UNITED STATES SECURITIES AND EXCHANGE COMMISSION WASHINGTON, D. C. 20549 FORM N-CSRS Investment Company Act file number 811-43 INVESTMENT TRUST ---------------------- (Exact Name of Registrant as Specified in Charter) Two International Place, Boston, MA 02110-4103 ---------------------------------------------- (Address of Principal Executive Offices) (Zip Code) Registrant's Telephone Number, including Area Code: (617) 295-2663 -------------- Salvatore Schiavone Two International Place Boston, Massachusetts 02110 --------------------------------------- (Name and Address of Agent for Service) Date of fiscal year end: 12/31 Date of reporting period: 6/30/2004ITEM 1. REPORT TO STOCKHOLDERS
[Scudder Investments logo]
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Semiannual Report to Shareholders | ||
June 30, 2004 | ||
Contents |
<Click Here> Performance Summary <Click Here> Portfolio Management Review <Click Here> Portfolio Summary Scudder S&P 500 Index Fund <Click Here> Financial Statements <Click Here> Financial Highlights <Click Here> Notes to Financial Statements Scudder Equity 500 Index Portfolio <Click Here> Investment Portfolio <Click Here> Financial Statements <Click Here> Financial Highlights <Click Here> Notes to Financial Statements <Click Here> Account Management Resources <Click Here> Privacy Statement |
This report must be preceded or accompanied by a prospectus. To obtain a prospectus for any of our funds, refer to the Account Management Resources information provided in the back of this booklet. We advise you to consider the fund's objectives, risks, charges and expenses carefully before investing. The prospectus contains this and other important information about the fund. Please read the prospectus carefully before you invest.
Investments in mutual funds involve risk. Some funds have more risk than others. While the fund seeks to closely track the characteristics and performance of the S&P 500 index, important differences between the two exist. The index is not available for direct investment, and there are no fees or expenses associated with the index's performance. As with most other mutual funds, this Scudder fund has fees and expenses.
The S&P 500 index and the fund include stocks from many industries. Index and fund composition change periodically as companies are added or dropped, and prices of stocks in the index fluctuate. Please read this fund's prospectus for specific details regarding its investments and risk profile.
Scudder Investments is part of Deutsche Asset Management, which is the marketing name in the US for the asset management activities of Deutsche Bank AG, Deutsche Investment Management Americas Inc., Deutsche Asset Management Inc., Deutsche Asset Management Investment Services Ltd., Deutsche Bank Trust Company Americas and Scudder Trust Company.
Fund shares are not FDIC-insured and are not deposits or other obligations of, or guaranteed by, any bank. Fund shares involve investment risk, including possible loss of principal.
All performance shown is historical, assumes reinvestment of all dividends and capital gains, and does not guarantee future results. Investment return and principal value fluctuate with changing market conditions so that, when redeemed, shares may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted. Please visit aarp.scudder.com (Class AARP) or myScudder.com (Class S) for the product's most recent month-end performance.
Returns and rankings during all periods shown reflect a fee waiver and/or expense reimbursement. Without this waiver/reimbursement, returns and rankings would have been lower.
Performance figures do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Returns and rankings may differ by share class.
Returns shown for Class AARP for periods prior to its inception on September 11, 2000, are derived from historical performance of Class S shares of the Scudder S&P 500 Index Fund during such periods and have assumed the same expense structure during such periods. Any difference in expenses will affect performance.
Average Annual Total Returns as of 6/30/04 | |||||
Scudder S&P 500 Index Fund | 6-Month++ | 1-Year | 3-Year | 5-Year | Life of Fund* |
Class S | 3.19% | 18.51% | -1.11% | -2.63% | 4.63% |
Class AARP | 3.19% | 18.51% | -1.13% | -2.63% | 4.62% |
S&P 500 Index+ | 3.44% | 19.11% | -.70% | -2.20% | 5.07% |
Sources: Lipper Inc. and Deutsche Investment Management Americas Inc.
++ Total returns shown for periods less than one year are not annualized.* The Fund commenced operations on August 29, 1997. Index comparisons begin August 31, 1997.
Net Asset Value and Distribution Information | ||
Class AARP | Class S | |
Net Asset Value: 6/30/04 | $ 15.17 | $ 15.17 |
12/31/03 | $ 14.79 | $ 14.79 |
Distribution Information: Six Months: Income Dividends as of 6/30/04 | $ .09 | $ .09 |
Class S Lipper Rankings - S&P 500 Index Objective Funds Category as of 6/30/04 | ||||
Period | Rank | Number of Funds Tracked | Percentile Ranking | |
1-Year | 78 | of | 169 | 46 |
3-Year | 61 | of | 154 | 40 |
5-Year | 51 | of | 106 | 48 |
Source: Lipper Inc. Rankings are historical and do not guarantee future results. Rankings are based on total return with distributions reinvested. Rankings are for Class S shares; other share classes may vary.
Growth of an Assumed $10,000 Investment |
[] Scudder S&P 500 Index Fund - Class S [] S&P 500 Index+ |
Yearly periods ended June 30 |
Comparative Results as of 6/30/04 | |||||
Scudder S&P 500 Index Fund | 1-Year | 3-Year | 5-Year | Life of Fund* | |
Class S | Growth of $10,000 | $11,851 | $9,672 | $8,754 | $13,624 |
Average annual total return | 18.51% | -1.11% | -2.63% | 4.63% | |
Class AARP | Growth of $10,000 | $11,851 | $9,666 | $8,754 | $13,623 |
Average annual total return | 18.51% | -1.13% | -2.63% | 4.62% | |
S&P 500 Index+ | Growth of $10,000 | $11,911 | $9,793 | $8,945 | $14,025 |
Average annual total return | 19.11% | -.70% | -2.20% | 5.07% |
The growth of $10,000 is cumulative.
* The Fund commenced operations on August 29, 1997. Index comparisons begin August 31, 1997.+ The Standard & Poor's (S&P) 500 index is a capitalization-weighted index of 500 stocks. The index is designed to measure performance of the broad domestic economy through changes in the aggregate market value of 500 stocks representing all major industries. "Standard & Poor's," "S&P 500," "Standard & Poor's 500" and "500" are trademarks of The McGraw-Hill Companies Inc., and have been licensed for use by the Fund's investment advisor. Index returns assume reinvestment of dividends and, unlike Fund returns, do not reflect any fees or expenses. It is not possible to invest directly into an index.
In the following interview, a team of portfolio managers from Northern Trust Investments, the fund's subadvisor, discusses Scudder S&P 500 Index Fund's market environment and performance during the six-month period ended June 30, 2004.
Q: How did Scudder S&P 500 Index Fund perform during the first half of 2004?
A: Scudder S&P 500 Index Fund produced a total return of 3.19% (Class S shares) for the semiannual period, compared with 3.44% for the Standard & Poor's 500 index (S&P 500) benchmark.1 (Please see pages 4 through 5 for the performance of other share classes and more complete performance information.) The fund outperformed the Lipper S&P 500 Index Objective Funds category average semiannual return of 3.12%.2
1 "S&P 500®" is a trademark of the McGraw-Hill Companies, Inc., and has been licensed for use by the fund's investment advisor. The Standard & Poor's 500 index (S&P 500®) is an unmanaged index used to portray the pattern of common stock movement of 500 large cap US companies.2 The Lipper S&P 500 Index Objective Funds category comprises funds that are passively managed and commit, by prospectus language, to replicate the performance of the S&P 500 index, including reinvested dividends. Lipper figures represent the average of the total returns reported by all of the mutual funds designated by Lipper Inc. as falling into the respective categories indicated. These figures do not reflect sales charges.
Index returns assume reinvestment of dividends and capital gains and, unlike fund returns, do not reflect fees and expenses. It is not possible to invest directly into an index.
Q: What were the primary factors affecting the US equity markets during the past six months?
A: Following an 18-month rally in growth stocks, led by technology and semiconductor issues, equity markets traded "sideways" for much of the first half of 2004, remaining within a 5% trading range. Though the conflict in Iraq continued, there were no significant turns in the market as a response to events in Iraq. Following the transfer of Iraqi sovereignty from the United States to Iraq in June, there was a slight upward movement in stocks,
Standard & Poor's 500 index levels 1/1/04 to 6/30/04 |
2004 |
Source: Deutsche Asset Management
Past performance is not indicative of future results. This chart is for illustrative purposes only and is not intended to be representative of Scudder S&P 500 Index Fund's performance.
which did not hold. Elsewhere, the late-June federal funds rate increase of one quarter of a percentage point was well-anticipated. Again, the market edged up on this news, then immediately went back down. Investors appear to remain risk-wary and prone to quick sell-offs following gains. On a more positive note, late April marked one of the most favorable "earnings seasons" in the last five years. After a succession of positive earnings announcements, the market rallied off of its six-month lows, but it gave back those gains at the end of April and in early May.
In 2003 and through early 2004, investors favored high-beta growth stocks with relatively high price-to-earnings ratios.3 Then in March, many investors began to switch over to value-oriented stocks as they pursued more-defensive strategies.4 For the six-month period, the value portion of the S&P 500 index outgained the growth portion by 1.45%. Now that many companies have made renewed investments in technology during 2003 and 2004, we believe the markets are waiting for these high-tech investments to bear fruit in the form of increased earnings for more value-oriented companies.
3 High beta refers to stocks that tend to have price fluctuations greater than that of the market as a whole.4 Value refers to those companies believed to be financially solid, but trading at low prices relative to their earnings, book value and cash flow. Typically, these types of companies provide the potential for above-market returns over time. A defensive portfolio allocation strategy is designed to minimize the risk of losing principal, by concentrating on bonds, cash equivalents and conservative stocks.
Finally, small-cap stocks significantly outperformed large-cap stocks in 2003 but are expected to underperform larger caps in 2004.5 During the first half of the year, the Russell 2000 Index, with a return of 3.32% has underperformed the S&P 500.6
5 Small cap describes those companies with a stock market capitalization below $2 billion. Market capitalization is determined by the market price of a company's issued and outstanding common stock.6 The Russell 2000 Index is an unmanaged index that tracks the common stock price movement of the 2,000 smallest companies of the Russell 3000 Index, which measures the performance of the 3,000 largest US companies based on total market capitalization.
Q: Which sectors and stocks within the S&P 500 Index were the best and worst performers?
A: The energy sector posted the strongest performance during the six-month period, going hand in hand with recent significant increases in oil prices. Industrials were the second-best-performing sector. In terms of underperformers, semiconductors and equipment - one of 2003's leading subsectors - dragged down the technology sector over the period as semiconductor stocks declined approximately 12% as a group.
The best individual stock return came from AT&T Wireless Services, Inc., which is being sold; the leading bidder for the company is Cingular Wireless. Autodesk, Inc., a leading design software and digital content company, was the next-best performer. The worst-performing stock within the index was storage area network provider QLogic Corp., which made a negative earnings announcement at the end of March.
There were nine additions to and deletions from the index during the period, with many of the changes coming from merger and acquisition activity announced in 2003 and executed this year. Merger and acquisition activity included J.P. Morgan Chase & Co.'s merger with Bank One Corp., Bank of America Corp.'s acquisition of Fleet Boston Financial Corp., and Travelers Property Casualty Corp.'s purchase by St. Paul Companies, Inc.7 Other significant additions to the index during the period included E*TRADE Financial Corp., M&T Bank Corp. and Valero Energy Corp.
7 Merger and Acquisition activity (M&A) refers to the combining of two or more entities into one, through a purchase acquisition or a pooling of interests.In March, Standard & Poor's joined other major market index providers in announcing that it will be making a two-part "float adjustment" to the S&P 500 index in 2005. This significant event, which is expected to create 3% to 5% turnover within the index, means that closely held shares that are not widely traded - mainly those owned by company insiders - will no longer be counted as equity market capitalization for S&P 500 companies when this changeover in index composition is completed. The assessment of free-floating shares will enable the typical investor to identify truer weightings within the index, thereby allowing for healthier diversification and risk management.
Q: What investment strategies do you intend to pursue in the fund?
A: As managers of an index fund, which seeks to replicate as closely as possible (before deduction of expenses) 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 benchmark.
The views expressed in this report reflect those of the portfolio managers only through the end of the period of the report as stated on the cover. The portfolio management team's views are subject to change at any time based on market and other conditions and should not be construed as a recommendation.
Asset Allocation | 6/30/04 | 12/31/03 |
Common Stocks | 99% | 99% |
Cash Equivalents | 1% | 1% |
100% | 100% |
Sector Diversification (Excludes Cash Equivalents) | 6/30/04 | 12/31/03 |
Financials | 20% | 21% |
Information Technology | 17% | 18% |
Health Care | 14% | 13% |
Industrials | 11% | 11% |
Consumer Staples | 11% | 11% |
Consumer Discretionary | 11% | 11% |
Energy | 7% | 6% |
Telecommunication Services | 3% | 3% |
Materials | 3% | 3% |
Utilities | 3% | 3% |
100% | 100% |
Asset allocation and sector diversification are subject to change.
Ten Largest Equity Holdings at June 30, 2004 (22.0% of Portfolio) | |
1. General Electric Co. Industrial conglomerate | 3.2% |
2. Microsoft Corp. Developer of computer software | 2.9% |
3. ExxonMobil Corp. Explorer and producer of oil and gas | 2.7% |
4. Pfizer, Inc. Manufacturer of prescription pharmaceuticals and non-prescription self-medications | 2.4% |
5. Citigroup, Inc. Provider of diversified financial services | 2.2% |
6. Wal-Mart Stores, Inc. Operator of discount stores | 2.1% |
7. American International Group, Inc. Provider of insurance services | 1.7% |
8. Intel Corp. Designer, manufacturer and seller of computer components and related products | 1.7% |
9. Bank of America Corp. Provider of commercial banking services | 1.6% |
10. Johnson & Johnson Provider of health care products | 1.5% |
Portfolio holdings are subject to change.
For more complete details about the Fund's investment portfolio, see page 24. A quarterly Fact Sheet is available upon request. Information concerning portfolio holdings of the Fund as of month end is available upon request on the 16th of the following month. Please see the Account Management Resources section for contact information.
Statement of Assets and Liabilities as of June 30, 2004 (Unaudited) | |
Assets | |
Investment in Scudder Equity 500 Index Portfolio, at value | $ 701,039,145 |
Receivable for Fund shares sold | 381,915 |
Total assets | 701,421,060 |
Liabilities | |
Payable for Fund shares redeemed | 843,008 |
Accrued expenses and payables | 561,052 |
Total liabilities | 1,404,060 |
Net assets, at value | $ 700,017,000 |
Net Assets | |
Net assets consist of: Undistributed net investment income | 201,144 |
Net unrealized appreciation (depreciation) on investments | (59,269,180) |
Accumulated net realized gain (loss) from investments | (322,120,970) |
Paid-in capital | 1,081,206,006 |
Net assets, at value | $ 700,017,000 |
Net Asset Value | |
Class AARP Net Asset Value, offering and redemption price per share ($388,345,942 / 25,599,223 outstanding shares of beneficial interest, $.01 par value, unlimited number of shares authorized) | $ 15.17 |
Class S Net Asset Value, offering and redemption price per share ($311,671,058 / 20,546,066 outstanding shares of beneficial interest, $.01 par value, unlimited number of shares authorized) | $ 15.17 |
The accompanying notes are an integral part of the financial statements.
Statement of Operations for the six months ended June 30, 2004 (Unaudited) | |
Investment Income | |
Income and expenses allocated from Scudder Equity 500 Index Portfolio: Dividends | 5,765,396 |
Interest | 27,296 |
Expenses(a) | (177,688) |
Total Income | 5,615,004 |
Expenses: Administrative fee | 448,966 |
Shareholder servicing fee(b) | 480,662 |
Administrative services fee | 353,888 |
Trustees' fees and expenses | 11,661 |
Other(b) | 52,285 |
Total expenses | 1,347,462 |
Net investment income (loss) | 4,267,542 |
Realized and Unrealized Gain (Loss) on Investment Transactions | |
Net realized gain (loss) from investments | (15,389,615) |
Net unrealized appreciation (depreciation) during the period on investments | 32,660,862 |
Net gain (loss) on investment transactions | 17,271,247 |
Net increase (decrease) in net assets resulting from operations | $ 21,538,789 |
a For the six months ended June 30, 2004, the Scudder Equity 500 Index Portfolio waived fees in the amount of $141,849, which was allocated to the feeder funds on a pro-rated basis.
b Included herein are amounts representing three months of operating expenses previously covered by the Administrative Agreement (see Note B of the Notes to Financial Statements) including custodian and accounting fees, auditing, legal, reports to shareholders and registration fees.
The accompanying notes are an integral part of the financial statements.
Statement of Changes in Net Assets | ||
Increase (Decrease) in Net Assets | Six Months Ended June 30, 2004 (Unaudited) | Year Ended December 31, 2003 |
Operations: Net investment income (loss) | $ 4,267,542 | $ 8,391,995 |
Net realized gain (loss) on investment transactions | (15,389,615) | (14,005,761) |
Net unrealized appreciation (depreciation) on investment transactions during the period | 32,660,862 | 158,387,131 |
Net increase (decrease) in net assets resulting from operations | 21,538,789 | 152,773,365 |
Distributions to shareholders from: Net investment income: Class AARP | (2,313,475) | (4,646,470) |
Class S | (1,911,596) | (3,818,178) |
Fund share transactions: Proceeds from shares sold | 87,006,223 | 129,591,172 |
Reinvestment of distributions | 4,059,394 | 8,115,326 |
Cost of shares redeemed | (110,697,145) | (128,517,532) |
Net increase (decrease) in net assets from Fund share transactions | (19,631,528) | 9,188,966 |
Increase (decrease) in net assets | (2,317,810) | 153,497,683 |
Net assets at beginning of period | 702,334,810 | 548,837,127 |
Net assets at end of period (including undistributed net investment income of $201,144 and $158,673, respectively) | $ 700,017,000 | $ 702,334,810 |
The accompanying notes are an integral part of the financial statements.
Class AARP | |||||
Years Ended December 31, | 2004a | 2003 | 2002 | 2001 | 2000b |
Selected Per Share Data | |||||
Net asset value, beginning of period | $ 14.79 | $ 11.71 | $ 15.28 | $ 17.60 | $ 19.95 |
Income (loss) from investment operations: Net investment income (loss)c | .09 | .18 | .16 | .15 | .05 |
Net realized and unrealized gain (loss) on investment transactions | .38 | 3.08 | (3.56) | (2.32) | (2.33) |
Total from investment operations | .47 | 3.26 | (3.40) | (2.17) | (2.28) |
Less distributions from: Net investment income | (.09) | (.18) | (.17) | (.15) | (.07) |
Net asset value, end of period | $ 15.17 | $ 14.79 | $ 11.71 | $ 15.28 | $ 17.60 |
Total Return (%) | 3.19f** | 28.04 | (22.33) | (12.32) | (11.47)** |
Ratios to Average Net Assets and Supplemental Data | |||||
Net assets, end of period ($ millions) | 388 | 384 | 312 | 471 | 652 |
Ratio of expenses before expense reductions, including expenses allocated from Scudder Equity 500 Index Portfolio (%)d | .44* | .40 | .40 | .40 | .39e* |
Ratio of expenses after expense reductions, including expenses allocated from Scudder Equity 500 Index Portfolio (%)d | .43* | .40 | .40 | .40 | .39e* |
Ratio of net investment income (loss) (%) | 1.21* | 1.39 | 1.21 | .95 | .86* |
a For the six months ended June 30, 2004 (Unaudited). b For the period from September 11, 2000 (commencement of sales of Class AARP shares) to December 31, 2000. c Based on average shares outstanding during the period. d Includes expenses allocated from the Scudder Equity 500 Index Portfolio. e The ratio of operating expenses includes a one-time reduction in reorganization expenses in fiscal 2000. The ratio without this reduction is .40%. f Total return would have been lower had certain expenses not been reduced. * Annualized ** Not annualized |
Class S | ||||||
Years Ended December 31, | 2004a | 2003 | 2002 | 2001 | 2000 | 1999 |
Selected Per Share Data | ||||||
Net asset value, beginning of period | $ 14.79 | $ 11.71 | $ 15.28 | $ 17.60 | $ 19.60 | $ 16.44 |
Income (loss) from investment operations: Net investment income (loss)b | .09 | .18 | .16 | .15 | .16 | .19 |
Net realized and unrealized gain (loss) on investment transactions | .38 | 3.08 | (3.56) | (2.32) | (2.01) | 3.14 |
Total from investment operations | .47 | 3.26 | (3.40) | (2.17) | (1.85) | 3.33 |
Less distributions from: Net investment income | (.09) | (.18) | (.17) | (.15) | (.15) | (.17) |
Net asset value, end of period | $ 15.17 | $ 14.79 | $ 11.71 | $ 15.28 | $ 17.60 | $ 19.60 |
Total Return (%) | 3.19c** | 28.04 | (22.33) | (12.32) | (9.50)c | 20.37c |
Ratios to Average Net Assets and Supplemental Data | ||||||
Net assets, end of period ($ millions) | 312 | 318 | 237 | 390 | 368 | 328 |
Ratio of expenses before expense reductions, including expenses allocated from Scudder Equity 500 Index Portfolio (%)d | .44* | .40 | .40 | .40 | .51e | .58 |
Ratio of expenses after expense reductions, including expenses allocated from Scudder Equity 500 Index Portfolio (%)d | .43* | .40 | .40 | .40 | .40e | .40 |
Ratio of net investment income (%) | 1.20* | 1.39 | 1.22 | .95 | .84 | 1.05 |
a For the six months ended June 30, 2004 (Unaudited). b Based on average shares outstanding during the period. c Total return would have been lower had certain expenses not been reduced. d Includes expenses allocated from the Scudder Equity 500 Index Portfolio. e The ratios of operating expenses excluding costs incurred with a fund complex reorganization before and after expense reductions were .52% and .40%, respectively. * Annualized ** Not annualized |
Scudder S&P 500 Index Fund
A. Significant Accounting Policies
Scudder S&P 500 Index Fund (the "Fund") is a diversified series of the Investment Trust (the "Trust") which is registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as an open-end management investment company organized as a Massachusetts business trust.
The Fund seeks to achieve its investment objective by investing substantially all of its assets in the Scudder Equity 500 Index Portfolio (the "Portfolio"), a diversified open-end management investment company advised by Deutsche Asset Management, Inc. ("DeAM, Inc."). Details concerning the Portfolio's investment objective and policies and the risk factors associated with the Portfolio's investments are described in the Prospectus and Statement of Additional Information. On June 30, 2004, the Fund owned approximately 22% of the Portfolio.
The Fund offers multiple classes of shares which provide investors with different purchase options. Shares of Class AARP are designed for members of AARP. Class S shares of the Fund are generally not available to new investors.
Investment income, realized and unrealized gains and losses, and certain fund-level expenses and expense reductions, if any, are borne pro rata on the basis of relative net assets by the holders of both classes of shares. Differences in class-level expenses may result in payment of different per share dividends by class. All shares of the Fund have equal rights with respect to voting subject to class-specific arrangements.
The Fund's financial statements are prepared in accordance with accounting principles generally accepted in the United States of America which require the use of management estimates. Actual results could differ from those estimates. The policies described below are followed consistently by the Fund in the preparation of its financial statements. The financial statements of the Portfolio, including the Investment Portfolio, are contained elsewhere in this report and should be read in conjunction with the Fund's financial statements.
Security Valuation. The Fund records its investment in the Portfolio at value, which reflects its proportionate interest in the net assets of the Portfolio. Valuation of the securities held by the Portfolio is discussed in the notes to the Portfolio's financial statements included elsewhere in the report.
Federal Income Taxes. The Fund's policy is to comply with the requirements of the Internal Revenue Code, as amended, which are applicable to regulated investment companies, and to distribute all of its taxable income to its shareholders. Accordingly, the Fund paid no federal income taxes and no federal income tax provision was required.
At December 31, 2003, the Fund had a net tax basis capital loss carryforward of approximately $304,267,000 which may be applied against any realized net taxable capital gains of each succeeding year until fully utilized or until December 31, 2006 ($3,502,000), December 31, 2007 ($51,000), December 31, 2009 ($159,908,000), December 31, 2010 ($113,678,000) and December 31, 2011 ($27,128,000), the respective expiration dates, whichever occurs first.
In addition, from November 1, 2003 through December 31, 2003, the Fund incurred approximately $2,265,000 of net realized capital losses. As permitted by tax regulations, the Fund intends to elect to defer these losses and treat them as arising in the fiscal year ended December 31, 2004.
Distribution of Income and Gains. Distributions of net investment income, if any, are made quarterly. Net realized gains from investment transactions, in excess of available capital loss carryforwards, would be taxable to the Fund if not distributed, and, therefore, will be distributed to shareholders at least annually.
The timing and characterization of certain income and capital gains distributions are determined annually in accordance with federal tax regulations which may differ from accounting principles generally accepted in the United States of America. As a result, net investment income (loss) and net realized gain (loss) on investment transactions for a reporting period may differ significantly from distributions during such period. Accordingly, the Fund may periodically make reclassifications among certain of its capital accounts without impacting the net asset value of the Fund.
The tax character of current year distributions will be determined at the end of the current fiscal year.
Other. The Fund receives a daily allocation of the Portfolio's income, expenses and net realized and unrealized gains and losses in proportion to its investment in the Portfolio. Expenses directly attributed to a fund are charged to that fund, while expenses which are attributable to the Trust are allocated among the funds in the Trust on the basis of relative net assets.
B. Related Parties
Scudder Investments is part of Deutsche Asset Management, which is the marketing name in the US for the asset management activities of Deutsche Bank AG. Deutsche Asset Management, Inc. ("DeAM, Inc." or the "Advisor") is the Advisor for the Portfolio and is a wholly owned subsidiary of Deutsche Bank AG.
Administrative Services Agreement. The Fund also has an Administrative Services Agreement with the Advisor, under which the Advisor provides shareholder and administrative services to the Fund. The Advisor receives a fee (the "Administrative Services Fee") of 0.10% of the Fund's average daily net assets, accrued daily and paid monthly. Accordingly, for the six months ended June 30, 2004, the amount imposed aggregated $353,888, of which $61,095 is unpaid at June 30, 2004.
Administrative Fee. Under the Administrative Agreement, the Advisor provided or paid others to provide substantially all of the administrative services required by the Fund (other than those provided by each class of the Advisor under its Administrative Services Agreement with the Fund, as described above) in exchange for the payment by each class of the Fund of an administrative services fee (the "Administrative Fee") of 0.25% of average daily net assets for Class AARP and S shares, respectively, computed and accrued daily and payable monthly.
The Administrative Agreement between the Advisor and the Fund terminated March 31, 2004 and effective April 1, 2004, the Fund directly bears the cost of expenses formerly covered under the Administrative Agreement.
For the period January 1, 2004 through June 30, 2004, the Administrative Fee was as follows:
Administrative Fee | Total Aggregated |
Class AARP | $ 244,229 |
Class S | 204,737 |
$ 448,966 |
Effective October 1, 2003 through September 30, 2005, the Advisor has agreed to contractually waive all or a portion of its management fee and/or Administrative Fee and reimburse or pay certain operating expenses of the Fund to the extent necessary to maintain the operating expenses of each class at 0.50% (excluding certain expenses such as extraordinary expenses, taxes, brokerage, interest, Rule 12b-1 distribution and/or service fees, trustee and trustee counsel fees).
Service Provider Fees. Scudder Service Corporation ("SSC"), a subsidiary of the Advisor, is the transfer, dividend-paying agent and shareholder service agent for Class AARP and S shares of the Fund. Pursuant to a sub-transfer agency agreement between SSC and DST Systems, Inc. ("DST"), SSC has delegated certain transfer agent and dividend-paying agent functions to DST. The costs and expenses of such delegation are borne by SSC, not by the Fund. For the period April 1, 2004 through June 30, 2004, the amounts charged to the Fund by SSC were as follows:
Services to Shareholders | Total Aggregated | Unpaid at June 30, 2004 |
Class AARP | 229,411 | 229,411 |
Class S | 198,562 | 198,562 |
$ 427,973 | $ 427,973 |
Trustees' Fees and Expenses. The Fund pays each Trustee not affiliated with the Advisor retainer fees plus specified amounts for attended board and committee meetings.
Other Related Parties. AARP through its affiliate, AARP Services, Inc., monitors and oversees the AARP Investment Program from Scudder Investments, but does not act as an investment advisor or recommend specific mutual funds. DeIM has agreed to pay a fee to AARP and/or its affiliates in return for the use of the AARP trademark and services relating to investments by AARP members in AARP Class shares of the Fund. This fee is calculated on a daily basis as a percentage of the combined net assets of the AARP classes of all funds managed by DeIM. The fee rates, which decrease as the aggregate net assets of the AARP classes become larger, are as follows: 0.07% for the first $6 billion of net assets, 0.06% for the next $10 billion and 0.05% thereafter. These amounts are used for the general purposes of AARP and its members.
C. Share Transactions
The following table summarizes share and dollar activity in the Fund:
Six Months Ended | Year Ended | |||
Shares | Dollars | Shares | Dollars | |
Shares sold | ||||
Class AARP | 1,629,676 | $ 24,527,274 | 3,454,450 | $ 44,704,099 |
Class S | 4,152,228 | 62,478,949 | 6,729,434 | 84,887,073 |
$ 87,006,223 | $ 129,591,172 | |||
Shares issued to shareholders in reinvestment of distributions | ||||
Class AARP | 147,661 | $ 2,192,751 | 332,853 | $ 4,395,230 |
Class S | 125,776 | 1,866,643 | 281,502 | 3,720,096 |
$ 4,059,394 | $ 8,115,326 | |||
Shares redeemed | ||||
Class AARP | (2,145,114) | $ (32,157,298) | (4,440,179) | $ (55,826,943) |
Class S | (5,251,626) | (78,539,847) | (5,754,982) | (72,690,589) |
$ (110,697,145) | $ (128,517,532) | |||
Net increase (decrease) | ||||
Class AARP | (367,777) | $ (5,437,273) | (652,876) | $ (6,727,614) |
Class S | (973,622) | (14,194,255) | 1,255,954 | 15,916,580 |
$ (19,631,528) | $ 9,188,966 |
D. Regulatory Matters and Litigation
Since at least July 2003, federal, state and industry regulators have been conducting ongoing inquiries and investigations ("inquiries") into the mutual fund industry, and have requested information from numerous mutual fund companies, including Scudder Investments. We are unable to determine what the outcome of these inquiries will be or what the effect, if any, would be on the funds or their advisors. Publicity about mutual fund practices arising from these industry-wide inquiries serves as the general basis of a number of private lawsuits against the Scudder funds. These lawsuits, which previously have been reported in the press, involve purported class action and derivative lawsuits, making various allegations and naming as defendants various persons, including certain Scudder funds, Deutsche Asset Management ("DeAM") and its affiliates, certain individuals, including in some cases Fund Trustees/Directors, and other parties. DeAM has undertaken to bear all liabilities and expenses incurred by the Scudder funds in connection with these lawsuits, or other lawsuits or regulatory actions that may be filed making allegations similar to these lawsuits regarding fund valuation, market timing, revenue sharing or other subjects of the pending inquiries. Based on currently available information, DeAM believes the likelihood that the pending lawsuits will have a material adverse financial impact on a Scudder fund is remote and such actions are not likely to materially affect its ability to perform under its investment management agreements with the Scudder funds.
(The following financial statements of the Scudder Equity 500 Index Portfolio should be read in conjunction with the Fund's financial statements.)
Shares | Value ($) | |
Common Stocks 99.4% | ||
Consumer Discretionary 10.9% | ||
Auto Components 0.2% | ||
Cooper Tire & Rubber Co. | 21,202 | 487,646 |
Dana Corp. | 44,881 | 879,668 |
Delphi Corp. | 166,846 | 1,781,915 |
Goodyear Tire & Rubber Co.* | 52,296 | 475,371 |
Johnson Controls, Inc. | 56,364 | 3,008,710 |
Visteon Corp. | 35,631 | 415,814 |
7,049,124 | ||
Automobiles 0.7% | ||
Ford Motor Co. | 540,585 | 8,460,155 |
General Motors Corp. | 166,771 | 7,769,861 |
Harley-Davidson, Inc. | 87,351 | 5,410,521 |
21,640,537 | ||
Distributors 0.1% | ||
Genuine Parts Co. | 51,878 | 2,058,519 |
Hotels Restaurants & Leisure 1.4% | ||
Carnival Corp. | 186,397 | 8,760,659 |
Darden Restaurants, Inc. | 48,680 | 1,000,374 |
Harrah's Entertainment, Inc. | 33,218 | 1,797,094 |
Hilton Hotels Corp. | 112,939 | 2,107,442 |
International Game Technology | 103,464 | 3,993,711 |
Marriott International, Inc. "A" | 66,632 | 3,323,604 |
McDonald's Corp. | 371,856 | 9,668,256 |
Starbucks Corp.* | 117,454 | 5,106,900 |
Starwood Hotels & Resorts Worldwide, Inc. | 61,012 | 2,736,388 |
Wendy's International, Inc. | 34,380 | 1,197,799 |
YUM! Brands, Inc.* | 85,991 | 3,200,585 |
42,892,812 | ||
Household Durables 0.5% | ||
Black & Decker Corp. | 23,852 | 1,481,925 |
Centex Corp. | 36,404 | 1,665,483 |
Fortune Brands, Inc. | 43,354 | 3,270,192 |
KB Home | 13,836 | 949,565 |
Leggett & Platt, Inc. | 56,566 | 1,510,878 |
Maytag Corp. | 23,239 | 569,588 |
Newell Rubbermaid, Inc. | 81,850 | 1,923,475 |
Pulte Homes, Inc. | 37,378 | 1,944,777 |
Snap-On, Inc. | 18,132 | 608,329 |
The Stanley Works | 24,853 | 1,132,800 |
Whirlpool Corp. | 20,334 | 1,394,912 |
16,451,924 | ||
Internet & Catalog Retail 0.6% | ||
eBay, Inc.* | 193,616 | 17,802,991 |
Leisure Equipment & Products 0.2% | ||
Brunswick Corp. | 27,830 | 1,135,464 |
Eastman Kodak Co. | 85,331 | 2,302,230 |
Hasbro, Inc. | 52,102 | 989,938 |
Mattel, Inc. | 125,814 | 2,296,106 |
6,723,738 | ||
Media 3.6% | ||
Clear Channel Communications, Inc. | 182,963 | 6,760,483 |
Comcast Corp. "A"* | 663,227 | 18,590,253 |
Dow Jones & Co., Inc. | 24,122 | 1,087,902 |
Gannett Co., Inc. | 80,269 | 6,810,825 |
Interpublic Group of Companies, Inc.* | 123,395 | 1,694,213 |
Knight-Ridder, Inc. | 23,182 | 1,669,104 |
McGraw-Hill, Inc. | 56,137 | 4,298,410 |
Meredith Corp. | 14,838 | 815,496 |
New York Times Co. "A" | 43,773 | 1,957,091 |
Omnicom Group, Inc. | 55,668 | 4,224,645 |
Time Warner, Inc.* | 1,347,312 | 23,685,745 |
Tribune Co. | 96,397 | 4,389,919 |
Univision Communications, Inc. "A"* | 97,597 | 3,116,272 |
Viacom, Inc. "B" | 510,409 | 18,231,809 |
Walt Disney Co. | 607,340 | 15,481,097 |
112,813,264 | ||
Multiline Retail 1.0% | ||
Big Lots, Inc.* | 34,596 | 500,258 |
Dillard's, Inc. "A" | 24,868 | 554,557 |
Dollar General Corp. | 97,636 | 1,909,760 |
Family Dollar Stores, Inc. | 50,872 | 1,547,526 |
Federated Department Stores, Inc. | 53,210 | 2,612,611 |
J.C. Penny Co., Inc. | 83,375 | 3,148,240 |
Kohl's Corp.* | 100,738 | 4,259,203 |
Nordstrom, Inc. | 40,966 | 1,745,561 |
Sears, Roebuck & Co. | 62,936 | 2,376,463 |
Target Corp. | 269,291 | 11,436,789 |
The May Department Stores Co. | 86,019 | 2,364,662 |
32,455,630 | ||
Specialty Retail 2.3% | ||
AutoNation, Inc.* | 79,900 | 1,366,290 |
AutoZone, Inc.* | 24,608 | 1,971,101 |
Bed Bath & Beyond, Inc.* | 88,766 | 3,413,053 |
Best Buy Co., Inc. | 95,748 | 4,858,253 |
Boise Cascade Corp. | 25,778 | 970,284 |
Circuit City Stores, Inc. | 59,333 | 768,362 |
Home Depot, Inc. | 655,099 | 23,059,485 |
Limited Brands | 138,811 | 2,595,766 |
Lowe's Companies, Inc. | 231,787 | 12,180,407 |
Office Depot, Inc.* | 92,659 | 1,659,523 |
RadioShack Corp. | 47,695 | 1,365,508 |
Sherwin-Williams Co. | 42,405 | 1,761,928 |
Staples, Inc. | 146,882 | 4,305,111 |
The Gap, Inc. | 265,158 | 6,430,081 |
Tiffany & Co. | 43,416 | 1,599,879 |
TJX Companies, Inc. | 145,799 | 3,519,588 |
Toys "R" Us, Inc.* | 63,661 | 1,014,120 |
72,838,739 | ||
Textiles, Apparel & Luxury Goods 0.3% | ||
Jones Apparel Group, Inc. | 37,160 | 1,467,077 |
Liz Claiborne, Inc. | 32,606 | 1,173,164 |
NIKE, Inc. "B" | 77,808 | 5,893,956 |
Reebok International Ltd. | 17,571 | 632,204 |
VF Corp. | 32,240 | 1,570,088 |
10,736,489 | ||
Consumer Staples 11.0% | ||
Beverages 2.7% | ||
Adolph Coors Co. "B" | 10,902 | 788,651 |
Anheuser-Busch Companies, Inc. | 237,880 | 12,845,520 |
Brown-Forman Corp. "B" | 36,278 | 1,751,139 |
Coca-Cola Enterprises, Inc. | 137,024 | 3,972,326 |
Pepsi Bottling Group, Inc. | 76,062 | 2,322,933 |
PepsiCo, Inc. | 502,950 | 27,098,946 |
The Coca-Cola Co. | 717,635 | 36,226,215 |
85,005,730 | ||
Food & Drug Retailing 3.4% | ||
Albertsons, Inc. | 108,389 | 2,876,644 |
Costco Wholesale Corp. | 135,433 | 5,562,233 |
CVS Corp. | 117,259 | 4,927,223 |
Kroger Co.* | 218,763 | 3,981,487 |
Safeway, Inc.* | 131,507 | 3,332,388 |
Supervalu, Inc. | 39,902 | 1,221,400 |
Sysco Corp. | 188,490 | 6,761,136 |
Wal-Mart Stores, Inc. | 1,263,554 | 66,665,109 |
Walgreen Co. | 302,078 | 10,938,245 |
Winn-Dixie Stores, Inc. | 41,836 | 301,219 |
106,567,084 | ||
Food Products 1.2% | ||
Archer-Daniels-Midland Co. | 191,753 | 3,217,615 |
Campbell Soup Co. | 121,309 | 3,260,786 |
ConAgra Foods, Inc. | 155,852 | 4,220,472 |
General Mills, Inc. | 111,450 | 5,297,219 |
H.J. Heinz Co. | 103,854 | 4,071,077 |
Hershey Foods Corp. | 76,560 | 3,542,431 |
Kellogg Co. | 121,134 | 5,069,458 |
McCormick & Co, Inc. | 40,700 | 1,383,800 |
Sara Lee Corp. | 233,039 | 5,357,567 |
William Wrigley Jr. Co. | 66,282 | 4,179,080 |
39,599,505 | ||
Household Products 2.0% | ||
Clorox Co. | 62,732 | 3,373,727 |
Colgate-Palmolive Co. | 157,068 | 9,180,624 |
Kimberly-Clark Corp. | 148,007 | 9,750,701 |
Procter & Gamble Co. | 757,688 | 41,248,535 |
63,553,587 | ||
Personal Products 0.6% | ||
Alberto-Culver Co. "B" | 26,887 | 1,348,114 |
Avon Products, Inc. | 139,470 | 6,435,146 |
Gillette Co. | 296,106 | 12,554,894 |
20,338,154 | ||
Tobacco 1.1% | ||
Altria Group, Inc. | 604,152 | 30,237,808 |
R.J. Reynolds Tobacco Holdings, Inc. | 25,145 | 1,699,550 |
UST, Inc. | 48,751 | 1,755,036 |
33,692,394 | ||
Energy 6.5% | ||
Energy Equipment & Services 0.9% | ||
Baker Hughes, Inc. | 98,573 | 3,711,273 |
BJ Services Co.* | 47,814 | 2,191,794 |
Halliburton Co. | 130,260 | 3,941,668 |
Nabors Industries Ltd.* | 44,119 | 1,995,061 |
Noble Corp.* | 40,224 | 1,524,087 |
Rowan Companies, Inc.* | 31,839 | 774,643 |
Schlumberger Ltd. | 173,872 | 11,042,611 |
Transocean, Inc.* | 95,100 | 2,752,194 |
27,933,331 | ||
Oil & Gas 5.6% | ||
Amerada Hess Corp. | 26,555 | 2,102,891 |
Anadarko Petroleum Corp. | 75,834 | 4,443,872 |
Apache Corp. | 97,774 | 4,258,058 |
Ashland, Inc. | 20,704 | 1,093,378 |
Burlington Resources, Inc. | 119,212 | 4,313,090 |
ChevronTexaco Corp. | 315,233 | 29,666,578 |
ConocoPhillips | 204,045 | 15,566,593 |
Devon Energy Corp. | 70,052 | 4,623,432 |
El Paso Corp. | 188,398 | 1,484,576 |
EOG Resources, Inc. | 35,100 | 2,095,821 |
ExxonMobil Corp. | 1,929,968 | 85,709,879 |
Kerr-McGee Corp. | 45,094 | 2,424,704 |
Kinder Morgan, Inc. | 36,559 | 2,167,583 |
Marathon Oil Corp. | 101,731 | 3,849,501 |
Occidental Petroleum Corp. | 116,731 | 5,650,948 |
Sunoco, Inc. | 22,286 | 1,417,835 |
Unocal Corp. | 78,430 | 2,980,340 |
Valero Energy Corp. | 37,900 | 2,795,504 |
Williams Companies, Inc. | 153,123 | 1,822,164 |
178,466,747 | ||
Financials 20.2% | ||
Banks 6.7% | ||
AmSouth Bancorp. | 105,499 | 2,687,060 |
Bank of America Corp. | 601,056 | 50,861,359 |
Bank One Corp. | 331,318 | 16,897,218 |
BB&T Corp. | 166,018 | 6,137,685 |
Charter One Financial, Inc. | 66,862 | 2,954,632 |
Comerica, Inc. | 51,857 | 2,845,912 |
Fifth Third Bancorp. | 166,591 | 8,959,264 |
First Horizon National Corp. | 37,491 | 1,704,716 |
Golden West Financial Corp. | 44,928 | 4,778,093 |
Huntington Bancshares, Inc. | 69,396 | 1,589,168 |
KeyCorp. | 122,283 | 3,655,039 |
M&T Bank Corp. | 35,400 | 3,090,420 |
Marshall & Ilsley Corp. | 66,555 | 2,601,635 |
National City Corp. | 200,023 | 7,002,805 |
North Fork Bancorp., Inc. | 48,232 | 1,835,228 |
PNC Financial Services Group | 83,861 | 4,451,342 |
Regions Financial Corp. | 65,784 | 2,404,405 |
SouthTrust Corp. | 98,220 | 3,811,918 |
Sovereign Bancorp, Inc. | 90,511 | 2,000,293 |
SunTrust Banks, Inc. | 83,892 | 5,452,141 |
Synovus Financial Corp. | 91,521 | 2,317,312 |
Union Planters Corp. | 57,415 | 1,711,541 |
US Bancorp. | 559,915 | 15,431,257 |
Wachovia Corp. | 388,267 | 17,277,882 |
Washington Mutual, Inc. | 254,761 | 9,843,965 |
Wells Fargo & Co. | 497,878 | 28,493,558 |
Zions Bancorp. | 27,056 | 1,662,591 |
212,458,439 | ||
Capital Markets 2.7% | ||
Bank of New York Co., Inc. | 230,531 | 6,796,054 |
Bear Stearns Companies, Inc. | 30,908 | 2,605,854 |
Charles Schwab Corp. | 402,097 | 3,864,152 |
E*TRADE Financial Corp.* | 107,600 | 1,199,740 |
Federated Investors, Inc. "B" | 31,800 | 964,812 |
Franklin Resources, Inc. | 73,671 | 3,689,444 |
Goldman Sachs Group, Inc. | 142,169 | 13,386,633 |
Janus Capital Group, Inc. | 70,479 | 1,162,199 |
Lehman Brothers Holdings, Inc. | 81,522 | 6,134,531 |
Mellon Financial Corp. | 126,501 | 3,710,274 |
Merrill Lynch & Co., Inc. | 283,104 | 15,281,954 |
Morgan Stanley | 323,764 | 17,085,026 |
Northern Trust Corp. | 65,105 | 2,752,639 |
State Street Corp. | 99,834 | 4,895,859 |
T. Rowe Price Group, Inc. | 37,276 | 1,878,710 |
85,407,881 | ||
Consumer Finance 1.3% | ||
American Express Co. | 376,843 | 19,362,193 |
Capital One Finance Corp. | 69,958 | 4,783,728 |
MBNA Corp. | 377,205 | 9,728,117 |
Providian Financial Corp.* | 87,189 | 1,279,063 |
SLM Corp. | 129,865 | 5,253,039 |
40,406,140 | ||
Diversified Financial Services 4.5% | ||
Citigroup, Inc. | 1,524,360 | 70,882,740 |
Countrywide Financial Corp. | 82,572 | 5,800,683 |
Fannie Mae | 285,728 | 20,389,550 |
Freddie Mac | 203,131 | 12,858,192 |
J.P. Morgan Chase & Co. | 614,574 | 23,827,034 |
MGIC Investment Corp. | 29,763 | 2,257,821 |
Moody's Corp. | 44,100 | 2,851,506 |
Principal Financial Group, Inc. | 94,019 | 3,269,981 |
142,137,507 | ||
Insurance 4.6% | ||
ACE Ltd. | 84,528 | 3,573,844 |
AFLAC, Inc. | 149,844 | 6,115,134 |
Allstate Corp. | 208,070 | 9,685,658 |
AMBAC Financial Group, Inc. | 32,634 | 2,396,641 |
American International Group, Inc. | 769,048 | 54,817,741 |
Aon Corp. | 93,587 | 2,664,422 |
Chubb Corp. | 56,579 | 3,857,556 |
Cincinnati Financial Corp. | 50,704 | 2,206,638 |
Hartford Financial Services Group, Inc. | 86,746 | 5,962,920 |
Jefferson-Pilot Corp. | 41,188 | 2,092,350 |
Lincoln National Corp. | 52,478 | 2,479,586 |
Loews Corp. | 55,462 | 3,325,502 |
Marsh & McLennan Companies, Inc. | 154,632 | 7,017,200 |
MBIA, Inc. | 43,446 | 2,481,636 |
MetLife, Inc. | 222,611 | 7,980,604 |
Progressive Corp. | 64,647 | 5,514,389 |
Prudential Financial, Inc. | 154,916 | 7,198,947 |
Safeco Corp. | 42,189 | 1,856,316 |
St. Paul Companies, Inc. | 197,675 | 8,013,744 |
Torchmark Corp. | 32,810 | 1,765,178 |
UnumProvident Corp. | 87,294 | 1,387,975 |
XL Capital Ltd. "A" | 41,332 | 3,118,913 |
145,512,894 | ||
Real Estate 0.4% | ||
Apartment Investment & Management Co. (REIT) | 27,700 | 862,301 |
Equity Office Properties Trust (REIT) | 118,911 | 3,234,379 |
Equity Residential (REIT) | 82,560 | 2,454,509 |
Plum Creek Timber Co., Inc. (REIT) | 54,024 | 1,760,102 |
ProLogis (REIT) | 53,400 | 1,757,928 |
Simon Property Group, Inc. (REIT) | 60,934 | 3,133,226 |
13,202,445 | ||
Health Care 13.4% | ||
Biotechnology 1.2% | ||
Amgen, Inc.* | 375,324 | 20,481,431 |
Applera Corp. - Applied Biosystems Group | 61,435 | 1,336,211 |
Biogen Idec, Inc.* | 97,771 | 6,184,016 |
Chiron Corp.* | 56,027 | 2,501,045 |
Genzyme Corp. (General Division)* | 66,940 | 3,168,270 |
Gilead Sciences, Inc.* | 63,280 | 4,239,760 |
MedImmune, Inc.* | 73,937 | 1,730,126 |
39,640,859 | ||
Health Care Equipment & Supplies 2.2% | ||
Bausch & Lomb, Inc. | 15,601 | 1,015,157 |
Baxter International, Inc. | 180,598 | 6,232,437 |
Becton, Dickinson and Co. | 74,592 | 3,863,866 |
Biomet, Inc. | 74,975 | 3,331,889 |
Boston Scientific Corp.* | 246,006 | 10,529,057 |
C.R. Bard, Inc. | 30,694 | 1,738,815 |
Guidant Corp. | 92,382 | 5,162,306 |
Hospira, Inc.* | 45,922 | 1,267,447 |
Medtronic, Inc. | 357,099 | 17,397,863 |
Millipore Corp.* | 14,581 | 821,931 |
St. Jude Medical, Inc.* | 51,463 | 3,893,176 |
Stryker Corp. | 117,848 | 6,481,640 |
Thermo Electron Corp.* | 48,828 | 1,500,973 |
Waters Corp.* | 35,205 | 1,682,095 |
Zimmer Holdings, Inc.* | 71,908 | 6,342,286 |
71,260,938 | ||
Health Care Providers & Services 2.1% | ||
Aetna, Inc. | 44,849 | 3,812,165 |
AmerisourceBergen Corp. | 34,324 | 2,051,889 |
Anthem, Inc.* | 40,842 | 3,657,809 |
Cardinal Health, Inc. | 127,868 | 8,957,153 |
Caremark Rx, Inc.* | 133,300 | 4,390,902 |
CIGNA Corp. | 41,625 | 2,864,216 |
Express Scripts, Inc. "A"* | 23,000 | 1,822,290 |
HCA, Inc. | 143,085 | 5,950,905 |
Health Management Associates, Inc. "A" | 71,633 | 1,606,012 |
Humana, Inc.* | 47,551 | 803,612 |
IMS Health, Inc. | 69,206 | 1,622,189 |
Manor Care, Inc. | 26,209 | 856,510 |
McKesson Corp. | 88,415 | 3,035,287 |
Medco Health Solutions, Inc.* | 79,888 | 2,995,800 |
Quest Diagnostics, Inc. | 30,451 | 2,586,812 |
Tenet Healthcare Corp.* | 137,148 | 1,839,155 |
UnitedHealth Group, Inc. | 181,412 | 11,292,897 |
WellPoint Health Networks, Inc.* | 45,866 | 5,137,451 |
65,283,054 | ||
Pharmaceuticals 7.9% | ||
Abbott Laboratories | 461,222 | 18,799,409 |
Allergan, Inc. | 39,539 | 3,539,531 |
Bristol-Myers Squibb Co. | 575,636 | 14,103,082 |
Eli Lilly & Co. | 333,747 | 23,332,253 |
Forest Laboratories, Inc.* | 110,181 | 6,239,550 |
Johnson & Johnson | 875,801 | 48,782,116 |
King Pharmaceuticals, Inc.* | 73,375 | 840,144 |
Merck & Co., Inc. | 656,106 | 31,165,035 |
Mylan Laboratories, Inc. | 82,700 | 1,674,675 |
Pfizer, Inc. | 2,249,893 | 77,126,332 |
Schering-Plough Corp. | 437,552 | 8,085,961 |
Watson Pharmaceuticals, Inc.* | 33,607 | 904,028 |
Wyeth | 394,809 | 14,276,293 |
248,868,409 | ||
Industrials 11.4% | ||
Aerospace & Defense 2.0% | ||
Boeing Co. | 248,620 | 12,701,996 |
General Dynamics Corp. | 58,830 | 5,841,819 |
Goodrich Corp. | 35,138 | 1,136,011 |
Honeywell International, Inc. | 253,368 | 9,280,870 |
Lockheed Martin Corp. | 132,526 | 6,901,954 |
Northrop Grumman Corp. | 106,150 | 5,700,255 |
Raytheon Co. | 132,323 | 4,733,194 |
Rockwell Collins, Inc. | 52,744 | 1,757,430 |
United Technologies Corp. | 151,820 | 13,888,494 |
61,942,023 | ||
Air Freight & Logistics 1.1% | ||
FedEx Corp. | 88,001 | 7,188,802 |
Ryder System, Inc. | 19,290 | 772,950 |
United Parcel Service, Inc. "B" | 332,070 | 24,961,702 |
32,923,454 | ||
Airlines 0.1% | ||
Delta Air Lines, Inc.* | 36,718 | 261,432 |
Southwest Airlines Co. | 232,791 | 3,903,905 |
4,165,337 | ||
Building Products 0.2% | ||
American Standard Companies, Inc.* | 64,252 | 2,589,998 |
Masco Corp. | 129,105 | 4,025,494 |
6,615,492 | ||
Commercial Services & Supplies 1.1% | ||
Allied Waste Industries, Inc.* | 98,746 | 1,301,472 |
Apollo Group, Inc. "A"* | 51,983 | 4,589,579 |
Avery Dennison Corp. | 32,631 | 2,088,710 |
Cendant Corp. | 300,473 | 7,355,579 |
Cintas Corp. | 50,466 | 2,405,714 |
Deluxe Corp. | 14,652 | 637,362 |
Equifax, Inc. | 40,309 | 997,648 |
H&R Block, Inc. | 51,991 | 2,478,931 |
Monster Worldwide, Inc.* | 33,689 | 866,481 |
Pitney Bowes, Inc. | 68,085 | 3,012,761 |
R.R. Donnelley & Sons Co. | 63,921 | 2,110,672 |
Robert Half International, Inc. | 50,575 | 1,505,618 |
Waste Management, Inc. | 173,340 | 5,312,871 |
34,663,398 | ||
Construction & Engineering 0.0% | ||
Fluor Corp. | 24,504 | 1,168,106 |
Electrical Equipment 0.4% | ||
American Power Conversion Corp. | 58,997 | 1,159,291 |
Cooper Industries, Inc. "A" | 27,201 | 1,616,011 |
Emerson Electric Co. | 124,270 | 7,897,359 |
Power-One, Inc.* | 24,627 | 270,404 |
Rockwell Automation, Inc. | 54,756 | 2,053,898 |
Thomas & Betts Corp.* | 17,349 | 472,413 |
13,469,376 | ||
Industrial Conglomerates 4.5% | ||
3M Co. | 230,466 | 20,744,245 |
General Electric Co. | 3,109,765 | 100,756,386 |
Textron, Inc. | 40,827 | 2,423,082 |
Tyco International Ltd. | 591,829 | 19,613,213 |
143,536,926 | ||
Machinery 1.5% | ||
Caterpillar, Inc. | 101,034 | 8,026,141 |
Crane Co. | 18,509 | 580,998 |
Cummins, Inc. | 12,723 | 795,188 |
Danaher Corp. | 90,722 | 4,703,936 |
Deere & Co. | 73,696 | 5,169,037 |
Dover Corp. | 60,759 | 2,557,954 |
Eaton Corp. | 44,654 | 2,890,900 |
Illinois Tool Works, Inc. | 91,571 | 8,780,743 |
Ingersoll-Rand Co. "A" | 51,527 | 3,519,809 |
ITT Industries, Inc. | 27,746 | 2,302,918 |
Navistar International Corp.* | 21,071 | 816,712 |
PACCAR, Inc. | 51,985 | 3,014,610 |
Pall Corp. | 38,210 | 1,000,720 |
Parker-Hannifin Corp. | 35,868 | 2,132,711 |
46,292,377 | ||
Road & Rail 0.4% | ||
Burlington Northern Santa Fe Corp. | 109,286 | 3,832,660 |
CSX Corp. | 63,226 | 2,071,916 |
Norfolk Southern Corp. | 115,544 | 3,064,227 |
Union Pacific Corp. | 76,365 | 4,539,899 |
13,508,702 | ||
Trading Companies & Distributors 0.1% | ||
W.W. Grainger, Inc. | 27,362 | 1,573,315 |
Information Technology 17.0% | ||
Communications Equipment 3.1% | ||
ADC Telecommunications, Inc.* | 253,324 | 719,440 |
Andrew Corp.* | 47,367 | 947,814 |
Avaya, Inc.* | 126,755 | 2,001,461 |
CIENA Corp.* | 145,489 | 541,219 |
Cisco Systems, Inc.* | 1,991,764 | 47,204,807 |
Comverse Technologies, Inc.* | 57,605 | 1,148,644 |
Corning, Inc.* | 402,390 | 5,255,213 |
JDS Uniphase Corp.* | 424,219 | 1,607,790 |
Lucent Technologies, Inc.* | 1,262,495 | 4,772,231 |
Motorola, Inc. | 690,596 | 12,603,377 |
QLogic Corp.* | 27,500 | 731,225 |
QUALCOMM, Inc. | 238,627 | 17,414,999 |
Scientific-Atlanta, Inc. | 45,117 | 1,556,537 |
Tellabs, Inc.* | 122,530 | 1,070,912 |
97,575,669 | ||
Computers & Peripherals 3.6% | ||
Apple Computer, Inc.* | 110,339 | 3,590,431 |
Dell, Inc.* | 743,247 | 26,623,107 |
EMC Corp.* | 719,962 | 8,207,567 |
Gateway, Inc.* | 84,125 | 378,562 |
Hewlett-Packard Co. | 898,236 | 18,952,780 |
International Business Machines Corp. | 496,920 | 43,803,498 |
Lexmark International, Inc.* | 38,257 | 3,692,948 |
NCR Corp.* | 27,849 | 1,381,032 |
Network Appliance, Inc.* | 102,409 | 2,204,866 |
Sun Microsystems, Inc.* | 979,765 | 4,252,180 |
113,086,971 | ||
Electronic Equipment & Instruments 0.4% | ||
Agilent Technologies, Inc.* | 141,841 | 4,153,104 |
Jabil Circuit, Inc.* | 59,175 | 1,490,026 |
Molex, Inc. | 55,886 | 1,792,823 |
PerkinElmer, Inc. | 37,663 | 754,767 |
Sanmina-SCI Corp.* | 153,438 | 1,396,286 |
Solectron Corp.* | 259,027 | 1,675,905 |
Symbol Technologies, Inc. | 69,019 | 1,017,340 |
Tektronix, Inc. | 24,910 | 847,438 |
13,127,689 | ||
Internet Software & Services 0.5% | ||
Yahoo!, Inc.* | 396,722 | 14,412,910 |
IT Consulting & Services 1.2% | ||
Affiliated Computer Services, Inc. "A"* | 40,100 | 2,122,894 |
Automatic Data Processing, Inc. | 173,937 | 7,284,481 |
Computer Sciences Corp.* | 55,232 | 2,564,422 |
Convergys Corp.* | 42,240 | 650,496 |
Electronic Data Systems Corp. | 142,719 | 2,733,069 |
First Data Corp. | 256,988 | 11,441,106 |
Fiserv, Inc.* | 57,450 | 2,234,230 |
Paychex, Inc. | 111,267 | 3,769,726 |
Sabre Holdings Corp. | 42,446 | 1,176,179 |
SunGard Data Systems, Inc.* | 85,508 | 2,223,208 |
Unisys Corp.* | 98,184 | 1,362,794 |
37,562,605 | ||
Office Electronics 0.1% | ||
Xerox Corp.* | 235,756 | 3,418,462 |
Semiconductors & Semiconductor Equipment 3.6% | ||
Advanced Micro Devices, Inc.* | 104,097 | 1,655,142 |
Altera Corp.* | 110,243 | 2,449,599 |
Analog Devices, Inc. | 110,768 | 5,214,957 |
Applied Materials, Inc.* | 496,635 | 9,743,979 |
Applied Micro Circuits Corp.* | 91,883 | 488,818 |
Broadcom Corp. "A"* | 90,380 | 4,227,073 |
Intel Corp. | 1,905,382 | 52,588,543 |
KLA-Tencor Corp.* | 57,885 | 2,858,361 |
Linear Technology Corp. | 91,106 | 3,595,954 |
LSI Logic Corp.* | 112,555 | 857,669 |
Maxim Integrated Products, Inc. | 94,943 | 4,976,912 |
Micron Technology, Inc.* | 179,849 | 2,753,488 |
National Semiconductor Corp.* | 105,666 | 2,323,595 |
Novellus Systems, Inc.* | 43,582 | 1,370,218 |
NVIDIA Corp.* | 48,399 | 992,180 |
PMC-Sierra, Inc.* | 51,602 | 740,489 |
Teradyne, Inc.* | 57,158 | 1,297,487 |
Texas Instruments, Inc. | 509,948 | 12,330,543 |
Xilinx, Inc. | 102,213 | 3,404,715 |
113,869,722 | ||
Software 4.5% | ||
Adobe Systems, Inc. | 71,252 | 3,313,218 |
Autodesk, Inc. | 34,424 | 1,473,691 |
BMC Software, Inc.* | 67,869 | 1,255,576 |
Citrix Systems, Inc.* | 50,914 | 1,036,609 |
Computer Associates International, Inc. | 173,815 | 4,877,249 |
Compuware Corp.* | 119,521 | 788,839 |
Electronic Arts, Inc.* | 89,906 | 4,904,372 |
Intuit, Inc.* | 57,433 | 2,215,765 |
Mercury Interactive Corp.* | 27,579 | 1,374,262 |
Microsoft Corp. | 3,181,285 | 90,857,500 |
Novell, Inc.* | 118,882 | 997,420 |
Oracle Corp.* | 1,533,829 | 18,298,580 |
Parametric Technology Corp.* | 70,403 | 352,015 |
PeopleSoft, Inc.* | 109,636 | 2,028,266 |
Siebel Systems, Inc.* | 151,733 | 1,620,508 |
Symantec Corp.* | 92,820 | 4,063,660 |
VERITAS Software Corp.* | 128,668 | 3,564,104 |
143,021,634 | ||
Materials 2.9% | ||
Chemicals 1.5% | ||
Air Products & Chemicals, Inc. | 67,090 | 3,518,871 |
Dow Chemical Co. | 275,991 | 11,232,834 |
E.I. du Pont de Nemours & Co. | 294,852 | 13,097,326 |
Eastman Chemical Co. | 22,986 | 1,062,643 |
Ecolab, Inc. | 75,942 | 2,407,361 |
Engelhard Corp. | 37,461 | 1,210,365 |
Great Lakes Chemical Corp. | 15,071 | 407,821 |
Hercules, Inc.* | 33,030 | 402,636 |
International Flavors & Fragrances, Inc. | 27,916 | 1,044,058 |
Monsanto Co. | 78,492 | 3,021,942 |
PPG Industries, Inc. | 50,662 | 3,165,868 |
Praxair, Inc. | 95,928 | 3,828,486 |
Rohm & Haas Co. | 66,189 | 2,752,139 |
Sigma-Aldrich Corp. | 20,534 | 1,224,032 |
48,376,382 | ||
Construction Materials 0.0% | ||
Vulcan Materials Co. | 30,131 | 1,432,729 |
Containers & Packaging 0.2% | ||
Ball Corp. | 16,812 | 1,211,304 |
Bemis Co., Inc. | 31,530 | 890,722 |
Pactiv Corp.* | 45,949 | 1,145,968 |
Sealed Air Corp.* | 25,036 | 1,333,668 |
Temple-Inland, Inc. | 16,331 | 1,130,922 |
5,712,584 | ||
Metals & Mining 0.7% | ||
Alcoa, Inc. | 256,951 | 8,487,092 |
Allegheny Technologies, Inc. | 24,079 | 434,626 |
Freeport-McMoRan Copper & Gold, Inc. "B" | 51,390 | 1,703,578 |
Newmont Mining Corp. | 129,000 | 5,000,040 |
Nucor Corp. | 23,409 | 1,796,875 |
Phelps Dodge Corp. | 27,737 | 2,149,895 |
United States Steel Corp. | 32,192 | 1,130,583 |
Worthington Industries, Inc. | 25,765 | 528,955 |
21,231,644 | ||
Paper & Forest Products 0.5% | ||
Georgia-Pacific Corp. | 75,132 | 2,778,381 |
International Paper Co. | 143,062 | 6,394,872 |
Louisiana-Pacific Corp. | 31,591 | 747,127 |
MeadWestvaco Corp. | 59,393 | 1,745,560 |
Weyerhaeuser Co. | 69,964 | 4,416,128 |
16,082,068 | ||
Telecommunication Services 3.4% | ||
Diversified Telecommunication Services 2.8% | ||
ALLTEL Corp. | 90,736 | 4,593,056 |
AT&T Corp. | 236,448 | 3,459,234 |
BellSouth Corp. | 541,807 | 14,206,180 |
CenturyTel, Inc. | 42,155 | 1,266,336 |
Citizens Communications Co. | 87,605 | 1,060,020 |
Qwest Communications International, Inc.* | 535,781 | 1,923,454 |
SBC Communications, Inc. | 977,148 | 23,695,839 |
Sprint Corp. (FON Group) | 422,217 | 7,431,019 |
Verizon Communications, Inc. | 817,052 | 29,569,112 |
87,204,250 | ||
Wireless Telecommunication Services 0.6% | ||
AT&T Wireless Services, Inc.* | 803,404 | 11,504,745 |
Nextel Communications, Inc. "A"* | 326,925 | 8,715,821 |
20,220,566 | ||
Utilities 2.7% | ||
Electric Utilities 1.8% | ||
Allegheny Energy, Inc.* | 36,818 | 567,365 |
Ameren Corp. | 52,519 | 2,256,216 |
American Electric Power Co. | 117,015 | 3,744,480 |
CenterPoint Energy, Inc. | 91,868 | 1,056,482 |
CINergy Corp. | 53,436 | 2,030,568 |
CMS Energy Corp.* | 44,649 | 407,645 |
Consolidated Edison, Inc. | 71,416 | 2,839,500 |
DTE Energy Co. | 51,503 | 2,087,932 |
Edison International | 96,590 | 2,469,806 |
Entergy Corp. | 68,109 | 3,814,785 |
Exelon Corp. | 195,238 | 6,499,473 |
FirstEnergy Corp. | 97,595 | 3,651,029 |
FPL Group, Inc. | 54,647 | 3,494,676 |
PG&E Corp.* | 124,047 | 3,465,873 |
Pinnacle West Capital Corp. | 26,996 | 1,090,369 |
PPL Corp. | 51,324 | 2,355,772 |
Progress Energy, Inc. | 73,050 | 3,217,853 |
Southern Co. | 217,788 | 6,348,520 |
TECO Energy, Inc. | 56,788 | 680,888 |
TXU Corp. | 95,825 | 3,881,871 |
Xcel Energy, Inc. | 118,537 | 1,980,753 |
57,941,856 | ||
Gas Utilities 0.2% | ||
KeySpan Corp. | 47,175 | 1,731,322 |
NICOR, Inc. | 12,937 | 439,470 |
NiSource, Inc. | 77,566 | 1,599,411 |
Peoples Energy Corp. | 10,557 | 444,978 |
4,215,181 | ||
Multi-Utilities & Unregulated Power 0.7% | ||
AES Corp.* | 189,350 | 1,880,246 |
Calpine Corp.* | 126,093 | 544,722 |
Constellation Energy Group, Inc. | 50,087 | 1,898,297 |
Dominion Resources, Inc. | 96,418 | 6,082,047 |
Duke Energy Corp. | 270,332 | 5,485,036 |
Dynegy, Inc. "A"* | 115,461 | 491,864 |
Public Service Enterprise Group, Inc. | 70,073 | 2,805,022 |
Sempra Energy | 67,690 | 2,330,567 |
21,517,801 | ||
Total Common Stocks (Cost $2,930,244,863) | 3,142,668,094 |
Principal Amount ($) | Value ($) | |
US Treasury Obligation 0.1% | ||
US Treasury Bill: | ||
0.95%**, 7/22/2004 (c) | 2,055,000 | 2,053,861 |
0.97%**, 7/22/2004 (c) | 185,000 | 184,895 |
Total US Treasury Obligation (Cost $2,238,756) | 2,238,756 |
| Value ($) | |
Cash Equivalents 0.5% | ||
Cash Management Fund Institutional, 0.96% (b) (Cost $17,091,720) | 17,091,720 | 17,091,720 |
Total Investment Portfolio - 100.0% (Cost $2,949,575,339) (a) | 3,161,998,570 |
* Non-income producing security.
** Annualized yield at time of purchase; not a coupon rate.
(a) The cost for federal income tax purposes was $3,153,538,521. At June 30, 2004, net unrealized appreciation for all securities based on tax cost was $8,460,049. This consisted of aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost of $441,147,604 and aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value of $432,687,555.
(b) Cash Management Fund Institutional, an affiliated fund, is also managed by Deutsche Asset Management, Inc. The rate shown is the annualized seven-day yield at period end.
(c) At June 30, 2004, this security has been segregated, in whole or in part, to cover initial margin requirements for open futures contracts.
At June 30, 2004, open futures contracts purchased were as follows:
Futures | Expiration Date | Contracts | Aggregate Face Value ($) | Market Value ($) | Unrealized Appreciation ($) |
S&P 500 Index | 9/16/2004 | 59 | 16,676,795 | 16,820,900 | 144,105 |
Total unrealized appreciation on open futures contracts | 144,105 |
The accompanying notes are an integral part of the financial statements.
Statement of Assets and Liabilities as of June 30, 2004 (Unaudited) | |
Assets | |
Investments: Investments in securities, at value (cost $2,942,483,619) | $ 3,144,906,850 |
Investment in Cash Management Fund Institutional (cost $17,091,720) | 17,091,720 |
Total investments in securities, at value (cost $2,949,575,339) | 3,161,998,570 |
Receivable for investments sold | 567,045 |
Dividends receivable | 3,650,461 |
Interest receivable | 22,525 |
Receivable for daily variation margin on open futures contracts | 90,480 |
Other assets | 43,210 |
Total assets | 3,166,372,291 |
Liabilities | |
Due to Custodian Bank | 764 |
Payable for investments purchased | 6,794,358 |
Accrued advisory fee | 67,453 |
Other accrued expenses and payables | 15,258 |
Total liabilities | 6,877,833 |
Net assets | $ 3,159,494,458 |
The accompanying notes are an integral part of the financial statements.
Statement of Operations for the six months ended June 30, 2004 (Unaudited) | |
Investment Income | |
Dividends | $ 27,132,057 |
Dividends from Cash Management Fund Institutional | 116,100 |
Interest | 14,170 |
Total income | 27,262,327 |
Expenses: Advisory fee | 813,887 |
Audit fees | 24,652 |
Legal | 8,800 |
Trustees' fees and expenses | 86,638 |
Other | 41,911 |
Total expenses, before expense reductions | 975,888 |
Expense reductions | (141,849) |
Total expenses, after expense reductions | 834,039 |
Net investment income (loss) | 26,428,288 |
Realized and Unrealized Gain (Loss) on Investment Transactions | |
Net realized gain (loss) from: Investments | (72,036,997) |
Futures | 2,049,731 |
(69,987,266) | |
Net unrealized appreciation (depreciation) during the period on: Investments | 145,660,524 |
Futures | (785,020) |
144,875,504 | |
Net gain (loss) on investment transactions | 74,888,238 |
Net increase (decrease) in net assets resulting from operations | $ 101,316,526 |
The accompanying notes are an integral part of the financial statements.
Statement of Changes in Net Assets | ||
Increase (Decrease) in Net Assets | Six Months Ended June 30, 2004 (Unaudited) | Year Ended December 31, 2003 |
Operations: Net investment income (loss) | $ 26,428,288 | $ 50,560,305 |
Net realized gain (loss) on investment transactions | (69,987,266) | (74,513,724) |
Net unrealized appreciation (depreciation) on investment transactions during the period | 144,875,504 | 804,144,295 |
Net increase (decrease) in net assets resulting from operations | 101,316,526 | 780,190,876 |
Capital transactions in shares of beneficial interest: Proceeds from capital invested | 237,448,757 | 657,061,132 |
Subscriptions in-kind | - | 193,116,766 |
Redemptions in-kind | - | (349,053,097) |
Value of capital withdrawn | (438,967,995) | (369,650,419) |
Net increase (decrease) in net assets from capital transactions in shares of beneficial interest | (201,519,238) | 131,474,382 |
Increase (decrease) in net assets | (100,202,712) | 911,665,258 |
Net assets at beginning of period | 3,259,697,170 | 2,348,031,912 |
Net assets at end of period | $ 3,159,494,458 | $ 3,259,697,170 |
The accompanying notes are an integral part of the financial statements.
Years Ended December 31, | 2004a | 2003 | 2002 | 2001 | 2000 | 1999 |
Ratios to Average Net Assets and Supplemental Data | ||||||
Net assets, end of period ($ millions) | 3,159 | 3,260 | 2,348 | 2,961 | 7,089 | 8,165 |
Ratio of expenses before expense reductions (%) | .06* | .05 | .05 | .05 | .06 | .08 |
Ratio of expenses after expense reductions (%) | .05* | .05 | .05 | .05 | .06b | .08 |
Ratio of net investment income (loss) (%) | 1.59* | 1.74 | 1.56 | 1.29 | 1.18 | 1.35 |
Portfolio turnover rate (%) | 8* | 8c | 19 | 9c | 28 | 13 |
Total investment return (%)d,e | 3.38** | 28.50 | (22.02) | - | - | - |
a For the six months ended June 30, 2004 (Unaudited). b Effective March 15, 2000, the Advisor and Administrator contractually agreed to limit the annual operating expenses of the portfolio to 0.05% of the portfolio's average daily net assets. c Excludes portfolio securities delivered as a result of processing redemption in-kind transactions. d Total investment return would have been lower had certain expenses not been reduced. e Total investment return for the Portfolio was derived from the performance of the Premier Class of Scudder Equity 500 Index Fund. * Annualized ** Not annualized |
A. Significant Accounting Policies
The Scudder Equity 500 Index Portfolio (the "Portfolio") (formerly Equity 500 Index Portfolio) is registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as a diversified open-end management investment company organized as a New York business trust.
The Portfolio's financial statements are prepared in accordance with accounting principles generally accepted in the United States of America which require the use of management estimates. Actual results could differ from those estimates. The policies described below are followed consistently by the Portfolio in the preparation of its financial statements.
Security Valuation. Investments are stated at value determined as of the close of regular trading on the New York Stock Exchange on each day the exchange is open for trading. Equity securities are valued at the most recent sale price or official closing price reported on the exchange (US or foreign) or over-the-counter market on which the security is traded most extensively. Securities for which no sales are reported are valued at the calculated mean between the most recent bid and asked quotations on the relevant market or, if a mean cannot be determined, at the most recent bid quotation.
Money market instruments purchased with an original or remaining maturity of sixty days or less, maturing at par, are valued at amortized cost. Investments in open-end investments companies and Cash Management Fund Institutional are valued at their net asset value each business day.
Securities and other assets for which market quotations are not readily available or for which the above valuation procedures are deemed not to reflect fair value are valued in a manner that is intended to reflect their fair value as determined in accordance with procedures approved by the Trustees.
Futures Contracts. A futures contract is an agreement between a buyer or seller and an established futures exchange or its clearinghouse in which the buyer or seller agrees to take or make a delivery of a specific amount of a financial instrument at a specified price on a specific date (settlement date). The Portfolio may enter into futures contracts as a hedge against anticipated interest rate, currency or equity market changes, and for duration management, risk management and return enhancement purposes.
Upon entering into a futures contract, the Portfolio is required to deposit with a financial intermediary an amount ("initial margin") equal to a certain percentage of the face value indicated in the futures contract. Subsequent payments ("variation margin") are made or received by the Portfolio dependent upon the daily fluctuations in the value of the underlying security and are recorded for financial reporting purposes as unrealized gains or losses by the Portfolio. When entering into a closing transaction, the Portfolio will realize a gain or loss equal to the difference between the value of the futures contract to sell and the futures contract to buy. Futures contracts are valued at the most recent settlement price.
Certain risks may arise upon entering into futures contracts, including the risk that an illiquid secondary market will limit the Portfolio's ability to close out a futures contract prior to the settlement date and that a change in the value of a futures contract may not correlate exactly with the changes in the value of the securities or currencies hedged. When utilizing futures contracts to hedge, the Portfolio gives up the opportunity to profit from favorable price movements in the hedged positions during the term of the contract.
Federal Income Taxes. The Portfolio is considered a partnership under the Internal Revenue Code, as amended. Therefore, no federal income tax provision is necessary.
Other. Investment transactions are accounted for on a trade date plus one basis for daily net asset value calculations. However, for financial reporting purposes, investment security transactions are reported on trade date. Interest income is recorded on the accrual basis. Dividend income is recorded on the ex-dividend date. Realized gains and losses from investment transactions are recorded on an identified cost basis.
The Portfolio makes a daily allocation of its net investment income and realized and unrealized gains and losses from securities, futures and foreign currency transactions to its investors in proportion to their investment in the Portfolio.
B. Purchases and Sales of Securities
During the six months ended June 30, 2004, purchases and sales of investment securities (excluding short-term investments) aggregated $138,194,728 and $299,530,655, respectively.
C. Related Parties
Scudder Investments is part of Deutsche Asset Management, which is the marketing name in the US for the asset management activities of Deutsche Bank AG. Deutsche Asset Management, Inc. ("DeAM, Inc." or the "Advisor") is the Advisor for the Portfolio and Investment Company Capital Corp. ("ICCC" or the "Administrator") is the Administrator for the Portfolio, both wholly owned subsidiaries of Deutsche Bank AG. For its services as Administrator, ICCC does not receive a fee.
Investment Advisory Agreement. Under the Investment Advisory Agreement, the Advisor directs the investments of the Portfolio in accordance with its investment objectives, policies and restrictions. The advisory fee payable under the Investment Advisory Agreement is equal to an annual rate of 0.05% of the Portfolio's average daily net assets, computed and accrued daily and payable monthly. Northern Trust Investments, N.A. ("NTI") serves as sub-advisor to the Portfolio and is paid by the Advisor for its services. NTI is responsible for the day to day management of the Portfolio. The Advisor waives a portion of its advisory fees equivalent to the advisory fees charged on assets invested in the affiliated money market fund, Cash Management Fund Institutional.
In addition, for the six months ended June 30, 2004, the Advisor maintained the annualized expenses of the Portfolio at not more than 0.05% of the Portfolio's average daily net assets. The amount of the waiver and whether the Advisor waives its fees may vary at any time without notice to shareholders.
Accordingly, for the six months ended June 30, 2004, the Advisor did not impose a portion of its advisory fee pursuant to the Investment Advisory Agreement aggregating $135,208 and the amount imposed aggregated $678,679, which was equivalent to an annualized effective rate of 0.04% of the Portfolio's average net assets.
For the six months ended June 30, 2004, the Advisor had agreed to reimburse the Fund an additional $6,641 for expenses.
Trustees' Fees and Expenses. As compensation for his or her services, each Independent Trustee receives an aggregate annual fee, plus a fee for each meeting attended (plus reimbursement for reasonable out-of-pocket expenses incurred in connection with his or her attendance at board and committee meetings) from each Fund in the Fund Complex for which he or she serves. In addition, the Chairman of the Fund Complex's Audit Committee receives an annual fee for his services. Payment of such fees and expenses is allocated among all such Funds described above in direct proportion to their relative net assets.
Other. The Portfolio may invest in Cash Management Fund Institutional, an open-end management investment company managed by DeAM, Inc. Distributions from Cash Management Fund Institutional to the Portfolio for the six months ended June 30, 2004, totaled $116,100.
D. Line of Credit
The Portfolio and several other affiliated funds (the ``Participants'') share in a $1.25 billion revolving credit facility administered by J.P. Morgan Chase Bank for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities. The Participants are charged an annual commitment fee which is allocated, based upon net assets, among each of the Participants. Interest is calculated at the Federal Funds Rate plus 0.5 percent. The Portfolio may borrow up to a maximum of 33 percent of its net assets under the agreement.
E. Regulatory Matters and Litigation
Since at least July 2003, federal, state and industry regulators have been conducting ongoing inquiries and investigations ("inquiries") into the mutual fund industry, and have requested information from numerous mutual fund companies, including Scudder Investments. We are unable to determine what the outcome of these inquiries will be or what the effect, if any, would be on the funds or their advisors. Publicity about mutual fund practices arising from these industry-wide inquiries serves as the general basis of a number of private lawsuits against the Scudder funds. These lawsuits, which previously have been reported in the press, involve purported class action and derivative lawsuits, making various allegations and naming as defendants various persons, including certain Scudder funds, Deutsche Asset Management ("DeAM") and its affiliates, certain individuals, including in some cases Fund Trustees/Directors, and other parties. DeAM has undertaken to bear all liabilities and expenses incurred by the Scudder funds in connection with these lawsuits, or other lawsuits or regulatory actions that may be filed making allegations similar to these lawsuits regarding fund valuation, market timing, revenue sharing or other subjects of the pending inquiries. Based on currently available information, DeAM believes the likelihood that the pending lawsuits will have a material adverse financial impact on a Scudder fund is remote and such actions are not likely to materially affect its ability to perform under its investment management agreements with the Scudder funds.
AARP Investment Program Shareholders | Scudder Class S Shareholders | |
Automated Information Lines | Easy-Access Line (800) 631-4636 | SAIL™ (800) 343-2890 |
Personalized account information, the ability to exchange or redeem shares, and information on other Scudder funds and services via touchtone telephone. | ||
Web Sites | aarp.scudder.com | myScudder.com |
View your account transactions and balances, trade shares, monitor your asset allocation, and change your address, 24 hours a day. Obtain prospectuses and applications, blank forms, interactive worksheets, news about Scudder funds, subscription to fund updates by e-mail, retirement planning information, and more. | ||
For More Information | (800) 253-2277 To speak with an AARP Investment Program service representative. | (800) SCUDDER To speak with a Scudder service representative. |
Written Correspondence | AARP Investment Program from Scudder Investments PO Box 219735Kansas City, MO 64121-9735 | Scudder Investments PO Box 219669Kansas City, MO 64121-9669 |
Proxy Voting | A description of the fund's policies and procedures for voting proxies for portfolio securities and information about how the fund voted proxies related to its portfolio securities during the 12-month period ended June 30 is available on our Web sites - aarp.scudder.com or myScudder.com (type "proxy voting" in the search field) - or on the SEC's Web site - www.sec.gov. To obtain a written copy of the fund's policies and procedures without charge, upon request, call your service representative. | |
Principal Underwriter | If you have questions, comments or complaints, contact: Scudder Distributors, Inc. 222 South Riverside PlazaChicago, IL 60606-5808 (800) 621-1148 | |
Class AARP | Class S | |
Nasdaq Symbol | ASPIX | SCPIX |
Fund Number | 201 | 301 |
This privacy statement is issued by Deutsche Investment Management Americas Inc., Deutsche Asset Management, Inc., Scudder Distributors, Inc., Scudder Investor Services, Inc., Scudder Trust Company and the Scudder Funds.
We never sell customer lists or individual client information. We consider privacy fundamental to our client relationships and adhere to the policies and practices described below to protect current and former clients' information. Internal policies are in place to protect confidentiality, while allowing client needs to be served. Only individuals who need to do so in carrying out their job responsibilities may access client information. We maintain physical, electronic and procedural safeguards that comply with federal standards to protect confidentiality. These safeguards extend to all forms of interaction with us, including the Internet.
In the normal course of business, clients give us nonpublic personal information on applications and other forms, on our websites, and through transactions with us or our affiliates. Examples of the nonpublic personal information collected are name, address, Social Security number and transaction and balance information. To be able to serve our clients, certain of this client information is shared with affiliated and nonaffiliated third party service providers such as transfer agents, custodians, and broker-dealers to assist us in processing transactions and servicing your account with us. In addition, we may disclose all of the information we collect to companies that perform marketing services on our behalf or to other financial institutions with which we have joint marketing agreements. The organizations described above that receive client information may only use it for the purpose designated by the Scudder Companies listed above.
We may also disclose nonpublic personal information about you to other parties as required or permitted by law. For example, we are required or we may provide information to government entities or regulatory bodies in response to requests for information or subpoenas, to private litigants in certain circumstances, to law enforcement authorities, or any time we believe it necessary to protect the firm.
For AARP shareholders only: Certain investors in the AARP Investment Program are advised that limited nonpublic personal information is shared with AARP and its subsidiary AARP Services Inc. (ASI). This includes an investor's status as a current or former Program participant, name, address, and type of account maintained (i.e. IRA or non-IRA). This information must be shared so that ASI can provide quality control services, such as monitoring satisfaction with the Program. However, AARP and ASI may also use this information for other purposes such as member research, and may share this information with other AARP providers to inform members of AARP benefits and services. Shareholders residing in states with certain state specific privacy restrictions are excluded from this information sharing. All other shareholders may instruct us in writing not to share information regarding themselves or joint account holders with AARP or ASI for any purposes unrelated to the AARP Investment Program. With respect to accounts that are jointly held, an opt-out request received from any of the joint account holders will be applied to the entire account.
Questions on this policy may be sent to:
For Class AARP:
AARP Investment Program, Attention: Correspondence,
P.O. Box 219735, Kansas City, MO 64121-9735
For Class S:
Scudder Investments, Attention: Correspondence,
P.O. Box 219669, Kansas City, MO 64121-9669
August 2003
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ITEM 2. CODE OF ETHICS. Not applicable. ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. Not applicable. ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. Not applicable. ITEM 5. [RESERVED] ITEM 6. [RESERVED] ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. Not applicable. ITEM 8. [RESERVED] ITEM 9. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. The Committee on Independent Trustees/Directors selects and nominates Independent Trustees/Directors. Fund shareholders may also submit nominees that will be considered by the committee when a Board vacancy occurs. Submissions should be mailed to the attention of the Secretary of the Trust, Two International Place, Boston, MA 02110. ITEM 10. CONTROLS AND PROCEDURES. (a) The Chief Executive and Financial Officers concluded that the Registrant's Disclosure Controls and Procedures are effective based on the evaluation of the Disclosure Controls and Procedures as of a date within 90 days of the filing date of this report. Fund management has previously identified a significant deficiency relating to the overall fund expense payment and accrual process. This matter relates primarily to a bill payment processing issue. There was no material impact to shareholders, fund net asset value, fund performance or the accuracy of any fund's financial statements. Fund management discussed this matter with the Registrant's Audit Committee and auditors, instituted additional procedures to enhance its internal controls and will continue to develop additional controls and redesign work flow to strengthen the overall control environment associated with the processing and recording of fund expenses. (b) There have been no changes in the registrant's internal control over financial reporting that occurred during the registrant's last half-year (the registrant's second fiscal half-year in the case of the annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal controls over financial reporting. ITEM 11. EXHIBITS. (a)(1) Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT. (b) Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)) is furnished and attached hereto as Exhibit 99.906CERT.Form N-CSR Item F SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. Registrant: Scudder S&P 500 Index Fund By: /s/Julian Sluyters --------------------------- Julian Sluyters Chief Executive Officer Date: August 23, 2004 Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. Registrant: Scudder S&P 500 Index Fund By: /s/Julian Sluyters --------------------------- Julian Sluyters Chief Executive Officer Date: August 23, 2004 By: /s/Charles A. Rizzo --------------------------- Charles A. Rizzo Chief Financial Officer Date: August 23, 2004