-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, BnaSs03yHCRoUWKfgPGMTsR7ZSarkc3xn/wl4gWKFn0smb9HajXARfzjegknMznc mfC5AMkhvVeFpto9wg7/Gw== 0000950168-99-002331.txt : 19990823 0000950168-99-002331.hdr.sgml : 19990823 ACCESSION NUMBER: 0000950168-99-002331 CONFORMED SUBMISSION TYPE: N-30D PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 19990630 FILED AS OF DATE: 19990820 FILER: COMPANY DATA: COMPANY CONFORMED NAME: BT INSURANCE FUNDS TRUST /MA/ CENTRAL INDEX KEY: 0001006373 STANDARD INDUSTRIAL CLASSIFICATION: [] STATE OF INCORPORATION: MA FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: N-30D SEC ACT: SEC FILE NUMBER: 811-07507 FILM NUMBER: 99696867 BUSINESS ADDRESS: STREET 1: FIRST DATA INVESTOR SERVICES GROUP INC STREET 2: 101 FEDERAL ST BOS610 CITY: BOSTON STATE: MA ZIP: 02110 BUSINESS PHONE: 6175350532 MAIL ADDRESS: STREET 1: FIRST DATA INVESTOR SERVICES GROUP INC STREET 2: 101 FEDERAL ST BOS610 CITY: BOSTON STATE: MA ZIP: 02110 N-30D 1 BT INSURANCE FUNDS TRUST o BT INSURANCE FUNDS TRUST o SMALL CAP INDEX FUND SEMI-ANNUAL REPORT - -------------------------------------------------------------------------------- JUNE 1999 - -------------------------------------------------------------------------------- BT INSURANCE FUNDS TRUST SMALL CAP INDEX FUND TABLE OF CONTENTS - -------------------------------------------------------------------------------- LETTER TO SHAREHOLDERS ........................ 3 SMALL CAP INDEX FUND Schedule of Investments ..................... 5 Statement of Assets and Liabilities ......... 22 Statement of Operations ..................... 23 Statements of Changes in Net Assets ......... 24 Financial Highlights ........................ 25 Notes to Financial Statements ............... 26
---------------- The Fund is not insured by the FDIC or any other government agency 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.
---------------- 2 - -------------------------------------------------------------------------------- BT INSURANCE FUNDS TRUST SMALL CAP INDEX FUND LETTER TO SHAREHOLDERS - -------------------------------------------------------------------------------- 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* 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 cap value stocks outperformed small cap 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. INVESTMENT REVIEW
AVERAGE ANNUAL TOTAL PERIODS ENDED JUNE 30, 1999 CUMULATIVE TOTAL RETURNS RETURNS - ------------------------------------------------------------------------------------------ Past 6 Past Since Past Since months 1 year inception 1 year inception - ------------------------------------------------------------------------------------------ BT Small Cap Index Fund* (inception 8/25/97) 7.85% 1.17% 10.88% 1.17% 5.73% - ------------------------------------------------------------------------------------------ Russell 2000 Index** 9.28% 1.50% 11.87% 1.50% 6.31% - ------------------------------------------------------------------------------------------
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 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 important to note 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. BANKERS TRUST COMPANY June 30, 1999 - ---------- * Past performance is not indicative of future results. Investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. ** The Russell 2000 Index is an unmanaged index that measures small capitalization equity securities ("small cap stocks"). This index is unmanaged, and investments cannot be made in an index. Small cap stocks have historically experienced greater volatility than average. 3 - -------------------------------------------------------------------------------- BT INSURANCE FUNDS TRUST SMALL CAP INDEX FUND LETTER TO SHAREHOLDERS (CONCLUDED) - -------------------------------------------------------------------------------- Diversification of Portfolio Investments By Sector as of June 30, 1999 (Unaudited) [PIE CHART APPEARS HERE WITH THE FOLLOWING VALUES] Business Equip & Services 2.36% Metals 2.44% Chemicals 2.59% Energy 2.96% Transportation 3.01% Retail Trade 4.69% Utilities 5.79% Health Care 7.68% Capital Goods 8.21% Consumer Durable 8.65% Forest Products 1.21% Consumer Non-durables 26.67% Finance & Building 23.74% - -------------------------------------------------------------------------------- PERFORMANCE COMPARISON - -------------------------------------------------------------------------------- Comparison of Change in Value of a $10,000 Investment in the Small Cap Index Fund, and the Russell 2000 Index from August 25, 1997, through June 30, 1999. AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIODS ENDED JUNE 30, 1999 SIX MONTHS SINCE 8/25/97* 7.65% 5.73% *THE FUNDS INCEPTION DATE. INVESTMENT RETURN AND PRINCIPAL VALUE MAY FLUCTUATE SO THAT SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. [GRAPH APPEARS HERE] PLEASE INSERT PLOT POINTS ------------------------------------------------------- 8/97 12/97 6/98 12/98 6/99 Small Cap Index Fund - $11,088 Russell 2000 Index - $11,187 Past performance is not indicative of future performance. The Russell 2000 Index is unmanaged and investments may not be made in an index. 4 - -------------------------------------------------------------------------------- BT INSURANCE FUNDS TRUST SMALL CAP INDEX FUND SCHEDULE OF INVESTMENTS JUNE 30, 1999 (UNAUDITED) - --------------------------------------------------------------------------------
Shares Value - ------------- -------------- COMMON STOCKS -- 95.23% 700 3DFX Interactive, Inc. (a) ......................... $10,937 7,300 7 -Eleven, Inc. (a) ................................ 16,197 200 800-JR Cigar, Inc. (a) ............................. 2,475 275 99 Cents Only Stores (a)............................ 13,733 500 A.O. Smith Corp. ................................... 14,000 400 Aames Financial Corp. .............................. 525 1,250 AAR Corp. .......................................... 28,359 1,000 Aaron Rents, Inc. .................................. 22,250 300 Abacus Direct Corp. (a) ............................ 27,450 500 ABM Industries, Inc. ............................... 15,344 400 Acceptance Insurance Cos., Inc. (a) ................ 6,025 1,400 Acclaim Entertainment, Inc. (a) .................... 8,925 900 Ackerley Group, Inc. ............................... 16,369 500 Actel Corp. (a) .................................... 7,375 700 Action Performance Cos., Inc. (a) .................. 23,100 500 Acuson Corp. (a) ................................... 8,594 1,000 ACX Technologies, Inc. (a) ......................... 16,250 1,640 Acxiom Corp. (a) ................................... 40,898 100 ADAC Laboratories (a) .............................. 725 400 Adaptive Broadband Corp. (a) ....................... 8,750 1,200 Adelphia Communications Corp. (a) .................. 76,350 200 Administaff, Inc. (a) .............................. 3,200 600 ADTRAN, Inc. (a) ................................... 21,825 200 Advance Paradigm, Inc.(a) .......................... 12,200 200 Advanced Energy Industries (a) ..................... 8,113 300 Advanced Lighting Technologies, Inc. (a) ........... 2,700 2,600 Advanced Tissue Sciences, Inc. (a) ................. 8,450 800 ADVANTA Corp. - Class A ............................ 14,450 500 Advantage Learning Systems, Inc.(a) ................ 11,063 1,500 Advantica Restaurant Group (a) ..................... 5,156 200 Advent Software, Inc. (a) .......................... 13,400 600 Advest Group, Inc. ................................. 11,963 700 ADVO, Inc. (a) ..................................... 14,525 400 Aerial Communications (a) .......................... 5,400 125 AFC Cable Systems, Inc. (a) ........................ 4,414 700 Affiliated Managers Group (a) ...................... 21,131 500 Affymetrix, Inc. (a) ............................... 24,688 400 Aftermarket Technology Corp. (a) ................... 4,550 2,500 AGL Resources, Inc. ................................ 46,094 1,800 AgriBioTech, Inc. (a) .............................. 10,913 400 Agribrands International (a) ....................... 15,825 200 AHL Services, Inc. (a) ............................. 4,988 1,400 Air Express International Corp. .................... 35,525 2,000 Airgas, Inc. (a) ................................... 24,500 400 AirNet Systems, Inc. (a) ........................... 5,400 1,300 AirTran Holdings, Inc. (a) ......................... 7,475 1,900 AK Steel Holding Corp. ............................. 42,750 2,500 Alaris Medical, Inc. (a) ........................... 8,438 1,000 Alaska Air Group, Inc. (a) ......................... 41,750 522 Albany International Corp. - Class A ............... 10,832 620 Albemarle Corp. .................................... 14,338 1,200 Alexander & Baldwin ................................ 26,700 100 Alexandria Real Estate Equities, REIT .............. 3,125
Shares Value - ------------- ---------------- 800 ALFA Corp. ......................................... $16,000 400 Algos Pharmaceuticals Corp. (a) .................... 8,825 1,300 Aliant Communications, Inc. ........................ 60,044 1,000 Alkermes, Inc. (a) ................................. 23,125 1,500 Allen Telecommunications, Inc. (a) ................. 16,125 308 Alliant Techsystems, Inc. (a) ...................... 26,642 1,600 Allied Products .................................... 4,025 500 ALPHARMA, Inc. - Class A ........................... 17,781 500 Alpine Group, Inc. (a) ............................. 8,031 1,000 Alterra Healthcare Corp. (a) ....................... 13,750 500 Alternative Resources Corp. (a) .................... 3,500 100 Ambassadors International, Inc. (a) ................ 1,488 200 AMC Entertainment, Inc. (a) ........................ 3,825 1,450 AMCOL International Corp. .......................... 20,844 950 AMCORE Financial, Inc. ............................. 21,909 200 AMER Co. (a) ....................................... 4,500 1,800 America West Holdings Corp. - Class B (a) ........................................ 33,975 400 American Annuity Group, Inc. ....................... 9,700 700 American Business Products, Inc. ................... 10,675 400 American Classic Voyages Co. (a) ................... 9,600 1,500 American Eagle Outfitters (a) ...................... 68,250 700 American Freightways Corp. (a) ..................... 13,694 800 American Health Properties, Inc. ................... 16,100 500 American Heritage Life ............................. 12,250 400 American Homepatient, Inc. (a) ..................... 625 400 American Homestar Corp. (a) ........................ 2,750 600 American Italian Pasta Co. (a) ..................... 18,225 1,600 American Management Systems, Inc. (a) .............. 51,300 200 American Med Security Group, Inc. (a) .............. 1,725 600 American Mobile Satellite Corp., Inc. (a) .......... 9,825 4,000 American Tower Systems - Class A (a) ............... 96,000 2,000 AmeriCredit Corp. (a) .............................. 32,000 1,400 AmeriSource Health Corp. - Class A (a) ............. 35,700 700 Ameritrade Holding Corp. (a) ....................... 74,200 100 Ameron, Inc. ....................................... 4,413 467 AmerUs Life Holdings, Inc. - Class A ............... 12,609 900 Ames Department Stores, Inc. (a) ................... 41,063 1,000 AMETEK, Inc. ....................................... 23,000 1,200 Amkor Technology, Inc. (a) ......................... 12,300 400 Amli Residential Properties Trust .................. 8,950 800 Amphenol Corp. - Class A (a) ....................... 31,800 400 Amplicon, Inc. ..................................... 5,600 300 Amtran, Inc. (a) ................................... 7,388 700 Anacomp, Inc. (a) .................................. 11,900 700 Analysts International Corp. ....................... 10,063 1,000 Anchor Bancorp Wisconsin, Inc. ..................... 17,813 200 Anchor Gaming (a) .................................. 9,613 600 Andrx Corp. (a) .................................... 46,275 1,300 Anicom, Inc. (a) ................................... 13,650 800 Anixter International, Inc. (a) .................... 14,600 800 AnnTaylor Store Corp. (a) .......................... 36,000 300 AnswerThink Consulting Group, Inc. (a) ............. 7,575 700 ANTEC Corp. (a) .................................... 22,444 1,100 Anthracite Capital, Inc. ........................... 7,219
See Notes to Financial Statements 5 - -------------------------------------------------------------------------------- BT INSURANCE FUNDS TRUST SMALL CAP INDEX FUND SCHEDULE OF INVESTMENTS JUNE 30, 1999 (UNAUDITED) - --------------------------------------------------------------------------------
Shares Value - ------------- ---------------- 700 APAC Teleservices, Inc. (a) ....................... $2,275 300 Apex PC Solutions, Inc. (a) ....................... 6,150 900 Apogee Enterprises, Inc. .......................... 12,094 800 Applebee's International, Inc. .................... 24,100 360 Applied Graphics Technologies, Inc. (a) ........... 4,545 700 Applied Industrial Technology, Inc. ............... 13,300 900 Applied Micro Circuits Corp. (a) .................. 74,025 1,555 Applied Power, Inc. - Class A ..................... 42,471 1,300 Apria Healthcare Group, Inc. (a) .................. 22,100 1,000 Aptargroup, Inc. .................................. 30,000 8,000 Aqua Alliance, Inc. (a) ........................... 8,000 350 Aquarion Co. ...................................... 12,163 1,200 Arcadia Financial Ltd. (a) ........................ 9,300 400 Arch Coal, Inc. ................................... 5,550 600 Arctic Cat, Inc. .................................. 5,363 600 Area Bancshares Corp. ............................. 16,275 500 Argonaut Group, Inc. .............................. 12,000 600 ARIS Corp. (a) .................................... 4,156 800 ARM Financial Group, Inc. - Class A ............... 6,800 4,200 Armco, Inc. (a) ................................... 27,825 600 Arnold Industries, Inc. ........................... 9,263 400 Arrow International, Inc. ......................... 10,350 1,033 Artesyn Technologies, Inc. (a) .................... 22,920 1,100 Arvin Industries, Inc. ............................ 41,663 1,600 ASARCO Inc. ....................................... 30,100 1,000 Ascent Entertainment Group, Inc. (a) .............. 14,125 2,600 Aspec Technology, Inc. (a) ........................ 2,275 1,000 Aspect Development, Inc. (a) ...................... 18,500 1,600 Aspect Telecommunications (a) ..................... 15,600 800 Aspen Technologies, Inc. (a) ...................... 9,400 100 Associated Estates Realty Corp. ................... 1,181 1,100 Associated Group, Inc. - Class A (a) .............. 71,638 600 Astec Industries, Inc. (a) ........................ 24,450 500 Atlantic Coast Airlines Holding (a) ............... 9,500 450 Atlas Air, Inc. (a) ............................... 14,513 500 ATMI, Inc. (a) .................................... 14,875 1,000 Atmos Energy Corp. ................................ 25,000 300 Atwood Oceanics, Inc.. (a) ........................ 9,375 400 Authentic Fitness Corp. ........................... 7,000 900 Avado Brands, Inc. ................................ 7,538 900 Avant! Corp. (a) .................................. 11,363 600 Avatar Holdings, Inc. (a) ......................... 11,363 400 Aviall, Inc. (a) .................................. 7,525 300 Aviation Sales Co. (a) ............................ 11,850 700 Avid Technology, Inc.. (a) ........................ 11,288 400 Aviron (a) ........................................ 11,500 800 Avis Rent A Car (a) ............................... 23,300 1,300 Avista Corp. ...................................... 21,125 200 Avondale Industries, Inc. (a) ..................... 7,800 800 AXENT Technologies (a) ............................ 8,900 1,700 Axys Pharmaceuticals, Inc. (a) .................... 5,738 800 Aztar Corp. (a) ................................... 7,350 142 Baan Co. NV (a) ................................... 2,254 600 Bacou USA (a) ..................................... 10,238 1,033 Baldor Electric Co. ............................... 20,531
Shares Value - ------------- ---------------- 400 Baldwin & Lyons, Inc. - Class B ................... $9,475 1,200 Ball Corp. ........................................ 50,700 1,000 Ballard Medical Products .......................... 23,313 1,100 Bally Total Fitness Holding Corp. (a) ............. 31,213 1,900 BancorpSouth, Inc. ................................ 34,438 600 BankFirst Ohio Corp. .............................. 14,775 600 BancTec, Inc. (a) ................................. 10,763 700 BancWest Corp. .................................... 25,988 400 Bandag, Inc. ...................................... 13,875 250 Bank of Granite Corp. ............................. 6,156 500 Bank Plus Corp. (a) ............................... 2,688 2,200 BankAtlantic Bancorp, Inc. - Class B .............. 17,875 700 Banknorth Group, Inc. ............................. 23,100 1,400 Banta Corp. ....................................... 29,400 300 Barnes Group, Inc. ................................ 6,525 300 Barr Laboratories, Inc. (a) ....................... 11,963 650 Barra, Inc. (a) ................................... 16,413 1,300 Barrett Resources Corp. (a) ....................... 49,888 400 Bassett Furniture Industries, Inc. ................ 9,150 4,100 Battle Mountain Gold Co. .......................... 9,994 600 Bay View Capital Corp. ............................ 12,300 800 BE Aerospace, Inc. (a) ............................ 14,950 1,400 BEA Systems, Inc. (a) ............................. 39,988 700 Bedford Property Investors ........................ 12,512 900 Belco Oil & Gas (a) ............................... 6,244 800 Belden, Inc. ...................................... 19,150 500 Bell & Howell Co. (a) ............................. 18,906 400 Benchmark Stock Electroncs, Inc. (a) .............. 14,375 600 Benton Oil & Gas Co. (a) .......................... 1,200 600 Beringer Wine Estates Holdings (a) ................ 25,069 700 Berkley (W.R.) Corp. .............................. 17,500 1,200 Berkshire Realty Co., Inc. ........................ 13,875 400 Berlitz International, Inc. (a) ................... 7,350 500 Berry Petroleum Co. - Class A ..................... 6,969 5,314 Bethlehem Steel Corp. (a) ......................... 40,851 600 Big Flower Press Holdings, Inc. (a) ............... 19,125 1,200 Billing Concepts Corp. (a) ........................ 13,425 711 Bindley Western Industries, Inc. .................. 16,390 600 Biomatrix, Inc. (a) ............................... 12,975 700 Bio-Rad Laboratories, Inc. - Class A (a) .......... 18,288 1,600 Bio-Technology General Corp. (a) .................. 10,400 900 Birmingham Steel Corp. ............................ 3,712 1,000 BISYS Group, Inc. (a) ............................. 58,500 500 Black Box Corp. (a) ............................... 25,063 700 Black Hills Corp. ................................. 16,187 424 Block Drug Co., Inc. - Class A .................... 17,676 800 Blount International, Inc. - Class A .............. 21,750 600 BMC Industries, Inc. .............................. 6,188 1,300 Bob Evans Farms, Inc. ............................. 25,837 1,000 Boise Cascade Office Products Corp. (a) ........... 11,750 212 BOK Financial Corp. (a) ........................... 5,353 1,000 Borg Warner Automotive, Inc. ...................... 55,000 400 Borg-Warner Security Corp. (a) .................... 8,125 500 Boron LePore & Associates, Inc. (a) ............... 4,188 1,200 Bowne & Co., Inc. ................................. 15,600
See Notes to Financial Statements 6 - -------------------------------------------------------------------------------- BT INSURANCE FUNDS TRUST SMALL CAP INDEX FUND SCHEDULE OF INVESTMENTS JUNE 30, 1999 (UNAUDITED) - --------------------------------------------------------------------------------
Shares Value - ------------- ---------------- 2,100 Boyd Gaming Corp. (a) ............................ $14,700 400 Boykin Lodging Co. ............................... 6,150 700 Bradley Real Estate, Inc. ........................ 14,525 700 Brady (W.H.) Co. ................................. 22,750 1,500 Brandywine Realty Trust .......................... 29,719 1,900 BRE Properties, Inc. - Class A ................... 49,281 100 BREED Technologies, Inc. (a) ..................... 225 330 Brenton Banks, Inc. .............................. 5,115 900 Briggs & Stratton Corp. .......................... 51,975 1,700 Brightpoint, Inc. (a) ............................ 10,306 600 BroadVision, Inc. (a) ............................ 44,250 300 Brookdale Living Communities, Inc. (a) ........... 4,444 700 Brookline Bancorp, Inc. .......................... 8,094 550 Brown & Brown, Inc. .............................. 20,900 600 Brown Shoe Co., Inc. ............................. 13,050 900 Brown (Tom), Inc. (a) ............................ 14,006 500 Brush Wellman, Inc. .............................. 9,062 150 BSB Bancorp. Inc. ................................ 4,050 420 BT Financial Corp. ............................... 10,303 900 Buckeye Technologies, Inc. (a) ................... 13,669 300 Buckle, Inc. (a) ................................. 8,625 800 Budget Group, Inc. - Class A (a) ................. 9,850 1,400 Buffets, Inc. (a) ................................ 16,100 487 Building One Services Corp. (a) .................. 6,757 1,000 Burham Pacific Properties, Inc. .................. 12,313 600 Burlington Coat Factory Warehouse ................ 11,588 1,800 Burlington Industries, Inc. (a) .................. 16,312 800 Burr-Brown Corp. (a) ............................. 29,300 200 Bush Boake Allen, Inc. (a) ....................... 5,850 200 Bush Industries, Inc. - Class A .................. 3,325 300 Butler Manufacturing Co. ......................... 8,381 400 C & D Technologies, Inc. ......................... 12,250 1,700 C.H. Robinson Worldwide, Inc. .................... 62,475 1,200 C/NET, Inc. (a) .................................. 69,150 850 Cable Design Technologies (a) .................... 13,122 900 Cabot Industrial Trust ........................... 19,125 600 Cabot Oil & Gas Corp. - Class A .................. 11,175 1,200 Cadiz Land Co., Inc. (a) ......................... 11,325 200 Cal Dive International, Inc. (a) ................. 5,975 1,100 Calgon Carbon Corp. .............................. 6,531 300 California Water Services Co. .................... 7,838 1,000 Calpine Corp. (a) ................................ 54,000 800 Cambrex Corp. .................................... 21,000 1,427 Camdem Property Trust ............................ 39,599 500 Canandaigua Brands, Inc. - Class A (a) ........... 26,219 600 Capital Automotive, REIT ......................... 7,950 500 Capital City Bank Group, Inc. .................... 12,500 700 Capital Re Corp. ................................. 11,244 900 Capitol Transamerica Corp. ....................... 11,925 2,000 Capstead Mortgage Corp. .......................... 10,875 800 Caraustar Industries, Inc. ....................... 19,750 300 Carbide Graphite Group (a) ....................... 4,294 300 Carbo Ceramics, Inc. ............................. 9,131 300 CareMatrix Corp. (a) ............................. 3,731 400 Caribiner International, Inc. (a) ................ 2,475
Shares Value - ------------- ---------------- 600 Carmike Cinemas, Inc. - Class A (a) .............. $ 9,562 700 Carolina First Corp. ............................. 17,063 600 Carpenter Technology Corp. ....................... 17,137 700 Carter-Wallace, Inc. ............................. 12,731 1,700 Casey's General Stores, Inc. ..................... 25,500 800 Cash America International Inc. .................. 10,300 910 Castle & Cooke, Inc. (a) ......................... 16,039 300 Castle (A.M.) & Co. .............................. 5,100 600 Catalina Marketing Corp. (a) ..................... 55,200 1,500 Catalytica, Inc. (a) ............................. 21,000 300 Cathay Bancorp, Inc. ............................. 12,750 500 CB Richard Ellis Services, Inc. (a) .............. 12,438 700 CBL & Associates Properties, Inc. ................ 18,462 800 CCC Information Services Group (a) ............... 10,300 1,400 C-Cube Microsytems, Inc. (a) ..................... 44,363 500 CD Radio, Inc. (a) ............................... 15,234 400 CDI Corp. (a) .................................... 13,625 630 CDnow, Inc. (a) .................................. 11,104 400 CDW Computer Centers, Inc. (a) ................... 17,600 600 CEC Entertainment, Inc. (a) ...................... 25,350 1,200 CellNet Data Systems, Inc. (a) ................... 10,800 1,100 CellStar Corp. (a) ............................... 8,663 500 Cellular Communications of Puerto Rico (a) ......................................... 14,250 800 Centennial Cellular Corp. - Class A (a) .......... 28,500 800 Centennial HealthCare Corp. (a) .................. 4,225 700 CenterPoint Properties Corp. ..................... 25,637 300 Centex Construction Products, Inc. ............... 10,238 900 Central Garden & Pet Co. (a) ..................... 9,225 600 Central Hudson Gas & Electric Corp. .............. 25,200 350 Central Parking Corp. ............................ 11,988 400 Century Aluminum Co. ............................. 2,475 2,200 Century Business Services, Inc. (a) .............. 31,900 1,200 Century Communication Corp. - Class A (a) ...................................... 55,200 400 Century South Banks, Inc. ........................ 9,000 1,200 Cephalon, Inc. (a) ............................... 20,850 800 Cerner Corp. (a) ................................. 16,775 220 CFSB Bancorp, Inc. ............................... 5,417 500 CFW Communications Co. ........................... 12,125 200 Championship Auto Racing Teams, Inc. (a) ......................................... 174 1,300 Champion Enterprises, Inc. (a) ................... 24,212 3,100 Charming Shoppes, Inc. (a) ....................... 18,891 450 Chart Industries, Inc. ........................... 3,544 900 Chase Industries, Inc. (a) ....................... 7,594 700 Chateau Communities, Inc. ........................ 20,956 300 Chattem, Inc. (a) ................................ 9,544 1,300 Checkfree Corp. (a) .............................. 35,831 1,000 Checkpoint Systems, Inc. (a) ..................... 8,938 800 Chelsea GCA Realty, Inc. ......................... 29,700 200 Chemed Corp. ..................................... 6,650 600 ChemFirst, Inc. .................................. 14,587 631 Chemical Financial Corp. ......................... 21,967 600 Chesapeake Corp. ................................. 22,463
See Notes to Financial Statements 7 - -------------------------------------------------------------------------------- BT INSURANCE FUNDS TRUST SMALL CAP INDEX FUND SCHEDULE OF INVESTMENTS JUNE 30, 1999 (UNAUDITED) - --------------------------------------------------------------------------------
Shares Value - ------------- ---------------- 2,420 Chesapeake Energy Corp. ........................ $ 7,109 400 Chicago Title Corp. ............................ 14,275 1,000 Chiquita Brands International, Inc. ............ 9,000 400 ChiRex, Inc. (a) ............................... 12,850 903 Chittenden Corp. ............................... 28,219 1,700 Choice Hotels Corp., Inc. (a) .................. 33,575 500 ChoicePoint, Inc. (a) .......................... 33,562 1,800 CHS Electronics, Inc. (a) ...................... 7,875 600 Church & Dwight Co., Inc. ...................... 26,100 200 Churchill Downs, Inc. .......................... 6,900 400 CILCORP, Inc. .................................. 25,000 800 Circle International Group, Inc. ............... 17,500 2,100 Cirrus Logic, Inc. (a) ......................... 18,638 719 Cisco Systems, Inc. (a) ........................ 46,396 800 Citation Corp. (a) ............................. 12,850 750 Citizens Banking Corp. ......................... 22,547 411 City Holding Co. ............................... 11,919 1,300 Claire's Stores, Inc. .......................... 33,312 750 Clarcor, Inc. .................................. 14,391 700 Clarify, Inc. (a) .............................. 28,875 700 Cleco Corp. .................................... 21,262 400 Cleveland-Cliffs, Inc. ......................... 12,950 400 Closure Medical Corp. (a) ...................... 12,000 2,600 CMG Information Services, Inc. (a) ............. 296,563 1,000 CMP Group, Inc. ................................ 26,187 500 CNA Surety Corp. ............................... 7,656 1,040 CNB Bancshares, Inc. ........................... 59,280 1,000 Coach USA, Inc. (a) ............................ 41,938 900 Coachmen Industries, Inc. ...................... 20,925 300 Coast Federal Litigation Contingent Payment Rights Trust (a) ....................... 319 300 Coca Cola Bottling Consolidated ................ 16,800 1,100 Cognex Corp. (a) ............................... 34,719 1,200 Coherent, Inc. (a) ............................. 22,350 300 Cohu, Inc. ..................................... 10,612 300 Coin Machine Laundry Corp. (a) ................. 3,806 600 Coldwater Creek, Inc. (a) ...................... 11,700 200 Cole National Corp. - Class A (a) .............. 1,588 2,700 Collins & Aikman Corp. (a) ..................... 20,587 800 Colonial Properties Trust ...................... 22,600 700 Columbia Laboratories, Inc. (a) ................ 5,994 500 Columbia Sportswear Co. (a) .................... 7,688 700 Columbus McKinnon Corp. ........................ 16,800 400 Com21, Inc. (a) ................................ 6,825 1,200 Comfort Systems USA, Inc. (a) .................. 21,600 1,247 Commerce Bancorp, Inc. ......................... 53,309 1,200 Commerce Group Inc. ............................ 29,250 2,587 Commercial Federal Corp. ....................... 59,986 300 Commercial Intertech Corp. ..................... 4,781 400 Commercial Metals Co. .......................... 11,400 900 Commercial Net Lease Realty .................... 11,587 1,000 CommNet Cellular, Inc. (a) ..................... 26,250 400 Commonwealth Bancorp, Inc. ..................... 7,175 900 Commonwealth Energy System ..................... 37,800 400 Commonwealth Industries, Inc. .................. 5,000
Shares Value - ------------- ---------------- 333 Commonwealth Telephone Enterprises, Inc. (a) ....................................... $13,466 1,500 Commscope, Inc. (a) ............................ 46,125 600 Community Bank Systems ......................... 15,225 2,000 Community First Bankshares, Inc. ............... 47,750 220 Community Trust Bancorp, Inc. .................. 5,143 400 Complete Business Solutions, Inc. (a) .......... 7,175 2,000 CompuCom Systems, Inc. (a) ..................... 8,250 1,000 Computer Horizons Corp. (a) .................... 13,812 1,200 Computer Learning Centers, Inc. (a) ............ 3,456 500 Computer Task Group, Inc. ...................... 8,500 2,000 Comstock Resources, Inc. (a) ................... 6,625 1,100 Concentra Managed Care, Inc. (a) ............... 16,294 1,300 Concentric Network Corp. (a) ................... 51,675 600 Concord Communications, Inc. (a) ............... 27,000 500 CONMED Corp. (a) ............................... 15,313 200 Connecticut Energy Corp. ....................... 7,712 800 Conning Corp. .................................. 13,000 600 Consolidated Freightways Co. (a) ............... 7,706 400 Consolidated Graphics, Inc. (a) ................ 20,000 750 Consolidated Products, Inc. (a) ................ 13,500 900 ContiFinancial Corp. (a) ....................... 3,206 400 Cooper Companies, Inc. (a) ..................... 9,975 1,100 Coors (Adolph) Co. - Class B ................... 54,450 500 Copart, Inc. (a) ............................... 10,625 800 COR Therapeutics, Inc. (a) ..................... 11,800 500 CoreComm, Inc. (a) ............................. 24,125 1,300 Corn Products International, Inc. .............. 39,569 700 Cornerstone Realty Income Trust, Inc. .......... 7,525 3,700 Corporate Express, Inc. (a) .................... 25,900 700 Cort Business Services Corp. (a) ............... 16,756 400 Corus Bankshares, Inc. ......................... 12,725 300 Cost Plus, Inc. (a) ............................ 13,650 400 Cotellingent Group, Inc. (a) ................... 3,125 400 Coulter Pharmaceutical, Inc. (a) ............... 9,025 800 Cousins Properties, Inc. ....................... 27,050 2,200 Covance, Inc. (a) .............................. 52,663 1,900 Coventry Health Care, Inc. (a) ................. 20,781 300 Cox Radio Inc. - Class A (a) ................... 16,275 220 CPI Corp. ...................................... 7,260 1,900 Crawford & Co. - Class B ....................... 30,875 700 Credence Systems Corp. (a) ..................... 25,987 700 Credit Acceptance Corp. (a) .................... 4,200 200 Crescent Operating, Inc. (a) ................... 1,363 1,500 CRIIMI MAE, Inc. ............................... 3,375 1,200 Cross Timbers Oil Co. .......................... 17,850 1,900 CSG Systems International, Inc. (a) ............ 49,756 600 CSK Auto Corp. (a) ............................. 16,200 500 CSS Industries, Inc.(a) ........................ 14,063 400 CTS Corp. ...................................... 28,000 600 Cubic Corp. .................................... 14,775 1,800 Cullen/Frost Bankers, Inc. ..................... 49,612 500 Cuno, Inc. (a) ................................. 9,562 300 Curative Health Services, Inc. (a) ............. 1,650 200 Curtiss-Wright Corp. ........................... 7,775
See Notes to Financial Statements 8 - -------------------------------------------------------------------------------- BT INSURANCE FUNDS TRUST SMALL CAP INDEX FUND SCHEDULE OF INVESTMENTS JUNE 30, 1999 (UNAUDITED) - --------------------------------------------------------------------------------
Shares Value - ------------- ---------------- 330 CVB Financial Corp. ................................ $ 8,580 300 Cylink Corp. (a) ................................... 1,125 800 Cymer, Inc. (a) .................................... 20,000 2,700 Cypress Semiconductor (a) .......................... 44,550 500 Cytyc Corp. (a) .................................... 9,750 1,700 D.R. Horton, Inc. .................................. 28,262 600 Dain Rausher Corp. ................................. 32,475 1,100 Dallas Semiconductor Corp. ......................... 55,550 1,100 Dal-Tile International, Inc. (a) ................... 12,513 600 Dan River, Inc. - Class A (a) ...................... 4,425 2,100 Data General Corp. (a) ............................. 30,581 200 Data Processing Resources (a) ...................... 4,725 200 Data Transmission Network Corp. (a) ................ 5,625 400 Datascope Corp. (a) ................................ 12,850 500 Datastream Systems, Inc. (a) ....................... 8,000 300 Dave & Buster's, Inc. (a) .......................... 8,700 300 Day Runner, Inc. (a) ............................... 3,712 200 DBT Online (a) ..................................... 6,550 800 DecisionOne Holdings Corp. (a) ..................... 1,500 300 Del Webb Corp. ..................................... 7,163 300 Delias*s, Inc. (a) ................................. 4,050 526 Delphi Financial Group, Inc. - Class A ............. 18,870 400 Delta Financial Corp. (a) .......................... 2,550 600 Deltic Timber Corp. ................................ 16,163 600 Dendrite International, Inc. (a) ................... 21,675 600 Department 56, Inc. (a) ............................ 16,125 300 Detroit Diesel Corp. (a) ........................... 7,387 1,600 Developers Diversified Realty Corp. ................ 26,600 1,300 Devon Energy Corp. ................................. 46,475 2,400 DeVRY, Inc. (a) .................................... 53,700 1,000 Dexter Corp. ....................................... 40,813 400 Diagnostic Products Corp. .......................... 11,050 300 Dialogic Corp. (a) ................................. 13,162 400 Diamond Technology Partners, Inc. (a) .............. 8,950 2,400 Digital Microwave Corp. (a) ........................ 30,600 1,000 DII Group, Inc.. (a) ............................... 37,313 400 Dime Community Bancorp, Inc. ....................... 9,300 1,400 DIMON, Inc. ........................................ 7,263 700 Dionex Corp. (a) ................................... 28,350 600 Discount Auto Parts, Inc. (a) ...................... 14,475 700 Documentum, Inc. (a) ............................... 9,144 800 Dollar Thrifty Automotive Group, Inc. (a) .......... 18,600 1,200 Donaldson Co., Inc. ................................ 29,400 400 Donna Karan International, Inc. (a) ................ 3,975 1,000 Doral Financial Corp. .............................. 17,250 1,200 Double Click, Inc. (a) ............................. 110,100 700 Dover Downs Entertainment .......................... 12,381 710 Downey Financial Corp. ............................. 15,576 500 Dress Barn, Inc. (a) ............................... 8,000 500 Dreyer's Grand Ice Cream, Inc. ..................... 7,562 1,400 DSP Communications, Inc. (a) ....................... 40,425 700 Duane Reade, Inc. (a) .............................. 21,438 550 Ducommun, Inc. (a) ................................. 6,566 1,500 Dura Pharmaceuticals, Inc. (a) ..................... 17,906 800 DVI, Inc. (a) ...................................... 13,700
Shares Value - ------------- ---------------- 700 Dycom Industries, Inc. (a) ......................... $39,200 1,400 Dynex Capital, Inc. ................................ 2,800 7,200 E * Trade Group, Inc. (a) .......................... 287,550 2,000 e. spire Communications, Inc. (a) .................. 21,125 400 E.W. Blanch Holdings, Inc. ......................... 27,275 51 Eagle Geophysical, Inc. (a) ........................ 38 200 Eagle USA Airfreight, Inc. (a) ..................... 8,488 1,400 Earthgrains Co. .................................... 36,137 700 Earthlink Network, Inc. (a) ........................ 43,006 1,600 EarthShell Corp. (a) ............................... 11,200 1,000 Eastern Enterprises ................................ 39,750 700 Easterns Utilities Associates ...................... 20,388 300 EastGroup Properties, Inc. ......................... 6,019 900 Eaton Vance Corp. .................................. 30,994 400 EchoStar Communications - Class A (a) .............. 61,375 500 Education Management Corp. (a) ..................... 10,375 800 EduTrek International, Inc. - Class A (a) .......... 3,800 1,333 EEX Corp. (a) ...................................... 9,248 1,800 El Paso Electric Co. (a) ........................... 16,087 400 Elcor Corp. ........................................ 17,475 300 Electric Lightwave, Inc. - Class A (a) ............. 3,900 1,000 Electro Rent Corp. (a) ............................. 10,750 300 Electro Scientific Industries, Inc. (a) ............ 12,534 600 Electroglas, Inc. (a) .............................. 12,000 2,000 Electronics For Imaging (a) ........................ 102,750 400 Emmis Communications Corp. - Class A (a) ........................................ 19,750 400 Empire District Electric Co. ....................... 10,425 150 Encore Wire Corp. (a) .............................. 1,359 500 Energen Corp. ...................................... 9,313 500 Enesco Group, Inc. ................................. 11,563 600 Engineering Animation, Inc. (a) .................... 12,712 700 Enhance Financial Services Group, Inc. ............. 13,825 300 @ Entertainment, Inc. (a) .......................... 5,625 525 Enzo Biochem, Inc. (a) ............................. 5,184 1,097 Epicor Software Corp. (a) .......................... 8,159 1,100 Equitable Resources, Inc. .......................... 41,525 1,200 Equity Inns, Inc. .................................. 11,100 400 Essex Property Trust, Inc. ......................... 14,150 600 Esterline Technologies Corp. (a) ................... 8,625 700 Etec Systems, Inc. (a) ............................. 23,275 1,500 Ethyl Corp. ........................................ 9,000 200 E'Town Corp. ....................................... 9,150 400 Everen Capital Corp. ............................... 11,925 400 Excel Switching Corp. (a) .......................... 11,975 300 Executive Risk, Inc. ............................... 25,519 500 Exide Corp. ........................................ 7,375 900 Exodus Communication, Inc. (a) ..................... 107,944 2,000 Expeditors International of Washington, Inc. ............................................... 54,500 1,200 Express Scripts Inc. - Class A (a) ................. 72,225 2,300 Extended Stay America, Inc. (a) .................... 27,600 520 F&M Bancorporation, Inc. ........................... 19,630 700 F&M National Corp. ................................. 23,231 645 F.N.B. Corp., Pennsylvania ......................... 17,415
See Notes to Financial Statements 9 - -------------------------------------------------------------------------------- BT INSURANCE FUNDS TRUST SMALL CAP INDEX FUND SCHEDULE OF INVESTMENTS JUNE 30, 1999 (UNAUDITED) - --------------------------------------------------------------------------------
Shares Value - ------------- ---------------- 400 F.Y.I., Inc. (a) ................................... $12,550 300 FactSet Research Systems, Inc. (a) ................. 16,988 300 Fair Isaac & Co., Inc. ............................. 10,519 1,800 Fairfield Communities, Inc. (a) .................... 29,025 1,150 Family Golf Centers, Inc. (a) ...................... 8,841 200 Farmers Capital Bank Corp. ......................... 7,100 1,000 FBL Financial Group, Inc. - Class A ................ 19,500 2,300 Fedders Corp. ...................................... 15,381 100 Federal Agriculture Mortgage Corp. - Class C (a) ........................................ 6,862 1,800 Federal Realty Investment Trust .................... 41,288 1,900 Federal Signal Corp. ............................... 40,256 2,011 Felcor Lodging Trust, Inc. ......................... 41,728 1,150 Ferro Corp. ........................................ 31,625 701 Fidelity National Financial, Inc. .................. 14,721 900 FileNet Corp. (a) .................................. 10,294 300 Financial Federal Corp. (a) ........................ 6,600 500 Finish Line, Inc. - Class A (a) .................... 5,625 2,000 First American Financial Corp. ..................... 35,750 1,300 First Bancorp/Puerto Rico .......................... 29,331 500 First Charter Corp. ................................ 12,375 200 First Citizens BancShares, Inc. - Class A .......... 16,150 600 First Commerce Bancshares .......................... 14,287 1,000 First Commonwealth Financial Corp. ................. 23,875 500 First Consulting Group, Inc. (a) ................... 5,313 1,300 First Federal Capital Corp. ........................ 19,175 1,396 First Financial Bancorp ............................ 31,584 550 First Financial Bankshares, Inc. ................... 17,463 405 First Financial Corp., Indiana ..................... 15,314 1,200 First Financial Holdings ........................... 22,500 1,200 First Industrial Realty Trust, Inc. ................ 32,925 100 First Liberty Financial Corp. ...................... 3,137 600 First Merchants Corp. .............................. 14,250 783 First Midwest Bancorp, Inc. ........................ 31,124 500 First Republic Bank (a) ............................ 14,469 982 First Sentinel Bancorp, Inc. ....................... 8,715 500 First Sierra Financial, Inc. (a) ................... 12,500 681 First Source Corp. ................................. 21,792 420 First Union Real Estate Investments ................ 1,890 1,000 First United Bancshares, Inc. ...................... 18,625 300 First Western Bancorp, Inc. ........................ 10,050 1,100 FirstCity Financial Corp. (a) ...................... 3,850 600 FirstFed Financial Corp. ........................... 11,550 1,600 Fisher Scientific International (a) ................ 35,700 200 Flagstar Bancorp, Inc. ............................. 5,050 900 Fleming Companies, Inc. ............................ 10,463 400 Florida East Coast Industries, Inc. ................ 17,700 900 Florida Panthers Holdings, Inc. (a) ................ 9,619 400 Florida Rock Industries, Inc. ...................... 18,200 1,200 Flowserve Corp. .................................... 22,725 1,100 Foodmaker, Inc. (a) ................................ 31,212 1,000 Footstar, Inc. (a) ................................. 37,188 400 Foremost Corp. of America .......................... 8,800 600 Forest City Enterprises, Inc. - Class A ............ 16,800 1,100 Forest Oil Corp. (a) ............................... 13,819
Shares Value - ------------- ---------------- 250 Fossil, Inc. (a) ................................... $12,094 1,300 Foster Wheeler Corp. ............................... 18,363 200 FPIC Insurance Group, Inc. (a) ..................... 9,700 2,400 Franchise Finance Corp. of America ................. 52,800 300 Franchise Mortgage (a) ............................. 2,625 600 Franklin Covey Co. (a) ............................. 4,425 300 Franklin Electric Co., Inc. ........................ 19,500 300 Freds, Inc. Class A ................................ 4,687 400 Friede Goldman International, Inc. (a) ............. 5,550 1,100 Friedman, Billings Ramsey Group, Inc. (a) ........................................... 13,063 400 Friedman's, Inc. - Class A (a) ..................... 3,475 700 Fritz Cos, Inc. (a) ................................ 7,525 600 Frontier Financial Corp. (a) ....................... 14,700 1,510 Frontier Insurance Group, Inc. ..................... 23,216 600 FSI International, Inc. (a) ........................ 4,987 400 Fuller (H.B.) Co. .................................. 27,350 300 Furon Co. .......................................... 5,700 900 G&K Services, Inc. - Class A ....................... 47,137 1,300 Gables Residential Trust ........................... 31,363 300 Gadzooks, Inc. (a) ................................. 4,800 200 Galey & Lord, Inc. (a) ............................. 875 600 Gallagher (Arthur J.) & Co. ........................ 29,700 500 Garden Ridge Corp. (a) ............................. 2,375 850 Gardner Denver Machinery, Inc. (a) ................. 13,706 1,900 Gaylord Container Corp. - Class A (a) .............. 15,081 600 Gaylord Entertainment, Inc. ........................ 18,000 400 GBC Bancorp ........................................ 8,100 400 GC Cos. (a) ........................................ 14,300 400 GelTex Pharmaceuticals, Inc. (a) ................... 7,200 1,100 GenCorp., Inc. ..................................... 27,775 500 General Binding Corp. .............................. 11,750 1,150 General Cable Corp. ................................ 18,400 1,200 General Chemical Group, Inc. ....................... 3,750 900 General Cigar Holdings, Inc. (a) ................... 7,031 1,900 General Communication - Class A (a) ................ 12,914 1,200 General Growth Properties .......................... 42,600 800 General Magic, Inc. (a) ............................ 2,825 800 Genesco, Inc. (a) .................................. 11,650 100 Genesis Direct, Inc. (a) ........................... 187 1,000 Genesis Health Ventures, Inc. (a) .................. 3,000 400 Genesys Telecommunications Laboratories, Inc. (a) ............................. 10,000 1,300 GenRad, Inc. (a) ................................... 27,056 300 Gentek, Inc. ....................................... 4,163 2,700 Gentex Corp. (a) ................................... 75,600 800 Geon Co. ........................................... 25,800 1,000 Georgia Gulf Corp. ................................. 16,875 600 Gerber Scientific, Inc. ............................ 13,237 700 Getty Images, Inc. (a) ............................. 13,213 200 Getty Realty Corp. ................................. 2,875 600 Gibraltar Steel Corp. (a) .......................... 14,850 400 Gibson Greetings, Inc. (a) ......................... 2,538 1,200 Gilead Sciences, Inc. (a) .......................... 62,700 800 Glatefelter (P.H.) Co. ............................. 11,700
See Notes to Financial Statements 10 - -------------------------------------------------------------------------------- BT INSURANCE FUNDS TRUST SMALL CAP INDEX FUND SCHEDULE OF INVESTMENTS JUNE 30, 1999 (UNAUDITED) - --------------------------------------------------------------------------------
Shares Value - ------------- ---------------- 600 Gleason Corp. ..................................... $10,087 2,000 Glenayre Technologies, Inc. (a) ................... 7,188 1,700 Glenborough Realty Trust, Inc. .................... 29,750 700 Glimcher Realty Trust ............................. 11,375 1,000 Global Industrial Technologies, Inc. (a) .......... 12,062 600 Goody's Family Clothing, Inc. (a) ................. 6,863 400 Graco, Inc. ....................................... 11,750 1,200 Grand Primier Financial, Inc. ..................... 14,850 600 Granite Construction, Inc. ........................ 17,587 450 Gray Communications System, Inc. .................. 9,000 900 Great Atlantic & Pacific Tea Co. .................. 30,431 1,100 Great Lakes REIT, Inc. ............................ 17,875 300 Great Plains Software, Inc. (a) ................... 14,156 3,700 Grey Wolf, Inc. (a) ............................... 9,250 500 Grief Bros Corp. - Class A ........................ 12,750 1,000 Griffon Corp. (a) ................................. 7,813 400 Group 1 Automotive, Inc. (a) ...................... 8,450 1,300 Group Maintenance, Inc. (a) ....................... 16,819 600 Grubb & Ellis Co. (a) ............................. 3,000 500 GT Interactive Software Corp. (a) ................. 1,750 1,300 GTECH Holding Corp. (a) ........................... 30,631 800 Guarantee Life Cos., Inc. ......................... 20,100 1,000 Guess, Inc. (a) ................................... 13,812 600 Guilford Mills, Inc. .............................. 6,225 500 Guilford Pharmaceuticals, Inc. (a) ................ 6,375 700 Guitar Center, Inc. (a) ........................... 7,306 600 Gymboree Corp. (a) ................................ 6,300 400 Hadco Corp. (a) ................................... 15,900 800 Haemonetics Corp. (a) ............................. 16,050 1,200 HA-LO Industries (a) .............................. 11,850 1,700 Halter Marine Group, Inc. (a) ..................... 11,263 500 Hambrecht & Quist Group, Inc. (a) ................. 18,562 100 Hamilton Bancorp, Inc. (a) ........................ 2,400 500 Hancock Fabrics, Inc. ............................. 2,188 300 Hancock Holding Co. ............................... 13,462 1,000 Handleman Co. (a) ................................. 11,813 700 Hanger Orthopedic Group, Inc. (a) ................. 9,931 1,400 Hanna (M.A.) Co. .................................. 23,012 900 Hanover Compressor Co. (a) ........................ 28,913 3,400 Hanover Direct, Inc. (a) .......................... 9,562 900 Harbinger Corp. (a) ............................... 11,250 901 Harbor Florida Bancorp, Inc. ...................... 11,037 4,200 Harken Energy Corp. (a) ........................... 6,825 1,000 Harland (John H.) Co. ............................. 19,938 400 Harleysville Group, Inc. .......................... 8,200 200 Harleysville National Corp. ....................... 7,150 600 Harman International Industries, Inc. ............. 26,400 300 Harmon Industries, Inc. ........................... 5,944 1,500 Hartmarx Corp. (a) ................................ 6,281 1,000 Hawaiian Electric Industries ...................... 35,500 900 Hayes Lemmerz International, Inc. (a) ............. 26,437 1,200 HCC Insurance Holdings, Inc. ...................... 27,225 1,000 Health Care Property Investors, Inc. .............. 28,875 1,236 Healthcare Realty Trust, Inc. ..................... 25,956 500 Healthcare Financial Partners, Inc. (a) ........... 17,125
Shares Value - ------------- ---------------- 900 Health Care REIT, Inc. ............................ $20,925 600 HealthPlan Services Corp. ......................... 4,088 1,100 Heartland Express, Inc. (a) ....................... 18,012 2,600 Hecla Mining Co. (a) .............................. 5,363 1,900 Heilig-Meyers Co. ................................. 12,944 900 Helix Technology Corp. ............................ 21,544 1,600 Helmerich & Payne, Inc. ........................... 38,100 400 Henry (Jack) & Associates ......................... 15,700 800 Henry Schein, Inc. (a) ............................ 25,350 900 Heska Corp. (a) ................................... 2,081 866 Herbalife International, Inc. - Class A ........... 9,472 1,100 Hexcel Corp. (a) .................................. 11,137 1,000 Highlands Insurance Group, Inc. (a) ............... 10,500 1,200 HMT Technology Corp. (a) .......................... 3,000 800 HNC Software, Inc. (a) ............................ 24,650 1,200 Hollingher International .......................... 14,250 1,000 Hollywood Entertainment Corp. (a) ................. 19,563 400 Hollywood Park, Inc. (a) .......................... 6,800 300 Hologic, Inc. (a) ................................. 1,687 300 Holophane Corp. (a) ............................... 11,438 600 Home Properties of New York, Inc. ................. 16,575 1,200 HomeBase, Inc. (a) ................................ 7,575 1,800 Homestead Village, Inc. (a) ....................... 4,387 900 Hooper Holmes, Inc. ............................... 18,338 200 Horizon Offshore, Inc. (a) ........................ 1,550 1,600 Hospitality Properties Trust ...................... 43,400 700 Host Marriot Services Corp. (a) ................... 5,687 1,000 Houghton Mifflin Co. .............................. 47,063 300 Houston Exploration Co. (a) ....................... 5,681 300 HS Resources, Inc. (a) ............................ 4,425 1,200 HSB Group, Inc. ................................... 49,425 1,321 Hudson United Bancorp ............................. 40,456 700 Hughes Supply, Inc. ............................... 20,781 700 Human Genome Sciences, Inc. (a) ................... 27,650 700 Hunt (J.B.) Transport Services, Inc. .............. 11,375 600 Hunt Corp. ........................................ 4,950 2,300 Hussman International, Inc. ....................... 38,094 600 Hutchinson Technology (a) ......................... 16,650 200 Hvide Marine, Inc. - Class A (a) .................. 431 300 Hypercom Corp. (a) ................................ 2,869 1,280 Hyperion Solutions Corp. (a) ...................... 22,800 1,700 ICG Communications, Inc. (a) ...................... 36,337 1,400 ICOS Corp. (a) .................................... 57,138 1,200 Idacorp, Inc. ..................................... 37,800 700 IDEC Pharmaceuticals Corp. (a) .................... 53,944 900 IDEX Corp. ........................................ 29,588 1,400 IDEXX Laboratories Inc. (a) ....................... 32,637 700 IDT Corp. (a) ..................................... 15,575 300 IDX Systems Corp. (a) ............................. 6,769 300 IGEN International, Inc. (a) ...................... 8,737 400 IHOP Corp. (a) .................................... 9,625 1,700 Imation Corp. (a) ................................. 42,181 300 IMCO Reclycling, Inc. ............................. 5,138 700 ImClone Systems Inc. (a) .......................... 17,763 1,100 Impac Mortgage Holdings, Inc. ..................... 5,569
See Notes to Financial Statements 11 - -------------------------------------------------------------------------------- BT INSURANCE FUNDS TRUST SMALL CAP INDEX FUND SCHEDULE OF INVESTMENTS JUNE 30, 1999 (UNAUDITED) - --------------------------------------------------------------------------------
Shares Value - ------------- ---------------- 1,128 Imperial Bancorp (a) ................................ $22,348 1,100 Imperial Credit Commercial Mortgage Investment Corp. .................................... 11,894 900 Imperial Credit Industries, Inc. (a) ................ 6,384 400 IMRglobal Corp. (a) ................................. 7,700 1,536 InaCom Corp. (a) .................................... 19,392 700 INCYTE Pharmaceuticals, Inc. (a) .................... 18,506 1,100 Independence Bank Corp. ............................. 17,325 2,400 Independence Community Bank ......................... 32,400 933 Indiana Energy, Inc. ................................ 19,885 300 Industri-Matematik International Corp. (a) .......... 731 900 Information Resources, Inc. (a) ..................... 7,875 6,000 Informix Corp. (a) .................................. 51,188 1,600 Infoseek Corp. (a) .................................. 76,700 900 infoUSA, Inc. - Class B (a) ......................... 7,650 300 Ingles Markets, Inc. - Class A ...................... 4,575 500 Inhale Therapeutic Systems (a) ...................... 11,906 700 Innkeepers USA Trust ................................ 7,000 200 Innovative Clinical Solutions, Ltd. (a) ............. 294 300 Innovex, Inc. ....................................... 4,200 1,500 Inprise Corp. (a) ................................... 7,312 1,400 Input/Output, Inc.. (a) ............................. 10,587 875 Insight Entreprises, Inc. (a) ....................... 21,656 666 Insignia Financial Group, Inc. - Class A (a) ......................................... 6,993 700 Insituform Technologies - Class A (a) ............... 15,138 700 INSpire Insurance Solutions , Inc. (a) .............. 10,150 2,600 Integrated Device Technology, Inc. (a) .............. 28,275 600 Integrated Electrical Services, Inc. (a) ............ 9,675 500 Integrated Systems, Inc. (a) ........................ 5,875 2,100 InterDigital Communications Corp. (a) ............... 9,712 1,500 Interface, Inc. ..................................... 12,938 1,400 Intergraph Corp. (a) ................................ 10,850 1,900 Interim Services Inc. (a) ........................... 39,188 600 Intermet Corp. ...................................... 9,075 625 International Bancshares Corp. ...................... 26,445 400 International Multifoods Corp. ...................... 9,025 1,250 International Network Services (a) .................. 50,469 1,600 International Rectifier Corp. (a) ................... 21,300 600 International Speedway Corp. - Class A .............. 28,500 300 International Telecomm Data Systems, Inc. (a) ............................................ 4,800 1,000 Interpool, Inc. ..................................... 13,000 700 Inter-Tel, Inc. ..................................... 12,775 500 Interwest Bancorp, Inc. ............................. 12,500 1,100 Invacare Corp. ...................................... 29,425 759 Investment Technology Group, Inc. (a) ............... 24,573 400 Investors Financial Services Corp. .................. 16,000 500 Ionics, Inc. (a) .................................... 18,250 1,400 IRI International Corp. (a) ......................... 6,475 500 Iron Mountain, Inc. (a) ............................. 14,312 1,800 IRT Property Co. .................................... 17,775 600 Irwin Financial Corp. ............................... 11,700 1,000 Isis Pharmaceuticals, Inc. (a) ...................... 10,188 200 ISS Group, Inc. (a) ................................. 7,550
Shares Value - ------------- ---------------- 1,800 ITC Deltacom, Inc. (a) .............................. $50,400 100 ITI Technologies, Inc. (a) .......................... 2,263 1,200 ITEQ, Inc. (a) ...................................... 2,512 400 Itron, Inc. (a) ..................................... 3,425 500 ITT Educational Services, Inc. (a) .................. 13,031 3,100 IVAX Corp. (a) ...................................... 43,787 600 Ivex Packaging Corp. (a) ............................ 13,200 900 IXC Communications, Inc. (a) ........................ 35,381 1,700 Jabil Circuit, Inc. (a) ............................. 76,713 700 Jacobs Engineering Group, Inc. (a) .................. 26,600 600 JDA Software Group, Inc. (a) ........................ 5,588 1,550 JDN Realty Corp. .................................... 34,681 233 JeffBanks, Inc. ..................................... 6,626 600 Jefferies Group, Inc. ............................... 18,000 1,300 JLG Industries, Inc. ................................ 26,487 600 JLK Direct Distribution - Class A (a) ............... 5,588 400 Jo-Ann Stores, Inc. - Class A (a) ................... 6,000 100 John Nuveen Co. - Class A ........................... 4,269 2,200 John Wiley & Sons, Inc. ............................. 38,775 400 Jones Apparel Group, Inc. (a) ....................... 13,725 500 Jones Intercable, Inc. (a) .......................... 24,500 900 Jones Lang LaSalle Inc. (a) ......................... 26,831 700 Jones Pharma, Inc. .................................. 27,562 1,700 Jostens, Inc. ....................................... 35,806 600 Journal Register Co. (a) ............................ 13,500 200 JP Realty, Inc. ..................................... 4,112 400 JSB Financial, Inc. ................................. 20,350 600 Juno Lighting, Inc. ................................. 14,700 800 Just For Feet, Inc. (a) ............................. 5,150 400 Justin Industries, Inc. ............................. 5,575 400 K2, Inc. ............................................ 3,575 900 Kaiser Aluminum Corp. (a) ........................... 7,988 700 Kaman Corp. - Class A ............................... 10,981 400 Kansas City Life Insurance Co. ...................... 17,200 2,000 Kaufman & Broad Home Corp. .......................... 49,750 1,300 Kaydon Corp. ........................................ 43,713 1,500 KCS Energy, Inc. .................................... 938 2,400 Kelley Oil & Gas Corp. (a) .......................... 525 500 Kellstrom Industries, Inc. (a) ...................... 9,125 1,100 Kellwood Co. ........................................ 29,837 1,200 KEMET Corp. (a) ..................................... 27,525 200 Kenneth Cole Productions, Inc. (a) .................. 5,575 900 Kent Electronics Corp. (a) .......................... 17,831 1,400 Key Energy Group, Inc. (a) .......................... 4,988 900 Kilroy Realty Corp. ................................. 21,937 1,600 Kimball International Inc. - Class B ................ 27,000 1,036 Kirby Corp. (a) ..................................... 21,950 500 Knight Transportation, Inc. (a) ..................... 10,688 400 Knoll, Inc. (a) ..................................... 10,650 1,200 Koger Equity, Inc. .................................. 22,125 1,700 Komag, Inc. (a) ..................................... 5,631 300 Kopin Corp. (a) ..................................... 7,181 200 Kroll-O'Gara Co. (a) ................................ 4,412 300 Kronos, Inc. (a) .................................... 13,650 700 Kulicke & Soffa Industries, Inc. (a) ................ 18,768
See Notes to Financial Statements 12 - -------------------------------------------------------------------------------- BT INSURANCE FUNDS TRUST SMALL CAP INDEX FUND SCHEDULE OF INVESTMENTS JUNE 30, 1999 (UNAUDITED) - --------------------------------------------------------------------------------
Shares Value - ------------- ---------------- 700 LabOne, Inc. ...................................... $ 7,175 700 Labor Ready, Inc. (a) ............................. 22,750 2,300 Laboratory Corp. of America Holdings (a) .......... 6,613 900 Laclede Gas Co. ................................... 20,925 1,500 Lam Research Corp. (a)............................. 70,031 700 Lance, Inc. ....................................... 10,937 500 Landamerica Financial Group ....................... 14,375 100 Landauer, Inc. .................................... 2,950 1,400 Landry's Seafood Restaurants, Inc. (a) ............ 11,200 400 Lands' End, Inc. (a) .............................. 19,400 300 Landstar System, Inc. (a) ......................... 10,828 800 LaSalle Hotel Properties .......................... 12,250 2,100 LASER Mortgage Management, Inc. ................... 7,219 600 Lason, Inc. (a) ................................... 29,775 900 Lattice Semiconductor Corp. (a) ................... 56,025 2,100 La-Z-Boy Chair, Inc. .............................. 48,300 1 LCA-Vision, Inc. (a) .............................. 9 700 LCC International, Inc. - Class A ................. 3,150 900 Learning Tree International, Inc. (a) ............. 9,844 1,700 Lee Enterprises. Inc. ............................. 51,850 1,500 Legato Systems, Inc. (a) .......................... 86,625 1,325 Level One Communications, Inc. (a) ................ 64,842 500 Libbey, Inc. ...................................... 14,500 375 Liberty Corp. ..................................... 20,438 1,100 Life USA Holding, Inc. ............................ 22,275 1,300 Ligand Pharmaceuticals, Inc. - Class B (a) ....................................... 14,462 900 Lilly Industries, Inc. - Class A .................. 16,706 1,400 Lincoln Electric Co. .............................. 28,700 250 Lindsay Manufacturing Co. ......................... 4,391 1,300 Linens & Things, Inc. (a) ......................... 56,875 1,600 Liposome Co., Inc. (a) ............................ 30,600 500 Littelfuse, Inc. (a) .............................. 9,625 800 LNR Property Corp. ................................ 17,100 1,000 Local Financial Corp. (a) ......................... 10,000 1,800 Lodgian, Inc. ..................................... 11,812 1,300 Lo-Jack Corp. (a) ................................. 10,888 900 Lone Star Industries, Inc. ........................ 33,806 1,500 Lone Star Steakhouse & Saloon (a) ................. 14,578 700 Lone Star Technologies, Inc. (a) .................. 12,425 400 Long Beach Financial (a) .......................... 5,875 1,300 Longs Drug Stores, Inc. ........................... 44,931 1,600 Longview Fibre Co. ................................ 25,000 600 Louis Dreyfus Natural Gas Corp. (a) ............... 12,938 70 LTC Healthcare, Inc. (a) .......................... 136 700 LTC Properties, Inc. .............................. 9,100 3,200 LTV Corp. ......................................... 21,400 700 Luby's Cafeterias, Inc. ........................... 10,500 600 Lufkin Industries, Inc. ........................... 12,000 1,600 Lycos, Inc.. (a) .................................. 147,000 500 Lydall, Inc. (a) .................................. 5,750 700 M.D.C. Holdings, Inc. ............................. 15,050 200 M.S. Carriers, Inc. (a) ........................... 5,931 700 MacDermid, Inc. ................................... 32,550 300 MacroChem Corp. (a) ............................... 1,781
Shares Value - ------------- ---------------- 1,300 Macromedia, Inc. (a) .............................. $45,825 600 Madison Gas & Electric Co. ........................ 12,300 750 MAF Bancorp, Inc. ................................. 18,187 2,000 Magellan Health Services, Inc. (a) ................ 20,000 900 MagneTek, Inc. (a) ................................ 9,506 1,600 Mail Well, Inc. (a) ............................... 25,900 100 Manhattan Associates, Inc. (a) .................... 825 800 Manitowoc Co., Inc. ............................... 33,300 700 Manufactured Home Communities, Inc. ............... 18,200 600 Manugistics Group, Inc. (a) ....................... 8,700 1,100 MAPICS, Inc. (a) .................................. 11,619 1,450 Marcus Corp. ...................................... 17,853 2,000 Marine Drilling Cos., Inc. (a) .................... 27,375 1,223 Marine Post-Acute Network, (a) .................... 497 1,700 Mark IV Industries, Inc. .......................... 35,912 100 Markel Corp. (a) .................................. 18,700 500 Marshall Industries (a) ........................... 17,969 1,100 Marvel Enterprises, Inc. (a) ...................... 8,113 1,200 MascoTech, Inc. ................................... 20,325 400 MasTec, Inc. (a) .................................. 11,300 600 Mastech Corp. (a) ................................. 11,175 500 Matthews International Corp. - Class A ............ 14,812 200 Maverick Tube Corp. (a) ........................... 2,788 600 Maxim Group, Inc. (a) ............................. 2,606 300 MAXIMUS, Inc. (a) ................................. 8,625 300 MAXXAM, Inc. (a) .................................. 19,350 300 Maxxim Medical, Inc. (a) .......................... 6,994 700 McClatchy Co., Inc. - Class A ..................... 23,187 200 McGrath Rentcorp .................................. 4,000 700 McWhorter Technologies, Inc. (a) .................. 10,106 1,700 MDU Resources Group, Inc. ......................... 38,781 2,500 Medaphis Corp. (a) ................................ 14,375 800 Media General Inc. - Class A ...................... 40,800 722 Medical Assurance, Inc. (a) ....................... 20,397 500 Medical Manager Corp. (a) ......................... 22,125 1,150 Medicis Pharmaceutical Corp. - Class A (a) ....................................... 29,181 1,800 MedImmune, Inc. (a)................................ 121,950 1,400 MedQuist, Inc. (a) ................................ 61,250 400 MemberWorks, Inc. (a) ............................. 11,600 700 Mentor Corp. ...................................... 13,038 2,700 Mentor Graphics Corp. (a) ......................... 34,594 500 Merchants New York Bancorp ........................ 16,750 1,000 Mercury Interactive Corp. (a) ..................... 35,375 1,600 Meridian Resource Corp. (a) ....................... 6,200 1,532 Meristar Hospitality Corp. ........................ 34,374 700 Merrill Corp. ..................................... 10,150 95 Merry Land Properties, Inc. (a) ................... 469 1,300 Mesa Air Group, Inc. (a) .......................... 9,770 200 Metal Management, Inc. (a) ........................ 300 1,000 Metals USA, Inc. (a) .............................. 12,750 1,200 Metamor Worldwide, Inc. (a) ....................... 28,875 1,100 Methode Electronics, Inc. - Class A ............... 25,162 1,490 Metris Cos., Inc. ................................. 60,718 400 Metro Networks, Inc (a) ........................... 21,350
See Notes to Financial Statements 13 - -------------------------------------------------------------------------------- BT INSURANCE FUNDS TRUST SMALL CAP INDEX FUND SCHEDULE OF INVESTMENTS JUNE 30, 1999 (UNAUDITED) - --------------------------------------------------------------------------------
Shares Value - ------------- ---------------- 400 Metrocall, Inc. (a) ........................... $ 1,100 1,800 Metromedia Fiber Network, Inc. - Class A (a) ................................... 64,688 1,700 Metromedia International Group, Inc. (a) ...... 12,750 1,200 Mettler-Toledo International, Inc. (a) ........ 29,775 550 Metzler Group, Inc. (a) ....................... 15,194 100 MGC Communications, Inc. (a) .................. 2,600 300 MGI Properties, Inc. .......................... 8,475 400 Michael Foods, Inc. ........................... 9,400 1,000 Michaels Stores, Inc. (a) ..................... 30,625 400 Micrel, Inc. (a) .............................. 29,600 1,300 Micro Warehouse, Inc. (a) ..................... 23,237 1,800 Microchip Technology, Inc. (a) ................ 85,275 300 Micromuse, Inc. (a) ........................... 14,963 1,100 Micron Electronics, Inc. (a) .................. 11,069 700 MICROS Systems, Inc. (a) ...................... 23,800 1,400 Mid Atlantic Medical Services, Inc. (a) ....... 13,825 500 Mid-America Apartment Communities, Inc......... 11,562 600 Midas, Inc. ................................... 17,025 959 Midway Games, Inc. (a) ........................ 12,407 450 Midwest Express Holdings (a) .................. 15,300 1,200 Milacron, Inc. ................................ 22,200 1,200 Millennium Pharmaceuticals, Inc. (a) .......... 43,200 1,600 Miller Industries, Inc. (a) ................... 6,300 500 Mills Corp. ................................... 10,844 1,200 MindSpring Enterprises, Inc. (a) .............. 53,175 100 Mine Safety Appliances Co. .................... 6,400 600 Minerals Technologies, Inc. ................... 33,487 400 Minimed, Inc. (a) ............................. 30,775 3,100 Minnesota Power, Inc. ......................... 61,613 600 Miravant Medical Technologies (a) ............. 4,275 600 Mississippi Chemical Corp. .................... 5,887 600 Mississippi Valley Bancshares, Inc. ........... 19,875 1,100 Mitchell Energy & Development Corp. - Class A ....................................... 21,244 1,000 MMC Network, Inc. (a) ......................... 44,750 300 MMI Cos., Inc. ................................ 5,063 700 Modine Manufacturing Co. ...................... 22,794 300 Monaco Coach Corp. (a) ........................ 12,694 300 Moog, Inc. - Class A (a) ...................... 10,313 850 Morgan Keegan, Inc. ........................... 16,097 1,100 Morrison Knudsen Corp. (a) .................... 11,344 850 MotivePower Industries, Inc. (a) .............. 15,300 600 MRV Communications, Inc. (a) .................. 7,875 1,500 MTI Tech Corp. (a) ............................ 19,594 1,200 MTS Systems Corp. ............................. 14,625 1,100 Mueller Industries, Inc. (a) .................. 37,331 1,100 Musicland Stores Corp. (a) .................... 9,762 900 Myers Industries, Inc. ........................ 18,000 840 N B T Bancorp, Inc. ........................... 17,220 200 NACCO Industries, Inc. - Class A .............. 14,700 500 National Bancorp of Alaska, Inc. .............. 13,250 400 National City Bancorp (a) ..................... 8,350 335 National City Bancshares, Inc. ................ 10,699 900 National Computer Systems, Inc. ............... 30,375
Shares Value - ------------- ---------------- 1,400 National Data Corp. ........................... $59,850 700 National Golf Properties, Inc. ................ 17,019 700 National Health Investors, Inc. ............... 15,969 750 National Instruments Corp. (a) ................ 30,281 625 National Penn Bancshares, Inc. ................ 14,707 200 National Presto Industries, Inc. .............. 7,650 1,300 National Processing, Inc. (a) ................. 13,163 450 National R.V. Holdings, Inc. (a) .............. 10,912 1,500 National Steel Corp. - Class B ................ 12,563 1,400 Nationwide Health Properties, Inc. ............ 26,687 400 Natures Sunshine Products, Inc. ............... 4,200 1,500 Nautica Enterprises, Inc. (a) ................. 25,313 1,900 NBTY, Inc. (a) ................................ 12,350 600 NCI Building Systems, Inc. (a) ................ 12,825 250 NCO Group, Inc. (a) ........................... 9,500 500 NCS Healthcare Inc. - Class A (a) ............. 2,719 1,200 NeoMagic Corp. (a) ............................ 10,087 2,200 Network Appliance, Inc. (a) ................... 122,925 400 Network Equipment Technologies, Inc. (a)....... 3,950 300 Network Solutions, Inc. - Class A (a) ......... 23,738 200 Neurogen Corp. (a) ............................ 2,925 2,100 Nevada Power Co. .............................. 52,500 400 New England Business Service, Inc. ............ 12,350 700 New Era of Networks, Inc. ..................... 30,756 600 New Jersey Resources Corp. .................... 22,462 3,400 New Plan Reality Trust ........................ 61,200 1,400 Newfield Exploration Co. (a) .................. 39,813 2,800 Newpark Resources, Inc. (a) ................... 24,850 1,100 Newport News Shipbuilding, Inc. ............... 32,450 800 NeXstar Pharmaceuticals, Inc. (a) ............. 15,950 1,150 NFO Worldwide, Inc. (a) ....................... 16,100 400 Nichols Research Corp. (a) .................... 8,750 700 NL Industries, Inc. ........................... 7,788 500 Nordson Corp. ................................. 30,625 500 Norrel Corp. .................................. 9,406 300 Nortek, Inc. (a) .............................. 9,394 650 North Carolina Natural Gas Corp. .............. 22,141 300 North Face, Inc. (a) .......................... 2,962 400 North Pittsburgh Systems, Inc. ................ 6,800 300 Northwest Bancorp, Inc. ....................... 3,000 800 Northwest Natural Gas Co. ..................... 19,300 700 Northwestern Corp. ............................ 16,931 2,243 Nova Corp., Georgia (a) ....................... 56,075 1,400 Novacare Employee Services, Inc. (a) .......... 3,850 1,400 NovaCare, Inc. (a) ............................ 2,100 1,400 Novellus Systems, Inc. (a) .................... 95,550 300 Novoste Corp. (a) ............................. 6,300 600 NS Group, Inc. (a) ............................ 5,550 2,500 NTL, Inc. (a) ................................. 215,469 600 Nuevo Energy Co. (a) .......................... 7,950 200 NUI Corp. ..................................... 5,000 300 NVR, Inc. (a) ................................. 15,656 700 NYMAGIC, Inc. ................................. 10,937 600 Oak Industries, Inc. (a) ...................... 26,212 2,700 Oak Technology, Inc. (a) ...................... 9,788
See Notes to Financial Statements 14 - -------------------------------------------------------------------------------- BT INSURANCE FUNDS TRUST SMALL CAP INDEX FUND SCHEDULE OF INVESTMENTS JUNE 30, 1999 (UNAUDITED) - --------------------------------------------------------------------------------
Shares Value - ------------- ---------------- 1,000 Oakley, Inc. (a) .................................. $ 7,125 2,100 Oakwood Homes Corp. ............................... 27,562 800 Objective Systems Integrators (a) ................. 2,200 6,000 Ocean Energy, Inc. (a) ............................ 57,750 600 Ocean Financial Corp. ............................. 10,875 1,000 Oceaneering International, Inc. (a) ............... 16,125 500 Octel Corp. (a) ................................... 6,250 500 Ocular Sciences, Inc. (a) ......................... 8,688 1,500 Ocwen Asset Investment Corp. ...................... 6,750 500 OEA, Inc. ......................................... 4,438 700 OEC Medical Systems, Inc. (a) ..................... 17,150 700 Offshore Logistics, Inc. (a) ...................... 7,787 1,527 Old National Bancorp .............................. 45,905 2,200 Olsten Corp. ...................................... 13,888 1,000 OM Group, Inc. .................................... 34,500 600 Omega Financial Corp. ............................. 20,850 600 OMEGA Healthcare Investors, Inc. .................. 15,487 600 Omega Protein Corp. (a) ........................... 3,150 800 OMI Corp. (a) ..................................... 1,650 1,000 OMNI Energy Services Corp. (a) .................... 3,500 1,200 Omnipoint Corp. (a) ............................... 34,725 100 OmniQuip International, Inc. ...................... 788 300 On Assignment, Inc. (a) ........................... 7,837 800 On Command Corp. (a) .............................. 14,100 1,075 One Valley Bancorp, Inc. .......................... 40,313 300 Oneida Ltd. ....................................... 8,437 1,000 ONEOK, Inc. ....................................... 31,750 200 OnSale, Inc. (a) .................................. 3,788 700 Open Market, Inc. (a) ............................. 9,931 400 Optical Cable Corp. (a) ........................... 4,400 400 Orange & Rockland Utilities, Inc. ................. 23,375 700 Oregon Steel Mills, Inc. .......................... 9,319 400 O'Reilly Automotive, Inc. (a) ..................... 20,150 993 Organogenesis, Inc. (a) ........................... 9,309 133 Oriental Financial Group .......................... 3,209 1,500 Orthodontic Centers of America, Inc. (a) .......... 21,187 400 Oshkosh B'Gosh, Inc. - Class A .................... 8,450 500 O'Sullivan Industries Holdings, Inc. (a) .......... 8,500 200 Otter Tail Power Co. .............................. 7,713 900 Overseas Shipholding Group, Inc. .................. 11,587 400 Owens & Minor, Inc. Holding Co. ................... 4,400 2,700 Oxford Health Plans, Inc. (a) ..................... 42,019 300 P.J. America, Inc. (a) ............................ 6,356 700 Pacific Capital Bancorp ........................... 22,050 300 Pacific Gateway Exchange, Inc. (a) ................ 8,737 600 Pacific Gulf Properties, Inc. ..................... 13,575 937 Pacific Sunwear of California, Inc. (a) ........... 22,839 1,700 PageMart Wireless, Inc. - Class A (a) ............. 12,856 2,700 PairGain Technologies, Inc. (a) ................... 31,050 750 Palm Harbor Homes, Inc. (a) ....................... 18,797 200 Pan Pacific Retail Properties ..................... 3,875 414 Panavision, Inc. (a) .............................. 2,795 800 Papa John's International, Inc. (a) ............... 35,750 800 PAREXEL International Corp. (a) ................... 10,650 300 Park Electrochemical Corp. ........................ 8,625
Shares Value - ------------- ---------------- 400 Park National Corp. ............................... $40,000 2,000 Parker Drilling Co. (a) ........................... 6,625 200 ParkerVision, Inc. (a) ............................ 7,000 600 Parkway Properties, Inc. .......................... 19,875 800 PathoGenesis Corp. (a) ............................ 11,350 700 Patterson Dental Co. (a) .......................... 24,325 700 Patterson Energy, Inc. (a) ........................ 6,912 1,050 Paxar Corp. (a) ................................... 9,450 600 Paxson Communications Corp. (a) ................... 8,100 500 Paymentech, Inc. (a) .............................. 12,688 1,600 PBOC Holdings, Inc. (a) ........................... 16,000 1,400 P-COM, Inc. (a) ................................... 7,328 200 PEC Israel Economic Corp. (a) ..................... 6,300 500 Pediatrix Medical Group, Inc. (a) ................. 10,625 400 Pegasus Communications Corp. (a) .................. 15,775 500 Pegasus Systems, Inc. (a) ......................... 18,719 200 Pegasystems, Inc. (a) ............................. 2,050 200 Penn Treaty Amer Corp. (a) ........................ 4,812 1,900 Penncorp Financial Group, Inc. .................... 950 400 Pennsylvania Enterprises Inc. ..................... 12,275 500 Pennsylvania Real Estate Investment Trust ............................................. 10,469 100 Penske Motorsports (a) ............................ 4,963 1,100 Peoples Bancorp, Inc. ............................. 10,966 1,500 People's Energy Corp. ............................. 56,531 300 Perclose, Inc. (a) ................................ 14,419 600 Peregrine Systems, Inc. (a) ....................... 15,412 400 Performance Food Group, Inc. (a) .................. 10,875 2,100 Perrigo Co. (a) ................................... 16,013 1,100 Personnel Group of America, Inc. (a) .............. 11,000 700 Petco Animal Supplies, Inc. (a) ................... 11,025 3,700 PETsMART, Inc. (a) ................................ 37,925 800 PFF Bancorp, Inc. (a) ............................. 15,000 500 Pharmaceutical Product Development, Inc. (a) .......................................... 13,687 1,500 Philadelphia Suburban Corp. ....................... 34,594 700 Phillips-Van Heusen Corp. ......................... 6,913 900 Phoenix Investment Partners, Ltd. ................. 7,762 600 Photronics, Inc. (a) .............................. 14,700 2,400 PhyCor, Inc. (a) .................................. 17,775 700 Physician Computer Network, Inc. (a) .............. 175 1,800 PictureTel Corp. (a) .............................. 14,400 1,400 Piedmont Natural Gas Co., Inc. .................... 43,575 400 Pilgrims Pride Corp. .............................. 12,000 600 Pillowtex Corp. ................................... 9,788 500 Pinnacle Systems, Inc. (a) ........................ 16,812 700 Pioneer Group, Inc. ............................... 12,075 800 Pioneer Standard Electronics, Inc. ................ 9,600 500 Pittston BAX Group ................................ 4,750 700 Plains Resources Inc. (a) ......................... 13,300 700 Plantronics, Inc. (a) ............................. 45,588 500 Playboy Enterprises, Inc. - Class B (a) ........... 13,281 1,500 Playtex Products, Inc. (a) ........................ 23,344 500 Plexus Corp. (a) .................................. 15,062 500 PMA Capital Corp - Class A ........................ 10,281
See Notes to Financial Statements 15 - -------------------------------------------------------------------------------- BT INSURANCE FUNDS TRUST SMALL CAP INDEX FUND SCHEDULE OF INVESTMENTS JUNE 30, 1999 (UNAUDITED) - --------------------------------------------------------------------------------
Shares Value - ------------- ---------------- 2,100 PMC-Sierra, Inc. (a) ........................... $123,769 1,300 Pogo Producing Co. ............................. 24,213 1,000 Polaris Industries, Inc.. ...................... 43,500 700 Polycom, Inc. (a) .............................. 27,300 500 Polymer Group, Inc. (a) ........................ 5,875 700 Pool Energy Services Co. (a) ................... 14,219 900 Potlatch Corp. ................................. 39,544 500 Powertel, Inc. (a) ............................. 14,937 200 Powerwave Technologies, Inc. (a) ............... 6,450 1,000 Precision Castparts Corp. ...................... 42,500 800 Premier Bancshares, Inc. ....................... 14,650 2,200 Premier Parks, Inc. (a) ........................ 80,850 1,300 Premiere Technologies, Inc. (a) ................ 14,950 800 Premisys Communications, Inc. (a) .............. 5,850 1,200 Prentiss Properties Trust ...................... 28,200 800 Pre-Paid Legal Services, Inc. (a) .............. 21,750 700 Presidential Life Corp. ........................ 13,738 800 Presstek, Inc. (a) ............................. 5,775 400 Preview Travel, Inc. (a) ....................... 8,775 500 PRI Automation, Inc. (a) ....................... 18,125 52 Price Enterprises, Inc. (a) .................... 374 1,600 Pride International, Inc. (a) .................. 16,900 376 Primark Corp. (a) .............................. 10,551 700 Prime Group Realty Trust ....................... 12,031 2,200 Prime Hospitality Corp. (a) .................... 26,400 1,298 Prime Retail, Inc. ............................. 11,276 400 Primex Technologies ............................ 8,625 600 Primus Telecommunications Group (a) ............ 13,463 792 Priority Healthcare Corp. (a) .................. 27,324 3,600 Prison Realty Trust, Inc. ...................... 35,325 350 ProBusiness Services, Inc. (a) ................. 12,556 600 Profit Recovery Group International (a) ........ 28,387 500 Progress Software Corp. (a) .................... 14,125 200 Project Software & Development, Inc. (a) ....... 6,250 600 Protein Design Labs, Inc. (a) .................. 13,313 866 Provident Bankshares, Corp. .................... 20,134 300 Province Healthcare Co. (a) .................... 5,850 1,300 PS Business Parks, Inc. ........................ 31,688 1,700 PSINet, Inc. (a) ............................... 74,375 2,250 PSS World Medical, Inc. (a) .................... 25,172 1,900 Public Service Co. of New Mexico ............... 37,763 600 Public Service Co. of North Carolina, Inc....... 17,550 100 Puerto Rican Cement Co., Inc. .................. 3,319 700 Pulte Corp. .................................... 16,144 400 PXRE Corp. ..................................... 7,250 400 QAD, Inc. (a) .................................. 1,225 600 Qlogic Corp. (a) ............................... 79,200 200 QRS Corp. (a) .................................. 15,600 600 QuadraMed Corp. (a) ............................ 4,875 200 Quaker Fabric Corp. (a) ........................ 837 500 Quanex Corp. ................................... 14,250 500 Queens County Bancorp, Inc. .................... 16,188 900 Quest Diagnostic, Inc. (a) ..................... 24,637 950 Quicksilver, Inc. (a) .......................... 24,759
Shares Value - ------------- ---------------- 1,480 Radian Group, Inc. ............................. $ 72,241 600 Radiant Systems, Inc. (a) ...................... 8,550 400 Rainforest Cafe, Inc. (a) ...................... 2,025 960 Ralcorp Holdings, Inc. (a) ..................... 15,420 500 Rambus, Inc. (a) ............................... 46,094 2,100 Range Resources Corp. .......................... 12,862 3,100 Rational Software Corp. (a) .................... 102,106 1,200 Rayonier, Inc. ................................. 59,775 900 Rayovac Corp. (a) .............................. 20,419 1,300 RCN Corp. (a) .................................. 54,113 2,100 Read-Rite Corp. (a) ............................ 13,027 600 RealNetworks, Inc. (a) ......................... 41,325 900 Realty Income Corp. ............................ 21,375 1,100 Reckson Associates Realty Corp. ................ 25,850 224 Reckson Associates Realty Corp. - Class B (a) .................................... 5,348 1,400 Red Roof Inns, Inc. (a) ........................ 25,113 700 Redwood Trust, Inc. ............................ 11,594 700 Regal-Beloit Corp. ............................. 16,537 600 Regency Realty Corp. ........................... 13,162 1,400 Regeneron Pharmaceuticals, Inc. (a) ............ 10,938 900 Regis Corp. .................................... 17,269 1,200 Reinsurance Group of America ................... 42,300 500 Reliance Steel & Aluminum Co. .................. 19,500 600 Remec, Inc. (a) ................................ 9,675 700 Remedy Corp. (a) ............................... 18,813 400 Renaissance Worldwide, Inc. (a) ................ 3,187 1,550 Renal Care Group, Inc. (a) ..................... 40,106 800 Rent-A-Center, Inc. (a) ........................ 19,200 1,100 Rental Service Corp. (a) ....................... 31,487 500 Rent-Way, Inc. (a) ............................. 12,313 650 Republic Bancorp, Inc. ......................... 9,872 300 Republic Banking Corp. of Florida .............. 5,775 300 Republic Group, Inc. ........................... 5,400 1,500 Republic Security Financial Corp. .............. 12,563 300 Res-Care, Inc. (a) ............................. 6,825 500 ResMed, Inc. (a) ............................... 16,594 515 Resource Bancshares Mortgage Group, Inc. ........................................... 5,279 1,100 Resources America, Inc. (a) .................... 15,950 876 Respironics, Inc. (a) .......................... 13,249 700 RFS Hotel Investors, Inc. ...................... 8,794 2,000 Richfood Holdings, Inc. ........................ 35,250 800 Richmond County Financial Corp. ................ 15,400 600 Riggs National Corp. ........................... 12,338 600 Risk Capital Holdings, Inc. (a) ................ 8,100 500 Riviana Foods, Inc. ............................ 9,375 250 RLI Corp. ...................................... 9,687 400 Roadway Express, Inc. .......................... 7,750 200 Robbins & Myers, Inc. .......................... 4,462 200 Robert Mondavi Corp. - Class A (a) ............. 7,275 800 Roberts Pharmaceutical Corp. (a) ............... 19,400 1,200 Rochester Gas & Electric Corp. ................. 31,875 500 Rock-Tenn Co. - Class A ........................ 8,344 500 Rogers Corp. (a) ............................... 14,750
See Notes to Financial Statements 16 - -------------------------------------------------------------------------------- BT INSURANCE FUNDS TRUST SMALL CAP INDEX FUND SCHEDULE OF INVESTMENTS JUNE 30, 1999 (UNAUDITED) - --------------------------------------------------------------------------------
Shares Value - ------------- ---------------- 500 ROHN Industries, Inc. ........................... $ 688 2,500 Rollins Truck Leasing Corp. ..................... 27,813 600 Rollins, Inc. ................................... 9,562 1,140 Romac International, Inc. (a) ................... 10,117 1,000 Roper Industries, Inc. .......................... 32,000 3,140 Roslyn Bancorp., Inc. ........................... 53,969 600 Rouge Industries Inc. - Class A ................. 5,850 1,200 RPC, Inc. ....................................... 10,500 500 RTI International Metals, Inc. .................. 7,344 900 Ruby Tuesday, Inc. .............................. 17,100 900 Ruddick Corp. ................................... 18,000 300 Rural / Metro Corp. (a) ......................... 2,888 300 Russ Berrie & Co., Inc. ......................... 7,425 1,300 Russell Corp. ................................... 25,350 200 RWD Technologies, Inc. (a) ...................... 2,088 1,300 Ryan's Family Steak Houses, Inc. (a) ............ 15,112 788 Ryerson Tull, Inc. - Class A (a) ................ 17,779 500 Ryland Group, Inc. .............................. 14,844 860 S&T Bancorp, Inc. ............................... 21,715 1,600 S3, Inc. (a) .................................... 14,550 300 Sabratek Corp. (a) .............................. 6,563 1,100 Safeguard Scientifics, Inc. (a) ................. 68,200 880 Safety-Kleen Corp. (a) .......................... 15,950 1,000 SAGA Systems, Inc. (a) .......................... 12,750 146 Samsonite Corp. (a) ............................. 730 600 Sanchez Computer Associates, Inc. (a) ........... 20,775 800 SanDisk Corp. (a) ............................... 36,000 400 Sandy Spring Bancorp, Inc. ...................... 11,100 500 SangStat Medical Corp. (a) ...................... 8,625 9,355 Santa Fe Snyder Corp. ........................... 71,332 300 Sapient Corp. (a) ............................... 16,988 1,000 Sauer, Inc. ..................................... 10,750 400 Sawtek, Inc. (a) ................................ 18,350 400 Sbarro, Inc. (a) ................................ 10,825 400 Schawk, Inc. .................................... 3,575 700 Schein Pharmaceutical, Inc. (a) ................. 8,444 400 Scholastic Corp. (a) ............................ 20,250 1,000 Schulman, Inc. .................................. 17,188 500 Schweitzer-Mauduit International, Inc. .......... 7,500 700 Scientific Games Holdings Corp. (a) ............. 13,650 1,100 Scios, Inc. (a) ................................. 3,575 400 SCM Microsystems, Inc. (a) ...................... 18,550 600 Scotsman Industries, Inc. ....................... 12,938 600 Scott Technologies, Inc. - Class A (a) .......... 11,550 600 Scotts Co. (The) - Class A (a) .................. 28,575 400 SCPIE Holdings, Inc. ............................ 13,050 900 SDL, Inc. (a) ................................... 45,956 400 SEACOR Smit, Inc. (a) ........................... 21,400 1,300 Security Capital Group, Inc. - Class B (a)....... 18,931 1,400 Security Dynamics Technology, Inc. (a) .......... 29,750 500 SEI Investments Co. ............................. 44,125 800 Seitel, Inc. (a) ................................ 12,950 900 Selective Insurance Group, Inc. ................. 17,156 205 SEMCO Energy, Inc. .............................. 3,165 400 Semtech Corp. (a) ............................... 20,850
Shares Value - ------------- ---------------- 2,200 Sensormatic Electronics Corp. (a) ............... $30,662 1,000 Sepracor, Inc. (a) .............................. 81,250 200 Sequa Corp. - Class A (a) ....................... 14,000 1,400 Sequent Computer Systems, Inc. (a) .............. 24,850 750 Serologicals Corp. (a) .......................... 6,094 500 Service Experts, Inc. (a) ....................... 10,969 1,000 SFX Entertainment Inc. - Class A (a) ............ 64,000 400 Shiloh Industries, Inc. (a) ..................... 5,800 800 ShopKo Stores, Inc. (a) ......................... 29,000 750 Shorewood Packaging Corp. (a) ................... 13,828 900 Shurgard Storage Centers, Inc. - Class A......... 24,413 2,600 SICOR Inc. (a) .................................. 11,050 750 Sierra Health Services, Inc. (a) ................ 10,828 1,000 Sierra Pacific Resources ........................ 36,375 700 SIGCORP, Inc. ................................... 19,819 500 Silgan Holdings, Inc. (a) ....................... 9,937 600 Silicon Valley Bancshares (a) ................... 14,850 1,100 Silicon Valley Group, Inc. (a) .................. 18,494 200 Siliconix, Inc.. (a) ............................ 6,850 900 Simpson Industries, Inc. ........................ 9,225 100 Simpson Manufacturing Co., Inc. (a) ............. 4,750 900 SIPEX Corp. (a) ................................. 18,450 2,500 SITEL Corp. (a) ................................. 7,344 1,478 Sky Financial Group, Inc. ....................... 40,276 200 Skyline Corp. ................................... 5,862 2,400 SkyTel Communications, Inc. (a) ................. 50,250 600 Skywest, Inc. ................................... 14,963 500 SL Green Realty Corp. ........................... 10,219 450 SLI, Inc. (a) ................................... 12,150 600 SM&A Corp. (a) .................................. 4,575 300 Smart & Final, Inc. ............................. 3,150 800 SMART Modular Technologies, Inc. (a) ............ 13,900 1,000 Smith (Charles E.) Residential Realty, Inc....... 33,937 1,600 Smithfield Foods, Inc. (a) ...................... 53,500 1,000 Smucker (J.M.) Co. - Class A .................... 22,250 800 Sola International, Inc. (a) .................... 15,550 950 Sonic Corp. (a) ................................. 30,994 1,100 SOS Staffing Services, Inc. (a) ................. 5,775 1,500 Sotheby's Holdings, Inc. - Class A .............. 57,188 600 South Jersey Industries, Inc. ................... 16,987 500 Southern Peru Copper Corp. ...................... 7,219 330 Southern Union Co. (a) .......................... 7,178 600 Southwest Bancorp of Texas (a) .................. 10,800 1,000 Southwest Gas Corp. ............................. 28,625 400 Southwest Securities Group, Inc. ................ 28,700 1,700 Southwestern Energy Co. ......................... 17,956 700 Sovran Self Storage, Inc. ....................... 18,856 400 Spartech Corp. .................................. 12,650 600 Special Metals Corp. (a)......................... 3,487 200 Specialty Equipment Cos., Inc. .................. 5,888 1,355 SpeedFam-IPEC, Inc. (a) ......................... 21,765 400 Speedway Motorsports, Inc. (a) .................. 15,725 700 Spiegel - Class A (a) ........................... 6,212 500 Sportsline USA, Inc. (a) ........................ 17,938 500 Springs Industries, Inc. - Class A .............. 21,813
See Notes to Financial Statements 17 - -------------------------------------------------------------------------------- BT INSURANCE FUNDS TRUST SMALL CAP INDEX FUND SCHEDULE OF INVESTMENTS JUNE 30, 1999 (UNAUDITED) - --------------------------------------------------------------------------------
Shares Value - ------------- ---------------- 400 SPS Technologies, Inc. (a) ....................... $15,000 1,000 SPX Corp. (a) .................................... 83,500 900 St John Knits, Inc. .............................. 26,325 200 St. Mary Land & Exploration Co. .................. 4,112 1,200 St. Paul Bancorp, Inc. ........................... 30,600 500 Staff Leasing, Inc. (a) .......................... 6,437 500 StaffMark, Inc. (a) .............................. 5,016 500 Stage Stores, Inc. (a) ........................... 3,250 500 Standard Motor Products, Inc. .................... 12,250 500 Standard Products Co. ............................ 12,813 400 Standard Register Co. ............................ 12,300 800 Standard-Pacific Corp. ........................... 10,350 200 Standex International Corp. ...................... 5,475 600 Starrett (L.S.) Co. - Class A .................... 16,125 800 State Auto Financial Corp. ....................... 10,800 1,400 Staten Island Bancorp, Inc. ...................... 25,200 700 Station Casinos, Inc. (a) ........................ 14,262 1,100 Steel Dynamics, Inc. (a) ......................... 17,016 600 Stein Mart, Inc. (a) ............................. 5,625 200 Stephan Chemical Co. ............................. 5,075 700 Sterling Bancorp ................................. 13,300 750 Sterling Bancshares, Inc. ........................ 10,031 900 Stewart & Stevenson Services, Inc. ............... 13,725 400 Stewart Information Services Corp. ............... 8,450 1,200 Stillwater Mining Co. (a) ........................ 39,225 200 Stone & Webster, Inc. ............................ 5,325 400 Stone Energy Corp. (a) ........................... 16,950 800 Storage USA, Inc. ................................ 25,500 1,500 Stride Rite Corp. ................................ 15,469 1,100 Structural Dynamics Research Corp. (a) ........... 20,419 100 Student Loan Corp. ............................... 4,450 400 Sturm Ruger & Co., Inc. .......................... 4,275 400 Suburban Lodges of America, Inc. (a) ............. 2,575 600 SUGEN, Inc. (a) .................................. 17,700 700 Summit Properties, Inc. .......................... 13,825 900 Sun Communities, Inc. ............................ 31,950 500 Sun Healthcare Group, Inc. (a) ................... 188 1 Sunburst Hospitality Corp. (a) ................... 6 1,300 Sunglass Hut International (a) ................... 22,344 600 Sunrise Assisted Living, Inc. (a) ................ 20,925 600 Sunrise Medical, Inc. (a) ........................ 4,275 700 Sunstone Hotel Investors, Inc. ................... 5,950 850 Sunterra, Inc. (a) ............................... 11,847 400 SuperGen, Inc. (a) ............................... 6,125 200 Superior Consultant Holdings Corp. (a) ........... 4,937 600 Superior Industries International, Inc. .......... 16,388 900 Superior Services, Inc. (a) ...................... 24,019 381 Superior Telecommunications, Inc. ................ 9,525 144 Superior Trust I ................................. 6,192 1,900 Susquehanna Bancshares, Inc. ..................... 33,606 220 Swift Energy Co. (a) ............................. 2,351 1,625 Swift Transportation Co., Inc. (a) ............... 35,750 2,600 Sybase, Inc. (a) ................................. 28,600 500 Sykes Enterprises, Inc. (a) ...................... 16,687 1,550 Sylvan Learning Systems, Inc. (a) ................ 42,141
Shares Value - ------------- ---------------- 1,800 Symantec Corp. (a) ............................... $45,900 1,000 Syms Corp. (a) ................................... 4,063 800 Synetic, Inc. (a) ................................ 55,000 200 Syntel, Inc. (a) ................................. 1,800 1,300 Syntroleum Corp. (a) ............................. 11,619 400 Systemax, Inc. (a) ............................... 4,950 300 System Software Associates, Inc. (a) ............. 469 1,000 Systems & Computer Technology Corp. (a) ........................................ 14,562 400 Talbots .......................................... 15,250 1,000 TALK.com (a) ..................................... 11,250 500 Tanger Factory Outlet Centers, Inc. .............. 13,000 1,200 Taubman Centers, Inc. ............................ 15,825 1,200 Tava Technologies Inc. (a) ....................... 9,225 300 TCBY Enterprises, Inc. ........................... 1,819 600 Techne Corp. (a) ................................. 15,225 400 Technitrol, Inc. ................................. 12,900 1,300 Technology Solutions (a) ......................... 14,056 800 Tecumseh Products Co. - Class A .................. 48,450 500 Tejon Ranch Co., ................................. 12,625 1,100 Tekelec (a) ...................................... 13,406 400 Telxon Corp. ..................................... 3,175 600 Tennant Co. ...................................... 19,200 800 Terex Corp. (a) .................................. 24,350 2,400 Terra Industries, Inc. ........................... 9,600 1,300 Tesoro Petroleum Corp. (a) ....................... 20,719 700 TETRA Technologies, Inc. (a) ..................... 6,431 1,147 Tetra Tech, Inc. (a) ............................. 18,926 900 Texas Industries, Inc. ........................... 34,875 500 Texas Regional Bancshares, Inc. - Class A .......................................... 13,594 500 The Cheesecake Factory, Inc. (a) ................. 15,250 500 The Children's Place Retail Stores, Inc. (a) ......................................... 20,250 1,016 The Fairchild Corp. - Class A .................... 12,950 1,400 The Macerich Co. ................................. 36,750 1,251 The Men's Wearhouse, Inc. (a) .................... 31,900 500 The Midland Co. .................................. 12,688 1,000 The Sports Authority, Inc. (a) ................... 4,437 1,000 Theragenics Corp. (a) ............................ 6,937 900 Thermedics, Inc. (a) ............................. 8,381 600 Thermo BioAnalysis Corp. (a) ..................... 10,425 1,200 Thermo Cardiosystems, Inc. (a) ................... 13,050 1,200 Thermo Ecotek Corp. (a) .......................... 9,600 1,300 Thermo Fibertek, Inc. (a) ........................ 9,263 700 Thermo Optek Corp. (a) ........................... 7,262 1,100 ThermoLase Corp. (a) ............................. 1,444 600 ThermoQuest Corp. (a) ............................ 7,988 400 Thermotrex Corp. (a) ............................. 3,050 500 Thomas Industries, Inc. .......................... 10,250 400 Thor Industries, Inc. ............................ 11,350 1,500 Thornburg Mortgage Asset Corp. ................... 15,000 100 Timberland Co., Class A (a) ...................... 6,806 1,500 Titan Exploration, Inc. (a) ...................... 7,500 300 Titan International, Inc. ........................ 3,563
See Notes to Financial Statements 18 - -------------------------------------------------------------------------------- BT INSURANCE FUNDS TRUST SMALL CAP INDEX FUND SCHEDULE OF INVESTMENTS JUNE 30, 1999 (UNAUDITED) - --------------------------------------------------------------------------------
Shares Value - ------------- ---------------- 700 Titanium Metals Corp. ............................ $ 7,875 400 TJ International, Inc.. .......................... 12,400 500 TMP Worldwide, Inc. (a) .......................... 31,750 400 TNP Entreprise, Inc. ............................. 14,500 1,100 Toll Brothers, Inc. (a) .......................... 23,581 400 Toro Co. ......................................... 15,750 1 Total Renal Care Holdings (a) .................... 16 1,900 Tower Automotive, Inc. (a) ....................... 48,331 700 Town & Country Trust ............................. 12,512 900 Trammel Crow Co. (a) ............................. 14,794 1,800 Trans World Airlines, Inc. (a) ................... 8,888 800 Trans World Entertainment Corp. (a) .............. 9,000 200 Transaction Network Services, Inc. (a) ........... 5,850 1,300 Transaction Systems Architechure, Inc. - Class A (a) ...................................... 50,700 600 Transkaryotic Therapies, Inc. (a) ................ 19,800 1,300 TransMontaigne Oil Co. (a) ....................... 16,331 955 Tredegar Industries, Inc. ........................ 20,771 400 Tremont Corp. .................................... 8,600 400 Trendwest Resorts, Inc. (a) ...................... 8,925 200 Trenwick Group, Inc. ............................. 4,931 200 Trex Medical Co. (a) ............................. 1,200 400 Triad Guaranty, Inc. (a) ......................... 7,175 1,100 Triangle Bancorp, Inc. ........................... 18,631 1,100 Triangle Pharmaceuticals, Inc. (a) ............... 19,800 300 Triarc Cos., Inc. (a) ............................ 6,375 400 Trico Marine Services, Inc. (a) .................. 2,625 700 Trimble Navigation Ltd. (a) ...................... 9,012 1,200 TriNet Corporate Realty Trust .................... 33,225 400 Triumph Group, Inc. (a) .......................... 10,200 400 Trust Co. of New Jersey .......................... 9,400 882 Trustco Bank Corp. ............................... 23,704 1,400 Tuboscope Vetco International Corp. (a) .......... 19,163 700 Twinlab Corp. (a) ................................ 6,016 400 URS Corp. ........................................ 11,725 1,000 U.S. Bancorp, Inc. ............................... 15,750 800 U.S. Bioscience, Inc. (a) ........................ 7,800 400 U.S. Home Corp. (a) .............................. 14,200 2,534 U.S. Oncology, Inc. (a) .......................... 30,408 500 U.S. Restaurants Properties, Inc. ................ 10,625 1,600 UGI Corp. ........................................ 32,300 1,200 UICI (a) ......................................... 33,150 700 Ultratech Stepper, Inc. (a) ...................... 10,544 715 UMB Financial Corp. .............................. 30,656 1,200 UniCapital Corp. (a) ............................. 7,575 200 UniFirst Corp. ................................... 3,675 1,000 Unisource Energy Corp. (a) ....................... 11,937 2,900 Unisource Worldwide, Inc. ........................ 34,981 1,000 United Auto Group, Inc. (a) ...................... 10,250 1,400 United Bankshares, Inc. .......................... 37,100 3,300 United Dominion Realty Trust, Inc. ............... 38,775 400 United Fire & Casualty Co. ....................... 10,400 400 United Illuminating Co. .......................... 16,975 1,500 United International Holdings, Inc. - Class A (a) ...................................... 101,438
Shares Value - ------------- ---------------- 660 United National Bancorp .......................... $15,675 100 United Natural Foods, Inc. (a) ................... 2,475 400 United Payors & United Providers, Inc. (a) ......................................... 9,275 977 United Rental, Inc. (a) .......................... 28,821 1,200 United Stationers, Inc. (a) ...................... 26,400 200 United Television, Inc. .......................... 20,975 900 United Water Resources, Inc. ..................... 20,419 1,000 Unitrode Corp. (a) ............................... 28,688 1,000 Universal Corp. .................................. 28,437 1,600 Universal Foods Corp. ............................ 33,800 300 Universal Forest Products, Inc. .................. 6,450 1,100 UNOVA, Inc. (a) .................................. 17,463 300 Urban Shopping Centers, Inc. ..................... 9,450 200 US LEC Corp. - Class A (a) ....................... 4,500 100 US Xpress Enterprises, Inc. (a) .................. 1,069 900 USFreightways Corp. .............................. 41,681 1,300 UST Corp. ........................................ 39,325 2,200 USWeb Corp. (a) .................................. 48,812 1,300 Vail Resorts, Inc. (a) ........................... 22,750 2,050 Valassis Communications, Inc. (a) ................ 75,081 900 Valhi, Inc. ...................................... 10,013 600 Valmont Industries, Inc. ......................... 10,219 500 Value City Department Stores, Inc. (a) ........... 6,125 300 Value Line, Inc. ................................. 11,700 900 Vantive Corp. (a) ................................ 10,294 550 Varlen Corp. ..................................... 22,275 400 Veeco Instruments, Inc. (a) ...................... 13,600 1,800 Vencor, Inc. (a) ................................. 270 700 Ventana Medical Systems, Inc. (a) ................ 13,388 1,700 Ventas, Inc. (a) ................................. 9,137 200 Verio Inc. (a) ................................... 13,900 200 VeriSign, Inc. (a) ............................... 17,250 900 Veritas DGC, Inc. (a) ............................ 16,481 800 Vertex Pharmaceuticals, Inc. (a) ................. 19,300 400 Vesta Insurance Group, Inc. ...................... 1,850 700 Veterinary Centers of America, Inc. (a) .......... 9,494 500 VIASOFT, Inc. (a) ................................ 1,750 500 Vical, Inc. (a) .................................. 6,062 600 Vicor Corp. ...................................... 12,713 1,200 Vintage Petroleum, Inc. .......................... 12,900 440 Virco Manufacturing Corp. ........................ 7,095 2,625 Vishay International, Inc. (a) ................... 55,125 800 Visio Corp. (a) .................................. 30,450 200 Vistana, Inc. (a) ................................ 3,150 800 Visual Networks, Inc. (a) ........................ 25,600 2,000 VISX, Inc. (a) ................................... 158,375 600 Vital Signs, Inc. ................................ 11,962 1,400 Vivus, Inc. (a) .................................. 3,675 800 Vlasic Foods International (a) ................... 5,850 3,500 VoiceStream Wireless Corp. (a) ................... 99,531 600 Volt Information Sciences, Inc. (a) .............. 13,725 500 VWR Scientific Products Corp. (a) ................ 18,344 700 Wabash National Corp. ............................ 13,563 300 Wackenhut Corp. - Class A ........................ 8,925
See Notes to Financial Statements 19 - -------------------------------------------------------------------------------- BT INSURANCE FUNDS TRUST SMALL CAP INDEX FUND SCHEDULE OF INVESTMENTS JUNE 30, 1999 (UNAUDITED) - --------------------------------------------------------------------------------
Shares Value - ------------- ---------------- 300 Wackenhut Corrections Corp. (a) ............. $ 5,944 400 Walden Residential Properties, Inc. ......... 8,600 1,700 Wallace Computer Services, Inc. ............. 42,500 1,300 Walter Industries, Inc. (a) ................. 16,819 1,500 Washington Gas Light Co. .................... 39,000 1,600 Washington Real Estate Investment Trust...... 27,100 500 Waste Industires, Inc. (a) .................. 8,937 700 Watsco, Inc. - Class A ...................... 11,463 400 Watts Industries Inc. - Class A ............. 7,675 2,180 Wausau-Mosinee Paper Co. .................... 39,240 700 Wavo Corp. (a) .............................. 4,462 500 WD-40 Co. ................................... 12,500 1,800 Webster Financial Corp. ..................... 48,825 600 Weeks Corp. ................................. 18,300 800 Weingarten Realty, Inc. ..................... 33,400 1,000 Wellman, Inc. ............................... 15,937 1,300 Wellsford Real Properties, Inc. (a) ......... 13,975 900 Werner Enterprises, Inc. .................... 18,675 600 WesBanco, Inc. .............................. 18,000 400 Wesley Jessen VisionCare (a) ................ 12,950 220 West Coast Bancorp/Oregon ................... 3,850 200 West Marine, Inc. (a) ....................... 2,913 436 West Pharmaceutical Services, Inc. .......... 17,113 1,400 West TeleServices Corp. (a) ................. 13,125 1,600 Westamerica Bancorp. ........................ 58,400 1,400 Westcorp, Inc. .............................. 15,750 400 Westell Technologies (a) .................... 2,787 700 Western Bancorp ............................. 30,450 700 Western Gas Resources, Inc. ................. 11,200 500 Western Investment Real Estate .............. 5,813 2,500 Western Wireless Corp. - Class A (a) ........ 67,500 1,500 Westernbank Puerto Rico ..................... 19,594 1,000 Westfield America, Inc. ..................... 15,062 500 Westinghouse Air Brake Co. .................. 12,969 600 Westaff, Inc. ............................... 3,525 900 Westwood One, Inc. (a) ...................... 32,119 300 Wet Seal, Inc. - Class A (a) ................ 8,588 200 White Mountain Insurance Group Inc. ......... 28,200 800 Whitney Holding Corp. ....................... 31,800 1,200 Whittman-Hart, Inc. (a) ..................... 38,100 1,100 WHX Corp. (a) ............................... 7,219 1,600 WICOR, Inc. ................................. 44,700 300 Wild Oats Market, Inc. (a) .................. 9,103 1,100 Wind River Systems (a) ...................... 17,669 700 Windmere-Durable Holdings, Inc. (a) ......... 11,812 400 Winnebago Industries ........................ 9,000 1,600 WinStar Communications, Inc. (a) ............ 78,000 2,100 Wisconsin Central Transportation Corp. (a) ................................... 39,638 500 Wolverine Tube, Inc. (a) .................... 12,562
Shares Value - ------------- ---------------- 1,300 Wolverine World Wide, Inc. .................. $ 18,200 300 Woodward Governor Co. ....................... 7,800 1,200 World Access, Inc. (a) ...................... 16,950 1,200 World Color Press, Inc. (a) ................. 33,000 900 WPS Resources Corp. ......................... 27,000 600 Wyman-Gordon Co. (a) ........................ 11,588 700 Wynn's International, Inc. .................. 12,906 1,000 Xircom, Inc. (a) ............................ 30,063 600 Xomed Surgical Products, Inc. (a) ........... 29,212 200 X-Rite, Inc. ................................ 1,287 400 Xtra Corp. .................................. 18,375 500 Yankee Energy System, Inc. .................. 19,844 700 Yellow Corp. (a) ............................ 12,425 300 Young Broadcasting Corp. - Class A (a) ...... 12,769 549 XL Capital Ltd. ............................. 31,018 1,200 Zale Corp. (a) .............................. 48,000 500 Zapata Corp. ................................ 4,250 700 Zebra Technologies Corp. - Class A (a) ...... 26,906 300 Zenith National Insurance Corp. ............. 7,388 200 Zila, Inc. (a) .............................. 606 400 Zoltek Cos., Inc. (a) ....................... 3,175 ----------- TOTAL COMMON STOCKS (Cost $29,898,882) 31,943,782 ----------- PREFERRED STOCKS -- 0.03% 144 Kimco Realty Corp. .......................... 3,528 30 Mediq, Inc. ................................. 154 300 Price Enterprises, Inc. ..................... 4,481 100 Prime Retail ................................ 1,600 ----------- TOTAL PREFERRED STOCKS (Cost $10,101) 9,763 -----------
Principal Amount - ------------ SHORT TERM INSTRUMENTS -- 4.60% U.S. TREASURY BILLS (C) -- 4.60% $ 44,000 4.51%, 8/12/1999 .............. 43,769 60,000 4.48%, 8/19/1999 (b) .......... 59,634 209,000 4.29%, 8/26/1999 .............. 207,606 10,000 4.45%, 9/09/1999 .............. 9,911 285,000 4.53%, 9/16/1999 .............. 282,201 315,000 4.63%, 9/30/1999 .............. 311,296 638,000 4.67%, 10/21/1999 ............. 628,749 ------- TOTAL SHORT TERM INSTRUMENTS (Cost $1,543,207) 1,543,166 ---------
TOTAL INVESTMENTS (Cost $31,452,190)-- 99.86% 33,496,711 OTHER ASSETS IN EXCESS OF LIABILITIES -- 0.14% 48,346 ------ ---------- NET ASSETS .............................. 100.00% $33,545,057 ====== ===========
- --------------------- (a) Non-income producing security. (b) Pledged as collateral for open futures contracts. (c) Average yield at time of purchase. ADR American Depositary Receipt. See Notes to Financial Statements 20 - -------------------------------------------------------------------------------- BT INSURANCE FUNDS TRUST SMALL CAP INDEX FUND SCHEDULE OF INVESTMENTS JUNE 30, 1999 (UNAUDITED) - -------------------------------------------------------------------------------- At June 30, 1999, the Fund's open futures contracts were as follows:
NUMBER OF CONTRACTS CONTRACT EXPIRATION OPENING CURRENT UNREALIZED PURCHASED TYPE DATE POSITION MARKET VALUE APPRECIATION - ----------- ----------- ------------ ---------- -------------- ------------- 2 S & P 500 9/16/99 $674,137 $690,850 $16,713 ======== ======== =======
See Notes to Financial Statements 21 - -------------------------------------------------------------------------------- BT INSURANCE FUNDS TRUST SMALL CAP INDEX FUND STATEMENT OF ASSETS AND LIABILITIES JUNE 30, 1999 (UNAUDITED) - -------------------------------------------------------------------------------- ASSETS: Investments at value (cost $31,452,190).................................... $ 33,496,711 Cash ...................................................................... 21,125 Receivable for investment securities sold ................................. 1,116 Interest and dividends receivable ......................................... 31,195 Due from investment Advisor ............................................... 11,542 Variation margin for futures contracts .................................... 12,500 Deferred organizational costs and other assets ............................ 13,529 ------------ Total Assets ............................................................. 33,587,718 ------------ LIABILITIES: Administration fee payable ................................................ 3,876 Trustees'/Directors fee payable ........................................... 2,569 Custody fee payable ....................................................... 2,140 Other accrued expenses .................................................... 34,076 ------------ Total Liabilities ........................................................ 42,661 ------------ NET ASSETS .................................................................. $ 33,545,057 ============ COMPOSITION OF NET ASSETS: Paid-in-capital (3,091,212 outstanding shares of beneficial interest) ..... $ 32,237,942 Undistributed net investment income ....................................... 340,177 Accumulated net realized loss on investments and futures contracts ........ (1,094,596) Net unrealized appreciation of investments and futures contracts .......... 2,061,534 ------------ TOTAL NET ASSETS ............................................................ $ 33,545,057 ============ NET ASSET VALUE ............................................................. $ 10.85 ============
See Notes to Financial Statements 22 - -------------------------------------------------------------------------------- BT INSURANCE FUNDS TRUST SMALL CAP INDEX FUND STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED JUNE 30, 1999 (UNAUDITED) - -------------------------------------------------------------------------------- INVESTMENT INCOME: Interest ................................................................. $ 40,966 Dividends ................................................................ 230,470 ------------ Total Investment Income ................................................. 271,436 ------------ EXPENSES: Advisory fees ............................................................ 59,748 Administration fees ...................................................... 38,373 Custodian fees ........................................................... 29,267 Fund accounting fees ..................................................... 18,213 Professional fees ........................................................ 14,026 Printing fees ............................................................ 13,060 Trustees fees ............................................................ 8,200 Transfer agent fees ...................................................... 3,619 Registation and filing fees .............................................. 3,214 Amortization of organizational costs ..................................... 2,067 Other .................................................................... 1,564 ------------ Total expenses before waiver/reimbursement .............................. 191,351 Less waiver/reimbursement by Advisor .................................... (100,828) Less waiver by Administrator ............................................ (15,000) ------------ Total expenses net of waiver/reimbursement .............................. 75,523 ------------ NET INVESTMENT INCOME ..................................................... 195,913 ------------ NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS Net realized loss on investments ......................................... (1,389,624) Net realized gain on futures contracts ................................... 70,451 Net change in unrealized appreciation (depreciation) on investments ...... 2,966,487 Net change in unrealized appreciation (depreciation) on futures contracts 10,100 ------------ NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS ........................... 1,657,414 ------------ NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS ...................... $ 1,853,327 ============
See Notes to Financial Statements 23 - -------------------------------------------------------------------------------- BT INSURANCE FUNDS TRUST SMALL CAP INDEX FUND STATEMENTS OF CHANGES IN NET ASSETS - --------------------------------------------------------------------------------
SIX MONTHS ENDED JUNE 30, 1999 YEAR ENDED (UNAUDITED) DECEMBER 31, 1998 ----------------- ------------------ INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS: Net investment income ................................................... $ 195,913 $ 271,303 Net realized gain (loss) on investments and futures contracts ........... (1,319,173) 670,599 Net change in unrealized appreciation (depreciation) of investments and futures contracts ................................................. 2,976,587 (1,298,958) ------------- ------------ Net increase (decrease) in net assets resulting from operations ......... 1,853,327 (357,056) ------------- ------------ DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income ................................................... -- (167,192) Net realized gain on investments ........................................ -- (535,016) ------------- ------------ Total distributions ..................................................... -- (702,208) ------------- ------------ SHARE TRANSACTIONS: Net proceeds from sale of shares ........................................ 7,885,611 27,649,770 Issued to shareholders in reinvestment of distributions ................. -- 702,208 Costs of shares repurchased ............................................. (12,937,640) (3,165,975) ------------- ------------ Net increase (decrease) in net assets from share transactions ......... (5,052,029) 25,186,003 ------------- ------------ Net increase (decrease) in net assets ................................. (3,198,702) 24,126,739 ------------- ------------ NET ASSETS: Beginning of period ..................................................... 36,743,759 12,617,020 ------------- ------------ End of period ........................................................... $ 33,545,057 $ 36,743,759 ============= ============ Undistributed net investment income ..................................... $ 340,177 $ 144,264 ============= ============
See Notes to Financial Statements 24 - -------------------------------------------------------------------------------- BT INSURANCE FUNDS TRUST SMALL CAP INDEX FUND FINANCIAL HIGHLIGHTS - -------------------------------------------------------------------------------- For a share outstanding throughout each period
FOR THE FOR THE PERIOD PERIOD ENDED AUGUST 25, 1997(1) JUNE 30, 1999 YEAR ENDED THROUGH (UNAUDITED) DECEMBER 31, 1998 DECEMBER 31, 1997 --------------- ------------------- ------------------ NET ASSET VALUE, BEGINNING OF PERIOD ................................. $ 10.06 $ 10.51 $ 10.00 INCOME FROM INVESTMENT OPERATIONS: Net investment income ............................................... 0.07 0.06 0.03(2) Net realized and unrealized gain (loss) on investments and futures contracts ............................................. 0.72 (0.30) 0.48 ------- ------- ------- Net increase (decrease) in net asset value from operations .......... 0.79 (0.24) 0.51 ------- ------- ------- LESS DISTRIBUTIONS: Distributions from net investment income ............................ -- (0.05) -- Distributions from net realized gain on investments ................. -- (0.16) -- ------- ------- -------- Total distributions ............................................... -- (0.21) -- ------- ------- -------- NET ASSET VALUE, END OF PERIOD ....................................... $ 10.85 $ 10.06 $ 10.51 ======= ======= ======== TOTAL RETURN(4)....................................................... 7.85 % (2.18)% 5.10 % RATIOS / SUPPLEMENTAL DATA Net assets, end of period (in 000s) .................................. $ 33,545 $36,744 $ 12,617 Ratios to average net assets: Net investment income including reimbursement/waiver ................ 1.17%(3) 1.18% 1.08%(3) Net investment income (loss) excluding reimbursement/waiver ......... 0.48%(3) 0.05% (1.74%)(3) Operating expenses including reimbursement/waiver ................... 0.45%(3) 0.45% 0.45%(3) Operating expenses excluding reimbursement/waiver ................... 1.14%(3) 1.58% 3.27%(3) Portfolio turnover rate .............................................. 18% 30% 8%
- ---------- 1 Commencement of operations. 2 Based on average shares method. 3 Annualized 4 Total investment return is calculated assuming an initial investment made at the net asset asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period. Total return calculated for a period of less than one year is not annualized. If fees for the advisor and administrator were not waived the total return would have been lower. See Notes to Financial Statements 25 - -------------------------------------------------------------------------------- BT INSURANCE FUNDS TRUST SMALL CAP INDEX FUND NOTES TO FINANCIAL STATEMENTS JUNE 30, 1999 (UNAUDITED) - -------------------------------------------------------------------------------- NOTE 1 -- ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES A. ORGANIZATION The BT Insurance Funds Trust (the "Trust"), is currently comprised of seven series: Equity 500 Index Fund, Small Cap Index Fund, EAFE Equity Index Fund, International Equity Fund, Small Cap Fund, U.S. Bond Index Fund, and the Managed Assets Fund. The Trust is an open-end management investment company which is registered under the Investment Company Act of 1940 as amended (the "Act"). The Trust was organized as a Massachusetts business trust on January 19, 1996. The accompanying financial statements and financial highlights are those of the Small Cap Index Fund (the "Fund") which commenced operations on August 25, 1997. B. SECURITY VALUATION The portfolio's investments, which are traded on a recognized stock exchange or for which price quotations are available, are valued each business day on the basis of market valuations furnished by an independent pricing service approved by the Board of Trustees. Securities traded on national stock exchanges or other domestic exchanges are valued based on the closing price of the security traded on that exchange prior to the time when the Fund's assets are valued. Short-term obligations with remaining maturities of 60 days or less are valued at amortized cost. Other short-term debt securities are valued on a mark-to-market basis until such time as they reach a remaining maturity of 60 days, whereupon they will be valued at amortized cost using their value on the 61st day. All other securities and other assets are valued at their fair value as determined in good faith under procedures established by and under the general supervision of the Board of Trustees. C. SECURITY TRANSACTIONS AND INVESTMENT INCOME Security transactions are accounted for on a trade date basis. Dividend income is recorded on the ex-dividend date. 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. D. FUTURES CONTRACTS The Fund 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 Fund 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 Fund 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 Fund. The Fund's investments in financial futures contracts are designed to closely replicate the benchmark index used by the Fund. Risks arise from possible illiquidity of the futures market and from movements in security values. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded. E. FEDERAL INCOME TAXES The Fund intends to continue to elect to be treated as a "regulated investment company" under Sub-chapter M of the Internal Revenue Code and to distribute substantially all of its net taxable income to shareholders. Accordingly, no provision for federal income taxes has been made in the accompanying financial statements. F. EXPENSES The Trust accounts separately for the assets, liabilities and operations of each of its Series. Expenses directly attributable to a Series are charged to that Series, while the expenses which are attributable to more than one Series of the Trust are allocated based upon the relative net assets of each Series. G. ORGANIZATION COSTS Costs incurred in connection with the Fund's organization are being amortized on a straight-line basis over five years commencing on August 25, 1997. In the event that any of the initial shares are redeemed during such amortization period, the redemption proceeds will be reduced for any unamortized organization costs in the same proportion as the number of shares redeemed bears to the number of initial shares outstanding at the time of the redemption. H. DIVIDENDS FROM NET INVESTMENT INCOME AND DISTRIBUTIONS OF CAPITAL GAINS Dividends from net investment income and net realized gains from investment transactions, if any, are distributed to shareholders annually. Dividends and distributions to shareholders are recorded on the ex-dividend date. Income and capital gains distributions are determined in accordance with federal tax regulations and may differ from those determined in accordance with generally accepted accounting principles. To the extent these differences are permanent, such amounts are reclassified within the capital accounts based on their federal tax basis treatment; temporary differences do not require such reclassification. I. SHARES OF BENEFICIAL INTEREST The Fund is authorized to issue an unlimited number of shares of beneficial interest with a par value of $0.001 per share. Transactions in shares of beneficial interest were as follows:
SIX MONTHS ENDED YEAR ENDED JUNE 30, 1999 DECEMBER 31, 1998 ------------------ ------------------ SHARES SHARES ------------------ ------------------ Shares sold 774,231 2,705,632 Reinvestment of dividends 0 73,376 Shares redeemed (1,336,392) (325,834) ---------- --------- Net increase (decrease) (562,161) 2,453,174 ========== =========
J. OTHER The preparation of financial statements in conformity with generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts in the financial statements. Actual results could differ from those estimates. NOTE 2 -- FEES AND TRANSACTIONS WITH AFFILIATES Under the Advisory Agreement with Bankers Trust Company (the "Advisor"), the Fund will pay an advisory fee at an annual percentage rate of 0.35% of the average daily net assets of the Fund. These fees are accrued daily and paid monthly. The Advisor has voluntarily undertaken to waive its fee and to reimburse the Fund for certain expenses so that the Fund's total operating expenses will not exceed 0.45% of average daily net assets. For the six months ended June 30, 1999, the gross Advisory fee, waiver and reimbursed expenses were as follows:
GROSS ADVISORY ADVISORY FEES EXPENSES FEES WAIVED REIMBURSED - --------------- --------------- ----------- $ 59,748 $59,748 $41,080
26 - -------------------------------------------------------------------------------- BT INSURANCE FUNDS TRUST SMALL CAP INDEX FUND NOTES TO FINANCIAL STATEMENTS JUNE 30, 1999 (UNAUDITED) - -------------------------------------------------------------------------------- First Data Investor Services Group, Inc. ("Investor Services Group") serves as Administrator and Transfer Agent of the Trust. For services rendered as the Trust's Administrator, Investor Services Group receives the following fees, accrued daily, and paid monthly.
ADMINISTRATION FEES - ------------------------------------------------------------- FEE % OF THE TRUST'S DAILY NET ASSETS AVERAGE DAILY NET ASSETS - --------------------- ------------------------------------- 0.02 % up to $2 billion 0.01 % over $2 billion and up to $5 billion 0.0075% over $5 billion
Investor Services Group also receives a $70,000 flat fee per year, per Series of the Trust, paid monthly. Investor Services Group waived $15,000 of its fees for the six months ended June 30, 1999. The Trust does not compensate its officers or affiliated trustees. Each independent trustee is paid $1,250 per Board of Trustees meeting attended and a quarterly retainer of $2,500. NOTE 3 -- PURCHASES AND SALES OF INVESTMENT SECURITIES The aggregate cost of purchases and proceeds from the sale of investments, other than short-term obligations, for the six months ended June 30, 1999, were $6,122,705 and $11,570,145, respectively. The aggregate gross unrealized appreciation and depreciation for all securities as computed on a federal income tax basis, at June 30, 1999 is as follows:
APPRECIATION DEPRECIATION NET COST - -------------- ---------------- ------------- -------------- $5,557,559 $(3,513,038) $2,044,521 $31,452,190
NOTE 4 -- OTHER INFORMATION On November 30, 1998, BT Corporation, Deutsche Bank, A.G. ("Deutsche Bank") and Circle Acquisition Corporation entered into an Agreement and Plan of Merger (the "Merger Agreement"). Pursuant to the terms of the Merger Agreement, Circle Acquisition Corporation, a wholly-owned New York subsidiary of Deutsche Bank, merged with and into BT Corporation on June 4, 1999, with BT Corporation continuing as the surviving entity (the "Merger"). Under the terms of the Merger, each outstanding share of BT Corporation common stock was converted into the right to receive $93 in cash, without interest. Since the Merger, BT Corporation, along with its affiliates, has continued to offer the range of financial products and services, including investment advisory services, that it offered prior to the Merger. As a result of the Merger, BT Corporation became a wholly-owned subsidiary of Deutsche Bank. Deutsche Bank is a banking company with limited liability organized under the laws of the Federal Republic of Germany. Deutsche Bank is the parent company of a group consisting of banks, capital markets companies, funds management companies, mortgage banks and a property finance company, installment financing and leasing companies, insurance companies, research and consultancy companies and other domestic and foreign companies. At March 31, 1999, the Deutsche Bank Group had total assets of US $727 billion. The Deutsche Bank Group's capital and reserves at March 31, 1999 were US $19.6 billion. 27 BT INSURANCE FUNDS TRUST SMALL CAP INDEX FUND INVESTMENT ADVISOR BANKERS TRUST COMPANY 130 Liberty Street New York, NY 10006 ADMINISTRATOR AND TRANSFER AGENT FIRST DATA INVESTOR SERVICES GROUP, INC. 3200 Horizon Drive King of Prussia, PA 19406 DISTRIBUTOR FIRST DATA DISTRIBUTORS, INC. 4400 Computer Drive Westborough, MA 01581 CUSTODIAN BANKERS TRUST COMPANY 130 Liberty Street New York, NY 10006 INDEPENDENT AUDITORS ERNST & YOUNG LLP 2001 Market Street Philadelphia, PA 19103 COUNSEL WILLKIE FARR & GALLAGHER 787 Seventh Avenue New York, NY 10019 ------------------- For information on how to invest, shareholder account information and current price and yield information, please contact your insurance company representative. This report must be preceded or accompanied by a current prospectus for the Fund. ------------------- Small Cap Index Fund Cusip #05576E409 INSSMCAP200 (6/99) -----END PRIVACY-ENHANCED MESSAGE-----