . . . 85,160
1,008 Schneider SA (Electronics). . . . . . . . . . . . . 46,514
100 Simco SA (Real Estate). . . . . . . . . . . . . . . 8,714
664 Societe Generale Paris (Banks). . . . . . . . . . . 71,652
1,450 Thomson CSF (Electronics) . . . . . . . . . . . . . 46,941
2,656 Union des Assurances de Paris (UAP) (Insurance) . . 66,160
500 Valeo SA (Auto Related) . . . . . . . . . . . . . . 30,776
--------------
2,765,484
--------------
GERMANY - 8.11%
430 Adidas AG (Consumer Goods). . . . . . . . . . . . . 37,110
170 Allianz AG Holdings (Insurance) . . . . . . . . . . 308,870
35 AMB Aachener & Muenchener Reteiligungs AG
(Insurance) . . . . . . . . . . . . . . . . . . . 24,982
4,625 BASF AG (Chemicals and Toxic Waste) . . . . . . . . 177,906
5,025 Bayer AG (Chemicals). . . . . . . . . . . . . . . . 204,769
2,010 Bayerische Hypotheken-und Wechsel-
Bank AG (Banks) . . . . . . . . . . . . . . . . . 60,714
1,835 Bayerische Vereinsbank AG (Banks) . . . . . . . . . 75,253
400 Beiersdorf AG (Cosmetics and Toiletries). . . . . . 19,752
3,880 Daimler Benz AG (Autos and Trucks) (a). . . . . . . 266,874
75 Degussa AG (Metals and Mining). . . . . . . . . . . 33,896
3,090 Deutsche Bank AG (Banks). . . . . . . . . . . . . . 144,164
3,250 Deutsche Lufthansa AG (Airlines). . . . . . . . . . 44,287
16,150 Deutsche Telekom (Telecommunications) (a) . . . . . 340,061
2,825 Dresdner Bank AG (Banks). . . . . . . . . . . . . . 84,506
300 Heidelberger Zement AG (Building and
Construction) . . . . . . . . . . . . . . . . . . 24,236
500 Hochtief AG (Engineering and Construction). . . . . 19,791
60 Karstadt AG (Retail). . . . . . . . . . . . . . . . 20,245
65 Linde AG (Machinery). . . . . . . . . . . . . . . . 39,647
55 MAN AG (Diversified). . . . . . . . . . . . . . . . 13,312
295 Mannesmann AG (Machinery) . . . . . . . . . . . . . 127,678
1,180 Merck KGAA (Pharmaceuticals). . . . . . . . . . . . 42,419
728 Metro AG (Retail) (a) . . . . . . . . . . . . . . . 58,576
65 Muenchener Rueckversicherungs-Gesellschaft
(Insurance) . . . . . . . . . . . . . . . . . . . 162,173
70 Preussag AG (Steel) . . . . . . . . . . . . . . . . 15,830
1,235 RWE AG P.N. (Oil/Gas) . . . . . . . . . . . . . . . 41,672
2,430 RWE AG (Oil/Gas). . . . . . . . . . . . . . . . . . 102,807
255 SAP AG - Vorzug (Software). . . . . . . . . . . . . 35,575
480 SAP AG (Systeme, Anwendungen, Produkte
in der Datenverarbeitung) (Software). . . . . . . 65,252
620 Schering AG (Pharmaceuticals) . . . . . . . . . . . 52,260
4,245 Siemens AG (Electrical Equipment) . . . . . . . . . 199,703
265 Thyssen AG (Steel). . . . . . . . . . . . . . . . . 46,944
3,680 VEBA AG (Oil/Gas) . . . . . . . . . . . . . . . . . 212,524
208 Viag AG (Metals and Mining) . . . . . . . . . . . . 81,521
220 Volkswagen (Consumer Goods) . . . . . . . . . . . . 91,363
--------------
3,276,672
HONG KONG - 3.75%
7,920 Bank of East Asia, Ltd. (Banks) . . . . . . . . . . 35,223
32,000 Cathay Pacific Airways (Transportation) . . . . . . 50,472
17,000 Cheung Kong Holdings, Ltd. (Real Estate). . . . . . 151,099
15,500 China Light & Power Co. Ltd. (Utilities). . . . . . 68,933
12,000 Hang Lung Development Co. (Real Estate) . . . . . . 26,374
14,200 Hang Seng Bank (Banks). . . . . . . . . . . . . . . 172,566
22,400 Hong Kong and China Gas Co. Ltd. (Utilities). . . . 43,294
83,600 Hong Kong Telecommunications
(Telecommunications). . . . . . . . . . . . . . . 134,560
13,000 Hong Kong & Shanghai Hotels Ltd. (Lodging). . . . . 24,538
38,000 Hopewell Holdings, Ltd. (Property and
Development). . . . . . . . . . . . . . . . . . . 24,564
26,000 Hutchison Whampoa Ltd. (Diversified). . . . . . . . 204,202
11,000 Hysan Development Co. Ltd. (Real Estate). . . . . . 43,801
14,077 New World Development Co. Ltd. (Real Estate). . . . 95,090
12,000 Shangri-Li Asia Ltd. (Hotel\Motel). . . . . . . . . 17,763
18,000 Sun Hung Kai Properties Ltd. (Real Estate). . . . . 220,491
12,500 Swire Pacific Ltd. "A" (Conglomerate) . . . . . . . 119,182
2,000 Television Broadcasts Ltd. (Broadcasting) . . . . . 7,990
15,000 Wharf Holdings Ltd. (Diversified) . . . . . . . . . 74,854
--------------
1,514,996
--------------
IRELAND - 0.30%
5,512 Allied Irish Banks Plc. (Banks) . . . . . . . . . . 36,570
3,366 CRH Plc. (Building Materials) . . . . . . . . . . . 34,751
1,305 Greencore Group Plc. (Foods). . . . . . . . . . . . 8,283
1,239 Independent Newspapers Plc. (Publishing). . . . . . 6,186
1,645 Irish Life Plc. (Insurance) . . . . . . . . . . . . 7,629
6,686 Jefferson Smurfit Group (Packaging and
Container). . . . . . . . . . . . . . . . . . . . 19,690
938 Kerry Group Plc. (Foods). . . . . . . . . . . . . . 9,525
--------------
122,634
--------------
See Notes to Financial Statements on Pages 55 through 57
26
<PAGE>
- --------------------------------------------------------------------------------
EAFE EQUITY INDEX PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS DECEMBER 31, 1996
- --------------------------------------------------------------------------------
Shares Description Value
- ------ ----------- -----
ITALY - 3.05%
7,024 Assicurazioni Generali (Insurance). . . . . . . . . $ 132,811
17,665 Banca Commerciale Italiana (Banks). . . . . . . . . 32,065
2,140 Benetton Group SPA (Textiles) . . . . . . . . . . . 27,009
21,925 Credito Italiano (Financial Services) . . . . . . . 24,023
4,281 Edison SPA (Utilities). . . . . . . . . . . . . . . 27,029
58,971 Ente Nazionale Idrocarburi SPA (Oil/Gas). . . . . . 301,933
9,413 Fiat SPA - Priveleged (Autos and Trucks). . . . . . 15,508
28,623 Fiat SPA (Autos and Trucks) . . . . . . . . . . . . 86,406
7,224 Istituto Bancario San Paolo di Torino (Banks) . . . 44,185
5,270 Istituto Mobiliare Italiano SPA (Financial
Services) . . . . . . . . . . . . . . . . . . . . 45,057
35,053 Istituto Nazionale delle Assicurazioni
(Insurance) . . . . . . . . . . . . . . . . . . . 45,554
5,851 Italgas SPA (Utilities) . . . . . . . . . . . . . . 24,378
9,628 Mediaset SPA (Television) (a) . . . . . . . . . . . 44,325
3,011 Mediobanca SPA (Financial Services) . . . . . . . . 16,209
45,111 Montedison SPA (Chemicals) (a). . . . . . . . . . . 30,677
19,672 Olivetti Group (Computers) (a). . . . . . . . . . . 6,922
9,197 Parmalat Finanziaria SPA (Financial Services) . . . 14,033
10,894 Pirelli SPA (Tire and Rubber) . . . . . . . . . . . 20,169
2,530 Riunione Adriatica di Sicurta SPA (Insurance) . . . 23,545
48,249 Telecom Italia Mobile SPA (Telecommunications). . . 121,693
11,255 Telecom Italia SPA (Telecommunications) . . . . . . 21,910
49,164 Telecom Italia SPA (Telecommunications) . . . . . . 127,396
--------------
1,232,837
--------------
JAPAN - 32.33%
2,000 Acom Company, Ltd. (Financial Services) . . . . . . 85,121
1,000 Advantest Corp. (Analytical Instruments &
Optical). . . . . . . . . . . . . . . . . . . . . 46,782
6,000 Ajinomoto Co. Inc. (Food Processing). . . . . . . . 60,998
3,000 Amada Co., Ltd. (Machinery) . . . . . . . . . . . . 23,262
17,000 Asahi Bank Ltd. (Banks) . . . . . . . . . . . . . . 150,857
5,000 Asahi Breweries Ltd. (Brewery). . . . . . . . . . . 51,693
12,000 Asahi Chemical Industry Co. Ltd. (Textiles) . . . . 67,821
10,000 Asahi Glass Co. Ltd. (Building Materials) . . . . . 93,909
34,200 Bank of Tokyo-Mitsubishi (Banks). . . . . . . . . . 633,497
8,000 Bank of Yokohama Ltd. (Banks) . . . . . . . . . . . 51,693
6,000 Bridgestone Corp. (Tire and Rubber) . . . . . . . . 113,724
6,000 Canon Inc.(Capital Equipment) . . . . . . . . . . . 132,334
3,000 Casio Computer Co. Ltd. (Electronics) . . . . . . . 23,158
6,000 Chiba Bank Ltd. (Banks) . . . . . . . . . . . . . . 40,837
4,000 Chichibu Onoda Cement Corp. (Building and
Construction) . . . . . . . . . . . . . . . . . . 16,990
4,000 Citizen Watch Co. (Jewelry) . . . . . . . . . . . . 28,603
7,000 Cosmo Oil Co. Ltd. (Oil/Gas). . . . . . . . . . . . 33,592
700 Credit Saison Co. Ltd. (Retail) . . . . . . . . . . 15,620
6,000 Dai Nippon Printing Co. Ltd.
(Publishing/Printing) . . . . . . . . . . . . . . 104,937
6,000 Daiei Inc. (Retail) . . . . . . . . . . . . . . . . 45,748
3,000 Daiichi Pharmaceutical (Pharmaceuticals). . . . . . 48,074
9,000 Dainippon Ink & Chemicals Inc. (Chemicals). . . . . 33,264
5,000 Daiwa House Industry (Industrial) . . . . . . . . . 64,185
11,000 Daiwa Securities Co. Ltd. (Financial Services). . . 97,61
29 East Japan Railway Co. (Transportation) . . . . . . 130,171
3,000 Ebara Corp. (Machinery) . . . . . . . . . . . . . . 39,028
2,000 Eisai Co. Ltd. (Pharmaceuticals). . . . . . . . . . 39,287
2,200 Fanuc (Electronics) . . . . . . . . . . . . . . . . 70,320
22,000 Fuji Bank Ltd. (Banks). . . . . . . . . . . . . . . 320,324
4,000 Fuji Photo Film (Chemicals) . . . . . . . . . . . . 131,645
5,000 Fujikura Ltd. (Electrical Equipment). . . . . . . . 39,976
1,000 Fujita Kanko Inc. (Hotel/Motel) . . . . . . . . . . 18,523
14,000 Fujitsu Ltd. (Computers). . . . . . . . . . . . . . 130,266
9,000 Furukawa Electric Co. (Metals). . . . . . . . . . . 42,569
6,000 Gunma Bank (Banks). . . . . . . . . . . . . . . . . 52,210
10,000 Hankyu Corp. (Railroads) (a). . . . . . . . . . . . 49,539
10,000 Hitachi Zosen Corp. (Iron and Steel). . . . . . . . 38,770
24,000 Hitachi Ltd. (Capital Equipment). . . . . . . . . . 223,314
7,000 Honda Motor Co. (Autos and Trucks). . . . . . . . . 199,621
1,000 House Foods Industry (Foods). . . . . . . . . . . . 16,111
1,000 Hoya Corp. (Glass Products) . . . . . . . . . . . . 39,200
2,000 INAX (Building and Construction). . . . . . . . . . 14,784
18,000 Industrial Bank of Japan (Banks). . . . . . . . . . 311,708
12,000 Itochu Corp. (Distribution/Wholesale) . . . . . . . 64,306
3,000 Ito-Yokado Co. Ltd. (Retail). . . . . . . . . . . . 130,266
12,000 Japan Air Lines (Transportation) (a). . . . . . . . 63,582
8,000 Japan Energy Corp. (Oil/Gas). . . . . . . . . . . . 21,711
4,000 Joyo Bank (Banks) . . . . . . . . . . . . . . . . . 24,054
3,000 JUSCO Co. (Retail). . . . . . . . . . . . . . . . . 101,577
9,000 Kajima Corp. (Engineering and Construction) . . . . 64,203
2,000 Kandenko Co. Ltd. (Engineering and Construction). . 18,954
7,400 Kansai Electric Power (Utilities) . . . . . . . . . 153,011
6,000 Kao Corp. (Household Products). . . . . . . . . . . 69,785
13,000 Kawasaki Heavy Industries (Engineering
and Construction) . . . . . . . . . . . . . . . . 53,649
24,000 Kawasaki Steel (Steel). . . . . . . . . . . . . . . 68,855
2,000 Kinden Corp. (Engineering and Construction) . . . . 25,329
13,000 Kinki Nippon Railway (Transportation) . . . . . . . 80,977
8,000 Kirin Brewery Co. Ltd. (Brewery). . . . . . . . . . 78,573
2,000 Kokuyo (Office Equipment and Computers) . . . . . . 49,281
9,000 Komatsu Ltd. (Machinery). . . . . . . . . . . . . . 73,662
13,000 Kubota Corp. (Machinery). . . . . . . . . . . . . . 62,609
11,000 Kumagai Gumi Co., Ltd. (Engineering and
Construction) . . . . . . . . . . . . . . . . . . 27,199
4,000 Kuraray Co. Ltd. (Textiles) . . . . . . . . . . . . 36,874
2,000 Kurita Water Industries (Capital Equipment) . . . . 40,321
2,000 Kyocera Corp. (Capital Equipment) . . . . . . . . . 124,408
3,000 Kyowa Hakko Kogyo (Chemicals and Toxic Waste) . . . 22,848
11,000 Marubeni Corp. (Distribution/Wholesale) . . . . . . 47,196
3,000 Marui Co., Ltd. (Retail). . . . . . . . . . . . . . 54,019
16,000 Matsushita Electric Industrial Co. (Electronics). . 260,532
5,000 Meiji Seika (Pharmaceuticals) . . . . . . . . . . . 25,890
17,000 Mitsubishi Chemicals (Chemicals). . . . . . . . . . 54,924
12,000 Mitsubishi Corp. (Distribution/Wholesale) . . . . . 124,063
17,000 Mitsubishi Electric Corp. (Capital Equipment) . . . 101,060
10,000 Mitsubishi Estate Co. Ltd. (Financial Services) . . 102,524
26,000 Mitsubishi Heavy Industry Ltd. (Aerospace). . . . . 206,083
See Notes to Financial Statements on Pages 55 through 57
27
<PAGE>
- --------------------------------------------------------------------------------
EAFE EQUITY INDEX PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS DECEMBER 31, 1996
- --------------------------------------------------------------------------------
Shares Description Value
- ------ ----------- -----
9,000 Mitsubishi Materials Corp. (Metals) . . . . . . . . $ 36,288
10,000 Mitsubishi Trust & Banking (Banks). . . . . . . . . 133,540
7,000 Mitsui Fudosan (Real Estate). . . . . . . . . . . . 69,958
7,000 Mitsui Marine & Fire Insurance (Insurance). . . . . 37,572
6,000 Mitsui O.S.K. (Transportation) (a). . . . . . . . . 14,319
10,000 Mitsui Tastsu Chemicals (Chemicals) . . . . . . . . 30,413
10,000 Mitsui Trust & Banking (Banks). . . . . . . . . . . 77,970
8,000 Mitsui & Co. (Distribution/Wholesale) . . . . . . . 64,788
4,000 Mitsukoshi Ltd. (Retail). . . . . . . . . . . . . . 28,328
2,000 Murata Manufacting Co. Ltd. (Electrical
Equipment). . . . . . . . . . . . . . . . . . . . 66,339
3,000 Mycal Corp. (Foods) . . . . . . . . . . . . . . . . 43,422
11,000 NEC Corp. (Electronics) . . . . . . . . . . . . . . 132,679
8,000 New OJI Paper Co.B363 Ltd. (Forest Products). . . . 50,521
2,000 Nichirei Corp. (Foods). . . . . . . . . . . . . . . 9,701
3,000 Nikon Corp. (Manufacturing) . . . . . . . . . . . . 37,219
8,000 Nippon Express Co. Ltd. (Trucking and Leasing). . . 54,726
2,000 Nippon Meat Packers (Food Processing) . . . . . . . 25,846
12,000 Nippon Oil Co. Ltd. (Oil/Gas) . . . . . . . . . . . 61,515
10,000 Nippon Paper Industries Co. (Forest Products) . . . 46,524
52,000 Nippon Steel Co. (Steel). . . . . . . . . . . . . . 153,218
12,000 Nippon Yusen Kabushiki Kaish (Transportation) . . . 54,174
7,000 Nippondenso Co. Ltd. (Electrical Equipment) . . . . 168,261
4,000 Nishimatsu Construction (Engineering
and Construction) . . . . . . . . . . . . . . . . 34,807
21,000 Nissan Motor Co. Ltd. (Autos and Trucks). . . . . . 121,582
2,000 Nisshinbo Industries (Textiles) . . . . . . . . . . 15,542
1,000 Nissin Food Products (Food Processing). . . . . . . 21,280
25,000 NKK Corp. (Steel) (a) . . . . . . . . . . . . . . . 56,216
14,000 Nomura Securities (Financial Services). . . . . . . 209,873
6,000 NSK Ltd. (Machinery). . . . . . . . . . . . . . . . 36,288
4,000 NTN Corp. (Metals and Mining) . . . . . . . . . . . 21,711
5,000 Obayashi Corp. (Capital Equipment). . . . . . . . . 33,687
7,000 Odakyu Electric Railway (Transportation). . . . . . 41,914
2,000 Olympus Optical Co. Ltd. (Medical Supplies) . . . . 18,954
2,000 Omron Corp. (Electronics) . . . . . . . . . . . . . 37,564
2,000 Onward Kashiyama Co. Ltd. (Textiles) . . . . . . . 28,087
21,000 Osaka Gas Co. (Utilities) . . . . . . . . . . . . . 57,353
1,000 Pioneer Electronic Corp.
(Telecommunications) (a). . . . . . . . . . . . . 19,040
1,000 Rohm Co. (Electronics). . . . . . . . . . . . . . . 65,478
25,000 Sakura Bank Ltd. (Banks). . . . . . . . . . . . . . 178,341
4,000 Sankyo Co. (Pharmaceuticals). . . . . . . . . . . . 113,035
15,000 Sanyo Electric Co. Ltd. (Electronics) . . . . . . . 62,032
1,000 Secom (Electronics) . . . . . . . . . . . . . . . . 60,395
800 Sega Enterprises (Toys) . . . . . . . . . . . . . . 26,880
4,000 Sekisui Chemical Co. (Chemicals). . . . . . . . . . 40,321
6,000 Sekisui House Ltd. (Manufactured Housing) . . . . . 60,998
8,000 Sharp Corp. (Electronics) . . . . . . . . . . . . . 113,724
7,000 Shimizu Corp. (Engineering and Construction). . . . 52,167
3,000 Shin-Etsu Chemical Co. (Chemicals). . . . . . . . . 54,536
3,000 Shiseido Co. Ltd. (Household Products). . . . . . . 34,634
8,000 Shizuoka Bank (Banks) . . . . . . . . . . . . . . . 84,776
12,000 Showa Denko K.K. (Chemicals) (a). . . . . . . . . . 27,501
1,000 SMC (Electrical Equipment). . . . . . . . . . . . . 67,115
3,000 Snow Brand Milk Products (Foods). . . . . . . . . . 16,929
2,800 Sony Corp. (Electronics). . . . . . . . . . . . . . 183,096
24,000 Sumitomo Bank (Banks) . . . . . . . . . . . . . . . 345,309
15,000 Sumitomo Chemical Co. (Chemicals) . . . . . . . . . 59,318
9,000 Sumitomo Corp. (Distribution/Wholesale) . . . . . . 70,793
6,000 Sumitomo Electric Industries (Electrical
Equipment). . . . . . . . . . . . . . . . . . . . 83,743
2,000 Sumitomo Forestry Co. (Forest Products) . . . . . . 24,296
5,000 Sumitomo Marine & Fire (Insurance) . . . . . . . . 31,016
23,000 Sumitomo Metal Industries (Steel) . . . . . . . . . 56,475
7,000 Sumitomo Metal Mining Co. (Metals and Mining) . . . 47,101
11,000 Taisei Corp. (Engineering and Construction) . . . . 56,862
3,000 Taisho Pharmaceutical (Pharmaceuticals) . . . . . . 70,561
4,000 Takashimaya Co. (Retail). . . . . . . . . . . . . . 47,902
7,000 Takeda Chemical Industries (Pharmaceuticals). . . . 146,550
7,000 Teijin Ltd. (Textiles). . . . . . . . . . . . . . . 30,516
7,000 Tobu Railway Co. Ltd. (Transportation). . . . . . . 34,195
100 Toho Co. (Entertainment). . . . . . . . . . . . . . 14,474
4,100 Tohoku Electric Power (Utilities) . . . . . . . . . 81,244
15,000 Tokai Bank (Banks). . . . . . . . . . . . . . . . . 156,371
12,000 Tokio Marine & Fire Insurance (Insurance) . . . . . 112,691
1,000 Tokyo Broadcasting System (Broadcasting). . . . . . 15,249
2,000 Tokyo Dome Corp. (Entertainment). . . . . . . . . . 34,807
9,900 Tokyo Electric Power (Utilities). . . . . . . . . . 216,645
1,000 Tokyo Electron Ltd. (Electronics) . . . . . . . . . 30,585
14,000 Tokyo Gas Co., Ltd. (Utilities) . . . . . . . . . . 37,874
10,000 Tokyu Corp. (Transportation). . . . . . . . . . . . 56,690
6,000 Toppan Printing Co. Ltd. (Publishing/Printing). . . 74,955
12,000 Toray Industries Inc. (Chemicals) . . . . . . . . . 73,921
2,000 Tostem Corp. (Building Materials) . . . . . . . . . 55,139
3,000 Toto Ltd. (Industrial). . . . . . . . . . . . . . . 34,117
2,000 Toyo Seikan Kaisha (Packaging and Container). . . . 48,074
8,000 Toyobo Ltd. (Textiles). . . . . . . . . . . . . . . 23,986
2,000 Toyoda Automatic Loom Works (Machinery) . . . . . . 37,391
27,000 Toyota Motor Corp. (Consumer Goods) . . . . . . . . 774,619
11,000 UBE Industries Ltd. (Chemicals) . . . . . . . . . . 31,085
1,000 Uny Co. Ltd. (Retail) . . . . . . . . . . . . . . . 18,265
1,000 Wacoal Corp. (Textiles) . . . . . . . . . . . . . . 11,028
1,000 Yamaha Corp. (Diversified). . . . . . . . . . . . . 16,973
9,000 Yamaichi Securities (Financial Services). . . . . . 39,933
5,000 Yamato Transport Co. Ltd. (Trucking and Leasing). . 51,693
2,000 Yamazaki Baking Co. Ltd. (Food Processing). . . . . 31,876
3,000 Yamonouchi Pharmaceutical (Pharmaceuticals) . . . . 61,515
4,000 Yasuda Trust & Banking (Banks). . . . . . . . . . . 16,921
--------------
13,059,938
--------------
See Notes to Financial Statements on Pages 55 through 57
28
<PAGE>
- --------------------------------------------------------------------------------
EAFE EQUITY INDEX PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS DECEMBER 31, 1996
- --------------------------------------------------------------------------------
Shares Description Value
- ------ ----------- -----
MALAYSIA - 2.60%
4,000 AMMB Holdings BHD (Banks) . . . . . . . . . . . . . $ 33,577
9,000 DCB Holdings BHD (Banks). . . . . . . . . . . . . . 30,826
2,000 Edaran Otomobil Nasional (Consumer Goods) . . . . . 19,996
3,000 Edran BHD (Holding Companies) . . . . . . . . . . . 12,592
13,000 Golden Hope Plantations BHD (Agriculture) . . . . . 22,134
3,000 Hume Industries (Malaysia) BHD
(Building Materials). . . . . . . . . . . . . . . 18,887
7,000 IOI BHD (Diversified) . . . . . . . . . . . . . . . 10,754
3,000 Jaya Tiasa Holdings (Materials) . . . . . . . . . . 15,918
8,000 Kuala Lumpur Kepong BHD (Agriculture) . . . . . . . 20,273
3,000 Land & General Holdings BHD (Holding Companies) . . 7,187
14,000 Magnum Corp. BHD (Entertainment). . . . . . . . . . 27,163
8,600 Malayan Banking BHD (Banks) . . . . . . . . . . . . 95,347
11,000 Malaysia International Shipping BHD
(Transportation). . . . . . . . . . . . . . . . . 32,667
10,000 Malaysian Airline System BHD (Transportation) . . . 25,935
6,000 Malaysian Resources Corp. BHD (Real Estate) . . . . 23,639
7,000 MBF Capital BHD (Financial Services). . . . . . . . 11,364
13,000 Multi-Purpose Holdings BHD (Diversified). . . . . . 25,222
2,000 Nestle (Malaysia) BHD (Food Processing) . . . . . . 16,076
4,000 Perusahaan Otomobil Nasional BHD (Autos
and Trucks) . . . . . . . . . . . . . . . . . . . 25,342
13,333 Public Bank BHD - Foreign Market (Banks). . . . . . 28,245
4,000 Rashid Hussain BHD (Financial Services) . . . . . . 26,450
10,000 Resorts World BHD (Entertainment) . . . . . . . . . 45,536
3,000 Rothmans of Pall Mall (Malaysia) BHD (Tobacco). . . 31,479
21,000 Sime Darby BHD (Holding Companies). . . . . . . . . 82,736
10,000 Technology Resources Industries BHD
(Telecommunications) (a). . . . . . . . . . . . . 19,719
15,000 Telekom Malaysia BHD (Telecommunications) . . . . . 133,637
25,000 Tenaga Nasional BHD (Utilities) . . . . . . . . . . 119,778
4,000 Time Engineering BHD (Diversified). . . . . . . . . 7,412
6,000 United Engineers Ltd. (Engineering and
Construction) (a) . . . . . . . . . . . . . . . . 54,167
4,500 YTL Corp. BHD (Engineering and Construction). . . . 24,233
--------------
1,048,291
--------------
NETHERLANDS - 4.72%
2,515 ABN Amro Holding NV (Banks) . . . . . . . . . . . . 163,421
604 Akzo Nobel (Chemicals). . . . . . . . . . . . . . . 82,405
5,389 Elsevier NV (Publishing/Printing) . . . . . . . . . 90,969
381 Heineken NV (Brewery) . . . . . . . . . . . . . . . 67,354
5,572 Internationale Nederlanden Groep NV
(Financial Services). . . . . . . . . . . . . . . 200,358
1,370 Koninklijke Ahold NV (Retail) . . . . . . . . . . . 85,536
76 Oce-Van Der Grinten NV (Office Equipment
and Computers). . . . . . . . . . . . . . . . . . 8,243
2,840 Philips Electronics NV (Electronics). . . . . . . . 114,927
3,903 Royal Dutch Petroleum Co. (Oil/Gas) . . . . . . . . 683,442
3,806 Royal PTT Nederland NV (Commercial Services). . . . 144,997
1,165 Unilever NV - CVA (Food Processing) . . . . . . . . 205,818
451 Wolters Kluwer - CVA (Publishing/Printing). . . . . 59,836
--------------
1,907,306
--------------
NEW ZEALAND - 0.36%
24,043 Brierley Investments Ltd. (Investment Companies). . 22,255
11,844 Carter Holt Harvey Ltd. (Forest Products) . . . . . 26,865
1,916 Fletcher Challenge Building (Building Materials). . 5,889
1,916 Fletcher Challenge Energy (Oil/Gas) . . . . . . . . 5,551
3,832 Fletcher Challenge Paper (Forest Products). . . . . 7,879
2,190 Lion Nathan Ltd. (Brewery). . . . . . . . . . . . . 5,246
13,742 Telecom Corp. of New Zealand Ltd.
(Telecommunications). . . . . . . . . . . . . . . 70,107
--------------
143,792
--------------
NORWAY - 0.54%
300 Aker ASA (Oil Equipment and Services) . . . . . . . 6,671
400 Bergesen d.y. ASA (Transportation). . . . . . . . . 9,772
6,350 Christiania Bank OG Kreditkasse
(Financial Services). . . . . . . . . . . . . . . 20,088
600 Hafslund ASA - A Shares (Utilities) . . . . . . . . 4,416
250 Kvaerner ASA (Engineering). . . . . . . . . . . . . 12,157
1,650 Norsk Hydro ASA (Energy). . . . . . . . . . . . . . 89,149
200 Norske Skogindustrier ASA (Paper) . . . . . . . . . 6,671
600 Nycomed ASA - A (Medical Supplies) (a). . . . . . . 9,162
400 Orkla ASA - A (Manufacturing) . . . . . . . . . . . 27,876
350 Petroleum Geo-Services ASA (Oil/Gas) (a). . . . . . 13,648
3,500 Storebrand ASA (Insurance) (a). . . . . . . . . . . 20,281
--------------
219,891
--------------
SINGAPORE - 1.28%
7,000 City Developments Ltd. (Real Estate). . . . . . . . 63,054
2,000 Cycle & Carriage Ltd. (Retail). . . . . . . . . . . 24,450
9,000 DBS Land Ltd. (Real Estate) . . . . . . . . . . . . 33,136
3,000 Development Bank of Singapore Ltd. (Banks). . . . . 40,535
2,000 Fraser & Neave Ltd. (Beverages) . . . . . . . . . . 20,589
5,000 Keppel Corp. Ltd. (Transportation). . . . . . . . . 38,962
4,418 Oversea-Chinese Banking Corp. Ltd. (Banks). . . . . 54,956
5,000 Singapore Airlines Ltd. (Transportation). . . . . . 45,396
2,000 Singapore Press Holdings Ltd. - Foreign
(Publishing/Printing) . . . . . . . . . . . . . . 39,462
4,000 Singapore Technologies Industrial Corp.
(Holding Companies) . . . . . . . . . . . . . . . 10,009
44,000 Singapore Telecommunications, Ltd. (Utilities). . . 103,803
12,000 United Industrial Corp. Ltd. (Diversified). . . . . 10,123
3,000 United Overseas Bank Ltd. (Banks) . . . . . . . . . 33,457
--------------
517,932
--------------
See Notes to Financial Statements on Pages 55 through 57
29
<PAGE>
- --------------------------------------------------------------------------------
EAFE EQUITY INDEX PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS DECEMBER 31, 1996
- --------------------------------------------------------------------------------
Shares Description Value
- ------ ----------- -----
SPAIN - 2.24%
98 Acerinox (Steel). . . . . . . . . . . . . . . . . . $ 14,134
2,096 Autopistas Concesionaria Espanola SA
(Engineering and Construction). . . . . . . . . . 28,844
1,785 Banco Bilbao Vizcaya (BBV) (Banks). . . . . . . . . 96,197
1,066 Banco Central Hispanoamericano (BCH) (Banks). . . . 27,331
1,120 Banco Santander SA (Banks). . . . . . . . . . . . . 71,553
776 Corporacion Bancaria de Espana SA (Banks) . . . . . 34,661
225 Corporacion Mapfre (Insurance). . . . . . . . . . . 13,682
2,098 Empresa Nacional de Electridad SA (Utilities) . . . 149,033
330 Gas Natural SDG (Utilities) . . . . . . . . . . . . 76,617
5,299 Iberdrola SA (Utilities). . . . . . . . . . . . . . 74,958
2,396 Repsol SA (Oil/Gas) . . . . . . . . . . . . . . . . 91,732
460 Sociedade General de Aguas de
Barcelona SA (Diversified). . . . . . . . . . . . 19,097
297 Tabacalera SA (Tobacco) . . . . . . . . . . . . . . 12,764
7,420 Telefonica de Espana (Telecommunications) . 171,988
2,023 Union Electrica Fenosa SA (Utility) . . . . . . . . 21,696
--------------
904,287
--------------
SWEDEN - 2.50%
650 ABB AB - A (Machinery). . . . . . . . . . . . . . . 73,301
100 ABB AB - B (Machinery). . . . . . . . . . . . . . . 11,307
800 AGA AB - A (Chemicals). . . . . . . . . . . . . . . 12,068
3,800 Astra AB - A (Pharmaceuticals). . . . . . . . . . . 187,551
900 Astra AB - B (Pharmaceuticals). . . . . . . . . . . 43,366
600 Atlas Copco AB - A (Machinery). . . . . . . . . . . 14,499
600 Autoliv AB (Auto Related) . . . . . . . . . . . . . 26,274
800 Electrolux AB - B (Furniture) . . . . . . . . . . . 46,397
300 Hennes & Mauritz AB - B (Retail). . . . . . . . . . 41,476
300 Securitas AB (Commercial Services). . . . . . . . . 8,722
300 Skandia Forsakrings AB (Insurance). . . . . . . . . 8,480
4,800 Skandinaviska Enskilda Banken (Banks) . . . . . . . 49,209
1,200 Skanska AB (Engineering). . . . . . . . . . . . . . 52,988
1,000 Stadshypotek AB (Banks) . . . . . . . . . . . . . . 27,387
2,500 Stora Kopparbergs Bergslags Aktiebolag
(Forest Products) . . . . . . . . . . . . . . . . 34,417
1,700 Svenska Cellulosa AB (Forest Products). . . . . . . 34,483
1,600 Svenska Handelsbanken - A Shares (Banks). . . . . . 45,929
1,900 Swedish Match AB (Tobacco) (a). . . . . . . . . . . 6,678
7,000 Telefonakiebolaget LM Ericsson - B Shares
(Telecommunications). . . . . . . . . . . . . . . 216,315
600 Volvo AB - A (Autos and Trucks) . . . . . . . . . . 13,093
2,600 Volvo AB - B (Autos and Trucks) . . . . . . . . . . 57,308
--------------
1,011,248
--------------
SWITZERLAND - 5.66%
70 ABB AG - Bearer (Machinery) . . . . . . . . . . . . 86,796
150 Adecco SA (Commercial Services) . . . . . . . . . . 37,534
25 Alusuisse-Lonza Holding AG (Holding Companies). . . 19,865
1,400 CS Holding AG (Banks) . . . . . . . . . . . . . . . 143,357
50 Holderbank Financiere Glaris AG - B Shares
(Building Materials). . . . . . . . . . . . . . . 35,597
280 Nestle SA (Food). . . . . . . . . . . . . . . . . . 299,643
509 Novartis AG (Medical) (a) . . . . . . . . . . . . . 580,560
12 Roche Holding AG - Bearer (Pharmaceuticals) . . . . 134,942
50 Roche Holding AG - Genusschine (Pharmaceuticals). . 387,809
100 Schweizerische Bankgesellschaft (Banks) . . . . . . 17,538
170 Schweizerische Bankgesellschaft (Banks) . . . . . . 148,503
120 Schweizerische Rueckversicherungs-
Gesellschaft (Insurance) . . . . . . . . . . . . 127,703
550 Schweizerischer Bankverein (Banks). . . . . . . . . 104,241
15 SGS Societe Generale de Surveillance
Holding SA (Commercial Services). . . . . . . . . 36,752
100 Societe Suisse pour la Microelectronique
et l'Horlogerie (Jewelry) . . . . . . . . . . . . 14,224
25 Sulzer AG (Manufacturing) . . . . . . . . . . . . . 14,392
350 Zurich Versicherungsgesellschaft (Insurance). . . . 96,962
--------------
2,286,418
--------------
UNITED KINGDOM - 18.99%
11,511 Abbey National Plc. (Banks) . . . . . . . . . . . . 150,696
2,434 Anglian Water Plc. (Utilities). . . . . . . . . . . 24,575
7,298 Associated British Foods Plc. (Food Processing) . . 60,510
10,869 Barclays Plc. (Banks) . . . . . . . . . . . . . . . 186,094
7,153 Bass Plc. (Brewery) . . . . . . . . . . . . . . . . 100,498
2,195 BBA Group Plc. (Auto Related) . . . . . . . . . . . 13,297
9,129 Blue Circle Industries Plc. (Building Materials). . 55,460
4,186 BOC Group Plc. (Chemicals) . . . . . . . . . . . . 62,573
7,229 Boots Co. Plc. (Retail) . . . . . . . . . . . . . . 74,535
3,989 BPB Plc. (Paper). . . . . . . . . . . . . . . . . . 26,179
3,455 British Aerospace Plc. (Aerospace). . . . . . . . . 75,681
7,789 British Airways Plc. (Transportation) . . . . . . . 80,709
33,849 British Gas Plc. (Utilities). . . . . . . . . . . . 130,043
4,663 British Land Co. Plc. (Real Estate) . . . . . . . . 41,256
41,568 British Petroleum Co. Plc. (Oil/Gas). . . . . . . . 498,303
13,466 British Sky Broadcasting Group Plc.
(Broadcasting). . . . . . . . . . . . . . . . . . 120,292
17,866 British Steel Plc. (Steel) . . . . . . . . . . . . 49,071
44,594 British Telecommunications Plc.
(Telecommunications) . . . . . . . . . . . . . . 301,058
28,729 BTR Plc. (Holding Companies). . . . . . . . . . . . 139,625
1,724 Burmah Castrol Plc. (Oil/Gas) . . . . . . . . . . . 32,483
22,908 B.A.T. Industries Plc. (Tobacco). . . . . . . . . . 189,936
18,038 Cable & Wireless Plc. (Telecommunications). . . . . 149,866
7,823 Cadbury Schweppes Plc. (Beverages). . . . . . . . . 65,933
2,304 MB Caradon Group Plc. (Holding Companies) . . . . . 9,423
5,405 Carlton Communications Plc. (Broadcasting). . . . . 47,589
5,308 Commercial Union Plc. (Insurance) . . . . . . . . . 62,086
1,317 Electrocomponents Plc. (Electronics). . . . . . . . 10,412
3,496 EMI Group Plc. (Entertainment). . . . . . . . . . . 82,561
20,903 General Electric Co. Plc. (Electronics) . . . . . . 136,646
3,322 GKN Plc. (Auto Related) . . . . . . . . . . . . . . 56,906
26,026 Glaxo Wellcome Plc. (Pharmaceuticals) . . . . . . . 422,223
See Notes to Financial Statements on Pages 55 through 57
30
<PAGE>
- --------------------------------------------------------------------------------
EAFE EQUITY INDEX PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS DECEMBER 31, 1996
- --------------------------------------------------------------------------------
Shares Description Value
- ------ ----------- -----
7,304 Granada Group Plc. (Leisure Time) . . . . . . . . . $ 107,682
16,028 Grand Metropolitan Plc. (Wine and Spirits). . . . . 125,898
8,933 Great Universal Stores Plc. (Retail). . . . . . . . 93,557
14,758 Guiness Plc. (Wine and Spirits) . . . . . . . . . . 115,543
50,551 Hanson Plc. (Holding Companies) . . . . . . . . . . 70,504
6,973 HSBC Holdings Plc. (75P) (Banks). . . . . . . . . . 155,844
13,564 HSBC Holdings Plc. ($HK10) (Banks). . . . . . . . . 295,258
6,240 Imperial Chemical Industries Plc. (Chemicals) . . . 82,064
14,129 J. Sainsbury Plc. (Retail). . . . . . . . . . . . . 93,814
5,034 Kingfisher Plc. (Retail) . . . . . . . . . . . . . 54,402
3,926 Land Securities Plc. (Real Estate). . . . . . . . . 49,986
12,660 Legal & General Group Plc. (Insurance). . . . . . . 80,594
38,737 Lloyds TSB Group Plc. (Banks) . . . . . . . . . . . 285,381
13,587 LucasVarity Plc. (Auto Related) (a) . . . . . . . . 51,734
20,729 Marks & Spencer Plc. (Retail) . . . . . . . . . . . 174,175
2,300 MEPC Plc. (Property and Development). . . . . . . . 17,043
2,082 Mercury Asset Management Group Plc.
(Financial Services). . . . . . . . . . . . . . . 44,305
13,648 National Grid Group Plc. (Utilities). . . . . . . . 45,661
10,367 National Power Plc. (Utilities) . . . . . . . . . . 86,754
3,351 Pearson Plc. (Publishing) . . . . . . . . . . . . . 42,981
5,038 Peninsular and Oriental Steam Navigation
Company (Transportation). . . . . . . . . . . . . 50,867
5,737 Pilkington Plc. (Building Materials). . . . . . . . 15,365
14,522 Prudential Corp. Plc. (Insurance) . . . . . . . . . 122,145
3,362 Railtrack Group Plc. (Transportation) . . . . . . . 22,294
7,755 Rank Group Plc. (Entertainment) . . . . . . . . . . 57,796
5,705 Redland Plc. (Building and Construction). . . . . . 35,781
4,621 Reed International Plc. (Publishing/Printing) . . . 87,106
12,529 Reuters Holdings Plc. (Publishing/Printing) . . . . 161,128
4,236 Rexam Plc. (Packaging & Container). . . . . . . . . 26,133
1,863 RMC Group Plc. (Building Materials) . . . . . . . . 31,802
11,697 Rolls-Royce Plc. (Aerospace). . . . . . . . . . . . 51,544
2,748 Royal Bank of Scotland Group Plc. (Banks) . . . . . 26,499
13,268 Royal & Sun Alliance Insurance Group Plc.
(Insurance) . . . . . . . . . . . . . . . . . . . 100,926
8,525 RTZ Corp. Plc. (Metals and Mining). . . . . . . . . 136,624
10,533 Safeway Plc. (Retail) . . . . . . . . . . . . . . . 72,822
1,000 Schroders Plc. (Banks). . . . . . . . . . . . . . . 25,926
10,893 Scottish Power Plc. (Utilities) . . . . . . . . . . 65,617
5,245 Scottish & Newcastle Plc. (Brewery) . . . . . . . . 61,619
20,396 Smithkline Beecham Plc. (Pharmaceuticals) . . . . . 282,545
1,074 Smiths Industries Plc. (Aerospace). . . . . . . . . 14,722
2,636 Taylor Woodrow Plc. (Property and Development). . . 6,947
17,572 Tesco Plc. (Retail) . . . . . . . . . . . . . . . . 106,602
4,828 Thames Water Plc. (Utilities) . . . . . . . . . . . 50,606
2,756 Thorn Plc. (Entertainment) (a). . . . . . . . . . . 11,862
3,823 TI Group Plc. (Property and Development). . . . . . 38,076
6,089 Unilever Plc. (Food). . . . . . . . . . . . . . . . 147,601
3,908 United Utilities Plc. (Utilities) . . . . . . . . . 41,531
19,560 Vodafone Group Plc. (Telecommunications). . . . . . 82,511
4,342 Wolseley Plc. (Building Materials) . . . . . . . . 34,329
6,118 Zeneca Group Plc. (Pharmaceuticals) . . . . . . . . 172,489
--------------
7,671,514
--------------
TOTAL COMMON STOCKS (Cost $38,480,176) . . . . . . . . . . . . . $ 40,077,840
--------------
Shares Description Value
- ------ ----------- -----
OTHER SECURITIES - 0.00%
HONG KONG - 0.00%
1,200 Hong Kong and China Gas Co. Ltd. Rights
(Utilities) . . . . . . . . . . . . . . . . . . . $ 667
--------------
SPAIN - 0.00%
460 General de Aguas D'Barcelona Rights
(Diversified) . . . . . . . . . . . . . . . . . . 223
--------------
TOTAL OTHER SECURITIES (Cost $0) . . . . . . . . . . . . . . . . $ 890
--------------
PREFERRED STOCK CONVERTIBLE - 0.09%
AUSTRALIA - 0.09%
8,293 News Corporation Voting Preferred Shares
(Consumer Services) (Cost $39,104). . . . . . . . $ 36,888
--------------
Principal
Amount
- ---------
SHORT TERM INVESTMENTS - 4.34%
U.S. TREASURY BILLS - 4.34%
$ 45,000 5.01%, 1/2/97 (b) . . . . . . . . . . . . . . . . . $ 44,995
1,710,000 5.36%, 1/16/97 (c). . . . . . . . . . . . . . . . . 1,706,649
--------------
TOTAL SHORT TERM INVESTMENTS (Cost $1,751,644) . . . . . . . . . $ 1,751,644
--------------
TOTAL INVESTMENTS (Cost $40,270,924) - 103.65% . . . . . . . . . $ 41,867,262
Liabilities in Excess of Other Assets - 3.65%. . . . . . . . . . 1,475,423
--------------
NET ASSETS - 100.00% . . . . . . . . . . . . . . . . . . . . . . $ 40,391,839
--------------
--------------
- --------------------
(a) Non-Income Producing Security.
(b) Held as collateral for futures contracts.
(c) $80,000 of par value held as collateral for future contracts.
Industry Diversification (as a percentage of Total Investments)
INDUSTRY % OF MARKET VALUE
Banks 14.75%
Chemicals 3.08
Consumer goods 2.20
Electronics 4.91
Financial services 3.03
Insurance 4.31
Oil/gas 5.13
Other 35.69*
Pharmaceuticals 5.08
Real estate 2.10
Retail 4.10
Telecommunications 4.56
Transportation 2.29
U.S. Government 4.18
Utilities 4.59
-------
100.00%
-------
-------
* No one industry represents more than 2% of Portfolio Holdings
See Notes to Financial Statements on Pages 55 through 57
31
<PAGE>
- --------------------------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS DECEMBER 31, 1996
- --------------------------------------------------------------------------------
Shares Description Value
- ------ ----------- -----
COMMON STOCKS - 96.69%
ADVERTISING - 0.25%
1,900 Catalina Marketing Corp. (a). . . . . . . . . . . . $ 104,738
600 Eagle River Interactive, Inc. (a) . . . . . . . . . 4,725
625 Ha-Lo Industries, Inc. (a). . . . . . . . . . . . . 17,187
600 May & Speh, Inc. (a). . . . . . . . . . . . . . . . 7,350
1,200 National Media Corp. (a). . . . . . . . . . . . . . 8,400
2,900 True North Communications . . . . . . . . . . . . . 63,438
--------------
205,838
--------------
AEROSPACE - 0.80%
2,400 AAR Corp. . . . . . . . . . . . . . . . . . . . . . 72,600
1,000 Alliant Techsystems, Inc. (a) . . . . . . . . . . . 55,000
1,300 BE Aerospace, Inc. (a) . . . . . . . . . . . . . . 35,262
6,600 Coltec Industries (a) . . . . . . . . . . . . . . . 124,575
2,300 Fairchild Corp. (a). . . . . . . . . . . . . . . . 33,925
600 Kaman Corp., Cl. A . . . . . . . . . . . . . . . . 7,800
2,300 OEA, Inc. . . . . . . . . . . . . . . . . . . . . . 105,225
4,100 Orbital Sciences Corp. (a). . . . . . . . . . . . . 70,725
3,300 Rohr, Inc. (a). . . . . . . . . . . . . . . . . . . 74,663
1,700 Thiokol Corp. . . . . . . . . . . . . . . . . . . . 76,075
--------------
655,850
--------------
AGRICULTURE - 0.07%
1,900 Delta & Pine Land Co. . . . . . . . . . . . . . . . 60,800
--------------
AIRLINES - 0.13%
3,400 Atlantic Southeast Airlines, Inc. . . . . . . . . . 74,375
4,300 Mesa Air Group, Inc. (a). . . . . . . . . . . . . . 29,025
--------------
103,400
--------------
APPAREL & TEXTILES - 1.27%
3,400 Authentic Fitness Corp. . . . . . . . . . . . . . . 40,800
2,000 Brown Group, Inc. . . . . . . . . . . . . . . . . . 36,750
13,000 Charming Shoppes, Inc. (a). . . . . . . . . . . . . 65,813
500 Donnkenny, Inc. (a) . . . . . . . . . . . . . . . . 2,313
100 GC Companies, Inc. (a) . . . . . . . . . . . . . . 3,462
4,100 Genesco, Inc. (a) . . . . . . . . . . . . . . . . . 37,925
3,200 Interface, Inc. . . . . . . . . . . . . . . . . . . 64,400
3,400 Kellwood Co.. . . . . . . . . . . . . . . . . . . . 68,000
1,700 Land's End, Inc. (a). . . . . . . . . . . . . . . . 45,050
200 Marisa Christina, Inc. (a). . . . . . . . . . . . . 1,650
3,900 Nautica Enterprises, Inc. (a) . . . . . . . . . . . 98,475
300 Oshkosh B'Gosh, Inc., Cl. A . . . . . . . . . . . . 4,575
1,500 Phillips-Van Heusen Corp. . . . . . . . . . . . . . 21,562
700 Quiksilver, Inc. (a). . . . . . . . . . . . . . . . 14,962
2,700 Ross Stores, Inc. . . . . . . . . . . . . . . . . . 135,000
1,400 St. Johns Knits, Inc. . . . . . . . . . . . . . . . 60,900
1,400 Spring Industries, Cl. A. . . . . . . . . . . . . . 60,200
1,200 Starter Corp. (a) . . . . . . . . . . . . . . . . . 6,900
7,100 Stride Rite Corp. . . . . . . . . . . . . . . . . . 71,000
800 Timberland Co., Cl. A (a) . . . . . . . . . . . . . 30,400
1,400 Westpoint Stevens, Inc. (a) . . . . . . . . . . . . 41,825
1,000 Wet Seal Inc., Cl. A (a). . . . . . . . . . . . . . 21,375
3,850 Wolverine World Wide, Inc.. . . . . . . . . . . . . 111,650
--------------
1,044,987
--------------
AUTO RELATED - 1.60%
500 Advanced Lighting Techs (a) . . . . . . . . . . . . 12,125
1,400 APS Holding Corp., Cl. A (a). . . . . . . . . . . . 21,700
1,700 Arvin Industries, Inc.. . . . . . . . . . . . . . . 42,075
900 BMC West Corp. (a). . . . . . . . . . . . . . . . . 11,025
1,100 Borg-Warner Automotive, Inc.. . . . . . . . . . . . 42,350
2,000 Breed Technologies, Inc.. . . . . . . . . . . . . . 52,000
400 Dart Group Corp., Cl. A . . . . . . . . . . . . . . 37,200
200 Detroit Diesel Corp. (a). . . . . . . . . . . . . . 4,600
1,600 Exide Corp. . . . . . . . . . . . . . . . . . . . . 36,800
3,200 Federal-Mogul Corp. . . . . . . . . . . . . . . . . 70,400
3,100 Intermet Corp.. . . . . . . . . . . . . . . . . . . 49,987
2,300 Kaydon Corp.. . . . . . . . . . . . . . . . . . . . 108,387
4,900 Mascotech, Inc. . . . . . . . . . . . . . . . . . . 80,237
1,050 Miller Industries Inc.-Tenn . . . . . . . . . . . . 21,000
3,200 Modine Manufacturing Co.. . . . . . . . . . . . . . 85,600
500 Myers Industries, Inc.. . . . . . . . . . . . . . . 8,438
1,100 O'Reilly Automotive, Inc. (a) . . . . . . . . . . . 35,200
3,900 Polaris Industries, Inc.. . . . . . . . . . . . . . 92,625
3,600 Simpson Industries. . . . . . . . . . . . . . . . . 39,206
1,700 Smith Corp. . . . . . . . . . . . . . . . . . . . . 50,788
1,300 SPX Corp. . . . . . . . . . . . . . . . . . . . . . 50,375
1,600 Standard Products Co. . . . . . . . . . . . . . . . 40,800
1,300 Stant Corp. . . . . . . . . . . . . . . . . . . . . 20,475
3,000 Stewart & Stevenson Services, Inc.. . . . . . . . . 87,375
1,600 Superior Industries International, Inc. . . . . . . 37,000
1,200 TBC Corp. (a) . . . . . . . . . . . . . . . . . . . 9,000
900 Titan Wheel Intl., Inc. . . . . . . . . . . . . . . 11,475
1,500 Top Source Technologies, Inc. (a) . . . . . . . . . 3,750
1,000 Tower Automotive, Inc. (a). . . . . . . . . . . . . 31,250
3,000 Wabash National Corp. . . . . . . . . . . . . . . . 55,125
800 Walbro Corp.. . . . . . . . . . . . . . . . . . . . 14,600
1,700 Wynn's International, Inc.. . . . . . . . . . . . . 53,762
--------------
1,316,730
--------------
BANKS -1.52%
1 Bank of Boston Corp.. . . . . . . . . . . . . . . . 64
300 Carolina First Corp.. . . . . . . . . . . . . . . . 5,813
3,100 Collective Bancorp, Inc.. . . . . . . . . . . . . . 108,887
2,600 Dauphin Deposit Corp. . . . . . . . . . . . . . . . 85,800
3,800 First Commonwealth Financial Corp.. . . . . . . . . 70,775
2,670 First Financial Bancorp . . . . . . . . . . . . . . 86,775
1,800 First Hawaiian, Inc.. . . . . . . . . . . . . . . . 63,000
699 First Union Corp. . . . . . . . . . . . . . . . . . 51,726
5,000 Fulton Financial Corp.. . . . . . . . . . . . . . . 107,500
1,800 ML Bancorp, Inc.. . . . . . . . . . . . . . . . . . 25,425
800 National Bancorp of Alaska, Inc.. . . . . . . . . . 54,800
3,700 Old National Bancorp. . . . . . . . . . . . . . . . 145,225
1,500 Peoples First Corp. . . . . . . . . . . . . . . . . 38,250
700 Pikeville National Corp . . . . . . . . . . . . . . 17,150
3,200 Riggs National Corp. Washington DC. . . . . . . . . 55,200
5,500 Roosevelt Financial Group, Inc. . . . . . . . . . . 115,500
1,400 S & T Bancorp, Inc. . . . . . . . . . . . . . . . . 43,050
1,900 Trust Company of N.J. . . . . . . . . . . . . . . . 26,600
2,400 Vallicorp Holdings, Inc.. . . . . . . . . . . . . . 48,900
3,700 Washington Federal, Inc.. . . . . . . . . . . . . . 98,050
--------------
1,248,490
--------------
See Notes to Financial Statements on Pages 55 through 57
32
<PAGE>
- --------------------------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS DECEMBER 31, 1996
- --------------------------------------------------------------------------------
Shares Description Value
- ------ ----------- -----
BEVERAGES - 0.11%
3,500 Coors (Adolph), Cl. B . . . . . . . . . . . . . . . $ 66,500
700 Robert Mondavi Corp., Cl. A (a) . . . . . . . . . . 25,550
--------------
92,050
--------------
BIOPHARMACEUTICALS - 0.80%
3,200 Amerisource Health Corp., Cl. A (a) . . . . . . . . 154,400
1,700 Amylin Pharmaceuticals, Inc. (a). . . . . . . . . . 22,100
400 Aphton Corp. (a). . . . . . . . . . . . . . . . . . 7,800
1,100 Immunex Corp. (a) . . . . . . . . . . . . . . . . . 21,450
1,100 Incyte Pharmaceuticals, Inc. (a). . . . . . . . . . 56,650
4,500 Liposome Company, Inc. (a). . . . . . . . . . . . . 86,062
4,600 Nabi, Inc. (a). . . . . . . . . . . . . . . . . . . 40,250
3,900 NeXstar Pharmaceuticals, Inc. (a) . . . . . . . . . 58,500
1,700 Protein Design Labs, Inc. (a) . . . . . . . . . . . 62,050
800 Roberts Pharmaceutical Corp. (a). . . . . . . . . . 9,000
3,100 Somatogen, Inc. (a) . . . . . . . . . . . . . . . . 34,100
2,600 Vertex Pharmaceuticals, Inc. (a). . . . . . . . . . 104,650
--------------
657,012
--------------
BREWERY - 0.14%
3,000 Boston Beer Co., Inc., Cl. A (a). . . . . . . . . . 30,750
1,700 Canadaigua Wine Co., Cl. B (a). . . . . . . . . . . 56,950
4,500 Pepsi-Cola Puerto Rico Bottling Co. (a) . . . . . . 18,000
800 Pete's Brewing Co. (a). . . . . . . . . . . . . . . 6,400
--------------
112,100
--------------
BROADCASTING - 1.22%
1,300 Ackerley Communications, Inc. . . . . . . . . . . . 15,275
1,700 Advo, Inc.. . . . . . . . . . . . . . . . . . . . . 23,800
900 American Telecasting, Inc. (a). . . . . . . . . . . 5,175
1,900 Argyle Television, Inc., Cl. A (a). . . . . . . . . 46,550
500 BET Holdings, Inc., Cl. A (a) . . . . . . . . . . . 14,375
5,600 Century Communications, Cl. A (a) . . . . . . . . . 31,850
1,600 Chancellor Broadcasting, Cl. A (a). . . . . . . . . 38,000
4,350 Evergreen Media Corp., Cl. A (a). . . . . . . . . . 108,750
1,100 Heartland Wireless Communications, Inc. (a) . . . . 14,437
1,100 Heftel Broadcasting Corp., Cl. A (a). . . . . . . . 34,650
2,800 Heritage Media Corp., Cl. A (a) . . . . . . . . . . 31,500
1,106 HSN, Inc. (a) . . . . . . . . . . . . . . . . . . . 26,267
4,300 International Family Entertainment, Cl. B (a) . . . 66,650
300 Jacor Communications, Inc. (a). . . . . . . . . . . 8,213
3,800 Jones Intercable, Inc. (a). . . . . . . . . . . . . 40,375
1,200 Katz Media Group (a). . . . . . . . . . . . . . . . 13,500
1,000 Lin Television (a). . . . . . . . . . . . . . . . . 42,250
600 Paxson Communications Corp. (a) . . . . . . . . . . 4,725
2,000 Renaissance Communications Corp. (a). . . . . . . . 71,500
700 SFX Broadcasting, Inc., Cl. A (a) . . . . . . . . . 20,825
3,600 Spelling Entertainment Group (a). . . . . . . . . . 26,550
2,600 TCA Cable TV, Inc.. . . . . . . . . . . . . . . . . 78,325
5,400 United International Holdings, Cl. A (a). . . . . . 66,150
500 United Television, Inc. . . . . . . . . . . . . . . 43,063
900 United Video Satellite Grp., Cl. A (a). . . . . . . 15,750
4,200 Westwood One, Inc. (a). . . . . . . . . . . . . . . 69,825
1,400 Young Broadcasting Corp., Cl. A (a) . . . . . . . . 40,950
--------------
999,280
--------------
BUILDING - FOREST PRODUCTS - 0.05%
3,100 Kaufman & Broad Home Corp. . . . . . . . . . . . . 39,913
BUILDING & CONSTRUCTION - 1.73%
800 ABT Building Products Corp. (a) . . . . . . . . . . 20,000
200 Butler MFG Co.. . . . . . . . . . . . . . . . . . . 8,100
3,300 Calmat Co.. . . . . . . . . . . . . . . . . . . . . 61,875
2,000 Carlisle Companies, Inc.. . . . . . . . . . . . . . 121,000
1,100 Centex Construction Products. . . . . . . . . . . . 19,800
3,900 Centex Corp.. . . . . . . . . . . . . . . . . . . . 146,737
300 Dravo Corp. (a) . . . . . . . . . . . . . . . . . . 4,237
1,700 Elcor Corp. . . . . . . . . . . . . . . . . . . . . 36,338
900 Falcon Building Products, Cl. A (a) . . . . . . . . 13,275
1,400 Fibreboard Corp. (a). . . . . . . . . . . . . . . . 47,250
700 Florida Rock Inds.. . . . . . . . . . . . . . . . . 22,925
600 Hughes Supply Co. . . . . . . . . . . . . . . . . . 25,875
1,600 Insituform Technologies, Cl. A (a) . . . . . . . . 11,800
2,500 Kennemetal, Inc.. . . . . . . . . . . . . . . . . . 97,188
3,800 Lennar Corp.. . . . . . . . . . . . . . . . . . . . 103,550
1,800 Lone Star Industries, Inc.. . . . . . . . . . . . . 66,375
2,300 Medusa Corp.. . . . . . . . . . . . . . . . . . . . 79,062
1,200 NCI Building Systems, Inc. (a). . . . . . . . . . . 41,400
300 NVR, Inc. (a) . . . . . . . . . . . . . . . . . . . 3,900
1,100 Palm Harbor Homes, Inc. (a) . . . . . . . . . . . . 30,800
2,400 Ply-Gem Industries, Inc.. . . . . . . . . . . . . . 29,700
500 Puerto Rican Cement Co., Inc. . . . . . . . . . . . 15,625
3,000 Ryland Group, Inc.. . . . . . . . . . . . . . . . . 41,250
600 Simpson Manufacturing Co., Inc. (a) . . . . . . . . 13,800
1,800 Skyline Corp. . . . . . . . . . . . . . . . . . . . 44,550
2,400 Southdown, Inc. . . . . . . . . . . . . . . . . . . 74,700
300 Southern Energy Homes, Inc. (a). . . . . . . . . . 3,450
900 Texas Industries, Inc.. . . . . . . . . . . . . . . 45,563
1,000 TJ International, Inc.. . . . . . . . . . . . . . . 23,250
2,300 Toll Brothers, Inc. (a) . . . . . . . . . . . . . . 44,850
2,500 Triangle Pacific Corp. (a) . . . . . . . . . . . . 60,156
700 U.S. Home Corp. (a) . . . . . . . . . . . . . . . . 18,200
2,900 Webb (Del E.) Corp. . . . . . . . . . . . . . . . . 47,488
--------------
1,424,069
--------------
CHEMICALS & TOXIC WASTE - 1.46%
3,500 Arcadian Corp.. . . . . . . . . . . . . . . . . . . 92,750
1,950 Cambrex Corp. . . . . . . . . . . . . . . . . . . . 63,863
1,100 Chemed Corp.. . . . . . . . . . . . . . . . . . . . 40,150
2,900 Chemfirst, Inc. (a) . . . . . . . . . . . . . . . . 67,062
1,900 Dexter Corp.. . . . . . . . . . . . . . . . . . . . 60,562
3,400 Geon Co.. . . . . . . . . . . . . . . . . . . . . . 66,725
600 Hach Co.. . . . . . . . . . . . . . . . . . . . . . 11,400
5,200 Lawter International, Inc.. . . . . . . . . . . . . 65,650
800 Learonal, Inc.. . . . . . . . . . . . . . . . . . . 18,400
2,200 Lilly Industries, Inc., Cl. A . . . . . . . . . . . 40,150
1,100 Macdermid, Inc. . . . . . . . . . . . . . . . . . . 30,250
100 McWhorter Technologies, Inc. (a). . . . . . . . . . 2,287
4,069 Mississippi Chemical Corp.. . . . . . . . . . . . . 97,647
1,700 Mycogen Corp. (a) . . . . . . . . . . . . . . . . . 36,550
200 NCH Corp. . . . . . . . . . . . . . . . . . . . . . 12,050
3,800 NL Industries, Inc. . . . . . . . . . . . . . . . . 41,325
1,950 OM Group, Inc.. . . . . . . . . . . . . . . . . . . 52,650
See Notes to Financial Statements on Pages 55 through 57
33
<PAGE>
- --------------------------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS DECEMBER 31, 1996
- --------------------------------------------------------------------------------
Shares Description Value
- ------ ----------- -----
600 Petrolite Corp. . . . . . . . . . . . . . . . . . . $ 28,800
1,500 Rexene Corp. . . . . . . . . . . . . . . . . . . . 20,437
3,600 Schulman, Inc . . . . . . . . . . . . . . . . . . . 88,200
3,200 Scotts Company (The), Cl. A (a) . . . . . . . . . . 63,600
1,700 Synetic, Inc. (a) . . . . . . . . . . . . . . . . . 82,450
800 WD-40 Co. . . . . . . . . . . . . . . . . . . . . . 40,813
4,300 Wellman, Inc. . . . . . . . . . . . . . . . . . . . 73,637
--------------
1,197,408
--------------
CHEMICAL-SPECIALTY - 0.55%
1,400 Bush Boake Allen, Inc. (a). . . . . . . . . . . . . 37,275
2,000 Church & Dwight Co., Inc. . . . . . . . . . . . . . 45,750
8,970 Crompton & Knowles Corp.. . . . . . . . . . . . . . 172,673
3,700 Ferro Corp. . . . . . . . . . . . . . . . . . . . . 104,987
2,000 Fuller (H.B.) Co. . . . . . . . . . . . . . . . . . 94,000
--------------
454,685
--------------
CLIENT SERVER COMPUTING - 0.20%
1,000 Clarify, Inc. (a) . . . . . . . . . . . . . . . . . 48,000
4,700 Platinum Technology (a) . . . . . . . . . . . . . . 64,038
2,500 Xircom, Inc. (a). . . . . . . . . . . . . . . . . . 54,375
--------------
166,413
--------------
COAL, GAS & SOLAR - 0.20%
7,600 AGL Resources, Inc. . . . . . . . . . . . . . . . . 160,550
--------------
COMMERCIAL SERVICES - 1.40%
600 ABM Industries, Inc.. . . . . . . . . . . . . . . . 11,100
1,800 Access Health, Inc. (a) . . . . . . . . . . . . . . 80,550
3,100 Anixter International, Inc. (a) . . . . . . . . . . 49,987
3,000 Barefoot, Inc.. . . . . . . . . . . . . . . . . . . 47,625
700 Berlitz International, Inc. (a) . . . . . . . . . . 14,612
300 Borg-Warner Security Corp. (a). . . . . . . . . . . 3,225
700 CDI Corp. (a) . . . . . . . . . . . . . . . . . . . 19,863
1,100 Central Parking Corp. . . . . . . . . . . . . . . . 36,850
1,700 ClinTrials, Inc. (a). . . . . . . . . . . . . . . . 38,675
1,950 COREStaff, Inc. (a) . . . . . . . . . . . . . . . . 46,191
700 Electro Rent Corp. (a). . . . . . . . . . . . . . . 17,413
1,600 EmCare Holdings, Inc. (a) . . . . . . . . . . . . . 37,200
1,700 Employee Solutions, Inc. (a). . . . . . . . . . . . 34,850
2,600 Franklin Quest Co. (a). . . . . . . . . . . . . . . 54,600
1,800 GRC Intl., Inc. (a) . . . . . . . . . . . . . . . . 14,625
400 Greenwich Air Services. . . . . . . . . . . . . . . 9,000
1,400 Health Management Systems, Inc. (a) . . . . . . . . 19,600
100 Hilb, Rogal & Hamilton Co.. . . . . . . . . . . . . 1,325
1,100 Intelidata Technologies Corp. (a) . . . . . . . . . 7,975
900 Iron Mountain, Inc. (a) . . . . . . . . . . . . . . 27,225
450 ITT Educational Services, Inc. (a). . . . . . . . . 10,406
700 Jenny Craig, Inc. (a) . . . . . . . . . . . . . . . 6,212
2,100 Kinder Care Learning Ctrs. (a). . . . . . . . . . . 39,375
2,500 Measurex Corp.. . . . . . . . . . . . . . . . . . . 60,000
3,700 Metromedia Intl. Group, Inc. (a). . . . . . . . . . 36,537
700 NFO Research, Inc. (a). . . . . . . . . . . . . . . 15,400
2,100 Norrell . . . . . . . . . . . . . . . . . . . . . . 57,225
1,200 Oxford Resources Corp., Cl. A (a) . . . . . . . . . 37,050
800 Personnel Group of America, Inc. (a). . . . . . . . 19,300
1,966 Pharmaceutical Product Development, Inc. (a). . . . 49,642
500 Phymatrix Corp. (a) . . . . . . . . . . . . . . . . 7,125
2,400 Primark Corp. (a) . . . . . . . . . . . . . . . . . 59,400
1,100 Quintel Entertainment, Inc. (a) . . . . . . . . . . 10,312
1,100 Romac International, Inc. (a) . . . . . . . . . . . 24,200
1,800 Sitel Corp. . . . . . . . . . . . . . . . . . . . . 25,425
6,100 Sotheby's Holdings, Cl. A . . . . . . . . . . . . 113,612
400 Unitog Co.. . . . . . . . . . . . . . . . . . . . . 10,900
--------------
1,154,612
--------------
COMPUTER - 1.08%
900 3DO Company (The) (a) . . . . . . . . . . . . . . . 4,331
600 American Business Info. (a) . . . . . . . . . . . . 13,350
1,200 Computer Task Group, Inc. . . . . . . . . . . . . . 51,750
1,500 Cyrix Corp. (a) . . . . . . . . . . . . . . . . . . 26,625
5,000 Data General Corp. (a). . . . . . . . . . . . . . . 72,500
600 Dialogic Corp. (a). . . . . . . . . . . . . . . . . 18,900
2,100 Filenet Corp. (a) . . . . . . . . . . . . . . . . . 67,200
900 HMT Technology Corp. (a). . . . . . . . . . . . . . 13,514
1,100 IDX Systems (a) . . . . . . . . . . . . . . . . . . 31,488
400 Integrated Measurement Systems (a). . . . . . . . . 6,950
1,200 Micros Systems, Inc. (a). . . . . . . . . . . . . . 36,900
3,200 Oak Technology (a). . . . . . . . . . . . . . . . . 36,000
300 OnTrak Systems, Inc. (a). . . . . . . . . . . . . . 4,388
600 Optical Data Systems, Inc. (a). . . . . . . . . . . 7,200
1,300 Physicians Computer Network, Inc. (a) . . . . . . . 11,050
1,600 Pinnacle Systems, Inc. (a). . . . . . . . . . . . . 16,800
500 PRI Automation, Inc. (a) . . . . . . . . . . . . . 22,750
1,200 Sandisk Corp. (a) . . . . . . . . . . . . . . . . . 11,700
4,300 Sequent Computer Systems, Inc. (a). . . . . . . . . 76,325
4,100 Sierra Semiconductor (a). . . . . . . . . . . . . . 61,500
1,300 Standard Microsystems Corp. (a) . . . . . . . . . . 12,350
1,500 Stormedia Inc., Cl. A (a) . . . . . . . . . . . . . 24,187
3,400 Stratus Computer, Inc. (a). . . . . . . . . . . . . 92,650
1,500 Submicron Systems Corp. (a) . . . . . . . . . . . . 6,187
1,100 Telxon Corp.. . . . . . . . . . . . . . . . . . . . 13,475
1,800 Trident Microsystems, Inc. (a) . . . . . . . . . . 30,375
900 Visioneer, Inc. (a) . . . . . . . . . . . . . . . . 4,050
4,800 Wang Laboratories, Inc. (a) . . . . . . . . . . . . 97,200
1,100 Zoran Corp. (a) . . . . . . . . . . . . . . . . . . 19,800
--------------
891,495
--------------
COMPUTER SERVICES - 2.62%
5,100 Acxiom Corp. (a). . . . . . . . . . . . . . . . . . 122,400
3,500 Affiliated Computer Services, Inc. (a). . . . . . . 104,125
1,500 Analysts International Corp.. . . . . . . . . . . . 42,375
2,400 Applied Magnetics Corp. (a) . . . . . . . . . . . . 71,700
3,800 Auspex Systems, Inc. (a). . . . . . . . . . . . . . 44,175
2,900 BBN Corp. (a) . . . . . . . . . . . . . . . . . . . 65,250
1,400 BDM International, Inc. (a) . . . . . . . . . . . . 75,950
1,600 Black Box Corp. (a) . . . . . . . . . . . . . . . . 66,000
500 Boca Research, Inc. (a) . . . . . . . . . . . . . . 5,188
4,900 Borland International, Inc. (a) . . . . . . . . . . 26,644
1,400 Brooktrout Technology, Inc. (a) . . . . . . . . . . 39,200
2,700 Caere Corp. (a) . . . . . . . . . . . . . . . . . . 31,050
1,900 Casino Data Systems (a) . . . . . . . . . . . . . . 13,063
1,700 Centennial Technologies, Inc. (a) . . . . . . . . . 88,400
1,300 Ciber, Inc. (a) . . . . . . . . . . . . . . . . . . 39,000
See Notes to Financial Statements on Pages 55 through 57
34
<PAGE>
- --------------------------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS DECEMBER 31, 1996
- --------------------------------------------------------------------------------
Shares Description Value
- ------ ----------- -----
4,500 Cognex Corp. (a). . . . . . . . . . . . . . . . . . $ 83,250
2,000 Computer Horizons Corp. (a) . . . . . . . . . . . . 77,000
1,300 Computer Network Tech Corp. (a) . . . . . . . . . . 6,500
6,200 Computervision Corp. (a). . . . . . . . . . . . . . 57,350
400 Comshare, Inc. (a). . . . . . . . . . . . . . . . . 7,000
2,800 Comverse Technologies, Inc. (a) . . . . . . . . . . 105,875
1,100 Control Data Systems, Inc. (a). . . . . . . . . . . 24,200
500 Dendrite International, Inc. (a). . . . . . . . . . 4,125
200 Desktop Data, Inc. (a). . . . . . . . . . . . . . . 3,850
600 DH Technology, Inc. (a) . . . . . . . . . . . . . . 14,400
4,100 Diamond Multimedia Systems, Inc.. . . . . . . . . . 48,687
1,500 Electro Scientific Industries, Inc. (a) . . . . . . 39,000
1,200 Envoy Corp. (a) . . . . . . . . . . . . . . . . . . 45,000
900 Evans & Sutherland CMP Corp. (a). . . . . . . . . . 22,500
400 Excalibur Technologies Corp. (a). . . . . . . . . . 6,300
1,300 Fair Issac & Co.. . . . . . . . . . . . . . . . . . 50,862
1,000 General Magic, Inc. (a) . . . . . . . . . . . . . . 2,312
1,200 Henry (Jack) & Associates . . . . . . . . . . . . . 42,900
800 Hutchinson Tech (a) . . . . . . . . . . . . . . . . 60,800
700 IKOS Systems, Inc. (a). . . . . . . . . . . . . . . 14,000
1,500 Imnet Systems, Inc. (a) . . . . . . . . . . . . . . 36,375
900 In Focus Systems, Inc. (a). . . . . . . . . . . . . 19,462
1,400 Inacom Corp. (a). . . . . . . . . . . . . . . . . . 56,000
500 Kronos, Inc. (a). . . . . . . . . . . . . . . . . . 16,000
1,600 MetaTools, Inc. (a) . . . . . . . . . . . . . . . . 18,800
1,300 Microtouch Systems, Inc. (a). . . . . . . . . . . . 31,200
2,000 Mylex Corp. (a) . . . . . . . . . . . . . . . . . . 25,000
800 National Computer Sys., Inc.. . . . . . . . . . . . 20,400
100 Planar Systems, Inc. (a). . . . . . . . . . . . . . 1,175
700 Precision Systems, Inc. (a) . . . . . . . . . . . . 3,500
400 Quick Response Services, Inc. (a) . . . . . . . . . 11,400
900 Radisys Corp. (a) . . . . . . . . . . . . . . . . . 43,875
300 Renaissance Solutions, Inc. (a) . . . . . . . . . . 13,425
3,000 Secure Computing Corp. (a). . . . . . . . . . . . . 27,375
1,800 Silicon Storage Technology (a). . . . . . . . . . . 8,775
4,500 Tech Data Corp. (a) . . . . . . . . . . . . . . . . 123,187
2,200 Technology Solutions Co. (a). . . . . . . . . . . . 91,300
2,200 Vanstar Corp. (a) . . . . . . . . . . . . . . . . . 53,900
--------------
2,151,580
--------------
COMPUTER SOFTWARE - 4.52%
2,200 Acclaim Entertainment, Inc. (a) . . . . . . . . . . 7,150
400 Advent Software, Inc. (a) . . . . . . . . . . . . . 12,150
1,500 American Homepatient, Inc. (a). . . . . . . . . . . 40,875
500 Applix, Inc. (a). . . . . . . . . . . . . . . . . . 10,937
1,000 Arbor Software Corp. (a). . . . . . . . . . . . . . 24,250
1,000 Aspen Technology, Inc. (a). . . . . . . . . . . . . 80,250
1,900 Avant! Corp. (a). . . . . . . . . . . . . . . . . . 60,325
3,100 Avid Technology (a) . . . . . . . . . . . . . . . . 32,162
3,200 Banctec, Inc. (a) . . . . . . . . . . . . . . . . . 66,000
2,300 Bell & Howell Co. (a) . . . . . . . . . . . . . . . 54,625
2,500 BISYS Group (a) . . . . . . . . . . . . . . . . . . 92,656
2,850 Boole & Babbage, Inc. (a) . . . . . . . . . . . . . 71,250
2,300 Broderbund Software, Inc. (a) . . . . . . . . . . . 68,425
1,900 Cellular Technical Services, Inc. (a) . . . . . . . 38,000
2,000 Checkfree Corp. (a) . . . . . . . . . . . . . . . . 34,250
2,100 Chips & Technologies, Inc. (a). . . . . . . . . . . 38,325
2,700 Citrix Systems, Inc. (a). . . . . . . . . . . . . . 105,469
500 CMG Information Services, Inc. (a). . . . . . . . . 8,375
1,100 Cooper & Chyan Technology, Inc. (a) . . . . . . . . 36,025
300 Cybercash, Inc. (a) . . . . . . . . . . . . . . . . 6,900
4,600 Data Broadcasting Corp. (a) . . . . . . . . . . . . 32,200
900 Datastream Systems, Inc. (a). . . . . . . . . . . . 16,200
600 Decisionone Holdings Corp. (a). . . . . . . . . . . 9,900
900 Digi International, Inc. (a). . . . . . . . . . . . 8,550
1,500 Documentum, Inc. (a). . . . . . . . . . . . . . . . 50,625
600 Elcom International, Inc. (a) . . . . . . . . . . . 4,725
400 Enterprise Systems, Inc. (a). . . . . . . . . . . . 9,400
2,000 Epic Design Technology, Inc. (a). . . . . . . . . . 50,000
3,300 Exabyte Corp. (a) . . . . . . . . . . . . . . . . . 44,137
800 Excite, Inc. (a). . . . . . . . . . . . . . . . . . 8,200
2,900 FTP Software, Inc. (a). . . . . . . . . . . . . . . 17,400
1,600 Geoworks (a). . . . . . . . . . . . . . . . . . . . 39,200
600 Gerber Scientific, Inc. . . . . . . . . . . . . . . 8,925
1,600 Harbinger Corp. (a) . . . . . . . . . . . . . . . . 42,000
172 HBO & Co. . . . . . . . . . . . . . . . . . . . . . 10,212
2,100 HNC Software, Inc. (a). . . . . . . . . . . . . . . 65,888
800 HPR, Inc. (a) . . . . . . . . . . . . . . . . . . . 11,000
2,400 Hyperion Software Corp. (a) . . . . . . . . . . . . 51,000
700 IDT Corp. (a). . . . . . . . . . . . . . . . . . . 7,700
700 Individual, Inc. (a). . . . . . . . . . . . . . . . 4,200
300 Inference Corp, Cl. A (a) . . . . . . . . . . . . . 2,175
4,400 Information Resources, Inc. (a) . . . . . . . . . . 61,600
1,200 Inso Corp. (a). . . . . . . . . . . . . . . . . . . 47,700
1,400 Integrated Systems, Inc. (a). . . . . . . . . . . . 36,400
1,300 Intersolv, Inc. (a) . . . . . . . . . . . . . . . . 12,025
400 Intevac, Inc. (a) . . . . . . . . . . . . . . . . . 6,800
3,300 Keane, Inc. (a). . . . . . . . . . . . . . . . . . 104,775
600 Learning Tree International, Inc. (a) . . . . . . . 17,700
2,400 Legato Systems, Inc. (a). . . . . . . . . . . . . . 78,300
800 Logic Works, Inc. (a) . . . . . . . . . . . . . . . 4,500
700 Manugistics Group, Inc. (a) . . . . . . . . . . . . 27,825
600 Maxis, Inc. (a) . . . . . . . . . . . . . . . . . . 7,350
1,600 Media 100 Inc. (a). . . . . . . . . . . . . . . . . 14,200
1,000 Mercury Interactive Corp. (a) . . . . . . . . . . . 13,000
1,200 Microcom, Inc. (a). . . . . . . . . . . . . . . . . 14,850
3,400 National Data Corp. . . . . . . . . . . . . . . . . 147,900
1,500 National Instruments Corp. (a). . . . . . . . . . . 48,000
1,700 Netcom On-Line Communication (a). . . . . . . . . . 22,100
2,400 NetManage, Inc. (a) . . . . . . . . . . . . . . . . 14,400
1,700 Network Appliance, Inc. (a) . . . . . . . . . . . . 86,488
900 Network Peripherals, Inc. (a) . . . . . . . . . . . 15,975
2,800 Phoenix Technologies Ltd. (a) . . . . . . . . . . . 45,150
500 Pixar, Inc. (a) . . . . . . . . . . . . . . . . . . 6,500
1,400 Policy Management Systems Corp. (a) . . . . . . . . 64,575
1,900 Progress Software Corp. (a) . . . . . . . . . . . . 38,000
1,000 Project Software & Development, Inc. (a). . . . . . 42,375
3,500 Psinet, Inc. (a) . . . . . . . . . . . . . . . . . 38,063
2,363 Pure Atria Corp. (a). . . . . . . . . . . . . . . . 58,484
5,300 Quarterdeck Corp. (a) . . . . . . . . . . . . . . . 21,863
600 Rainbow Technologies, Inc. (a). . . . . . . . . . . 11,175
500 Raptor Systems, Inc. (a). . . . . . . . . . . . . . 10,063
1,900 Red Brick Systems, Inc. (a) . . . . . . . . . . . . 43,700
1,000 Remedy Corp. (a). . . . . . . . . . . . . . . . . . 53,750
See Notes to Financial Statements on Pages 55 through 57
35
<PAGE>
- --------------------------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS DECEMBER 31, 1996
- --------------------------------------------------------------------------------
Shares Description Value
- ------ ----------- -----
800 Santa Cruz Operation, Inc. (a). . . . . . . . . . . $ 5,600
100 Sapient Corp. (a) . . . . . . . . . . . . . . . . . 4,213
1,200 Scopus Technology, Inc. (a) . . . . . . . . . . . . 55,800
600 Segue Software, Inc. (a). . . . . . . . . . . . . . 10,950
2,400 SEI Corp. . . . . . . . . . . . . . . . . . . . . . 53,400
1,000 Smith Micro Software, Inc. (a). . . . . . . . . . . 4,875
1,900 Spectrum Holobyte, Inc. (a) . . . . . . . . . . . . 14,250
1,800 SPS Transaction Services CRP (a). . . . . . . . . . 27,450
200 SPSS, Inc. (a). . . . . . . . . . . . . . . . . . . 5,575
1,900 Spyglass, Inc. (a). . . . . . . . . . . . . . . . . 23,750
200 SQA, Inc. (a) . . . . . . . . . . . . . . . . . . . 6,650
3,600 STAC, Inc. (a). . . . . . . . . . . . . . . . . . . 23,850
600 State of the Art, Inc. (a). . . . . . . . . . . . . 7,425
400 Storage Computer Corp. (a). . . . . . . . . . . . . 5,250
3,500 Structural Dynamics Research Corp. (a). . . . . . . 70,000
500 Summit Medical Systems, Inc. (a). . . . . . . . . . 3,812
1,600 Sunriver Corp. (a). . . . . . . . . . . . . . . . . 2,600
5,600 Symantec Corp. (a). . . . . . . . . . . . . . . . . 81,200
2,500 SYNC Research, Inc. (a) . . . . . . . . . . . . . . 34,375
4,000 System Software Association . . . . . . . . . . . . 42,500
900 Systems & Computer Tech. Corp. (a). . . . . . . . . 14,400
2,500 Systemsoft Corp. (a). . . . . . . . . . . . . . . . 37,187
2,700 Transaction Systems Architects, Cl. A (a) . . . . . 89,775
1,400 Tseng Laboratories, Inc. (a). . . . . . . . . . . . 4,375
600 USdata Corp. (a). . . . . . . . . . . . . . . . . . 3,375
1,300 Vantive Corp. (a) . . . . . . . . . . . . . . . . . 40,625
1,400 Veritas Software Corp. (a). . . . . . . . . . . . . 69,650
1,400 Verity, Inc. (a). . . . . . . . . . . . . . . . . . 21,525
1,800 Viasoft, Inc. (a) . . . . . . . . . . . . . . . . . 85,050
1,700 VideoServer, Inc. (a) . . . . . . . . . . . . . . . 72,250
3,000 Viewlogic Systems, Inc. (a) . . . . . . . . . . . . 34,125
1,200 Visio Corp. (a) . . . . . . . . . . . . . . . . . . 59,400
1,500 Wall Data, Inc. (a) . . . . . . . . . . . . . . . . 22,687
900 Wind River Systems (a). . . . . . . . . . . . . . . 42,637
2,500 Wonderware Corp. (a). . . . . . . . . . . . . . . . 22,227
300 Workgroup Technology Corp. (a). . . . . . . . . . . 1,987
400 Yahoo!, Inc. (a). . . . . . . . . . . . . . . . . . 6,800
--------------
3,709,222
--------------
CONSUMER GOODS-FOREIGN - 0.18%
1,900 Bush Industries, Cl. A. . . . . . . . . . . . . . . 36,575
900 Fossil, Inc. (a). . . . . . . . . . . . . . . . . . 12,150
1,500 Galoob Lewis Toys, Inc. (a) . . . . . . . . . . . . 21,000
1,100 Herbalife International, Inc. . . . . . . . . . . . 35,887
2,400 Renters Choice, Inc. (a). . . . . . . . . . . . . . 34,800
1,000 Strategic Distribution, Inc. (a). . . . . . . . . . 7,875
--------------
148,287
--------------
CONSUMER SERVICES-FOREIGN - 0.92%
1,300 Billing Information Concepts (a). . . . . . . . . . 37,375
2,200 Cellular Communications of Puerto Rico (a). . . . . 43,450
3,600 Crawford & Co., Cl. B . . . . . . . . . . . . . . . 82,350
2,600 Devry, Inc. (a) . . . . . . . . . . . . . . . . . . 61,100
1,750 Equity Corp. International (a). . . . . . . . . . . 35,000
2,900 G & K Services Inc., Cl. A. . . . . . . . . . . . . 109,475
700 Pinkertons, Inc. (a). . . . . . . . . . . . . . . . 17,587
2,100 Pre-Paid Legal Services, Inc. (a) . . . . . . . . . 38,325
3,700 Rollins, Inc. . . . . . . . . . . . . . . . . . . . 74,000
1,600 Seattle Filmworks, Inc. (a) . . . . . . . . . . . . 32,600
1,550 Sylvan Learning Systems, Inc. (a) . . . . . . . . . 44,175
5,200 United Waste Systems, Inc. (a). . . . . . . . . . . 178,750
--------------
754,187
--------------
CONTAINERS - 0.62%
700 ACX Technologies, Inc. (a). . . . . . . . . . . . . 13,912
1,700 Aptargroup, Inc.. . . . . . . . . . . . . . . . . . 59,925
4,300 Ball Corp.. . . . . . . . . . . . . . . . . . . . . 111,800
3,000 Chesapeake Corp.. . . . . . . . . . . . . . . . . . 94,125
5,200 Gaylord Container Corp., Cl. A (a). . . . . . . . . 31,850
2,800 Greif Bros Corp., Cl. A . . . . . . . . . . . . . . 79,100
100 Liqui-Box Corp. . . . . . . . . . . . . . . . . . . 3,250
4,800 Longview Fibre Co.. . . . . . . . . . . . . . . . . 88,200
1,400 Shorewood Packaging Corp. (a) . . . . . . . . . . . 27,300
--------------
509,462
--------------
COSMETICS & TOILETRIES - 0.15%
3,400 Advanced Polymer Systems (a). . . . . . . . . . . . 25,925
1,550 Inbrand Corp. (a) . . . . . . . . . . . . . . . . . 32,550
1,500 Natures Sunshine Prods., Inc. . . . . . . . . . . . 27,000
4,600 Playtex Products, Inc. (a). . . . . . . . . . . . . 36,800
--------------
122,275
--------------
DIVERSIFIED - 0.39%
400 Cole Taylor Financial Group . . . . . . . . . . . . 10,600
4,100 Duke Realty Investments, Inc. . . . . . . . . . . . 157,850
4,900 Hexcel Corp. (a). . . . . . . . . . . . . . . . . . 79,625
900 Justin Industries, Inc. . . . . . . . . . . . . . . 10,350
1,224 NACCO Industries, Cl. A . . . . . . . . . . . . . . 65,484
--------------
323,909
--------------
Drugs - 0.70%
600 Alpharma, Inc.. . . . . . . . . . . . . . . . . . . 8,550
2,300 Cephalon, Inc. (a). . . . . . . . . . . . . . . . . 47,150
3,200 Cor Therapeutics, Inc. (a). . . . . . . . . . . . . 31,600
3,900 Gilead Sciences, Inc. (a) . . . . . . . . . . . . . 97,500
3,500 Isis Pharmaceuticals (a). . . . . . . . . . . . . . 63,000
2,900 Jones Medical Industries, Inc.. . . . . . . . . . . 106,213
1,100 Matrix Pharmaceutical, Inc. (a) . . . . . . . . . . 6,738
6,300 Perrigo Co. (a) . . . . . . . . . . . . . . . . . . 57,487
2,200 R. P. Scherer Corp. (a) . . . . . . . . . . . . . . 110,550
2,700 Sequus Pharmaceuticals, Inc. (a). . . . . . . . . . 43,200
--------------
571,988
--------------
DRUGS/RETAIL - 0.14%
2,200 Express Scripts, Inc. (a) . . . . . . . . . . . . . 78,925
900 Rexall Sundown, Inc. (a). . . . . . . . . . . . . . 24,469
2,100 Zila, Inc. (a). . . . . . . . . . . . . . . . . . . 13,912
--------------
117,306
--------------
ELECTRICAL EQUIPMENT - 1.61%
3,200 Ametek, Inc.. . . . . . . . . . . . . . . . . . . . 71,200
3,300 Baldor Electric Co. . . . . . . . . . . . . . . . . 81,263
2,300 Belden, Inc.. . . . . . . . . . . . . . . . . . . . 85,100
600 Charter Power Systems, Inc. . . . . . . . . . . . . 18,300
See Notes to Financial Statements on Pages 55 through 57
36
<PAGE>
- --------------------------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS DECEMBER 31, 1996
- --------------------------------------------------------------------------------
Shares Description Value
- ------ ----------- -----
13,700 Chyron Corp. (a). . . . . . . . . . . . . . . . . . $ 39,388
800 Energy Conversion Devices, Inc. (a) . . . . . . . . 10,900
2,600 ESS Technology (a). . . . . . . . . . . . . . . . . 73,125
400 Esterline Technologies Corp. (a). . . . . . . . . . 10,450
200 Fluke Corp. . . . . . . . . . . . . . . . . . . . . 8,925
900 Franklin Electric Company, Inc. . . . . . . . . . . 42,075
500 Gasonics International Corp. (a). . . . . . . . . . 5,125
500 Jabil Circuit, Inc. (a) . . . . . . . . . . . . . . 20,000
5,000 Kemet Corp. (a) . . . . . . . . . . . . . . . . . . 116,250
1,000 Littlefuse, Inc. (a). . . . . . . . . . . . . . . . 48,500
1,500 Magnatek, Inc. (a). . . . . . . . . . . . . . . . . 19,312
1,000 Marquette Medical Systems, Cl. A (a). . . . . . . . 22,125
400 Merix Corp. (a) . . . . . . . . . . . . . . . . . . 6,100
3,000 Methode Electronics, Cl. A. . . . . . . . . . . . . 60,750
1,900 MRV Communications, Inc. (a). . . . . . . . . . . . 41,325
600 Perceptron, Inc. (a). . . . . . . . . . . . . . . . 20,550
4,200 Ramtron International Corp. (a) . . . . . . . . . . 25,200
1,700 Samnina Corp. (a) . . . . . . . . . . . . . . . . . 96,050
4,000 Silicon Valley Group, Inc. (a). . . . . . . . . . . 80,500
2,200 Smart Modular Technologies (a). . . . . . . . . . . 55,275
600 Telco Systems, Inc. (a) . . . . . . . . . . . . . . 11,400
3,100 Tracor Inc. (a) . . . . . . . . . . . . . . . . . . 65,875
4,300 Vicor (a) . . . . . . . . . . . . . . . . . . . . . 71,756
4,900 VLSI Technology, Inc. (a) . . . . . . . . . . . . . 116,987
--------------
1,323,806
--------------
ELECTRONICS - 4.38%
2,600 Actel Corp. (a) . . . . . . . . . . . . . . . . . . 61,750
3,300 Allen Group, Inc. (a) . . . . . . . . . . . . . . . 73,425
3,500 Alliance Semiconductor (a). . . . . . . . . . . . . 24,938
1,000 Altron, Inc. (a). . . . . . . . . . . . . . . . . . 21,000
2,600 Ampex Corp., Cl. A (a). . . . . . . . . . . . . . . 24,375
400 Anadigics, Inc. (a) . . . . . . . . . . . . . . . . 15,700
300 Analogic Corp.. . . . . . . . . . . . . . . . . . . 10,050
2,700 BMC Industries Inc. - Minn. . . . . . . . . . . . . 85,050
1,600 Burr-Brown Corp. (a). . . . . . . . . . . . . . . . 41,600
1,700 Cable Design Technologies Corp. (a) . . . . . . . . 52,913
700 C-Cor Electronics (a) . . . . . . . . . . . . . . . 9,275
1,600 Cohu, Inc.. . . . . . . . . . . . . . . . . . . . . 37,200
2,200 Computer Products, Inc. (a) . . . . . . . . . . . . 42,900
4,500 Copytele, Inc. (a). . . . . . . . . . . . . . . . . 22,219
2,900 Credence Systems (a). . . . . . . . . . . . . . . . 58,363
800 Cree Research, Inc. (a) . . . . . . . . . . . . . . 7,500
100 CTS Corp. . . . . . . . . . . . . . . . . . . . . . 4,275
750 Cubic Corp. . . . . . . . . . . . . . . . . . . . . 17,344
300 C.P. Clare Corp. (a). . . . . . . . . . . . . . . . 3,000
3,900 Dallas Semiconductor Corp.. . . . . . . . . . . . . 89,700
1,900 DII Group, Inc. (a) . . . . . . . . . . . . . . . . 44,175
2,000 Dionex Corp. (a). . . . . . . . . . . . . . . . . . 70,000
2,300 Dynatech Corp. (a). . . . . . . . . . . . . . . . . 101,775
2,600 Electroglas, Inc. (a) . . . . . . . . . . . . . . . 41,925
600 Eltron International, Inc. (a). . . . . . . . . . . 12,075
2,100 Etec Systems, Inc. (a). . . . . . . . . . . . . . . 80,325
600 Franklin Elec Publishers, Inc. (a). . . . . . . . . 7,275
3,400 FSI Intl., Inc. . . . . . . . . . . . . . . . . . . 51,000
400 Galileo Corp. (a) . . . . . . . . . . . . . . . . . 10,050
3,300 Genrad, Inc. (a). . . . . . . . . . . . . . . . . . 76,725
4,200 Gentex Corp. (a). . . . . . . . . . . . . . . . . . 84,525
900 Genus, Inc. (a) . . . . . . . . . . . . . . . . . . 4,950
700 Hadco Corp. (a) . . . . . . . . . . . . . . . . . . 34,300
1,500 Identix, Inc. (a) . . . . . . . . . . . . . . . . . 12,281
4,800 IMP, Inc. (a) . . . . . . . . . . . . . . . . . . . 10,650
8,100 Integrated Device Technology, Inc. (a). . . . . . . 110,363
1,200 Integrated Packaging Assembly Corp. (a) . . . . . . 9,694
1,200 Integrated Process Equipment Corp. (a). . . . . . . 21,600
1,300 Integrated Silicon Solution, Inc. (a) . . . . . . . 11,213
504 Intermagnetics General Corp. (a). . . . . . . . . . 6,048
2,300 ITI Technologies, Inc. (a). . . . . . . . . . . . . 34,787
1,000 Itron, Inc. (a) . . . . . . . . . . . . . . . . . . 17,750
2,400 Kent Electronics Corp. (a). . . . . . . . . . . . . 61,800
600 Kuhlman Corp. . . . . . . . . . . . . . . . . . . . 11,625
2,800 Lattice Semiconductor Corp. (a) . . . . . . . . . . 128,800
1,800 Logicon, Inc. . . . . . . . . . . . . . . . . . . . 65,700
3,600 Lo-Jack Corp. (a) . . . . . . . . . . . . . . . . . 36,000
5,600 LTX Corp. (a) . . . . . . . . . . . . . . . . . . . 32,900
1,400 Marshall Industries . . . . . . . . . . . . . . . . 42,875
600 Mattson Technology, Inc. (a). . . . . . . . . . . . 5,700
4,200 Microchip Technology, Inc. (a). . . . . . . . . . . 213,675
200 MTS Systems Corp. . . . . . . . . . . . . . . . . . 4,000
1,700 Nichols Research Corp. (a). . . . . . . . . . . . . 43,350
1,100 Nimbus CD International, Inc. (a) . . . . . . . . . 9,350
1,700 Novellus Systems (a). . . . . . . . . . . . . . . . 92,119
2,600 Oak Industries, Inc. (a). . . . . . . . . . . . . . 59,800
500 Park Electrochemical Corp.. . . . . . . . . . . . . 11,375
600 Photronics, Inc. (a). . . . . . . . . . . . . . . . 16,350
3,700 Pioneer Standard Electronics, Inc.. . . . . . . . . 48,562
1,300 Pittway Corp., Cl. A. . . . . . . . . . . . . . . . 69,550
1,900 Recoton Corp. (a) . . . . . . . . . . . . . . . . . 28,381
2,400 Robotic Vision Systems, Inc. (a). . . . . . . . . . 28,500
1,000 Ross Technology, Inc. (a) . . . . . . . . . . . . . 3,500
6,400 S3, Inc. (a). . . . . . . . . . . . . . . . . . . . 104,000
600 SDL, Inc. (a) . . . . . . . . . . . . . . . . . . . 15,750
1,600 Sheldahl, Inc. (a). . . . . . . . . . . . . . . . . 30,000
400 Speedfam International, Inc. (a). . . . . . . . . . 11,400
900 Stanford Telecommunications, Inc. (a) . . . . . . . 31,050
300 Technitrol, Inc.. . . . . . . . . . . . . . . . . . 11,512
600 Tech-Sym Corp. (a). . . . . . . . . . . . . . . . . 17,850
4,000 Tencor Instruments (a). . . . . . . . . . . . . . . 105,500
500 Thermospectra Corp. (a) . . . . . . . . . . . . . . 6,125
1,716 Thomas & Betts. . . . . . . . . . . . . . . . . . . 76,147
600 Transwitch Corp. (a). . . . . . . . . . . . . . . . 3,150
3,000 Trimble Navagation Ltd. (a) . . . . . . . . . . . . 34,500
2,500 Trinova Corp. . . . . . . . . . . . . . . . . . . . 90,937
450 TSX Corp. (a) . . . . . . . . . . . . . . . . . . . 3,994
1,700 Ultratech Stepper (a) . . . . . . . . . . . . . . . 40,375
1,700 Uniphase Corp. (a). . . . . . . . . . . . . . . . . 89,250
1,000 Unitrode Corp. (a). . . . . . . . . . . . . . . . . 29,375
2,300 Vitesse Semiconductor Corp. (a) . . . . . . . . . . 104,650
600 Watkins-Johnson Co. . . . . . . . . . . . . . . . . 14,700
1,100 Whittaker Corp. (a) . . . . . . . . . . . . . . . . 13,887
1,900 Wyle Electronics. . . . . . . . . . . . . . . . . . 75,050
3,100 Xicor, Inc. (a) . . . . . . . . . . . . . . . . . . 31,775
1,900 Zilog, Inc (a). . . . . . . . . . . . . . . . . . . 49,637
700 Zygo Corp. (a). . . . . . . . . . . . . . . . . . . 36,400
--------------
3,596,989
--------------
See Notes to Financial Statements on Pages 55 through 57
37
<PAGE>
- --------------------------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS DECEMBER 31, 1996
Shares Description Value
- ------ ----------- -----
ENGINEERING - 0.20%
300 American Buildings Co. (a). . . . . . . . . . . . . $ 7,163
2,100 Granite Construction, Inc.. . . . . . . . . . . . . 39,900
3,200 Jacobs Engineering Group, Inc. (a). . . . . . . . . 75,600
1,500 L.S. Starrett Co., Cl. A. . . . . . . . . . . . . . 42,562
--------------
165,225
--------------
ENGINEERING & CONSTRUCTION - 0.03%
700 Stone & Webster, Inc. . . . . . . . . . . . . . . . 22,050
--------------
ENTERTAINMENT - 0.18%
2,600 Regal Cinemas, Inc. (a) . . . . . . . . . . . . . . 79,950
2,800 Rio Hotel and Casino, Inc. (a). . . . . . . . . . . 40,950
2,100 Trump Hotels & Casinos Resort (a) . . . . . . . . . 25,200
--------------
146,100
--------------
ENVIRONMENTAL CONTROL - 1.07%
2,200 Air & Water Tech, Cl. A (a) . . . . . . . . . . . . 12,650
8,600 Allied Waste Industries, Inc. (a) . . . . . . . . . 79,550
200 Allwaste, Inc. (a). . . . . . . . . . . . . . . . . 1,025
6,000 Calgon Carbon Corp. . . . . . . . . . . . . . . . . 73,500
400 Continental Waste Inds., Inc. (a) . . . . . . . . . 9,325
2,500 Culligan Water Technologies (a) . . . . . . . . . . 101,250
3,200 Dames & Moore, Inc. . . . . . . . . . . . . . . . . 46,800
3,100 Donaldson Co., Inc. . . . . . . . . . . . . . . . . 103,850
600 Imco Recycling, Inc.. . . . . . . . . . . . . . . . 8,775
1,400 Ionics, Inc.. . . . . . . . . . . . . . . . . . . . 67,200
1,000 KFX, Inc. (a) . . . . . . . . . . . . . . . . . . . 5,500
100 Mine Safety Appliances Co.. . . . . . . . . . . . . 5,325
1,700 Molten Metal Technology, Inc. (a) . . . . . . . . . 19,975
270 Republic Industries, Inc. (a) . . . . . . . . . . . 8,421
5,100 Safety-Kleen. . . . . . . . . . . . . . . . . . . . 83,513
600 Superior Services, Inc. (a) . . . . . . . . . . . . 12,225
1,100 Tetra Technologies, Inc. (a). . . . . . . . . . . . 27,775
4,000 U.S. Filter Corp. (a) . . . . . . . . . . . . . . . 127,000
1,000 Watsco, Inc.. . . . . . . . . . . . . . . . . . . . 28,875
2,100 Zurn Industries . . . . . . . . . . . . . . . . . . 54,862
--------------
877,396
--------------
FINANCE - 0.09%
600 RAC Financial Group, Inc. (a) . . . . . . . . . . . 12,675
1,600 Redwood Trust, Inc. . . . . . . . . . . . . . . . . 59,600
--------------
72,275
--------------
FINANCIAL SERVICES - 8.94%
1,400 Aames Financial Corp. . . . . . . . . . . . . . . . 50,225
2,400 ALBANK Financial Corp.. . . . . . . . . . . . . . . 75,300
1,400 Alex Brown, Inc.. . . . . . . . . . . . . . . . . . 101,500
400 Amcore Financial, Inc.. . . . . . . . . . . . . . . 10,700
2,700 Americredit Corp. (a) . . . . . . . . . . . . . . . 55,350
2,200 Amresco, Inc. (a) . . . . . . . . . . . . . . . . . 58,850
600 Anchor Bancorp Wisconsin, Inc.. . . . . . . . . . . 21,450
1,200 Associated Banc-Corp. . . . . . . . . . . . . . . . 51,000
2,800 Astoria Financial Corp. . . . . . . . . . . . . . . 103,250
3,000 Bancorpsouth, Inc.. . . . . . . . . . . . . . . . . 83,250
1,000 Bank of Granite Corp. . . . . . . . . . . . . . . . 29,000
1,100 Bankatlantic Bancorp, Inc., Cl. B . . . . . . . . . 14,713
3,100 Bankers Corp. . . . . . . . . . . . . . . . . . . . 62,388
400 Banknorth Group, Inc. . . . . . . . . . . . . . . . 16,600
400 Bay View Capital Corp.. . . . . . . . . . . . . . . 16,950
1,215 BOK Financial Corp. (a) . . . . . . . . . . . . . . 32,805
4,100 Cal Fed Bancorp, Inc. (a) . . . . . . . . . . . . . 100,450
1,200 CCB Financial Corp. . . . . . . . . . . . . . . . . 81,900
3,300 Centura Banks, Inc. . . . . . . . . . . . . . . . . 147,263
1,155 Chemical Financial Corp.. . . . . . . . . . . . . . 45,911
300 Citfed Bancorp, Inc.. . . . . . . . . . . . . . . . 9,900
1,800 Citizens Bancorp Maryland . . . . . . . . . . . . . 111,600
900 Citizens Banking Corp. Michigan . . . . . . . . . . 28,350
5,200 City National Corp. . . . . . . . . . . . . . . . . 112,450
2,900 CNB Bankshares, Inc.. . . . . . . . . . . . . . . . 121,075
2,800 Coast Savings Financial, Inc. (a) . . . . . . . . . 102,550
2,000 Colonial Bancgroup, Inc.. . . . . . . . . . . . . . 80,000
1,100 Commerce Bancorp, Inc. NJ . . . . . . . . . . . . . 36,300
1,500 Commercial Federal Corp.. . . . . . . . . . . . . . 72,000
2,200 Community First Bankshares, Inc.. . . . . . . . . . 60,500
1,700 Corus Bankshares, Inc.. . . . . . . . . . . . . . . 54,825
500 CPB, Inc. . . . . . . . . . . . . . . . . . . . . . 14,875
1,900 Credit Acceptance Corp. (a) . . . . . . . . . . . . 44,650
3,200 Cullen Frost Bankers, Inc.. . . . . . . . . . . . . 106,400
1,200 Cuno Inc. (a) . . . . . . . . . . . . . . . . . . . 17,850
3,400 Deposit Guaranty Corp.. . . . . . . . . . . . . . . 105,400
3,450 Downey Financial Corp.. . . . . . . . . . . . . . . 67,706
1,300 Eaton Vance Corp. . . . . . . . . . . . . . . . . . 61,913
600 F & M Bancorporation Inc./ WI . . . . . . . . . . . 17,850
3,400 F & M National Corp.. . . . . . . . . . . . . . . . 72,675
2,100 Financial Federal Corp. (a) . . . . . . . . . . . . 35,175
1,000 First Citizens Bancshares, Cl. A. . . . . . . . . . 77,000
1,600 First Commerce Bancshares Inc., Cl. A . . . . . . . 42,400
3,355 First Commercial Corp.. . . . . . . . . . . . . . . 124,554
600 First Financial Corp. / Indiana . . . . . . . . . . 22,200
3,000 First Financial Corp./Wisc. . . . . . . . . . . . . 73,500
800 First Indiana Corp. . . . . . . . . . . . . . . . . 21,400
2,166 First Michigan Bank Corp. . . . . . . . . . . . . . 64,168
2,750 First Midwest Bancorp Inc./Il . . . . . . . . . . . 89,719
1,800 First Sav. Bank of Washington . . . . . . . . . . . 33,075
200 First United Bancshares /Ark. . . . . . . . . . . . 6,450
800 First Western Bancorp . . . . . . . . . . . . . . . 21,000
2,100 Firstbank of Illinois Co. . . . . . . . . . . . . . 72,975
600 Firstbank Puerto Rico . . . . . . . . . . . . . . . 15,600
2,700 Firstmerit Corp.. . . . . . . . . . . . . . . . . . 95,850
700 Florida East Coast Inds.. . . . . . . . . . . . . . 61,163
1,500 Fort Wayne National Corp. . . . . . . . . . . . . . 57,000
500 Fund American Enterprise Holdings, Inc. . . . . . . 47,875
2,300 F.N.B. Corp.. . . . . . . . . . . . . . . . . . . . 52,900
6,300 Glendale Federal Bank FSB (a) . . . . . . . . . . . 146,475
2,700 Great Financial Corp. . . . . . . . . . . . . . . . 78,638
1,720 Hancock Holdings Co.. . . . . . . . . . . . . . . . 69,660
1,339 Hubco, Inc. . . . . . . . . . . . . . . . . . . . . 32,806
1,500 Imperial Bancorp (a). . . . . . . . . . . . . . . . 36,000
3,300 Imperial Credit Industries (a). . . . . . . . . . . 69,300
1,900 Inter-Regional Financial Group. . . . . . . . . . . 66,975
500 Investment Technology Group (a) . . . . . . . . . . 9,625
900 Jayhawk Acceptance Corp. (a). . . . . . . . . . . . 10,125
1,600 Jefferies Group, Inc. . . . . . . . . . . . . . . . 64,600
See Notes to Financial Statements on Pages 55 through 57
38
<PAGE>
- --------------------------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS DECEMBER 31, 1996
- --------------------------------------------------------------------------------
Shares Description Value
- ------ ----------- -----
1,800 Jefferson Bankshares, Inc.. . . . . . . . . . . . . $ 51,525
3,400 Keystone Financial, Inc.. . . . . . . . . . . . . . 85,000
500 Klamath First Bancorp, Inc. . . . . . . . . . . . . 7,875
2,200 Legg Mason, Inc.. . . . . . . . . . . . . . . . . . 84,700
700 Liberty Bancorp Inc./Oklahoma . . . . . . . . . . . 34,825
2,100 Long Island Bancorp, Inc. . . . . . . . . . . . . . 73,500
1,100 MAF Bancorp, Inc. . . . . . . . . . . . . . . . . . 38,225
1,200 Magna Bancorp, Inc. . . . . . . . . . . . . . . . . 21,000
2,300 Magna Group, Inc. . . . . . . . . . . . . . . . . . 67,850
1,500 Mark Twain Bancshares, Inc. . . . . . . . . . . . . 73,125
900 McDonald & Co. Investments. . . . . . . . . . . . . 31,275
2,600 Morgan Keegan, Inc. . . . . . . . . . . . . . . . . 44,525
1,100 Morrison Knudsen Corp. (a). . . . . . . . . . . . . 9,900
300 National Auto Credit, Inc. (a). . . . . . . . . . . 3,600
840 National City Bancshares/Ind. . . . . . . . . . . . 24,570
3,500 National Commerce Bancorporation . . . . . . . . . 133,875
1,100 New York Bankcorp, Inc. . . . . . . . . . . . . . . 42,625
2,300 North American Mortgage Co. . . . . . . . . . . . . 45,425
2,200 North Fork Bancorporation . . . . . . . . . . . . . 78,375
1,000 North Side Savings Bank . . . . . . . . . . . . . . 54,500
4,800 Olympic Financial Ltd. (a). . . . . . . . . . . . . 69,000
1,000 Onbancorp, Inc. . . . . . . . . . . . . . . . . . . 37,125
2,250 One Valley Bancorp, Inc.. . . . . . . . . . . . . . 83,531
3,700 Oregon Steel Mills, Inc.. . . . . . . . . . . . . . 61,975
900 Peoples Bank Bridgeport Corp. . . . . . . . . . . . 25,988
2,204 Peoples Heritage Financial Group. . . . . . . . . . 61,712
3,400 PHH Corp. . . . . . . . . . . . . . . . . . . . . . 146,200
7,100 Phoenix Duff & Phelps Corp. . . . . . . . . . . . . 50,588
3,400 Pioneer Group, Inc. . . . . . . . . . . . . . . . . 80,750
2,700 Provident Bancorp . . . . . . . . . . . . . . . . . 91,800
700 Provident Bankshares Corp.. . . . . . . . . . . . . 27,300
666 Queens County Bancorp, Inc. . . . . . . . . . . . . 31,552
1,800 Quick & Reilly Group, Inc.. . . . . . . . . . . . . 53,775
2,400 Raymond James Financial, Inc. . . . . . . . . . . . 72,300
1,500 RCSB Financial, Inc.. . . . . . . . . . . . . . . . 43,500
1,100 Republic Bancorp. . . . . . . . . . . . . . . . . . 12,787
1,070 Resource Bancshares Mortgage Group . . . . . . . . 15,247
1,500 Security Capital Corp.. . . . . . . . . . . . . . . 110,625
700 Silicon Valley Bancshares (a) . . . . . . . . . . . 22,575
300 Sirrom Capital Corp.. . . . . . . . . . . . . . . . 11,025
7,700 Sovereign Bancorp, Inc. . . . . . . . . . . . . . . 101,062
1,400 St Paul Bancorp, Inc. . . . . . . . . . . . . . . . 41,125
2,900 Standard Financial, Inc.. . . . . . . . . . . . . . 56,912
600 Sumitomo Bank of California . . . . . . . . . . . . 15,000
300 TR Financial Corp.. . . . . . . . . . . . . . . . . 10,650
800 Trans Financial, Inc. . . . . . . . . . . . . . . . 18,400
2,200 Trustco Bank Corp., NY. . . . . . . . . . . . . . . 47,025
3,900 Trustmark Corp. . . . . . . . . . . . . . . . . . . 99,450
2,520 UMB Financial Corp. . . . . . . . . . . . . . . . . 102,060
2,600 United Bankshares, Inc. . . . . . . . . . . . . . . 85,800
2,400 United Carolina BNCSHS, Inc.. . . . . . . . . . . . 94,800
2,500 United Cos. Financial Corp. . . . . . . . . . . . . 66,562
1,100 UST Corp. . . . . . . . . . . . . . . . . . . . . . 22,687
1,400 U.S. Trust Corp.. . . . . . . . . . . . . . . . . . 110,600
1,800 WesBanco, Inc.. . . . . . . . . . . . . . . . . . . 58,500
1,600 Westamerica Bancorporation. . . . . . . . . . . . . 92,400
500 Westcorp, Inc.. . . . . . . . . . . . . . . . . . . 10,937
2,600 Whitney Holding Corp. . . . . . . . . . . . . . . . 91,975
500 Winthrop Resources Corp.. . . . . . . . . . . . . . 14,375
4,000 World Acceptance Corp. (a). . . . . . . . . . . . . 27,500
--------------
7,339,402
--------------
FOOD SERVICE/LODGING - 0.93%
1,600 Bristol Hotel Co. (a) . . . . . . . . . . . . . . . 50,800
1,900 Dekalb Genetics Corp., Cl. B. . . . . . . . . . . . 96,900
5,800 Franchise Finance Corp. of American . . . . . . . . 160,225
3,700 Luby's Cafeterias, Inc. . . . . . . . . . . . . . . 73,538
1,200 Marcus Corp.. . . . . . . . . . . . . . . . . . . . 25,500
1,000 Morrison Health Care, Inc.. . . . . . . . . . . . . 14,750
1,200 Ruby Tuesday, Inc.. . . . . . . . . . . . . . . . . 22,200
5,400 Ryan's Family Steak House (a) . . . . . . . . . . . 37,125
900 Sanderson Farms, Inc. . . . . . . . . . . . . . . . 15,075
3,500 Savannah Foods & Industries . . . . . . . . . . . . 47,250
2,100 Sbarro, Inc.. . . . . . . . . . . . . . . . . . . . 53,550
4,000 Shoney's, Inc. (a). . . . . . . . . . . . . . . . . 28,000
2,600 Showbiz Pizza Time, Inc. (a) . . . . . . . . . . . 47,125
2,300 Smithfield Foods, Inc. (a). . . . . . . . . . . . . 87,400
--------------
759,438
--------------
FOODS - 1.54%
1,800 Cellstar Corp. (a). . . . . . . . . . . . . . . . . 32,400
3,100 Chiquita Brands Intl. . . . . . . . . . . . . . . . 39,525
5,400 Dean Foods Co.. . . . . . . . . . . . . . . . . . . 174,150
505 Diana Corp. (a) . . . . . . . . . . . . . . . . . . 13,888
1,800 Dreyer's Grand Ice Cream, Inc.. . . . . . . . . . . 52,200
800 Earthgrains Company . . . . . . . . . . . . . . . . 41,800
5,700 Flowers Industries, Inc.. . . . . . . . . . . . . . 122,550
2,400 Foodbrands America, Inc. (a). . . . . . . . . . . . 33,000
1,600 Hudson Foods Inc., Cl. A. . . . . . . . . . . . . . 30,400
3,100 Intl. Multifoods Corp.. . . . . . . . . . . . . . . 56,187
700 Lance, Inc. . . . . . . . . . . . . . . . . . . . . 12,600
1,300 Michael Foods, Inc. . . . . . . . . . . . . . . . . 16,575
600 Morningstar Group, Inc. (a) . . . . . . . . . . . . 11,775
1,400 Northland Cranberries, Cl. A. . . . . . . . . . . . 32,200
1,300 NPC International, Inc. (a) . . . . . . . . . . . . 10,725
900 Performance Food Group Co. (a). . . . . . . . . . . 13,950
5,600 Premark International, Inc. . . . . . . . . . . . . 124,600
4,400 Ralcorp Holdings, Inc. (a). . . . . . . . . . . . . 92,950
4,200 Rykoff-Sexton, Inc. . . . . . . . . . . . . . . . . 66,675
800 Smiths Food & Drug Centers, Cl. B . . . . . . . . . 24,800
4,400 Smucker (J.M.) Co., Cl. A . . . . . . . . . . . . . 77,550
2,600 Tootsie Roll Industries, Inc. . . . . . . . . . . . 103,025
2,300 Universal Foods Corp. . . . . . . . . . . . . . . . 81,075
--------------
1,264,600
--------------
FOREST PRODUCTS & PAPER - 0.06%
1,700 Buckeye Cellulose Corp. (a) . . . . . . . . . . . . 45,263
--------------
GAMING - 0.07%
6,900 Aztar Corp. (a) . . . . . . . . . . . . . . . . . . 48,300
400 Sodak Gaming (a). . . . . . . . . . . . . . . . . . 6,150
--------------
54,450
--------------
HEALTH CARE DIVERSIFIED - 0.42%
4,600 American Oncology Resources, Inc. (a) . . . . . . . 47,150
3,600 Cerner Corp. (a). . . . . . . . . . . . . . . . . . 55,800
See Notes to Financial Statements on Pages 55 through 57
39
<PAGE>
- --------------------------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS DECEMBER 31, 1996
- --------------------------------------------------------------------------------
Shares Description Value
- ------ ----------- -----
600 HCIA, Inc. (a). . . . . . . . . . . . . . . . . . . $ 20,700
700 HealthPlan Services (a) . . . . . . . . . . . . . . 14,788
7,100 Horizon/cms Healthcare Corp. (a). . . . . . . . . . 89,637
1,800 Owen Healthcare, Inc. (a) . . . . . . . . . . . . . 47,700
3,600 Physician Corp of America (a) . . . . . . . . . . . 36,000
1,900 RTW, Inc. (a) . . . . . . . . . . . . . . . . . . . 34,913
--------------
346,688
--------------
HEALTHCARE - 1.01%
3,000 Coram Healthcare Corp. (a). . . . . . . . . . . . . 15,000
200 CRA Managed Care (a). . . . . . . . . . . . . . . . 9,000
3,300 Genesis Health Ventures, Inc. (a) . . . . . . . . . 102,713
500 Henry Schein, Inc. (a). . . . . . . . . . . . . . . 17,188
400 Inhale Therapeutics Systems (a) . . . . . . . . . . 6,050
2,000 Inphynet Medical Management (a) . . . . . . . . . . 36,000
2,200 Living Centers of America (a) . . . . . . . . . . . 61,050
4,600 Mariner Health Group (a). . . . . . . . . . . . . . 38,525
3,800 Mid Atlantic Medical Services (a) . . . . . . . . . 50,825
2,300 Multicare Cos., Inc. (a). . . . . . . . . . . . . . 46,575
1,900 OccuSystems, Inc. (a) . . . . . . . . . . . . . . . 51,300
1,300 Pediatrix Medical Group (a) . . . . . . . . . . . . 47,937
600 Perclose, Inc. (a). . . . . . . . . . . . . . . . . 12,150
3,900 Renal Treatment Centers, Inc. (a) . . . . . . . . . 99,450
2,500 Rotech Medical Corp. (a). . . . . . . . . . . . . . 52,500
3,300 Sun Healthcare Group, Inc. (a). . . . . . . . . . . 44,550
1,200 TheraTx, Inc. (a) . . . . . . . . . . . . . . . . . 12,300
4,400 Universal Health Services, Cl. B. . . . . . . . . . 125,950
--------------
829,063
--------------
HOLDING COMPANY - 0.11%
3,900 Triarc Cos. (a) . . . . . . . . . . . . . . . . . . 44,850
3,300 Walter Industries, Inc. (a) . . . . . . . . . . . . 46,613
--------------
91,463
--------------
HOSPITAL SUPPLIES & HEALTHCARE - 0.43%
2,600 American Medical Response (a) . . . . . . . . . . . 84,500
2,300 Haemonetics Corp. (a) . . . . . . . . . . . . . . . 43,412
2,300 Interim Services Inc. (a) . . . . . . . . . . . . . 81,650
3,900 Isolyser Company, Inc. (a). . . . . . . . . . . . . 27,300
1,600 Rural/Metro Corp. (a) . . . . . . . . . . . . . . . 57,600
4,600 Transitional Hospitals Corp. (a). . . . . . . . . . 44,275
500 Vital Signs, Inc. . . . . . . . . . . . . . . . . . 13,000
--------------
351,737
--------------
HOTEL/MOTEL - 0.37%
4,300 Boyd Gaming Corp. (a) . . . . . . . . . . . . . . . 35,475
3,162 Doubletree Corp. (a). . . . . . . . . . . . . . . . 142,290
600 Harveys Casinos Resorts . . . . . . . . . . . . . . 10,125
500 Primadonna Resorts, Inc. (a). . . . . . . . . . . . 8,500
2,700 Prime Hospitality Corp. (a) . . . . . . . . . . . . 43,538
1,100 Red Roof Inns, Inc. (a) . . . . . . . . . . . . . . 17,050
2,600 Showboat, Inc.. . . . . . . . . . . . . . . . . . . 44,850
--------------
301,828
--------------
HOUSEHOLD FURNISHINGS - 1.09%
1,000 Aaron Rents, Inc., Cl. A. . . . . . . . . . . . . . 14,000
700 Action Performance Companies., Inc. (a) . . . . . . 12,600
1,500 Bassett Furniture Inds. . . . . . . . . . . . . . . 36,750
800 Cort Business Services Corp. (a). . . . . . . . . . 16,500
3,000 Department 56, Inc. (a) . . . . . . . . . . . . . . 74,250
4,400 Extended Stay America, Inc. (a) . . . . . . . . . . 88,550
7,300 Fedders Corp. . . . . . . . . . . . . . . . . . . . 45,625
5,700 Furniture Brands Intl., Inc. (a). . . . . . . . . . 79,800
1,300 Garden Ridge Corp. (a). . . . . . . . . . . . . . . 11,213
4,700 Heilig-Meyers Co. . . . . . . . . . . . . . . . . . 76,375
3,200 Juno Lighting, Inc. . . . . . . . . . . . . . . . . 51,200
1,800 Kimball International, Cl. B. . . . . . . . . . . . 74,475
1,500 La-Z-Boy Chair Co.. . . . . . . . . . . . . . . . . 44,250
700 McGrath Rentcorp. . . . . . . . . . . . . . . . . . 18,025
3,200 Miller (Herman), Inc. (a) . . . . . . . . . . . . . 181,200
500 National Presto Inds., Inc. . . . . . . . . . . . . 18,687
400 Rival Co (The). . . . . . . . . . . . . . . . . . . 9,950
3,800 Zenith Electronics Corp. (a). . . . . . . . . . . . 41,325
--------------
894,775
--------------
HOUSEHOLD PRODUCTS - 0.27%
1,200 Armor All Products Corp.. . . . . . . . . . . . . . 22,800
2,400 Libbey, Inc.. . . . . . . . . . . . . . . . . . . . 66,900
2,000 Toro Co.. . . . . . . . . . . . . . . . . . . . . . 73,000
500 USA Detergents, Inc. (a). . . . . . . . . . . . . . 20,813
2,800 Windmere Corp.. . . . . . . . . . . . . . . . . . . 36,050
--------------
219,563
--------------
HOUSING REVENUE - 0.12%
5,160 Champion Enterprises, Inc. (a). . . . . . . . . . . 100,620
--------------
HUMAN RESOURCES - 0.05%
2,200 Alternative Resources Corp. (a) . . . . . . . . . . 38,225
--------------
INSURANCE - 4.78%
6,600 20th Century Industries . . . . . . . . . . . . . . 111,375
2,300 Acordia, Inc. . . . . . . . . . . . . . . . . . . . 66,700
6,200 Alexander & Alexander Services, Inc.. . . . . . . . 107,725
3,600 Alfa Corp.. . . . . . . . . . . . . . . . . . . . . 45,450
2,950 Allied Group, Inc.. . . . . . . . . . . . . . . . . 96,244
1,100 American Annuity Group, Inc.. . . . . . . . . . . . 15,538
1,900 American Bankers Insur. Group . . . . . . . . . . . 97,138
3,100 Amerin Corp. (a). . . . . . . . . . . . . . . . . . 79,825
1,300 Amvestors Financial Corp. . . . . . . . . . . . . . 19,175
1,300 Argonaut Group, Inc.. . . . . . . . . . . . . . . . 39,975
2,600 Baldwin & Lyons, Inc., Cl. B. . . . . . . . . . . . 47,775
2,000 Bankers Life Holdings Corp. . . . . . . . . . . . . 50,000
2,000 Berkley (WR) Corp.. . . . . . . . . . . . . . . . . 101,500
1,800 Capital RE Corp.. . . . . . . . . . . . . . . . . . 83,925
600 Capitol American Finl. Corp.. . . . . . . . . . . . 21,825
300 Capmac Holdings, Inc. . . . . . . . . . . . . . . . 9,938
600 Capsure Holdings Corp.. . . . . . . . . . . . . . . 6,825
300 Citizens Corp.. . . . . . . . . . . . . . . . . . . 6,750
4,000 CMAC Investment Corp. . . . . . . . . . . . . . . . 147,000
3,200 Commerce Group, Inc.. . . . . . . . . . . . . . . . 80,800
1,000 Compdent Corp. (a). . . . . . . . . . . . . . . . . 35,250
758 Conseco, Inc. . . . . . . . . . . . . . . . . . . . 48,323
2,800 Coventry Corp. (a). . . . . . . . . . . . . . . . . 25,944
1,980 Delphi Financial Group, Inc., Cl. A (a) . . . . . . 58,410
See Notes to Financial Statements on Pages 55 through 57
40
<PAGE>
- --------------------------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS DECEMBER 31, 1996
- --------------------------------------------------------------------------------
Shares Description Value
- ------ ----------- -----
2,000 Enhance Financial Services Group. . . . . . . . . . $ 73,000
1,600 Executive Risk, Inc.. . . . . . . . . . . . . . . . 59,200
2,200 E.W. Blanch Holdings, Inc.. . . . . . . . . . . . . 44,275
2,700 Financial Security Assurance Holdings . . . . . . . 88,763
600 First American Financial Corp.. . . . . . . . . . . 24,675
700 Foremost Corp. of America . . . . . . . . . . . . . 42,000
1,600 Fremont General Corp. . . . . . . . . . . . . . . . 49,600
1,740 Frontier Insurance Group, Inc.. . . . . . . . . . . 66,555
500 Gainsco, Inc. . . . . . . . . . . . . . . . . . . . 4,813
2,400 Gallagher (Arthur J.) & Co. . . . . . . . . . . . . 74,400
1,700 Guarantee Life Companies, Inc.. . . . . . . . . . . 31,450
1,500 Guaranty National Corp. . . . . . . . . . . . . . . 25,125
2,900 Hartford Steam Boiler Inspection & Insurance Co.. . 134,488
2,700 HCC Insurance Holdings, Inc.. . . . . . . . . . . . 64,800
1,900 Highlands Insurance Group (a) . . . . . . . . . . . 38,475
1,500 Home Beneficial Corp., Cl. B. . . . . . . . . . . . 56,812
3,200 Horace Mann Educators . . . . . . . . . . . . . . . 129,200
1,200 Integon Corp. . . . . . . . . . . . . . . . . . . . 21,300
3,400 John Alden Financial Corp.. . . . . . . . . . . . . 62,900
500 JSB Financial, Inc. . . . . . . . . . . . . . . . . 19,000
1,100 Liberty Corp. . . . . . . . . . . . . . . . . . . . 43,175
1,100 Life RE Corp. . . . . . . . . . . . . . . . . . . . 42,487
3,500 Life USA Holding, Inc. (a). . . . . . . . . . . . . 42,000
300 Maic Holdings, Inc. (a) . . . . . . . . . . . . . . 10,162
700 Markel Corp. (a). . . . . . . . . . . . . . . . . . 63,000
400 Meadowbrook Insurance Group . . . . . . . . . . . . 8,400
1,100 MMI Companies, Inc. . . . . . . . . . . . . . . . . 35,475
2,300 NAC RE Corp.. . . . . . . . . . . . . . . . . . . . 77,912
200 Natl. Western Life Ins., Cl.A (a) . . . . . . . . . 17,400
1,200 Orion Capital Corp. . . . . . . . . . . . . . . . . 73,350
2,100 Penncorp Financial Group, Inc.. . . . . . . . . . . 75,600
300 Pioneer Financial Services, Inc.. . . . . . . . . . 7,500
800 Poe & Brown, Inc. . . . . . . . . . . . . . . . . . 21,200
1,500 Presidential Life Corp. . . . . . . . . . . . . . . 18,094
723 PXRE Corp.. . . . . . . . . . . . . . . . . . . . . 17,894
2,300 Reinsurance Group of America. . . . . . . . . . . . 108,387
9,300 Reliance Group Holdings . . . . . . . . . . . . . . 84,863
4,700 Riscorp (a) . . . . . . . . . . . . . . . . . . . . 17,037
1,800 Risk Capital Holdings, Inc. (a) . . . . . . . . . . 34,875
1,500 RLI Corp. . . . . . . . . . . . . . . . . . . . . . 50,062
900 Security - Connecticut Corp.. . . . . . . . . . . . 31,612
2,400 Selective Insurance Group . . . . . . . . . . . . . 91,200
1,900 State Auto Financial Corp.. . . . . . . . . . . . . 34,200
2,000 Town & Country Trust. . . . . . . . . . . . . . . . 29,250
1,200 Trenwick Group, Inc.. . . . . . . . . . . . . . . . 55,500
3,200 UICI (a). . . . . . . . . . . . . . . . . . . . . . 104,000
300 United Dental Care, Inc. (a). . . . . . . . . . . . 9,112
1,600 United Fire & Casuality Co. . . . . . . . . . . . . 56,400
500 United Wisconsin Services . . . . . . . . . . . . . 13,125
1,700 Vesta Insurance Group . . . . . . . . . . . . . . . 53,337
900 Washington National Corp. . . . . . . . . . . . . . 24,750
1,000 Zenith National Insurance, CP . . . . . . . . . . . 27,375
1,100 Zurich Reinsurance Centre . . . . . . . . . . . . . 34,375
--------------
3,927,350
--------------
INVESTMENT COMPANIES - 0.17%
600 Capital Southwest Corp. . . . . . . . . . . . . . . 43,200
700 John Nuveen & Co., Inc. Cl. A . . . . . . . . . . . 18,550
2,000 Storage USA, Inc. . . . . . . . . . . . . . . . . . 75,250
--------------
137,000
--------------
LEISURE RELATED - 0.67%
400 AMC Entertainment, Inc. . . . . . . . . . . . . . . 5,750
500 Ameristar Casinos, Inc. (a) . . . . . . . . . . . . 2,688
700 Anchor Gaming (a) . . . . . . . . . . . . . . . . . 28,175
4,100 Arctic Cat, Inc.. . . . . . . . . . . . . . . . . . 40,488
1,400 Argosy Gaming Co. (a) . . . . . . . . . . . . . . . 6,475
200 Bally's Grand, Inc. (a) . . . . . . . . . . . . . . 7,200
200 Cannondale Corp. (a). . . . . . . . . . . . . . . . 4,500
1,800 Carmike Cinemas, Inc., Cl. A (a). . . . . . . . . . 45,675
1,000 Casino America, Inc. (a). . . . . . . . . . . . . . 3,187
800 Casino Magic Corp. (a). . . . . . . . . . . . . . . 1,975
1,200 Coachmen Industries, Inc. . . . . . . . . . . . . . 34,050
5,500 Handleman Co. . . . . . . . . . . . . . . . . . . . 46,750
2,900 Huffy Corp. . . . . . . . . . . . . . . . . . . . . 41,687
3,300 Jostens, Inc. . . . . . . . . . . . . . . . . . . . 69,713
2,400 K2, Inc.. . . . . . . . . . . . . . . . . . . . . . 66,000
2,200 Outboard Marine . . . . . . . . . . . . . . . . . . 36,300
1,200 Penn National Gaming, Inc. (a). . . . . . . . . . . 17,100
2,900 Toy Biz, Inc. (a) . . . . . . . . . . . . . . . . . 56,550
1,400 West Marine, Inc. (a) . . . . . . . . . . . . . . . 39,550
--------------
553,813
--------------
MACHINERY - 2.08%
500 AG-Chem Equipment, Inc. (a) . . . . . . . . . . . . 9,125
2,000 Albany International Corp., Cl. A . . . . . . . . . 46,250
500 Allied Products Corp. . . . . . . . . . . . . . . . 14,875
1,900 Applied Power, Inc., Cl. A. . . . . . . . . . . . . 75,288
500 Aviall Inc. . . . . . . . . . . . . . . . . . . . . 4,625
1,400 Bearings, Inc.- Ohio. . . . . . . . . . . . . . . . 39,025
1,700 Blount Intl Inc., Cl. A . . . . . . . . . . . . . . 65,238
3,800 BW/IP Holding, Inc. . . . . . . . . . . . . . . . . 62,700
2,300 Cascade Corp. . . . . . . . . . . . . . . . . . . . 36,944
3,900 Cincinnati Milacron, Inc. . . . . . . . . . . . . . 85,313
1,500 Commercial Intertech Corp.. . . . . . . . . . . . . 20,438
600 DT Industries, Inc. . . . . . . . . . . . . . . . . 21,000
2,300 Duriron Co., Inc. . . . . . . . . . . . . . . . . . 62,388
3,500 Giddings & Lewis, Inc.. . . . . . . . . . . . . . . 45,063
400 Gleason Corp. . . . . . . . . . . . . . . . . . . . 13,250
2,300 Global Industrial Tech, Inc. (a). . . . . . . . . . 50,888
3,300 Global Industries Ltd. (a). . . . . . . . . . . . . 61,463
1,600 Goulds Pumps, Inc.. . . . . . . . . . . . . . . . . 36,700
1,600 Greenfield Industries Inc. / DE . . . . . . . . . . 49,000
700 Helix Technology Corp.. . . . . . . . . . . . . . . 20,300
2,500 IDEX Corp.. . . . . . . . . . . . . . . . . . . . . 99,687
2,700 Kulicke & Soffa Industries (a). . . . . . . . . . . 51,300
3,300 Lincoln Electric Co.. . . . . . . . . . . . . . . . 108,487
1,100 Lindsay Manufacturing Co. . . . . . . . . . . . . . 51,425
1,750 Manitowoc Company, Inc. . . . . . . . . . . . . . . 70,875
6,900 Navistar International Corp. (a). . . . . . . . . . 62,962
2,100 Osmonics, Inc.. . . . . . . . . . . . . . . . . . . 46,200
500 Park-Ohio Industries, Inc. (a). . . . . . . . . . . 6,437
2,200 Quickturn Design System, Inc. (a) . . . . . . . . . 45,100
2,200 Regal Beloit Corp.. . . . . . . . . . . . . . . . . 43,175
See Notes to Financial Statements on Pages 55 through 57
41
<PAGE>
- --------------------------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS DECEMBER 31, 1996
- --------------------------------------------------------------------------------
Shares Description Value
- ------ ----------- -----
1,600 Robbins & Myers, Inc. . . . . . . . . . . . . . . . $ 40,000
1,300 Roper Industries, Inc.. . . . . . . . . . . . . . . 50,862
500 Specialty Equipment, Cos. (a) . . . . . . . . . . . 6,250
600 SPS Technologies, Inc. (a). . . . . . . . . . . . . 38,550
500 Turbochef, Inc. (a) . . . . . . . . . . . . . . . . 11,062
2,900 Watts Industries, Inc., Cl. A . . . . . . . . . . . 69,237
2,700 Zebra Technologies Corp., Cl. A (a) . . . . . . . . 63,112
600 Zoltek Cos. (a) . . . . . . . . . . . . . . . . . . 21,825
--------------
1,706,419
--------------
MANUFACTURING - 2.13%
500 ABC Rail Products Corp. (a) . . . . . . . . . . . . 9,938
3,200 Aura Systems, Inc. (a). . . . . . . . . . . . . . . 7,000
1,600 Brady (WH) Co.. . . . . . . . . . . . . . . . . . . 39,400
1,125 Cavalier Homes, Inc.. . . . . . . . . . . . . . . . 12,938
2,600 Clarcor, Inc. . . . . . . . . . . . . . . . . . . . 57,525
200 Coastcast Corp. (a) . . . . . . . . . . . . . . . . 2,900
700 Cross (A.T.) Company, Cl. A . . . . . . . . . . . . 8,138
1,100 Day Runner, Inc. (a). . . . . . . . . . . . . . . . 21,450
3,200 Figgie International, Cl. A (a) . . . . . . . . . . 38,400
1,900 Fisher Scientific International, Inc. . . . . . . . 89,538
1,300 Foamex International, Inc. (a). . . . . . . . . . . 21,450
300 Furon Company . . . . . . . . . . . . . . . . . . . 6,375
4,000 Gencorp, Inc. . . . . . . . . . . . . . . . . . . . 72,500
700 Graco, Inc. . . . . . . . . . . . . . . . . . . . . 17,150
5,000 Griffon Corp. (a) . . . . . . . . . . . . . . . . . 61,250
2,000 Harman International Industries, Inc. . . . . . . . 111,250
1,500 Insilco Corp. (a) . . . . . . . . . . . . . . . . . 57,750
4,600 Keystone International, Inc.. . . . . . . . . . . . 92,575
2,800 Lydall, Inc. (a). . . . . . . . . . . . . . . . . . 63,000
700 L.L. Knickerbocker Co. (a). . . . . . . . . . . . . 4,463
1,500 Matthews Intl. Corp., Cl. A . . . . . . . . . . . . 42,375
3,725 Paxar Corp. (a) . . . . . . . . . . . . . . . . . . 64,256
3,500 Pentair . . . . . . . . . . . . . . . . . . . . . . 112,875
1,000 Plantronics, Inc. (a) . . . . . . . . . . . . . . . 45,000
1,700 RMI Titanium Co. (a). . . . . . . . . . . . . . . . 47,812
1,700 Samsonite Corp. (a) . . . . . . . . . . . . . . . . 65,237
1,300 Sequa Corp., Cl. A (a). . . . . . . . . . . . . . . 51,025
1,400 Standex International Corp. . . . . . . . . . . . . 43,225
2,500 Teleflex. . . . . . . . . . . . . . . . . . . . . . 130,312
1,800 Thermo Terratech, Inc. (a). . . . . . . . . . . . . 17,775
700 Tredegar Industries, Inc. . . . . . . . . . . . . . 28,087
5,200 Tyco Toys, Inc. (a) . . . . . . . . . . . . . . . . 61,100
2,100 Valspar Corp. . . . . . . . . . . . . . . . . . . . 118,912
700 Vans, Inc. (a) . . . . . . . . . . . . . . . . . . 8,750
3,400 Waters Corp. (a). . . . . . . . . . . . . . . . . . 103,275
1,600 Zytec Corp. (a) . . . . . . . . . . . . . . . . . . 17,000
--------------
1,752,006
--------------
MARKETING - 0.01%
200 CKS Group Inc. (a). . . . . . . . . . . . . . . . . 5,575
--------------
MATERIALS-FOREIGN - 0.10%
10,500 Collins & Aikman Corp. (a). . . . . . . . . . . . . 65,625
1,200 Solv-Ex Corp. (a) . . . . . . . . . . . . . . . . . 16,800
--------------
82,425
--------------
MEDICAL BIOTECHNOLOGY - 1.44%
3,400 Advanced Tissue Sciences, Inc. (a). . . . . . . . . 32,513
1,200 Agouron Pharmaceuticals, Inc. (a) . . . . . . . . . 81,300
2,400 Alkermes, Inc. (a). . . . . . . . . . . . . . . . . 55,800
4,400 Alliance Pharmaceuticals Corp. (a). . . . . . . . . 59,950
1,200 Alteon, Inc. (a). . . . . . . . . . . . . . . . . . 6,300
600 Biomatrix, Inc. (a) . . . . . . . . . . . . . . . . 9,600
1,100 Bio-Rad Laboratories, Cl. A (a) . . . . . . . . . . 33,000
6,700 Bio-Technology General Corp. (a). . . . . . . . . . 87,938
2,700 Calgene, Inc. (a) . . . . . . . . . . . . . . . . . 13,500
2,300 Cellpro, Inc. (a) . . . . . . . . . . . . . . . . . 28,750
3,800 Cocensys, Inc. (a). . . . . . . . . . . . . . . . . 21,850
2,200 Creative Biomolecules, Inc. (a) . . . . . . . . . . 22,825
7,200 Cytogen Corp. (a) . . . . . . . . . . . . . . . . . 39,600
500 Cytyc Corp. (a) . . . . . . . . . . . . . . . . . . 13,500
600 Endosonics Corp. (a). . . . . . . . . . . . . . . . 9,150
6,600 Genelabs Technologies (a) . . . . . . . . . . . . . 40,425
2,500 Gensia, Inc. (a). . . . . . . . . . . . . . . . . . 11,563
2,500 Human Genome Sciences (a) . . . . . . . . . . . . . 101,875
2,900 Imclone Systems (a) . . . . . . . . . . . . . . . . 28,275
900 Immunomedics, Inc. (a). . . . . . . . . . . . . . . 4,950
300 Intercardia, Inc. (a) . . . . . . . . . . . . . . . 6,450
1,100 I-STAT (a). . . . . . . . . . . . . . . . . . . . . 26,125
2,100 Martek Biosciences Corp. (a). . . . . . . . . . . . 42,000
1,100 MedImmune, Inc. (a) . . . . . . . . . . . . . . . . 18,700
1,500 Myriad Genetics, Inc. (a) . . . . . . . . . . . . . 37,875
1,900 NeoPath, Inc. (a) . . . . . . . . . . . . . . . . . 34,675
2,800 Neoprobe Corp. (a). . . . . . . . . . . . . . . . . 43,050
1,000 Neose Technologies, Inc. (a). . . . . . . . . . . . 18,000
1,100 Neurex (a). . . . . . . . . . . . . . . . . . . . . 18,700
2,100 Neurogen Corp. (a). . . . . . . . . . . . . . . . . 40,425
900 Northfield Laboratories, Inc. (a) . . . . . . . . . 9,675
1,700 Oncogene Science, Inc. (a). . . . . . . . . . . . . 10,838
900 Organogenesis, Inc. (a) . . . . . . . . . . . . . . 20,812
2,900 Regeneron Pharmaceutical (a). . . . . . . . . . . . 46,762
1,300 Sangstat Medical Corp. (a). . . . . . . . . . . . . 34,450
2,300 Scios, Inc. (a) . . . . . . . . . . . . . . . . . . 14,122
2,200 Vical, Inc. (a) . . . . . . . . . . . . . . . . . . 36,300
800 Visx, Inc. (a). . . . . . . . . . . . . . . . . . . 17,700
--------------
1,179,323
--------------
MEDICAL SUPPLIES - 2.59%
3,000 Acuson Corp. (a). . . . . . . . . . . . . . . . . . 73,125
1,800 ADAC Laboratories . . . . . . . . . . . . . . . . . 42,975
2,100 Advanced Technology Laboratories, Inc. (a). . . . . 65,100
600 Amisys Managed Care Systems (a) . . . . . . . . . . 10,200
1,400 Angeion Corp. (a) . . . . . . . . . . . . . . . . . 4,900
1,800 Arrow International, Inc. . . . . . . . . . . . . . 51,750
700 Arthrocare Corp. (a). . . . . . . . . . . . . . . . 5,075
2,200 Ballard Medical Products. . . . . . . . . . . . . . 40,975
900 Capstone Pharmacy Services (a). . . . . . . . . . . 10,238
1,900 Chad Therapeutics, Inc. (a) . . . . . . . . . . . . 26,838
3,000 CNS, Inc. (a) . . . . . . . . . . . . . . . . . . . 43,125
1,600 Coherent, Inc. (a). . . . . . . . . . . . . . . . . 67,600
1,000 Collagen Corp.. . . . . . . . . . . . . . . . . . . 18,250
500 Conceptus, Inc. (a) . . . . . . . . . . . . . . . . 5,125
1,100 Conmed Corp. (a). . . . . . . . . . . . . . . . . . 22,550
600 Cryolife, Inc. (a). . . . . . . . . . . . . . . . . 7,500
2,300 Datascope Corp. (a) . . . . . . . . . . . . . . . . 46,000
See Notes to Financial Statements on Pages 55 through 57
42
<PAGE>
- --------------------------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS DECEMBER 31, 1996
- --------------------------------------------------------------------------------
Shares Description Value
- ------ ----------- -----
1,900 Diagnostic Products Corp. . . . . . . . . . . . . . $ 49,163
2,895 Enzo Biochem, Inc. (a). . . . . . . . . . . . . . . 52,472
1,000 Epitope, Inc. (a) . . . . . . . . . . . . . . . . . 11,500
1,300 Gelman Sciences, Inc. (a) . . . . . . . . . . . . . 42,250
2,500 Gulf South Medical Supply (a) . . . . . . . . . . . 64,063
900 Hologic, Inc. (a) . . . . . . . . . . . . . . . . . 22,275
300 ICU Medical, Inc. (a) . . . . . . . . . . . . . . . 2,363
2,800 Immune Response Corp. (a) . . . . . . . . . . . . . 23,100
2,700 Incontrol, Inc. (a) . . . . . . . . . . . . . . . . 21,600
2,800 Invacare Corp.. . . . . . . . . . . . . . . . . . . 77,000
600 Kinetic Concepts, Inc.. . . . . . . . . . . . . . . 7,350
600 Labone, Inc.. . . . . . . . . . . . . . . . . . . . 11,100
8,500 Laboratory Corporation of America Holdings (a). . . 24,438
2,100 Landauer, Inc.. . . . . . . . . . . . . . . . . . . 51,450
500 Life Technologies, Inc. . . . . . . . . . . . . . . 12,500
1,100 Lunar Corp. (a) . . . . . . . . . . . . . . . . . . 38,500
2,200 Mentor Corp./Minn.. . . . . . . . . . . . . . . . . 64,900
800 Meridian Diagnostics, Inc.. . . . . . . . . . . . . 10,400
200 Minimed, Inc. (a) . . . . . . . . . . . . . . . . . 6,450
2,600 Neuromedical Systems, Inc. (a). . . . . . . . . . . 34,450
3,500 OrthoLogic Corp. (a). . . . . . . . . . . . . . . . 19,687
800 Ostex International, Inc. (a) . . . . . . . . . . . 4,400
1,100 Palomar Medical Technologies (a). . . . . . . . . . 7,150
1,400 Patterson Dental Co. (a). . . . . . . . . . . . . . 39,550
1,700 Physio-Control Intl. Corp. (a). . . . . . . . . . . 38,250
500 Protocol Systems, Inc. (a). . . . . . . . . . . . . 6,500
1,100 Research Medical, Inc. (a). . . . . . . . . . . . . 25,300
1,400 Resound Corp. (a) . . . . . . . . . . . . . . . . . 9,975
2,800 Respironics (a) . . . . . . . . . . . . . . . . . . 48,650
600 Safeskin Corp. (a). . . . . . . . . . . . . . . . . 29,250
1,000 Seralogicals Corp. (a). . . . . . . . . . . . . . . 35,375
3,100 Sofamor Danek Group, Inc. (a) . . . . . . . . . . . 94,550
2,400 Sola International (a). . . . . . . . . . . . . . . 91,200
500 SpaceLabs Medical, Inc. (a) . . . . . . . . . . . . 10,250
700 Spine-Tech, Inc. (a). . . . . . . . . . . . . . . . 17,500
1,200 Staar Surgical Co. (a). . . . . . . . . . . . . . . 15,900
4,600 Summit Technology, Inc. (a) . . . . . . . . . . . . 25,300
900 Sunrise Medical, Inc. (a) . . . . . . . . . . . . . 14,287
1,600 Target Therapeutics (a) . . . . . . . . . . . . . . 67,200
400 Techne Corp. (a). . . . . . . . . . . . . . . . . . 10,400
2,700 Tecnol Medical Products, Inc. (a) . . . . . . . . . 40,837
1,500 Theragenics Corp. (a) . . . . . . . . . . . . . . . 33,937
1,000 Thermotrex Corp.. . . . . . . . . . . . . . . . . . 27,375
500 Thoratec Laboratories Corp. (a) . . . . . . . . . . 4,750
1,600 Uromed Corp. (a). . . . . . . . . . . . . . . . . . 15,600
2,600 Ventritex, Inc. (a) . . . . . . . . . . . . . . . . 64,025
2,400 Vivus, Inc. (a) . . . . . . . . . . . . . . . . . . 87,000
1,500 West Co., Inc.. . . . . . . . . . . . . . . . . . . 42,375
5,700 XOMA Corp. (a). . . . . . . . . . . . . . . . . . . 29,212
--------------
2,124,435
--------------
MEDICAL-HOSPITAL MANAGEMENT, SERVICE - 0.94%
100 Arbor Health Care Co. (a) . . . . . . . . . . . . . 2,600
4,200 Coastal Physician Group, Inc. (a) . . . . . . . . . 14,700
700 Emeritus Corp. (a). . . . . . . . . . . . . . . . . 9,450
1,200 Equimed, Inc. (a) . . . . . . . . . . . . . . . . . 4,200
2,000 GranCare, Inc. (a). . . . . . . . . . . . . . . . . 35,750
2,500 Health Care Properties Investment, Inc. . . . . . . 87,500
7,100 Imatron, Inc. (a) . . . . . . . . . . . . . . . . . 23,519
3,300 Integrated Health Services. . . . . . . . . . . . . 80,438
1,600 LCA - Vision, Inc. (a). . . . . . . . . . . . . . . 4,000
4,300 Magellan Health Services, Inc. (a). . . . . . . . . 96,213
2,700 Matria Healthcare, Inc. (a) . . . . . . . . . . . . 12,825
2,700 Maxicare Health Plans, Inc. (a) . . . . . . . . . . 60,075
800 Medcath, Inc. (a) . . . . . . . . . . . . . . . . . 12,800
700 National Surgery Centers, Inc. (a). . . . . . . . . 26,600
8,700 Novacare, Inc. (a). . . . . . . . . . . . . . . . . 95,700
2,400 Orthodontic Centers of America, Inc. (a). . . . . . 38,400
900 PHP Healthcare Corp. (a). . . . . . . . . . . . . . 23,063
400 Physicians Health Svcs., Inc., Cl. A (a). . . . . . 5,900
1,900 Prime Medical Services, Inc. (a). . . . . . . . . . 20,662
3,200 Regency Health Services (a) . . . . . . . . . . . . 30,800
700 Res-Care, Inc. (a). . . . . . . . . . . . . . . . . 12,250
1,500 Sierra Health Services, Inc. (a). . . . . . . . . . 36,937
500 Summit Care Corp. (a) . . . . . . . . . . . . . . . 8,187
3,400 Transcend Services, Inc. (a). . . . . . . . . . . . 17,850
400 Vitalink Pharmacy Services (a) . . . . . . . . . . 9,200
--------------
769,619
--------------
METALS - 0.89%
1,800 Amcast Industrial Corp. . . . . . . . . . . . . . . 44,550
800 Barnes Group, Inc.. . . . . . . . . . . . . . . . . 48,000
1,800 Brush Wellman, Inc. . . . . . . . . . . . . . . . . 29,475
400 Castle (A.M.) & Co. . . . . . . . . . . . . . . . . 7,700
2,100 Commonwealth Aluminum Corp. . . . . . . . . . . . . 32,288
800 Greenbrier Companies, Inc.. . . . . . . . . . . . . 8,300
1,600 Handy & Harman Co.. . . . . . . . . . . . . . . . . 28,000
2,700 Material Sciences Corp. (a) . . . . . . . . . . . . 48,600
2,400 Mueller Industries, Inc. (a). . . . . . . . . . . . 92,400
700 NN Ball & Roller, Inc.. . . . . . . . . . . . . . . 10,675
4,300 Ogden Corp. . . . . . . . . . . . . . . . . . . . . 80,625
2,000 Precision Castparts Corp. . . . . . . . . . . . . . 99,250
2,100 Quanex Corp.. . . . . . . . . . . . . . . . . . . . 57,487
400 Tremont Corp. (a) . . . . . . . . . . . . . . . . . 14,450
600 Valmont Industries. . . . . . . . . . . . . . . . . 24,750
1,100 Wolverine Tube, Inc. (a). . . . . . . . . . . . . . 38,775
2,100 Wyman-Gordon Co. (a). . . . . . . . . . . . . . . . 46,725
1,000 Zero Corp.-Del. . . . . . . . . . . . . . . . . . . 20,000
--------------
732,050
--------------
METALS - FOREIGN - 0.02%
1,100 Royal Gold, Inc. (a). . . . . . . . . . . . . . . . 14,713
--------------
METALS & MINING - 1.01%
5,700 Amax Gold Inc. (a). . . . . . . . . . . . . . . . . 36,338
900 Amcol International Corp. . . . . . . . . . . . . . 14,175
23,700 Battle Mountain Gold Co.. . . . . . . . . . . . . . 162,938
1,800 Cleveland-Cliffs, Inc.. . . . . . . . . . . . . . . 81,675
3,600 Coeur D'Alene Mines Corp. . . . . . . . . . . . . . 54,450
3,600 Freeport McMoran, Inc.. . . . . . . . . . . . . . . 115,650
2,600 Getchell Gold Corp. (a) . . . . . . . . . . . . . . 99,775
8,300 Hecla Mining Co. (a). . . . . . . . . . . . . . . . 46,688
See Notes to Financial Statements on Pages 55 through 57
43
<PAGE>
- --------------------------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS DECEMBER 31, 1996
- --------------------------------------------------------------------------------
Shares Description Value
- ------ ----------- -----
1,200 Kaiser Aluminum Corp. (a) . . . . . . . . . . . . . $ 13,950
300 MAXXAM, Inc. (a). . . . . . . . . . . . . . . . . . 14,287
2,000 Minerals Technologies, Inc. . . . . . . . . . . . . 82,000
600 Oregon Metallurgical Corp. (a). . . . . . . . . . . 19,350
1,500 Stillwater Mining Co. (a) . . . . . . . . . . . . . 27,187
2,600 Trimas Corp.. . . . . . . . . . . . . . . . . . . . 62,075
--------------
830,538
--------------
NATURAL GAS - 0.03%
2,800 Peoples Choice TV Corp. (a) . . . . . . . . . . . . 17,150
1,500 Valuevision Intl., Inc., Cl. A (a). . . . . . . . . 8,063
--------------
25,213
--------------
OFFICE EQUIPMENT & COMPUTERS - 0.74%
2,300 American Business Products - GA . . . . . . . . . . 57,788
900 Chicago Miniature Lamp, Inc. (a). . . . . . . . . . 37,350
3,300 Egghead Inc./Wa. (a). . . . . . . . . . . . . . . . 17,325
1,300 Encad, Inc. (a) . . . . . . . . . . . . . . . . . . 53,625
1,000 Ennis Business Forms. . . . . . . . . . . . . . . . 11,250
1,300 General Binding Corp. . . . . . . . . . . . . . . . 38,675
2,200 Hon Industries, Inc.. . . . . . . . . . . . . . . . 72,600
1,000 Hunt Mfg. . . . . . . . . . . . . . . . . . . . . . 18,125
4,100 Intergraph Corp. (a). . . . . . . . . . . . . . . . 42,025
2,400 New England Business Service. . . . . . . . . . . . 51,600
3,700 Nu-Kote Holding Inc., Cl. A (a) . . . . . . . . . . 37,925
900 Scotsman Industries, Inc. . . . . . . . . . . . . . 21,262
2,200 Standard Register Co. . . . . . . . . . . . . . . . 71,500
2,200 Thomas Industries, Inc. . . . . . . . . . . . . . . 45,925
1,600 United Stationers, Inc. (a) . . . . . . . . . . . . 31,200
--------------
608,175
--------------
OFFICE EQUIPMENT-SERVICE - 0.01%
1,000 BT Office Products International, Inc. (a). . . . . 8,875
--------------
OIL RELATED - 3.84%
800 Aquila Gas Pipeline Corp. . . . . . . . . . . . . . 12,700
300 Ashland Coal, Inc.. . . . . . . . . . . . . . . . . 8,325
800 Atwood Oceanics, Inc. (a) . . . . . . . . . . . . . 50,800
3,200 Barrett Resources Corp. (a) . . . . . . . . . . . . 136,400
700 Belden & Blake Corp. (a). . . . . . . . . . . . . . 17,850
3,000 Benton Oil & Gas Co. (a). . . . . . . . . . . . . . 67,875
3,900 BJ Services Co. (a) . . . . . . . . . . . . . . . . 198,900
1,000 Box Energy Corp., Cl. B (a) . . . . . . . . . . . . 9,125
2,900 Brown (Tom), Inc. (a) . . . . . . . . . . . . . . . 60,538
2,300 Cabot Oil & Gas Corp., Cl. A. . . . . . . . . . . . 39,388
800 Cairn Energy USA, Inc. (a). . . . . . . . . . . . . 8,000
3,300 Camco International, Inc. . . . . . . . . . . . . . 152,213
1,700 Cross Timbers Oil Co. . . . . . . . . . . . . . . . 42,713
200 Crown Central Petrol, Cl. A (a) . . . . . . . . . . 2,475
2,600 Devon Energy Corp.. . . . . . . . . . . . . . . . . 90,350
1,300 Energy Ventures, Inc. (a) . . . . . . . . . . . . . 66,138
1,000 Falcon Drilling Company Inc. (a). . . . . . . . . . 39,250
1,600 Flores & Rucks, Inc. (a). . . . . . . . . . . . . . 85,200
700 Forecenergy, Inc. (a) . . . . . . . . . . . . . . . 25,375
2,200 Forest Oil Corp. (a). . . . . . . . . . . . . . . . 38,775
1,700 Getty Petroleum Corp. . . . . . . . . . . . . . . . 27,625
12,500 Harken Energy Corp. (a) . . . . . . . . . . . . . . 37,500
1,300 Holly Corp. . . . . . . . . . . . . . . . . . . . . 34,775
600 Hondo Oil & Gas Co. (a) . . . . . . . . . . . . . . 6,525
1,000 KCS Energy, Inc.. . . . . . . . . . . . . . . . . . 35,750
2,200 Kelley Oil & Gas Corp. (a). . . . . . . . . . . . . 5,362
3,000 Lone Star Technologies (a). . . . . . . . . . . . . 51,000
800 Louis Dreyfus Natural Gas (a) . . . . . . . . . . . 13,700
3,100 Marine Drilling Co., Inc. (a) . . . . . . . . . . . 61,031
2,000 Mesa, Inc.. . . . . . . . . . . . . . . . . . . . . 10,500
3,300 Mitchell Energy & Dev., Cl. A . . . . . . . . . . . 73,837
5,000 Newfield Exploration Co. (a). . . . . . . . . . . . 130,000
1,700 Newpark Resources, Inc. (a) . . . . . . . . . . . . 63,325
1,700 Nuevo Energy Co. (a). . . . . . . . . . . . . . . . 88,400
2,400 Oceaneering International, Inc. (a) . . . . . . . . 38,100
5,600 Parker Drilling Co. (a) . . . . . . . . . . . . . . 53,900
4,500 Parker & Parsley Petro Co.. . . . . . . . . . . . . 165,375
1,400 Plains Resources, Inc. (a). . . . . . . . . . . . . 21,875
3,000 Pool Energy Services Co. (a). . . . . . . . . . . . 46,125
2,800 Pride Petroleum Services, Inc. (a). . . . . . . . . 65,100
1,300 Production Operators Corp.. . . . . . . . . . . . . 60,450
3,600 Quaker State Corp.. . . . . . . . . . . . . . . . . 50,850
900 Seacor Holdings, Inc. (a) . . . . . . . . . . . . . 56,700
6,120 Seagull Energy Corp. (a). . . . . . . . . . . . . . 134,640
4,000 Snyder Oil Corp.. . . . . . . . . . . . . . . . . . 69,500
700 Stone Energy Corp. (a). . . . . . . . . . . . . . . 20,912
2,100 Swift Energy Co. (a). . . . . . . . . . . . . . . . 62,737
1,200 Tejas Gas Corp. (a) . . . . . . . . . . . . . . . . 57,150
2,500 Tesoro Petroleum Corp. (a). . . . . . . . . . . . . 35,000
1,000 TransTexas Gas Corp. (a). . . . . . . . . . . . . . 14,500
5,700 Tuboscope Vetco Intl. Corp. (a) . . . . . . . . . . 88,350
3,100 United Meridian Corp. (a) . . . . . . . . . . . . . 160,425
1,400 Varco International, Inc. (a) . . . . . . . . . . . 32,375
1,700 Vintage Petroleum, Inc. . . . . . . . . . . . . . . 58,650
800 Western Gas Resources Inc . . . . . . . . . . . . . 15,400
2,500 Zeigler Coal Holding Co.. . . . . . . . . . . . . . 53,437
--------------
3,153,271
--------------
OIL-SUPPLIES & CONSTRUCTION - 0.30%
1,100 Cliffs Drilling Co. (a) . . . . . . . . . . . . . . 69,575
2,500 Lomak Petroleum, Inc. . . . . . . . . . . . . . . . 42,812
1,600 Seitel, Inc. (a). . . . . . . . . . . . . . . . . . 64,000
2,142 Ultramar Diamond Shamrock Corp. . . . . . . . . . . 67,741
--------------
244,128
--------------
PAPER - 0.49%
2,400 Caraustar Industries, Inc.. . . . . . . . . . . . . 79,800
4,100 Glatfelter Co.. . . . . . . . . . . . . . . . . . . 73,800
1,300 Media General Inc., Cl. A . . . . . . . . . . . . . 39,325
600 Mercer Intl. Inc. - SBI (a) . . . . . . . . . . . . 6,150
600 Mosinee Paper Corp. . . . . . . . . . . . . . . . . 21,300
800 Paragon Trade Brands, Inc. (a). . . . . . . . . . . 24,000
1,300 Pope & Talbot, Inc. . . . . . . . . . . . . . . . . 20,638
3,100 Rock-Tenn Company, Cl. A . . . . . . . . . . . . . 61,225
4,200 Wausau Paper Mills Co.. . . . . . . . . . . . . . . 77,700
--------------
403,938
--------------
PETROLEUM RELATED - 0.15%
2,400 Helmerich & Payne, Inc. . . . . . . . . . . . . . . 125,100
--------------
See Notes to Financial Statements on Pages 55 through 57
44
<PAGE>
- --------------------------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS DECEMBER 31, 1996
- --------------------------------------------------------------------------------
Shares Description Value
- ------ ----------- -----
PHARMACEUTICALS - 1.34%
900 Bindley West Inds.. . . . . . . . . . . . . . . . . $ 17,438
1,927 Block Drug Co., Cl. A . . . . . . . . . . . . . . . 88,642
700 Carrington Laboratories, Inc. (a) . . . . . . . . . 5,425
1,700 Carter-Wallace, Inc.. . . . . . . . . . . . . . . . 26,563
800 Chronimed, Inc. (a) . . . . . . . . . . . . . . . . 10,900
2,700 Columbia Laboratories, Inc. (a) . . . . . . . . . . 39,150
700 Copley Pharmaceutical, Inc. (a) . . . . . . . . . . 6,475
1,700 Curative Health Services, Inc. (a). . . . . . . . . 47,069
2,600 Cygnus, Inc. (a). . . . . . . . . . . . . . . . . . 37,700
1,800 Cytel Corp. (a) . . . . . . . . . . . . . . . . . . 6,188
500 Depotech Corp. (a). . . . . . . . . . . . . . . . . 8,188
4,500 Dura Pharmaceuticals, Inc. (a). . . . . . . . . . . 214,875
1,400 Foxmeyer Health Corp. (a) . . . . . . . . . . . . . 2,275
900 Fuisz Technologies Ltd. (a) . . . . . . . . . . . . 7,087
1,100 Geltex Pharmaceuticals, Inc. (a). . . . . . . . . . 26,675
4,800 ICN Pharmaceuticals, Inc. . . . . . . . . . . . . . 94,200
5,000 ICOS Corp. (a). . . . . . . . . . . . . . . . . . . 38,125
1,800 IDEC Pharmaceuticals Corp. (a). . . . . . . . . . . 42,750
1,100 ImmuLogic Pharmaceuticals Corp. (a) . . . . . . . . 7,012
3,700 Ligand Pharmaceuticals, Cl. B (a) . . . . . . . . . 55,037
2,500 NBTY, Inc. (a). . . . . . . . . . . . . . . . . . . 47,500
2,400 Noven Pharmaceuticals, Inc. (a) . . . . . . . . . . 33,600
1,500 Owens & Minor Inc. Hldg. Co.. . . . . . . . . . . . 15,375
700 Parexel International Corp. (a) . . . . . . . . . . 36,137
800 Pathogenesis Corp. (a). . . . . . . . . . . . . . . 17,400
400 PDT, Inc. (a) . . . . . . . . . . . . . . . . . . . 11,200
1,900 Pharmacopeia, Inc. (a). . . . . . . . . . . . . . . 36,812
2,500 Sciclone Pharmaceuticals, Inc. (a). . . . . . . . . 20,000
2,600 Sepracor, Inc. (a). . . . . . . . . . . . . . . . . 43,225
1,150 TheraTech., Inc. (a). . . . . . . . . . . . . . . . 15,237
3,200 US Bioscience, Inc. (a) . . . . . . . . . . . . . . 40,400
--------------
1,098,660
--------------
PHOTO & OPTICAL - 0.05%
1,100 CPI Corp. . . . . . . . . . . . . . . . . . . . . . 18,425
600 Delchamps, Inc. . . . . . . . . . . . . . . . . . . 11,625
800 Optical Coating Laboratories. . . . . . . . . . . . 8,600
--------------
38,650
--------------
PRINTING & PUBLISHING - 1.11%
2,400 American Media, Inc., Cl. A (a) . . . . . . . . . . 14,100
1,700 ATC Communications Group, Inc. (a). . . . . . . . . 22,525
2,600 Banta Corp. . . . . . . . . . . . . . . . . . . . . 59,475
2,800 Bowne & Co., Inc. . . . . . . . . . . . . . . . . . 68,950
3,100 Golden Books Family Entmnt. (a) . . . . . . . . . . 34,488
4,300 Harland (John H.) . . . . . . . . . . . . . . . . . 141,900
1,100 Hollinger International, Inc. . . . . . . . . . . . 12,650
1,200 Houghton Mifflin Co.. . . . . . . . . . . . . . . . 67,950
700 Intl. Imaging Materials, Inc. (a) . . . . . . . . . 15,925
4,100 McClathchy Newspapers, Cl. A. . . . . . . . . . . . 143,500
1,300 Merrill Corp. . . . . . . . . . . . . . . . . . . . 29,900
1,100 Scholastic Corp. (a). . . . . . . . . . . . . . . . 73,975
1,400 Thomas Nelson, Inc. . . . . . . . . . . . . . . . . 20,825
3,400 Valassis Communications, Inc. (a) . . . . . . . . . 71,825
2,100 Wiley (John) & Sons, Cl. A. . . . . . . . . . . . . 67,725
3,500 World Color Press, Inc. (a) . . . . . . . . . . . . 67,375
--------------
913,088
--------------
PROFESSIONAL SERVICES - 0.72%
1,500 ABR Information Services, Inc. (a). . . . . . . . . 59,063
150 Data Translation II (a) . . . . . . . . . . . . . . 600
1,500 MDL Information Systems, Inc. (a) . . . . . . . . . 27,938
5,200 National Educational Corp. (a). . . . . . . . . . . 79,300
1,100 On Assigment, Inc. (a). . . . . . . . . . . . . . . 32,450
3,100 Physicians Resources Group, Inc. (a). . . . . . . . 55,025
2,900 PMT Services, Inc. (a). . . . . . . . . . . . . . . 50,750
12,900 Rollins Environmental Services, Inc. (a). . . . . . 22,575
2,000 Scientific Games Hldgs. Corp. (a) . . . . . . . . . 53,500
600 Shuffle Master, Inc. (a). . . . . . . . . . . . . . 5,325
2,100 Sturm Ruger & Co., Inc. . . . . . . . . . . . . . . 40,687
1,200 Tetra Tech, Inc. (a). . . . . . . . . . . . . . . . 23,700
3,200 Unifirst Corp.. . . . . . . . . . . . . . . . . . . 68,000
1,500 Veritas DGC, Inc. (a) . . . . . . . . . . . . . . . 27,750
1,400 Veterinary Centers of America, Inc. (a) . . . . . . 15,400
1,000 Wackenhut Corp., Cl. A. . . . . . . . . . . . . . . 17,250
400 Wackenhut Corrections Corp. (a) . . . . . . . . . . 8,000
300 Youth Services International, Inc. (a). . . . . . . 4,575
--------------
591,888
--------------
RAILROADS - 0.02%
700 Railtex, Inc. (a) . . . . . . . . . . . . . . . . . 17,675
--------------
REAL ESTATE - 8.02%
2,600 Allied Capital Commercial . . . . . . . . . . . . . 60,450
3,500 American Health Properties. . . . . . . . . . . . . 83,563
1,000 Amli Residential Properties . . . . . . . . . . . . 23,375
2,600 Apartment Invt. & Mgmt. Co., Cl. A. . . . . . . . . 73,450
1,400 Associated Estates Realty Corp. . . . . . . . . . . 33,250
4,400 Avalon Properties, Inc. . . . . . . . . . . . . . . 126,500
200 Avatar Holdings, Inc. (a) . . . . . . . . . . . . . 6,400
3,100 Bay Apartment Communities . . . . . . . . . . . . . 111,600
2,800 Beacon Properties Corp. . . . . . . . . . . . . . . 102,550
3,000 Berkshire Realty Co.. . . . . . . . . . . . . . . . 29,625
3,400 Bradley Real Estate, Inc. . . . . . . . . . . . . . 61,200
2,600 BRE Properties, Cl. A . . . . . . . . . . . . . . . 64,350
2,800 Cali Realty Corp. . . . . . . . . . . . . . . . . . 86,450
1,900 Camden Property Trust . . . . . . . . . . . . . . . 54,388
3,400 Capstead Mortgage Corp. . . . . . . . . . . . . . . 81,600
2,600 Carramerica Realty Corp.. . . . . . . . . . . . . . 76,050
1,100 Castle & Cooke, Inc. (a). . . . . . . . . . . . . . 17,463
7,000 Catellus Development Corp. (a). . . . . . . . . . . 79,625
3,500 CBL & Associates Properties . . . . . . . . . . . . 90,563
1,700 Centerpoint Properties Corp.. . . . . . . . . . . . 55,675
2,200 Chelsea GCA Realty. . . . . . . . . . . . . . . . . 76,175
2,200 Colonial Properties Trust . . . . . . . . . . . . . 66,825
100 Columbus Realty Trust . . . . . . . . . . . . . . . 2,275
3,600 Commercial Net Lease Realty . . . . . . . . . . . . 57,150
600 Continential Homes Holding Corp.. . . . . . . . . . 12,750
3,700 Cousins Properties, Inc.. . . . . . . . . . . . . . 104,063
3,100 Crescent Real Estate Equities . . . . . . . . . . . 163,525
5,100 Criimi Mae, Inc.. . . . . . . . . . . . . . . . . . 65,663
400 Crown American Realty . . . . . . . . . . . . . . . 3,000
4,300 CWM Mortgage Holdings, Inc. . . . . . . . . . . . . 92,450
3,000 Developers Divers Realty Corp.. . . . . . . . . . . 111,375
4,400 Equity Inns, Inc. . . . . . . . . . . . . . . . . . 57,200
See Notes to Financial Statements on Pages 55 through 57
45
<PAGE>
- --------------------------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS DECEMBER 31, 1996
- --------------------------------------------------------------------------------
Shares Description Value
- ------ ----------- -----
2,300 Evans Withycombe Residential. . . . . . . . . . . . $ 48,300
1,200 Excel Realty Trust, Inc.. . . . . . . . . . . . . . 30,450
2,700 Federal Realty Investors Trust. . . . . . . . . . . 73,238
2,800 Felcor Suite Hotels . . . . . . . . . . . . . . . . 99,050
3,800 First Industrial Realty Trust . . . . . . . . . . . 115,425
400 Forest City Enterprises, Cl. A. . . . . . . . . . . 24,200
3,000 Gables Residential Trust. . . . . . . . . . . . . . 87,000
2,000 General Growth Properties . . . . . . . . . . . . . 64,500
2,700 Glimcher Realty Trust . . . . . . . . . . . . . . . 59,400
1,500 Health Care Reit, Inc.. . . . . . . . . . . . . . . 36,750
2,600 Healthcare Realty Trust, Inc. . . . . . . . . . . . 68,900
2,600 Highwoods Properties, Inc.. . . . . . . . . . . . . 87,750
2,400 Horizon Group, Inc. . . . . . . . . . . . . . . . . 47,700
1,500 Hospitality Properties Trust. . . . . . . . . . . . 43,500
4,400 Insignia Finl. Group Inc., Cl. A (a). . . . . . . . 99,000
700 IRT Property Co.. . . . . . . . . . . . . . . . . . 8,050
3,100 Irvine Apartment Communities. . . . . . . . . . . . 77,500
600 JDN Realty Corp.. . . . . . . . . . . . . . . . . . 16,575
300 JP Realty, Inc. . . . . . . . . . . . . . . . . . . 7,763
2,000 Kimco Realty. . . . . . . . . . . . . . . . . . . . 69,750
900 Koger Equity, Inc. (a). . . . . . . . . . . . . . . 16,875
2,100 Liberty Property Trust. . . . . . . . . . . . . . . 54,075
3,500 LTC Properties, Inc.. . . . . . . . . . . . . . . . 64,750
3,400 Macerich Company (The). . . . . . . . . . . . . . . 88,825
2,100 Manufactured Home Communities . . . . . . . . . . . 48,825
900 Meridian Industrial Trust . . . . . . . . . . . . . 18,900
2,800 Merry Land & Investment . . . . . . . . . . . . . . 60,200
2,700 MGI Properties, Inc.. . . . . . . . . . . . . . . . 59,400
2,400 Mid-America Apartment Comm. . . . . . . . . . . . . 69,300
2,690 Mid-Am, Inc.. . . . . . . . . . . . . . . . . . . . 46,066
2,900 Mills Corp. . . . . . . . . . . . . . . . . . . . . 69,238
2,200 National Golf Properties, Inc.. . . . . . . . . . . 69,575
2,900 National Health Investors, Inc. . . . . . . . . . . 109,838
3,500 Nationwide Health Properties, Inc.. . . . . . . . . 84,875
3,100 Oasis Residental, Inc.. . . . . . . . . . . . . . . 70,525
1,300 Omega Healthcare Investors. . . . . . . . . . . . . 43,225
3,500 Paragon Group, Inc. . . . . . . . . . . . . . . . . 62,125
1,600 Patriot American Hospitality. . . . . . . . . . . . 69,000
900 Penn Real Estate Investment Trust . . . . . . . . . 21,937
1,700 Post Properties, Inc. . . . . . . . . . . . . . . . 68,425
1,500 Price Enterprises, Inc. . . . . . . . . . . . . . . 26,062
5,700 Public Storage, Inc.. . . . . . . . . . . . . . . . 176,700
2,700 Pulte Corp. . . . . . . . . . . . . . . . . . . . . 83,025
3,700 Realty Income Corp. . . . . . . . . . . . . . . . . 88,337
500 Reckson Association Realty Corp.. . . . . . . . . . 21,125
1,700 Resource Mortgage Capital . . . . . . . . . . . . . 49,937
4,500 RFS Hotel Investors, Inc. . . . . . . . . . . . . . 88,875
600 ROC Communities, Inc. . . . . . . . . . . . . . . . 16,650
2,500 Shurgaurd Storage Centers, Inc. . . . . . . . . . . 74,062
2,200 Smith Charles E. Residential. . . . . . . . . . . . 64,350
2,100 South West Property Trust . . . . . . . . . . . . . 35,437
900 Sovran Self Storage, Inc. . . . . . . . . . . . . . 28,125
2,400 Spieker Properties, Inc.. . . . . . . . . . . . . . 86,400
2,700 Storage Trust Realty. . . . . . . . . . . . . . . . 72,900
2,500 Summit Properties, Inc. . . . . . . . . . . . . . . 55,312
2,700 Sun Communities, Inc. . . . . . . . . . . . . . . . 93,150
1,600 Susquehanna Bancshares, Inc.. . . . . . . . . . . . 55,400
5,500 Taubman Centers, Inc. . . . . . . . . . . . . . . . 70,812
1,800 The Price Reit Inc. - Common. . . . . . . . . . . . 69,300
2,900 Thornburg Mortgage Asset Corp.. . . . . . . . . . . 61,987
2,100 Trinet Corporate Realty Trust . . . . . . . . . . . 74,550
8,300 United Dominion Realty Trust. . . . . . . . . . . . 128,650
2,300 Universal Health Rlty. Income . . . . . . . . . . . 47,150
1,500 Urban Shopping Centers, Inc. . . . . . . . . . . . 43,500
3,300 Vornado Realty Trust. . . . . . . . . . . . . . . . 173,250
2,400 Washington REIT . . . . . . . . . . . . . . . . . . 42,000
1,500 Weeks Corp. . . . . . . . . . . . . . . . . . . . . 49,875
3,500 Weingarten Realty Investors . . . . . . . . . . . . 142,187
2,900 Wellsford Residential Property Trust. . . . . . . . 70,325
--------------
6,580,791
--------------
RETAIL - 3.61%
300 Alexander's, Inc. (a) . . . . . . . . . . . . . . . 23,737
400 American Eagle Outfitters (a) . . . . . . . . . . . 3,150
3,200 AnnTaylor Stores (a). . . . . . . . . . . . . . . . 56,000
2,850 Arbor Drugs, Inc. . . . . . . . . . . . . . . . . . 49,519
1,500 Baby Superstore (a) . . . . . . . . . . . . . . . . 36,000
4,500 Best Buy Company, Inc. (a). . . . . . . . . . . . . 47,812
1,000 Blair Corp. . . . . . . . . . . . . . . . . . . . . 19,250
6,600 Bombay Co., Inc. (a). . . . . . . . . . . . . . . . 30,525
800 Books-A-Million, Inc. (a) . . . . . . . . . . . . . 5,500
4,187 Buffets, Inc. (a) . . . . . . . . . . . . . . . . . 38,206
600 Burlington Coat Factory Warehouse (a) . . . . . . . 7,800
2,500 Carson Pirie Scott & Co. (a). . . . . . . . . . . . 63,125
2,000 Casey's General Stores, Inc.. . . . . . . . . . . . 37,500
4,769 Cash America Intl., Inc.. . . . . . . . . . . . . . 40,537
2,500 Cato Corp, Cl. A. . . . . . . . . . . . . . . . . . 12,500
6,200 Claire's Stores, Inc. . . . . . . . . . . . . . . . 80,600
4,200 CML Group, Inc. . . . . . . . . . . . . . . . . . . 14,175
1,900 Cole National Corp., Cl. A (a). . . . . . . . . . . 49,875
3,700 Compucom Systems, Inc. (a). . . . . . . . . . . . . 39,775
500 Copart, Inc. (a). . . . . . . . . . . . . . . . . . 6,562
900 Discount Auto Parts (a) . . . . . . . . . . . . . . 21,037
900 Dress Barn, Inc. (a). . . . . . . . . . . . . . . . 13,500
1,600 Duty Free Intl., Inc. . . . . . . . . . . . . . . . 23,200
2,600 Eagle Hardware & Garden (a) . . . . . . . . . . . . 53,950
2,100 Ethan Allen Interiors, Inc. . . . . . . . . . . . . 80,850
2,400 Fabri-Centers of America, Cl. A (a) . . . . . . . . 38,700
3,700 Family Dollar Stores, Inc.. . . . . . . . . . . . . 75,387
6,600 Fingerhut Companies, Inc. . . . . . . . . . . . . . 80,850
5,500 Fleming Cos.. . . . . . . . . . . . . . . . . . . . 94,875
2,500 Fred Meyer, Inc. (a). . . . . . . . . . . . . . . . 88,750
1,500 Friedman's Inc., Cl. A (a). . . . . . . . . . . . . 22,125
1,300 Gadzooks, Inc. (a). . . . . . . . . . . . . . . . . 23,725
2,700 Gibson Greetings, Inc. (a). . . . . . . . . . . . . 52,987
2,500 Gymboree Corp. (a). . . . . . . . . . . . . . . . . 57,187
600 Hancock Fabrics, Inc. . . . . . . . . . . . . . . . 6,225
4,000 Hearx Ltd. (a). . . . . . . . . . . . . . . . . . . 11,250
1,800 Hechinger Co., Cl. A. . . . . . . . . . . . . . . . 3,713
2,000 Hollywood Entertainment Corp. (a) . . . . . . . . . 37,000
2,300 Intelligent Electronics, Inc. . . . . . . . . . . . 18,400
1,650 Just For Feet, Inc. (a) . . . . . . . . . . . . . . 43,313
1,700 Kenneth Cole Productions, Cl. A (a) . . . . . . . . 26,350
2,100 Long Drug Stores Corp.. . . . . . . . . . . . . . . 103,163
See Notes to Financial Statements on Pages 55 through 57
46
<PAGE>
- --------------------------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS DECEMBER 31, 1996
- --------------------------------------------------------------------------------
Shares Description Value
- ------ ----------- -----
2,400 MAC Frugal Bargains Close-Outs, Inc. (a). . . . . . $ 62,700
1,500 Mail Boxes, Etc. (a). . . . . . . . . . . . . . . . 33,750
1,200 Michaels Stores, Inc. (a) . . . . . . . . . . . . . 14,400
2,600 Mikasa Inc. (a) . . . . . . . . . . . . . . . . . . 26,650
400 Movie Gallery, Inc. (a) . . . . . . . . . . . . . . 5,200
2,400 Petco Animal Supplies, Inc. (a) . . . . . . . . . . 49,800
4,200 Pier 1 Imports Inc./Del.. . . . . . . . . . . . . . 74,025
1,700 Proffitt's, Inc. (a). . . . . . . . . . . . . . . . 62,688
1,500 Quality Food Centers, Inc. (a). . . . . . . . . . . 50,625
1,900 Regis Corp. . . . . . . . . . . . . . . . . . . . . 30,875
600 Riser Foods Inc., Cl. A . . . . . . . . . . . . . . 19,050
3,835 Rite Aid Corp.. . . . . . . . . . . . . . . . . . . 152,441
14,000 Service Merchandise Co. (a) . . . . . . . . . . . . 59,500
1,700 Shopko Stores, Inc. . . . . . . . . . . . . . . . . 25,500
1,000 Smart & Final, Inc. . . . . . . . . . . . . . . . . 21,625
3,600 Sports & Recreation, Inc. (a) . . . . . . . . . . . 27,900
1,400 Stanhome, Inc.. . . . . . . . . . . . . . . . . . . 37,100
1,700 Stein Mart, Inc. (a). . . . . . . . . . . . . . . . 34,425
400 Strawbridge & Clothier, Cl. A . . . . . . . . . . . 6,350
300 The Buckle, Inc. (a). . . . . . . . . . . . . . . . 7,500
1,900 The Men's Wearhouse, Inc. (a) . . . . . . . . . . . 46,550
4,250 The Sports Authority, Inc. (a). . . . . . . . . . . 92,438
1,200 Tractor Supply (a). . . . . . . . . . . . . . . . . 24,750
500 Urban Outfillters, Inc. (a) . . . . . . . . . . . . 6,500
3,600 U.S. Office Products Co. (a). . . . . . . . . . . . 122,850
3,000 Waban, Inc. (a) . . . . . . . . . . . . . . . . . . 78,000
2,500 Williams-Sonoma, Inc. (a) . . . . . . . . . . . . . 90,938
3,000 Zale Corp. (a). . . . . . . . . . . . . . . . . . . 57,375
--------------
2,960,190
--------------
RETAIL-FOOD - 1.01%
2,500 Apple South, Inc. . . . . . . . . . . . . . . . . . 33,750
3,100 Applebees International, Inc. . . . . . . . . . . . 85,250
6,300 Bob Evans Farms . . . . . . . . . . . . . . . . . . 85,050
900 Cheesecake Factory, Inc. (The) (a). . . . . . . . . 16,313
2,600 CKE Restraurants, Inc.. . . . . . . . . . . . . . . 93,600
600 Daka International, Inc. (a). . . . . . . . . . . . 5,775
6,000 Foodmaker, Inc. (a) . . . . . . . . . . . . . . . . 53,250
1,600 IHOP Corp. (a). . . . . . . . . . . . . . . . . . . 37,800
2,000 Ingles Markets Inc., Cl. A. . . . . . . . . . . . . 25,000
2,900 Intl. Dairy Queen, Inc., Cl. A (a). . . . . . . . . 58,000
1,600 Landry's Seafood Restaurants (a). . . . . . . . . . 34,200
500 Longhorn Steaks, Inc. (a) . . . . . . . . . . . . . 9,438
400 Manhattan Bagel Co. (a) . . . . . . . . . . . . . . 2,900
1,100 Microage, Inc. (a). . . . . . . . . . . . . . . . . 22,000
1,950 Papa John's International, Inc. (a) . . . . . . . . 65,812
300 Quality Dining, Inc. (a). . . . . . . . . . . . . . 5,362
700 Rainforest Cafe, Inc. (a) . . . . . . . . . . . . . 16,450
4,400 Ruddick Corp. . . . . . . . . . . . . . . . . . . . 61,600
2,300 Sonic Corp. (a) . . . . . . . . . . . . . . . . . . 58,650
2,700 Whole Foods Market, Inc. (a). . . . . . . . . . . . 60,750
--------------
830,950
--------------
STEEL - 0.52%
2,100 Acme Metals, Inc. (a) . . . . . . . . . . . . . . . 40,688
8,900 Armco, Inc. (a) . . . . . . . . . . . . . . . . . . 36,713
3,000 Birmingham Steel Corp.. . . . . . . . . . . . . . . 57,000
1,200 Carpenter Technology. . . . . . . . . . . . . . . . 43,950
700 Citation Corp. (a). . . . . . . . . . . . . . . . . 7,175
2,100 Commercial Metals Co. . . . . . . . . . . . . . . . 63,263
1,600 Geneva Steel Co., Cl. A (a) . . . . . . . . . . . . 4,800
500 Gibraltar Steel Corp. (a) . . . . . . . . . . . . . 13,125
800 J & L Specialty Steel, Inc. . . . . . . . . . . . . 9,100
2,600 Lukens, Inc.. . . . . . . . . . . . . . . . . . . . 52,325
1,100 National Steel Corp., Cl. B (a) . . . . . . . . . . 10,175
1,100 Schnitzer Steel Industries Inc., Cl. A. . . . . . . 28,187
1,300 Station Casinos (a) . . . . . . . . . . . . . . . . 13,162
800 Steel Technologies, Inc.. . . . . . . . . . . . . . 10,600
2,600 UNR Industries, Inc.. . . . . . . . . . . . . . . . 15,600
2,100 WHX Corp. (a) . . . . . . . . . . . . . . . . . . . 18,637
--------------
424,500
--------------
TECHNOLOGY/RETAILING - 0.01%
600 General Scanning, Inc. (a). . . . . . . . . . . . . 7,050
--------------
TELECOMMUNICATIONS - 2.34%
2,100 ACC Corp. (a) . . . . . . . . . . . . . . . . . . . 63,525
2,800 Aliant Communications, Inc. . . . . . . . . . . . . 47,600
1,000 American Mobile Satellite Corp. . . . . . . . . . . 12,250
1,300 American Paging, Inc. (a) . . . . . . . . . . . . . 6,094
2,200 American Radio Systems Corp. (a). . . . . . . . . . 59,950
200 Ancor Communications, Inc. (a). . . . . . . . . . . 2,800
800 Antec Corp. (a) . . . . . . . . . . . . . . . . . . 7,200
1,000 Applied Digital Access, Inc. (a). . . . . . . . . . 5,500
2,500 Applied Innovation, Inc. (a). . . . . . . . . . . . 15,312
1,600 Arch Communications Group (a) . . . . . . . . . . . 15,000
300 Associated Group, Inc., Cl. A (a) . . . . . . . . . 9,225
400 Atlantic Tele-Network, Inc. (a) . . . . . . . . . . 6,100
3,400 Boston Technology, Inc. (a) . . . . . . . . . . . . 97,750
800 Brite Voice Systems, Inc. (a) . . . . . . . . . . . 11,900
1,900 Broadband Technologies, Inc. (a). . . . . . . . . . 28,025
2,100 CAI Wireless Systems, Inc. (a). . . . . . . . . . . 2,100
2,300 California Amplifier, Inc. (a). . . . . . . . . . . 14,087
2,700 California Microwave (a). . . . . . . . . . . . . . 40,162
1,000 Cellular Communications International, Inc. (a) . . 29,000
1,100 Centennial Cellular Corp., Cl. A (a). . . . . . . . 13,337
2,300 Cidco, Inc. (a) . . . . . . . . . . . . . . . . . . 40,250
1,600 Coherent Communic Sys Corp. (a) . . . . . . . . . . 31,200
200 Comforce Corp. (a). . . . . . . . . . . . . . . . . 2,850
2,200 Commnet Cellular, Inc. (a). . . . . . . . . . . . . 61,325
300 CSG Systems International (a) . . . . . . . . . . . 4,613
2,000 C-Tec Corp. (a) . . . . . . . . . . . . . . . . . . 48,500
900 Davox Corp. (a) . . . . . . . . . . . . . . . . . . 37,125
2,100 Digital Microwave Corp. (a) . . . . . . . . . . . . 58,538
600 Digital Systems International, Inc. (a) . . . . . . 9,600
7,400 DSP Communications (a). . . . . . . . . . . . . . . 143,375
800 EIS International, Inc. (a) . . . . . . . . . . . . 6,900
700 Executive Telecard Ltd. (a) . . . . . . . . . . . . 4,375
9,300 Executone Information Systems, Inc. (a) . . . . . . 22,088
1,000 Fastcomm Communications Corp. (a) . . . . . . . . . 6,125
1,500 General Datacomm Inds., Inc. (a). . . . . . . . . . 15,750
5,400 Geotek Communications, Inc. (a) . . . . . . . . . . 38,475
700 Harmonic Lightwaves, Inc. (a) . . . . . . . . . . . 10,763
3,000 Highwaymaster Communications (a). . . . . . . . . . 54,375
1,000 Intercel, Inc. (a). . . . . . . . . . . . . . . . . 12,250
See Notes to Financial Statements on Pages 55 through 57
47
<PAGE>
- --------------------------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS DECEMBER 31, 1996
- --------------------------------------------------------------------------------
Shares Description Value
- ------ ----------- -----
4,400 Interdigital Comm. Corp. (a). . . . . . . . . . . . $ 25,300
1,400 Intermedia Communications (a) . . . . . . . . . . . 36,050
3,900 International Cabletel, Inc. (a). . . . . . . . . . 98,475
500 Inter-Tel, Inc. (a) . . . . . . . . . . . . . . . . 9,500
2,600 Intervoice, Inc. (a). . . . . . . . . . . . . . . . 31,850
100 IPC Information Systems (a) . . . . . . . . . . . . 1,513
1,300 Level One Communications, Inc. (a). . . . . . . . . 46,475
1,000 Mastec, Inc. (a). . . . . . . . . . . . . . . . . . 53,000
600 Metricom, Inc. (a). . . . . . . . . . . . . . . . . 9,000
1,302 Metrocall, Inc. (a) . . . . . . . . . . . . . . . . 6,530
1,300 Midcom Communications, Inc. (a) . . . . . . . . . . 11,050
3,000 Mobilemedia Corp. (a) . . . . . . . . . . . . . . . 1,313
5,100 Mobile Telecommunication Technologies Corp. (a) . . 43,350
1,700 Network Equipment Technologies, Inc. (a). . . . . . 28,050
1,300 Ortel Corp. (a) . . . . . . . . . . . . . . . . . . 31,200
600 Palmer Wireless Inc., Cl. A (a) . . . . . . . . . . 6,300
2,200 P-COM (a). . . . . . . . . . . . . . . . . . . . . 65,175
800 Periphonics Co. (a) . . . . . . . . . . . . . . . . 23,400
3,600 PriCellular Corp., Cl. A (a). . . . . . . . . . . . 41,400
800 Proxim, Inc. (a). . . . . . . . . . . . . . . . . . 18,400
1,200 Symmetricom, Inc. (a) . . . . . . . . . . . . . . . 23,850
800 TCSI Corp. (a). . . . . . . . . . . . . . . . . . . 5,000
500 Tel-Save Holdings, Inc. (a) . . . . . . . . . . . . 14,500
600 Teltrend, Inc. (a). . . . . . . . . . . . . . . . . 16,650
1,800 Transaction Network Services (a). . . . . . . . . . 20,700
800 U.S. Long Distance Corp. (a). . . . . . . . . . . . 6,400
4,300 Vanguard Cellular Systems, Cl. A (a). . . . . . . . 67,725
200 Videolan Technologies, Inc. (a) . . . . . . . . . . 313
2,800 Winstar Communications, Inc.. . . . . . . . . . . . 58,800
2,400 Wireless Telecom Group, Inc.. . . . . . . . . . . . 24,900
--------------
1,921,563
--------------
TELEVISION - 0.39%
1,400 Ascent Entertainment Group (a). . . . . . . . . . . 22,575
800 Emmis Broadcasting Corp., Cl. A (a) . . . . . . . . 26,200
800 EZ Communications, Cl. A (a). . . . . . . . . . . . 29,300
2,800 Harte-Hanks Communications. . . . . . . . . . . . . 77,700
1,000 Hollywood Park, Inc. (a). . . . . . . . . . . . . . 15,000
3,600 Playboy Enterprises, Cl. B (a). . . . . . . . . . . 35,100
4,900 Players International, Inc. (a) . . . . . . . . . . 26,338
1,800 Starsight Telecast, Inc. (a). . . . . . . . . . . . 16,875
900 Stratosphere Corp. (a). . . . . . . . . . . . . . . 759
3,900 Topps Company (The) (a) . . . . . . . . . . . . . . 15,600
2,700 WMS Industries, Inc. (a). . . . . . . . . . . . . . 54,000
--------------
319,447
--------------
TEXTILES - 0.28%
100 Angelica Corp.. . . . . . . . . . . . . . . . . . . 1,913
1,200 Apogee Enterprises, Inc.. . . . . . . . . . . . . . 47,700
8,400 Burlington Inds., Inc. (a). . . . . . . . . . . . . 92,400
800 Fieldcrest Cannon (a) . . . . . . . . . . . . . . . 12,800
1,200 Guilford Mills, Inc.. . . . . . . . . . . . . . . . 31,950
1,900 Mohawk Industries, Inc. (a) . . . . . . . . . . . . 41,800
--------------
228,563
--------------
TOBACCO - 0.40%
500 Culbro Corp. (a). . . . . . . . . . . . . . . . . . 32,438
3,300 Dimon, Inc. . . . . . . . . . . . . . . . . . . . . 76,313
2,200 Schweitzer-Mauduit Intl., Inc.. . . . . . . . . . . 69,575
4,700 Universal Corp. - Va. . . . . . . . . . . . . . . . 150,987
--------------
329,313
--------------
TRANSPORTATION - 1.03%
2,900 Air Express International C.P.. . . . . . . . . . . 93,525
3,100 Airborne Freight Corp.. . . . . . . . . . . . . . . 72,463
2,500 Alaska Airgroup, Inc. (a) . . . . . . . . . . . . . 52,500
4,400 America West Airlines, Cl. B (a). . . . . . . . . . 69,850
3,500 APL, Ltd. . . . . . . . . . . . . . . . . . . . . . 82,688
2,100 Avondale Industries, Inc. (a) . . . . . . . . . . . 45,150
700 Covenant Transport Inc., Cl. A (a). . . . . . . . . 10,063
2,000 Expeditors Intl. Wash, Inc. . . . . . . . . . . . . 46,000
3,000 Greyhound Lines, Inc. (a) . . . . . . . . . . . . . 11,625
600 Harper Group, Inc.. . . . . . . . . . . . . . . . . 14,250
900 Interpool, Inc. . . . . . . . . . . . . . . . . . . 21,037
2,800 Kirby Corp. (a) . . . . . . . . . . . . . . . . . . 55,300
3,100 Offshore Logistics, Inc. (a). . . . . . . . . . . . 60,062
4,600 Overseas Shipholding Group. . . . . . . . . . . . . 78,200
2,000 Pittston Burlington Group . . . . . . . . . . . . . 40,000
700 Skywest, Inc. . . . . . . . . . . . . . . . . . . . 9,712
2,000 Swift Transportation Co., Inc. (a). . . . . . . . . 47,000
5,200 ValuJet, Inc. (a) . . . . . . . . . . . . . . . . . 33,475
--------------
842,900
--------------
TRUCKING, SHIPPING - 0.89%
2,100 AMERCO (a). . . . . . . . . . . . . . . . . . . . . 73,500
1,500 American Freightways Corp. (a). . . . . . . . . . . 16,688
3,400 Arnold Industries, Inc. . . . . . . . . . . . . . . 53,975
1,100 Frozen Food Express Inds. . . . . . . . . . . . . . 9,900
1,700 Gatx Corp.. . . . . . . . . . . . . . . . . . . . . 82,450
2,450 Heartland Express, Inc. (a) . . . . . . . . . . . . 59,719
2,600 Hunt (JB) Transprt Svcs., Inc.. . . . . . . . . . . 36,400
500 Knight Transportation, Inc. (a) . . . . . . . . . . 9,500
1,400 Landstar System, Inc. (a) . . . . . . . . . . . . . 32,550
1,200 Roadway Express, Inc. . . . . . . . . . . . . . . . 23,250
6,000 Rollins Truck Leasing Corp. . . . . . . . . . . . . 75,750
2,200 USFreightways Corp. . . . . . . . . . . . . . . . . 60,363
2,450 Werner Enterprises, Inc.. . . . . . . . . . . . . . 44,406
2,300 Xtra Corp.. . . . . . . . . . . . . . . . . . . . . 99,762
3,800 Yellow Corp. (a). . . . . . . . . . . . . . . . . . 54,625
--------------
732,838
--------------
UTILITIES - 4.47%
4,200 Atlantic Energy . . . . . . . . . . . . . . . . . . 71,925
1,700 Atmos Energy Corp.. . . . . . . . . . . . . . . . . 40,588
1,700 Bay State Gas Co. . . . . . . . . . . . . . . . . . 48,025
2,800 Black Hills Corp. . . . . . . . . . . . . . . . . . 78,750
3,000 Central Hudson Gas & Electric Corp. . . . . . . . . 94,125
2,500 Central Louisiana Electric Co.. . . . . . . . . . . 69,063
3,900 Central Maine Power Co. . . . . . . . . . . . . . . 45,338
1,300 CFW Communications Co.. . . . . . . . . . . . . . . 28,763
1,000 Cilcorp, Inc. . . . . . . . . . . . . . . . . . . . 36,625
5,574 Citizens Utilities Co., Cl. B (a) . . . . . . . . . 62,008
See Notes to Financial Statements on Pages 55 through 57
48
<PAGE>
- --------------------------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS DECEMBER 31, 1996
- --------------------------------------------------------------------------------
Shares Description Value
- ------ ----------- -----
900 Colonial Gas Co.. . . . . . . . . . . . . . . . . . $ 19,125
3,400 Commonwealth Energy System. . . . . . . . . . . . . 79,900
100 Connecticut Natural Gas Corp. . . . . . . . . . . . 2,550
200 Destec Energy, Inc. (a) . . . . . . . . . . . . . . 3,125
700 E' Town Corp. . . . . . . . . . . . . . . . . . . . 22,138
3,100 Eastern Enterprises . . . . . . . . . . . . . . . . 109,663
4,100 Eastern Utilities Association . . . . . . . . . . . 71,238
8,700 El Paso Electric Co. (a). . . . . . . . . . . . . . 56,550
200 Empire District Electric. . . . . . . . . . . . . . 3,750
2,000 Energen Corp. . . . . . . . . . . . . . . . . . . . 60,500
2,400 IES Industries, Inc.. . . . . . . . . . . . . . . . 71,700
2,100 Indiana Energy, Inc.. . . . . . . . . . . . . . . . 51,188
2,100 Interstate Power Co.. . . . . . . . . . . . . . . . 60,900
1,800 KN Energy, Inc. . . . . . . . . . . . . . . . . . . 70,650
2,100 Laclede Gas Co. . . . . . . . . . . . . . . . . . . 50,662
3,200 Madison Gas & Electric. . . . . . . . . . . . . . . 64,800
3,100 MDU Resources Group . . . . . . . . . . . . . . . . 71,300
2,300 Minnesota Power & Light Co. . . . . . . . . . . . . 63,250
7,000 Nevada Power. . . . . . . . . . . . . . . . . . . . 143,500
1,300 New Jersey Resources. . . . . . . . . . . . . . . . 38,025
1,700 Northwest Natural Gas . . . . . . . . . . . . . . . 40,800
200 Northwestern Public Service Co. . . . . . . . . . . 6,850
600 NUI Corp. . . . . . . . . . . . . . . . . . . . . . 13,575
3,600 ONEOK, Inc. . . . . . . . . . . . . . . . . . . . . 108,000
1,600 Orange/Rockland Utilities . . . . . . . . . . . . . 57,400
1,500 Otter Tail Power Co.. . . . . . . . . . . . . . . . 48,188
600 Pennsylvania Enterprises, Inc.. . . . . . . . . . . 26,325
3,500 Philadelphia Suburban Co. . . . . . . . . . . . . . 69,562
4,400 Piedmont Natural Gas Co.. . . . . . . . . . . . . . 102,850
3,500 Public Service Company of North Carolina. . . . . . 63,875
5,700 Public Service Company of New Mexico. . . . . . . . 111,862
3,100 Rochester Gas & Electric. . . . . . . . . . . . . . 59,287
2,400 Sierra Pacific Resources. . . . . . . . . . . . . . 69,000
2,700 Sig Corp, Inc.. . . . . . . . . . . . . . . . . . . 93,487
1,000 South Jersey Industries, Inc. . . . . . . . . . . . 24,375
2,600 Southeastern Michigan Gas Enterprises . . . . . . . 48,100
2,000 Southern California Water . . . . . . . . . . . . . 43,500
2,500 Southwest Gas . . . . . . . . . . . . . . . . . . . 48,125
4,000 Southwestern Energy Co. . . . . . . . . . . . . . . 60,500
900 TNP Enterprises, Inc. . . . . . . . . . . . . . . . 24,637
4,600 Tucson Electric Power Co. (a) . . . . . . . . . . . 76,475
2,500 UGI Corp. . . . . . . . . . . . . . . . . . . . . . 55,937
2,400 United Cities Gas . . . . . . . . . . . . . . . . . 54,000
1,100 United Illuminating Co. . . . . . . . . . . . . . . 34,512
4,700 United Water Resources. . . . . . . . . . . . . . . 72,850
4,200 Washington Energy . . . . . . . . . . . . . . . . . 86,625
3,800 Washington Gas Light Co.. . . . . . . . . . . . . . 85,975
2,900 WICOR, Inc. . . . . . . . . . . . . . . . . . . . . 104,037
4,600 WPL Holdings. . . . . . . . . . . . . . . . . . . . 129,375
3,800 WPS Resources Corp. . . . . . . . . . . . . . . . . 108,300
2,200 Yankee Energy System. . . . . . . . . . . . . . . . 47,025
--------------
3,665,133
--------------
WHOLESALE DISTRIBUTOR - 0.30%
1,400 Alliance Entertainment Corp. (a). . . . . . . . . . 2,625
1,000 Barnett, Inc. (a) . . . . . . . . . . . . . . . . . 27,250
1,200 Brightpoint, Inc. (a) . . . . . . . . . . . . . . . 35,700
300 Fusion Systems (a). . . . . . . . . . . . . . . . . 6,375
2,000 JP Foodservice, Inc. (a). . . . . . . . . . . . . . 55,750
1,300 Reliance Steel & Aluminum . . . . . . . . . . . . . 45,500
1,400 Rexel, Inc. (a) . . . . . . . . . . . . . . . . . . 22,225
3,000 VWR Scientific Products Corp. (a) . . . . . . . . . 50,250
--------------
245,675
TOTAL COMMON STOCKS (Cost $76,144,861) . . . . . . . . . . . . . $ 79,367,694
--------------
Principal
Amount
- ---------
SHORT TERM INVESTMENTS - 3.22%
U.S. TREASURY BILLS - 3.22%
$ 280,000 5.36%, 1/16/97. . . . . . . . . . . . . . . . . . . $ 279,423
2,068,000 5.30%, 1/23/97 (b). . . . . . . . . . . . . . . . . 2,061,838
309,000 5.08%, 4/10/97. . . . . . . . . . . . . . . . . . . 304,769
--------------
TOTAL SHORT TERM INVESTMENTS (Cost $2,646,009) . . . . . . . . . $ 2,646,030
--------------
TOTAL INVESTMENTS (Cost $78,790,870) - 99.91%. . . . . . . . . . $ 82,013,724
Other Assets Less Liabilities - 0.09%. . . . . . . . . . . . . . 70,617
--------------
NET ASSETS - 100%. . . . . . . . . . . . . . . . . . . . . . . . $ 82,084,341
--------------
--------------
- --------------------
(a) Non-income producing security
(b) $1,075,000 of principal amount held as collateral for futures contracts
See Notes to Financial Statements on Pages 55 through 57
49
<PAGE>
- --------------------------------------------------------------------------------
BT PORTFOLIOS
STATEMENT OF ASSETS AND LIABILITIES DECEMBER 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
EQUITY 500 EAFE EQUITY SMALL CAP
INDEX INDEX INDEX
--------------- --------------- ---------------
<S> <C> <C> <C>
ASSETS
Investments, at Value*. . . . . . . . . . . . . . . . $ 1,841,485,110 $ 41,867,262 $ 82,013,724
Cash+ . . . . . . . . . . . . . . . . . . . . . . . . 1,855,461 482,101 232
Receivable for Securities Sold. . . . . . . . . . . . 90,070,988 180,591 --
Dividends and Interest Receivable . . . . . . . . . . 3,297,967 41,261 95,135
Receivable for Foreign Taxes Withheld . . . . . . . . -- 27,989 --
Deferred Organizational Expense . . . . . . . . . . . -- 7,306 --
Prepaid Expenses and Other. . . . . . . . . . . . . . 8,847 174 233
Due from Bankers Trust. . . . . . . . . . . . . . . . -- -- 13,916
--------------- --------------- ---------------
Total Assets . . . . . . . . . . . . . . . . . . . . . . 1,936,718,373 42,606,684 82,123,240
--------------- --------------- ---------------
LIABILITIES
Due to Bankers Trust. . . . . . . . . . . . . . . . . 118,244 14,744 --
Due to Equity 500 Index Fund. . . . . . . . . . . . . 196,852 -- --
Payable for Securities Purchased. . . . . . . . . . . 10,574,041 2,170,458 --
Net Unrealized Depreciation on Forward
Foreign Currency Contracts. . . . . . . . . . . . . -- 8,544 --
Variation Margin Payable. . . . . . . . . . . . . . . 580,386 120 20,975
Accrued Expenses and Other. . . . . . . . . . . . . . 25,284 20,979 17,924
--------------- --------------- ---------------
Total Liabilities. . . . . . . . . . . . . . . . . . . . 11,494,807 2,214,845 38,899
--------------- --------------- ---------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . $ 1,925,223,566 $ 40,391,839 $ 82,084,341
--------------- --------------- ---------------
--------------- --------------- ---------------
COMPOSITION OF NET ASSETS
Paid-in Capital . . . . . . . . . . . . . . . . . . . $ 1,445,978,378 $ 38,805,952 $ 78,861,087
Net Unrealized Appreciation on Investments. . . . . . 479,362,388 1,596,338 3,222,854
Net Unrealized Appreciation (Depreciation) on
Futures, Foreign Currencies and Forward
Foreign Currency Contracts. . . . . . . . . . . . . (117,200) (10,451) 400
--------------- --------------- ---------------
NET ASSETS, DECEMBER 31, 1996. . . . . . . . . . . . . . $ 1,925,223,566 $ 40,391,839 $ 82,084,341
--------------- --------------- ---------------
--------------- --------------- ---------------
</TABLE>
- --------------------
* As of December 31, 1996, the cost of investments in the Equity 500 Index
Portfolio, EAFE Equity Index and Small Cap Index were $1,362,122,722,
$40,270,924 and $78,790,870, respectively.
+ Cash held by EAFE Equity Index Portfolio includes foreign currency of
$435,525 with a cost of $436,176.
See Notes to Financial Statements on Pages 55 through 57
50
<PAGE>
- --------------------------------------------------------------------------------
BT PORTFOLIOS
STATEMENT OF OPERATIONS FOR THE PERIOD ENDED DECEMBER 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
EQUITY 500 EAFE EQUITY SMALL CAP
INDEX INDEX INDEX
--------------- --------------- ---------------
<S> <C> <C> <C>
INVESTMENT INCOME
Dividends*. . . . . . . . . . . . . . . . . . . . . . . $ 32,142,522 $ 494,584 $ 389,068
Interest. . . . . . . . . . . . . . . . . . . . . . . . 2,415,557 63,794 49,740
--------------- --------------- ---------------
Total Investment Income . . . . . . . . . . . . . . . . 34,558,079 558,378 438,808
--------------- --------------- ---------------
EXPENSES
Advisory Fees . . . . . . . . . . . . . . . . . . . . . 1,505,963 68,584 34,759
Administration and Services Fees. . . . . . . . . . . . 752,981 27,433 11,586
Professional Fees . . . . . . . . . . . . . . . . . . . 30,525 20,151 24,948
Trustees Fees . . . . . . . . . . . . . . . . . . . . . 9,865 3,651 1,657
Transfer Tax. . . . . . . . . . . . . . . . . . . . . . -- 4,434 --
Amortization of Organizational Expense. . . . . . . . . -- 1,694 --
Miscellaneous . . . . . . . . . . . . . . . . . . . . . 11,199 663 378
--------------- --------------- ---------------
Total Expenses. . . . . . . . . . . . . . . . . . . . . 2,310,533 126,610 73,328
Less: Expenses Absorbed by Bankers Trust . . . . . . . (870,024) (30,591) (26,968)
--------------- --------------- ---------------
Net Expenses. . . . . . . . . . . . . . . . . . . . . . 1,440,509 96,019 46,360
--------------- --------------- ---------------
NET INVESTMENT INCOME. . . . . . . . . . . . . . . . . . . 33,117,570 462,359 392,448
--------------- --------------- ---------------
REALIZED AND UNREALIZED GAIN ON INVESTMENTS, FUTURES,
FOREIGN CURRENCIES AND FORWARD FOREIGN CURRENCY CONTRACTS
Net Realized Gain from Investment Transactions. . . . . 15,161,968 142 204,834
Net Realized Gain (Loss) from Futures,
Foreign Currencies and Forward Foreign Currency
Transactions. . . . . . . . . . . . . . . . . . . . . 6,251,719 (71,397) (127,914)
Net Change in Unrealized Appreciation on Investments. . 267,628,961 1,596,338 3,222,854
Net Change in Unrealized Appreciation (Depreciation) on
Futures, Foreign Currencies and Forward Foreign
Currency Contracts. . . . . . . . . . . . . . . . . . (90,575) (10,451) 400
--------------- --------------- ---------------
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS, FUTURES,
FOREIGN CURRENCIES AND FORWARD FOREIGN CURRENCY
CONTRACTS. . . . . . . . . . . . . . . . . . . . . . . . 288,952,073 1,514,632 3,300,174
--------------- --------------- ---------------
NET INCREASE IN NET ASSETS FROM OPERATIONS . . . . . . . . $ 322,069,643 $ 1,976,991 $ 3,692,622
--------------- --------------- ---------------
--------------- --------------- ---------------
</TABLE>
- --------------------
* Net of foreign withholding tax of $209,718 and $67,322 for the Equity 500
Index Portfolio and EAFE Equity Index Portfolio, respectively.
See Notes to Financial Statements on Pages 55 through 57
51
<PAGE>
- --------------------------------------------------------------------------------
BT PORTFOLIOS
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
EQUITY 500 INDEX PORTFOLIO
-------------------------------------
FOR THE FOR THE
YEAR ENDED YEAR ENDED
DECEMBER 31, 1996 DECEMBER 31, 1995
----------------- -----------------
<S> <C> <C>
INCREASE IN NET ASSETS FROM:
OPERATIONS
Net Investment Income . . . . . . . . . . . . . . . . . $ 33,117,570 $ 19,425,500
Net Realized Gain from Investments and Futures
Transactions. . . . . . . . . . . . . . . . . . . . . 21,413,687 4,687,899
Net Change in Unrealized Appreciation on Investments
and Futures Contracts . . . . . . . . . . . . . . . . 267,538,386 212,725,683
--------------- ---------------
Net Increase in Net Assets from Operations . . . . . . . . 322,069,643 236,839,082
--------------- ---------------
CAPITAL TRANSACTIONS
Proceeds from Capital Invested. . . . . . . . . . . . . 854,711,041 474,637,337
Value of Capital Withdrawn. . . . . . . . . . . . . . . (332,293,144) (190,511,921)
--------------- ---------------
Net Increase in Net Assets from Capital Transactions . . . 522,417,897 284,125,416
--------------- ---------------
TOTAL INCREASE IN NET ASSETS . . . . . . . . . . . . . . . 844,487,540 520,964,498
NET ASSETS
Beginning of Year. . . . . . . . . . . . . . . . . . . . . 1,080,736,026 559,771,528
--------------- ---------------
End of Year. . . . . . . . . . . . . . . . . . . . . . . . $ 1,925,223,566 $ 1,080,736,026
--------------- ---------------
--------------- ---------------
</TABLE>
<TABLE>
<CAPTION>
EAFE INDEX PORTFOLIO
---------------------
FOR THE
PERIOD ENDED
DECEMBER 31, 1996
---------------------
<S> <C>
INCREASE IN NET ASSETS FROM:
OPERATIONS
Net Investment Income . . . . . . . . . . . . . . . . . . . . . $ 462,359
Net Realized Loss from Investment and Foreign
Currency Transactions . . . . . . . . . . . . . . . . . . . . (71,255)
Net Unrealized Appreciation on Investments, Futures,
Foreign Currencies and Forward Foreign Currency Contracts . . 1,585,887
---------------
Net Increase in Net Assets from Operations . . . . . . . . . . . . 1,976,991
---------------
CAPITAL TRANSACTIONS
Proceeds from Capital Invested. . . . . . . . . . . . . . . . . 38,819,050
Value of Capital Withdrawn. . . . . . . . . . . . . . . . . . . (404,212)
---------------
Net Increase in Net Assets from Capital Transactions . . . . . . . 38,414,838
---------------
TOTAL INCREASE IN NET ASSETS . . . . . . . . . . . . . . . . . . . 40,391,829
NET ASSETS
Beginning of Period. . . . . . . . . . . . . . . . . . . . . . . . 10
---------------
End of Period. . . . . . . . . . . . . . . . . . . . . . . . . . . $ 40,391,839
---------------
---------------
</TABLE>
See Notes to Financial Statements on Pages 55 through 57
52
<PAGE>
- --------------------------------------------------------------------------------
BT PORTFOLIOS
STATEMENT OF CHANGES IN NET ASSETS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SMALL CAP INDEX PORTFOLIO
FOR THE
PERIOD ENDED
DECEMBER 31, 1996
-------------------------
<S> <C>
INCREASE IN NET ASSETS FROM:
OPERATIONS
Net Investment Income . . . . . . . . . . . . . . . . . . . . . $ 392,448
Net Realized Gain from Investments and Futures
Transactions. . . . . . . . . . . . . . . . . . . . . . . . . 76,920
Net Unrealized Appreciation on Investments and
Futures Contracts . . . . . . . . . . . . . . . . . . . . . . 3,223,254
---------------
Net Increase in Net Assets from Operations . . . . . . . . . . . . 3,692,622
---------------
CAPITAL TRANSACTIONS
Proceeds from Capital Invested. . . . . . . . . . . . . . . . . 81,111,921
Value of Capital Withdrawn. . . . . . . . . . . . . . . . . . . (2,720,212)
---------------
Net Increase in Net Assets from Capital Transactions . . . . . . . 78,391,709
---------------
TOTAL INCREASE IN NET ASSETS . . . . . . . . . . . . . . . . . . . 82,084,331
NET ASSETS
Beginning of Period. . . . . . . . . . . . . . . . . . . . . . . . 10
---------------
End of Period. . . . . . . . . . . . . . . . . . . . . . . . . . . $ 82,084,341
---------------
---------------
</TABLE>
See Notes to Financial Statements on Pages 55 through 57
53
<PAGE>
- --------------------------------------------------------------------------------
BT PORTFOLIOS
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
Contained below are selected supplemental data and ratios to average net assets
for each period indicated for the Equity 500 Index Portfolio, EAFE Equity Index
Portfolio and Small Cap Index Portfolio.
<TABLE>
<CAPTION>
EQUITY 500 INDEX PORTFOLIO
------------------------------------------------------------------------
FOR THE YEAR ENDED
DECEMBER 31, 1992 DECEMBER 31,
-------------------------------------------------------- (COMMENCEMENT
1996 1995 1994 1993 OF OPERATIONS)
----------- ----------- ----------- ----------- --------------
<S> <C> <C> <C> <C> <C>
SUPPLEMENTAL DATA AND RATIOS:
Net Asset Value, End of Period (000s omitted). . . . . $ 1,925,224 $ 1,080,736 $ 559,772 $ 151,805 $ 9,435
Ratios to Average Net Assets:
Net Investment Income . . . . . . . . . . . . . . . 2.20% 2.52% 2.84% 2.67% --
Expenses. . . . . . . . . . . . . . . . . . . . . . 0.10% 0.10% 0.10% 0.10% --
Decrease Reflected in Above Expense Ratio Due
to Absorption of Expenses by Bankers Trust. . . . 0.05% 0.05% 0.06% 0.10% --
Portfolio Turnover Rate. . . . . . . . . . . . . . . . 15% 6% 21% 31% --
Average Commission Per Share+. . . . . . . . . . . . . $ 0.023
</TABLE>
<TABLE>
<CAPTION>
EAFE EQUITY INDEX PORTFOLIO
FOR THE PERIOD JANUARY 24, 1996
(COMMENCEMENT OF OPERATIONS)
TO DECEMBER 31, 1996
-------------------------------
<S> <C>
SUPPLEMENTAL DATA AND RATIOS:
Net Asset Value, End of Period (000s omitted). . . . . $ 40,392
Ratios to Average Net Assets:
Net Investment Income . . . . . . . . . . . . . . . 1.69%*
Expenses. . . . . . . . . . . . . . . . . . . . . . 0.35%*
Decrease Reflected in Above Expense Ratio Due
to Absorption of Expenses by Bankers Trust. . . . 0.11%*
Portfolio Turnover Rate. . . . . . . . . . . . . . . . 4%
Average Commission Per Share+. . . . . . . . . . . . . $ 0.017
</TABLE>
<TABLE>
<CAPTION>
SMALL CAP INDEX PORTFOLIO
FOR THE PERIOD JULY 1, 1996
(COMMENCEMENT OF OPERATIONS)
TO DECEMBER 31, 1996
----------------------------
<S> <C>
SUPPLEMENTAL DATA AND RATIOS:
Net Asset Value, End of Period (000s omitted). . . . . $ 82,084
Ratios to Average Net Assets:
Net Investment Income . . . . . . . . . . . . . . . 1.70%*
Expenses. . . . . . . . . . . . . . . . . . . . . . 0.20%*
Decrease Reflected in Above Expense Ratio Due . . .
to Absorption of Expenses by Bankers Trust. . . . 0.12%*
Portfolio Turnover Rate. . . . . . . . . . . . . . . . 16%
Average Commission Per Share+. . . . . . . . . . . . . $ 0.013
</TABLE>
- --------------------
* Annualized
+ For fiscal years beginning on or after September 1, 1995, a portfolio is
required to disclose its average commission rate for security trades on
which commissions are charged.
See Notes to Financial Statements on Pages 55 through 57
54
<PAGE>
- --------------------------------------------------------------------------------
BT PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
NOTE 1--ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
A. ORGANIZATION
Equity 500 Index Portfolio, EAFE Equity Index Portfolio and Small Cap Index
Portfolio (each a "Portfolio," and collectively, the "Portfolios") are
registered under the Investment Company Act of 1940 ("the Act"), as amended, as
open-end management investment companies.
ORGANIZATION COMMENCEMENT
PORTFOLIO DATE OF OPERATIONS
- ----------------- ----------------- -----------------
Equity 500 Index December 11, 1991 December 31, 1992
EAFE Equity Index January 24, 1996 January 24, 1996
Small Cap Index January 24, 1996 July 1, 1996
The Declaration of Trust permits the Board of Trustees (the "Trustees") to issue
beneficial interests in the Portfolios.
B. SECURITY VALUATION
The Portfolios' 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 Portfolios are
allocated pro rata among the investors in the Portfolios at the time of such
determination.
D. REPURCHASE AGREEMENTS
Each of the Portfolios may enter into repurchase agreements with financial
institutions deemed to be creditworthy by the Portfolio's Investment Advisers,
subject to the seller's agreement to repurchase such securities at a mutually
agreed upon price. Securities purchased subject to repurchase agreements are
deposited with the Portfolio's custodian, and pursuant to the terms of the
repurchase agreement must have an aggregate market value greater than or equal
to the repurchase price plus accrued interest at all times. If the value of the
underlying securities falls below the value of the repurchase price plus accrued
interest, the Portfolio will require the seller to deposit additional collateral
by the next business day. If the request for additional collateral is not met,
or the seller defaults on its repurchase obligation, the Portfolio maintains the
right to sell the underlying securities at market value and may claim any
resulting loss against the seller.
E. FOREIGN CURRENCY TRANSACTIONS
The books and records of the EAFE Equity Index 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.
F. FORWARD FOREIGN CURRENCY CONTRACTS
The EAFE Equity Index 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.
G. OPTION CONTRACTS
Each 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 marked-to-market daily to reflect the current
market value. When a purchased option expires, the Portfolio will realize a loss
in the amount of the cost of the option. When the Portfolio enters into a
closing sale transaction, the Portfolio will realize a gain or loss depending on
whether the sale proceeds from the closing sale transaction are greater or less
than the cost of the option. When the Portfolio exercises a put option, it
realizes a gain or loss from the sale of the underlying security and the
proceeds from such sale will be decreased by the premium originally paid. When
the Portfolio exercises a call option, the cost of the security which the
Portfolio purchases upon exercise will be increased by the premium originally
paid. The Portfolios' investment in the financial futures contracts are designed
to closely replicate the benchmark idea used by the Portfolios.
H. FUTURES CONTRACTS
Each 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.
Each 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.
I. ORGANIZATIONAL EXPENSES
Costs incurred by the EAFE Equity Index Portfolio in connection with its
organization and initial registration are being amortized evenly over a five
year period.
J. FEDERAL INCOME TAXES
It is each Portfolio's policy to comply with the requirements of the Internal
Revenue Code. Therefore, no federal income tax provision is required.
55
<PAGE>
- --------------------------------------------------------------------------------
BT PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (Continued)
- --------------------------------------------------------------------------------
K. OTHER
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions that
affect the reported amounts in the financial statements.
NOTE 2--FEES AND TRANSACTIONS WITH AFFILIATES
The Portfolios have 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 each of the Portfolios in return for a fee computed daily and paid
monthly at an annual rate of the Portfolio's average daily net assets. The
following provides a table of annual rates and aggregate fees for each of the
Portfolios for the period ended December 31, 1996:
PORTFOLIO ANNUAL RATE AGGREGATE FEES
- ----------------- ----------- --------------
Equity 500 Index 0.05 of 1% $ 752,981
EAFE Equity Index 0.10 of 1% 27,433
Small Cap Index 0.05 of 1% 11,586
Each of the Portfolios have 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 each
Portfolio's average daily net assets. The following provides a table of annual
rates and aggregate fees for each of the Portfolios for the period ended
December 31, 1996:
PORTFOLIO ANNUAL RATE AGGREGATE FEES
- ----------------- ----------- --------------
Equity 500 Index 0.10 of 1% $ 1,505,963
EAFE Equity Index 0.25 of 1% 68,584
Small Cap Index 0.15 of 1% 34,759
Bankers Trust has voluntarily undertaken to waive and reimburse expenses of each
Portfolio, to the extent necessary, to limit all expenses based upon the average
daily net assets of the Portfolio. For the period ended December 31, 1996,
expenses of the Portfolios have been reduced based on the expense limits as
follows:
EXPENSES
PORTFOLIO ANNUAL RATE REDUCED
- ----------------- ----------- --------------
Equity 500 Index 0.08 of 1% $ 870,024
EAFE Equity Index 0.35 of 1% 30,591
Small Cap Index 0.20 of 1% 26,968
On November 1, 1996, Bankers Trust agreed to reduce the expense ratio for the
Equity 500 Index Portfolio from 0.10 of 1% to 0.08 of 1% of average daily net
assets. This reduction changed the annualized expense ratio to 0.096 of 1% of
the average daily net assets for the year ended December 31, 1996.
On September 30, 1996, the Trust entered into a Distribution Agreement with
Edgewood Services, Inc. ("Edgewood"). Prior to September 30, Signature Broker-
Dealer Services, Inc. ("Signature") was the Trust's Distributor.
Certain trustees and officers of the Portfolios are also directors, officers
and/or employees of Edgewood and/or Signature. None of the trustees so
affiliated received compensation for services as trustees of the Portfolios.
Similarly, none of the Portfolios' officers received compensation from the
Portfolios.
For the period ended December 31, 1996, the Portfolios paid brokerage
commissions of:
BROKERAGE
PORTFOLIO COMMISSIONS PAID
- ----------------- ----------------
Equity 500 Index $ 289,791
EAFE Equity Index 66,791
Small Cap Index 55,569
NOTE 3--PURCHASES AND SALES OF INVESTMENT SECURITIES
The aggregate costs of purchases and proceeds from sales of investments, other
than short-term obligations, for the period ended December 31, 1996 were as
follows:
COST OF PROCEEDS FROM
PORTFOLIO PURCHASES SALES OF SECURITIES
- ----------------- -------------- -------------------
Equity 500 Index $ 679,809,069 $ 217,908,533
EAFE Equity Index 39,530,020 1,008,570
Small Cap Index 82,999,173 7,026,215
For federal income tax purposes, the tax basis of investments held at
December 31, 1996 was $1,370,096,954 for Equity 500 Index Portfolio, $40,274,205
for EAFE Equity Index Portfolio and $78,947,158 for Small Cap Index Portfolio.
The aggregate gross unrealized appreciation and depreciation for all investments
as of December 31, 1996 were as follows:
GROSS UNREALIZED GROSS UNREALIZED
PORTFOLIO APPRECIATION DEPRECIATION
- ----------------- ---------------- ----------------
Equity 500 Index $ 487,540,984 $ 16,152,828
EAFE Equity Index 4,102,545 2,509,488
Small Cap Index 7,075,886 4,009,320
NOTE 4--FUTURES CONTRACTS
A summary of obligations under these financial instruments at December 31, 1996
is as follows:
EQUITY 500 INDEX PORTFOLIO:
UNREALIZED
TYPE OF FUTURE EXPIRATION CONTRACTS POSITION DEPRECIATION
- ------------------------ ---------- --------- -------- ------------
S&P 500 Index Futures March 1997 85 Long $ (117,200)
EAFE EQUITY INDEX PORTFOLIO:
UNREALIZED
APPRECIATION
TYPE OF FUTURE EXPIRATION CONTRACTS POSITION (DEPRECIATION)
- ------------------------ ---------- --------- -------- ------------
Eurotop 100 Futures March 1997 1 Long $ 5,992
Nikkei 300 Index Futures March 1997 3 Long (836)
SMALL CAP INDEX PORTFOLIO:
UNREALIZED
TYPE OF FUTURE EXPIRATION CONTRACTS POSITION APPRECIATION
- ------------------------ ---------- --------- -------- ------------
Russell 2000 Index March 1997 15 Long $ 400
At December 31, 1996, the Portfolios have segregated $1,545,000, $125,000 and
$1,075,000 for the Equity 500 Index Portfolio, EAFE Equity Index Portfolio and
Small Cap Index Portfolio, respectively, to cover margin requirements on open
futures contracts.
56
<PAGE>
- --------------------------------------------------------------------------------
BT PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
NOTE 5--OPEN FORWARD FOREIGN CURRENCY CONTRACTS
As of December 31, 1996, the EAFE Equity Portfolio had the following open
forward foreign currency contracts outstanding:
<TABLE>
<CAPTION>
NET UNREALIZED
APPRECIATION
CONTRACTS TO DELIVER IN EXCHANGE FOR SETTLEMENT DATE VALUE (US$) (DEPRECIATION) (US$)
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
SALES
- ---------------------------------------------------------------------------------------------------------------------
ECU 178,292 USD $ 222,000 01/09/97 $ 223,097 $ (1,097)
ECU 156,000 DEM 193,420 01/02/97 195,203 (1,783)
ECU 345,635 USD 428,000 01/09/97 432,493 (4,493)
ECU 26,671 USD 33,000 01/09/97 33,373 (373)
ECU 156,000 USD 193,362 01/09/97 195,203 (1,841)
ECU 428,300 USD 531,011 01/09/97 535,932 (4,921)
GBP 70,752 USD 116,000 01/09/97 121,077 (5,077)
GBP 166,700 USD 281,856 01/09/97 285,274 (3,418)
JPY 16,025,660 ECU 141,250 01/09/97 138,069 3,181
JPY 31,000,000 USD 267,472 01/09/97 267,080 392
- ---------------------------------------------------------------------------------------------------------------------
TOTAL SALES $ (19,430)
- ---------------------------------------------------------------------------------------------------------------------
PURCHASES
- ---------------------------------------------------------------------------------------------------------------------
AUD 40,600 USD $ 32,331 01/06/97 $ 32,249 $ (82)
BEF 1,305,300 USD 40,728 01/08/97 41,093 365
CHF 158,800 USD 117,630 01/03/97 118,260 630
DEM 300,768 ECU 193,420 01/02/97 195,164 1,744
DKK 166,600 USD 27,983 01/03/97 28,243 260
ECU 156,000 USD 193,284 01/02/97 195,203 1,919
ECU 366,000 USD 462,657 01/09/97 457,976 (4,681)
ECU 113,000 JPY 141,250 01/09/97 141,397 147
ECU 311,690 USD 385,000 01/09/97 390,018 5,018
ECU 344,208 USD 427,000 01/09/97 430,707 3,707
ESP 6,127,000 USD 46,730 01/08/97 47,104 374
FIM 64,600 USD 13,897 01/02/97 14,016 119
FRF 750,400 USD 143,236 01/31/97 144,341 1,105
GBP 206,400 USD 349,000 01/06/97 353,212 4,212
GBP 122,000 USD 203,618 01/09/97 208,779 5,161
GBP 36,019 USD 60,000 01/09/97 61,639 1,639
GBP 79,428 USD 133,000 01/09/97 135,925 2,925
IEP 6,900 USD 11,550 01/06/97 11,678 128
ITL 107,590,000 USD 70,373 01/07/97 70,760 387
JPY 30,785,000 USD 265,541 01/07/97 265,228 (313)
JPY 40,050,000 USD 357,589 01/09/97 345,050 (12,539)
JPY 17,071,500 USD 150,000 01/09/97 147,079 (2,921)
MYR 188,400 USD 74,537 01/08/97 74,598 61
NLG 185,400 USD 106,137 01/03/97 107,180 1,043
NOK 69,600 USD 10,787 01/03/97 10,900 113
SEK 350,300 USD 50,938 01/03/97 51,303 365
- ---------------------------------------------------------------------------------------------------------------------
TOTAL PURCHASES $ 10,886
- ---------------------------------------------------------------------------------------------------------------------
TOTAL DEPRECIATION $ (8,544)
- ---------------------------------------------------------------------------------------------------------------------
</TABLE>
57
<PAGE>
- --------------------------------------------------------------------------------
BT PORTFOLIOS
REPORT OF INDEPENDENT ACCOUNTANTS
- --------------------------------------------------------------------------------
To the Trustees and Holders of Beneficial Interest of Equity 500 Index Portfolio
and BT Investment Portfolios:
We have audited the accompanying statement of assets and liabilities, including
the schedule of portfolio investments, of the Equity 500 Index Portfolio and the
EAFE Equity Index and Small Cap Index Portfolios (two of the Portfolios
comprising BT Investment Portfolios) as of December 31, 1996, and the related
statement of operations for the periods then ended, the statement of changes in
net assets for each of the two years in the period then ended for the Equity 500
Index Portfolio, for the period January 24, 1996 (commencement of operations) to
December 31, 1996 for the EAFE Equity Index Portfolio and for the period July 1,
1996 (commencement of operations) to December 31, 1996 for the Small Cap Index
Portfolio and the financial highlights for each of the periods presented
therein. These financial statements and financial highlights are the
responsibility of the Portfolio's management. Our responsibility is to express
an opinion on these financial statements and financial highlights based on our
audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned as of
December 31, 1996, by correspondence with the custodian and brokers. An audit
also includes assessing the accounting principles used and significant estimates
made by management, as well as evaluating the overall financial statement
presentation. We believe that our audits provide a reasonable basis for our
opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of each
of the Portfolios as of December 31, 1996, the results of their operations, the
changes in their net assets and the financial highlights for the periods
referred to above, in conformity with generally accepted accounting principles.
Coopers & Lybrand L.L.P.
Kansas City, Missouri
January 27, 1997
58
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59
<PAGE>
BT PYRAMID MUTUAL AND ADVISOR FUNDS
BT INVESTMENT EQUITY 500 INDEX FUND
EAFE EQUITY INDEX FUND
SMALL CAP INDEX FUND
For shareholder account information and current price and yield quotations,
shareholders may call their relationship manager or servicing agent.
Prospectuses containing more extensive information regarding the BT Pyramid
Mutual and Advisor Funds may be obtained by calling or writing to Investors
Fiduciary Trust Company or Edgewood Services,Inc., the primary Servicing Agent
and Distributor, respectively, of BT Pyramid Mutual and Advisor Funds:
BT PYRAMID MUTUAL AND ADVISOR FUNDS
DST Systems, Inc.
210 West 10th St.
Kansas City, MO 64105
BT PYRAMID MUTUAL AND ADVISOR FUNDS
Edgewood Securities, Inc.
Clearing Operations
P.O. Box 897
Pittsburgh, PA 15230-0897
You may write to the BT Pyramid Mutual and Advisor Funds
at the following address:
BT PYRAMID MUTUAL AND ADVISOR FUNDS
Clearing Operations
P.O. Box 897
Pittsburgh, PA 15230-0897
