-----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, AJRkaSAiUplvnXih4eIfTIu+Wvqxt8NkzpMOvX4rDKn53WdfZ92nXt0x7ob3s9w1 mWMbWAITCrIP7VW5f8stZQ== 0000950168-99-002332.txt : 19990823 0000950168-99-002332.hdr.sgml : 19990823 ACCESSION NUMBER: 0000950168-99-002332 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: 99696887 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 N-30D o BT INSURANCE FUNDS TRUST o - -------------------------------------------------------------------------------- EQUITY 500 INDEX FUND - -------------------------------------------------------------------------------- SEMI-ANNUAL REPORT - -------------------------------------------------------------------------------- JUNE o 1999 - -------------------------------------------------------------------------------- BT INSURANCE FUNDS TRUST EQUITY 500 INDEX FUND Table of Contents - -------------------------------------------------------------------------------- LETTER TO SHAREHOLDERS ........................ 3 EQUITY 500 INDEX FUND Schedule of Investments ..................... 5 Statement of Assets and Liabilities ......... 10 Statement of Operations ..................... 11 Statements of Changes in Net Assets ......... 12 Financial Highlights ........................ 13 Notes to Financial Statements ............... 14
------------------ 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 EQUITY 500 INDEX FUND Letter to Shareholders - -------------------------------------------------------------------------------- MARKET ACTIVITY AS THE GLOBAL ECONOMY STARTED TO IMPROVE, THE DOMESTIC STOCK MARKET 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. LARGE CAP GROWTH STOCKS OUTPERFORMED LARGE CAP VALUE STOCKS DURING THE FIRST QUARTER OF 1999. Sell-offs in large cap technology stocks raised concerns early in the quarter, but expectations of stronger earnings and profits lead to the sector's continued strength, as it was the top performer through March. DURING THE SECOND QUARTER, LARGE CAP VALUE STOCKS OUTPERFORMED THEIR GROWTH BRETHREN FOR THE FIRST TIME IN NEARLY 1 1/2 YEARS. Stronger performance in value stocks can be attributed, in part, to stronger performance in energy-related stocks, rebounding with higher oil prices. Additionally, positive corporate earnings surprises and a rotation into cyclicals led to stronger returns in sectors that have long been out of favor. While technology stocks pushed large cap growth stocks back on top for the month of June, the value sectors' strength for the second quarter was enough to give them the lead for the semi-annual period as a whole. As investor sentiment shifted, small and mid capitalization stocks also got a boost in the second quarter, outperforming large cap stocks for the first time in seven quarters. TECHNOLOGY WAS STILL THE SEMI-ANNUAL PERIOD'S TOP PERFORMING SECTOR, JOINED BY MORE VALUE-ORIENTED SECTORS, INCLUDING BASIC MATERIALS AND ENERGY. The weakest performing sectors included utilities, health care, and consumer staples. There were 19 changes to the S&P 500 Index during the first six months of 1999. Comparatively, this represents fewer additions and deletions than a year ago, primarily due to less merger and acquisition activity during this semi-annual period. INVESTMENT REVIEW
- -------------------------------------------------------------------------------------- AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS PERIODS ENDED Past 6 Past Since Past Since JUNE 30, 1999 months 1 year inception 1 year inception - -------------------------------------------------------------------------------------- BT Equity 500 Index Fund* (inception 10/1/97) 11.94% 22.04% 46.82% 22.04% 24.61% - -------------------------------------------------------------------------------------- S&P 500 Index** 12.39% 22.77% 47.25% 22.77% 24.75% - --------------------------------------------------------------------------------------
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. Of course, it is important to note that as an index fund, designed to replicate the broad diversification and returns of the S&P 500 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 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 S&P 500 is an index of common stocks in industry, transportation, and financial and public utility companies. This index is unmanaged, and investments cannot be made in an index. 3 - -------------------------------------------------------------------------------- BT INSURANCE FUNDS TRUST EQUITY 500 INDEX FUND Letter to Shareholders (concluded) - -------------------------------------------------------------------------------- Diversification of Portfolio Investments By Sector as of June 30, 1999 (Unaudited) (A pie chart appears here with the following plot points.) Transportation 0.94% Chemicals 2.39% Energy 5.66% Capital Goods 6.34% Consumer Durables 6.72% Retail Trade 6.66% Business Equipment & Services 8.38% Utilities 11.25% Forest Products 0.92% Metals 0.59% Consumer Non-Durables 22.21% Finance & Building 17.34% Health Care 10.60% - -------------------------------------------------------------------------------- Performance Comparison - -------------------------------------------------------------------------------- (A line graph appears here with the following plot points.)
10/97 12/97 6/98 12/98 6/99 Equity 500 Index Fund - $14,682 10,000 10,190 12,030 13,116 14,682 S&P 500 Index - $14,725 10,000 10,189 11,993 13,102 14,725
Past performance is not indicative of future performance. The S&P 500 Index is unmanaged and investments may not be made in an Index. Comparison of Change in Value of a $10,000 Investment in the Equity 500 Index Fund and the S&P 500 Index from October 1, 1997, through June 30, 1999. - -------------------------------------------------------------------------------- Average Annual Total Returns for the Periods Ended June 30, 1999 Six months Since 10/1/97* 11.94% 24.61% *The Fund's inception date. Investment return and principal value may fluctuate so that shares, when redeemed, may be worth more or less than their original cost. - -------------------------------------------------------------------------------- 4 - -------------------------------------------------------------------------------- BT INSURANCE FUNDS TRUST EQUITY 500 INDEX FUND Schedule of Investments JUNE 30, 1999 (UNAUDITED) - --------------------------------------------------------------------------------
Shares Description Value - ------------- ------------------------------------------------ ------------------ COMMON STOCKS -- 94.94% 4,300 3Com Corp. (a) ................................. $ 114,756 16,800 Abbott Laboratories ............................ 764,400 2 Abercrombie & Fitch Co. - Class A (a) .......... 96 600 Adobe Systems, Inc. ............................ 49,294 300 Adolph Coors Co. - Class B ..................... 14,850 1,400 Advanced Micro Devices, Inc. (a) ............... 25,288 2,300 AES Corp. (a) .................................. 133,688 1,700 Aetna, Inc. .................................... 152,044 2,700 Aflac, Inc. .................................... 129,263 2,800 Air Products & Chemicals, Inc. ................. 112,700 1,200 Alberto-Culver Co. ............................. 31,950 5,142 Albertsons, Inc. ............................... 265,134 2,600 Alcan Aluminum Ltd. ADR ........................ 83,038 1,600 Allegheny Teledyne, Inc. ....................... 36,200 800 Allergan, Inc. ................................. 88,800 6,100 AlliedSignal, Inc. ............................. 384,300 9,600 Allstate Corp. ................................. 344,400 3,200 ALLTEL Corp. ................................... 228,800 3,900 Alcoa, Inc. .................................... 241,313 1,300 ALZA Corp. (a) ................................. 66,138 1,200 Amerada Hess Corp. ............................. 71,400 1,200 Ameran Corp. ................................... 46,050 12,100 America Online, Inc. (a) ....................... 1,337,050 1,800 American Electric Power Co. .................... 67,613 5,000 American Express Co. ........................... 650,625 2,700 American General Corp. ......................... 203,513 900 American Greetings Corp. - Class A ............. 27,113 14,500 American Home Products Corp. ................... 833,750 13,619 American International Group, Inc. ............. 1,594,274 12,100 Ameritech Corp. ................................ 889,350 5,900 Amgen, Inc. (a) ................................ 359,163 1,800 AMR Corp. (a) .................................. 122,850 1,500 AmSouth Bancorp ................................ 34,781 1,100 Anadarko Petroleum Co. ......................... 40,494 800 Andrew Corp. (a) ............................... 15,150 5,500 Anheuser-Busch Cos., Inc. ...................... 390,156 2,600 Aon Corp. ...................................... 107,250 1,400 Apache Corp. ................................... 54,600 1,500 Apple Computer, Inc. (a) ....................... 69,469 4,200 Applied Materials, Inc. (a) .................... 310,275 5,595 Archer-Daniels-Midland Co. ..................... 86,373 400 Armstrong World Industries, Inc. ............... 23,125 300 ASARCO, Inc. ................................... 5,644 700 Ashland, Inc. .................................. 28,088 8,394 Associates First Cap Corp. ..................... 371,959 35,039 AT&T Corp. ..................................... 1,955,614 3,800 Atlantic Richfield Co. ......................... 317,538 500 Autodesk, Inc. ................................. 14,781 7,200 Automatic Data Processing, Inc. ................ 316,800 1,300 AutoZone, Inc. (a) ............................. 39,163 1,300 Avery Dennison Corp. ........................... 78,488 3,100 Avon Products, Inc. ............................ 172,050 3,940 Baker Hughes, Inc. ............................. 131,990
Shares Description Value - ------------- ------------------------------------------------ ------------------ 200 Ball Corp. ..................................... $ 8,450 12,900 Banc One Corp. ................................. 768,356 8,100 Bank of New York Co., Inc. ..................... 297,169 19,171 Bank of America Corp. .......................... 1,405,474 3,600 BankBoston Corp. ............................... 184,050 500 Bard (C. R.), Inc. ............................. 23,906 5,000 Barrick Gold Corp. ............................. 96,875 800 Bausch & Lomb .................................. 61,200 3,000 Baxter International, Inc. ..................... 181,875 3,000 BB&T Corp. ..................................... 110,063 1,340 Bear Stearns Cos., Inc. ........................ 62,645 2,800 Becton, Dickinson & Co. ........................ 84,000 17,700 Bell Atlantic Corp. ............................ 1,157,138 21,600 BellSouth Corp. ................................ 1,012,500 500 Bemis Co., Inc. ................................ 19,875 1,900 Best Buy Co., Inc. ............................. 128,250 3,500 Bestfoods ...................................... 173,250 1,100 Bethlehem Steel Corp. (a) ...................... 8,456 1,500 Biomet, Inc. ................................... 59,625 1,000 Black & Decker Corp. ........................... 63,125 900 Block (H&R), Inc. .............................. 45,000 2,700 BMC Software, Inc. ............................. 145,800 10,200 Boeing Co. ..................................... 450,713 500 Boise Cascade Corp. ............................ 21,437 4,600 Boston Scientific Corp. (a) .................... 202,113 1 BP Amoco Plc. .................................. 109 22,000 Bristol-Myers Squibb Co. ....................... 1,549,625 700 Brown-Forman Corp. ............................. 45,631 1,800 Browning Ferris Industries, Inc. ............... 77,400 1,000 Brunswick Corp. ................................ 27,875 5,500 Burlington Northern Santa Fe Corp. ............. 170,500 1,900 Burlington Resources, Inc. ..................... 82,175 2,300 Cabletron Systems, Inc. (a) .................... 29,900 5,300 Campbell Soup Co. .............................. 245,788 2,200 Capital One Financial Corp. .................... 122,513 3,300 Cardinal Health, Inc. .......................... 211,613 6,900 Carnival Corp. ................................. 334,650 1,400 Carolina Power & Light Co. ..................... 59,938 900 Case Corp. ..................................... 43,313 4,200 Caterpillar, Inc. .............................. 252,000 7,700 CBS Corp. (a) .................................. 334,469 9,080 Cendant Corp. (a) .............................. 186,140 500 Centex Corp. ................................... 18,781 1,800 Central & South West Corp. ..................... 42,075 1,850 CenturyTel, Inc. ............................... 73,538 1,400 Ceridian Corp. (a) ............................. 45,763 1,300 Champion International Corp. ................... 62,238 9,300 Chase Manhattan Corp. .......................... 805,613 7,500 Chevron Corp. .................................. 713,906 2,000 Chubb Corp. .................................... 139,000 2,200 CIGNA Corp. .................................... 195,800 1,600 Cincinnati Financial Corp. ..................... 60,100 1,900 CINergy Corp. .................................. 60,800 1,100 Circuit City Stores, Inc. ...................... 102,300 35,200 Cisco Systems, Inc. (a) ........................ 2,270,400
See Notes to Financial Statements 5 - -------------------------------------------------------------------------------- BT INSURANCE FUNDS TRUST EQUITY 500 INDEX FUND Schedule of Investments JUNE 30, 1999 (UNAUDITED) - --------------------------------------------------------------------------------
Shares Description Value - ------------- ----------------------------------------------- ------------------ 37,578 Citigroup, Inc. ............................... $1,784,955 3,800 Clear Channel Communications, Inc. (a) ........ 261,963 1,400 Clorox Co. .................................... 149,538 1,000 CMS Energy Corp. .............................. 41,875 2,200 Coastal Corp. ................................. 88,000 27,600 Coca-Cola Co. ................................. 1,725,000 4,400 Coca-Cola Enterprises, Inc. ................... 130,900 3,300 Colgate-Palmolive Co. ......................... 325,875 1,150 Columbia Energy Group ......................... 72,091 6,800 Columbia/HCA Healthcare Corp. ................. 155,125 8,600 Comcast Corp. - Class A ....................... 330,563 1,400 Comerica, Inc. ................................ 83,213 19,283 Compaq Computer Corp. ......................... 456,766 6,250 Computer Associates International, Inc. ....... 343,750 1,900 Computer Sciences Corp. ....................... 131,456 4,200 Compuware Corp. (a) ........................... 133,613 5,900 ConAgra, Inc. ................................. 157,088 3,467 Conseco, Inc. ................................. 105,515 Consolidated Edison Co. of New York, 2,300 Inc. .......................................... 104,075 1,000 Consolidated Natural Gas Co. .................. 60,750 900 Consolidated Stores Corp. (a) ................. 24,300 1,200 Constellation Energy Group .................... 35,550 1,000 Cooper Industries, Inc. ....................... 52,000 400 Cooper Tire & Rubber Co. ...................... 9,450 2,900 Corning, Inc. ................................. 203,363 2,600 Costco Cos., Inc. (a) ......................... 208,163 1,500 Countrywide Credit Industries ................. 64,125 400 Crane Co. ..................................... 12,575 1,500 Crown Cork & Seal Co., Inc. ................... 42,750 2,200 CSX Corp. ..................................... 99,688 300 Cummins Engine, Inc. .......................... 17,138 4,600 CVS Corp. ..................................... 233,450 800 Cyprus Amax Minerals Co. ...................... 12,150 2,086 Dana Corp. .................................... 96,080 1,700 Danaher Corp. ................................. 98,813 1,400 Darden Restaurants, Inc. ...................... 30,538 500 Data General Corp. (a) ........................ 7,281 4,700 Dayton Hudson Corp. ........................... 305,500 2,900 Deere & Co. ................................... 114,913 28,800 Dell Computer Corp. (a) ....................... 1,065,600 6,873 Delphi Automotive Systems Corp. ............... 127,580 1,600 Delta Air Lines, Inc. ......................... 92,200 700 Deluxe Corp. .................................. 27,256 900 Dillard Department Stores, Inc. - Class A...... 31,613 23,300 Disney (Walt) Co. ............................. 717,931 2,218 Dollar General Corp. .......................... 64,322 2,700 Dominion Resources, Inc. ...................... 116,944 1,400 Donnelley (R.R.) & Sons Co. ................... 51,888 2,200 Dover Corp. ................................... 77,000 2,600 Dow Chemical Co. .............................. 329,875 900 Dow Jones & Co., Inc. ......................... 47,756 1,700 DTE Energy Co. ................................ 68,000 12,500 Du Pont (E.I.) de Nemours & Co. ............... 853,906 4,200 Duke Energy Corp. ............................. 228,375
Shares Description Value - ------------- ----------------------------------------------- ------------------ 1,600 Dun & Bradstreet Corp. ........................ $ 56,700 200 Eastern Enterprises ........................... 7,950 700 Eastman Chemical Co. .......................... 36,225 3,500 Eastman Kodak Co. ............................. 237,125 1,000 Eaton Corp. ................................... 92,000 1,200 Ecolab, Inc. .................................. 52,350 4,500 Edison International .......................... 120,375 300 EG&G, Inc. .................................... 10,688 5,700 Electronic Data Systems Corp. ................. 322,406 11,100 EMC Corp. (a) ................................. 610,500 5,100 Emerson Electric Co. .......................... 320,663 1,200 Engelhard Corp. ............................... 27,150 3,900 Enron Corp. ................................... 318,825 3,500 Entergy Corp. ................................. 109,375 1,400 Equifax, Inc. ................................. 49,963 27,000 Exxon Corp. ................................... 2,082,375 11,400 Fannie Mae .................................... 779,475 3,560 FDX Corp. (a) ................................. 193,130 2,500 Federated Department Stores, Inc. (a) ......... 132,344 7,800 Freddie Mac ................................... 452,400 3,200 Fifth Third Bancorp ........................... 213,000 4,600 First Data Corp. .............................. 225,113 11,548 First Union Corp. ............................. 542,756 8,000 Firstar Corp. ................................. 224,000 2,200 FirstEnergy Corp. ............................. 68,200 6,800 Fleet Financial Group, Inc. ................... 301,750 200 Fleetwood Enterprises, Inc. ................... 5,288 1,100 Florida Progress Corp. ........................ 45,444 1,100 Fluor Corp. ................................... 44,550 300 FMC Corp. ..................................... 20,494 13,300 Ford Motor Co. ................................ 750,619 2,200 Fort James Corp. .............................. 83,325 2,200 Fortune Brands, Inc. .......................... 91,025 200 Foster Wheeler Corp. .......................... 2,825 2,000 FPL Group, Inc. ............................... 109,250 3,100 Franklin Resources, Inc. ...................... 125,938 Freeport-McMoRan Copper & Gold, Inc. - 1,600 Class B ....................................... 28,700 2,100 Frontier Corp. ................................ 123,900 800 Fruit of the Loom Inc. - Class A (a) .......... 7,800 3,100 Gannet Co., Inc. .............................. 221,263 9,825 Gap, Inc. ..................................... 494,937 1,700 Gateway 2000 (a) .............................. 100,300 1,300 General Dynamics Corp. ........................ 89,050 36,500 General Electric Co. .......................... 4,124,500 1,700 General Instrument Corp. (a) .................. 72,250 1,600 General Mills, Inc. ........................... 128,600 7,200 General Motors Corp. .......................... 475,200 2,200 Genuine Parts Co. ............................. 77,000 2,200 Georgia-Pacific (Georgia Pacific Group) ....... 104,225 12,100 Gillette Co. .................................. 496,100 600 Golden West Financial Group ................... 58,800 1,100 Goodrich (B.F.) Co. ........................... 46,750 1,900 Goodyear Tire & Rubber Co. .................... 111,744 1,800 GPU, Inc. ..................................... 75,938
See Notes to Financial Statements 6 - -------------------------------------------------------------------------------- BT INSURANCE FUNDS TRUST EQUITY 500 INDEX FUND Schedule of Investments JUNE 30, 1999 (UNAUDITED) - --------------------------------------------------------------------------------
Shares Description Value - ------------- --------------------------------------------------- ------------------ 500 Grace (W.R.) & Co. (a) ............................ $ 9,187 1,100 Grainger (W.W.) Inc. .............................. 59,194 300 Great Atlantic & Pacific Tea Co., Inc. ............ 10,144 500 Great Lakes Chemical Corp. ........................ 23,031 11,000 GTE Corp. ......................................... 833,250 3,600 Guidant Corp. ..................................... 185,175 4,800 Halliburton Co. ................................... 217,200 600 Harcourt General, Inc. ............................ 30,938 1,300 Harrah's Entertainment, Inc. (a) .................. 28,600 800 Harris Corp. ...................................... 31,350 2,700 Hartford Financial Services Group, Inc. ........... 157,444 2,100 Hasbro, Inc. ...................................... 58,669 1,100 HCR Manor Care, Inc. (a) .......................... 26,606 5,200 HEALTHSOUTH Corp. (a) ............................. 77,675 4,200 Heinz (H. J.) Co. ................................. 210,525 400 Helmerich & Payne, Inc. ........................... 9,525 900 Hercules, Inc. .................................... 35,381 1,600 Hershey Foods Corp. ............................... 95,000 11,500 Hewlett-Packard Co. ............................... 1,155,750 2,700 Hilton Hotels Corp. ............................... 38,306 16,300 Home Depot, Inc. .................................. 1,050,331 2,400 Homestake Mining Co. .............................. 19,650 1,500 Honeywell, Inc. ................................... 173,812 5,607 Household International, Inc. ..................... 265,616 1,700 Humana, Inc. (a) .................................. 21,994 1,940 Huntington Bancshares, Inc. ....................... 67,900 1,500 Ikon Office Solutions, Inc. ....................... 22,500 2,800 Illinois Tool Works, Inc. ......................... 229,600 3,900 IMS Health, Inc. .................................. 121,875 1,800 Inco Ltd. ADR ..................................... 32,400 2,000 Ingersoll-Rand Co. ................................ 129,250 37,200 Intel Corp. ....................................... 2,213,400 20,600 International Business Machines Corp. ............. 2,662,550 900 International Flavors & Fragrances, Inc. .......... 39,937 4,591 International Paper Co. ........................... 231,845 1,400 Interpublic Group of Cos., Inc. ................... 121,275 600 ITT Industries, Inc. .............................. 22,875 1,100 Jefferson-Pilot Corp. ............................. 72,806 14,900 Johnson & Johnson Co. ............................. 1,460,200 800 Johnson Controls, Inc. ............................ 55,450 300 Jostens, Inc. ..................................... 6,319 1,300 Kansas City Southern Industries, Inc. ............. 82,956 400 Kaufman and Broad Home Corp. ...................... 9,950 4,200 Kellogg Co. ....................................... 138,600 736 Kerr-McGee Corp. .................................. 36,938 5,500 KeyCorp ........................................... 176,687 6,300 Kimberly-Clark Corp. .............................. 359,100 1,100 King World Productions, Inc. (a) .................. 38,294 1,100 KLA-Tencor Corp. (a) .............................. 71,363 6,100 Kmart Corp. (a) ................................... 100,269 1,100 Knight-Ridder, Inc. ............................... 60,431 1,700 Kohl's Corp. (a) .................................. 131,219 8,600 Kroger Co. (a) .................................... 240,262 2,600 Laidlaw, Inc. ADR ................................. 19,175 1,300 Lehman Brothers Holdings, Inc. .................... 80,925
Shares Description Value - ------------- --------------------------------------------------- ------------------ 12,200 Lilly (Eli) & Co. ................................. $ 873,825 2,188 Limited, Inc. ..................................... 99,280 2,400 Lincoln National Corp. ............................ 125,550 600 Liz Claiborne, Inc. ............................... 21,900 4,700 Lockheed Martin Corp. ............................. 175,075 1,300 Loews Corp. ....................................... 102,862 200 Longs Drug Stores Corp. ........................... 6,913 1,600 Louisiana-Pacific Corp. ........................... 38,000 4,000 Lowe's Cos., Inc. ................................. 226,750 1,500 LSI Logic Corp. (a) ............................... 69,188 33,360 Lucent Technologies, Inc. ......................... 2,249,715 700 Mallinckrodt, Inc. ................................ 25,462 2,600 Marriot International, Inc. - Class A ............. 97,175 3,050 Marsh & McLennan Cos., Inc. ....................... 230,275 4,100 Masco Corp. ....................................... 118,387 4,600 Mattel, Inc. ...................................... 121,612 4,250 May Department Stores Co. ......................... 173,719 1,000 Maytag Corp. ...................................... 69,687 1,300 MBIA, Inc. ........................................ 84,175 9,125 MBNA Corp. ........................................ 279,453 600 McDermott International, Inc. ..................... 16,950 15,300 McDonald's Corp. .................................. 632,081 2,500 McGraw-Hill Cos., Inc. ............................ 134,844 20,412 MCI Worldcom, Inc. (a) ............................ 1,756,708 3,025 McKesson HBOC, Inc. ............................... 97,178 1,000 Mead Corp. ........................................ 41,750 7,000 MediaOne Group, Inc. (a) .......................... 520,625 6,700 Medtronic, Inc. ................................... 521,762 5,600 Mellon Bank Corp. ................................. 203,700 2,000 Mercantile Bancorp, Inc. .......................... 114,250 26,500 Merck & Co., Inc. ................................. 1,961,000 500 Meredith Corp. .................................... 17,312 3,800 Merrill Lynch & Co., Inc. ......................... 303,762 1,000 MGIC Investment ................................... 48,625 2,600 Micron Technology, Inc. (a) ....................... 104,812 56,400 Microsoft Corp. (a) ............................... 5,086,575 300 Millipore Corp. ................................... 12,169 4,700 Minnesota Mining & Manufacturing Co. .............. 408,606 2,100 Mirage Resorts, Inc. (a) .......................... 35,175 8,600 Mobil Corp. ....................................... 851,400 7,300 Monsanto Co. ...................................... 287,894 2,000 Morgan (J.P.) & Co., Inc. ......................... 281,000 6,400 Morgan Stanley, Dean Witter, Discover & Co. .................................... 656,000 6,600 Motorola, Inc. .................................... 625,350 4,000 Nabisco Group Holdings Corp. ...................... 78,250 500 Nalco Chemical Co. ................................ 25,938 3,900 National City Corp. ............................... 255,450 2,200 National Semiconductor Corp. (a) .................. 55,688 700 Navistar International Corp. (a) .................. 35,000 800 Network Appliance, Inc. ........................... 44,700 1,700 New Century Energies, Inc. ........................ 65,981 2,200 New York Times Co. - Class A ...................... 80,987 3,424 Newell Rubbermaid, Inc. ........................... 159,216 1,900 Newmont Mining Corp. .............................. 37,762
See Notes to Financial Statements 7 - -------------------------------------------------------------------------------- BT INSURANCE FUNDS TRUST EQUITY 500 INDEX FUND Schedule of Investments JUNE 30, 1999 (UNAUDITED) - --------------------------------------------------------------------------------
Shares Description Value - ------------- ---------------------------------------------- ------------------ 3,400 Nextel Communication, Inc. - Class A (a)...... $ 170,637 1,300 Niagara Mohawk Power Corp. (a) ............... 20,881 400 Nicor, Inc. .................................. 15,225 3,400 Nike, Inc. - Class B ......................... 215,262 1,700 Nordstrom, Inc. .............................. 56,950 4,600 Norfolk Southern Corp. ....................... 138,575 7,520 Nortel Networks Corp. ........................ 652,830 1,200 Northern States Power Co. .................... 29,025 1,400 Northern Trust Corp .......................... 135,800 900 Northrop Grumman Corp. ....................... 59,681 4,100 Novell, Inc. (a) ............................. 108,650 1,100 Nucor Corp. .................................. 52,181 4,100 Occidental Petroleum Corp. ................... 86,612 4,200 Office Depot, Inc. ........................... 92,662 1,900 Omnicom Group, Inc. .......................... 152,000 200 ONEOK, Inc. .................................. 6,350 16,400 Oracle Corp. (a) ............................. 608,850 500 Owens Corning ................................ 17,187 1,400 Owens-Illinois, Inc. (a) ..................... 45,762 1,100 PACCAR, Inc. ................................. 58,712 3,200 PacifiCorp ................................... 58,800 1,700 Paine Webber Group, Inc. ..................... 79,475 1,000 Pall Corp. ................................... 22,187 3,000 Parametric Technology Corp. (a) .............. 41,625 1,400 Parker-Hannifin Corp. ........................ 64,050 3,100 Paychex, Inc. ................................ 98,812 2,400 PECO Energy Co. .............................. 100,500 600 PE Corp-PE Biosystems Group .................. 68,850 3,100 Penney (J.C.) Co., Inc. ...................... 150,544 300 Peoples Energy Corp. ......................... 11,306 3,000 PeopleSoft, Inc. (a) ......................... 51,750 100 Pep Boys-Manny, Moe & Jack ................... 2,162 16,900 PepsiCo, Inc. ................................ 653,819 14,400 Pfizer, Inc. ................................. 1,580,400 4,400 PG&E Corp. ................................... 143,000 5,900 Pharmacia & Upjohn, Inc. ..................... 335,194 800 Phelps Dodge Corp. ........................... 49,550 27,300 Philip Morris Cos., Inc. ..................... 1,097,119 2,600 Phillips Petroleum Co. ....................... 130,812 2,540 Pioneer Hi-Bred International, Inc. .......... 98,901 3,300 Pitney Bowes, Inc. ........................... 212,025 3,200 Placer Dome, Inc. ADR ........................ 37,800 3,300 PNC Bank Corp. ............................... 190,162 700 Polaroid Corp. ............................... 19,337 200 Potlatch Corp. ............................... 8,787 1,260 PP&L Resources, Inc. ......................... 38,745 2,200 PPG Industries, Inc. ......................... 129,937 1,900 Praxair, Inc. ................................ 92,981 14,700 Procter & Gamble Co. ......................... 1,311,975 700 Progressive Corp. ............................ 101,500 1,300 Provident Cos., Inc. ......................... 52,000 1,750 Providian Financial Corp. .................... 163,625 2,600 Public Service Enterprise Group, Inc. ........ 106,275 900 Pulte Corp. .................................. 20,756 1,600 Quaker Oats Co. .............................. 106,200
Shares Description Value - ------------- ---------------------------------------------- ------------------ 4,100 Ralston-Purina Group ......................... $ 124,794 1,200 Raychem Corp. ................................ 44,400 3,800 Raytheon Co. - Class B ....................... 267,425 500 Reebok International, Ltd. (a) ............... 9,312 2,800 Regions Financial Corp. ...................... 107,625 2,700 Reliant Energy, Inc. ......................... 74,587 1,400 Republic New York Corp. ...................... 95,462 1,000 Reynolds Metals Co. .......................... 59,000 3,100 Rite Aid Corp. ............................... 76,337 2,300 Rockwell International Corp. ................. 139,725 2,642 Rohm & Haas Co. .............................. 113,299 700 Rowan Cos., Inc. (a) ......................... 12,906 24,100 Royal Dutch Petroleum Co. ADR ................ 1,452,025 300 Russell Corp. ................................ 5,850 600 Ryder System, Inc. ........................... 15,600 1,800 SAFECO Corp. ................................. 79,425 5,700 Safeway, Inc. (a) ............................ 282,150 10,800 Sara Lee Corp. ............................... 245,025 21,600 SBC Communications, Inc. ..................... 1,252,800 16,800 Schering-Plough Corp. ........................ 890,400 6,300 Schlumberger, Ltd. ........................... 401,231 4,400 Schwab (Charles) Corp. ....................... 483,450 700 Scientific Atlanta, Inc. ..................... 25,200 2,600 Seagate Technology, Inc. (a) ................. 66,625 4,200 Seagram Co., Ltd. ADR ........................ 211,575 1,053 Sealed Air Corp. (a) ......................... 68,313 4,300 Sears, Roebuck & Co. ......................... 191,619 3,200 Sempra Energy ................................ 72,400 3,500 Service Corp. International .................. 67,375 200 Shared Medical Systems Corp. ................. 13,050 1,700 Sherwin-Williams Co. ......................... 47,175 1,400 Sigma-Aldrich Corp. .......................... 48,212 1,900 Silicon Graphics, Inc. (a) ................... 31,112 1,900 SLM Holding Corp. ............................ 87,044 500 Snap-on, Inc. ................................ 18,094 3,000 Solectron Corp. (a) .......................... 200,062 1,400 Sonat, Inc. .................................. 46,375 8,200 Southern Co. ................................. 217,300 2,100 SouthTrust Corp. ............................. 80,587 4,100 Southwest Airlines Co. ....................... 127,612 100 Springs Industries, Inc. ..................... 4,362 9,800 Sprint Corp. ................................. 517,562 5,100 Sprint PCS (a) ............................... 291,337 886 St. Jude Medical, Inc. (a) ................... 31,564 3,112 St. Paul Cos., Inc. .......................... 98,987 700 Stanley Works ................................ 22,531 5,350 Staples, Inc. (a) ............................ 165,516 2,000 State Street Corp. ........................... 170,750 1,600 Summit Bancorp ............................... 66,900 900 Sunoco, Inc. ................................. 27,169 8,700 Sun Microsystems, Inc. (a) ................... 599,212 3,400 SunTrust Banks, Inc. ......................... 236,087 1,200 SUPERVALU, Inc. .............................. 30,825 2,250 Synovus Financial Corp. ...................... 44,719 3,500 Sysco Corp. .................................. 104,344
See Notes to Financial Statements 8 - -------------------------------------------------------------------------------- BT INSURANCE FUNDS TRUST EQUITY 500 INDEX FUND Schedule of Investments JUNE 30, 1999 (UNAUDITED) - --------------------------------------------------------------------------------
Shares Description Value - ---------- --------------------------------------------- -------------- 2,400 Tandy Corp. ................................. $ 117,300 400 Tektronix, Inc. ............................. 12,075 4,100 Tellabs, Inc. (a) ........................... 277,006 500 Temple-Inland, Inc. ......................... 34,125 3,300 Tenet Healthcare Corp. (a) .................. 61,256 2,000 Tenneco, Inc. ............................... 47,750 6,200 Texaco, Inc. ................................ 387,500 4,300 Texas Instruments, Inc. ..................... 623,500 3,500 Texas Utilities Co. ......................... 144,375 1,900 Textron, Inc. ............................... 156,394 1,400 Thermo Electron Corp. (a) ................... 28,087 500 Thomas & Betts Corp. ........................ 23,625 13,500 Time Warner, Inc. ........................... 992,250 700 Times Mirror Co. - Class A .................. 41,475 500 Timken Co. .................................. 9,750 3,900 TJX Cos., Inc. .............................. 129,919 1,500 Torchmark Corp. ............................. 51,187 3,200 Toys 'R' Us, Inc. (a) ....................... 66,200 1,600 Transamerica Corp. .......................... 120,000 1,200 Tribune Co. ................................. 104,550 1,900 Tricon Global Restaurants, Inc. (a) ......... 102,837 1,700 TRW, Inc. ................................... 93,287 400 Tupperware Corp. ............................ 10,200 9,102 Tyco International, Ltd. .................... 862,414 800 U.S. Airways Group, Inc. (a) ................ 34,850 8,600 U.S. Bancorp ................................ 292,400 2,800 Unicom Corp. ................................ 107,975 6,200 Unilever N.V. ADR ........................... 432,450 1,600 Union Carbide Corp. ......................... 78,000 2,500 Union Pacific Corp. ......................... 145,781 2,600 Union Pacific Resources Group, Inc. ......... 42,412 1,200 Union Planters Corp. ........................ 53,625 2,600 Unisys Corp. (a) ............................ 101,237 2,000 United Healthcare Corp. ..................... 125,250 5,200 United Technologies Corp. ................... 372,775 2,900 Unocal Corp. ................................ 114,912 1,800 UNUM Corp. .................................. 98,550 5,938 US West, Inc. ............................... 348,857 2,000 UST, Inc. ................................... 58,500 3,500 USX-Marathon Group .......................... 113,969 1,500 USX-U.S. Steel Group, Inc. .................. 40,500
Shares Description Value - ---------- --------------------------------------------- -------------- 1,200 V.F. Corp. .................................. $ 51,300 7,700 Viacom, Inc. - Class B (a) .................. 338,800 2,100 Wachovia Corp. .............................. 179,681 11,600 Walgreen Co. ................................ 340,750 49,600 Wal-Mart Stores, Inc. ....................... 2,393,200 1,200 Watson Pharmaceuticals, Inc. (a) ............ 42,075 9,400 Warner Lambert Co. .......................... 652,125 6,722 Washington Mutual, Inc. ..................... 237,791 6,697 Waste Management, Inc. ...................... 359,963 700 Wellpoint Health Networks, Inc.(a) .......... 59,412 18,700 Wells Fargo & Co. ........................... 799,425 1,300 Wendy's International, Inc. ................. 36,806 900 Westvaco Corp. .............................. 26,100 2,400 Weyerhauser Co. ............................. 165,000 900 Whirlpool Corp. ............................. 66,600 1,100 Willamette Industries, Inc. ................. 50,668 5,100 Williams Cos., Inc. ......................... 217,068 1,500 Winn-Dixie Stores, Inc. ..................... 55,406 300 Worthington Industries, Inc. ................ 4,931 1,300 Wrigley, (WM.) Jr., Co. ..................... 117,000 7,600 Xerox Corp. ................................. 448,875 ------------ TOTAL COMMON STOCKS (Cost $110,904,926) 125,810,630 ------------
Principal Amount - ------------ SHORT TERM INSTRUMENTS -- 4.49% U.S. TREASURY BILLS (C) -- 4.49% $ 17,000 4.23%, 7/22/99 .............. 16,958 400,000 4.46%, 8/19/99 (b) .......... 397,574 599,000 4.21%, 8/26/99 .............. 595,077 2,669,000 4.51%, 9/16/99 .............. 2,642,791 2,322,000 4.61%, 9/30/99 .............. 2,294,693 ----------- TOTAL SHORT TERM INSTRUMENTS (Cost $5,947,812) 5,947,093 ----------- TOTAL INVESTMENTS (Cost $116,852,738)-- 99.43% 131,757,723 OTHER ASSETS IN EXCESS OF LIABILITIES -- 0.57% 749,371 ------ ----------- NET ASSETS .............................. 100.00% $132,507,094 ====== ============
- ---------- (a) Non-Income producing security. (b) Pledged as collateral for open futures contracts. (c) Average yield at time of purchase. ADR American Depositary Receipt. At June 30, 1999, the Fund's open futures contracts were as follows:
NUMBER OF NET CONTRACTS CONTRACT EXPIRATION OPENING CURRENT UNREALIZED PURCHASED TYPE DATE POSITION MARKET VALUE GAIN - ----------- ---------- ------------ ------------- -------------- ----------- 20 S&P 500 9/16/99 $6,727,495 $6,908,500 $181,005 ========== ========== ========
See Notes to Financial Statements 9 - -------------------------------------------------------------------------------- BT INSURANCE FUNDS TRUST EQUITY 500 INDEX FUND Statement of Assets and Liabilities JUNE 30, 1999 (UNAUDITED) - -------------------------------------------------------------------------------- ASSETS: Investments at value (cost $116,852,738)................................... $ 131,757,723 Cash ...................................................................... 2,398 Receivable for investment securities sold ................................. 677,196 Interest and dividends receivable ......................................... 104,555 Variation margin for futures contracts .................................... 125,000 Deferred organizational costs and other assets ............................ 14,058 ------------- Total Assets 132,680,930 ------------- LIABILITIES: Invesments purchased ...................................................... 125,438 Investment advisory fee payable ........................................... 11,846 Administration fee payable ................................................ 5,338 Trustees'/Directors fee payable ........................................... 2,035 Custody fee payable ....................................................... 1,211 Other accrued expenses .................................................... 27,968 ------------- Total Liabilities 173,836 ------------- NET ASSETS $ 132,507,094 ============= COMPOSITION OF NET ASSETS: Paid-in-capital (9,296,926 outstanding shares of beneficial interest) ..... $ 116,343,576 Undistributed net investment income ....................................... 730,822 Accumulated net realized gain on investments and futures contracts ........ 346,703 Net unrealized appreciation of investments and futures contracts .......... 15,085,993 ------------- TOTAL NET ASSETS $ 132,507,094 ============= NET ASSET VALUE $ 14.25 =============
See Notes to Financial Statements 10 - -------------------------------------------------------------------------------- BT INSURANCE FUNDS TRUST EQUITY 500 INDEX FUND Statement of Operations FOR THE SIX MONTHS ENDED JUNE 30, 1999 (UNAUDITED) - -------------------------------------------------------------------------------- INVESTMENT INCOME: Interest ...................................................................... $ 117,438 Dividends ..................................................................... 541,696 ----------- Total Investment Income ..................................................... 659,134 ----------- EXPENSES: Advisory fees ................................................................. 85,439 Administration fees ........................................................... 43,459 Custodian fees ................................................................ 37,460 Trustees fees ................................................................. 14,179 Professional fees ............................................................. 14,158 Printing fees ................................................................. 7,519 Fund accounting fees .......................................................... 4,908 Transfer agent fees ........................................................... 3,626 Amortization of organizational costs .......................................... 2,058 Other ......................................................................... 1,087 ----------- Total expenses before waiver/reimbursement .................................. 213,893 Less waiver/reimbursement by Advisor ........................................ (72,834) Less waiver by Administrator ................................................ (15,000) ----------- Total expenses net of waiver/reimbursement .................................. 126,059 ----------- NET INVESTMENT INCOME 533,075 ----------- NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS Net realized gain on investments .............................................. 218,284 Net realized gain on futures contracts ........................................ 49,290 Net change in unrealized appreciation (depreciation) on investments ........... 9,145,175 Net change in unrealized appreciation (depreciation) on futures contracts ..... 170,529 ----------- NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS ................................ 9,583,278 ----------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS ........................... $10,116,353 ===========
See Notes to Financial Statements 11 - -------------------------------------------------------------------------------- BT INSURANCE FUNDS TRUST EQUITY 500 INDEX FUND Statements of Changes in Net Assets - --------------------------------------------------------------------------------
SIX MONTHS ENDED JUNE 30, 1999 YEAR ENDED (UNAUDITED) DECEMBER 31, 1998 ----------------- ------------------ INCREASE IN NET ASSETS RESULTING FROM OPERATIONS: Net investment income ........................................................... $ 533,075 $ 325,678 Net realized gain on investments sold, futures contracts and foreign currency transactions ................................................................... 267,574 1,143,389 Net change in unrealized appreciation (depreciation) of investments, assets and liabilities in foreign currency and futures contracts .............. 9,315,704 5,567,806 ------------ ------------- Net increase in net assets resulting from operations ............................ 10,116,353 7,036,873 ------------ ------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income ........................................................... -- (167,871) Net realized gain on investments ................................................ -- (1,074,374) ------------ ------------- Total distributions ............................................................. -- (1,242,245) ------------ ------------- SHARE TRANSACTIONS: Net proceeds from sale of shares ................................................ 80,239,160 44,489,580 Issued to shareholders in reinvestment of distributions ......................... -- 1,242,246 Costs of shares repurchased ..................................................... (7,539,769) (13,595,227) ------------ ------------- Net increase in net assets from share transactions ............................ 72,699,391 32,136,599 ------------ ------------- Net increase in net assets .................................................... 82,815,744 37,931,227 ------------ ------------- NET ASSETS: Beginning of period ............................................................. 49,691,350 11,760,123 ------------ ------------- End of period ................................................................... $132,507,094 $ 49,691,350 ============ ============= Undistributed net investment income ............................................. $ 730,822 $ 197,747 ============ =============
See Notes to Financial Statements 12 - -------------------------------------------------------------------------------- BT INSURANCE FUNDS TRUST EQUITY 500 INDEX FUND Financial Highlights - -------------------------------------------------------------------------------- For a share outstanding throughout each period
FOR THE SIX FOR THE PERIOD MONTHS ENDED OCTOBER 1, 1997(1) JUNE 30, 1999 YEAR ENDED THROUGH (UNAUDITED) DECEMBER 31, 1998 DECEMBER 31, 1997 --------------- ------------------- ------------------ NET ASSET VALUE, BEGINNING OF PERIOD .................................. $ 12.73 $ 10.19 $ 10.00 INCOME FROM INVESTMENT OPERATIONS: Net investment income ............................................... 0.03 0.07 0.03(2) Net realized and unrealized gain on investments and futures contracts .............................................. 1.49 2.84 0.16 ------- ------- ------- Net increase in net asset value from operations ..................... 1.52 2.91 0.19 ------- ------- ------- LESS DISTRIBUTIONS: Distributions from net investment income ............................ -- ( 0.05) -- Distributions from net realized gain on investments ................. -- ( 0.32) -- ------- ------- -------- Total distributions ................................................ -- ( 0.37) -- ------- ------- -------- NET ASSET VALUE, END OF PERIOD ........................................ $ 14.25 $ 12.73 $ 10.19 ======= ======= ======== TOTAL RETURN(4) ....................................................... 11.94% 28.71% 1.90% RATIOS/SUPPLEMENTAL DATA Net assets, end of period (in 000s) ................................... $132,507 $49,691 $11,760 Ratios to average net assets: Net investment income including reimbursement/waiver ................ 1.26%(3) 1.37% 1.51%(3) Net investment income (loss) excluding reimbursement/waiver ......... 1.05%(3) 0.48% (0.99%)(3) Operating expenses including reimbursement/waiver ................... 0.30%(3) 0.30% 0.30%(3) Operating expenses excluding reimbursement/waiver ................... 0.51%(3) 1.19% 2.78%(3) Portfolio turnover rate ............................................... 1% 36% 7%
- ---------- (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 13 - -------------------------------------------------------------------------------- BT INSURANCE FUNDS TRUST EQUITY 500 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 Equity 500 Index Fund, (the "Fund") which commenced operations on October 1, 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 October 1, 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 5,954,093 3,833,114 Reinvestment of dividends 0 101,743 Shares redeemed (560,784) (1,185,423) --------- ---------- Net increase 5,393,309 2,749,434 ========= ==========
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 0.20% 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 14 - -------------------------------------------------------------------------------- BT INSURANCE FUNDS TRUST EQUITY 500 INDEX FUND Notes to Financial Statements JUNE 30, 1999 (UNAUDITED) - -------------------------------------------------------------------------------- will not exceed 0.30% of average daily net assets. For the six months ended June 30, 1999, the gross Advisory fee and waiver were as follows:
GROSS ADVISORY ADVISORY FEES FEES WAIVED - --------------- -------------- $ 85,439 $72,834
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 $68,814,305 and $901,239, 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 - -------------- ---------------- -------------- --------------- $16,817,427 $(1,912,442) $14,904,985 $116,852,738
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. 15 BT INSURANCE FUNDS TRUST EQUITY 500 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. ------------------- Equity 500 Index Fund Cusip #05576E607 INSEQ500200 (6/99) -----END PRIVACY-ENHANCED MESSAGE-----