o BT ADVISOR FUNDS o
--------------------
SMALL CAP INDEX FUND
--------------------
ANNUAL REPORT
---------------
DECEMBER o 1997
<PAGE>
Small Cap Index Fund
Table of Contents
Letter to Shareholders 3
Small Cap Index Fund
Statement of Assets and Liabilities 5
Statement of Operations 5
Statement of Changes in Net Assets 6
Financial Highlights 7
Notes to Financial Statements 8
Report of Independent Accountants 10
Small Cap Index Portfolio
Schedule of Portfolio Investments 11
Statement of Assets and Liabilities 29
Statement of Operations 29
Statement of Changes in Net Assets 30
Financial Highlights 30
Notes to Financial Statements 31
Report of Independent Accountants 33
2
<PAGE>
Small Cap Index Fund
Letter to Shareholders
The Small Cap Index Fund's (the "Fund") Institutional Class Shares returned
23.00% and the Fund's Advisor Class Shares returned 25.11% for the 12 months
ended December 31, 1997. Both classes notably outperformed the 22.36% return of
the Russell 2000 Index* and the 20.75% return of the Lipper Small Cap Average.**
Since the Institutional Class Shares' inception on July 10, 1996, it is up
34.65% in total return, and since the Advisor Class Shares' inception on August
8, 1996, it is up 38.71% in total return, cumulatively, as of December 31, 1997.
This is a 22.34% and 26.41% average annualized total return for each Class,
respectively.# The Russell 2000 Index is an unmanaged index that measures small
capitalization equities.
- --------------------------------------------------------------------------------
Objective
Seeks to replicate as closely as possible (before deduction of expenses of the
Fund and Portfolio) the total return of the Russell 2000 Index.
- --------------------------------------------------------------------------------
Investment Instruments
Primarily equity securities, consisting of common stock of current Russell 2000
companies.
- --------------------------------------------------------------------------------
MARKET ACTIVITY
Small capitalization equities had a tumultuous 1997. The Russell 2000 Index
started the year with the strongest January performance it had seen since 1994.
However, primarily due to ongoing weakness in technology stocks, volatility
dominated for the rest of the first quarter, and small cap stocks lagged the
large capitalization sector. The Federal Reserve Board's hike of the Fed Funds
rate late in March also contributed to this weak period. Then, with the Federal
Reserve Board on hold, the economic scenario favorable, and a resurgence of
technology stocks in the second quarter, small cap stocks picked up speed. This
strength continued through the third quarter, during which the Russell 2000
Index beat the S&P 500 Index## two-to-one. In fact, the Russell 2000 Index broke
records virtually every day in the month of September. Then in the fourth
quarter, small caps were the hardest hit of the equity sectors by the volatility
in the Asian markets. Still, for the year, the sector's performance was stronger
than that of 1996. The NASDAQ, on which over 50% of Russell 2000 stocks are
traded, was up 21.64% for the year, and, as indicated above, the Russell 2000
Index itself returned 22.36%.
Within the small capitalization sector, value stocks outperformed growth stocks
two-to-one for the 12-month period, much as they had in 1996. Leading small cap
groups for the year included consumer staples, financial services and utilities.
Weaker performing sectors included consumer discretionary, health care and
technology, the first two of which still produced double-digit returns. There
were nearly 500 additions and 500 deletions to the Russell 2000 Index,
representing a 47.40% turnover rate for the year. This turnover is slightly
lower than in 1996.
- --------------------------------------------------------------------------------
Ten Largest Stock Holdings
- --------------------------------------------------------------------------------
Associated Banc-Corp Mack-Cali Realty Corp.
- --------------------------------------------------------------------------------
U.S. Office Products Co. Brooks Fiber Properties, Inc.
- --------------------------------------------------------------------------------
Allied Waste Industries, Inc. Arterial Vascular Engineering
- --------------------------------------------------------------------------------
Jacor Communications, Inc. Citrix Systems, Inc.
- --------------------------------------------------------------------------------
Keystone Financial, Inc. Sovereign Bancorp, Inc.
- --------------------------------------------------------------------------------
MANAGER OUTLOOK
Overall, real economic growth is anticipated to cool from its earlier rapid
pace, coming in at about 2% for all of 1998, and the environment is expected to
be positive for the equities market. Low interest rates and hefty flows of
retirement funds into the equity market should provide some support to stock
prices. So, too, productivity improvement has been sufficient to offset any
upward pressure on wages, thereby allowing profits to expand while keeping a lid
on inflation. Several underlying fundamentals impacting on the
consumer--including low unemployment, rising incomes and high levels of
confidence--are also expected to keep the economy on a relatively strong upward
course for the near term. However, given the upward move that has already taken
place, current high valuations, technology stocks' cyclical nature, and
continued turmoil in the Asian markets, we expect volatility to continue to be
high in 1998 and gains in the small cap stock market to be comparatively less
strong than in the year just past. Still, any equity market correction that may
occur is anticipated to be brief and mild, followed by renewed strength.
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.
- ----------
* This index is unmanaged, and investments cannot be made in an index.
** Lipper figures represent the average of the total returns reported by all of
the funds designated by Lipper Analytical Services, Inc. as falling into the
respective categories indicated. These figures do not reflect sales charges.
# Past performance is not indicative of future results. Investment return
and principal value will fluctuate so that an investor's shares, when
redeemed, may be worth more or less than their original cost.
## 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.
3
<PAGE>
Small Cap Index Fund
Letter to Shareholders
Diversification of Portfolio Investments
By Sector as of December 31, 1997
(percentages are based on market value)
[PIE CHART APPEARS HERE--SEE PERCENTAGES BELOW]
Forest Products............................. 1%
Chemicals................................... 2%
Metals...................................... 2%
Transportation.............................. 2%
Consumer Durables........................... 3%
Energy...................................... 4%
Retail Trade................................ 6%
Utilities................................... 6%
Health Care................................. 8%
Consumer Non-Durables.......................12%
Business Equipment and Services.............14%
Capital Goods...............................16%
Finance & Building..........................24%
As always, we appreciate your ongoing support of the Small Cap Index Fund and
look forward to continuing to serve your investment needs for many years ahead.
/s/ Frank Salerno
-------------------------
Frank Salerno
Portfolio Manager of the
Small Cap Index Portfolio
December 31, 1997
The fund is not insured by the FDIC and is not a deposit, obligation of, or
guaranteed by Bankers Trust Company. The Fund is subject to investment risks,
including possible loss of principal amount invested.
================================================================================
Performance Comparison
Comparison of Change in Value of a $10,000 Investment in the Small Cap Index
Fund -Institutional Class and Advisor Class, and the Russell 2000 Index since
July 31, 1996 and August 31, 1996, respectively.
- -------------------------------------
Annualized Total Return for the
Period Ended December 31, 1997
Institutional Advisor
One Year One Year
23.00% 25.11%
Since 7/10/96* Since 8/8/96*
22.34% 26.41%
* The Fund's inception date.
Investment return and principal value
may fluctuate so that shares, when
redeemed, may be worth more or less
than their original cost.
- -------------------------------------
Small Cap Index Fund - Institutional Class - $13,465
Russell 2000 Index - $13,451
[GRAPH APPEARS HERE--SEE PLOT POINTS BELOW]
Small Cap
Index Fund Russell
Instit. 2000
Class Index
----------- -------
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
Small Cap Index Fund - Advisor Class - $13,870
Russell 2000 Index - $13,650
Small Cap
Index Fund Russell
Advisor 2000
Class Index
---------- -------
8/96 $10,000 $10,000
9/96 10,570 10,604
12/96 11,087 11,155
3/97 10,705 10,579
6/97 12,402 12,293
9/97 14,292 14,123
12/97 13,870 13,650
Past performance is not indicative of future performance. The Russell 2000 Index
is unmanaged and investments may not be made in an index.
4
<PAGE>
Small Cap Index Fund
Statement of Assets and Liabilities December 31, 1997
<TABLE>
<S> <C>
Assets
Investment in Small Cap Index Portfolio, at Value $39,522,189
Receivable for Shares of Beneficial Interest Subscribed 24,822
Prepaid Expenses and Other 11,630
Due from Bankers Trust 99,986
-----------
Total Assets 39,658,627
Liabilities
Accrued Expenses 13,010
-----------
Net Assets $39,645,617
===========
Composition of Net Assets
Paid-in Capital $31,452,466
Undistributed Net Investment Income 94,878
Distributions in Excess of Net Realized Gain from Investments and Futures Transactions (327,893)
Net Unrealized Appreciation on Investments and Futures Contracts 8,426,166
-----------
Net Assets $39,645,617
===========
Net Asset Value, Offering and Redemption Price Per Share (net assets divided by shares
outstanding)
Institutional Class Shares+ $ 11.13
===========
Advisor Class++ $ 11.69
===========
</TABLE>
- ---------------------
+ Net asset value, offering and redemption price per share (based on net assets
of $38,311,836 and 3,442,833 shares of beneficial interest outstanding)
++ Net asset value, offering and redemption price per share (based on net assets
of $1,333,781 and 114,124 shares of beneficial interest outstanding)
================================================================================
Statement of Operations For the year ended December 31, 1997
<TABLE>
<S> <C>
Investment Income
Income Allocated from Small Cap Index Portfolio, net $ 861,731
-----------
Expenses
Administration and Services Fees
Institutional Class 113,569
Advisor Class 1,610
Shareholder Reports 20,000
Institutional Class 4,257
Advisor Class 2,257
Registration Fees 9,296
Professional Fees 9,855
Trustees Fees 25,600
Miscellaneous 10,466
-----------
Total Expenses 196,910
Less: Expenses Absorbed by Bankers Trust
Institutional Class (106,928)
Advisor Class (2,551)
-----------
Net Expenses 87,431
-----------
Net Investment Income 774,300
-----------
Realized and Unrealized Gain on Investments and Futures Contracts
Net Realized Gain from Investment Transactions 5,023,802
Net Realized Gain from Futures Transactions 698,141
Net Change in Unrealized Appreciation on Investments and Futures Contracts 5,946,591
-----------
Net Realized and Unrealized Gain on Investments and Futures Contracts 11,668,534
-----------
Net Increase in Net Assets from Operations $12,442,834
===========
</TABLE>
See Notes to Financial Statements on Pages 8 and 9
5
<PAGE>
Small Cap Index Fund
Statement of Changes in Net Assets
<TABLE>
<CAPTION>
For the For the
year ended period ended
December 31, 1997 December 31, 1996
----------------- -----------------
<S> <C>
Increase (Decrease) in Net Assets from:
Operations
Net Investment Income $ 774,300 $ 228,346
Net Realized Gain from Investments and Futures Transactions 5,721,943 80,488
Net Change in Unrealized Appreciation on Investments and Futures Contracts 5,946,591 2,479,575
------------ -----------
Net Increase in Net Assets from Operations 12,442,834 2,788,409
------------ -----------
Distributions to Shareholders
Net Investment Income
Institutional Class (709,155) (233,086)
Advisor Class (6,650) (291)
Net Realized Gain from Investment Transactions
Institutional Class (5,870,446) (26,653)
Advisor Class (191,778) (33)
------------ -----------
Total Distributions (6,778,029) (260,063)
------------ -----------
Capital Transactions in Shares of Beneficial Interest
Net Increase (Decrease) Resulting from Institutional Class Shares (28,984,375) 59,031,305
Net Increase Resulting from Advisor Class Shares 1,330,285 75,241
------------ -----------
Net Increase (Decrease) from Capital Transactions in Shares of Beneficial
Interest (27,654,090) 59,106,546
------------ -----------
Total Increase (Decrease) in Net Assets (21,989,285) 61,634,892
Net Assets
Beginning of Period 61,634,902 10
------------ -----------
End of Period (including accumulated net investment income (loss) of $94,878 and
($5,031) for the periods ended December 31, 1997 and December 31, 1996,
respectively) $ 39,645,617 $61,634,902
============ ===========
</TABLE>
See Notes to Financial Statements on Pages 8 and 9
6
<PAGE>
Small Cap Index Fund
Financial Highlights
Contained below are selected data for a share outstanding, total investment
return, ratios to average net assets and other supplemental data for the periods
indicated for the Small Cap Index Fund.
<TABLE>
<CAPTION>
Institutional Class Shares Advisor Class Shares
--------------------------------- ---------------------------------
For the period For the period
July 10, 1996 August 8, 1996
For the (Commencement For the (Commencement
year ended of Operations) to year ended of Operations) to
Dec. 31, 1997 Dec. 31, 1996 Dec. 31, 1997 Dec. 31, 1996
------------- ----------------- ------------- -----------------
<S> <C>
Per Share Operating Performance:
Net Asset Value, Beginning of Period $ 10.90 $ 10.00 $ 11.04 $ 10.00
--------- --------- --------- ---------
Income from Investment Operations
Net Investment Income 0.23 0.04 0.08 0.02
Net Realized and Unrealized Gain on Investments
and Futures Transactions 2.21 0.90 2.63 1.06
--------- --------- --------- ---------
Total from Investment Operations 2.44 0.94 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)+ (2.00) (0.00)+
--------- --------- --------- ---------
Total Distributions (2.21) (0.04) (2.06) (0.04)
--------- --------- --------- ---------
Net Asset Value, End of Period $ 11.13 $ 10.90 $ 11.69 $ 11.04
========= ========= ========= =========
Total Investment Return 23.00% 9.47% 25.11% 10.87%
Supplemental Data and Ratios:
Net Assets, End of Period (000s omitted) $ 38,312 $ 61,558 $ 1,334 $ 77
Ratios to Average Net Assets:
Net Investment Income 1.35% 1.71%* 1.13% 1.61%*
Expenses, Including Expenses of the
Small Cap Index Portfolio 0.25% 0.25%* 0.45% 0.45%*
Decrease Reflected in Above Expense Ratio Due
to Absorption of Expenses by Bankers Trust 0.32% 0.62%* 0.53% 22.69%*
</TABLE>
- --------------
+ Less than $0.01.
* Annualized.
See Notes to Financial Statements on Pages 8 and 9
7
<PAGE>
Small Cap Index Fund
Notes to Financial Statements
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 December 31, 1997, the Fund's
proportionate interest in the Portfolio's net assets was 56.94%.
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. For the year ended December 31,
1997, the Small Cap Index Fund reclassified $41,414 from accumulated net
realized gain to undistributed net investment income.
F. Other
The Trust accounts separately for the assets, liabilities and operations of the
Fund and Classes. Expenses directly attributable to each Class are charged to
that Class, while expenses which are attributable to the Trust are allocated
among 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 of 1% and 0.25 of 1% of average daily net
assets of the Small Cap Index Institutional Class and Advisor Class,
respectively. For the year ended December 31, 1997, this fee aggregated $113,569
and $1,610 for the Small Cap Institutional Class and Advisor Class,
respectively.
Under the Distribution Agreement with the Trust, pursuant to Rule 12b-1 of the
Act, Edgewood Services, Inc. ("Edgewood") may seek reimbursement at an annual
rate not exceeding 0.20 of 1% of 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 year ended December 31, 1997, there
were no reimbursable expenses incurred under this agreement.
The Small Cap Index Fund's two Classes of shares impose a shareholder
transaction fee paid when investors buy, sell or exchange shares of the Fund.
Institutional Class Shares deduct a transaction fee of 0.25% from purchases,
redemptions and exchanges into and out of the Fund. Advisor Class Shares deduct
a transaction fee of 0.50% from redemptions and exchanges out of the Fund. These
transaction fees are paid directly to the Fund and are deducted automatically
from the amount invested, exchanged or redeemed (with the exception of
reinvested dividends or capital gain distributions).
Bankers Trust has voluntarily undertaken to waive and reimburse expenses of each
Class of Shares, to the extent necessary, to limit all expenses as follows:
Small Cap Index Fund Institutional Class of Shares to 0.15 of 1% of the average
daily net assets of the Class, excluding expenses of the Portfolio and 0.25 of
1% of the average daily net assets of the Class, including expenses of the
Portfolio; and Small Cap Index Fund Advisor Class of Shares to 0.35 of 1% of the
average daily net assets of the Class, excluding expenses of the Portfolio and
0.45 of 1% of the average daily net assets of the Class, including expenses of
the Portfolio. For the year ended December 31, 1997, expenses have been reduced
by $106,928 and $2,551 for the Small Cap Index Institutional Class and Advisor
Class, respectively.
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.
8
<PAGE>
Small Cap Index Fund
Notes to Financial Statements
Note 3--Shares of Beneficial Interest
At December 31, 1997, there were an unlimited number of shares of beneficial
interest authorized. Transactions in shares of beneficial interest were as
follows:
<TABLE>
<CAPTION>
Institutional Class Shares Advisor Class Shares
--------------------------------------------------- --------------------------------------------
For the year ended For the period ended For the year ended For the period ended
December 31, 1997 December 31, 1996* December 31, 1997 December 31, 1996*
------------------------- ---------------------- -------------------- --------------------
Shares Amount Shares Amount Shares Amount Shares Amount
---------- ------------ --------- ------------ ------- ----------- --------- ----------
<S> <C>
Sold 3,183,286 $ 35,513,549 5,856,530 $ 61,197,553 141,980 $ 1,812,603 7,680 $ 82,456
Reinvested 595,577 6,579,579 24,061 259,737 15,296 174,689 15 161
Redeemed (5,981,038) (71,077,503) (235,583) (2,425,985) (50,143) (657,007) (704) (7,376)
---------- ------------ --------- ------------ ------- ----------- ----- --------
Increase
(Decrease) (2,202,175) $(28,984,375) 5,645,008 $ 59,031,305 107,133 $ 1,330,285 6,991 $ 75,241
========== ============ ========= ============ ======= =========== ===== ========
</TABLE>
- ----------
* Commencement of operations for the Small Cap Index Institutional Class and
Advisor Class was July 10, 1996 and August 8, 1996, respectively.
9
<PAGE>
Small Cap Index Fund
Report of Independent Accountants
To the Trustees of BT Advisor Funds and Shareholders
of the Small Cap Index Fund:
We have audited the accompanying statement of assets and liabilities of the
Small Cap Index Fund (one of the Funds comprising BT Advisor Funds) as of
December 31, 1997, and the related statement of operations for the year then
ended, the statement of changes in net assets and the financial highlights for
the year ended December 31, 1997 and the period July 10, 1996 (commencement of
operations) to December 31, 1996. These financial statements and financial
highlights are the responsibility of the Fund's management. Our responsibility
is to express an opinion on these financial statements and financial highlights
based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned as of
December 31, 1997, by correspondence with the custodian. An audit also includes
assessing the accounting principles used and significant estimates made by
management, as well as evaluating the overall financial statement presentation.
We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of the
Small Cap Index Fund as of December 31, 1997, the results of its operations, the
changes in its net assets and the financial highlights for the periods referred
to above, in conformity with generally accepted accounting principles.
Coopers & Lybrand L.L.P.
Kansas City, Missouri
February 18, 1998
10
<PAGE>
Small Cap Index Portfolio
Schedule of Portfolio Investments December 31, 1997
Shares Description Value
- ------ ----------- -----
COMMON STOCK - 96.73%
Advertising - 0.46%
1,400 Catalina Marketing Corp. (a) $ 64,750
1,225 HA-LO Industries, Inc.(a) 31,850
1,000 Lamar Advertising Co.(a) 39,750
600 May & Speh, Inc. (a) 8,100
2,500 National Media Corp. (a) 8,125
1,300 Outdoor Systems, Inc. (a) 49,888
1,500 True North Communications, Inc. 37,125
1,500 Universal Outdoor Holdings, Inc. 78,000
-----------
317,588
-----------
Aerospace - 0.59%
1,300 AAR Corp. 50,375
700 Alliant Techsystems, Inc. (a) 39,025
1,700 BE Aerospace, Inc.(a) 45,475
2,600 Fairchild Corp.- Class A (a) 64,675
1,190 Goodrich (B.F.) Co. 49,311
1,400 Kaman Corp. - Class A 22,925
1,300 OEA, Inc. 37,619
2,500 Orbital Sciences Corp. (a) 74,375
1,200 Remec, Inc. (a) 27,000
-----------
410,780
-----------
Agriculture - 0.26%
2,300 Dekalb Genetics Corp.- Class B 90,275
2,877 Delta & Pine Land Co. 87,759
-----------
178,034
-----------
Apparel, Textiles - 1.11%
1,500 Authentic Fitness Corp. 27,656
1,500 Brown Group, Inc. 19,969
8,100 Charming Shoppes, Inc. (a) 37,969
2,400 Converse, Inc. (a) 14,400
2,300 Footstar, Inc. (a) 61,813
800 GC Companies, Inc.(a) 37,900
2,100 Genesco, Inc. (a) 26,775
2,800 Hartmarx Corp. (a) 21,350
1,600 Interface, Inc. 46,400
1,600 Kellwood Co. 48,000
1,200 Lands' End, Inc. (a) 42,075
2,700 Nautica Enterprises, Inc. (a) 62,775
1,000 Oshkosh B'Gosh, Inc.- Class A 33,000
2,000 Phillips-Van Heusen Corp. 28,500
800 Quiksilver, Inc. (a) 22,900
1,000 Springs Industries, Inc.- Class A 52,000
3,800 Stride Rite Corp. 45,600
1,300 St. John Knits, Inc. 52,000
400 Timberland Company - Class A (a) 23,225
907 Warnaco Group - Class A 28,463
1,200 Wet Seal, Inc.- Class A (a) 35,400
-----------
768,170
-----------
Auto Related - 1.71%
1,700 Arvin Industries, Inc. 56,631
Shares Description Value
- ------ ----------- -----
1,100 Breed Technologies, Inc. $ 20,075
1,400 Budget Group, Inc. - Class A (a) 48,388
4,700 Collins & Aikman Corp. (a) 40,537
200 Dart Group Corp.- Class A 23,200
900 Detroit Diesel Corp. (a) 21,375
1,300 Exide Corp. 33,638
2,700 Federal-Mogul Corp. 109,350
1,400 Intermet Corp. 24,500
2,600 Kaydon Corp. 84,825
1,600 MascoTech, Inc. 29,400
2,250 Miller Industries Inc. (a) 24,187
1,700 Modine Manufacturing Co. 58,013
1,760 Myers Industries, Inc. 30,030
1,100 O'Reilly Automotive, Inc. (a) 28,875
2,000 Polaris Industries, Inc. 61,125
2,400 Simpson Industries, Inc. 28,200
900 Smith (A.O.) Corp. 38,025
1,100 SPX Corp. 75,900
1,300 Standard Products Co. 33,312
2,400 Stewart & Stevenson Services, Inc. 61,200
1,600 Superior Industries International, Inc. 42,900
2,600 TBC Corp. (a) 24,863
1,400 Titan International, Inc. 28,087
1,200 Tower Automotive, Inc.(a) 50,475
1,100 United Auto Group, Inc. (a) 19,938
1,600 Wabash National Corp. 45,500
1,200 Walbro Corp. 16,125
950 Wynn's International, Inc. 30,281
-----------
1,188,955
-----------
Banks - 2.65%
2,200 Bank United Corp.- Class A 107,663
1 BankBoston Corp. 94
1,300 Brenton Banks Inc. 52,000
200 Capital Bancorp/Miami 11,563
700 Capital City Bank Group, Inc. 29,225
800 CBT Corp. 24,800
400 CFX Corp. 12,200
* Charter One Financial Inc. 16
500 Chittenden Corp. 17,500
200 Citizens Bancshares/ Ohio 14,650
800 Commonwealth Bancorp, Inc. 15,900
550 Community Trust Bancorp, Inc. 17,119
1,700 First Commonwealth Financial Corp. 59,606
1,247 First Financial Bancorp 60,168
1,100 First Financial Bankshares, Inc. 47,163
1,000 Flagstar Bancorp, Inc. 19,797
3,080 Fulton Financial Corp. 100,100
900 GBC Bancorp 57,375
700 Harbor Florida Bancorp, Inc. 46,375
1,000 Harleysville National Corp. 42,000
1,250 Heritage Financial Services, Inc. 36,250
1,800 Homeside, Inc. (a) 49,612
1 Huntington Bancshares, Inc. 36
1,400 Interwest Bancorp, Inc. 52,850
See Notes to Financial Statements on Pages 31 and 32
11
<PAGE>
Small Cap Index Portfolio
Schedule of Portfolio Investments December 31, 1997
Shares Description Value
- ------ ----------- -----
1,500 Mainstreet Bank Group, Inc. $ 41,813
1,500 ML Bancorp, Inc. 45,000
300 National Bancorp of Alaska, Inc. 37,950
1,400 Ocean Financial Corp. 52,150
1,985 Old National Bancorp 96,024
1,400 Omega Financial Corp. 46,900
1,850 Oriental Financial Group 54,691
500 Park National Corp. 44,063
1,375 Peoples First Corp. 53,453
900 PFF Bancorp, Inc.(a) 17,887
1,600 Reliance Bancorp, Inc. 58,600
1,500 Riggs National Corp. 40,313
1,750 Susquehanna Bancshares, Inc. 66,937
900 S&T Bancorp, Inc. 38,925
* TCF Financial Corp. 7
1,500 Triangle Bancorp, Inc. 53,062
1,900 Trust Company of New Jersey 47,500
800 U.S. Bancorp, Inc. 58,400
1,100 Webster Financial Corp. 73,150
1,500 Western Bank Puerto Rico 35,625
-----------
1,836,512
-----------
Beverages - 0.18%
2,900 Coors (Adolph) Co.- Class B 96,425
600 Robert Mondavi Corp.- Class A (a) 29,250
-----------
125,675
-----------
Biopharmaceuticals - 0.54%
1,900 AmeriSource Health Corp.- Class A (a) 110,675
2,900 Amylin Pharmaceuticals, Inc. (a) 15,769
300 Aphton Corp.(a) 3,038
1,600 Incyte Pharmaceuticals, Inc. (a) 72,000
2,900 Liposome Company, Inc. (a) 13,412
3,700 NABI, Inc. (a) 12,603
2,100 NeXstar Pharmaceuticals, Inc.(a) 23,888
1,200 Protein Design Labs, Inc. (a) 48,000
1,100 Roberts Pharmaceutical Corp. (a) 10,519
1,900 Vertex Pharmaceuticals, Inc.(a) 62,700
-----------
372,604
-----------
Building and Construction - 2.09%
1,100 ABT Building Products Corp. (a) 19,800
800 Butler Manufacturing Co. 25,800
1,500 CalMat Co. 41,812
2,100 Carlisle Companies, Inc. 89,775
800 Centex Construction Products, Inc. 24,100
2,800 Dal-Tile International, Inc. (a) 34,300
1,050 Elcor Corp. 25,200
1,000 Florida Rock Industries, Inc. 22,750
800 Halter Marine Group, Inc. (a) 23,100
950 Hughes Supply, Inc. 33,191
3,000 Kaufman & Broad Home Corp. 67,312
2,000 Kennametal, Inc. 103,625
3,800 Lennar Corp. 81,938
800 Lone Star Industries, Inc. 42,500
Shares Description Value
- ------ ----------- -----
1,300 Medusa Corp. $ 54,356
800 NCI Building Systems, Inc. (a) 28,400
1,300 NVR, Inc. (a) 28,438
3,600 Oakwood Homes Corp. 119,475
1,175 Palm Harbor Homes, Inc. (a) 33,194
400 Puerto Rican Cement Co., Inc. 20,075
1,300 Ryland Group, Inc. 30,712
400 Simpson Manufacturing Co., Inc. (a) 13,325
1,200 Skyline Corp. 33,000
1,700 Southdown, Inc. 100,300
3,500 Standard-Pacific Corp. 55,125
1,600 Texas Industries, Inc. 72,000
1,200 TJ International, Inc. 29,700
1,700 Toll Brothers, Inc. (a) 45,475
1,200 Triangle Pacific Corp. (a) 40,650
1,500 Universal Forest Products, Inc. 20,438
1,000 U.S. Home Corp. (a) 39,250
2,000 Webb (Del E.) Corp. 52,000
-----------
1,451,116
-----------
Brewery - 0.18%
2,300 Boston Beer Company, Inc.- Class A (a) 17,969
1,200 Canandaigua Wine Co. - Class B (a) 66,450
200 Farmer Brothers Co. 37,400
-----------
121,819
-----------
Broadcasting - 1.17%
1,400 Ackerley Group, Inc. 23,712
1,900 ADVO, Inc. (a) 37,050
500 BET Holdings, Inc.- Class A (a) 27,313
3,400 Century Communications Corp.-
Class A (a) 33,150
900 Cox Radio, Inc.-Class A (a) 36,225
1,699 Hearst-Argyle Television, Inc. (a) 50,545
1,600 Heftel Broadcasting Corp. - Class A (a) 74,800
3,500 Jacor Communications, Inc. (a) 185,937
800 Paxson Communications Corp. (a) 5,900
1,700 Saga Communications, Inc. - Class A (a) 36,125
500 SFX Broadcasting, Inc. - Class A (a) 40,125
2,400 Spelling Entertainment Group, Inc. (a) 16,800
1,300 TCA Cable TV, Inc. 59,800
2,200 United International Holdings, Inc.-
Class A (a) 25,300
300 United Television, Inc. 31,163
900 United Video Satellite Group, Inc.-
Class A (a) 25,875
1,800 Westwood One, Inc. (a) 66,825
900 Young Broadcasting Corp.- Class A (a) 34,875
-----------
811,520
-----------
Chemicals and Toxic Waste - 1.45%
850 Cambrex Corp. 39,100
700 Chemed Corp. 29,006
1,600 ChemFirst, Inc. 45,200
1,800 Dexter Corp. 77,738
See Notes to Financial Statements on Pages 31 and 32
12
<PAGE>
Small Cap Index Portfolio
Schedule of Portfolio Investments December 31, 1997
Shares Description Value
- ------ ----------- -----
1,800 Geon Co. $ 42,075
2,600 Georgia Gulf Corp. 79,625
1,200 Hach Company - Class A 11,250
900 Hach Co. 11,362
3,400 Hanna (M.A.) Co. 85,850
2,400 Lawter International, Inc. 26,100
1,050 LeaRonal, Inc. 24,675
1,700 Lilly Industries, Inc.- Class A 35,063
500 MacDermid, Inc. 42,437
700 McWhorter Technologies, Inc. (a) 18,025
2,168 Mississippi Chemical Corp. 39,566
1,300 Mycogen Corp. (a) 24,375
300 NCH Corp. 19,650
1,800 NL Industries, Inc. (a) 24,525
1,650 OM Group, Inc. 60,431
2,800 Schulman (A.), Inc. 70,350
1,400 Scotts Company (The) - Class A (a) 42,350
1,300 Synetic, Inc. (a) 47,450
3,100 Terra Industries, Inc. 40,494
1,000 WD-40 Co. 29,000
2,100 Wellman, Inc. 40,950
-----------
1,006,647
-----------
Chemical - Specialty - 0.33%
1,700 Albemarle Corp. 40,588
700 Bush Boake Allen, Inc. (a) 18,331
1,400 Church & Dwight Co., Inc. 39,288
3,000 Ferro Corp. 72,938
1,100 Fuller (H.B.) Co. 54,450
-----------
225,595
-----------
Client Server Computing - 0.26%
1,700 Clarify, Inc. (a) 19,762
4,800 Platinum Technology, Inc. (a) 135,600
2,200 Xircom, Inc. (a) 22,138
-----------
177,500
-----------
Coal, Gas and Solar - 0.13%
4,300 AGL Resources, Inc. 87,881
-----------
Commercial Services - 1.48%
1,300 ABM Industries, Inc. 39,731
1,400 Access Health, Inc. (a) 41,125
2,800 Anixter International, Inc. (a) 46,200
400 Berlitz International, Inc. (a) 10,650
1,300 Borg-Warner Security Corp. 22,913
700 Caribiner International, Inc. (a) 31,150
800 CDI Corp. (a) 36,600
900 Central Parking Corp. 40,781
2,100 ClinTrials Research, Inc. (a) 16,537
2,150 CORESTAFF, Inc. (a) 56,975
1,000 Data Processing Resources (a) 25,500
1,300 Data Transmission Network Corp. (a) 36,400
1,100 Electro Rent Corp. (a) 39,325
2,700 Employee Solutions, Inc. (a) 11,644
Shares Description Value
- ------ ----------- -----
1,900 Franklin Covey Co. (a) $ 41,800
2,400 Hilb, Rogal, & Hamilton Co. 46,350
600 Iron Mountain, Inc. (a) 21,600
350 ITT Educational Services, Inc. (a) 7,809
3,200 Metromedia International Group, Inc. (a) 30,400
2,000 MoneyGram Payment Systems, Inc. (a) 21,500
1,600 NFO Worldwide, Inc. (a) 33,500
1,500 Nova Corp./Georgia (a) 37,500
1,900 PhyMatrix Corp. (a) 29,925
2,000 Primark Corp. (a) 81,375
600 Quintel Entertainment, Inc. (a) 3,262
1,300 Romac International, Inc. (a) 31,769
800 Russ Berrie & Co., Inc. 21,000
1,800 Sabre Group Holdings, Inc. (a) 51,975
3,200 Sotheby's Holdings, Inc.- Class A 59,200
1,000 StaffMark, Inc. (a) 31,625
900 Unitog Co. 20,025
-----------
1,026,146
-----------
Computer - 1.01%
800 American Business Information, Inc. (a) 8,200
800 American Business Information,
Inc.-Cl. A (a) 8,400
1,100 Computer Task Group, Inc. 39,119
3,000 Data General Corp. (a) 52,312
700 Dialogic Corp. (a) 30,625
1,200 FileNet Corp. (a) 36,150
2,800 HMT Technology Corp. (a) 36,400
600 MICROS Systems, Inc. (a) 27,000
1,500 NeoMagic Corp. (a) 19,125
3,000 Oak Technology, Inc. (a) 19,500
3,900 Physicians Computer Network, Inc. (a) 15,600
2,300 PMC Sierra, Inc. (a) 71,300
1,200 PRI Automation, Inc. (a) 34,650
1,200 Sandisk Corp. (a) 24,375
3,100 Sequent Computer Systems, Inc. (a) 62,000
900 Splash Technology Holdings, Inc. (a) 20,250
2,100 Stratus Computer, Inc. (a) 79,406
1,200 Telxon Corp. 28,650
1,200 Trident Microsystems, Inc. (a) 10,875
3,000 Wang Laboratories, Inc. (a) 66,375
700 Zoran Corp. (a) 8,444
-----------
698,756
-----------
Computer Services - 2.40%
2,800 Acxiom Corp. (a) 53,900
2,800 Affiliated Computer Services, Inc. (a) 73,675
3,100 American Management Systems, Inc. (a) 60,450
1,650 Analysts International Corp. 56,925
700 Applied Graphics Technologies, Inc. (a) 37,275
1,900 Applied Magnetics Corp. (a) 21,137
2,100 Auspex Systems, Inc. (a) 21,000
1,300 Black Box Corp. (a) 45,988
2,900 Borland International, Inc. (a) 21,206
1,500 CCC Information Services Group (a) 29,625
1,100 Centennial Technologies, Inc. (a) 1,375
See Notes to Financial Statements on Pages 31 and 32
13
<PAGE>
Small Cap Index Portfolio
Schedule of Portfolio Investments December 31, 1997
Shares Description Value
- ------ ----------- -----
700 Ciber, Inc. (a) $ 40,600
1,000 Claremont Technology Group (a) 18,500
2,600 Cognex Corp. (a) 70,850
2,050 Computer Horizons Corp. (a) 92,250
100 Computer Learning Centers, Inc. (a) 6,125
800 Computer Management Sciences, Inc. (a) 15,300
7,200 Computervision Corp. (a) 27,450
2,800 Diamond Multimedia Systems, Inc. (a) 24,850
600 Electro Scientific Industries, Inc. (a) 22,800
1,200 Envoy Corp. (a) 34,950
2,500 E Trade Group, Inc. (a) 57,500
800 Evans & Sutherland Computer Corp. (a) 23,200
700 Fair Isaac & Co., Inc. 23,319
1,000 Henry (Jack) & Associates 27,250
1,500 Hutchinson Technology, Inc. (a) 32,812
1,600 IKOS Systems, Inc. (a) 9,800
1,300 Imnet Systems, Inc. (a) 21,125
800 In Focus Systems, Inc. (a) 24,300
800 Inacom Corp. (a) 22,450
1,500 International Network Services (a) 34,688
900 Kronos, Inc. (a) 27,731
500 LHS Group, Inc. (a) 29,875
4,600 Mentor Graphics Corp. (a) 44,562
900 MicroTouch Systems, Inc. (a) 14,175
2,300 Mylex Corp. (a) 20,700
1,100 National Computer Systems, Inc. 38,775
1,800 National TechTeam, Inc. (a) 16,200
1,375 Network Associates, Inc. (a) 72,703
2,700 Object Design, Inc. (a) 22,613
1,200 ODS Networks, Inc. (a) 7,725
900 Quick Response Services, Inc. (a) 33,300
700 RadiSys Corp. (a) 26,075
2,100 Safeguard Scientifics, Inc. (a) 65,887
1,850 Technology Solutions Co. (a) 48,794
1,300 Transition Systems, Inc. (a) 28,762
1,400 USCS International, Inc. (a) 23,800
3,300 Vanstar Corp. (a) 37,331
2,500 Xylan Corp. (a) 37,813
1,700 Zitel Corp. (a) 16,150
-----------
1,665,646
-----------
Computer Software - 4.74%
3,700 Acclaim Entertainment, Inc. (a) 13,413
1,700 Activision, Inc. (a) 30,387
400 Advent Software, Inc. (a) 11,450
1,200 American HomePatient, Inc. (a) 28,200
800 Arbor Software Corp. (a) 32,400
1,600 Aspen Technologies, Inc. (a) 54,800
1,700 Avant! Corp. (a) 28,475
1,800 Avid Technology, Inc. (a) 48,150
1,900 Aware, Inc. (a) 19,475
1,280 Baan Company NV (a) 42,240
1,600 BancTec, Inc. (a) 42,900
1,700 BEA Systems, Inc. (a) 29,431
1,100 Bell & Howell Co. (a) 26,606
Shares Description Value
- ------ ----------- -----
1,900 Bisys Group, Inc. (a) $ 63,175
1,350 Boole & Babbage, Inc. (a) 40,331
1,600 Broderbund Software, Inc. (a) 41,000
500 CDW Computer Centers, Inc. (a) 26,062
3,600 Cellular Technical Services Co. (a) 11,475
3,300 Checkfree Corp. (a) 89,100
3,600 Chips & Technologies, Inc. (a) 51,975
2,450 CHS Electronics, Inc. (a) 41,956
1,900 Citrix Systems, Inc. (a) 144,400
1,000 Data Dimensions, Inc. (a) 17,250
250 DecisionOne Holdings Corp. (a) 6,250
1,700 Documentum, Inc. (a) 71,612
1,500 Edify Corp. (a) 28,125
2,800 Exabyte Corp. (a) 18,025
2,500 Firearms Training Systems, Inc. (a) 12,969
1,600 Forte Software, Inc. (a) 12,200
4,400 FTP Software, Inc. (a) 9,900
1,500 Gerber Scientific, Inc. 29,812
2,000 GT Interactive Software Corp. (a) 12,750
1,400 Harbinger Corp. 39,375
960 HBO & Co. 46,080
1,300 HNC Software, Inc. (a) 55,900
1,400 Hyperion Software Corp. (a) 50,050
1,700 Industri-Matematik International Corp. 50,150
1,500 Infinity Financial Technology, Inc. (a) 31,406
1,150 Information Management Resources,
Inc. (a) 43,125
2,200 Information Resources, Inc. (a) 29,425
1,300 Inso Corp. (a) 15,031
1,300 Integrated Systems, Inc. (a) 17,875
2,300 INTERSOLV, Inc. (a) 46,575
300 Intevac, Inc. (a) 2,925
1,000 JDA Software Group, Inc. (a) 35,000
2,900 Learning Company, Inc. (a) 46,581
700 Learning Tree International, Inc. (a) 20,212
1,400 Legato Systems, Inc. (a) 61,600
1,018 Lycos, Inc. (a) 42,120
2,600 Macromedia, Inc.(a) 21,613
1,200 Manugistics Group, Inc. (a) 53,550
1,300 Mercury Interactive Corp. (a) 34,775
800 Metro Information Services, Inc. (a) 22,200
3,200 MicroProse, Inc. (a) 7,000
1,000 National Instruments Corp. (a) 29,000
2,200 Network Appliance, Inc. (a) 78,100
2,500 Network Computing Devices, Inc. (a) 23,438
2,200 Phoenix Technologies Ltd. (a) 26,675
500 Pixar, Inc. (a) 10,812
1,200 Policy Management Systems Corp. (a) 83,475
1,600 Progress Software Corp. (a) 34,600
700 Project Software & Development,
Inc. (a) 16,450
2,700 PSINet, Inc. (a) 13,838
300 Raptor Systems, Inc. (a) 3,975
5,986 Rational Software Corp. (a) 68,091
1,600 Remedy Corp. (a) 33,600
100 Sapient Corp. (a) 6,125
1,500 Scopus Technology, Inc. (a) 18,000
See Notes to Financial Statements on Pages 31 and 32
14
<PAGE>
Small Cap Index Portfolio
Schedule of Portfolio Investments December 31, 1997
Shares Description Value
- ------ ----------- -----
900 SEI Investments Co. $ 37,800
2,300 Shiva Corp. (a) 19,694
1,500 Siebel Systems, Inc. (a) 62,719
1,300 SPS Transaction Services, Inc. (a) 29,331
600 SPSS, Inc. (a) 11,550
2,600 Structural Dynamics Research Corp. (a) 58,500
4,300 Symantec Corp. (a) 94,331
847 Synopsys, Inc. (a) 30,280
2,300 System Software Associates, Inc. (a) 20,125
1,200 Systems & Computer Technology Corp. (a) 59,550
2,100 SystemSoft Corp. (a) 13,387
1,100 Vantive Corp.(a) 27,775
2,000 Veritas Software Corp. (a) 102,000
1,400 Viasoft, Inc. (a) 59,150
1,400 VideoServer, Inc. (a) 22,225
1,800 Visio Corp. (a) 69,075
1,000 Wall Data, Inc. (a) 13,625
1,500 Wind River Systems (a) 59,531
1,700 Wonderware Corp. (a) 24,013
1,750 Yahoo!, Inc. (a) 121,188
-----------
3,290,890
-----------
Consumer Goods - 0.17%
1,200 Bush Industries, Inc.- Class A 31,200
600 Fossil, Inc. (a) 15,000
1,400 Galoob Toys, Inc. (a) 14,262
500 Herbalife International,
Inc.- Class A (a) 10,500
1,000 Herbalife International,
Inc.- Class B 21,500
1,200 Renters Choice, Inc. (a) 24,600
-----------
117,062
-----------
Consumer Services - 0.67%
1,200 Billing Information Concepts (a) 57,600
1,500 CoreComm, Inc. (a) 15,187
2,750 Crawford & Co.- Class B 56,203
2,100 DeVry, Inc. 66,938
1,150 Equity Corporation International (a) 26,594
1,500 G & K Services, Inc.- Class A 63,000
750 Pinkerton's, Inc. (a) 17,625
1,700 Prepaid Legal Services, Inc. (a) 58,119
1,500 Rollins, Inc. 30,469
1,650 Seattle FilmWorks, Inc. (a) 18,356
1,450 Sylvan Learning Systems, Inc. (a) 56,550
-----------
466,641
-----------
Containers - 0.75%
1,000 ACX Technologies, Inc. (a) 24,437
1,400 Aptargroup, Inc. 77,700
2,300 Ball Corp. 81,219
1,600 Chesapeake Corp. 55,000
3,100 First Brands Corp. 83,506
4,100 Gaylord Container Corp.- Class A (a) 23,575
1,000 Greif Brothers Corp.- Class A 33,500
100 Liqui-Box Corp. 4,025
4,000 Longview Fibre Co. 60,750
Shares Description Value
- ------ ----------- -----
1,100 Shorewood Packaging Corp. (a) $ 29,425
1,400 Silgan Holdings, Inc. (a) 45,500
-----------
518,637
-----------
Cosmetics and Toiletries - 0.07%
1,100 Nature's Sunshine Products, Inc. 28,600
2,200 Playtex Products, Inc. (a) 22,550
-----------
51,150
-----------
Diversified - 0.29%
1,400 Hexcel Corp. (a) 34,912
3,300 Imation Corp. (a) 52,800
1,800 Justin Industries 24,525
524 NACCO Industries, Inc. - Class A 56,166
650 Volt Information Sciences, Inc. (a) 35,019
-----------
203,422
-----------
Drugs - 0.59%
1,200 Alpharma, Inc.- Class A 26,100
2,000 Cephalon, Inc. (a) 22,750
1,800 COR Therapeutics, Inc. (a) 40,500
2,300 Gilead Sciences, Inc. (a) 87,975
2,100 Isis Pharmaceuticals, Inc. (a) 25,856
1,800 Jones Medical Industries, Inc. 68,850
1,000 Medicis Pharmaceutical
Corp. - Class A (a) 51,125
5,200 Perrigo Co. (a) 69,550
2,600 Sequus Pharmaceuticals, Inc. (a) 19,338
-----------
412,044
-----------
Drugs/Retail - 0.20%
700 Express Scripts, Inc.- Class A (a) 42,000
2,400 Rexall Sundown, Inc. (a) 72,450
3,900 Zila, Inc. (a) 23,156
-----------
137,606
-----------
Electrical Equipment - 1.46%
1,400 Adtran, Inc. (a) 38,500
2,500 AMETEK, Inc. 67,500
2,000 Baldor Electric Co. 43,375
1,900 Belden, Inc. 66,975
1,400 Berg Electronics Corp. (a) 31,850
1,600 Calpine Corp. (a) 23,800
4,600 Cirrus Logic (a) 48,875
800 C&D Technologies, Inc. 38,600
1,200 ESS Technology, Inc. (a) 9,113
700 Esterline Technologies Corp. (a) 25,200
1,100 Fluke Corp. 28,669
600 Franklin Electric Co., Inc. 38,550
1 General Electric Co. 38
100 JPM Company (a) 2,125
3,000 Kemet Corp. (a) 58,125
1,500 Littelfuse, Inc. (a) 37,312
1,600 MagnaTek, Inc. (a) 31,200
900 Marquette Medical Systems - Class A (a) 23,963
2,200 Methode Electronics, Inc.- Class A 35,750
1,500 MRV Communications, Inc. (a) 35,812
See Notes to Financial Statements on Pages 31 and 32
15
<PAGE>
Small Cap Index Portfolio
Schedule of Portfolio Investments December 31, 1997
Shares Description Value
- ------ ----------- -----
2,100 OIS Optical Imaging Systems,
Inc. (a) $ 2,559
1,100 Perceptron, Inc. (a) 23,788
2,400 Ramtron International Corp. (a) 13,350
1,300 Sanmina Corp. (a) 88,075
2,400 Silicon Valley Group, Inc. (a) 54,300
1,800 SMART Modular Technologies, Inc. (a) 41,400
1,300 Tracor, Inc. (a) 39,487
2,400 Vicor Corp. (a) 65,100
-----------
1,013,391
-----------
Electronics - 3.60%
1,400 Actel Corp. (a) 17,675
1,900 Alliance Semiconductor Corp. (a) 8,669
1,000 Altron, Inc. (a) 13,250
1,800 American Residential Services, Inc. (a) 28,125
5,900 Ampex Corp. - Class A (a) 14,750
1,300 Amphenol Corp. - Class A (a) 72,394
1,100 ANADIGICS, Inc. (a) 33,137
500 Analogic Corp. 19,000
2,100 BMC Industries Inc. 33,863
1,850 Burr-Brown Corp. (a) 59,431
1,300 Cable Design Technologies (a) 50,538
2,500 C-Cube Microsystems, Inc. (a) 40,781
2,600 Checkpoint Systems, Inc. (a) 45,500
700 Cohu, Inc. 21,438
5,061 Computer Products, Inc. (a) 114,505
4,000 CopyTele, Inc. (a) 14,000
1,700 Credence Systems Corp. (a) 50,362
2,148 CTS Corp. 68,602
550 Cubic Corp. 18,013
1,900 DII Group, Inc. (a) 51,775
900 Dionex Corp. (a) 45,225
1,200 Dynatech Corp. (a) 56,250
1,400 Electroglas, Inc. (a) 21,612
700 Eltron International, Inc. (a) 21,175
1,600 Etec Systems, Inc. (a) 74,400
1,700 FSI International, Inc. (a) 19,975
2,000 GenRad, Inc. (a) 60,375
2,700 Gentex Corp. (a) 72,563
700 Hadco Corp. (a) 31,675
2,700 Identix, Inc. (a) 25,987
900 Integrated Circuit Systems, Inc. (a) 25,650
6,200 Integrated Device Technology, Inc. (a) 58,513
1,300 Integrated Process Equipment Corp. (a) 20,475
4,000 International Rectifier Corp. (a) 47,250
1,500 Itron, Inc. (a) 27,000
3,200 Kent Electronics Corp. (a) 80,400
1,300 Kuhlman Corp. 50,862
500 LeCroy Corp. (a) 15,125
1,600 Lo-Jack Corp. (a) 23,600
2,900 LTX Corp. (a) 12,869
1,300 Marshall Industries (a) 39,000
700 MTS Systems Corp. 26,250
1,400 Nichols Research Corp. (a) 35,000
1,700 Nimbus CD International, Inc. (a) 18,275
Shares Description Value
- ------ ----------- -----
1,400 Oak Industries, Inc. (a) $ 41,563
800 Park Electrochemical Corp. 22,700
1,400 Photronics, Inc. (a) 33,950
2,000 Pioneer-Standard Electronics, Inc. 30,500
1,100 Plexus Corp. (a) 16,362
900 Rambus, Inc. (a) 41,175
3,400 Read-Rite (a) 53,550
2,400 Robotic Vision Systems, Inc. (a) 27,600
600 Rogers Corp. (a) 24,525
3,900 S3, Inc. (a) 19,500
1,100 SDL, Inc. (a) 15,950
800 Sheldahl, Inc. (a) 11,200
800 Siliconix, Inc. (a) 34,400
600 SpeedFam International, Inc. (a) 15,900
1,300 Stanford Telecommunications, Inc. (a) 22,019
1,100 Technitrol, Inc. 33,000
400 Tech-Sym Corp. (a) 10,175
1,500 Thermedics, Inc. (a) 24,562
1,600 ThermoSpectra Corp. (a) 16,000
1,700 Trimble Navigation Ltd. (a) 37,081
800 Triumph Group, Inc. (a) 26,600
1,400 Ultratech Stepper, Inc. (a) 27,825
2,600 Uniphase Corp. (a) 107,575
1,800 Unitrode Corp. (a) 38,700
700 Veeco Instruments, Inc. (a) 15,400
700 Watkins-Johnson Co. 18,156
1,500 Zilog, Inc. (a) 28,594
1,000 Zygo Corp. (a) 18,750
-----------
2,498,626
-----------
Engineering - 0.16%
1,700 Granite Construction, Inc. 39,100
1,700 Jacobs Engineering Group, Inc. (a) 43,138
800 Starrett (L.S.) Co. - Class A 29,250
-----------
111,488
-----------
Engineering and Construction - 0.04%
600 Stone & Webster, Inc. 28,125
Entertainment - 0.31%
700 Family Golf Centers, Inc. (a) 21,962
2,300 Florida Panthers Holdings, Inc. (a) 39,675
2,500 Grand Casino, Inc. (a) 34,063
6,600 Malibu Entertainment Worldwide (a) 21,037
1,300 Rio Hotel and Casino, Inc. (a) 27,300
1,000 Speedway Motorsports, Inc. (a) 24,813
1,300 Ticketmaster Group, Inc. (a) 29,900
1,900 Trump Hotels & Casino Resorts, Inc. (a) 12,706
-----------
211,456
-----------
Environmental Control - 1.07%
8,200 Allied Waste Industries, Inc. (a) 191,163
2,700 Calgon Carbon Corp. 29,025
1,978 Culligan Water Technologies, Inc. (a) 99,394
2,500 Dames & Moore, Inc. 33,125
See Notes to Financial Statements on Pages 31 and 32
16
<PAGE>
Small Cap Index Portfolio
Schedule of Portfolio Investments December 31, 1997
Shares Description Value
- ------ ----------- -----
1,500 Donaldson Co., Inc. $ 67,594
1,800 IMCO Recycling, Inc. 28,913
1,200 Ionics, Inc. (a) 46,950
300 Mine Safety Appliances Co. 19,650
4,500 Safety-Kleen Corp. 123,469
1,400 Superior Services, Inc. (a) 40,425
1,300 Watsco, Inc. 32,094
1,000 Zurn Industries, Inc. 31,437
-----------
743,239
-----------
Financial Services - 8.46%
2,000 Aames Financial Corp. 25,875
900 ALBANK Financial Corp. 46,294
1,850 AMCORE Financial, Inc. 46,481
2,200 AmeriCredit Corp. (a) 60,913
2,800 AMRESCO, Inc. (a) 84,700
1,700 Anchor Bancorp Wisconsin, Inc. 61,838
3,100 Arcadia Financial Ltd. (a) 23,056
4,502 Associated Banc-Corp 248,173
1,800 Astoria Financial Corp. 100,350
1,500 BancorpSouth, Inc. 70,875
800 Bank of Granite Corp. 24,600
700 BankAtlantic Bancorp, Inc. - Class B 11,725
1 BankAtlantic Bancorp, Inc. - Class A 12
600 Banknorth Group, Inc. 38,550
1,000 Bay View Capital Corp. 36,250
530 BOK Financial Corp. (a) 20,588
1,000 Capital Factors Holdings, Inc. (a) 19,000
897 Chemical Financial Corp. 40,140
1,050 CitFed Bancorp, Inc. 40,950
1,200 Citizens Banking Corp. 41,400
1,200 Cityscape Financial Corp. (a) 600
1,400 CNB Bankshares, Inc. 67,462
1,400 Coast Savings Financial, Inc. (a) 95,988
2,300 Colonial BancGroup, Inc. 79,206
1,255 Commerce Bancorp, Inc. 64,005
2,475 Commercial Federal Corp. 88,017
1,400 Community First Bankshares, Inc. 74,550
1,000 Corus Bankshares, Inc. 39,563
600 CPB, Inc. 12,337
2,800 Credit Acceptance Corp. (a) 21,700
1,700 Cullen/Frost Bankers, Inc. 103,169
1,200 Cuno, Inc. (a) 18,300
1,557 Downey Financial Corp. 44,277
1,200 Eaton Vance Corp. 45,300
800 Everen Capital Corp. 38,000
1,140 F & M Bancorporation Inc. 45,885
1,500 F & M National Corp. 51,469
1,350 Financial Federal Corp. (a) 31,894
700 First Citizens BancShares,
Inc. - Class A 72,822
2,300 First Colorado Bancorp, Inc. 54,625
400 First Financial Corp.-Indiana 24,200
925 First Indiana Corp. 27,981
1,150 First Midwest Bancorp, Inc. 50,312
Shares Description Value
- ------ ----------- -----
1,100 First Savings Bank of Washington
Bancorp, Inc. $ 30,250
700 First United Bancshares, Inc. 29,400
1,350 First Western Bancorp, Inc. 38,475
1,250 Firstbank of Illinois Co. 46,016
1,100 FirstBank Puerto Rico 37,469
100 Firstfed Financial Corp. (a) 3,875
1,800 FIRSTPLUS Financial Group, Inc. (a) 69,075
1,350 Fort Wayne National Corp. 62,100
350 Fund American Enterprise Holdings 42,350
1,075 F.N.B. Corp. 40,447
1,100 Great Financial Corp. 56,100
1,300 Hambrecht & Quist Group (a) 47,450
620 Hancock Holding Co. 37,510
1,400 Harris Financial, Inc. 27,825
1,688 HUBCO, Inc. 66,043
1,900 IMC Mortgage Co. (a) 22,563
1,750 Imperial Bancorp (a) 86,297
1,800 Imperial Credit Industries, Inc. (a) 36,900
900 Interra Financial, Inc. 62,100
400 Investment Technology Group, Inc. (a) 11,200
1,600 Jefferies Group, Inc. 65,500
500 John Nuveen & Co., Inc. - Class A 17,500
4,505 Keystone Financial, Inc. 181,326
1,100 Klamath First Bancorp, Inc. 23,650
1,700 Legg Mason, Inc. 95,094
1,800 Long Island Bancorp, Inc. 89,325
1,150 MAF Bancorp, Inc. 40,681
2,500 Magna Group, Inc. 114,375
1,400 McDonald & Company Investments 39,725
13,300 Mercury Finance Co. (a) 8,312
1,850 Morgan Keegan, Inc. 46,828
1,400 Morrison Knudsen Corp. (a) 13,650
1,400 National Auto Credit, Inc. (a) 7,438
782 National City Bancshares, Inc. 34,995
400 Nationwide Financial Services, Inc. 14,450
1,333 New York Bankcorp, Inc. 52,903
1,500 Ocwen Asset Investment Corp. 30,750
2,000 Ocwen Financial Corp. (a) 50,875
1,000 ONBANCorp, Inc. 70,500
2,087 One Valley Bancorp, Inc. 80,871
2,104 Peoples Heritage Financial Group, Inc. 96,784
3,600 Phoenix Duff & Phelps Corp. 28,800
1,700 Pioneer Group, Inc. 47,812
1,400 Piper Jaffray Companies, Inc. 51,013
725 Provident Bankshares Corp. 46,309
1,048 Queens County Bancorp, Inc. 42,444
1,600 Quick & Reilly Group, Inc. 68,800
1,800 Raymond James Financial, Inc. 71,437
1,870 Republic Bancorp, Inc. 39,971
704 Resource Bancshares Mortgage
Group, Inc. 11,476
3,400 Roslyn Bancorp, Inc. 79,050
700 Silicon Valley Bancshares (a) 39,375
6,931 Sovereign Bancorp, Inc. 143,822
See Notes to Financial Statements on Pages 31 and 32
17
<PAGE>
Small Cap Index Portfolio
Schedule of Portfolio Investments December 31, 1997
Shares Description Value
- ------ ----------- -----
2,625 St. Paul Bancorp, Inc. $ 68,906
500 Sumitomo Bank of California 27,313
700 Texas Regional Bancshares, Inc. -
Class A 21,350
1,200 TR Financial Corp. 39,900
1,200 Trans Financial, Inc. 46,650
300 Triad Guaranty, Inc. (a) 8,700
1,870 Trustco Bank Corp. 50,957
2,500 Trustmark Corp. 115,625
1,281 UMB Financial Corp. 69,815
1,100 United Bankshares, Inc. 52,525
1,900 United Companies Financial Corp. 29,450
1,900 UST Corp. 52,725
1,500 U.S. Trust Corp. 93,937
300 Vermont Financial Services Corp. 8,325
1,200 WesBanco, Inc. 36,000
1,056 Westamerica Bancorporation 107,976
2,100 Westcorp 35,438
300 White River Corp. (a) 23,850
1,600 Whitney Holding Corp. 91,200
-----------
5,873,360
-----------
Food Service/Lodging - 0.74%
2,000 Bristol Hotel Co. (a) 58,125
3,200 Franchise Finance Corp. of America 86,400
3,921 Imperical Holly Corp. 42,646
1,800 Luby's Cafeterias, Inc. 31,613
1,200 Marcus Corp. 22,125
1,100 Morrison Health Care, Inc. 22,000
1,200 Ruby Tuesday, Inc. (a) 30,900
3,700 Ryan's Family Steak Houses, Inc. (a) 31,681
1,600 Sanderson Farms, Inc. 23,200
1,000 Sbarro, Inc. 26,313
4,300 Shoney's, Inc. (a) 13,706
1,100 Showbiz Pizza Time, Inc. (a) 25,300
2,400 Smithfield Foods, Inc. (a) 79,200
1,300 Suburban Lodges of America, Inc. (a) 17,306
-----------
510,515
-----------
Foods - 1.07%
1,000 CellStar Corp. (a) 19,875
1,700 Dreyer's Grand Ice Cream, Inc. 41,013
1,600 Earthgrains Co. 75,200
1,700 Hudson Foods Inc. - Class A 34,956
1,300 International Multifoods Corp. 36,806
1,300 Lance, Inc. 34,206
1,500 Michael Foods, Inc. 36,563
2,000 NPC International, Inc. (a) 24,250
1,600 Performance Food Group Co. (a) 38,000
1,300 Pilgrims Pride Corp. 20,231
2,500 Ralcorp Holdings, Inc. (a) 42,344
3,700 Richfood Holdings, Inc. 104,525
1,700 Smucker (J.M.) Co. - Class A 40,162
1,495 Suiza Foods Corp. (a) 89,046
Shares Description Value
- ------ ----------- -----
800 United Natural Foods, Inc. (a) $ 20,800
2,000 Universal Foods Corp. 84,500
-----------
742,477
-----------
Forest Products and Paper - 0.11%
1,100 Buckeye Cellulose Corp. (a) 50,875
900 Deltic Timber Corp. 24,638
-----------
75,513
-----------
Gaming - 0.09%
3,500 Aztar Corp. (a) 21,875
1,100 Sodak Gaming, Inc. (a) 7,012
3,300 Station Casinos, Inc. (a) 33,619
-----------
62,506
-----------
Health Care-Diversified - 0.20%
2,200 American Oncology Resources, Inc. (a) 35,200
2,000 Cerner Corp. (a) 42,250
1,300 HCIA, Inc. (a) 15,438
1,400 HealthPlan Services Corp. 29,400
600 Superior Consultant Holdings Corp. (a) 18,000
-----------
140,288
-----------
Health Care - 1.17%
4,000 Apria Healthcare Group, Inc. 53,750
1,100 CareMatrix Corp. 31,625
2,586 Concentra Managed Care, Inc. (a) 87,278
1,700 FPA Medical Management, Inc. (a) 31,662
800 Henry Schein, Inc. (a) 28,000
900 IDX Systems Corp. (a) 33,300
1,100 Inhale Therapeutics Systems (a) 28,600
1,800 Mariner Health Group, Inc. (a) 29,250
1,300 MedQuist, Inc. (a) 45,175
3,300 Mid Atlantic Medical Services, Inc. (a) 42,075
1,300 NCS HealthCare (a) 34,287
2,907 Paragon Health Network, Inc. (a) 56,868
800 Pediatrix Medical Group, Inc. (a) 34,200
500 Perclose, Inc. (a) 9,625
1,800 Renal Care Group, Inc. (a) 57,600
1,700 Renal Treatment Centers, Inc. (a) 61,413
3,300 Sun Healthcare Group, Inc. (a) 63,937
3,300 Trigon Healthcare, Inc. (a) 86,213
-----------
814,858
-----------
Holding Company - 0.19%
400 Florida East Coast Industries, Inc. 38,450
1,400 Triarc Cos., Inc. (a) 38,150
2,800 Walter Industries, Inc. (a) 57,750
-----------
134,350
-----------
Hospital Supplies and Health Care - 0.28%
1,800 Haemonetics Corp. (a) 25,200
1,900 Healthdyne Technologies, Inc. (a) 38,712
* HEALTHSOUTH Corp. (a) 5
900 Rural/Metro Corp. (a) 30,038
See Notes to Financial Statements on Pages 31 and 32
18
<PAGE>
Small Cap Index Portfolio
Schedule of Portfolio Investments December 31, 1997
Shares Description Value
- ------ ----------- -----
1,200 Sunrise Assisted Living (a) $ 51,750
1,400 Thermo Cardiosystems, Inc. (a) 37,450
600 Vital Signs, Inc. 11,700
-----------
194,855
-----------
Hotel/Motel - 0.61%
600 American General Hospitality Corp. 16,050
2,800 Boyd Gaming Corp. (a) 18,550
1,800 CapStar Hotel Co. (a) 61,763
3,800 Choice Hotels Corp., Inc. (a) 60,800
1,800 Homestead Village, Inc. (a) 27,112
1,600 Interstate Hotels Co. (a) 56,100
1,400 Primadonna Resorts, Inc. (a) 23,363
3,100 Prime Hospitality Corp. (a) 63,162
62 Promus Hotel Corp. (a) 2,604
1,900 Red Roof Inns, Inc. (a) 29,094
1,200 Showboat, Inc. 35,250
800 Wyndham Hotel Corp. (a) 32,300
-----------
426,148
-----------
Household Furnishings - 0.83%
1,000 Action Performance Cos., Inc. (a) 37,875
1,000 Bassett Furniture Industries, Inc. 30,000
2,200 Cone Mills Corp. (a) 17,050
1,000 CORT Business Services Corp. (a) 39,812
1,400 Culp, Inc. 28,000
1,500 Department 56, Inc. (a) 43,125
5,100 Fedders Corp. 31,875
3,900 Furniture Brands International, Inc. (a) 79,950
2,000 Garden Ridge Corp. (a) 28,500
4,400 Heilig-Meyers Co. 52,800
1,400 Juno Lighting, Inc. 24,500
2,800 Kimball International, Inc. - Class B 51,625
1,200 La-Z-Boy Chair, Inc. 51,750
1,100 McGrath Rentcorp 26,950
500 National Presto Industries, Inc. 19,781
2,300 Zenith Electronics Corp. (a) 12,506
-----------
576,099
-----------
Household Products - 0.18%
1,200 Libbey, Inc. 45,450
900 Toro Co. 38,363
1,300 USA Detergents, Inc. (a) 10,562
1,300 Windmere-Durable Holdings, Inc. 29,331
-----------
123,706
-----------
Housing Revenue - 0.11%
3,760 Champion Enterprises, Inc. (a) 77,315
-----------
Human Resources - 0.25%
1,100 Alternative Resources Corp. (a) 25,369
3,100 Interim Services, Inc. (a) 80,212
1,200 Kelly Services, Inc. - Class A 36,000
900 Personnel Group of America, Inc. (a) 29,700
-----------
171,281
-----------
Shares Description Value
- ------ ----------- -----
Insurance - 4.16%
900 Acceptance Insurance Cos., Inc. (a) $ 21,769
1,500 Alfa Corp. 25,875
1,725 Allied Group, Inc. 49,378
900 American Annuity Group, Inc. 19,800
1,800 Amerin Corp. (a) 50,400
941 AmerUs Life Holdings, Inc. - Class A 34,713
1,500 Argonaut Group, Inc. 50,812
1,400 Baldwin & Lyons, Inc. - Class B 33,775
1,750 Berkley (W.R.) Corp. 76,781
800 Capital Re Corp. 49,650
800 CapMac Holdings, Inc. 27,800
1,400 Chartwell Re Corp. 47,250
700 Citizens Corp. 20,125
1,700 CMAC Investment Corp. 102,638
700 CNA Surety Corp. (a) 10,806
1,500 Commerce Group, Inc. 48,937
1,100 Compdent Corp. (a) 22,309
2,600 Coventry Corp. (a) 39,650
1,105 Delphi Financial Group,
Inc. - Class A (a) 49,725
1,000 Enhance Financial Services Group, Inc. 59,500
800 Executive Risk, Inc. 55,850
800 E.W. Blanch Holdings, Inc. 27,550
1,300 FBL Financial Group, Inc. - Class A 52,163
2,400 Financial Security Assurance Holdings
Ltd. 115,800
800 First American Financial Corp. 59,100
600 Foremost Corp. of America 41,850
1,700 Fremont General Corp. 93,075
1,980 Frontier Insurance Group, Inc. 45,292
1,900 GAINSCO, Inc. 16,150
1,200 Gallagher (Arthur J.) & Co. 41,325
1,500 Guarantee Life Companies, Inc. 42,750
2,000 Hartford Life, Inc. - Class A 90,625
2,300 HCC Insurance Holdings, Inc. 48,875
1,100 Highlands Insurance Group, Inc. (a) 31,213
1,500 HSB Group, Inc. 82,781
1,900 John Alden Financial Corp. 45,600
600 JSB Financial, Inc. 30,037
300 Kansas City Life Insurance Co. 29,700
900 Liberty Corp. 42,075
700 Life Re Corp. 45,631
2,000 Life USA Holding, Inc. (a) 33,750
300 Markel Corp. (a) 46,838
600 Meadowbrook Insurance Group, Inc. 15,637
1,636 Medical Assurance, Inc. (a) 46,013
900 MMI Companies, Inc. 22,612
1,100 NAC Re Corp. 53,694
200 National Western Life Insurance -
Class A (a) 20,300
2,100 Orion Capital Corp. 97,519
2,100 Penncorp Financial Group, Inc. 74,944
1,000 Poe & Brown, Inc. 44,625
1,900 Presidential Life Corp. 38,475
923 PXRE Corp. 30,632
2,950 Reinsurance Group of America 125,559
See Notes to Financial Statements on Pages 31 and 32
19
<PAGE>
Small Cap Index Portfolio
Schedule of Portfolio Investments December 31, 1997
Shares Description Value
- ------ ----------- -----
1,300 Risk Capital Holdings, Inc. (a) $ 28,925
700 RLI Corp. 34,869
1,000 SCPIE Holdings, Inc. 28,938
2,200 Selective Insurance Group, Inc. 59,400
1,200 State Auto Financial Corp. 38,700
900 Trenwick Group, Inc. 33,862
500 United Fire & Casualty Co. 22,125
1,000 United Wisconsin Services, Inc. 25,750
1,000 Vesta Insurance Group, Inc. 59,375
900 Zenith National Insurance Corp. 23,175
-----------
2,884,852
-----------
Leisure Related - 0.63%
400 AMC Entertainment, Inc. (a) 8,900
500 Anchor Gaming (a) 27,875
2,800 Arctic Cat, Inc. 27,125
100 Bally's Grand, Inc. (a) 5,119
800 Carmike Cinemas, Inc. - Class A (a) 22,950
1,200 Coachmen Industries, Inc. 25,875
3,700 Handleman Co. (a) 25,669
2,300 Huffy Corp. 31,050
3,000 Jostens, Inc. 69,187
1,100 K2, Inc. 25,025
800 Penn National Gaming, Inc. (a) 7,800
900 Premier Parks, Inc. (a) 36,450
1,200 Signature Resorts, Inc. (a) 26,250
2,300 Toy Biz, Inc. (a) 17,825
2,000 Vail Resorts, Inc. (a) 51,875
1,200 West Marine, Inc. (a) 26,850
-----------
435,825
-----------
Machinery - 2.09%
300 Ag-Chem Equipment Co., Inc. (a) 4,162
1,000 Alamo Group, Inc. 21,688
1,400 Albany International Corp. - Class A 32,200
1,300 Allied Products Corp. 31,200
1,450 Applied Industrial Technology, Inc. 38,787
1,000 Applied Power, Inc. - Class A 69,000
2,300 Aviall, Inc. (a) 34,356
1,600 Blount International, Inc. - Class A 42,700
1,300 Cascade Corp. 22,100
2,800 Cincinnati Milacron, Inc. 72,625
1,300 Columbus McKinnon Corp. 31,525
1,600 Commercial Intertech Corp. 33,200
1,000 DT Industries, Inc. 34,000
3,081 Flowserve Corp. 86,075
1,350 Gardner Denver Machinery, Inc. (a) 34,172
1,000 Gleason Corp. 26,938
1,700 Global Industrial Technologies,
Inc. (a) 28,794
1,300 Helix Technology Corp. 25,350
2,250 IDEX Corp. 78,469
3,400 JLG Industries, Inc. 48,025
1,800 Kulicke & Soffa Industries, Inc. (a) 33,525
1,900 Lincoln Electric Co. 68,400
750 Lindsay Manufacturing Co. 32,531
Shares Description Value
- ------ ----------- -----
1,325 Manitowoc Co., Inc. $ 43,062
1,000 Maverick Tube Corp. (a) 25,313
1,100 Nordson Corp. 50,462
1,800 OmniQuip International, Inc. 35,888
1,200 Osmonics, Inc. (a) 18,975
1,600 Regal-Beloit Corp. 47,300
1,000 Robbins & Myers, Inc. 39,625
2,400 Roper Industries, Inc. 67,800
1,700 Specialty Equipment Cos., Inc. (a) 28,475
800 SPS Technologies, Inc. (a) 34,900
700 Tennant Co. 25,462
300 TurboChef, Inc. (a) 2,175
1,400 Watts Industries, Inc. - Class A 39,638
1,400 Zebra Technologies Corp. - Class A (a) 41,650
800 Zoltek Cos., Inc. (a) 22,300
-----------
1,452,847
-----------
Manufacturing - 1.90%
700 Advanced Energy Industries (a) 10,456
500 Advanced Lighting Technologies, Inc. (a) 9,500
1,100 Aftermarket Technology Corp. (a) 19,938
900 Alltrista Corp. (a) 25,537
1,600 Brady (W.H.) Co. 49,600
1,200 Clarcor, Inc. 35,550
1,200 Cross (A.T.) Co. - Class A 12,150
700 Day Runner, Inc. (a) 28,350
800 Essex International, Inc. (a) 23,800
1,500 Figgie International, Inc. -
Class A (a) 19,688
1,600 Fisher Scientific International 76,400
2,100 Fleetwood Enterprises 89,119
1,600 Foamex International, Inc. (a) 17,400
1,400 Furon Co. 29,225
2,100 GenCorp, Inc. 52,500
1,000 Graco, Inc. 37,312
2,300 Griffon Corp. (a) 33,638
1,400 Harman International Industries, Inc. 59,412
550 Insilco Corp. (a) 18,150
1,300 Lydall, Inc. 25,350
1,000 Matthews International Corp. - Class A 44,000
1,200 Mestek, Inc. (a) 22,500
1,300 MotivePower Industries, Inc. (a) 30,225
2,306 Paxar Corp. (a) 34,158
1,400 Penn Engineering & Manufacturing Corp. 33,600
1,400 Plantronics, Inc. (a) 56,000
2,100 Polymer Group, Inc. (a) 19,950
1,100 RMI Titanium Co. (a) 22,000
3,600 Royal Appliance Manufacturing Co. (a) 23,850
1,200 Samsonite Corp. 37,950
600 Sequa Corp. - Class A (a) 39,037
900 Standex International Corp. 31,725
1,100 Supertex, Inc. (a) 11,963
1,200 Thermo TerraTech, Inc. (a) 9,750
1,800 ThermoLase Corp. (a) 18,900
600 Tredegar Industries, Inc. 39,525
1,500 Twinlab Corp. (a) 37,125
See Notes to Financial Statements on Pages 31 and 32
20
<PAGE>
Small Cap Index Portfolio
Schedule of Portfolio Investments December 31, 1997
Shares Description Value
- ------ ----------- -----
1,900 U.S. Can Corp. (a) $ 32,062
1,900 Waters Corp. (a) 71,488
1,100 Westinghouse Air Brake Co. 28,187
-----------
1,317,070
-----------
Marketing - 0.22%
4,400 ACNielsen Corp. (a) 107,250
700 CKS Group, Inc. (a) 9,888
3,600 Sitel Corp. (a) 32,850
-----------
149,988
-----------
Medical Biotechnology - 1.48%
2,600 Advanced Tissue Sciences, Inc. (a) 32,175
1,700 Affymetrix, Inc. (a) 52,912
2,300 Agouron Pharmaceuticals, Inc. (a) 67,563
1,600 Alkermes, Inc. (a) 31,800
2,400 Alliance Pharmaceutical Corp. (a) 17,400
800 Biomatrix, Inc. (a) 24,000
600 Bio-Rad Laboratories, Inc. - Class A (a) 15,675
3,600 Bio-Technology General Corp. (a) 38,700
2,700 Creative BioMolecules, Inc. (a) 19,912
6,700 Cytogen Corp. (a) 10,888
1,200 Cytyc Corp. (a) 29,850
5,700 Gensia Sicor, Inc. (a) 33,131
1,200 Heartport, Inc. (a) 24,450
1,700 Human Genome Sciences, Inc. (a) 67,575
900 Hvide Marine, Inc. - Class A (a) 23,175
2,700 IDEXX Laboratories (a) 43,031
2,500 Immunomedics, Inc. (a) 9,062
1,400 I-STAT Corp. (a) 22,138
1,700 Martek Biosciences Corp. (a) 14,025
1,700 MedImmune, Inc. (a) 72,887
2,100 Millennium Pharmaceuticals (a) 39,900
1,200 Myriad Genetics, Inc. (a) 29,100
1,800 NeoPath, Inc. (a) 23,400
2,900 Neoprobe Corp. (a) 17,400
1,300 Neurex Corp. (a) 18,038
1,000 Neurogen Corp. (a) 13,500
1,719 Organogenesis, Inc. (a) 45,332
1,700 Regeneron Pharmaceuticals, Inc. (a) 14,556
1,200 SangStat Medical Corp. (a) 48,600
3,000 Scios, Inc. (a) 30,000
1,400 Transkaryotic Therapies, Inc. (a) 49,175
1,600 Vical, Inc. (a) 19,200
1,300 VISX, Inc. (a) 28,762
-----------
1,027,312
-----------
Medical Supplies - 2.11%
1,700 Acuson Corp. (a) 28,156
1,400 ADAC Laboratories (a) 27,650
1,100 Arrow International, Inc. 40,700
2,400 Arterial Vascular Engineering (a) 156,000
1,100 ATL Ultrasound, Inc. 50,600
2,200 Ballard Medical Products 53,350
950 Barr Laboratories, Inc. (a) 32,419
Shares Description Value
- ------ ----------- -----
2,700 CNS, Inc. (a) $ 18,056
800 Coherent, Inc. (a) 28,100
1,200 CONMED Corp. (a) 31,500
900 Cooper Companies, Inc. (a) 36,788
1,100 Datascope Corp. (a) 28,462
800 Diagnostic Products Corp. 22,200
1,695 Enzo Biochem, Inc. (a) 24,789
1,600 Graham Field Health Corp. (a) 26,700
1,100 Gulf South Medical Supply, Inc. (a) 40,975
900 Hologic, Inc. (a) 18,619
2,200 Invacare Corp. 47,850
1,400 LabOne, Inc. 24,588
5,400 Laboratory Corporation of America
Holdings (a) 9,112
1,700 Landauer, Inc. 47,600
800 Life Technologies, Inc. 26,600
900 Lunar Corp. (a) 18,450
1,900 Mentor Corp. 69,350
300 MiniMed, Inc. 11,663
3,300 Neuromedical Systems, Inc. (a) 9,281
1,000 Patterson Dental Co. (a) 45,250
1,500 PharMerica, Inc. (a) 15,562
1,300 Physio-Control International Corp. (a) 20,638
1,600 Possis Medical, Inc. (a) 17,600
1,600 Respironics, Inc. (a) 35,800
1,300 Safeskin Corp. (a) 73,775
1,250 Seralogicals Corp. (a) 32,500
1,600 SpaceLabs Medical, Inc. (a) 30,400
900 Spine-Tech, Inc. (a) 46,294
1,700 STAAR Surgical Co. (a) 29,219
2,600 Summit Technology, Inc. (a) 11,781
1,400 Sunrise Medical, Inc. (a) 21,612
2,100 Techne Corp. (a) 36,750
900 Theragenics Corp. (a) 32,400
1,300 ThermoTrex Corp. (a) 28,763
2,500 Vivus, Inc. (a) 26,562
1,000 West Co., Inc. 29,750
-----------
1,464,214
-----------
Medical-Hospital Management
Services - 1.07%
2,200 Health Care Property Investors, Inc. 83,188
8,400 Imatron, Inc. (a) 19,425
3,090 Integrated Health Services, Inc. 96,369
743 LCA-Vision, Inc. (a) 836
2,200 Magellan Health Services, Inc. (a) 47,300
2,400 Maxicare Health Plans, Inc. (a) 26,100
5,600 Medaphis Corp. 36,400
1,200 National Surgery Centers, Inc. (a) 31,500
4,700 NovaCare, Inc. (a) 61,394
2,600 Orthodontic Centers of America, Inc. 43,225
800 PHP Healthcare Corp. (a) 12,050
2,900 Physician Sales & Service (a) 62,350
1,300 Prime Medical Services, Inc. (a) 17,956
2,300 Quest Diagnostics Inc. (a) 38,812
See Notes to Financial Statements on Pages 31 and 32
21
<PAGE>
Small Cap Index Portfolio
Schedule of Portfolio Investments December 31, 1997
Shares Description Value
- ------ ----------- -----
500 Res-Care, Inc. (a) $ 14,500
1,200 Sierra Health Services, Inc. (a) 40,350
3,033 Total Renal Care Holdings (a) 83,408
1,211 Vitalink Pharmacy Services, Inc. (a) 29,215
-----------
744,378
-----------
Metals - 0.88%
1,100 Amcast Industrial Corp. 25,231
1,600 Barnes Group, Inc. 36,400
1,200 Brush Wellman, Inc. 29,400
1,200 Castle (A.M.) & Co. 27,450
2,100 Commonwealth Industries, Inc. 30,450
900 Handy & Harman 31,050
1,800 Material Sciences Corp. (a) 21,938
1,300 Mueller Industries, Inc. (a) 76,700
500 NN Ball & Roller, Inc. 4,437
3,800 Ogden Corp. 107,113
1,100 Quanex Corp. 30,937
1,300 Titanium Metals Corp. (a) 37,538
600 Tremont Corp. (a) 31,350
1,600 Valmont Industries 31,200
1,100 Wolverine Tube, Inc. 34,100
1,500 Wyman-Gordon Co. (a) 29,437
900 ZERO Corp. 26,663
-----------
611,394
-----------
Metals and Mining - 0.61%
7,200 Amax Gold, Inc. (a) 16,650
1,950 AMCOL International Corp. 30,956
800 Cleveland-Cliffs, Inc. 36,650
3,400 Coeur d'Alene Mines Corp. 30,600
380 Freeport-McMoRan, Inc. 4,469
2,100 Getchell Gold Corp. (a) 50,400
4,500 Hecla Mining Co. (a) 22,219
1,600 Kaiser Aluminum Corp. (a) 14,100
500 MAXXAM, Inc. (a) 21,813
1,800 Minerals Technologies, Inc. 81,787
1,300 Oregon Metallurgical Corp. (a) 43,388
1,400 Stillwater Mining Co. (a) 23,450
1,400 TriMas Corp. 48,125
-----------
424,607
-----------
Miscellaneous - 1.17%
900 ADE Corp. (a) 15,750
1,920 Allied Capital Corp. 42,720
700 Amazon.com, Inc. (a) 42,175
1,400 Central Garden & Pet Co. (a) 36,750
1,500 Cygnus, Inc. (a) 29,812
2,200 Cymer, Inc. (a) 33,000
1,700 D.R. Horton Inc. 29,538
2,300 Fonix Corp. (a) 7,187
2,900 Global Industries Ltd. (a) 49,300
1,200 Houston Exploration Co. (a) 22,050
500 HS Resources, Inc. (a) 6,906
1,620 IMC Global, Inc. 53,055
Shares Description Value
- ------ ----------- -----
4,000 Marine Drilling Co., Inc. (a) $ 83,000
2,376 Meridian Resource Corp. (a) 22,721
900 Micrel (a) 25,200
1,100 Norrell Corp. 21,862
3,300 Pride International, Inc. (a) 83,325
1,900 Rofin-Sinar Technologies, Inc. (a) 23,038
800 SIPEX Corp. (a) 24,200
1,900 Sola International, Inc. (a) 61,750
1,700 Sunburst Hospitality Corp. (a) 16,787
440 The Registry (a) 20,185
2,400 Titan Exploration, Inc. (a) 22,800
1,200 Trico Marine Services, Inc. (a) 35,250
700 Valence Technology, Inc. (a) 3,544
-----------
811,905
-----------
Natural Gas - 0.09%
1,785 Semco Energy, Inc. 32,353
1,365 Southern Union Co. (a) 32,589
-----------
64,942
-----------
Office Equipment and Computers - 0.55%
900 American Business Products, Inc. 19,462
600 Chicago Miniature Lamp, Inc. (a) 20,250
1,100 CSS Industries, Inc. (a) 35,063
900 Encad, Inc. (a) 24,750
700 General Binding Corp. 21,000
1,700 Hunt Manufacturing Co. 40,269
3,200 Intergraph Corp. (a) 32,000
900 Knoll, Inc. (a) 28,912
900 New England Business Service, Inc. 30,375
800 Scotsman Industries, Inc. 19,550
1,000 Standard Register Co. 34,750
1,200 Thomas Industries, Inc. 23,700
1,100 United Stationers, Inc. (a) 52,938
-----------
383,019
-----------
Office Equipment-Service - 0.05%
2,300 American Pad & Paper Co. (a) 22,137
2,000 BT Office Products International,
Inc. (a) 15,500
-----------
37,637
-----------
Oil Related - 2.70%
500 Aquila Gas Pipeline Corp. 6,438
1,500 Arch Coal, Inc. 41,062
800 Atwood Oceanics, Inc. (a) 37,900
2,400 Barrett Resources Corp. (a) 72,600
2,400 Benton Oil & Gas Co. (a) 31,050
1,600 Berry Petroleum Co. - Class A 27,900
2,000 Brown (Tom), Inc. (a) 38,500
1,600 Cabot Oil & Gas Corp. - Class A 31,100
3,500 Chesapeake Energy Corp. 26,469
3,300 Coho Energy, Inc. (a) 30,113
1,400 Comstock Resources, Inc. (a) 16,712
1,750 Cross Timbers Oil Co. 43,641
1,700 Devon Energy Corp. 65,450
See Notes to Financial Statements on Pages 31 and 32
22
<PAGE>
Small Cap Index Portfolio
Schedule of Portfolio Investments December 31, 1997
Shares Description Value
- ------ ----------- -----
900 Forcenergy, Inc. (a) $ 23,569
2,200 Forest Oil Corp. (a) 36,300
1,100 Getty Realty Corp. 24,337
10,900 Grey Wolf, Inc. (a) 58,588
6,900 Harken Energy Corp. (a) 48,300
1,100 Holly Corp. 30,387
1,800 KCS Energy, Inc. 37,350
8,000 Kelley Oil & Gas Corp. (a) 17,500
800 Key Energy Group, Inc. (a) 17,350
1,600 Lone Star Technologies, Inc. (a) 45,400
900 Louis Dreyfus Natural Gas Corp. (a) 16,819
2,700 National Oilwell (a) 92,306
2,500 Newfield Exploration Co. (a) 58,281
4,800 Newpark Resources, Inc. (a) 84,000
1,500 Nuevo Energy Co. (a) 61,125
1,800 Oceaneering International, Inc. (a) 35,550
5,300 Parker Drilling Co. (a) 64,594
1,300 Plains Resources, Inc. (a) 22,344
1,500 Pool Energy Services Co. (a) 33,375
2,700 Quaker State Corp. 38,475
1,000 Seacor Smit, Inc. (a) 60,250
2,100 Snyder Oil Corp. 38,325
900 Stone Energy Corp. (a) 30,150
800 St. Mary Land & Exploration Co. 28,000
1,330 Swift Energy Co. (a) 28,013
1,300 Tejas Gas Corp. (a) 79,625
2,100 Tesoro Petroleum Corp. (a) 32,550
1,500 Transmontaigne Oil Co. (a) 22,500
3,400 Tuboscope Vetco International Corp. (a) 81,813
2,600 Varco International, Inc. (a) 55,737
2,500 Vintage Petroleum, Inc. 47,500
1,600 Western Gas Resources, Inc. 35,400
1,300 Zeigler Coal Holding Co. 21,206
-----------
1,875,954
-----------
Oil Supplies and Construction - 0.40%
1,200 Cliffs Drilling Co. (a) 59,850
3,100 Input/Output, Inc. (a) 92,031
1,600 Lomak Petroleum, Inc. 26,000
900 Ocean Energy, Inc. (a) 44,381
800 Patterson Energy, Inc. (a) 30,950
1,600 Seitel, Inc. (a) 27,400
-----------
280,612
-----------
Paper - 0.47%
1,900 Caraustar Industries, Inc. 65,075
2,000 Glatfelter (P.H.) Co. 37,250
546 Kimberly-Clark Corp. 26,925
900 Media General, Inc. - Class A 37,631
1,100 Paragon Trade Brands, Inc. (a) 14,163
1,400 Pope & Talbot, Inc. 21,087
2,600 Rock-Tenn Co. - Class A 53,300
3,670 Wausau Paper Mills Co. 74,088
-----------
329,519
-----------
Shares Description Value
- ------ ----------- -----
Pharmaceuticals - 1.43%
1,200 ArQule, Inc. (a) $ 27,525
1,000 Bindley Western Industries, Inc. 30,875
646 Block Drug Co., Inc. - Class A 27,931
1,200 Cadus Pharmaceutical Corp. (a) 7,650
1,800 Carter-Wallace, Inc. 30,375
2,200 Columbia Laboratories, Inc. (a) 34,925
4,400 Covance, Inc. (a) 87,450
900 Curative Health Services, Inc. (a) 27,338
1,500 Fuisz Technologies Ltd. (a) 12,750
1,000 Geltex Pharmaceuticals, Inc. (a) 26,500
1,200 Guilford Pharmaceuticals, Inc. (a) 24,150
2,900 ICN Pharmaceuticals, Inc. 141,556
2,600 ICOS Corp. (a) 47,613
1,400 IDEC Pharmaceuticals Corp. (a) 48,125
2,200 Interneuron Pharmaceuticals, Inc. (a) 20,900
1,100 Kos Pharmaceuticals, Inc. (a) 16,981
2,200 Ligand Pharmaceuticals - Class B (a) 28,325
500 Miravant Medical Technologies (a) 20,000
1,200 NBTY, Inc. (a) 40,050
1,900 Owens & Minor, Inc. Holding Co. 27,550
1,500 Parexel International Corp. (a) 55,500
1,300 PathoGenesis Corp. (a) 48,262
1,366 Pharmaceutical Product Development,
Inc. (a) 21,002
2,100 Sepracor, Inc. (a) 84,131
1,850 TheraTech, Inc. (a) 14,800
1,700 Triangle Pharmaceuticals, Inc. (a) 24,863
1,800 U.S. Bioscience, Inc. (a) 16,313
-----------
993,440
-----------
Photography and Optical - 0.12%
1,000 CPI Corp. 22,625
1,100 Innovex, Inc. 25,231
1,600 Oakley, Inc. (a) 14,500
1,200 X-Rite, Inc. 21,900
-----------
84,256
-----------
Printing and Publishing - 1.19%
2,200 American Media, Inc. - Class A (a) 17,050
2,400 Banta Corp. 64,800
1,100 Big Flower Press Holdings, Inc. (a) 26,538
1,400 Bowne & Co., Inc. 55,825
600 Consolidated Graphics, Inc. (a) 27,975
2,100 Golden Books Family Entertainment,
Inc. (a) 21,656
2,400 Harland (John H.) Co. 50,400
2,300 Houghton Mifflin Co. 88,262
3,800 Journal Register Co. (a) 79,800
1,100 Mail Well, Inc. (a) 44,550
1,225 McClatchy Newspapers, Inc. - Class A 33,305
1,700 Merrill Corp. 39,525
800 Pulitzer Publishing Co. 50,250
1,000 Scholastic Corp. (a) 37,500
1,400 Steck-Vaughn Publishing Corp. (a) 20,650
See Notes to Financial Statements on Pages 31 and 32
23
<PAGE>
Small Cap Index Portfolio
Schedule of Portfolio Investments December 31, 1997
Shares Description Value
- ------ ----------- -----
900 Thomas Nelson, Inc. $ 10,406
600 Waverly Inc. 28,200
1,000 Wiley (John) & Sons, Inc. - Class A 54,250
2,700 World Color Press, Inc. (a) 71,719
-----------
822,661
-----------
Professional Services - 0.86%
1,800 ABR Information Services, Inc. (a) 42,975
3,500 EG&G, Inc. 72,844
6,800 Laidlaw Environmental Services,
Inc. (a) 33,150
800 Nu Skin Asia Pacific, Inc. -
Class A (a) 14,600
1,500 On Assignment, Inc. (a) 39,750
2,200 Physicians Resources Group, Inc. (a) 9,625
3,000 PMT Services, Inc. (a) 41,625
1,400 Scientific Games Holdings Corp. (a) 28,350
900 Strayer Education, Inc. 29,700
1,500 Sturm, Ruger & Co., Inc. 27,656
1,500 Tetra Technologies, Inc. (a) 31,594
1,625 Tetra Tech, Inc. (a) 32,500
1,400 Unifirst Corp. 39,287
1,700 Veritas DGC, Inc. (a) 67,150
1,500 Veterinary Centers of America,
Inc. (a) 20,156
1,400 Wackenhut Corp. - Class A 32,463
1,200 Wackenhut Corrections Corp. (a) 32,250
-----------
595,675
-----------
Real Estate - 7.39%
900 Alexandria Real Estate Equities, Inc. 28,406
1,600 American Health Properties, Inc. 44,100
700 Amli Residential Properties Trust 15,575
1,500 Apartment Investment & Management
Co. - Class A 55,125
2,000 Arden Realty Group, Inc. 61,500
2,200 Associated Estates Realty Corp. 52,113
2,800 Avalon Properties, Inc. 86,625
1,000 Avatar Holdings, Inc. (a) 28,437
1,900 Bay Apartment Communities, Inc. 74,100
5,900 Berkshire Realty Co., Inc. 70,800
1,100 Boykin Lodging Company 29,081
1,700 Bradley Real Estate, Inc. 35,700
2,600 BRE Properties, Inc. - Class A 73,125
2,472 Camden Property Trust 76,632
3,500 Capstead Mortgage Corp. 69,781
600 Capstone Capital Corp. 15,338
2,000 Castle & Cooke, Inc. (a) 33,750
900 CB Commercial Real Estate Services (a) 28,969
1,700 CBL & Associates Properties, Inc. 41,969
1,100 CenterPoint Properties Corp. 38,637
1,700 Chateau Communities, Inc. 53,550
1,100 Chelsea GCA Realty, Inc. 42,006
1,500 Colonial Properties Trust 45,188
1,800 Commercial Net Lease Realty 32,175
3,600 Cornerstone Properties, Inc. 69,075
2,500 Cornerstone Realty Income Trust, Inc. 30,156
1,800 Cousins Properties, Inc. 52,762
Shares Description Value
- ------ ----------- -----
2,900 CRIIMI MAE, Inc. $ 43,500
3,100 Crown American Realty Trust 28,869
1,500 Developers Diversified Realty Corp. 57,375
3,200 Dynex Capital, Inc. 42,600
2,900 Equity Inns, Inc. 42,775
750 Equity Residential Properties Trust 37,922
200 Essex Property Trust Inc. 7,000
1,600 Excel Realty Trust, Inc. 50,400
1,300 Fairfield Communities, Inc. (a) 57,362
3,000 Federal Realty Investment Trust 77,250
2,400 Felcor Suite Hotels, Inc. 85,200
2,800 First Industrial Realty Trust, Inc. 101,150
2,200 First Union Real Estate 35,750
600 Forest City Enterprises,Inc. - Class A 34,875
1,500 Gables Residential Trust 41,438
2,700 General Growth Properties 97,537
1,500 Glenborough Realty Trust Inc. 44,438
1,800 Glimcher Realty Trust 40,612
400 Griffin Land & Nurseries, Inc. (a) 6,200
2,200 Grubb & Ellis Co. (a) 30,113
1,700 Health Care REIT, Inc. 47,812
1,300 Healthcare Realty Trust, Inc. 37,619
3,500 Highwoods Properties, Inc. 130,156
2,000 Horizon Group, Inc. 21,875
1,700 Hospitality Properties Trust 55,887
3,900 INMC Mortgage Holdings, Inc. 91,406
2,400 Innkeepers USA Trust 37,200
1,800 Insignia Financial Group, Inc. -
Class A (a) 41,400
2,500 IRT Property Co. 29,531
1,300 Irvine Apartment Communities, Inc. 41,356
1,300 JDN Realty Corp. 42,088
500 JP Realty, Inc. 12,969
1,600 Kilroy Realty Corp. 46,000
1,600 Koger Equity, Inc. 35,100
3,200 Liberty Property Trust 91,400
1,800 LTC Properties, Inc. 37,350
1,800 Macerich Company (The) 51,300
4,200 Mack-Cali Realty Corp. 172,200
1,700 Manufactured Home Communities, Inc. 45,900
600 Meridian Industrial Trust, Inc. 15,300
2,900 Merry Land & Investment Company, Inc. 66,337
1,100 MGI Properties, Inc. 26,400
1,000 Mid-America Apartment Communities, Inc. 28,563
1,949 Mid-Am, Inc. 50,187
1,700 Mills Corp. 41,650
1,100 National Golf Properties, Inc. 36,094
1,800 National Health Investors, Inc. 75,375
3,200 Nationwide Health Properties, Inc. 81,600
1,300 Oasis Residential, Inc. 29,006
1,400 OMEGA Healthcare Investors, Inc. 54,075
800 Pennsylvania Real Estate Investment
Trust 19,650
1,991 Post Properties, Inc. 80,884
1,800 Prentiss Properties Trust 50,288
2,100 Price Enterprises, Inc. 38,325
See Notes to Financial Statements on Pages 31 and 32
24
<PAGE>
Small Cap Index Portfolio
Schedule of Portfolio Investments December 31, 1997
Shares Description Value
- ------ ----------- -----
900 Price REIT, Inc. $ 36,844
675 PriceSmart, Inc. (a) 11,770
500 Prime Retail, Inc. 7,094
1,100 Pulte Corp. 45,994
1,800 Realty Income Corp. 45,787
2,300 Reckson Association Realty Corp. 58,363
1,100 Redwood Trust, Inc. 22,412
1,700 RFS Hotel Investors, Inc. 33,894
2,300 Saul Centers, Inc. 41,831
1,400 Security Capital Atlantic, Inc. 29,575
2,100 Shurgard Storage Centers, Inc. -
Class A 60,900
2,000 Smith (Charles E.) Residential
Realty, Inc. 71,000
700 Sovran Self Storage, Inc. 22,706
2,200 Storage Trust Realty 57,887
2,100 Storage USA, Inc. 83,869
1,600 Summit Properties, Inc. 33,800
1,200 Sun Communities, Inc. 43,125
2,400 Sunstone Hotel Investors, Inc. 41,400
200 Tanger Factory Outlet Center 6,113
2,800 Taubman Centers, Inc. 36,400
1,500 Thornburg Mortgage Asset Corp. 24,750
3,100 Town & Country Trust 54,831
1,300 TriNet Corporate Realty Trust 50,294
1,500 Universal Health Realty Income Trust 32,813
1,300 Urban Shopping Centers, Inc. 45,338
1,200 Walden Residential Properties, Inc. 30,600
2,800 Washington Real Estate Investment Trust 46,900
1,300 Weeks Corp. 41,600
-----------
5,127,214
-----------
Retail - 4.08%
1,000 99 Cents Only Stores (a) 29,500
1,000 Abercrombie & Fitch (a) 31,250
1,200 Alberto-Culver Co. - Class B 38,475
400 Alexander's, Inc. (a) 36,325
1,300 Ames Department Stores, Inc. (a) 22,750
2,000 AnnTaylor Store Corp. (a) 26,750
3,225 Arbor Drugs, Inc. 59,662
2,600 Best Buy Company, Inc. (a) 95,875
2,900 BJ's Wholesale Club, Inc. (a) 90,987
3,487 Buffets, Inc. (a) 32,691
1,520 Burlington Coat Factory Warehouse 24,985
1,200 Carson Pirie Scott & Co. (a) 60,150
2,000 Casey's General Stores, Inc. 50,750
1,969 Cash America International, Inc. 25,474
3,500 Claire's Stores, Inc. 68,031
1,100 Cole National Corp. - Class A (a) 32,931
2,500 Compucom Systems, Inc. (a) 20,625
300 Copart, Inc. (a) 5,363
900 Discount Auto Parts, Inc. (a) 17,212
1,300 Dress Barn, Inc. (a) 36,888
1,800 Eagle Hardware & Garden, Inc. (a) 34,875
2,100 Ethan Allen Interiors, Inc. 80,981
1,300 Fabri-Centers of America - Class A (a) 29,006
3,600 Fingerhut Companies, Inc. 76,950
Shares Description Value
- ------ ----------- -----
2,900 Fleming Companies, Inc. $ 38,969
1,600 Friedman's, Inc. - Class A (a) 21,800
1,000 Gadzooks, Inc. (a) 21,000
1,760 Genovese Drug Stores - Class A 30,140
1,300 Gibson Greetings, Inc. (a) 28,438
1,200 Global DirectMail Products, Inc. (a) 20,775
1,900 Gymboree Corp. (a) 52,012
1,800 Hancock Fabrics, Inc. 26,100
2,000 Hollywood Entertainment Corp. (a) 21,250
2,600 Homebase, Inc. (a) 20,475
1,750 Just For Feet, Inc. (a) 22,969
900 Kenneth Cole Productions, Inc. -
Class A (a) 14,456
1,000 Linens & Things, Inc. (a) 43,625
2,400 Longs Drug Stores, Inc. 77,100
1,900 Mac Frugal Bargains Close-Outs,
Inc. (a) 78,138
1,900 Michaels Stores, Inc. (a) 55,575
2,700 Micro Warehouse, Inc. (a) 37,631
1,100 Mikasa, Inc. 16,019
1,050 Oneida Ltd. 28,022
1,100 Pacific Sunwear of California (a) 32,519
1,400 Petco Animal Supplies, Inc. (a) 33,600
5,200 Pier 1 Imports, Inc. 117,650
3,000 Proffitt's, Inc. (a) 85,312
1,000 Quality Food Centers, Inc. (a) 67,000
1,200 Regency Realty Corp. 33,225
1,200 Regis Corp. 30,150
7,700 Service Merchandise Co., Inc. (a) 16,363
1,100 ShopKo Stores, Inc. (a) 23,925
1,300 Smart & Final, Inc. 23,400
2,100 Stage Stores, Inc. (a) 78,488
1,300 Stanhome, Inc. 33,394
1,200 Stein Mart, Inc. (a) 32,100
4,200 Sunglass Hut International (a) 26,512
800 Talbots 14,500
800 The Buckle, Inc. (a) 27,400
1,300 The Finish Line, Inc. - Class A (a) 17,063
1,000 The Men's Wearhouse, Inc. (a) 34,750
2,450 The Sports Authority, Inc. (a) 36,138
800 Tractor Supply Co. (a) 11,800
1,000 Urban Outfitters, Inc. (a) 18,250
10,314 U.S. Office Products Co. (a) 202,412
1,100 Value City Department Stores, Inc. (a) 9,762
1,500 Williams-Sonoma, Inc. (a) 62,813
900 Wilmar Industries, Inc. (a) 21,488
2,700 Zale Corp. (a) 62,100
-----------
2,835,094
-----------
Retail-Food - 1.39%
2,300 Apple South, Inc. 30,187
2,400 Applebee's International, Inc. 43,350
3,200 Bob Evans Farms, Inc. 70,800
6,000 Brinker International, Inc. (a) 96,000
800 Cheesecake Factory (The) (a) 24,400
3,300 CKE Restaurants, Inc. 139,013
See Notes to Financial Statements on Pages 31 and 32
25
<PAGE>
Small Cap Index Portfolio
Schedule of Portfolio Investments December 31, 1997
Shares Description Value
- ------ ----------- -----
1,000 Dominick's Supermarkets, Inc. (a) $ 36,500
3,100 Foodmaker, Inc. (a) 46,694
1,200 Great Atlantic & Pacific Tea Co. 35,625
2,700 Host Marriott Services Corp. (a) 40,163
700 IHOP Corp. (a) 22,750
900 Ingles Markets, Inc. - Class A 12,825
1,000 International Dairy Queen, Inc. -
Class A (a) 26,781
1,600 Landry's Seafood Restaurants, Inc. (a) 38,400
2,800 Lone Star Steakhouse & Saloon (a) 49,000
1,200 MicroAge, Inc. (a) 18,075
1,450 Papa John's International, Inc. (a) 50,569
1,100 Rainforest Cafe, Inc. (a) 36,300
900 Rare Hospitality International,
Inc. (a) 8,100
2,200 Ruddick Corp. 38,363
900 Sonic Corp. (a) 25,312
1,500 Whole Foods Market, Inc. (a) 76,687
-----------
965,894
-----------
Steel - 0.69%
1,400 Acme Metals, Inc. (a) 13,825
3,500 AK Steel Holding Corp. 61,906
7,300 Armco, Inc. (a) 36,044
2,300 Birmingham Steel Corp. 36,225
1,500 Carpenter Technology Corp. 72,094
1,000 Chase Industries, Inc. (a) 25,500
500 Citation Corp. (a) 8,125
1,100 Commercial Metals Co. 34,719
300 Gibraltar Steel Corp. (a) 5,925
1,800 J&L Specialty Steel, Inc. 18,112
1,200 Lukens, Inc. 34,275
1,600 National Steel Corp. - Class B (a) 18,500
1,700 Oregon Steel Mills, Inc. 36,231
1,700 Rohn Industries, Inc. 8,766
1,200 Shiloh Industries, Inc. (a) 22,800
2,800 Steel Dynamics, Inc. (a) 44,800
-----------
477,847
-----------
Telecommunications - 4.39%
1,300 ACC Corp. (a) 65,650
2,800 Aliant Communications, Inc. 87,850
1,800 Allen Telecommunications, Inc. (a) 33,188
2,600 American Mobile Satellite Corp.,
Inc. (a) 18,200
1,430 American Radio Systems Corp. (a) 76,237
2,050 ANTEC Corp. (a) 32,031
1,300 APAC Teleservices, Inc. (a) 17,550
600 Aspect Development, Inc. (a) 31,200
3,800 Aspect Telecommunications (a) 79,325
600 Associated Group, Inc. - Class A (a) 17,775
2,000 Boston Technology, Inc. (a) 50,250
2,900 Brooks Fiber Properties, Inc. (a) 159,500
375 Cable Michigan, Inc. (a) 8,578
1,900 California Microwave, Inc. (a) 36,812
800 Cellular Communications International,
Inc. (a) 37,400
1,300 Centennial Cellular Corp. - Class A (a) 26,650
Shares Description Value
- ------ ----------- -----
1,200 Cidco, Inc. (a) $ 23,400
1,100 Coherent Communications Systems
Corp. (a) 30,663
1,500 CommNet Cellular, Inc. (a) 53,344
1,000 Commonwealth Telephone Enterprises,
Inc. (a) 25,875
3,800 Communication Satellite Corp. 92,150
1,900 Comverse Technology, Inc. (a) 74,100
2,000 CSG Systems International, Inc. (a) 80,000
900 Davox Corp. (a) 29,363
2,900 Digital Microwave Corp. (a) 42,050
3,400 DSP Communications, Inc. (a) 40,800
* Excel Communications, Inc. (a) 6
2,424 Gemstar International Group Ltd. (a) 59,085
1,300 General Cable Corp. 47,044
2,300 General DataComm Industries, Inc. (a) 10,781
7,500 Geotek Communications, Inc. (a) 11,484
4,700 Glenayre Technologies (a) 46,413
2,000 HighwayMaster Communications, Inc. (a) 11,375
3,900 InterDigital Communications Corp. (a) 11,944
1,300 Intermedia Communications, Inc. (a) 78,975
1,400 Inter-Tel, Inc. 27,125
2,500 InterVoice, Inc. (a) 18,750
1,200 IXC Communications, Inc. (a) 37,650
1,364 LCI International (a) 41,933
1,550 Level One Communications, Inc. (a) 43,788
850 MasTec, Inc. (a) 19,444
2,300 McLeodUSA, Inc. - Class A (a) 73,600
1,100 Metromail Corp.(a) 19,662
3,800 Mobile Telecommunication Technologies
Corp. (a) 83,600
800 Natural Microsystems Corp. (a) 37,200
1,700 Network Equipment Technologies,
Inc. (a) 24,862
1,300 North Pittsburgh Systems, Inc. 23,806
2,200 NTL, Inc. (a) 61,325
2,300 Omnipoint Corp. (a) 53,475
1,800 PageMart Wireless, Inc. - Class A (a) 14,175
7,900 Paging Network, Inc. (a) 84,925
2,800 P-COM, Inc. (a) 48,300
1,100 Periphonics Corp. (a) 9,625
2,700 Picturetel Corp (a) 17,550
1,100 Powertel, Inc. (a) 18,425
1,700 Premiere Technologies, Inc. (a) 46,962
2,000 Premisys Communications (a) 52,250
2,200 PriCellular Corp. - Class A (a) 22,963
1,500 Proxim, Inc. (a) 16,969
1,200 RCN Corp. (a) 41,100
1,000 Sawtek, Inc. 26,375
1,200 Snyder Communications (a) 43,800
1,100 Spectrian Corp. (a) 21,175
1,300 SymmetriCom, Inc. (a) 15,112
3,900 TCI Satellite Entertainment -
Class A (a) 26,813
700 Tekelec (a) 21,350
2,600 Tel-Save Holdings, Inc. (a) 51,675
1,200 Transaction Network Services, Inc. (a) 20,700
See Notes to Financial Statements on Pages 31 and 32
26
<PAGE>
Small Cap Index Portfolio
Schedule of Portfolio Investments December 31, 1997
Shares Description Value
- ------ ----------- -----
2,900 U. S. Satellite Broadcasting (a) $ 23,019
2,800 Vanguard Cellular Systems, Inc. -
Class A (a) 35,700
2,400 West TeleServices Corp. (a) 28,800
1,600 Westell Technologies (a) 20,400
5,400 Western Wireless Corp. - Class A (a) 93,825
2,600 WinStar Communications, Inc. (a) 64,837
2,000 Wireless Telecom Group, Inc. 12,375
1,400 World Access, Inc. (a) 33,425
900 Yurie Systems, Inc. (a) 18,169
-----------
3,044,062
-----------
Television - 0.45%
2,300 Ascent Entertainment Group, Inc. (a) 23,862
1,200 Cablevision Systems Corp. - Class A (a) 114,900
600 Emmis Broadcasting Corp. - Class A (a) 27,375
1,800 Hollywood Park, Inc. (a) 39,600
1,400 Panavision, Inc. (a) 36,138
2,000 Playboy Enterprises, Inc. - Class B (a) 31,375
5,200 Topps Co., Inc. (a) 11,537
1,400 WMS Industries, Inc. (a) 29,575
-----------
314,362
-----------
Textiles - 0.26%
2,200 Apogee Enterprises, Inc. 26,125
4,700 Burlington Industries, Inc. (a) 64,919
1,450 Guilford Mills, Inc. 39,694
2,400 Mohawk Industries, Inc. (a) 52,650
-----------
183,388
-----------
Tobacco - 0.29%
800 Consolidated Cigar Holdings, Inc. (a) 22,050
3,000 DIMON, Inc. 78,750
2,778 General Cigar Holdings, Inc. (a) 59,206
1,200 Schweitzer-Mauduit International, Inc. 44,700
-----------
204,706
-----------
Transportation - 1.27%
2,300 Air Express International Corp. 70,150
1,700 Airborne Freight Corp. 105,612
4,600 AirTran Holdings, Inc. (a) 18,400
1,100 Alaska Air Group, Inc. (a) 42,625
3,100 America West Holdings Corp. -
Class B (a) 57,738
1,700 ASA Holdings, Inc. 48,344
1,100 Atlas Air, Inc. (a) 26,400
800 Avondale Industries, Inc. (a) 23,750
1,000 Circle International Group, Inc. 22,937
1,200 Coach USA, Inc. (a) 40,200
1,700 Consolidated Freightways Co. (a) 23,162
500 Covenant Transport Inc. - Class A (a) 7,625
1,900 Expeditors International of Washington,
Inc. 73,150
1,800 Fritz Cos., Inc. (a) 25,088
4,800 Greyhound Lines, Inc. (a) 17,700
Shares Description Value
- ------ ----------- -----
1,100 Interpool, Inc. $ 16,294
1,900 Kirby Corp. (a) 36,694
1,700 Offshore Logistics, Inc. (a) 36,338
3,000 OMI Corp. (a) 27,562
2,100 Overseas Shipholding Group, Inc. 45,806
1,600 Pittston Burlington Group 42,000
1,000 Swift Transportation Co., Inc. (a) 32,375
3,800 Trans World Airlines, Inc. (a) 38,475
-----------
878,425
-----------
Trucking, Shipping - 0.76%
1,000 AMERCO (a) 25,625
1,700 American Freightways Corp. (a) 16,788
1,600 Arnold Industries, Inc. 27,600
1,150 Heartland Express, Inc. (a) 30,906
1,700 Hunt (J.B.) Transport Services, Inc. 31,875
500 Knight Transportation, Inc. (a) 13,875
900 Landstar System, Inc. (a) 23,738
2,700 Newport News Shipbuilding Inc. 68,681
1,000 Roadway Express, Inc. 22,125
2,700 Rollins Truck Leasing Corp. 48,262
2,000 USFreightways Corp. 65,000
1,650 Werner Enterprises, Inc. 33,825
1,200 Xtra Corp. 70,350
2,000 Yellow Corp. (a) 50,250
-----------
528,900
-----------
Utilities - 4.81%
4,100 Atlantic Energy, Inc. 86,869
2,300 Atmos Energy Corp. 69,575
1,000 Bay State Gas Co. 37,125
1,100 Black Hills Corp. 38,775
500 California Water Service Co. 29,531
2,500 CellNet Data Systems, Inc. (a) 19,375
1,300 Central Hudson Gas & Electric 57,038
1,700 Central Louisiana Electric 55,037
2,500 Central Maine Power Co. 38,125
2,000 CFW Communications Co. 44,750
1,000 CILCORP, Inc. 48,875
1 Citizens Utilities Co. - Class B 8
900 Colonial Gas Co. 25,931
1,400 Commonwealth Energy System 46,550
1,100 Connecticut Energy Corp. 33,138
800 CTG Resources, Inc. 20,850
4,600 Delmarva Power & Light Co. 106,087
1,500 Eastern Enterprises 67,500
1,600 Eastern Utilities Associates 42,000
4,600 El Paso Electric Co. (a) 33,638
1,300 Empire District Electric Co. 25,512
1,000 Energen Corp. 39,750
2,700 Equitable Resources 95,513
600 E'Town Corp. 24,113
2,400 Hawaiian Electric Industries 98,100
2,400 IES Industries, Inc. 88,350
1,700 Indiana Energy, Inc. 55,994
See Notes to Financial Statements on Pages 31 and 32
27
<PAGE>
Small Cap Index Portfolio
Schedule of Portfolio Investments December 31, 1997
Shares Description Value
- ------ ----------- -----
900 Interstate Power Co. $ 33,694
1,300 Laclede Gas Co. 36,481
1,300 Madison Gas & Electric Co. 29,900
2,200 MDU Resources Group, Inc. 69,575
2,500 Minnesota Power & Light Co. 108,906
3,900 Nevada Power Co. 103,594
1,400 New Jersey Resources Corp. 56,087
1,700 Northwest Natural Gas Co. 52,700
1,400 Northwestern Public Service Co. 32,200
400 NUI Corp. 11,475
1,800 ONEOK, Inc. 72,675
1,000 Orange and Rockland Utilities, Inc. 46,563
900 Otter Tail Power Co. 34,087
1,000 Pennsylvania Enterprises, Inc. 25,250
1,300 Philadelphia Suburban Corp. 38,269
2,300 Piedmont Natural Gas Co., Inc. 82,656
3,200 Public Service Company of New Mexico 75,800
1,500 Public Service Company of
North Carolina, Inc. 34,312
3,000 Rochester Gas & Electric Corp. 102,000
2,400 Sierra Pacific Resources 90,000
1,850 SIGCORP, Inc. 54,344
700 South Jersey Industries, Inc. 21,219
1,300 Southern California Water Co. 32,663
2,000 Southwest Gas Corp. 37,375
2,000 Southwestern Energy Co. 25,750
900 TNP Enterprises, Inc. 29,925
2,500 Tucson Electric Power Co. (a) 45,312
2,600 UGI Corp. 76,213
1,100 United Illuminating Co. 50,531
2,100 United Water Resources, Inc. 41,081
3,400 Washington Gas Light Co. 105,188
4,200 Washington Water Power 102,112
1,400 Wicor, Inc. 65,013
2,400 WPL Holdings, Inc. 79,500
1,800 WPS Resources Corp. 60,862
1,800 Yankee Energy System, Inc. 48,038
-----------
3,339,459
-----------
Wholesale Distributor - 0.36%
1,200 Barnett, Inc. (a) 26,400
3,800 Brightpoint, Inc. (a) 52,725
2,705 JP Foodservice, Inc. (a) 99,916
1,200 Reliance Steel & Aluminum Co. 35,700
1,200 VWR Scientific Products Corp. (a) 33,900
-----------
248,641
-----------
Total Common Stock (Cost $56,211,669) 67,138,091
-----------
Shares Description Value
- ------ ----------- -----
OTHER SECURITIES - 0.00%
Miscellaneous - 0.00%
600 IMC Global Inc. Warrants (a) $ 2,325
-----------
Real Estate - 0.00%
170 Security Cap Group - Class B
Warrants (a) 893
-----------
Total Other Securities (Cost $2,023) 3,218
-----------
SHORT TERM INSTRUMENTS - 3.15%
Mutual funds - 3.04%
2,108,064 BT Institutional Cash Management
Fund 2,108,064
-----------
Principal
Amount
- ---------
U.S. GOVERNMENT & AGENCY - 0.11%
$ 75,000 U.S. Treasury Bills
5.30%, 3/5/98 74,337
-----------
Total Short Term Instruments (Cost $2,182,401) 2,182,401
-----------
Total Investments (Cost $58,396,093) 99.88% $ 69,323,710
Other Assets Less Liabilities 0.12% 83,889
------- ------------
Net Assets 100.00% $ 69,407,599
======= ============
- ----------
(a) Non-income producing security.
* Less than one share.
See Notes to Financial Statements on Pages 31 and 32
28
<PAGE>
Small Cap Index Portfolio
Statement of Assets and Liabilities December 31, 1997
Assets
Investments, at Value (Cost of $58,396,093) $ 69,323,710
Dividends and Interest Receivable* 78,764
Other Receivables 24,904
Due from Bankers Trust 5,353
---------------
Total Assets 69,432,731
---------------
Liabilities
Accrued Expenses and Other 25,132
---------------
Total Liabilities 25,132
---------------
Net Assets $ 69,407,599
===============
Composition of Net Assets
Paid-in capital $ 58,479,982
Net Unrealized Appreciation on Investments 10,927,617
---------------
Net Assets $ 69,407,599
===============
- ----------
* Includes $9,286 from the Portfolio's investment in the BT Institutional Cash
Management Fund.
- -------------------------------------------------------------------------------
Statement of Operations For the year ended December 31, 1997
Investment Income
Dividends** $ 1,206,738
Interest 116,169
---------------
Total Investment Income 1,322,907
---------------
Expenses
Advisory Fees 123,632
Administration and Service Fees 41,211
Professional Fees 21,050
Trustees Fees 2,035
Miscellaneous 2,328
---------------
Total Expenses 190,256
Less: Expenses Absorbed by Bankers Trust (107,835)
---------------
Net Expenses 82,421
---------------
Net Investment Income 1,240,486
---------------
Realized and Unrealized Gain (Loss) on
Investments and Futures Contracts
Net Realized Gain from Investment Transactions 7,755,547
Net Realized Gain from Futures Transactions 896,374
Net Change in Unrealized Appreciation on Investments 7,704,763
Net Change in Unrealized Appreciation on Futures Contracts (400)
---------------
Net Realized and Unrealized Gain on Investments and
Futures Contracts 16,356,284
---------------
Net Increase in Net Assets from Operations $ 17,596,770
===============
** Includes $122,536 from the Portfolio's investment in the BT Institutional
Cash Management Fund.
See Notes to Financial Statements on Pages 31 and 32
29
<PAGE>
Small Cap Index Portfolio
Statement of Changes in Net Assets
<TABLE>
<CAPTION>
For the period July 1,
For the 1996 (commencement
year ended of operations) to
December 31, 1997 December 31, 1996
----------------- ----------------------
<S><C>
Increase in Net Assets from:
Operations
Net Investment Income $ 1,240,486 $ 392,448
Net Realized Gain from Investments and Futures Transactions 8,651,921 76,920
Net Change in Unrealized Appreciation on Investments and
Futures Contracts 7,704,363 3,223,254
--------------- ----------------
Net Increase in Net Assets from Operations 17,596,770 3,692,622
Capital Transactions
Proceeds from Capital Invested 48,304,725 81,111,921
Value of Capital Withdrawn (78,578,237) (2,720,212)
--------------- ----------------
Net Increase (Decrease) in Net Assets from Capital Transactions (30,273,512) 78,391,709
--------------- ----------------
Total Increase (Decrease) in Net Assets (12,676,742) 82,084,331
--------------- ----------------
Net Assets
Beginning of Period 82,084,341 10
--------------- ----------------
End of Period $ 69,407,599 $ 82,084,341
=============== ================
</TABLE>
- -------------------------------------------------------------------------------
Financial Highlights
Contained below are selected supplemental data and ratios to average net assets
for the periods indicated for the Small Cap Index Portfolio.
<TABLE>
<CAPTION>
For the period July 1, 1996
For the year ended (Commencement of Operations)
December 31, 1997 to December 31, 1996
------------------ ----------------------------
<S><C>
Supplemental Data and Ratios:
Net Assets, End of Period (000s omitted) $ 69,408 $ 82,084
Ratios to Average Net Assets:
Net Investment Income 1.51% 1.70%*
Expenses 0.10% 0.20%*
Decrease Reflected in Above Expense Ratio Due
to Absorption of Expenses by Bankers Trust 0.13% 0.12%*
Portfolio Turnover Rate 88% 16%
Average Commission Per Share $ 0.0193 $ 0.0130
</TABLE>
- ----------
* Annualized.
See Notes to Financial Statements on Pages 31 and 32
30
<PAGE>
Small Cap Index Portfolio
Notes to Financial Statements
Note 1--Organization and Significant Accounting Policies
A. Organization
The Small Cap Index Portfolio (the "Portfolio") is registered under the
Investment Company Act of 1940 (the "Act"), as amended, as an open-end
management investment company. The Portfolio was organized on January 24, 1996
as an unincorporated trust under the laws of New York, and commenced operations
on July 1, 1996. The Declaration of Trust permits the Board of Trustees (the
"Trustees") to issue beneficial interests in the Portfolio.
B. Security Valuation
The Portfolio's investments listed or traded on National Stock Exchanges or
other domestic or foreign exchanges are valued based on the closing price of the
security traded on that exchange prior to the time when the Portfolio assets are
valued. Short-term obligations with remaining maturities of 60 days or less are
valued at amortized cost. Other short-term debt securities are valued on a
mark-to-market basis until such time as they reach a remaining maturity of 60
days, whereupon they will be valued at amortized cost using their value on the
61st day. All other securities and other assets are valued at their fair value
as determined in good faith under procedures established by and under the
general supervision of the Trustees.
C. Security Transactions and Interest Income
Security transactions are accounted for on a trade date basis. Dividend income,
less foreign taxes withheld, if any, is recorded on the ex-dividend date or upon
receipt of ex-dividend notification in the case of certain foreign securities.
Interest income is recorded on the accrual basis and includes amortization of
premium and discount on investments. Realized gains and losses from securities
transactions are recorded on the identified cost basis.
All of the net investment income and realized and unrealized gains and losses
from the security and foreign currency transactions of the 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's custodian, and pursuant to the terms of the repurchase agreement
must have an aggregate market value greater than or equal to the repurchase
price plus accrued interest at all times. If the value of the underlying
securities falls below the value of the repurchase price plus accrued interest,
the Portfolio will require the seller to deposit additional collateral by the
next business day. If the request for additional collateral is not met, or the
seller defaults on its repurchase obligation, the Portfolio maintains the right
to sell the underlying securities at market value and may claim any resulting
loss against the seller.
E. Option Contracts
The Portfolio may enter into option contracts. Upon the purchase of a put option
or a call option by a Portfolio, the premium paid is recorded as an investment,
the value of which is 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 are 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 1% of the Portfolio's average daily net assets. For
the year ended December 31, 1997, this fee aggregated $41,211.
The Portfolio has entered into an Advisory Agreement with Bankers Trust. Under
this Advisory Agreement, the Portfolio pays Bankers Trust an advisory fee
computed daily and paid monthly at an annual rate of 0.15 of 1% of the
Portfolio's average daily net assets. For the year ended December 31, 1997, this
fee aggregated $123,632.
Bankers Trust has voluntarily undertaken to waive and reimburse expenses of the
Portfolio, to the extent necessary, to limit all expenses to 0.10 of 1% of the
average daily net assets of the Portfolio. For the year ended December 31, 1997,
expenses of the Portfolio have been reduced by $107,835.
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 year ended December 31, 1997, the Small Cap Index Portfolio
paid brokerage commissions of $64,041.
31
<PAGE>
Small Cap Index Portfolio
Notes to Financial Statements
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 year ended December 31, 1997, were
$65,982,231 and $93,670,607, respectively. For federal income tax purposes, the
tax basis of investments held at December 31, 1997 was $58,586,348. The
aggregate gross unrealized appreciation was $14,346,753, and the aggregate gross
unrealized depreciation was $3,609,391 for all investments as of December 31,
1997.
32
<PAGE>
Small Cap Index Portfolio
Report of Independent Accountants
To the Trustees and Holders of Beneficial Interest
of BT Investment Portfolios:
We have audited the accompanying statement of assets and liabilities, including
the schedule of portfolio investments, of the Small Cap Index Portfolio (one of
the Portfolios comprising BT Investment Portfolios) as of December 31,1997, and
the related statement of operations for the year then ended, the statement of
changes in net assets and the financial highlights for the year ended December
31,1997 and the period July 1, 1996 (commencement of operations) to December
31,1996. These financial statements and financial highlights are the
responsibility of the Portfolio's management. Our responsibility is to express
an opinion on these financial statements and financial highlights based on our
audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned as of
December 31,1997, by correspondence with the custodian. An audit also includes
assessing the accounting principles used and significant estimates made by
management, as well as evaluating the overall financial statement presentation.
We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of the
Small Cap Index Portfolio as of December 31,1997, the results of its operations,
the changes in its net assets and the financial highlights for the periods
referred to above, in conformity with generally accepted accounting principles.
Coopers & Lybrand L.L.P.
Kansas City, Missouri
February 18, 1998
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
EDGEWOOD SERVICES, INC.
Clearing Operations
P.O. Box 897
Pittsburgh, PA 15230-0897
Custodian and Transfer Agent
BANKERS TRUST COMPANY
130 Liberty Street
New York, NY 10006
Independent Accountants
COOPERS & LYBRAND L.L.P.
1100 Main Street, Suite 900
Kansas City, MO 64105
Counsel
WILLKIE FARR & GALLAGHER
153 East 53rd Street
New York, NY 10022
---------------------
For information on how to invest, shareholder account information and current
price and yield information, please contact your relationship manager or the BT
Mutual Fund Service Center at (800) 730-1313. This report must be preceded or
accompanied by a current prospectus for the Fund.
---------------------
Small Cap Index Fund - Institutional Class Cusip #05576L882
Small Cap Index Fund - Advisor Class Cusip #05576L858
STA513200 (2/98)
