o BT ADVISOR FUNDS o
SMALL CAP INDEX FUND
ANNUAL REPORT
DECEMBER 1998
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SMALL CAP INDEX FUND
TABLE OF CONTENTS
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LETTER TO SHAREHOLDERS .......................................... 3
SMALL CAP INDEX FUND
Statement of Assets and Liabilities ........................ 5
Statement of Operations .................................... 5
Statements of Changes in Net Assets ........................ 6
Financial Highlights ....................................... 7
Notes to Financial Statements .............................. 8
Report of Independent Accountants .......................... 10
Tax Information ............................................ 10
SMALL CAP INDEX PORTFOLIO
Statement of Net Assets .................................... 11
Statement of Operations .................................... 27
Statements of Changes in Net Assets ........................ 27
Financial Highlights ....................................... 28
Notes to Financial Statements .............................. 29
Report of Independent Accountants .......................... 31
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The Fund is not insured by the FDIC and is not a deposit, obligation of or
guaranteed byBankers Trust Company. The Fund is subject to investment risks,
including possible loss of principal amount invested.
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2
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SMALL CAP INDEX FUND
LETTER TO SHAREHOLDERS
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We are pleased to present you with this annual report for the Advisor Small Cap
Index Fund (the "Fund"), providing a review of the markets, the Portfolio, and
our outlook as well as a complete financial summary of the Fund's operations and
a listing of the Portfolio's holdings.
MARKET ACTIVITY
Despite volatility throughout the year in Asia, Latin America, Russia and here
at home, the U.S. equity market indices continued to push on. Still, this was a
difficult year for small cap stocks overall. Double-digit returns in the first
and fourth quarters were neither enough to offset a weaker second quarter and
the significant market decline in August nor to pull the Russell 2000 Index into
positive territory for the year.
SMALL CAP STOCKS RALLIED ROBUSTLY IN THE FIRST QUARTER.
o Fears of the impact of the Asian crisis temporarily subsided.
o Earnings growth continued to be strong.
o Relative valuations approached record lows.
o Stable to rising overall levels for all equity markets helped settle
investors' concerns.
o Strong economic conditions, little sign of inflation, and interest rate
fears at bay supported a climbing Russell 2000 Index.
VOLATILITY PLAGUED THE SMALL CAP MARKET THROUGHOUT, BUT ESPECIALLY IN THE SECOND
AND THIRD QUARTERS.
o Renewed concerns over the impact of Asia's financial troubles turned investor
sentiment toward larger companies as did a focus on slower growth in U.S.
corporate earnings and in the economy.
o Fears of a tightening by the Federal Reserve Board sparked a huge drop in
the market towards the end of April. Stronger than anticipated economic
numbers supported a quick rebound, and a similar roller coaster ride was
replayed from May through June.
o Lower corporate profits, expectation of slower growth in the second half,
and the General Motors strike contributed to a July sell off.
o In August, Russia defaulted on its domestic debt; weak commodity prices
dampened the economic outlook for Latin America; and ongoing economic
instability in Asia impacted markets worldwide. All major domestic equity
indices posted negative returns for the quarter, as stocks, particularly small
caps, tumbled. In fact, the August return of the Russell 2000 Index was one of
the five worst in the Index's nineteen year history.
<TABLE>
<CAPTION>
INVESTMENT REVIEW
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PERIODS ENDED DECEMBER 31, 1998 CUMULATIVE TOTAL RETURNS AVERAGE ANNUAL TOTAL RETURNS
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Past 1 Since Past 1 Since
year inception year inception
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<S> <C> <C> <C> <C>
BT Small Cap Index Fund1
Institutional Class Shares (inception 7/10/96) -2.60% 31.15% -2.60% 11.58%
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Russell 2000 Index2 -2.55% 31.08% -2.55% 11.85%
Lipper Small Cap Average3 -0.33% 36.80% -0.33% 13.59%
</TABLE>
1 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.
2 The Russell 2000 Index is an unmanaged index that measures small
capitalization equities. This index is unmanaged, and investments cannot be
made in an index. Investments in small companies generally carry greater risk
than is customarily associated with larger companies for various reasons such
as narrower markets, limited financial resources and less liquid stock.
3 Lipper figures represent the average of the total returns, reported by all of
the mutual funds designated by Lipper Analytical Services, Inc. as falling
into the respective categories indicated. These figures do not reflect sales
charges. The Fund is not insured by the FDIC and is not a deposit, obligation
of, or guaranteed by Bankers Trust Company. The Fund is subject to investment
risks, including possible loss of principal amount invested.
Ten Largest Stock Holdings
American Tower Corp. Lycos, Inc.
Nova Corporation Rational Software Corp.
Network Applicance, Inc. Medimmune Inc.
NTL, Incorporated CSG Systems International, Inc.
Legato Systems, Inc. Sepracor Inc.
o The market had recovered more than half of August's losses towards the end
of September, when it fell again having anticipated a 0.50% cut in interest
rates by the Federal Reserve Board, which turned out to be a 0.25% cut
instead. Still, small cap stocks outperformed large caps for the month due to
strength in energy-related stocks.
Fourth quarter returns marked an explosive finish to a volatile year. The
technology sector, led by internet-related stocks, posted staggering returns for
the quarter. Two more interest rate cuts of 0.25% each by the Federal Reserve
Board in the fourth quarter also buoyed the equity markets.
For the year, growth stocks outperformed value stocks within the small
capitalization sector. Top performing sectors for the year included technology,
utilities, and consumer discretionary. The weakest performing sectors included
financial services, materials and processing, and integrated oils.
MANAGER OUTLOOK
Economic and financial market performance have run on virtually parallel tracks
in 1998, and that pattern seems likely to persist into 1999. Given that we see
strong, positive economic signs in the months ahead, this bodes well for the
U.S. equity markets overall. More specifically, we anticipate:
o GDP growth of around 2.5% in 1999
o Low inflation
o Consumer fundamentals remaining extremely favorable, and
o Low interest rates, with Federal Reserve Board policy likely on hold in the
face of solid economic growth, healthy financial markets, and the recent
softening of the dollar.
3
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SMALL CAP INDEX FUND
LETTER TO SHAREHOLDERS
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By Sector as of December 31, 1998
(percentages are based on net assets of the portfolio)
Capital Goods 7%
Health Care 8%
Consumer
Durables 8%
Forest Products 1%
Chemicals 2%
Finance and Building 24%
Business Equipment and Services 2%
Utilities 6%
Retail Trade 4%
Transportation 3%
Metals 3%
Consumer
Non-Durables 30%
Energy 2%
Certain equity sectors may be impacted, however, by a problematic profit story,
given that rising labor costs are squeezing margins. The industrial sector, in
particular, may be additionally affected by adverse developments abroad.
While it is likely we will continue to see high volatility and more financial
liquidity squeezes within the small cap equity sector, small cap fundamentals
and earnings growth remain strong and relative valuations attractive. It is
important to remember that historically, small cap stocks have outperformed
their larger cap brethren over the long term.
As an index fund, designed to replicate the broad diversification and returns of
the Russell 2000 Index, we neither evaluate short-term fluctuations in the
Fund's performance nor manage according to a given outlook for the equity
markets or the economy in general. Still, we will continue monitoring economic
conditions and how they affect the financial markets, as we seek to closely
track the performance of the small cap stock market.
As always, we appreciate your ongoing support of the Small Cap Index Fund and
look forward to continuing to serve your investment needs for many years ahead.
/s/ Frank Salerno
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Frank Salerno
Portfolio Manager of the
Small Cap Index Portfolio
December 31, 1998
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Performance Comparison
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Small Cap Index Fund--$13,115 Russell 2000 Index--$13,108
July-96 10000 10000
Dec-96 11523 11566
June-97 12750 12746
Dec-97 13465 13451
June-98 14034 14113
Dec-98 13115 13108
Comparison of Change in Value of a $10,000 Investment in the Small Cap Index
Fund - Institutional Class, and the Russell 2000 Index since July 31, 1996
Annualized Total Return for the
Period Ended December 31, 1998
Institutional
One Year
(2.60)%
Since 7/10/96*
11.58%
* The Fund's inception date.
Investment return and principal value may fluctuate so that shares, when
redeemed, may be worth more or less than their original cost.
Past performance is not indicative of future performance. The Russell 2000 Index
is unmanaged and investments may not be made in an index. The index return does
not reflect expenses, which have been deducted from the Fund's return.
4
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<TABLE>
<CAPTION>
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SMALL CAP INDEX FUND
STATEMENT OF ASSETS AND LIABILITIES December 31, 1998
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<S> <C>
ASSETS
Investment in Small Cap Index Portfolio, at Value .......................... $ 115,345,153
Prepaid Expenses ........................................................... 27,603
Due from Bankers Trust ..................................................... 147,319
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Total Assets .................................................................. 115,520,075
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LIABILITIES
Accrued Expenses ........................................................... 44,599
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NET ASSETS .................................................................... $ 115,475,476
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SHARES OUTSTANDING ($0.001 par value per share, unlimited number of shares of
beneficial interest authorized) ............................................... 11,933,140
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NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE (net assets divided by
shares outstanding) ........................................................... $ 9.68
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COMPOSITION OF NET ASSETS
Paid-in Capital ............................................................ $ 115,955,577
Accumulated Net Realized Gain on Investment and Futures Transactions ....... 69,583
Net Unrealized Depreciation on Investment and Futures Contracts ............ (549,684)
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NET ASSETS .................................................................... $ 115,475,476
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</TABLE>
<TABLE>
<CAPTION>
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STATEMENT OF OPERATIONS For the year ended December 31, 1998
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<S> <C>
INVESTMENT INCOME
Income Allocated from Small Cap Index Portfolio, net ................................. $ 1,053,195
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EXPENSES
Administration and Services Fees
Institutional Class ................................................................ 142,203
Advisor Class ...................................................................... 1,666
Registration Fees .................................................................... 37,689
Professional Fees .................................................................... 26,764
Shareholder Reports .................................................................. 19,146
Trustees Fees ........................................................................ 6,436
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Total Expenses ....................................................................... 233,904
Less: Expenses absorbed by Bankers Trust
Institutional Class ................................................................ (123,352)
Advisor Class ...................................................................... (1,420)
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Net Expenses ......................................................................... 109,132
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NET INVESTMENT INCOME ................................................................... 944,063
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REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FUTURES CONTRACTS
Net Realized Gain from Investment Transactions ....................................... 4,322,895
Net Realized Gain from Futures Transactions .......................................... 48,009
Net Change in Unrealized Appreciation/Depreciation on Investment and Futures Contracts (8,975,850)
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NET REALIZED AND UNREALIZED LOSS ON INVESTMENT AND FUTURES CONTRACTS .................... (4,604,946)
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NET DECREASE IN NET ASSETS FROM OPERATIONS .............................................. $(3,660,883)
===========
</TABLE>
See Notes to Financial Statements.
5
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<TABLE>
<CAPTION>
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SMALL CAP INDEX FUND
STATEMENTS OF CHANGES IN NET ASSETS
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FOR THE FOR THE
YEAR ENDED YEAR ENDED
DECEMBER 31, 1998 DECEMBER 31, 1997
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<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS
Net Investment Income ......................................................... $ 944,063 $ 774,300
Net Realized Gain from Investment and Futures Transactions .................... 4,370,904 5,721,943
Net Change in Unrealized Appreciation/Depreciation on Investment
and Futures Contracts ....................................................... (8,975,850) 5,946,591
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Net Increase (Decrease) in Net Assets from Operations ............................ (3,660,883) 12,442,834
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DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income
Institutional Class ........................................................ (946,125) (709,155)
Advisor Class .............................................................. -- (6,650)
Net Realized Gain from Investment Transactions
Institutional Class ........................................................ (9,811,005) (5,870,446)
Advisor Class .............................................................. -- (191,778)
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Total Distributions .............................................................. (10,757,130) (6,778,029)
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CAPITAL TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST
Net Increase (Decrease) Resulting from Institutional Class Shares ............. 91,620,392 (28,984,375)
Net Increase (Decrease) Resulting from Advisor Class Shares ................... (1,372,520) 1,330,285
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Net Increase (Decrease) from Capital Transactions in Shares of Beneficial Interest 90,247,872 (27,654,090)
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TOTAL INCREASE (DECREASE) IN NET ASSETS .......................................... 75,829,859 (21,989,285)
NET ASSETS
Beginning of Year ................................................................ 39,645,617 61,634,902
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End of Year (including undistributed net investment income of $-0- and
$94,878 for the years ended December 31, 1998 and 1997, respectively) ......... $ 115,475,476 $ 39,645,617
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</TABLE>
See Notes to Financial Statements.
6
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SMALL CAP INDEX FUND
FINANCIAL HIGHLIGHTS
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Contained below are selected data for a share outstanding, total investment
return, ratios to average net assets and other supplemental data for the periods
indicated for the Small Cap Index Fund.
<TABLE>
<CAPTION>
Institutional Class Shares Advisor Class Shares
-------------------------------------------- -----------------------------------------
For the For the For the
year ended For the period period year For the period
Dec. 31, July 10, 1996 1 Jan. 1, 1998 ended August 8, 19961
---------------------------- to to July 14, Dec. 31, to
1998 1997 Dec. 31, 1996 1998 2 1997 Dec. 31, 1996
---- ---- ------------- ------ ---- -------------
<S> <C> <C> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE, BEGINNING OF PERIOD ........$ 11.13 $ 10.90 $ 10.00 $ 11.69 $ 11.04 $ 10.00
-------- --------- ---------- --------- -------- -------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income .................... 0.06 0.23 0.04 0.06 0.08 0.02
Net Realized and Unrealized Gain (Loss) on
Investment and Futures Transactions ... (0.41) 2.21 0.90 0.45 2.63 1.06
-------- --------- ---------- --------- -------- -------
Total from Investment Operations ............ (0.35) 2.44 0.94 0.51 2.71 1.08
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income .................... (0.08) (0.21) (0.04) -- (0.06) (0.04)
Net Realized Gain from Investment
Transactions .......................... (1.02) (2.00) (0.00)3 -- (2.00) (0.00)3
-------- --------- ---------- --------- -------- -------
TOTAL DISTRIBUTIONS ......................... (1.10) (2.21) (0.04) -- (2.06) (0.04)
-------- --------- ---------- --------- -------- -------
NET ASSET VALUE, END OF PERIOD ..............$ 9.68 $ 11.13 $ 10.90 $ 12.20 $ 11.69 $ 11.04
======== ========= ========== ========= ======== =======
TOTAL INVESTMENT RETURN ..................... (2.60)% 23.00% 9.47% -- 25.11% 10.87%
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period (000s omitted)..$115,475 $ 38,312 $ 61,558 -- $ 1,334 $ 77
Ratios to Average Net Assets:
Net Investment Income ................. 1.32% 1.35% 1.71%4 1.01%4 1.13% 1.61%4
Expenses, Including Expenses of the
Small Cap Index Portfolio .......... 0.25% 0.25% 0.25%4 0.45%4 0.45% 0.45%4
Decrease Reflected in Above Expense
Ratio Due to Absorption of Expenses
by Bankers Trust ................... 0.32% 0.32% 0.62%4 0.36%4 0.53% 22.69%4
</TABLE>
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1 The Fund's inception date.
2 Class closed effective July 14, 1998. See Note 1 to Financial Statements.
3 Less than $0.01.
4 Annualized.
See Notes to Financial Statements.
7
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SMALL CAP INDEX FUND
NOTES TO FINANCIAL STATEMENTS
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NOTE 1--ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
A. Organization
BT Advisor Funds (the "Trust") is registered under the Investment Company Act of
1940 (the "Act"), as amended, as an open-end management investment company. The
Trust was organized on July 24, 1995, as a business trust under the laws of the
Commonwealth of Massachusetts. The Small Cap Index Fund (the "Fund") is one of
the Funds offered to investors by the Trust.
The Small Cap Index Fund offered two classes of shares to investors during the
year--Institutional Class and Advisor Class (the "Classes"). Both classes of
shares had identical rights to earnings, assets and voting privileges, except
that each class had its own expenses attributable to a particular class and
exclusive voting rights with respect to matters affecting it. The Fund began
operations and began offering shares of beneficial interest on July 10, 1996.
The Small Cap Index Institutional shares and the Small Cap Index Advisor shares
began operations and began offering shares of beneficial interest on July 10,
1996 and August 8, 1996, respectively. The Fund invests substantially all of its
assets in the Small Cap Index Portfolio (the "Portfolio").
Effective July 14, 1998, the Fund's Advisor Class was closed and all Advisor
Class shareholders were exchanged into the Fund's Institutional Class based on a
1 to 1.0481 exchange ratio. As a result of the exchange, 101,877 shares of the
Institutional Class representing $1,185,874 in net assets were issued at the net
asset value of $11.64 per share.
The Portfolio is an open-end management investment company registered under the
Act. At December 31, 1998, the Fund's proportionate interest in the Portfolio's
net assets was 80%.
The financial statements of the Portfolio, including a list of investments held,
are contained elsewhere in this report and should be read in conjunction with
the Fund's Financial Statements.
B. Valuation
Valuation of securities by the Portfolio is discussed in Note 1B of the
Portfolio's Notes to Financial Statements, which are included elsewhere in this
report.
C. 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.
D. Organization Expenses
Costs incurred by the Fund in connection with its organization and initial
registration are being amortized evenly over a five year period.
E. Distributions
It is the Fund's policy to declare and distribute dividends annually to
shareholders from net investment income, if any. Dividends and distributions
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,
are made annually to the extent they exceed capital loss carryforwards.
F. 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 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 differences in the characterization and allocation of
certain income and capital gain distributions determined annually in accordance
with federal tax regulations which may differ from generally accepted accounting
principles.
G. Other
The Trust accounts separately for the assets, liabilities and operations of the
Fund and its Classes. Expenses directly attributable to each Class are charged
to that Class, while expenses which are attributed to the Trust are allocated
among all the Funds in the Trust. Investment transactions are accounted for on a
trade date basis.
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions that
affect the reported amounts in the financial statements. Actual results could
differ from those estimates.
NOTE 2--FEES AND TRANSACTIONS WITH AFFILIATES
The Fund has entered into an Administration and Services Agreement with Bankers
Trust Company ("Bankers Trust"). Under this Administration and Services
Agreement, Bankers Trust provides administrative, custody, transfer agency and
shareholder services to the Fund in return for a fee computed daily and paid
monthly at an annual rate of 0.20% and 0.25% of average daily net assets of the
Institutional Class and Advisor Class, respectively.
Bankers Trust has voluntarily undertaken to waive its fees and reimburse
expenses of each Class of Shares, to the extent necessary, to limit all expenses
as follows: Institutional Class of Shares to 0.15% of the average daily net
assets of the Class, excluding expenses of the Portfolio and 0.25% of the
average daily net assets of the Class, including expenses of the Portfolio; and
Advisor Class of Shares to 0.35% of the average daily net assets of the Class,
excluding expenses of the Portfolio and 0.45% of the average daily net assets of
the Class, including expenses of the Portfolio.
During the year a shareholder transaction fee was paid when investors bought,
sold, or exchanged shares of the Fund. Institutional Class Shares deducted a
transaction fee of 0.25% from purchases, redemptions, and exchanges into and out
of the Fund. Advisor Class Shares deducted a transaction fee of 0.50% from
redemptions and exchanges out of the Fund. These transaction fees were 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).
ICC Distributors, Inc., a member of the Forum Group of Companies, provides
distribution services to the Fund. For year ended December 31, 1998, there were
no reimbursable expenses incurred under this agreement.
8
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Small Cap Index Fund
Notes to Financial Statements
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NOTE 3--SHARES OF BENEFICIAL INTEREST
At December 31, 1998, there were an unlimited number of shares of beneficial
interest authorized. Transactions in shares of beneficial interest were as
follows:
Institutional Class Shares 1
-----------------------------------
For the Year Ended For the Year Ended
December 31, 1998 December 31, 1997
------------------------ --------------------------
Shares Amount Shares Amount
------- ------- ------- -------
Sold 13,664,319 $147,948,904 3,183,286 $ 35,513,549
Reinvested 1,159,626 10,727,052 595,577 6,579,579
Redeemed (6,435,515) (68,241,415) (5,981,038) (71,077,503)
Exchanged 101,877 1,185,874 -- --
---------- ----------- ---------- ------------
Increase (Decrease) 8,490,307 $91,620,415 (2,202,175) $(28,984,375)
========== =========== ========== ============
Advisor Class Shares 1
-----------------------------------
For the Year Ended For the Year Ended
December 31, 1998 December 31, 1997
-------------------------- --------------------------
Shares Amount Shares Amount
------- ------- ------- -------
Sold 35,264 $ 415,491 141,980 $1,812,603
Reinvested -- -- 15,296 174,689
Redeemed (52,185) (602,137) (50,143) (657,007)
Exchanged (97,203) (1,185,874) -- --
---------- ----------- ------- -----------
Increase (Decrease) (114,124) $(1,372,520) 107,133 $1,330,285
========== =========== ======= ===========
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1 On July 14, 1998 shareholders of the Advisor Class exchanged their shares into
the Institutional Class and the Advisor Class ceased operations.
9
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SMALL CAP INDEX FUND
REPORT OF INDEPENDENT ACCOUNTANTS
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To the Trustees of BT Advisor Funds and Shareholders of the Small Cap Index
Fund:
In our opinion, the accompanying statement of assets and liabilities and the
related statements of operations and of changes in net assets and the financial
highlights present fairly, in all material respects, the financial position of
the Small Cap Index Fund (one of the Funds comprising BT Advisor Funds,
hereafter referred to as the "Fund") at December 31, 1998, and the results of
its operations, the changes in its net assets and the financial highlights for
each of the fiscal periods presented, in conformity with generally accepted
accounting principles. These financial statements and financial highlights
(hereafter referred to as "financial statements") are the responsibility of the
Fund's management; our responsibility is to express an opinion on these
financial statements based on our audits. We conducted our audits of these
financial statements in accordance with generally accepted auditing standards
which require that we plan and perform the audit to obtain reasonable assurance
about whether the financial statements are free of material misstatement. An
audit includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by management, and evaluating the overall
financial statement presentation. We believe that our audits, which included
confirmation of securities at December 31, 1998 by correspondence with the
transfer agent, provide a reasonable basis for the opinion expressed above.
PricewaterhouseCoopers LLP
Baltimore, Maryland
February 5, 1999
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TAX INFORMATION (Unaudited) For the Tax Year Ended December 31, 1998
- --------------------------------------------------------------------------------
We are providing this information as required by the Internal Revenue Code. The
amounts may differ from those elsewhere in this report because of differences
between tax and financial reporting requirements.
The Fund's distributions to shareholders included $6,829,229 from long-term
capital gains, all of which was taxed at the 20% capital gains rate.
Of the ordinary distributions made during the year ended December 31, 1998,
22.14% qualifies for the dividends received deduction available to corporate
shareholders.
Of the ordinary distributions made during the year ended December 31, 1998,
0.17% have been derived from investments in U.S. Government and Agency
Obligations. All or a portion of the distributions from this income may be
exempt from taxation at the state level. Consult your tax advisor for state
specific information.Assets
10
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<TABLE>
<CAPTION>
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SMALL CAP INDEX PORTFOLIO
STATEMENT OF NET ASSETS December 31, 1998
- --------------------------------------------------------------------------------
Shares Description Value
------ ----------- -----
<S> <C> <C>
COMMON STOCK - 98.0%
3,000 3DFX Interactive, Inc.* ........................ $ 37,875
1,000 99 Cents Only Stores* .......................... 49,125
3,400 Aames Financial Corp. .......................... 10,837
5,350 AAR Corp. ...................................... 127,731
3,400 Aaron Rents, Inc. Class - B .................... 51,425
1,800 Abacus Direct Corp. ............................ 81,900
2,100 ABM Industries, Inc. ........................... 72,712
5,900 ABR Information Services, Inc.* ................ 115,787
2,500 Acceptance Insurance Companies, Inc. ........... 50,625
8,500 Acclaim Entertainment, Inc.* ................... 104,125
2,000 Ackerley Communications ........................ 36,500
4,300 Actel Corp.* ................................... 86,000
1,800 Action Performance Companies. Inc.* ............ 63,675
2,800 Acuson Corp.* .................................. 41,650
3,600 ACX Technologies Inc.* ......................... 47,700
9,500 Acxiom Corp.* .................................. 294,500
2,700 ADAC Laboratories .............................. 53,916
2,500 Adelphia Communications Corp. - Class A*........ 114,375
800 Administaff, Inc.* ............................. 20,000
3,700 Adtran, Inc.* .................................. 67,756
2,000 Advanced Energy Industries* .................... 50,000
1,200 Advanced Lighting Technologies, Inc.* .......... 11,700
5,000 Advanced Tissue Sciences, Inc.* ................ 12,969
3,100 Advanta Corp. - Class A ........................ 41,075
5,400 Advantica Restaurant Group* .................... 33,412
1,400 Advent Software, Inc.* ......................... 65,975
4,700 ADVO, Inc. ..................................... 123,962
3,400 Affiliated Managers Group* ..................... 101,575
2,000 Affymetrix, Inc.* .............................. 48,750
2,700 Aftermarket Technology Corp.* .................. 21,262
7,400 AGL Resources, Inc. ............................ 170,662
5,300 Agouron Pharmaceuticals, Inc.* ................. 311,375
7,900 Agribiotech, Inc.* ............................. 102,206
2,200 Agribrands International* ...................... 66,000
7,000 Air Express International Corp. ................ 152,250
13,500 Airgas, Inc. ................................... 120,656
3,600 Airnet Systems, Inc.* .......................... 51,750
7,400 AirTran Holdings, Inc.* ........................ 19,425
8,400 AK Steel Holding Corp. ......................... 197,400
10,000 Alaris Medical, Inc.* .......................... 58,750
3,500 Alaska Air Group, Inc. ......................... 154,875
2,364 Albany International Corp. ..................... 44,775
2,320 Albemarle Corp. ................................ 55,100
8,700 Alexander & Baldwin, Inc. ...................... 202,275
800 Alexander's, Inc.* ............................. 62,550
1,400 Alexandria Real Estate Equity, Inc. ............ 43,312
3,200 Alfa Corp. ..................................... 77,600
2,500 Algos Pharmaceuticals* ......................... 65,000
4,900 Aliant Communications, Inc. .................... 200,287
3,600 Alkermes, Inc.* ................................ 79,875
5,700 Allen Telecommunications, Inc. ................. 38,119
1,047 Alliant Techsystems, Inc.* ..................... 86,312
4,900 Allied Products Corp. .......................... 30,931
2,200 Alpharma, Inc. ................................. 77,687
2,200 Alpine Group, Inc.* ............................ 33,000
2,000 Alternative Living Services, Inc.* ............. 68,000
Shares Description Value
------ ----------- -----
2,400 Alternative Resources Corp.* ................... $ 25,500
1,100 AMC Entertainment, Inc. ........................ 23,169
3,350 AMCOL International Corp. ...................... 33,081
6,050 AMCORE Financial, Inc. ......................... 138,488
2,000 AMERCO* ........................................ 55,875
5,400 America West Holdings Corp.* ................... 91,800
1,100 American Annuity Group, Inc. ................... 25,300
2,100 American Business Products, Inc. ............... 49,350
2,300 American Eagle Outfitters* ..................... 153,237
3,000 American Freightways Corp.* .................... 34,594
3,000 American Health Properties, Inc. ............... 61,875
4,000 American Heritage Life Investment Corp.......... 97,750
1,600 American HomePatient, Inc.* .................... 2,900
3,100 American Homestar Corp.* ....................... 46,500
3,600 American Italian Pasta Co.* .................... 94,950
7,300 American Management Systems, Inc.* ............. 292,000
8,400 American Media Inc. - Class A .................. 46,725
2,000 American Medical Security ...................... 28,625
2,400 American Mobile Satellite Corp., Inc.*.......... 12,600
3,600 American Oncology Resources, Inc.* ............. 52,425
14,830 American Tower Corp - Class A .................. 438,412
8,600 AmeriCredit Corp.* ............................. 118,787
3,000 Amerin Corp.* .................................. 70,875
3,100 AmeriSource Health Corp. - Class A* ............ 201,500
2,241 Amerus Life Holdings, Inc. - Class A ........... 50,142
4,600 Ames Department Stores, Inc.* .................. 124,200
8,300 Amkor Technology, Inc. ......................... 89,744
4,000 Amli Residential Properties Trust .............. 89,000
2,100 Amphenol Corp. - Class A* ...................... 63,394
4,300 AMETEK, Inc. ................................... 95,944
2,400 Anacomp, Inc.* ................................. 44,700
1,500 Analogic Corp. ................................. 56,437
2,750 Analysts International Corp. ................... 52,937
2,300 Anchor Bancorp Wisconsin, Inc. ................. 55,200
1,000 Anchor Gaming* ................................. 56,375
1,400 ANDRX Corp.* ................................... 71,750
4,100 Anicom, Inc.* .................................. 37,669
3,500 Anixter International, Inc.* ................... 71,094
2,600 Ann Taylor Stores* ............................. 102,537
1,700 Answerthink Consulting Group* .................. 45,687
4,950 ANTEC Corp.* ................................... 99,619
4,200 Anthracite Capital, Inc. ....................... 32,812
5,700 APAC Teleservices, Inc.* ....................... 21,553
3,600 Apogee Enterprises, Inc. ....................... 40,500
3,300 Applebee's International, Inc. ................. 68,062
1,440 Applied Graphics Technologies, Inc.* ........... 23,760
2,850 Applied Industrial Technology, Inc. ............ 39,544
3,300 Applied Micro Circuits Corp.* .................. 112,097
7,360 Applied Power, Inc. ........................... 277,840
8,100 Apria Healthcare Group, Inc.* ................. 72,394
5,800 Aptargroup, Inc. .............................. 162,762
24,000 Aqua Alliance* ................................ 49,500
1,000 Aquarion Co. .................................. 41,000
3,300 Aquila Gas Pipeline Corp. ..................... 28,256
7,700 Arcadia Financial Ltd. ........................ 27,912
4,300 Arch Coal, Inc. ............................... 73,637
2,800 Arctic Cat, Inc. .............................. 28,525
See Notes to Financial Statements.
11
<PAGE>
- --------------------------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO
STATEMENT OF NET ASSETS December 31, 1998
- --------------------------------------------------------------------------------
Shares Description Value
------ ----------- -----
2,600 Area Bancshares Corp. ............... $ 68,250
2,200 Argonaut Group, Inc. ................ 53,900
3,100 ARM Financial Group, Inc. - Class A . 68,781
11,700 Armco, Inc. ......................... 51,187
2,600 Arnold Industries, Inc. ............. 41,925
3,000 Arrow International, Inc. ........... 94,125
6,461 Artesyn Technologies, Inc.* ......... 90,454
3,000 Arvin Industries, Inc. .............. 125,062
2,800 ASA Holdings, Inc. .................. 85,400
7,100 Asarco, Inc. ........................ 106,944
4,000 Ascent Entertainment* ............... 29,500
3,300 Aspect Development, Inc.* ........... 146,231
9,800 Aspect Telecommunications* .......... 169,050
3,000 Aspen Technologies, Inc.* ........... 43,500
3,000 Assisted Living Concepts, Inc.* ..... 39,375
2,200 Associated Estates Realty Corp. ..... 25,987
4,100 Associated Group, Inc.* ............. 176,300
900 Astec Industries, Inc.* ............. 50,062
1,900 Atlantic Coast Airlines, Inc.* ...... 47,500
1,200 Atlas Air, Inc.* .................... 58,725
1,200 ATMI, Inc.* ......................... 30,300
4,000 Atmos Energy Corp. .................. 129,000
1,400 Atwood Oceanics, Inc.* .............. 23,800
2,400 Authentic Fitness Corp. ............. 43,800
3,700 Avado Brands, Inc. .................. 30,756
3,700 Avant! Corp.* ....................... 59,200
1,000 Avatar Holdings, Inc.* .............. 16,000
5,400 Aviall, Inc. ........................ 63,450
4,200 Avid Technology, Inc.* .............. 98,175
2,800 Aviron* ............................. 72,450
3,700 Avis Rent A Car, Inc.* .............. 89,494
2,100 Avondale Industries, Inc. ........... 60,900
2,100 AVT Corporation* .................... 60,900
4,640 AXENT Technologies* ................. 141,810
10,200 Aztar Corp.* ........................ 51,637
2,500 BA Merchant Services, Inc.* ......... 50,312
1,280 Baan Company ........................ 13,440
7,300 Baldor Electric Co. ................. 147,825
1,600 Baldwin & Lyons, Inc. - Class B ..... 39,600
5,900 Ball Corp. .......................... 269,925
4,000 Ballard Medical Products ............ 97,250
3,100 Bally Total Fitness Holdings* ....... 77,112
1,500 Bancfirst Ohio Corp. ................ 45,562
8,700 BancorpSouth, Inc. .................. 157,144
2,700 BancTec, Inc* ....................... 33,919
4,300 Bancwest Corporation ................ 206,400
1,800 Bandag, Inc. ........................ 71,887
2,000 Bank North Group, Inc. .............. 75,250
1,475 Bank of Granite Corp. ............... 40,747
2,700 Bank Plus Corp.* .................... 11,812
6,000 Bank United Financial Corp. - Class A 48,000
1 BankAtlantic Bancorp, Inc. - Class A 6
10,600 BankAtlantic Bancorp, Inc. - Class B 75,525
1 BankBoston Corp. .................... 39
1,760 Banner Aerospace, Inc.* ............. 16,610
5,800 Banta Corp. ......................... 158,775
3,400 Barnes Group, Inc. .................. 99,875
Shares Description Value
------ ----------- --------
1,200 Barnett, Inc.* ..................... $ 16,500
1,150 Barr Labs, Inc.* ................... 55,200
2,600 Barra, Inc.* ....................... 61,425
6,400 Barrett Resources Corp.* ........... 153,600
1,700 Bassett Furniture Industries, Inc. . 41,012
43,200 Battle Mountain Gold Co. - Class A . 178,200
3,200 Bay State Gas Co. .................. 127,400
5,000 Bay View Capital Corp. ............. 108,437
5,200 BE Aerospace, Inc.* ................ 109,200
10,100 BEA Systems, Inc.* ................. 123,725
2,200 Bedford Property Investors, Inc. ... 37,125
5,200 Belden, Inc. ....................... 110,175
3,300 Bell & Howell Company* ............. 124,781
900 Benchmark Electronics, Inc.* ....... 32,962
11,000 Benton Oil & Gas Co.* .............. 33,000
3,700 Beringer Wine Estates - Class B* ... 165,344
2,950 Berkley (W.R.) Corp. ............... 100,484
2,900 Berkshire Realty Co., Inc. ......... 27,550
400 Berlitz International, Inc. ........ 11,600
2,400 Berry Petroleum Co. - Class A ...... 34,050
24,958 Bethlehem Steel .................... 209,023
3,700 Big Flower Press Holdings, Inc.* ... 81,631
4,400 Billing Information Concepts Corp.* 48,400
2,100 Bindley Western Industries, Inc. ... 103,425
1,300 Bio-Rad Laboratories, Inc. - Class A 27,300
1,500 Biomatrix, Inc.* ................... 87,375
11,300 Biotechnology General Corp.* ....... 78,394
3,700 Birmingham Steel Corp. ............. 15,494
3,300 Bisys Group, Inc.* ................. 170,363
3,600 Black Box Corp.* ................... 136,350
2,650 Black Hills Corp. .................. 69,894
400 Blair Corp. ........................ 8,875
1,900 Block Drug Co., Inc. - Class A ..... 82,428
3,200 Blount International, Inc. ......... 79,800
3,600 BMC Industries, Inc. ............... 22,500
7,900 Bob Evans Farms, Inc. .............. 205,894
1,369 BOK Financial Corp.* ............... 64,514
5,125 Boole & Babbage, Inc.* ............. 150,867
3,900 Borg-Warner Automotive, Inc. ....... 217,669
3,200 Borg-Warner Security Corp.* ........ 60,000
2,300 Boron Lepore & Associates* ......... 79,350
2,300 Boston Beer Company, Inc. - Class A* 19,550
8,200 Bowne & Co., Inc. .................. 146,575
4,800 Boyd Gaming Corp.* ................. 15,900
1,100 Boykin Lodging Co. ................. 13,612
3,100 Bradley Real Estate, Inc. .......... 63,550
2,600 Brady (W. H.) Co. - Class A ........ 70,037
4,400 Brandywine Realty Trust ............ 78,650
2,400 BRC Holdings, Inc.* ................ 45,000
9,500 BRE Properties Inc. - Class A ...... 235,125
3,600 Breed Technologies, Inc. ........... 29,475
3,020 Brenton Banks, Inc. ................ 50,585
3,200 Briggs & Stratton .................. 159,600
9,200 Brightpoint, Inc.* ................. 126,500
2,900 Broadvision, Inc.* ................. 92,800
2,100 Brookdale Living Communities* ...... 40,950
5,900 Brown (Tom), Inc.* ................. 59,184
See Notes to Financial Statements.
12
<PAGE>
- --------------------------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO
STATEMENT OF NET ASSETS December 31, 1998
- --------------------------------------------------------------------------------
Shares Description Value
------ ----------- --------
4,300 Brown Group, Inc. ............................ $ 75,519
2,100 Brush Wellman, Inc. .......................... 36,619
1,500 Brylane, Inc.* ............................... 34,875
1,600 BT Financial Corp. ........................... 43,800
5,300 Buckeye Technologies, Inc.* .................. 79,169
1,600 Buckle, Inc.* ................................ 38,400
5,500 Budget Group, Inc. - Class A* ................ 87,312
9,387 Buffets, Inc.* ............................... 112,057
6,700 Building One Services Corp.* ................. 139,862
2,520 Burlington Coat Factory Warehouse ............ 41,107
13,300 Burlington Industries, Inc.* ................. 146,300
4,300 Burnham Pacific Properties, Inc. ............. 51,869
4,525 Burr-Brown Corp.* ............................ 106,055
1,500 Bush Boake Allen* ............................ 52,875
1,300 Bush Industries, Inc. - Class A .............. 16,169
800 Butler Manufacturing Co. ..................... 17,900
1,600 C & D Technologies, Inc. ..................... 44,000
6,300 C-Cube Microsystems, Inc.* ................... 170,887
7,700 C.H. Robinson Worldwide, Inc. ................ 199,719
5,650 Cable Design Technologies* ................... 104,525
2,500 Cabot Industrial Trust ....................... 51,094
4,900 Cabot Oil & Gas Corp. - Class A .............. 73,500
3,600 Cadiz Land Company, Inc.* .................... 27,450
4,600 Calgon Carbon Corp. .......................... 34,500
1,900 California Microwave, Inc.* .................. 17,812
3,400 California Water Service Co. ................. 106,462
2,600 CalMat Co. ................................... 80,275
4,500 Calpine Corp.* ............................... 113,625
3,000 Cambrex Corp. ................................ 72,000
5,958 Camden Property Trust ........................ 154,908
2,100 Canandaigua Brands, Inc. - Class A*........... 121,406
4,100 Capital Automotive REIT ...................... 60,987
900 Capital City Bank Group, Inc. ................ 24,862
2,900 Capital Re Corp. ............................. 58,181
12,000 Capstead Mortgage Corp. ...................... 49,500
5,300 Caraustar Industries, Inc. ................... 151,381
1,200 Carbide/Graphite Group, Inc.* ................ 17,700
1,900 Carbo Ceramics, Inc. ......................... 33,250
2,000 CareMatrix Corp.* ............................ 61,250
3,100 Caribiner International, Inc.* ............... 28,287
1,000 Carmike Cinemas Inc. - Class A* .............. 20,312
2,400 Carolina First Co. ........................... 60,750
4,500 Carpenter Technology Corp. ................... 152,719
2,800 Carter-Wallace, Inc. ......................... 54,950
10,100 Casey's General Stores, Inc. ................. 131,616
3,269 Cash America International, Inc. ............. 49,648
2,800 Castle (A. M.) & Co. ......................... 42,000
3,200 Castle and Cooke, Inc.* ...................... 47,200
2,400 Catalina Marketing Corp.* .................... 164,100
8,200 Catalytica, Inc.* ............................ 147,600
1,800 Cathay Bancorp, Inc. ......................... 73,800
3,200 Cato Corp. - Class A ......................... 31,500
1,600 CB Richard Ellis Services* ................... 29,000
5,400 CBL & Associates Properties, Inc. ............ 139,387
2,800 CCA Prison Realty Trust ...................... 57,400
3,300 CCC Information Services Group* .............. 56,925
2,000 CD Radio, Inc.* .............................. 68,500
Shares Description Value
------ ----------- -----
2,500 CDI Corp.* ................................... $ 50,469
900 CDW Computer Centers* ........................ 86,344
3,600 CEC Entertainment, Inc.* ..................... 99,900
9,500 Cellnet Data Systems* ........................ 47,500
3,500 CellStar Corp.* .............................. 23,844
2,200 Cellular Communications
International, Inc.* ......................... 149,600
2,900 Cellular Communications of Puerto Rico*....... 53,650
3,100 Centennial Cellular Corp.* ................... 127,100
1,100 Centennial Technologies, Inc.* ............... 660
2,300 CenterPoint Properties Corp. ................. 77,769
5,300 Centertrust Retail Properties ................ 64,925
2,300 Centex Construction Products ................. 93,437
3,900 Central Garden & Pet Co.* .................... 56,062
3,800 Central Hudson Gas & Electric Corp. .......... 170,050
2,400 Central Parking Services ..................... 77,850
9,400 Century Business Services* ................... 135,125
5,700 Century Communications-Class A* .............. 180,797
2,100 Century South Banks, Inc. .................... 58,537
6,100 Cephalon, Inc.* .............................. 54,900
3,400 Cerner Corp.* ................................ 90,950
2,800 CFW Communications ........................... 65,450
7,360 Champion Enterprises, Inc.* .................. 201,480
1,300 Championship Auto Racing* .................... 38,512
13,100 Charming Shoppes, Inc. ....................... 56,494
4,950 Chart Industries, Inc. ....................... 37,744
2,700 Charter Municipal Mortgage Acceptance......... 32,737
900 Chartwell Re Corp. ........................... 21,375
2,250 Chase Brass Industries, Inc.* ................ 23,484
5,000 Chateau Communities, Inc. .................... 146,562
1,200 Chattem, Inc. ................................ 57,450
7,600 Checkfree Holdings Corp.* .................... 177,650
4,000 Checkpoint Systems, Inc.* .................... 49,500
3,650 Cheesecake Factory * ......................... 108,245
3,800 Chelsea GCA Realty, Inc. ..................... 135,375
2,700 Chemed Corp. ................................. 90,450
4,600 ChemFirst, Inc. .............................. 90,850
1,746 Chemical Financial Corp. ..................... 59,364
3,800 Chesapeake Corp. ............................. 140,125
11,580 Chesapeake Energy Corp. ...................... 10,132
2,500 Chicago Title Corp. .......................... 117,344
3,000 Children's Place Retail Stores, Inc.* ........ 75,375
4,900 Chiquita Brands International ................ 46,856
2,600 Chirex, Inc.* ................................ 55,575
1,800 Chittenden Corp. ............................. 57,600
5,000 Choice Hotels Corp, Inc.* .................... 68,437
2,700 Choicepoint, Inc.* ........................... 174,150
5,850 CHS Electronics, Inc.* ....................... 99,084
2,300 Church and Dwight Co, Inc. ................... 82,656
1,600 Churchill Downs, Inc. ........................ 52,600
3,000 CILCORP, Inc. ................................ 183,562
1,700 Circle International Group, Inc. ............. 34,850
9,100 Cirrus Logic, Inc.* .......................... 89,294
500 Citation Corp.* .............................. 6,312
5,500 Citizens Banking Corp. ....................... 185,625
1,500 City Holding Co. ............................. 48,750
See Notes to Financial Statements.
13
<PAGE>
- --------------------------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO
STATEMENT OF NET ASSETS December 31, 1998
- --------------------------------------------------------------------------------
Shares Description Value
------- ----------- -----
8,300 Claire's Stores, Inc. ................ $170,150
3,200 Clarcor, Inc. ........................ 64,000
4,300 Clarify, Inc.* ....................... 105,081
4,800 CLECO Corp. .......................... 164,700
1,500 Cleveland-Cliffs, Inc. ............... 60,469
3,000 Cmac Investment Corp. ................ 137,812
3,100 CMG Information Services* ............ 330,150
4,200 CMP Group, Inc. ...................... 79,275
4,100 CNA Surety Corporation ............... 64,575
5,820 CNB Bancshares, Inc. ................. 271,357
1,700 Cnet, Inc.* .......................... 93,181
3,100 Coach USA, Inc.* ..................... 107,531
2,300 Coachmen Industries, Inc. ............ 60,375
4,500 Cognex Corp.* ........................ 90,000
3,000 Coherent, Inc.* ...................... 37,312
1,300 Cohu, Inc. ........................... 28,600
2,700 Coinmach Laundry Corp.* .............. 35,100
1,500 Coldwater Creek, Inc.* ............... 20,625
1,800 Cole National Corp. - Class A* ....... 30,825
7,900 Collins & Aikman* .................... 40,487
1,300 Colonial Gas Co. ..................... 45,337
3,400 Colonial Properties Trust ............ 90,525
3,100 Columbia Laboratories, Inc.* ......... 9,494
3,100 Columbus Mckinnon Corp. .............. 55,800
6,100 Comfort Systems USA, Inc.* ........... 109,037
4,621 Commerce Bancorp, Inc. ............... 242,602
3,200 Commerce Group, Inc. ................. 113,400
8,341 Commercial Federal Corp. ............. 193,407
2,900 Commercial Intertech Corp. ........... 37,519
1,800 Commercial Metals Co. ................ 49,950
2,900 Commercial Net Lease Realty .......... 38,425
1,600 Commnet Cellular* .................... 19,600
2,400 Commonwealth Bancorp, Inc. ........... 37,350
4,300 Commonwealth Energy Systems .......... 174,150
2,100 Commonwealth Industries, Inc. ........ 19,687
2,100 Commonwealth Telephone
Enterprises, Inc. .................... 70,350
5,000 Commscope, Inc.* ..................... 84,062
8,900 Community First Bankshares, Inc. ..... 187,456
1,350 Community Trust Bancorp, Inc. ........ 31,725
1,900 Complete Business Solutions, Inc.*.... 64,362
3,000 Compucom Systems, Inc.* .............. 10,500
4,150 Computer Horizons Corp.* ............. 110,494
5,000 Computer Learning Centers, Inc.* ..... 33,437
700 Computer Management Sciences, Inc.*... 12,162
3,900 Computer Task Group, Inc. ............ 105,787
9,000 Comstock Resources, Inc.* ............ 27,562
6,186 Concentra Managed Care, Inc.* ........ 66,113
3,200 Concentric Network Corp.* ............ 106,400
1,700 Concord Communications, Inc.* ........ 96,475
3,000 Cone Mills Corp.* .................... 16,875
2,000 CONMED Corp.* ........................ 66,000
1,300 Conn Energy Corp. .................... 39,650
2,700 Conning Corp. ........................ 56,025
1,400 Consolidated Cigar Holdings, Inc.*.... 24,762
4,500 Consolidated Freightways Corp.* ...... 71,437
2,100 Consolidated Graphics, Inc.* ......... 141,881
Shares Description Value
------ ----------- -----
2,625 Consolidated Products, Inc.* ......... $ 54,141
2,500 Contifinancial Corp.* ................ 17,812
3,100 Cooper Companies, Inc. ............... 64,131
5,300 Coors (Adolph) Co. - Class B ......... 299,119
500 Copart, Inc.* ........................ 16,187
3,200 COR Therapeutics, Inc.* .............. 42,400
1,500 Corecomm Limited* .................... 23,625
4,600 Corn Products International, Inc. .... 139,725
4,800 Cornerstone Realty Income Trust, Inc.. 50,400
14,400 Corporate Express* ................... 74,700
1,700 CORT Business Services Corp.* ........ 41,225
2,200 Corus Bankshares, Inc. ............... 70,950
2,000 Cost Plus, Inc.* ..................... 62,750
2,900 Cotelligent Group, Inc.* ............. 61,806
1,700 Coulter Pharmaceutical, Inc.* ........ 51,000
3,300 Cousins Properties, Inc. ............. 106,425
10,800 Covance, Inc.* ....................... 314,550
7,600 Coventry Health Care, Inc.* .......... 66,975
2,000 Cox Radio, Inc. - Class A* ........... 84,500
2,300 CPI Corp. ............................ 60,950
7,650 Crawford & Co. - Class B ............. 118,097
4,200 Credence Systems Corp.* .............. 77,700
3,000 Credit Acceptance Corp.* ............. 21,937
11,900 CRIIMI MAE, Inc. ..................... 41,650
5,075 Cross Timbers Oil Co. ................ 38,062
3,100 Crown American Realty Trust .......... 24,025
4,600 CSG Systems International, Inc.* ..... 363,400
2,300 CSK Auto Corp.* ...................... 61,381
1,100 CSS Industries, Inc.* ................ 33,344
2,848 CTS Corp.* ........................... 123,888
650 Cubic Corp. .......................... 12,187
5,300 Cullen/Frost Bankers, Inc. ........... 290,837
4,100 Culp, Inc. ........................... 32,288
2,100 Cuno, Inc.* .......................... 34,125
1,700 Curative Health Services, Inc.* ...... 56,950
1,500 Cylink Corp.* ........................ 5,437
5,400 Cymer, Inc.* ......................... 78,975
15,900 Cypress Semiconductor Corp.* ......... 132,169
3,300 Cytyc Corp.* ......................... 84,975
400 D&N Financial Corp. .................. 9,450
6,700 D.R. Horton, Inc. .................... 154,100
3,000 Dain Rauscher Corp. .................. 88,500
2,300 Daisytek International Corp.* ........ 43,700
4,500 Dal-Tile International, Inc.* ........ 46,687
4,000 Dallas Semiconductor Corp. ........... 163,000
3,000 Dames & Moore, Inc. .................. 38,625
3,300 Dan River Inc. - Class A* ............ 38,775
1,900 Daniel Industries, Inc. .............. 23,037
7,000 Data General Corp.* .................. 115,062
1,500 Data Processing Resources Corp.* ..... 43,875
2,300 Data Transmission Network Corp.* ..... 66,412
3,200 Datascope Corp.* ..................... 73,600
2,000 Datastream Systems, Inc.* ............ 23,000
3,300 Dave & Buster's, Inc.* ............... 76,106
1,500 Davox Corp.* ......................... 11,437
1,400 Day Runner, Inc.* .................... 20,300
2,000 DBT Online, Inc.* .................... 49,875
See Notes to Financial Statements.
14
<PAGE>
- --------------------------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO
STATEMENT OF NET ASSETS December 31, 1998
- --------------------------------------------------------------------------------
Shares Description Value
------ ----------- -----
3,300 DecisionOne Holdings Corp.* ................. $ 15,675
4,400 Delco Remy International, Inc.* ............. 43,175
1,881 Delphi Financial Group, Inc. - Class A* ..... 98,635
4,200 Delta Financial Corp.* ...................... 24,937
2,200 Deltic Timber Corp. ......................... 44,825
3,600 Dendrite International* ..................... 89,887
3,600 Department 56, Inc.* ........................ 135,225
1,100 Detroit Diesel Corp.* ....................... 22,756
11,400 Developers Diversified Realty Corp. ......... 202,350
2,900 Devon Energy Corp. .......................... 88,994
10,200 DeVRY, Inc.* ................................ 312,375
4,600 Dexter Corp. ................................ 144,612
1,500 Diagnostic Products Corp. ................... 46,687
1,200 Dialogic Corp.* ............................. 23,587
7,400 Diamond Multimedia Systems, Inc.* ........... 47,175
3,000 Digi International* ......................... 33,375
9,300 Digital Microwave Corp.* .................... 63,647
3,300 DII Group, Inc.* ............................ 76,931
10,100 DIMON, Inc. ................................. 75,119
2,900 Dionex Corp.* ............................... 106,212
1,100 Discount Auto Parts, Inc.* .................. 24,131
2,300 Documentum, Inc.* ........................... 122,906
5,900 Dollar Thrifty Automotive Goup* ............. 75,962
7,200 Donaldson Co., Inc. ......................... 149,400
4,000 Doral Financial Corp. ....................... 88,500
2,700 DoubleClick, Inc.* .......................... 123,019
2,674 Downey Financial Corp. ...................... 68,020
2,500 Dress Barn, Inc.* ........................... 37,969
2,800 Dreyer's Grand Ice Cream, Inc. .............. 42,350
7,400 DSP Communications, Inc.* ................... 113,312
1,550 DST Systems* ................................ 88,447
2,300 DT Industries, Inc. ......................... 36,225
2,200 Duane Reade, Inc.* .......................... 84,700
1,200 Duff & Phelps Credit Rating ................. 65,775
6,100 Dura Pharmacetical, Inc.* ................... 92,644
1,600 DVI, Inc.* .................................. 29,000
2,400 Dycom Industries, Inc.* ..................... 137,100
50 Dynatech Corp.* ............................. 137
10,900 Dynex Capital, Inc. ......................... 50,412
5,300 E Trade Group, Inc.* ........................ 247,941
9,100 e. spire Communications, Inc.* .............. 58,012
1,700 E. W. Blanch Holdings, Inc. ................. 80,644
5,000 Eagle Hardware & Garden, Inc.* .............. 162,500
1,800 Eagle USA Airfreight, Inc.* ................. 44,100
6,200 Earthgrains Co. ............................. 191,812
2,400 Earthlink Network, Inc.* .................... 136,800
6,000 EarthShell Corporation* ..................... 71,625
2,700 Eastern Enterprises ......................... 118,125
5,500 Eastern Environmental Services* ............. 162,937
5,000 Eastern Utilities Associates ................ 141,250
2,200 Eastgroup Properties ........................ 40,562
6,300 Eaton Vance Corp. ........................... 131,512
1,600 Echostar Communications Corp.* .............. 77,400
2,400 Education Management Corp.* ................. 56,700
5,533 EEX Corporation ............................. 38,731
7,300 El Paso Electric Co. ........................ 63,875
2,850 Elcor Corp. ................................. 92,091
Shares Description Value
------ ----------- -----
1,100 Elder - Beerman Stores Corp.*................ $ 12,719
2,600 Electro Rent Corp.* ......................... 41,925
2,300 Electro Scientific Industries, Inc.* ........ 104,219
3,100 Electroglas, Inc.* .......................... 36,425
8,200 Electronics For Imaging* .................... 329,537
1,100 Elizabethtown Corp. ......................... 52,112
2,500 Emmis Broadcasting Corp. - Class A* ......... 108,437
2,900 Empire District Electric Co. ................ 71,775
3,400 Energen Corp. ............................... 66,300
3,800 Enesco Group, Inc. .......................... 88,350
800 Engineering Animation Inc.* ................. 43,200
3,200 Enhance Financial Services Group, Inc........ 96,000
2,700 Entertainment Properties Trust .............. 45,900
1,300 Entremed, Inc.* ............................. 27,300
3,900 Envoy Corp.* ................................ 227,175
4,579 Enzo Biochem, Inc.* ......................... 47,221
7,100 Equitable Resources, Inc. ................... 206,787
2,650 Equity Corp. International* ................. 70,391
8,800 Equity Inns, Inc. ........................... 84,700
643 Essex International* ........................ 22,264
3,800 Essex Property Trust, Inc. .................. 113,050
2,300 Esterline Technologies Corp. ................ 50,025
3,900 Etec Systems, Inc.* ......................... 156,000
13,400 Ethyl Corp. ................................. 77,887
1,200 Evans & Sutherland Computer Corp.* .......... 21,150
1,700 Everen Capital Corp. ........................ 38,675
2,100 Evergreen Bancorp, Inc. ..................... 67,462
4,300 Excite, Inc.* ............................... 180,869
2,300 Executive Risk, Inc. ........................ 126,356
3,500 Exide Corp. ................................. 56,875
2,500 Exodus Communications, Inc.* ................ 160,625
4,600 Expeditors International of
Washington, Inc............................ 193,200
5,000 Express Scripts, Inc.* ...................... 335,625
13,000 Extended Stay America, Inc.* ................ 136,500
2,974 F & M Bancorporation, Inc. .................. 89,963
2,900 F & M National Corp. ........................ 86,819
2,215 F & M Bancorp ............................... 72,541
2,198 F.N.B. Corp. ................................ 62,093
1,300 F.Y. I., Inc.* .............................. 41,600
800 Factset Research Systems, Inc.* ............. 49,400
1,300 Fair, Issac & Co., Inc. ..................... 60,044
3,466 Fairchild Corp. - Class A * ................. 54,589
8,600 Fairfield Communities, Inc.* ................ 95,137
2,150 Family Golf Centers, Inc.* .................. 42,462
200 Farmer Brothers Co. ......................... 42,800
1,800 Farmers Capital Bank Corp. .................. 67,500
6,100 FBL Financial Group, Inc. - Class A.......... 147,925
9,600 Fedders USA, Inc. ........................... 55,800
900 Federal Agricultural Mortgage Corp.*......... 33,412
5,300 Federal Realty Investment Trust ............. 125,212
8,800 Federal Signal Corp. ........................ 240,900
8,503 Felcor Suite Hotels, Inc. ................... 196,100
6,900 Ferro Corp. ................................. 179,400
4,640 Fidelity National Financial, Inc. ........... 141,520
3,900 FileNet Corp.* .............................. 44,728
2,050 Financial Federal Corp. ..................... 50,737
See Notes to Financial Statements.
15
<PAGE>
- --------------------------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO
STATEMENT OF NET ASSETS December 31, 1998
- --------------------------------------------------------------------------------
Shares Description Value
------ ----------- -----
6,600 Fingerhut Companies, Inc. .................... $101,887
2,400 Finish Line, Inc. - Class A* ................. 19,200
3,100 Finlay Enterprises, Inc.* .................... 31,387
7,600 First American Financial Corp. ............... 244,150
7,200 First Brands Corp. ........................... 283,950
1,600 First Citizens Bancshares - Class A .......... 144,000
2,900 First Commerce Bancshares, Inc. .............. 81,200
5,000 First Commonwealth Financial Corp. ........... 122,500
2,200 First Consulting Group* ...................... 45,100
4,700 First Federal Capital Corp. .................. 76,962
2,600 First Federal Financial ...................... 46,475
6,153 First Financial Bancorp ...................... 178,064
1,210 First Financial Bankshares, Inc. ............. 42,350
820 First Financial Corp. - Indiana .............. 40,487
2,700 First Financial Holdings, Inc. ............... 51,300
1,310 First Indiana Corp. .......................... 26,200
5,000 First Industrial Realty Trust, Inc. .......... 134,062
2,700 First Liberty Financial ...................... 56,700
2,850 First Merchants Corp. ........................ 74,456
5,083 First Midwest Bancorp ........................ 193,472
3,200 First Republic Bank* ......................... 80,200
4,200 First Sentinel Bancorp Inc. .................. 34,125
1,900 First Sierra Financial, Inc.* ................ 23,275
1,400 First Source ................................. 46,900
7,600 First Union Real Estate ...................... 44,650
2,000 First United Bancshares ...................... 35,500
1,530 First Washington Bancorp ..................... 36,720
1,450 First Western Bancorp ........................ 46,400
3,300 FirstBank Puerto Rico ........................ 99,619
7,700 Fisher Scientific International .............. 153,519
900 Flagstar Bancorp, Inc. ....................... 23,512
9,000 Fleming Companies, Inc. ...................... 93,375
1,500 Florida East Coast Railway Co. ............... 52,781
3,300 Florida Panthers Holdings, Inc.* ............. 30,731
1,800 Florida Rock Industries ...................... 55,800
7,581 Flowserve Corp. .............................. 125,560
2,000 Foamex International, Inc. ................... 24,750
7,200 Foodmaker, Inc.* ............................. 158,850
3,200 Footstar, Inc.* .............................. 80,000
7,300 Forcenergy , Inc. ............................ 19,162
4,800 Foremost Corp. of America .................... 100,800
1,800 Forest City Enterprises - Class A ............ 47,250
3,700 Forest Oil Corp. ............................. 31,450
1,100 Fossil, Inc.* ................................ 31,625
9,000 Foster Wheeler Corp. ......................... 118,687
2,400 FPIC Insurance Group, Inc.* .................. 114,750
6,000 Franchise Financial Corp. .................... 144,000
2,200 Franchise Mortgage Acceptance Co.* ........... 17,050
3,000 Franklin Covey Co.* .......................... 50,250
600 Franklin Electric Co., Inc. .................. 40,500
6,000 Friedman, Billings, Ramsey - Class A* ........ 39,000
1,600 Friedmans, Inc.* ............................. 16,400
5,700 Fritz Companies, Inc.* ....................... 61,631
800 Frontier Financial Corp.* .................... 36,600
6,678 Frontier Insurance Group, Inc. ............... 85,979
5,900 Frontier Oil Corp. ........................... 29,131
3,000 FSI International, Inc.* ..................... 31,125
Shares Description Value
------ ----------- --------
4,200 Fuisz Technologies Ltd.* ..................... $ 54,075
2,900 Fuller (H.B.) Co. ............................ 139,562
650 Fund American Enterprises Holdings ........... 91,041
2,400 Furon Company ................................ 40,950
3,500 G & K Services, Inc. - Class A ............... 186,375
3,300 Gables Residential Trust ..................... 76,519
1,200 Gadzooks, Inc.* .............................. 9,300
2,200 Gallagher (Arthur J.) & Co. .................. 97,075
2,900 Garden Ridge Corp.* .......................... 26,281
3,450 Gardner Denver Machinery, Inc.* .............. 50,887
7,000 Gaylord Container Corp.* ..................... 42,875
4,700 Gaylord Entertainment ........................ 141,587
1,900 GBC Bancorp .................................. 48,925
1,500 GC Companies, Inc.* .......................... 62,437
2,700 Geltex Pharmaceutical, Inc.* ................. 61,087
2,424 Gemstar International Group Ltd. ............. 138,774
4,400 GenCorp, Inc. ................................ 109,725
700 General Binding Corp. ........................ 26,075
6,900 General Cable Corp. .......................... 141,450
2,800 General Cigar Holdings, Inc. - Class A*....... 24,325
1,778 General Cigar Holdings, Inc. - Class B*....... 15,113
9,900 General Communication* ....................... 40,219
6,800 General Growth Properties .................... 257,550
5,800 General Magic, Inc.* ......................... 29,181
3,400 Genesco, Inc.* ............................... 19,337
7,200 Genesis Direct* .............................. 56,250
1,900 Genesys Telecom Labs, Inc.* .................. 42,275
9,100 Genisis Health Ventures, Inc.* ............... 79,625
1,460 Genovese Drug Stores ......................... 41,610
3,800 GenRad, Inc. ................................. 59,850
17,200 Gensia Sicor, Inc.* .......................... 77,937
10,600 Gentex Corp.* ................................ 212,000
3,000 Geon Co. ..................................... 69,000
4,000 Georgia Gulf Corp. ........................... 64,250
2,500 Geotel Communications Corp.* ................. 93,125
4,700 Gerber Scientific, Inc. ...................... 111,919
4,400 Getchell Gold Corp.* ......................... 119,900
5,000 Getty Images, Inc.* .......................... 85,937
1,100 Getty Realty Corp. ........................... 16,087
700 Giant Cement Holding, Inc.* .................. 17,325
800 Gibraltar Steel Corp.* ....................... 18,200
4,200 Gibson Greetings, Inc. ....................... 49,875
4,400 Gilead Sciences, Inc.* ....................... 180,675
3,300 Glatfelter (P.H.) Co. ........................ 40,837
1,800 Gleason Corp. ................................ 32,625
14,000 Glenayre Technologies, Inc.* ................. 62,125
6,400 Glenborough Realty Trust, Inc. ............... 130,400
6,600 Glimcher Realty Trust ........................ 103,537
2,400 Global DirectMail Products, Inc.* ............ 56,100
3,000 Global Industrial Technologies, Inc.*......... 32,062
2,400 Golf Trust Of America, Inc. .................. 66,600
2,400 Goodys Family Clothing* ...................... 24,075
1,800 Graco, Inc. .................................. 53,100
8,500 Grand Casino, Inc.* .......................... 68,531
2,450 Granite Construction, Inc. ................... 82,228
3,800 Great Atlantic & Pacific Tea Co. ............. 112,575
3,200 Great Lakes REIT, Inc. ....................... 50,200
See Notes to Financial Statements.
16
<PAGE>
- --------------------------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO
STATEMENT OF NET ASSETS December 31, 1998
- --------------------------------------------------------------------------------
Shares Description Value
------ ----------- -----
1,000 Great Plains Software, Inc.* .......... $ 48,250
1,100 Greater Bay Bancorp ................... 37,125
1,800 Greif Brothers Corp. - Class A ........ 52,537
100 Grey Advertising, Inc. ................ 36,400
19,600 Grey Wolf, Inc.* ...................... 15,925
7,900 Greyhound Lines, Inc.* ................ 46,906
4,100 Griffon Corp.* ........................ 43,562
2,000 Group 1 Automotive, Inc.* ............. 52,000
5,100 Group Maintenance America Corp.* ...... 61,837
2,700 Grubb & Ellis Co. ..................... 21,769
3,500 GT Interactive Software Corp.* ........ 17,500
7,400 Gtech Holdings Corp.* ................. 189,625
1,100 Guarantee Life Companies, Inc. ........ 20,350
2,450 Guilford Mills, Inc. .................. 40,884
2,100 Guilford Pharmaceuticals, Inc.* ....... 29,925
3,700 Guitar Center, Inc.* .................. 91,112
3,200 Gymboree Corp.* ....................... 20,400
4,125 HA-LO Industries, Inc.** .............. 155,203
1,700 Hadco Corp.* .......................... 59,500
5,100 Haemonetics Corp.* .................... 116,025
2,300 Hain Food Group, Inc.* ................ 57,500
3,800 Halter Marine Group, Inc.* ............ 18,525
3,500 Hambrecht & Quist Group* .............. 79,406
1,800 Hamilton Bancorp, Inc.* ............... 48,037
6,600 Hancock Fabrics, Inc. ................. 55,275
1,220 Hancock Holding Co. ................... 55,510
4,100 Handleman Co. ......................... 57,656
2,400 Hanger Orthopedic Group, Inc.* ........ 54,000
5,800 Hanna (M.A.) Co. ...................... 71,412
3,700 Hanover Compressor* ................... 95,044
15,100 Hanover Direct, Inc.* ................. 51,906
3,950 Harbinger Corp.* ...................... 31,600
3,409 Harbor Florida Bancshares ............. 38,138
2,300 Hardinge, Inc. ........................ 42,406
26,500 Harken Energy Corp.* .................. 51,344
4,000 Harland (John H.) ..................... 63,250
2,100 Harleysville Group, Inc. .............. 54,206
1,900 Harleysville National Corp. ........... 74,100
3,800 Harman International Industries, Inc. . 144,875
2,400 Harmon Industries, Inc. ............... 55,350
1,400 Harris Financial, Inc. ................ 19,075
7,400 Hartmarx Corp. ........................ 41,625
2,800 Haven Bancorp, Inc. ................... 42,000
6,100 Hawaiian Electric Industries .......... 245,525
3,700 Hayes Lemmerz International, Inc.* .... 111,694
8,200 HCC Insurance Holdings, Inc. .......... 144,525
4,200 Headlands Mortgage Co* ................ 87,937
6,900 Health Care Property Investors, Inc. .. 212,175
3,300 Health Care REIT ...................... 85,387
2,600 Healthcare Financial Partners, Inc.* .. 103,187
8,477 Healthcare Realty Trust, Inc. ......... 189,143
1,200 Healthplan Services Corp. ............. 13,800
4,050 Heartland Express, Inc.* .............. 70,875
7,200 Hecla Mining Co. ...................... 26,100
13,500 Heilig-Meyers Co. ..................... 90,281
4,500 Helix Technology Corp. ................ 58,500
6,700 Helmerich and Payne, Inc. ............. 129,812
Shares Description Value
------ ----------- --------
1,600 Henry (Jack) & Associates, Inc. ....... $ 79,600
3,300 Henry Schein, Inc.* ................... 147,675
2,600 Herbalife International, Inc. - Class A 37,050
3,400 Hexcel Corp. .......................... 28,475
3,600 Highlands Insurance Group, Inc.* ...... 47,025
4,900 HMT Technology Corp.* ................. 62,781
3,400 HNC Software, Inc.* ................... 137,487
5,000 Hollinger International Inc. .......... 69,687
1,100 Holly Corp. ........................... 18,562
4,800 Hollywood Entertainment Corp.* ........ 130,800
2,600 Hollywood Park, Inc. .................. 21,612
2,800 Hologic, Inc.* ........................ 33,950
2,600 Holophane Corp.* ...................... 66,787
2,100 Home Properties of New York, Inc. ..... 54,075
5,100 Homebase, Inc.* ....................... 32,512
2,100 Homestead Village, Inc.* .............. 9,450
3,400 Hooper Holmes, Inc. ................... 98,600
6,700 Horizon Offshore Inc.* ................ 36,850
7,300 Hospitality Properties Trust .......... 176,112
6,800 Host Marriott Services Corp.* ......... 70,550
4,600 Houghton Mifflin Co. .................. 217,350
2,100 Houston Exploration Co.* .............. 41,737
2,300 HS Resources, Inc.* ................... 17,394
6,150 HSB Group, Inc. ....................... 252,534
8,177 HUBCO, Inc. ........................... 246,332
4,850 Hughes Supply, Inc. ................... 141,862
4,400 Human Genome Sciences, Inc.* .......... 156,475
4,600 Hunt (J.B.) Transport Services, Inc. .. 105,800
1,700 Hunt Manufacturing Co. ................ 18,062
1 Huntington Bancshares, Inc. ........... 30
7,200 Hussmann International, Inc. .......... 139,500
3,600 Hutchinson Technology, Inc.* .......... 128,250
1,800 Hvide Marine, Inc.* ................... 9,000
5,025 Hyperion Software Corp.* .............. 90,450
8,500 ICG Communications, Inc.* ............. 182,750
6,400 ICOS Corp.* ........................... 190,400
5,000 Idacorp Inc. .......................... 180,937
3,300 IDEC Pharmaceuticals Corp.* ........... 155,100
3,750 IDEX Corp. ............................ 91,875
5,100 IDEXX Laboratories, Inc.* ............. 137,222
1,900 IDT Corp.* ............................ 29,212
2,000 IDX Systems* .......................... 88,000
1,400 IGEN International, Inc.* ............. 42,875
1,200 IHOP Corp.* ........................... 47,925
5,300 Imation Corp.* ................. .. ... 92,750
4,100 IMC Mortgage Co.* ..................... 1,153
4,300 Imclone Systems* ...................... 38,969
4,100 IMCO Recycling, Inc. .................. 63,294
3,000 Immune Response Corp.* ................ 32,625
3,200 Impac Mortgage Holdings, Inc. ......... 14,600
4,375 Imperial Bancorp ...................... 72,734
6,500 Imperial Credit Industries, Inc........ 54,437
4,600 Imperial Credit Commercial, Inc........ 43,125
2,625 IMR Global Corp.* ..................... 77,273
3,200 Inacom Corp.* ......................... 47,600
3,300 Incyte Pharmaceuticals, Inc.* ......... 123,337
13,800 Independence Community Bank ........... 219,937
See Notes to Financial Statements.
17
<PAGE>
- --------------------------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO
STATEMENT OF NET ASSETS December 31, 1998
- --------------------------------------------------------------------------------
Shares Description Value
------ ----------- -----
3,466 Indiana Energy, Inc. ........................... $ 85,350
7,200 Indus International, Inc.* ..................... 50,400
3,600 Industri-Matematik International Corp.* ........ 18,000
3,900 Information Resources, Inc.* ................... 39,731
23,800 Informix Corp.* ................................ 235,025
4,100 Infoseek Corp* ................................. 202,437
3,000 Infousa Inc.* .................................. 15,750
1,300 Ingles Markets, Inc. ........................... 14,219
2,000 Inhale Therapeutic Systems* .................... 66,000
6,461 Inland Steel Industries, Inc. .................. 109,029
2,400 Innkeepers USA Trust ........................... 28,350
3,700 Innovex, Inc. .................................. 50,759
6,800 Inprise Corp.* ................................. 37,400
9,000 Input/Output Inc* .............................. 65,812
3,450 Insight Enterprises, Inc.* ..................... 175,519
2,000 Insignia Financial Group, Inc.* ................ 24,250
1 Insilco Holding Corp.* ......................... 23
2,800 Insituform Technology* ......................... 40,600
700 INSpire Insurance Solutions* ................... 12,862
10,600 Integrated Device Technology, Inc.* ............ 64,925
3,800 Integrated Electrical Services, Inc.* .......... 84,550
2,500 Integrated Process Equipment Corp.* ............ 26,875
4,500 Integrated Systems, Inc.* ...................... 67,219
2,000 Intelligroup, Inc.* ............................ 35,750
4,300 Inter-Tel, Inc. ................................ 100,512
9,500 InterDigital Communications Corp.* ............. 43,344
10,100 Interface, Inc. ................................ 93,741
5,600 Intergraph Corp.* .............................. 32,200
6,200 Interim Services, Inc.* ........................ 144,925
2,500 Intermet Corp. ................................. 32,656
2,400 International Bancshares Corp. ................. 121,500
4,100 International Multifoods Corp. ................. 105,831
2,900 International Network Services* ................ 192,850
9,600 International Rectifier Corp.* ................. 93,600
2,200 International Speedway Corp - Class A........... 89,100
3,000 International Telecommunications
Data Systems* .................................. 44,250
3,900 Interpool, Inc. ................................ 65,325
5,000 Interwest Bancorp .............................. 110,625
4,800 Invacare Corp. ................................. 115,200
400 Investment Technology Group* ................... 24,825
1,600 Investors Financial Services Corp. ............. 95,400
2,100 Ionics, Inc.* .................................. 62,869
7,100 IRI International Corp.* ....................... 28,400
3,750 Iron Mountain, Inc.* ........................... 135,234
4,200 IRT Property Co. ............................... 42,000
4,600 Irvine Apartment Communities, Inc. ............. 146,625
1,500 Irwin Financial Corp. .......................... 40,781
5,600 Isis Pharmaceutical, Inc.* ..................... 72,450
9,600 ITC Deltacom, Inc.* ............................ 146,400
10,300 ITEQ, Inc.* .................................... 21,887
2,000 ITI Technologies* .............................. 62,000
4,400 Itron, Inc.* ................................... 31,625
2,250 ITT Educational Services, Inc. ................. 76,500
13,800 IVAX Corp. ..................................... 171,637
4,000 Ivex Packaging Corp.* .......................... 93,000
3,800 IXC Communications, Inc.* ...................... 127,775
Shares Description Value
------ ----------- -----
3,500 Jabil Circuit, Inc.* ........................... $261,187
2,800 Jacobs Engineering Group, Inc.* ................ 114,100
4,550 JDA Software Group, Inc.* ...................... 44,078
7,800 JDN Realty Corp. ............................... 168,187
1,299 Jeffbanks ...................................... 25,655
1,800 Jefferies Group, Inc. .......................... 89,325
2,400 Jefferson Savings Bancorp ...................... 31,500
7,300 JLG Capital Industries, Inc. ................... 114,062
2,400 JLK Direct Distribution, Inc. - Class A* ....... 24,450
2,200 Jo-Ann Stores, Inc. ............................ 35,475
500 John Nuveen & Co., Inc. - Class A .............. 18,562
4,900 John Wiley & Sons Inc. - Class A ............... 236,731
3,200 Jones Intercable, Inc. - Class A* .............. 114,000
3,200 Jones Pharmaceuticals, Inc. .................... 116,800
7,400 Jostens Inc. ................................... 193,787
2,700 Journal Register Co.* .......................... 40,500
1,200 JP Realty, Inc. ................................ 23,550
1,000 JSB Financial, Inc. ............................ 54,375
2,300 Juno Lighting, Inc. ............................ 53,762
3,150 Just For Feet, Inc.* ........................... 54,731
2,300 Justin Industries .............................. 30,187
2,700 K2, Inc. ....................................... 27,844
6,700 Kaiser Aluminum Corp. .......................... 32,662
3,000 Kaman Corporation - Class A .................... 48,187
1,000 Kansas City Life Insurance Co. ................. 81,750
7,100 Kaufman & Broad Home Corp. ..................... 204,125
5,800 Kaydon Corp. ................................... 232,362
5,100 KCS Energy, Inc. ............................... 15,619
23,800 Kelley Oil and Gas Corp.* ...................... 14,131
2,600 Kellstrom Industries, Inc.* .................... 74,750
2,800 Kellwood Co. ................................... 70,000
7,600 Kemet Corp.* ................................... 85,500
900 Kenneth Cole Productions, Inc. - Class A*....... 16,875
5,400 Kent Electronics Corp.* ........................ 68,850
7,900 Key Energy Group, Inc.* ........................ 37,031
2,000 Keystone Automotive Industries, Inc.* .......... 41,875
2,500 Kilroy Realty Corp. ............................ 57,500
7,600 Kimball International, Inc. - Class B .......... 144,400
324 Kimco Realty Corp. - Class D ................... 9,031
4,962 Kirby Corp ..................................... 98,930
3,900 Kitty Hawk, Inc.* ............................... 42,900
750 Knight Transportation, Inc.* .................... 20,016
3,000 Knoll, Inc.* .................................... 88,875
3,500 Koger Equity, Inc. .............................. 60,156
11,000 Komag, Inc.* .................................... 114,125
1,100 Kronos, Inc.* ................................... 48,744
2,200 Kuhlman Corp. ................................... 83,325
4,500 Kulicke & Soffa Industries, Inc. ................ 79,875
3,100 KV Pharmaceutical Co.-Class B * ................. 64,131
1,300 L-3 Communications Holdings * ................... 60,531
7,100 La-Z-Boy Chair, Inc. ............................ 126,469
1,400 LabOne, Inc. .................................... 18,200
3,000 Labor Ready, Inc. ............................... 59,062
6,400 Laboratory Corporation of America................
Holdings** .................................... 8,800
2,300 Laclede Gas Co. ................................. 61,525
5,500 Lam Research Corp.* ............................. 97,969
See Notes to Financial Statements.
18
<PAGE>
- --------------------------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO
STATEMENT OF NET ASSETS December 31, 1998
- --------------------------------------------------------------------------------
Shares Description Value
------ ----------- -----
2,900 Lance, Inc. ......................... $ 57,819
2,000 Landamerica Financial Group, Inc. ... 111,625
1,800 Landauer, Inc. ...................... 58,275
3,500 Landry's Seafood Restaurants, Inc.* . 26,250
3,700 Lands' End, Inc. .................... 99,669
1,400 Landstar Systems, Inc.* ............. 57,050
2,000 Lasalle Partners, Inc.* ............. 58,875
4,000 Laser Mortgage Management Inc. ...... 21,750
2,200 Lason Holdings, Inc.* ............... 128,012
3,100 Lattice Semiconductor* .............. 142,309
4,600 Lawter International, Inc. .......... 53,475
1 LCA Vision, Inc.* ................... 1
3,000 LCC International, Inc.* ............ 11,250
1,500 Learning Tree International, Inc.* .. 13,594
1,950 LeaRonal, Inc. ...................... 66,056
5,900 Lee Enterprises ..................... 185,850
5,800 Legato Systems, Inc.* ............... 382,437
1 Legg Mason, Inc. .................... 32
5,375 Level One Communications, Inc.* ..... 190,812
2,300 Libbey, Inc. ........................ 66,556
1,431 Liberty Corp. ....................... 70,477
1,400 Life Technologies, Inc. ............. 54,425
5,300 Life USA Holding Inc. ............... 68,237
3,600 Lifecore Biomedical, Inc.* .......... 36,900
4,900 Ligand Pharmaceutical - Class B* .... 56,962
5,200 Lilly Industries, Inc. - Class A .... 103,675
6,900 Lincoln Electric Co. ................ 153,525
1,625 Lindsay Manufacturing Co. ........... 24,070
7,200 Linens 'N Things, Inc.* ............. 285,300
4,900 Liposome Company, Inc.* ............. 75,644
2,600 Littelfuse, Inc.* ................... 50,050
5,300 LNR Property Corp. .................. 105,669
2,700 Lo-Jack Corp.* ...................... 32,062
5,400 Local Financial Corp.* .............. 48,600
4,000 Lone Star Industries, Inc. .......... 147,250
5,200 Lone Star Steakhouse & Saloon* ...... 47,775
2,900 Lone Star Technologies, Inc.* ....... 29,362
5,300 Long Beach Financial Corp.* ......... 39,750
4,100 Longs Drug Stores Corp. ............. 153,750
6,700 Longview Fibre Co ................... 77,469
5,100 Louis Dreyfus Natural Gas Corp.* .... 72,675
350 LTC Healthcare, Inc. ................ 919
3,500 LTC Properties, Inc. ................ 58,187
12,900 LTV Corp. ........................... 74,981
3,000 Luby's Cafeterias, Inc. ............. 46,312
6,736 Lycos, Inc.* ........................ 374,269
3,800 Lydall, Inc. ........................ 45,125
1,300 M.S. Carriers, Inc.* ................ 42,819
3,100 MacDermid, Inc. ..................... 121,288
6,900 Macerich, Co. ....................... 176,813
6,200 Macromedia, Inc.* ................... 208,863
2,100 Madison Gas & Electric Co. .......... 47,775
7,125 MAF Bancorp,Inc ..................... 188,813
6,800 Magellan Health Services, Inc.* ..... 56,950
3,500 MagnaTek, Inc.* ..................... 40,469
4,700 Mail-Well Corp.* .................... 53,756
1,800 Mainstreet Bankgroup ................ 83,588
Shares Description Value
------ ----------- -----
3,325 Manitowoc Company, Inc. ............. $147,547
5,800 Manufactured Home Communities, Inc. . 145,363
2,500 Manugistics Group, Inc.* ............ 31,250
2,000 Mapics, Inc.* ....................... 33,000
3,000 Marcus Corp. ........................ 48,750
6,900 Marine Drilling Co., Inc.* .......... 53,044
8,907 Mariner Post-Acute Network, Inc.* ... 40,638
11,700 Mark IV Industries .................. 152,100
500 Markel Corp.* ....................... 90,500
2,200 Marshall Industries* ................ 53,900
2,300 Marvel Enterprises, Inc.* ........... 14,231
7,400 Mascotech Inc. ...................... 126,725
2,550 MasTec, Inc.* ....................... 53,550
3,700 Mastech Corp.* ...................... 105,913
2,100 Mathews International Corp. - Class A 66,150
1,400 Maverick Tub Corp.* ................. 7,788
2,500 Maxim Group, Inc.* .................. 60,000
1,100 MAXIMUS, Inc.* ...................... 40,700
1,100 MAXXAM, Inc.* ....................... 63,113
3,100 Maxxim Medical, Inc.* ............... 92,225
5,025 McClatchy Newspapers, Inc. .......... 177,759
1,800 McGrath RentCorp .................... 39,600
2,400 McWhorter Technologies* ............. 54,900
2,400 MDC Holdings, Inc. .................. 51,300
10,550 MDU Resources Group ................. 277,597
700 Meadowbrook Insurance Group, Inc. ... 11,506
2,300 Medallion Financial Corp. ........... 32,919
10,400 Medaphis Corp.* ..................... 34,125
4,700 Media General, Inc. ................. 249,100
3,098 Medical Assurance, Inc.* ............ 102,451
2,300 Medical Manager Corp.* .............. 72,163
3,100 Medicis Pharmaceutical* ............. 184,838
3,700 Medimmune Inc.* ..................... 367,919
2,900 Medquist, Inc.* ..................... 114,550
2,500 MemberWorks, Inc.* .................. 73,750
2,650 Men's Wearhouse, Inc.* .............. 84,138
3,100 Mentor Corp. ........................ 72,656
8,000 Mentor Graphics Corp. ............... 68,000
2,100 Merchants New York Bancorp .......... 75,994
2,100 Mercury Interactive Corp.* .......... 132,825
3,300 Meridian Industrial Trust ........... 77,550
2,376 Meridian Resource Corp.* ............ 7,574
8,012 Meristar Hospitality Corp. .......... 148,723
1,900 Merrill Corp. ....................... 36,694
285 Merry Land Investment Co. ........... 1,033
2,200 Mesa Air Group, Inc.* ............... 17,188
2,600 Mesaba Holdings, Inc. ............... 53,625
9,600 Metal Management, Inc.* ............. 33,600
6,200 Metals USA, Inc.* ................... 60,450
3,750 Metamor Worldwide, Inc.* ............ 93,750
4,600 Methode Electronics, Inc. - Class A . 71,875
3,560 Metris Companies, Inc. .............. 179,113
1,400 Metro Information Services Inc.* .... 42,000
1,700 Metro Networks, Inc.* ............... 72,463
6,500 Metrocall* .......................... 28,438
3,400 Metromedia Fiber Network, Inc.* ..... 113,900
12,300 Metromedia International Group, Inc.* 66,881
See Notes to Financial Statements.
19
<PAGE>
- --------------------------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO
STATEMENT OF NET ASSETS December 31, 1998
- --------------------------------------------------------------------------------
Shares Description Value
------ ----------- -----
7,100 Mettler - Toledo International* ............ $199,244
2,100 Metzler Group, Inc.* ....................... 102,244
1,100 MGI Properties, Inc. ....................... 30,731
3,000 Michaels Foods, Inc. ....................... 90,000
3,300 Michaels Stores, Inc.* ..................... 59,709
2,600 Micrel, Inc.* .............................. 143,000
10,795 Micro Focus Group* ......................... 101,878
5,100 Micro Warehouse, Inc.* ..................... 172,444
2,600 MicroAge, Inc.* ............................ 39,975
7,900 Microchip Technology, Inc.* ................ 292,300
6,100 Micron Electronics, Inc.* .................. 105,606
1,900 MICROS Systems, Inc.* ...................... 62,463
9,300 Mid Atlantic Medical Services, Inc.* ....... 91,256
2,500 Mid-America Apartment
Communities............................... 56,719
1,648 MidAmerica Bancorp ......................... 44,702
3,200 Midas, Inc. ................................ 99,600
6,776 Midway Games, Inc.* ........................ 74,536
3,250 Midwest Express Holdings* .................. 85,516
1,200 Mikasa, Inc. ............................... 15,300
7,900 Milacron, Inc. ............................. 152,075
5,300 Millennium Pharmaceuticals* ................ 137,138
9,850 Miller Industries, Inc.* ................... 44,325
1,900 Mills Corp. ................................ 37,763
2,300 MindSpring Enterprises, Inc.* .............. 140,444
1,000 Mine Safety Appliances Co. ................. 71,000
2,600 Minerals Technologies, Inc. ................ 106,438
900 MiniMed, Inc.* ............................. 94,275
5,300 Minnesota Power & Light Co. ................ 233,200
1,100 Miravant Medical Technology* ............... 14,163
3,468 Mississippi Chemical Corp. ................. 48,552
1,700 Mississippi Valley Bancshares .............. 57,375
3,000 Mitchell Energy & Development Corp. -
Class A................................... 34,313
3,800 MMC Networks, Inc.* ........................ 50,350
2,100 MMI Companies .............................. 35,175
2,200 Mobius Management Systems* ................. 32,725
4,300 Modine Manufacturing Co. ................... 155,875
2,000 Moog, Inc. - Class A ....................... 78,250
5,650 Morgan Keegan, Inc. ........................ 106,291
4,400 Morrison Knudsen, Corp.* ................... 42,900
3,700 MotivePower Industries, Inc. ............... 119,094
2,500 Movado Group ............................... 66,563
3,000 MRV Communications, Inc.* .................. 18,563
2,400 MTS Systems Corp. .......................... 32,400
6,600 Mueller Industries, Inc.* .................. 134,063
4,600 Musicland Stores Corp.* .................... 68,713
4,160 Myers Industries, Inc. ..................... 119,080
2,900 N2K, Inc.* ................................. 37,881
2,000 NAC Re Corp. ............................... 93,875
1,224 NACCO Industries, Inc. - Class A ........... 112,608
2,000 National Bankcorp of Alaska, Inc. .......... 67,500
1,556 National City Bancshares, Inc. ............. 58,058
5,500 National Computer Systems, Inc. ............ 203,500
4,900 National Data Corp. ........................ 238,569
1,700 National Golf Properties, Inc. ............. 49,194
3,100 National Health Investors, Inc. ............ 76,531
Shares Description Value
------ ----------- -----
1,900 National Instruments Corp.* ................ $ 64,838
3,200 National Penn Bancshares, Inc. ............. 87,200
900 National Presto Industries, Inc. ........... 38,363
1,950 National R.V. Holdings, Inc. ............... 50,213
5,800 National Steel Corp. ....................... 41,325
200 National Western Life Insurance -
Class A* ................................. 23,500
5,600 Nationwide Health Properties, Inc. ......... 120,750
1,500 Natural Microsystems Corp.* ................ 10,922
3,800 Nature's Sunshine Products, Inc. ........... 57,950
6,300 Nautica Enterprises, Inc.* ................. 94,500
1,714 NBT Bancorp ................................ 40,065
6,900 NBTY, Inc.* ................................ 49,163
300 NCH Corp. .................................. 17,850
4,100 NCI Building Systems, Inc.* ................ 115,313
2,100 NCO Group, Inc.* ........................... 94,500
3,100 NCS Healthcare, Inc. - Class A* ............ 73,625
2,600 Neomagic Corp.* ............................ 57,525
9,200 Network Appliance, Inc.* ................... 414,000
3,500 Network Equipment Technologies, Inc.* ...... 36,094
500 Network Solutions, Inc.* ................... 65,438
1,800 Neurogen Corp.* ............................ 31,500
6,700 Nevada Power Co. ........................... 174,200
1,600 New England Business Services, Inc. ........ 62,600
2,700 New Era of Networks* ....................... 118,800
4,000 New Jersey Resources Corp. ................. 158,000
12,320 New Plan Realty Trust ...................... 273,350
6,100 Newfield Exploration Co.* .................. 127,338
12,800 Newpark Resources, Inc.* ................... 87,200
7,200 Newport News Shipbuilding, Inc. ............ 240,750
6,500 NeXstar Pharmaceuticals, Inc.* ............. 60,125
4,700 NFO Worldwide, Inc. ........................ 54,050
2,900 Nichols Research Corp.* .................... 60,538
3,200 Nine West Group, Inc.* ..................... 49,800
2,800 NL Industries, Inc. ........................ 39,725
2,900 Nordson Corp. .............................. 148,988
3,400 Norrell Corp. .............................. 50,150
1,600 Norstran, Inc.* ............................ 28,400
200 North Carolina Natural Gas Corp. ........... 6,638
2,400 North Face, Inc.* .......................... 31,200
4,200 North Pittsburgh Systems, Inc. ............. 56,175
5,900 Northwest Natural Gas Co. ................... 152,663
5,700 Northwestern Corp. .......................... 150,694
12,103 Nova Corp.* ................................. 419,823
6,500 Novacare Employee Services*.................. 34,938
13,000 NovaCare, Inc.* ............................. 32,500
5,200 Novellus Systems* ........................... 257,400
1,600 NPC International, Inc.* .................... 19,300
3,200 NS Group, Inc. .............................. 14,200
6,900 NTL, Inc.* .................................. 389,419
2,600 Nuevo Energy Co.* ........................... 29,900
400 NUI Corp. ................................... 10,725
1,300 NVR, Inc. ................................... 61,994
3,000 O'Reilly Automotive, Inc.* .................. 141,750
3,600 Oak Industries, Inc. ........................ 126,000
10,500 Oak Technology* ............................. 36,750
4,000 Oakley, Inc.* ............................... 38,000
See Notes to Financial Statements.
20
<PAGE>
- --------------------------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO
STATEMENT OF NET ASSETS December 31, 1998
- --------------------------------------------------------------------------------
Shares Description Value
------ ----------- --------
6,100 Oakwood Homes ....................... $ 92,644
4,300 Ocean Financial Corp. ............... 71,488
5,800 Oceaneering International, Inc.* .... 87,000
3,100 Octel Corp.* ........................ 43,013
1,800 Ocular Sciences, Inc.* .............. 48,150
4,200 Ocwen Asset Investment Corp. ........ 20,213
3,600 OEA, Inc. ........................... 42,525
1,700 OEC Medical Systems, Inc.* .......... 53,444
2,900 Offshore Logistics, Inc. ............ 34,438
5,484 Old National Bancorp ................ 305,733
12,900 Olsten Corp. ........................ 95,138
3,150 OM Group, Inc. ...................... 114,975
1,200 Omega Financial Corp. ............... 36,300
4,700 OMEGA Healthcare Investors, Inc. .... 141,881
3,000 Omega Protein Corp .................. 30,375
3,000 OMI Corp.* .......................... 9,750
1,600 Omniamerica*......................... 51,200
4,100 Omnipoint Corp.* .................... 38,181
1,800 OmniQuip International, Inc. ........ 27,000
1,400 On Assignment, Inc.* ................ 48,300
6,387 One Valley Bancorp, Inc. ............ 209,973
1,850 Oneida Ltd. ......................... 27,403
5,900 ONEOK, Inc. ......................... 213,138
4,800 Open Market Incorporated* ........... 56,100
1,600 Optical Cable Corp.*................. 19,400
2,900 Orange & Rockland Utilities, Inc. ... 165,300
2,800 Oregon Steel Mills, Inc. ............ 33,250
3,872 Organogenesis, Inc.* ................ 43,560
1,400 Oriental Financial Group ............ 43,838
4,700 Orthodontic Centers of America, Inc.* 91,356
1,700 Oshkosh B `Gosh, Inc. - Class A ..... 34,319
1,500 Otter Tail Power Co. ................ 59,813
3,500 Overseas Shipholding Group, Inc. .... 56,219
4,700 Owens & Minor, Inc. Holding Co. ..... 74,025
13,700 Oxford Health Plans* ................ 203,788
9,600 P-COM, Inc.* ........................ 38,250
2,000 Pacific Capital Bancorp ............. 51,500
1,100 Pacific Gateway Exchange, Inc.* ..... 52,869
2,300 Pacific Gulf Properties, Inc. ....... 46,144
4,850 Pacific Sunwear of California* ...... 79,419
4,600 PageMart Wireless, Inc.* ............ 25,588
12,300 Pairgain Technologies* .............. 94,556
3,794 Palm Harbor Homes, Inc.* ............ 95,561
1,500 Pan Pacific Retail Properties, Inc. . 29,906
71 Panavision, Inc.* ................... 879
3,750 Papa John's International, Inc.* .... 165,469
4,800 Parexel International Corp.* ........ 120,000
1,300 Park Electrochemical Corp. .......... 37,213
1,100 Park National ....................... 113,300
8,300 Parker Drilling Co.* ................ 26,456
1,400 Parkway Properties, Inc. ............ 43,750
2,600 Party City Corp.*.................... 37,538
3,100 PathoGenesis Corp.* ................. 179,800
2,850 Patterson Dental Co.* ............... 123,975
5,900 Patterson Energy, Inc.* ............. 23,969
4,606 Paxar Corp.* ........................ 41,166
4,200 Paxson Communications Corp.* ........ 38,588
Shares Description Value
------ ----------- --------
3,300 Paymentech, Inc.* ................... $ 61,050
2,800 Pediatrix Medical Group, Inc.* ...... 167,825
2,200 Pegasus Systems, Inc.* .............. 79,200
4,500 Pegasystems, Inc.* .................. 18,703
3,200 PennCorp Financial Group, Inc. ...... 3,200
2,800 Pennsylvania Enterprises Inc. ....... 71,400
3,400 Pennsylvania Real Estate Investment
Trust.............................. 66,088
3,855 Pennzoil-Quaker State Co.*........... 57,115
7,200 People's Energy ..................... 287,100
4,300 Peoples Bancorp, Inc. ............... 46,763
900 Perclose, Inc.* ..................... 29,813
1,000 Peregrine Systems, Inc.* ............ 46,375
3,300 Performance Food Group Co.* ......... 92,813
8,500 Perrigo Co.* ........................ 74,906
6,300 Personnel Group of America, Inc.* ... 110,250
2,800 Petco Animal Supplies, Inc.* ........ 28,175
2,300 Petersen Companies, Inc.* ........... 77,913
21,400 PETsMART, Inc.* ..................... 235,400
2,300 PFF Bancorp, Inc.* .................. 36,800
2,166 Pharmaceutical Product
Development........................ 65,115
2,400 Pharmacyclics, Inc.* ................ 61,200
9,100 PharMerica, Inc. .................... 54,600
5,033 Philadelphia Suburban Co. ........... 148,788
5,600 Phillips-Van Heusen Corp. ........... 40,250
10,900 Phoenix Investment Partners ......... 91,969
4,300 Photronics, Inc.* ................... 103,066
15,900 Phycor, Inc.* ....................... 108,319
3,000 PhyMatrix Corp.* .................... 6,563
3,900 Physician Computer Network, Inc.* ... 122
3,000 Physician Reliance Network* ......... 39,375
8,400 Picturetel Corp.* ................... 55,650
5,900 Piedmont Natural Gas Co., Inc. ...... 213,138
1,300 Pilgrim's Pride Corp. ............... 25,919
1,000 Pillowtex Corp. ..................... 26,750
1,050 Pinkertons, Inc.* ................... 22,378
1,200 Pinnacle Systems, Inc.* ............. 42,900
2,900 Pioneer Group, Inc................... 57,275
6,400 Pioneer-Standard Electronics, Inc.... 60,000
5,200 Pittston Burlington Group ........... 57,850
1,600 PJ America, Inc.* ................... 29,000
4,700 Plains Resources, Inc.* ............. 67,563
7,400 Planet Hollywood International -
Class A* ......................... 17,113
2,900 Plantronics, Inc.*................... 249,400
3,100 Platinum Software Corp.*............. 39,719
2,200 Playboy Enterprises Inc. - Class B*.. 46,063
6,900 Playtex Products, Inc.*.............. 110,831
3,100 Plexus Corp.* ....................... 105,013
2,000 PMA Capital Corp. ................... 39,125
5,000 PMC-Sierra, Inc.*.................... 315,625
1,400 Poe & Brown, Inc..................... 48,913
4,900 Pogo Producing Co.................... 63,700
3,000 Polaris Industries, Inc.............. 117,563
3,100 Polycom Corp.*...................... 68,975
5,700 Polymer Group, Inc.*................. 56,644
See Notes to Financial Statements.
21
<PAGE>
- --------------------------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO
STATEMENT OF NET ASSETS December 31, 1998
- --------------------------------------------------------------------------------
Shares Description Value
------ ----------- -----
3,100 Pool Energy Services Co.* .................. $ 33,519
5,600 Potlatch Corp. ............................. 206,500
3,400 Powertel, Inc.* ............................ 46,113
700 Powerwave Technologies, Inc.* .............. 13,038
3,500 Pre-Paid Legal Services, Inc.* ............. 115,500
3,200 Precision Castparts Corp. .................. 141,600
4,000 Premier Bancshares ......................... 104,750
9,700 Premier Parks, Inc. ........................ 293,425
8,100 Premiere Technologies, Inc.* ............... 59,738
3,500 Premisys Communications* ................... 32,156
7,900 Prentiss Properties Trust .................. 176,269
2,900 Presidential Life Corp. .................... 57,638
3,500 Presstek, Inc.* ............................ 23,844
2,700 Preview Travel, Inc.* ...................... 49,781
3,500 PRI Automation, Inc.* ...................... 91,000
1,766 Price Enterprises, Inc.* ................... 9,382
2,100 Price Enterprises, Inc. - Preferred ........ 29,006
11,200 Pride International, Inc.* ................. 79,100
3,200 Primadonna Resort, Inc.* ................... 28,200
1,878 Primark Corp. .............................. 50,941
10,200 Prime Hospitality, Inc. .................... 107,738
10,494 Prime Retail, Inc. ......................... 102,972
800 Primex Technologies, Inc. .................. 34,000
2,700 Priority Healthcare Corp - Class B* ........ 140,063
2,100 Probusiness Services, Inc.* ................ 95,550
1,400 Profit Recovery Group International* ....... 52,413
3,450 Progress Software Corp.* ................... 116,438
900 Project Software & Development, Inc.* ...... 30,150
4,600 Protection One, Inc.* ...................... 39,388
2,400 Protein Design Labs, Inc.* ................. 55,800
5,227 Provident Bankshares Corp. ................. 130,022
1,700 Province Healthcare Co.* ................... 60,988
2,500 PS Business Parks, Inc. .................... 59,688
6,200 PsiNet, Inc.* .............................. 129,425
10,725 PSS World Medical, Inc.* ................... 246,675
2,600 Public Service Company of North
Carolina, Inc............................. 67,600
5,500 Public Service Company of New Mexico........ 112,406
600 Puerto Rican Cement Co., Inc. .............. 20,963
4,900 Pulte Corp. ................................ 136,281
1,523 PXRE Corp. ................................. 38,170
3,200 QAD, Inc. * ................................ 11,400
1,300 Qlogic Corp.* .............................. 170,138
1,700 QRS Corp.* ................................. 81,600
2,000 Quadramed Corp.* ........................... 41,000
4,700 Quaker Fabric Corp.* ....................... 29,375
3,600 Quanex Corp. ............................... 81,225
Quantum Corp.*
4,472 Queens County Bancorp, Inc. ................ 133,042
3,900 Quest Diagnostics, Inc.* ................... 69,469
3,100 Quicksilver, Inc.* ......................... 93,000
1,000 R.L.I. Corp. ............................... 33,250
2,100 Radiant Systems, Inc.* ..................... 15,488
5,450 Rainforest Cafe, Inc.* ..................... 33,041
5,670 Ralcorp Holdings, Inc.* .................... 103,478
2,400 Rambus, Inc.* .............................. 231,000
2,900 Range Resources Corp. ...................... 9,969
Shares Description Value
------ ----------- -----
13,986 Rational Software Corp.* ................... $370,629
5,700 Rayonier, Inc. ............................. 261,844
5,100 Rayovac Corp. .............................. 136,106
4,300 RCN Corp.* ................................. 76,056
6,300 Read-Rite Corp.* ........................... 93,122
1,200 RealNetworks, Inc.* ........................ 43,050
6,100 Realty Income Corp. ........................ 151,738
5,300 Reckson Association Realty Corp. ........... 117,594
1,300 Recoton Corp.* ............................. 23,319
6,100 Red Roof Inns, Inc.* ....................... 102,938
3,100 Redwood Trust, Inc. ........................ 43,400
2,700 Regal-Beloit Corp. ......................... 62,100
1,800 Regency Realty Corp ........................ 40,050
5,500 Regeneron Pharmaceuticals, Inc.* ........... 40,563
2,300 Regis Corp. ................................ 92,000
4,350 Reinsurance Group of America ............... 304,500
1,300 Reliance Bancorp ........................... 36,156
1,400 Reliance Steel & Aluminum Co. .............. 38,675
3,400 Remec, Inc.* ............................... 61,200
4,900 Remedy Corp.* .............................. 68,294
3,280 Renaissance Worldwide, Inc.* ............... 20,090
5,550 Renal Care Group, Inc.* .................... 159,909
1,200 Rent Way, Inc.* ............................ 29,175
2,700 Rental Service Corp.* ...................... 42,356
1,900 Renters Choice, Inc.* ...................... 60,325
2,712 Republic Bancorp, Inc. ..................... 36,951
1,200 Republic Bancshares ........................ 15,750
11,600 Republic Security Financial ................ 140,650
1,550 Res-Care, Inc.* ............................ 38,266
3,000 Resmed, Inc.* .............................. 136,125
4,800 Resource America Inc.- Class A ............. 43,500
1,803 Resource Bancshares Mortgage
Group, Inc................................ 29,862
3,751 Respironics, Inc.* ......................... 75,137
6,400 RFS Hotel Investors, Inc. .................. 78,400
6,200 Richfood Holdings, Inc. .................... 128,650
3,300 Richmond County Financial Corp. ............ 53,006
2,500 Riggs National Corp. ....................... 50,938
2,300 Rio Hotel and Casino, Inc.* ................ 36,513
3,300 Risk Capital Holdings, Inc.* ............... 71,775
4,000 Roadway Express, Inc. ...................... 57,750
1,200 Robbins & Myers, Inc. ...................... 26,550
1,800 Robert Mondavi Co.- Class A* ............... 73,575
3,300 Roberts Pharmaceutical Corp.*............... 71,775
5,100 Rochester Gas & Electric Corp............... 159,375
3,500 Rock-Tenn Co. .............................. 59,281
1,800 Rogers Corp. ............................... 53,775
3,200 Rohn Industries, Inc. ...................... 11,000
11,150 Rollins Truck Leasing Corp. ................ 164,463
5,000 Rollins, Inc. .............................. 87,500
6,683 Romac International, Inc.* ................. 148,697
4,100 Roper Industries, Inc. ..................... 83,538
8,300 Roslyn Bancorp, Inc. ....................... 178,450
3,800 RTI International Metals* .................. 53,200
6,200 Ruby Tuesday, Inc. ......................... 131,750
6,000 Ruddick Corp. .............................. 138,000
1,900 Rural/Metro Corp.* ......................... 20,781
See Notes to Financial Statements.
22
<PAGE>
- --------------------------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO
STATEMENT OF NET ASSETS December 31, 1998
- --------------------------------------------------------------------------------
Shares Description Value
------ ----------- -----
2,700 Russ Berrie & Co., Inc. ................... $ 63,450
6,100 Russell Corp. ............................. 123,906
8,600 Rutherford-Moran Oil Corp.* ............... 24,188
5,400 Ryan's Family Steak House* ................ 66,825
3,500 Ryland Group, Inc. ........................ 101,063
3,620 S & T Bancorp ............................. 99,776
9,700 S3, Inc.* ................................. 71,386
1,400 Sabratek Corp.* ........................... 22,925
3,600 Safeguard Scientifics, Inc.* .............. 98,775
6,120 Safety-Kleen Corp. ........................ 86,445
582 Samsonite Corp.* .......................... 3,237
4,600 SanDisk Corp.* ............................ 64,975
1,300 Sandy Spring Bancorp ...................... 39,163
3,600 SangStat Medical Corp.* ................... 76,500
21,700 Santa Fe Energy Resources ................. 160,038
2,000 Sapient Corp.* ............................ 112,000
4,100 Sauer Inc. ................................ 31,006
1,100 Sawtek, Inc.* ............................. 19,250
1,700 Sbarro, Inc. .............................. 44,519
1,400 Schein Pharmaceutical, Inc.* .............. 20,388
1,700 Scholastic Corp.* ......................... 91,163
6,600 Schulman (A.), Inc. ....................... 149,738
1,900 Schweitzer-Manduit International, Inc. .... 29,331
1,400 Scientific Games Holdings Corp.* .......... 26,425
7,400 Scios, Inc.* .............................. 76,775
2,200 SCM Microsystems, Inc.* ................... 156,338
2,800 Scotsman Industries, Inc. ................. 57,575
4,500 Scott Technologies Inc. ................... 74,391
3,800 Scotts Company (The)* ..................... 146,063
2,900 SCPIE Holdings, Inc. ...................... 87,906
2,600 SDL, Inc.* ................................ 103,025
2,700 Seacor Smit, Inc.* ........................ 133,481
8,200 Seagull Energy Corp.* ..................... 51,763
7,700 Security Capital Corp. - Class B* ......... 104,431
7,200 Security Dynamics Technologies, Inc.* ..... 165,600
1,800 SEI Investments Co. ....................... 178,875
3,000 Seitel, Inc. .............................. 37,313
3,800 Selective Insurance Group, Inc. ........... 76,475
1,839 Semco Energy, Inc. ........................ 29,999
2,100 Semtech Corp.* ............................ 75,338
8,700 Sensormatic Electronics* .................. 60,356
4,100 Sepracor Inc.* ............................ 359,006
800 Sequa Corp. - Class A ..................... 47,900
8,100 Sequent Computer Systems, Inc.* ........... 97,706
6,300 Sequus Pharmaceuticals, Inc.* ............. 127,575
4,825 Serologicals Corp.* ....................... 144,750
3,100 Service Experts, Inc.* .................... 90,675
4,000 SFX Entertainment Inc. - Class A* ......... 219,500
1,300 Shiloh Industries, Inc.* .................. 17,063
6,600 Shiva Corp.* .............................. 37,331
3,400 ShopKo Stores, Inc.* ...................... 113,050
5,400 Shorewood Packaging Corp.* ................ 110,700
3,700 Shurgard Storage Centers, Inc. ............ 95,506
3,100 Sierra Health Services, Inc.* ............. 65,294
6,000 Sierra Pacific Resources .................. 228,000
5,450 SIGCORP, Inc. ............................. 194,497
1,300 Signal Corporation ........................ 44,525
Shares Description Value
------ ----------- -----
2,800 Silgan Holdings, Inc.* .................... $ 77,831
4,100 Silicon Valley Bancshares ................. 69,828
6,400 Silicon Valley Group, Inc.* ............... 81,600
1,200 Siliconix, Inc.* .......................... 24,900
1,500 Simmons First National .................... 55,688
2,400 Simpson Industries, Inc. .................. 23,250
1,500 Simpson Manufacturing Co., Inc.* .......... 56,156
3,500 Sipex Corp.* .............................. 122,938
2,000 SIS Bancorp, Inc. ......................... 90,500
8,600 Sitel Corp.* .............................. 20,963
5,156 Sky Financial Group, Inc. ................. 136,312
2,000 Skyline Corp. ............................. 65,000
10,100 Skytel Communications Inc.* ............... 223,463
2,700 Skywest, Inc. ............................. 88,256
3,100 SL Green Realty Corp. ..................... 67,038
3,100 SLI, Inc.* ................................ 86,025
1,300 Smart & Final, Inc. ....................... 12,513
5,000 SMART Modular Technologies, Inc.* ......... 138,750
1,800 Smith (A.O.) Corp. ........................ 44,213
2,100 Smith (Charles E.) Residential Realty, Inc. 67,463
6,000 Smithfield Foods* ......................... 203,250
3,100 Smucker (J.M.) Co. - Class A .............. 76,725
4,300 Snyder Oil Corp. .......................... 57,244
5,600 Software AG Systems, Inc.* ................ 101,500
3,200 Sola International, Inc.* ................. 55,200
2,450 Sonic Corp.* .............................. 60,944
4,000 SOS Staffing Services* .................... 29,000
7,600 Sotheby's Holdings, Inc. - Class A ........ 243,200
1,000 South Jersey Industries, Inc. ............. 26,188
1,400 Southern Pacific Funding Corp.* ........... 112
6,100 Southern Peru Copper Corp. ................ 57,569
2,306 Southern Union Co. ........................ 56,209
31,500 Southland Corp.* .......................... 60,047
6,300 Southwest Gas Corp. ....................... 169,313
3,300 Southwestern Energy Co. ................... 24,750
3,500 Southwest Bancorp of Texas* ............... 62,563
1,600 Sovran Self Storage, Inc. ................. 40,200
3,000 Spartech Corp. ............................ 66,000
2,500 Special Metals Corp.* ..................... 22,344
1,500 Specialty Equipment Companies, Inc.* ...... 40,594
2,500 SpeedFam International, Inc.* ............. 42,813
2,800 Speedway Motorsports, Inc.* ............... 79,800
5,900 Spelling Entertainment Group .............. 44,250
1,300 Splash Technology Holdings, Inc.* ......... 9,669
4,250 Sports Authority, Inc.* ................... 22,313
1,700 Sportsline USA, Inc.* ..................... 26,456
1,500 Springs Industries, Inc. - Class A......... 62,156
1,400 SPS Technologies, Inc.* ................... 79,275
4,600 SPX Corp. ................................. 308,200
1,400 SS&C Technologies* ........................ 17,325
2,200 St. John Knits, Inc. ...................... 57,200
2,400 St. Mary Land & Exploration Co. ........... 44,400
5,225 St. Paul Bancorp, Inc. .................... 142,218
2,100 Staff Leasing, Inc.* ...................... 24,413
3,700 StaffMark, Inc.* .......................... 82,788
6,200 Stage Stores, Inc.* ....................... 58,125
2,400 Standard Motor Products, Inc. ............. 58,200
See Notes to Financial Statements.
23
<PAGE>
- --------------------------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO
STATEMENT OF NET ASSETS December 31, 1998
- --------------------------------------------------------------------------------
Shares Description Value
------ ----------- -----
2,100 Standard Products Co. ................. $ 42,788
1,700 Standard Register Co. ................. 52,594
3,400 Standard-Pacific Corp. ................ 48,025
2,900 Standex International Corp. ........... 76,125
2,500 Star Telecommunications, Inc.* ........ 30,469
1,600 Starrett (L.S.) Co. - Class A ......... 54,900
2,200 State Auto Financial Corp. ............ 27,225
6,400 Staten Island Bancorp, Inc. ........... 127,600
4,400 Station Casinos, Inc.* ................ 36,025
7,900 Steel Dynamics, Inc.* ................. 92,825
3,700 Stein Mart, Inc.* ..................... 25,784
2,200 Steinway Musical Instruments, Inc.* ... 57,200
1,400 Stepan Co. ............................ 37,275
1,900 Sterling Bancorp Co. .................. 43,344
5,400 Sterling Bancshares ................... 80,325
6,300 Stewart & Stevenson Services, Inc. .... 61,425
800 Stewart Information Services .......... 46,400
2,700 Stillwater Mining Co.* ................ 110,700
1,800 Stone & Webster, Inc. ................. 59,850
1,700 Stone Energy Corp.* ................... 48,875
2,400 Stoneridge, Inc.* ..................... 54,600
1,900 Storage Trust Realty .................. 44,413
5,700 Storage USA, Inc. ..................... 184,181
1,000 Strawbridge & Clothier
1,600 Strayer Education, Inc. ............... 56,400
9,800 Stride Rite Corp. ..................... 85,750
6,500 Structural Dynamics Research Corp.* ... 129,188
2,500 Sturm Ruger & Co., Inc. ............... 29,844
1,500 Suburban Lodges of America* ........... 12,281
6,600 Summit Properties, Inc. ............... 113,850
4,400 Sun Communities, Inc. ................. 153,175
8,100 Sun Healthcare Group, Inc.* ........... 53,156
1 Sunburst Hospitality Corp.* ........... 4
6,600 Sunglass Hut International* ........... 46,200
1,800 Sunrise Assisted Living, Inc.* ........ 93,375
4,600 Sunrise Medical, Inc.* ................ 57,213
4,400 Sunstone Hotel Investors, Inc. ........ 41,525
4,000 Sunterra Corp.* ....................... 60,000
900 Superior Consultant Holdings Corp.* ... 39,150
5,700 Superior Energy Services, Inc.* ....... 16,209
2,700 Superior Industries International, Inc. 75,094
3,000 Superior Services, Inc.* .............. 60,188
1,100 Superior Telecom, Inc. ................ 51,975
4,425 Susquehanna Bancshares, Inc. .......... 90,574
1,930 Swift Energy Co.* ..................... 14,234
3,200 Swift Transportation Co., Inc.* ....... 89,700
16,400 Sybase, Inc.* ......................... 121,463
3,600 Sykes Enterprises, Inc.* .............. 109,800
7,225 Sylvan Learning Systems, Inc.* ........ 220,363
9,500 Symantec Corp.* ....................... 206,625
2,500 Synetic, Inc.* ........................ 110,000
7,400 System Software Associates, Inc. ...... 52,031
4,400 Systems & Computer Technology Corp.* .. 60,500
2,500 Talbots ............................... 78,438
200 Tanger Factory Outlet Center .......... 4,238
9,200 Taubman Centers, Inc. ................. 126,500
3,000 Tava Technologies, Inc.* .............. 22,875
Shares Description Value
------ ----------- -----
2 TCF Financial Corp. ................... $ 48
8,500 TCI Satellite Entertainment - Class A* 12,219
2,400 Techne Corp.* ......................... 50,700
2,600 Technitrol, Inc. ...................... 82,875
5,325 Technology Solutions Co.* ............. 57,077
3,600 Tecumseh Products Co. - Class A ....... 167,850
1,300 Tejon Ranch Co. ....................... 25,838
6,300 Tekelec* .............................. 104,344
7,400 Tel-Save Holdings, Inc.* .............. 123,950
4,000 Teletech Holdings, Inc.* .............. 41,000
2,100 Telxon Corp. .......................... 29,138
2,400 Tennant Co. ........................... 96,300
2,300 Terex Corp. ........................... 65,694
7,400 Terra Industries, Inc. ................ 45,788
3,600 Tesoro Petroleum Corp. ................ 43,650
5,481 Tetra Tech, Inc.* ..................... 148,330
1,800 Tetra Technologies, Inc.* ............. 19,688
4,000 Texas Industries, Inc. ................ 107,750
1,900 Texas Regional Bancshares, Inc. ....... 47,619
5,600 Theragenics Corp.* .................... 94,150
1,900 Thermedics, Inc.* ..................... 20,544
2,500 Thermo Cardiosystems, Inc.* ........... 26,094
4,000 Thermo Ecotek Corp.*................... 42,250
4,700 Thermo Fibertek, Inc.*................. 33,488
3,200 Thermo Optek Corporation *............. 27,800
1,800 Thermolase Corp.* ..................... 8,213
4,100 ThermoTrex Corp.* ..................... 35,106
2,100 Thomas Industries, Inc. ............... 41,213
2,100 Thor Industries, Inc. ................. 53,550
5,400 Thornburg Mortgage Asset Corp. ........ 41,175
8,900 TIG Holdings, Inc. .................... 138,506
600 Timberland Co. - Class A* ............. 27,338
7,200 Titan Exploration, Inc.* .............. 47,250
3,300 Titan International, Inc. ............. 31,350
2,900 Titanium Metals Corp. ................. 24,650
1,700 TJ International, Inc. ................ 43,669
2,400 TMP Worldwide, Inc.* .................. 100,800
1,400 TNP Enterprises, Inc. ................. 53,113
3,100 Toll Brothers, Inc.* .................. 69,944
1,700 Toro Co. .............................. 48,450
8,800 Tower Automotive, Inc.* ............... 219,450
1,700 Tower Realty Trust, Inc. .............. 34,213
3,900 Town And Country Trust ................ 62,644
3,400 TR Financial Corp. .................... 133,875
3,900 Trammell Crow Co.* .................... 109,200
7,000 Trans World Airlines* ................. 33,688
3,150 Trans World Entertainment Corp.* ...... 60,047
1,200 Transaction Network Services, Inc.* ... 24,075
5,200 Transactions Systems Architects, Inc. -
Class A* ............................ 260,000
3,400 Transition Systems, Inc.* ............. 51,000
2,200 Transkaryotic Therapies, Inc.* ........ 55,825
2,900 Transmontaigne Oil Co.* ............... 43,863
4,230 Tredegar Industries, Inc. ............. 95,175
1,000 Tremont Corp. ......................... 33,250
1,500 Trenwick Group, Inc. .................. 48,938
3,000 Triad Guaranty, Inc.* ................. 66,188
See Notes to Financial Statements.
24
<PAGE>
- --------------------------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO
STATEMENT OF NET ASSETS December 31, 1998
- --------------------------------------------------------------------------------
Shares Description Value
------ ----------- -----
6,250 Triangle Bancorp, Inc.* ........................ $ 98,828
2,600 Triangle Pharmaceuticals, Inc. ................. 35,425
2,000 Triarc Companies Inc. - Class A ................ 32,000
4,100 Trico Marine Services, Inc.* ................... 19,988
2,900 Trimble Navigation Ltd.* ....................... 21,025
5,100 TriNet Corporate Realty Trust .................. 136,425
3,600 Tristar Aerospace Co.* ......................... 25,200
1,500 Triumph Group, Inc.* ........................... 48,000
2,100 Trust Company of New Jersey .................... 51,450
3,530 Trustco Bank Corp. ............................. 105,900
5,900 Tuboscope, Inc.* ............................... 47,938
4,200 Twinlab Corp.* ................................. 55,125
5,100 Tyler Corp. .................................... 31,238
1,600 U. S. Home Corp.* .............................. 53,200
1,500 U.S. Restaurant Properties, Inc. ............... 36,469
4,700 U.S. Satellite Broadcasting* ................... 64,625
7,000 UGI Corp. ...................................... 166,250
5,000 UICI, Inc.* .................................... 122,500
2,700 Ultratech Stepper, Inc.* ....................... 43,200
3,381 UMB Financial Corp. ............................ 155,103
5,400 Unicapital Corp.* .............................. 39,825
1,300 Unifirst Corp. ................................. 29,656
4,200 Unisource Energy Corp. ......................... 56,700
9,100 Unisource Worldwide Inc. ....................... 65,975
2,100 United Auto Group, Inc.* ....................... 19,294
7,500 United Bankshares, Inc. ........................ 198,750
3,400 United Companies Financial Corp. ............... 11,475
19,800 United Dominion Realty Trust* .................. 204,188
1,700 United Fire & Casualty Co. ..................... 57,163
1,900 United Illuminating Co. ........................ 97,850
5,300 United International Holdings* ................. 102,025
2,750 United National Bancorp New Jersey ............. 63,938
700 United Natural Foods, Inc.* .................... 16,888
3,000 United Payors and United Providers, Inc.* ...... 85,500
5,451 United Rentals, Inc.* .......................... 180,564
7,300 United Stationers, Inc. ........................ 189,800
500 United Television, Inc. ........................ 57,500
6,500 United Water Resources, Inc. ................... 155,594
2,000 United Wisconsin Services, Inc. ................ 17,375
5,400 Unitrode Corp. ................................. 94,500
4,700 Universal Corp. ................................ 165,088
6,800 Universal Foods Corp. .......................... 186,575
4,000 Universal Forest Products, Inc. ................ 80,250
4,700 UNOVA, Inc.* ................................... 85,188
1,300 Urban Outfitters, Inc.* ........................ 21,938
1,300 Urban Shopping Centers, Inc. ................... 42,575
1,800 US Bancorp, Inc. ............................... 35,775
5,600 US Bioscience, Inc.* ........................... 40,250
3,400 USFreightways Corp. ............................ 99,025
5,561 UST Corp. ...................................... 131,031
10,100 Usweb Corp* .................................... 266,388
3,500 UTI Energy Corp.* .............................. 25,375
3,500 Vail Resorts, Inc.* ............................ 77,000
6,500 Valassis Communications ........................ 335,563
2,500 Valmont Industries ............................. 34,688
1,500 Value City Department Stores, Inc.* ............ 20,906
Shares Description Value
------ ----------- -----
3,400 Vanguard Cellular Systems, Inc. -
Class A* ..................................... $ 87,763
8,900 Vanstar Corp.* ................................. 82,325
3,400 Vantive Corp.* ................................. 27,200
3,925 Varlen Corp. ................................... 90,520
1,900 Veeco Instruments, Inc.* ....................... 100,938
12,200 Vencor, Inc.* .................................. 54,900
1,800 Ventana Medical Systems, Inc.* ................. 38,925
11,100 Ventas* ........................................ 135,281
4,900 Veritas DGC, Inc.* ............................. 63,700
1,700 Vermont Financial Services Corp. ............... 56,525
5,000 Vertex Pharmaceuticals, Inc.* .................. 148,750
2,600 Vesta Insurance Group, Inc. .................... 15,600
2,700 Veterinary Centers of America, Inc.* ........... 53,831
4,200 Viasoft, Inc.* ................................. 29,400
3,300 Vical, Inc.* ................................... 46,819
4,600 Vicor Corp.* ................................... 41,400
4,800 Vintage Petroleum, Inc. ........................ 41,400
2,300 Viropharma, Inc.* .............................. 21,419
6,800 Vishay Intertechnology, Inc.* .................. 98,600
3,400 Visio Corp.* ................................... 124,313
2,700 Visual Networks, Inc.* ......................... 101,250
2,500 VISX, Inc.* .................................... 218,594
800 Vital Signs, Inc. .............................. 14,000
4,500 Vivus, Inc.* ................................... 11,672
3,300 Vlasic Foods International* .................... 78,581
5,700 VLSI Technology, Inc.* ......................... 62,344
2,250 Volt Information Sciences, Inc.* ............... 50,766
3,000 VWR Scientific Products Corp. .................. 52,125
4,700 Wabash National ................................ 95,469
2,200 Wackenhut Corp. ................................ 55,963
2,200 Wackenhut Corrections Corp.* ................... 62,975
2,300 Walden Residential Properties, Inc. ............ 47,006
5,800 Wallace Computer Services, Inc. ................ 152,975
8,900 Walter Industries, Inc.* ....................... 136,281
8,700 Wang Laboratories, Inc.* ....................... 241,425
5,800 Washington Gas Light Corp. ..................... 157,325
8,800 Washington Real Estate
Investment Trust ............................. 163,900
11,100 Washington Water Power Co. ..................... 213,675
2,300 Waste Industries, Inc.* ........................ 39,675
2,450 Watsco, Inc. ................................... 41,038
2,100 Watts Industries, Inc. - Class A ............... 34,913
10,570 Wausau Paper Mills Co. ......................... 186,957
4,600 Wavephore, Inc.* ............................... 36,944
1,800 WD-40 Co. ...................................... 51,525
1,900 Webb (Del E.) Corp. ............................ 52,369
7,600 Webster Financial Corp. ........................ 208,525
4,700 Weeks Corp. .................................... 132,481
4,100 Weider Nutrition International, Inc............. 26,138
5,100 Weingarten Realty Investment ................... 227,588
4,400 Wellman, Inc. .................................. 44,825
3,762 Werner Enterprises, Inc. ....................... 66,540
2,200 Wesley Jessen VisionCare* ...................... 61,050
1,608 West Co., Inc. ................................. 57,386
3,200 West Coast Bancorp/Oregon ...................... 67,200
See Notes to Financial Statements.
25
<PAGE>
- --------------------------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO
STATEMENT OF NET ASSETS December 31, 1998
- --------------------------------------------------------------------------------
Shares Description Value
------ ----------- -----
1,200 West Marine, Inc.* ................... $ 11,850
2,400 West Teleservices Corp.* ............. 23,400
7,968 Westamerica Bancorporation ........... 292,824
4,600 WestBanco Inc. ....................... 135,700
2,100 Westcorp, Inc. ....................... 14,569
1,700 Westell Technologies - Class A* ...... 8,288
2,000 Western Bancorp ...................... 58,500
5,500 Western Bank Puerto Rico ............. 87,313
3,600 Western Gas Resources, Inc. .......... 20,700
11,300 Western Wireless Corp - Class A* ..... 248,600
7,200 Westfield America, Inc. .............. 124,200
2,200 Westinghouse Air Brake Co. ........... 53,763
3,000 Westwood One, Inc.* .................. 91,500
2,300 Wet Seal, Inc. - Class A* ............ 69,431
4,400 Whitney Holding Corp. ................ 165,000
5,500 Whittman-Hart, Inc.* ................. 151,938
3,900 WHX Corp.* ........................... 39,244
7,700 Wicor, Inc. .......................... 167,956
1,400 Wilmar Industries, Inc.* ............. 28,438
2,900 Wind River Systems* .................. 136,300
3,800 Windmere Corp. ....................... 29,450
6,700 WinStar Communications, Inc.* ........ 261,300
9,100 Wisconsin Central Transportation* .... 156,406
3,700 Wolverine Tube, Inc.* ................ 77,700
5,600 Wolverine World Wide, Inc. ........... 74,200
2,100 Woodward Governor Company ............ 46,463
3,200 World Access, Inc.* .................. 68,400
7,500 World Color Press, Inc.* ............. 228,281
3,200 WPS Resources Corp. .................. 112,800
3,900 WSFS Financial Corp. ................. 65,813
2,600 Wyman/Gordon Corp. ................... 26,650
1,925 Wynn's International, Inc. ........... 42,591
2,200 X-Rite, Inc. ......................... 17,050
3,300 Xircom, Inc.* ........................ 112,200
1,200 Xomed Surgical Supplies* ............. 38,400
2,000 Xtra Corp. ........................... 82,750
6,600 Xylan Corp.* ......................... 115,913
3,000 Yankee Energy System, Inc. ........... 87,375
5,300 Yellow Corp. ......................... 101,363
1,300 Young Broadcasting Corp. - Class A* .. 54,438
6,600 Zale Corp.* .......................... 212,850
2,000 Zapata Corp. ......................... 24,500
3,000 Zebra Technologies Corp. - Class A* .. 86,250
2,800 Zenith National Insurance Corp. ...... 64,750
4,700 Zila, Inc.* .......................... 46,413
2,100 Zoltek Cos., Inc.* ................... 19,294
2,300 Zonagen, Inc.* ....................... 43,989
------------
TOTAL COMMON STOCK (COST $144,292,960) 141,501,040
------------
Shares Description Value
------ ----------- -----
OTHER SECURITIES - 0.0%
586 Apartment Investment &
Management Co. Series E pfd............. $ 21,682
2,500 Coast Federal Litigation Contingent
Payment Rights Trust.................... 16,563
1,300 Fusion Systems Contingent
Value Rights 3/31/99.................... 20
400 Prime Retail, Inc. 8.5%
Series B pfd ........................... 6,650
----------
TOTAL OTHER SECURITES (Cost $46,932)................. 44,915
----------
SHORT-TERM INSTRUMENTS - 1.8%
Mutual Fund - 1.4%
1,971,461 BT Institutional Cash Management
Fund ................................... 1,971,461
----------
Principal
Amount
------
U.S. TREASURY BILLS - 0.4%
$ 520,000 4.70%, 1/14/99**.......................... 519,236
45,000 5.02%, 1/14/99**.......................... 44,940
----------
TOTAL SHORT TERM SECURITIES (Cost $2,535,637)........ 2,535,637
----------
TOTAL INVESTMENTS (Cost $146,875,529)99.8% $144,081,592
OTHER ASSETS LESS LIABILITIES.........0.2% 183,431
------ ----------
NET ASSETS..........................100.0% $144,265,023
====== ==========
</TABLE>
- -------------
* Non-income producing security
** Held as collateral for futures contracts.
See Notes to Financial Statements.
26
<PAGE>
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO
STATEMENT OF OPERATIONS For the year ended December 31, 1998
- -----------------------------------------------------------------------------------------
<S> <C>
INVESTMENT INCOME
Dividends ............................................................. $ 1,559,462
Interest .............................................................. 9,654
------------
TOTAL INVESTMENT INCOME .................................................. 1,569,116
------------
EXPENSES
Advisory Fees ......................................................... 151,232
Administration and Services Fees ...................................... 50,411
Professional Fees ..................................................... 37,804
Shareholder Reports ................................................... 6,000
Trustees Fees ......................................................... 3,146
Miscellaneous ......................................................... 4,661
------------
Total Expenses ........................................................ 253,254
Less: Expenses Absorbed by Bankers Trust .............................. (152,329)
------------
Net Expenses ....................................................... 100,925
------------
NET INVESTMENT INCOME .................................................... 1,468,191
------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FUTURES CONTRACTS
Net Realized Gain from Investment Transactions ........................ 7,535,638
Net Realized Gain from Futures Transactions ........................... 69,097
Net Change in Unrealized Appreciation/Depreciation on Investments ..... (13,721,555)
Net Change in Unrealized Appreciation/Depreciation on Futures Contracts 131,275
------------
NET REALIZED AND UNREALIZED LOSS ON INVESTMENTS AND FUTURES CONTRACTS .... (5,985,545)
------------
NET DECREASE IN ASSETS FROM OPERATIONS ................................... $ (4,517,354)
============
</TABLE>
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
- ----------------------------------------------------------------------------------------------------------
FOR THE FOR THE
YEAR ENDED YEAR ENDED
DECEMBER 31, 1998 DECEMBER 31, 1997
------------------ ------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS
Net Investment Income .............................................. $ 1,468,191 $ 1,240,486
Net Realized Gain from Investments and Futures Transactions ........ 7,604,735 8,651,921
Net Change in Unrealized Appreciation/Depreciation on Investment and
Futures Contracts ................................................ (13,590,280) 7,704,363
------------- -------------
Net Increase (Decrease) in Net Assets from Operations ................. (4,517,354) 17,596,770
CAPITAL TRANSACTIONS
Proceeds from Capital Invested ..................................... 159,794,939 48,304,725
Value of Capital Withdrawn ......................................... (80,420,161) (78,578,237)
------------- -------------
Net Increase (Decrease) in Net Assets from Capital Transactions ....... 79,374,778 (30,273,512)
------------- -------------
Total Increase (Decrease) in Net Assets ............................... 74,857,424 (12,676,742)
NET ASSETS
Beginning of Year .................................................. 69,407,599 82,084,341
------------- -------------
End of Year ........................................................ $ 144,265,023 $ 69,407,599
============= =============
</TABLE>
See Notes to Financial Statements.
27
<PAGE>
- --------------------------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
Contained below are selected supplemental data and ratios to average net assets
for periods indicated for the Small Cap Index Portfolio.
<TABLE>
<CAPTION>
For the year ended
December 31, For the period July 1, 1996 1
1998 1997 to December 31, 1996
---- ---- -----------------------------
<S> <C> <C> <C>
Supplemental Data and Ratios:
Net Assets, End of Period (000s omitted)............. $144,265 $69,408 $82,084
Ratios to Average Net Assets:
Net Investment Income............................. 1.45% 1.51% 1.70% 2
Expenses.......................................... 0.10% 0.10% 0.20% 2
Decrease Reflected in Above Expenses Ratio Due
to Absorption of Expenses by Bankers Trust...... 0.15% 0.13% 0.12% 2
Portfolio Turnover Rate........................... 86% 88% 16%
</TABLE>
- -----------
1 The Fund's inception date
2 Annualized
See Notes to Financial Statements.
28
<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 shares of beneficial interest in the Portfolio.
B. Security Valuation
The Portfolio's investments are valued each business day by an independent
pricing service approved by the Trustees. Securities 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 each day. Short-term obligations with remaining
maturities of 60 days or less are valued at amortized cost. All other securities
and other assets are valued at their fair value as determined in good faith
under procedures established by and under the general supervision of the
Trustees.
C. Security Transactions and Interest Income
Security transactions are accounted for on a trade date basis. Dividend income,
less foreign taxes withheld, if any, is recorded on the ex-dividend date or upon
receipt of ex-dividend notification in the case of certain foreign securities.
Interest income is recorded on the accrual basis and includes amortization of
premium and discount on investments. Realized gains and losses from securities
transactions are recorded on the identified cost basis.
All of the net investment income and realized and unrealized gains and losses
from the security and foreign currency transactions of the Portfolio are
allocated pro rata among the investors in the Portfolio at the time of such
determination.
D. Repurchase Agreements
The Portfolio may enter into repurchase agreements with financial institutions
deemed to be creditworthy by the Portfolio's Investment Advisors, subject to the
seller's agreement to repurchase such securities at a mutually agreed upon
price. Securities purchased subject to repurchase agreements are deposited with
the Portfolio custodian, and pursuant to the terms of the repurchase agreement
must have an aggregate market value greater than or equal to the repurchase
price plus accrued interest at all times. If the value of the underlying
securities falls below the value of the repurchase price plus accrued interest,
the Portfolio will require the seller to deposit additional collateral by the
next business day. If the request for additional collateral is not met, or the
seller defaults on its repurchase obligation, the Portfolio maintains the right
to sell the underlying securities at market value and may claim any resulting
loss against the seller.
E. Option Contracts
The Portfolio may enter into option contracts. Upon the purchase of a put option
or a call option by a Portfolio, the premium paid is recorded as an investment,
the value of which is marked-to-market daily to reflect the current market
value. When a purchased option expires, the Portfolio will realize a loss in the
amount of the cost of the option. When the Portfolio enters into a closing sale
transaction, it 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. Variation margin payments are made
or received by the Portfolio each day, dependent on the daily fluctuations in
the value of the underlying security, and are recorded for financial statement
purposes as unrealized gains or losses by the Portfolio. The Portfolio's
investment in the financial futures contracts is designed to closely replicate
the benchmark index used by the Portfolio.
Futures contracts are valued at the settlement price established each day by the
board of trade or exchange on which they are traded.
G. Federal Income Taxes
The Portfolio is considered a partnership under the Internal Revenue Code.
Therefore, no federal income tax provision is required.
H. Other
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions that
affect the reported amounts in the financial statements. Actual results could
differ from those estimates.
NOTE 2--FEES AND TRANSACTIONS WITH AFFILIATES
The Portfolio has entered into an Administration and Services Agreement with
Bankers Trust Company ("Bankers Trust"). Under this Administration and Services
Agreement, Bankers Trust provides administrative, custody and shareholder
services to the Portfolio in return for a fee computed daily and paid monthly at
an annual rate of 0.05% of the Portfolio's average daily net assets. For the
year ended December 31, 1998, Administration and Services fees amounted to
$50,411, of which $1,475 was payable at the end of the year.
The Portfolio has entered into an Advisory Agreement with Bankers Trust. Under
this Advisory Agreement, the Portfolio pays Bankers Trust an advisory fee
computed daily and paid monthly at an annual rate of 0.15% of the Portfolio's
average daily net assets. For the year ended December 31, 1998, advisory fees
amounted to $151,232, of which $4,424 was payable at the end of the period.
Bankers Trust has voluntarily undertaken to waive its fees and reimburse
expenses of the Portfolio, to the extent necessary, to limit all expenses to
0.10% of the average daily net assets of the Portfolio. For the year ended
December 31, 1998, expenses of the Portfolio have been reduced by $152,329.
29
<PAGE>
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SMALL CAP INDEX PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
The Portfolio may invest in the BT Institutional Cash Management Fund (the
"Fund"), an open-end management investment company managed by Bankers Trust
Company (the "Company"). The Fund is offered as a cash management option to the
portfolio and other accounts managed by the Company. Distributions from the Fund
to the Portfolio as of December 31, 1998 amounted to $202,824 and are included
in dividend income.
The Portfolio is a participant with other affiliated entities in a revolving
credit facility and a discretionary demand line of credit facility (collectively
the "credit facilities") in the amounts of $50,000,000 and $100,000,000,
respectively, which expire March 15, 1999. A commitment fee of .07% per annum on
the average daily amount of the available commitment is payable on a quarterly
basis and apportioned equally among all participants. Amounts borrowed under the
credit facilities will bear interest at a rate per annum equal to the Federal
Funds Rate plus .45%. No amounts were drawn down or outstanding under the credit
facilities as of and for the year ended December 31, 1998.
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, 1998, were
$165,918,552 and $85,379,351, respectively. For federal income tax purposes, the
tax basis of investments held at December 31, 1998 was $152,040,728. The
aggregate gross unrealized appreciation was $45,097,986, and the aggregate gross
unrealized depreciation was $53,057,122 for all investments as of December 31,
1998.
NOTE 4--FUTURES CONTRACTS
A summary of obligations under these financial instruments at December 31, 1998
is as follows:
<TABLE>
<CAPTION>
Market Unrealized
Type of Future Expiration Contracts Position Value Appreciation
- -------------- ---------- --------- -------- ------ -------------
Russell 2000
<S> <C> <C> <C> <C>
Index Futures March 1999 9 Long $1,913,625 $34,875
</TABLE>
NOTE 5--NET ASSETS
Paid-in Capital ...................... $ 146,927,686
Unrealized Depreciation on Investments
and Futures ........................ (2,662,663)
-------------
Total Net Assets ..................... $ 144,265,023
=============
30
<PAGE>
- --------------------------------------------------------------------------------
SMALL CAP INDEX PORTFOLIO
REPORT OF INDEPENDENT ACCOUNTANTS
- --------------------------------------------------------------------------------
To the Trustees and Holders of Beneficial Interest of the
Small Cap Index Portfolio:
In our opinion, the accompanying statement of net assets and the related
statements of operations and of changes in net assets and the financial
highlights present fairly, in all material respects, the financial position of
the Small Cap Index Portfolio (the "Portfolio") at December 31, 1998, and the
results of its operations, the changes in its net assets and the financial
highlights for each of the fiscal periods presented, in conformity with
generally accepted accounting principles. These financial statements and
financial highlights (hereafter referred to as "financial statements") are the
responsibility of the Portfolio's management; our responsibility is to express
an opinion on these financial statements based on our audits. We conducted our
audits of these financial statements in accordance with generally accepted
auditing standards which require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements, assessing the
accounting principles used and significant estimates made by management, and
evaluating the overall financial statement presentation. We believe that our
audits, which included confirmation of securities at December 31, 1998 by
correspondence with the custodian, provide a reasonable basis for the opinion
expressed above.
PricewaterhouseCoopers LLP
Baltimore, Maryland
February 5, 1999
31
<PAGE>
BT ADVISOR FUNDS
SMALL CAP INDEX FUND
INVESTMENT ADVISOR AND ADMINISTRATOR OF THE PORTFOLIO
BANKERS TRUST COMPANY
130 LIBERTY STREET
NEW YORK, NY 10006
DISTRIBUTOR
ICC DISTRIBUTORS, INC.
P.O. BOX 7558
PORTLAND, ME 04112-9892
CUSTODIAN AND TRANSFER AGENT
BANKERS TRUST COMPANY
130 LIBERTY STREET
NEW YORK, NY 10006
INDEPENDENT ACCOUNTANTS
PRICEWATERHOUSECOOPERS LLP
250 WEST PRATT STREET
BALTIMORE, MD 21201
COUNSEL
WILLKIE FARR & GALLAGHER
787 7TH AVENUE
NEW YORK, NY 10019
-----------------------
For information on how to invest, shareholder account information and current
price and yield information, please contact your relationship manager or the BT
Mutual Fund Service Center at (800) 730-1313. This report must be preceded or
accompanied by a current prospectus for the Fund.
-----------------------
Small Cap Index Fund - Institutional Class Cusip#05576L882
Small Cap Index Fund - Advisor Class Cusip #05576L858
STA513200 (12/98)
