o BT ADVISOR FUNDS o
----------------------
EAFE EQUITY INDEX FUND
----------------------
ANNUAL REPORT
---------------
DECEMBER o 1997
<PAGE>
EAFE Equity Index Fund
Table of Contents
Letter to Shareholders 3
EAFE Equity Index Fund
Statement of Assets and Liabilities 5
Statement of Operations 5
Statement of Changes in Net Assets 6
Financial Highlights 6
Notes to Financial Statements 7
Report of Independent Accountants 9
EAFE Equity Index Portfolio
Schedule of Portfolio Investments 10
Statement of Assets and Liabilities 17
Statement of Operations 17
Statement of Changes in Net Assets 18
Financial Highlights 18
Notes to Financial Statements 19
Report of Independent Accountants 21
2
<PAGE>
EAFE Equity Index Fund
Letter to Shareholders
The EAFE(R)* Equity Index Fund's (the "Fund") Institutional Class Shares
returned 2.11% and the Fund's Advisor Class Shares returned 1.89% for the year
ended December 31, 1997. Both classes outperformed the 1.78% return of the MSCI
EAFE Index,** but underperformed the 5.44% return of the Lipper International
Equity Average.*** Since the Institutional Class Shares' inception on January
24, 1996, it is up 9.49%, cumulatively, as of December 31, 1997. This is a 4.79%
average annualized total return. Since the Advisor Class Shares' inception on
June 21, 1996, it is up 3.49% cumulatively, as of December 31, 1997. This is a
2.27% average annualized total return.# The MSCI EAFE Index is an unmanaged
capitalization-weighted index containing approximately 1,100 equity securities
of companies located outside the United States.##
MARKET ACTIVITY
Overall, 15 of the 20 EAFE markets posted gains for the year ended December 31,
1997 and 12 had double-digit returns, but most of the advance of the MSCI EAFE
Index took place during the second quarter. This may also have been the year
that confirmed that the world markets are not, contrary to what many have
thought, highly correlated. A real divergence in the stock market performance of
Europe and Pacific has become clear, as Europe has almost kept pace with the
U.S., but the Pacific has been disappointing.
- ------------------------------------------
Objective
Seeks to replicate as closely as possible
the total return of the Morgan Stanley
Capital International Europe Australia Far
East (MSCI EAFE) Index.
- ------------------------------------------
In the first quarter, the MSCI EAFE Index had a negative return, with the fall
of currencies outweighing the rise in equities. The Pacific Basin also fell more
than Europe advanced. In the second quarter, the MSCI EAFE Index gained in each
month, as equities, currencies, the Pacific Basin and Europe all had positive
returns. The performance of the EAFE markets were mixed in the third quarter, as
European markets continued to register strong gains following Wall Street's
rebound, Asian markets fell, and currencies also fell as the dollar
strengthened. Concerns over the Asian financial turmoil either directly or
indirectly impacted each market, and so October proved to be difficult for all
of the EAFE countries. European markets rebounded in the remaining months of
1997; the Pacific Basin markets did not. For the 12-month period, equities added
to performance for the year, while currencies detracted. Switzerland was the
best performing EAFE market, and Malaysia was the worst.
- --------------------------------------------
Investment Instruments
Primarily equity securities of business
enterprises organized and domiciled out-
side of the United States. Statistical meth-
ods will be employed to replicate the Index
by buying most of the relevant Index secu-
rities.
- --------------------------------------------
Europe
Regionally, Europe rose 23.8% during the annual period, benefiting largely from
the development of the European Common Market, relatively stable currencies
anchored to the deutschemark, strong corporate earnings, and widespread
corporate downsizing programs. In the first half of the year, almost all of the
European countries reached new stock market highs including the United Kingdom,
Belgium, Denmark, Finland, France, Germany, Holland, Ireland, Italy, Norway,
Spain, Switzerland and Sweden. The one real interruption to these gains was in
October, when European markets fell amid concern that Asia's currency woes would
lead to lower Asian economic growth and consequently a slowdown in European
exports. They were also negatively impacted by the German central bank's
decision to raise its interest rates, its first increase in five years, and by
other European central banks following suit. By the end of the year, the
region's markets had resumed their upward movement.
Several nations benefited from stock or sector specific developments as well.
For example, Switzerland did particularly well due to increased earning optimism
for financial stocks. Finland rose mainly due to gains by Nokia, the global
telecommunications company. Denmark was the best performer in December, as one
of its largest companies, Novo Nordisk, rose dramatically on news of FDA
approval of its diabetes drug and as its banks rose sharply amid merger
speculation incited by the announced merger of Switzerland's UBS and SBC banks.
Italy and Spain's markets benefited from interest rate cuts by their respective
central banks, and the United Kingdom advanced on positive economic news, a
weaker British pound, and reports that the U.K. may join the single European
currency sooner than expected.
- -----------------------------------------------------------------
Ten Largest Stock Holdings
- -----------------------------------------------------------------
Royal Dutch Petroleum Co. Glaxo Wellcome Plc.
- -----------------------------------------------------------------
Novartis AG British Petroleum Co. Plc.
- -----------------------------------------------------------------
Nippon Telegraph & Telephone Lloyds TSB Group Plc.
- -----------------------------------------------------------------
Toyota Motor Corp. HSBC Holdings Plc.
- -----------------------------------------------------------------
Roche Holding AG Bank of Tokyo-Mitsubishi Ltd.
- -----------------------------------------------------------------
Pacific Basin
The Pacific Basin overall fell 25.5% during the annual period, although this
region, like the other EAFE markets, had a strong second quarter. In the first
quarter, Hong Kong fell in response to the decline in the U.S. market, and Japan
fared even worse, primarily due to investors' concerns about the economy, lack
of market support by government officials, and the appreciation of the dollar
versus the yen. During the second quarter, Australia and New Zealand each set
record stock market levels. So, too, did Hong Kong, as investors were optimistic
about China's role in overseeing the nation. "Red chip" stocks, i.e. Chinese
companies with Hong Kong listings, soared. Like Hong Kong, Japan had a much more
positive second quarter, as the yen rebounded through May and June. Bank shares
also performed well as investors expected interest rates to remain low.
In the third quarter, the Pacific Basin was dragged down by Malaysia and Japan.
Concerns about its currency sent Malaysian equities lower, and attempts by the
government to protect the market from speculators by imposing trade restrictions
backfired and eroded investor confidence, accelerating the fall in equity
prices. Japanese stock prices were driven down by lower corporate earnings and a
report by the government that its GDP had plunged 2.9% in the second quarter.
The fourth quarter was dominated by the well-publicized Asian financial turmoil,
sparked by the Thai currency crisis earlier in the year but most dramatically
seen in the Hong Kong equity market's plunge in
- -----------------
* The EAFE Index is the exclusive property of Morgan Stanley. Morgan Stanley
Capital International is a service mark of Morgan Stanley and has been
licensed for use by Bankers Trust Company.
** 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.
## Foreign investing involves special risks, including currency risk, increased
volatility of foreign securities, and differences in accounting and other
financial standards.
3
<PAGE>
EAFE Equity Index Fund
Letter to Shareholders
Diversification of Portfolio Investments
By Country as of December 31, 1997
(percentages are based on market value)
[Pie Chart Appears Here -- See Percentages Below]
Netherlands 6% Hong Kong 3%
Italy 4%
Switzerland 8%
Australia 3%
Spain 3%
Other 6%*
France 8%
Sweden 3%
Germany 10%
Japan 25%
United Kingdom 21%
- -----------
* Consists of countries less than 3%
October. Fears of currency devaluation engulfed the Hong Kong dollar. The
central bank reiterated its commitment to maintaining the currency's peg to the
U.S. dollar and raised interest rates to ward off speculative selling. However,
this led to the stock market decline, as analysts lowered their earnings
estimates to account for an economic slowdown. Currency fears spread to other
Asian markets, causing equity declines throughout virtually all the region.
MANAGER OUTLOOK
Our long-term outlook for Europe remains positive, as we believe there is still
room for economic growth with low inflation. This should, in turn, allow
corporate earnings to rise. The development of the European Common Market
continues slowly, but surely. As for the Pacific Basin, we expect that their
problems will be ongoing for the near to mid-term, and so we are still cautious
on this region. Japan has been mired in a recession for five years, complicated
by both real estate and banking crises compounded with an unstable currency.
Investors were disappointed by the fiscal stimulus package announced by the
Japanese government in December, and concern over the economy's weakness, as
evidenced by an increased number of bankruptcies, led to a decline in the yen at
the end of 1997. Hong Kong is still being watched closely and remains, we
believe, highly volatile.
Of course, as an index fund, designed to replicate as closely as possible,
before expenses, the broad diversification and total return of the MSCI EAFE
Index with net dividends, we neither evaluate short-term fluctuations in the
Fund's performance nor manage according to a given outlook for the equity
markets or the economies in general. Still, we will continue monitoring economic
conditions and how they affect the financial markets.
We appreciate your ongoing support of the EAFE Equity Index Fund and look
forward to serving your investment needs for many years ahead.
/s/ Richard J. Vella
--------------------
Richard J. Vella
Portfolio Manager of the
EAFE Equity Index Portfolio
December 31, 1997
Performance Comparison
Comparison of Change in
Value of a $10,000 Investment
in the EAFE Equity Index
Fund - Institutional Class and
Advisor Class, with the MSCI
EAFE Index since January 31,
1996 and June 30, 1996,
respectively.
- ------------------------------------
Annualized Total Return
Ended December 31, 1997
Institutional Advisor
Since 1/24/96* Since 6/21/96*
4.79% 2.27%
* The Fund's inception date.
Investment return and principal value
may fluctuate so that shares, when
redeemed, may be worth more or less
than their original cost.
- ------------------------------------
[Graph Appears Here -- See Plot Points Below]
EAFE Equity Index
Fund - Institutional MSCI EAFE
Class - $10,949 Index - $10,920
1/96 10,000 10,000
3/96 10,217 10,247
6/96 10,404 10,409
9/96 10,384 10,396
12/96 10,553 10,561
3/97 10,374 10,395
6/97 11,805 11,745
9/97 11,898 11,848
12/97 10,949 10,920
[Graph Appears Here -- See Plot Points Below]
EAFE Equity Index
MSCI EAFE Fund - Institutional
Index - $10,346 Class - $10,349
6/96 10,000 10,000
9/96 10,247 10,217
12/96 10,409 10,404
3/97 10,396 10,384
6/97 10,561 10,553
9/97 10,395 10,374
12/97 11,745 11,805
Past performance is not indicative of future performance. The MSCI EAFE Index is
unmanaged and investments may not be made in an index. The Fund is not insured
by the FDIC and is not a deposit, obligation of or guaranteed by Bankers Trust
Company. The Fund is subject to investment risks, including possible loss of
principal amount invested.
4
<PAGE>
EAFE Equity Index Fund
Statement of Assets and Liabilities December 31, 1997
<TABLE>
<S><C>
Assets
Investment in EAFE Equity Index Portfolio, at Value $36,731,891
Receivable for Shares of Beneficial Interest Subscribed 1,872,251
Due from Bankers Trust 110,374
Deferred Organizational Expense 5,526
Prepaid Expenses 3,637
-----------
Total Assets 38,723,679
-----------
Liabilities
Accrued Expenses 2,829
-----------
Net Assets $38,720,850
===========
Composition of Net Assets
Paid-in Capital $36,665,584
Distributions in Excess of Net Investment Income (317,554)
Distributions in Excess of Net Realized Gain from Investments, Futures, Foreign Currencies and
Forward Foreign Currency Transactions (147,832)
Net Unrealized Appreciation on Investments, Futures, Foreign Currencies and Forward Foreign Currency Contracts 2,529,652
-----------
Net Assets $38,720,850
===========
Net Asset Value, Offering and Redemption Price Per Share (net assets divided by shares outstanding)
Institutional Class+ $ 9.98
===========
Advisor Class++ $ 9.63
===========
</TABLE>
- -------------
+ Net asset value, offering and redemption price per share (based on net assets
of $35,508,565 and 3,556,906 shares of beneficial interest outstanding and
.001 par value, unlimited number of shares of beneficial interest
authorized).
++ Net asset value, offering and redemption price per share (based on net
assets of $3,212,285 and 333,679 shares of beneficial interest outstanding
and .001 par value, unlimited number of shares of beneficial interest
authorized).
- --------------------------------------------------------------------------------
Statement of Operations For the year ended December 31, 1997
<TABLE>
<S><C>
Investment Income
Income Allocated from EAFE Equity Index Portfolio, net $ 792,950
Expenses -------
Administration and Services Fees
Institutional Class 65,464
Advisor Class 5,745
Shareholder Reports 14,000
Institutional Class 4,000
Advisor Class 2,000
Registration Fees 13,384
Professional Fees 10,950
Trustees Fees 25,160
Amortization of Deferred Organizational Expenses 1,785
Miscellaneous 8,456
----------
Total Expenses 150,944
Less: Expenses Absorbed by Bankers Trust
Institutional Class (118,022)
Advisor Class (5,151)
----------
Net Expenses 27,771
----------
Net Investment Income 765,179
----------
Realized and Unrealized Gain (Loss) on Investments, Futures, Foreign Currencies and Forward Foreign Currency Contracts
Net Realized Gain from Investment Transactions 1,844,681
Net Realized Loss from Futures, Foreign Currencies and Forward Foreign Currency Transactions (162,070)
Net Change in Unrealized Appreciation on Investments, Futures, Foreign Currencies and
Forward Foreign Currency Contracts 934,766
----------
Net Realized and Unrealized Gain on Investments, Futures, Foreign Currencies and
Forward Foreign Currency Contracts 2,617,377
----------
Net Increase in Net Assets from Operations $3,382,556
==========
</TABLE>
See Notes to Financial Statements on Pages 7 and 8
5
<PAGE>
Statement of Changes in Net Assets
<TABLE>
<CAPTION>
For the period
January 24, 1996
For the (Commencement
year ended of Operations) to
December 31, 1997 December 31, 1996
----------------- -----------------
<S><C>
Increase (Decrease) in Net Assets from:
Operations
Net Investment Income $ 765,179 $ 448,207
Net Realized Gain (Loss) from Investments, Futures, Foreign Currencies and
Forward Foreign Currency Contracts Transactions 1,682,611 (71,253)
Net Change in Unrealized Appreciation on Investments, Futures, Foreign Currencies
and Forward Foreign Currency Contracts 934,766 1,585,886
------------ ------------
Net Increase in Net Assets from Operations 3,382,556 1,962,840
------------ ------------
Distributions to Shareholders
Net Investment Income
Institutional Class (791,561) (312,707)
Advisor Class (26,630) --
Net Realized Gain from Investment Transactions
Institutional Class (1,895,332) (58,623)
Advisor Class (204,211) (1,066)
------------ ------------
Total Distributions (2,917,734) (372,396)
------------ ------------
Capital Transactions in Shares of Beneficial Interest
Net Increase (Decrease) Resulting from Institutional Class Shares (Note 3) (4,930,429) 38,089,199
Net Increase Resulting from Advisor Class Shares (Note 3) 2,801,911 704,893
------------ ------------
Net Increase (Decrease) from Capital Transactions in Shares of Beneficial Interest (2,128,518) 38,794,092
------------ ------------
Total Increase (Decrease) in Net Assets (1,663,696) 40,384,536
------------ ------------
Net Assets
Beginning of Period 40,384,546 10
------------ ------------
End of Period (includes accumulated net investment income of ($317,554) and $0
for 1997 and 1996, respectively) $ 38,720,850 $ 40,384,546
============ ============
</TABLE>
- --------------------------------------------------------------------------------
Financial Highlights
Contained below are selected data for a share outstanding, total investment
return, ratios to average net assets and other supplemental data for the periods
indicated for the EAFE Equity Index Fund.
<TABLE>
<CAPTION>
Institutional Class Shares Advisor Class Shares
----------------------------------- --------------------------------------
For the period For the period
January 24, 1996 June 21, 1996
For the (Commencement For the (Commencement
year ended of Operations) to year ended of Operations) to
December 31, 1997 December 31, 1996 December 31, 1997 December 31, 1996
----------------- ----------------- ---------------- -----------------
<S><C>
Per Share Operating Performance:
Net Asset Value, Beginning of Period $ 10.62 $ 10.00 $ 10.14 $ 10.00
--------- --------- --------- ---------
Income from Investment Operations
Net Investment Income 0.23 0.12 0.05 0.02
Net Realized and Unrealized Gain (Loss) from Invest-
ments, Futures, Foreign Currencies and Forward
Foreign Currency Contracts Transactions (0.02) 0.60 0.13 0.12
--------- --------- --------- ---------
Total from Investment Operations 0.21 0.72 0.18 0.14
--------- --------- --------- ---------
Distributions to Shareholders
Net Investment Income (0.24) (0.08) (0.08) (0.00)+
Net Realized Gain from Investment Transactions (0.61) (0.02) (0.61) (0.00)+
--------- --------- --------- ---------
Total Distributions (0.85) (0.10) (0.69) (0.00)+
--------- --------- --------- ---------
Net Asset Value, End of Period $ 9.98 $ 10.62 $ 9.63 $ 10.14
========= ========= ========= =========
Total Investment Return 2.11% 7.22% 1.89% 1.57%
Supplemental Data and Ratios:
Net Assets, End of Period (000s omitted) $ 35,509 $ 39,667 $ 3,212 $ 717
Ratios to Average Net Assets:
Net Investment Income 1.70% 1.64%* 1.17% 0.67%*
Expenses, Including Expenses of the
EAFE Equity Index Portfolio 0.40% 0.40%* 0.65% 0.65%*
Decrease Reflected in Above Expense Ratio Due
to Absorption of Expenses by Bankers Trust 0.33% 0.48%* 0.33% 1.70%*
</TABLE>
- ---------
* Annualized.
+ Less than $0.01.
See Notes to Financial Statements on Pages 7 and 8
6
<PAGE>
EAFE Equity 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 EAFE Equity Index Fund (the "Fund") is one of
the funds offered to investors by the Trust.
The EAFE Equity Index Portfolio (the "Portfolio") is an open-end management
investment company registered under the Act. The Fund seeks to achieve its
investment objective by investing all of its investable assets in the Portfolio.
At December 31, 1997, the Fund's proportionate interest in net assets was 100%.
The EAFE Equity Index Fund offers two classes of shares to investors:
Institutional Class and Advisor Class shares (the "Classes"). Both Classes of
Shares have identical rights to earnings, assets and voting privileges, except
that each class has its own expenses directly attributable to a particular class
and exclusive voting rights with respect to matters affecting a single class.
The Institutional and Advisor shares commenced operations and began offering
shares of beneficial interest on January 24, 1996 and June 21, 1996,
respectively.
The financial statements of the Portfolio, including the 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 and net realized short-term and
long-term capital gains, if any. Dividends payable to shareholders are recorded
by the Fund on the ex-dividend date.
E. Federal Income Taxes
It is the Fund's policy to comply with the requirements of the Internal Revenue
Code applicable to regulated investment companies and distribute substantially
all of its income to shareholders. Therefore, no federal income tax provision is
required. The Fund may periodically make reclassifications among certain of its
capital accounts as a result of the timing and characterization of certain
income and capital gain distributions determined annually in accordance with
federal tax regulations which may differ from generally accepted accounting
principles. For the year ended December 31, 1997, the EAFE Equity Index Fund
reclassified $264,542 from Net Investment Income to Undistributed Realized
Gains. 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 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 0.15 of 1% and 0.30 of 1% of average daily net
assets for the Institutional Class and Advisor Class, respectively. For the year
ended December 31, 1997, this fee aggregated $65,464 and $5,745 for the
Institutional Class and Advisor Class, respectively.
The Trust entered into a Distribution Agreement with Edgewood Services, Inc.
("Edgewood"). Under the Distribution Agreement with the Trust, pursuant to Rule
12b-1 of the Act, Edgewood may seek reimbursement at an annual rate not
exceeding 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 shares of each Class. For the year ended December 31, 1997, there were no
reimbursable expenses incurred under this agreement.
The EAFE Equity Index Fund's two Classes of Shares impose a shareholder
transaction fee paid when investors buy, sell or exchange shares of the Fund.
Institutional Class Shares deduct a transaction fee of 0.25% from purchases,
redemptions and exchanges into and out of the Fund. Advisor Class Shares deduct
a transaction fee of 0.50% from redemptions and exchanges out of the Fund. These
transaction fees are paid directly to the Fund and are deducted automatically
from the amount invested, exchanged or redeemed (with the exception of
reinvested dividends or capital gain distributions).
Bankers Trust has voluntarily undertaken to waive its fees and reimburse
expenses of each Class of Shares, to the extent necessary, to limit all expenses
as follows: EAFE Equity Index Fund Institutional Class of Shares to 0.05 of 1%
of the average daily net assets of the Class, excluding expenses of the
Portfolio and 0.40 of 1% of the average daily net assets of the Class, including
expenses of the Portfolio; EAFE Equity Index Advisor Class of Shares to 0.30 of
1% of the average daily net assets of the Class, excluding expenses of the
Portfolio, and 0.65 of 1% of the average daily net assets of the Class,
including expenses of the Portfolio. For the year ended December 31, 1997,
expenses have been reduced by $118,022 and $5,151 for the 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.
7
<PAGE>
EAFE Equity 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 1,767,703 $ 18,359,793 3,700,377 $37,717,871 345,960 $ 3,634,709 73,338 $731,005
Reinvested 269,018 2,686,886 35,310 371,328 18,203 173,760 94 936
Redeemed (2,215,503) (25,977,108) -- -- (101,210) (1,006,558) (2,706) (27,048)
----------- ------------- --------- ----------- ------- ----------- ------ --------
Increase (Decrease) (178,782) $ (4,930,429) 3,735,687 $38,089,199 262,953 $ 2,801,911 70,726 $704,893
=========== ============= ========= =========== ======= =========== ====== ========
</TABLE>
- ---------------
* Commencement of operations for the EAFE Equity Index Institutional Class and
Advisor Class was January 24, 1996 and June 21, 1996, respectively.
8
<PAGE>
EAFE Equity Index Fund
Report of Independent Accountants
To the Trustees of BT Advisor Funds and Shareholders of the EAFE
Equity Index Fund:
We have audited the accoympanying statement of assets and liabilities of the
EAFE Equity 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 January 24, 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
EAFE Equity 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
9
<PAGE>
EAFE Equity Index Portfolio
Schedule of Portfolio Investments December 31, 1997
Shares Description Value
- ------ ----------- -----
COMMON STOCK - 98.20%
Australia - 2.63%
4,000 Amcor Ltd. (Packaging & Container) $ 17,593
6,845 Boral Ltd. (Buildings Materials) 17,305
1,300 Brambles Industries Ltd. (Transportation) 25,793
12,553 Broken Hill Proprietary Co. Ltd. (Metals) 116,558
5,987 Coca-Cola Amatil Ltd. (Beverages) 44,730
6,758 Coles Myer Ltd. (Retail) 32,454
1,900 Rio Tinto Ltd. (Metals & Mining) 22,165
7,900 CSR Ltd. (Building Materials) 26,768
18,300 Foster's Brewing Group Ltd. (Brewery) 34,819
9,700 General Property Trust (Real Estate
Investment Trust) 17,192
2,297 Gio Australia Holdings Ltd. (Insurance) 5,872
3,400 ICI Australia Ltd. (Chemicals) 23,816
1,463 Lend Lease Corp. Ltd. (Financial Services) 28,599
17,895 M.I.M. Holdings Ltd. (Metals & Mining) 10,961
9,416 National Australia Bank Ltd. (Financial Services) 131,483
1,545 Newcrest Mining Ltd. (Metals & Mining) (a) 1,681
15,143 News Corporation Ltd. (Services) 83,575
20,114 Normandy Mining Ltd. (Metals & Mining) 19,528
6,222 North Ltd. (Metals & Mining) 16,387
10,600 Pacific Dunlop Ltd. (Holding Companies) 22,448
8,900 Pioneer International Ltd. (Building Materials) 24,299
2,800 Plutonic Resources Ltd. (Metals & Mining) 7,809
6,613 Santos Ltd. (Oil/Gas) 27,233
4,574 Southcorp Holdings Ltd. (Holding Co.) 15,140
1,700 TABCORP Holdings Ltd. (Leisure Time) 7,976
26,800 Telstra Corp. Ltd. (Telecom Services) (a) 56,580
15,646 Westfield Trust (Real Estate Investment
Trust) 29,871
10,600 Westpac Banking Corp. Ltd. (Banks) 67,799
8,699 WMC Ltd. (Metals & Mining) 30,325
----------
966,759
----------
Austria - 0.39%
410 Bank Austria AG (Banks) 20,741
360 Bank Austria AG- New (Banks) 17,785
70 Boehler-Uddeholm AG (Steel) 4,097
60 EA-Generali AG (Insurance) 15,741
100 Flughafen Wien AG (Transportation) 3,968
260 Oesterreichische Elektrizitaetswirtschafts AG-A
(Utilities) 27,539
160 OMV AG (Oil/Gas) 22,132
90 VA Technologie AG (Oil/Gas) 13,644
90 Wienerberger Baustoffindustrie AG
(Building Materials) 17,251
----------
142,898
----------
Belgium - 1.29%
50 Barco NV (Diversified Operations) 9,176
450 Delhaize-Le Lion, SA (Foods) 22,833
350 Electrabel SA (Utilities) 80,956
287 Fortis AG (Insurance) 59,877
37 Fortis AG-Strip VVPR (Insurance) 5
110 Generale de Banque SA (Banks) 47,873
10 Generale de Banque SA-Strip VVPR
(Banks) 3
150 Groupe Bruxelles Lambert SA
(Financial Services) 21,700
100 Kredietbank NV (Banks) 41,969
150 Cimenteries CBR Cementbedrijvin
(Building Materials) 13,481
150 PetroFina SA (Oil/Gas) 55,363
Shares Description Value
- ------ ----------- -----
100 Royale Belge (Insurance) $ 28,474
650 Solvay SA (Chemicals) 40,876
600 Tractebel (Utilities) 52,306
--------
474,892
--------
Denmark - 1.07%
200 Carlsberg AS-A (Brewery) 10,818
300 Carlsberg AS-B (Brewery) 16,123
1 D/S Svendborg AS-B (Transportation) 65,718
464 Danisco AS (Food Processing) 25,750
300 Den Danske Bank (Banks) 40,001
1 D/S 1912-B (Transportation) 46,149
500 FLS Industries AS-B (Building &
Construction) 11,931
445 Novo Nordisk AS-B (Biopharmaceuticals) 63,688
48 Sophus Berendsen AS-A (Diversified) 7,929
164 Sophus Berendsen AS-B (Commercial
Services) 27,064
777 Tele Danmark AS-B (Utilities) 48,226
400 Unidanmark AS-A (Banks) 29,383
--------
392,780
--------
Finland - 0.72%
200 Cultor Oyj (Food Processing) 10,871
1,100 Kemira Oyj (Chemicals) 10,403
900 Kesko (Retail) 14,246
4,900 Merita Ltd.-A (Banks) 26,814
200 Metra Oyj-A (Diversified) 4,738
200 Metra Oyj-B (Diversified) 4,701
1,300 Nokia Oyj-A (Telecommunications
Equipment) 92,385
500 Nokia Oyj-K (Telecommunications
Equipment) 35,808
800 Outokumpu Oyj-A (Metals & Mining) 9,769
400 Sampo Insurance Company Ltd.-A
(Insurance) 13,001
100 Stockmann Oyj-A (Retail) 6,519
1,800 UPM-Kymmene Corp. (Forest Products) 36,028
--------
265,283
--------
France - 7.94%
252 Accor SA (Hotel/Motel) 46,873
1,013 Alcatel Alsthom (Telecommunications
Equipment) 128,814
1,170 AXA-UAP (Insurance) 90,570
1,320 Banque Nationale de Paris (Banks) 70,191
206 Bouygues (Property & Development) 23,353
155 Canal Plus (Broadcasting) 28,831
225 Carrefour Supermarche SA (Retail) 117,437
220 Compagnie Bancaire SA (Financial Services) 35,655
581 Compagnie de Saint Gobain (Building Materials) 82,572
709 Compagnie Financiere de Paribas-A (Financial
Services) 61,637
861 Compagnie Generale des Eaux (Diversified) 120,219
1,650 Elf Aquitaine SA (Energy) 191,988
200 Eridania Beghin-Say SA (Agriculture) 31,283
50 Essilor International (Optical) 14,960
600 Etablissements Economiques du Casino
Guichard-Perrachon SA (Foods) 33,411
5,100 France Telecom SA (Telecommunications) (a) 185,061
508 Groupe Danone (Food Processing) 90,775
458 Havas SA (Advertising) 32,964
100 Imetal SA (Building & Construction) 12,433
667 Lafarge SA (Building Materials) 43,783
See Notes to Financial Statements on Pages 19 and 20
10
<PAGE>
EAFE Equity Index Portfolio
Schedule of Portfolio Investments December 31, 1997
Shares Description Value
- ------ ----------- -----
867 Lagardere SCA (Diversified) $ 28,679
490 L'Air Liquide (Chemicals) 76,725
200 Legrand SA (Electronics) 39,860
385 L'OREAL (Household Products) 150,711
550 LVMH (Moet-Hennessy Louis Vuitton)
(Wine and Spirits) 91,331
896 Lyonnaise des Eaux SA (Diversified) 99,191
972 Michelin-B (Tire & Rubber) 48,955
50 Pathe SA (Television) 9,707
450 Pernod Ricard (Beverages) 26,479
150 Pinault-Printemps-Redoute SA (Retail) 80,061
150 Promodes (Retail) 62,259
300 PSA Peugeot Citroen (Autos & Trucks) 37,849
2,132 Rhone-Poulenc-A (Chemicals) 95,543
708 Sanofi SA (Pharmaceuticals) 78,850
908 Schneider SA (Electronics) 49,324
250 Sidel SA (Machinery) 16,581
100 Simco SA (Real Estate) 6,732
300 Societe BIC SA (Manufacturing) 21,906
200 Societe Francaise d'Investissements
Immobiliers et de Gestion (Real Estate) 9,973
591 Societe Generale (Banks) 80,555
55 Sodexho Alliance SA (Foods) 29,465
950 Thomson CSF (Electronics) 29,956
1,478 Total SA-B (Oil/Gas) 160,919
2,656 Union des Assurances de Paris (UAP)
(Insurance) (a) 81,985
1,800 Usinor Sacilor (Steel) 26,001
505 Valeo SA (Auto Related) 34,265
----------
2,916,672
----------
Germany - 9.33%
365 Adidas AG (Consumer Goods) 48,028
1,405 Allianz AG (Insurance) 364,123
350 AMB Aachener & Muenchener Beteiligungs
AG (Insurance) 38,249
3,970 BASF AG (Chemicals) 140,753
4,895 Bayer AG (Chemicals) 182,940
1,885 Bayerische Hypotheken-und Wechsel-Bank
AG (Banks) 92,043
2,057 Bayerische Vereinsbank AG (Banks) 134,647
400 Beiersdorf AG (Cosmetics & Toiletries) 17,352
550 Continental AG (Tires & Rubber) 12,143
3,195 Daimler-Benz AG (Autos & Trucks) 224,242
760 Degussa AG (Metals & Mining) 38,251
3,215 Deutsche Bank AG (Banks) 227,076
2,875 Deutsche Lufthansa AG (Airlines) 55,162
13,965 Deutsche Telekom (Telecommunications) 262,897
2,908 Dresdner Bank AG (Banks) 134,233
412 Heidelberger Zement AG (Building &
Construction) 29,329
500 Hochtief AG (Engineering & Construction) 19,743
60 Karstadt AG (Retail) 20,492
65 Linde AG (Machinery) 39,692
55 MAN AG (Diversified) 15,936
215 Mannesmann AG (Machinery) 108,690
1,140 Merck KGAA (Pharmaceuticals) 37,089
1,327 Metro AG (Retail) 47,601
500 Muenchener Rueckversicherungs-
Gesellschaft AG (Insurance) 188,532
120 Preussag AG (Steel) 36,639
Shares Description Value
- ------ ----------- -----
2,000 RWE AG (Oil/Gas) $ 107,335
425 SAP AG (Software) 129,171
505 Schering AG (Pharmaceuticals) 48,728
3,485 Siemens AG (Electrical Equipment) 206,414
190 Thyssen AG (Steel) 40,682
2,925 VEBA AG (Oil/Gas) 199,273
158 Viag AG (Metals & Mining) 85,146
170 Volkswagen AG (Consumer Goods) 95,679
----------
3,428,310
----------
Hong Kong - 2.81%
10,843 Bank of East Asia Ltd. (Banks) 25,398
22,000 Cathay Pacific Airways (Transportation) 17,887
15,000 Cheung Kong Holdings Ltd. (Real Estate) 98,245
16,500 China Light & Power Co. Ltd. (Utilities) 91,566
17,000 Hang Lung Development Co. (Real Estate) 23,914
12,700 Hang Seng Bank Ltd. (Banks) 122,517
26,968 Hong Kong and China Gas Co. Ltd. (Utilities) 52,206
73,341 Hong Kong Telecommunications Ltd.
(Telecommunications) 150,953
13,000 Hong Kong & Shanghai Hotels Ltd.
(Hotel/Motel) 10,750
38,000 Hopewell Holdings Ltd. (Property &
Development) 9,465
24,000 Hutchison Whampoa Ltd. (Diversified) 150,532
11,000 Hysan Development Co. Ltd. (Real Estate) 21,933
11,077 New World Development Co. Ltd. (Real
Estate) 38,312
12,000 Shangri-La Asia Ltd. (Hotel\Motel) 10,144
21,690 Sino Land Co. (Real Estate) 13,087
14,000 Sun Hung Kai Properties Ltd. (Real Estate) 97,567
9,500 Swire Pacific Ltd.-A (Conglomerate) 52,107
5,000 Television Broadcasts Ltd. (Broadcasting) 14,261
14,000 Wharf Holdings Ltd. (Diversified) 30,716
----------
1,031,560
----------
Ireland - 0.39%
4,892 Allied Irish Banks Plc. (Banks) 47,413
2,551 CRH Plc. (Building Materials) 29,887
1,305 Greencore Group Plc. (Foods) 6,138
1,239 Independent Newspapers Plc. (Publishing/
Printing) 6,799
3,015 Irish Life Plc. (Insurance) 17,318
7,342 Jefferson Smurfit Group Plc. (Packaging &
Container) 20,720
1,586 Kerry Group Plc. (Foods) 16,977
----------
145,252
----------
Italy - 3.91%
5,401 Assicurazioni Generali (Insurance) 132,730
11,103 Banca Commerciale Italiana (Banks) 38,621
3,453 Banco Ambrosiano Veneto SPA (Commercial
Banks) 13,222
2,225 Benetton Group SPA (Textiles) 36,432
13,313 Credito Italiano SPA (Financial Services) 41,075
4,810 Edison SPA (Utilities) 29,109
48,998 ENI SPA (Oil/Gas) 277,962
24,966 Fiat SPA (Auto and Trucks) 72,651
6,520 Istituto Bancario San Paolo di Torino (Banks) 62,322
5,061 Istituto Mobiliare Italiano SPA (Financial
Services) 60,112
See Notes to Financial Statements on Pages 19 and 20
11
<PAGE>
EAFE Equity Index Portfolio
Schedule of Portfolio Investments December 31, 1997
Shares Description Value
- ------ ----------- -----
24,686 Istituto Nazionale delle Assicurazioni
(Insurance) $ 50,055
5,851 Italgas SPA (Utilities) 24,158
4,729 Mediobanca SPA (Financial Services) 37,152
47,392 Montedison SPA (Chemicals) 42,593
9,613 Mediaset SPA (Television) 47,248
12,590 Olivetti Group (Computers) (a) 7,612
9,197 Parmalat Finanziaria SPA (Financial Services) 13,160
13,436 Pirelli SPA (Tires & Rubber) 35,945
3,362 Riunione Adriatica di Sicurta SPA (Insurance) 32,992
43,396 Telecom Italia Mobile SPA
(Telecommunications) 200,406
8,838 Telecom Italia SPA RNC (Telecommunications) 38,990
21,869 Telecom Italia SPA (Telecommunications) 139,770
----------
1,434,317
----------
Japan - 24.64%
1,000 Acom Company, Ltd. (Financial Services) 55,374
500 Advantest Corp. (Analytical Instruments &
Optical) 28,456
4,000 Ajinomoto Co., Inc. (Food Processing) 39,069
3,000 Amada Co., Ltd. (Machinery) 11,190
14,000 Asahi Bank Ltd. (Banks) 57,066
3,000 Asahi Breweries Ltd. (Brewery) 43,838
8,000 Asahi Chemical Industry Co. Ltd. (Textiles) 27,195
7,000 Asahi Glass Co. Ltd. (Building Materials) 33,378
28,000 Bank of Tokyo-Mitsubishi Ltd. (Banks) 387,618
14,000 Bank of Yokohama Ltd. (Banks) 37,039
6,000 Bridgestone Corp. (Tires & Rubber) 130,590
5,000 Canon, Inc. (Capital Equipment) 116,901
3,000 Casio Computer Co. Ltd. (Electronics) 21,596
5,000 Chiba Bank Ltd. (Banks) 15,574
8,000 Chichibu Onoda Cement Corp. (Building &
Construction) 14,766
4,000 Citizen Watch Co. Ltd. (Jewelry) 26,918
7,000 Cosmo Oil Co. Ltd. (Oil/Gas) 10,659
800 Credit Saison Co. Ltd. (Retail) 19,812
6,000 Dai Nippon Printing Co. Ltd. (Publishing/
Printing) 113,055
4,000 Daiei Inc. (Retail) 16,612
2,000 Daiichi Pharmaceutical Co. Ltd. (Pharmaceuticals) 22,611
5,000 Daikin Industries Ltd. (Building Materials) 18,919
9,000 Dainippon Ink & Chemicals, Inc. (Chemicals) 22,842
3,000 Daiwa House Industry Co. Ltd. (Industrial) 15,920
8,000 Daiwa Securities Co. Ltd. (Financial Services) 27,687
6,000 Denso Corp. (Electrical Equipment) 108,441
24 East Japan Railway Co. (Transportation) 108,718
2,000 Ebara Corp. (Machinery) 21,227
2,000 Eisai Co. Ltd. (Pharmaceuticals) 30,610
1,400 Fanuc (Electronics) 53,190
21,000 Fuji Bank Ltd. (Banks) 85,276
3,000 Fuji Photo Film Co. (Chemicals) 115,362
5,000 Fujikura Ltd. (Electrical Equipment) 33,224
1,000 Fujita Kanko, Inc. (Hotel/Motel) 10,767
14,000 Fujitsu Ltd. (Computers) 150,740
9,000 Furukawa Electric Co. Ltd. (Metals & Mining) 38,693
3,000 Gunma Bank (Banks) 19,612
5,000 Hankyu Corp. (Railroads) 23,495
24,000 Hitachi Ltd. (Capital Equipment) 171,659
6,000 Hitachi Zosen Corp. (Steel) 9,644
6,000 Honda Motor Co. Ltd. (Autos & Trucks) 221,034
1,000 House Foods Corp. (Foods) 13,074
1,000 Hoya Corp. (Glass Products) 31,532
Shares Description Value
- ------ ----------- -----
2,000 Inax (Building & Construction) $ 5,830
18,000 Industrial Bank of Japan (Banks) 128,744
8,000 Itochu Corp. (Distribution/Wholesale) 12,613
2,000 Ito-Yokado Co. Ltd. (Retail) 102,288
10,000 Japan Airlines (Transportation) (a) 27,302
18,000 Japan Energy Corp. (Oil/Gas) 17,027
4,000 Joyo Bank (Banks) 14,151
2,000 JUSCO Co. (Retail) 28,302
6,000 Kajima Corp. (Engineering & Construction) 15,182
2,000 Kandenko Co., Ltd. (Engineering &
Construction) 10,244
5,800 Kansai Electric Power Co., Inc. (Utilities) 98,581
3,000 Kao Corp. (Household Products) 43,376
8,000 Kawasaki Heavy Industries Ltd.
(Engineering & Construction) 12,428
19,000 Kawasaki Steel Corp. (Steel) 26,010
4,000 Kinden Corp. (Engineering & Construction) 42,761
10,000 Kinki Nippon Railway (Transportation) 53,605
6,000 Kirin Brewery Co. Ltd. (Brewery) 43,838
2,000 Kokuyo (Office Equipment & Computers) 34,609
6,000 Komatsu Ltd. (Machinery) 30,225
8,000 Kubota Corp. (Machinery) 21,165
11,000 Kumagai Gumi Co., Ltd. (Engineering &
Construction) 6,007
4,000 Kuraray Co. Ltd. (Textiles) 33,224
2,000 Kurita Water Industries (Capital Equipment) 20,458
1,000 Kyocera Corp. (Capital Equipment) 45,530
3,000 Kyowa Hakko Kogyo (Chemicals) 13,036
11,000 Marubeni Corp. (Distribution/Wholesale) 19,373
2,000 Marui Co. Ltd. (Retail) 31,225
15,000 Matsushita Electric Industrial Co. Ltd.
(Electronics) 220,342
5,000 Meiji Seika (Pharmaceuticals) 16,689
5,000 Minebea Co. Ltd. (Electronics) 53,836
13,000 Mitsubishi Chemical Corp. (Chemicals) 18,696
9,000 Mitsubishi Corp. (Distribution/Wholesale) 71,294
13,000 Mitsubishi Electric Corp. (Capital Equipment) 33,394
8,000 Mitsubishi Estate Co. Ltd. (Financial Services) 87,368
25,000 Mitsubishi Heavy Industries Ltd. (Aerospace) 104,595
7,000 Mitsubishi Materials Corp. (Metals & Mining) 11,306
10,000 Mitsubishi Trust & Banking Corp. (Banks) 100,750
5,000 Mitsui Fudosan Co. Ltd. (Real Estate) 48,452
7,000 Mitsui Marine & Fire Insurance Co. Ltd.
(Insurance) 35,855
6,000 Mitsui O.S.K. Lines Ltd. (Transportation) (a) 8,352
7,000 Mitsui Trust & Banking Co. Ltd. (Banks) 13,620
9,000 Mitsui & Co. (Distribution/Wholesale) 53,436
8,000 Mitsukoshi Ltd. (Retail) 21,350
1,000 Murata Manufacturing Co., Ltd. (Electrical
Equipment) 25,226
2,000 Mycal Corp. (Foods) 16,766
9,000 NEC Corp. (Electronics) 96,212
8,000 Nichirei Corp. (Foods) 17,227
5,000 Nikon Corp. (Manufacturing) 49,606
6,000 Nippon Express Co. Ltd. (Trucking & Leasing) 29,994
2,000 Nippon Meat Packers, Inc. (Food Processing) 27,379
7,000 Nippon Oil Co. Ltd. (Oil/Gas) 18,143
6,000 Nippon Paper Industries Co. (Forest Products) 23,626
41,000 Nippon Steel Corp. (Steel) 60,858
78 Nippon Telegraph & Telephone Corp.
(Telcommunications) 671,871
12,000 Nippon Yusen Kabushiki Kaisha
(Transportation) 33,040
See Notes to Financial Statements on Pages 19 and 20
12
<PAGE>
EAFE Equity Index Portfolio
Schedule of Portfolio Investments December 31, 1997
Shares Description Value
- ------ ----------- -----
4,000 Nishimatsu Construction (Engineering &
Construction) $ 12,613
15,000 Nissan Motor Co. Ltd. (Autos & Trucks) 62,296
2,000 Nisshinbo Industries, Inc. (Textiles) 8,460
2,000 Nissin Food Products Co. Ltd. (Food
Processing) 36,455
21,000 NKK Corp. (Steel) 16,797
12,000 Nomura Securities Co. Ltd. (Financial Services) 160,585
6,000 NSK Ltd. (Machinery) 14,997
4,000 NTN Corp. (Metals & Mining) 9,291
10,000 Obayashi Corp. (Capital Equipment) 34,147
7,000 Odakyu Electric Railway (Transportation) 30,363
12,000 Oji Paper Co. Ltd. (Forest Products) 47,898
2,000 Olympus Optical Co. Ltd. (Medical Supplies) 13,859
1,000 Omron Corp. (Electronics) 15,689
2,000 Onward Kashiyama Co. Ltd. (Textiles) 23,226
15,000 Osaka Gas Co. Ltd. (Utilities) 34,378
1,000 Pioneer Electronic Corp. (Telecommunications) 15,459
20,000 Sakura Bank Ltd. (Banks) 57,374
3,000 Sankyo Co. Ltd. (Pharmaceuticals) 68,064
11,000 Sanyo Electric Co. Ltd. (Electronics) 28,764
4,000 Sapporo Breweries Ltd. (Brewery) 12,613
1,000 Secom (Electronics) 64,142
1,800 Sega Enterprises (Toys) 32,671
3,000 Sekisui Chemical Co. Ltd. (Chemicals) 15,297
4,000 Sekisui House Ltd. (Manufactured Housing) 25,810
7,000 Sharp Corp. (Electronics) 48,345
5,000 Shimizu Corp. (Engineering & Construction) 11,613
2,000 Shin-Etsu Chemical Co. Ltd. (Chemicals) 38,300
4,000 Shiseido Co. Ltd. (Household Products) 54,759
5,000 Shizuoka Bank (Banks) 53,836
12,000 Showa Denko K.K. (Chemicals) 10,521
3,000 Snow Brand Milk Products (Foods) 8,098
2,400 Sony Corp. (Electronics) 214,113
19,000 Sumitomo Bank Ltd. (Banks) 217,727
10,000 Sumitomo Chemical Co. (Chemicals) 23,072
6,000 Sumitomo Corp. (Distribution/Wholesale) 33,686
4,000 Sumitomo Electric Industries (Electrical
Equipment) 54,759
2,000 Sumitomo Forestry Co. Ltd. (Forest Products) 9,767
10,000 Sumitomo Marine & Fire (Insurance) 53,067
19,000 Sumitomo Metal Industries (Steel) 24,403
7,000 Sumitomo Metal Mining Co. (Metals & Mining) 23,149
6,000 Taisei Corp. (Engineering & Construction) 9,875
2,000 Taisho Pharmaceutical Co. (Pharmaceuticals) 51,221
2,000 Takashimaya Co. Ltd. (Retail) 12,152
5,000 Takeda Chemical Industries (Pharmaceuticals) 143,049
16,000 Teijin Ltd. (Textiles) 33,594
7,000 Tobu Railway Co. Ltd. (Transportation) 21,965
300 Toho Co. (Entertainment) 32,071
3,000 Tohoku Electric Power (Utilities) 45,684
12,000 Tokai Bank (Banks) 56,112
9,000 Tokio Marine & Fire Insurance Co. (Insurance) 102,442
1,000 Tokyo Broadcasting System (Broadcasting) 12,690
2,000 Tokyo Dome Corp. (Entertainment) (a) 13,351
8,800 Tokyo Electric Power Co. (Utilities) 161,077
1,000 Tokyo Electron Ltd. (Electronics) 32,148
14,000 Tokyo Gas Co. Ltd. (Utilities) 31,871
6,000 Tokyu Corp. (Transportation) 23,257
4,000 Toppan Printing Co. Ltd. (Publishing/Printing) 52,298
8,000 Toray Industries, Inc. (Chemicals) 35,993
1,000 Tostem Corp. (Building Materials) 10,767
5,000 Toto Ltd. (Industrial) 32,071
Shares Description Value
- ------ ----------- -----
1,000 Toyo Seikan Kaisha (Packaging & Container) $ 14,305
8,000 Toyobo Ltd. (Textiles) 9,721
2,000 Toyoda Automatic Loom Works Ltd. (Machinery) 36,916
23,000 Toyota Motor Corp. (Consumer Goods) 661,565
11,000 Ube Industries Ltd. (Chemicals) 14,043
2,000 Uny Co. Ltd. (Retail) 27,533
3,000 Wacoal Corp. (Textiles) 29,994
2,000 Yamaha Corp. (Diversified) 22,765
14,000 Yamaichi Securities Co. Ltd. (Financial
Services) 108
2,000 Yamanouchi Pharmaceutical Co. Ltd.
(Pharmaceuticals) 43,069
5,000 Yamato Transport Co. Ltd. (Trucking &
Leasing) 67,295
2,000 Yamazaki Baking Co. Ltd. (Food Processing) 19,535
4,000 Yasuda Trust & Banking (Banks) 3,999
----------
9,052,399
----------
Malaysia - 0.83%
2,000 AMMB Holdings BHD (Banks) 1,310
4,600 Commerce Asset Holdings BHD (Banks) 2,198
9,000 RHB Capital BHD (Banks) 4,347
1,000 Edaran Otomobil Nasional BHD (Consumer
Goods) 2,042
3,000 Ekran BHD (Holding Companies) 2,119
13,000 Golden Hope Plantations BHD (Agriculture) 15,029
8,000 Hong Leong Properties BHD (Real Estate) 1,459
3,000 Hume Industries (Malaysia) BHD (Building
Materials) 3,145
13,000 IOI Corp. BHD (Diversified) 4,208
3,000 Jaya Tiasa Holdings BHD (Materials) 5,511
4,000 Kuala Lumpur Kepong BHD (Agriculture) 8,581
3,000 Land & General BHD (Holding Companies) 555
23,000 Magnum Corp. BHD (Entertainment) 13,827
6,800 Malayan Banking BHD (Banks) 19,741
6,000 Malaysia International Shipping BHD
(Transportation) 8,786
10,000 Malaysian Airline System BHD (Transportation) 8,015
8,000 Malaysian Resources Corp. BHD (Real Estate) 1,850
7,000 MBF Capital BHD (Financial Services) 1,627
13,000 Multi-Purpose Holdings BHD (Diversified) 3,340
3,000 Nestle (Malaysia) BHD (Food Processing) 13,873
3,200 Oriental Holdings BHD (Autos & Trucks) 3,913
3,000 Perusahaan Otomobil Nasional BHD (Autos &
Trucks) 2,929
16,000 Public Bank BHD (Banks) 5,508
4,000 Rashid Hussain BHD (Financial Services) 3,103
6,000 Resorts World BHD (Entertainment) 10,096
2,000 Rothmans of Pall Mall (Malaysia) BHD
(Tobacco) 15,543
19,000 Sime Darby BHD (Holding Companies) 18,256
10,000 Technology Resources Industries BHD
(Telecommunications) 5,909
17,500 Telekom Malaysia BHD (Telecommunications)51,702
23,000 Tenaga Nasional BHD (Utilities) 49,043
6,000 Time Engineering BHD (Diversified) 1,541
3,000 UMW Holdings BHD (Autos & Trucks) 2,274
7,000 United Engineers Ltd. (Engineering &
Construction) 5,827
5,250 YTL Corp. BHD (Engineering & Construction) 7,081
----------
304,288
----------
See Notes to Financial Statements on Pages 19 and 20
13
<PAGE>
EAFE Equity Index Portfolio
Schedule of Portfolio Investments December 31, 1997
Shares Description Value
- ------ ----------- -----
Netherlands - 5.58%
8,909 ABN Amro Holding NV (Banks) $ 173,583
436 Akzo Nobel (Chemicals) 75,187
4,593 Elsevier NV (Publishing/Printing) 74,311
361 Heineken NV (Brewery) 62,858
5,312 ING Groep NV (Financial Services) 223,768
769 KLM Royal Dutch Air Lines NV
(Transportation) 28,449
3,145 Koninklijke Ahold NV (Retail) 82,065
76 Oce NV (Office Equipment & Computers) 8,285
2,402 Philips Electronics NV (Electronics) 144,075
13,225 Royal Dutch Petroleum Company (Oil/Gas) 726,061
3,099 Royal PTT Nederland NV (Commercial
Services) 129,322
4,154 Unilever NV-CVA (Food Processing) 256,129
494 Wolters Kluwer NV-CVA (Publishing/
Printing) 63,818
----------
2,047,911
----------
New Zealand - 0.30%
20,319 Brierley Investments Ltd. (Investment
Companies) 14,513
10,803 Carter Holt Harvey Ltd. (Forest Products) 16,687
1,983 Fletcher Challenge Building (Building
Materials) 4,053
1,943 Fletcher Challenge Energy (Oil/Gas) 6,803
314 Fletcher Challenge Forests (Forestry) 261
3,832 Fletcher Challenge Paper (Forest Products) 5,007
5,349 Lion Nathan Ltd. (Brewery) 11,990
10,818 Telecom Corp. of New Zealand Ltd.
(Telecommunications) 52,455
----------
111,769
----------
Norway - 0.52%
900 Aker RGI ASA-A (Oil Equipment & Services) 16,236
180 Aker RGI ASA-B (Oil Equipment & Services) 2,930
500 Bergesen d.y. ASA-A (Transportation) 11,801
3,250 Christiania Bank Og Kreditkasse (Financial
Services) 13,137
600 Hafslund ASA-A (Utilities) 3,662
200 Kvaerner ASA (Engineering) 10,200
1,350 Norsk Hydro ASA (Energy) 65,830
400 Norske Skogindustrier ASA-A (Paper) 11,611
250 Orkla ASA-A (Manufacturing) 21,533
350 Petroleum Geo-Services ASA (Oil/Gas) (a) 22,076
1,650 Storebrand ASA (Insurance) (a) 11,638
----------
190,654
----------
Portugal - 0.54%
1,000 Banco Comercial Portugues, SA (Banks) 20,473
600 Banco Espirito Santo e Comercial de Lisboa,
SA (Commercial Banks) 17,874
600 BPI-SGPS, SA (Finance) 14,604
600 Cimpor-Cimentos de Portugal SA (Building
Products) 15,743
2,400 Electricidade de Portugal SA (Electric) 45,494
500 Jeronimo Martins, SGPS, SA (Retail) 15,883
1,200 Portugal Telecom SA (Telecommunications) 55,741
300 Sonae Investimentos-Sociedade Gestora de
Participacoes Sociais, SA (Retail) 12,147
----------
197,959
----------
Shares Description Value
- ------ ----------- -----
Singapore - 0.92%
6,000 City Developments Ltd. (Real Estate) $ 27,774
2,000 Cycle & Carriage Ltd. (Retail) 8,249
7,000 DBS Land Ltd. (Real Estate) 10,718
3,000 Development Bank of Singapore Ltd. (Banks) 25,638
3,000 Fraser & Neave Ltd. (Beverages) 12,997
6,750 Keppel Corp. Ltd. (Transportation) 19,389
7,702 Oversea-Chinese Banking Corp. Ltd. (Banks) 44,795
4,000 Parkway Holdings Ltd. (Diversified) 9,021
6,000 Singapore Airlines Ltd. (Transportation) 39,169
2,000 Singapore Press Holdings Ltd. (Publishing/
Printing) 25,045
7,000 Singapore Technologies Industrial Corp.
(Holding Companies) 6,688
43,000 Singapore Telecommunications, Ltd. (Utilities) 80,131
12,000 United Industrial Corp. Ltd. (Diversified) 4,700
4,000 United Overseas Bank Ltd. (Banks) 22,196
----------
336,510
----------
Spain - 2.64%
98 Acerinox SA (Steel) 14,512
2,564 Autopistas Concesionaria Espanola SA
(Engineering & Construction) 34,401
4,205 Banco Bilbao Vizcaya SA (Banks) 136,010
2,132 Banco Central Hispanoamericano (Banks) 51,894
2,841 Banco Santander SA (Banks) 94,874
988 Corporacion Bancaria de Espana SA (Banks) 60,089
860 Corporacion Mapfre (Insurance) 22,795
6,942 Endesa SA (Utilities) 123,200
1,072 Gas Natural SDG, SA (Utilities) 55,562
5,399 Iberdrola SA (Utilities) 71,021
1,779 Repsol SA (Oil/Gas) 75,866
475 Sociedade General de Aguas de Barcelona
SA (Diversified) 19,588
297 Tabacalera SA (Tobacco) 24,065
5,825 Telefonica de Espana (Telecommunications) 166,242
2,023 Union Electrica Fenosa SA (Utilities) 19,378
----------
969,497
----------
Sweden - 2.59%
4,000 ABB AB-A (Machinery) 47,387
1,000 ABB AB-B (Machinery) 11,784
800 AGA AB-A (Chemicals) 11,040
8,366 Astra AB-A (Pharmaceuticals) 144,976
2,966 Astra AB-B (Pharmaceuticals) 49,903
1,400 Atlas Copco AB-A (Machinery) 41,817
700 Electrolux AB-Ser. B (Furniture) 48,610
1,200 Hennes & Mauritz AB-B (Retail) 52,933
300 Securitas AB-B (Commercial Services) 9,074
800 Skandia Forsakrings AB (Insurance) 37,759
3,500 Skandinaviska Enskilda Banken-A (Banks) 44,331
700 Skanska AB-B (Engineering) 28,716
1,500 Stora Kopparbergs Bergslags Aktiebolag-A
(Forest Products) 18,905
1,700 Svenska Cellulosa AB-B (Forest Products) 38,244
1,900 Svenska Handelsbanken-A (Banks) 65,731
1,900 Swedish Match AB (Tobacco) 6,346
6,000 Telefonaktiebolaget LM Ericsson-B
(Telecommunications) 225,720
600 Volvo AB-A (Autos & Trucks) 16,031
1,900 Volvo AB-B (Autos & Trucks) 51,004
----------
950,311
----------
See Notes to Financial Statements on Pages 19 and 20
14
<PAGE>
EAFE Equity Index Portfolio
Schedule of Portfolio Investments December 31, 1997
Shares Description Value
- ------ ----------- -----
Switzerland - 7.68%
55 ABB AG-Bearer (Machinery) $ 69,193
100 Adecco SA (Commercial Services) 29,035
25 Alusuisse-Lonza Holding AG (Holding
Companies) 24,047
1,600 Credit Suisse Group (Banks) 247,909
40 Holderbank Financiere Glarus AG-B
(Building Materials) 32,689
240 Nestle SA (Foods) 360,181
408 Novartis AG-Registered (Medical) 662,937
15 Novartis AG-Bearer (Medical) 24,424
10 Roche Holding AG-Bearer (Pharmaceuticals) 154,257
43 Roche Holding AG-Genusschine
(Pharmaceuticals) 427,612
20 Sairgroup (Airlines) (a) 27,423
10 Schindler Holding AG (Machinery) 10,757
90 Schweizerische Rueckversicherungs-
Gesellschaft (Insurance) 168,573
450 Schweizerischer Bankverein (Banks) 140,066
15 SGS Societe Generale de Surveillance
Holding SA (Commercial Services) 28,795
100 SMH AG-Registered (Jewelry) 13,506
25 SMH AG-Bearer (Jewelry) 13,815
15 Sulzer AG (Manufacturing) 9,523
2 Sulzer Medica AG (Medical Products) (a) 480
150 UBS-Registered (Banks) 43,295
140 UBS-Bearer (Banks) 202,715
275 Zurich Versicherungs-Gesellschaft (Insurance) 131,222
----------
2,822,454
----------
United Kingdom - 21.48%
8,870 Abbey National Plc. (Banks) 153,098
2,891 Anglian Water Plc. (Utilities) 38,530
3,286 Arjo Wiggins Appleton Plc. (Paper) 8,813
6,034 Associated British Foods Plc. (Food
Processing) 51,727
9,333 Barclays Plc. (Banks) 248,008
5,245 Bass Plc. (Brewery) 80,778
6,199 BBA Group Plc. (Auto Related) 41,615
24,727 BG Plc. (Oil/Gas) 111,479
28,024 BG Plc.-B (Oil/Gas) (a) 14,064
2,793 BICC Group Plc. (Wire & Cable) 7,904
4,385 Blue Circle Industries Plc. (Building
Materials) 25,668
3,259 BOC Group Plc. (Chemicals) 53,972
5,359 Boots Co. Plc. (Retail) 77,860
5,493 BPB Plc. (Paper) 30,549
2,553 British Aerospace Plc. (Aerospace) 73,134
5,945 British Airways Plc. (Transportation) 58,349
3,600 British Land Co. Plc. (Real Estate) 39,391
35,046 British Petroleum Co. Plc. (Oil/Gas) 461,606
13,105 British Sky Broadcasting Group Plc.
(Broadcasting) 97,896
14,109 British Steel Plc. (Steel) 30,586
38,927 British Telecommunications Plc.
(Telecommunications) 307,282
25,023 BTR Plc. (Holding Companies) 76,787
2,079 Burmah Castrol Plc. (Oil/Gas) 36,158
20,616 B.A.T. Industries Plc. (Tobacco) 188,095
13,827 Cable & Wireless Plc. (Telecommunications) 121,604
5,936 Cadbury Schweppes Plc. (Beverages) 59,091
2,073 Caradon Plc. (Holding Companies) 6,123
Shares Description Value
- ------ ----------- -----
3,997 Carlton Communications Plc. (Broadcasting) $ 30,779
44,671 Centrica Plc. (Oil/Gas) (a) 64,681
4,795 Commercial Union Plc. (Insurance) 70,849
2,789 Electrocomponents Plc. (Electronics) 20,742
6,265 EMI Group Plc. (Entertainment) 54,042
3,338 FKI Plc. (Manufacturing) 10,545
16,392 General Electric Co. Plc. (Electronics) 107,616
2,092 GKN Plc. (Auto Related) 42,924
21,718 Glaxo Wellcome Plc. (Pharmaceuticals) 513,866
6,030 Granada Group Plc. (Leisure Time) 92,967
5,964 Great Universal Stores Plc. (Retail) 73,599
8,493 Guardian Royal Exchange Plc. (Insurance) 45,417
25,918 Diageo Plc. (Wine & Spirits) 238,175
6,318 Hanson Plc. (Holding Companies) 28,328
5,887 HSBC Holdings Plc. (75P) (Banks) 152,174
10,974 HSBC Holdings Plc. (Banks) 271,933
4,537 Imperial Chemical Industries Plc. (Chemicals) 70,173
5,162 Kingfisher Plc. (Retail) 72,025
8,398 Ladbroke Group Plc. (Leisure Time) 36,480
4,062 Land Securities Plc. (Real Estate) 65,499
7,401 Legal & General Group Plc. (Insurance) 63,932
32,838 Lloyds TSB Group Plc. (Banks) 424,689
8,505 LucasVarity Plc. (Auto Related) 30,157
18,966 Marks & Spencer Plc. (Retail) 186,928
5,232 MEPC Plc. (Property & Development) 43,861
1,577 Mercury Asset Management Group Plc.
(Financial Services) 44,060
10,113 National Grid Group Plc. (Utilities) 48,297
8,431 National Power Plc. (Utilities) 83,581
3,386 Pearson Plc. (Publishing) 44,013
4,634 Peninsular and Oriental Steam Navigation
Company (Transportation) 52,954
5,737 Pilkington Plc. (Building Materials) 12,083
12,117 Prudential Corp. Plc. (Insurance) 140,857
2,986 Railtrack Group Plc. (Transportation) 47,707
4,961 Rank Group Plc. (Entertainment) 28,468
5,705 Redland Plc. (Building & Construction) 32,244
6,776 Reed International Plc. (Publishing/Printing) 66,059
10,013 Reuters Holdings Plc. (Publishing/Printing) 110,138
4,236 Rexam Plc. (Packaging & Container) 20,805
1,863 RMC Group Plc. (Building Materials) 26,301
8,753 Rolls-Royce Plc. (Aerospace) 33,125
2,748 Royal Bank of Scotland Group Plc. (Banks) 35,178
9,151 Royal & Sun Alliance Insurance Group Plc.
(Insurance) 91,848
6,352 Rio Tinto Plc. (Metals & Mining) 73,736
8,164 Safeway Plc. (Retail) 46,344
13,189 Sainsbury (J.) Plc. (Retail) 110,568
2,000 Schroders Plc. (Banks) 61,702
6,848 Scottish Power Plc. (Utilities) 60,451
3,645 Scottish & Newcastle Plc. (Brewery) 44,110
33,698 SmithKline Beecham Plc. (Pharmaceuticals) 346,819
2,841 Smiths Industries Plc. (Aerospace) 40,458
3,272 Tate & Lyle Plc. (Foods) 27,026
7,494 Taylor Woodrow Plc. (Property & Development) 22,010
15,099 Tesco Plc. (Retail) 121,735
3,475 Thames Water Plc. (Utilities) 52,089
2,362 Thorn Plc. (Entertainment) 6,102
4,356 TI Group Plc. (Property & Development) 33,400
19,971 Unilever Plc. (Foods) 171,366
3,122 United Utilities Plc. (Utilities) 40,325
18,135 Vodafone Group Plc. (Telecommunications) 132,337
See Notes to Financial Statements on Pages 19 and 20
15
<PAGE>
EAFE Equity Index Portfolio
Schedule of Portfolio Investments December 31, 1997
Shares Description Value
- ------ ----------- -----
7,789 Williams Plc. (Diversified) $ 43,062
3,569 Wolseley Plc. (Building Materials) 28,364
5,615 Zeneca Group Plc. (Pharmaceuticals) 197,713
-----------
7,889,983
-----------
Total Common Stock (Cost $33,639,010) 36,072,458
-----------
PREFERRED STOCK CONVERTIBLE - 0.64%
Australia - 0.12%
8,979 News Corporation Ltd. (Consumer Services) 44,430
-----------
Austria - 0.01%
70 Bank Austria AG (Banks) (a) 3,154
-----------
Germany - 0.47%
1,635 RWE AG(Oil/Gas) 69,106
310 SAPAG - Vorzug (Software) 101,460
-----------
170,566
-----------
Italy - 0.04%
10,354 Fiat SPA (Auto and Trucks) 15,812
-----------
Total Preferred Stock Convertible (Cost $147,521) 233,962
-----------
RIGHTS & WARRANTS - 0.00%
Belgium - 0.00%
100 Generale de Banque SA Warrants
(Banks) (a) 256
-----------
Hong Kong - 0.00%
1,000 Hong Kong & Shanghai Hotel Warrants
(Hotel/Motel) (a) 13
-----------
Italy - 0.00%
2,302 Banco Ambrosiano Veneto (Banks) (a) 0
-----------
Malaysia - 0.00%
3,200 Public Bank BHD Rights (Banks) (a) 0
-----------
Total Rights & Warrants (Cost $0) 269
-----------
Shares/
Principal Amount Description Value
- ---------------- ----------- -----
SHORT TERM INSTRUMENTS - 0.72%
U.S.A. - 0.72%
214,166 BT Institutional Cash Management Fund $ 214,166
$ 50,000 U.S. Treasury Bill, 5.37%, 4/30/98 (b) 49,153
-----------
Total Short Term Instruments (Cost $263,307) 263,319
-----------
Total Investments (Cost $34,049,838) 99.56% $36,570,008
Other Assets Less Liabilities 0.44% 161,894
------ -----------
Net Assets 100.00% $36,731,902
====== ===========
- ----------------
(a) Non-income producing security.
(b) Held as collateral for Futures Contracts.
Industry Diversification (as a percentage of Total Investments):
% of
Market
Industry Value
- -------- ------
Banks 14.63%
Chemicals 2.36
Consumer Goods & Services 6.51
Construction 3.61
Electronics 4.52
Financial Services 3.70
Food &Beverage 5.96
Insurance 5.51
Metals & Mining 2.06
Oil &Gas 7.03
Other 11.52*
Pharmaceuticals 7.06
Real Estate 2.13
Retail 2.83
Telecommunications 7.57
Transportation 6.68
Utilities 6.32
------
100.00%
======
- ----------
* No one industry represents more than 2% of Portfolio Holdings
See Notes to Financial Statements on Pages 19 and 20
16
<PAGE>
EAFE Equity Index Portfolio
Statement of Assets and Liabilities December 31, 1997
<TABLE>
<S><C>
Assets
Investments, at Value (Cost of $34,049,838) $36,570,008
Cash (includes foreign cash of $72,147 with a cost of $74,337) 88,698
Unrealized Appreciation on Forward Foreign Currency Contracts 2,310
Dividends and Interest Receivable* 46,261
Receivable Foreign Taxes Withheld 56,800
Variation Margin Receivable 100
Deferred Organizational Expenses and Other 5,625
-----------
Total Assets 36,769,802
-----------
Liabilities
Due to Bankers Trust 8,939
Unrealized Depreciation on Forward Foreign Currency Contracts 6,319
Accrued Expenses and Other 22,642
-----------
Total Liabilities 37,900
-----------
Net Assets $36,731,902
===========
Composition of Net Assets
Paid-in Capital $34,211,241
Net Unrealized Appreciation on Investments, Futures, Foreign Currencies
and Forward Foreign Currency Contracts 2,520,661
-----------
Net Assets $36,731,902
===========
</TABLE>
- ----------------
* Includes $1,992 from the Portfolio's investment in the BT Institutional Cash
Management Fund.
- --------------------------------------------------------------------------------
Statement of Operations For the year ended December 31, 1997
<TABLE>
<S><C>
Investment Income
Dividends (net of foreign withholding tax of $118,548)** $ 925,481
Interest 26,794
-----------
Total Investment Income 952,275
-----------
Expenses
Advisory Fees 113,810
Administration and Services Fees 45,524
Professional Fees 22,750
Trustees Fees 2,100
Amortization of Organizational Expenses 1,796
Transfer Tax and Miscellaneous 1,423
-----------
Total Expenses 187,403
Less: Expenses Absorbed by Bankers Trust (28,070)
-----------
Net Expenses 159,333
-----------
Net Investment Income 792,942
-----------
Realized and Unrealized Gain (Loss) on Investments, Futures, Foreign Currencies and
Forward Foreign Currency Contracts
Net Realized Gain from Investment Transactions 1,844,681
Net Realized Loss from Futures, Foreign Currencies and Forward Foreign Currency Transactions (162,070)
Net Change in Unrealized Appreciation on Investments 923,832
Net Change in Unrealized Appreciation on Futures, Foreign Currencies and Forward Foreign Currency Contracts 10,942
-----------
Net Realized and Unrealized Gain on Investments, Futures, Foreign Currencies and
Forward Foreign Currency Contracts 2,617,385
-----------
Net Increase in Net Assets from Operations $ 3,410,327
===========
</TABLE>
- ----------
** Includes $19,855 from the Portfolio's investment in the BT Institutional Cash
Management Fund.
See Notes to Financial Statements on Pages 19 and 20
17
<PAGE>
EAFE Equity Index Portfolio
Statement of Changes in Net Assets
<TABLE>
<CAPTION>
For the period
January 24, 1996
For the (Commencement of
year ended Operations) to
December 31, 1997 December 31, 1996
----------------- -----------------
<S><C>
Increase (Decrease) in Net Assets from:
Operations
Net Investment Income $ 792,942 $ 462,359
Net Realized Gain (Loss) from Investments, Futures, Foreign Currencies and
Forward Foreign Currency Contracts 1,682,611 (71,255)
Net Unrealized Appreciation on Investments, Futures, Foreign Currencies and
Forward Foreign Currency Contracts 934,774 1,585,887
----------- -----------
Net Increase in Net Assets from Operations 3,410,327 1,976,991
----------- -----------
Capital Transactions
Proceeds from Capital Invested 22,906,366 38,819,050
Value of Capital Withdrawn (29,976,630) (404,212)
----------- -----------
Net Increase (Decrease) in Net Assets from Capital Transactions (7,070,264) 38,414,838
----------- -----------
Total Increase (Decrease) in Net Assets (3,659,937) 40,391,829
Net Assets
Beginning of Period 40,391,839 10
----------- -----------
End of Period $36,731,902 $40,391,839
=========== ===========
</TABLE>
- --------------------------------------------------------------------------------
Financial Highlights
Contained below are selected supplemental data and ratios to average net assets
for the periods indicated for the EAFE Equity Index Portfolio.
<TABLE>
<CAPTION>
For the period January 24, 1996
For the year (Commencement of Operations)
ended December 31, 1997 to December 31, 1996
----------------------- -------------------------------
<S><C>
Supplemental Data and Ratios:
Net Assets, End of Period (000s omitted) $36,732 $40,392
Ratios to Average Net Assets:
Net Investment Income 1.74% 1.69%*
Expenses 0.35% 0.35%*
Decrease Reflected in Above Expense Ratio Due
to Absorption of Expenses by Bankers Trust 0.06% 0.11%*
Portfolio Turnover Rate 44% 4%
Average Commission Per Share $0.0208 $0.0170
</TABLE>
- ----------
* Annualized.
See Notes to Financial Statements on Pages 19 and 20
18
<PAGE>
EAFE Equity Index Portfolio
Notes to Financial Statements
Note 1--Organization and Significant Accounting Policies
A. Organization
The EAFE Equity Index Portfolio (the "Portfolio") is registered under the
Investment Company Act of 1940 (the "Act"), as amended, as an open-end
management investment company. The Portfolio was organized on January 24, 1996,
as an unincorporated trust under the laws of New York, and commenced operations
on January 24, 1996. The Declaration of Trust permits the Board of Trustees (the
"Trustees") to issue beneficial interests in the Portfolio.
B. Security Valuation
The Portfolio's investments listed or traded on National Stock Exchanges or
other domestic or foreign exchanges are valued based on the closing price of the
security 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. Foreign Currency Transactions
The books and records of the Portfolio are maintained in U.S. dollars. All
assets and liabilities initially expressed in foreign currencies are converted
into U.S. dollars at prevailing exchange rates. Purchases and sales of
investment securities, dividend and interest income, and certain expenses are
translated at the rates of exchange prevailing on the respective dates of such
transactions.
E. Forward Foreign Currency Contracts
The Portfolio may enter into forward foreign currency contracts for the purpose
of settling specific purchases or sales of securities denominated in a foreign
currency or with respect to the Portfolio's investments. The net U.S. dollar
value of foreign currency underlying all contractual commitments held by the
Portfolio and the resulting unrealized appreciation or depreciation are
determined using prevailing exchange rates. With respect to forward foreign
currency contracts, losses in excess of amounts recognized in the Statement of
Assets and Liabilities may arise due to changes in the value of the foreign
currency or if the counterparty does not perform under the contract.
F. Option Contracts
The Portfolio may enter into option contracts. Upon the purchase of a put option
or a call option by a Portfolio, the premium paid is recorded as an investment,
the value of which is valued at mark-to-market daily to reflect the current
market value. When a purchased option expires, the Portfolio will realize a loss
in the amount of the cost of the option. When the Portfolio enters into a
closing sale transaction, the Portfolio will realize a gain or loss depending on
whether the sale proceeds from the closing sale transaction are greater or less
than the cost of the option. When the Portfolio exercises a put option, it
realizes a gain or loss from the sale of the underlying security and the
proceeds from such sale will be decreased by the premium originally paid. When
the Portfolio exercises a call option, the cost of the security which the
Portfolio purchases upon exercise will be increased by the premium originally
paid.
G. Futures Contracts
The Portfolio may enter into financial futures contracts which are contracts to
buy a standard quantity of securities at a specified price on a future date. The
Portfolio is required to deposit either in cash or securities an amount equal to
a certain percentage of the contract amount. Subsequent payments are made or
received by the Portfolio each day, dependent on the daily fluctuations in the
value of the underlying security, and are recorded for financial statement
purposes as unrealized gains or losses by the Portfolio. The Portfolio's
investment in the financial futures contracts 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.
H. Organizational Expenses
Costs incurred by the Portfolio in connection with its organization and initial
registration are being amortized evenly over a five year period.
I. Federal Income Taxes
It is the Portfolio's policy to comply with the requirements of the Internal
Revenue Code. Therefore, no federal income tax provision is required.
J. Other
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions that
affect the reported amounts in the financial statements. Actual results could
differ from those estimates.
Note 2--Fees and Transactions with Affiliates
The Portfolio has entered into an Administration and Services Agreement with
Bankers Trust Company ("Bankers Trust"). Under this Administration and Services
Agreement, Bankers Trust provides administrative, custody and shareholder
services to the Portfolio in return for a fee computed daily and paid monthly at
an annual rate of 0.10 of 1% of the average daily net assets. For the year ended
December 31, 1997, this fee aggregated $45,524.
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 0.25 of 1% of the average
daily net assets. For the year ended December 31, 1997, this fee aggregated
$113,810.
Bankers Trust has voluntarily undertaken to waive its fees and reimEAFE Equity
Index Portfolio Notes to Financial Statements burse expenses of the Portfolio,
to the extent necessary, to limit all
19
<PAGE>
EAFE Equity Index Portfolio
Notes to Financial Statements
expenses to 0.35 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
$28,070.
The Trust entered into a Distribution Agreement with Edgewood Services, Inc.
("Edgewood"). Certain trustees and officers of the Portfolio are also directors,
officers and employees of Edgewood Services, Inc. None of the trustees so
affiliated received compensation for services as trustees of the Portfolio.
Similarly, none of the Portfolio's officers received compensation from the
Portfolio.
For the year ended December 31, 1997, the Portfolio paid brokerage commissions
of $33,474.
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
$19,401,411 and $25,973,778, respectively. For federal income tax purposes, the
tax basis of investments held at December 31, 1997 was $34,413,492. The
aggregate gross unrealized appreciation was $6,950,231, and the aggregate gross
unrealized depreciation for all investments was $4,793,715 as of December 31,
1997.
Note 4--Futures Contracts
A summary of obligations under these financial instruments at December 31, 1997
is as follows:
Unrealized
Appreciation
Type of Future Expiration Contracts Position (Depreciation)
- -------------- ---------- --------- -------- --------------
Nikkei 300 Index Futures March 1998 4 Long $(1,691)
Topix Index Futures March 1998 1 Long (4,182)
ETOP 100 Futures March 1998 1 Long 9,786
At December 31, 1997, the Portfolio segregated approximately $49,000 of
investment securities to cover margin requirements on open futures contracts.
Note 5--Open Forward Foreign Currency Contracts As of December 31, 1997, the
EAFE Equity Index Portfolio had the following open forward foreign currency
contracts outstanding:
- --------------------------------------------------------------------------------
Note 5--Open Forward Foreign Currency Contracts
As of December 31, 1997, the EAFE Equity Index Portfolio had the following open
forward foreign currency contracts outstanding:
<TABLE>
<CAPTION>
Net Unrealized
Appreciation
Contracts to Deliver In Exchange For Settlement Date Value (US$) (Depreciation) (US$)
- ------------------------------------------------------------------------------------------------------------------
<S><C>
Sales
- ------------------------------------------------------------------------------------------------------------------
European Currency Unit 98,628 U.S. Dollars $ 110,000 1/23/98 $ 108,570 $ 1,430
European Currency Unit 135,716 U.S. Dollars 150,000 1/23/98 149,396 604
Japanese Yen 4,529,595 U.S. Dollars 35,000 1/23/98 34,836 164
Japanese Yen 10,387,400 U.S. Dollars 80,000 1/23/98 79,888 112
- ------------------------------------------------------------------------------------------------------------------
Total Sales $ 2,310
- ------------------------------------------------------------------------------------------------------------------
Purchases
- ------------------------------------------------------------------------------------------------------------------
European Currency Unit 350,000 U.S. Dollars $ 391,143 1/23/98 $ 385,280 $ (5,863)
Japanese Yen 20,000,000 U.S. Dollars 154,273 1/23/98 153,817 (456)
- ------------------------------------------------------------------------------------------------------------------
Total Purchases $ (6,319)
- ------------------------------------------------------------------------------------------------------------------
Total Net Unrealized Depreciation $ (4,009)
- ------------------------------------------------------------------------------------------------------------------
</TABLE>
20
<PAGE>
EAFE Equity 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 EAFE Equity 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 January 24, 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
EAFE Equity 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
21
<PAGE>
This page intentionally left blank.
<PAGE>
This page intentionally left blank.
<PAGE>
BT ADVISOR FUNDS
EAFE EQUITY INDEX FUND
Investment Advisor and Administrator of the Portfolio
BANKERS TRUST COMPANY
130 Liberty Street
New York, NY 10006
Distributor
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.
---------------
EAFE Equity Index Fund - Institutional Class Cusip #05576L874
EAFE Equity Index Fund - Advisor Class Cusip #05576L841
STA514200 (2/98)
