JUNE 30, 1999
[LOGO]
BT Mutual Funds
Small Cap Index Fund
Institutional Class Shares
Semi-Annual Report
Trust: BT Advisor Funds
Investment Advisor: Bankers Trust Company
<PAGE>
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Small Cap Index Fund
Table of Contents
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Letter to Shareholders .................................................... 3
Small Cap Index Fund
Statement of Assets and Liabilities ..................................... 5
Statement of Operations ................................................. 5
Statements of Changes in Net Assets ..................................... 6
Financial Highlights .................................................... 7
Notes to Financial Statements ........................................... 8
Small Cap Index Portfolio
Statement of Net Assets ................................................. 10
Statement of Operations ................................................. 26
Statements of Changes in Net Assets ..................................... 26
Financial Highlights .................................................... 27
Notes to Financial Statements ........................................... 28
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The Fund is not insured by the FDIC and is not a deposit, obligation of or
guaranteed by Bankers Trust Company. The Fund is subject to investment risks,
including possible loss of principal amount invested.
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2
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Small Cap Index Fund
Letter to Shareholders
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We are pleased to present you with this semi-annual report for the Small Cap
Index Fund (the "Fund"), providing a review of the markets, the Portfolio, and
our outlook as well as a complete financial summary of the Fund's operations and
a listing of the Portfolio's holdings.
MARKET ACTIVITY
As the global economy started to improve, the domestic stock market, including
small caps, continued a volatile, but record-breaking run. The S&P 500 Index(1)
advanced during the first six months of 1999, closing above the 1,300 mark late
in the first quarter. The Dow Jones Industrial Average rose to new highs,
passing the 10,000 milestone and then the 11,000 level within the first half of
the year. And, for the first time in seven quarters, the Russell 2000 Index,
representing small cap stocks, dramatically outperformed the S&P 500 Index in
the second quarter of 1999.
Small cap stocks started 1999 underperforming large caps, as small cap
technology stocks lagged their late 1998 performance. Investors took this
opportunity to find value in value stocks. This shift in sentiment, along with
higher oil prices, led particularly to stronger performance in energy related
stocks. Small cap valuations relative to large cap stocks continued to be lower
and thus more attractive.
As the second quarter began, there was sharply renewed strength in formerly
out-of-favor small cap sectors, including cyclicals and value-oriented stocks.
In fact, the Russell 2000 Index outperformed the S&P 500 Index by more than 2 to
1 for the second quarter, with a return of 15.55% versus 7.06%. Spurred on by
positive corporate earnings surprises and a similar rotation into cyclicals
amongst their larger cap brethren, small value stocks outperformed small growth
stocks for the quarter.
Still, for the six months, growth stocks outperformed value stocks within the
small capitalization sector. Top performing sectors for the semi-annual period
included integrated oils, utilities, and technology. The weakest performing
sectors included financial services, health care, and consumer staples. The
annual Frank Russell Company rebalancing of the Russell 2000 Index contributed
to a 60.60% turnover rate for the twelve months ended June 30, 1999. This
turnover was slightly higher compared to the previous year.
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Ten Largest Stock Holdings
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Smithfield Foods Andrew Corp.
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Gemstar International Group Concentric Network Corp.
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Corporate Express Rayonier, Inc.
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AmeriSource Health Corp. Trinity Industries, Inc.
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Lam Research Corp. Tupperware Corp.
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MANAGER OUTLOOK
A fundamental reassessment of the global economic outlook was the big story for
the financial markets during the first half of 1999. The nightmare scenarios of
Armageddon, deflation and financial meltdown that prevailed late last year were
replaced by signs of improving growth-particularly in Asia.
Within the U.S., the improvement globally has not been uniformly good news for
financial markets. Indeed, with U.S. growth showing no signs of slowing and
labor markets still extremely tight, the pick-up in the rest of the world raises
the risks of inflation pressures here at home. To guard against those risks, the
Federal Reserve Board raised the targeted Fed funds rate by 0.25% to 5% at their
meeting on June 30th. Although the Fed declared a bias toward a neutral stance,
we expect continued strong growth and some pick-up in inflation
INVESTMENT REVIEW
<TABLE>
<CAPTION>
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Cumulative Total Returns Average Annual Total Returns
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<S> <C> <C> <C> <C> <C>
Past 6 Past 1 Since Past 1 Since
Periods ended June 30, 1999 months year inception year inception
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Small Cap Index Fund(2)
Institutional Class Shares (inception 7/10/96) 8.26% 1.18% 41.99% 1.18% 12.53%
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Russell 2000 Index(3) 9.28% 1.50% 43.24% 1.50% 13.11%
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Lipper Small Cap Average(4) 8.56% 1.93% 48.59% 1.93% 14.23%
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</TABLE>
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(1) The S&P 500 is an index of common stocks in industry, transportation, and
financial and public utility companies. This index is unmanaged, and
investments cannot be made in an index.
(2) Past performance is not indicative of future results. Investment return and
principal value will fluctuate so that an investor's shares, when redeemed,
may be worth more or less than their original cost.
(3) The Russell 2000 Index is an unmanaged index that measures small
capitalization equities. This index is unmanaged, and investments cannot be
made in an index. Small cap stocks have historically experienced greater
volatility than average.
(4) Lipper figures represent the average of the total returns reported by all of
the mutual funds designated by Lipper Analytical Services, Inc. as falling
into the respective categories indicated. These figures do not reflect sales
charges. The Fund is not insured by the FDIC and is not a deposit,
obligation of, or guaranteed by Bankers Trust Company. The Fund is subject
to investment risks, including possible loss of principal amount invested.
3
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Small Cap Index Fund
Letter to Shareholders
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Diversification of Portfolio Investments
[GRAPHIC]
In the printed version of the document, a pie chart appears which depicts the
following plot points:
By Sector as of June 30, 1999
(percentages are based on net assets)
Capital Goods 8%
Utilities 6%
Health Care 8%
Retail Trade 5%
Consumer
Durables 9%
Transportation 3%
Metals 2%
Forest Products 1%
Chemicals 2%
Consumer
Non-Durables 27%
Finance and
Building 24%
Energy 3%
Business Equipment and Services 2%
to prompt a modest degree of additional Fed tightening and some further backup
in Treasury yields going forward.
This backdrop might temper the equity markets' enthusiasm a bit, but a serious
correction is, in our opinion, unlikely unless the economy really overheats,
provoking aggressive Fed tightening and imperiling the economic expansion the
U.S. has enjoyed for more than eight years. It is likely we will continue to see
high volatility within the small cap equity sector, but small cap fundamentals
and earnings growth remain strong and relative valuations attractive.
Of course, it is also important to reiterate that as an index fund, designed to
replicate the broad diversification and returns of the Russell 2000 Index, we
neither evaluate short-term fluctuations in the Fund's performance nor manage
according to a given outlook for the equity markets or the economy in general.
Still, we will continue monitoring economic conditions and how they affect the
financial markets, as we seek to closely track the performance of the small cap
stock market.
As always, we appreciate your ongoing support of the Small Cap Index Fund and
look forward to continuing to serve your investment needs for many years ahead.
Bankers Trust Company
Small Cap Index Portfolio
June 30, 1999
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Performance Comparison
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Comparison of Change in Value of a $10,000 Investment in the Small Cap Index
Fund Institutional Class and the Russell 2000 Index since July 31, 1996
Annualized Total Return for the
Period Ended June 30, 1999
Institutional
Six Months One Year
8.26%(3) 1.18%
Since 7/10/96(1)
12.53%(2)
(1) The Fund's inception date.
(2) Annualized.
(3) Unaudited.
Investment return and principal value may fluctuate so that shares, when
redeemed, may be worth more or less than their original cost.
[GRAPHIC]
In the printed version of the document, a line graph appears which depicts the
following plot points:
Small Cap Index Fund Institutional Class-$14,199 Russell 2000 Index-$14,324
July-96 10000 10000
Dec-96 11523 11566
June-97 12750 12746
Dec-97 13465 13451
June-98 14034 14113
Dec-98 13115 13108
June-99 14199 14324
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.
Performance figures assume the reinvestment of dividends and capital gains
distributions.
4
<PAGE>
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Small Cap Index Fund
Statement of Assets and Liabilities June 30, 1999 (unaudited)
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<TABLE>
<CAPTION>
<S> <C>
Assets
Investment in Small Cap Index Portfolio, at Value ...................................................... $ 95,517,069
Prepaid Expenses ....................................................................................... 25,713
Due from Bankers Trust ................................................................................. 7,039
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Total Assets .............................................................................................. 95,549,821
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Liabilities
Accrued Expenses ....................................................................................... 14,339
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Net Assets ................................................................................................ $ 95,535,482
============
Shares Outstanding ($0.001 par value per share, unlimited number of shares
of beneficial interest authorized) ..................................................................... 9,099,129
------------
Net Asset Value, Offering and Redemption Price Per Share (net assets divided by
shares outstanding) ....................................................................................... $ 10.50
============
Composition of Net Assets
Paid-in Capital ........................................................................................ $ 89,922,913
Undistributed Net Investment Income .................................................................... 1,134,508
Accumulated Net Realized Loss from Investment Transactions and Futures ................................. (3,456,990)
Net Unrealized Appreciation on Investment and Futures Contracts ........................................ 7,935,051
------------
Net Assets ................................................................................................ $ 95,535,482
============
</TABLE>
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Statement of Operations For the six months ended June 30, 1999 (unaudited)
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<TABLE>
<CAPTION>
<S> <C>
Investment Income
Income Allocated from Small Cap Index Portfolio, net ...................................................... $ 1,271,673
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Expenses
Administration and Services Fees .......................................................................... 179,930
Registration Fees ......................................................................................... 12,222
Professional Fees ......................................................................................... 11,701
Trustees Fees ............................................................................................. 9,354
Shareholder Reports ....................................................................................... 899
Miscellaneous ............................................................................................. 4,142
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Total Expenses ............................................................................................ 218,248
Less: Fees Waived by Bankers Trust ........................................................................ (81,083)
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Net Expenses .............................................................................................. 137,165
-----------
Net Investment Income ........................................................................................ 1,134,508
-----------
Realized and Unrealized Gain (Loss) on Investment and Futures Contracts
Net Realized Loss from Investment Transactions ............................................................ (3,635,901)
Net Realized Gain from Futures Transactions ............................................................... 109,328
Net Change in Unrealized Appreciation/Depreciation on Investment and Futures Contracts .................... 8,484,735
-----------
Net Realized and Unrealized Gain on Investment and Futures Contracts ......................................... 4,958,162
-----------
Net Increase in Net Assets from Operations ................................................................... $ 6,092,670
===========
</TABLE>
See Notes to Financial Statements.
5
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Small Cap Index Fund
Statements of Changes in Net Assets
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<TABLE>
<CAPTION>
For the For the
six months ended year ended
June 30, 1999(1) December 31, 1998
---------------- -----------------
<S> <C> <C>
Increase (Decrease) in Net Assets from:
Operations
Net Investment Income .............................................................. $ 1,134,508 $ 944,063
Net Realized Gain (Loss) from Investment and Futures Transactions .................. (3,526,573) 4,370,904
Net Change in Unrealized Appreciation/Depreciation on Investment
and Futures Contracts ............................................................ 8,484,735 (8,975,850)
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Net Increase (Decrease) in Net Assets from Operations ................................. 6,092,670 (3,660,883)
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Distributions to Shareholders
Net Investment Income
Institutional Class ............................................................. -- (946,125)
Advisor Class(2) ................................................................ -- --
Net Realized Gain from Investment Transactions and Futures Contracts
Institutional Class ............................................................. -- (9,811,005)
Advisor Class(2) ................................................................ -- --
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Total Distributions ................................................................... -- (10,757,130)
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Capital Transactions in Shares of Beneficial Interest
Net Increase (Decrease) Resulting from Institutional Class Shares .................. (26,032,664) 91,620,392
Net Increase (Decrease) Resulting from Advisor Class Shares(2) ..................... -- (1,372,520)
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Net Increase (Decrease) from Capital Transactions in Shares of Beneficial Interest .... (26,032,664) 90,247,872
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Total Increase (Decrease) in Net Assets ............................................... (19,939,994) 75,829,859
Net Assets
Beginning of Period ................................................................... 115,475,476 39,645,617
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End of Period (including undistributed net investment income of $1,134,508 and
$-0- for the six months ended June 30, 1999 and the year ended
December 31, 1998, respectively) ................................................... $ 95,535,482 $ 115,475,476
============= =============
</TABLE>
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(1) Unaudited.
(2) 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.
See Notes to Financial Statements.
6
<PAGE>
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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 Shares
----------------------------------------------- --------------------------------
For the
For the For the period
For the period period For the ended
six months For the years July 10, Jan. 1 year August 8,
ended ended Dec. 31, 1996(2) to 1998 to ended 1996(2) to
June 30, --------------------- Dec. 31, July 14, Dec. 31 Dec. 31,
1999(1) 1998 1997 1996 1998(3) 1997 1996
------- -------- ------- ------- ------ ------ ------
Per Share Operating Performance:
<S> <C> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period ...... $ 9.68 $ 11.13 $ 10.90 $ 10.00 $11.69 $11.04 $10.00
------- -------- ------- ------- ------ ------ ------
Income from Investment Operations
Net Investment Income .................. 0.12 0.06 0.23 0.04 0.06 0.08 0.02
Net Realized and Unrealized Gain
(Loss) on Investment and Futures
Transactions ........................... 0.70 (0.41) 2.21 0.90 0.45 2.63 1.06
------- -------- ------- ------- ------ ------ ------
Total from Investment Operations .......... 0.82 (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 and Futures Contracts ..... -- (1.02) (2.00) (0.00)(4) -- (2.00) (0.00)(4)
------- -------- ------- ------- ------ ------ ------
Total Distributions ....................... -- (1.10) (2.21) (0.04) -- (2.06) (0.04)
------- -------- ------- ------- ------ ------ ------
Net Asset Value, End of Period ............ $ 10.50 $ 9.68 $ 11.13 $ 10.90 $12.20 $11.69 $11.04
======= ======== ======= ======= ====== ====== ======
Total Investment Return ................... 8.26% (2.60)% 23.00% 9.47% -- 25.11% 10.87%
Supplemental Data and Ratios:
Net Assets, End of Period
(000s omitted) ...................... $95,535 $115,475 $38,312 $61,558 -- $1,334 $ 77
Ratios to Average Net Assets:
Net Investment Income ............... 1.15%(5) 1.32% 1.35% 1.71%(5) 1.01%(5) 1.13% 1.61%(5)
Expenses, Including Expenses of the
Small Cap Index Portfolio ........... 0.25%(5) 0.25% 0.25% 0.25%(5) 0.45%(5) 0.45% 0.45%(5)
Decrease Reflected in Above Expense
Ratios Due to Expenses Reimbursed
and/or Fees Waived by
Bankers Trust .................... 0.21%(5) 0.32% 0.32% 0.62%(5) 0.36% 0.53% 22.69%(5)
</TABLE>
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(1) Unaudited.
(2) The Fund's inception date.
(3) Class closed effective July 14, 1998. See Note 1 to Financial Statements.
(4) Less than $0.01.
(5) Annualized.
See Notes to Financial Statements.
7
<PAGE>
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Small Cap Index Fund
Notes to Financial Statements (unaudited)
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Note 1--Organization and Significant Accounting Policies
A. Organization
BT Advisor Funds (the "Trust") is registered under the Investment Company Act of
1940 (the "Act"), as amended, as an open-end management investment company. The
Trust was organized on July 24, 1995, as a business trust under the laws of the
Commonwealth of Massachusetts. The Small Cap Index Fund (the "Fund") is one of
the Funds offered to investors by the Trust.
The 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. 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 Fund invests substantially all of its assets in the Small
Cap Index Portfolio (the "Portfolio").
The Portfolio is an open-end management investment company registered under the
Act. At June 30, 1999, the Fund's proportionate interest in the Portfolio's net
assets was 75%.
The financial statements of the Portfolio, including a list of assets 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. 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.
E. Federal Income Taxes
It is the Fund's policy to comply with the requirements of the Internal Revenue
Code applicable to regulated investment companies and distribute 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.
F. Other
The Trust accounts separately for the assets, liabilities and operations of the
Fund. Expenses directly attributable to the Fund are charged to that Fund, 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% of average daily net assets.
Bankers Trust has voluntarily undertaken to waive its fees and reimburse
expenses of the fund, to the extent necessary, to limit all expenses to 0.15% of
the average daily net assets of the Fund, excluding expenses of the Portfolio
and 0.25% of the average daily net assets of the Fund, including expenses of the
Portfolio.
For the period January 1, 1999 through April 30, 1999, a shareholder transaction
fee of 0.25% was paid when investors bought, sold, or exchanged shares of the
Fund. These transaction fees were paid directly to the Fund and were 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.
The Portfolio in which the Fund invests is a participant with other affiliated
entities in a revolving credit facility in the amount of $100,000,000, which
expires April 29, 2000. A commitment fee of .10% per annum on the average daily
amount of the available commitment is payable on a quarterly
8
<PAGE>
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Small Cap Index Fund
Notes to Financial Statements (unaudited)
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basis and apportioned equally among all participants. Amounts borrowed under the
credit facility will bear interest at a rate per annum equal to the Federal
Funds Rate plus .50%. No amounts were drawn down or outstanding under the credit
facility as of and for the six months ended June 30, 1999.
Bankers Trust Company is a wholly owned subsidiary of Bankers Trust Corporation.
In November 1998 Bankers Trust Corporation ("BT Corp.") and Deutsche Bank AG
("Deutsche Bank") entered into an Agreement and Plan of Merger which was
consummated on June 4, 1999. As a result of the transaction, BT Corp. became a
wholly-owned subsidiary of Deutsche Bank.
Note 3--Shares of Beneficial Interest
At June 30, 1999, there were an unlimited number of shares of beneficial
interest authorized. Transactions in shares of beneficial interest were as
follows:
<TABLE>
<CAPTION>
Institutional Class Shares(1)
-----------------------------
For the Six Months For the Year Ended
ended June 30, 1999(2) December 31, 1998
---------------------- ------------------
Shares Amount Shares Amount
----------- ------------- ---------- -------------
<S> <C> <C> <C> <C>
Sold ................................... 16,496,193 $ 163,642,945 13,664,319 $ 147,948,904
Reinvested ............................. -- -- 1,159,626 10,727,052
Redeemed ............................... (19,330,204) (189,675,609) (6,435,515) (68,241,415)
Exchanged .............................. -- -- 101,877 1,185,874
----------- ------------- ---------- -------------
Increase
(Decrease) ........................... (2,834,011) $ (26,032,664) 8,490,307 $ 91,620,415
=========== ============= ========== =============
</TABLE>
<TABLE>
<CAPTION>
Advisor Class Shares(1)
-----------------------
For the Six Months For the Year Ended
ended June 30, 1999(2) December 31, 1998
---------------------- ------------------
Shares Amount Shares Amount
----------- --------- ----------- -----------
<S> <C> <C> <C> <C>
Sold .................................. -- -- 35,264 $ 415,491
Reinvested ............................ -- -- -- --
Redeemed .............................. -- -- (52,185) (602,137)
Exchanged ............................. -- -- (97,203) (1,185,874)
----------- --------- ----------- -----------
Increase
(Decrease) .......................... -- -- (114,124) $(1,372,520)
=========== ========= =========== ===========
</TABLE>
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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.
(2) Unaudited.
9
<PAGE>
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Small Cap Index Portfolio
Statement of Net Assets June 30, 1999 (unaudited)
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Shares Description Value
------ ----------- -----
COMMON STOCK - 96.2%
1,800 @entertainment, Inc.(1) .......................... $ 33,750
2,000 3DFX Interactive, Inc.(1) ........................ 31,250
19,400 7-Eleven(1) ...................................... 43,045
6,100 7th Level, Inc.(1) ............................... 27,831
1,800 99 Cents Only Stores(1) .......................... 89,887
3,650 AAR Corp. ........................................ 82,809
3,700 Aaron Rents, Inc.-- Class B ...................... 82,325
1,200 Aavid Thermal Technologies, Inc.(1) .............. 27,150
1,300 Abacus Direct Corp.(1) ........................... 118,950
2,200 ABM Industries, Inc. ............................. 67,512
3,100 Abovenet Communications(1) ....................... 125,163
1,500 Acceptance Insurance Companies, Inc.(1) .......... 22,594
5,800 Acclaim Entertainment, Inc.(1) ................... 36,975
1,400 Accredo Health(1) ................................ 45,850
2,900 Ackerley Communications .......................... 52,744
2,100 ACT Networks, Inc.(1) ............................ 35,831
2,700 Actel Corp.(1) ................................... 39,825
1,900 Action Performance Companies., Inc.(1) ........... 62,700
3,400 Actv(1) .......................................... 47,175
2,800 Acuson Corp.(1) .................................. 48,125
2,900 ACX Technologies, Inc.(1) ........................ 47,125
3,000 Adaptive Broadband Corp.(1) ...................... 65,625
1,500 Adforce, Inc.(1) ................................. 35,250
800 Administaff, Inc.(1) ............................. 12,800
2,600 Adtran, Inc.(1) .................................. 94,575
1,200 Advance Paradigm, Inc.(1) ........................ 73,200
2,800 Advanced Communications Group(1) ................. 27,825
1,900 Advanced Digital Information Corp.(1) ............ 76,950
900 Advanced Energy Industries(1) .................... 36,506
10,600 Advanced Fibre Communications(1) ................. 165,625
2,600 Advanta Corp.-- Class A .......................... 46,962
900 Advantage Learning Systems, Inc. ................. 17,944
4,800 Advantica Restaurant Group(1) .................... 16,500
700 Advent Software, Inc.(1) ......................... 46,900
2,300 Advest Group, Inc. ............................... 45,856
2,900 ADVO, Inc.(1) .................................... 60,175
1,700 Aerial Communications, Inc.(1) ................... 22,950
3,100 Affiliated Managers Group(1) ..................... 93,581
2,100 Affymetrix, Inc.(1) .............................. 103,687
2,700 Aftermarket Technology Corp.(1) .................. 30,712
6,400 AGCO Corp. ....................................... 72,400
7,600 AGL Resources, Inc. .............................. 140,125
5,000 Agribiotech, , Inc.(1) ........................... 30,312
1,400 Agribrands International(1) ...................... 55,387
1,000 AHL Services, Inc.(1) ............................ 24,938
5,600 Air Express International Corp. .................. 142,100
5,600 Airborne Freight Corp. ........................... 155,050
10,400 Airgas, Inc.(1) .................................. 127,400
7,400 AirTran Holdings, Inc.(1) ........................ 42,550
1,000 Alabama National Bancorp ......................... 25,000
5,300 Alaris Medical, Inc.(1) .......................... 17,887
4,100 Alaska Air Group, Inc.(1) ........................ 171,175
2,264 Albany International Corp.(1) .................... 46,978
1,700 Albany Molecular Research(1) ..................... 50,575
3,320 Albemarle Corp. .................................. 76,775
Shares Description Value
------ ----------- -----
7,500 Alexander & Baldwin, Inc. ........................ $166,875
600 Alexander's, Inc.(1) ............................. 44,325
1,400 Alexandria Real Estate Equity, Inc. .............. 43,750
3,700 Alfa Corp. ....................................... 74,000
1,600 Algos Pharmaceuticals(1) ......................... 35,300
3,000 Alkermes, Inc.(1) ................................ 69,375
1,200 Allaire Corp.(1) ................................. 81,900
900 Alleghany Corp. .................................. 166,500
5,700 Allen Telecommunications, Inc. ................... 61,275
4,900 Alliance Semiconductor Corp. ..................... 48,694
2,147 Alliant Techsystems, Inc.(1) ..................... 185,715
6,200 Allied Capital Corp.(1) .......................... 148,800
1,800 Alltrista Corp. .................................. 59,400
1,400 Alpha Industries, Inc.(1) ........................ 66,675
3,300 Alpharma, Inc.(1) ................................ 117,356
2,000 Alpine Group, Inc.(1) ............................ 32,125
2,900 Alterra Healthcare Corp. ......................... 39,875
1,200 Amc Entertainment, Inc.(1) ....................... 22,950
3,150 AMCOL International Corp. ........................ 45,281
3,850 AMCORE Financial, Inc. ........................... 88,791
1,200 AMERCO(1) ........................................ 27,000
5,500 America West Holdings Corp.(1) ................... 103,812
900 American -- Classic Voyages Co.(1) ............... 21,600
1,000 American Annuity Group, Inc.(1) .................. 24,250
2,200 American Business Products, Inc. ................. 33,550
2,700 American Freightways Corp.(1) .................... 52,819
3,100 American Health Properties, Inc. ................. 62,387
2,200 American Heritage Life Investment Corp. .......... 53,900
2,400 American Italian Pasta Co.(1) .................... 72,900
6,600 American Management Systems, Inc.(1) ............. 211,612
2,400 American Mobile Satellite Corp., Inc.(1) ......... 39,300
90 American Tower Corp.-- Class A1 .................. 2,160
9,800 AmeriCredit Corp.(1) ............................. 156,800
2,000 Ameripath, Inc.(1) ............................... 17,250
10,000 AmeriSource Health Corp. -- Class A .............. 255,000
2,041 Amerus Life Holdings, Inc. -- Class A ............ 55,107
3,100 Ames Department Stores, Inc.(1) .................. 141,437
10,100 AMF Bowling, Inc.(1) ............................. 85,219
9,200 Amkor Technology, Inc.(1) ........................ 94,300
1,900 Amli Residential Properties Trust ................ 42,512
8,800 Ampex Corp.-- Class A(1) ......................... 45,650
2,100 Amphenol Corp.-- Class A(1) ...................... 83,475
4,300 AMTEK, Inc.(1) ................................... 98,900
1,500 Anacomp, Inc.(1) ................................. 25,500
1,500 Anadigics, Inc.(1) ............................... 55,500
800 Analogic Corp. ................................... 24,875
4,350 Analysts International Corp. ..................... 62,531
2,400 Anchor Bancorp Wisconsin, Inc. ................... 42,750
1,000 Anchor Gaming(1) ................................. 48,062
2,600 Ancor Communication(1) ........................... 84,175
12,400 Andrew Corp.(1) .................................. 234,825
2,400 Anicom, Inc.(1) .................................. 25,200
3,300 Anixter International, Inc.(1) ................... 60,225
2,500 Ann Taylor Stores(1) ............................. 112,500
See Notes to Financial Statements.
10
<PAGE>
- --------------------------------------------------------------------------------
Small Cap Index Portfolio
Statement of Net Assets June 30, 1999 (unaudited)
- --------------------------------------------------------------------------------
Shares Description Value
------ ----------- -----
2,900 Answerthink Consulting Group(1) .................. $ 73,225
3,150 ANTEC Corp.(1) ................................... 100,997
2,800 APAC Teleservices, Inc.(1) ....................... 9,100
3,400 Apex PC Solutions, Inc. .......................... 69,700
3,700 Apogee Enterprises, Inc. ......................... 49,719
3,500 Applebee's International, Inc. ................... 105,437
3,340 Applied Graphics Technologies, Inc.(1) ........... 42,167
2,850 Applied Industrial Technology, Inc. .............. 54,150
5,160 Applied Power, Inc. .............................. 140,932
2,500 Appliedtheory Corp.(1) ........................... 31,875
6,900 Apria Healthcare Group, Inc.(1) .................. 117,300
4,100 Aptargroup, Inc. ................................. 123,000
12,400 Aqua Alliance(1) ................................. 12,400
1,500 Aquarion Co. ..................................... 52,125
5,200 Arcadia Financial Ltd.(1) ........................ 40,300
1,700 Arch Chemicals ................................... 41,331
2,300 Arch Coal, Inc. .................................. 31,912
2,800 Arctic Cat, Inc. ................................. 25,025
2,800 Ardent Software(1) ............................... 59,500
1,300 Area Bancshares Corp. ............................ 35,262
2,300 Argonaut Group, Inc. ............................. 55,200
4,800 Argosy Gaming Corp.(1) ........................... 42,300
2,300 Arguss Holdings1 ................................. 43,556
3,200 ARM Financial Group, Inc. -- Class A ............. 27,200
13,700 Armco, Inc.(1) ................................... 90,762
4,500 Arnold Industries, Inc. .......................... 69,469
1,800 Arrow International, Inc. ........................ 46,575
5,461 Artesyn Technologies, Inc.(1) .................... 121,166
3,200 Arvin Industries, Inc. ........................... 121,200
4,900 Asarco, Inc. ..................................... 92,181
5,600 Ascent Entertainment(1) .......................... 79,100
3,200 Ashton Technology Group(1) ....................... 40,000
3,100 Aspect Development, Inc.(1) ...................... 57,350
8,300 Aspect Telecommunications(1) ..................... 80,925
3,300 Aspen Technologies, Inc.(1) ...................... 38,775
3,000 Assisted Living Concepts, Inc.(1) ................ 8,437
2,300 Associated Estates Realty Corp. .................. 27,169
2,600 Astec Industries, Inc. ........................... 105,950
1,700 Atlantic Coast Airlines, Inc.(1) ................. 32,300
1,850 Atlas Air, Inc. .................................. 59,662
1,700 ATMI, Inc.(1) .................................... 50,575
4,100 Atmos Energy Corp. ............................... 102,500
1,400 Atwood Oceanics, Inc.(1) ......................... 43,750
1,500 Auspex Systems, Inc.(1) .......................... 16,313
2,500 Authentic Fitness Corp. .......................... 43,750
1,900 Autobytel.com(1) ................................. 39,663
3,500 Avado Brands, Inc. ............................... 29,312
4,500 Avant! Corp.(1) .................................. 56,812
3,800 Aviall, Inc.(1) .................................. 71,487
1,200 Aviation Sales Co.(1) ............................ 47,400
3,000 Avid Technology, Inc.(1) ......................... 48,375
1,700 Aviron(1) ........................................ 48,875
3,700 Avis Rent A Car, Inc.(1) ......................... 107,762
5,400 Avista Corp. ..................................... 87,750
1,200 Avondale Industries, Inc.(1) ..................... 46,800
Shares Description Value
------ ----------- -----
2,200 AVT Corp.(1) ..................................... $ 83,325
1,800 Aware, Inc./Mass(1) .............................. 83,025
4,640 AXENT Technologies(1) ............................ 51,620
5,700 Aztar Corp.(1) ................................... 52,369
1,280 Baan Co.(1) ...................................... 20,320
600 Bacou USA(1) ..................................... 10,237
4,400 Baldor Electric Co. .............................. 87,450
1,600 Baldwin & Lyons, Inc.-- Class B .................. 37,900
5,500 Ballard Medical Products ......................... 128,219
3,100 Bally Total Fitness Holdings(1) .................. 87,962
900 Bancfirst Ohio Corp. ............................. 22,162
5,900 BancorpSouth, Inc. ............................... 106,937
2,600 BancTec, Inc(1) .................................. 46,637
2,900 Bancwest Corp. ................................... 107,662
2,900 Bandag, Inc. ..................................... 100,594
3,090 Bank North Group, Inc. ........................... 101,970
1,475 Bank of Granite Corp. ............................ 36,322
1 BankAtlantic Bancorp, Inc. -- Class A ............ 7
4,900 BankAtlantic Bancorp, Inc. -- Class B ............ 39,812
1 BankBoston Corp. ................................. 51
3,800 Banks United Corp.-- Class A ..................... 152,713
3,800 Banta Corp. ...................................... 79,800
3,900 Banyan System, Inc.(1) ........................... 42,656
1,900 Barnes Group, Inc. ............................... 41,325
2,100 Barnesandnoble.com(1) ............................ 37,800
1,150 Barr Labs, Inc.(1) ............................... 45,856
1,400 Barra, Inc.(1) ................................... 35,350
4,400 Barrett Resources Corp.(1) ....................... 168,850
1,700 Bassett Furniture Industries, Inc. ............... 38,887
16,900 Battle Mountain Gold Co. -- Class A .............. 41,194
2,600 Bay View Capital Corp. ........................... 53,300
3,200 BE Aerospace, Inc.(1) ............................ 59,800
1,300 Bebe Stores(1) ................................... 44,200
3,000 Bedford Property Investors, Inc. ................. 53,625
1,300 Belco Oil & Gas Corp.(1) ......................... 9,019
3,200 Belden, Inc. ..................................... 76,600
1,900 Bell & Howell Co.(1) ............................. 71,844
1,400 Benchmark Electronics, Inc.(1) ................... 50,312
2,400 Beringer Wine Estates-- Class B1 ................. 100,275
2,750 Berkley (W.R.) Corp. ............................. 68,750
2,900 Berkshire Realty Co., Inc. ....................... 33,531
2,200 Berlitz International, Inc.(1) ................... 40,425
2,400 Berry Petroleum Co.-- Class A .................... 33,450
17,558 Bethlehem Steel(1) ............................... 134,977
9,800 Beverly Enterprises, Inc.(1) ..................... 79,013
1,800 Beyond.com(1) .................................... 51,638
2,300 Big Flower Press Holdings, Inc.(1) ............... 73,312
6,900 Billing Information Concepts Corp.(1) ............ 77,194
4,566 Bindley Western Industries, Inc. ................. 105,303
1,900 Biomatrix, Inc.(1) ............................... 41,087
1,200 Bio-Rad Laboratories, Inc. -- Class A(1) ......... 31,350
7,000 Biotechnology General Corp.(1) ................... 45,500
See Notes to Financial Statements.
11
<PAGE>
- --------------------------------------------------------------------------------
Small Cap Index Portfolio
Statement of Net Assets June 30, 1999 (unaudited)
- --------------------------------------------------------------------------------
Shares Description Value
------ ----------- -----
2,300 Black Box Corp.(1) ............................... $115,287
2,850 Black Hills Corp. ................................ 65,906
2,700 Block Drug Co., Inc.-- Class A ................... 112,556
4,700 Blount International, Inc. ....................... 127,781
5,200 BMC Industries, Inc. ............................. 53,625
5,500 Bob Evans Farms, Inc. ............................ 109,312
1,800 Boise Cascade Office Products Corp.(1) ........... 21,150
1,438 BOK Financial Corp. .............................. 36,309
8,900 Borders Group, Inc.(1) ........................... 140,731
96 Borg Warner Automotive, Inc. ..................... 5,280
1,800 Borg-Warner Security Corp.(1) .................... 36,562
1,400 Bottomline Technologies(1) ....................... 74,200
4,900 Bowne & Co., Inc. ................................ 63,700
4,800 Boyd Gaming Corp.(1) ............................. 33,600
9,200 Boyds Collection Ltd.(1) ......................... 159,275
2,300 Boykin Lodging Co. ............................... 35,362
3,200 Bradley Real Estate, Inc. ........................ 66,400
3,900 Brady (W. H.) Co.-- Class A ...................... 126,750
6,500 Brandywine Realty Trust .......................... 128,781
7,600 BRE Properties, Inc.-- Class A ................... 197,125
1,782 Brenton Banks, Inc. .............................. 27,621
7,200 Brightpoint, Inc.(1) ............................. 43,650
2,000 Brio Technology(1) ............................... 40,000
2,700 Britesmile(1) .................................... 30,375
2,600 Broadvision, Inc.(1) ............................. 191,750
1,800 Brookline Bancorp ................................ 20,812
1,400 Brown & Brown, Inc. .............................. 53,200
3,600 Brown (Tom), Inc.(1) ............................. 56,025
3,800 Brown Shoe Co., Inc. ............................. 82,650
2,100 Brush Wellman, Inc. .............................. 38,062
1,100 BSB Bancorp, Inc. ................................ 29,700
1,700 BT Financial Corp. ............................... 41,703
3,100 Buckeye Technologies, Inc.(1) .................... 47,081
900 Buckle, Inc.(1) .................................. 25,875
4,700 Budget Group, Inc.-- Class A(1) .................. 57,869
7,887 Buffets, Inc.(1) ................................. 90,700
5,026 Building One Services Corp.(1) ................... 69,736
2,720 Burlington Coat Factory Warehouse(1) ............. 52,530
7,500 Burlington Industries, Inc.(1) ................... 67,969
4,300 Burnham Pacific Properties, Inc. ................. 52,944
3,925 Burr-Brown Corp.(1) .............................. 143,753
800 Bush Boake Allen(1) .............................. 23,400
1,300 Bush Industries, Inc.-- Class A .................. 21,612
700 Butler Manufacturing Co. ......................... 19,556
1,700 C & D Technologies, Inc. ......................... 52,062
5,400 C.H. Robinson Worldwide, Inc. .................... 198,450
3,750 Cable Design Technologies(1) ..................... 57,891
2,400 Cabot Industrial Trust ........................... 51,000
3,000 Cabot Oil & Gas Corp. -- Class A ................. 55,875
2,700 Caci International, Inc. -- Class A(1) ........... 60,750
4,500 Cadiz Land Co., Inc.(1) .......................... 42,469
2,400 Cais Internet(1) ................................. 44,100
700 Cal Dive International, Inc.(1) .................. 20,912
4,600 Calgon Carbon Corp. .............................. 27,312
Shares Description Value
------ ----------- -----
1,500 California Water Service Co. ....................... $ 39,187
11,800 Callaway Golf Co. .................................. 172,575
3,100 Cambrex Corp. ...................................... 81,375
5,500 Cambridge Technology Partners(1) ................... 96,594
5,958 Camden Property Trust .............................. 165,334
2,800 Canandaigua Brands, Inc. -- Class A(1) ............. 146,825
5,300 Capital Automotive REIT ............................ 70,225
800 Capital City Bank Group, Inc. ...................... 20,000
2,900 Capital Re Corp. ................................... 46,581
9,900 Capitol Federal Financial(1) ....................... 103,331
4,400 Caprock Communications Corp.(1) .................... 178,200
8,100 Capstead Mortgage Corp. ............................ 44,044
3,300 Caraustar Industries, Inc. ......................... 81,469
400 Carbo Ceramics, Inc. ............................... 12,175
1,300 CareMatrix Corp.(1) ................................ 16,169
1,100 Carmike Cinemas, Inc.-- Class A(1) ................. 17,531
2,900 Carolina First Co. ................................. 70,687
2,500 Carpenter Technology Corp. ......................... 71,406
1,200 Carriage Services-- Class A(1) ..................... 22,500
2,900 Carter-Wallace, Inc. ............................... 52,744
1,200 Casella Waste Systems, Inc.(1) ..................... 31,200
7,100 Casey's General Stores, Inc. ....................... 106,500
5,169 Cash America International, Inc. ................... 66,551
1,500 Castle (A. M.) & Co. ............................... 25,500
1,700 Castle and Cooke, Inc.(1) .......................... 29,962
6,300 Catalytica, Inc.(1) ................................ 88,200
1,800 Catapult Communications Corp.(1) ................... 33,975
1,300 Cathay Bancorp, Inc. ............................... 55,250
2,500 Cato Corp.-- Class A ............................... 29,062
2,800 CB Richard Ellis Services(1) ....................... 69,650
3,000 CBL & Associates Properties, Inc. .................. 79,125
6,400 CBRL Group ......................................... 110,800
3,200 CCC Information Services Group(1) .................. 41,200
5,800 C-Cube Microsystems, Inc.(1) ....................... 183,787
1,800 CD Radio, Inc.(1) .................................. 54,844
1,500 CDI Corp.(1) ....................................... 51,094
2,807 CDNOW(1) ........................................... 49,473
2,400 CEC Entertainment, Inc.(1) ......................... 101,400
4,800 Cellnet Data Systems(1) ............................ 43,200
4,500 CellStar Corp.(1) .................................. 35,437
1,700 Cellular Communications of Puerto Rico(1) .......... 48,450
2,700 CenterPoint Properties Corp. ....................... 98,887
3,400 Centertrust Retail Properties ...................... 39,950
1,200 Centex Construction Products ....................... 40,950
3,600 Central Garden & Pet Co.(1) ........................ 36,900
3,000 Central Hudson Gas & Electric Corp. ................ 126,000
2,100 Central Parking Services ........................... 71,925
9,100 Century Business Services(1) ....................... 131,950
1,300 Century South Banks, Inc. .......................... 29,250
3,600 Cephalon, Inc.(1) .................................. 62,550
3,400 Cerner Corp.(1) .................................... 71,294
1,110 CFSB Bancorp, Inc. ................................. 27,334
1,700 CFW Communications ................................. 41,225
5,460 Champion Enterprises, Inc.(1) ...................... 101,692
See Notes to Financial Statements.
12
<PAGE>
- --------------------------------------------------------------------------------
Small Cap Index Portfolio
Statement of Net Assets June 30, 1999 (unaudited)
- --------------------------------------------------------------------------------
Shares Description Value
------ ----------- -----
1,300 Championship Auto Racing(1) ...................... $ 38,919
2,000 Charles River Associates(1) ...................... 50,125
13,200 Charming Shoppes, Inc.(1) ........................ 80,438
2,050 Chart Industries, Inc. ........................... 16,144
2,700 Charter Municipal Mortgage Acceptance ............ 34,594
2,800 Chateau Communities, Inc. ........................ 83,825
1,300 Chattem, Inc.(1) ................................. 41,356
3,900 Checkpoint Systems, Inc.(1) ...................... 34,856
3,150 Cheesecake Factory(1) ............................ 96,075
3,200 Chelsea GCA Realty, Inc. ......................... 118,800
1,200 Chemed Corp. ..................................... 39,900
2,500 ChemFirst, Inc. .................................. 60,781
1,846 Chemical Financial Corp. ......................... 64,264
2,800 Chesapeake Corp. ................................. 104,825
9,680 Chesapeake Energy Corp.(1) ....................... 28,435
1,900 Chicago Title Corp. .............................. 67,806
2,600 Children's Place Retail Stores, Inc.(1) .......... 105,300
8,400 Chiquita Brands Internationa(1) .................. 75,600
1,700 Chirex, Inc.(1) .................................. 54,612
3,619 Chittenden Corp. ................................. 113,094
5,900 Choice Hotels Corp., Inc.(1) ..................... 116,525
1,900 Choicepoint, Inc.(1) ............................. 127,537
9,350 CHS Electronics, Inc.(1) ......................... 40,906
2,600 Church and Dwight Co, Inc. ....................... 113,100
1,000 Churchill Downs, Inc. ............................ 34,500
4,300 Ciber, Inc.(1) ................................... 82,238
1,800 CILCORP, Inc. .................................... 112,500
3,200 Circle International Group, Inc. ................. 70,000
8,800 Cirrus Logic, Inc.(1) ............................ 78,100
1 Cisco Systems, Inc. .............................. 64
1,700 Citadel Communications Corp.(1) .................. 61,519
1,400 Citation Corp.(1) ................................ 22,487
4,700 Citizens Banking Corp. ........................... 141,294
1,500 City Holding Co. ................................. 43,500
5,500 CKE Restaurants, Inc. ............................ 89,375
3,200 Clarcor, Inc. .................................... 61,400
3,100 Clarify, Inc.(1) ................................. 127,875
3,000 CLECO Corp. ...................................... 91,125
1,500 Cleveland-Cliffs, Inc. ........................... 48,562
4,800 CMI Corp.-- Class A .............................. 43,800
4,300 CMP Group, Inc. .................................. 112,606
2,200 CNA Surety Corp. ................................. 33,687
20 CNB Bancshares, Inc. ............................. 1,140
3,200 Coach USA, Inc.(1) ............................... 134,200
2,200 Coachmen Industries, Inc. ........................ 51,150
900 Coca-Cola Bottling Co. Consolidated .............. 50,400
4,400 Cognex Corp.(1) .................................. 138,875
3,200 Coherent, Inc.(1) ................................ 59,600
1,900 Cohu, Inc. ....................................... 67,212
2,700 Coinstar1 ........................................ 77,456
1,400 Coldwater Creek, Inc.(1) ......................... 27,300
8,000 Collins & Aikman ................................. 61,000
1,200 Colonial Gas Co. ................................. 44,400
3,500 Colonial Properties Trust ........................ 98,875
8,500 Coltec Industries(1) ............................. 184,344
Shares Description Value
------ ----------- -----
3,100 Columbia Laboratories, Inc.(1) ..................... $ 26,544
2,400 Columbia Sportswear Co.(1) ......................... 36,900
1,500 Columbus McKinnon Corp. ............................ 36,000
5,000 Comfort Systems USA, Inc.(1) ....................... 90,000
3,652 Commerce Bancorp, Inc. ............................. 156,123
3,400 Commerce Group, Inc. ............................... 82,875
41 Commercial Federal Corp. ........................... 951
3,300 Commercial Intertech Corp. ......................... 52,594
1,800 Commercial Metals Co. .............................. 51,300
4,000 Commercial Net Lease Realty ........................ 51,500
4,100 Commnet Cellular(1) ................................ 107,625
1,800 Commonwealth Bancorp, Inc. ......................... 32,287
3,600 Commonwealth Energy Systems ........................ 151,200
1,500 Commonwealth Telephone Enterprises, Inc.(1) ........ 60,656
7,200 Commscope, Inc.(1) ................................. 221,400
6,400 Community First Bankshares, Inc. ................... 152,800
1,485 Community Trust Bancorp, Inc. ...................... 34,712
2,100 Complete Business Solutions, Inc.(1) ............... 37,669
10,900 Compucom Systems, Inc.(1) .......................... 44,962
10,000 CompUSA, Inc.(1) ................................... 74,375
4,150 Computer Horizons Corp.(1) ......................... 57,322
2,400 Computer Network Technology Corp.(1) ............... 51,900
2,200 Computer Task Group, Inc. .......................... 37,400
6,186 Concentra Managed Care, Inc.(1) .................... 91,630
5,900 Concentric Network Corp. ........................... 234,525
1,700 Concord Communications, Inc.(1) .................... 76,500
8,500 Concurrent Computer Corp.(1) ....................... 53,656
2,000 CONMED Corp.(1) .................................... 61,250
1,400 Conn Energy Corp. .................................. 53,987
1,700 Conning Corp. ...................................... 27,625
4,400 Consolidated Freightways Corp.(1) .................. 56,513
2,200 Consolidated Graphics, Inc.(1) ..................... 110,000
4,625 Consolidated Products, Inc.(1) ..................... 83,250
4,100 Contifinancial Corp.(1) ............................ 14,606
2,800 Cooper Cos., Inc. .................................. 69,825
2,400 Copart, Inc. ....................................... 51,000
3,200 COR Therapeutics, Inc.(1) .......................... 47,200
1,500 Corecomm Limited(1) ................................ 72,375
5,000 Corn Products International, Inc. .................. 152,187
2,400 Cornell Corrections, Inc. Common(1) ................ 39,450
5,200 Cornerstone Realty Income Trust, Inc. .............. 55,900
41,300 Corporate Express(1) ............................... 289,100
1,800 CORT Business Services Corp.(1) .................... 43,087
1,300 Corus Bankshares, Inc. ............................. 41,356
1,800 Cost Plus, Inc.(1) ................................. 81,900
4,400 Cotelligent Group, Inc.(1) ......................... 34,375
2,200 Coulter Pharmaceutical, Inc.(1) .................... 49,637
3,400 Cousins Properties, Inc. ........................... 114,962
7,700 Covance, Inc.(1) ................................... 184,319
9,100 Coventry Health Care, Inc.(1) ...................... 99,531
1,300 CPI Corp. .......................................... 42,900
4,650 Crawford & Co.-- Class B ........................... 75,562
2,600 Creative Computers, Inc. ........................... 20,800
3,200 Credence Systems Corp.(1) .......................... 118,800
See Notes to Financial Statements.
13
<PAGE>
- --------------------------------------------------------------------------------
Small Cap Index Portfolio
Statement of Net Assets June 30, 1999 (unaudited)
- --------------------------------------------------------------------------------
Shares Description Value
------ ----------- -----
4,800 Credit Acceptance Corp.(1)............................ $ 28,800
1,400 Cree Research, Inc.(1) ............................... 107,713
10,500 Crompton & Knowles Corp. ............................. 205,406
7,575 Cross Timbers Oil Co. ................................ 112,678
3,100 Crown American Realty Trust .......................... 22,669
2,500 CSK Auto Corp.(1) .................................... 67,500
900 CSS Industries, Inc.(1) .............................. 25,312
700 CT Communications .................................... 28,788
1,600 CTC Communications Corp. -- Class(1) ................. 31,200
2,348 CTS Corp. ............................................ 164,360
650 Cubic Corp. .......................................... 16,006
3,400 Cuno, Inc.(1) ........................................ 65,025
1,700 Customtracks Corp.(1) ................................ 95,094
3,200 Cybercash(1) ......................................... 41,000
3,500 Cyberonics, Inc.(1) .................................. 43,750
3,600 Cymer, Inc.(1) ....................................... 90,000
12,800 Cypress Semiconductor Corp.(1) ....................... 211,200
13,100 Cyprus Amax Minerals Co. ............................. 198,956
6,500 Cytec Industries, Inc.(1) ............................ 207,188
3,100 Cytyc Corp.(1) ....................................... 60,450
6,800 D.R. Horton, Inc. .................................... 113,050
1,600 Dain Rauscher Corp. .................................. 86,600
3,900 Daisytek International Corp.(1) ...................... 63,619
3,800 Dallas Semiconductor Corp. ........................... 191,900
5,600 Dal-Tile International, Inc.(1) ...................... 63,700
2,500 Dan River, Inc.-- Class A(1).......................... 18,437
6,600 Data General Corp.(1) ................................ 96,112
1,500 Data Processing Resources Corp.(1) ................... 35,437
2,100 Data Transmission Network Corp.(1) ................... 59,062
2,700 Datascope Corp.(1) ................................... 86,737
3,300 Datastream Systems, Inc.(1) .......................... 52,800
1,700 Dave & Buster's, Inc.(1) ............................. 49,300
1,200 DBT Online, Inc.(1) .................................. 39,300
5,200 Del Monte Foods Co.(1) ............................... 87,100
2,800 Delco Remy International, Inc.(1) .................... 30,800
2,020 Delphi Financial Group, Inc. -- Class A .............. 72,467
4,400 Delta & Pine Land Co. ................................ 138,600
2,700 Deltic Timber Corp. .................................. 72,731
2,400 Dendrite International(1) ............................ 86,700
2,400 Department 56, Inc.(1) ............................... 64,500
2,500 Destia Communications(1) ............................. 30,938
1,100 Detroit Diesel Corp. ................................. 27,087
10,800 Developers Diversified Realty Corp. .................. 179,550
3,100 Dexter Corp. ......................................... 126,519
1,500 Diagnostic Products Corp. ............................ 41,437
1,000 Diamond Technology Partners -- Class A, Inc.(1) ...... 22,375
8,300 Digital Microwave Corp.(1) ........................... 105,825
4,000 DII Group, Inc.(1) ................................... 149,250
1,700 Dime Community Bancorp, Inc.(1) ...................... 39,525
5,900 DIMON, Inc. .......................................... 30,606
3,000 Dionex Corp.(1) ...................................... 121,500
2,500 Direct Focus, Inc.(1) ................................ 52,188
2,500 Discount Auto Parts, Inc.(1) ......................... 60,312
3,000 Documentum, Inc.(1) .................................. 39,187
Shares Description Value
------ ----------- -----
3,200 Dollar Thrifty Automotive Goup(1)................. $ 74,400
5,300 Donaldson Co., Inc. .............................. 129,850
4,000 Donna Karan Intl.(1) ............................. 39,750
4,300 Doral Financial Corp. ............................ 74,175
2,674 Downey Financial Corp. ........................... 58,661
2,200 Dress Barn, Inc.(1) .............................. 35,200
2,800 Dreyer's Grand Ice Cream, Inc. ................... 42,350
5,700 DSP Communications, Inc.(1) ...................... 164,587
2,200 DSP Group, Inc.(1) ............................... 79,200
3,000 Duane Reade, Inc.(1) ............................. 91,875
600 Duff & Phelps Credit Rating ...................... 40,125
600 Dupont Photomasks, Inc.(1) ....................... 28,725
1,200 Dura Automotive Systems, Inc.(1) ................. 39,900
6,100 Dura Pharmaceutical, Inc.(1) ..................... 72,819
1,400 DVI, Inc.(1) ..................................... 23,975
2,500 Dycom Industries, Inc. ........................... 140,000
7,900 E. Spire Communications, Inc.(1) ................. 83,444
1,700 E. W. Blanch Holdings, Inc ....................... 115,919
3,800 E4l(1)............................................ 27,550
199 Eagle Geophysical, Inc.(1) ....................... 150
1,300 Eagle USA Airfreight, Inc.(1) .................... 55,169
5,700 Earthgrains Co. .................................. 147,131
3,500 Earthshell Container Common(1) ................... 24,500
1,400 Earthweb(1) ...................................... 52,150
4,200 Eastern Enterprises .............................. 166,950
2,700 Eastern Utilities Associates ..................... 78,637
2,200 Eastgroup Properties ............................. 44,137
4,000 Eaton Vance Corp. ................................ 137,750
3,700 Eclipse Surgical Technologies, Inc.(1) ........... 40,006
2,800 Eclipsys Corp.(1) ................................ 67,025
3,500 Edify Corp.(1) ................................... 46,813
3,700 Education Management Corp.(1) .................... 76,775
5,633 EEX Corp.(1) ..................................... 39,079
5,000 EG & G, Inc. ..................................... 178,125
7,800 El Paso Electric Co.(1) .......................... 69,712
1,650 Elcor Corp. ...................................... 72,084
2,400 Electric Lightwave(1) ............................ 31,200
2,000 Electro Rent Corp.(1) ............................ 21,500
2,200 Electro Scientific Industries, Inc.(1) ........... 91,919
2,600 Electroglas, Inc.(1) ............................. 52,000
1,100 Elizabethtown Corp.(1) ........................... 50,325
1,700 EMCORE Corp.(1) .................................. 34,213
2,600 Emmis Broadcasting Corp. -- Class A(1)............ 128,375
2,300 Empire District Electric Co. ..................... 59,944
1,000 Emulex Corp.(1) .................................. 111,188
3,500 Energen Corp. .................................... 65,187
2,100 Enesco Group, Inc. ............................... 48,562
2,200 Engineering Animation, Inc.(1) ................... 46,612
3,600 Enhance Financial Services Group, Inc. ........... 71,100
1,900 Entercom Communications Corp.(1) ................. 81,225
3,700 Entertainment Properties Trust ................... 65,212
1,600 Entremed, Inc.(1) ................................ 36,000
1,200 Entrust Technologies(1) .......................... 39,900
2,879 Enzo Biochem, Inc.(1) ............................ 28,430
3,800 Enzon, Inc.(1) ................................... 78,613
See Notes to Financial Statements.
14
<PAGE>
- --------------------------------------------------------------------------------
Small Cap Index Portfolio
Statement of Net Assets June 30, 1999 (unaudited)
- --------------------------------------------------------------------------------
Shares Description Value
------ ----------- -----
4,500 Epicor Software Corporation(1).................... $ 33,469
5,600 Equitable Resources, Inc. ........................ 211,400
4,900 Equity Inns, Inc. ................................ 45,325
4,800 ESS Technology, Inc.(1) .......................... 64,500
1,900 Essex Property Trust, Inc. ....................... 67,212
2,800 Esterline Technologies Corp.(1) .................. 40,250
3,300 Etec Systems, Inc.(1) ............................ 109,725
4,700 Ethan Allen Interiors, Inc.(1) ................... 177,425
13,800 Ethyl Corp.(1) ................................... 82,800
2,000 Everen Capital Corp.(1) .......................... 59,625
2,300 Exar Corp.(1) .................................... 56,925
1,500 Excel Switching Corp.(1) ......................... 44,906
1,400 Executive Risk, Inc. ............................. 119,087
2,600 Exide Corp. ...................................... 38,350
9,500 Extended Stay America, Inc.(1) ................... 114,000
1,215 F & M Bancorp./Maryland .......................... 40,778
2,074 F & M Bancorp., Inc./Wisconsin ................... 78,293
3,000 F & M National Corp. ............................. 99,562
2,307 F.N.B. Corp. ..................................... 62,289
1,500 F.Y.I., INC.(1) .................................. 47,062
600 Factory 2-U Stores(1)............................. 11,100
1,200 Factset Research Systems, Inc. ................... 67,950
1,300 Fair, Issac & Co., Inc. .......................... 45,581
1,767 Fairchild Corp.-- Class A(1)...................... 22,536
7,100 Fairfield Communities, Inc.(1) ................... 114,487
2,850 Family Golf Centers, Inc. ........................ 21,909
100 Farmer Brothers Co. .............................. 20,400
1,300 Farmers Capital Bank Corp. ....................... 46,150
1,800 Fatbrain.com(1) .................................. 30,150
3,600 FBL Financial Group, Inc. -- Class A ............. 70,200
8,700 Fedders USA, Inc. ................................ 58,181
700 Federal Agricultural Mortgage Corp.(1) ........... 48,037
5,300 Federal Realty Investment Trust .................. 121,569
6,200 Federal Signal Corp. ............................. 131,362
3 Felcor Suite Hotels, Inc.(1) ..................... 62
4,700 Ferro Corp. ...................................... 129,250
1,300 Fidelity Holdings(1) ............................. 26,488
3,540 Fidelity National Financial, Inc. ................ 74,340
4,300 FileNet Corp.(1) ................................. 49,181
1,250 Financial Federal Corp.(1) ....................... 27,500
8,600 Finet.com(1) ..................................... 47,838
2,300 Finish Line, Inc.-- Class A(1).................... 25,875
6,900 First American Financial Corp. ................... 123,337
600 First Charter Corp. .............................. 14,850
800 First Citizens Bancshares -- Class A ............. 64,600
1,600 First Commerce Bancshares, Inc. .................. 38,100
4,100 First Commonwealth Financial Corp. ............... 97,887
2,100 First Consulting Group(1) ........................ 22,312
2,100 First Federal Capital Corp. ...................... 30,975
2,600 First Federal Financial .......................... 50,050
5,753 First Financial Bancorp .......................... 130,162
1,210 First Financial Bankshares, Inc. ................. 38,417
820 First Financial Corp.-- Indiana .................. 31,006
Shares Description Value
------ ----------- -----
1,800 First Financial Holdings, Inc. ................... $ 33,750
5,500 First Health Group Corp. ......................... 118,594
1,310 First Indiana Corp. .............................. 28,001
5,100 First Industrial Realty Trust, Inc. .............. 139,931
1,500 First Liberty Financial .......................... 47,062
1,350 First Merchants Corp. ............................ 32,062
3,326 First Midwest Bancorp ............................ 132,208
2,900 First Republic Bank(1)............................ 83,919
4,100 First Sentinel Bancorp, Inc. ..................... 36,387
2,100 First Sierra Financial, Inc.(1) .................. 52,500
1,510 First Source ..................................... 48,320
3,800 First United Bancshares .......................... 70,775
1,530 First Washington Bancorp ......................... 30,696
1,450 First Western Bancorp ............................ 48,575
3,300 FirstBank Puerto Rico(1) ......................... 74,456
5,300 Fisher Scientific International .................. 118,256
1,000 Flagstar Bancorp, Inc. ........................... 25,250
3,500 Fleetwood Enterprises, Inc. ...................... 92,531
5,100 Fleming Companies, Inc. .......................... 59,287
3,200 Florida East Coast Railway Co. ................... 141,600
3,600 Florida Panthers Holdings, Inc. .................. 38,475
2,500 Florida Rock Industries .......................... 113,750
4,981 Flowserve Corp. .................................. 94,328
1,700 Flycast Communications Corp.(1) .................. 32,513
5,500 Foodmaker, Inc.(1) ............................... 156,062
3,200 Footstar, Inc. ................................... 119,000
2,500 Foremost Corp. of America ........................ 55,000
2,100 Forest City Enterprises -- Class A(1)............. 58,800
4,500 Forest Oil Corp.(1) .............................. 56,531
1,200 Fossil, Inc.(1) .................................. 58,050
7,300 Foster Wheeler Corp. ............................. 103,112
1,200 FPIC Insurance Group, Inc.(1) .................... 58,200
3,000 Franchise Mortgage Acceptance Co.(1) ............. 26,250
6,600 Franklin Covey Co.(1) ............................ 48,675
600 Franklin Electric Co., Inc. ...................... 39,000
2,600 Friede Goldman International, Inc.(1) ............ 36,075
4,300 Friedman, Billings, Ramsey -- Class A(1).......... 51,062
3,100 Fritz Companies, Inc.(1) ......................... 33,325
3,200 Frontier Airlines(1) ............................. 51,600
1,900 Frontier Financial Corp. ......................... 46,550
4,178 Frontier Insurance Group, Inc. ................... 64,237
4,900 FSI International, Inc.(1) ....................... 40,731
1,800 Fuller (H.B.) Co. ................................ 123,075
5,500 Furniture Brands International, Inc.(1) .......... 153,313
2,400 Furon Co. ........................................ 45,600
2,500 G & K Services, Inc. -- Class A .................. 130,937
3,500 Gables Residential Trust ......................... 84,437
2,300 Gallagher (Arthur J.) & Co. ...................... 113,850
1,850 Gardner Denver Machinery, Inc.(1) ................ 29,831
7,200 Gaylord Container Corp.(1) ....................... 57,150
2,700 Gaylord Entertainment ............................ 81,000
1,800 GBC Bancorp ...................................... 36,450
800 GC Companies, Inc.(1) ............................ 28,600
2,700 Geltex Pharmaceutical, Inc.(1) ................... 48,600
See Notes to Financial Statements.
15
<PAGE>
- --------------------------------------------------------------------------------
Small Cap Index Portfolio
Statement of Net Assets June 30, 1999 (unaudited)
- --------------------------------------------------------------------------------
Shares Description Value
------ ----------- -----
4,800 Gemstar International Group Ltd. ................. $313,200
4,500 GenCorp., Inc. ................................... 113,625
700 General Binding Corp. ............................ 16,450
5,400 General Cable Corp. .............................. 86,400
3,600 General Cigar Holdings, Inc. -- Class A(1)........ 28,125
1,778 General Cigar Holdings, Inc. -- Class B(1)........ 13,447
5,000 General Communication(1) ......................... 33,984
7,400 General Nutrition Companies(1) ................... 172,513
3,800 General Semiconductor, Inc.(1) ................... 34,675
3,200 Genesco, Inc.(1) ................................. 46,600
1,200 Genesys Telecom Labs, Inc.(1) .................... 30,000
1,600 Genlyte Group, Inc.(1) ........................... 35,900
4,400 GenRad, Inc.(1) .................................. 91,575
4,000 Gentek ........................................... 55,500
3,100 Geon Co. ......................................... 99,975
4,100 Georgia Gulf Corp. ............................... 69,187
2,700 Gerber Scientific, Inc. .......................... 59,569
2,900 Getty Images, Inc.(1) ............................ 54,737
1,100 Getty Realty Corp. ............................... 15,812
2,200 Giant Cement Holding, Inc.(1) .................... 50,325
800 Gibraltar Steel Corp. ............................ 19,800
4,100 Gilead Sciences, Inc.(1) ......................... 214,225
3,300 Glatfelter (P.H.) Co. ............................ 48,262
8,400 Glenayre Technologies, Inc.(1) ................... 30,188
4,200 Glenborough Realty Trust, Inc. ................... 73,500
2,100 Gliatech, Inc.(1) ................................ 53,550
3,100 Glimcher Realty Trust ............................ 50,375
11,800 Global Industrial Technologies, Inc.(1) .......... 142,337
6,800 Global Industries, Ltd.(1) ....................... 87,125
900 Globix Corp.(1) .................................. 39,769
2,400 Go2net, Inc.(1) .................................. 220,500
1,000 Golf Trust Of America, Inc. ...................... 24,437
4,100 Goodys Family Clothing(1) ........................ 46,894
1,900 Graco, Inc. ...................................... 55,812
3,550 Granite Construction, Inc. ....................... 104,059
3,300 Great Atlantic & Pacific Tea Co. ................. 111,581
2,200 Great Lakes REIT, Inc. ........................... 35,750
1,900 Great Plains Software, Inc.(1) ................... 89,656
2,400 Greater Bay Bancorp .............................. 79,800
1,900 Greif Brothers Corp.-- Class A ................... 48,450
200 Grey Advertising, Inc. ........................... 66,600
22,300 Grey Wolf, Inc.(1) ............................... 55,750
4,100 Griffon Corp.(1) ................................. 32,031
2,000 Group 1 Automotive, Inc.(1) ...................... 42,250
3,700 Group Maintenance America Corp.(1) ............... 47,869
5,300 GT Interactive Software Corp.(1) ................. 18,550
5,400 Gtech Holdings Corp.(1) .......................... 127,237
2,400 Guarantee Life Cos., Inc. ........................ 60,300
4,650 Guilford Mills, Inc. ............................. 48,244
2,100 Guilford Pharmaceuticals, Inc.(1) ................ 26,775
2,700 Guitar Center, Inc.(1) ........................... 28,181
4,600 Gymboree Corp.(1) ................................ 48,300
Shares Description Value
------ ----------- -----
1,800 Hadco Corp.(1) ................................... $ 71,550
3,600 Haemonetics Corp.(1) ............................. 72,225
1,800 Hain Food Group, Inc.(1) ......................... 37,125
7,087 HA-LO Industries, Inc. ........................... 69,984
3,800 Halter Marine Group, Inc.(1) ..................... 25,175
3,400 Hambrecht & Quist Group(1) ....................... 126,225
1,800 Hamilton Bancorp, Inc.(1) ........................ 43,200
1,220 Hancock Holding Co. .............................. 54,747
5,800 Handleman Co.(1) ................................. 68,512
4,100 Hanger Orthopedic Group, Inc.(1) ................. 58,169
6,300 Hanna (M. A.) Co. ................................ 103,556
3,800 Hanover Compressor(1) ............................ 122,075
15,400 Hanover Direct, Inc.(1) .......................... 43,312
6,750 Harbinger Corp.(1) ............................... 84,375
1,909 Harbor Florida Bancshares ........................ 23,385
1,300 Hardinge, Inc. ................................... 22,831
18,000 Harken Energy Corp.(1) ........................... 29,250
4,100 Harland (John H.) ................................ 81,744
1,500 Harleysville Group, Inc. ......................... 30,750
1,000 Harleysville National Corp. ...................... 35,750
2,800 Harman International Industries, Inc. ............ 123,200
2,800 Harmon Industries, Inc. .......................... 55,475
1,800 Harmonic Lightwaves, Inc.(1) ..................... 103,388
15,300 Harnischfeger Industries, Inc.(1) ................ 30,600
1,100 Harris Financial, Inc. ........................... 11,894
6,600 Harsco Corp. ..................................... 211,200
4,300 Hawaiian Electric Industries ..................... 152,650
2,400 Hayes Lemmerz International, Inc.(1) ............. 70,500
5,400 HCC Insurance Holdings, Inc. ..................... 122,512
4,100 Health Care Property Investors, Inc. ............. 118,387
3,700 Health Care REIT ................................. 86,025
1,800 Healthcare Financial Partners, Inc.(1) ........... 61,650
5,277 Healthcare Realty Trust, Inc. .................... 110,817
4,250 Heartland Express, Inc.(1) ....................... 69,594
7,900 Heilig-Meyers Co. ................................ 53,819
2,500 Helix Technology Corp. ........................... 59,844
6,600 Helmerich and Payne, Inc. ........................ 157,162
1,800 Henry (Jack) & Associates, Inc. .................. 70,650
3,300 Henry Schein, Inc.(1) ............................ 104,569
1,700 Herbalife International, Inc. -- Class A ......... 18,594
2,000 Hexcel Corp.(1) .................................. 20,250
5,100 HMT Technology Corp.(1) .......................... 12,750
4,100 HNC Software, Inc.(1) ............................ 126,331
4,200 Hollywood Entertainment Corp.(1) ................. 82,162
3,100 Hollywood Park, Inc.(1) .......................... 52,700
1,400 Holophane Corp.(1) ............................... 53,375
2,100 Home Properties of New York, Inc. ................ 58,012
5,100 Homebase, Inc. ................................... 32,194
3,700 Hooper Holmes, Inc. .............................. 75,387
4,400 Horace Mann Educators Corp. ...................... 119,625
5,100 Hospitality Properties Trust ..................... 138,337
3,800 Host Marriott Services Corp.(1) .................. 30,875
2,200 Houston Exploration Co.(1) ....................... 41,662
See Notes to Financial Statements.
16
<PAGE>
- --------------------------------------------------------------------------------
Small Cap Index Portfolio
Statement of Net Assets June 30, 1999 (unaudited)
- --------------------------------------------------------------------------------
Shares Description Value
------ ----------- -----
2,300 HS Resources, Inc.(1) ............................ $ 33,925
4,850 HSB Group, Inc. .................................. 199,759
700 Hub Group, Inc.(1) ............................... 15,706
6,477 Hudson United Bancorp ............................ 198,358
3,150 Hughes Supply, Inc. .............................. 93,516
3,000 Human Genome Sciences, Inc.(1) ................... 118,500
2,900 Hunt (J.B.) Transport Services, Inc. ............. 47,125
1 Huntington Bancshares, Inc. ...................... 35
6,800 Hussmann International, Inc. ..................... 112,625
2,600 Hutchinson Technology, Inc.(1) ................... 72,150
3,300 Hypercom Corp.(1) ................................ 31,556
4,025 Hyperion Software Corp.(1) ....................... 71,695
6,100 ICG Communications, Inc.(1) ...................... 130,387
5,000 Idacorp, Inc. .................................... 157,500
2,700 IDEC Pharmaceuticals Corp.(1) .................... 208,069
4,700 Identix, Inc.(1) ................................. 46,413
3,950 IDEX Corp. ....................................... 129,856
5,200 IDEXX Laboratories, Inc.(1) ...................... 121,225
1,600 IDG Books Worldwide Inc. -- Class A(1)............ 29,200
3,200 IDT Corp.(1) ..................................... 71,200
2,500 IDX Systems(1) ................................... 56,406
1,400 IGEN International, Inc.(1) ...................... 40,775
2,600 IHOP Corp. ....................................... 62,562
2,200 Imal(1) .......................................... 42,075
5,300 Imation Corp.(1) ................................. 131,506
1 IMC Global, Inc. ................................. 1
3,300 Imclone Systems(1) ............................... 83,737
2,000 IMCO Recycling, Inc. ............................. 34,250
4,605 Imperial Bancorp ................................. 91,237
4,600 Imperial Credit Commercial, Inc.(1) .............. 49,737
3,800 Imperial Credit Industries, Inc.(1) .............. 26,956
2,025 IMR Global Corp.(1) .............................. 38,981
4,972 Inacom Corp.(1) .................................. 62,771
3,200 Incyte Pharmaceuticals, Inc.(1) .................. 84,600
10,200 Independence Community Bank ...................... 137,700
1,600 Independent Bank Corp. MA ........................ 25,200
5,666 Indiana Energy, Inc. ............................. 120,757
11,500 Indymac Mortgage Holdings, Inc. .................. 184,000
2,000 Inet Technologies(1) ............................. 48,000
1,400 Infocure Corp.(1) ................................ 74,113
5,900 Information Resources, Inc.(1) ................... 51,625
23,100 Informix Corp.(1) ................................ 197,073
3,700 Infousa, Inc.(1) ................................. 31,450
1,300 Ingles Markets, Inc. ............................. 19,825
2,200 Inhale Therapeutic Systems(1) .................... 52,387
3,600 Innkeepers USA Trust ............................. 36,000
3,400 Innovex, Inc. .................................... 47,600
6,000 Input/Output, Inc.(1) ............................ 45,375
3,475 Insight Enterprises, Inc. ........................ 86,006
2,500 Insignia Financial Group, Inc.(1) ................ 26,250
4,100 Insituform Technology(1) ......................... 88,662
1,600 Inspire Insurance Solutions(1) ................... 23,200
10,900 Integrated Device Technology, Inc.(1) ............ 118,537
3,400 Integrated Electrical Services, Inc.(1) .......... 54,825
Shares Description Value
------ ----------- -----
6,500 Integrated Health Services, Inc.(1) .................. $ 52,000
4,100 Integrated Systems, Inc.(1) .......................... 48,175
6,500 InterDigital Communications Corp.(1) ................. 30,062
6,200 Interface, Inc. ...................................... 53,475
5,800 Intergraph Corp.(1) .................................. 44,950
8,100 Interim Services, Inc.(1) ............................ 167,062
5,500 Intermedia Communications of Florida, Inc.(1) ........ 165,000
4,900 Intermet Corp. ....................................... 74,112
1,775 International Bancshares Corp. ....................... 75,105
1,900 International Home Foods, Inc.(1) .................... 35,031
2,200 International Multifoods Corp. ....................... 49,637
8,500 International Rectifier Corp.(1) ..................... 113,156
3,300 International Telecommunications Data Systems(1) ..... 52,800
1,700 Interpool, Inc. ...................................... 22,100
2,800 Inter-Tel, Inc. ...................................... 51,100
2,400 Intervoice, Inc. ..................................... 34,650
2,100 Interwest Bancorp .................................... 52,500
1,800 Intl.Integration(1) .................................. 40,500
2,800 Intraware, Inc.(1) ................................... 67,200
4,400 Invacare Corp. ....................................... 117,700
38 Investment Technology Group, Inc. .................... 1,230
2,700 Investors Financial Services Corp. ................... 108,000
2,000 Invitrogen Corp.(1) .................................. 49,375
40,400 Iomega Corp.(1) ...................................... 199,475
2,100 Ionics, Inc.(1) ...................................... 76,650
1,200 IPC Communications(1) ................................ 81,900
2,200 IRI International Corp.(1) ........................... 10,175
3,850 Iron Mountains, Inc.(1) .............................. 110,206
4,400 IRT Property Co. ..................................... 43,450
1,500 Irwin Financial Corp. ................................ 29,250
3,600 Isis Pharmaceutical, Inc.(1) ......................... 36,675
2,600 ISS Group ............................................ 98,150
1,400 IT Group, Inc.(1) .................................... 22,488
6,400 ITC Deltacom, Inc.(1) ................................ 179,200
2,000 ITI Technologies(1) .................................. 45,250
2,750 ITT Educational Services, Inc.(1) .................... 71,672
2,400 Ivex Packaging Corp. ................................. 52,800
1,300 Ivillage ............................................. 65,325
3,800 IXC Communications, Inc.(1) .......................... 149,387
2,900 Jacobs Engineering Group, Inc.(1) .................... 110,200
1,500 Jakks Pacific(1) ..................................... 44,719
2,650 JDA Software Group, Inc.(1) .......................... 24,678
6,400 JDN Realty Corp. ..................................... 143,200
1,099 Jeffbanks ............................................ 31,253
2,800 Jefferies Group, Inc. ................................ 84,000
5,900 JLG Capital Industries, Inc. ......................... 120,212
600 JLK Direct Distribution, Inc. -- Class A(1)........... 5,587
2,200 Jo-Ann Stores, Inc.(1) ............................... 33,000
500 John Nuveen & Co., Inc. -- Class A ................... 21,344
52 Jones Apparel Group, Inc.(1) ......................... 1,802
4,900 Jones Lang Lasalle(1) ................................ 146,081
See Notes to Financial Statements.
17
<PAGE>
- --------------------------------------------------------------------------------
Small Cap Index Portfolio
Statement of Net Assets June 30, 1999 (unaudited)
- --------------------------------------------------------------------------------
Shares Description Value
------ ----------- -----
3,800 Jones Pharmaceuticals, Inc. .......................... $149,625
4,600 Jostens, Inc. ........................................ 96,887
5,000 Journal Register Co.(1) .............................. 112,500
1,700 JP Realty, Inc. ...................................... 34,956
1,100 JSB Financial, Inc. .................................. 55,962
3,000 Juno Online Services(1) .............................. 69,000
6,350 Just For Feet, Inc.(1) ............................... 40,878
2,300 Justin Industries .................................... 32,056
3,800 Kaiser Aluminum Corp.(1) ............................. 33,725
3,000 Kaman Corp.-- Class A ................................ 47,062
1,000 Kansas City Life Insurance Co. ....................... 43,000
6,300 Kaufman & Broad Home Corp. ........................... 156,712
4,200 Kaydon Corp. ......................................... 141,225
2,700 Kellstrom Industries, Inc.(1) ........................ 49,275
3,000 Kellwood Co. ......................................... 81,375
3,600 Kelly Services, Inc. -- Class A ...................... 115,650
5,100 Kemet Corp.(1) ....................................... 116,981
2,800 Kennametal, Inc.(1) .................................. 86,800
1,000 Kenneth Cole Productions, Inc. -- Class A(1).......... 27,875
5,000 Kent Electronics Corp.(1) ............................ 99,062
9,800 Key Energy Group, Inc.(1) ............................ 34,912
2,300 Keystone Automotive Industries, Inc.(1) .............. 39,962
3,700 Kilroy Realty Corp. .................................. 90,187
4,700 Kimball International, Inc. -- Class B ............... 79,312
2,900 King Pharmaceuticals(1) .............................. 75,038
2,662 Kirby Corp.(1) ....................................... 56,401
750 Knight Transportation, Inc.(1) ....................... 16,031
1,800 Knoll, Inc.(1) ....................................... 47,925
3,500 Koger Equity, Inc. ................................... 64,531
7,100 Komag, Inc.(1) ....................................... 23,519
1,400 Kopin Corp.(1) ....................................... 33,512
1,300 Kroll-O'Gara Co.(1) .................................. 28,681
1,650 Kronos, Inc.(1) ...................................... 75,075
3,800 Kulicke & Soffa Industries, Inc.(1) .................. 101,887
1,800 KV Pharmaceutical Co. -- Class B(1)................... 28,575
3,700 Labor Ready, Inc. .................................... 120,250
8,600 Laboratory Corporation of America Holdings(1) ........ 24,725
2,300 Laclede Gas Co. ...................................... 53,475
5,100 Lam Research Corp.(1) ................................ 238,106
3,200 Lance, Inc. .......................................... 50,000
2,000 Landamerica Financial Group, Inc. .................... 57,500
1,000 Landauer, Inc. ....................................... 29,500
6,000 Landry's Seafood Restaurants, Inc.(1) ................ 48,000
1,900 Lands' End, Inc.(1) .................................. 92,150
1,400 Landstar Systems, Inc.(1) ............................ 50,531
1,100 Laser Vision Centers, Inc.(1) ........................ 69,300
3,100 LaserSight Corp.(1) .................................. 50,375
2,100 Lason Holdings, Inc.(1) .............................. 104,212
2,100 Latitude Communications(1) ........................... 27,300
2,900 Lattice Semiconductor(1) ............................. 180,525
6,900 La-Z-Boy Chair, Inc. ................................. 158,700
1 LCA Vision, Inc.(1) .................................. 9
3,500 Leap Wireless International(1) ....................... 70,875
Shares Description Value
------ ----------- -----
1,600 Learning Tree International, Inc.(1) ............. $ 17,500
5,900 Lee Enterprises .................................. 179,950
1 Legg Mason, Inc. ................................. 39
7,500 Lennar Corp. ..................................... 180,000
4,200 Leucadia National Corp. .......................... 106,575
75 Level One Communications, Inc.(1) ................ 3,670
2,300 Lexington Corp. Properties ....................... 26,738
3,200 Libbey, Inc. ..................................... 92,800
1,431 Liberty Corp. .................................... 77,990
600 Liberty Financial Cos., Inc. ..................... 17,475
2,700 Life USA Holding, Inc. ........................... 54,675
5,900 Ligand Pharmaceutical -- Class B(1)............... 65,638
4,700 Lilly Industries, Inc. -- Class A ................ 87,244
6,100 Lincoln Electric Co. ............................. 125,050
1,725 Lindsay Manufacturing Co. ........................ 30,295
5,100 Liposome Co., Inc.(1) ............................ 97,538
2,100 Lithia Motors(1) ................................. 43,050
2,600 Littelfuse, Inc.(1) .............................. 50,050
3,400 LNR Property Corp. ............................... 72,675
2,900 Local Financial Corp.(1) ......................... 29,000
3,500 Lodgian .......................................... 22,969
2,500 Lone Star Industries, Inc. ....................... 93,906
5,000 Lone Star Steakhouse & Saloon(1) ................. 48,594
3,000 Lone Star Technologies, Inc.(1) .................. 53,250
3,000 Long Beach Financial Corp.(1) .................... 44,063
8,500 Longview Fibre Co. ............................... 132,813
2,600 Louis Dreyfus Natural Gas Corp.(1) ............... 56,063
50 LTC Healthcare, Inc.(1) .......................... 97
3,500 LTC Properties, Inc. ............................. 45,500
17,400 LTV Corp. ........................................ 116,363
3,200 LTX Corp.(1) ..................................... 42,600
5,100 Luby's Cafeterias, Inc. .......................... 76,500
36 Lycos, Inc. ...................................... 3,308
3,100 Lydall, Inc. ..................................... 35,650
1,200 M.S. Carriers, Inc.(1) ........................... 35,588
2,000 MacDermid, Inc. .................................. 93,000
4,000 Macerich, Co. .................................... 105,000
600 Macrovision Corp.(1) ............................. 44,925
2,100 Madison Gas & Electric Co. ....................... 43,050
5,325 MAF Bancorp, Inc. ................................ 129,131
6,300 Magellan Health Services, Inc.(1) ................ 63,000
3,600 MagnaTek, Inc.(1) ................................ 38,025
800 Mahoning National Bancorp/Ohio ................... 35,000
5,100 Mail-Well Corp.(1) ............................... 82,556
1,400 Maker Communications(1) .......................... 43,400
3,437 Manitowoc Co., Inc. .............................. 143,065
2,500 Mannatech(1) ..................................... 25,313
2,900 Manufactured Home Communities, Inc. .............. 75,400
3,800 Manugistics Group, Inc.(1) ....................... 55,100
4,800 Mapics, Inc.(1) .................................. 50,700
2,100 Mapquest.com(1) .................................. 34,256
3,200 Marcus Corp. ..................................... 39,400
7,000 Marine Drilling Co., Inc.(1) ..................... 95,813
7,000 Mark IV Industries ............................... 147,875
500 Markel Corp.(1) .................................. 93,500
2,200 Marshall Industries(1) ........................... 79,063
See Notes to Financial Statements.
18
<PAGE>
- --------------------------------------------------------------------------------
Small Cap Index Portfolio
Statement of Net Assets June 30, 1999 (unaudited)
- --------------------------------------------------------------------------------
Shares Description Value
------ ----------- -----
1,100 Marvel Enterprises, Inc.(1) ...................... $ 8,113
4,900 Mascotech, Inc. .................................. 82,994
1,950 MasTec, Inc.(1) .................................. 55,088
5,800 Mastech Corp.(1) ................................. 108,025
2,100 Mathews International Corp. -- Class A ........... 62,213
2,100 Maverick Tub Corp.(1) ............................ 29,269
1,400 MAXIMUS, Inc.(1) ................................. 40,250
2,200 Maxwell Technologies, Inc.(1) .................... 52,938
500 MAXXAM, Inc.(1) .................................. 32,250
1,900 Maxxim Medical, Inc.(1) .......................... 44,294
7 May Department Stores Co. ........................ 286
25 McClatchy Newspapers, Inc. ....................... 828
2,900 McGrath RentCorp ................................. 58,000
3,300 McMoRan Exploration(1) ........................... 73,219
2,900 MDC Holdings, Inc. ............................... 62,350
7,050 MDU Resources Group .............................. 160,828
2,800 Medallion Financial Corp. ........................ 53,375
13,200 Medaphis Corp.(1) ................................ 75,900
1,000 Mede America Corp.(1) ............................ 37,750
3,100 Media General, Inc. .............................. 158,100
1,000 Media Metrix, Inc.(1) ............................ 53,250
4,398 Medical Assurance, Inc.(1) ....................... 124,244
1,500 Medical Manager Corp.(1) ......................... 66,375
3,750 Medicis Pharmaceutical ........................... 95,156
2,500 Mediconsult.com, Inc.(1) ......................... 26,094
23,400 Medpartners, Inc.(1) ............................. 175,500
5,100 Medquist, Inc.(1) ................................ 223,125
2,000 Melita International Corp.(1) .................... 27,000
1,600 MemberWorks, Inc.(1) ............................. 46,400
2,850 Men's Wearhouse, Inc.(1) ......................... 72,675
3,000 Mentor Corp.(1) .................................. 55,875
8,800 Mentor Graphics Corp. ............................ 112,750
1,000 Merchants New York Bancorp ....................... 33,500
4,900 Mercury Interactive Corp. ........................ 173,338
3,576 Meridian Resource Corp.(1) ....................... 13,857
17,300 Merisel, Inc.(1) ................................. 39,466
7,712 Meristar Hospitality Corp. ....................... 173,038
1,900 Merrill Corp. .................................... 27,550
3,400 Mesa Air Group, Inc.(1) .......................... 25,553
1,700 Mesaba Holdings, Inc.(1) ......................... 21,675
2,000 Mestek, Inc.(1) .................................. 44,000
4,100 Metals USA, Inc.(1) .............................. 52,275
4,350 Metamor Worldwide, Inc.(1) ....................... 104,672
4,700 Methode Electronics, Inc. -- Class A ............. 107,513
2,700 Metricom, Inc.(1) ................................ 54,000
5,120 Metris Cos., Inc. ................................ 208,640
2,200 Metro Information Services, Inc.(1) .............. 36,575
1,700 Metro Networks, Inc.(1) .......................... 90,738
7,000 Metromedia International Group, Inc.(1) .......... 52,500
5,100 Mettler-- Toledo International(1) ................ 126,544
4,200 Metzler Group, Inc.(1) ........................... 116,025
1,800 MGI Properties, Inc. ............................. 50,850
2,000 Michaels Foods, Inc. ............................. 47,000
4,100 Michaels Stores, Inc.(1) ......................... 125,563
Shares Description Value
------ ----------- -----
2,200 Micrel, Inc.(1) ...................................... $162,800
4,800 Micro Warehouse, Inc.(1) ............................. 85,800
1,300 Micromuse, Inc.(1) ................................... 64,838
6,600 Micron Electronics, Inc.(1) .......................... 66,413
2,100 MICROS Systems, Inc.(1) .............................. 71,400
4,100 Microstrategy, Inc.(1) ............................... 155,288
6,300 Mid Atlantic Medical Services, Inc.(1) ............... 62,213
2,500 Mid-America Apartment Communities, Inc. .............. 57,813
1,148 Midamerica Bancorp ................................... 28,270
2,200 Midas, Inc. .......................................... 62,425
3,776 Midway Games, Inc.(1) ................................ 48,852
2,400 Midwest Banc Holdings ................................ 45,600
1,850 Midwest Express Holdings(1) .......................... 62,900
1,200 Mikasa, Inc. ......................................... 13,575
5,100 Milacron, Inc. ....................................... 94,350
5,300 Millennium Pharmaceuticals(1) ........................ 190,800
8,650 Miller Industries, Inc.(1) ........................... 34,059
2,000 Mills Corp. .......................................... 43,375
500 Mine Safety Appliances Co. ........................... 32,000
2,500 Minerals Technologies, Inc. .......................... 139,531
1,000 Mips Technologies(1) ................................. 47,938
3,468 Mississippi Chemical Corp. ........................... 34,030
800 Mississippi Valley Bancshares ........................ 26,500
2,700 Mitchell Energy & Development Corp. -- Class A ....... 52,144
4,500 MMC Networks, Inc.(1) ................................ 201,375
4,400 MMI Cos .............................................. 74,250
1,200 Modem Media Poppe Tyson, Inc(1) ...................... 27,450
2,900 Modine Manufacturing Co. ............................. 94,431
1,700 Monaco Coach Corp.(1) ................................ 71,931
900 Moog, Inc. -- Class A(1).............................. 30,938
3,850 Morgan Keegan, Inc. .................................. 72,909
4,400 Morrison Knudsen, Corp.(1) ........................... 45,375
3,500 MotivePower Industries, Inc. ......................... 62,125
2,300 Movado Group ......................................... 59,513
2,300 Mpath Interactive(1) ................................. 50,600
3,100 MRV Communications, Inc.(1) .......................... 40,688
2,400 MTS Systems Corp. .................................... 29,250
5,600 Mueller Industries, Inc.(1) .......................... 190,050
4,700 Musicland Stores Corp.(1) ............................ 41,713
3,060 Myers Industries, Inc. ............................... 61,200
824 NACCO Industries, Inc. -- Class A .................... 60,564
2,000 National Bancorp of Alaska, Inc. ..................... 53,000
2,256 National City Bancshares, Inc. ....................... 72,051
4,200 National Computer Systems, Inc. ...................... 141,750
1,700 National Golf Properties, Inc. ....................... 41,331
3,000 National Health Investors, Inc. ...................... 68,438
2,800 National Instruments Corp.(1) ........................ 113,050
4,000 National Penn Bancshares, Inc. ....................... 94,125
1,900 National Presto Industries, Inc. ..................... 72,675
1,950 National R.V. Holdings, Inc.(1) ...................... 47,288
2,700 National Steel Corp. ................................. 22,613
200 National Western Life Insurance -- Class A(1)......... 19,250
See Notes to Financial Statements.
19
<PAGE>
- --------------------------------------------------------------------------------
Small Cap Index Portfolio
Statement of Net Assets June 30, 1999 (unaudited)
- --------------------------------------------------------------------------------
Shares Description Value
------ ----------- -----
4,700 National-Oilwell(1) .............................. $ 65,800
6,200 Nationwide Health Properties, Inc. ............... 118,188
1,900 Nature's Sunshine Products, Inc. ................. 19,950
4,500 Nautica Enterprises, Inc.(1) ..................... 75,938
2,900 Navarre Corp.(1) ................................. 28,547
1,614 NBT Bancorp ...................................... 33,087
7,800 NBTY, Inc.(1) .................................... 50,700
600 NCH Corp. ........................................ 29,700
2,400 NCI Building Systems, Inc.(1) .................... 51,300
1,800 NCO Group, Inc.(1) ............................... 68,400
1,900 NCS Healthcare, Inc.-- Class A(1)................. 10,331
2,100 Neiman Marcus Group, Inc.(1) ..................... 53,944
2,600 Neomagic Corp.(1) ................................ 21,856
2,300 Net.B@nk, Inc.(1) ................................ 87,400
1,400 Netopia, Inc.(1) ................................. 33,425
2,800 Network Equipment Technologies, Inc.(1) .......... 27,650
2,600 Network Event Theater, Inc.(1) ................... 43,550
1,500 Neurogen Corp.(1) ................................ 21,938
8,700 Nevada Power Co. ................................. 217,500
2,400 New Century Financial Corp.(1) ................... 43,500
2,900 New England Business Services, Inc. .............. 89,538
2,400 New Jersey Resources Corp. ....................... 89,850
20 New Plan Realty Trust ............................ 360
4,800 Newfield Exploration Co.(1) ...................... 136,500
9,300 Newpark Resources, Inc.(1) ....................... 82,538
4,700 Newport News Shipbuilding, Inc. .................. 138,650
3,800 NeXstar Pharmaceuticals, Inc.(1) ................. 75,763
1,200 Nextcard(1) ...................................... 40,725
4,100 NFO Worldwide, Inc.(1) ........................... 57,400
1,900 Nichols Research Corp.(1) ........................ 41,563
3,000 NL Industries, Inc. .............................. 33,375
1,900 Nordson Corp. .................................... 116,375
1,300 Norrell Corp. .................................... 24,456
1,300 North Carolina Natural Gas Corp. ................. 44,281
2,000 North Pittsburgh Systems, Inc. ................... 34,000
2,300 Northeast Optic Network(1) ....................... 34,644
6,400 Northwest Bancorp, Inc. .......................... 64,000
3,300 Northwest Natural Gas Co. ........................ 79,613
3,100 Northwestern Corp. ............................... 74,981
3 Nova Corp.(1) .................................... 75
2,900 NPC International, Inc.(1) ....................... 44,588
2,600 Nuevo Energy Co.(1) .............................. 34,450
1,800 NUI Corp. ........................................ 45,000
3,600 Nvidia Corp.(1) .................................. 68,850
1,400 NVR, Inc.(1) ..................................... 73,063
2,400 Oak Industries, Inc.(1) .......................... 104,850
4,000 Oakley, Inc.(1) .................................. 28,500
8,200 Oakwood Homes .................................... 107,625
1,600 Ocean Financial Corp. ............................ 29,000
3,000 Oceaneering International, Inc.(1) ............... 48,375
1,300 O'Charleys, Inc.(1) .............................. 20,800
1,900 Octel Corp.(1) ................................... 23,750
2,100 Ocular Sciences, Inc.(1) ......................... 36,488
2,800 OEA, Inc. ........................................ 24,850
1,700 OEC Medical Systems, Inc.(1) ..................... 41,650
Shares Description Value
------ ----------- -----
17,800 Officemax(1) ..................................... $213,600
2,800 Offshore Logistics, Inc.(1) ...................... 31,150
4,800 Ogden Corp. ...................................... 129,300
5,300 Ohio Casualty Corp. .............................. 191,463
87 Old National Bancorp ............................. 2,615
7,500 Olin Corp. ....................................... 98,906
9,400 Olsten Corp. ..................................... 59,338
3,150 OM Group, Inc. ................................... 108,675
1,200 Omega Financial Corp. ............................ 41,700
4,200 OMEGA Healthcare Investors, Inc. ................. 108,413
3,000 OMI Corp.(1) ..................................... 6,188
4,100 Omnipoint Corp.(1) ............................... 118,644
1,500 On Assignment, Inc.(1) ........................... 39,188
4,587 One Valley Bancorp, Inc. ......................... 172,013
1,850 Oneida Ltd. ...................................... 52,031
4,200 ONEOK, Inc. ...................................... 133,350
3,100 Onhealth Network Co.(1) .......................... 32,938
1,700 ONSALE, Inc.(1) .................................. 32,194
1,900 Onyx Software Corp.(1) ........................... 41,088
3,000 Open Market Inc.(1) .............................. 42,563
1,300 Optical Cable Corp.(1) ........................... 14,300
1,700 Optical Coating Laboratory, Inc. ................. 18,700
2,600 Orange & Rockland Utilities, Inc. ................ 151,938
4,100 Orbital Sciences Corp.(1) ........................ 96,863
3,500 Oregon Steel Mills, Inc. ......................... 46,594
1,800 O'Reilly Automotive, Inc.(1) ..................... 90,675
4,072 Organogenesis, Inc.(1) ........................... 38,175
1,500 Oriental Financial Group ......................... 36,188
2,500 Orion Capital Corp. .............................. 89,688
5,400 Orthodontic Centers of America, Inc.(1) .......... 76,275
1,800 Oshkosh B'Gosh, Inc. -- Class A .................. 38,025
1,700 Oshkosh Truck Corp. -- Class B ................... 85,531
1,200 Osteotech, Inc. .................................. 34,500
3,400 O'Sullivan Industries Holdings, Inc.(1) .......... 57,800
1,500 Otter Tail Power Co. ............................. 57,844
3,600 Overseas Shipholding Group, Inc. ................. 46,350
4,400 Owens & Minor, Inc. Holding Co. .................. 48,400
3,200 Pacific Capital Bancorp .......................... 100,800
1,300 Pacific Gateway Exchange, Inc.(1) ................ 37,863
2,300 Pacific Gulf Properties, Inc. .................... 52,038
4,125 Pacific Sunwear of California .................... 100,547
4,900 PageMart Wireless, Inc.(1) ....................... 37,056
9,100 Pairgain Technologies(1) ......................... 104,650
2,494 Palm Harbor Homes, Inc.(1) ....................... 62,506
1,400 Pan Pacific Retail Properties, Inc. .............. 27,125
2,950 Papa John's International, Inc.(1) ............... 131,828
3,300 Parexel International Corp.(1) ................... 43,931
1,200 Park Electrochemical Corp. ....................... 34,500
1,100 Park National .................................... 110,000
8,800 Parker Drilling Co.(1) ........................... 29,150
1,300 Parkway Properties, Inc. ......................... 43,063
1,100 Party City Corp.(1) .............................. 4,228
2,200 PathoGenesis Corp.(1) ............................ 31,213
4,050 Patterson Dental Co.(1) .......................... 140,738
4,400 Patterson Energy, Inc.(1) ........................ 43,450
See Notes to Financial Statements.
20
<PAGE>
- --------------------------------------------------------------------------------
Small Cap Index Portfolio
Statement of Net Assets June 30, 1999 (unaudited)
- --------------------------------------------------------------------------------
Shares Description Value
------ ----------- -----
5,706 Paxar Corp.(1) ....................................... $ 51,354
3,900 Paxson Communications Corp.(1) ....................... 52,650
2,100 Paymentech, Inc.(1) .................................. 53,288
7,100 P-COM, Inc.(1) ....................................... 37,164
900 PCorder.com, Inc.(1) ................................. 37,406
2,000 PE Corp.- Celera Genomics Group ...................... 32,375
2,000 Pediatrix Medical Group, Inc.(1) ..................... 42,500
1,800 Pegasus Communications Corp. -- Class A 144A(1)....... 70,988
1,600 Pegasus Systems, Inc.(1) ............................. 59,900
2,400 Pegasystems, Inc.(1) ................................. 24,600
2,700 Pennsylvania Enterprises, Inc. ....................... 82,856
1,500 Pennsylvania Real Estate Investment Trust ............ 31,406
4,700 PennzEnergy Co. ...................................... 78,431
8,700 Pennzoil-Quaker State Co. ............................ 130,500
1,300 Penske Motorsports, Inc.(1) .......................... 64,513
1,400 Penton Media ......................................... 33,950
6,500 Peoples Bancorp, Inc. ................................ 64,797
1,900 Peoples Holdings Co. ................................. 61,750
8,800 Pep Boys (Manny Moe & Jack) .......................... 190,300
900 Perclose, Inc.(1) .................................... 43,256
3,200 Peregrine Systems, Inc. .............................. 82,200
1,600 Performance Food Group Co.(1) ........................ 43,500
8,400 Perrigo Co.(1) ....................................... 64,050
5,900 Personnel Group of America, Inc.(1) .................. 59,000
2,800 Petco Animal Supplies, Inc.(1) ....................... 44,100
17,800 PETsMART, Inc.(1) .................................... 182,450
2,300 PFF Bancorp, Inc.(1) ................................. 43,125
2,366 Pharmaceutical Product Development, Inc.(1) .......... 64,769
1,600 Pharmacyclics, Inc.(1) ............................... 44,800
4,733 Philadelphia Suburban Co. ............................ 109,155
3,000 Phillips-Van Heusen Corp. ............................ 29,625
5,800 Phoenix Investment Partners .......................... 50,025
5,200 Phoenix Technologies, Ltd.(1) ........................ 92,950
3,700 Photronics, Inc.(1) .................................. 90,650
10,100 Phycor, Inc.(1) ...................................... 74,803
3,900 Physician Computer Network, Inc.(1) .................. 975
2,400 Pico Holdings(1) ..................................... 60,750
5,200 Picturetel Corp.(1) .................................. 41,600
4,100 Piedmont Natural Gas Co., Inc. ....................... 127,613
12,000 Pier 1 Imports, Inc. ................................. 135,000
1,400 Pilgrim's Pride Corp. ................................ 42,000
1,000 Pillowtex Corp. ...................................... 16,313
1,200 Pinnacle Holdings(1) ................................. 29,400
2,400 Pinnacle Systems, Inc. ............................... 80,700
3,500 Pioneer Group, Inc.(1) ............................... 60,375
12,100 Pioneer Natural Resources Co.(1) ..................... 133,100
3,500 Pioneer-Standard Electronics, Inc. ................... 42,000
4,500 Pittston Burlington Group ............................ 42,750
4,100 Pittston Services Group(1)............................ 109,675
3,000 Pittway Corp. -- Class A ............................. 99,938
3,100 Plains Resources, Inc.(1) ............................ 58,900
2,300 Plantronics, Inc.(1) ................................. 149,788
2,600 Playboy Enterprises, Inc. -- Class B(1)............... 69,063
Shares Description Value
------ ----------- -----
4,300 Playtex Products, Inc.(1) ............................ $ 66,919
2,000 Plexus Corp.(1) ...................................... 60,250
1,100 PLX Technology(1) .................................... 52,113
2,000 PMA Capital Corp. .................................... 41,125
6,400 Pogo Producing Co. ................................... 119,200
4,200 Polaris Industries, Inc. ............................. 182,700
6,900 Polaroid Corp. ....................................... 190,613
3,900 Policy Management Systems(1) ......................... 117,000
3,300 Polycom Corp.(1) ..................................... 128,700
3,500 Polymer Group, Inc.(1) ............................... 41,125
2,800 Pool Energy Services Co.(1) .......................... 56,875
3,800 Potlatch Corp. ....................................... 166,963
1,700 Power Integrations(1) ................................ 124,313
2,300 Power-One, Inc.(1) ................................... 56,638
3,000 Powertel, Inc.(1) .................................... 89,625
2,300 Powerwave Technologies, Inc.(1) ...................... 74,175
3,200 Precision Castparts Corp. ............................ 136,000
3,300 Premier Bancshares ................................... 60,431
6,100 Premiere Technologies, Inc.(1) ....................... 70,150
3,900 Premisys Communications(1) ........................... 28,519
5,200 Prentiss Properties Trust ............................ 122,200
2,700 Pre-Paid Legal Services, Inc.(1) ..................... 73,406
3,000 Presidential Life Corp. .............................. 58,875
5,800 Presstek, Inc.(1) .................................... 41,869
2,400 Preview Travel, Inc.(1) .............................. 52,650
2,300 PRI Automation, Inc.(1) .............................. 83,375
2,200 Price Communications Corp. ........................... 33,000
6,800 Pride International, Inc.(1) ......................... 71,825
1,878 Primark Corp.(1) ..................................... 52,701
7,000 Prime Hospitality, Inc.(1) ........................... 84,000
5,694 Prime Retail, Inc. ................................... 49,467
1,200 Primex Technologies, Inc. ............................ 25,875
2,800 Primus Telecommunications Group, Inc.(1) ............. 62,825
1,160 Priority Healthcare Corp. -- Class B ................. 40,020
1,600 Prism Financial Corp. ................................ 32,700
3,000 Private Business(1) .................................. 30,375
1,500 Probusiness Services, Inc.(1) ........................ 53,813
11,600 Procurenet, Inc.(1) .................................. 1,740
2,000 Professionals Group(1) ............................... 67,500
2,200 Profit Recovery Group International(1) ............... 104,088
2,950 Progress Software Corp.(1) ........................... 83,338
900 Project Software & Development, Inc.(1) .............. 28,125
4,600 Protection One, Inc.(1) .............................. 24,725
2,500 Protein Design Labs, Inc.(1) ......................... 55,469
1,700 Provident American Corp.(1) .......................... 47,388
5,408 Provident Bankshares Corp. ........................... 125,736
1,100 Province Healthcare Co.(1) ........................... 21,450
1,100 Proxim, Inc.(1) ...................................... 63,800
3,600 Proxymed, Inc.(1) .................................... 57,375
3,100 PS Business Parks, Inc. .............................. 75,563
9,325 PSS World Medical, Inc.(1) ........................... 104,323
2,700 Public Service Company of North Carolina, Inc. ....... 78,975
See Notes to Financial Statements.
21
<PAGE>
- --------------------------------------------------------------------------------
Small Cap Index Portfolio
Statement of Net Assets June 30, 1999 (unaudited)
- --------------------------------------------------------------------------------
Shares Description Value
------ ----------- -----
5,500 Public Service Company of New Mexico ............. $109,313
3,900 Publicard(1) ..................................... 39,731
3,600 Pulte Corp. ...................................... 83,025
1,523 PXRE Corp. ....................................... 27,604
1,000 QRS Corp.(1) ..................................... 78,000
3,900 Quadramed Corp.(1) ............................... 31,688
1,900 Quanex Corp. ..................................... 54,150
2,900 Quanta Services(1) ............................... 127,600
3,672 Queens County Bancorp, Inc. ...................... 118,881
4,900 Quest Diagnostics, Inc.(1) ....................... 134,138
2,700 Quicksilver, Inc.(1) ............................. 70,369
11,500 Quorum Health Group, Inc.(1) ..................... 144,469
2,600 R.H. Donnelley ................................... 50,863
1,100 R.L.I. Corp. ..................................... 42,625
2,800 Racing Champions Corp.(1) ........................ 19,950
3,953 Radian Group ..................................... 192,967
2,800 Radiant Systems, Inc.(1) ......................... 39,900
4,070 Ralcorp Holdings, Inc.(1) ........................ 65,374
4,400 Rare Medium Group(1) ............................. 54,725
86 Rational Software Corp.(1) ....................... 2,833
4,300 Raymond James Financial, Inc. .................... 103,200
4,600 Rayonier, Inc. ................................... 229,138
4,800 Rayovac Corp.(1) ................................. 108,900
6,000 Read-Rite Corp.(1) ............................... 37,219
3,600 Realty Income Corp. .............................. 85,500
1,239 Reckson Associates -- Class B(1).................. 29,581
5,300 Reckson Associates Realty Corp. .................. 124,550
3,600 Red Roof Inns, Inc.(1) ........................... 64,575
2,700 Redwood Trust, Inc.(1) ........................... 44,719
4,600 Reebok International Ltd.(1) ..................... 85,675
2,800 Regal-Beloit Corp. ............................... 66,150
6,800 Regency Realty Corp. ............................. 149,175
3,000 Regeneron Pharmaceuticals, Inc.(1) ............... 23,438
3,600 Regis Corp. ...................................... 69,075
25 Reinsurance Group of America ..................... 881
1,200 Reliance Bancorp ................................. 33,150
4,900 Reliance Group Holdings .......................... 36,444
1,400 Reliance Steel & Aluminum Co. .................... 54,600
2,600 Remec, Inc.(1) ................................... 41,925
3,100 Remedy Corp.(1) .................................. 83,313
2,180 Renaissance Worldwide, Inc.(1) ................... 17,372
5,950 Renal Care Group, Inc.(1) ........................ 153,956
2,300 Rent-A-Center(1) ................................. 55,200
3,300 Rent Way, Inc.(1) ................................ 81,263
4,000 Rental Service Corp.(1) .......................... 114,500
3,200 Republic Bancorp, Inc. -- Class A ................ 37,200
5,440 Republic Bancorp, Inc. ........................... 82,620
1,200 Republic Bancshares(1)............................ 24,600
2,600 Republic Banking Corp. of Fla .................... 50,050
6,300 Republic Security Financial ...................... 52,763
1,550 Res-Care, Inc.(1) ................................ 35,263
1,900 Resmed, Inc.(1) .................................. 63,056
2,900 Resource America, Inc. -- Class A ................ 42,050
1,803 Resource Bancshares Mortgage Group, Inc. ......... 18,481
Shares Description Value
------ ----------- -----
3,651 Respironics, Inc.(1) ............................. $ 55,221
6,000 Rexall Sundown, Inc.(1) .......................... 73,125
3,400 RFS Hotel Investors, Inc. ........................ 42,713
6,400 Richfood Holdings, Inc. .......................... 112,800
3,200 Richmond County Financial Corp. .................. 61,600
2,600 Riggs National Corp. ............................. 53,463
3,000 Risk Capital Holdings, Inc.(1) ................... 40,500
2,200 Rivianna Foods, Inc. ............................. 41,250
2,000 Roadway Express, Inc. ............................ 38,750
1,100 Robbins & Myers, Inc. ............................ 24,544
1,100 Robert Mondavi Co. -- Class A(1).................. 40,013
4,200 Roberts Pharmaceutical Corp.(1) .................. 101,850
4,900 Rochester Gas & Electric Corp. ................... 130,156
2,600 Rock-Tenn Co. .................................... 43,388
1,000 Rogers Corp.(1) .................................. 29,500
2,300 Rollins, Inc. .................................... 36,656
6,350 Rollins Truck Leasing Corp. ...................... 70,644
4,683 Romac International, Inc.(1) ..................... 41,562
4,000 Roper Industries, Inc. ........................... 128,000
10 Roslyn Bancorp, Inc. ............................. 172
1,900 RTI International Metals(1) ...................... 27,906
4,300 Ruby Tuesday, Inc. ............................... 81,700
5,800 Ruddick Corp. .................................... 116,000
1,400 Russ Berrie & Co., Inc. .......................... 34,650
3,900 Russell Corp. .................................... 76,050
2,700 RWD Technologies, Inc.(1) ........................ 28,181
5,300 Ryan's Family Steak House(1) ..................... 61,613
4,461 Ryerson Tull, Inc. ............................... 100,651
1,900 Ryland Group, Inc. ............................... 56,406
3,620 S & T Bancorp .................................... 91,405
7,200 S3, Inc.(1) ...................................... 65,475
1,800 Sabratek Corp.(1) ................................ 39,375
5,000 Safeskin Corp.(1) ................................ 60,000
20 Safety-Kleen Corp.(1) ............................ 363
4,000 Saga Systems(1) .................................. 51,000
5,300 Sagent Technology(1) ............................. 45,713
1,600 Sanchez Computer Associates ...................... 55,400
2,500 Sanderson Farms, Inc. ............................ 35,625
3,200 SanDisk Corp.(1) ................................. 144,000
1,300 Sandy Spring Bancorp ............................. 36,075
2,100 SangStat Medical Corp.(1) ........................ 36,225
5,400 Santa Cruz Operation, Inc.(1) .................... 35,269
20 Santa Fe Snyder Corp.(1) ......................... 153
3,300 Sauer ............................................ 35,475
1,600 Sawtek, Inc.(1) .................................. 73,400
1,800 Sbarro, Inc.(1) .................................. 48,713
1,400 Schein Pharmaceutical, Inc.(1) ................... 16,888
1,800 Scholastic Corp.(1) .............................. 91,125
4,300 Schulman (A.), Inc. .............................. 73,906
2,000 Schweitzer-Manduit International, Inc. ........... 30,000
1,300 Scientific Games Holdings Corp.(1) ............... 25,350
1,600 SCM Microsystems, Inc.(1) ........................ 74,200
2,500 Scotsman Industries, Inc. ........................ 53,906
2,300 Scott Technologies, Inc.(1) ...................... 44,275
2,400 Scotts Co.(1) .................................... 114,300
1,600 SCPIE Holdings, Inc. ............................. 52,200
See Notes to Financial Statements.
22
<PAGE>
- --------------------------------------------------------------------------------
Small Cap Index Portfolio
Statement of Net Assets June 30, 1999 (unaudited)
- --------------------------------------------------------------------------------
Shares Description Value
------ ----------- -----
100 Seaboard Corp. ..................................... $ 34,000
7,600 Seacoast Finl Services Corp.(1) .................... 86,450
1,700 Seacor Smit, Inc.(1) ............................... 90,950
5,100 Security Capital Corp. -- Class B(1)................ 74,269
6,000 Security Dynamics Technologies, Inc.(1) ............ 127,500
3,000 Security First Technologies ........................ 135,375
3,300 Seitel, Inc. ....................................... 53,419
5,700 Selective Insurance Group, Inc. .................... 108,656
1,839 Semco Energy, Inc. ................................. 28,390
2,300 Semtech Corp.(1) ................................... 119,888
9,300 Sensormatic Electronics(1) ......................... 129,619
900 Sequa Corp.-- Class A(1)............................ 63,000
5,800 Sequent Computer Systems, Inc.(1) .................. 102,950
4,425 Serologicals Corp.(1) .............................. 35,953
2,300 Service Experts, Inc.(1) ........................... 50,456
2,400 Shoe Carnival, Inc.(1) ............................. 40,800
3,500 ShopKo Stores, Inc.(1) ............................. 126,875
1,100 Shoreline Financial Corp. .......................... 33,069
2,900 Shorewood Packaging Corp.(1) ....................... 53,469
3,800 Shurgard Storage Centers, Inc. ..................... 103,075
13,700 Sicor(1) ........................................... 58,225
600 Siebert Financial Corp. ............................ 17,963
3,600 Sierra Health Services, Inc.(1) .................... 51,975
4,100 Sierra Pacific Resources ........................... 149,138
3,150 Sigcorp, Inc. ...................................... 89,184
1,600 Silgan Holdings, Inc.(1) ........................... 31,800
2,600 Silicon Valley Bancshares(1) ....................... 64,350
5,600 Silicon Valley Group, Inc.(1) ...................... 94,150
900 Siliconix, Inc.(1) ................................. 30,825
1,000 Silknet Software(1) ................................ 40,500
900 Simmons First National ............................. 28,913
2,400 Simpson Industries, Inc. ........................... 24,600
600 Simpson Manufacturing Co., Inc.(1) ................. 28,500
2,100 Sinclair Broadcasting Group A(1).................... 34,388
3,200 Sipex Corp.(1) ..................................... 65,600
5,000 Sitel Corp.(1) ..................................... 14,688
7,556 Sky Financial Group, Inc. .......................... 205,901
1,600 Skyline Corp. ...................................... 46,900
8,100 Skytel Communications, Inc.(1) ..................... 169,594
2,700 Skywest, Inc. ...................................... 67,331
3,000 SL Green Realty Corp. .............................. 61,313
1,900 SLI, Inc.(1) ....................................... 51,300
3,500 Smart & Final, Inc. ................................ 36,750
3,500 Smart Modular Technologies, Inc.(1) ................ 60,812
2,800 Smith (A.O.) Corp. ................................. 78,400
2,300 Smith (Charles E.) Residential Realty, Inc. ........ 78,056
10,900 Smithfield Foods(1) ................................ 364,469
3,400 Smucker (J.M.) Co. -- Class A ...................... 75,650
3,300 Sola International, Inc.(1) ........................ 64,144
2,450 Sonic Corp.(1) ..................................... 79,931
2,200 Source Information Mgmt(1) ......................... 29,700
3,000 Source Media(1) .................................... 51,000
1,000 South Jersey Industries, Inc. ...................... 28,313
3,300 Southern Peru Copper Corp. ......................... 47,644
Shares Description Value
------ ----------- -----
2,406 Southern Union Co.(1) ............................ $ 52,331
3,700 Southwest Bancorp of Texas(1) .................... 66,600
4,000 Southwest Gas Corp. .............................. 114,500
1,700 Southwest Securities Group, Inc .................. 110,898
3,300 Southwestern Energy Co. .......................... 34,856
1,600 Sovran Self Storage, Inc. ........................ 43,100
2,000 Spartech Corp. ................................... 63,250
1,500 Specialty Equipment Cos., Inc.(1) ................ 44,156
3,890 SpeedFam-International, Inc.(1) .................. 62,483
3,800 Spiegel, Inc. -- Class A Non-Voting(1) ........... 33,725
2,400 Sportsline USA, Inc.(1) .......................... 86,100
1,400 Springs Industries, Inc.-- Class A ............... 61,075
1,700 SPS Technologies, Inc.(1) ........................ 63,750
2,800 Spyglass, Inc.(1) ................................ 56,350
3,500 SS&C Technologies(1) ............................. 26,688
1,400 St. Mary Land & Exploration Co. .................. 28,788
5,525 St. Paul Bancorp, Inc. ........................... 140,888
3,700 Staff Leasing, Inc.(1) ........................... 47,638
5,500 StaffMark, Inc.(1) ............................... 55,172
3,100 Stancorp Financial Group(1) ...................... 93,000
1,300 Standard Motor Products, Inc. .................... 31,850
3,300 Standard-Pacific Corp. ........................... 42,694
2,100 Standard Products Co. ............................ 53,813
1,700 Standard Register Co. ............................ 52,275
2,200 Standex International Corp. ...................... 60,225
2,800 Star Telecommunications, Inc.(1) ................. 21,875
900 Starrett (L.S.) Co. -- Class A ................... 24,188
1,800 Startek(1) ....................................... 44,550
2,100 State Auto Financial Corp. ....................... 28,350
5,900 Staten Island Bancorp, Inc. ...................... 106,200
2,700 Station Casinos, Inc.(1) ......................... 55,013
7,100 Steel Dynamics, Inc.(1) .......................... 109,828
3,900 Stein Mart, Inc.(1) .............................. 36,563
1,200 Steinway Musical Instruments, Inc.(1) ............ 31,800
900 Stepan Co. ....................................... 22,838
3,500 Stericycle(1) .................................... 47,469
8,100 STERIS Corp.(1) .................................. 156,938
3,100 Sterling Bancshares .............................. 41,463
5,300 Stewart & Stevenson Services, Inc. ............... 80,825
1,800 Stewart Information Services ..................... 38,025
4,450 Stillwater Mining Co. ............................ 145,459
1,200 Stone & Webster, Inc. ............................ 31,950
1,800 Stone Energy Corp.(1) ............................ 76,275
1,600 Stoneridge, Inc.(1) .............................. 21,600
3,600 Storage USA, Inc. ................................ 114,750
1,000 Strayer Education, Inc. .......................... 30,688
6,200 Stride Rite Corp. ................................ 63,938
4,800 Structural Dynamics Research Corp.(1) ............ 89,100
1,300 Student Loan Corp. ............................... 57,850
5,300 Sturm Ruger & Co., Inc. .......................... 56,644
2,000 Sugen, Inc.(1) ................................... 59,000
4,400 Suiza Foods Corp.(1) ............................. 184,250
3,200 Summit Properties, Inc. .......................... 63,200
6,600 Summit Technology, Inc.(1) ....................... 145,200
See Notes to Financial Statements.
23
<PAGE>
- --------------------------------------------------------------------------------
Small Cap Index Portfolio
Statement of Net Assets June 30, 1999 (unaudited)
- --------------------------------------------------------------------------------
Shares Description Value
------ ----------- -----
2,200 Sun Communities, Inc. .............................. $ 78,100
2,000 Sun Healthcare Group, Inc.(1) ...................... 750
9,400 Sunbeam Oster Corp.(1) ............................. 74,613
1 Sunburst Hospitality Corp.(1) ...................... 6
6,800 Sunglass Hut International(1) ...................... 116,875
2,200 Sunrise Assisted Living, Inc.(1) ................... 76,725
3,000 Sunrise Medical, Inc.(1) ........................... 21,375
4,500 Sunrise Technologies Intl.(1) ...................... 55,125
5,000 Sunstone Hotel Investors, Inc. ..................... 42,500
3,800 Sunterra Corp.(1) .................................. 52,963
2,000 Supergen, Inc.(1) .................................. 30,625
1,700 Superior Consultant Holdings Corp.(1) .............. 41,969
2,700 Superior Industries International, Inc. ............ 73,744
1,400 Superior National Insurance Group, Inc.(1) ......... 38,150
3,600 Superior Services, Inc.(1) ......................... 96,075
1,300 Superior Telecom, Inc. ............................. 32,500
4,925 Susquehanna Bancshares, Inc. ....................... 87,111
1,930 Swift Energy Co.(1) ................................ 20,627
4,850 Swift Transportation Co., Inc. ..................... 106,700
12,900 Sybase, Inc.(1) .................................... 141,900
3,400 Sykes Enterprises, Inc.(1) ......................... 113,475
25 Sylvan Learning Systems, Inc.(1) ................... 680
2,200 Syntel, Inc.(1) .................................... 19,800
2,900 Syntroleum Corp.(1) ................................ 25,919
4,800 Systemax(1) ........................................ 59,400
4,400 Systems & Computer Technology Corp. ................ 64,075
1,500 Talbots ............................................ 57,188
6,500 Talk.com(1) ........................................ 73,125
400 Tanger Factory Outlet Center ....................... 10,400
5,100 Taubman Centers, Inc. .............................. 67,256
2 TCF Financial Corp. ................................ 56
2,700 Techne Corp.(1) .................................... 68,513
1,900 Technitrol, Inc. ................................... 61,275
7,725 Technology Solutions Co.(1) ........................ 83,527
2,500 Tecumseh Products Co. -- Class A ................... 151,406
1,200 Tejon Ranch Co. .................................... 30,300
5,000 Tekelec(1) ......................................... 60,938
6,700 Tektronix, Inc. .................................... 202,256
3,800 Telebanc Financial Corp. ........................... 147,250
2,100 Telescan(1) ........................................ 51,056
3,000 Teletech Holdings, Inc.(1) ......................... 30,375
1,200 Tennant Co. ........................................ 38,400
2,300 Terayon Communication Systems(1) ................... 128,513
2,500 Terex Corp.(1) ..................................... 76,094
4,300 Terra Industries, Inc. ............................. 17,200
4,300 Tesoro Petroleum Corp.(1) .......................... 68,531
4,851 Tetra Tech, Inc. ................................... 80,042
2,800 Texas Industries, Inc. ............................. 108,500
1,900 Texas Regional Bancshares, Inc. .................... 51,656
5,300 The Mony Group, Inc. ............................... 172,913
5,600 Theragenics Corp.(1) ............................... 38,850
4,800 Thermedics, Inc.(1) ................................ 44,700
1,400 Thermo Bioanalytics(1) ............................. 24,325
Shares Description Value
------ ----------- -----
2,200 Thermo Cardiosystems, Inc.(1) ........................ $ 23,925
1,800 Thermo Ecotek Corp.(1) ............................... 14,400
1,300 Thermo Fibertek, Inc.(1) ............................. 9,263
2,900 Thermo Optek Corp.(1) ................................ 30,088
2,800 Thermoquest Corp.(1) ................................. 37,275
1,600 The street.com(1) .................................... 57,600
2,100 Thomas Industries, Inc. .............................. 43,050
1,700 Thor Industries, Inc. ................................ 48,238
2,800 Thornburg Mortgage Asset Corp. ....................... 28,000
2,300 T-HQ, Inc.(1) ........................................ 66,125
1,100 Timberland Co. -- Class A(1).......................... 74,869
8,100 Timken Co. ........................................... 157,950
2,800 Titan Corp.(1) ....................................... 30,800
4,700 Titan International, Inc. ............................ 55,813
2,900 Titanium Metals Corp. ................................ 32,263
2,000 TJ International, Inc. ............................... 62,000
1,700 TNP Enterprises, Inc. ................................ 61,625
3,200 Toll Brothers, Inc.(1) ............................... 68,600
8,600 Topps, Inc.(1) ....................................... 62,619
1,700 Toro Co. ............................................. 66,938
8,900 Total Renal Care Holdings(1) ......................... 138,506
6,100 Tower Automotive, Inc.(1) ............................ 155,169
2,100 Town and Country Trust ............................... 37,538
1,500 Track Data Corp.(1) .................................. 21,188
3,700 Trammell Crow Co.(1) ................................. 60,819
7,800 Trans World Airlines(1) .............................. 38,513
5,650 Trans World Entertainment Corp.(1) ................... 63,563
1,400 Transaction Network Services, Inc.(1) ................ 40,950
4,900 Transactions Systems Architects, Inc. -- Class A(1)... 191,100
2,200 Transkaryotic Therapies, Inc.(1) ..................... 72,600
3,500 Transmontaigne Oil Co.(1) ............................ 43,969
3,000 Transwitch Corp. ..................................... 142,125
2,730 Tredegar Industries, Inc. ............................ 59,378
1,400 Trenwick Group, Inc. ................................. 34,519
4,400 Trex Medical Corp.(1) ................................ 26,400
1,900 Triad Guaranty, Inc.(1) .............................. 34,081
5,350 Triangle Bancorp, Inc. ............................... 90,616
3,400 Triangle Pharmaceuticals, Inc. ....................... 61,200
2,700 Triarc Cos., Inc. -- Class A ......................... 57,375
2,900 Trimble Navigation Ltd. .............................. 37,338
3,000 TriNet Corporate Realty Trust ........................ 83,063
6,700 Trinity Industries, Inc. ............................. 224,450
800 Triquint Semiconductor, Inc.(1) ...................... 45,450
2,500 Triumph Group, Inc.(1) ............................... 63,750
1,300 Tropical Sportswear International Corp.(1) ........... 41,438
4,500 True North Communications, Inc. ...................... 135,000
2,100 Trust Co. of New Jersey .............................. 49,350
5,130 Trustco Bank Corp. ................................... 137,869
2,400 TSI International Software ........................... 68,100
5,300 Tuboscope, Inc.(1) ................................... 72,544
8,800 Tupperware Corp. ..................................... 224,400
1,100 Tut Systems(1) ....................................... 53,831
800 Tweeter Home Entertainment(1) ........................ 31,400
5,100 Twinlab Corp.(1) ..................................... 43,828
3,400 Tyler Corp.(1) ....................................... 23,375
See Notes to Financial Statements.
24
<PAGE>
- --------------------------------------------------------------------------------
Small Cap Index Portfolio
Statement of Net Assets June 30, 1999 (unaudited)
- --------------------------------------------------------------------------------
Shares Description Value
------ ----------- -----
1,800 U.S. Bancorp, Inc. ................................... $ 28,350
5,500 U.S. Bioscience, Inc.(1) ............................. 53,625
7,900 U.S. Office Prods Co.(1) ............................. 42,463
1,800 U.S. Home Corp.(1) ................................... 63,900
2,300 U.S. Lec Corp. -- Class A(1).......................... 51,750
6,420 U.S. Oncology(1) ..................................... 77,040
1,700 U.S. Restaurant Properties, Inc. ..................... 36,125
3,400 U.S.B. Holding Co. ................................... 52,063
6,900 UCAR International, Inc.(1) .......................... 174,225
4,400 UGI Corp. ............................................ 88,825
2,200 UICI, Inc.(1) ........................................ 60,775
2,800 Ultratech Stepper, Inc.(1) ........................... 42,175
1,981 UMB Financial Corp. .................................. 84,935
9,500 Unicapital Corp.(1) .................................. 59,969
6,600 Unifi, Inc.(1) ....................................... 140,250
1,500 Unifirst Corp. ....................................... 27,563
4,300 Unisource Energy Corp.(1) ............................ 51,331
5,500 United Asset Management Co. .......................... 125,125
2,100 United Auto Group, Inc.(1) ........................... 21,525
5,700 United Bankshares, Inc. .............................. 151,050
2,700 United Community Financial Corp. ..................... 39,656
18,100 United Dominion Realty Trust ......................... 212,675
1,000 United Fire & Casualty Co. ........................... 26,000
1,900 United Illuminating Co. .............................. 80,631
2,150 United National Bancorp New Jersey ................... 51,063
2,200 United Natural Foods, Inc.(1) ........................ 54,450
3,000 United Payors and United Providers, Inc.(1) .......... 69,563
51 United Rentals, Inc.(1) .............................. 1,505
4,900 United Stationers, Inc.(1) ........................... 107,800
500 United Television, Inc. .............................. 52,438
3,600 United Water Resources, Inc. ......................... 81,675
4,200 Unitrode Corp.(1) .................................... 120,488
4,400 Universal Corp. ...................................... 125,125
7,900 Universal Foods Corp. ................................ 166,888
2,100 Universal Forest Products, Inc. ...................... 45,150
4,800 UNOVA, Inc.(1) ....................................... 76,200
1,300 Urban Outfitters, Inc.(1) ............................ 32,663
2,500 Urban Shopping Centers, Inc. ......................... 78,750
2,700 URS Corp.(1) ......................................... 79,144
11,200 USEC ................................................. 166,600
4,200 USFreightways Corp. .................................. 194,513
1,800 USinternetworking, Inc.(1) ........................... 75,600
7,261 UST Corp. ............................................ 219,645
1,800 UTI Energy Corp.(1) .................................. 29,813
3,500 Vail Resorts, Inc.(1) ................................ 61,250
5,100 Valence Technology, Inc.(1) .......................... 37,613
5,500 Valero Energy New .................................... 117,906
3,700 Valhi, Inc. .......................................... 41,163
2,500 Valmont Industries ................................... 42,578
1,500 Value City Department Stores, Inc.(1) ................ 18,375
800 Value Line, Inc. ..................................... 31,200
2,500 Valuevision International, Inc. -- Class A(1)......... 49,688
Shares Description Value
------ ----------- -----
3,500 Vantive Corp.(1) ................................. $ 40,031
6,400 Varco International, Inc.(1) ..................... 70,000
2,200 Varian Inc.(1) ................................... 29,700
3,100 Varian Medical Systems ........................... 78,275
2,400 Varian Semiconductor Equipment Associates, Inc.(1) 40,800
2,225 Varlen Corp. ..................................... 90,113
1,200 Veeco Instruments, Inc.(1) ....................... 40,800
1,800 Ventana Medical Systems, Inc.(1) ................. 34,425
7,300 Ventas ........................................... 39,238
3,000 Veritas DGC, Inc.(1) ............................. 54,938
1,400 Verity, Inc.(1) .................................. 75,863
3,400 Vertex Pharmaceuticals, Inc.(1) .................. 82,025
2,000 Verticalnet, Inc.(1) ............................. 210,000
2,800 Veterinary Centers of America, Inc.(1) ........... 37,975
800 Viatel, Inc.(1) .................................. 44,900
2,100 Vical, Inc.(1) ................................... 25,463
2,600 Vicor Corp.(1) ................................... 55,088
5,000 Vintage Petroleum, Inc. .......................... 53,750
3,500 Visio Corp.(1) ................................... 133,219
2,200 Vistana, Inc.(1) ................................. 34,650
2,700 Visual Networks, Inc.(1) ......................... 86,400
800 Vital Signs, Inc. ................................ 15,950
3,900 Vlasic Foods International(1) .................... 28,519
1,050 Volt Information Sciences, Inc.(1) ............... 24,019
1,900 VWR Scientific Products Corp.(1) ................. 69,706
7,600 W.R. Grace & Co.(1) .............................. 139,650
4,000 Wabash National .................................. 77,500
1,700 Wackenhut Corp. .................................. 50,575
1,400 Wackenhut Corrections Corp.(1) ................... 27,738
3,300 Walden Residential Properties, Inc. .............. 70,950
5,600 Wallace Computer Services, Inc. .................. 140,000
5,700 Walter Industries, Inc.(1) ....................... 73,744
9,600 Washington Federal, Inc. ......................... 215,400
6,100 Washington Gas Light Corp. ....................... 158,600
4,700 Washington Real Estate Investment Trust .......... 79,606
1,300 Washington Trust Bancorp ......................... 23,400
700 Waste Connections, Inc.(1) ....................... 21,350
800 Waste Industries, Inc.(1) ........................ 14,300
2,950 Watsco, Inc. ..................................... 48,306
2,200 Watts Industries, Inc. -- Class A ................ 42,213
7,170 Wausau Paper Mills Co.(1) ........................ 129,060
4,100 Wave Systems Corp.(1) ............................ 77,900
2,800 Wavo Corp.(1) .................................... 17,850
1,800 WD-40 Co. ........................................ 45,000
2,000 Webb (Del E.) Corp.(1) ........................... 47,750
5,000 Webster Financial Corp. .......................... 135,625
2,600 Weeks Corp. ...................................... 79,300
3,500 Weingarten Realty Investment ..................... 146,125
5,600 Wellman, Inc. .................................... 89,250
4,062 Werner Enterprises, Inc. ......................... 84,287
2,300 Wesley Jessen VisionCare(1) ...................... 74,463
3,700 West Coast Bancorp/Oregon ........................ 64,750
1,200 West Marine, Inc.(1) ............................. 17,475
1,808 West Pharmaceutical Services, Inc. ............... 70,964
See Notes to Financial Statements.
25
<PAGE>
- --------------------------------------------------------------------------------
Small Cap Index Portfolio
Statement of Net Assets June 30, 1999 (unaudited)
- --------------------------------------------------------------------------------
Shares Description Value
------ ----------- -----
2,400 West Teleservices Corp.(1) ....................... $ 22,500
5,268 Westamerica Bancorp .............................. 192,282
2,700 WestBanco, Inc.(1) ............................... 81,000
1,300 Westcorp, Inc. ................................... 14,625
2,400 Westell Technologies -- Class A(1)................ 16,725
2,800 Western Bancorp .................................. 121,800
5,600 Western Bank Puerto Rico ......................... 73,150
9,200 Western Digital Corp.(1) ......................... 59,800
3,600 Western Gas Resources, Inc. ...................... 57,600
3,900 Westfield America, Inc. .......................... 58,744
2,300 Westinghouse Air Brake Co. ....................... 59,656
3,400 Westwood One, Inc.(1) ............................ 121,338
2,100 Wet Seal, Inc. -- Class A(1)...................... 60,113
1,800 WFS Financial, Inc.(1) ........................... 29,588
750 White Mountain Insurance ......................... 105,750
3,100 Whitney Holding Corp. ............................ 123,225
2,200 Whittaker Corp.(1) ............................... 61,600
3,000 Whole Foods Market, Inc.(1) ...................... 144,188
4,900 Wicor, Inc. ...................................... 136,894
5,500 Wind River Systems ............................... 88,344
2,900 Windmere Corp.(1) ................................ 48,938
6,900 Wisconsin Central Transportation(1) .............. 130,238
8,500 Witco Corp. ...................................... 170,000
4,300 WMS Industries, Inc.(1) .......................... 73,100
1,900 Wolverine Tube, Inc.(1) .......................... 47,738
5,500 Wolverine World Wide, Inc. ....................... 77,000
1,200 Woodward Governor Co. ............................ 31,200
4,800 World Access, Inc.(1) ............................ 67,800
6,300 World Color Press, Inc.(1) ....................... 173,250
800 Worldgate Communications(1) ...................... 41,000
7,400 Worthington Industries, Inc. ..................... 121,638
3,500 WPS Resources Corp. .............................. 105,000
1,400 Wyman/Gordon Corp.(1) ............................ 27,038
21,800 Wyndham Hotels(1) ................................ 98,100
1,925 Wynn's International, Inc. ....................... 35,492
2,200 Xceed, Inc.(1) ................................... 48,125
Shares Description Value
------ ----------- -----
3,100 Xircom, Inc.(1) .............................. $ 93,194
1,830 XL Capital Limited ........................... 103,395
2,100 Xomed Surgical Supplies(1) ................... 102,244
1,800 Xtra Corp.(1) ................................ 82,688
1,400 Yankee Energy System, Inc. ................... 55,563
3,400 Yellow Corp.(1) .............................. 60,350
1,200 Young Broadcasting Corp. -- Class A(1)........ 51,075
2,000 Zapata Corp.(1) .............................. 17,000
3,200 Zebra Technologies Corp. -- Class A(1)........ 123,000
1,300 Zenith National Insurance Corp. .............. 32,013
------------
Total Common Stock (Cost $115,154,457) ........................ 122,596,280
------------
SHORT TERM INSTRUMENTS - 6.7%
Mutual Fund - 6.3%
8,018,827 Institutional Cash Management Fund ........... 8,018,827
------------
Principal
Amount
- --------
U.S. Treasury Bills - 0.4%
$ 135,000 4.24%, 7/22/99(2)............................ 134,664
10,000 4.32%, 7/22/99(2)............................ 9,975
340,000 4.957%, 7/22/99(2)........................... 339,181
------------
483,820
------------
Total Short Term Instruments
(Cost $8,502,647) ............................................. 8,502,647
------------
Total Investments
(Cost $123,657,104) ................................... 102.9% 131,098,927
Liabilities in Excess of Other Assets ................. (2.9)% (3,620,773)
----- ------------
Net Assets ............................................ 100.0% $127,478,154
===== ============
- ------------
(1) Non-income producing security.
(2) Held as collateral for futures contracts.
See Notes to Financial Statements.
26
<PAGE>
- --------------------------------------------------------------------------------
Small Cap Index Portfolio
Statement of Operations For the six months ended June 30, 1999 (unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
Investment Income
Dividends ................................................................... $ 1,580,475
Interest .................................................................... 4,968
------------
Total Investment Income ........................................................ 1,585,443
------------
Expenses
Advisory Fees ............................................................... 156,452
Administration and Services Fees ............................................ 52,151
Professional Fees ........................................................... 34,357
Trustees Fees ............................................................... 2,037
Miscellaneous ............................................................... 699
------------
Total Expenses .............................................................. 245,696
Less: Fees Waived by Bankers Trust .......................................... (141,132)
------------
Net Expenses ............................................................. 104,564
------------
Net Investment Income .......................................................... 1,480,879
------------
Realized and Unrealized Gain (Loss) on Investments and Futures Contracts
Net Realized Loss from Investment Transactions .............................. (3,308,923)
Net Realized Gain from Futures Transactions ................................. 160,258
Net Change in Unrealized Appreciation/Depreciation on Investments ........... 10,235,760
Net Change in Unrealized Appreciation/Depreciation on Futures Contracts ..... 140,375
------------
Net Realized and Unrealized Gain on Investments and Futures Contracts .......... 7,227,470
------------
Net Increase in Assets from Operations ......................................... $ 8,708,349
============
</TABLE>
- --------------------------------------------------------------------------------
Statements of Changes in Net Assets
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
For the For the
six months ended year ended
June 30, 1999(1) December 31, 1998
---------------- -----------------
<S> <C> <C>
Increase (Decrease) in Net Assets from:
Operations
Net Investment Income .................................................. $ 1,480,879 $ 1,468,191
Net Realized Gain (Loss) from Investment Transactions and
Futures Contracts .................................................... (3,148,665) 7,604,735
Net Change in Unrealized Appreciation/Depreciation on Investment
Transactions and Futures Contracts ................................... 10,376,135 (13,590,280)
--------------- -------------
Net Increase (Decrease) in Net Assets from Operations ...................... 8,708,349 (4,517,354)
Capital Transactions
Proceeds from Capital Invested ......................................... 163,598,014 159,794,939
Value of Capital Withdrawn ............................................. (189,093,232) (80,420,161)
--------------- -------------
Net Increase (Decrease) in Net Assets from Capital Transactions ........... (25,495,218) 79,374,778
--------------- -------------
Total Increase (Decrease) in Net Assets .................................... (16,786,869) 74,857,424
Net Assets
Beginning of Period ..................................................... 144,265,023 69,407,599
--------------- -------------
End of Period ........................................................... $ 127,478,154 $ 144,265,023
=============== ==============
</TABLE>
- -----------
(1) Unaudited.
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 years ended
For the six December 31, For the period
months ended ------------------- July 1, 1996(2) to
June 30, 1999(1) 1998 1997 December 31, 1996
---------------- ---- ---- ------------------
<S> <C> <C> <C> <C>
Supplemental Data and Ratios:
Net Assets, End of Period (000s omitted) .............. $127,478 $144,265 $69,408 $ 82,084
Ratios to Average Net Assets:
Net Investment Income .............................. 1.31%(3) 1.45% 1.51% 1.70%(3)
Expenses ........................................... 0.10%(3) 0.10% 0.10% 0.20%(3)
Decrease Reflected in Above Expense Ratios Due
to Expenses Reimbursed and/or Fees Waived
by Bankers Trust ................................. 0.13%(3) 0.15% 0.13% 0.12%(3)
Portfolio Turnover Rate ............................... 113% 86% 88% 16%
</TABLE>
- -----------
(1) Unaudited.
(2) The Fund's inception date
(3) Annualized.
See Notes to Financial Statements.
28
<PAGE>
- --------------------------------------------------------------------------------
Small Cap Index Portfolio
Notes to Financial Statements (unaudited)
- --------------------------------------------------------------------------------
Note 1 -- Organization and Significant Accounting Policies.
A. Organization
The Small Cap Index Portfolio (the "Portfolio") is registered under the
Investment Company Act of 1940 (the "Act"), as amended, as an open-end
management investment company. The Portfolio was organized on January 24, 1996
as an unincorporated trust under the laws of New York, and commenced operations
on July 1, 1996. The Declaration of Trust permits the Board of Trustees (the
"Trustees") to issue 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 six
months ended June 30, 1999, Administration and Services fees amounted to
$52,151, of which $5,005 was payable at June 30, 1999.
29
<PAGE>
- --------------------------------------------------------------------------------
Small Cap Index Portfolio
Notes to Financial Statements (unaudited)
- --------------------------------------------------------------------------------
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 six months ended June 30, 1999, advisory fees
amounted to $156,452, of which $15,014 was payable at June 30, 1999.
Bankers Trust has voluntarily undertaken to waive its fees and reimburse
expenses of the Portfolio, to the extent necessary, to limit all expenses to
0.10% of the average daily net assets of the Portfolio. For the six months ended
June 30, 1999, expenses of the Portfolio have been reduced by $141,132.
The Portfolio may invest in the BT Institutional Cash Management Fund (the
"Fund"), an open-end management investment company managed by Bankers Trust
Company (the "Company"). The Fund is offered as a cash management option to the
Portfolio and other accounts managed by the Company. Distributions from the Fund
to the Portfolio as of June 30, 1999 amounted to $118,184 and are included in
dividend income.
The Portfolio is a participant with other affiliated entities in a revolving
credit facility in the amount of $100,000,000, which expires April 29, 2000. A
commitment fee of .10% 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 facility will bear interest at a
rate per annum equal to the Federal Funds Rate plus .50%. No amounts were drawn
down or outstanding under the credit facility as of and for the six months ended
June 30, 1999.
Bankers Trust Company is a wholly owned subsidiary of Bankers Trust Corporation.
In November 1998 Bankers Trust Corporation ("BT Corp.") and Deutsche Bank AG
("Deutsche Bank") entered into an Agreement and Plan of Merger which was
consummated on June 4, 1999. As a result of the transaction, BT Corp. became a
wholly-owned subsidiary of Deutsche Bank.
Note 3--Purchases and Sales of Investment Securities
The aggregate cost of purchases and proceeds from sales of investments, other
than short-term obligations, for the six months ended June 30, 1999, were
$198,307,979 and $224,184,499, respectively. For federal income tax purposes,
the tax basis of investments held at June 30, 1999 was $128,822,303. The
aggregate gross unrealized appreciation was $27,042,150, and the aggregate gross
unrealized depreciation was $24,765,526 for all investments as of June 30, 1999.
Note 4--Futures Contracts
A summary of obligations under these financial instruments at June 30, 1999 is
as follows:
<TABLE>
<CAPTION>
Market Unrealized
Type of Future Expiration Contracts Position Value Appreciation
- -------------- ---------- --------- -------- ------ ------------
<S> <C> <C> <C> <C> <C>
Russell 2000
Index Futures Sept. 1999 40 Long $9,240,000 $271,650
</TABLE>
Note 5--Net Assets
Paid-in Capital ................................................... $119,764,681
Unrealized Appreciation on Investments
and Futures .................................................... 7,713,473
------------
Total Net Assets ................................................. $127,478,154
============
30
<PAGE>
This page intentionally left blank.
<PAGE>
Investment Advisor and Administrator of the Portfolio
BANKERS TRUST COMPANY
130 Liberty Street
New York, NY 10006
Distributor
ICC DISTRIBUTORS, INC.
Two Portland Square
Portland, ME 04101
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
[LOGO]
For information on how to invest, shareholder account information and current
price and yield information, please contact your relationship manager or write
to us at: BT Service Center
P.O. Box 419210
Kansas City, MO 64141-6210
or call our toll-free number: 1-800-368-4031
This report must be preceded or accompanied by a current prospectus for the
Fund.
Small Cap Index Fund CUSIP #05576L882
BT Institutional Funds 513SA (6/99)
Distributed by:
ICC Distributors, Inc.
Two Portland Square
Portland, ME 04101
