o BT ADVISOR FUNDS o
SMALL CAP INDEX FUND
SEMI-ANNUAL REPORT
JUNE o 1998
<PAGE>
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Small Cap Index Fund
Table of Contents
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Letter to Shareholders 3
Small Cap Index Fund
Statement of Assets and Liabilities 6
Statement of Operations 7
Statements of Changes in Net Assets 7
Financial Highlights 8
Notes to Financial Statements 9
Small Cap Index Portfolio
Schedule of Portfolio Investments 11
Statement of Assets and Liabilities 30
Statement of Operations 30
Statements of Changes in Net Assets 31
Financial Highlights 31
Notes to Financial Statements 32
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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.
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2
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Small Cap Index Fund
Letter to Shareholders
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We are pleased to present you with this semi-annual report for the BT Advisor
Small Cap Index Fund (the "Fund"), providing a review of the markets, the
Portfolio, and our outlook as well as a complete financial summary of the Fund's
operations and a listing of the Portfolio's holdings.
MARKET ACTIVITY
As the U.S. economic expansion embarked on its seventh straight year, most of
the major equity market indices posted positive gains for the first half of
1998, although small capitalization stocks lagged their larger cap brethren.
With strong economic conditions, little sign of inflation, and interest rate
fears at bay, stocks climbed despite concerns of an imminent market correction.
The S&P 500 Index(1) crossed the 1000 mark for the first time in February 1998,
and the Dow Jones Industrial Average hit the 9,000 milestone in early April
1998. The Russell 2000 Index produced double-digit returns.
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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.
--------------
Volatility, however, plagued the small cap market virtually throughout.
o Concerns over the impact of Asia's financial troubles on the small cap sector
turned investor sentiment toward larger companies in the first quarter.
o Uncertainty related to earnings growth, as a result of such high profile
companies as Intel and Compaq issuing warnings about softness in business
conditions, also impacted small cap stocks overall. (It should be noted that
these companies were not included in this Fund's portfolio as of 6/30/98.)
--------------
Investment Instruments
Primarily equity securities, consisting of common stock of current Russell 2000
companies.
--------------
o Underperformance in energy-related stocks led to a drop in the second quarter.
TEN LARGEST STOCK HOLDINGS
Reinsurance Group of America Minnesota Power & Light Co.
Fingerhut Companies, Inc. Camden Property Trust
United Bankshares, Inc. Western Wireless Corp.
ICG Communications, Inc. Nevada Power Co.
Lee Enterprises United Dominion RealtyTrust
Other factors impacted both the large and small capitalization sectors of the
equities market. Towards the end of April, fears of a tightening by the Federal
Reserve Board sparked a huge drop in the market. But a lower than expected
employment cost index helped stocks rebound on April 30. Equities were then down
again in May, primarily due to volatility in the technology sector. Stocks
rebounded quickly again, as the General Motors strike helped calm expectations
of a Fed tightening at the end of June. The Federal Reserve Board remained on
hold throughout.
Within the small capitalization sector, growth stocks outperformed in the first
quarter, while value stocks outperformed in the second. Consumer discretionary,
auto and transportation, and utilities were the leading groups for the period.
The weakest performing sectors included consumer staples, health care, and
integrated oils. The annual rebalancing of the Russell 2000 Index by the Frank
Russell Company contributed to a 57% turnover rate for the twelve months ended
June 30, 1998. This turnover was slightly higher compared to the previous year.
INVESTMENT REVIEW
<TABLE>
<CAPTION>
Periods ended June 30, 1998 Cumulative Total Retums Average Annual Total Retums
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Past 6 Past 1 Since Past 1 Since
months year inception year inception
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<S><C>
BT Small Cap Index Fund(2)
Institutional Class Shares
(inception 7/10/96) 3.85% 15.86% 40.34% 15.86% 18.76%
- -----------------------------------------------------------------------------------------------------------------
Advisor Class Shares
(inception 8/13/96) 4.22% 16.15% 44.05% 16.15% 21.28%
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Russell 2000 Index(3) 4.93% 16.51% 16.51%
Institutional Class Shares 41.13% 19.69%
Advisor Class Shares 43.22% 21.65%
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Lipper Small Cap Average(4) 6.45% 17.63% 17.63%
Institutional Class Shares 45.79% 21.52%
Advisor Class Shares 37.77% 18.86%
</TABLE>
3
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Small Cap Index Fund
Letter to Shareholders
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MANAGER OUTLOOK
As expectations regarding earnings growth tempered toward the end of the
semi-annual period, investors began to look toward a rebound in business later
in the year. As a result, negative sentiment surrounding Asia decreased, and the
small cap sector benefited. Based on this positive investor sentiment--plus
expected superior earnings growth and attractive relative valuations--we remain
optimistic about small cap growth companies. In general, the companies the Fund
owns are experiencing strong fundamental earnings growth and are expressing
upbeat outlooks for the remainder of the year. In addition, for the near term,
solid growth, low inflation, and accommodative interest rates should continue to
form an almost ideal backdrop for the U.S. equity markets.
With the Federal Reserve Board on hold, stable interest rates should provide
some support for U.S. equities. However there are a few long-term factors that
may impact the market.
o Stocks face the prospect of more moderate earnings growth, as the economy
inevitably slows from its first quarter GDP growth rate of more than 5% and as
rising labor costs squeeze corporate profit margins.
o Financial turmoil in Asia and questions about Japan getting its economy back
on track will continue to dominate financial markets around the globe.
o Once the perception of the Asian crisis shifts to a more positive note, the
U.S. stock market could face tougher sledding, as investors begin to weigh the
likelihood of a shift to tighter monetary policy by the Federal Reserve Board.
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 BT 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, 1998
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(1) The S&P 500 is an index of common stocks in industry, transportation, and
financial and public utility companies. This index is unmanaged, and
investments cannot be made in an index.
(2) Past performance is not indicative of future results. Investment return and
principal value will fluctuate so that an investor's shares, when redeemed,
may be worth more or less than their original cost. Total return for the
Fund assumes reinvestment of dividends and distributions.
(3) The Russell 2000 Index is an unmanaged index that measures small
capitalization equities. This index is unmanaged, and investments cannot be
made in an index. Investments in small companies generally carry greater
risk than is customarily associated with larger companies, such as narrower
markets, limited financial resources, and less liquid stocks.
(4) 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
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Small Cap Index Fund
Letter to Shareholders (unaudited)
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Diversification of Portfolio Investments
By Sector as of June 30, 1998
(percentages are based on market value)
[PIE CHART APPEARS HERE]
Metals 2% Chemicals 2%
Energy 3% Transportation 3%
Consumer Durables 8% Forest Products 1%
Retail Trade 5%
Finance &
Utilities 6% Building 26%
Health Care 8% Capital Goods 6%
Consumer Non-Durables 28% Business Equipment and Services 2%
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Performance Comparison
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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.
Annualized Total Return for the
Period Ended June 30, 1998
Institutional Advisor
Six Months Six Months
4.22% 3.85%
Since 7/10/96* Since 8/8/96*
18.76%** 21.28%**
* The Fund's inception date.
** Annualized.
Investment return and principal value may fluctuate so that shares, when
redeemed, may be worth more or less than their original cost.
[GRAPHS APPEAR HERE]
Small Cap Index Fund-Institutional Class-$14,034 Russell 2000 Index - $14,113
7/96 $10,000 $10,000
9/96 11,000 10,994
12/96 11,523 11,566
3/97 11,005 10,968
6/97 12,750 12,746
9/97 13,923 13,917
12/97 13,465 13,451
3/98 14,772 14,808
6/98 14,034 14,113
Small Cap Index Fund-Advisor Class-$14,405 Russell 2000 Index - $14,322
8/96 $10,000 $10,000
9/96 10,393 10,391
12/96 10,902 10,931
3/97 10,527 10,366
6/97 12,195 12,047
9/97 14,293 14,124
12/97 13,871 13,651
3/98 15,189 15,024
6/98 14,405 14,322
Past performance is not indicative of future performance. The Russell 2000
Index is unmanaged and investments may not be made in an index.
5
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Small Cap Index Fund
Statement of Assets and Liabilities June 30, 1998 (unaudited)
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<TABLE>
<S><C>
Assets
Investment in Small Cap Index Portfolio, at Value $ 118,033,828
Prepaid Expenses and Other 19,221
Due from Bankers Trust, Net 160,484
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Total Assets 118,213,533
Liabilities
Accrued Expenses 23,870
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Net Assets $ 118,189,663
===============
Composition of Net Assets
Paid-in Capital $ 105,727,179
Undistributed Net Investment Income 436,707
Undistributed Net Realized Gain from Investment and Futures Contracts 5,797,013
Net Unrealized Appreciation on Investments and Futures Contracts 6,228,764
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Net Assets $ 118,189,663
===============
Net Asset Value, Offering and Redemption Price Per Share (net assets divided by shares outstanding)
Institutional Class Shares+ $ 11.63
===============
Advisor Class++ $ 12.15
===============
</TABLE>
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+ Net asset value, offering and redemption price per share (based on net assets
of $117,044,911 and 10,060,169 shares of beneficial interest outstanding)
++ Net asset value, offering and redemption price per share (based on net assets
of $1,144,752 and 94,252 shares of beneficial interest outstanding)
See Notes to Financial Statements on Pages 9 and 10
6
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Small Cap Index Fund
Statement of Operations For the six month period ended June 30, 1998 (unaudited)
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<TABLE>
<S><C>
Investment Income
Income Allocated from Small Cap Index Portfolio, net $ 383,817
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Expenses
Administration and Services Fees
Institutional Class 53,066
Advisor Class 1,563
Transfer Agent Fees 28,997
Registration Fees 19,990
Professional Fees 18,054
Miscellaneous 2,945
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Total Expenses 124,615
Less: Expenses Absorbed by Bankers Trust
Institutional Class (79,508)
Advisor Class (3,119)
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Net Expenses 41,988
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Net Investment Income 341,829
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Realized and Unrealized Gain on Investment and Futures Contracts
Net Realized Gain from Investment Transactions 5,933,921
Net Realized Gain from Futures Transactions 190,985
Net Change in Unrealized Appreciation/Depreciation on Investment and Futures Contracts (2,197,402)
---------------
Net Realized and Unrealized Gain on Investment and Futures Contracts 3,927,504
---------------
Net Increase in Net Assets from Operations $ 4,269,333
===============
</TABLE>
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Statements of Changes in Net Assets
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<TABLE>
<CAPTION>
For the six For the
months ended year ended
June 30, 1998(1) December 31, 1997
---------------- -----------------
<S><C>
Increase (Decrease) in Net Assets from:
Operations
Net Investment Income $ 341,829 $ 774,300
Net Realized Gain from Investment and Futures Transactions 6,124,906 5,721,943
Net Change in Unrealized Appreciation/Depreciation on Investment
and Futures Contracts (2,197,402) 5,946,591
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Net Increase in Net Assets from Operations 4,269,333 12,442,834
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Distributions to Shareholders
Net Investment Income
Institutional Class -- (709,155)
Advisor Class -- (6,650)
Net Realized Gain from Investment Transactions
Institutional Class -- (5,870,446)
Advisor Class -- (191,778)
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Total Distributions -- (6,778,029)
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Capital Transactions in Shares of Beneficial Interest
Net Increase (Decrease) Resulting from Institutional Class Shares 74,520,148 (28,984,375)
Net Increase (Decrease) Resulting from Advisor Class Shares (245,435) 1,330,285
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Net Increase (Decrease) from Capital Transactions in Shares of Beneficial Interest 74,274,713 (27,654,090)
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Total Increase (Decrease) in Net Assets 78,544,046 (21,989,285)
Net Assets
Beginning of Period 39,645,617 61,634,902
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End of Period (including accumulated net investment income of $436,707 and
$94,878 for the periods ended June 30, 1998 and December 31, 1997,
respectively) $ 118,189,663 $ 39,645,617
============== ==============
</TABLE>
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(1) Unaudited
See Notes to Financial Statements on Pages 9 and 10
7
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Small Cap Index Fund
Financial Highlights
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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 For the period For the For the period
six months For the July 10, 1996 six months For the August 8, 1996
ended year ended (Commencement ended year ended (Commencement
June 30, Dec. 31, of Operations) to June 30, Dec. 31, of Operations) to
1998(2) 1997 Dec. 31, 1996 1998(2) 1997 Dec. 31, 1996
---------- ---------- ----------------- ---------- ---------- -----------------
<S><C>
Per Share Operating Performance:
Net Asset Value, Beginning of Period $11.13 $10.90 $10.00 $11.69 $11.04 $10.00
------ ------ ------ ------ ------ ------
Income from Investment Operations
Net Investment Income 0.04 0.23 0.04 0.07 0.08 0.02
Net Realized and Unrealized Gain (Loss) on
Investments and Futures Transactions 0.43 2.21 0.90 0.38 2.63 1.06
------ ------ ------ ------ ------ ------
Total from Investment Operations 0.47 2.44 0.94 0.45 2.71 1.08
Distributions to Shareholders
Net Investment Income -- (0.21) (0.04) -- (0.06) (0.04)
Net Realized Gain from Investment
Transactions -- (2.00) (0.00)(1) -- (2.00) (0.00)(1)
------ ------ ------ ------ ------ ------
Total Distributions -- (2.21) (0.04) -- (2.06) (0.04)
------ ------ ------ ------ ------ ------
Net Asset Value, End of Period $11.60 $11.13 $10.90 $12.14 $11.69 $11.04
====== ====== ====== ====== ====== ======
Total Investment Return 4.22% 23.00% 9.47% 3.85% 25.11% 10.87%
Supplemental Data and Ratios:
Net Assets, End of Period (000s omitted) $117,045 $ 38,312 $ 61,558 $ 1,145 $ 1,334 $ 77
Ratios to Average Net Assets:
Net Investment Income 1.24%(3) 1.35% 1.71%(3) 1.03%(3) 1.13% 1.61%(3)
Expenses, Including Expenses of the
Small Cap Index Portfolio 0.25%(3) 0.25% 0.25%(3) 0.45%(3) 0.45% 0.45%(3)
Decrease Reflected in Above Expense
Ratio Due to Absorption of Expenses
by Bankers Trust 0.43%(3) 0.32% 0.62%(3) 0.63%(3) 0.53% 22.69%(3)
</TABLE>
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(1) Less than $0.01.
(2) Unaudited
(3) Annualized.
See Notes to Financial Statements on Pages 9 and 10
8
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Small Cap Index Fund
Notes to Financial Statements (unaudited)
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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 Small Cap Index Fund (the "Fund") is one of
the Funds offered to investors by the Trust.
The Small Cap 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 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 Fund invests substantially all of its assets in the Small
Cap Index Portfolio (the "Portfolio").
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, 1998, the Fund's proportionate
interest in the Portfolio's net assets was 66.95%.
The financial statements of the Portfolio, including the Schedule of Portfolio
Investments, are contained elsewhere in this report.
B. INVESTMENT INCOME
The Fund earns income, net of expenses, daily on its investment in the
Portfolio. All of the net investment income and realized and unrealized gains
and losses from the security transactions of the Portfolio are allocated pro
rata among the investors in the Portfolio at the time of such determination. Net
investment income is allocated daily to each class of shares based upon the
relative proportion of net assets.
C. ORGANIZATIONAL EXPENSES
Costs incurred by the Fund in connection with its organization and initial
registration are being amortized evenly over a five year period.
D. DIVIDENDS
It is the Fund's policy to declare and distribute dividends annually to
shareholders from net investment income. Dividends payable to shareholders are
recorded by the Fund on the ex-dividend date. Distributions of net realized
short-term and long-term capital gains, if any, will be made annually.
E. FEDERAL INCOME TAXES
It is the Fund's policy to comply with the requirements of the Internal Revenue
Code and distribute substantially all of its income to shareholders. Therefore,
no federal income tax provision is required. The Fund may periodically make
reclassifications among certain of its capital accounts as a result of the
timing and characterization of certain income and capital gain distributions
determined annually in accordance with federal tax regulations which may differ
from generally accepted accounting principles.
F. OTHER
The Trust accounts separately for the assets, liabilities and operations of the
Fund and Classes. Expenses directly attributable to each Class are charged to
that Class, while expenses which are attributed 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. 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 0.20% and 0.25% of average daily net assets of the
Small Cap Index Institutional Class and Advisor Class, respectively. At June 30,
1998, Bankers Trust owed the Fund $160,484, net of Administration and Service
Fees of $7,958 relating to waived and reimbursed expenses.
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 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, ICC Distributors, Inc. will replace Edgewood as
distributor of the Trust.
The 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 its fees and reimburse
expenses of each Class of Shares, to the extent necessary, to limit all expenses
as follows: Institutional Class of Shares to 0.15% of the average daily net
assets of the Class, excluding expenses of the Portfolio and 0.25% of the
average daily net assets of the Class, including expenses of the Portfolio; and
Advisor Class of Shares to 0.35% of the average daily net assets of the Class,
excluding expenses of the Portfolio and 0.45% 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 $79,508 and $3,119 for the
Institutional Class and Advisor Class, respectively.
9
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Small Cap Index Fund
Notes to Financial Statements
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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:
Institutional Class Shares
---------------------------------------------------------
For the six-month period For the year ended
ended June 30, 1998+ December 31, 1997
---------------------------------------------------------
Shares Amount Shares Amount
---------- ------------ ---------- ------------
Sold 8,689,956 $ 99,745,218 3,183,286 $ 35,513,549
Reinvested -- -- 595,577 6,579,579
Redeemed (2,072,620) (25,225,070) (5,981,038) (71,077,503)
---------- ------------ ---------- ------------
Increase (Decrease) 6,617,336 $ 74,520,148 (2,202,175) $(28,984,375)
========== ============ ========== ============
Advisor Class Shares
---------------------------------------------------------
For the six-month period For the year ended
ended June 30, 1998+ December 31, 1997
---------------------------------------------------------
Shares Amount Shares Amount
---------- ------------ ---------- ------------
Sold 30,016 $ 354,566 141,980 $ 1,812,603
Reinvested -- -- 15,296 174,689
Redeemed (49,888) (600,001) (50,143) (657,007)
---------- ------------ ---------- ------------
Increase (Decrease) (19,872) $ (245,435) 107,133 $ 1,330,285
========== ============ ========== ============
- --------------
+ Unaudited.
NOTE 4--IN-KINDTRANSACTION
On June 30, 1998, a shareholder of the Small Cap Index Fund--Institutional Class
contributed $48,401,529 in securities in exchange for 4,172,546 fund shares. The
contribution was treated as an in-kind transfer and accounted for approximately.
NOTE 5--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 1.0481 exchange ratio. As a result of the exchange, 99,056 shares of the
Institutional Class representing $1,153,009 in net assets were issued at the net
asset value of $11.64 per share.
10
<PAGE>
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Small Cap Index Portfolio
Schedule of Portfolio Investments June 30, 1998 (unaudited)
- --------------------------------------------------------------------------------
Shares Description Value
------ ----------- -----
COMMON STOCK - 98.44%
Advertising - 0.22%
2,500 Catalina Marketing Corp.* $ 129,843
100 Grey Advertising, Inc. 39,600
4,025 HA-LO Industries, Inc.* 125,278
50 Lamar Advertising Co.* 1,794
1,500 May & Spek, Inc.* 29,813
75 Outdoor Systems, Inc.* 2,100
------------
328,428
------------
Aerospace - 0.83%
3,650 AAR Corp. 107,901
1,900 Alliant Techsystems, Inc.* 120,175
1,900 Atlantic Coast Airlines 57,000
1,760 Banner Aerospace, Inc. 22,660
4,500 BE Aerospace, Inc.* 131,063
7,600 Commscope, Inc. 123,021
1,800 Eagle USA Airfreight* 62,437
2,066 Fairchild Corp. - Class A* 41,707
5,700 Kaman Corp. - Class A 108,477
2,350 Midwest Express Holdings 85,039
3,600 OEA, Inc. 57,600
800 Primex Technologies, Inc. 41,000
3,400 Remec, Inc.* 38,675
3,800 Skywest, Inc. 106,400
10,100 Trans World Airlines 104,788
2,300 Tristar Aerospace Co. 35,650
------------
1,243,593
------------
Agriculture - 0.37%
6,100 Agribiotech, Inc. 168,891
2,400 Agribrands International 72,600
3,600 Cadiz Land Company, Inc. 41,623
2,400 Dekalb Genetics Corp. 227,100
77 Delta & Pine Land Co. 3,427
1,300 Tejon Ranch Co. 34,450
------------
548,091
------------
Apparel, Textiles - 1.61%
4,000 Authentic Fitness Corp. 63,248
4,500 Brown Group, Inc. 89,438
20,300 Charming Shoppes, Inc.* 96,425
3,400 Dan River, Inc. - Class A 57,800
4,500 Footstar, Inc.* 216,000
1,500 GC Companies, Inc.* 77,813
3,400 Genesco, Inc.* 55,461
21,100 Hanover Direct, Inc. 71,213
3,500 Hartmarx Corp.* 26,467
9,200 Interface, Inc. 185,720
4,400 Kellwood Co. 157,300
3,300 Lands' End, Inc.* 104,363
4,700 Nautica Enterprises, Inc.* 126,016
1,800 Oshkosh B'Gosh, Inc. - Class A 80,100
4,600 Phillips-Van Heusen Corp. 67,850
Shares Description Value
------ ----------- -----
1,000 Pillowtex Corp. $ 40,125
2,100 Quaker Fabric Corp. 30,318
2,900 Quiksilver, Inc.* 57,817
6,400 Russell Corp. 193,197
2,800 Springs Industries, Inc. - Class A 129,150
2,200 St John Knits, Inc. 84,975
6,400 Stride Rite Corp. 96,397
600 Timberland Co. - Class A* 43,162
2,300 Wet Seal, Inc. - Class A* 73,600
8,200 Wolverine World Wide, Inc. 177,833
------------
2,401,788
------------
Auto Related - 2.07%
3,400 Aaron Rents, Inc. 68,000
5,400 Avis Rent A Car, Inc. 133,650
2,900 Borg Warner Automotive 139,380
3,600 Breed Technologies 55,123
3,900 Budget Group, Inc. - Class A* 124,554
1,700 CSK Auto Corp. 42,925
4,200 Delco Remy International, Inc. 54,075
1,100 Detroit Diesel Corp.* 23,718
3,500 Dollar Thrifty Automotive Group 46,375
3,500 Exide Corp. 58,842
2,000 Group 1 Automotive, Inc. 32,000
2,500 Intermet Corp. 45,313
3,500 International Speedway Corp. -
Class A 99,530
6,100 Kaydon Corp. 215,403
2,600 Keystone Automotive Industries., Inc. 60,125
4,300 MascoTech, Inc. 103,200
2,300 Midas, Inc. 46,288
8,850 Miller Industries, Inc.* 68,588
3,000 Modine Manufacturing Co 103,875
4,260 Myers Industries, Inc. 102,240
1,300 National R.V. Holdings, Inc. 58,663
1,900 O'Reilly Automotive, Inc.* 68,400
5,000 Polaris Industries, Inc. 188,125
2,700 Rental Service Corp. 90,788
2,300 Rent - Way, Inc. 70,150
2,400 Simpson Industries, Inc. 32,849
2,200 Smith (A.O.) Corp. 113,711
1,700 SPX Corp. 109,438
2,900 Standard Motor Products Inc. 64,525
2,300 Standard Products Co 64,688
4,200 Stewart & Stevenson Services, Inc. 75,600
2,800 Superior Industries International, Inc. 78,924
3,300 Titan International, Inc. 56,100
3,100 Tower Automotive, Inc.* 132,913
5,100 Tyler Corp. 52,591
2,700 United Auto Group, Inc.* 59,063
3,100 Wabash National Corp. 79,825
3,525 Wynn's International, Inc. 67,856
------------
3,087,413
------------
See Notes to Financial Statements on Pages 32 and 33
11
<PAGE>
- --------------------------------------------------------------------------------
Small Cap Index Portfolio
Schedule of Portfolio Investments June 30, 1998 (unaudited)
- --------------------------------------------------------------------------------
Shares Description Value
------ ----------- -----
Banks - 3.93%
2,100 Affiliated Community Bancorp $ 76,388
3,300 Affiliated Managers Group 122,513
2,100 Area Bancshares Corp. 71,400
1,500 Bancfirst Ohio Corp. 50,531
2,700 Bank Plus Corp. 33,075
2 BankBoston Corp. 111
3,020 Brenton Banks, Inc. 61,720
2,500 BT Financial Corp. 66,250
900 Capital City Bank Group, Inc. 28,238
2,400 Carolina First Co. 60,900
2,000 Cathay Bancorp, Inc. 93,000
2,100 Century South Banks, Inc. 79,800
4,000 Charter Municipal Mortgage
Acceptance 56,248
1 Charter One Financial, Inc. 17
1,900 Chittenden Corp. 66,500
1,600 Citizens Bancshares/Ohio 52,800
1,500 City Holding Co. 69,750
4,800 Commonwealth Bancorp, Inc. 110,098
2,450 Community Trust Bancorp, Inc. 81,463
400 D & N Financial Corp. 10,725
2,100 Evergreen Bancorp, Inc. 60,505
315 F&M Bancorp 14,037
800 Farmers Capital Bank Corp. 39,000
3,000 First Commerce Bancshares, Inc. 87,936
3,000 First Commonwealth Financial Corp. 84,750
1,600 First Citizens Bancshares 160,099
4,700 First Federal Capital Corp. 84,304
5,194 First Financial Bancorp 134,395
1,200 First Financial Bankshares, Inc. 49,200
2,700 First Financial Holdings, Inc. 64,125
2,900 First Hawaiian, Inc. 105,488
1,900 First Merchants Corp. 86,925
900 Flagstar Bancorp, Inc. 21,938
2,199 FNB Corp. 73,383
3,600 GBC Bancorp 95,400
2,409 Harbor Florida Bancorp, Inc. 28,756
1,900 Harleysville National Corp. 80,750
3,858 Heritage Financial Services, Inc. 132,618
1 Huntington Bancshares, Inc. 34
12,400 Independence Community Bank 210,800
1,500 International Bancshares Corp. 99,188
1,000 Interwest Bancorp, Inc. 43,375
900 Investors Financial Services Corp. 47,700
1,200 Jeffbanks 58,950
2,400 Jefferson Savings Bancorp, Inc. 75,000
2,500 Mainstreet Bank Group, Inc. 73,750
2,100 Maryland Federal Bancorp 83,213
2,372 Merchantile Bancorp 119,509
1,600 MidAmerica Bancorp 51,800
1,700 Mississippi Valley Bancshares 67,150
2,100 National Bancorp of Alaska, Inc. 64,838
3,133 NBT Bancorp, Inc. 79,500
4,300 Ocean Financial Corp. 82,238
Shares Description Value
------ ----------- -----
3,584 Old National Bancorp $ 171,136
1,300 Omega Financial Corp. 46,963
1,150 Oriental Financial Group 42,406
1,700 Park National Corp. 171,593
1,375 Peoples First Corp. 48,125
3,000 PFF Bancorp, Inc. 55,875
1,300 Premier Bancshares, Inc. 34,450
1,300 Reliance Bancorp, Inc. 49,806
1,200 Republic Bancshares, Inc. 32,550
3,300 Richmond County Financial Corp. 61,667
2,600 Riggs Nationsl Corp. 75,967
1,910 S & T Bancorp, Inc. 105,528
2,200 Sandy Spring Bancorp 76,725
2,400 Santa Barbara Bancorp 69,000
1,500 Simmons First National Corp. -
Class A 71,250
2,100 Sis Bancorp, Inc. 81,375
3,900 Southwest Bancorp Of Texas 73,367
5,800 Staten Island Bancorp, Inc. 131,950
1,900 Sterling Bancorp New York 49,400
2,900 Sterling Bancshares, Inc. 45,675
2,550 Triangle Bancorp, Inc. 80,006
2,100 Trust Company of New Jersey 56,700
2,500 United National Bancorp New Jersey 73,125
900 U.S. Bancorp, Inc. 69,581
6,000 Webster Financial Corp. 199,500
8,300 Western Bank Puerto Rico 140,063
------------
5,865,964
------------
Beverages - 0.21%
2,400 Beringer Wine Estates - Class B 105,749
4,700 Coors (Adolph) Co. - Class B 159,800
1,800 Robert Mondavi Co. - Class A* 51,075
------------
316,624
------------
Biopharmaceuticals - 0.46%
3,200 AmeriSource Health Corp.- Class A* 210,198
4,200 Incyte Pharmaceuticals, Inc.* 143,325
5,500 Liposome Company, Inc.* 29,733
5,400 NeXstar Pharmaceuticals, Inc.* 53,827
3,800 Protein Design Labs, Inc.* 91,553
3,400 Roberts Pharmaceutical Corp.* 78,200
3,400 Vertex Pharmaceuticals, Inc.* 76,500
------------
683,336
------------
Building & Construction - 1.96%
3,100 American Homestar Corp. 74,205
800 Butler Manufacturing Co. 27,250
2,700 CalMat Co. 59,400
1,700 Centex Construction Products 65,450
3,900 Consolidation Capital Corp. 87,688
7,800 Dal-Tile International, Inc.* 76,534
1,600 Dycom Industries, Inc. 54,000
2,350 Elcor Corp. 59,338
See Notes to Financial Statements on Pages 32 and 33
12
<PAGE>
- --------------------------------------------------------------------------------
Small Cap Index Portfolio
Schedule of Portfolio Investments June 30, 1998 (unaudited)
- --------------------------------------------------------------------------------
Shares Description Value
------ ----------- -----
1,900 Florida Rock Industries $ 55,455
2,600 Holophane Corp. 66,300
2,750 Hughes Supply, Inc. 100,719
5,200 Insituform Technology 71,984
3,000 Integrated Electrical Services, Inc.* 60,375
5,300 Kaufman & Broad Home Corp. 168,275
3,500 LNR Corp. 89,688
2,000 Lone Star Industries, Inc. 154,124
1,800 NCI Building Systems, Inc.* 103,950
1,300 NVR, Inc.* 53,381
8,300 Oakwood Homes 249,000
3,075 Palm Harbor Homes, Inc.* 131,072
600 Puerto Rican Cement Co, Inc. 28,350
2,000 Ryland Group, Inc. 52,500
1,500 Service Experts, Inc. 51,750
600 Simpson Manufacturing Co, Inc.* 23,175
2,000 Skyline Corp. 65,250
2,024 Southdown, Inc. 144,463
3,400 Standard-Pacific Corp. 70,125
2,800 Texas Industries, Inc. 148,400
2,400 Thor Industries, Inc. 66,449
3,200 TJ International, Inc. 96,400
3,200 Toll Brothers, Inc.* 91,798
2,000 Triangle Pacific Corp.* 110,000
1,900 U.S. Home Corp.* 78,375
1,500 Universal Forest Products, Inc. 24,563
2,500 Webb (Del E.) Corp. 64,843
------------
2,924,629
------------
Brewery - 0.15%
2,300 Boston Beer Company, Inc. - Class A* 29,325
3,000 Canandaigua Brands, Inc. - Class A* 147,561
200 Farmer Brothers Co. 47,800
------------
224,686
------------
Broadcasting - 0.59%
3,200 Ackerley Communications 67,200
3,000 ADVO, Inc.* 84,561
900 BET Holdings, Inc. - Class A* 56,643
6,400 Century Communications - Class A* 120,000
1,200 Cox Radio, Inc. - Class A* 51,900
1,300 Paxson Communications Corp.* 15,763
25 Saga Communications, Inc.* 350
7,000 Spelling Entertainment Group* 65,625
8,100 United International Holdings* 129,600
1,100 United Television, Inc. 125,950
3,100 Westwood One, Inc.* 78,176
1,400 Young Broadcasting Corp.* 91,000
------------
886,768
------------
Chemical-Specialty - 0.58%
2,900 Albemarle Corp. 63,980
2,700 Aviron* 84,205
800 Bush Boake Allen 23,450
Shares Description Value
------ ----------- -----
4,200 Church & Dwight Co, Inc. $ 135,975
6,200 Dura Pharmaceutic* 138,725
7,500 Ferro Corp. 189,840
2,800 Fuller (H B) Co. 155,224
2,700 Ventana Medical Systems* 75,600
------------
866,999
------------
Chemicals & Toxic Waste - 1.40%
4,200 Cambrex Corp. 110,250
2,700 Chemed Corp. 91,967
4,700 ChemFirst, Inc. 118,675
5,000 Dexter Corp. 159,060
8,400 Ethyl Corp. 51,450
3,200 Geon Co. 73,398
4,200 Georgia Gulf Corp. 95,810
6,000 Hanna (M.A.) Co. 109,872
4,600 Lawter International, Inc. 50,025
1,950 LeaRonal, Inc. 46,556
3,100 Lilly Industries, Inc.- Class A 67,038
1,500 MacDermid, Inc. 42,375
1,000 McWhorter Technologies* 26,437
3,668 Mississippi Chemical Corp. 60,291
3,400 Mycogen Corp.* 81,705
300 NCH Corp. 19,219
3,000 NL Industries, Inc.* 60,000
3,300 Octel Corp. 65,588
2,950 OM Group, Inc. 121,688
7,400 Schulman (A) , Inc. 144,759
2,500 Scotts Company (The)* 93,125
2,300 Synetic, Inc.* 131,100
7,000 Terra Industries, Inc. 63,000
2,500 WD-40 Co. 67,813
6,100 Wellman, Inc. 138,391
------------
2,089,592
------------
Client Server Computing - 0.73%
2,800 ChoicePoint, Inc.* 141,750
4,000 Clarify, Inc.* 54,000
2,100 Complete Business Solutions* 75,468
3,100 Concentric Network Corp.* 93,967
2,600 Cotelligent Group, Inc. 59,800
9,200 Electronics For Imaging 194,350
4,600 Getty Images, Inc. 102,350
2,100 Mastech Corp.* 59,063
4,600 Micron Electronics, Inc. 55,485
1,600 Norstran, Inc. 40,099
5,800 Wallace Computer Services, Inc. 137,750
4,400 Xircom, Inc.* 68,473
------------
1,082,555
------------
Coal, Gas & Solar - 0.17%
7,400 AGL Resources, Inc. 147,075
7,600 Airgas, Inc.* 109,250
------------
256,325
------------
See Notes to Financial Statements on Pages 32 and 33
13
<PAGE>
- --------------------------------------------------------------------------------
Small Cap Index Portfolio
Schedule of Portfolio Investments June 30, 1998 (unaudited)
- --------------------------------------------------------------------------------
Shares Description Value
------ ----------- -----
Commercial Services - 1.73%
2,700 ABM Industries, Inc. $ 75,263
2,100 Access Health, Inc.* 53,550
3,800 Anixter International, Inc.* 72,436
400 Berlitz International, Inc.* 10,800
3,400 Borg-Warner Security Corp. 76,925
2,900 CDI Corp.* 77,575
3,100 Caribiner International, Inc.* 54,250
1,600 Central Parking Services 72,800
18,900 Corporate Express* 239,784
2,300 Daisytek International Corp.* 58,505
900 Data Processing Resources* 27,956
1,200 Data Transmission Network Corp.* 48,000
2,600 Electro Rent Corp.* 58,336
2,200 First Consulting Group, Inc.* 57,750
2,300 F.Y.I., Inc. 65,550
1,600 Iron Mountains, Inc.* 71,600
650 ITT Educational Services, Inc.* 20,963
3,850 Metamor Worldwide, Inc. 135,470
2,000 Metzler Group, Inc.* 73,250
7,300 Metromedia International Group, Inc.* 87,140
1,100 MGI Properties, Inc. 28,806
4,500 NFO Worldwide, Inc.* 80,438
3,800 Norrel Corp. 75,761
3,300 Nova Corp.* 117,975
13,300 Olsten Corp. 148,787
3,600 Paymentech, Inc. 74,023
3,000 Phymatrix Corp.* 26,436
1,878 Primark Corp.* 58,804
2,000 Profit Recovery Group International 55,874
4,583 Romac International, Inc.* 139,209
2,700 Russ Berrie & Co, Inc. 67,500
5,000 Sotheby's Holdings, Inc. 111,875
2,000 Staffmark, Inc.* 73,250
2,100 United Rentals, Inc. 88,200
------------
2,584,841
------------
Computer - 1.45%
3,000 American Business Information, Inc. -
Class B* 48,000
1,400 CDW Computer Centers* 70,000
3,600 Computer Task Group, Inc. 120,600
9,300 Data General Corp.* 138,914
1,900 Dialogic Corp.* 56,525
3,900 FileNet Corp.* 112,613
4,900 HMT Technology Corp.* 41,038
1,100 IDX Systems 50,668
3,300 Infoseek Corp.* 118,388
11,400 Komag, Inc. 60,910
1,700 MICROS Systems, Inc. 56,258
10,500 Oak Technology* 47,901
4,200 Open Market, Inc.* 79,275
3,900 Physician Computer Network, Inc.* 1,463
1,200 Pinnacle Systems, Inc. 38,850
5,200 PMC-Sierra, Inc.* 243,750
Shares Description Value
------ ----------- -----
3,400 PRI Automation, Inc.* $ 58,011
2,100 Radiant Systems, Inc. 30,450
3,900 Sandisk Corp.* 53,867
5,100 Security Dynamics Tech, Inc.* 94,350
9,100 Sequent Computer Systems, Inc.* 109,764
1,300 Splash Technology Holdings, Inc.* 22,343
5,500 Stratus Computer, Inc.* 139,216
3,400 Sykes Enterprises, Inc. 68,211
2,100 Telxon Corp.* 67,988
4,600 Usweb Corp.* 108,960
5,200 Wang Laboratories, Inc.* 132,272
------------
2,170,585
------------
Computer Services - 2.79%
5,200 Acxiom Corp.* 129,672
7,700 American Management Systems* 230,515
2,400 Anacomp, Inc. 56,700
4,350 Analysts International Corp. 123,431
1,440 Applied Graphics Technologies, Inc.* 65,880
2,300 ATL Products, Inc. - Class A 59,943
4,100 BA Merchant Services, Inc. - Class A 82,767
1,280 Baan Company 45,760
2,400 Barra, Inc. 58,800
2,200 Black Box Corp.* 73,011
2,400 BRC Holdings, Inc. 46,049
1,100 Centennial Technologies, Inc.* 1,238
1,000 Cnet, Inc. 68,250
6,800 Cognex Corp.* 125,800
5,150 Computer Horizons Corp.* 190,869
3,400 Computer Learning Centers, Inc.* 84,575
700 Computer Management Sciences, Inc.* 16,625
1,700 Dendrite International 63,963
8,200 Diamond Multimedia Systems, Inc.* 56,113
60 DocuCorp. International 394
1,700 DoubleClick, Inc. 84,468
4,700 E Trade Group, Inc.* 107,804
1,300 Earthlink Network, Inc. 99,775
1,700 Electro Scientific Industries, Inc.* 53,655
2,800 Envoy Corp.* 132,650
1,200 Evans & Sutherland Computer Corp.* 30,224
800 Factset Research Systems, Inc. 26,000
1,400 Fair Issac & Co, Inc. 53,200
5,500 General Magic, Inc. 67,716
1,800 Henry (Jack) & Associates 61,875
3,900 Hutchinson Technology, Inc.* 106,275
1,900 Inacom Corp.* 60,325
10,900 Inprise Corp. 80,388
2,600 International Network Services* 106,600
1,800 Kronos, Inc.* 65,250
8,200 Mentor Graphics Corp.* 86,608
5,600 National Computer Systems, Inc. 134,400
12,200 Pairgain Technologies 212,731
900 Pegasystems, Inc. 24,413
3,900 Platinum Software Corp. 95,063
1,600 QRS Corp.* 60,200
See Notes to Financial Statements on Pages 32 and 33
14
<PAGE>
- --------------------------------------------------------------------------------
Small Cap Index Portfolio
Schedule of Portfolio Investments June 30, 1998 (unaudited)
- --------------------------------------------------------------------------------
Shares Description Value
------ ----------- -----
2,980 Renaissance Worldwide, Inc. $ 64,815
3,700 Safeguard Scientifics, Inc.* 154,242
1,200 SCM Microsystems, Inc. 75,000
3,550 Technology Solutions Co.* 112,489
4,300 USCS International, Inc.* 88,954
8,000 Vanstar Corp.* 116,496
1,800 Whittman-Hart, Inc.* 87,075
4,700 Xylan Corp.* 140,116
------------
4,169,162
------------
Computer Software - 4.74%
5,700 Acclaim Entertainment, Inc.* 33,841
1,500 Advent Software, Inc.* 63,000
1,600 American HomePatient, Inc.* 30,600
900 Arbor Software Corp.* 28,293
1,600 Aspect Development, Inc. 121,000
3,900 Aspen Technologies, Inc.* 196,950
5,000 Avant! Corp.* 123,750
4,100 Avid Technology, Inc.* 137,350
4,540 Axent Technologies 139,038
2,900 BancTec, Inc.* 67,063
7,000 BEA Systems, Inc.* 160,559
2,700 Bell & Howell Company* 69,692
5,825 Boole & Babbage, Inc.* 139,072
3,600 Broadvision, Inc. 85,950
2,800 Broderbund Software, Inc.* 63,874
5,900 Checkfree Holdings Corp.* 173,678
2,300 CMG Information Services 162,725
2,000 Datastream Systems, Inc. 38,124
2,900 DecisionOne Holdings Corp.* 58,000
2,500 Digi International 50,625
2,300 Documentum, Inc.* 110,400
1,700 Excite, Inc. 158,950
1,600 Exodus Communications, Inc. 71,600
2,600 Gerber Scientific, Inc. 59,150
1,600 Great Plains Software, Inc. 54,200
3,500 GT Interactive Software Corp.* 26,359
3,950 Harbinger Corp. 95,539
4,600 HNC Software, Inc.* 187,735
1,500 Hyperion Software Corp.* 42,750
4,200 Indus International, Inc. 50,400
3,600 Industri-Matematik International Corp.* 39,373
1,925 Information Management
Resources, Inc.* 65,088
6,200 Information Resources, Inc.* 114,700
21,600 Informix Corp. 170,770
3,700 Integrated Systems, Inc.* 56,888
3,500 INTERSOLV, Inc.* 56,217
4,600 Inter-Tel, Inc.* 73,600
2,500 JDA Software Group, Inc.* 109,375
1,500 Learning Tree International, Inc.* 30,188
6,200 Legato Systems, Inc.* 241,800
2,218 Lycos Inc.* 167,182
6,200 Macromedia, Inc.* 115,859
3,400 Manugistics Group, Inc.* 84,150
Shares Description Value
------ ----------- -----
2,100 Mercury Interactive Corp.* $ 93,713
3,200 Meridian Industrial Trust 73,600
40 MicroProse, Inc.* 177
4,500 National Data Corp. 196,875
2,200 National Instruments Corp.* 78,650
3,700 Noemagic Corp.* 57,350
4,100 Network Appliance, Inc.* 159,642
2,300 Progress Software Corp.* 94,300
900 Project Software & Development, Inc.* 18,056
5,800 PSINet, Inc.* 75,400
2,300 Quadrame Corp. 62,818
12,586 Rational Software Corp.* 191,937
2,000 RealNetworks, Inc. 74,624
3,000 Remedy Corp. 51,000
2,100 Sapient Corp.* 110,775
1,800 SEI Investments Co. 111,600
5,300 Shiva Corp.* 44,388
65 Siebel Systems, Inc.* 2,090
5,400 Software AG Systems, Inc. 157,950
1,000 SPS Transaction Services, Inc.* 31,375
1,400 SS&C Technologies 31,850
6,700 Structural Dynamics Research Corp.* 154,938
15,400 Sybase, Inc. 107,307
7,900 Symantec Corp.* 206,388
4,500 System Software Associates, Inc.* 32,063
4,500 Systems & Computer Technology
Corp.* 121,500
5,000 Transaction Systems Architects, Inc. -
Class A 192,500
4,800 Vantive Corp.* 98,400
3,600 Viasoft, Inc.* 58,273
3,200 Visio Corp.* 152,800
2,900 Wind River Systems* 104,038
50 Yahoo!, Inc.* 7,875
------------
7,079,709
------------
Consumer Goods - 0.34%
1,300 Bush Industries, Inc. 28,275
4,000 Central Garden & Pet Co.* 124,500
1,100 Fossil, Inc.* 27,363
2,600 Herbalife International, Inc.- Class A* 64,025
1,700 Insight Enterprises, Inc.* 68,000
2,500 Renters Choice, Inc.* 70,938
2,900 Twinlab Corp.* 126,692
------------
509,793
------------
Consumer Services - 1.00%
4,400 Billing Information Concepts* 68,200
3,200 The Bisys Group, Inc. 131,200
1,700 Boron Lepore & Associates 64,600
2,100 Brookdale Living Communities 53,813
2,700 Coinmach Laundry Corp. 63,788
2,500 CoreComm, Inc.* 65,625
4,750 Crawford & Co. 89,063
10,500 DeVry, Inc. 230,339
See Notes to Financial Statements on Pages 32 and 33
15
<PAGE>
- --------------------------------------------------------------------------------
Small Cap Index Portfolio
Schedule of Portfolio Investments June 30, 1998 (unaudited)
- --------------------------------------------------------------------------------
Shares Description Value
------ ----------- -----
4,650 Equity Corporation International* $ 111,600
2,500 G & K Services, Inc. 109,063
1,400 Metro Information Services, Inc.* 54,775
1,050 Pinkerton's, Inc.* 21,788
3,700 Prepaid Legal Services* 116,779
600 Protection One, Inc. 6,562
5,200 Rollins, Inc. 106,600
50 Seattle FilmWorks, Inc.* 386
4,625 Sylvan Learning Systems, Inc.* 151,469
4,000 Teletech Holdings, Inc. 49,000
------------
1,494,650
------------
Containers - 0.83%
3,700 ACX Technologies, Inc.* 80,475
2,000 Aptargroup, Inc. 124,374
3,800 Ball Corp. 152,711
4,100 Chesapeake Corp. 159,642
5,200 Earthshell Container Common 50,700
7,900 First Brands Corp. 202,438
7,000 Gaylord Container Corp.* 53,809
1,900 Greif Brothers Corp. - Class A 71,013
1,900 Ivex Packaging Corp. 44,175
10,800 Longview Fibre Co. 153,900
5,500 Shorewood Packaging Corp.* 87,313
2,200 Silgan Holdings, Inc.* 61,600
------------
1,242,150
------------
Cosmetics & Toiletries - 0.08%
2,100 Natures Sunshine Products, Inc. 47,380
4,400 Playtex Products, Inc.* 70,123
------------
117,503
------------
Diversified - 0.19%
3,400 Hexcel Corp.* 76,925
4,100 Justin Industries 66,113
924 NACCO Industries, Inc.- Class A 119,427
1,050 Volt Information Sciences, Inc.* 28,481
------------
290,946
------------
Drugs - 0.69%
2,300 Alpharma, Inc. 50,600
3,600 Cephalon, Inc.* 28,350
3,200 COR Therapeutics, Inc.* 44,400
2,400 Coulter Pharmaceutical, Inc. 72,900
4,100 Gilead Sciences, Inc.* 131,454
6,000 Isis Pharmaceuticals, Inc.* 82,122
17,900 Ivax Corp. 165,575
2,500 Medicis Pharmaceutical - Class A* 91,250
13,300 Perrigo Co.* 133,825
2,400 Pharmacyclics, Inc. 57,000
1,400 Schein Pharmaceutical, Inc. 37,275
6,900 Sequus Pharmaceuticals, Inc.* 78,488
2,300 Viropharma, Inc. 53,475
------------
1,026,714
------------
Shares Description Value
------ ----------- -----
Drugs/Retail - 0.14%
2,200 Express Scripts, Inc.* $ 177,375
4,700 Zila, Inc.* 34,075
------------
211,450
------------
Electrical Equipment - 1.07%
3,900 Adtran, Inc.* 101,888
4,400 AMETEK, Inc. 128,973
1,200 ATMI Inc. 18,000
3,600 Baldor Electric Co. 87,750
3,500 Belden, Inc. 107,188
3,600 Berg Electronics Corp.* 70,423
1,000 C&D Technologies, Inc. 58,000
3,700 Essex International 87,413
3,000 Esterline Technologies Corp.* 61,686
2,100 Fluke Corp. 69,038
1,200 Franklin Electric Co, Inc. 81,600
2,800 Jabil Circuit, Inc. 92,574
5,300 Kemet Corp.* 69,727
2,700 Littlefuse, Inc.* 68,175
3,600 MagnaTek, Inc.* 56,700
1,800 Marquette Medical Systems, Inc.* 46,181
3,100 MRV Communications, Inc.* 64,325
3,700 Presstek, Inc. 41,392
2,000 Qlogic Corp. 71,374
2,100 Semtech Corp. 37,143
3,600 Silicon Valley Group, Inc.* 57,823
3,800 SMART Modular Technologies, Inc.* 55,575
4,700 Vicor Corp.* 65,213
------------
1,598,161
------------
Electronics - 3.54%
3,100 3DFX Interactive, Inc. 53,088
2,900 Actel Corp.* 31,175
7,700 Amkor Technology, Inc.* 71,941
2,100 Amphenol Corp.- Class A 81,900
1,500 Analogic Corp. 67,125
2,800 Applied Micro Circuits Corp. 72,450
6,861 Artesyn Technologies, Inc. 109,776
3,600 BMC Industries, Inc. 31,500
3,225 Burr-Brown Corp.* 67,725
5,650 Cable Design Technologies* 116,531
4,500 C-Cube Microsystems, Inc.* 83,529
6,800 Checkpoint Systems, Inc.* 96,050
5,950 CHS Electronics, Inc. 106,356
1,300 Cohu, Inc. 31,606
4,300 Credence Systems Corp.* 81,700
2,248 CTS Corp. 66,316
650 Cubic Corp. 15,519
12,100 Cypress Semiconductor Corp.* 100,575
3,700 Dallas Semiconductor Corp. 114,700
5,400 DII Group, Inc.* 92,135
5,000 Dionex Corp.* 131,875
50 Dynatech Corp.* 156
See Notes to Financial Statements on Pages 32 and 33
16
<PAGE>
- --------------------------------------------------------------------------------
Small Cap Index Portfolio
Schedule of Portfolio Investments June 30, 1998 (unaudited)
- --------------------------------------------------------------------------------
Shares Description Value
------ ----------- -----
3,100 Electroglas, Inc.* $ 40,492
4,000 Etec Systems, Inc.* 140,748
3,000 FSI International, Inc.* 29,061
3,900 GenRad, Inc.* 77,025
11,600 Gentex Corp.* 210,250
2,000 Hadco Corp.* 46,624
10,500 Integrated Device Technology, Inc.* 75,138
2,500 Integrated Process Equipment Corp.* 28,125
10,700 International Rectifier Corp.* 90,950
1,700 ITI Technologies 48,130
1,500 Itron, Inc. 19,125
5,700 Kent Electronics Corp.* 104,378
3,500 Kuhlman Corp. 138,467
3,000 Lattice Semiconductor 85,218
2,700 Lo-Jack Corp.* 33,580
3,900 Marshall Industries* 106,275
1,700 Micrel, Inc.* 55,250
7,300 Microchip Technology, Inc. 190,713
4,800 MTS Systems Corp. 77,098
2,800 Nichols Research Corp.* 76,474
5,100 Nimbus CD International, Inc.* 58,013
6,000 Novellus Systems 214,122
2,400 Oak Industries, Inc.* 84,900
1,300 Park Electrochemical Corp. 27,463
3,100 Photronics, Inc.* 68,392
5,900 Pioneer-Standard Electronics, Inc. 56,788
3,000 Plexus Corp.* 59,625
2,700 Rambus, Inc.* 165,038
1,300 Recoton Corp. 43,550
1,800 Rogers Corp.* 59,400
9,700 S3, Inc.* 49,101
2,600 SDL, Inc.* 62,075
9,000 Sensormatic Electronics 126,000
1,200 Siliconix, Inc.* 29,400
2,500 SpeedFam International, Inc.* 46,093
2,400 Stoneridge, Inc. 43,800
1,900 Technitrol, Inc.* 75,880
3,200 Trimble Navigation Ltd.* 51,798
1,600 Triumph Group, Inc.* 67,200
2,900 Ultratech Stepper, Inc.* 57,275
5,800 Unitrode Corp.* 66,700
6,700 UNOVA, Inc. 144,050
700 Veeco Instruments, Inc.* 17,413
9,700 Vishay Intertechnology, Inc. 173,989
7,900 VLSI Technology 132,570
------------
5,277,484
------------
Engineering - 0.36%
6,300 Catalytica, Inc.* 123,638
600 Engineering Animation* 36,600
2,300 Granite Construction, Inc. 70,438
4,700 Jacobs Engineering Group, Inc.* 150,988
5,100 Lam Research Corp.* 97,538
1,600 Starrett (L.S.) Co. 63,200
------------
542,402
------------
Shares Description Value
------ ----------- -----
Engineering & Construction - 0.09%
3,800 Halter Marine Group, Inc.* $ 57,236
1,800 Stone & Webster, Inc. 71,325
------------
128,561
------------
Entertainment - 0.46%
1,600 Churchill Downs, Inc. 66,400
2,850 Family Golf Centers, Inc.* 72,139
5,300 Florida Panthers Holdings, Inc.* 104,341
5,400 Grand Casino, Inc.* 90,450
3,100 Rio Hotel And Casino, Inc.* 58,513
3,800 SFX Entertainment, Inc. - Class A 174,325
2,800 Speedway Motorsports, Inc.* 71,574
1,689 USA Networks, Inc. 42,436
------------
680,178
------------
Enviromental Control - 0.96%
37,700 Air And Water Technologies - Class A 117,813
2,500 American Disposal Services 117,188
4,800 Calgon Carbon Corp.* 47,698
5,800 Comfort Systems USA, Inc. 135,575
3,000 Dames & Moore, Inc.* 38,625
8,000 Donaldson Co, Inc. 189,000
2,800 Eastern Environmental Services 95,200
2,900 Group Maintenance America Corp. 52,200
6,800 Hussmann International, Inc. 126,222
3,500 IMCO Recycling, Inc. 64,750
2,100 Ionics, Inc.* 77,438
1,000 Mine Safety Appliances Co 75,000
3,000 Superior Services, Inc.* 90,186
2,600 Tecumseh Products Co. - Class A 137,311
71 United States Filter Co. 1,999
1,900 Watsco, Inc. 66,855
------------
1,433,060
------------
Financial Services - 7.19%
5,400 Aames Financial Corp. 74,250
3,200 Advanta Corp.-Class A 70,198
1,700 ALBANK Financial Corp. 119,955
3,650 AMCORE Financial, Inc. 87,600
5,500 AmeriCredit Corp.* 196,279
2,200 Anchor Bancorp Wisconsin, Inc. 85,936
4,200 Anthracite Capital, Inc. 58,275
8,700 Arcadia Financial Ltd.* 65,789
5,900 Archstone Communities Trust 132,750
77 Associated Banc-Corp 2,897
5,400 BancorpSouth, Inc. 113,400
2,375 Bank Of Granite Corp. 74,813
2,800 BankAtlantic Bancorp 36,050
76 BankAtlantic Bancorp, Inc. - Class A 898
3,700 Banknorth Group, Inc. 136,900
3,700 Bay View Capital Corp. 117,475
1,530 BOK Financial Corp.* 72,293
1,000 Capital Factors Holdings, Inc.* 17,625
5,000 Century Business Services 100,000
See Notes to Financial Statements on Pages 32 and 33
17
<PAGE>
- --------------------------------------------------------------------------------
Small Cap Index Portfolio
Schedule of Portfolio Investments June 30, 1998 (unaudited)
- --------------------------------------------------------------------------------
Shares Description Value
------ ----------- -----
1,397 Chemical Financial Corp. $ 59,634
1,600 Chicago Title Corp.* 73,899
5,200 Citizens Banking Corp. 174,850
2,400 CNB Bancshares, Inc. 115,200
2,500 Coast Federal Lit Cont Value Rights 37,813
2,417 Commerce Bancorp, Inc. 141,395
4,475 Commercial Federal Corp. 141,522
5,400 Community First Bankshares, Inc. 141,410
2,700 Conning Corp. 52,650
2,500 ContiFinancial Corp.* 57,813
1,700 Corus Bankshares, Inc. 68,425
3,000 Credit Acceptence Corp.* 25,500
3,000 Cullen/Frost Bankers, Inc. 162,750
3,700 Cuno, Inc. 80,013
2,500 Dain Rauscher Corp. 136,875
4,200 Doral Financial Corp. 73,500
2,675 Downey Financial Corp. 87,406
1,100 Duff & Phelps Credit Rating 61,325
1,600 DVI, Inc. 40,800
3,100 Eastgroup Properties 62,192
3,100 Eaton Vance Corp. 143,567
2,800 Entertainment Properties Trust 51,100
3,200 Everen Capital Corp. 89,600
1,440 F & M Bancorporation, Inc. 60,120
5,000 F & M National Corp. 145,000
3,600 Fidelity National Financial, Inc. 143,323
2,861 Fifth Third Bancorp 180,180
1,350 Financial Federal Corp.* 36,196
2,300 First Colorado Bancorp, Inc. 63,825
920 First Financial Corp.- Indiana 46,345
1,310 First Indiana Corp. 34,224
1,300 First Republic Bank 46,963
1,300 First Savings Bank of Washington
Bancorp, Inc. 32,825
2,400 First Sierra Financial, Inc. 73,200
3,000 First Source 107,250
5,700 First Source Bancorp, Inc. 55,216
2,000 First United Bancshares 97,750
2,350 First Western Bancorp 69,177
5,900 FirstBank Puerto Rico 153,400
1,400 Firstfed Financial Corp. 72,800
2,200 Franchise Mortgage Acceptance Co.* 57,336
5,300 Friedman Billings Ramsey - Class A 76,516
1,300 Frontier Financial Corp. 69,306
650 Fund American Enterprise Holdings 96,200
1,900 Greater Bay Bancorp 65,905
2,400 Hambrecht & Quist Group* 87,149
1,800 Hamilton Bancorp, Inc. 64,856
2,420 Hancock Holding Co. 128,260
1,400 Harris Financial, Inc. 30,800
2,800 Haven Bancorp, Inc. 71,750
2,800 Headlands Mortgage Co. 52,500
2,988 HUBCO, Inc. 107,006
6,800 IMC Mortgage Co.* 71,822
Shares Description Value
------ ----------- -----
6,575 Imperial Bancorp* $ 197,250
6,000 Imperial Credit Industries, Inc.* 141,000
400 Investment Technology Group* 11,000
2,500 Irwin Financial Corp. 72,655
2,800 Jefferies Group, Inc. 114,800
500 John Nuveen & Co, Inc. -Class A 19,844
5 Keystone Financial, Inc. 185
100 Legg Mason, Inc. 5,756
5,400 Local Financial Corp. 70,200
5,300 Long Beach Financial Corp. 58,300
3,950 MAF Bancorp, Inc. 143,681
3,800 McDonald & Company Investments 124,686
2,300 Medallion Financial Corp. 63,250
1,800 Merchants New York Bancorp 66,600
2,600 Mesaba Holdings, Inc. 59,800
3,750 Morgan Keegan, Inc. 97,031
4,600 Morrison Knudsen Corp.* 64,685
1,382 National City Bancshares, Inc. 55,626
3,200 NS Group, Inc. 32,400
4,200 Ocwen Asset Investment Corp.* 69,560
4,087 One Valley Bancorp, Inc. 148,665
42 Peoples Heritage Financial
Group, Inc. 992
7,400 Phoenix Investment Partners 64,283
3,000 Pioneer Group, Inc. 78,936
5,028 Provident Bankshares Corp. 148,311
3,248 Queens County Bancorp, Inc. 141,694
4,170 Republic Bancorp, Inc. 78,709
2,600 Resource America, Inc. - Class A 77,025
1,803 Resources Bancshares Mortgage
Group, Inc. 33,581
8,400 Roslyn Bancorp, Inc. 187,421
2,600 Silicon Valley Bancshares* 92,541
2,500 SL Green Realty Corp. 56,250
1,400 Southern Pacific Funding Corp. 21,962
33 Sovereign Bancorp, Inc. 539
4,625 St. Paul Bancorp, Inc. 104,493
500 Sumitomo Bank Of California 18,875
4,425 Susquehanna Bancshares, Inc. 167,044
3,700 TR Financial Corp. 154,938
2 TCF Financial Corp. 59
3,300 Texas Regional Bancshares, Inc. -
Class A 108,075
1,600 Trans Financial, Inc. 91,800
1,200 Triad Guaranty, Inc.* 40,800
5,370 Trustco Bank Corp. 140,963
1,881 UMB Financial Corp. 93,110
5,400 Unicapital Corp. 103,275
8,000 United Bankshares, Inc. 273,000
3,900 United Companies Financial Corp. 60,938
4,000 UST Corp. 106,000
3,900 Vermont Financial Services Corp. 107,004
3,000 WesBanco, Inc. 80,625
5,668 Westamerica Bancorporation 182,085
See Notes to Financial Statements on Pages 32 and 33
18
<PAGE>
- --------------------------------------------------------------------------------
Small Cap Index Portfolio
Schedule of Portfolio Investments June 30, 1998 (unaudited)
- --------------------------------------------------------------------------------
Shares Description Value
------ ----------- -----
2,100 Westcorp $ 28,875
2,000 Western Bancorp 84,374
3,000 Whitney Holding Corp. 152,250
------------
10,737,623
------------
Food Service/Lodging - 0.82%
1,100 Boykin Lodging Co. 23,856
8,587 Buffets, Inc.* 134,704
3,800 Bristol Hotel Co.* 93,100
2,000 US Restaurant Properties 54,124
5,500 Franchise Financial Corp. 142,654
6,100 Luby's Cafeterias, Inc. 107,128
3,200 Marcus Corp. 57,200
3,500 Maxim Group, Inc. 69,563
1,500 PJ America, Inc. 27,375
7,400 Planet Hollywood International, Inc. -
Class A 51,800
4,700 Ruby Tuesday, Inc.* 72,850
7,400 Ryan's Family Steak House 75,850
1,900 Sbarro, Inc. 51,538
2,500 Showbiz Pizza Time, Inc.* 100,780
4,400 Smithfield Foods* 134,200
1,500 Suburban Lodges of America* 22,688
------------
1,219,410
------------
Foods - 1.16%
3,500 American Italian Pasta Co. -Class A 130,375
3,300 Cellstar Corp.* 42,692
5,000 Chiquita Brands International 70,310
6,600 Corn Products International, Inc. 223,575
3,500 Dreyers Grand Ice Cream, Inc. 70,438
3,900 Earthgrains Co. 217,913
2,300 International Multifoods Corp. 63,250
3,000 Lance, Inc. 67,125
2,200 Michaels Foods, Inc. 64,625
1,600 NPC International, Inc.* 19,600
3,000 Omega Protein Corp. 46,125
1,600 Performance Food Group Co.* 31,800
1,300 Pilgrims Pride Corp. 26,000
6,300 Ralcorp Holding, Inc.* 118,913
6,400 Richfood Holdings, Inc. 132,397
3,100 Smucker (J.M.) Co. 76,917
95 Suiza Foods Corp.* 5,670
700 United Natural Foods, Inc.* 19,950
6,900 Universal Foods Corp. 153,090
5,800 Vlasic Foods International 116,725
4,100 Zapata Corp. 40,488
------------
1,737,978
------------
Forest Products & Paper - 0.09%
3,300 Buckeye Technologies, Inc. 77,755
2,200 Deltic Timber Corp. 55,136
------------
132,891
------------
Shares Description Value
------ ----------- -----
Gaming - 0.09%
10,200 Aztar Corp.* $ 69,482
4,400 Station Casinos, Inc.* 64,623
------------
134,105
------------
HealthCare Diversified - 0.20%
3,800 American Oncology Resources, Inc.* 46,428
3,000 ARM Financial* 66,375
3,500 Cerner Corp.* 99,092
1,200 Healthplan Services Corp. 21,000
1,500 Superior Consultant Holdings Corp.* 64,688
------------
297,583
------------
Healthcare - 1.30%
2,400 Alternative Living Services 64,800
8,100 Apria Healthcare Group, Inc. 54,165
3,000 Assisted Living Concepts, Inc.* 51,750
8,586 Concentra Managed Care, Inc.* 223,236
6,700 Genesis Health Ventures, Inc. 167,500
2,300 Healthcare Financial Partners 141,018
4,300 Henry Schein, Inc.* 198,338
2,100 Inhale Therapeutics Systems* 51,975
1,800 Mariner Health Group, Inc.* 29,925
2,900 Medquist, Inc.* 83,738
6,300 Mid Atlantic Medical Services, Inc.* 72,450
2,400 NCS Healthcare, Inc.* 68,400
11,500 Oxford Health Plans 176,088
2,100 Pediatrix Medical Group, Inc.* 78,093
900 Perclose, Inc.* 25,425
9,000 Phycor, Inc. 149,058
5,000 Renal Care Group, Inc.* 220,310
5,800 Sun Healthcare Group, Inc.* 84,825
------------
1,941,094
------------
Holding Company - 0.21%
700 Giant Cement Holding, Inc. 20,038
2,700 Triarc Companies, Inc.* 59,230
5,800 Walter Industries, Inc.* 162,863
3,000 West Coast Bancorp/Oregon 73,875
------------
316,006
------------
Hospital Supplies & Healthcare - 0.68%
9,300 Alaris Medical, Inc. 64,514
7,700 Covance, Inc.* 173,250
7,300 Fisher Scientific International 105,390
3,200 Haemonetics Corp.* 51,200
5,200 Interim Services, Inc. 167,050
3,400 OEC Medical Systems, Inc. 76,500
1,500 Resmed, Inc. 68,343
1,900 Rural/Metro Corp.* 24,700
2,100 Sabratek Corp. 47,775
2,800 United Payors and United
Providers, Inc. 63,350
12,200 Vencor, Inc. 88,450
See Notes to Financial Statements on Pages 32 and 33
19
<PAGE>
- --------------------------------------------------------------------------------
Small Cap Index Portfolio
Schedule of Portfolio Investments June 30, 1998 (unaudited)
- --------------------------------------------------------------------------------
Shares Description Value
------ ----------- -----
800 Vital Signs, Inc. $ 14,600
2,800 Wesley Jessen Visioncare 64,750
------------
1,009,872
------------
Hotel/Motel - 0.41%
4,800 Boyd Gaming Corp.* 27,600
5,200 Capstar Hotel Company* 145,600
5,200 Choice Hotels Corp., Inc.* 70,522
2,100 Homestead Village, Inc.* 24,938
1,500 Primadonna Resort, Inc.* 21,515
7,300 Prime Hospitality, Inc.* 127,290
8,900 Read-Rite Corp. 80,652
6,500 Red Roof Inns, Inc.* 110,091
------------
608,208
------------
Household Furnishings - 0.70%
1,900 Action Performance Cos., Inc.* 61,155
2,000 Basset Furniture Industries, Inc. 56,374
3,000 Cone Mills Corp.* 25,875
2,100 CORT Business Services Corp.* 66,150
2,600 Department 56, Inc.* 92,300
9,700 Extended Stay America, Inc. 109,125
4,800 Fedders USA, Inc. 32,098
2,900 Garden Ridge Corp.* 56,188
8,000 Heilig-Meyers Co. 98,496
4,300 Juno Lighting, Inc. 101,588
4,900 Kimball International, Inc. - Class B 88,813
2,400 La-Z-Boy Chair, Inc. 135,600
1,800 Mcgrath RentCorp. 38,025
2,000 National Presto Industries, Inc. 77,874
------------
1,039,661
------------
Household Products - 0.31%
2,300 Libbey, Inc. 88,118
5,300 Rayovac Corp. 120,241
1,000 Sawtek, Inc. 14,750
3,200 Toro Co. 109,600
3,700 Windmere Corp. 132,504
------------
465,213
------------
Housing Revenue - 0.11%
5,460 Champion Enterprises, Inc.* 159,705
------------
Human Resources - 0.38%
800 Administaff, Inc. 36,900
2,400 Alternative Resources Corp.* 29,700
3,900 Kelly Services, Inc. - Class A 137,963
6,700 Novacare Employee Services 63,650
6,700 Personnel Group of America, Inc.* 134,000
1,000 Probusiness Services, Inc. 46,750
1,900 SOS Staffing Services 33,368
2,100 Staff Leasing, Inc. 61,950
3,000 Tava Technologies, Inc. 29,625
------------
573,906
------------
Shares Description Value
------ ----------- -----
Insurance - 3.90%
2,500 Acceptance Insurance Cos., Inc.* $ 61,405
3,300 Alfa Corp. 68,475
1,825 Allied Group, Inc. 85,432
1,100 American Annuity Group, Inc. 26,468
2,200 American Heritage Life Investment Corp. 50,875
3,100 Amerin Corp.* 90,480
1,941 Amerus Life Holdings, Inc. - Class A 62,840
2,300 Argonaut Group, Inc. 72,738
2,800 Baldwin & Lyons Inc. - Class A 65,100
3,050 Berkley (W.R.) Corp. 122,189
1,500 Capital Re Corp. 107,438
900 Chartwell Re Corp. 26,493
800 Citizens Corp. 25,050
3,000 CMAC Investment Corp. 184,500
4,200 CNA Surety Corp.* 61,950
3,000 Commerce Group, Inc. 116,250
7,600 Coventry Health Care, Inc. 113,050
1,845 Delphi Financial Group, Inc. - Class A* 103,896
1,700 E.W. Blanch Holdings, Inc. 62,475
3,200 Enhance Financial Services Group,
Inc. 108,000
1,300 Executive Risk, Inc. 95,875
6,200 FBL Financial Group, Inc. - Class A 158,875
2,000 First American Financial Corp. 180,000
2,400 Foremost Corp. of America 57,900
1,500 FPIC Insurance Group, Inc. 50,438
4,378 Frontier Insurance Group, Inc. 98,776
3,600 Gallagher (Arthur J.) & Co. 161,100
1,100 Guarantee Life Companies, Inc. 24,063
2,100 Harleysville Group, Inc. 43,575
5,100 HCC Insurance Holdings, Inc. 112,200
3,100 Highlands Insurance Group, Inc.* 57,350
2,100 Hooper Holmes, Inc.* 44,100
3,850 HSB Group, Inc. 205,975
3,000 John Alden Financial Corp. 66,000
1,100 JSB Financial, Inc. 64,418
900 Kansas City Life Insurance Co. 81,900
2,900 LandAmerica Financial Group* 166,025
1,431 Liberty Corp. 71,996
1,300 Life Re Corp. 106,600
4,900 Life USA Holding, Inc.* 63,391
900 Markel Corp.* 160,593
700 Meadowbrook Insurance Group, Inc. 19,031
2,918 Medical Assurance, Inc.* 80,969
2,200 MMI Companies, Inc. 50,875
2,900 N2K, Inc. 56,913
2,000 NAC Re Corp. 106,750
200 National Western Life Insurance -
Class A* 24,200
3,200 PennCorp. Financial Group, Inc. 65,600
3,300 Pennsylvania Manufacturers 75,900
2,600 Poe & Brown, Inc. 96,686
3,000 Presidential Life Corp. 64,125
3,123 PXRE Corp. 93,690
See Notes to Financial Statements on Pages 32 and 33
20
<PAGE>
- --------------------------------------------------------------------------------
Small Cap Index Portfolio
Schedule of Portfolio Investments June 30, 1998 (unaudited)
- --------------------------------------------------------------------------------
Shares Description Value
------ ----------- -----
4,650 Reinsurance Group of America $ 274,931
3,000 Risk Capital Holdings, Inc.* 74,811
1,000 RLI Corp. 40,687
1,700 SCPIE Holdings, Inc. 57,588
6,500 Selective Insurance Group, Inc. 145,639
1,100 State Auto Financial Corp. 35,063
1,600 Stewart Information Services 77,699
5,900 Tig Holdings, Inc. 135,700
3,900 Town And Country Trust 64,592
1,800 Trenwick Group, Inc. 69,917
5,100 UICI, Inc.* 138,975
2,200 United Fire & Casualty Co. 86,211
2,000 United Wisconsin Services, Inc. 56,750
3,300 Vesta Insurance Group, Inc. 70,330
2,800 Zenith National Insurance Corp. 78,924
------------
5,828,810
------------
Leisure Related - 0.86%
1,100 AMC Entertainment, Inc.* 19,868
1,500 Anchor Gaming* 116,438
2,800 Arctic Cat, Inc. 27,650
4,400 Bally Total Fitness Holdings 158,400
1,000 Carmike Cinemas, Inc. - Class A* 26,937
2,400 Coachmen Industries, Inc. 62,700
700 Gtech Holding Corp.* 23,581
4,300 Handleman Co.* 49,450
7,700 Jostens, Inc. 185,763
2,700 K2, Inc. 47,588
2,200 Pegasus Systems, Inc.* 56,375
2,800 Premier Parks, Inc.* 186,550
1,600 Preview Travel, Inc.* 55,000
3,400 Signature Resorts, Inc.* 56,100
2,200 Steinway Musical Instruments, Inc.* 70,950
2,300 Toy Biz, Inc.* 21,275
3,500 Vail Resorts, Inc.* 93,188
1,200 West Marine, Inc.* 21,600
------------
1,279,413
------------
Machinery - 2.01%
2,510 Albany International Corp. 60,082
1,300 Allied Products Corp. 27,543
2,950 Applied Industrial Technology, Inc. 60,658
3,600 Applied Power, Inc. - Class A 123,750
900 Astec Industries, Inc.* 31,050
4,400 Aviall, Inc.* 60,223
3,300 Blount International, Inc. - Class A 94,050
3,200 Briggs & Stratton* 119,798
1,500 Chart Industries* 35,813
5,100 Cincinnati Milacron, Inc. 123,991
2,100 Columbus McKinnon Corp. 54,600
1,700 Commercial Intertech Corp. 30,813
2,300 DT Industries, Inc. 55,775
5,481 Flowserve Corp. 134,970
1,300 Fusion Systems Rights* 81
3,150 Gardner Denver Machinery, Inc.* 87,019
Shares Description Value
------ ----------- -----
1,800 Gleason Corp. $ 50,625
3,000 Global Industrial Technologies, Inc.* 43,125
2,400 Helix Technology Corp. 36,000
5,750 IDEX Corp. 198,375
5,500 Imation Corp.* 91,091
7,700 JLG Capital Industries, Inc. 155,440
1,500 Kellstrom Industries, Inc.* 43,452
3,100 Kulicke & Soffa Industries, Inc.* 52,700
4,400 Lincoln Electric Co. 97,350
1,825 Lindsay Manufacturing Co. 49,503
2,325 Manitowoc Company, Inc. 93,725
8,300 Mark IV Industries* 179,488
1,900 Nordson Corp. 89,300
1,800 OmniQuip International, Inc. 33,300
2,800 Regal-Beloit Corp. 79,800
1,200 Robbins & Myers, Inc. 34,874
4,200 Roper Industries, Inc. 109,725
1,600 Specialty Equipment Companies, Inc.* 36,200
1,400 SPS Technologies, Inc.* 81,900
1,400 Tennant Co. 61,950
3,400 Terex Corp.* 96,900
2,200 Watts Industries, Inc. 45,925
2,300 Zebra Technologies Corp.- Class A* 98,325
2,100 Zoltek Cos, Inc.* 42,263
------------
3,001,552
------------
Manufacturing - 1.99%
1,000 Advanced Energy Industries* 11,625
1,200 Advanced Lighting Technologies, Inc.* 27,900
3,000 Aftermarket Technology Corp.* 56,250
1,800 Bandag, Inc.* 70,200
2,600 Brady (W.H.) Co. 72,311
3,300 Clarcor, Inc. 69,300
1,400 Day Runner, Inc.* 35,262
2,200 DBT Online, Inc.* 59,400
9,100 Federal Signal Corp.* 221,244
2,400 Fleetwood Enterprises 96,000
2,000 Foamex International, Inc.* 34,874
3,800 Furon Company 68,875
4,400 GenCorp, Inc. 111,100
2,500 Graco, Inc. 87,188
4,200 Griffon Corp.* 53,810
2,300 Hardinge, Inc. 56,063
3,700 Harman International Industries, Inc. 142,450
2,400 Harmon Industries, Inc.* 57,000
2,400 Hayes Lemmerz International, Inc.* 95,400
1,400 Igen International, Inc.* 57,225
50 Insilco Corp.* 2,219
4,300 Labor Ready, Inc.* 129,804
3,800 Lydall, Inc. 55,336
4,300 MDU Resources Group 153,454
2,700 Matthews International Corp. - Class A 66,317
5,000 Mettler-Toledo International* 100,310
1,700 Moog, Inc. - Class A* 64,918
3,700 MotivePower Industries, Inc.* 90,650
See Notes to Financial Statements on Pages 32 and 33
21
<PAGE>
- --------------------------------------------------------------------------------
Small Cap Index Portfolio
Schedule of Portfolio Investments June 30, 1998 (unaudited)
- --------------------------------------------------------------------------------
Shares Description Value
------ ----------- -----
6,006 Paxar Corp.* $ 69,069
2,200 Plantronics, Inc.* 113,300
5,700 Polymer Group, Inc.* 66,263
700 Powerwave Technologies, Inc.* 11,725
2,600 RMI Titanium Co* 59,150
4,300 Scott Technologies, Inc.* 62,888
900 Sequa Corp.- Class A* 60,075
1,500 Standex International Corp. 44,438
1,400 Stepan Co. 41,737
1,200 The Carbide/Graphite Group* 33,374
1,510 Tredegar Industries, Inc. 128,161
2,500 Westinghouse Air Brake Co. 65,938
2,100 Woodward Governor Company* 64,838
------------
2,967,441
------------
Marketing - 0.05%
1,200 CKS Group, Inc.* 21,600
8,600 Sitel Corp.* 56,975
------------
78,575
------------
Medical Biotechnology - 1.31%
5,000 Advanced Tissue Sciences, Inc.* 22,185
2,700 Affymetrix, Inc.* 64,967
4,100 Agouron Pharmaceuticals, Inc.* 124,279
6,500 Bio-Technology General Corp.* 46,105
2,600 Bio-Rad Laboratories, Inc. - Class A* 79,625
1,400 Biomatrix, Inc.* 57,400
3,400 Cytyc Corp.* 55,461
17,500 Gensia Sicor, Inc.* 70,000
3,000 Human Genome Sciences, Inc.* 107,061
1,800 Hvide Marine, Inc. - Class A* 24,412
6,500 IDEXX Laboratories, Inc.* 161,688
4,500 Imclone Systems 55,125
4,000 Medimmune, Inc.* 249,500
6,000 Millennium Pharmaceuticals* 84,750
2,600 Neurex Corp.* 78,975
1,800 Neurogen Corp.* 31,950
3,872 Organogenesis, Inc.* 76,472
4,100 Quest Diagnostics, Inc.* 89,688
3,000 Regeneron Pharmaceuticals, Inc.* 27,654
3,200 SangStat Medical Corp.* 100,400
8,000 Scios, Inc.* 71,000
36 Total Renal Care Holdings* 1,242
3,400 Transition Systems* 36,125
2,700 Transkaryotic Therapies, Inc.* 69,525
3,300 Vical, Inc.* 55,892
1,800 VISX, Inc.* 107,100
------------
1,948,581
------------
Medical Supplies - 1.64%
3,400 Acuson Corp.* 61,836
2,700 ADAC Labs* 60,750
1,900 Arrow International, Inc. 52,130
2,000 ATL Ultrasound, Inc. 91,250
6,200 Ballard Medical Products 111,600
Shares Description Value
------ ----------- -----
1,250 Barr Laboratories, Inc.* $ 49,688
8,700 Capstone Pharmacy Services* 104,939
3,000 Coherent, Inc.* 51,468
2,100 CONMED Corp.* 48,300
2,000 Cooper Companies, Inc.* 72,874
3,300 Datascope Corp.* 87,655
1,600 Diagnostic Products Corp. 46,099
4,579 Enzo Biochem, Inc.* 61,244
2,800 Hologic, Inc.* 50,924
4,400 Immune Response Corp.* 66,000
3,200 Invacare Corp. 82,000
2,700 KV Pharmaceutical Co* 62,267
1,400 LabOne, Inc. 23,275
6,400 Laboratory Corporation Of America
Holdings* 14,797
1,800 Landauer, Inc. 53,775
1 LCA Vision, Inc.* 3
1,400 Life Technologies, Inc. 43,925
2,000 Maxxim Medical, Inc.* 58,000
4,800 Mentor Corp. 116,400
1,000 MiniMed, Inc. 52,375
4,350 Patterson Dental Co.* 159,319
3,900 Physio-Control International Corp.* 102,617
3,851 Respironics, Inc.* 59,929
2,150 Serologicals Corp.* 69,338
3,300 Sola International, Inc. 107,867
66 Sonosight, Inc. 483
5,100 Sunrise Medical, Inc. * 76,500
2,400 Techne Corp.* 45,749
4,800 Theragenics Corp.* 125,098
2,600 Thermo Cardiosystems, Inc.* 59,150
1,800 ThermoLase Corp.* 13,050
1,300 ThermoTrex Corp.* 22,263
4,500 Vivus, Inc.* 27,140
2,200 West Co, Inc.* 62,286
------------
2,454,363
------------
Medical-Hospital Management
Services - 0.91%
3,800 Hanger Orthopedic Group, Inc.* 77,425
4,100 Health Care Property Investors, Inc.* 147,854
1 HealthSouth Corp.* 27
90 Integrated Health Services* 3,375
6,200 Magellan Health Services, Inc.* 157,325
10,700 Medaphis Corp. 64,200
2,200 Medical Manager Corp.* 60,775
1,200 National Surgery Centers, Inc.* 34,874
8,000 NovaCare, Inc.* 94,000
6,800 Orthodontic Centers Of America, Inc.* 142,372
7,107 Paragon* 114,600
9,525 PSS World Medical, Inc.* 139,303
1,550 Res-Care, Inc.* 28,577
5,200 Sierra Health Services, Inc.* 130,972
7,300 Ventas, Inc.* 100,828
3,011 Vitalink Pharmacy Services, Inc.* 66,429
------------
1,362,936
------------
See Notes to Financial Statements on Pages 32 and 33
22
<PAGE>
- --------------------------------------------------------------------------------
Small Cap Index Portfolio
Schedule of Portfolio Investments June 30, 1998 (unaudited)
- --------------------------------------------------------------------------------
Shares Description Value
------ ----------- -----
Metals - 1.35%
7,400 Asarco, Inc.* $ 164,650
2,100 Barnes Group, Inc.* 56,830
31,000 Battle Mountain Gold Co.* 184,047
19,860 Bethlehem Steel* 246,999
2,100 Brush Wellman, Inc.* 43,180
2,800 Castle (A.M.) & Co.* 61,600
2,100 Commonwealth Industries, Inc. 21,000
8,700 Inland Steel Industries, Inc.* 245,227
13,500 LTV Corp.* 129,087
4,700 Mueller Industries, Inc.* 174,488
3,200 Precision Castpar* 170,800
3,300 Quanex Corp. 100,030
2,900 Titanium Metals Corp.* 63,980
1,000 Tremont Corp. 56,187
3,500 Valmont Industries 69,888
1,900 Wolverine Tube, Inc. 72,200
4,500 Wyman/Gordon Co.* 89,717
2,100 ZERO Corp. 59,588
------------
2,009,498
------------
Metals & Mining - 0.53%
5,250 AMCOL International Corp. 63,326
2,500 Arch Coal, Inc. 62,188
2,600 Cleveland-Cliffs, Inc. 139,425
80 Freeport McMoRan Sulphur, Inc. 1,060
4,100 Getchell Gold Corp.* 61,500
11,700 Hecla Mining Co.* 62,150
100 IMC Global, Inc. 3,013
6,700 Kaiser Aluminum Corp.* 64,065
60 Kinross Gold Corp. 195
1,300 MAXXAM, Inc.* 73,775
3,900 Minerals Technologies, Inc. 198,413
2,500 Stillwater Mining Co.* 67,813
------------
796,923
------------
Miscellaneous - 0.39%
2,000 CareMatrix Corp.* 53,874
2,700 CCC Information Services Group* 44,550
5,500 Cymer, Inc.* 88,688
4,500 D.R. Horton, Inc. 93,938
2,000 Education Management Corp. 65,750
2,200 Medical Manager Corp.* 60,775
4,700 Newport News Shipbuilding Inc. 125,725
2,500 SIPEX Corp.* 53,750
100 Sunburst Hospitality Corp.* 694
------------
587,744
------------
Natural Gas - 0.05%
1,839 Semco Energy, Inc.* 32,301
1,465 Southern Union Co.* 47,246
------------
79,547
------------
Office Equipment & Computers - 0.59%
4,300 American Business Products, Inc. 88,150
1,100 CSS Industries, Inc.* 36,025
Shares Description Value
------ ----------- -----
700 General Binding Corp. $ 25,768
1,700 Hunt Manufacturing Co. 40,268
9,200 Intergraph Corp.* 78,770
3,300 Knoll, Inc.* 97,350
1,600 New England Business Service, Inc. 51,600
2,000 BT Office Products International* 27,000
2,800 Scotsman Industries, Inc. 77,700
2,100 SLI, Inc.* 54,863
1,800 Standard Register Co. 63,675
2,100 Thomas Industries, Inc. 51,318
3,000 United Stationers, Inc.* 194,250
------------
886,737
------------
Oil Related - 3.78%
500 Aquila Gas Pipeline Corp. 6,125
2,400 Atwood Oceanics, Inc.* 95,549
5,900 Barrett Resources Corp.* 220,878
5,800 Benton Oil & Gas Co.* 61,625
2,400 Berry Petroleum Co - Class A 31,200
5,900 Brown (Tom), Inc.* 110,991
3,700 Cabot Oil & Gas Corp.- Class A 74,000
11,580 Chesapeake Energy Corp. 46,320
3,300 Comstock Resources, Inc.* 24,542
7,975 Cross Timbers Oil Co. 152,019
4,200 Devon Energy Corp. 146,735
22,800 EEX Corp.* 213,750
5,000 Equitable Resources, Inc. 152,500
3,300 Forcenergy, Inc.* 58,780
3,700 Forest Oil Corp.* 52,954
5,500 Foster Wheeler Corp.* 117,904
5,900 Frontier Oil Corp.* 47,200
1,100 Getty Realty Corp. 21,313
19,600 Grey Wolf, Inc.* 62,465
5,200 Hanover Compressor* 140,722
16,600 Harken Energy Corp.* 79,879
6,700 Helmerich & Payne, Inc.* 149,075
1,100 Holly Corp. 28,325
1,500 Houston Exploration Co.* 34,406
2,300 HS Resources, Inc.* 33,493
5,100 KCS Energy, Inc. 58,329
23,800 Kelley Oil And Gas Corp.* 55,026
3,800 Key Energy Group, Inc.* 49,875
8,700 Lee Enterprises* 266,438
4,900 Lone Star Technologies, Inc.* 74,725
3,400 Louis Dreyfus Natural Gas Corp.* 64,386
7,200 Marine Drilling Co., Inc.* 115,200
2,376 Meridian Resource Corp.* 16,779
7,800 Methode Electronics Inc. 120,900
3,800 Mitchell Energy & Development Corp.* 76,000
4,300 Newfield Exploration Co.* 106,963
12,600 Newpark Resources, Inc.* 140,175
4,100 Nuevo Energy Co.* 131,713
3,700 Oceaneering International, Inc.* 65,675
13,600 Parker Drilling Co.* 96,043
3,900 Plains Resources, Inc.* 69,954
See Notes to Financial Statements on Pages 32 and 33
23
<PAGE>
- --------------------------------------------------------------------------------
Small Cap Index Portfolio
Schedule of Portfolio Investments June 30, 1998 (unaudited)
- --------------------------------------------------------------------------------
Shares Description Value
------ ----------- -----
7,100 Pogo Producing Co.* $ 178,388
3,100 Pool Energy Services Co.* 45,725
6,800 Pride International, Inc.* 115,172
7,600 Quaker State Corp. 124,450
13,800 Santa Fe Energy Resources* 148,350
1,800 Seacor Smit, Inc.* 110,362
11,800 Seagull Energy Corp.* 195,432
6,700 Security Capital Corp. 178,388
7,000 Snyder Oil Corp. 139,559
2,400 St. Mary Land & Exploration Co. 57,900
2,200 Stone Energy Corp.* 78,236
1,930 Swift Energy Co.* 30,758
3,600 Tesoro Petroleum, Corp.* 57,150
7,200 Titan Exploration, Inc.* 63,900
4,200 Transmontaigne Oil Co.* 62,475
4,100 Trico Marine Services, Inc.* 56,117
6,100 Tuboscope, Inc.* 120,475
4,900 Vintage Petroleum, Inc. 92,488
3,600 Western Gas Resources, Inc. 52,650
3,700 Zeigler Coal Holding Co. 63,363
------------
5,642,269
------------
Oil Supplies & Construction - 0.32%
3,200 Cliffs Drilling Co.* 105,000
1,900 Daniel Industries 36,100
7,500 Input/Output, Inc.* 133,590
2,900 Lomak Petroleum, Inc. 30,267
5,900 Patterson Energy, Inc.* 57,708
5,100 Seitel, Inc.* 82,554
5,700 Superior Energy Services, Inc.* 28,853
400 Utility Energy Corp.* 5,150
------------
479,222
------------
Paper - 0.66%
3,400 Caraustar Industries Inc. 98,175
6,500 Glatfelter (P.H.) Co. 102,778
4,500 Media General, Inc. 219,375
3,900 Potlatch Corp. 163,800
3,800 Rayonier, Inc. 174,800
3,900 Rock-Tenn Co. 48,992
7,770 Wausau Paper Mills Co. 177,739
------------
985,659
------------
Pharmaceuticals - 1.31%
1,300 Algos Pharmaceuticals* 35,100
3,000 Alkermes, Inc.* 53,625
1,000 ANDRX Corp.* 36,750
2,100 Bindley Western Industries, Inc. 69,300
1,845 Block Drug Co, Inc. 70,110
5,500 Carter-Wallace, Inc. 99,341
3,100 Columbia Laboratories, Inc.* 17,825
1,800 Curative Health Services, Inc.* 51,300
3,400 Duane Reade, Inc.* 102,000
1,700 Entremed, Inc.* 56,525
4,400 Fuisz Technologies Ltd* 48,673
Shares Description Value
------ ----------- -----
2,600 Geltex Pharmaceutical, Inc.* $ 48,425
3,500 Guilford Pharmaceuticals, Inc.* 61,688
50 ICN Pharmaceuticals, Inc. 2,284
4,700 ICOS Corp.* 89,888
2,600 IDEC Pharmaceuticals Corp.* 61,261
3,100 Jones Pharmaceuticals, Inc.* 102,688
7,600 Ligand Pharmaceutical - Class B* 97,850
1,000 Miravant Medical Technology* 22,093
10,000 NBTY, Inc.* 183,750
2,800 Owens & Minor, Inc. Holding Co. 28,000
4,600 Parexel International Corp.* 167,325
2,500 PathoGenesis Corp.* 72,500
3,766 Pharmaceutical Product Development,
Inc.* 82,852
4,700 Sepracor, Inc.* 195,050
50 TheraTech, Inc.* 506
1,900 Thermedics, Inc.* 23,513
2,600 Triangle Pharmaceuticals, Inc.* 38,675
4,200 U.S. Bioscience, Inc.* 34,385
------------
1,953,282
------------
Photography & Optical - 0.16%
2,300 CPI Corp. 54,768
2,700 Innovex, Inc. 35,267
4,600 Oakley, Inc.* 59,800
1,800 Ocular Sciences, Inc.* 58,500
2,200 X-Rite, Inc. 30,111
------------
238,446
------------
Printing & Publishing - 1.24%
10,000 American Media, Inc.- Class A* 66,250
4,000 Banta Corp. 123,500
3,600 Big Flower Press Holdings, Inc.* 108,000
3,800 Bowne & Co., Inc. 171,000
12,700 Cirrus Logic, Inc.* 141,288
1,500 Consolidated Graphics, Inc.* 88,500
4,200 Harland (John H.) 71,135
5,000 Hollinger International, Inc.* 85,000
4,900 Houghton Mifflin Co. 155,575
1,700 John Wiley & Sons, Inc. 103,488
3,100 Journal Register Co.* 51,925
6,500 Mail Well, Inc.* 140,966
3,025 McClatchy Newspapers, Inc 104,741
3,200 Merrill Corp. 70,598
2,300 Petersen Companies, Inc.- Class A* 58,938
1,700 Scholastic Corp.* 67,788
7,000 World Color Press Inc. 245,000
------------
1,853,692
------------
Professional Services - 0.90%
3,700 ABR Information Services, Inc.* 87,875
3,300 Franklin Covey Co.* 63,525
1,300 Lason, Inc.* 70,850
3,200 Mapics, Inc.* 62,998
1,100 Maximus, Inc.* 31,625
See Notes to Financial Statements on Pages 32 and 33
24
<PAGE>
- --------------------------------------------------------------------------------
Small Cap Index Portfolio
Schedule of Portfolio Investments June 30, 1998 (unaudited)
- --------------------------------------------------------------------------------
Shares Description Value
------ ----------- -----
1,900 On Assignment, Inc.* $ 66,380
4,900 PMT Services, Inc.* 124,641
21,280 Safety-Kleen Corp.* 77,140
1,400 Scientific Games Holdings Corp.* 32,200
1,600 Strayer Education, Inc. 58,000
2,500 Sturm, Ruger & Co., Inc. 41,875
4,825 Tetra Tech, Inc. 117,006
1,800 Tetra Technologies, Inc.* 29,700
1,300 Unifirst Corp. 32,500
2,600 U.S. Rentals, Inc.* 102,536
4,000 Veritas DGC, Inc.* 199,748
3,300 Veterinary Centers of America, Inc.* 62,080
1,300 Wackenhut Corp. 29,413
2,200 Wackenhut Corrections Corp.* 51,425
------------
1,341,517
------------
Real Estate - 7.08%
5,300 Alexander Haagen Properties 79,829
2,600 Alexandria Real Estate Equity, Inc. 77,836
3,200 American General Hospitality Corp. 68,000
5,600 American Health Properties, Inc. 140,000
4,700 Amli Residential Properties Trust 100,754
2,200 Associated Estates Realty Corp. 41,111
81 Avalon Bay Communities, Inc. 3,060
1,000 Avatar Holdings, Inc.* 27,875
2,200 Bedford Property Investors 40,150
2,900 Berkshire Realty Co., Inc. 33,892
1,900 Bradley Real Estate, Inc. 40,138
6,400 Brandywine Realty Trust* 143,200
5,700 BRE Properties, Inc. 148,553
3,200 Burnham Pacific Properties, Inc.* 45,398
2,400 Cabot Industrial Trust* 51,300
8,858 Camden Property Trust 263,526
4,100 Capital Automotive REIT 58,167
12,400 Capstead Mortgage Corp. 103,850
1,400 Capstone Capital Corp. 32,200
3,500 Castle & Cooke, Inc.* 66,500
2,700 CB Richard Ellis Services* 90,280
3,000 CBL & Associates Properties, Inc. 72,750
4,100 CCA Prison Realty Trust* 125,563
2,400 CenterPoint Properties Corp. 79,349
2,800 Chateau Communities, Inc. 80,500
2,100 Chelsea GCA Realty, Inc. 84,000
3,500 Colonial Properties Trust 108,500
2,900 Commercial Net Lease Realty 46,942
5,000 Cornerstone Realty Income Trust, Inc. 57,185
5,700 Cousins Properties, Inc. 170,288
4,100 CRIIMI MAE, Inc. 56,888
3,100 Crown American Realty Trust 30,030
3,800 Developers Diversified Realty Corp. 148,911
10,500 Dynex Capital, Inc. 116,813
4,800 Equity Inns, Inc. 63,298
2,000 Essex Property Trust, Inc. 62,000
3,200 Excel Legacy Corp.* 14,000
2,100 Excel Realty Trust, Inc. 60,375
Shares Description Value
------ ----------- -----
8,500 Fairfield Communities, Inc.* $ 163,090
5,400 Federal Realty Investment Trust 129,935
4,300 Felcor Suite Hotels, Inc. 134,913
7,800 First Industrial Realty Trust, Inc. 247,650
7,600 First Union Real Estate 70,300
1,000 Forest City Enterprises, Inc. 59,187
5,400 Gables Residential Trust 146,475
4,800 General Growth Properties 179,400
6,300 Glenborough Realty Trust, Inc. 166,163
3,200 Glimcher Realty Trust 62,198
2,400 Golf Trust Of America, Inc.* 82,500
4,900 Great Lakes REIT, Inc.* 85,441
2,700 Grubb & Ellis Co.* 38,475
5,200 Health Care REIT 132,600
5,300 Healthcare Realty Trust, Inc. 144,425
3,600 Home Properties Of New York, Inc.* 96,073
330 Horizon Group Properties, Inc. 2,175
4,700 Hospitality Properties Trust 150,988
3,300 Impac Mortgage Holdings, Inc.* 51,355
4,700 Imperial Credit Industries, Inc.* 61,391
2,400 Innkeepers USA Trust 30,300
3,000 Insignia Financial Group, Inc.* 73,500
4,900 IRT Property Co. 53,900
2,500 Irvine Apartment Communities, Inc. 72,343
2,800 JDN Realty Corp. 89,250
1,200 JP Realty, Inc. 28,274
2,300 Kilroy Realty Corp. 57,500
1,500 Kimco Realty Corp.* 61,500
324 Kimco Realty Corp. - Class D* 8,748
3,600 Koger Equity, Inc. 72,673
2,000 Lasalle Partners, Inc.* 89,000
4,000 Laser Mortgage Management, Inc.* 43,500
3,500 LTC Properties, Inc. 65,188
2,100 Macerich Co. 61,555
2,700 Manufactured Home
Communities, Inc. 65,138
5,300 Merry Land Investment Co. 111,629
5,549 Mid-Am, Inc. 140,112
2,500 Mid-America Apartment
Communities, Inc. 65,780
3,000 Mills Corp. 72,000
2,200 National Golf Properities, Inc. 66,136
2,900 National Health Investors, Inc. 96,425
8,900 Nationwide Health Properties, Inc. 212,488
8,000 New Plan Realty Trust* 196,000
2,700 OMEGA Healthcare Investors, Inc. 94,838
64 OMEGA Worldwide, Inc.* 484
3,400 Pacific Gulf Properties, Inc.* 72,461
1,500 Pan-Pacific Retail Properties, Inc.* 30,563
3,600 Pennsylvania Real Estate Investment
Trust 79,873
91 Post Properties, Inc. 3,504
5,300 Prentiss Properties Trust 128,854
2,100 Price Enterprises, Inc. 38,588
10,229 Prime Retail, Inc. 122,104
See Notes to Financial Statements on Pages 32 and 33
25
<PAGE>
- --------------------------------------------------------------------------------
Small Cap Index Portfolio
Schedule of Portfolio Investments June 30, 1998 (unaudited)
- --------------------------------------------------------------------------------
Shares Description Value
------ ----------- -----
400 Prime Retail, Inc. - Preferred B $ 8,200
3,200 PS Business Parks, Inc.* 75,200
3,200 Pulte Corp. 95,600
6,200 Realty Income Corp. 163,525
5,400 Reckson Association Realty Corp. 127,575
16 Reckson Service Industries 53
3,100 Redwood Trust, Inc. 54,442
3,200 Regency Realty Corp. 80,400
4,300 RFS Hotel Investors, Inc. 81,700
170 Security Capital Atlantic, Inc. 3,793
6,400 Shurgard Storage Centers, Inc. 177,600
2,100 Smith (Charles E.) Residential
Realty, Inc. 67,200
1,600 Sovran Self Storage, Inc. 45,200
3,000 Spartech Corp.* 64,311
3,000 Storage Trust Realty 70,125
3,700 Storage USA, Inc. 129,500
4,200 Summit Properties, Inc. 79,535
4,400 Sun Communities, Inc. 145,750
3,000 Sunrise Assisted Living, Inc.* 103,125
4,400 Sunstone Hotel Investors, Inc. 58,573
200 Tanger Factory Outlet Center 6,337
5,000 Taubman Centers, Inc. 71,250
5,400 Thornburg Mortgage Asset Corp. 65,810
3,800 Trammell Crow Co.* 127,061
5,100 TriNet Corporate Realty Trust 173,400
18,500 United Dominion Realty Trust* 256,688
2,400 Urban Shopping Centers, Inc. 75,600
2,700 Walden Residential Properties, Inc. 66,150
8,700 Washington Real Estate Investment
Trust 151,163
2,500 Weeks Corp. 79,063
3,500 Weingarten Realty Investment* 146,342
4,000 Westfield America, Inc.* 73,500
------------
10,565,724
------------
Retail - 3.53%
1,600 99 Cents Only Stores* 66,400
1,100 Abacus Direct Corp.* 57,131
900 Alexander's, Inc.* 80,100
2,500 American Eagle Outfitters* 96,405
4,200 Ames Department Stores, Inc.* 110,510
4,100 AnnTaylor Stores* 86,867
400 Blair Corp.* 12,800
1,500 Brylane, Inc.* 69,000
1,600 The Buckle, Inc.* 47,200
4,420 Burlington Coat Factory Warehouse 99,450
10,400 Casey's General Stores, Inc. 172,245
5,269 Cash America International, Inc. 80,352
3,200 Cato Corp. - Class A* 55,699
5,500 Claire's Stores, Inc. 112,750
1,500 Coldwater Creek, Inc.* 41,250
2,900 Cole National Corp.* 116,000
3,000 Compucom Systems, Inc.* 19,500
300 Copart, Inc.* 6,938
Shares Description Value
------ ----------- -----
1,800 Cost Plus, Inc.* $ 53,550
1,100 Discount Auto Parts, Inc.* 28,600
2,600 Dress Barn, Inc.* 64,675
5,200 Eagle Hardware & Garden, Inc.* 120,250
1,100 Elder - Beerman Stores Corp.* 29,356
2,200 Enesco Group, Inc. 67,650
2,200 Fabri-Centers Of America - Class A* 60,225
8,300 Fingerhut Companies, Inc. 273,900
3,500 The Finish Line, Inc. - Class A* 98,438
5,100 Fleming Companies, Inc. 89,566
1,600 Friedmans, Inc.* 26,499
1,200 Gadzooks, Inc.* 33,074
1,460 Genovese Drug Stores 28,653
2,300 Gibson Greetings, Inc.* 57,500
2,400 Global DirectMail Products, Inc.* 30,300
1,200 Goody's Family Clothing, Inc.* 65,850
2,200 Guitar Center, Inc.* 66,275
4,000 Gymboree Corp.* 60,624
5,300 Hancock Fabrics, Inc. 66,250
4,800 Hollywood Entertainment Corp.* 65,098
9,200 Homebase, Inc.* 73,020
3,150 Just For Feet, Inc.* 89,775
900 Kenneth Cole Productions, Inc.* 23,288
5,100 Linens & Things, Inc.* 155,866
4,000 Longs Drug Stores Corp. 115,500
1,600 Memberworks, Incorporated* 51,600
2,250 The Men's Wearhouse, Inc.* 74,250
3,300 Michaels Stores, Inc.* 116,427
4,600 Micro Warehouse, Inc.* 71,300
1,200 Mikasa, Inc. 15,300
2,100 Movado Group* 63,525
4,200 Musicland Stores Corp.* 58,800
3,200 Nine West Group, Inc.* 85,798
2,400 North Face, Inc.* 57,600
2,450 Oneida Ltd 75,031
2,550 Pacific Sunwear Of California* 89,250
2,800 Petco Animal Supplies, Inc.* 55,824
15,600 PETsMART, Inc.* 156,000
2,400 Regis Corp. 70,949
5,100 ShopKo Stores, Inc.* 173,400
1,300 Smart & Final, Inc. 22,263
30,400 Southland Corp. 83,600
4,950 The Sports Authority, Inc.* 73,938
3,700 Stage Stores, Inc.* 167,425
4,700 Stein Mart, Inc.* 63,450
6,600 Sunglass Hut International* 73,009
2,700 Talbots 70,705
1,300 Trans World Entertainment Corp.* 56,063
29 U.S. Office Products Co. 566
1,300 Urban Outfitters, Inc.* 23,725
1,500 Value City Department Stores, Inc.* 31,500
2,400 Wilmar Industries, Inc.* 61,200
89 Workflow Management, Inc.* 716
4,800 Zale Corp.* 152,698
------------
5,270,291
------------
See Notes to Financial Statements on Pages 32 and 33
26
<PAGE>
- --------------------------------------------------------------------------------
Small Cap Index Portfolio
Schedule of Portfolio Investments June 30, 1998 (unaudited)
- --------------------------------------------------------------------------------
Shares Description Value
------ ----------- -----
Retail-Food - 1.14%
8,300 Advantica Restaurant Group* $ 80,925
6,500 Apple South, Inc. 84,903
4,200 Applebee's International, Inc. 93,975
8,300 Bob Evans Farms, Inc. 175,852
2,250 Cheesecake Factory (The)* 50,906
30 CKE Restaurants, Inc. 1,238
3,200 Consolidated Products, Inc.* 67,600
2,000 Dave & Buster's, Inc.* 49,750
1,900 Dominick's Supermarkets, Inc.* 84,668
7,200 Foodmaker, Inc.* 121,500
2,400 Great Atlantic & Pacific Tea Co. 79,349
2,300 Hain Food Group, Inc.* 59,513
4,000 Host Marriott Services Corp.* 58,248
1,200 IHOP Corp.* 49,650
1,300 Ingles Markets, Inc. 18,850
3,500 Landry's Seafood Restaurants, Inc.* 63,326
4,700 Lone Star Steakhouse & Saloon* 64,916
3,900 MicroAge, Inc.* 55,329
4,050 Papa John's International, Inc.* 159,720
5,150 Rainforest Cafe, Inc.* 71,456
6,600 Ruddick Corp. 119,625
4,250 Sonic Corp.* 95,094
------------
1,706,393
------------
Steel - 0.64%
6,100 AK Steel Holding Corp. 109,038
12,200 Armco, Inc.* 77,775
3,700 Birmingham Steel Corp. 45,788
4,100 Carpenter Technology Corp. 206,025
2,250 Chase Industries, Inc.* 44,438
500 Citation Corp.* 10,000
3,500 Commercial Metals Co. 107,625
800 Gibraltar Steel Corp* 16,400
1,800 J&L Specialty Steel, Inc. 10,687
1,400 Maverick Tub Corp.* 16,275
4,300 MDC Holdings, Inc.* 84,925
4,500 National Steel Corp. - Class B* 53,438
3,100 Oregon Steel Mills, Inc. 57,738
3,200 Rohn Industries, Inc. 14,998
1,300 Shiloh Industries, Inc.* 26,325
4,900 Steel Dynamics, Inc.* 67,988
------------
949,463
------------
Telecommunications - 4.40%
4,700 Aliant Communications, Inc. 128,954
5,700 Allen Telecommunications, Inc.* 66,263
3,800 Alpine Group, Inc.* 78,850
2,400 American Mobile Satellite Corp., Inc.* 23,400
1,800 American Tower Corp. - Class A 44,887
3,450 ANTEC Corp.* 79,995
5,600 APAC Teleservices, Inc.* 32,721
8,900 Aspect Telecommunications* 243,638
3,700 Associated Group, Inc.* 151,700
1,900 California Microwave, Inc.* 33,250
Shares Description Value
------ ----------- -----
2,800 Cellular Communications
International, Inc.* $ 139,650
2,000 Centennial Cellular Corp.* 74,624
1,700 Tower Realty Trust, Inc.* 38,038
3,200 CFW Communications Co. 74,400
2,200 Coherent Communication
Systems Corp.* 102,986
2,100 Commonwealth Telephone
Enterprises, Inc.* 55,388
2,400 Concord Communications, Inc.* 61,349
4,600 CSG Systems International, Inc.* 215,625
1,500 Cylink Corp.* 18,000
1,500 Davox Corp.* 32,813
7,100 Digital Microwave Corp.* 51,475
5,400 DSP Communications, Inc.* 74,250
2,400 EchoStar Communications Corp.* 57,749
6,400 e. spire Communications, Inc.* 144,397
2,424 Gemstar International Group Ltd* 90,747
4,600 General Cable Corp. 132,825
10,400 General Communications* 63,045
1,900 Genesys Telecom Labs, Inc.* 62,818
2,100 Geotel Communications Corp.* 85,575
8,300 Glenayre Technologies, Inc.* 89,225
9,100 ICG Communications, Inc.* 271,810
1,900 IDT Corp.* 57,118
8,800 InterDigital Communications Corp.* 47,300
3,200 IXC Communications, Inc.* 155,200
2,100 Jones Intercable, Inc. - Class A* 52,500
3,000 LCC International, Inc.* 55,500
5,675 Level One Communications, Inc.* 133,363
2,850 MasTec, Inc.* 68,044
1,700 Metro Networks, Inc.* 73,313
1,300 Metromedia Fiber Network- Class A* 60,613
800 Mindspring Enterprises, Inc.* 82,300
3,800 MMC Networks, Inc.* 121,125
1,500 Natural Microsystems Corp.* 24,000
3,500 Network Equipment Technologies, Inc.* 54,905
3,500 North Pittsburgh Systems, Inc. 55,780
4,500 NTL Inc.* 240,750
5,700 Omnipoint Corp.* 130,741
6,200 P-COM, Inc.* 56,767
1,500 Pacific Gateway Exchange, Inc.* 60,093
7,900 PageMart Wireless, Inc.- Class A* 71,590
8,100 Picturetel Corp.* 74,925
3,700 Powertel, Inc.* 68,450
6,600 Premiere Technologies, Inc.* 54,754
4,800 Premisys Communications* 119,400
4,000 RCN Corp.* 77,500
7,400 Skytel Communications, Inc.* 173,204
1,800 Sportsline USA, Inc.* 65,812
2,500 Star Telecommunications* 55,938
1,400 Superior Telecom, Inc. 58,275
8,500 TCI Satellite Entertainment - Class A* 49,938
4,400 Tekelec* 196,900
5,500 Tel-Save Holdings, Inc.* 81,125
See Notes to Financial Statements on Pages 32 and 33
27
<PAGE>
- --------------------------------------------------------------------------------
Small Cap Index Portfolio
Schedule of Portfolio Investments June 30, 1998 (unaudited)
- --------------------------------------------------------------------------------
Shares Description Value
------ ----------- -----
2,300 Telemundo Group, Inc. - Class A* $ 97,893
1,500 TMP Worldwide, Inc.* 52,313
1,200 Transaction Network Services, Inc.* 25,274
5,800 U.S. Satellite Broadcasting* 67,785
3,600 Vanguard Cellular Systems, Inc.* 67,950
3,500 Visual Networks, Inc.* 128,188
2,400 West Teleservices Corp.* 29,100
1,700 Westell Technologies* 15,725
13,200 Western Wireless Corp. - Class A* 263,168
5,400 WinStar Communications, Inc.* 231,860
2,900 World Access, Inc.* 87,000
------------
6,563,926
------------
Television - 0.32%
2,300 Adelphia Communications - Class A 85,388
4,800 Ascent Entertainment Group, Inc.* 53,400
1,900 Emmis Broadcasting Corp.* 90,843
2,700 Gaylord Entertainment 87,075
2,600 Hollywood Park, Inc.* 32,825
3,976 Midway Games, Inc. 62,125
3,700 Playboy Enterprises, Inc.* 65,675
------------
477,331
------------
Textiles - 0.23%
3,700 Apogee Enterprises, Inc. 56,654
8,100 Burlington Industries, Inc.* 113,902
8,500 Collins & Aikman 63,215
5,150 Guilford Mills, Inc. 103,000
------------
336,771
------------
Tobacco - 0.31%
1,400 Consolidated Cigar Holdings, Inc.* 17,150
6,000 DIMON, Inc. 67,500
3,278 General Cigar Holdings, Inc.* 32,370
2,200 Schweitzer-Mauduit International, Inc. 63,800
4,700 Universal Corp.* 175,663
2,900 Varlen Corp.* 100,050
------------
456,533
------------
Transportation - 2.01%
4,700 Air Express International Corp. 125,725
7,600 AirTran Holdings, Inc.* 57,236
2,700 Alaska Air Group, Inc.* 147,317
8,300 Alexander & Baldwin* 241,738
7,500 America West Holdings Corp.* 214,215
4,700 Arvin Industries, Inc. 170,666
4,200 ASA Holdings, Inc. 208,425
2,100 Atlas Air, Inc.* 71,005
2,300 Avondale Industries, Inc.* 63,464
5,500 C.H. Robinson Worldwide, Inc.* 136,813
1,700 Circle International Group, Inc. 47,600
4,400 Coach USA, Inc.* 200,750
4,200 Consolidated Freightways Corp.* 58,535
3,300 Expeditors International of Washington,
Inc. 145,200
Shares Description Value
------ ----------- -----
1,500 Florida East Coast $ 43,875
4,800 Fritz Cos, Inc.* 64,200
8,200 Greyhound Lines, Inc.* 49,708
1,600 Interpool, Inc. 23,099
2,862 Kirby Corp.* 72,266
3,600 Kitty Hawk, Inc.* 61,200
660 Marine Transport Corp.* 2,681
3,500 Offshore Logistics, Inc.* 62,125
3,000 OMI Corp.* 24,000
6,300 Overseas Shipholding Group, Inc. 128,363
4,300 Pittston Burlington Group 66,917
5,400 Swift Transportations Co, Inc.* 106,985
5,000 Valassis Communications* 192,810
9,400 Wisconsin Central Transportation* 205,625
------------
2,992,543
------------
Trucking, Shipping - 0.78%
2,000 AMERCO* 58,874
3,000 American Freightways Corp.* 30,000
4,600 Arnold Industries, Inc. 67,850
2,250 Heartland Express, Inc.* 45,563
4,500 Hunt (J.B.) Transport Services, Inc. 160,313
750 Knight Transportation, Inc.* 14,344
1,700 Landstar System, Inc.* 59,393
1,300 MS Carriers* 35,263
3,600 Roadway Express, Inc. 67,950
10,850 Rollins Truck Leasing Corp. 134,269
3,500 USFreightways Corp. 114,951
6,363 Werner Enterprises, Inc. 121,282
3,100 Xtra Corp. 187,550
3,300 Yellow Corp.* 61,255
------------
1,158,857
------------
Utilities - 4.31%
1,000 Aquarion Co.* 34,187
4,000 Atmos Energy Corp. 122,000
1,800 Bay State Gas Co. 68,962
2,650 Black Hills Corp. 60,950
3,200 California Water Service Co. 80,400
2,800 Calpine Corp.* 56,524
5,400 Cellnet Data Systems* 52,310
3,900 Central Hudson Gas & Electric Corp. 178,913
4,400 Central Maine Power Co. 85,800
1,800 CILCORP, Inc. 86,400
1 Citizens Utilities Co. - Class B 8
4,600 CLECO Corp. 136,850
1,300 Colonial Gas Co. 37,213
2,300 Commonwealth Energy Systems 86,825
75 Conectiv, Inc. 1,538
12 Conectiv, Inc.- Class A 435
2,800 Connecticut Energy Corp. 78,050
4,500 Eastern Enterprises 192,938
2,700 Eastern Utilities Associates 70,875
7,500 El Paso Electric Co.* 68,903
2,200 Empire District Electric Co. 45,925
See Notes to Financial Statements on Pages 32 and 33
28
<PAGE>
- --------------------------------------------------------------------------------
Small Cap Index Portfolio
Schedule of Portfolio Investments June 30, 1998 (unaudited)
- --------------------------------------------------------------------------------
Shares Description Value
------ ----------- -----
3,400 Energen Corp. $ 68,425
2,400 E'town Corp. 90,000
6,400 Hawaiian Electric Industries 253,997
5,000 Idaho Power* 178,125
2,600 Indiana Energy, Inc. 77,675
2,000 International Telecommunications
Data Systems* 58,000
97 Interstate Energy Corp. 3,152
4,600 ITC Deltacom, Inc.* 196,576
2,400 Laclede Gas Co. 58,800
3,600 Madison Gas & Electric Co. 82,350
6,700 Minnesota Power & Light Co. 266,325
10,100 Nevada Power Co. 260,075
2,400 New Jersey Resources Corp. 84,649
4,600 Northwestern Corp. 115,000
3,300 Northwest Natural Gas Co. 92,294
400 NUI Corp. 10,175
6,000 ONEOK, Inc. 239,250
1,700 Orange & Rockland Utilities, Inc. 91,268
1,600 Otter Tail Power Co. 59,299
2,800 Pennsylvania Enterprises, Inc. 75,424
4,700 Peoples Energy* 181,538
3,133 Philadelphia Suburban Co. 68,534
6,200 Piedmont Natural Gas Co., Inc. 208,475
5,600 Public Service Company of New
Mexico 127,047
2,800 Public Service Company of North
Carolina, Inc. 60,900
7,900 Rochester Gas & Electric Corp. 252,302
4,000 Sierra Pacific Resources 145,248
3,150 SIGCORP, Inc. 100,995
1,000 South Jersey Industries, Inc. 27,625
3,300 Southwestern Energy Co. 30,317
3,700 Southwest Gas Corp. 90,417
1,900 TNP Enterprises, Inc. 58,663
5,300 UGI Corp. 131,838
4,400 Unisource Energy Corp.* 69,300
1,900 United Illuminating Co. 96,188
3,600 United Water Resources, Inc. 64,800
Shares Description Value
------ ----------- -----
5,900 Washington Gas Light Co. $ 157,825
11,300 Washington Water Power Co. 253,538
5,000 Wicor, Inc. 115,625
5,500 WPS Resources Corp. 180,466
2,400 Yankee Energy System, Inc. 59,100
2,500 Zonagen, Inc.* 54,844
------------
6,442,450
------------
Wholesale Distributor - 0.35%
4,100 Anicom, Inc.* 60,988
1,200 Barnett, Inc.* 24,300
7,000 Brightpoint, Inc.* 101,500
5,300 Metals USA, Inc.* 91,425
1,500 Reliance Steel & Aluminum Co. 57,938
5 U.S. Foodservice* 175
9,300 Unisource Worldwide, Inc.* 100,552
3,300 VWR Scientific Products Corp.* 81,263
------------
518,141
------------
Total Common Stock (Cost $140,767,489) 146,952,024
------------
SHORT TERM INSTRUMENTS - 16.55%
Mutual Fund - 16.48%
24,610,825 BT Institutional Cash Management Fund 24,610,825
------------
Principal
Amount
- ---------
U.S. Treasury Bill - 0.07%
$105,000 5.005% 10/1/98 103,783
------------
Total Short Term Securities (Cost $24,714,608) 24,714,608
------------
Total Investments (Cost $165,482,097) 114.99% $171,666,632
Liabilities in Excess of Other Assets (14.99)% (22,380,000)
-------- ------------
Net Assets 100.00% $149,286,632
======== ============
- -------------
*Non-income producing security.
See Notes to Financial Statements on Pages 32 and 33
29
<PAGE>
- --------------------------------------------------------------------------------
Small Cap Index Portfolio
Statement of Assets and Liabilities June 30, 1998 (unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<S><C>
Assets
Investments, at Value (Cost of $165,482,097) $ 171,666,632
Dividends and Interest Receivable 77,957
Cash 151,247
Other Receivables 16,683,211
---------------
Total Assets 188,579,047
---------------
Liabilities
Payable for Securities Purchased 39,273,923
Accrued Expenses and Other 18,492
---------------
Total Liabilities 39,292,415
---------------
Net Assets $ 149,286,632
===============
Composition of Net Assets
Paid-in capital $ 142,955,447
Net Unrealized Appreciation on Investments and Futures Contracts 6,331,185
---------------
Net Assets $ 149,286,632
===============
</TABLE>
- --------------------------------------------------------------------------------
Statement of Operations For the six months ended June 30, 1998 (unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<S><C>
Investment Income
Dividends $ 520,735
Interest 119,209
---------------
Total Investment Income 639,944
---------------
Expenses
Advisory Fees 64,104
Administration and Service Fees 21,368
Professional Fees 11,779
Trustees Fees 1,000
Miscellaneous 418
---------------
Total Expenses 98,669
Less: Expenses Absorbed by Bankers Trust (55,933)
---------------
Net Expenses 42,736
---------------
Net Investment Income 597,208
---------------
Realized and Unrealized Gain on Investments and Futures Contracts
Net Realized Gain from Investment Transactions 9,425,176
Net Realized Gain from Futures Transactions 252,714
Net Change in Unrealized Appreciation/Depreciation on Investments (4,743,082)
Net Change in Unrealized Appreciation/Depreciation on Futures Contracts 146,650
---------------
Net Realized and Unrealized Gain on Investments and Futures Contracts 5,081,458
---------------
Net Increase in Net Assets from Operations $ 5,678,666
===============
</TABLE>
See Notes to Financial Statements on Pages 32 and 33
30
<PAGE>
- --------------------------------------------------------------------------------
Small Cap 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 in Net Assets from:
Operations
Net Investment Income $ 597,208 $ 1,240,486
Net Realized Gain from Investments and Futures Transactions 9,677,890 8,651,921
Net Change in Unrealized Appreciation/Depreciation on Investment and
Futures Contracts (4,596,432) 774,363
-------------- ---------------
Net Increase in Net Assets from Operations 5,678,666 17,596,770
Capital Transactions
Proceeds from Capital Invested 100,025,439 48,304,725
Value of Capital Withdrawn (25,825,072) (78,578,237)
-------------- ---------------
Net Increase (Decrease) in Net Assets from Capital Transactions 74,200,367 (30,273,512)
-------------- ---------------
Total Increase (Decrease) in Net Assets 79,879,033 (12,676,742)
-------------- ---------------
Net Assets
Beginning of Period 69,407,599 82,084,341
-------------- ---------------
End of Period $ 149,286,632 $ 69,407,599
============== ===============
</TABLE>
- --------------
(1) Unaudited
- --------------------------------------------------------------------------------
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 six For the For the period July 1, 1996
months ended year ended (Commencement of Operations)
June 30, 1998(1) December 31, 1997 to December 31, 1996
---------------- ----------------- -----------------------------
<S><C>
Supplemental Data and Ratios:
Net Assets, End of Period (000s omitted) $149,287 $69,408 $82,084
Ratios to Average Net Assets:
Net Investment Income 1.39%(2) 1.51% 1.70%(2)
Expenses 0.10%(2) 0.10% 0.20%(2)
Decrease Reflected in Above Expense Ratio Due
to Absorption of Expenses by Bankers Trust 0.13%(2) 0.13% 0.12%(2)
Portfolio Turnover Rate 49% 88% 16%
</TABLE>
- --------------
(1) Unaudited
(2) Annualized.
See Notes to Financial Statements on Pages 32 and 33
31
<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 times 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. REPURCHASE AGREEMENTS
The Portfolio may enter into repurchase agreements with financial institutions
deemed to be creditworthy by the Portfolio's Investment Advisors, 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 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 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.
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. 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.
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. 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 0.05% of the Portfolio's average daily net assets. Amount owed
under the Administration and Services Agreement amounted to $3,228.
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 the Portfolio's
average daily net assets. At June 30, 1998, amounts owed under the Advisory
Agreement amounted to $4,068, net of waived expenses of $19,653.
Bankers Trust has voluntarily undertaken to waive its fees and reimburse
expenses of the Portfolio, to the extent necessary, to limit all expenses to
0.10% 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 $55,933.
Certain officers of the Portfolio are also directors, officers, and employees of
Edgewood Services, Inc. the distributor of the BT Advisor Funds. None of the
officers so affiliated received compensation for services as officers of the
Portfolio. For the six-month period
32
<PAGE>
- --------------------------------------------------------------------------------
Small Cap Index Portfolio
Notes to Financial Statements
- --------------------------------------------------------------------------------
ended June 30, 1998, the Portfolio paid brokerage commissions of $62,480.
Effective August 11, 1998, ICC Distributors, Inc. will replace Edgewood as
distributor of the Trust.
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
$119,116,115 and $43,987,494, respectively. For federal income tax purposes, the
tax basis of investments held at June 30, 1998 was $165,672,352. The aggregate
gross unrealized appreciation was $10,708,097, and the aggregate gross
unrealized depreciation was $4,713,817 for all investments as of June 30, 1998.
At June 30, 1998, the Portfolio had a payable for securities purchased of
$39,273,923.
The 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
Portfolio and other accounts managed by the Company. Distributions from the Fund
to the Portfolio as of June 30, 1998 amounted to $112,342 and are included in
dividend income.
The 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.
NOTE 4--IN-KINDTRANSACTION
On June 30, 1998, a shareholder of the Small Cap Index Fund--Institutional Class
contributed $48,401,529 in securities in exchange for 4,172,546 fund shares. The
contribution was treated as an in-kind transfer and accounted for approximately.
33
<PAGE>
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<PAGE>
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<PAGE>
BT ADVISOR FUNDS
SMALL CAP 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,ME04112-9892
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.
---------------
Small Cap Index Fund - Institutional Class Cusip #05576L882
Small Cap Index Fund - Advisor Class Cusip #05576L858
STA513100 (6/98)
