o BT ADVISOR FUNDS o
EAFE EQUITY INDEX FUND
SEMI-ANNUAL REPORT
JUNE o 1998
<PAGE>
EAFE Equity Index Fund
Table of Contents
Letter to Shareholders 3
EAFE Equity Index Fund
Statement of Assets and Liabilities 6
Statement of Operations 6
Statements of Changes in Net Assets 7
Financial Highlights 8
Notes to Financial Statements 9
EAFE Equity Index Portfolio
Statement of Net Assets 11
Statement of Operations 19
Statements of Changes in Net Assets 20
Financial Highlights 20
Notes to Financial Statements 21
--------------
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.
--------------
2
<PAGE>
EAFE Equity Index Fund
Letter to Shareholders
We are pleased to present you with this semi-annual report for the EAFE(R)(1)
Equity Index Fund (the "Fund"), providing a detailed review of the market, the
Portfolio, and our outlook. Included are a complete financial summary of the
Fund's operations and a listing of the Portfolio's holdings.(2)
- --------------------------------------------------------------------------------
Objective
Seeks to replicate as closely as possible the total return of the Morgan Stanley
Capital International Europe Australia Far East (MSCI EAFE) Index.(3)
- --------------------------------------------------------------------------------
MARKET ACTIVITY
Overall, 16 of the 21 EAFE markets posted gains for the semi-annual period ended
June 30, 1998, and 14 had double-digit returns. Most of the advance of the MSCI
EAFE Index took place in the first quarter, and, with the exception of April
1998, equities added to performance throughout, while currencies did not. Europe
rose consistently; the Pacific Basin declined.
Europe
Regionally, Europe rose 25.5% in U.S. dollar terms during the semi-annual
period, as new record highs were recorded in most European markets. Markets
responded to:
o Continued European Monetary Union enthusiasm and a favorable monetary policy
environment. -- On May 2nd, the members of EMU were announced. They are
Germany, France, Italy, Spain, Belgium, the Netherlands, Austria, Portugal,
Ireland, Finland, and Luxembourg. There is a low interest rate/low inflation
environment in much of the region.
o The perception that the Asian currency crisis was abating. -- Especially when
the region's markets rose in January, and Malaysia, Hong Kong and Singapore
were the top performing markets in February.
o The solid performance of Portugal, which was added to the MSCI EAFE Index at
the end of November 1997. -- The Portuguese equity market benefited from the
country's sound economic fundamentals in general and from a 0.20% cut in the
benchmark lending rate in particular.
- --------------------------------------------------------------------------------
Investment Instruments
Primarily equity securities of business enterprises organized and domiciled
outside of the United States. Statistical methods will be employed to replicate
the Index by buying most of the relevant Index securities.
- --------------------------------------------------------------------------------
Italy was a particularly consistent performer, following the Bank of Italy's
interest rate cuts on December 23, 1997 and again in April 1998. Many stock
analysts, in their year-end wrapups, singled out Italy as one of the more
promising European markets of 1998. Finland was the top-performing market in
April, based on better than expected earnings for Nokia, the global
telecommunications firm. Nokia, which accounts for more than half of MSCI
Finland, rose 21% in April. Belgium was the top performer in June, as Belgian
electricity supplier, Electrabel, formed an electricity trading joint venture
with local Scandinavian partners. Spain gained on merger activity in the banking
sector, the news that its blue chip telecommunications stock, Telefonica, may be
split up, and interest rate cuts.
DIVERIFICATION OF PORTFOLIO INVESTMENTS
By Country as of June 30, 1998
(percentages are based on market value)
[PIE CHART APPEARS HERE. SEE VALUES BELOW]
Netherlands 6% Australia 2%
Switzerland 8% Spain 3%
France 9% Other 6%(*)
Germany 11% Sweden 3%
United Kingdom 21% Belgium 2%
Hong Kong 2% U.S.A. 3%
Italy 4% Japan 20%
- ---------
* Consists of countries less than 2%
TEN LARGEST STOCK HOLDINGS
----------------------------------------------------------
Royal Dutch Petroleum Co. British Petroleum Co. Plc.
----------------------------------------------------------
Novartis Nestle SA
----------------------------------------------------------
Nippon Telegraph &
Telephone Corp. Schweizerische Bankverein
----------------------------------------------------------
Glaxo Wellcome Plc. British Telecommunications Plc.
----------------------------------------------------------
Toyota Motor Corp. Allianz AG
----------------------------------------------------------
Pacific Basin
The Pacific Basin overall fell 6.5% in U.S. dollar terms during the semi-annual
period, although this region did rise in January and February 1998. Australia
reached a new, all-time record high in April, as investors anticipated an
interest rate cut there.
o The ride was a particularly bumpy one in Singapore, Malaysia, and Hong Kong.
-- Singapore started the first quarter down considerably due to investor
concerns about its exposure to Indonesian debt and the region's currency
crisis. However, it later recovered, as perceptions about currency woes turned
positive, foreign ownership limits of Singapore Press were removed, and
expectations of corporate tax cuts in the forthcoming budget grew.
o Hong Kong also started down, as high interest rates were needed to support the
Hong Kong dollar, and then it rallied on declining interbank lending rates and
on news that the government would allow tax deductions on mortgage-interest
payments.
o Malaysia experienced a strong recovery on a strengthening of the ringgit,
relaxation of foreign ownership limits in the telecommunications sector, and
talk of bank mergers, which should help strengthen the banking system.
At the start of the second quarter, all three of these markets sustained large
falls, as investors were concerned about a possible U.S. interest
3
<PAGE>
EAFE Equity Index Fund
Letter to Shareholders (continued)
rate rise, which could hurt regional economic growth. These markets continued to
fall in May and June on concern about Asian economic problems, compounded by the
political turmoil in Indonesia. The weakness in the yen, combined with an
internal struggle for the economic leadership between the Prime Minister and his
finance minister, exacerbated Malaysia's slide. Singapore fell further, as the
government reported that it would run a deficit for the first time in over a
decade.
o Japanese stocks also experienced tremendous volatility. Japan initially rose
during the first quarter, as the ruling political party announced that its
fiscal stimulus package was implemented in February, a month earlier than
expected. However, Japanese stocks closed the fiscal year-end and the calendar
quarter on March 31st down. Investors were waiting for details of the
government's proposed $124 billion economic stimulus package. Once released,
stocks fell even further, as the package included no permanent income tax
cuts. The Japanese economy continued to show further signs of weakening when
its 1997 year-end GDP rates showed a decline and when unemployment hit a
postwar record high of 4.1% in April. Concerns about Japanese companies'
earnings continued. The yen weakened against the U.S. dollar in April, falling
to the lowest levels in seven years. However, based on Japan's latest promise
of tax reform and the Federal Reserve Board's intervention to try and stop the
yen's slide, its currency did strengthen, and Japanese stocks rose moderately
in June.
<TABLE>
<CAPTION>
INVESTMENT REVIEW
Periods ended June 30, 1998 Cumulative Total Returns Average Annual Total Returns
Past 6 Past Since Past Since
months 1 year inception 1 year inception
- ---------------------------------------------------------------------------------------------------------------------------
<S><C>
BT Advisor EAFE(R)(1) Equity Index Fund(4)
Institutional Class Shares (inception 1/24/96) 16.13% 6.01% 27.15% 6.01% 10.38%
Advisor Class Shares (inception 6/21/96) 15.99% 5.96% 20.04% 5.96% 9.43%
- ---------------------------------------------------------------------------------------------------------------------------
MSCI EAFE Index 15.93% 6.10% 6.10%
Institutional Class Shares 26.59% 10.25%
Advisor Class Shares 19.94% 9.52%
- ---------------------------------------------------------------------------------------------------------------------------
Lipper International Equity Average(5) 15.50% 8.19% 8.19%
Institutional Class Shares 33.10% 12.34%
Advisor Class Shares 26.01% 12.05%
</TABLE>
MANAGER OUTLOOK
We remain positive about the European markets, as the central banks of
Continental Europe have postponed any tightening of policy despite indications
of strong domestic demand, in large part because of Asia. Progress toward
European Monetary Union is proceeding slowly, but surely.
Market participants will, of course, keep a close eye on Asian developments, and
especially on Japan, whose recovery is key for the entire region. It probably
will take some hard-hitting actions by Tokyo, rather than merely announcing
plans, to convince people that the country is moving along the right track. Once
the perception of the Asian crisis shifts to a more positive note, however, the
U.S. markets could face the likelihood of a shift to tighter monetary policy.
European markets may weaken in sympathy, though most--especially in the
periphery countries--will likely outperform U.S. investments.
Of course, as an index fund, designed to replicate as closely as possible,
before expenses, the broad diversification and total return of the MSCI EAFE
Index with net dividends, we neither evaluate short-term fluctuations in the
Fund's performance nor manage according to a given outlook for the equity
markets or the economies in general. Still, we will continue monitoring economic
conditions and how they affect the financial markets.
We appreciate your ongoing support of the EAFE Equity Index Fund and look
forward to serving your investment needs for many years ahead.
/s/ Richard J. Vella
-----------------------------
Richard J. Vella
Portfolio Manager of the
EAFE Equity Index Portfolio
June 30, 1998
- ---------
(1) The EAFE Index is the exclusive property of Morgan Stanley. Morgan Stanley
Capital International is a service mark of Morgan Stanley and has been
licensed for use by Bankers Trust Company.
(2) Foreign investing involves special risks, including currency risk, increased
volatility of foreign securities, and differences in auditing and other
financial standards.
(3) The MSCI Index is an unmanaged capitalization-weighted index containing
approximately 1,100 equity securities of companies located outside the
United States. Investments cannot be made in an index.
(4) Past performance is not indicative of future results. Investment return and
principal value will fluctuate so that an investor's shares, when redeemed,
may be worth more or less than their original cost.
(5) Lipper figures represent the average of the total returns, reported by all
of the mutual funds designated by Lipper Analytical Services, Inc. as
falling into the respective categories indicated. These figures do not
reflect sales charges. The Fund is not insured by the FDIC and is not a
deposit, obligation of, or guaranteed by Bankers Trust Company. The Fund is
subject to investment risks, including possible loss of principal amount
invested.
4
<PAGE>
EAFE Equity Index Fund
Performance Comparison (unaudited)
Comparison of Change in Value of a $10,000 Investment in the EAFE Equity Index
Fund - Institutional Class and Advisor Class, with the MSCI EAFE Index since
January 31, 1996 and June 30, 1996, respectively.
[LINE GRAPH APPEARS HERE -- PLOT POINTS BELOW]
EAFE Equity Index Fund
Institutional Class MSCI EAFE Index
---------------------- ---------------
1/96 10,000 10,000
3/96 10,217 10,247
6/96 10,404 10,409
9/96 10,384 10,396
12/96 10,553 10,561
3/97 10,374 10,395
6/97 11,805 11,745
9/97 11,898 11,848
12/97 10,949 10,920
3/98 12,539 12,526
6/98 12,715 12,659
[LINE GRAPH APPEARS HERE -- PLOT POINTS BELOW]
EAFE Equity Index Fund
Advisor Class MSCI EAFE Index
---------------------- ---------------
6/96 10,030 10,000
9/96 10,000 9,987
12/96 10,157 10,146
3/97 9,976 9,987
6/97 11,328 11,283
9/97 11,234 11,204
12/97 10,349 10,327
3/98 11,832 11,846
6/98 12,004 11,994
---------------------------------------------------
Annualized Total Return
Ended June 30, 1998
Institutional Advisor
One Year One Year
6.01% 5.96%
Since 1/24/96(*) Since 6/21/96(*)
10.38% 9.43%
(*) 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.
---------------------------------------------------
Past performance is not indicative of future performance. The MSCI EAFE Index is
unmanaged and investments may not be made in an index. The Fund is not insured
by the FDIC and is not a deposit, obligation of or guaranteed by Bankers Trust
Company. The Fund is subject to investment risks, including possible loss of
principal amount invested.
5
<PAGE>
EAFE Equity Index Fund
Statement of Assets and Liabilities June 30, 1998 (unaudited)
<TABLE>
<CAPTION>
<S><C>
Assets
Investment in EAFE Equity Index Portfolio, at Value $ 40,272,637
Receivable for Shares of Beneficial Interest Subscribed 50
Due from Bankers Trust, net 187,909
Deferred Organizational Expense 4,634
Prepaid Expenses 19,272
---------------
Total Assets 40,484,502
---------------
Liabilities
Accrued Expenses 27,615
---------------
Net Assets $ 40,456,887
===============
Composition of Net Assets
Paid-in Capital $ 32,304,849
Undistributed Net Investment Income 123,990
Undistributed Net Realized Gain from Investment, Futures, Foreign Currencies and
Forward Foreign Currency Transactions 557,822
Net Unrealized Appreciation on Investment, Futures, Foreign Currencies and
Forward Foreign Currency Contracts 7,470,226
---------------
Net Assets $ 40,456,887
===============
Net Asset Value, Offering and Redemption Price Per Share (net assets divided by shares outstanding)
Institutional Class(1) $ 11.59
===============
Advisor Class(2) $ 11.17
===============
</TABLE>
- --------------
(1) Net asset value, offering and redemption price per share (based on net
assets of $35,314,962 and 3,047,478 shares of beneficial interest
outstanding and .001 par value, unlimited number of shares of beneficial
interest authorized).
(2) Net asset value, offering and redemption price per share (based on net
assets of $5,141,925 and 460,514 shares of beneficial interest
outstanding and .001 par value, unlimited number of shares of beneficial
interest authorized).
Statement of Operations For the six month period ended June 30, 1998 (unaudited)
<TABLE>
<CAPTION>
<S><C>
Investment Income
Income Allocated from EAFE Equity Index Portfolio, net $ 456,532
---------------
Expenses
Administration and Services Fees
Institutional Class 26,813
Advisor Class 6,050
Shareholder Reports 6,352
Institutional Class 1,975
Advisor Class 986
Registration Fees 7,591
Professional Fees 43,546
Trustees Fees 12,234
Amortization of Deferred Organizational Expenses 893
Miscellaneous 39,400
---------------
Total Expenses 145,840
Less: Expenses Absorbed by Bankers Trust
Institutional Class (118,580)
Advisor Class (12,272)
---------------
Net Expenses 14,988
---------------
Net Investment Income 441,544
---------------
Realized and Unrealized Gain on Investment, Futures, Foreign Currencies and Forward Foreign Currency Contracts
Net Realized Gain from Investment Transactions 510,062
Net Realized Gain from Futures, Foreign Currencies and Forward Foreign Currency Transactions 195,592
Net Change in Unrealized Appreciation/Depreciation on Investment, Futures, Foreign Currencies and
Forward Foreign Currency Contracts 4,949,574
---------------
Net Realized and Unrealized Gain on Investment, Futures, Foreign Currencies and
Forward Foreign Currency Contracts 5,655,228
---------------
Net Increase in Net Assets from Operations $ 6,096,772
===============
</TABLE>
See Notes to Financial Statements on Pages 9 and 10
6
<PAGE>
EAFE Equity Index Fund
Statements of Changes in Net Assets
<TABLE>
<CAPTION>
For the For the
six months ended year ended
June 30, 19981 December 31, 1997
---------------- -----------------
<S><C>
Increase (Decrease) in Net Assets from:
Operations
Net Investment Income $ 441,544 $ 765,179
Net Realized Gain from Investment, Futures, Foreign Currencies and
Forward Foreign Currency Contracts Transactions 705,654 1,682,611
Net Change in Unrealized Appreciation/Depreciation on Investment, Futures,
Foreign Currencies and Forward Foreign Currency Contracts 4,949,574 934,766
-------------- ---------------
Net Increase in Net Assets from Operations 6,096,772 3,382,556
-------------- ---------------
Distributions to Shareholders
Net Investment Income
Institutional Class -- (791,561)
Advisor Class -- (26,630)
Net Realized Gain from Investment Transactions
Institutional Class -- (1,895,332)
Advisor Class -- (204,211)
-------------- --------------
Total Distributions -- (2,917,734)
-------------- --------------
Capital Transactions in Shares of Beneficial Interest
Net Decrease Resulting from Institutional Class Shares (Note 3) (5,735,546) (4,930,429)
Net Increase Resulting from Advisor Class Shares (Note 3) 1,374,811 2,801,911
-------------- --------------
Net Decrease from Capital Transactions in Shares of Beneficial Interest (4,360,735) (2,128,518)
-------------- --------------
Total Increase (Decrease) in Net Assets 1,736,037 (1,663,696)
-------------- --------------
Net Assets
Beginning of Period 38,720,850 40,384,546
-------------- --------------
End of Period (includes undistributed net investment income (distributions in excess of
net investment income) of $123,990 and ($317,554) for the six month period ended
June 30, 1998 and for the year ended December 31,1997, respectively) $ 40,456,887 $ 38,720,850
============== ==============
</TABLE>
- ---------
(1) Unaudited.
See Notes to Financial Statements on Pages 9 and 10
7
<PAGE>
EAFE Equity 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 EAFE Equity Index Fund.
<TABLE>
<CAPTION>
Institutional Class Shares Advisor Class Shares
------------------------------------------ --------------------------------------------
For the For the period For the For the period
six months For the January 24, 1996 six months For the June 21, 1996 ended
ended year ended (Commencement ended year ended (Commencement
June 30, December 31, of Operations) to June 30, December 31, of Operations) to
1998(3) 1997 December 31, 1996 1998(3) 1997 December 31, 1996
---------- ------------ ----------------- --------- ------------ -------------------
<S><C>
Per Share Operating Performance:
Net Asset Value, Beginning of Period $ 9.98 $10.62 $10.00 $ 9.63 $10.14 $10.00
------ ------ ------ ------ ------ ------
Income from Investment Operations
Net Investment Income 0.13 0.23 0.12 0.10 0.05 0.02
Net Realized and Unrealized Gain (Loss) from
Investment, Futures, Foreign Currencies
and Forward Foreign Currency
Contracts Transactions 1.48 (0.02) 0.60 1.44 0.13 0.12
------ ------ ------ ------ ------ ------
Total from Investment Operations 1.61 0.21 0.72 1.54 0.18 0.14
------ ------ ------ ------ ------ ------
Distributions to Shareholders
Net Investment Income -- (0.24) (0.08) -- (0.08) (0.00)(2)
Net Realized Gain from Investment
Transactions -- (0.61) (0.02) -- (0.61) (0.00)(2)
------ ------ ------ ------ ------ ------
Total Distributions -- (0.85) (0.10) -- (0.69) (0.00)(2)
------ ------ ------ ------ ------ ------
Net Asset Value, End of Period $11.59 $ 9.98 $10.62 $11.17 $ 9.63 $10.14
====== ====== ====== ====== ====== ======
Total Investment Return 16.13% 2.11% 7.22% 15.99% 1.89% 1.57%
Supplemental Data and Ratios:
Net Assets, End of Period (000s omitted $35,315 $35,509 $39,667 $5,142 $3,212 $ 717
Ratios to Average Net Assets:
Net Investment Income 2.23%(1) 1.70% 1.64%(1) 2.15%(1) 1.17% 0.67%(1)
Expenses, Including Expenses of the
EAFE Equity Index Portfolio 0.40%(1) 0.40% 0.40%(1) 0.65%(1) 0.65% 0.65%(1)
Decrease Reflected in Above Expense
Ratio Due to Absorption of Expenses
by Bankers Trust 0.73%(1) 0.33% 0.48%(1) 0.67%(1) 0.33% 1.70%(1)
</TABLE>
- ---------
(1) Annualized.
(2) Less than $0.01 per share.
(3) Unaudited
See Notes to Financial Statements on Pages 9 and 10
8
<PAGE>
EAFE Equity Index Fund
Notes to Financial Statements (unaudited)
Note 1--Organization and Significant Accounting Policies.
A. Organization
BT Advisor Funds (the "Trust") is registered under the Investment Company Act of
1940 (the "Act"), as amended, as an open-end management investment company. The
Trust was organized on July 24, 1995, as a business trust under the laws of the
Commonwealth of Massachusetts. The EAFE Equity Index Fund (the "Fund") is one of
the funds offered to investors by the Trust.
The EAFE Equity Index Portfolio (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, 1998, the Fund's proportionate interest in net assets was
approximately 100%.
The EAFE Equity Index Fund offers two classes of shares to investors:
Institutional Class and Advisor Class shares (the "Classes"). 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 extensive voting rights with respect to matters affecting a single class.
The Institutional and Advisor shares commenced operations and began offering
shares of beneficial interest on January 24, 1996 and June 21, 1996,
respectively.
The financial statements of the Portfolio, including the Statement of Net
Assets, 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 security transactions of the Portfolio are allocated pro rata
among the investors in the Portfolio at the time of such determination. Net
investment income is allocated daily to each class of shares based upon the
relative proportion of net assets.
C. Organizational Expenses
Costs incurred by the fund in connection with its organization and initial
registration are being amortized evenly over a five-year period.
D. Dividends
It is the Fund's policy to declare and distribute dividends annually to
shareholders from net investment income and net realized short-term and
long-term capital gain, if any. Dividends payable to shareholders are recorded
by the Fund on the ex-dividend date.
E. Federal Income Taxes
It is the Fund's policy to comply with the requirements of the Internal Revenue
Code applicable to regulated investment companies and distribute substantially
all of its income to shareholders. Therefore, no federal income tax provision is
required. The Fund may periodically make reclassifications among certain of its
capital accounts as a result of the timing and characterization of certain
income and capital gain distributions determined annually in accordance with
federal tax regulations, which may differ from generally accepted accounting
principles.
F. Other
The Trust accounts separately for the assets, liabilities and operations of the
Fund and Classes. Expenses directly attributable to each Class are charged to
that Class, while expenses that are attributable to the Trust are allocated
among the Funds.
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions that
affect the reported amounts in the financial statements. Actual results could
differ from those estimates.
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 .15% and .30% of average daily net assets for the
Institutional Class and Advisor Class, respectively. At June 30, 1998, amounts
due the fund amounted to $187,909 relating to waived fees of the fund, net of
the Administrative and Services fees of $5,491.
The Trust entered into a Distribution Agreement with Edgewood Services, Inc.
("Edgewood"). Under the Distribution Agreement with the Trust, pursuant to Rule
12b-1 of the Act, Edgewood may seek reimbursement at an annual rate not
exceeding .20% of the average daily net assets of each Class for expenses
incurred in connection with any activities primarily intended to result in the
sale of shares of each Class. For the six-month period ended June 30, 1998,
there were no reimbursable expenses incurred under this agreement.
Certain officers of the Fund are also directors, officers and/or employees of
Edgewood. None of the officers so affiliated received compensation for services
as officers of the Fund.
Effective August 11, 1998, ICCDistributors, Inc. will replace Edgewood as
distributor of the Trust.
The EAFE Equity Index Fund's two Classes of shares impose a shareholder
transaction fee paid when investors buy, sell or exchange shares of the Fund.
Institutional Class Shares deduct a transaction fee of .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 its fees and reimburse
expenses of each Class of Shares, to the extent necessary, to limit all expenses
as follows: EAFE Equity Index Fund Institutional Class of Shares to .05% of the
average daily net assets of the Class, excluding expenses of the Portfolio and
.40% of the average daily net assets of the Class, including expenses of the
Portfolio; EAFE Equity Index Advisor Class of shares to .30% of the average
daily net assets of the Class, excluding expenses of the Portfolio, and .65% of
the average daily net assets of the Class, including expenses of the Portfolio.
For the six-month period ended June 30, 1998, expenses have been reduced by
$118,580 and $12,272 for the Institutional Class and Advisor Class,
respectively.
The Fund is a participant with other affiliated entities in a revolving credit
facility ("the revolver") and a discretionary demand line of credit facility
("collectively the credit facilities") in the amounts of $50,000,000 and
$100,000,000, respectively. A commitment fee of EAFE Equity Index Fund Notes to
Financial Statements .07% per annum on the average daily amount of the available
com-
9
<PAGE>
EAFE Equity Index Fund
Notes to Financial Statements
mitment is payable on a quarterly basis and apportioned equally among all
participants. Amounts borrowed under the credit facilities will bear interest at
a rate per annum equal to the Federal Funds Rate plus .45%. No amounts were
drawn down or outstanding under the credit facilities as of and for the period
ended June 30, 1998.
Note 3--Shares of Beneficial Interest
At June 30, 1998, 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
----------------------------------------------------
For the six-month period For the year ended
ended June 30, 1998(1) December 31, 1997
------------------------ -------------------------
Shares Amount Shares Amount
---------- ------------ ----------- -------------
<S><C>
Sold 37,863 $ 415,971 1,767,703 $ 18,359,793
Reinvested -- -- 269,018 2,686,886
Redeemed (547,291) (6,151,517) (2,215,503) (25,977,108)
--------- ------------ ----------- -------------
(Decrease) (509,428) $(5,735,546) (178,782) $ (4,930,429)
========= ============ =========== =============
<CAPTION>
Advisor Class Shares
----------------------------------------------------
For the six-month period For the year ended
ended June 30, 1998(1) December 31, 1997
------------------------ -------------------------
Shares Amount Shares Amount
---------- ------------ ----------- -------------
<S><C>
Sold 205,102 $2,208,294 345,960 $3,634,709
Reinvested -- -- 18,203 173,760
Redeemed (78,267) (833,483) (101,210) (1,006,558)
--------- ----------- --------- -----------
Increase 126,835 $1,374,811 262,953 $2,801,911
========= =========== ========= ===========
</TABLE>
- ----------
(1) Unaudited
Note 4--Subsequent Event
Effective July 10, 1998, the Fund's Advisor Class was closed and all Advisor
Class shareholders were exchanged into the Fund's Institutional Class based on a
1 to .9632 exchange ratio. As a result of the exchange, 442,345 shares of the
Institutional Class representing $5,175,440 in net assets were issued at the net
asset value of $11.70 per share. EAFE Equity Index Portfolio
10
<PAGE>
EAFE Equity Index Portfolio
Statement of Net Assets June 30, 1998 (unaudited)
<TABLE>
<CAPTION>
Shares Description Value
- ------ ----------- -----
<S><C>
COMMON STOCK 96.19%
AUSTRALIA - 2.14%
4,000 Amcor Ltd. (Packaging & Container) $ 17,514
6,976 Boral Ltd. (Buildings Materials) 13,090
1,300 Brambles Industries Ltd. (Transportation) 25,513
11,491 Broken Hill Proprietary Co. Ltd. (Metals) 97,139
4,730 Coca-Cola Amatil Ltd. (Beverages) 31,636
6,875 Coles Myer Ltd. (Retail) 26,822
7,900 CSR Ltd. (Building Materials) 22,799
12,740 Foster's Brewing Group Ltd. (Brewery) 29,982
7,204 General Property Trust (Real Estate) 11,644
2,360 Gio Australia Holdings Ltd. (Insurance) 6,057
952 Homestake Mining Company
(Gold Mining) 9,138
1,485 Lend Lease Corp. Ltd. (Financial
Services) 30,027
18,205 M.I.M. Holdings Ltd. (Metals & Mining) 8,794
7,801 National Australia Bank (Financial
Services) 102,904
1,545 Newcrest Mining Ltd. (Metals & Mining) 1,895
10,815 News Corporation Ltd. (Services) 88,276
20,473 Normandy Mining Ltd. (Metals & Mining) 16,736
6,301 North Ltd. (Metals & Mining) 12,955
3,400 Orica Ltd. (Chemicals) 20,109
10,600 Pacific Dunlop Ltd. (Holding Companies) 17,134
8,900 Pioneer International Ltd. (Building
Materials) 21,220
1,900 Rio Tinto Ltd. (Metals & Mining) 22,592
6,613 Santos Ltd. (Oil/Gas) 20,477
4,641 Southcorp Holdings Ltd. (Holding Co.) 13,480
1,700 TABCORP Holdings Ltd. (Leisure Time) 8,686
26,800 Telstra Corp. Ltd. (Telecom Services) 68,713
528 Westfield Trust Units (Real Estate) 1,007
16,254 Westfield Trust (Real Estate) (a) 31,205
10,600 Westpac Banking Corp. Ltd. (Banks) 64,661
6,319 WMC Ltd. (Metals & Mining) 19,019
---------------
861,224
---------------
AUSTRIA - 0.37%
460 Bank Austria AG (Banks) 37,415
70 Boehler-Uddeholm AG (Steel) 4,625
60 EA-Generali AG (Insurance) 17,623
100 Flughafen Wien AG (Transportation) 4,795
260 Oesterreichisch Elektrizitaetswirtschafts
AG-A (Utilities) 31,121
160 OMV AG (Oil/Gas) 21,432
90 VA Technologie AG (Oil/Gas) 11,198
90 Wienerberger Baustoffindustrie AG
(Building Materials) 21,772
---------------
149,981
---------------
BELGIUM - 1.49%
50 Barco NV (Diversified Operations) 13,975
12 Bekaert NV (Wire & Cable Products) 9,965
150 Cimenteries CBR Cementbedrijven
(Building Products) 16,810
22 Colruyt NV (Food-Retail) 17,264
307 Delhaize-Le Lion, SA (Foods) 21,451
29 D'Ieteren SA (Auto-Cars/Light Trucks) 13,541
302 Electrabel SA (Utilities) 85,626
232 Fortis AG (Insurance) 59,231
37 Fortis AG-Strip VVPR (Insurance) (a) 2
91 Generale de Banque SA (Banks) 67,559
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- ------ ----------- -----
<S><C>
10 Generale de Banque SA-Strip
VVPR (Banks) $ 0
150 Groupe Bruxelles Lambert SA
(Financial Services) 30,274
730 Kredietbank NV (Banks) 65,330
150 PetroFina SA (Oil/Gas) 61,576
100 Royale Belge (Insurance) 38,027
464 Solvay SA (Chemicals) 36,786
75 Tractebel (Utilities) 10,985
8 UCB SA (Medical-Drugs) 41,505
141 Union Miniere SA (Rubber & Plastics) 8,715
---------------
598,622
---------------
DENMARK - 0.97%
200 Carlsberg AS (Brewery) 14,541
300 Carlsberg AS-B (Brewery) 21,812
5 Dampskibsselskabet Svendborg AS-B
(Transportation) 61,072
464 Danisco AS (Food Processing) 31,172
300 Den Danske Bank (Banks) 35,990
5 D/S 1912-B (Transportation) 42,897
500 FLS Industries AS-B (Building &
Construction) 12,724
445 Novo Nordisk AS-B (Biopharmaceuticals) 61,344
777 Tele Danmark AS-B (Utilities) 74,569
400 Unidanmark AS-A (Banks) 35,946
---------------
392,067
---------------
FINLAND - 1.03%
800 Cultor Oyj (Food-Misc/Diversified) 12,977
1,100 Kemira Oy (Chemicals) 11,368
900 Kesko (Retail) 14,189
4,900 Merita Ltd.-A (Banks) 32,330
200 Metra Oy-A (Diversified) 6,379
200 Metra Oy-B (Diversified) 6,489
2,600 Nokia Oyj-A (Telecommunication
Equipment) 191,215
800 Nokia Oyj-K (Telecommunication
Equipment) 58,908
800 Outokumpu Oy-A (Metals & Mining) 10,208
400 Sampo Insurance Company Ltd.-A
(Multi-line Insurance) 18,956
350 Stockmann AB-A (Retail-
Misc/Diversified) 10,462
1,500 UPM-Kymmene Corp. (Forest Products) 41,283
---------------
414,764
---------------
FRANCE - 9.25%
198 Accor SA (Lodging) 55,411
901 Alcatel Alsthom (Telecommunications
Equipment) 183,449
1,832 AXA-UAP (Insurance) 206,047
1,178 Banque Nationale de Paris (Banks) 96,251
206 Bouygues (Property & Development) 37,411
228 Canal Plus (Broadcasting) 42,613
444 Cap Gemini SA (Computer Services) 69,765
213 Carrefour Supermarche SA (Retail) 134,754
33 Coflexip SA (Oil-Field Services) 4,039
493 Compagnie de Saint Gobain (Building
Materials) 91,408
741 Compagnie Generale des Eaux
(Diversified) 158,225
1,516 Elf Aquitaine SA (Energy) 213,133
</TABLE>
See Notes to Financial Statements on Pages 21 and 22
11
<PAGE>
EAFE Equity Index Portfolio
Statement of Net Assets June 30, 1998 (unaudited)
<TABLE>
<CAPTION>
Shares Description Value
- ------ ----------- -----
<S><C>
200 Eridania Beghin-Say SA (Agriculture) $ 44,161
50 Essilor International (Optical) 21,146
600 Etablissements Economiques du
Casino Guichard-Perrachon (Foods) 47,913
4,419 France Telecom SA (Telecommunications) 304,783
404 Groupe Danone (Food Processing) 111,391
458 Havas SA (Advertising) 38,861
100 Imetal SA (Building & Construction) 13,745
566 Lafarge SA (Building Materials) 58,510
867 Lagardere SCA (Diversified) 36,094
455 L'Air Liquide (Chemicals) 75,174
200 Legrand SA (Electronics) 52,928
373 L'OREAL (Household Products) 207,475
484 LVMH (Moet-Hennessy Louis Vuitton)
(Wine and Spirits) 96,864
844 Michelin-B (Tire & Rubber) 48,719
920 Paribas (Finance-Investment
Banker/Broker) 98,452
50 Pathe SA (Television) 9,800
188 Pechiney SA-A (Metal) 7,572
450 Pernod Ricard (Beverages) 31,186
137 Pinault-Printemps-Redoute SA (Retail) 114,658
127 Promodes (Retail) 70,369
300 PSA Peugeot Citroen (Autos & Trucks) 64,505
1,993 Rhone-Poulenc-A (Chemicals) 112,407
708 Sanofi SA (Pharmaceuticals) 83,260
908 Schneider SA (Electronics) 72,403
250 Sidel SA (Machinery) 18,194
100 Simco SA (Real Estate) 8,204
300 Societe BIC SA (Office Supplies) 21,336
545 Societe Generale (Banks) 113,309
220 Sodexho Alliance SA (Foods) 41,591
697 Suez Lyonnaise des Eaux SA
(Diversified) 114,706
950 Thomson CSF (Electronics) 36,140
1,350 Total SA-B (Oil) 175,504
1,800 Usinor Sacilor (Steel) 27,807
505 Valeo SA (Auto Related) 51,619
---------------
3,723,292
---------------
GERMANY - 10.90%
315 Adidas AG (Athletic Footwear) 54,885
1,255 Allianz AG (Insurance) 418,216
36 Allianz AG (Multi-line Insurance) 11,897
350 AMB Aachener & Muench Beteil 40,914
3,420 BASF AG (Chemicals & Toxic Waste) 162,474
3,995 Bayer AG (Chemicals) 206,722
1,435 Bayerische Hypotheken-und Wechsel-
Bank A.G. (Banks) 90,950
1,657 Bayerische Vereinsbank AG (Banks) 140,455
400 Beiersdorf AG (Cosmetics & Toiletries) 25,485
550 Continental AG (Rubber) 17,277
3,294 Daimler-Benz AG (Autos & Trucks) 323,924
760 Degussa AG (Metals & Mining) 48,632
2,915 Deutsche Bank AG (Banks) 246,442
2,875 Deutsche Lufthansa AG (Airlines) 72,393
12,115 Deutsche Telekom (Telecommunications) 331,567
2,708 Dresdner Bank AG (Banks) 146,277
412 Heidelberger Zement AG (Building &
Construction) 39,032
500 Hochtief AG (Engineering & Construction) 23,989
60 Karstadt AG (Retail) 29,169
65 Linde AG (Machinery) 44,654
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- ------ ----------- -----
<S><C>
55 MAN AG (Diversified) $ 21,452
2,150 Mannesmann AG (Machinery & Equipment) 220,956
990 Merck KGAA (Pharmaceuticals) 44,372
1,327 Metro AG (Retail) 80,135
450 Muenchener Rueckversicherungs-
Gesellschaft AG (Reinsurance) 223,379
120 Preussag AG (Steel) 42,947
1,485 RWE AG PN (Oil/Gas) 63,431
1,850 RWE AG (Oil/Gas) 109,463
325 SAP AG (Software) 197,161
210 SAP AG-Vorzug (Software) 142,521
505 Schering AG (Pharmaceuticals) 59,453
3,135 Siemens AG (Electrical Equipment) 191,313
190 Thyssen AG (Steel) 48,316
2,725 VEBA AG (Oil/Gas) 183,202
158 Viag AG (Diversified) 108,718
183 Volkswagen AG (Cars and Trucks) 176,714
---------------
4,388,887
---------------
HONG KONG - 1.64%
11,183 Bank of East Asia Ltd. (Banks) 12,123
22,000 Cathay Pacific Airways (Transportation) 15,474
13,000 Cheung Kong Holdings Ltd. (Real Estate) 63,921
13,500 CLP Holdings Ltd. (Electric-Distribution) 61,501
11,000 Hang Lung Development Co. (Real Estate) 10,931
10,600 Hang Seng Bank Ltd. (Banks) 59,918
24,164 Hong Kong and China Gas Co. Ltd. (Utilities) 27,443
65,741 Hong Kong Telecommunications
Ltd. (Telecommunications) 123,447
13,000 Hong Kong & Shanghai Hotels Ltd. (Lodging) 6,501
38,000 Hopewell Holdings Ltd. (Property &
Development) 4,070
21,000 Hutchison Whampoa Ltd. (Diversified) 110,846
11,000 Hysan Development Co. Ltd.
(Real Estate) 9,086
11,800 New World Development Co. Ltd.
(Real Estate) 22,843
12,000 Shangri-La Asia Ltd. (Hotel\Motel) 7,743
22,347 Sino Land Co. (Real Estate) 7,787
13,156 Sun Hung Kai Properties Ltd.
(Real Estate) 55,859
9,500 Swire Pacific Ltd.-A (Conglomerate) 35,861
5,000 Television Broadcasts Ltd. (Television) 13,228
14,000 Wharf Holdings Ltd. (Diversified) 13,822
---------------
662,404
---------------
IRELAND - 0.48%
4,848 Allied Irish Banks Plc. (Banks) 69,993
2,572 CRH Plc. (Building Materials) 36,487
1,305 Greencore Group Plc. (Foods) 7,099
1,247 Independent Newspapers Plc. (Publishing) 6,697
1,838 Irish Life Plc. (Insurance) 16,921
576 Irish Permanent Plc. (Morgage
Banks-Europe) 6,789
7,342 Jefferson Smurfit Group Plc. (Packaging
& Container) 21,814
948 Kerry Group Plc. (Foods) 13,091
965 Ryanair Holdings Plc.(Airlines) (a) 6,730
5,107 Waterford Wedgewood Units (Crystal
& Giftware) 6,625
---------------
192,246
---------------
</TABLE>
See Notes to Financial Statements on Pages 21 and 22
12
<PAGE>
EAFE Equity Index Portfolio
Statement of Net Assets June 30, 1998 (unaudited)
<TABLE>
<CAPTION>
Shares Description Value
- ------ ----------- -----
<S><C>
ITALY - 4.48%
5,649 Assicurazioni Generali (Insurance) $ 183,687
9,913 Banca Commerciale Italiana (Banks) 59,281
5,660 Banco Ambrosiano Veneto SPA
(Commercial Banks) 31,666
22,250 Benetton Group SPA (Textiles) 46,189
13,313 Credito Italiano Spa (Commercial Banks) 69,690
4,810 Edison SPA (Utilities) 38,601
44,181 ENI SPA (Oil/Gas) 289,560
10,354 Fiat SPA PN (Auto and Trucks) 25,775
24,966 Fiat SPA (Auto and Trucks) 109,271
5,651 Istituto Bancario San Paolo di Torino (Banks) 81,544
3,314 Istituto Mobiliare Italiano SPA
(Financial Services) 52,202
24,686 Istituto Nazionale delle Assicurazioni
(Insurance) 70,133
5,851 Italgas SPA (Utilities) 23,831
8,876 Mediaset Spa (Television) 56,650
4,899 Mediobanca SPA (Financial Services) 62,149
40,486 Montedison SPA (Chemicals) 50,222
12,576 Olivetti Group (Office Automation &
Equipment) 18,713
9,197 Parmalat Finanziaria SPA (Financial Services) 18,756
13,436 Pirelli SPA (Tire & Rubber) 41,951
3,362 Riunione Adriatica di Sicurta SPA
(Insurance) 43,785
36,669 Telecom Italia Mobile SPA
(Telecommunications) 224,237
4,617 Telecom Italia Mobile (TIM) SPA
(Cellular Telecom) 15,584
8,838 Telecom Italia SPA (Telecom Services) 42,784
20,393 Telecom Italia SPA (Telecommunications) 150,118
---------------
1,806,379
---------------
JAPAN - 19.89%
1,000 Acom Company, Ltd. (Financial Services) 47,484
4,000 Ajinomoto Co., Inc. (Food Processing) 35,018
3,000 Amada Co., Ltd. (Machinery) 14,591
14,000 Asahi Bank Ltd. (Banks) 61,534
3,000 Asahi Breweries Ltd. (Brewery) 37,828
8,000 Asahi Chemical Industry Co. Ltd. (Textiles) 28,822
7,000 Asahi Glass Co. Ltd. (Building Materials) 37,828
26,000 Bank of Tokyo-Mitsubishi Ltd. (Banks) 275,203
14,000 Bank of Yokohama Ltd. (Banks) 34,298
4,000 Bridgestone Corp. (Tire & Rubber) 94,535
5,000 Canon, Inc. (Capital Equipment) 113,485
3,000 Casio Computer Co. Ltd. (Electronics) 27,863
5,000 Chiba Bank Ltd. (Banks) 17,293
8,000 Chichibu Onoda Cement Corp.
(Building & Construction) 14,468
4,000 Citizen Watch Co. Ltd. (Jewelry) 33,001
7,000 Cosmo Oil Co. Ltd. (Oil/Gas) 12,609
800 Credit Saison Co. Ltd. (Retail) 15,852
4,000 Dai Nippon Printing Co. Ltd.
(Publishing/Printing) 63,840
4,000 Daiei Inc. (Retail) 9,367
2,000 Daiichi Pharmaceutical (Pharmaceuticals) 26,372
5,000 Daikin Industries Ltd. (Building Products) 32,208
9,000 Dainippon Ink & Chemicals, Inc.
(Chemicals) 27,561
3,000 Daiwa House Industry Co. Ltd. (Industrial) 26,480
8,000 Daiwa Securities Co. Ltd. (Financial Services) 34,413
6,000 Denso Corp. (Electrical Equipment) 99,434
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- ------ ----------- -----
<S><C>
22 East Japan Railway Co. (Transportation) $ 103,354
2,000 Ebara Corp. (Machinery) 17,783
2,000 Eisai Co. Ltd. (Pharmaceuticals) 27,236
1,400 Fanuc (Electronics) 48,420
16,000 Fuji Bank Ltd. (Banks) 71,362
3,000 Fuji Photo Film Co. (Photo Equipment &
Supplies) 104,406
5,000 Fujikura Ltd. (Electrical Equipment) 22,265
1,000 Fujita Kanko, Inc. (Hotel/Motel) 8,142
10,000 Fujitsu Ltd. (Computers) 105,199
9,000 Furukawa Electric Co. Ltd. (Metals) 30,284
3,000 Gunma Bank (Banks) 20,298
5,000 Hankyu Corp. (Railroads) 20,499
18,000 Hitachi Ltd. (Capital Equipment) 117,376
6,000 Hitachi Zosen Corp. (Iron & Steel) 9,684
5,000 Honda Motor Co. Ltd. (Autos & Trucks) 177,973
1,000 House Foods Industry (Foods) 12,833
1,000 Hoya Corp. (Glass Products) 28,317
2,000 INAX (Building & Construction) 6,874
14,000 Industrial Bank of Japan (Banks) 87,762
8,000 Itochu Corp. (Distribution/Wholesale) 17,293
2,000 Ito-Yokado Co. Ltd. (Retail) 94,102
10,000 Japan Airlines (Transportation) 27,813
18,000 Japan Energy Corp. (Oil/Gas) 19,065
4,000 Joyo Bank (Banks) 14,757
2,000 JUSCO Co. (Retail) 36,675
6,000 Kajima Corp. (Engineering & Construction) 16,428
2,000 Kandenko Co., Ltd. (Engineering &
Construction) 12,379
5,800 Kansai Electric Power Co., Inc. (Utilities) 100,717
3,000 Kao Corp. (Household Products) 46,259
8,000 Kawasaki Heavy Industries Ltd.
(Engineering & Construction) 16,140
19,000 Kawasaki Steel Corp. (Steel) 34,226
2,000 Kinden Corp. (Engineering & Construction) 24,210
10,000 Kinki Nippon Railway (Transportation) 46,835
6,000 Kirin Brewery Co. Ltd. (Brewery) 56,634
2,000 Kokuyo (Office Equipment & Computers) 33,865
6,000 Komatsu Ltd. (Machinery) 29,139
8,000 Kubota Corp. (Machinery) 18,446
11,000 Kumagai Gumi Co., Ltd.
(Engineering & Construction) 7,926
4,000 Kuraray Co. Ltd. (Textiles) 33,981
2,000 Kurita Water Industries (Capital
Equipment) 23,634
1,000 Kyocera Corp. (Capital Equipment) 48,853
3,000 Kyowa Hakko Kogyo (Chemicals &
Toxic Waste) 11,889
11,000 Marubeni Corp. (Distribution/Wholesale) 21,955
2,000 Marui Co. Ltd. (Retail) 29,830
12,000 Matsushita Electric Industrial Co. Ltd.
(Electronics) 192,816
5,000 Meiji Seika (Pharmaceuticals) 15,203
2,000 Minebea Co. Ltd. (Electronics) 19,901
13,000 Mitsubishi Chemical Corp. (Chemicals) 23,511
9,000 Mitsubishi Corp. (Distribution/Wholesale) 55,770
13,000 Mitsubishi Electric Corp. (Capital
Equipment) 29,881
8,000 Mitsubishi Estate Co. Ltd. (Financial
Services) 70,325
25,000 Mitsubishi Heavy Industries Ltd.
(Aerospace) 94,391
7,000 Mitsubishi Materials Corp. (Metals) 14,274
</TABLE>
See Notes to Financial Statements on Pages 21 and 22
13
<PAGE>
EAFE Equity Index Portfolio
Statement of Net Assets June 30, 1998 (unaudited)
<TABLE>
<CAPTION>
Shares Description Value
- ------ ----------- -----
<S><C>
7,000 Mitsubishi Trust & Banking Corp. (Banks) $ 59,466
5,000 Mitsui Fudosan Co. Ltd. (Real Estate) 39,486
7,000 Mitsui Marine & Fire Insurance Co. Ltd.
(Insurance) 35,155
6,000 Mitsui O.S.K. Lines Ltd. (Transportation) 10,203
7,000 Mitsui Trust & Banking Co. Ltd. (Banks) 16,493
9,000 Mitsui & Co. (Distribution/Wholesale) 48,636
8,000 Mitsukoshi Ltd. (Retail) 23,000
1,000 Murata Manufacturing Co., Ltd. (Electrical
Equipment) 32,424
2,000 Mycal Corp. (Foods) 12,681
9,000 NEC Corp. (Electronics) 83,849
8,000 Nichirei Corp. (Foods) 16,428
5,000 Nikon Corp. (Manufacturing) 35,955
6,000 Nippon Express Co. Ltd. (Trucking &
Leasing) 32,165
2,000 Nippon Meat Packers, Inc. (Food
Processing) 24,484
7,000 Nippon Oil Co. Ltd. (Oil/Gas) 22,596
6,000 Nippon Paper Industries Co. (Forest
Products) 24,988
41,000 Nippon Steel Corp. (Steel) 72,083
700 Nippon Telegraph & Telephone Corp.
(Telephone) 580,033
12,000 Nippon Yusen Kabushiki Kaisha
(Transportation) 40,638
4,000 Nishimatsu Construction (Engineering &
Construction) 19,599
15,000 Nissan Motor Co. Ltd. (Autos & Trucks) 47,231
2,000 Nisshinbo Industries, Inc. (Textiles) 7,998
2,000 Nissin Food Products Co. Ltd. (Food
Processing) 35,811
21,000 NKK Corp. (Steel) 20,125
11,000 Nomura Securities Co. Ltd. (Financial
Services) 128,004
6,000 NSK Ltd. (Machinery) 24,426
4,000 NTN Corp. (Metals & Mining) 12,566
10,000 Obayashi Corp. (Capital Equipment) 42,368
7,000 Odakyu Electric Railway (Transportation) 21,436
6,000 Oji Paper Co. Ltd. (Forest Products) 26,112
2,000 Olympus Optical Co. Ltd. (Medical
Supplies) 17,379
1,000 Omron Corp. (Electronics) 15,275
2,000 Onward Kashiyama Co. Ltd. (Textiles) 25,003
15,000 Osaka Gas Co. Ltd. (Utilities) 38,477
1,000 Pioneer Electronic Corp.
(Telecommunications) 19,094
20,000 Sakura Bank Ltd. (Banks) 51,879
2,000 Sankyo Co. Ltd. (Pharmaceuticals) 45,538
11,000 Sanyo Electric Co. Ltd. (Electronics) 33,289
4,000 Sapporo Breweries Ltd. (Brewery) 15,304
1,800 Sega Enterprises (Toys) 31,062
3,000 Sekisui Chemical Co. Ltd. (Chemicals) 15,347
4,000 Sekisui House Ltd. (Manufactured Housing) 30,983
7,000 Sharp Corp. (Electronics) 56,692
5,000 Shimizu Corp. (Engineering &
Construction) 14,411
2,000 Shin-Etsu Chemical Co. Ltd. (Chemicals) 34,586
4,000 Shiseido Co. Ltd. (Household Products) 45,423
5,000 Shizuoka Bank (Banks) 53,680
12,000 Showa Denko K.K. (Chemicals) 12,105
3,000 Snow Brand Milk Products (Foods) 9,079
2,200 Sony Corp. (Electronics) 189,430
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- ------ ----------- -----
<S><C>
17,000 Sumitomo Bank Ltd. (Banks) $ 165,364
10,000 Sumitomo Chemical Co. (Chemicals) 30,839
6,000 Sumitomo Corp. (Distribution/Wholesale) 28,836
4,000 Sumitomo Electric Industries (Electrical
Equipment) 40,437
2,000 Sumitomo Forestry Co. Ltd. (Forest
Products) 11,226
10,000 Sumitomo Marine & Fire (Insurance) 55,914
19,000 Sumitomo Metal Industries (Steel) 30,529
7,000 Sumitomo Metal Mining Co. (Metals &
Mining) 28,396
6,000 Taisei Corp. (Engineering & Construction) 12,970
2,000 Taisho Pharmaceutical Co. (Pharmaceuticals) 37,324
2,000 Takashimaya Co. Ltd. (Retail) 15,074
5,000 Takeda Chemical Industries (Pharmaceuticals) 132,939
16,000 Teijin Ltd. (Textiles) 48,420
7,000 Tobu Railway Co. Ltd. (Transportation) 18,511
300 Toho Co. (Entertainment) 31,560
3,000 Tohoku Electric Power (Utilities) 44,205
12,000 Tokai Bank (Banks) 66,059
9,000 Tokio Marine & Fire Insurance Co. (Insurance) 92,474
1,000 Tokyo Broadcasting System (Broadcasting) 11,168
2,000 Tokyo Dome Corp. (Entertainment) 10,808
8,800 Tokyo Electric Power Co. (Utilities) 172,468
14,000 Tokyo Gas Co. Ltd. (Utilities) 31,171
6,000 Tokyu Corp. (Transportation) 18,201
4,000 Toppan Printing Co. Ltd. (Publishing/Printing) 42,771
8,000 Toray Industries, Inc. (Chemicals) 41,503
1,000 Tostem Corp. (Building Materials) 12,955
5,000 Toto Ltd. (Industrial) 30,371
1,000 Toyo Seikan Kaisha (Packaging & Container) 12,249
8,000 Toyobo Ltd. (Textiles) 10,491
2,000 Toyoda Automatic Loom Works (Machinery) 35,306
21,000 Toyota Motor Corp. (Consumer Goods) 543,213
11,000 Ube Industries Ltd. (Chemicals) 14,267
2,000 Uny Co. Ltd. (Retail) 32,424
3,000 Wacoal Corp. (Textiles) 30,479
2,000 Yamaha Corp. (Diversified) 19,455
14,000 Yamaichi Securities Co. Ltd. (Financial
Services) 0
2,000 Yamanouchi Pharmaceutical Co. Ltd.
(Pharmaceuticals) 41,647
5,000 Yamato Transport Co. Ltd. (Trucking & Leasing) 56,022
2,000 Yamazaki Baking Co. Ltd. (Food Processing) 17,725
4,000 Yasuda Trust & Banking (Banks) 3,747
---------------
8,010,570
---------------
MALAYSIA - 0.49%
2,000 AMMB Holdings BHD (Banks) 1,051
4,600 Commerce Asset Holdings BHD (Banks) 1,719
9,000 DCB Holdings BHD (Banks) 3,667
1,000 Edaran Otomobil Nasional BHD
(Consumer Goods) 964
3,000 Ekran BHD (Holding Companies) 326
9,000 Golden Hope Plantations BHD
(Agriculture) 8,246
8,000 Hong Leong Properties BHD (Real Estate) 1,138
3,000 Hume Industries (Malaysia) BHD
(Building Materials) 2,257
13,000 IOI Corp. BHD (Diversified) 6,488
3,000 Jaya Tiasa Holdings BHD (Materials) 3,725
4,000 Kuala Lumpur Kepong BHD (Agriculture) 6,462
3,000 Land & General BHD (Holding Companies) 340
15,000 Magnum Corp. BHD (Entertainment) 5,570
</TABLE>
See Notes to Financial Statements on Pages 21 and 22
14
<PAGE>
EAFE Equity Index Portfolio
Statement of Net Assets June 30, 1998 (unaudited)
<TABLE>
<CAPTION>
Shares Description Value
- ------ ----------- -----
<S><C>
13,600 Malayan Banking BHD (Banks) $ 13,707
6,000 Malaysia International Shipping BHD
(Transportation) 8,752
10,000 Malaysian Airline System BHD
(Transportation) 3,303
8,000 Malaysian Resources Corp. BHD
(Real Estate) 2,025
7,000 MBF Capital BHD (Financial Services) 1,173
13,000 Multi-Purpose Holdings BHD (Diversified) 3,228
3,000 Nestle (Malaysia) BHD (Food Processing) 13,599
3,200 Oriental Holdings BHD (Autos & Trucks) 5,324
3,000 Perusahaan Otomobil Nasional BHD
(Autos & Trucks) 1,917
18,666 Public Bank BHD (Banks) 5,626
4,000 Rashid Hussain BHD (Financial Services) 1,967
6,000 Resorts World BHD (Entertainment) 6,597
2,000 Rothmans of Pall Mall (Malaysia) BHD
(Tobacco) 13,864
13,000 Sime Darby BHD (Holding Companies) 8,964
10,000 Technology Resources Industries BHD
(Telecommunications) 6,872
17,500 Telekom Malaysia BHD (Telecommunications) 29,536
17,000 Tenaga Nasional BHD (Utilities) 20,494
6,000 Time Engineering BHD (Diversified) 825
3,000 UMW Holdings BHD (Autos & Trucks) 1,345
7,000 United Engineers Ltd. (Engineering &
Construction) 2,852
5,250 YTL Corp. BHD (Engineering &
Construction) 3,949
---------------
197,872
---------------
NETHERLANDS - 5.68%
8,457 ABN Amro Holding NV (Banks) 197,893
394 Akzo Nobel (Chemicals) 87,586
3,682 Elsevier NV (Publishing/Printing) 55,568
1,731 Heineken NV (Brewery) 67,991
5,431 ING Groep NV (Financial Services) 355,623
769 KLM Royal Dutch Air Lines NV
(Transportation) 31,226
3,207 Koninklijke Ahold NV (Food) 102,948
2,653 Koninklijke KPN NV (Telephone) 102,119
312 Oce NV (Office Automation & Equipment) 13,282
2,087 Philips Electronics NV (Electronics) 175,439
12,023 Royal Dutch Petroleum Company (Oil) 666,697
2,653 TNT Post Group NV (Transport-Services) (a) 67,818
3,721 Unilever NV (Diversified Manufacturing) 295,236
494 Wolters Kluwer NV-CVA
(Publishing/Printing) 67,803
---------------
2,287,229
---------------
NEW ZEALAND - 0.21%
20,319 Brierley Investments Ltd. (Investment
Companies) 10,126
10,803 Carter Holt Harvey Ltd. (Forest Products). 9,421
2,032 Fletcher Challenge Building (Building
Materials) 2,532
1,979 Fletcher Challenge Energy (Oil/Gas) 4,726
317 Fletcher Challenge Forests (Forestry) 178
3,832 Fletcher Challenge Paper (Forest
Products) 4,257
5,349 Lion Nathan Ltd. (Brewery) 11,884
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- ------ ----------- -----
<S><C>
9,676 Telecom Corp. of New Zealand Ltd.
(Telecommunications) $ 39,880
---------------
83,004
---------------
NORWAY - 0.55%
300 Aker RGI ASA-A (Oil Equipment & Services) 4,711
180 Aker RGI ASA-B (Oil Equipment & Services) 2,569
500 Bergesen d.y. ASA-A (Transportation) 9,513
3,250 Christiania Bank Og Kreditkasse
(Financial Services) 13,595
4,300 Den Norske Bank ASA (Commercial
Banks-Europe) 22,527
600 Hafslund ASA-A (Utilities) 3,245
200 Kvaerner ASA (Engineering) 6,777
1,600 NCL Holdings ASA (Cruise Lines) 7,903
1,500 Norsk Hydro ASA (Energy) 65,973
200 Norske Skogindustrier ASA-A (Paper) 6,177
1,000 Orkla ASA-A (Food-Misc/Diversified) 23,262
700 Petroleum Geo-Services ASA (Oil/Gas) (a) 21,802
500 Schibsted ASA (Publishing-Newspapers) 8,406
1,650 Storebrand ASA (Insurance) 14,622
300 Tomra Systems ASA (Recycling) 8,992
---------------
220,074
---------------
PORTUGAL - 0.66%
1,197 Banco Comercial Portugues, SA (Banks) 33,988
795 Banco Espirito Santo e Comercial de
Lisboa, SA (Commercial Banks) 23,873
400 Banco Totta & Acores SA (Commercial
Banks-Europe) 12,124
400 BPI-SGPS, SA (Finance) 12,908
400 Brisa-Auto Estradas de Portugal SA
(Public Through Fares) 17,107
600 Cimpor-Cimentos de Portugal SGPS SA
(Building Products) 21,081
2,000 Electricidade de Portugal SA (Electric) 46,492
500 Jeronimo Martins, SGPS, SA (Retail) 24,020
1,100 Portugal Telecom SA (Telephone) 58,300
300 Sonae Investimentos-Sociedade Gestora de
Participacoes Sociais, SA (Retail) 16,385
---------------
266,278
---------------
SINGAPORE - 0.51%
4,000 City Developments Ltd. (Real Estate) 11,175
2,000 Cycle & Carriage Ltd. (Retail) 4,877
7,000 DBS Land Ltd. (Real Estate) 5,801
3,900 Development Bank of Singapore Ltd.
(Banks) 21,583
3,000 Fraser & Neave Ltd. (Beverages) 8,062
6,750 Keppel Corp. Ltd. (Transportation) 10,148
6,702 Overseas-Chinese Banking Corp. Ltd.
(Banks) 22,809
4,000 Parkway Holdings Ltd. (Diversified) 6,937
6,000 Singapore Airlines Ltd. (Transportation) 28,056
2,552 Singapore Press Holdings Ltd.
(Publishing-Newspapers) 17,069
7,000 Singapore Technologies Industrial Corp.
(Holding Companies) 5,179
34,000 Singapore Telecommunications, Ltd.
(Utilities) 48,297
12,000 United Industrial Corp. Ltd. (Diversified) 3,445
4,000 United Overseas Bank Ltd. (Banks) 12,430
---------------
205,868
---------------
</TABLE>
See Notes to Financial Statements on Pages 21 and 22
15
<PAGE>
EAFE Equity Index Portfolio
Statement of Net Assets June 30, 1998 (unaudited)
<TABLE>
<CAPTION>
Shares Description Value
- ------ ----------- -----
<S><C>
SPAIN - 3.16%
98 Acerinox SA (Steel) $ 13,072
2,692 Autopistas Concesionaria Espanola SA
(Engineering & Construction) 41,766
3,736 Banco Bilbao Vizcaya SA (Banks) 192,059
2,398 Banco Central Hispanoamericano
(Commercial Banks) 75,500
5,292 Banco Santander SA (Banks) 135,679
2,888 Corporacion Bancaria de Espana SA
(Commercial Banks) 64,895
860 Corporacion Mapfre (Insurance) 30,223
5,744 Endesa SA (Electric) 125,881
1,072 Gas Natural SDG, SA (Gas-Distribution) 77,587
4,979 Iberdrola SA (Utilities) 80,983
1,657 Repsol SA (Oil/Gas) 91,460
5 Sociedade General de Aguas de Barcelona
SA (Beverages) (a) 268
470 Sociedade General de Aguas de
Barcelona SA (Diversified) 26,249
1,485 Tabacalera SA-A (Tobacco) 30,459
5,660 Telefonica de Espana
(Telecommunications) 262,129
2,023 Union Electrica Fenosa SA (Utilities) 26,099
---------------
1,274,309
---------------
SWEDEN - 3.28%
4,000 ABB AB-A (Machinery) 56,678
1,400 ABB AB-B (Machinery) 19,486
800 AGA AB-A (Chemicals) 12,539
400 AGA AB-B (Chemicals) 6,119
7,766 Astra AB-A (Drugs) 158,730
1,866 Astra AB-B (Drugs) 37,203
800 Atlas Copco AB-A (Machinery) 21,818
300 Atlas Copco AB-B (Machinery-Construction
& Mining) 8,182
2,500 Electrolux AB-Ser. B (Appliances) 42,947
130 Fastighets AB Balder (Real Estate
Investment) (a) 1,296
2,200 ForeningsSparbanken AB (Commercial
Banks-Europe) 66,208
1,400 Hennes & Mauritz AB-B (Retail) 89,355
110 Mandamus Fastigheter AB (Real Estate
Investment) (a) 690
600 NetCom Systems AB-B (Telecom Services) (a) 22,985
300 OM Gruppen AB (Finance) 6,245
1,300 Sandvik AB-A (Machine Tools & Related
Products) 35,944
300 Sandvik AB-B (Machine Tools & Related
Products) 8,238
500 Securitas AB-B (Commercial Services) 24,483
3,000 Skandia Forsakrings AB (Multi-line Insurance) 42,885
3,500 Skandinaviska Enskilda Banken-A (Banks) 59,907
700 Skanska AB-B (Engineering) 31,424
400 SKF AB-B (Metal Processors & Fabricators) 7,273
1,500 Stora Kopparbergs Bergslags Aktiebolag-A
(Forest Products) 23,605
1,200 Svenska Cellulosa AB-B (Forest Products) 31,072
1,300 Svenska Handelsbanken-A (Banks) 60,314
600 Svenskt Stal AB-Ser. A (Steel-Producers) 9,254
1,900 Swedish Match AB (Tobacco) 6,314
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- ------ ----------- -----
<S><C>
11,400 Telefonaktiebolaget LM Ericsson-B
(Telecommunications) $ 333,070
400 Trelleborg AB-B (Diversified Manufacturing Op) 5,267
800 Volvo AB-A (Autos & Trucks) 23,273
1,900 Volvo AB-B (Autos & Trucks) 56,584
300 WM-Data AB-B (Computer Services) 10,420
---------------
1,319,808
---------------
SWITZERLAND - 7.65%
55 ABB AG-Bearer (Engineering) 81,224
100 Adecco SA (Commercial Services) 45,095
25 Alusuisse-Lonza Holding AG
(Holding Companies) 31,712
1,470 Credit Suisse Group (Banks) 327,087
40 Holderbank Financiere Glarus AG-B
(Building Materials) 50,897
215 Nestle SA (Foods) 460,107
341 Novartis AG (Medical) 567,433
37 Novartis AG-Bearer (Medical) 61,618
9 Roche Holding AG-Bearer (Pharmaceuticals) 133,356
39 Roche Holding AG-Genusschine
(Pharmaceuticals) 382,981
100 Sairgroup (Airlines) 32,898
10 Schindler Holding AG (Machinery) 15,493
1,213 Schweizerische Bankverein (Banks) 451,077
80 Schweizerische Rueckversicherungs-
Gesellschaft (Insurance) 202,321
15 SGS Societe Generale de Surveillance
Holding SA (Commercial Services) 25,425
100 Societe Suisse pour la Microelectronique
et l'Horlogerie AG (Jewelry) 16,680
25 Societe Suisse pour la Microelectronique
et l'Horlogerie AG-Bearer (Jewelry) 19,317
15 Sulzer AG (Manufacturing) 11,837
255 Zurich VersicherungsGesellschaft
(Insurance) 162,737
---------------
3,079,295
---------------
UNITED KINGDOM - 21.36%
8,050 Abbey National Plc. (Banks) 143,448
2,891 Anglian Water Plc. (Utilities) 40,687
3,286 Arjo Wiggins Appleton Plc. (Paper) 11,130
6,034 Associated British Foods Plc.
(Food Processing) 56,782
4,120 BAA Plc. (Airport Development) 44,579
8,436 Barclays Plc. (Banks) 243,646
4,381 Bass Plc. (Brewery) 81,869
4,344 BBA Group Plc. (Auto Related) 32,761
21,468 BG Plc. (Gas-Distribution) 124,293
2,793 BICC Group Plc. (Wire & Cable) 6,105
4,385 Blue Circle Industries Plc.
(Building Materials) 24,656
2,690 BOC Group Plc. (Chemicals) 36,714
5,026 Boots Co. Plc. (Retail) 83,607
5,493 BPB Plc. (Paper) 33,636
9,528 British Aerospace Plc. (Aerospace/Defense) 73,128
5,945 British Airways Plc. (Transportation) 64,029
2,953 British Land Co. Plc. (Real Estate) 30,400
31,839 British Petroleum Co. Plc. (Oil/Gas) 463,501
9,500 British Sky Broadcasting Group Plc.
(Broadcasting) 68,436
14,109 British Steel Plc. (Steel) 31,192
See Notes to Financial Statements on Pages 21 and 22
16
<PAGE>
EAFE Equity Index Portfolio
Statement of Net Assets June 30, 1998 (unaudited)
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- ------ ----------- -----
<S><C>
35,121 British Telecommunications Plc.
(Telecommunications) $ 432,170
18,354 BTR Plc. (Diversified Operations) 52,137
2,079 Burmah Castrol Plc. (Oil/Gas) 37,220
17,251 B.A.T. Industries Plc. (Tobacco) 172,268
12,512 Cable & Wireless Plc. (Telecommunications) 152,292
5,530 Cadbury Schweppes Plc. (Beverages) 85,625
2,073 Caradon Plc. (Holding Companies) 6,433
3,997 Carlton Communications Plc. (Broadcasting). 35,646
31,610 Centrica Plc. (Gas) (a) 53,532
6,709 Commercial Union Plc. (Insurance) 125,260
2,730 Compass Group Plc. (Food) 31,430
19,254 Diageo Plc. (Beverages) 229,214
2,789 Electrocomponents Plc. (Electronics) 22,499
4,339 EMI Group Plc. (Leisure & Recreation
Products) 38,044
3,338 FKI Plc. (Manufacturing) 9,719
14,964 General Electric Co. Plc. (Electronics) 128,957
4,184 GKN Plc. (Auto/Truck Parts) 52,986
19,583 Glaxo Wellcome Plc. (Pharmaceuticals) 589,443
6,030 Granada Group Plc. (Leisure Time) 111,074
5,555 Great Universal Stores Plc. (Retail) 73,268
5,021 Guardian Royal Exchange Plc. (Property/
Casualty Insurance) 29,761
13,096 Halifax Plc. (Banks) 170,326
6,318 Hanson Plc. (Holding Companies) 38,345
5,469 HSBC Holdings Plc. (75P) (Banks) 138,792
10,097 HSBC Holdings Plc. ($HK10) (Banks) 245,290
4,537 Imperial Chemical Industries Plc.
(Chemicals) 73,126
5,162 Kingfisher Plc. (Retail) 83,630
6,487 Ladbroke Group Plc. (Leisure Time) 35,799
4,062 Land Securities Plc. (Real Estate) 62,861
7,401 Legal & General Group Plc. (Insurance) 78,907
29,808 Lloyds TSB Group Plc. (Banks) 416,278
8,505 LucasVarity Plc. (Auto Related) 34,022
15,721 Marks & Spencer Plc. (Retail) 143,481
5,232 MEPC Plc. (Property & Development) 46,180
8,596 National Grid Group Plc. (Electric-
Transmission) 57,979
8,431 National Power Plc. (Utilities) 79,339
3,386 Pearson Plc. (Publishing) 62,145
3,409 Peninsular and Oriental Steam
Navigation Company (Transportation) 49,172
5,737 Pilkington Plc. (Building Materials) 10,625
10,625 Prudential Corp. Plc. (Insurance) 140,050
2,986 Railtrack Group Plc. (Transportation) 73,387
4,961 Rank Group Plc. (Entertainment) 27,005
6,776 Reed International Plc. (Publishing) 61,221
17,492 Rentokil Initial Plc. (Diversified Operations) 125,935
8,083 Reuters Group Plc. (Multimedia) 92,517
4,236 Rexam Plc. (Packaging & Container) 18,553
1,863 RMC Group Plc. (Building Materials) 32,359
8,753 Rolls-Royce Plc. (Aerospace) 36,182
2,748 Royal Bank of Scotland Group Plc. (Banks) 47,639
8,712 Royal & Sun Alliance Insurance Group
Plc. (Insurance) 88,887
6,352 RTZ Corp. Plc. (Metals & Mining) 71,592
6,035 Safeway Plc. (Retail) 39,673
12,423 Sainsbury (J.) Plc. (Retail) 110,272
2,249 Schroders Plc. (Banks) 57,737
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- ------ ----------- -----
<S><C>
6,848 Scottish Power Plc. (Utilities) $ 60,443
3,645 Scottish & Newcastle Plc. (Brewery) 51,786
2,366 Siebe Plc. (Diversified Manufacturing Op) 47,333
30,388 SmithKline Beecham Plc. (Medical-Drugs) 369,874
2,841 Smiths Industries Plc. (Aerospace) 39,723
886 Stagecoach Holdings Plc. (Transport
Services) 19,100
3,272 Tate & Lyle Plc. (Foods) 25,973
7,494 Taylor Woodrow Plc. (Property &
Development) 25,133
12,044 Tesco Plc. (Retail) 117,458
2,143 Thames Water Plc. (Utilities) 39,117
2,362 Thorn Plc. (Rental Auto/Equipment) 9,064
4,356 TI Group Plc. (Property & Development) 33,469
18,080 Unilever Plc. (Consumer Products) 194,121
3,122 United Utilities Plc. (Utilities) 45,553
16,987 Vodafone Group Plc. (Telecommuncations) 215,689
7,789 Williams Holdings Plc. (Diversified) 50,359
3,569 Wolseley Plc. (Building Materials) 21,155
5,230 Zeneca Group Plc. (Pharmaceuticals) 224,701
---------------
8,602,934
---------------
TOTAL COMMON STOCK (Cost $31,348,445) 38,737,107
---------------
PREFERRED STOCK CONVERTIBLE 0.17%
AUSTRALIA - 0.16%
9,021 News Corporation Ltd.
(Consumer Services) 63,912
---------------
AUSTRIA - 0.01%
70 Bank Austria AG (Banks) 5,683
---------------
TOTAL PREFERRED STOCK CONVERTIBLE (Cost $37,439) 69,595
---------------
OTHER SECURITIES 0.01%
AUSTRIA - 0.00%
70 Bank Austria AG Preferred Rights (Banks) (a) 0
460 Bank Austria AG Rights (Banks) 0
---------------
0
---------------
BELGIUM - 0.00%
100 Generale de Banque SA Warrants (Banks) (a) 35
---------------
GERMANY - 0.00%
1,327 Metro AG Rights (Retail) (a) 51
---------------
HONG KONG - 0.00%
1,098 Hong Kong and China Gas Warrants
(Utilities) (a) 75
1,000 Hong Kong & Shanghai Hotel Warrants
(Hotel/Motel) (a) 1
1,100 Hysan Development Company Warrants
(Real Estate) (a) 9
700 Wharf Holdings Ltd. Warrants (Diversified) (a) 0
---------------
85
---------------
</TABLE>
See Notes to Financial Statements on Pages 21 and 22
17
<PAGE>
EAFE Equity Index Portfolio
Statement of Net Assets June 30, 1998 (unaudited)
<TABLE>
<CAPTION>
Shares Description Value
- ------ ----------- -----
<S><C>
ITALY - 0.01%
2,302 Banca Intesa SPA Warrants (Commercial
Banks-Europe) (a) $ 2,811
---------------
SWEDEN - 0.00%
600 Svenskt Stal AB-Ser. A (Steel Producers) (a) 436
---------------
SWITZERLAND - 0.00%
2 Sulzer Medica AG (Medical Products) 525
---------------
TOTAL OTHER SECURITIES (Cost $462) 3,943
---------------
SHORT TERM INSTRUMENTS 2.88%
U.S.A. - 2.88%
1,064,968 BT Institutional Cash Management Fund,
5.49%, 7/01/98 1,064,968
95,000 U.S. Treasury Bill, 5.07%, 8/20/98 (b) 94,344
---------------
TOTAL SHORT TERM INSTRUMENTS (Cost $1,159,311) $ 1,159,311
---------------
TOTAL INVESTMENTS (Cost $32,545,657) 99.25% $ 39,969,956
OTHER ASSETS IN EXCESS OF LIABILITIE0 0.75% 302,693
------- ---------------
NET ASSETS 100.00% $ 40,272,649
======= ===============
</TABLE>
- ----------
(a) Non-income producing security
(b) Held as collateral for Futures Contracts
Industry Diversification (as a percentage of Total Investments):
% of
Industry Market Value
- -------- ------------
Banks 15.06%
Capital Equipment 2.57
Chemicals 2.84
Consumer Goods &Services 5.26
Construction 2.20
Electronics 5.11
Financial Services 3.20
Food &Beverage 5.44
Insurance 6.22
Oil &Gas 6.55
Other* 13.79
Pharmaceuticals 8.15
Retail 4.31
Telecommunications 10.63
Transportation 5.77
Utilities 2.90
-------
100.00%
=======
- ----------
* No one industry represents more than 2% of Portfolio holdings.
See Notes to Financial Statements on Pages 21 and 22
18
<PAGE>
EAFE Equity Index Portfolio
Statement of Operations For the six month period ended June 30, 1998 (unaudited)
<TABLE>
<S><C>
Investment Income
Dividends (net of foreign withholding tax of $57,113) $ 495,141
Interest 30,996
----------
Total Investment Income 526,137
----------
Expenses
Advisory Fees 49,747
Administration and Services Fees 19,899
Professional Fees 11,231
Trustees Fees 1,019
Amortization of Deferred Organizational Expenses 891
Transfer Tax and Miscellaneous 49
----------
Total Expenses 82,836
Less: Expenses Absorbed by Bankers Trust (13,229)
----------
Net Expenses 69,607
----------
Net Investment Income 456,530
----------
Realized and Unrealized Gain on Investments, Futures, Foreign Currencies and
Forward Foreign Currency Contracts
Net Realized Gain from Investment Transactions 510,062
Net Realized Gain from Futures, Foreign Currencies and Forward Foreign
Currency Transactions 195,592
Net Change in Unrealized Appreciation/Depreciation on Investments 4,904,129
Net Change in Unrealized Appreciation/Depreciation on Futures, Foreign
Currencies and Forward Foreign Currency Contracts 45,445
----------
Net Realized and Unrealized Gain on Investments, Futures, Foreign Currencies and
Forward Foreign Currency Contracts 5,665,228
----------
Net Increase in Net Assets from Operations $6,111,758
==========
</TABLE>
See Notes to Financial Statements on Pages 21 and 22
19
<PAGE>
EAFE Equity Index Portfolio
Statements of Changes in Net Assets
<TABLE>
<CAPTION>
For the For the
six months ended year ended
June 30, 1998(1) December 31, 1997
---------------- -----------------
<S><C>
Increase (Decrease) in Net Assets from:
Operations
Net Investment Income $ 456,530 $ 792,942
Net Realized Gain from Investments, Futures, Foreign Currencies and
Forward Foreign Currency Contracts 705,654 1,682,611
Net Unrealized Appreciation/Depreciation on Investments, Futures, Foreign
Currencies and Forward Foreign Currency Contracts 4,949,574 934,774
----------- ------------
Net Increase in Net Assets from Operations 6,111,758 3,410,327
----------- ------------
Capital Transactions
Proceeds from Capital Invested 4,496,467 22,906,366
Value of Capital Withdrawn (7,067,478) (29,976,630)
----------- ------------
Net Decrease in Net Assets from Capital Transactions (2,571,011) (7,070,264)
----------- ------------
Total Increase (Decrease) in Net Assets 3,540,747 (3,659,937)
Net Assets
Beginning of Period 36,731,902 40,391,839
----------- ------------
End of Period $40,272,649 $ 36,731,902
=========== ============
</TABLE>
- ----------
(1) Unaudited
Financial Highlights
Contained below are selected supplemental data and ratios to average net assets
for the periods indicated for the EAFE Equity Index Portfolio.
<TABLE>
<CAPTION>
For the period
For the January 24, 1996
six month For the (Commencement of
period ended year ended Operations) to
June 30, 1998(1) December 31, 1997 December 31, 1996
---------------- -----------------
<S><C>
Supplemental Data and Ratios:
Net Assets, End of Period (000s omitted) $40,273 $36,732 $40,392
Ratios to Average Net Assets:
Net Investment Income 2.29%(2) 1.74% 1.69%(2)
Expenses 0.35%(2) 0.35% 0.35%(2)
Decrease Reflected in Above Expense Ratio Due
to Absorption of Expenses by Bankers Trust 0.07%(2) 0.06% 0.11%(2)
Portfolio Turnover Rate 7% 44% 4%
</TABLE>
- ----------
(1) Unaudited
(2) Annualized.
See Notes to Financial Statements on Pages 21 and 22
20
<PAGE>
EAFE Equity Index Portfolio
Notes to Financial Statements (unaudited)
Note 1--Organization and Significant Accounting Policies
A. Organization
The EAFE Equity Index Portfolio (the "Portfolio") is registered under the
Investment Company Act of 1940 (the "Act"), as amended, as an open-end
management investment company. The Portfolio was organized on January 24, 1996,
as an unincorporated trust under the laws of New York, and commenced operations
on January 24, 1996. The Declaration of Trust permits the Board of Trustees (the
"Trustees") to issue beneficial interests in the Portfolio.
B. Security Valuation
The Portfolio's investments listed or traded on National Stock Exchanges or
other domestic or foreign exchanges are valued based on the closing price of the
security on that exchange prior to the time when the Portfolio's assets are
valued. Short-term obligations with remaining maturities of 60 days or less are
valued at amortized cost. Other short-term debt securities are valued on a
mark-to-market basis until such time as they reach a remaining maturity of 60
days, whereupon they will be valued at amortized cost using their value on the
61st day. All other securities and other assets are valued at their fair value
as determined in good faith under procedures established by and under the
general supervision of the Trustees.
C. Security Transactions and Interest Income
Security transactions are accounted for on a trade date basis. Dividend income,
less foreign taxes withheld, if any, is recorded on the ex-dividend date or upon
receipt of ex-dividend notification in the case of certain foreign securities.
Interest income is recorded on the accrual basis and includes amortization of
premium and discount on investments. Realized gains and losses from securities
transactions are recorded on the identified cost basis.
All of the net investment income and realized and unrealized gains and losses
from the security and foreign currency transactions of the Portfolio are
allocated pro rata among the investors in the Portfolio at the time of such
determination.
D. Foreign Currency Transactions
The books and records of the Portfolio are maintained in U.S. dollars. All
assets and liabilities initially expressed in foreign currencies are converted
to U.S. dollars at prevailing exchange rates. Purchases and sales of investment
securities, dividend and interest income, and certain expenses are translated at
the rates of exchange prevailing on the respective dates of such transactions.
E. Forward Foreign Currency Contracts
The Portfolio may enter into forward foreign currency contracts for the purpose
of settling specific purchases or sales of securities denominated in a foreign
currency or with respect to the Portfolio's investments. The net U.S. dollar
value of foreign currency underlying all contractual commitments held by the
Portfolio and the resulting unrealized appreciation or depreciation are
determined using prevailing exchange rates. With respect to forward foreign
currency contracts, losses in excess of amounts recognized in the Statement of
Assets and Liabilities may arise due to changes in the value of the foreign
currency or if the counterparty does not perform under the contract.
F. Option Contracts
The Portfolio may enter into option contracts. Upon the purchase of a put option
or a call option by a Portfolio, the premium paid is recorded as an investment,
the value of which is marked-to-market daily to reflect the current market
value. When a purchased option expires, the Portfolio will realize a loss in the
amount of the cost of the option. When the Portfolio enters into a closing sale
transaction, the Portfolio will realize a gain or loss depending on whether the
sale proceeds from the closing sale transaction are greater or less than the
cost of the option. When the Portfolio exercises a put option, it realizes a
gain or loss from the sale of the underlying security and the proceeds from such
sale will be decreased by the premium originally paid. When the Portfolio
exercises a call option, the cost of the security, which the Portfolio purchases
upon exercise, will be increased by the premium originally paid.
G. Futures Contracts
The Portfolio may enter into financial futures contracts, which are contracts to
buy a standard quantity of securities at a specified price on a future date. The
Portfolio is required to deposit either in cash or securities an amount equal to
a certain percentage of the contract amount. Subsequent payments are made or
received by the Portfolio each day, dependent on the daily fluctuations in the
value of the underlying security, and are recorded for financial statement
purposes as unrealized gains or losses by the Portfolio. The Portfolio's
investment in the financial futures contracts is designed to closely replicate
the benchmark index used by the Portfolio.
Futures contracts are valued at the settlement price established each day by the
board of trade or exchange on which they are traded.
H. Organizational Expenses
Costs incurred by the Portfolio in connection with its organization and initial
registration are being amortized evenly over a five-year period.
I. Federal Income Taxes
It is the Portfolio's policy to comply with the requirements of the Internal
Revenue Code. Therefore, no federal income tax provision is required.
J. Other
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions that
affect the reported amounts in the financial statements. Actual results could
differ from those estimates.
Note 2--Fees and Transactions with Affiliates
The Portfolio has entered into an Administration and Services Agreement with
Bankers Trust Company ("Bankers Trust"). 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 .10% of the average daily net assets. At June 30, 1998,
amounts owed under the Administration and Services Agreement amount to $2,621,
net of waived expenses of $625.
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 .25% of the average daily
net assets. At June 30, 1998, amounts owed under the Advisory Agreement amounted
to $6,551, net of waived expenses of $1,561.
21
<PAGE>
EAFE Equity Index Portfolio
Notes to Financial Statements
Bankers Trust has voluntarily undertaken to waive its fees and reimburse
expenses of the Portfolio, to the extent necessary, to limit all expenses to
.35% of the average daily net assets of the Portfolio. For the six-month period
ended June 30, 1998, expenses of the Portfolio have been reduced by $13,229.
The EAFE Equity Index Portfolio may invest in the BT Institutional Cash
Management Fund (the "Fund"), an open-end management investment company managed
by Bankers Trust Company (the "Company"). The Fund is offered as a cash
management option to the equity fund and other accounts managed by the Company.
Distributions from the Fund to the Portfolio as of June 30, 1998 amounted to
$24,770 and are included in interest income.
The EAFE Equity Index Portfolio is a participant with other affiliated entities
in a revolving credit facility ("the revolver") and a discretionary demand line
of credit facility ("collectively the credit facilities") in the amounts of
$50,000,000 and $100,000,000, respectively. A commitment fee of .07% per annum
on the average daily amount of the available commitment is payable on a
quarterly basis and apportioned equally among all participants. Amounts borrowed
under the credit facilities will bear interest at a rate per annum equal to the
Federal Funds Rate plus .45%. No amounts were drawn down or outstanding under
the credit facilities as of and for the period ended June 30, 1998.
The Trust entered into a Distribution Agreement with Edgewood Services, Inc.
("Edgewood"). 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.
Effective August 11, 1998, ICC Distributors, Inc. will replace Edgewood as
distributor of the Trust.
For the six-month period ended June 30, 1998, the Portfolio paid brokerage
commissions of $16,616.
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-month period ended June 30, 1998 were
$2,830,548 and $5,720,789, respectively. For federal income tax purposes, the
tax basis of investments held at June 30, 1998 was $32,909,311. The aggregate
gross unrealized appreciation was $12,828,951, and the aggregate gross
unrealized depreciation for all investments was $5,768,306 as of June 30, 1998.
Amounts owed for securities purchased at June 30, 1998 amounted to $23,854.
Note 4--Futures Contracts
A summary of obligations under these financial instruments at June 30, 1998 is
as follows:
<TABLE>
<CAPTION>
Unrealized
Appreciation
Type of Future Expiration Contracts Position (Depreciation)
- -------------- ---------- --------- -------- --------------
<S><C>
Nikkei 300 Index Futures September 1998 17 Long $ (44)
CAC 40 Future September 1998 1 Long 41
FTSE 100 Index Future September 1998 4 Long 9,041
IBEX Index Future July 1998 2 Long 6,114
DAX Index Future September 1998 1 Long 21,680
Aust All Ords Index Future September 1998 1 Long 525
Hang Seng Index Future July 1998 1 Long (400)
</TABLE>
At June 30, 1998, the Portfolio segregated approximately $94,000 of investment
securities to cover margin requirements on open futures contracts.
Note 5--Open Forward Foreign Currency Contracts As of June 30, 1998, the EAFE
Equity Index Portfolio had the following open forward foreign currency contracts
outstanding:
<TABLE>
<CAPTION>
Net Unrealized
Contract Appreciation
Contracts to Deliver In Exchange For Settlement Date Value (US$) (Depreciation) (US$)
- -------------------------------------------------------------------------------------------------------------------
Purchases
- -------------------------------------------------------------------------------------------------------------------
<S><C>
German Deutschemark 800,000 U.S. Dollars $ 443,749 7/17/98 $ 442,992 $ (757)
British Pound 180,000 U.S. Dollars 292,968 7/17/98 299,970 7,002
Japanese Yen 29,000,000 U.S. Dollars 203,201 7/17/98 209,341 6,140
- -------------------------------------------------------------------------------------------------------------------
Total Net Unrealized Appreciation on Purchases $ 12,385
- -------------------------------------------------------------------------------------------------------------------
</TABLE>
Note 6--Net Assets
At June 30, 1998, net assets consisted of:
<TABLE>
<S><C>
Paid-in Capital $32,802,414
Net Unrealized Appreciation on Investments, Futures, Foreign Currencies and
Forward Foreign Currency Contracts 7,470,235
-----------
$40,272,649
===========
</TABLE>
22
<PAGE>
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BT ADVISOR FUNDS
EAFE EQUITY INDEX FUND
Investment Advisor and Administrator of the Portfolio
BANKERS TRUST COMPANY
130 Liberty Street
New York, NY 10006
Distributor ICC
DISTRIBUTORS, INC.
P.O. Box 7558
Portland, ME 04112-9892
Custodian and Transfer Agent
BANKERS TRUST COMPANY
130 Liberty Street
New York, NY 10006
Independent Accountants
PRICEWATERHOUSECOOPERS LLP
250 West Pratt Street
Baltimore, MD 21201
Counsel
WILLKIE FARR & GALLAGHER
787 7th Avenue
New York, NY 10019
For information on how to invest, shareholder account information
and current price and yield information, please contact your
relationship manager or the BT Mutual Fund Service Center at
(800) 730-1313. This report must be preceded or accompanied by a
current prospectus for the Fund.
EAFE Equity Index Fund - Institutional Class Cusip #05576L874
EAFE Equity Index Fund - Advisor Class Cusip #05576L841
STA514100 (6/98)
