<PAGE>
- BT ADVISOR FUNDS -
----------------------------------------
SMALL CAP INDEX FUND
----------------------------------------
SEMI-ANNUAL REPORT
-----------------------------------------
JUNE-1997
<PAGE>
- --------------------------------------------------------------------------------
SMALL CAP INDEX FUND
TABLE OF CONTENTS
- --------------------------------------------------------------------------------
LETTER TO SHAREHOLDERS . . . . . . . . . . . . . . . .3
SMALL CAP INDEX FUND
Statement of Assets and Liabilities . . . . . . . .5
Statement of Operations . . . . . . . . . . . . . .5
Statement of Changes in Net Assets. . . . . . . . .6
Financial Highlights. . . . . . . . . . . . . . . .7
Notes to Financial Statements . . . . . . . . . . .8
SMALL CAP INDEX PORTFOLIO
Schedule of Portfolio Investments . . . . . . . . 10
Statement of Assets and Liabilities . . . . . . . 28
Statement of Operations . . . . . . . . . . . . . 28
Statement of Changes in Net Assets. . . . . . . . 29
Financial Highlights. . . . . . . . . . . . . . . 29
Notes to Financial Statements . . . . . . . . . . 30
2
<PAGE>
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SMALL CAP INDEX FUND
LETTER TO SHAREHOLDERS
- --------------------------------------------------------------------------------
The Small Cap Index Fund's (the "Fund") Institutional Class Shares returned
10.64% and the Fund's Advisor Class Shares returned 11.87% for the six months
ended June 30, 1997. Both classes notably outperformed both the 10.20% return
of the Russell 2000 Index* and the 8.99% return of the Lipper Small Cap
Average.** Since the Institutional Class Shares' inception on July 10, 1996, it
is up 21.12% in total return, and since the Advisor Class Shares inception on
August 8, 1996, it is up 24.03% in total return, cumulatively, as of June 30,
1997.+ The Russell 2000 Index is an unmanaged index that measures small
capitalization equities.++
MARKET ACTIVITY
While the Dow Jones Industrial average broke the 7,000 barrier for the first
time and the S&P 500 Index reached its highest levels as well during the first
six months of 1997, the small cap market posted strong returns but lagged the
large capitalization sector.
------------------------------------------------------
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.
------------------------------------------------------
Short-term volatility plagued both the large and small cap equity markets. For
example, the Russell 2000 Index started the year with the strongest January
performance it had seen since 1994. However, primarily due to ongoing weakness
in technology stocks, volatility dominated the small cap sector for the rest of
the first quarter and performance was down more than anticipated in both
February and March. Also contributing to this weak period was the Federal
Reserve Board's hike of the fed funds rate-the first increase in over two years-
by 0.25% to 5.50% late in the month. Still, economic expansion had continued
through the first quarter, with favorable producer prices and retail sales
figures. Employment numbers looked positive, reflecting strength in the labor
force, and inflation pressures remained benign.
In the second quarter, economic growth slowed, and the inflation picture, while
already good, brightened even further, as consumer prices are estimated to have
advanced at a mere 1.5% annual rate between March and June. Despite the absence
of pricing power, corporate profits continued to post impressive gains. With
this favorable economic scenario as a backdrop, the Federal Reserve Board chose
not to boost interest rates again when it met on May 20th, surprising many
industry analysts and investors who had anticipated that they would. The equity
markets in general and the small cap market in particular responded positively.
The small cap sector's returns for April were positive, but still not as strong
as the large cap sector's. And then in May 1997, small cap stocks finally
outperformed large caps for the first time since December 1996, primarily due to
a rebound in the technology sector. The NASDAQ, on which over 50% of Russell
2000 stocks are traded, was up over 17% for the second quarter, and the Russell
2000 Index itself returned 16.24%.
------------------------------------------------------
INVESTMENT INSTRUMENTS
Primarily equity securities, consisting of common
stock of current Russell 2000 companies.
------------------------------------------------------
Within the small capitalization sector, value stocks outperformed growth stocks
for this semi-annual period, as they had during 1996. Leading small cap groups
for the first six months included auto and transportation, consumer staples, and
producer durables. Utilities, integrated oil, and technology were the six
months' biggest losing sectors.
- --------------------------------------------------------------------------------
TEN LARGEST STOCK HOLDINGS
- --------------------------------------------------------------------------------
Keystone Financial Doubletree Corp.
BJ Service Co. Dura Pharmaceuticals Corp.
Vornado Realty Trust Crescent Real Estate
United Waste Systems, Inc. First Merit Corp.
Miller Herman, Inc. Public Storage, Inc.
- -----------------------------------------------------------------------------
MANAGER OUTLOOK
The Russell indices go into the third quarter newly reconstituted. Changes to
the Russell 2000 Index comprise over 500 additions and 400 deletions. The
changes to the Fund's portfolio, based on this new Index composition, will be
reflected in the Schedule of Portfolio Investments included in your next
shareholder report.
Looking at the economy as the second half of the year unfolds, it is expected to
once again display strength. Employment remains robust, consumer incomes are
expanding in excess of the well-contained inflation rate, and consumer
confidence is running at peak levels. On balance, real GDP is estimated to rise
in the 2.5-3.0% range-enough, in our opinion, to generate a bit more inflation
and allow corporate earnings to continue to expand at double-digit rates.
We believe that as the economy shows a bit more steam, no huge jump in consumer
prices is likely. However, should inflation drift notably higher, this, in
turn, may push interest rates upward and lead the Federal Reserve Board to
officially hike rates again either at their August 19th or September 30th
meeting. While such a hike would, as usual, temporarily depress the equities
markets, we expect favorable fundamentals to result in an ongoing positive trend
for stocks over the longer term. Thus, we believe there is still great
opportunity for capital appreciation through equities.
Our outlook is also positive for the small cap market in particular. We believe
their outperformance in May combined with the anticipated cut in the capital
gains tax bodes well. Such cuts have historically led to small cap relative
outperformance, as they tend to encourage investors holding large cap stocks for
a long time to unlock some value without serious tax consequences. As these
monies are reinvested, it is likely that much of it will go into the small cap
sector.
- ----------------------------
* This index is unmanaged, and investments cannot be made in an index.
** Lipper figures represent the average of the total returns reported by all
of the funds designated by Lipper Analytical Services, Inc. as falling into
the respective categories indicated. These figures do not reflect sales
charges.
+ Past performance is not indicative of future results. Investment return and
principal value will fluctuate so than an investor's shares, when redeemed,
may be worth more or less than their original cost. Total return is
calculated from Fund inception date through the end of the period. The
Russell 2000 Index is calculated from July 31, 1996 and August 31, 1996 for
the Institutional and Advisor Classes, respectively, through June 30, 1997.
++ Small cap stocks have historically experienced greater volatility than
average.
3
<PAGE>
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SMALL CAP INDEX FUND
LETTER TO SHAREHOLDERS
- --------------------------------------------------------------------------------
DIVERSIFICATION OF PORTFOLIO INVESTMENTS
BY SECTOR AS OF JUNE 30, 1997
(PERCENTAGES ARE BASED ON MARKET VALUE)
[CHART]
Metals 2%
Energy 3%
Consumer Durables 4%
Retail Trade 5%
Utilities 6%
Health Care 9%
Consumer Non-Durables 11%
Chemicals 3%
Transportation 2%
Forest Products 1%
Finance & Building 26%
Capital Goods 14%
Business Equipment and
Services 14%
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.
As always, 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
June 30, 1997
THE FUND IS NOT INSURED BY THE FDIC AND IS NOT A DEPOSIT, OBLIGATION OF, OR
GUARANTEED BY BANKERS TRUST COMPANY. THE FUND IS SUBJECT TO INVESTMENT RISKS,
INCLUDING POSSIBLE LOSS OF PRINCIPAL AMOUNT INVESTED.
PERFORMANCE COMPARISON
- --------------------------------------------------------------------------------
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT IN THE SMALL CAP INDEX
FUND - INSTITUTIONAL CLASS AND ADVISOR CLASS, AND THE RUSSELL 2000 INDEX SINCE
JULY 31, 1996 AND AUGUST 31, 1996, RESPECTIVELY.
- --------------------------------------------------------------------------------
TOTAL RETURN FOR THE PERIOD
ENDED JUNE 30, 1997
INSTITUTIONAL ADVISOR
Since 7/10/96* Since 8/8/96*
21.12% 24.03%
* The Fund's inception date.
Investment return and principal value may fluctuate so that shares, when
redeemed, may be worth more or less than their original cost.
- --------------------------------------------------------------------------------
[CHART]
Small Cap Index Fund -
Institutional Class - $12,750 Russell 2000 Index - $12,746
----------------------------- ----------------------------
7/96 10000 10000
9/96 11000 10994
12/96 11523 11566
3/97 11005 10968
6/97 12750 12746
Small Cap Index Fund -
Advisor Class - $12,195 Russell 2000 Index - $12,047
----------------------- ----------------------------
8/96 10000 10000
9/96 10393 10391
12/96 10902 10931
3/97 10527 10366
6/97 12195 12047
Past performance is not indicative of future performance. The Russell 2000 Index
is unmanaged and investments may not be made in an index.
4
<PAGE>
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SMALL CAP INDEX FUND
STATEMENT OF ASSETS AND LIABILITIES JUNE 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
ASSETS
Investment in Small Cap Index Portfolio, at Value. . . . . $ 68,156,699
Deferred Organizational Expense. . . . . . . . . . . . . . 7,237
Prepaid Expenses and Other . . . . . . . . . . . . . . . . 7,178
Due from Bankers Trust . . . . . . . . . . . . . . . . . . 57,947
--------------
Total Assets . . . . . . . . . . . . . . . . . . . . . . . . 68,229,061
LIABILITIES
Accrued Expenses and Other . . . . . . . . . . . . . . . . 35,363
--------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . $ 68,193,698
--------------
--------------
COMPOSITION OF NET ASSETS
Paid-in Capital. . . . . . . . . . . . . . . . . . . . . . $ 59,327,352
Undistributed Net Investment Income. . . . . . . . . . . . 389,267
Accumulated Net Realized Gain from Investments,
Futures and Forward Foreign Currency Transactions . . . . 2,950,419
Net Unrealized Appreciation on Investments,
Futures, Foreign Currencies and Forward
Foreign Currency Contracts. . . . . . . . . . . . . . . . 5,526,660
--------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . $ 68,193,698
--------------
--------------
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE
(net assets divided by shares outstanding)
Institutional Class Shares (based on net assets of
$67,710,962 and 5,605,673 shares of beneficial interest
outstanding). . . . . . . . . . . . . . . . . . . . . . . $ 12.08
--------------
--------------
Advisor Class Shares (based on net assets of
$482,736 and 39,034 shares of beneficial interest
outstanding). . . . . . . . . . . . . . . . . . . . . . . $ 12.37
--------------
--------------
- --------------------------------------------------------------------------------
STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED JUNE 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
INVESTMENT INCOME
Income Allocated from Small Cap Index Portfolio, net . . . $ 433,220
--------------
EXPENSES
Administration and Services Fees . . . . . . . . . . . . . 51,641
Shareholder Reports. . . . . . . . . . . . . . . . . . . . 13,467
Registration Fees. . . . . . . . . . . . . . . . . . . . . 2,305
Professional Fees. . . . . . . . . . . . . . . . . . . . . 4,712
Trustees Fees. . . . . . . . . . . . . . . . . . . . . . . 12,941
Miscellaneous. . . . . . . . . . . . . . . . . . . . . . . 6,461
--------------
Total Expenses . . . . . . . . . . . . . . . . . . . . . . 91,527
Less: Expenses Absorbed by Bankers Trust. . . . . . . . . (52,604)
--------------
Net Expenses . . . . . . . . . . . . . . . . . . . . . . 38,923
--------------
NET INVESTMENT INCOME. . . . . . . . . . . . . . . . . . . . 394,297
--------------
REALIZED AND UNREALIZED GAIN ON INVESTMENTS, FUTURES,
FOREIGN CURRENCIES AND FORWARD FOREIGN CURRENCY CONTRACTS
Net Realized Gain from Investment Transactions . . . . . . 2,602,686
Net Realized Gain from Futures, Foreign Currencies and
Forward Foreign Currency Transactions . . . . . . . . . . 293,931
Net Change in Unrealized Appreciation on Investments,
Futures, Foreign Currencies and Forward Foreign
Currency Contracts. . . . . . . . . . . . . . . . . . . . 3,047,085
--------------
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS, FUTURES,
FOREIGN CURRENCIES AND FORWARD FOREIGN CURRENCY CONTRACTS. 5,943,702
--------------
NET INCREASE IN NET ASSETS FROM OPERATIONS . . . . . . . . . $ 6,337,999
--------------
--------------
See Notes to Financial Statements on Pages 8 and 9
5
<PAGE>
- --------------------------------------------------------------------------------
SMALL CAP INDEX FUND
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE FOR THE
SIX MONTHS ENDED PERIOD ENDED
JUNE 30, 1997+ DECEMBER 31, 1996
---------------- -----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS
Net Investment Income. . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 394,297 $ 228,346
Net Realized Gain from Investments and Futures Transactions. . . . . . . . . 2,896,617 80,488
Net Change in Unrealized Appreciation on Investments and Futures Contracts . 3,047,085 2,479,575
---------------- -----------------
Net Increase in Net Assets from Operations . . . . . . . . . . . . . . . . . . 6,337,999 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 (Decrease) Resulting from Institutional Class Shares. . . . . . (141,396) 59,031,305
Net Increase Resulting from Advisor Class Shares . . . . . . . . . . . . . . 362,193 75,241
---------------- -----------------
Net Increase from Capital Transactions in Shares of Beneficial Interest. . . . 220,797 59,106,546
---------------- -----------------
TOTAL INCREASE IN NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . 6,558,796 61,634,892
NET ASSETS
Beginning of Period. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 61,634,902 10
---------------- -----------------
End of Period (including accumulated net investment income (loss) of
$389,267 and ($5,031) for the periods ended June 30, 1997 and
December 31, 1996, respectively) . . . . . . . . . . . . . . . . . . . . . . $ 68,193,698 $ 61,634,902
---------------- -----------------
---------------- -----------------
- -------------------------
+ Unaudited
</TABLE>
See Notes to Financial Statements on Pages 8 and 9
6
<PAGE>
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SMALL CAP INDEX FUND
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
Contained below are selected data for a share outstanding, total investment
return, ratios to average net assets and other supplemental data for the periods
indicated for the Small Cap Index Fund.
<TABLE>
<CAPTION>
INSTITUTIONAL CLASS SHARES ADVISOR CLASS SHARES
------------------------------------- --------------------------------
FOR THE PERIOD FOR THE PERIOD
JULY 10, 1996 AUGUST 8, 1996
FOR THE SIX (COMMENCEMENT FOR THE SIX (COMMENCEMENT
MONTHS ENDED OF OPERATIONS) TO MONTHS ENDED OF OPERATIONS) TO
JUNE 30, 1997+ DECEMBER 31, 1996 JUNE 30, 1997+ DECEMBER 31, 1996
-------------- ----------------- -------------- -----------------
<S> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE, BEGINNING OF PERIOD . . . . . . . . $ 10.90 $ 10.00 $ 11.04 $ 10.00
------------ ------------- ------------ -------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income. . . . . . . . . . . . . . . 0.07 0.04 0.05 0.02
Net Realized and Unrealized Gain on Investments
and Futures Transactions. . . . . . . . . . . . . 1.11 0.90 1.28 1.06
------------ ------------- ------------ -------------
Total from Investment Operations . . . . . . . . . . 1.18 0.94 1.33 1.08
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income. . . . . . . . . . . . . . . 0.00 (0.04) 0.00 (0.04)
Net Realized Gain from Investment Transactions . . 0.00 (0.00)++ 0.00 (0.00)++
------------ ------------- ------------ -------------
TOTAL DISTRIBUTIONS. . . . . . . . . . . . . . . . . 0.00 (0.04) 0.00 (0.04)
------------ ------------- ------------ -------------
NET ASSET VALUE, END OF PERIOD . . . . . . . . . . . $ 12.08 $ 10.90 $ 12.37 $ 11.04
------------ ------------- ------------ -------------
------------ ------------- ------------ -------------
TOTAL INVESTMENT RETURN. . . . . . . . . . . . . . . 10.64% 9.47% 11.87% 10.87%
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period (000s omitted) . . . . . $ 67,711 $ 61,558 $ 483 $ 77
Ratios to Average Net Assets:
Net Investment Income. . . . . . . . . . . . . . 1.53%* 1.71%* 1.50%* 1.61%*
Expenses, including expenses of the
Small Cap Index Portfolio. . . . . . . . . . . 0.25%* 0.25%* 0.45%* 0.45%*
Decrease Reflected in Above Expense Ratio Due
to Absorption of Expenses by Bankers Trust . . 0.33%* 0.62%* 1.40%* 22.69%*
- -----------------------------
+ Unaudited
++ Less than $0.01
* Annualized
</TABLE>
See Notes to Financial Statements on Pages 8 and 9
7
<PAGE>
- --------------------------------------------------------------------------------
SMALL CAP INDEX FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
NOTE 1--ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
A. ORGANIZATION
BT Advisor Funds Trust (the "Trust") is registered under the Investment Company
Act of 1940 (the "Act"), as amended, as an open-end management investment
company. The Trust was organized on July 24, 1995, as a business trust under the
laws of the Commonwealth of Massachusetts. The Small Cap Index Fund (the "Fund")
is offered to investors by its respective Trust.
The Small Cap Index Fund offers two classes of shares to investors;
Institutional Class and Advisor Class shares (the "Shares"). Both classes of
shares have identical rights to earnings, assets and voting privileges, except
that each class has its own expenses directly attributable to a particular class
and exclusive voting rights with respect to matters affecting a single class.
The Fund commenced operations and began offering shares of beneficial interest
on July 10, 1996.
The Small Cap Index Institutional shares and the Small Cap Index Advisor shares
commenced operations and began offering shares of beneficial interest on July
10, 1996 and August 8, 1996, respectively.
The portfolio is an open-end management investment company registered under the
Act. The Fund seeks to achieve its investment objective by investing all of its
investable assets in the Portfolio. At June 30, 1997, the Fund's proportionate
interest in net assets was 73.68%.
The financial statements of the Portfolio, including the Schedule of Portfolio
Investments, are contained elsewhere in this report.
B. INVESTMENT INCOME
The Fund earns income, net of expenses, daily on its investment in the
Portfolio. All of the net investment income and realized and unrealized gains
and losses from the security transactions of the Portfolio are allocated pro
rata among the investors in the Portfolio at the time of such determination. Net
investment income is allocated daily to each class of shares based upon the
relative proportion of net assets.
C. DIVIDENDS
It is the Fund's policy to declare and distribute dividends annually to
shareholders from net investment income. Dividends payable to shareholders are
recorded by the Fund on the ex-dividend date. Distributions of net realized
short-term and long-term capital gains, if any, will be made annually.
D. FEDERAL INCOME TAXES
It is the Fund's policy to comply with the requirements of the Internal Revenue
Code and distribute substantially all of its income to shareholders. Therefore,
no federal income tax provision is required. The Fund may periodically make
reclassifications among certain of its capital accounts as a result of the
timing and characterization of certain income and capital gain distributions
determined annually in accordance with federal tax regulations which may differ
from generally accepted accounting principles.
E. OTHER
The Trust accounts separately for the assets, liabilities and operations of the
Fund. Expenses directly attributable to each Class are charged to that Class,
while expenses which are attributable to the Trust are allocated among all the
Funds.
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions that
affect the reported amounts in the financial statements.
NOTE 2--FEES AND TRANSACTIONS WITH AFFILIATES
The Fund has entered into an Administration and Services Agreement with Bankers
Trust Company ("Bankers Trust"). Under this Administration and Services
Agreement, Bankers Trust provides administrative, custody, transfer agency and
shareholder services to the Fund in return for a fee computed daily and paid
monthly at an annual rate of 0.20 of 1% and 0.25 of 1% of average daily net
assets of the Small Cap Index Institutional Class and Advisor Class,
respectively. For the six months ended June 30, 1997, this fee aggregated to
$51,346 and $295 for the Small Cap Institutional Class and Advisor Class,
respectively.
Under the Distribution Agreement with the Trust, pursuant to Rule 12b-1 of the
Act, Edgewood Services, Inc. ("Edgewood") 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 six months ended June 30, 1997,
there were no reimbursable expenses incurred under this agreement.
The Small Cap Index Fund's two Classes of shares impose a shareholder
transaction fee paid when investors buy, sell or exchange shares of the Fund.
Institutional Class Shares deduct a transaction fee of 0.25% from purchases,
redemptions and exchanges into and out of the Fund. Advisor Class Shares deduct
a transaction fee of 0.50% from redemptions and exchanges out of the Fund. These
transaction fees are paid directly to the Fund and are deducted automatically
from the amount invested, exchanged or redeemed (with the exception of
reinvested dividends or capital gain distributions).
Bankers Trust has voluntarily undertaken to waive and reimburse expenses of each
Class of Shares, to the extent necessary, to limit all expenses as follows:
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; and 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 six months ended June 30, 1997, expenses have been
reduced by $51,113 and $1,491 for the Small Cap Index Institutional Class and
Advisor Class, respectively.
Certain trustees and officers of the Fund are also directors, officers and/or
employees of Edgewood. None of the trustees so affiliated received compensation
for services as trustees of the Fund. Similarly, none of the Fund's officers
received compensation from the Funds.
8
<PAGE>
- --------------------------------------------------------------------------------
SMALL CAP INDEX FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
NOTE 3--SHARES OF BENEFICIAL INTEREST
At June 30, 1997, there were an unlimited number of shares of beneficial
interest authorized. Transactions in shares of beneficial interest were as
follows:
<TABLE>
<CAPTION>
INSTITUTIONAL CLASS SHARES ADVISOR CLASS SHARES
--------------------------------------------------- ----------------------------------------------
FOR THE SIX MONTHS FOR THE PERIOD ENDED FOR THE SIX MONTHS FOR THE PERIOD ENDED
ENDED JUNE 30, 1997+ DECEMBER 31, 1996* ENDED JUNE 30, 1997+ DECEMBER 31, 1996*
-------------------------- ------------------------ ----------------------- ---------------------
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
---------- -------------- --------- ------------ -------- ----------- ------ ----------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Sold 2,988,074 $ 32,872,098 5,856,530 $ 61,197,553 43,768 $ 498,988 7,680 $ 82,456
Reinvested -- -- 24,061 259,737 -- -- 15 161
Redeemed (3,027,409) (33,013,494) (235,584) (2,425,985) (11,725) (136,795) (704) (7,376)
---------- -------------- --------- ------------ -------- ----------- ------ ----------
Increase (Decrease) (39,335) $ (141,396) 5,645,007 $ 59,031,305 32,043 $ 362,193 6,991 $ 75,241
---------- -------------- --------- ------------ -------- ----------- ------ ----------
---------- -------------- --------- ------------ -------- ----------- ------ ----------
- ------------------------
</TABLE>
+ Unaudited
* Commencement of operations for the Small Cap Index Institutional Class and
Advisor Class was July 10, 1996 and August 8, 1996, respectively.
9
<PAGE>
- --------------------------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
Shares Description Value
- --------- ----------- -----------
COMMON STOCK - 95.62%
ADVERTISING - 0.47%
2,200 Catalina Marketing Corp. (a) . . . . . . . . . . . . $ 105,875
200 Grey Advertising, Inc. . . . . . . . . . . . . . . . 66,000
2,025 HA-LO Industries, Inc. (a) . . . . . . . . . . . . . 47,841
1,800 Lamar Advertising Co. (a). . . . . . . . . . . . . . 45,900
600 May & Speh, Inc. (a) . . . . . . . . . . . . . . . . 8,100
2,500 National Media Corp. (a) . . . . . . . . . . . . . . 16,250
800 Outdoor Systems, Inc. (a). . . . . . . . . . . . . . 30,600
3,200 True North Communications, Inc.. . . . . . . . . . . 79,200
900 Universal Outdoor Holdings (a) . . . . . . . . . . . 31,387
-----------
431,153
-----------
AEROSPACE - 0.61%
2,400 AAR Corp.. . . . . . . . . . . . . . . . . . . . . . 77,550
1,000 Alliant Techsystems, Inc. (a). . . . . . . . . . . . 55,000
2,000 BE Aerospace, Inc. (a) . . . . . . . . . . . . . . . 63,250
2,600 Fairchild Corp.-Cl. A (a). . . . . . . . . . . . . . 46,800
2,000 Kaman Corp.-Cl. A. . . . . . . . . . . . . . . . . . 30,750
2,200 OEA, Inc. (a). . . . . . . . . . . . . . . . . . . . 86,900
3,400 Orbital Sciences Corp. (a) . . . . . . . . . . . . . 53,975
1,800 Remec, Inc. (a). . . . . . . . . . . . . . . . . . . 42,300
2,600 Rohr, Inc. (a) . . . . . . . . . . . . . . . . . . . 57,038
3,200 UNC, Inc. (a). . . . . . . . . . . . . . . . . . . . 46,800
-----------
560,363
-----------
AGRICULTURE - 0.25%
1,600 Dekalb Genetics Corp.-Cl. B. . . . . . . . . . . . . 127,600
2,933 Delta & Pine Land Co.. . . . . . . . . . . . . . . . 104,488
-----------
232,088
-----------
APPAREL, TEXTILES - 1.26%
3,400 Authentic Fitness Corp.. . . . . . . . . . . . . . . 42,925
3,100 Brown Group, Inc.. . . . . . . . . . . . . . . . . . 57,931
11,800 Charming Shoppes, Inc. (a) . . . . . . . . . . . . . 61,581
2,400 Converse, Inc. (a) . . . . . . . . . . . . . . . . . 53,100
2,800 Footstar, Inc. (a) . . . . . . . . . . . . . . . . . 73,150
800 GC Companies, Inc. (a) . . . . . . . . . . . . . . . 36,600
4,000 Genesco, Inc. (a). . . . . . . . . . . . . . . . . . 56,750
2,800 Hartmarx Corp. (a) . . . . . . . . . . . . . . . . . 23,100
3,000 Interface, Inc.. . . . . . . . . . . . . . . . . . . 66,375
2,300 Kellwood Co. . . . . . . . . . . . . . . . . . . . . 63,825
1,700 Lands' End, Inc. (a) . . . . . . . . . . . . . . . . 50,363
3,900 Nautica Enterprises, Inc. (a). . . . . . . . . . . . 103,106
1,000 Oshkosh B'Gosh, Inc.-Cl. A . . . . . . . . . . . . . 21,750
2,800 Phillips-Van Heusen Corp.. . . . . . . . . . . . . . 42,000
800 Quiksilver, Inc. (a) . . . . . . . . . . . . . . . . 25,600
1,500 Springs Industries, Inc.-Cl. A . . . . . . . . . . . 79,125
6,900 Stride Rite Corp.. . . . . . . . . . . . . . . . . . 88,838
2,000 St. John Knits, Inc. . . . . . . . . . . . . . . . . 108,000
900 Timberland Company-Cl. A (a) . . . . . . . . . . . . 58,500
1,700 Wet Seal, Inc.-Cl. A (a) . . . . . . . . . . . . . . 53,656
75 Wolverine World Wide, Inc. . . . . . . . . . . . . . 2,278
-----------
1,168,553
-----------
AUTO RELATED - 1.67%
2,300 Arvin Industries, Inc. . . . . . . . . . . . . . . . $ 62,675
2,300 Breed Technologies, Inc. . . . . . . . . . . . . . . 52,900
1,400 Budget Group, Inc.-Cl. A (a) . . . . . . . . . . . . 48,300
200 Dart Group Corp.-Cl. A . . . . . . . . . . . . . . . 20,550
900 Detroit Diesel Corp. (a) . . . . . . . . . . . . . . 21,544
2,400 Exide Corp.. . . . . . . . . . . . . . . . . . . . . 52,650
3,900 Federal-Mogul Corp.. . . . . . . . . . . . . . . . . 136,500
3,200 Intermet Corp. . . . . . . . . . . . . . . . . . . . 51,400
2,000 Kaydon Corp. . . . . . . . . . . . . . . . . . . . . 99,250
3,200 MascoTech, Inc.. . . . . . . . . . . . . . . . . . . 66,800
2,150 Miller Industries Inc. (a) . . . . . . . . . . . . . 34,400
2,500 Modine Manufacturing Co. . . . . . . . . . . . . . . 74,375
1,600 Myers Industries, Inc. . . . . . . . . . . . . . . . 27,000
1,300 O'Reilly Automotive, Inc. (a). . . . . . . . . . . . 50,050
3,100 Polaris Industries, Inc. . . . . . . . . . . . . . . 100,944
2,400 Simpson Industries, Inc. . . . . . . . . . . . . . . 25,500
1,600 Smith (A.O.) Corp. . . . . . . . . . . . . . . . . . 56,900
1,400 SPX Corp.. . . . . . . . . . . . . . . . . . . . . . 90,737
2,000 Standard Products Co.. . . . . . . . . . . . . . . . 50,500
3,600 Stewart & Stevenson Services, Inc. . . . . . . . . . 93,600
2,600 Superior Industries International, Inc.. . . . . . . 68,900
2,600 TBC Corp. (a). . . . . . . . . . . . . . . . . . . . 21,775
3,700 Titan International, Inc.. . . . . . . . . . . . . . 65,213
1,100 Tower Automotive, Inc. (a) . . . . . . . . . . . . . 47,300
2,200 Wabash National Corp.. . . . . . . . . . . . . . . . 61,325
500 Walbro Corp. . . . . . . . . . . . . . . . . . . . . 10,125
1,950 Wynn's International, Inc. . . . . . . . . . . . . . 55,331
-----------
1,546,544
-----------
BANKS - 2.26%
2,000 American Federal Bank-FSB. . . . . . . . . . . . . . 64,500
87 Banc One Corp. . . . . . . . . . . . . . . . . . . . 4,214
2,700 Bank United Corp.-Cl. A. . . . . . . . . . . . . . . 102,600
1 BankBoston Corp. . . . . . . . . . . . . . . . . . . 72
60 Carolina First Corp. . . . . . . . . . . . . . . . . 885
800 CBT Corp.. . . . . . . . . . . . . . . . . . . . . . 17,500
300 Chittenden Corp. . . . . . . . . . . . . . . . . . . 10,275
2,700 Collective Bancorp, Inc. . . . . . . . . . . . . . . 121,163
800 Commonwealth Bancorp, Inc. . . . . . . . . . . . . . 13,100
550 Community Trust Bancorp, Inc.. . . . . . . . . . . . 14,712
1,000 First Citizens BancShares, Inc.. . . . . . . . . . . 87,000
2,500 First Commonwealth Financial Corp. . . . . . . . . . 53,125
1,770 First Financial Bancorp. . . . . . . . . . . . . . . 71,243
1,700 First Financial Bankshares, Inc. . . . . . . . . . . 65,875
4,080 Fulton Financial Corp. . . . . . . . . . . . . . . . 110,160
1,300 Harbor Florida Bancorp, Inc. . . . . . . . . . . . . 59,475
1,500 Harleysville National Corp.. . . . . . . . . . . . . 48,000
1,250 Heritage Financial Services, Inc.. . . . . . . . . . 25,781
2,900 Homeside, Inc. (a) . . . . . . . . . . . . . . . . . 63,437
1,600 Interwest Bancorp. . . . . . . . . . . . . . . . . . 63,200
2,100 Mainstreet Bank Group, Inc.. . . . . . . . . . . . . 57,750
1,500 ML Bancorp, Inc. . . . . . . . . . . . . . . . . . . 29,063
900 National Bancorp of Alaska, Inc. . . . . . . . . . . 76,050
1,400 Ocean Financial Corp.. . . . . . . . . . . . . . . . 49,350
-----------
See Notes to Financial Statements on Pages 30 and 31
10
<PAGE>
- --------------------------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
Shares Description Value
------ ----------- -----------
2,785 Old National Bancorp . . . . . . . . . . . . . . . . $ 122,540
1,700 Omega Financial Corp.. . . . . . . . . . . . . . . . 59,075
2,200 Oriental Financial Group . . . . . . . . . . . . . . 62,150
600 Park National Corp.. . . . . . . . . . . . . . . . . 47,550
2,175 Peoples First Corp.. . . . . . . . . . . . . . . . . 60,900
900 PFF Bancorp, Inc. (a). . . . . . . . . . . . . . . . 16,875
2,200 Reliance Bancorp, Inc. (a) . . . . . . . . . . . . . 64,762
3,200 Riggs National Corp. . . . . . . . . . . . . . . . . 66,000
4,300 Roosevelt Financial Group, Inc. (a). . . . . . . . . 94,600
1,700 S&T Bancorp, Inc.. . . . . . . . . . . . . . . . . . 56,950
2,300 Triangle Bancorp, Inc. . . . . . . . . . . . . . . . 51,750
3,300 Trust Company of New Jersey. . . . . . . . . . . . . 63,525
1,100 U.S. Bancorp, Inc. . . . . . . . . . . . . . . . . . 59,950
70 Washington Federal, Inc. . . . . . . . . . . . . . . 1,798
500 Webster Financial Corp.. . . . . . . . . . . . . . . 22,750
1,500 Western Bank Puerto Rico . . . . . . . . . . . . . . 27,750
-----------
2,087,455
-----------
BEVERAGES - 0.17%
4,900 Coors (Adolph) Co.-Cl. B . . . . . . . . . . . . . . 130,462
600 Robert Mondavi Corp.-Cl. A (a) . . . . . . . . . . . 28,350
-----------
158,812
-----------
BIOPHARMACEUTICALS - 0.54%
2,700 AmeriSource Health Corp.-Cl. A (a) . . . . . . . . . 134,662
2,900 Amylin Pharmaceuticals, Inc. (a) . . . . . . . . . . 39,875
300 Aphton Corp. (a) . . . . . . . . . . . . . . . . . . 4,425
1,000 Incyte Pharmaceuticals, Inc. (a) . . . . . . . . . . 67,000
3,800 Liposome Company, Inc. (a) . . . . . . . . . . . . . 33,962
3,700 NABI, Inc. (a) . . . . . . . . . . . . . . . . . . . 24,513
3,700 NeXstar Pharmaceuticals, Inc. (a). . . . . . . . . . 52,725
1,800 Protein Design Labs, Inc. (a). . . . . . . . . . . . 51,300
500 Roberts Pharmaceutical Corp. (a) . . . . . . . . . . 5,594
2,200 Vertex Pharmaceuticals, Inc. (a) . . . . . . . . . . 84,150
-----------
498,206
-----------
BUILDING AND CONSTRUCTION - 1.95%
1,100 ABT Building Products Corp. (a). . . . . . . . . . . 28,875
800 Butler Manufacturing Co. . . . . . . . . . . . . . . 26,500
2,200 CalMat Co. . . . . . . . . . . . . . . . . . . . . . 47,300
3,100 Carlisle Companies, Inc. . . . . . . . . . . . . . . 108,112
1,200 Centex Construction Products, Inc. . . . . . . . . . 23,400
3,300 Dal-Tile International, Inc. (a) . . . . . . . . . . 61,256
1,100 Elcor Corp.. . . . . . . . . . . . . . . . . . . . . 30,663
900 Fibreboard Corp. (a) . . . . . . . . . . . . . . . . 49,500
1,300 Florida Rock Industries, Inc.. . . . . . . . . . . . 52,812
900 Hughes Supply, Inc.. . . . . . . . . . . . . . . . . 36,000
4,700 Kaufman & Broad Home Corp. . . . . . . . . . . . . . 82,544
2,900 Kennametal, Inc. . . . . . . . . . . . . . . . . . . 124,700
3,800 Lennar Corp. . . . . . . . . . . . . . . . . . . . . 121,363
1,300 Lone Star Industries, Inc. . . . . . . . . . . . . . 58,906
2,400 Medusa Corp. . . . . . . . . . . . . . . . . . . . . 92,100
800 NCI Building Systems, Inc. (a) . . . . . . . . . . . 25,900
1,300 NVR, Inc. (a). . . . . . . . . . . . . . . . . . . . 19,825
4,500 Oakwood Homes Corp.. . . . . . . . . . . . . . . . . 108,000
1,900 Palm Harbor Homes, Inc. (a). . . . . . . . . . . . . $ 62,462
1,200 PLY-GEM Industries, Inc. . . . . . . . . . . . . . . 21,675
400 Puerto Rican Cement Co., Inc.. . . . . . . . . . . . 13,025
3,100 Ryland Group, Inc. . . . . . . . . . . . . . . . . . 43,788
400 Simpson Manufacturing Co., Inc. (a). . . . . . . . . 10,600
1,200 Skyline Corp.. . . . . . . . . . . . . . . . . . . . 29,550
2,400 Southdown, Inc.. . . . . . . . . . . . . . . . . . . 104,700
5,000 Standard-Pacific Corp. . . . . . . . . . . . . . . . 51,250
2,600 Texas Industries, Inc. . . . . . . . . . . . . . . . 69,062
2,600 TJ International, Inc. . . . . . . . . . . . . . . . 61,100
3,200 Toll Brothers, Inc. (a). . . . . . . . . . . . . . . 58,800
1,700 Triangle Pacific Corp. (a) . . . . . . . . . . . . . 54,400
1,500 Universal Forest Products, Inc.. . . . . . . . . . . 21,938
2,100 U.S. Home Corp. (a). . . . . . . . . . . . . . . . . 55,781
2,700 Webb (Del E.) Corp.. . . . . . . . . . . . . . . . . 43,875
-----------
1,799,762
-----------
BREWERY - 0.12%
3,000 Boston Beer Company, Inc.-Cl. A (a). . . . . . . . . 29,625
1,500 Canandaigua Wine Co.-Cl. B (a) . . . . . . . . . . . 53,813
200 Farmer Brothers Co.. . . . . . . . . . . . . . . . . 25,400
-----------
108,838
-----------
BROADCASTING - 0.98%
1,200 Ackerley Group, Inc. . . . . . . . . . . . . . . . . 13,500
4,000 ADVO, Inc. (a) . . . . . . . . . . . . . . . . . . . 65,000
2,000 Argyle Television, Inc.-Cl. A (a). . . . . . . . . . 51,000
600 BET Holdings, Inc.-Cl. A (a) . . . . . . . . . . . . 19,650
3,800 Century Communications Corp.-Cl. A (a) . . . . . . . 20,425
1,500 Chancellor Broadcasting-Cl. A (a). . . . . . . . . . 60,000
50 Evergreen Media Corp.-Cl. A (a). . . . . . . . . . . 2,231
1,100 Heftel Broadcasting Corp.-Cl. A (a). . . . . . . . . 60,775
4,000 Heritage Media Corp. (a) . . . . . . . . . . . . . . 75,500
6 HSN, Inc. (a). . . . . . . . . . . . . . . . . . . . 188
3,000 Jacor Communications, Inc. (a) . . . . . . . . . . . 114,750
800 Paxson Communications Corp. (a). . . . . . . . . . . 10,200
1,000 SFX Broadcasting, Inc.-Cl. A (a) . . . . . . . . . . 42,187
2,400 Spelling Entertainment Group, Inc. (a) . . . . . . . 16,500
1,800 TCA Cable TV, Inc. . . . . . . . . . . . . . . . . . 67,725
4,400 United International Holdings, Inc.-Cl. A (a). . . . 45,650
600 United Television, Inc.. . . . . . . . . . . . . . . 59,400
1,200 United Video Satellite Group, Inc.-Cl. A (a) . . . . 25,200
3,500 Westwood One, Inc. (a) . . . . . . . . . . . . . . . 112,875
1,300 Young Broadcasting Corp.-Cl. A (a) . . . . . . . . . 42,250
-----------
905,006
-----------
CHEMICALS AND TOXIC WASTE - 1.65%
1,850 Cambrex Corp.. . . . . . . . . . . . . . . . . . . . 73,538
1,900 Chemed Corp. . . . . . . . . . . . . . . . . . . . . 71,131
2,300 ChemFirst, Inc.. . . . . . . . . . . . . . . . . . . 62,387
3,100 Dexter Corp. . . . . . . . . . . . . . . . . . . . . 99,200
2,700 Geon Co. . . . . . . . . . . . . . . . . . . . . . . 54,675
3,100 Georgia Gulf Corp. . . . . . . . . . . . . . . . . . 90,094
400 Hach Co. . . . . . . . . . . . . . . . . . . . . . . 7,900
3,400 Hanna (M.A.) Co. . . . . . . . . . . . . . . . . . . 97,325
See Notes to Financial Statements on Pages 30 and 31
11
<PAGE>
- --------------------------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
Shares Description Value
------ ----------- -----------
5,500 Lawter International, Inc. . . . . . . . . . . . . . $ 69,438
700 LeaRonal, Inc. . . . . . . . . . . . . . . . . . . . 19,950
2,800 Lilly Industries, Inc.-Cl. A . . . . . . . . . . . . 56,350
1,200 MacDermid, Inc.. . . . . . . . . . . . . . . . . . . 55,050
700 McWhorter Technologies, Inc. (a) . . . . . . . . . . 16,713
2,968 Mississippi Chemical Corp. . . . . . . . . . . . . . 61,586
2,500 Mycogen Corp. (a). . . . . . . . . . . . . . . . . . 49,062
300 NCH Corp.. . . . . . . . . . . . . . . . . . . . . . 18,750
3,700 NL Industries, Inc. (a). . . . . . . . . . . . . . . 53,650
2,250 OM Group, Inc. . . . . . . . . . . . . . . . . . . . 74,531
900 Petrolite Corp. (a). . . . . . . . . . . . . . . . . 55,688
2,000 Rexene Corp. . . . . . . . . . . . . . . . . . . . . 31,125
4,300 Schulman (A.), Inc.. . . . . . . . . . . . . . . . . 105,887
2,900 Scotts Company (The)-Cl. A (a) . . . . . . . . . . . 84,100
1,800 Synetic, Inc. (a). . . . . . . . . . . . . . . . . . 66,600
3,100 Terra Industries, Inc. . . . . . . . . . . . . . . . 36,038
1,100 WD-40 Co.. . . . . . . . . . . . . . . . . . . . . . 66,000
3,100 Wellman, Inc.. . . . . . . . . . . . . . . . . . . . 53,862
-----------
1,530,630
-----------
CHEMICAL-SPECIALTY - 0.35%
1,500 Albemarle Corp.. . . . . . . . . . . . . . . . . . . 31,594
700 Bush Boake Allen, Inc. (a) . . . . . . . . . . . . . 21,788
2,800 Church & Dwight Co., Inc.. . . . . . . . . . . . . . 74,900
70 Crompton & Knowles Corp. . . . . . . . . . . . . . . 1,558
3,000 Ferro Corp.. . . . . . . . . . . . . . . . . . . . . 111,187
1,500 Fuller (H.B.) Co.. . . . . . . . . . . . . . . . . . 82,500
-----------
323,527
-----------
CLIENT SERVER COMPUTING - 0.16%
95 Cadence Design Systems, Inc. (a) . . . . . . . . . . 3,183
2,900 Clarify, Inc. (a). . . . . . . . . . . . . . . . . . 32,806
6,300 Platinum Technology, Inc. (a). . . . . . . . . . . . 83,475
2,200 Xircom, Inc. (a) . . . . . . . . . . . . . . . . . . 27,362
-----------
146,826
-----------
COAL, GAS AND SOLAR - 0.13%
5,700 AGL Resources, Inc.. . . . . . . . . . . . . . . . . 117,563
-----------
COMMERCIAL SERVICES - 1.36%
3,200 ABM Industries, Inc. . . . . . . . . . . . . . . . . 61,800
1,600 Access Health, Inc. (a). . . . . . . . . . . . . . . 39,200
4,500 Anixter International, Inc. (a). . . . . . . . . . . 77,344
400 Berlitz International, Inc. (a). . . . . . . . . . . 9,975
1,300 Borg-Warner Security Corp. . . . . . . . . . . . . . 23,237
1,600 Caribiner International, Inc. (a). . . . . . . . . . 52,200
1,600 CDI Corp. (a). . . . . . . . . . . . . . . . . . . . 66,700
600 Central Parking Corp.. . . . . . . . . . . . . . . . 20,888
1,400 ClinTrials Research, Inc. (a). . . . . . . . . . . . 16,800
2,550 CORESTAFF, Inc. (a). . . . . . . . . . . . . . . . . 68,850
1,700 Data Transmission Network Corp. (a). . . . . . . . . 53,975
1,700 Electro Rent Corp. (a) . . . . . . . . . . . . . . . 42,075
900 EmCare Holdings, Inc. (a). . . . . . . . . . . . . . 32,963
2,700 Employee Solutions, Inc. (a) . . . . . . . . . . . . 15,019
400 Greenwich Air Services, Inc. . . . . . . . . . . . . 11,450
3,000 Hilb, Rogal, & Hamilton Co.. . . . . . . . . . . . . $ 51,000
600 Iron Mountain, Inc. (a). . . . . . . . . . . . . . . 18,000
350 ITT Educational Services, Inc. (a) . . . . . . . . . 8,684
2,500 Metromedia International Group, Inc. (a) . . . . . . 31,719
2,800 MGI Properties, Inc. . . . . . . . . . . . . . . . . 61,775
2,000 NFO Research, Inc. (a) . . . . . . . . . . . . . . . 49,500
1,500 Norrell Corp.. . . . . . . . . . . . . . . . . . . . 49,500
1,700 Nova Corp./Georgia (a) . . . . . . . . . . . . . . . 44,094
2,300 PhyMatrix Corp. (a). . . . . . . . . . . . . . . . . 35,362
3,200 Primark Corp. (a). . . . . . . . . . . . . . . . . . 85,200
600 Quintel Entertainment, Inc. (a). . . . . . . . . . . 9,900
1,300 Romac International, Inc. (a). . . . . . . . . . . . 42,575
1,200 Russ Berrie & Co., Inc.. . . . . . . . . . . . . . . 26,325
1,900 Sabre Group Holdings (a) . . . . . . . . . . . . . . 51,538
4,700 Sotheby's Holdings, Inc.-Cl. A . . . . . . . . . . . 79,313
900 Unitog Co. . . . . . . . . . . . . . . . . . . . . . 24,300
-----------
1,261,261
-----------
COMPUTER - 1.30%
700 American Business Information, Inc. (a). . . . . . . 15,225
2,100 Computer Task Group, Inc.. . . . . . . . . . . . . . 78,225
2,700 Cyrix Corp. (a). . . . . . . . . . . . . . . . . . . 57,713
4,400 Data General Corp. (a) . . . . . . . . . . . . . . . 114,400
1,400 Dialogic Corp. (a) . . . . . . . . . . . . . . . . . 37,275
2,400 FileNet Corp. (a). . . . . . . . . . . . . . . . . . 34,800
3,200 HMT Technology Corp. (a) . . . . . . . . . . . . . . 41,400
1,000 IDX Systems Corp. (a). . . . . . . . . . . . . . . . 34,500
3,400 Medic Computer Systems, Inc. (a) . . . . . . . . . . 75,650
1,300 MICROS Systems, Inc. (a) . . . . . . . . . . . . . . 54,600
5,300 Oak Technology, Inc. (a) . . . . . . . . . . . . . . 51,675
300 OnTrak Systems, Inc. (a) . . . . . . . . . . . . . . 9,000
3,400 Physicians Computer Network, Inc. (a). . . . . . . . 22,950
3,100 PMC Sierra, Inc. (a) . . . . . . . . . . . . . . . . 81,375
1,200 PRI Automation, Inc. (a) . . . . . . . . . . . . . . 45,525
1,700 Sandisk Corp. (a). . . . . . . . . . . . . . . . . . 24,862
4,100 Sequent Computer Systems, Inc. (a) . . . . . . . . . 86,356
1,500 Splash Technology Holdings, Inc. (a) . . . . . . . . 54,187
2,600 Stratus Computer, Inc. (a) . . . . . . . . . . . . . 130,000
2,200 Telxon Corp. . . . . . . . . . . . . . . . . . . . . 39,600
1,200 Trident Microsystems, Inc. (a) . . . . . . . . . . . 13,500
4,100 Wang Laboratories, Inc. (a). . . . . . . . . . . . . 87,381
700 Zoran Corp. (a). . . . . . . . . . . . . . . . . . . 15,838
-----------
1,206,037
-----------
COMPUTER SERVICES - 2.50%
4,400 Acxiom Corp. (a) . . . . . . . . . . . . . . . . . . 90,200
3,500 Affiliated Computer Services, Inc. (a) . . . . . . . 98,000
2,100 Analysts International Corp. . . . . . . . . . . . . 70,350
2,800 Applied Magnetics Corp. (a). . . . . . . . . . . . . 63,350
4,000 Auspex Systems, Inc. (a) . . . . . . . . . . . . . . 38,500
3,200 BDM International, Inc. (a). . . . . . . . . . . . . 73,600
2,000 Black Box Corp. (a). . . . . . . . . . . . . . . . . 80,500
3,600 Borland International, Inc. (a). . . . . . . . . . . 24,975
2,700 Brooks Fiber Properties (a). . . . . . . . . . . . . 91,125
1,100 Centennial Technologies, Inc. (a). . . . . . . . . . 2,613
See Notes to Financial Statements on Pages 30 and 31
12
<PAGE>
- --------------------------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
Shares Description Value
------ ----------- -----------
1,300 Ciber, Inc. (a). . . . . . . . . . . . . . . . . . . $ 44,444
1,600 Claremont Technology Group (a) . . . . . . . . . . . 38,000
3,400 Cognex Corp. (a) . . . . . . . . . . . . . . . . . . 90,100
2,850 Computer Horizons Corp. (a). . . . . . . . . . . . . 97,612
9,600 Computervision Corp. (a) . . . . . . . . . . . . . . 44,400
1,500 Control Data Systems, Inc. (a) . . . . . . . . . . . 22,313
5,200 Diamond Multimedia Systems, Inc. (a) . . . . . . . . 37,375
1,000 Electro Scientific Industries, Inc. (a). . . . . . . 41,875
1,800 Envoy Corp. (a). . . . . . . . . . . . . . . . . . . 59,850
3,600 E Trade Group, Inc. (a). . . . . . . . . . . . . . . 70,650
1,700 Evans & Sutherland Computer Corp. (a). . . . . . . . 47,387
1,100 Fair Issac & Co., Inc. . . . . . . . . . . . . . . . 49,019
2,000 Henry (Jack) & Associates. . . . . . . . . . . . . . 48,500
1,800 Hutchinson Technology, Inc. (a). . . . . . . . . . . 43,875
1,600 IKOS Systems, Inc. (a) . . . . . . . . . . . . . . . 34,200
1,500 Imnet Systems, Inc. (a). . . . . . . . . . . . . . . 46,594
1,700 In Focus Systems, Inc. (a) . . . . . . . . . . . . . 43,563
1,400 Inacom Corp. (a) . . . . . . . . . . . . . . . . . . 43,575
1,600 International Network Services (a) . . . . . . . . . 41,600
900 Kronos, Inc. (a) . . . . . . . . . . . . . . . . . . 24,750
1,100 LHS Group, Inc. (a). . . . . . . . . . . . . . . . . 48,194
5,200 Mentor Graphics Corp. (a). . . . . . . . . . . . . . 48,100
900 MicroTouch Systems, Inc. (a) . . . . . . . . . . . . 20,700
2,300 Mylex Corp. (a). . . . . . . . . . . . . . . . . . . 21,850
2,300 National Computer Systems, Inc.. . . . . . . . . . . 61,237
4,200 Object Design, Inc. (a). . . . . . . . . . . . . . . 36,225
1,200 ODS Networks, Inc. (a) . . . . . . . . . . . . . . . 14,250
1,200 Quick Response Services, Inc. (a). . . . . . . . . . 43,500
900 RadiSys Corp. (a). . . . . . . . . . . . . . . . . . 35,775
300 Renaissance Solutions, Inc. (a). . . . . . . . . . . 11,100
2,600 Safeguard Scientifics, Inc. (a). . . . . . . . . . . 78,975
1,900 Technology Solutions Co. (a) . . . . . . . . . . . . 75,050
1,700 USCS International, Inc. (a) . . . . . . . . . . . . 55,675
4,200 Vanstar Corp. (a). . . . . . . . . . . . . . . . . . 59,325
3,400 Xylan Corp. (a). . . . . . . . . . . . . . . . . . . 57,800
2,100 Zitel Corp. (a). . . . . . . . . . . . . . . . . . . 41,212
-----------
2,311,863
-----------
COMPUTER SOFTWARE - 4.34%
3,700 Acclaim Entertainment, Inc. (a). . . . . . . . . . . 15,262
2,000 Activision, Inc. (a) . . . . . . . . . . . . . . . . 28,750
400 Advent Software, Inc. (a). . . . . . . . . . . . . . 10,650
1,200 American HomePatient, Inc. (a) . . . . . . . . . . . 30,000
1,700 Arbor Software Corp. (a) . . . . . . . . . . . . . . 59,925
1,300 Aspect Development, Inc. (a) . . . . . . . . . . . . 33,881
2,500 Aspen Technologies, Inc. (a) . . . . . . . . . . . . 94,063
1,800 Aurum Software, Inc. (a) . . . . . . . . . . . . . . 43,200
2,200 Avant! Corp. (a) . . . . . . . . . . . . . . . . . . 71,088
2,800 Avid Technology, Inc. (a). . . . . . . . . . . . . . 73,850
2,400 Aware, Inc. (a). . . . . . . . . . . . . . . . . . . 35,400
2,800 BancTec, Inc. (a). . . . . . . . . . . . . . . . . . 72,625
2,300 BEA Systems, Inc. (a). . . . . . . . . . . . . . . . 41,975
1,800 Bell & Howell Co. (a). . . . . . . . . . . . . . . . 55,462
2,800 Bisys Group, Inc. (a). . . . . . . . . . . . . . . . 116,900
1,750 Boole & Babbage, Inc. (a). . . . . . . . . . . . . . 37,188
2,400 Broderbund Software, Inc. (a). . . . . . . . . . . . $ 59,250
3,600 Cellular Technical Services Co. (a). . . . . . . . . 32,850
3,000 Checkfree Corp. (a). . . . . . . . . . . . . . . . . 52,875
3,600 Chips & Technologies, Inc. (a) . . . . . . . . . . . 37,350
2,800 Citrix Systems, Inc. (a) . . . . . . . . . . . . . . 122,850
1,300 Data Dimensions, Inc. (a). . . . . . . . . . . . . . 28,600
1,800 DecisionOne Holdings Corp. (a) . . . . . . . . . . . 40,950
1,700 Documentum, Inc. (a) . . . . . . . . . . . . . . . . 42,287
2,000 Edify Corp. (a) . . . . . . . . . . . . . . . . . . 29,500
3,400 Exabyte Corp. (a). . . . . . . . . . . . . . . . . . 43,563
2,700 Forte Software, Inc. (a) . . . . . . . . . . . . . . 36,281
4,400 FTP Software, Inc. (a) . . . . . . . . . . . . . . . 21,450
2,500 Gerber Scientific, Inc.. . . . . . . . . . . . . . . 49,375
3,600 GT Interactive Software Corp. (a). . . . . . . . . . 42,750
2,100 Harbinger Corp. (a). . . . . . . . . . . . . . . . . 58,800
227 HBO & Co.. . . . . . . . . . . . . . . . . . . . . . 15,660
1,900 HNC Software, Inc. (a) . . . . . . . . . . . . . . . 72,438
1,600 HPR, Inc. (a). . . . . . . . . . . . . . . . . . . . 29,600
2,500 Hyperion Software Corp. (a). . . . . . . . . . . . . 55,937
3,500 Industri-Matematik International Corp.(a). . . . . . 56,875
900 Information Management Resources, Inc. (a) . . . . . 40,950
4,300 Information Resources, Inc. (a). . . . . . . . . . . 60,738
1,300 Inso Corp. (a) . . . . . . . . . . . . . . . . . . . 26,731
2,200 Integrated Systems, Inc. (a) . . . . . . . . . . . . 25,850
2,200 INTERSOLV, Inc. (a). . . . . . . . . . . . . . . . . 20,625
300 Intevac, Inc. (a). . . . . . . . . . . . . . . . . . 3,600
1,300 JDA Software Group, Inc. (a) . . . . . . . . . . . . 44,363
3,200 Learning Co., Inc. (a) . . . . . . . . . . . . . . . 29,600
700 Learning Tree International, Inc. (a). . . . . . . . 31,062
2,500 Legato Systems, Inc. (a) . . . . . . . . . . . . . . 46,250
719 Lycos, Inc. (a). . . . . . . . . . . . . . . . . . . 9,164
4,500 Macromedia, Inc. (a) . . . . . . . . . . . . . . . . 38,812
2,000 Manugistics Group, Inc. (a). . . . . . . . . . . . . 89,000
2,700 Mercury Interactive Corp. (a) . . . . . . . . . . . 40,162
600 Meridian Industrial Trust, Inc.. . . . . . . . . . . 14,100
1,600 National Instruments Corp. (a) . . . . . . . . . . . 56,400
1,900 Network Appliance, Inc. (a). . . . . . . . . . . . . 72,200
2,600 Network Computing Devices, Inc. (a). . . . . . . . . 30,225
4,200 Network General Corp. (a). . . . . . . . . . . . . . 62,475
2,700 Phoenix Technologies Ltd. (a). . . . . . . . . . . . 35,100
500 Pixar, Inc. (a). . . . . . . . . . . . . . . . . . . 7,875
1,700 Policy Management Systems Corp. (a). . . . . . . . . 79,900
2,300 Progress Software Corp. (a). . . . . . . . . . . . . 36,800
700 Project Software & Development, Inc. (a) . . . . . . 10,150
4,900 PSINet, Inc. (a) . . . . . . . . . . . . . . . . . . 36,750
2,763 Pure Atria Corp. (a) . . . . . . . . . . . . . . . . 39,027
300 Raptor Systems, Inc. (a) . . . . . . . . . . . . . . 3,356
3,900 Rational Software Corp. (a). . . . . . . . . . . . . 65,569
1,900 Remedy Corp. (a) . . . . . . . . . . . . . . . . . . 76,000
100 Sapient Corp. (a). . . . . . . . . . . . . . . . . . 4,950
1,900 Scopus Technology, Inc. (a). . . . . . . . . . . . . 42,512
2,300 SEI Investments Co.. . . . . . . . . . . . . . . . . 55,488
4,200 Shiva Corp. (a). . . . . . . . . . . . . . . . . . . 43,838
2,200 Siebel Systems, Inc. (a) . . . . . . . . . . . . . . 70,950
3,200 Spectrum Holobyte, Inc. (a). . . . . . . . . . . . . 15,600
See Notes to Financial Statements on Pages 30 and 31
13
<PAGE>
- --------------------------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
Shares Description Value
------ ----------- -----------
1,300 SPS Transaction Services, Inc. (a) . . . . . . . . . $ 24,050
600 SPSS, Inc. (a) . . . . . . . . . . . . . . . . . . . 17,400
4,500 Structural Dynamics Research Corp. (a) . . . . . . . 118,125
5,700 Symantec Corp. (a) . . . . . . . . . . . . . . . . . 111,150
4,600 System Software Associates, Inc. (a) . . . . . . . . 35,075
2,100 Systems & Computer Technology Corp. (a). . . . . . . 56,175
2,100 SystemSoft Corp. (a) . . . . . . . . . . . . . . . . 22,575
1,500 Vantive Corp. (a). . . . . . . . . . . . . . . . . . 42,375
1,300 Veritas Software Corp. (a) . . . . . . . . . . . . . 65,325
1,800 Viasoft, Inc. (a). . . . . . . . . . . . . . . . . . 91,350
1,400 VideoServer, Inc. (a). . . . . . . . . . . . . . . . 18,550
2,800 Viewlogic Systems, Inc. (a). . . . . . . . . . . . . 40,950
1,000 Visio Corp. (a). . . . . . . . . . . . . . . . . . . 70,500
1,000 Wall Data, Inc. (a). . . . . . . . . . . . . . . . . 26,375
2,100 Wind River Systems (a) . . . . . . . . . . . . . . . 80,325
2,400 Wonderware Corp. (a) . . . . . . . . . . . . . . . . 33,900
1,300 Yahoo!, Inc. (a) . . . . . . . . . . . . . . . . . . 45,825
-----------
4,015,657
-----------
CONSUMER GOODS - 0.16%
1,300 Bush Industries, Inc.-Cl. A. . . . . . . . . . . . . 30,875
600 Fossil, Inc. (a) . . . . . . . . . . . . . . . . . . 10,650
2,000 Galoob Toys, Inc. (a). . . . . . . . . . . . . . . . 37,750
1,900 Herbalife International, Inc. . . . . . . . . . . . 30,875
1,700 Renters Choice, Inc. (a) . . . . . . . . . . . . . . 33,787
-----------
143,937
-----------
CONSUMER SERVICES - 0.60%
1,700 Billing Information Concepts (a) . . . . . . . . . . 59,288
1,500 CoreComm, Inc. (a) . . . . . . . . . . . . . . . . . 25,875
3,850 Crawford & Co.-Cl. B . . . . . . . . . . . . . . . . 62,562
2,800 DeVry, Inc. (a). . . . . . . . . . . . . . . . . . . 75,600
1,150 Equity Corporation International (a) . . . . . . . . 27,816
2,200 G & K Services, Inc.-Cl. A . . . . . . . . . . . . . 81,950
500 Pinkerton's, Inc. (a). . . . . . . . . . . . . . . . 15,375
2,500 Prepaid Legal Services, Inc. (a) . . . . . . . . . . 52,812
3,800 Rollins, Inc. . . . . . . . . . . . . . . . . . . . 76,475
1,650 Seattle FilmWorks, Inc. (a). . . . . . . . . . . . . 19,800
1,650 Sylvan Learning Systems, Inc. (a). . . . . . . . . . 56,100
-----------
553,653
-----------
CONTAINERS - 0.78%
1,900 ACX Technologies, Inc. (a) . . . . . . . . . . . . . 42,750
2,100 Aptargroup, Inc. . . . . . . . . . . . . . . . . . . 95,025
3,500 Ball Corp. . . . . . . . . . . . . . . . . . . . . . 105,219
2,400 Chesapeake Corp. . . . . . . . . . . . . . . . . . . 81,000
3,400 First Brands Corp. . . . . . . . . . . . . . . . . . 77,987
5,800 Gaylord Container Corp.-Cl. A (a). . . . . . . . . . 44,588
1,500 Greif Brothers Corp.-Cl. A . . . . . . . . . . . . . 40,500
100 Liqui-Box Corp.. . . . . . . . . . . . . . . . . . . 3,375
5,800 Longview Fibre Co. . . . . . . . . . . . . . . . . . 96,425
2,700 Shorewood Packaging Corp. (a). . . . . . . . . . . . 61,425
1,800 Silgan Holdings, Inc. (a). . . . . . . . . . . . . . 69,750
-----------
718,044
-----------
COSMETICS AND TOILETRIES - 0.12%
1,350 INBRAND Corp. (a). . . . . . . . . . . . . . . . . . $ 40,500
2,600 Nature's Sunshine Products, Inc. . . . . . . . . . . 47,125
3,000 Playtex Products, Inc. (a) . . . . . . . . . . . . . 28,125
-----------
115,750
-----------
DIVERSIFIED - 0.23%
3,200 Hexcel Corp. (a) . . . . . . . . . . . . . . . . . . 55,200
1,800 Justin Industries . . . . . . . . . . . . . . . . . 22,950
1,224 NACCO Industries, Inc.-Cl. A . . . . . . . . . . . . 69,079
1,350 Volt Information Sciences, Inc. (a). . . . . . . . . 68,175
-----------
215,404
-----------
DRUGS - 0.60%
2,400 Alpharma, Inc.-Cl. A . . . . . . . . . . . . . . . . 38,250
3,200 Cephalon, Inc. (a) . . . . . . . . . . . . . . . . . 36,800
3,400 COR Therapeutics, Inc. (a) . . . . . . . . . . . . . 36,125
3,400 Gilead Sciences, Inc. (a). . . . . . . . . . . . . . 93,925
3,700 Isis Pharmaceuticals, Inc. (a) . . . . . . . . . . . 53,881
2,500 Jones Medical Industries, Inc. . . . . . . . . . . . 118,750
1,300 Medicis Pharmaceutical-Cl. A (a) . . . . . . . . . . 64,837
7,500 Perrigo Co. (a). . . . . . . . . . . . . . . . . . . 93,750
3,300 Sequus Pharmaceuticals, Inc. (a) . . . . . . . . . . 21,038
-----------
557,356
-----------
DRUGS/RETAIL - 0.16%
1,500 Express Scripts, Inc.-Cl. A (a). . . . . . . . . . . 62,625
1,400 Rexall Sundown, Inc. (a) . . . . . . . . . . . . . . 54,600
3,900 Zila, Inc. (a) . . . . . . . . . . . . . . . . . . . 26,325
-----------
143,550
-----------
ELECTRICAL EQUIPMENT - 1.58%
2,500 Adtran, Inc. (a) . . . . . . . . . . . . . . . . . . 61,874
3,600 AMETEK, Inc. . . . . . . . . . . . . . . . . . . . . 84,600
2,100 Baldor Electric Co. . . . . . . . . . . . . . . . . 62,081
2,700 Belden, Inc. . . . . . . . . . . . . . . . . . . . . 91,969
1,700 Berg Electronics Corp. (a) . . . . . . . . . . . . . 61,094
1,100 Charter Power Systems, Inc. (a). . . . . . . . . . . 41,250
66 Chyron Corp. (a) . . . . . . . . . . . . . . . . . . 297
700 Dynamics Corp. of America. . . . . . . . . . . . . . 43,575
2,400 ESS Technology, Inc. (a) . . . . . . . . . . . . . . 32,250
1,700 Essex International (a). . . . . . . . . . . . . . . 47,387
900 Esterline Technologies Corp. (a) . . . . . . . . . . 31,669
800 Fluke Corp. . . . . . . . . . . . . . . . . . . . . 47,400
600 Franklin Electric Co., Inc.. . . . . . . . . . . . . 29,850
500 Jabil Circuit, Inc. (a). . . . . . . . . . . . . . . 41,938
4,200 Kemet Corp. (a). . . . . . . . . . . . . . . . . . . 104,475
2,100 Littelfuse, Inc. (a) . . . . . . . . . . . . . . . . 59,325
3,300 MagnaTek, Inc. (a) . . . . . . . . . . . . . . . . . 54,863
900 Marquette Medical Systems-Cl. A (a). . . . . . . . . 19,800
1,600 MRV Communcications, Inc. (a). . . . . . . . . . . . 47,200
2,100 OIS Optical Imaging Systems, Inc. (a). . . . . . . . 5,119
1,400 Perceptron, Inc. (a) . . . . . . . . . . . . . . . . 37,975
3,300 Ramtron International Corp. (a). . . . . . . . . . . 20,006
2,100 Sanmina Corp. (a). . . . . . . . . . . . . . . . . . 133,350
See Notes to Financial Statements on Pages 30 and 31
14
<PAGE>
- --------------------------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
Shares Description Value
------ ----------- -----------
3,300 Silicon Valley Group, Inc. (a) . . . . . . . . . . . $ 87,037
1,400 SMART Modular Technologies, Inc. (a) . . . . . . . . 47,250
1,200 Telco Systems, Inc. (a). . . . . . . . . . . . . . . 39,000
2,000 Tracor, Inc. (a) . . . . . . . . . . . . . . . . . . 50,250
3,600 Vicor Corp. (a). . . . . . . . . . . . . . . . . . . 81,000
-----------
1,463,884
-----------
ELECTRONICS - 3.89%
2,800 Actel Corp. (a). . . . . . . . . . . . . . . . . . . 47,775
2,600 Alliance Semiconductor Corp. (a). . . . . . . . . . 21,288
1,400 Altron, Inc. (a) . . . . . . . . . . . . . . . . . . 21,000
2,000 American Residential Services, Inc. (a). . . . . . . 46,500
6,200 Ampex Corp.-Cl. A (a) . . . . . . . . . . . . . . . 36,036
1,300 Amphenol Corp.-Cl. A (a) . . . . . . . . . . . . . . 50,538
1,100 ANADIGICS, Inc. (a). . . . . . . . . . . . . . . . . 34,100
700 Analogic Corp. . . . . . . . . . . . . . . . . . . . 23,800
3,100 BMC Industries Inc. . . . . . . . . . . . . . . . . 106,175
3,250 Burr-Brown Corp. (a). . . . . . . . . . . . . . . . 112,125
2,100 Cable Design Technologies (a) . . . . . . . . . . . 61,819
3,000 C-Cube Microsystems, Inc. (a). . . . . . . . . . . . 52,688
3,300 Checkpoint Systems, Inc. (a) . . . . . . . . . . . . 53,006
1,500 Cohu, Inc. . . . . . . . . . . . . . . . . . . . . . 46,875
2,800 Computer Products, Inc. (a) . . . . . . . . . . . . 70,000
7,600 CopyTele, Inc. (a). . . . . . . . . . . . . . . . . 41,325
2,400 Credence Systems Corp. (a). . . . . . . . . . . . . 71,850
400 CTS Corp.. . . . . . . . . . . . . . . . . . . . . . 27,575
550 Cubic Corp. . . . . . . . . . . . . . . . . . . . . 14,300
1,400 DII Group, Inc. (a). . . . . . . . . . . . . . . . . 61,600
1,300 Dionex Corp. (a) . . . . . . . . . . . . . . . . . . 66,625
2,200 Dynatech Corp. (a). . . . . . . . . . . . . . . . . 78,650
2,700 Electroglas, Inc. (a). . . . . . . . . . . . . . . . 68,006
700 Eltron International, Inc. (a). . . . . . . . . . . 20,825
1,900 Etec Systems, Inc. (a) . . . . . . . . . . . . . . . 81,462
3,600 FSI International, Inc. (a) . . . . . . . . . . . . 57,600
3,100 GenRad, Inc. (a) . . . . . . . . . . . . . . . . . . 70,138
3,500 Gentex Corp. (a) . . . . . . . . . . . . . . . . . . 69,125
900 Hadco Corp. (a) . . . . . . . . . . . . . . . . . . 58,950
3,300 Identix, Inc. (a) . . . . . . . . . . . . . . . . . 36,506
8,800 Integrated Device Technology, Inc. (a). . . . . . . 92,400
2,100 Integrated Process Equipment Corp. (a). . . . . . . 53,156
4 Intermagnetics General Corp. (a). . . . . . . . . . 43
1,800 Itron, Inc. (a) . . . . . . . . . . . . . . . . . . 46,575
3,200 Kent Electronics Corp. (a). . . . . . . . . . . . . 117,400
2,200 Kuhlman Corp. . . . . . . . . . . . . . . . . . . . 70,950
1,100 LeCroy Corp. (a) . . . . . . . . . . . . . . . . . . 40,563
1,800 Logicon, Inc. . . . . . . . . . . . . . . . . . . . 95,400
3,500 Lo-Jack Corp. (a) . . . . . . . . . . . . . . . . . 50,312
5,800 LTX Corp. (a). . . . . . . . . . . . . . . . . . . . 37,700
2,000 Marshall Industries (a) . . . . . . . . . . . . . . 74,500
1,000 MTS Systems Corp. . . . . . . . . . . . . . . . . . 30,500
1,800 Nichols Research Corp. (a). . . . . . . . . . . . . 37,800
1,700 Nimbus CD International, Inc. (a) . . . . . . . . . 18,700
1,900 Oak Industries, Inc. (a). . . . . . . . . . . . . . 54,625
1,200 Park Electrochemical Corp. . . . . . . . . . . . . . 31,575
1,000 Photronics, Inc. (a). . . . . . . . . . . . . . . . 47,750
4,300 Pioneer-Standard Electronics, Inc. . . . . . . . . . $ 58,050
1,000 Plexus Corp. (a) . . . . . . . . . . . . . . . . . . 55,812
900 Rambus, Inc. (a) . . . . . . . . . . . . . . . . . . 41,850
3,200 Robotic Vision Systems, Inc. (a). . . . . . . . . . 38,000
900 Rogers Corp. (a) . . . . . . . . . . . . . . . . . . 31,725
5,400 S3, Inc. (a). . . . . . . . . . . . . . . . . . . . 59,400
1,900 SDL, Inc. (a). . . . . . . . . . . . . . . . . . . . 36,338
1,500 Sheldahl, Inc. (a). . . . . . . . . . . . . . . . . 30,938
1,500 Siliconix, Inc. (a). . . . . . . . . . . . . . . . . 41,250
600 SpeedFam International, Inc. (a). . . . . . . . . . 21,525
1,700 Stanford Telecommunications, Inc. (a). . . . . . . . 26,244
1,100 Technitrol, Inc. . . . . . . . . . . . . . . . . . . 30,112
600 Tech-Sym Corp. (a). . . . . . . . . . . . . . . . . 20,025
300 ThermoSpectra Corp. (a) . . . . . . . . . . . . . . 3,544
3,300 Trimble Navagation Ltd. (a) . . . . . . . . . . . . 58,575
1,500 Triumph Group, Inc. (a). . . . . . . . . . . . . . . 46,500
2,600 Ultratech Stepper, Inc. (a) . . . . . . . . . . . . 59,475
2,000 Uniphase Corp. (a). . . . . . . . . . . . . . . . . 116,500
1,300 Unitrode Corp. (a). . . . . . . . . . . . . . . . . 65,488
900 Veeco Instruments, Inc. (a). . . . . . . . . . . . . 34,875
50 Vitesse Semiconductor Corp. (a). . . . . . . . . . . 1,634
1,500 Watkins-Johnson Co. . . . . . . . . . . . . . . . . 46,125
1,900 Wyle Electronics . . . . . . . . . . . . . . . . . . 75,050
3,000 Zilog, Inc. (a) . . . . . . . . . . . . . . . . . . 57,000
1,000 Zygo Corp. (a). . . . . . . . . . . . . . . . . . . 30,750
-----------
3,594,996
-----------
ENGINEERING - 0.15%
2,400 Granite Construction, Inc. . . . . . . . . . . . . . 47,400
2,500 Jacobs Engineering Group, Inc. (a) . . . . . . . . . 67,188
800 Starrett (L.S.) Co.-Cl. A . . . . . . . . . . . . . 25,500
-----------
140,088
-----------
ENGINEERING AND CONSTRUCTION - 0.06%
1,300 Stone & Webster, Inc.. . . . . . . . . . . . . . . . 55,494
-----------
ENTERTAINMENT - 0.27%
2,900 Grand Casino, Inc. (a) . . . . . . . . . . . . . . . 42,775
1,900 Florida Panthers Holdings (a). . . . . . . . . . . . 46,075
7,800 Malibu Entertainment Worldwide (a) . . . . . . . . . 43,387
1,900 Rio Hotel and Casino, Inc. (a). . . . . . . . . . . 28,619
2,200 Speedway Motorsports, Inc. (a) . . . . . . . . . . . 47,850
3,800 Trump Hotels & Casino Resorts, Inc. (a) . . . . . . 40,850
-----------
249,556
-----------
ENVIRONMENTAL CONTROL - 0.91%
7,300 Allied Waste Industries, Inc. (a) . . . . . . . . . 126,838
5,700 Allwaste, Inc. (a). . . . . . . . . . . . . . . . . 54,150
3,900 Calgon Carbon Corp. . . . . . . . . . . . . . . . . 54,112
2,400 Culligan Water Technologies, Inc. (a). . . . . . . . 107,400
3,100 Dames & Moore, Inc. . . . . . . . . . . . . . . . . 38,362
2,000 Donaldson Co., Inc. . . . . . . . . . . . . . . . . 76,000
2,200 IMCO Recycling, Inc. . . . . . . . . . . . . . . . . 41,525
2,000 Ionics, Inc. (a) . . . . . . . . . . . . . . . . . . 91,000
300 Mine Safety Appliances Co. . . . . . . . . . . . . . 18,150
See Notes to Financial Statements on Pages 30 and 31
15
<PAGE>
- --------------------------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
Shares Description Value
------ ----------- -----------
6,400 Safety-Kleen Corp. . . . . . . . . . . . . . . . . . $ 108,000
600 Superior Services, Inc. (a) . . . . . . . . . . . . 14,250
1,900 Watsco, Inc. . . . . . . . . . . . . . . . . . . . . 47,500
2,200 Zurn Industries, Inc.. . . . . . . . . . . . . . . . 63,250
-----------
840,537
-----------
FINANCIAL SERVICES - 7.88%
3,500 Aames Financial Corp.. . . . . . . . . . . . . . . . 64,750
2,100 ALBANK Financial Corp. . . . . . . . . . . . . . . . 82,950
1,600 Alex Brown, Inc. . . . . . . . . . . . . . . . . . . 113,000
2,100 AMCORE Financial, Inc. . . . . . . . . . . . . . . . 57,225
3,600 AmeriCredit Corp. (a) . . . . . . . . . . . . . . . 75,600
2,800 AMRESCO, Inc. (a) . . . . . . . . . . . . . . . . . 60,200
1,200 Anchor Bancorp Wisconsin, Inc. . . . . . . . . . . . 58,500
5,400 Arcadia Financial Ltd. (a). . . . . . . . . . . . . 49,612
1,760 Associated Banc-Corp . . . . . . . . . . . . . . . . 69,520
1,900 Astoria Financial Corp. . . . . . . . . . . . . . . 90,250
2,100 BancorpSouth, Inc. . . . . . . . . . . . . . . . . . 60,900
800 Bank of Granite Corp.. . . . . . . . . . . . . . . . 24,200
700 BankAltantic Bancorp, Inc.-Cl. B . . . . . . . . . . 9,888
75 BankAtlantic Bancorp, Inc.-Cl. A . . . . . . . . . . 1,050
2,800 Bankers Corp. . . . . . . . . . . . . . . . . . . . 78,400
1,200 Banknorth Group, Inc.. . . . . . . . . . . . . . . . 55,500
2,700 Bay View Capital Corp. . . . . . . . . . . . . . . . 70,875
515 BOK Financial Corp. (a) . . . . . . . . . . . . . . 18,154
1,800 CCB Financial Corp. . . . . . . . . . . . . . . . . 131,625
1,755 Chemical Financial Corp. . . . . . . . . . . . . . . 60,547
1,900 CitFed Bancorp, Inc. . . . . . . . . . . . . . . . . 73,625
1,400 Citizens Banking Corp. . . . . . . . . . . . . . . . 47,950
1,200 Cityscape Financial Corp. (a) . . . . . . . . . . . 23,925
2,000 CNB Bankshares, Inc. . . . . . . . . . . . . . . . . 81,000
2,000 Coast Savings Financial, Inc. (a) . . . . . . . . . 90,875
3,700 Colonial BancGroup, Inc. . . . . . . . . . . . . . . 89,725
2,155 Commerce Bancorp, Inc. . . . . . . . . . . . . . . . 83,506
2,450 Commercial Federal Corp. . . . . . . . . . . . . . . 90,956
1,900 Community First Bankshares, Inc. . . . . . . . . . . 72,913
1,000 Corus Bankshares, Inc. . . . . . . . . . . . . . . . 28,250
300 CPB, Inc.. . . . . . . . . . . . . . . . . . . . . . 11,175
2,800 Credit Acceptance Corp. (a) . . . . . . . . . . . . 36,050
3,000 Cullen/Frost Bankers, Inc. . . . . . . . . . . . . . 127,125
1,600 Cuno, Inc. (a). . . . . . . . . . . . . . . . . . . 26,800
2,257 Downey Financial Corp. . . . . . . . . . . . . . . . 53,322
2,400 Eaton Vance Corp. . . . . . . . . . . . . . . . . . 66,750
1,540 F & M Bancorporation Inc. . . . . . . . . . . . . . 61,600
2,200 F & M National Corp. . . . . . . . . . . . . . . . . 57,200
900 Financial Federal Corp. (a) . . . . . . . . . . . . 19,800
3,100 First Colorado Bancorp, Inc. . . . . . . . . . . . . 59,287
55 First Commercial Corp. . . . . . . . . . . . . . . . 2,262
400 First Financial Corp.-Indiana . . . . . . . . . . . 14,900
4,200 First Financial Corp.-Wisconsin . . . . . . . . . . 123,375
925 First Indiana Corp. . . . . . . . . . . . . . . . . 20,813
2,939 First Michigan Bank Corp. . . . . . . . . . . . . . 88,905
1,650 First Midwest Bancorp, Inc.. . . . . . . . . . . . . 52,284
1,100 First Savings Bank of Washington
Bancorp, Inc. . . . . . . . . . . . . . . . . . . 24,475
200 First United Bancshares, Inc. . . . . . . . . . . . $ 8,550
900 First Western Bancorp, Inc.. . . . . . . . . . . . . 33,975
1,300 Firstbank of Illinois Co. . . . . . . . . . . . . . 50,862
2,600 FirstBank Puerto Rico. . . . . . . . . . . . . . . . 67,275
2,400 FIRSTPLUS Financial Group, Inc. (a) . . . . . . . . 81,600
1,300 Fort Wayne National Corp. . . . . . . . . . . . . . 61,100
700 Fund American Enterprise Holdings. . . . . . . . . . 73,500
1,500 Great Financial Corp.. . . . . . . . . . . . . . . . 52,688
1,600 Hambrecht & Quist Group (a). . . . . . . . . . . . . 52,400
1,120 Hancock Holding Co. . . . . . . . . . . . . . . . . 54,880
2,139 HUBCO, Inc. . . . . . . . . . . . . . . . . . . . . 62,031
1,800 IMC Mortgage Co. (a) . . . . . . . . . . . . . . . . 29,925
2,850 Imperial Bancorp (a). . . . . . . . . . . . . . . . 82,294
2,600 Imperial Credit Industries, Inc. (a). . . . . . . . 53,462
1,700 Interra Financial, Inc. . . . . . . . . . . . . . . 71,294
400 Investment Technology Group, Inc. (a). . . . . . . . 10,750
1,100 Jefferies Group, Inc.. . . . . . . . . . . . . . . . 62,700
1,600 Jefferson Bankshares, Inc. . . . . . . . . . . . . . 57,600
500 John Nuveen & Co., Inc.-Cl. A . . . . . . . . . . . 15,625
4,505 Keystone Financial, Inc. . . . . . . . . . . . . . . 140,781
1,100 Klamath First Bancorp, Inc.. . . . . . . . . . . . . 21,038
1,800 Legg Mason, Inc. . . . . . . . . . . . . . . . . . . 96,862
3,000 Long Island Bancorp, Inc. . . . . . . . . . . . . . 108,938
1,300 MAF Bancorp, Inc. . . . . . . . . . . . . . . . . . 54,437
1,500 Magna Bancorp, Inc. . . . . . . . . . . . . . . . . 41,063
3,500 Magna Group, Inc. . . . . . . . . . . . . . . . . . 121,625
1,000 McDonald & Company Investments . . . . . . . . . . . 45,875
2,700 Morgan Keegan, Inc. . . . . . . . . . . . . . . . . 53,663
1,400 Morrison Knudsen Corp. (a). . . . . . . . . . . . . 19,075
1,400 National Auto Credit, Inc. (a). . . . . . . . . . . 12,425
1,840 National City Bancshares, Inc. . . . . . . . . . . . 76,360
1,450 New York Bankcorp, Inc. . . . . . . . . . . . . . . 50,387
2,400 North American Mortgage Co.. . . . . . . . . . . . . 56,850
12 North Fork Bancorporation, Inc. . . . . . . . . . . 256
2,800 Ocwen Asset Investment Corp. . . . . . . . . . . . . 56,700
900 Ocwen Financial Corp. (a). . . . . . . . . . . . . . 29,363
1,900 ONBANCorp, Inc.. . . . . . . . . . . . . . . . . . . 96,900
2,550 One Valley Bancorp, Inc. . . . . . . . . . . . . . . 107,100
3,304 Peoples Heritage Financial Group, Inc. . . . . . . . 125,139
7,300 Phoenix Duff & Phelps Corp.. . . . . . . . . . . . . 53,837
2,500 Pioneer Group, Inc. . . . . . . . . . . . . . . . . 57,500
2,100 Piper Jaffray Companies, Inc. . . . . . . . . . . . 43,050
1,525 Provident Bankshares Corp. . . . . . . . . . . . . . 63,478
1,099 Queens County Bancorp, Inc.. . . . . . . . . . . . . 50,005
2,200 Quick & Reilly Group, Inc. . . . . . . . . . . . . . 51,150
2,700 Raymond James Financial, Inc. . . . . . . . . . . . 73,912
1,500 RCSB Financial, Inc. . . . . . . . . . . . . . . . . 71,813
1,700 Republic Bancorp, Inc. . . . . . . . . . . . . . . . 24,225
670 Resource Bancshares Mortgage Group,
Inc. . . . . . . . . . . . . . . . . . . . . . . 13,232
4,200 Roslyn Bancorp, Inc. . . . . . . . . . . . . . . . . 96,075
2,400 Security Capital Atlantic. . . . . . . . . . . . . . 57,450
1,300 Security Capital Corp. . . . . . . . . . . . . . . . 122,850
1,000 Silicon Valley Bancshares (a) . . . . . . . . . . . 45,250
7,040 Sovereign Bancorp, Inc. . . . . . . . . . . . . . . 107,360
See Notes to Financial Statements on Pages 30 and 31
16
<PAGE>
- --------------------------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
Shares Description Value
------ ----------- ------------
1,900 Standard Financial, Inc. . . . . . . . . . . . . . . $ 46,550
2,550 St. Paul Bancorp, Inc. . . . . . . . . . . . . . . . 84,469
400 Sumitomo Bank of California. . . . . . . . . . . . . 11,550
233 TCF Financial Corp.. . . . . . . . . . . . . . . . . 11,503
400 Texas Regional Bancshares-Cl. A. . . . . . . . . . . 16,800
2,000 TR Financial Corp. . . . . . . . . . . . . . . . . . 50,375
2,100 Trans Financial, Inc.. . . . . . . . . . . . . . . . 58,538
1,300 Triad Guaranty, Inc. (a) . . . . . . . . . . . . . . 58,987
3,800 Trustco Bank Corp. . . . . . . . . . . . . . . . . . 81,225
2,600 Trustmark Corp.. . . . . . . . . . . . . . . . . . . 72,800
1,620 UMB Financial Corp. . . . . . . . . . . . . . . . . 69,862
1,600 United Bankshares, Inc. . . . . . . . . . . . . . . 67,600
2,500 United Carolina Bancshares, Inc. (a). . . . . . . . 130,000
3,200 United Companies Financial Corp. . . . . . . . . . . 90,400
1,900 UST Corp.. . . . . . . . . . . . . . . . . . . . . . 42,513
2,200 U.S. Trust Corp. . . . . . . . . . . . . . . . . . . 103,675
1,200 WesBanco, Inc. . . . . . . . . . . . . . . . . . . . 47,550
1,456 Westamerica Bancorporation . . . . . . . . . . . . . 110,656
1,200 Westcorp . . . . . . . . . . . . . . . . . . . . . . 22,050
800 White River Corp. (a) . . . . . . . . . . . . . . . 58,300
1,400 Whitney Holding Corp.. . . . . . . . . . . . . . . . 59,150
-----------
7,284,682
-----------
FOOD SERVICE/LODGING - 0.73%
2,000 Bristol Hotel Co. (a) . . . . . . . . . . . . . . . 77,000
3,900 Franchise Finance Corp. of America . . . . . . . . . 101,644
2,700 Luby's Cafeterias, Inc. . . . . . . . . . . . . . . 53,831
800 Marcus Corp. . . . . . . . . . . . . . . . . . . . . 19,700
1,100 Morrison Health Care, Inc. . . . . . . . . . . . . . 17,531
1,900 Ruby Tuesday, Inc. (a) . . . . . . . . . . . . . . . 42,631
5,800 Ryan's Family Steak Houses, Inc. (a). . . . . . . . 49,663
600 Sanderson Farms, Inc.. . . . . . . . . . . . . . . . 10,500
4,000 Savannah Foods & Industries, Inc.. . . . . . . . . . 70,250
1,400 Sbarro, Inc. . . . . . . . . . . . . . . . . . . . . 38,850
4,900 Shoney's, Inc. (a). . . . . . . . . . . . . . . . . 29,094
1,700 Showbiz Pizza Time, Inc. (a) . . . . . . . . . . . . 44,837
2,000 Smithfield Foods, Inc. (a). . . . . . . . . . . . . 123,000
-----------
678,531
-----------
FOODS - 1.12%
2,000 CellStar Corp. (a). . . . . . . . . . . . . . . . . 61,250
1,600 Dreyer's Grand Ice Cream, Inc. . . . . . . . . . . . 63,200
1,200 Earthgrains Co.. . . . . . . . . . . . . . . . . . . 78,675
3,500 Hudson Foods Inc.-Cl. A . . . . . . . . . . . . . . 57,094
1,900 International Multifoods Corp. . . . . . . . . . . . 47,737
1,900 Lance, Inc. . . . . . . . . . . . . . . . . . . . . 36,338
1,500 Michael Foods, Inc. . . . . . . . . . . . . . . . . 27,750
1,100 Morningstar Group, Inc. (a) . . . . . . . . . . . . 32,312
1,000 NPC International, Inc. (a) . . . . . . . . . . . . 11,625
2,100 Performance Food Group Co. (a). . . . . . . . . . . 44,100
3,900 Ralcorp Holdings, Inc. (a). . . . . . . . . . . . . 57,525
4,300 Richfood Holdings, Inc.. . . . . . . . . . . . . . . 111,800
4,100 Rykoff-Sexton, Inc. . . . . . . . . . . . . . . . . 95,581
1,500 Smith's Food & Drug Centers, Inc.
Cl. B (a). . . . . . . . . . . . . . . . . . . . . . 80,438
2,400 Smucker (J.M.) Co.-Cl. A . . . . . . . . . . . . . . $ 52,200
1,700 Suiza Foods Corp. (a). . . . . . . . . . . . . . . . 69,700
51 Tootsie Roll Industries, Inc. . . . . . . . . . . . 2,270
2,800 Universal Foods Corp.. . . . . . . . . . . . . . . . 106,750
-----------
1,036,345
-----------
FOREST PRODUCTS AND PAPER - 0.08%
1,500 Buckeye Cellulose Corp. (a) . . . . . . . . . . . . 50,625
800 Deltic Timber Corp.. . . . . . . . . . . . . . . . . 23,450
-----------
74,075
-----------
GAMING - 0.06%
5,200 Aztar Corp. (a) . . . . . . . . . . . . . . . . . . 36,725
1,100 Sodak Gaming, Inc. (a) . . . . . . . . . . . . . . . 16,225
-----------
52,950
-----------
HEALTHCARE-DIVERSIFIED - 0.40%
5,300 American Oncology Resources, Inc. (a). . . . . . . . 89,438
3,000 Cerner Corp. (a) . . . . . . . . . . . . . . . . . . 63,000
1,300 HCIA, Inc. (a). . . . . . . . . . . . . . . . . . . 43,550
1,400 HealthPlan Services Corp. . . . . . . . . . . . . . 26,425
5,400 Horizon/CMS Healthcare Corp. (a). . . . . . . . . . 108,337
5,800 Physician Corporation of America (a). . . . . . . . 36,975
-----------
367,725
-----------
HEALTHCARE - 1.24%
4,900 Apria Healthcare Group, Inc. (a) . . . . . . . . . . 86,056
1,000 CRA Managed Care, Inc. (a). . . . . . . . . . . . . 52,187
1,400 Henry Schein, Inc. (a) . . . . . . . . . . . . . . . 43,750
1,400 Inhale Therapeutics Systems (a). . . . . . . . . . . 34,650
1,400 Living Centers of America, Inc. (a) . . . . . . . . 55,300
3,400 Mariner Health Group, Inc. (a). . . . . . . . . . . 52,488
2,124 MedPartners, Inc. (a). . . . . . . . . . . . . . . . 45,931
1,200 Medquist, Inc. (a) . . . . . . . . . . . . . . . . . 36,450
4,600 Mid Atlantic Medical Services, Inc. (a) . . . . . . 71,588
2,000 Multicare Companies, Inc. (a) . . . . . . . . . . . 54,750
1,400 NCS Healthcare, Inc. (a) . . . . . . . . . . . . . . 42,525
2,800 OccuSystems, Inc. (a) . . . . . . . . . . . . . . . 81,200
1,100 Pediatrix Medical Group, Inc. (a) . . . . . . . . . 50,394
500 Perclose, Inc. (a). . . . . . . . . . . . . . . . . 12,500
1,700 Regency Health Services, Inc. (a) . . . . . . . . . 26,137
1,600 Renal Care Group, Inc. (a) . . . . . . . . . . . . . 66,700
3,000 Renal Treatment Centers, Inc. (a) . . . . . . . . . 80,625
3,600 RoTech Medical Corp. (a). . . . . . . . . . . . . . 72,225
4,100 Sun Healthcare Group, Inc. (a). . . . . . . . . . . 85,331
4,100 Trigon Healthcare (a). . . . . . . . . . . . . . . . 99,425
-----------
1,150,212
-----------
HOLDING COMPANY - 0.13%
2,700 Triarc Cos., Inc. (a) . . . . . . . . . . . . . . . 55,013
4,000 Walter Industries, Inc. (a) . . . . . . . . . . . . 67,000
-----------
122,013
-----------
Hospital Supplies and Healthcare - 0.27%
2,600 Haemonetics Corp. (a) . . . . . . . . . . . . . . . 49,725
See Notes to Financial Statements on Pages 30 and 31
17
<PAGE>
- --------------------------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
Shares Description Value
------ ----------- -----------
2,400 Healthdyne Technologies, Inc. (a) . . . . . . . . . $ 41,400
2,000 Interim Services, Inc. (a). . . . . . . . . . . . . 89,000
1,900 Rural/Metro Corp. (a) . . . . . . . . . . . . . . . 55,159
50 St. Jude Medical, Inc. (a). . . . . . . . . . . . . 1,950
600 Vital Signs, Inc.. . . . . . . . . . . . . . . . . . 10,538
-----------
247,772
-----------
HOTEL/MOTEL - 0.58%
3,900 Boyd Gaming Corp. (a) . . . . . . . . . . . . . . . 22,425
1,800 Capstar Hotel Co. (a). . . . . . . . . . . . . . . . 56,925
5,000 Choice Hotels Corp., Inc. (a). . . . . . . . . . . . 84,688
62 Doubletree Corp. (a). . . . . . . . . . . . . . . . 2,550
2,000 Interstate Hotels Co. (a). . . . . . . . . . . . . . 58,875
1,600 Primadonna Resorts, Inc. (a) . . . . . . . . . . . . 30,900
3,400 Prime Hospitality Corp. (a) . . . . . . . . . . . . 67,150
4,300 Read-Rite Corp. (a). . . . . . . . . . . . . . . . . 89,762
1,800 Red Roof Inns, Inc. (a) . . . . . . . . . . . . . . 32,400
1,800 Showboat, Inc. . . . . . . . . . . . . . . . . . . . 31,387
1,700 Wyndham Hotel Corp. (a). . . . . . . . . . . . . . . 55,463
-----------
532,525
-----------
HOUSEHOLD FURNISHING - 0.87%
700 Action Performance Cos., Inc. (a) . . . . . . . . . 16,975
2,200 Bassett Furniture Industries, Inc. . . . . . . . . . 62,288
2,300 CORT Business Services Corp. (a). . . . . . . . . . 67,850
2,300 Department 56, Inc. (a) . . . . . . . . . . . . . . 51,031
4,000 Fedders Corp. . . . . . . . . . . . . . . . . . . . 22,750
7,100 Furniture Brands International, Inc. (a) . . . . . . 137,563
2,600 Garden Ridge Corp. (a) . . . . . . . . . . . . . . . 32,500
6,000 Heilig-Meyers Co. . . . . . . . . . . . . . . . . . 117,750
3,300 Juno Lighting, Inc. . . . . . . . . . . . . . . . . 53,625
2,100 Kimball International, Inc.-Cl. B. . . . . . . . . . 84,525
1,800 La-Z-Boy Chair, Inc. . . . . . . . . . . . . . . . . 64,800
1,100 McGrath Rentcorp . . . . . . . . . . . . . . . . . . 22,550
500 National Presto Industries, Inc. . . . . . . . . . . 20,156
4,300 Zenith Electronics Corp. (a) . . . . . . . . . . . . 50,794
-----------
805,157
-----------
HOUSEHOLD PRODUCTS - 0.24%
2,200 Libbey, Inc. . . . . . . . . . . . . . . . . . . . . 77,000
1,300 Sawtek, Inc. (a) . . . . . . . . . . . . . . . . . . 43,875
1,700 Toro Co. . . . . . . . . . . . . . . . . . . . . . . 64,387
600 USA Detergents, Inc. (a). . . . . . . . . . . . . . 6,150
2,000 Windmere-Durable Holdings, Inc. . . . . . . . . . . 32,750
-----------
224,162
-----------
HOUSING REVENUE - 0.08%
4,960 Champion Enterprises, Inc. (a). . . . . . . . . . . 74,400
-----------
HUMAN RESOURCES - 0.16%
2,300 Alternative Resources Corp. (a). . . . . . . . . . . 46,862
1,400 Kelly Services, Inc.-Cl. A . . . . . . . . . . . . . 43,925
1,900 Personnel Group of America, Inc. (a). . . . . . . . 54,744
-----------
145,531
-----------
INSURANCE - 4.53%
1,300 Acceptance Insurance Cos., Inc. (a) . . . . . . . . $ 29,575
1,300 Acordia, Inc. . . . . . . . . . . . . . . . . . . . 52,000
2,400 Alfa Corp. . . . . . . . . . . . . . . . . . . . . . 33,300
1,950 Allied Group, Inc. . . . . . . . . . . . . . . . . . 74,100
900 American Annuity Group, Inc. (a). . . . . . . . . . 16,200
3,200 Amerin Corp. (a) . . . . . . . . . . . . . . . . . . 77,600
1,400 AmVestors Financial Corp. . . . . . . . . . . . . . 26,250
2,200 Argonaut Group, Inc. . . . . . . . . . . . . . . . . 64,900
1,400 Baldwin & Lyons, Inc.-Cl. B. . . . . . . . . . . . . 31,675
1,900 Berkley (W.R.) Corp. . . . . . . . . . . . . . . . . 111,862
1,400 Capital RE Corp. . . . . . . . . . . . . . . . . . . 74,900
800 CapMac Holdings, Inc.. . . . . . . . . . . . . . . . 26,900
700 Capsure Holdings Corp. (a). . . . . . . . . . . . . 9,056
1,800 Chartwell RE Corp. . . . . . . . . . . . . . . . . . 54,000
700 Citizens Corp. . . . . . . . . . . . . . . . . . . . 19,338
2,600 CMAC Investment Corp.. . . . . . . . . . . . . . . . 124,150
2,100 Commerce Group, Inc. . . . . . . . . . . . . . . . . 51,712
1,100 Compdent Corp. (a). . . . . . . . . . . . . . . . . 23,169
32 Conseco, Inc. . . . . . . . . . . . . . . . . . . . 1,184
3,600 Coventry Corp. (a). . . . . . . . . . . . . . . . . 54,450
1,305 Delphi Financial Group, Inc.-Cl. A (a). . . . . . . 50,243
1,500 Enhance Financial Services Group, Inc. . . . . . . . 65,812
1,100 Executive Risk, Inc. . . . . . . . . . . . . . . . . 57,200
2,000 E.W. Blanch Holdings, Inc. . . . . . . . . . . . . . 53,375
1,800 FBL Financial Group, Inc.-Cl. A. . . . . . . . . . . 67,950
3,400 Financial Security Assurance Holdings Ltd. . . . . . 132,388
1,600 First American Financial Corp. . . . . . . . . . . . 62,400
1,400 Foremost Corp. of America . . . . . . . . . . . . . 83,825
2,600 Fremont General Corp.. . . . . . . . . . . . . . . . 104,650
1,640 Frontier Insurance Group, Inc. . . . . . . . . . . . 106,190
1,900 GAINSCO, Inc. . . . . . . . . . . . . . . . . . . . 17,812
2,100 Gallagher (Arthur J.) & Co.. . . . . . . . . . . . . 79,275
2,200 Guarantee Life Companies, Inc. . . . . . . . . . . . 55,275
1,000 Guaranty National Corp. . . . . . . . . . . . . . . 24,000
2,100 Hartford Life-Cl. A (a). . . . . . . . . . . . . . . 78,750
3,400 HCC Insurance Holdings, Inc. . . . . . . . . . . . . 90,738
2,600 Highlands Insurance Group, Inc. (a) . . . . . . . . 52,325
2,300 HSB Group, Inc.. . . . . . . . . . . . . . . . . . . 122,763
1,400 Integon Corp. . . . . . . . . . . . . . . . . . . . 35,000
2,300 John Alden Financial Corp. . . . . . . . . . . . . . 48,156
800 JSB Financial, Inc. . . . . . . . . . . . . . . . . 34,600
800 Kansas City Life Insurance Co. . . . . . . . . . . . 63,200
1,400 Liberty Corp. . . . . . . . . . . . . . . . . . . . 57,050
1,500 Life RE Corp. . . . . . . . . . . . . . . . . . . . 69,937
2,000 Life USA Holding, Inc. (a). . . . . . . . . . . . . 28,500
400 Markel Corp. (a) . . . . . . . . . . . . . . . . . . 51,200
600 Meadowbrook Insurance Group, Inc.. . . . . . . . . . 14,963
1,418 Medical Assurance, Inc. (a). . . . . . . . . . . . . 57,606
2,000 MMI Companies, Inc. . . . . . . . . . . . . . . . . 52,250
1,900 NAC Re Corp. . . . . . . . . . . . . . . . . . . . . 91,913
1,800 National Tech Team, Inc. (a). . . . . . . . . . . . 38,475
200 National Western Life Insurance-Cl. A. (a) . . . . . 17,850
1,400 Orion Capital Corp. . . . . . . . . . . . . . . . . 103,250
3,000 Penncorp Financial Group, Inc. . . . . . . . . . . . 115,500
See Notes to Financial Statements on Pages 30 and 31
18
<PAGE>
- --------------------------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
Shares Description Value
------ ----------- -----------
1,500 Poe & Brown, Inc. . . . . . . . . . . . . . . . . . $ 55,500
3,800 Presidential Life Corp. . . . . . . . . . . . . . . 73,625
1,723 PXRE Corp. . . . . . . . . . . . . . . . . . . . . . 52,982
1,700 Reinsurance Group of America . . . . . . . . . . . . 97,750
1,900 Risk Capital Holdings, Inc. (a). . . . . . . . . . . 39,900
800 RLI Corp.. . . . . . . . . . . . . . . . . . . . . . 29,150
1,800 SCPIE Holdings, Inc. . . . . . . . . . . . . . . . . 50,062
1,100 Security Connecticut Corp. (a). . . . . . . . . . . 60,569
1,700 Selective Insurance Group, Inc. . . . . . . . . . . 82,344
1,200 State Auto Financial Corp. . . . . . . . . . . . . . 27,000
4,000 Town & Country Trust . . . . . . . . . . . . . . . . 61,500
1,900 Trenwick Group, Inc. . . . . . . . . . . . . . . . . 71,250
900 United Fire & Casualty Co. . . . . . . . . . . . . . 33,750
1,000 United Wisconsin Services, Inc. . . . . . . . . . . 33,687
1,900 Vesta Insurance Group, Inc.. . . . . . . . . . . . . 82,175
2,200 Washington National Corp. . . . . . . . . . . . . . 62,700
2,200 Zenith National Insurance Corp. . . . . . . . . . . 59,400
2,000 Zurich Reinsurance Centre Holdings, Inc. . . . . . . 79,000
-----------
4,193,086
-----------
LEISURE RELATED - 0.76%
400 AMC Entertainment, Inc. . . . . . . . . . . . . . . 7,350
700 Anchor Gaming (a) . . . . . . . . . . . . . . . . . 33,425
2,800 Arctic Cat, Inc. . . . . . . . . . . . . . . . . . . 29,050
100 Bally's Grand, Inc. (a) . . . . . . . . . . . . . . 5,100
1,200 Carmike Cinemas, Inc.-Cl. A (a). . . . . . . . . . . 39,300
2,500 Coachmen Industries, Inc. . . . . . . . . . . . . . 42,812
3,700 Handleman Co. (a) . . . . . . . . . . . . . . . . . 23,588
2,300 Huffy Corp. . . . . . . . . . . . . . . . . . . . . 33,638
4,400 Jostens, Inc. . . . . . . . . . . . . . . . . . . . 117,700
2,500 K2, Inc. . . . . . . . . . . . . . . . . . . . . . . 79,219
2,600 Outboard Marine Corp.. . . . . . . . . . . . . . . . 46,150
800 Penn National Gaming, Inc. (a). . . . . . . . . . . 11,900
1,600 Premiere Parks, Inc. (a) . . . . . . . . . . . . . . 59,000
1,400 Signature Resorts, Inc. (a). . . . . . . . . . . . . 48,387
2,900 Toy Biz, Inc. (a) . . . . . . . . . . . . . . . . . 23,925
2,500 Vail Resorts, Inc. (a) . . . . . . . . . . . . . . . 63,125
1,600 West Marine, Inc. (a) . . . . . . . . . . . . . . . 41,200
-----------
704,869
-----------
MACHINERY - 2.27%
300 Ag-Chem Equipment Co., Inc. (a). . . . . . . . . . . 6,900
1,000 Alamo Group, Inc. . . . . . . . . . . . . . . . . . 20,813
2,100 Albany International Corp.-Cl. A . . . . . . . . . . 47,250
1,000 Allied Products Corp.. . . . . . . . . . . . . . . . 33,125
1,900 Applied Industrial Technology, Inc. . . . . . . . . 68,400
1,400 Applied Power, Inc.-Cl. A . . . . . . . . . . . . . 72,275
2,800 Aviall, Inc. (a) . . . . . . . . . . . . . . . . . . 39,200
1,200 Blount International, Inc.-Cl. A . . . . . . . . . . 51,075
2,700 BW/IP, Inc. . . . . . . . . . . . . . . . . . . . . 54,844
1,300 Cascade Corp. . . . . . . . . . . . . . . . . . . . 25,106
4,100 Cincinnati Milacron, Inc. . . . . . . . . . . . . . 106,344
1,300 Columbus McKinnon Corp. . . . . . . . . . . . . . . 24,700
1,600 Commercial Intertech Corp. . . . . . . . . . . . . . 22,300
1,100 DT Industries, Inc. . . . . . . . . . . . . . . . . 39,325
3,200 Durco International, Inc. . . . . . . . . . . . . . $ 93,600
3,700 Giddings & Lewis, Inc. . . . . . . . . . . . . . . . 77,237
500 Gleason Corp. . . . . . . . . . . . . . . . . . . . 23,250
2,500 Global Industrial Technologies, Inc. (a) . . . . . . 51,250
1,600 Greenfield Industries. . . . . . . . . . . . . . . . 43,200
1,400 Helix Technology Corp. . . . . . . . . . . . . . . . 56,700
3,350 IDEX Corp. . . . . . . . . . . . . . . . . . . . . . 110,550
4,000 JLG Industries . . . . . . . . . . . . . . . . . . . 54,500
2,400 Kulicke & Soffa Industries, Inc. (a). . . . . . . . 77,925
2,100 Lincoln Electric Co. . . . . . . . . . . . . . . . . 80,325
1,650 Lindsay Manufacturing Co. . . . . . . . . . . . . . 54,037
1,750 Manitowoc Co., Inc. . . . . . . . . . . . . . . . . 81,813
1,300 Nordson Corp.. . . . . . . . . . . . . . . . . . . . 83,525
2,200 OmniQuip International, Inc. (a) . . . . . . . . . . 50,875
1,200 Osmonics, Inc. (a). . . . . . . . . . . . . . . . . 22,125
2,900 Regal-Beloit Corp. . . . . . . . . . . . . . . . . . 76,850
1,400 Robbins & Myers, Inc.. . . . . . . . . . . . . . . . 45,500
1,800 Roper Industries, Inc. . . . . . . . . . . . . . . . 93,375
2,000 Specialty Equipment Cos., Inc. (a) . . . . . . . . . 29,500
800 SPS Technologies, Inc. (a). . . . . . . . . . . . . 56,600
1,700 Tennant Co. . . . . . . . . . . . . . . . . . . . . 56,525
300 TurboChef, Inc. (a). . . . . . . . . . . . . . . . . 4,050
2,000 Watts Industries, Inc.-Cl. A . . . . . . . . . . . . 48,000
2,100 Zebra Technologies Corp.-Cl. A (a) . . . . . . . . . 58,537
1,500 Zoltek Cos., Inc. (a) . . . . . . . . . . . . . . . 57,375
-----------
2,098,881
-----------
MANUFACTURING - 1.82%
300 Advanced Lighting Technologies, Inc. (a) . . . . . . 7,575
900 Alltrista Corp. (a). . . . . . . . . . . . . . . . . 24,637
2,400 Brady (W.H.) Co. . . . . . . . . . . . . . . . . . . 69,600
25 Cavalier Homes, Inc. . . . . . . . . . . . . . . . . 250
2,700 Clarcor, Inc. . . . . . . . . . . . . . . . . . . . 66,825
1,200 Cross (A.T.) Co.-Cl. A . . . . . . . . . . . . . . . 15,300
700 Day Runner, Inc. (a). . . . . . . . . . . . . . . . 23,275
3,400 Figgie International,Inc.-Cl. A (a) . . . . . . . . 46,750
2,400 Fisher Scientific International . . . . . . . . . . 114,000
2,400 Fleetwood Enterprises. . . . . . . . . . . . . . . . 71,550
1,600 Foamex International, Inc. (a). . . . . . . . . . . 21,000
1,700 Furon Co.. . . . . . . . . . . . . . . . . . . . . . 53,338
3,000 GenCorp, Inc. . . . . . . . . . . . . . . . . . . . 69,375
2,000 Graco, Inc. . . . . . . . . . . . . . . . . . . . . 60,250
4,000 Griffon Corp. (a) . . . . . . . . . . . . . . . . . 54,750
1,700 Harman International Industries, Inc. . . . . . . . 71,612
1,000 Insilco Corp. (a) . . . . . . . . . . . . . . . . . 37,500
3,000 Lydall, Inc. (a) . . . . . . . . . . . . . . . . . . 63,375
1,100 Matthews International Corp.-Cl. A . . . . . . . . . 40,150
3,300 MDU Resources Group, Inc.. . . . . . . . . . . . . . 79,200
2,725 Paxar Corp. (a) . . . . . . . . . . . . . . . . . . 51,434
1,400 Plantronics, Inc. (a) . . . . . . . . . . . . . . . 70,175
2,100 Polymer Group, Inc. (a). . . . . . . . . . . . . . . 33,863
1,200 RMI Titanium Co. (a). . . . . . . . . . . . . . . . 32,700
4,200 Royal Appliance Manufacturing (a). . . . . . . . . . 35,963
1,600 Samsonite Corp. (a). . . . . . . . . . . . . . . . . 70,600
1,000 Sequa Corp.-Cl. A (a) . . . . . . . . . . . . . . . 56,375
See Notes to Financial Statements on Pages 30 and 31
19
<PAGE>
- --------------------------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
Shares Description Value
------ ----------- -----------
2,200 Standex International Corp.. . . . . . . . . . . . . $ 66,000
1,200 Thermo TerraTech, Inc. (a). . . . . . . . . . . . . 13,650
1,400 Tredegar Industries, Inc. . . . . . . . . . . . . . 77,700
3,200 Waters Corp. (a) . . . . . . . . . . . . . . . . . . 114,800
2,000 Westinghouse Air Brake Co. . . . . . . . . . . . . . 40,000
1,700 Zytec Corp. (a) . . . . . . . . . . . . . . . . . . 31,875
-----------
1,685,447
-----------
MARKETING - 0.23%
5,200 ACNielsen Corp. (a). . . . . . . . . . . . . . . . . 102,050
700 CKS Group, Inc. (a). . . . . . . . . . . . . . . . . 23,625
4,300 Sitel Corp. (a). . . . . . . . . . . . . . . . . . . 88,687
-----------
214,362
-----------
MEDICAL BIOTECHNOLOGY - 1.50%
4,200 Advanced Tissue Sciences, Inc. (a) . . . . . . . . . 54,075
2,000 Affymetrix, Inc. (a) . . . . . . . . . . . . . . . . 69,500
1,500 Agouron Pharmaceuticals, Inc. (a) . . . . . . . . . 121,313
2,700 Alkermes, Inc. (a). . . . . . . . . . . . . . . . . 39,150
4,300 Alliance Pharmaceutical Corp. (a) . . . . . . . . . 43,269
1,200 Biomatrix, Inc. (a). . . . . . . . . . . . . . . . . 22,800
800 Bio-Rad Laboratories, Inc.-Cl. A (a). . . . . . . . 20,850
6,000 Bio-Technology General Corp. (a). . . . . . . . . . 81,000
4,800 Creative BioMolecules, Inc. (a). . . . . . . . . . . 33,900
7,400 Cytogen Corp. (a) . . . . . . . . . . . . . . . . . 36,075
1,700 Cytyc Corp. (a) . . . . . . . . . . . . . . . . . . 46,112
5,900 Gensia Sicor, Inc. (a) . . . . . . . . . . . . . . . 26,181
2,400 Heartport, Inc. (a). . . . . . . . . . . . . . . . . 42,300
2,100 Human Genome Sciences, Inc. (a). . . . . . . . . . . 69,825
1,800 Hvide Marine, Inc.-Cl. A (a). . . . . . . . . . . . 39,825
3,100 IDEXX Laboratories, Inc. (a) . . . . . . . . . . . . 38,556
2,500 Immunomedics, Inc. (a) . . . . . . . . . . . . . . . 10,938
1,700 I-STAT Corp. (a) . . . . . . . . . . . . . . . . . . 29,112
1,900 Martek Biosciences Corp. (a) . . . . . . . . . . . . 22,325
2,800 MedImmune, Inc. (a). . . . . . . . . . . . . . . . . 51,800
1,700 Millennium Pharmaceuticals (a) . . . . . . . . . . . 27,413
1,400 Myriad Genetics, Inc. (a). . . . . . . . . . . . . . 37,800
2,100 NeoPath, Inc. (a) . . . . . . . . . . . . . . . . . 39,900
3,000 Neoprobe Corp. (a). . . . . . . . . . . . . . . . . 42,000
1,900 Neurex Corp. (a) . . . . . . . . . . . . . . . . . . 26,837
1,900 Neurogen Corp. (a). . . . . . . . . . . . . . . . . 43,225
2,375 Organogenesis, Inc. (a) . . . . . . . . . . . . . . 46,461
3,300 Regeneron Pharmaceuticals, Inc. (a) . . . . . . . . 33,413
1,900 SangStat Medical Corp. (a). . . . . . . . . . . . . 43,937
5,800 Scios, Inc. (a) . . . . . . . . . . . . . . . . . . 36,975
1,400 Transkaryotic Therapies, Inc. (a). . . . . . . . . . 43,225
1,600 Vical, Inc. (a) . . . . . . . . . . . . . . . . . . 20,400
1,800 VISX, Inc. (a). . . . . . . . . . . . . . . . . . . 42,750
-----------
1,383,242
-----------
MEDICAL SUPPLIES - 2.24%
2,500 Acuson Corp. (a) . . . . . . . . . . . . . . . . . . 57,500
2,800 ADAC Laboratories (a) . . . . . . . . . . . . . . . 66,150
1,600 Advanced Technology Laboratories, Inc. (a) . . . . . 68,800
2,100 Arrow International, Inc. . . . . . . . . . . . . . 61,425
3,200 Arterial Vascular Engineering (a). . . . . . . . . . $ 103,000
3,000 Ballard Medical Products . . . . . . . . . . . . . . 60,188
950 Barr Laboratories, Inc. (a) . . . . . . . . . . . . 41,800
1,500 Capstone Pharmacy Services, Inc. (a). . . . . . . . 16,312
3,300 CNS, Inc. (a). . . . . . . . . . . . . . . . . . . . 30,113
1,300 Coherent, Inc. (a). . . . . . . . . . . . . . . . . 57,850
2,500 CONMED Corp. (a) . . . . . . . . . . . . . . . . . . 42,500
2,000 Datascope Corp. (a). . . . . . . . . . . . . . . . . 39,250
1,300 Diagnostic Products Corp.. . . . . . . . . . . . . . 41,031
3,395 Enzo Biochem, Inc. (a) . . . . . . . . . . . . . . . 53,259
1,600 Graham Field Health Corp. (a). . . . . . . . . . . . 21,800
2,200 Gulf South Medical Supply, Inc. (a) . . . . . . . . 42,900
1,300 Hologic, Inc. (a) . . . . . . . . . . . . . . . . . 34,612
3,300 Invacare Corp. . . . . . . . . . . . . . . . . . . . 77,138
1,300 Kinetic Concepts, Inc. . . . . . . . . . . . . . . . 23,400
300 LabOne, Inc. . . . . . . . . . . . . . . . . . . . . 5,475
5,400 Laboratory Corporation of America
Holdings (a) . . . . . . . . . . . . . . . . . . . 14,175
1,400 Landauer, Inc. . . . . . . . . . . . . . . . . . . . 32,462
1,200 Life Technologies, Inc. . . . . . . . . . . . . . . 33,300
900 Lunar Corp. (a) . . . . . . . . . . . . . . . . . . 19,575
2,700 Mentor Corp. . . . . . . . . . . . . . . . . . . . . 79,988
100 MiniMed, Inc. (a) . . . . . . . . . . . . . . . . . 2,662
3,300 Neuromedical Systems, Inc. (a). . . . . . . . . . . 18,253
1,400 Patterson Dental Co. (a). . . . . . . . . . . . . . 48,038
1,800 Physio-Control International Corp. (a). . . . . . . 27,000
1,600 Possis Medical, Inc. (a). . . . . . . . . . . . . . 27,000
2,200 Respironics, Inc. (a) . . . . . . . . . . . . . . . 46,475
2,000 Safeskin Corp. (a). . . . . . . . . . . . . . . . . 58,875
2,350 Seralogicals Corp. (a) . . . . . . . . . . . . . . . 54,050
2,600 Sola International, Inc. (a) . . . . . . . . . . . . 87,100
2,000 SpaceLabs Medical, Inc. (a) . . . . . . . . . . . . 51,000
1,500 Spine-Tech, Inc. (a). . . . . . . . . . . . . . . . 55,688
2,600 STAAR Surgical Co. (a) . . . . . . . . . . . . . . . 31,850
5,100 Summit Technology, Inc. (a) . . . . . . . . . . . . 33,787
3,000 Sunrise Medical, Inc. (a). . . . . . . . . . . . . . 45,375
1,700 Techne Corp. (a) . . . . . . . . . . . . . . . . . . 51,425
1,800 TECNOL Medical Products, Inc. (a) . . . . . . . . . 40,050
1,000 Theragenics Corp. (a) . . . . . . . . . . . . . . . 23,000
1,600 Thermo Cardiosystems, Inc. (a) . . . . . . . . . . . 41,600
1,600 ThermoTrex Corp. (a). . . . . . . . . . . . . . . . 39,900
4,200 Vivus, Inc. (a) . . . . . . . . . . . . . . . . . . 100,013
2,300 West Co., Inc. . . . . . . . . . . . . . . . . . . . 65,837
-----------
2,072,981
-----------
MEDICAL-HOSPITAL MANAGEMENT
SERVICES - 1.05%
1,200 Arbor Health Care Co. (a). . . . . . . . . . . . . . 37,200
2,900 GranCare, Inc. (a). . . . . . . . . . . . . . . . . 31,356
3,400 Health Care Property Investors, Inc. . . . . . . . . 119,850
9,400 Imatron, Inc. (a) . . . . . . . . . . . . . . . . . 23,794
2,800 Integrated Health Services, Inc. . . . . . . . . . . 107,800
3,700 Magellan Health Services, Inc. (a) . . . . . . . . . 109,150
2,700 Maxicare Health Plans, Inc. (a). . . . . . . . . . . 60,413
7,100 Medaphis Corp. (a). . . . . . . . . . . . . . . . . 71,444
See Notes to Financial Statements on Pages 30 and 31
20
<PAGE>
- --------------------------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1997 (UNAUDTITED)
- --------------------------------------------------------------------------------
Shares Description Value
------ ----------- -----------
1,400 National Surgery Centers, Inc. (a) . . . . . . . . . $ 49,525
7,100 NovaCare, Inc. (a). . . . . . . . . . . . . . . . . 98,512
3,600 Orthodontic Centers of America, Inc. (a) . . . . . . 65,475
800 PHP Healthcare Corp. (a). . . . . . . . . . . . . . 10,500
3,200 Physicians Sales & Service (a) . . . . . . . . . . . 60,800
1,300 Prime Medical Services, Inc. (a). . . . . . . . . . 14,056
500 Res-Care, Inc. (a). . . . . . . . . . . . . . . . . 9,563
1,800 Sierra Health Services, Inc. (a). . . . . . . . . . 56,250
2,611 Vitalink Pharmacy Services, Inc. (a) . . . . . . . . 49,935
-----------
975,623
-----------
METALS - 0.86%
1,100 Amcast Industrial Corp. . . . . . . . . . . . . . . 27,500
2,100 Barnes Group, Inc. . . . . . . . . . . . . . . . . . 62,213
2,700 Brush Wellman, Inc. . . . . . . . . . . . . . . . . 56,531
1,200 Castle (A.M.) & Co. . . . . . . . . . . . . . . . . 26,475
1,100 Commonwealth Industries, Inc. . . . . . . . . . . . 22,412
1,300 Handy & Harman . . . . . . . . . . . . . . . . . . . 22,588
1,800 Material Sciences Corp. (a) . . . . . . . . . . . . 27,787
2,200 Mueller Industries, Inc. (a) . . . . . . . . . . . . 96,250
500 NN Ball & Roller, Inc. . . . . . . . . . . . . . . . 6,250
5,500 Ogden Corp. . . . . . . . . . . . . . . . . . . . . 119,625
2,100 Quanex Corp. . . . . . . . . . . . . . . . . . . . . 64,444
1,400 Titanium Metals Corp. (a). . . . . . . . . . . . . . 44,275
900 Tremont Corp. (a) . . . . . . . . . . . . . . . . . 39,488
2,300 Valmont Industries . . . . . . . . . . . . . . . . . 43,700
1,600 Wolverine Tube, Inc. (a). . . . . . . . . . . . . . 44,600
2,100 Wyman-Gordon Co. (a). . . . . . . . . . . . . . . . 56,700
1,300 ZERO Corp. . . . . . . . . . . . . . . . . . . . . . 34,125
-----------
794,963
-----------
METALS AND MINING - 0.83%
8,700 Amax Gold, Inc. (a). . . . . . . . . . . . . . . . . 53,288
2,700 AMCOL International Corp. . . . . . . . . . . . . . 48,937
1,500 Cleveland-Cliffs, Inc. . . . . . . . . . . . . . . . 61,125
4,000 Coeur d'Alene Mines Corp. (a) . . . . . . . . . . . 51,750
2,800 Freeport McMoRan, Inc. . . . . . . . . . . . . . . . 80,850
2,900 Getchell Gold Corp. (a) . . . . . . . . . . . . . . 102,225
8,800 Hecla Mining Co. (a). . . . . . . . . . . . . . . . 47,300
2,000 Kaiser Aluminum Corp. (a). . . . . . . . . . . . . . 24,500
1,200 MAXXAM, Inc. (a) . . . . . . . . . . . . . . . . . . 56,175
2,500 Minerals Technologies, Inc.. . . . . . . . . . . . . 93,750
1,500 Oregon Metallurgical Corp. (a). . . . . . . . . . . 42,187
2,600 Stillwater Mining Co. (a). . . . . . . . . . . . . . 55,738
1,900 TriMas Corp. . . . . . . . . . . . . . . . . . . . . 53,437
-----------
771,262
-----------
MISCELLANEOUS - 1.58%
3,900 American Management Systems (a). . . . . . . . . . . 104,325
3,000 Calpine Corp. (a). . . . . . . . . . . . . . . . . . 57,000
1,500 CareMatrix Corp. (a) . . . . . . . . . . . . . . . . 37,031
3,000 CCC Information Services Group, Inc. (a) . . . . . . 58,500
1,100 CDW Computer Centers (a) . . . . . . . . . . . . . . 58,369
1,100 Central Garden & Pet (a) . . . . . . . . . . . . . . 27,500
5,300 Covance, Inc. (a). . . . . . . . . . . . . . . . . . 102,356
1,100 Cymer, Inc. (a). . . . . . . . . . . . . . . . . . . $ 53,625
4,000 EG&G, Inc. . . . . . . . . . . . . . . . . . . . . . 90,000
2,375 FNB Corp.. . . . . . . . . . . . . . . . . . . . . . 76,594
1,700 Franklin Covey Co. (a) . . . . . . . . . . . . . . . 43,031
2,400 General Cable Corp. (a). . . . . . . . . . . . . . . 61,500
3,700 Imation Corp. (a). . . . . . . . . . . . . . . . . . 97,125
1,100 Inter Tel, Inc. (a). . . . . . . . . . . . . . . . . 23,375
4,900 International Rectifier Corp. (a). . . . . . . . . . 91,263
2,600 Newport News Shipbuilding. . . . . . . . . . . . . . 50,537
2,500 Quest Diagnostics, Inc. (a). . . . . . . . . . . . . 51,406
2,100 Rofin-Sinar Technologies, Inc. (a) . . . . . . . . . 40,162
2,400 Thermolase Corp. (a) . . . . . . . . . . . . . . . . 33,750
2,200 Total Renal Care Holdings (a). . . . . . . . . . . . 88,412
1,800 Transition Systems (a) . . . . . . . . . . . . . . . 32,738
2,800 Twinlab Corp. (a). . . . . . . . . . . . . . . . . . 67,200
700 Valence Technology, Inc. (a) . . . . . . . . . . . . 6,038
5,300 Value Health, Inc. (a) . . . . . . . . . . . . . . . 107,325
-----------
1,459,162
-----------
NATURAL GAS - 0.07%
1,785 Semco Energy, Inc. . . . . . . . . . . . . . . . . . 31,237
1,300 Southern Union Co. (a) . . . . . . . . . . . . . . . 29,738
-----------
60,975
-----------
OFFICE EQUIPMENT AND COMPUTERS - 0.56%
1,400 American Business Products, Inc. . . . . . . . . . . 31,850
600 Chicago Miniature Lamp, Inc. (a). . . . . . . . . . 14,925
1,100 CSS Industries, Inc. (a). . . . . . . . . . . . . . 34,788
1,400 Encad, Inc. (a) . . . . . . . . . . . . . . . . . . 58,100
700 General Binding Corp.. . . . . . . . . . . . . . . . 19,950
2,100 Hunt Manufacturing Co. . . . . . . . . . . . . . . . 39,375
6,500 Intergraph Corp. (a). . . . . . . . . . . . . . . . 55,250
2,100 Knoll, Inc. (a). . . . . . . . . . . . . . . . . . . 49,875
1,600 New England Business Service, Inc. . . . . . . . . . 42,100
1,000 Scotsman Industries, Inc. . . . . . . . . . . . . . 28,500
1,400 Standard Register Co.. . . . . . . . . . . . . . . . 42,875
1,800 Thomas Industries, Inc. . . . . . . . . . . . . . . 51,750
2,000 United Stationers, Inc. (a) . . . . . . . . . . . . 50,500
-----------
519,838
-----------
OFFICE EQUIPMENT-SERVICE - 0.05%
2,500 American Pad & Paper (a) . . . . . . . . . . . . . . 42,187
700 BT Office Products International, Inc. (a) . . . . . 5,250
-----------
47,437
-----------
OIL RELATED - 3.32%
500 Aquila Gas Pipeline Corp. . . . . . . . . . . . . . 6,969
2,100 Ashland Coal, Inc. (a) . . . . . . . . . . . . . . . 59,850
600 Atwood Oceanics, Inc. (a). . . . . . . . . . . . . . 40,200
3,800 Barrett Resources Corp. (a) . . . . . . . . . . . . 113,762
3,400 Benton Oil & Gas Co. (a). . . . . . . . . . . . . . 51,000
3,500 Berry Petroleum Co.-Cl. A . . . . . . . . . . . . . 66,500
3,100 Brown (Tom), Inc. (a) . . . . . . . . . . . . . . . 65,875
2,300 Cabot Oil & Gas Corp.-Cl. A. . . . . . . . . . . . . 40,538
See Notes to Financial Statements on Pages 30 and 31
21
<PAGE>
- --------------------------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
Shares Description Value
------ ----------- -----------
800 Cairn Energy USA, Inc. (a). . . . . . . . . . . . . $ 10,500
80 Camco International, Inc. . . . . . . . . . . . . . 4,380
4,200 Chesapeake Energy Corp. (a). . . . . . . . . . . . . 41,737
4,000 Coho Energy, Inc. (a). . . . . . . . . . . . . . . . 42,500
2,350 Cross Timbers Oil Co.. . . . . . . . . . . . . . . . 45,237
2,400 Devon Energy Corp. . . . . . . . . . . . . . . . . . 88,200
10,900 DI Industries, Inc. (a). . . . . . . . . . . . . . . 48,369
2,900 Equitable Resources, Inc.. . . . . . . . . . . . . . 82,288
1,100 Forcenergy, Inc. (a). . . . . . . . . . . . . . . . 33,412
3,500 Forest Oil Corp. (a). . . . . . . . . . . . . . . . 51,406
1,100 Getty Realty Corp. . . . . . . . . . . . . . . . . . 19,388
3,300 Global Industries Ltd. (a). . . . . . . . . . . . . 77,086
9,800 Harken Energy Corp. (a) . . . . . . . . . . . . . . 68,600
700 Holly Corp. . . . . . . . . . . . . . . . . . . . . 17,369
3,000 KCS Energy, Inc. . . . . . . . . . . . . . . . . . . 61,125
14,400 Kelley Oil & Gas Corp. (a). . . . . . . . . . . . . 44,100
2,300 Lone Star Technologies, Inc. (a). . . . . . . . . . 65,838
500 Louis Dreyfus Natural Gas Corp. (a) . . . . . . . . 8,125
5,400 Marine Drilling Cos., Inc. (a). . . . . . . . . . . 105,975
3,300 Methode Electronics, Inc.-Cl. A . . . . . . . . . . 65,587
1,700 National Oilwell (a) . . . . . . . . . . . . . . . . 97,750
3,800 Newfield Exploration Co. (a) . . . . . . . . . . . . 76,000
3,400 Newpark Resources, Inc. (a) . . . . . . . . . . . . 114,750
2,300 Nuevo Energy Co. (a). . . . . . . . . . . . . . . . 94,300
3,800 Oceaneering International, Inc. (a) . . . . . . . . 70,300
6,900 Parker Drilling Co. (a) . . . . . . . . . . . . . . 76,763
2,100 Plains Resources, Inc. (a). . . . . . . . . . . . . 30,975
3,100 Pool Energy Services Co. (a) . . . . . . . . . . . . 56,187
4,900 Pride Petroleum Services, Inc. (a) . . . . . . . . . 117,600
4,700 Quaker State Corp. . . . . . . . . . . . . . . . . . 71,675
1,500 Seacor Smit, Inc. (a) . . . . . . . . . . . . . . . 78,469
20 Seagull Energy Corp. (a). . . . . . . . . . . . . . 350
3,100 Snyder Oil Corp. . . . . . . . . . . . . . . . . . . 56,962
1,700 Stone Energy Corp. (a) . . . . . . . . . . . . . . . 46,538
1,600 St. Mary Land & Exploration Co.. . . . . . . . . . . 56,200
2,300 Swift Energy Co. (a). . . . . . . . . . . . . . . . 54,912
1,900 Tejas Gas Corp. (a). . . . . . . . . . . . . . . . . 74,575
4,000 Tesoro Petroleum Corp. (a). . . . . . . . . . . . . 59,250
1,300 Transmontaigne Oil Co. (a) . . . . . . . . . . . . . 25,838
2,200 Trico Marine Services, Inc. (a). . . . . . . . . . . 47,988
5,800 Tuboscope Vetco International Corp. (a). . . . . . . 115,275
1,900 Varco International, Inc. (a) . . . . . . . . . . . 61,275
1,800 Vintage Petroleum, Inc. . . . . . . . . . . . . . . 55,350
2,400 Western Gas Resources, Inc.. . . . . . . . . . . . . 46,800
2,500 Zeigler Coal Holding Co. . . . . . . . . . . . . . . 58,437
-----------
3,070,435
-----------
OIL SUPPLIES AND CONSTRUCTION - 0.31%
1,700 Cliffs Drilling Co. (a) . . . . . . . . . . . . . . 62,050
3,800 Input/Output, Inc. (a) . . . . . . . . . . . . . . . 68,875
2,900 Lomak Petroleum, Inc.. . . . . . . . . . . . . . . . 51,656
1,300 Ocean Energy, Inc. (a) . . . . . . . . . . . . . . . 60,125
1,200 Seitel, Inc. (a) . . . . . . . . . . . . . . . . . . 45,600
-----------
288,306
-----------
PAPER - 0.52%
2,600 Caraustar Industries, Inc. . . . . . . . . . . . . . $ 90,025
2,800 Glatfelter (P.H.) Co.. . . . . . . . . . . . . . . . 56,000
1,500 Media General, Inc.-Cl. A . . . . . . . . . . . . . 60,000
13,300 Mercury Finance Co.. . . . . . . . . . . . . . . . . 32,419
2,250 Mosinee Paper Corp. . . . . . . . . . . . . . . . . 55,125
1,100 Paragon Trade Brands, Inc. (a). . . . . . . . . . . 18,769
1,400 Pope & Talbot, Inc. . . . . . . . . . . . . . . . . 23,012
3,600 Rock-Tenn Co.-Cl. A . . . . . . . . . . . . . . . . 63,225
4,200 Wausau Paper Mills Co. . . . . . . . . . . . . . . . 79,275
-----------
477,850
-----------
PHARMACEUTICALS - 1.31%
1,000 Bindley Western Industries, Inc. . . . . . . . . . . 22,938
1,427 Block Drug Co., Inc.-Cl. A . . . . . . . . . . . . . 62,431
2,500 Carter-Wallace, Inc. . . . . . . . . . . . . . . . . 44,688
3,100 Columbia Laboratories, Inc. (a). . . . . . . . . . . 50,762
1,800 Curative Health Services, Inc. (a) . . . . . . . . . 51,750
2,800 Cygnus, Inc. (a) . . . . . . . . . . . . . . . . . . 48,300
1,500 Fuisz Technologies Ltd. (a) . . . . . . . . . . . . 13,313
1,100 Geltex Pharmaceuticals, Inc. (a). . . . . . . . . . 22,137
2,200 Guilford Pharmaceuticals, Inc. (a) . . . . . . . . . 53,350
4,200 ICN Pharmaceuticals, Inc. . . . . . . . . . . . . . 120,488
5,600 ICOS Corp. (a). . . . . . . . . . . . . . . . . . . 46,200
1,700 IDEC Pharmaceuticals Corp. (a). . . . . . . . . . . 41,225
2,700 Interneuron Pharmaceuticals (a). . . . . . . . . . . 54,337
3,700 Ligand Pharmaceuticals-Cl. B (a). . . . . . . . . . 47,638
1,800 NBTY, Inc. (a). . . . . . . . . . . . . . . . . . . 50,400
3,400 Owens & Minor, Inc. Holding Co. . . . . . . . . . . 50,787
2,200 Parexel International Corp. (a). . . . . . . . . . . 69,850
2,000 PathoGenesis Corp. (a) . . . . . . . . . . . . . . . 58,250
1,000 PDT, Inc. (a). . . . . . . . . . . . . . . . . . . . 36,500
2,366 Pharmaceutical Product Development,
Inc. (a). . . . . . . . . . . . . . . . . . . . . 52,052
3,000 Sepracor, Inc. (a). . . . . . . . . . . . . . . . . 77,438
1,850 TheraTech, Inc. (a). . . . . . . . . . . . . . . . . 21,737
3,200 Thermedics, Inc. (a) . . . . . . . . . . . . . . . . 50,200
1,900 Triangle Pharmaceuticals, Inc. (a) . . . . . . . . . 47,263
2,200 U.S. Bioscience, Inc. (a). . . . . . . . . . . . . . 21,175
-----------
1,215,209
-----------
PHOTOGRAPHY AND OPTICAL - 0.24%
2,200 CPI Corp.. . . . . . . . . . . . . . . . . . . . . . 46,200
600 Delchamps, Inc.. . . . . . . . . . . . . . . . . . . 19,200
2,000 Innovex, Inc.. . . . . . . . . . . . . . . . . . . . 58,250
3,300 Oakley, Inc. (a) . . . . . . . . . . . . . . . . . . 46,406
2,700 X-Rite, Inc. . . . . . . . . . . . . . . . . . . . . 51,300
-----------
221,356
-----------
PRINTING AND PUBLISHING - 1.24%
2,200 American Media, Inc.-Cl. A (a). . . . . . . . . . . 15,400
4,000 Banta Corp. . . . . . . . . . . . . . . . . . . . . 108,500
1,100 Big Flower Press Holdings, Inc. (a) . . . . . . . . 22,825
1,900 Bowne & Co., Inc. . . . . . . . . . . . . . . . . . 66,263
5,400 Cirrus Logic, Inc. (a) . . . . . . . . . . . . . . . 56,700
See Notes to Financial Statements on Pages 30 and 31
22
<PAGE>
- --------------------------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
Shares Description Value
------ ----------- -----------
1,300 Consolidated Graphics, Inc. (a). . . . . . . . . . . $ 54,275
2,700 Golden Books Family Entertainment,
Inc. (a) . . . . . . . . . . . . . . . . . . . . . 33,750
3,600 Harland (John H.) Co.. . . . . . . . . . . . . . . . 82,125
1,500 Houghton Mifflin Co. . . . . . . . . . . . . . . . . 100,125
2,200 John Wiley & Sons, Inc. . . . . . . . . . . . . . . 74,525
4,500 Journal Register Co. (a) . . . . . . . . . . . . . . 89,437
2,400 Mail Well, Inc. (a). . . . . . . . . . . . . . . . . 68,400
2,525 McClatchy Newspapers,Inc.- Cl. A . . . . . . . . . . 74,172
1,200 Merrill Corp. . . . . . . . . . . . . . . . . . . . 43,650
3,700 Merry Land & Investment Company, Inc. . . . . . . . 80,244
600 Pulitzer Publishing Co. . . . . . . . . . . . . . . 31,800
1,600 Scholastic Corp. (a). . . . . . . . . . . . . . . . 56,000
900 Thomas Nelson, Inc. . . . . . . . . . . . . . . . . 12,487
3,300 World Color Press, Inc. (a) . . . . . . . . . . . . 78,375
-----------
1,149,053
-----------
PROFESSIONAL SERVICES - 0.61%
2,600 ABR Information Services, Inc. (a) . . . . . . . . . 75,400
50 Data Translation, Inc. (a). . . . . . . . . . . . . 175
6,800 Laidlaw Environmental Services, Inc. (a) . . . . . . 20,400
800 Nu Skin Asia Pacific, Inc.-Cl. A (a) . . . . . . . . 21,200
1,000 On Assigment, Inc. (a) . . . . . . . . . . . . . . . 39,000
2,200 Physicians Resources Group, Inc (a) . . . . . . . . 19,800
3,800 PMT Services, Inc. (a) . . . . . . . . . . . . . . . 57,950
1,300 Scientific Games Holdings Corp. (a) . . . . . . . . 26,813
1,900 Sturm, Ruger & Co., Inc. . . . . . . . . . . . . . . 37,287
1,800 Tetra Technologies, Inc. (a) . . . . . . . . . . . . 44,550
2,300 Tetra Tech, Inc. (a). . . . . . . . . . . . . . . . 55,488
1,100 Unifirst Corp. . . . . . . . . . . . . . . . . . . . 22,000
2,600 Veritas DGC, Inc. (a) . . . . . . . . . . . . . . . 59,150
1,800 Veterinary Centers of America, Inc. (a) . . . . . . 21,937
1,400 Wackenhut Corp.-Cl. A. . . . . . . . . . . . . . . . 33,600
1,000 Wackenhut Corrections Corp. (a). . . . . . . . . . . 29,125
-----------
563,875
-----------
REAL ESTATE - 6.77%
2,600 Allied Capital Commercial Corp. . . . . . . . . . . 62,400
2,800 American Health Properties, Inc. . . . . . . . . . . 70,350
700 Amli Residential Properties Trust. . . . . . . . . . 16,450
1,500 Apartment Investment & Management
Co.-Cl. A . . . . . . . . . . . . . . . . . . . . 42,375
1,900 Arden Realty Group, Inc. . . . . . . . . . . . . . . 49,400
2,700 Associated Estates Realty Corp. . . . . . . . . . . 63,450
3,300 Avalon Properties, Inc. . . . . . . . . . . . . . . 94,463
1,000 Avatar Holdings, Inc. (a). . . . . . . . . . . . . . 33,500
1,700 Bay Apartment Communities, Inc. . . . . . . . . . . 62,900
5,900 Berkshire Realty Co., Inc. . . . . . . . . . . . . . 62,687
2,300 Bradley Real Estate, Inc. . . . . . . . . . . . . . 44,275
2,800 BRE Properties, Inc.-Cl. A . . . . . . . . . . . . . 70,350
3,900 Cali Realty Corp. . . . . . . . . . . . . . . . . . 132,600
2,972 Camden Property Trust. . . . . . . . . . . . . . . . 93,989
4,000 Capstead Mortgage Corp. . . . . . . . . . . . . . . 98,750
300 Capstone Capital Corp. . . . . . . . . . . . . . . . 7,350
2,400 Castle & Cooke, Inc. (a). . . . . . . . . . . . . . 39,750
1,700 CB Commercial Real Estate Services (a) . . . . . . . $ 51,637
3,100 CBL & Associates Properties, Inc.. . . . . . . . . . 74,400
1,100 CenterPoint Properties Corp. . . . . . . . . . . . . 34,925
1,700 Chateau Communities, Inc.. . . . . . . . . . . . . . 48,663
2,400 Chelsea GCA Realty, Inc. . . . . . . . . . . . . . . 91,200
2,900 Colonial Properties Trust . . . . . . . . . . . . . 85,188
600 Columbus Realty Trust. . . . . . . . . . . . . . . . 13,650
2,400 Commercial Net Lease Realty. . . . . . . . . . . . . 36,750
3,300 Cornerstone Properties, Inc. . . . . . . . . . . . . 50,737
4,800 Cornerstone Realty Income Trust. . . . . . . . . . . 51,900
2,500 Cousins Properties, Inc. . . . . . . . . . . . . . . 69,375
630 Crescent Operating, Inc. (a) . . . . . . . . . . . . 9,608
3,400 CRIIMI MAE, Inc. . . . . . . . . . . . . . . . . . . 54,400
3,100 Crown American Realty Trust. . . . . . . . . . . . . 28,675
5,700 CWM Mortgage Holdings, Inc. (a). . . . . . . . . . . 136,444
2,500 Developers Diversified Realty Corp. . . . . . . . . 100,000
5,600 Dynex Capital, Inc. . . . . . . . . . . . . . . . . 78,050
3,000 Equity Inns, Inc. . . . . . . . . . . . . . . . . . 40,125
50 Equity Residential Properties Trust. . . . . . . . . 2,375
2,000 Evans Withycombe Residential, Inc. . . . . . . . . . 41,500
1,700 Excel Realty Trust, Inc. . . . . . . . . . . . . . . 44,837
1,000 Fairfield Communities, Inc. (a) . . . . . . . . . . 33,625
3,300 Federal Realty Investment Trust . . . . . . . . . . 89,100
2,600 Felcor Suite Hotels, Inc. . . . . . . . . . . . . . 96,850
2,800 First Industrial Realty Trust, Inc. . . . . . . . . 81,900
3,500 First Union Real Estate. . . . . . . . . . . . . . . 49,656
600 Forest City Enterprises,Inc.-Cl. A . . . . . . . . . 28,650
2,600 Gables Residential Trust . . . . . . . . . . . . . . 65,650
3,600 General Growth Properties . . . . . . . . . . . . . 120,600
2,600 Glimcher Realty Trust. . . . . . . . . . . . . . . . 53,625
3,100 Grubb & Ellis Co. (a). . . . . . . . . . . . . . . . 53,088
1,500 Health Care REIT, Inc. . . . . . . . . . . . . . . . 36,469
1,700 Healthcare Realty Trust, Inc. . . . . . . . . . . . 47,388
4,000 Highwoods Properties, Inc. . . . . . . . . . . . . . 128,000
2,000 Horizon Group, Inc. . . . . . . . . . . . . . . . . 26,875
2,600 Hospitality Properties Trust . . . . . . . . . . . . 79,625
3,900 Innkeepers USA Trust . . . . . . . . . . . . . . . . 58,500
3,800 Insignia Financial Group, Inc.-Cl. A (a) . . . . . . 68,875
5,100 IRT Property Co. . . . . . . . . . . . . . . . . . . 59,925
3,000 Irvine Apartment Communities, Inc. . . . . . . . . . 88,500
2,400 JDN Realty Corp. . . . . . . . . . . . . . . . . . . 75,000
500 JP Realty, Inc.. . . . . . . . . . . . . . . . . . . 13,562
1,900 Kilroy Realty Corp.. . . . . . . . . . . . . . . . . 47,975
2,200 Koger Equity, Inc. . . . . . . . . . . . . . . . . . 40,150
3,400 Liberty Property Trust . . . . . . . . . . . . . . . 84,575
2,500 LTC Properties, Inc. . . . . . . . . . . . . . . . . 45,312
2,700 Macerich Company (The) . . . . . . . . . . . . . . . 74,925
2,400 Manufactured Home Communities, Inc. . . . . . . . . 55,350
8,600 Mesa, Inc. (a). . . . . . . . . . . . . . . . . . . 49,450
1,600 Mid-America Apartment Communities, Inc.. . . . . . . 44,900
3,590 Mid-Am, Inc. . . . . . . . . . . . . . . . . . . . . 65,518
2,700 Mills Corp. . . . . . . . . . . . . . . . . . . . . 74,756
2,000 National Golf Properties, Inc. . . . . . . . . . . . 69,500
2,600 National Health Investors, Inc. . . . . . . . . . . 102,050
6,300 Nationwide Health Properties, Inc. . . . . . . . . . 138,600
See Notes to Financial Statements on Pages 30 and 31
23
<PAGE>
- --------------------------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
Shares Description Value
------ ----------- -----------
3,200 Oasis Residental, Inc. . . . . . . . . . . . . . . . $ 75,200
1,900 OMEGA Healthcare Investors, Inc. . . . . . . . . . . 62,106
3,900 Patriot American Hospitality, Inc. . . . . . . . . . 99,450
800 Pennsylvania Real Estate Investment Trust . . . . . 17,950
2,400 Post Properties, Inc.. . . . . . . . . . . . . . . . 97,350
2,000 Prentiss Properties Trust. . . . . . . . . . . . . . 51,250
2,700 Price Enterprises, Inc. . . . . . . . . . . . . . . 51,975
1,900 Pulte Corp. . . . . . . . . . . . . . . . . . . . . 65,669
2,400 Realty Income Corp. . . . . . . . . . . . . . . . . 63,000
3,300 Reckson Association Realty Corp. . . . . . . . . . . 75,900
1,400 Redwood Trust, Inc. . . . . . . . . . . . . . . . . 65,450
2,500 RFS Hotel Investors, Inc. . . . . . . . . . . . . . 45,000
3,200 Shurgard Storage Centers, Inc.-Cl. A . . . . . . . . 89,600
2,400 Smith (Charles E.) Residential Realty, Inc. . . . . 69,300
700 Sovran Self Storage, Inc. . . . . . . . . . . . . . 20,475
2,800 Storage USA, Inc. . . . . . . . . . . . . . . . . . 107,100
2,600 Storage Trust Realty . . . . . . . . . . . . . . . . 68,900
2,200 Summit Properties, Inc. . . . . . . . . . . . . . . 45,375
1,800 Sun Communities, Inc.. . . . . . . . . . . . . . . . 60,412
2,100 Susquehanna Bancshares, Inc. . . . . . . . . . . . . 82,425
5,700 Taubman Centers, Inc.. . . . . . . . . . . . . . . . 75,525
2,100 The Price REIT, Inc. . . . . . . . . . . . . . . . . 76,388
1,900 Thornburg Mortgage Asset Corp. . . . . . . . . . . . 40,850
1,400 TriNet Corporate Realty Trust . . . . . . . . . . . 46,287
74 United Dominion Realty Trust, Inc. . . . . . . . . . 1,050
1,500 Universal Health Realty Income Trust . . . . . . . . 28,406
2,000 Urban Shopping Centers, Inc. . . . . . . . . . . . . 63,750
2,400 Walden Residential Properties, Inc. . . . . . . . . 61,500
3,600 Washington Real Estate Investment Trust. . . . . . . 63,900
1,600 Weeks Corp. . . . . . . . . . . . . . . . . . . . . 50,000
-----------
6,259,545
-----------
RETAIL - 3.82%
1,300 Abercrombie & Fitch (a). . . . . . . . . . . . . . . 23,725
2,800 Alberto-Culver-Cl. B . . . . . . . . . . . . . . . . 78,750
600 Alexander's, Inc. (a) . . . . . . . . . . . . . . . 42,225
2,900 AnnTaylor Store Corp. (a). . . . . . . . . . . . . . 56,550
3,050 Arbor Drugs, Inc. . . . . . . . . . . . . . . . . . 61,381
3,900 Best Buy Company, Inc. (a). . . . . . . . . . . . . 58,012
5,187 Buffets, Inc. (a) . . . . . . . . . . . . . . . . . 43,765
2,600 Burlington Coat Factory Warehouse (a). . . . . . . . 50,700
2,200 Carson Pirie Scott & Co. (a) . . . . . . . . . . . . 69,850
2,900 Casey's General Stores, Inc. . . . . . . . . . . . . 62,441
2,869 Cash America International, Inc. . . . . . . . . . . 30,125
4,900 Claire's Stores, Inc.. . . . . . . . . . . . . . . . 85,750
1,300 Cole National Corp.-Cl. A (a) . . . . . . . . . . . 57,200
2,500 Compucom Systems, Inc. (a). . . . . . . . . . . . . 17,813
300 Copart, Inc. (a) . . . . . . . . . . . . . . . . . . 4,950
900 Discount Auto Parts, Inc. (a) . . . . . . . . . . . 17,550
2,700 Dress Barn, Inc. (a). . . . . . . . . . . . . . . . 52,650
2,200 Duty Free International, Inc. . . . . . . . . . . . 41,250
2,600 Eagle Hardware & Garden, Inc. (a) . . . . . . . . . 59,475
1,500 Ethan Allen Interiors, Inc.. . . . . . . . . . . . . 85,500
2,000 Fabri-Centers of America-Cl. A (a) . . . . . . . . . 54,500
4,900 Fingerhut Companies, Inc. . . . . . . . . . . . . . 85,444
4,200 Fleming Companies, Inc. . . . . . . . . . . . . . . $ 75,600
1,100 Friedman's, Inc.-Cl. A (a). . . . . . . . . . . . . 25,163
1,300 Gadzooks, Inc. (a). . . . . . . . . . . . . . . . . 25,350
2,700 Gibson Greetings, Inc. (a). . . . . . . . . . . . . 60,750
2,200 Global DirectMail Products, Inc. (a) . . . . . . . . 57,337
2,800 Gymboree Corp. (a). . . . . . . . . . . . . . . . . 67,200
2,400 Hancock Fabrics, Inc.. . . . . . . . . . . . . . . . 33,000
2,700 Hollywood Entertainment Corp. (a) . . . . . . . . . 61,762
3,050 Just For Feet, Inc. (a) . . . . . . . . . . . . . . 53,184
900 Kenneth Cole Productions, Inc.-Cl. A (a) . . . . . . 14,681
2,000 Linens & Things, Inc. (a). . . . . . . . . . . . . . 59,250
3,400 Longs Drug Stores, Inc. . . . . . . . . . . . . . . 89,038
2,800 Mac Frugal Bargains Close-Outs, Inc. (a) . . . . . . 76,300
900 Mail Boxes Etc. (a). . . . . . . . . . . . . . . . . 25,087
2,200 Michaels Stores, Inc. (a). . . . . . . . . . . . . . 46,613
3,100 Micro Warehouse, Inc. (a). . . . . . . . . . . . . . 53,088
1,100 Mikasa, Inc. . . . . . . . . . . . . . . . . . . . . 15,675
1,800 Oneida Ltd.. . . . . . . . . . . . . . . . . . . . . 48,037
1,200 Pacific Sunwear of California (a). . . . . . . . . . 38,700
2,000 Petco Animal Supplies, Inc. (a). . . . . . . . . . . 60,000
5,000 Pier 1 Imports, Inc. . . . . . . . . . . . . . . . . 132,500
1,700 Proffitt's, Inc. (a) . . . . . . . . . . . . . . . . 74,588
1,000 Quality Food Centers, Inc. (a). . . . . . . . . . . 38,000
1,200 Regency Realty Corp. . . . . . . . . . . . . . . . . 32,700
1,300 Regis Corp. . . . . . . . . . . . . . . . . . . . . 30,712
1,200 Riser Foods Inc.-Cl. A . . . . . . . . . . . . . . . 54,000
15,200 Service Merchandise Co., Inc. (a) . . . . . . . . . 45,600
1,900 ShopKo Stores, Inc. (a) . . . . . . . . . . . . . . 48,450
1,300 Smart & Final, Inc. . . . . . . . . . . . . . . . . 31,850
1,900 Stage Stores, Inc. (a) . . . . . . . . . . . . . . . 49,638
2,500 Stanhome, Inc. . . . . . . . . . . . . . . . . . . . 82,188
1,600 Stein Mart, Inc. (a). . . . . . . . . . . . . . . . 48,000
1,000 Strawbridge & Clothier-Cl. A . . . . . . . . . . . . 16,250
7,900 Sunglass Hut International (a) . . . . . . . . . . . 49,869
700 Talbots. . . . . . . . . . . . . . . . . . . . . . . 23,800
400 The Buckle, Inc. (a). . . . . . . . . . . . . . . . 9,200
2,300 The Finish Line-Cl. A (a) . . . . . . . . . . . . . 33,637
1,600 The Men's Wearhouse, Inc. (a) . . . . . . . . . . . 50,400
3,650 The Sports Authority, Inc. (a). . . . . . . . . . . 70,947
800 Tractor Supply Co. (a) . . . . . . . . . . . . . . . 14,400
1,000 Urban Outfitters, Inc. (a). . . . . . . . . . . . . 14,000
3,800 U.S. Office Products Co. (a) . . . . . . . . . . . . 116,138
1,100 Value City Department Stores, Inc. (a). . . . . . . 8,937
3,700 Waban, Inc. (a) . . . . . . . . . . . . . . . . . . 119,094
2,100 Williams-Sonoma, Inc. (a). . . . . . . . . . . . . . 89,775
1,600 Wilmar Industries, Inc. (a) . . . . . . . . . . . . 39,000
4,100 Zale Corp. (a). . . . . . . . . . . . . . . . . . . 81,231
-----------
3,530,325
-----------
RETAIL-FOOD - 1.37%
3,700 Apple South, Inc. . . . . . . . . . . . . . . . . . 56,425
3,600 Applebee's International, Inc. . . . . . . . . . . . 96,300
5,200 Bob Evans Farms, Inc.. . . . . . . . . . . . . . . . 88,075
7,500 Brinker International, Inc. (a). . . . . . . . . . . 106,875
1,000 Cheesecake Factory (The) (a) . . . . . . . . . . . . 21,000
See Notes to Financial Statements on Pages 30 and 31
24
<PAGE>
- --------------------------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
Shares Description Value
------ ----------- -----------
4,000 CKE Restaurants, Inc.. . . . . . . . . . . . . . . . $ 126,500
2,000 Dominick's Supermarkets, Inc. (a). . . . . . . . . . 53,250
5,500 Foodmaker, Inc. (a). . . . . . . . . . . . . . . . . 90,063
1,200 Great Atlantic & Pacific Tea Co. . . . . . . . . . . 32,625
3,900 Host Marriott Services Corp. (a). . . . . . . . . . 45,825
1,300 IHOP Corp. (a). . . . . . . . . . . . . . . . . . . 40,300
900 Ingles Markets, Inc.-Cl. A . . . . . . . . . . . . . 14,737
1,800 International Dairy Queen, Inc.-Cl. A (a). . . . . . 43,200
2,100 Landry's Seafood Restaurants, Inc. (a) . . . . . . . 48,300
3,400 Lone Star Steakhouse & Saloon (a). . . . . . . . . . 88,400
1,700 MicroAge, Inc. (a). . . . . . . . . . . . . . . . . 31,237
1,950 Papa John's International, Inc. (a) . . . . . . . . 71,663
1,700 Rainforest Cafe, Inc. (a). . . . . . . . . . . . . . 43,137
900 Rare Hospitality International, Inc. (a) . . . . . . 11,138
3,200 Ruddick Corp. . . . . . . . . . . . . . . . . . . . 52,800
1,500 Sonic Corp. (a) . . . . . . . . . . . . . . . . . . 33,000
2,100 Whole Foods Market, Inc. (a) . . . . . . . . . . . . 69,562
-----------
1,264,412
-----------
STEEL - 0.78%
2,000 AK Steel Holding Corp. . . . . . . . . . . . . . . . 88,250
1,400 Acme Metals, Inc. (a) . . . . . . . . . . . . . . . 23,975
11,100 Armco, Inc. (a) . . . . . . . . . . . . . . . . . . 43,013
3,200 Birmingham Steel Corp. . . . . . . . . . . . . . . . 49,600
2,000 Carpenter Technology Corp. . . . . . . . . . . . . . 91,500
1,000 Chase Industries, Inc. (a). . . . . . . . . . . . . 24,375
500 Citation Corp. (a). . . . . . . . . . . . . . . . . 8,563
1,600 Commercial Metals Co.. . . . . . . . . . . . . . . . 51,600
300 Gibraltar Steel Corp. (a). . . . . . . . . . . . . . 6,900
1,800 J&L Specialty Steel, Inc. . . . . . . . . . . . . . 21,600
1,700 Lukens, Inc. . . . . . . . . . . . . . . . . . . . . 31,981
3,300 National Steel Corp.-Cl. B (a). . . . . . . . . . . 55,481
3,600 Oregon Steel Mills, Inc. . . . . . . . . . . . . . . 71,775
1,500 Shiloh Industries, Inc. (a) . . . . . . . . . . . . 30,281
3,600 Station Casinos, Inc. (a). . . . . . . . . . . . . . 30,150
3,400 Steel Dynamics, Inc. (a) . . . . . . . . . . . . . . 85,000
1,700 UNR Industries, Inc. (a). . . . . . . . . . . . . . 11,687
-----------
725,731
-----------
TELECOMMUNICATIONS - 3.93%
2,000 ACC Corp. (a). . . . . . . . . . . . . . . . . . . . 61,750
3,900 Aliant Communications, Inc.. . . . . . . . . . . . . 76,050
2,600 Allen Telecommunications, Inc. (a) . . . . . . . . . 53,950
1,700 American Mobile Satellite Corp., Inc. (a). . . . . . 17,425
2,130 American Radio Systems Corp. (a) . . . . . . . . . . 84,934
3,950 ANTEC Corp. (a) . . . . . . . . . . . . . . . . . . 46,413
2,300 APAC Teleservices, Inc. (a). . . . . . . . . . . . . 44,706
4,700 Aspect Telecommunications (a). . . . . . . . . . . . 104,575
1,200 Associated Group, Inc.-Cl. A (a). . . . . . . . . . 48,000
2,900 Boston Technology, Inc. (a) . . . . . . . . . . . . 85,731
1,900 California Microwave, Inc. (a). . . . . . . . . . . 26,600
1,600 Cellular Commucations International,
Inc. (a) . . . . . . . . . . . . . . . . . . . . . 53,600
1,800 Centennial Cellular Corp.-Cl. A (a) . . . . . . . . 28,575
2,500 Cidco, Inc. (a) . . . . . . . . . . . . . . . . . . 34,375
1,100 Coherent Communications Systems
Corp. (a) . . . . . . . . . . . . . . . . . . . . $ 27,500
1,500 CommNet Cellular, Inc. (a). . . . . . . . . . . . . 52,125
4,700 Comsat Corp. . . . . . . . . . . . . . . . . . . . . 111,919
2,400 Comverse Technology, Inc. (a) . . . . . . . . . . . 124,800
2,300 CSG Systems International, Inc. (a) . . . . . . . . 71,013
1,500 C-Tec Corp. (a) . . . . . . . . . . . . . . . . . . 52,312
1,300 Davox Corp. (a) . . . . . . . . . . . . . . . . . . 46,475
2,200 Digital Microwave Corp. (a) . . . . . . . . . . . . 66,000
5,900 DSP Communications, Inc. (a) . . . . . . . . . . . . 64,900
2,424 Gemstar International Group Ltd. (a). . . . . . . . 44,541
2,300 General DataComm Industries, Inc. (a). . . . . . . . 16,388
7,800 Geotek Communications, Inc. (a). . . . . . . . . . . 42,412
6,000 Glenayre Technologies, Inc. (a) . . . . . . . . . . 98,250
3,200 HighwayMaster Communications, Inc. (a). . . . . . . 48,800
1,600 InterCel, Inc. (a). . . . . . . . . . . . . . . . . 22,000
7,300 InterDigital Communications Corp. (a). . . . . . . . 40,150
2,200 Intermedia Communications, Inc. (a) . . . . . . . . 71,225
2,800 InterVoice, Inc. (a). . . . . . . . . . . . . . . . 25,725
1,300 IXC Communications (a) . . . . . . . . . . . . . . . 34,125
1,700 Level One Communications, Inc. (a) . . . . . . . . . 65,344
1,350 MasTec, Inc. (a) . . . . . . . . . . . . . . . . . . 63,872
2,600 McLeod USA, Inc.-Cl. A (a) . . . . . . . . . . . . . 87,750
2 Metrocall, Inc. (a). . . . . . . . . . . . . . . . . 9
2,000 Metromail Corp. (a). . . . . . . . . . . . . . . . . 49,500
5,800 Mobile Telecommunication Technologies
Corp. (a) . . . . . . . . . . . . . . . . . . . . 83,012
1,400 Natural Microsystems Corp. (a) . . . . . . . . . . . 50,400
3,200 Network Equipment Technologies, Inc. (a) . . . . . . 57,600
2,700 North Pittsburgh Systems . . . . . . . . . . . . . . 62,775
3,000 NTL, Inc. (a). . . . . . . . . . . . . . . . . . . . 74,625
5,100 Octel Communications Corp. (a) . . . . . . . . . . . 119,531
2,700 Omnipoint Corp. (a). . . . . . . . . . . . . . . . . 44,888
10,200 Paging Network, Inc. (a) . . . . . . . . . . . . . . 89,569
500 Palmer Wireless, Inc.-Cl. A (a). . . . . . . . . . . 8,438
2,200 P-COM, Inc. (a) . . . . . . . . . . . . . . . . . . 72,600
1,100 Periphonics Corp. (a) . . . . . . . . . . . . . . . 23,650
4,700 Picturetel Corp. (a) . . . . . . . . . . . . . . . . 44,650
2,000 Premiere Technologies, Inc. (a). . . . . . . . . . . 52,000
3,300 Premisys Communications (a). . . . . . . . . . . . . 51,975
2,400 PriCellular Corp.-Cl. A (a) . . . . . . . . . . . . 22,050
1,700 Proxim, Inc. (a) . . . . . . . . . . . . . . . . . . 41,225
1,800 Snyder Communications (a). . . . . . . . . . . . . . 48,487
1,200 Spectrian Corp. (a). . . . . . . . . . . . . . . . . 44,250
2,800 SymmetriCom, Inc. (a) . . . . . . . . . . . . . . . 40,250
4,200 TCI Satellite Entertainment-Cl. A (a). . . . . . . . 33,075
3,000 Tel-Save Holdings, Inc. (a) . . . . . . . . . . . . 45,750
1,200 Transaction Network Services, Inc. (a). . . . . . . 16,950
1,800 U.S. Long Distance Corp. (a) . . . . . . . . . . . . 31,050
3,100 U.S. Satellite Broadcasting (a). . . . . . . . . . . 25,575
5,300 Vanguard Cellular Systems, Inc.-Cl. A (a) . . . . . 72,213
3,000 West Teleservices Corp. (a). . . . . . . . . . . . . 44,250
2,000 Westell Technologies (a) . . . . . . . . . . . . . . 50,000
5,900 Western Wireless Corp.-Cl. A (a) . . . . . . . . . . 93,663
3,800 WinStar Communications, Inc. (a). . . . . . . . . . 50,825
See Notes to Financial Statements on Pages 30 and 31
25
<PAGE>
- --------------------------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
Shares Description Value
------ ----------- -----------
2,000 Wireless Telecom Group, Inc. . . . . . . . . . . . . $ 22,125
1,300 World Access, Inc. (a) . . . . . . . . . . . . . . . 26,650
-----------
3,637,920
-----------
TELEVISION - 0.38%
700 Ascent Entertainment Group, Inc. (a). . . . . . . . 6,387
1,400 Cablevision Systems, Inc.-Cl. A (a). . . . . . . . . 75,075
1,400 Emmis Broadcasting Corp.-Cl. A (a) . . . . . . . . . 61,075
2,700 Hollywood Park, Inc. (a). . . . . . . . . . . . . . 39,487
2,900 Panavision, Inc. (a) . . . . . . . . . . . . . . . . 57,819
2,000 Playboy Enterprises,Inc.-Cl. B (a) . . . . . . . . . 23,125
5,200 Topps Co., Inc. (a). . . . . . . . . . . . . . . . . 21,775
2,600 WMS Industries, Inc. (a). . . . . . . . . . . . . . 65,162
-----------
349,905
-----------
TEXTILES - 0.42%
3,900 Apogee Enterprises, Inc. . . . . . . . . . . . . . . 83,850
7,000 Burlington Industries, Inc. (a). . . . . . . . . . . 84,000
6,400 Collins & Aikman Corp. (a). . . . . . . . . . . . . 64,000
4,700 Designer Holdings Ltd. (a) . . . . . . . . . . . . . 47,881
2,650 Guilford Mills, Inc. . . . . . . . . . . . . . . . . 55,153
2,200 Mohawk Industries, Inc. (a) . . . . . . . . . . . . 50,050
-----------
384,934
-----------
TOBACCO - 0.25%
400 Culbro Corp. (a) . . . . . . . . . . . . . . . . . . 55,675
4,300 DIMON, Inc. . . . . . . . . . . . . . . . . . . . . 113,950
1,700 Schweitzer-Mauduit International, Inc. . . . . . . . 63,750
-----------
233,375
-----------
TRANSPORTATION - 1.43%
2,200 Air Express International Corp. . . . . . . . . . . 87,450
2,200 Airborne Freight Corp. . . . . . . . . . . . . . . . 92,125
2,600 Alaska Air Group, Inc. (a) . . . . . . . . . . . . . 66,625
4,200 America West Holdings Corp.-Cl. B (a). . . . . . . . 60,900
2,700 APL Ltd. . . . . . . . . . . . . . . . . . . . . . . 84,375
2,500 ASA Holdings, Inc. . . . . . . . . . . . . . . . . . 71,563
1,300 Atlas Air (a). . . . . . . . . . . . . . . . . . . . 44,850
1,400 Avondale Industries, Inc. (a) . . . . . . . . . . . 29,400
2,300 Circle International Group, Inc. . . . . . . . . . . 60,663
2,000 Coach USA, Inc. (a). . . . . . . . . . . . . . . . . 53,125
1,600 Consolidated Freightways Co. (a) . . . . . . . . . . 26,200
500 Covenant Transport Inc.-Cl. A (a) . . . . . . . . . 8,188
3,400 Expeditors International of Washington, Inc. . . . . 96,475
500 Florida East Coast Industries, Inc. . . . . . . . . 55,500
3,700 Fritz Cos., Inc. (a) . . . . . . . . . . . . . . . . 35,844
4,800 Greyhound Lines, Inc. (a). . . . . . . . . . . . . . 21,300
1,100 Interpool, Inc.. . . . . . . . . . . . . . . . . . . 16,225
4,000 Kirby Corp. (a) . . . . . . . . . . . . . . . . . . 73,000
3,000 Offshore Logistics, Inc. (a) . . . . . . . . . . . . 56,625
6,300 OMI Corp. (a). . . . . . . . . . . . . . . . . . . . 60,244
3,100 Overseas Shipholding Group, Inc. . . . . . . . . . . 60,837
2,900 Pittston Burlington Group . . . . . . . . . . . . . 81,563
1,300 Swift Transportation Co., Inc. (a) . . . . . . . . . 38,350
5,500 ValuJet, Inc. (a) . . . . . . . . . . . . . . . . . $ 37,984
-----------
1,319,411
-----------
TRUCKING, SHIPPING - 0.75%
2,500 AMERCO (a) . . . . . . . . . . . . . . . . . . . . . 75,313
2,600 American Freightways Corp. (a). . . . . . . . . . . 40,625
2,700 Arnold Industries, Inc. . . . . . . . . . . . . . . 45,900
2,650 Heartland Express, Inc. (a) . . . . . . . . . . . . 62,275
3,900 Hunt (J.B.) Transport Services, Inc. . . . . . . . . 58,012
500 Knight Transportation, Inc. (a). . . . . . . . . . . 12,688
1,400 Landstar System, Inc. (a). . . . . . . . . . . . . . 39,375
2,100 Roadway Express, Inc.. . . . . . . . . . . . . . . . 49,087
3,800 Rollins Truck Leasing Corp.. . . . . . . . . . . . . 56,525
2,500 USFreightways Corp. . . . . . . . . . . . . . . . . 64,687
2,450 Werner Enterprises, Inc. . . . . . . . . . . . . . . 47,469
1,800 Xtra Corp. . . . . . . . . . . . . . . . . . . . . . 79,088
2,900 Yellow Corp. (a) . . . . . . . . . . . . . . . . . . 64,887
-----------
695,931
-----------
UTILITIES - 4.03%
5,900 Atlantic Energy, Inc.. . . . . . . . . . . . . . . . 99,194
1,800 Atmos Energy Corp. . . . . . . . . . . . . . . . . . 43,200
1,600 Bay State Gas Co. . . . . . . . . . . . . . . . . . 42,600
1,700 Black Hills Corp. . . . . . . . . . . . . . . . . . 48,450
1,400 California Water Service Co. . . . . . . . . . . . . 61,950
1,600 Central Hudson Gas & Electric . . . . . . . . . . . 55,100
2,700 Central Louisianna Electric. . . . . . . . . . . . . 75,937
6,200 Central Maine Power Co. . . . . . . . . . . . . . . 76,725
2,400 CFW Communications Co. . . . . . . . . . . . . . . . 44,100
1,600 CILCORP, Inc. . . . . . . . . . . . . . . . . . . . 65,900
191 Citizens Utilities Co.-Cl. B . . . . . . . . . . . . 1,531
900 Colonial Gas Co. . . . . . . . . . . . . . . . . . . 18,956
2,100 Commonwealth Energy System . . . . . . . . . . . . . 50,269
1,100 Connecticut Energy Corp. . . . . . . . . . . . . . . 26,675
1,300 CTG Resources, Inc. . . . . . . . . . . . . . . . . 28,600
4,900 Delmarva Power & Light Co. . . . . . . . . . . . . . 93,406
2,100 Eastern Enterprises . . . . . . . . . . . . . . . . 72,844
2,700 Eastern Utilities Associates . . . . . . . . . . . . 49,275
6,700 El Paso Electric Co. (a). . . . . . . . . . . . . . 47,319
1,800 Empire District Electric Co. . . . . . . . . . . . . 31,163
1,300 Energen Corp. . . . . . . . . . . . . . . . . . . . 43,794
800 E'Town Corp. . . . . . . . . . . . . . . . . . . . . 24,700
2,500 Hawaiian Electric Industries . . . . . . . . . . . . 96,562
3,100 IES Industries, Inc. . . . . . . . . . . . . . . . . 91,450
2,300 Indiana Energy, Inc. . . . . . . . . . . . . . . . . 56,206
2,200 Interstate Power Co. . . . . . . . . . . . . . . . . 62,975
3,400 Laclede Gas Co.. . . . . . . . . . . . . . . . . . . 73,950
2,400 Madison Gas & Electric Co. . . . . . . . . . . . . . 49,200
2,900 Minnesota Power & Light Co.. . . . . . . . . . . . . 88,088
5,600 Nevada Power Co. . . . . . . . . . . . . . . . . . . 119,000
2,000 New Jersey Resources Corp. . . . . . . . . . . . . . 62,750
3,600 Northwest Natural Gas Co. . . . . . . . . . . . . . 94,275
3,400 Northwestern Public Service Co. . . . . . . . . . . 73,100
400 NUI Corp.. . . . . . . . . . . . . . . . . . . . . . 8,975
See Notes to Financial Statements on Pages 30 and 31
26
<PAGE>
- --------------------------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
Shares Description Value
------ ----------- -----------
2,900 ONEOK, Inc. . . . . . . . . . . . . . . . . . . . . $ 93,344
1,100 Orange and Rockland Utilities, Inc. . . . . . . . . 36,987
1,300 Otter Tail Power Co. . . . . . . . . . . . . . . . . 42,900
1,000 Pennsylvania Enterprises, Inc. . . . . . . . . . . . 25,563
1,900 Philadelphia Suburban Corp.. . . . . . . . . . . . . 36,337
2,900 Piedmont Natural Gas Co., Inc. . . . . . . . . . . . 74,494
4,600 Public Service Company of New Mexico . . . . . . . . 82,225
2,200 Public Service Company of North
Carolina, Inc. . . . . . . . . . . . . . . . . . . 42,213
4,400 Rochester Gas & Electric Corp. . . . . . . . . . . . 92,675
3,500 Sierra Pacific Resources . . . . . . . . . . . . . . 112,000
2,650 SIGCORP, Inc. . . . . . . . . . . . . . . . . . . . 67,244
700 South Jersey Industries, Inc. . . . . . . . . . . . 15,575
1,300 Southern California Water Co. . . . . . . . . . . . 31,850
2,400 Southwest Gas Corp. . . . . . . . . . . . . . . . . 47,700
3,200 Southwestern Energy Co. . . . . . . . . . . . . . . 41,600
1,700 TNP Enterprises, Inc.. . . . . . . . . . . . . . . . 39,419
3,600 Tucson Electric Power Co. (a). . . . . . . . . . . . 52,200
5,000 UGI Corp.. . . . . . . . . . . . . . . . . . . . . . 110,625
2,400 United Cities Gas Co.. . . . . . . . . . . . . . . . 56,400
2,700 United Illuminating Co. . . . . . . . . . . . . . . 83,362
3,500 United Water Resources, Inc. . . . . . . . . . . . . 67,812
4,900 Washington Gas Light Co. . . . . . . . . . . . . . . 123,112
4,400 Washington Water Power Co. . . . . . . . . . . . . . 86,350
2,100 Wicor, Inc. . . . . . . . . . . . . . . . . . . . . 81,769
3,100 WPL Holdings, Inc. . . . . . . . . . . . . . . . . . 86,606
2,500 WPS Resources Corp. . . . . . . . . . . . . . . . . 66,875
2,300 Yankee Energy System, Inc. . . . . . . . . . . . . . 56,350
-----------
3,731,806
-----------
WHOLESALE DISTRIBUTOR - 0.37%
1,600 Barnett, Inc. (a) . . . . . . . . . . . . . . . . . 39,200
2,000 Brightpoint, Inc. (a) . . . . . . . . . . . . . . . 65,125
1,300 Fusion Systems Corp. (a). . . . . . . . . . . . . . 51,431
2,200 JP Foodservice, Inc. (a). . . . . . . . . . . . . . 63,113
1,800 Reliance Steel & Aluminum Co. . . . . . . . . . . . 46,800
2,600 Rexel, Inc. (a) . . . . . . . . . . . . . . . . . . 48,100
2,000 VWR Scientific Products Corp. (a) . . . . . . . . . 31,500
-----------
345,269
-----------
TOTAL COMMON STOCK (COST $81,540,527). . . . . . . . . . . . . . 88,445,249
-----------
Shares Description Value
------ ----------- -----
OTHER SECURITIES - 0.00%
Steel - 0.00%
1,400 WCI Steel, Inc. Contigent Cash
Consideration Rights (a) . . . . . . . . . . . . . $ 0
-----------
TELECOMMUNICATIONS - 0.00%
702 Metrocall, Inc. Rights (a) . . . . . . . . . . . . . 0
-----------
TOTAL OTHER SECURITIES (COST $0) . . . . . . . . . . . . . . . . 0
-----------
SHORT TERM INSTRUMENTS - 8.41%
MUTUAL FUNDS - 2.66%
2,463,484 BT Institutional Cash Management
Fund (a) 5.47% 7/1/97. . . . . . . . . . . . . . . 2,463,484
-----------
Principal
Amount
- ---------
U.S. GOVERNMENT & AGENCY - 5.75%
$4,979,000 5.11%, 7/24/97 . . . . . . . . . . . . . . . . . . . 4,963,972
20,000 5.18%, 7/03/97 (b) . . . . . . . . . . . . . . . . . 19,995
170,000 5.19%, 9/04/97 (b) . . . . . . . . . . . . . . . . . 168,447
168,000 5.33%, 9/25/97 . . . . . . . . . . . . . . . . . . . 165,981
-----------
5,318,395
-----------
TOTAL SHORT TERM INSTRUMENTS (Cost $7,781,904) . . . . . . . . . 7,781,879
-----------
TOTAL INVESTMENTS (Cost $89,322,431) . . . . . . . . . 104.03% 96,227,128
Liabilities in Excess of Other Assets. . . . . . . . . -4.03% (3,725,442)
------ ------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . 100.00% $ 92,501,686
------ ------------
------ ------------
- --------------------
(a) Non-income producing security.
(b) Held as collateral for futures contracts.
See Notes to Financial Statements on Pages 30 and 31
27
<PAGE>
- --------------------------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES JUNE 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
ASSETS
Investments, at Value (Cost of $89,322,431). . . . . $ 96,227,128
Cash . . . . . . . . . . . . . . . . . . . . . . . . 96,568
Receivable for Securities Sold . . . . . . . . . . . 20,473,402
Dividends and Interest Receivable. . . . . . . . . . 99,297
Variation Margin Receivable. . . . . . . . . . . . . 20,065
Prepaid Expenses and Other . . . . . . . . . . . . . 92
---------------
Total Assets . . . . . . . . . . . . . . . . . . . . . 116,916,552
---------------
LIABILITIES
Due to Bankers Trust . . . . . . . . . . . . . . . . 5,587
Payable for Securities Purchased . . . . . . . . . . 24,398,291
Accrued Expenses and Other . . . . . . . . . . . . . 10,988
---------------
Total Liabilities. . . . . . . . . . . . . . . . . . . 24,414,866
---------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . $ 92,501,686
---------------
---------------
COMPOSITION OF NET ASSETS
Paid-in capital. . . . . . . . . . . . . . . . . . . $ 85,518,864
Net Unrealized Appreciation on Investments . . . . . 6,904,697
Net Unrealized Appreciation on Futures, Foreign
Currencies and Forward Foreign Currency Contracts. 78,125
---------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . $ 92,501,686
---------------
---------------
- --------------------------------------------------------------------------------
STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED JUNE 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
INVESTMENT INCOME
Dividends (net of foreign tax withholding of $33). . $ 535,632
Interest . . . . . . . . . . . . . . . . . . . . . . 110,392
---------------
TOTAL INVESTMENT INCOME. . . . . . . . . . . . . . . . 646,024
---------------
EXPENSES
Advisory Fees. . . . . . . . . . . . . . . . . . . . 54,332
Administration and Services Fees . . . . . . . . . . 18,111
Professional Fees. . . . . . . . . . . . . . . . . . 10,290
Trustees Fees. . . . . . . . . . . . . . . . . . . . 1,030
Miscellaneous. . . . . . . . . . . . . . . . . . . . 286
---------------
Total Expenses . . . . . . . . . . . . . . . . . . . 84,049
Less: Expenses Absorbed by Bankers Trust. . . . . . (47,827)
---------------
Net Expenses . . . . . . . . . . . . . . . . . . . 36,222
---------------
NET INVESTMENT INCOME. . . . . . . . . . . . . . . . . 609,802
---------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES,
FOREIGN CURRENCIES AND FORWARD FOREIGN CURRENCY CONTRACTS
Net Realized Gain from Investment Transactions. . . . . . 3,834,941
Net Realized Gain from Futures, Foreign Currencies
and Forward Foreign Currency Transactions. . . . . . . . 369,373
Net Change in Unrealized Appreciation
on Investments . . . . . . . . . . . . . . . . . . . . . 3,681,843
Net Change in Unrealized Appreciation on Futures,
Foreign Currencies and Forward Foreign
Currency Contracts . . . . . . . . . . . . . . . . . . . 77,725
---------------
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS, FUTURES,
FOREIGN CURRENCIES AND FORWARD FOREIGN CURRENCY CONTRACTS. . 7,963,882
---------------
NET INCREASE IN NET ASSETS FROM OPERATIONS . . . . . . . . . . $ 8,573,684
---------------
---------------
See Notes to Financial Statements on Pages 30 and 31
28
<PAGE>
- --------------------------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
FOR THE FOR THE
SIX MONTHS ENDED PERIOD ENDED
JUNE 30, 1997+ DECEMBER 31, 1996
---------------- -----------------
INCREASE IN NET ASSETS FROM:
OPERATIONS
Net Investment Income . . . . . . . . $ 609,802 $ 392,448
Net Realized Gain from Investments
and Futures Transactions . . . . . . 4,204,314 76,920
Net Change in Unrealized Appreciation
on Investments and Futures
Contracts. . . . . . . . . . . . . . 3,759,568 3,223,254
------------- ------------
Net Increase in Net Assets
from Operations. . . . . . . . . . . . 8,573,684 3,692,622
CAPITAL TRANSACTIONS
Proceeds from Capital Invested. . . . 35,113,122 81,111,921
Value of Capital Withdrawn. . . . . . (33,269,461) (2,720,212)
------------- ------------
Net Increase in Net Assets from
Capital Transactions . . . . . . . . 1,843,661 78,391,709
------------- ------------
TOTAL INCREASE IN NET ASSETS . . . . . . 10,417,345 82,084,331
------------- ------------
NET ASSETS
Beginning of Period. . . . . . . . . . . 82,084,341 10
------------- ------------
End of Period. . . . . . . . . . . . . . $ 92,501,686 $ 82,084,341
------------- ------------
------------- ------------
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
Contained below are selected supplemental data and ratios to average net assets
for the periods indicated for the Small Cap Index Portfolio.
<TABLE>
<CAPTION>
FOR THE PERIOD JULY 1, 1996
FOR THE SIX MONTHS (COMMENCEMENT OF OPERATIONS)
ENDED JUNE 30, 1997+ TO DECEMBER 31, 1996
-------------------- ----------------------------
<S> <C> <C>
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period (000s omitted) . . . . . $ 92,502 $ 82,084
Ratios to Average Net Assets:
Net Investment Income . . . . . . . . . . . . . 1.68%* 1.70%*
Expenses. . . . . . . . . . . . . . . . . . . . 0.10%* 0.20%*
Decrease Reflected in Above Expense Ratio Due
to Absorption of Expenses by Bankers Trust . . 0.13%* 0.12%*
Portfolio Turnover Rate. . . . . . . . . . . . . . 78% 16%
Average Commission Per Share** . . . . . . . . . . $ 0.022 $ 0.013
</TABLE>
- ------------------------------
+ Unaudited
* Annualized
** For fiscal years beginning on or after September 1, 1995, a portfolio is
required to disclose its average commission rate per share for security
trades on which commissions are charged.
See Notes to Financial Statements on Pages 30 and 31
29
<PAGE>
- --------------------------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
NOTE 1--ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
A. ORGANIZATION
The Small Cap Index Portfolio (the "Portfolio") is registered under the
Investment Company Act of 1940 (the "Act"), as amended, as an open-end
management investment company. The Portfolio was organized on January 24, 1996
as an unincorporated trust under the laws of New York, and commenced operations
on July 1, 1996. The Declaration of Trust permits the Board of Trustees (the
"Trustees") to issue beneficial interests in the Portfolio.
B. SECURITY VALUATION
The Portfolio's investments listed or traded on National Stock Exchanges or
other domestic or foreign exchanges are valued based on the closing price of the
security traded on that exchange prior to the time when the Portfolio assets are
valued. Short-term obligations with remaining maturities of 60 days or less are
valued at amortized cost. Other short-term debt securities are valued on a mark-
to-market basis until such time as they reach a remaining maturity of 60 days,
whereupon they will be valued at amortized cost using their value on the 61st
day. All other securities and other assets are valued at their fair value as
determined in good faith under procedures established by and under the general
supervision of the Trustees.
C. SECURITY TRANSACTIONS AND INTEREST INCOME
Security transactions are accounted for on a trade date basis. Dividend income,
less foreign taxes withheld, if any, is recorded on the ex-dividend date or upon
receipt of ex-dividend notification in the case of certain foreign securities.
Interest income is recorded on the accrual basis and includes amortization of
premium and discount on investments. Realized gains and losses from securities
transactions are recorded on the identified cost basis.
All of the net investment income and realized and unrealized gains and losses
from the security and foreign currency transactions of the 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. OPTION CONTRACTS
The Portfolio may enter into option contracts. Upon the purchase of a put option
or a call option by a Portfolio, the premium paid is recorded as an investment,
the value of which is valued at mark-to-market daily to reflect the current
market value. When a purchased option expires, the Portfolio will realize a loss
in the amount of the cost of the option. When the Portfolio enters into a
closing sale transaction, the Portfolio will realize a gain or loss depending on
whether the sale proceeds from the closing sale transaction are greater or less
than the cost of the option. When the Portfolio exercises a put option, it
realizes a gain or loss from the sale of the underlying security and the
proceeds from such sale will be decreased by the premium originally paid. When
the Portfolio exercises a call option, the cost of the security which the
Portfolio purchases upon exercise will be increased by the premium originally
paid. The Portfolio's investment in the financial futures contracts are designed
to closely replicate the benchmark idea used by the Portfolio.
F. FUTURES CONTRACTS
The Portfolio may enter into financial futures contracts which are contracts to
buy a standard quantity of securities at a specified price on a future date. The
Portfolio is required to deposit either in cash or securities an amount equal to
a certain percentage of the contract amount. Subsequent payments are made or
received by the Portfolio each day, dependent on the daily fluctuations in the
value of the underlying security, and are recorded for financial statement
purposes as unrealized gains or losses by the Portfolio.
Futures contracts are valued at the settlement price established each day by the
board of trade or exchange on which they are traded.
G. FEDERAL INCOME TAXES
It is the Portfolio's policy to comply with the requirements of the Internal
Revenue Code. Therefore, no federal income tax provision is required.
H. OTHER
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions that
affect the reported amounts in the financial statements.
NOTE 2--FEES AND TRANSACTIONS WITH AFFILIATES
The Portfolio has entered into an Administration and Services Agreement with
Bankers Trust Company ("Bankers Trust"). Under this Administration and Services
Agreement, Bankers Trust provides administrative, custody and shareholder
services to the Portfolio in return for a fee computed daily and paid monthly at
an annual rate of 0.05 of 1% of the Portfolio's average daily net assets. For
the six months ended June 30, 1997, this fee aggregated $18,111.
The Portfolio has entered into an Advisory Agreement with Bankers Trust. Under
this Advisory Agreement, the Portfolio pays Bankers Trust an advisory fee
computed daily and paid monthly at an annual rate of 0.15 of 1% of the
Portfolio's average daily net assets. For the six months ended June 30, 1997,
this fee aggregated $54,332.
Bankers Trust has voluntarily undertaken to waive and reimburse expenses of the
Portfolio, to the extent necessary, to limit all expenses to 0.20 of 1% of the
average daily net assets of the Portfolio. For the six months ended June 30,
1997, expenses of the Portfolio have been reduced by $47,827.
Certain trustees and officers of the Portfolio are also directors, officers and
employees of Edgewood Services, Inc. None of the trustees so affiliated received
compensation for services as trustees of the Portfolio. Similarly, none of the
Portfolio's officers received compensation from the Portfolio.
30
<PAGE>
- --------------------------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
For the six months ended June 30, 1997, the Small Cap Index Portfolio paid
brokerage commissions of $36,201.
NOTE 3--PURCHASES AND SALES OF INVESTMENT SECURITIES
The aggregate cost of purchases and proceeds from sales of investments, other
than short-term obligations, for the six months ended June 30, 1997, were
$54,940,931 and $55,372,330, respectively. For federal income tax purposes, the
tax basis of investments held at June 30, 1997 was $89,555,259. The aggregate
gross unrealized appreciation was $8,714,291, and the aggregate gross unrealized
depreciation for all investments was $2,042,422 as of June 30, 1997.
NOTE 4--FUTURES CONTRACTS
A summary of obligations under these financial instruments at June 30, 1997 is
as follows:
MARKET UNREALIZED
TYPE OF FUTURE EXPIRATION CONTRACTS POSITION VALUE APPRECIATION
- ------------------ -------------- --------- -------- ---------- ------------
Russell 2000 Index September 1997 22 Long $4,387,900 $78,125
At June 30, 1997, the Portfolio has segregated $190,000 for the Portfolio to
cover margin requirements on open futures contracts.
31
<PAGE>
BT ADVISOR FUNDS
SMALL CAP INDEX FUND
INVESTMENT ADVISER OF THE PORTFOLIO AND ADMINISTRATOR
BANKERS TRUST COMPANY
130 Liberty Street
New York, NY 10006
DISTRIBUTOR
EDGEWOOD SERVICES, INC.
Clearing Operations
P.O. Box 897
Pittsburgh, PA 15230-0897
CUSTODIAN AND TRANSFER AGENT
BANKERS TRUST COMPANY
130 Liberty Street
New York, NY 10006
INDEPENDENT ACCOUNTANTS
COOPERS & LYBRAND L.L.P.
1100 Main Street, Suite 900
Kansas City, MO 64105
COUNSEL
WILLKIE FARR & GALLAGHER
153 East 53rd Street
New York, NY 10022
-------------------------------
For information on how to invest,
shareholder account information and
current price and yield
information, please contact your
relationship manager or the BT
Mutual Fund Service Center at (800)
730-1313. This report must be
preceded or accompanied by a
current prospectus for the Fund.
-------------------------------
Small Cap Index Fund - Institutional Class Cusip #05576L882
Small Cap Index Fund - Advisor Class Cusip #05576L858
STA513100 (8/97)
32
