<PAGE> 1
BT INVESTMENT FUNDS
BT INVESTMENT
LIFECYCLE FUNDS:
LONG RANGE FUND
MID RANGE FUND
SHORT RANGE FUND
SEMI-ANNUAL REPORT
SEPTEMBER 30, 1995
<PAGE> 2
BT INVESTMENT LIFECYCLE FUNDS 1
----------------------------------------------------------------
TABLE OF CONTENTS
==============================================================================
<TABLE>
<S> <C>
INTRODUCTION FROM PRESIDENT . . . . . . . . . . . . . . . . . 2
LETTER TO SHAREHOLDERS FROM INVESTMENT ADVISER . . . . . . . 3
BT INVESTMENT LIFECYCLE LONG RANGE FUND
Statement of Assets and Liabilities . . . . . . . . 11
Statement of Operations . . . . . . . . . . . . . . 12
Statement of Changes in Net Assets . . . . . . . . . 13
Financial Highlights . . . . . . . . . . . . . . . . 14
ASSET MANAGEMENT PORTFOLIO
Statement of Assets and Liabilities . . . . . . . . 15
Statement of Operations . . . . . . . . . . . . . . 16
Statement of Changes in Net Assets . . . . . . . . . 17
Financial Highlights . . . . . . . . . . . . . . . . 18
Schedule of Portfolio Investments . . . . . . . . . 19
BT INVESTMENT LIFECYCLE MID RANGE FUND
Statement of Assets and Liabilities . . . . . . . . 25
Statement of Operations . . . . . . . . . . . . . . 26
Statement of Changes in Net Assets . . . . . . . . . 27
Financial Highlights . . . . . . . . . . . . . . . . 28
ASSET MANAGEMENT PORTFOLIO II
Statement of Assets and Liabilities . . . . . . . . 29
Statement of Operations . . . . . . . . . . . . . . 30
Statement of Changes in Net Assets . . . . . . . . . 31
Financial Highlights . . . . . . . . . . . . . . . . 32
Schedule of Portfolio Investments . . . . . . . . . 33
BT INVESTMENT LIFECYCLE SHORT RANGE FUND
Statement of Assets and Liabilities . . . . . . . . 39
Statement of Operations . . . . . . . . . . . . . . 40
Statement of Changes in Net Assets . . . . . . . . . 41
Financial Highlights . . . . . . . . . . . . . . . . 42
ASSET MANAGEMENT PORTFOLIO III
Statement of Assets and Liabilities . . . . . . . . 43
Statement of Operations . . . . . . . . . . . . . . 44
Statement of Changes in Net Assets . . . . . . . . . 45
Financial Highlights . . . . . . . . . . . . . . . . 46
Schedule of Portfolio Investments . . . . . . . . . 47
BT INVESTMENT LIFECYCLE FUNDS
Notes to Financial Statements . . . . . . . . . . . 53
ASSET MANAGEMENT PORTFOLIOS
Notes to Financial Statements . . . . . . . . . . . 56
</TABLE>
For shareholder account information and current price and yield quotations,
shareholders may call their relationship manager or servicing agent.
Prospectuses containing more extensive information regarding the BT Investment
Lifecycle Funds may be obtained by calling or writing to Investors Fiduciary
Trust Company or Signature Broker-Dealer Services, Inc., the primary Servicing
Agent and Distributor, respectively, of BT Investment Funds:
BT INVESTMENT FUNDS
INVESTORS FIDUCIARY TRUST COMPANY
127 WEST 10TH STREET
KANSAS CITY, MO 64105
(800) 422-6577
BT INVESTMENT FUNDS
SIGNATURE BROKER-DEALER SERVICES, INC.
6 ST. JAMES AVENUE
BOSTON, MA 02116
(800) 545-1074
You may write to the BT Investment Lifecycle Funds at the following address:
BT INVESTMENT FUNDS
6 ST. JAMES AVENUE
BOSTON, MA 02116
<PAGE> 3
BT INVESTMENT LIFECYCLE FUNDS 2
----------------------------------------------------------------
INTRODUCTION FROM PRESIDENT
==============================================================================
November, 1995
Dear Shareholders:
We are pleased to present your 1995 Semi-Annual Reports for the BT
Investment Lifecycle Long Range, Mid Range and Short Range Funds.
These Reports provide you with an investment overview as well as a
financial summary of the Funds' operations for the six months ended
September 30, 1995. We have also included a Letter from the Investment
Adviser, detailing the factors that affected the Funds' performance
and performance charts which illustrate each Fund's return versus a
relevant financial index. Also presented in each Report is a pie chart
displaying diversification by assets exposures, financial statements,
financial highlights and a listing of each Portfolio's holdings.
Looking ahead, we will continue to closely observe the economic
conditions and how they affect the financial markets.
We appreciate your ongoing support of the BT Investment Lifecycle
Funds and look forward to continuing to serve your investment needs.
Philip W. Coolidge
President
<PAGE> 4
BT INVESTMENT LIFECYCLE FUNDS 3
----------------------------------------------------------------
LETTER TO SHAREHOLDERS FROM INVESTMENT ADVISER
==============================================================================
The Lifecycle Funds underperformed their benchmarks for the
semi-annual period ended September 30, 1995 for two primary reasons.
First, each of the Funds maintained a slightly conservative asset
allocation, in which it was underexposed to stocks in favor of cash,
for most of the period. Thus they did not fully benefit from the
equity market's very strong performance during this period.
Second, the Funds were overweighted in certain sectors of the stock
market that underperformed the equity market averages. Toward the end
of the six-month period, there was a decided move within the equities
market toward defensive and interest rate sensitive sectors. Consumer
staples, utilities and financials led, with cyclicals, such as
materials, technology, consumer cyclicals and capital goods at the
bottom of the performance rankings. Clearly, the market believes that
profit growth will be difficult after the gains of the last three
years and that economic growth will not be strong enough to maintain
profitability for many sectors. Our focus in the equity markets is on
earnings growth.
As for the bond market, there was a short-lived rally in July, when
the Federal Reserve Board lowered interest rates. However, interest
rates displayed significant volatility after that and they quickly
rose, as the market's perception of the economy shifted from an
expectation of slowing to one of modest growth.
- The Lifecycle Long Range Fund returned 11.24% for the six
months ended September 30, 1995, as compared to 13.16% for
the Asset Allocation Index-Long Range. Since its inception
on November 16, 1993, the Fund is up 14.79%. By the end of
the period, we increased the Fund's exposure to equities,
and as of September 30, 1995, the Fund was extremely close
to its benchmark, with asset weightings of 54% in stocks,
35% in bonds, and 11% in cash.
- The Lifecycle Mid Range Fund returned 8.74% for the six
months ended September 30, 1995, as compared to 10.60% for
the Asset Allocation Index-Mid Range. Since its inception on
October 14, 1993, the Fund is up 8.76%. By the end of the
period, we increased the Fund's exposure to equities, and as
of September 30, 1995, the Fund exactly matched its
benchmark, with asset weightings of 35% in stocks, 45% in
bonds, and 20% in cash.
- The Lifecycle Short Range Fund returned 6.87% for the six
months ended September 30, 1995, as compared to 8.05% for
the Asset Allocation Index-Short Range. Since its inception
on October 15, 1993, the Fund is up 6.35%. By the end of the
period, we increased the Fund's exposure to equities, and as
of September 30, 1995, the Fund was extremely close to its
benchmark, with asset weightings of 15% in stocks, 62% in
bonds, and 23% in cash.
As always, both the allocation and the security selection of the Funds
reflect their objectives of providing diversified investment vehicles
while limiting downside risk. Looking ahead, we expect to keep the
Fund's allocations very close to their benchmark weightings,
especially given the current uncertainty about economic growth,
Federal Reserve Board policy, and market valuations.
<PAGE> 5
BT INVESTMENT LIFECYCLE FUNDS--LONG RANGE FUND 4
----------------------------------------------------------------
LETTER TO SHAREHOLDERS FROM INVESTMENT ADVISER
The following graph illustrates the Fund's return versus the S&P 500
Index and the Asset Allocation Index-Long Range since November 30,
1993, assuming a $10,000 initial investment:
COMPARISON OF CHANGE
IN VALUE OF A $10,000
INVESTMENT IN THE
BT INVESTMENT LIFECYCLE LONG RANGE [FIGURE 1]
FUND, S&P 500
INDEX AND **ASSET
ALLOCATION INDEX-LONG RANGE
<TABLE>
<CAPTION>
S&P Index BT Fund Asset Index
<S> <C> <C> <C>
11/30/93 10000 10000 10000
12/31/93 10121 10101 10073
3/31/94 9737 9748 9828
6/30/94 9778 9601 9819
9/30/94 10256 9766 10033
12/31/94 10255 9803 10077
3/31/95 11253 10392 10679
6/30/95 12327 11077 11362
9/30/95 13307 11560 12283
</TABLE>
** Asset Allocation Index-Long Range is comprised of the following:
55% S&P 500 Index
35% Salomon Broad Investment Grade Bond Index
10% T-Bill 3 Month Index
<TABLE>
<CAPTION>
TOTAL RETURN
ENDED SEPTEMBER 30, 1995
One Year Since 11/16/93*
<S> <C>
18.37% 14.79%
</TABLE>
* 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.
<PAGE> 6
BT INVESTMENT LIFECYCLE FUNDS--LONG RANGE FUND 5
----------------------------------------------------------------
<TABLE>
================================================================================================
<S> <C>
OBJECTIVE Seeks to provide high total return with reduced risk over
the long-term by allocating investments among stocks, bonds
and short-term instruments.
- ------------------------------------------------------------------------------------------------
INVESTMENT INSTRUMENTS Primarily common stocks, corporate and government issued
intermediate to long-term bonds, various government agency
issued asset-backed securities, and all types of domestic
and foreign securities and money market instruments.
- ------------------------------------------------------------------------------------------------
FIVE LARGEST COMMON General Electric
STOCK HOLDINGS Royal Dutch Petroleum
Procter & Gamble
Merck & Co.
PECO Energy
- ------------------------------------------------------------------------------------------------
FIVE LARGEST FIXED U.S. Treasury Notes (11/30/[email protected]%)
INCOME SECURITIES U.S. Treasury Notes (8/31/[email protected]%)
U.S. Treasury Bond (8/15/[email protected]%)
GNMA (7/15/[email protected]%)
U.S. Treasury Notes (8/15/[email protected]%)
================================================================================================
DIVERSIFICATION BY ASSETS This diversification pie chart shows the Fund's investment
EXPOSURES AS OF exposure to the different asset classes (i.e. stocks, bonds
SEPTEMBER 30, 1995 and cash) based on the risk characteristics of the asset
(unaudited) class, rather than the actual instrument. For example, the
Fund may buy or sell a futures contract to increase or
decrease the Fund's exposure to the stock market.
</TABLE>
[FIGURE 2]
<TABLE>
<S> <C>
Stocks 54%
Bonds 35%
Cash 11%
</TABLE>
<PAGE> 7
BT INVESTMENT LIFECYCLE FUNDS--MID RANGE FUND 6
----------------------------------------------------------------
LETTER TO SHAREHOLDERS FROM INVESTMENT ADVISER
==============================================================================
The following graph illustrates the Fund's return versus the S&P 500
Index and the Asset Allocation Index-Mid Range since October 31, 1993,
assuming a $10,000 initial investment:
==============================================================================
COMPARISON OF CHANGE
IN VALUE OF A $10,000
INVESTMENT IN THE
BT INVESTMENT LIFECYCLE MID RANGE [FIGURE 3]
FUND, S&P 500
INDEX AND **ASSET
ALLOCATION INDEX-MID RANGE
<TABLE>
<CAPTION>
The Fund S&P 500 Asset Allocation Index
<S> <C> <C> <C>
10/31/93 10000 10000 10000
12/31/93 9955 10024 10044
3/31/94 9580 9644 9778
6/30/94 9486 9685 9768
9/30/94 9591 10158 9983
12/31/94 9620 10157 10027
3/31/95 10082 11146 10628
6/30/95 10636 12210 11302
9/30/95 10964 13180 11756
</TABLE>
** Asset Allocation Index-Mid Range is comprised of the following:
35% S&P 500 Index
45% Salomon Broad Investment Grade Bond Index
20% T-Bill 3 Month Index
<TABLE>
<CAPTION>
TOTAL RETURN
ENDED SEPTEMBER 30, 1995
One Year Since 10/14/93*
<S> <C>
14.31% 8.76%
</TABLE>
* 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.
<PAGE> 8
BT INVESTMENT LIFECYCLE FUNDS--MID RANGE FUND 7
----------------------------------------------------------------
<TABLE>
==============================================================================================
<S> <C>
OBJECTIVE Seeks to provide a combination of capital growth and
current income with moderate risk by investing in a
diversified portfolio of high-quality bonds, cash and
stocks of large U.S. and foreign companies.
- ----------------------------------------------------------------------------------------------
INVESTMENT INSTRUMENTS Primarily common stocks, corporate and government issued
intermediate to long-term bonds, various government agency
issued asset-backed securities, and all types of domestic
and foreign securities and money market instruments.
- ----------------------------------------------------------------------------------------------
FIVE LARGEST COMMON General Electric
STOCK HOLDINGS Royal Dutch Petroleum
Procter & Gamble
Merck & Co.
PECO Energy
- ----------------------------------------------------------------------------------------------
FIVE LARGEST FIXED U.S. Treasury Notes (11/30/[email protected]%)
INCOME SECURITIES U.S. Treasury Notes (8/31/[email protected]%)
U.S. Treasury Notes (8/15/[email protected]%)
U.S. Treasury Notes (6/30/[email protected]%)
U.S. Treasury Notes (11/15/[email protected]%)
==============================================================================================
DIVERSIFICATION BY ASSETS This diversification pie chart shows the Fund's investment
EXPOSURES AS OF exposure to the different asset classes (i.e. stocks, bonds
SEPTEMBER 30, 1995 and cash) based on the risk characteristics of the asset
(unaudited) class, rather than the actual instrument. For example, the
Fund may buy or sell a futures contract to increase or
decrease the Fund's exposure to the stock market.
</TABLE>
[FIGURE 4]
<TABLE>
<S> <C>
Bonds 45%
Stocks 35%
Cash 20%
</TABLE>
<PAGE> 9
BT INVESTMENT LIFECYCLE FUNDS--SHORT RANGE FUND 8
----------------------------------------------------------------
LETTER TO SHAREHOLDERS FROM INVESTMENT ADVISER
==============================================================================
The following graph illustrates the Fund's return versus the S&P 500
Index and the Asset Allocation Index-Short Range since October 31,
1993, assuming a $10,000 initial investment:
COMPARISON OF CHANGE
IN VALUE OF A $10,000
INVESTMENT IN THE
BT INVESTMENT [FIGURE 5]
LIFECYCLE SHORT
RANGE FUND, S&P 500
INDEX AND **ASSET
ALLOCATION INDEX-SHORT RANGE
<TABLE>
<CAPTION>
Index Fund Asset
<S> <C> <C> <C>
10/31/93 10000 10000 10000
12/31/93 10024 9956 10021
3/31/94 9644 9713 9835
6/30/94 9685 9592 9818
9/30/94 10158 9638 9954
12/31/94 10157 9674 10017
3/31/95 11146 10012 10485
6/30/95 12210 10462 11022
9/30/95 13180 10699 11315
</TABLE>
** Asset Allocation Index-Short Range is comprised of the following:
15% S&P 500 Index
55% Salomon Broad Investment Grade Bond Index
30% T-Bill 3 Month Index
<TABLE>
<CAPTION>
Total Return
ended September 30, 1995
One Year Since 10/15/93*
<S> <C>
11.01% 6.35%
</TABLE>
* 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.
<PAGE> 10
BT INVESTMENT LIFECYCLE FUNDS--SHORT RANGE FUND 9
----------------------------------------------------------------
<TABLE>
==============================================================================================
<S> <C>
OBJECTIVE Seeks to preserve capital, achieve a high level of income
and provide some potential for capital growth by investing
in a diversified portfolio of high-quality of bonds, cash
and stocks of large U.S. and foreign companies.
- ----------------------------------------------------------------------------------------------
INVESTMENT INSTRUMENTS Primarily common stocks, corporate and government issued
intermediate to long-term bonds, various government agency
issued asset-backed securities, and all types of domestic
and foreign securities and money market instruments.
- ----------------------------------------------------------------------------------------------
FIVE LARGEST COMMON General Electric
STOCK HOLDINGS Royal Dutch Petroleum
Procter & Gamble
Merck & Co.
Houston Industries
- ----------------------------------------------------------------------------------------------
FIVE LARGEST FIXED U.S. Treasury Note (8/15/[email protected]%)
INCOME SECURITIES GNMA (7/15/[email protected]%)
U.S. Treasury Note (11/30/[email protected]%)
FNMA (7/1/[email protected]%)
GNMA (9/15/[email protected]%)
==============================================================================================
DIVERSIFICATION BY ASSETS This diversification pie chart shows the Fund's
EXPOSURES AS OF investment exposure to the different asset classes
SEPTEMBER 30, 1995 (i.e. stocks, bonds and cash) based on the risk
(unaudited) characteristics of the asset class, rather than
the actual instrument. For example, the Fund may
buy or sell a futures contract to increase or
decrease the Fund's exposure to the stock market.
</TABLE>
[FIGURE 6]
<TABLE>
<S> <C>
Bonds 62%
Cash 23%
Stocks 15%
</TABLE>
<PAGE> 11
BT INVESTMENT LIFECYCLE FUNDS 10
----------------------------------------------------------------
==============================================================================
ABOUT THE PHILIP GREEN
PORTFOLIO MANAGER VICE PRESIDENT
SENIOR PORTFOLIO MANAGER
- Manages Tactical Asset Allocation portfolios.
Monitors individual strategy and aggregate
portfolio risk exposures
- Ten years of investment experience at Bankers
Trust in a diverse range of assignments all
relating to the asset allocation process. Managed
global asset allocation portfolios for the last
year. Prior to this, spent five years managing
currency overlay portfolios and four years
managing dynamic hedging and option replication
portfolios in the U.S. stock and bond markets.
- Joined Bankers Trust in 1985
- B.S.E.-Wharton School of Business
M.B.A.-New York University
<PAGE> 12
BT INVESTMENT LIFECYCLE FUNDS--LONG RANGE FUND 11
----------------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
=======================================================================================================
September 30, 1995 (unaudited)
- -------------------------------------------------------------------------------------------------------
<S> <C>
ASSETS
- -------------------------------------------------------------------------------------------------------
Investment in Asset Management Portfolio, at Value $35,805,665
- -------------------------------------------------------------------------------------------------------
Receivable for Shares of Beneficial Interest Sold 244,391
- -------------------------------------------------------------------------------------------------------
Prepaid Expenses 5,237
- -------------------------------------------------------------------------------------------------------
Total Assets 36,055,293
- -------------------------------------------------------------------------------------------------------
LIABILITIES
- -------------------------------------------------------------------------------------------------------
Due to Bankers Trust 19,420
- -------------------------------------------------------------------------------------------------------
Payable for Shares of Beneficial Interest Redeemed 115,740
- -------------------------------------------------------------------------------------------------------
Accrued Expenses and Accounts Payable 17,352
- -------------------------------------------------------------------------------------------------------
Total Liabilities 152,512
- -------------------------------------------------------------------------------------------------------
NET ASSETS (Applicable to 3,261,254 Outstanding Shares of $0.001 Par Value
Per Share, Unlimited Number of Shares of Beneficial Interest Authorized) $35,902,781
=======================================================================================================
NET ASSET VALUE, Subscription and Redemption Price Per Share
($35,902,781/3,261,254 Shares) $ 11.01
=======================================================================================================
COMPOSITION OF NET ASSETS
- -------------------------------------------------------------------------------------------------------
Shares of Beneficial Interest, at Par $ 3,261
- -------------------------------------------------------------------------------------------------------
Paid-in Capital 32,956,374
- -------------------------------------------------------------------------------------------------------
Undistributed Net Investment Income 345,863
- -------------------------------------------------------------------------------------------------------
Undistributed Net Realized Gain from Securities and Futures Transactions 771,118
- -------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Securities 1,605,379
- -------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Futures Contracts 220,786
- -------------------------------------------------------------------------------------------------------
NET ASSETS, SEPTEMBER 30, 1995 $35,902,781
=======================================================================================================
</TABLE>
See Notes to Financial Statements on Pages 53-55
<PAGE> 13
BT INVESTMENT LIFECYCLE FUNDS--LONG RANGE FUND 12
----------------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
=======================================================================================================
For the six months ended September 30, 1995 (unaudited)
- -------------------------------------------------------------------------------------------------------
<S> <C> <C>
INVESTMENT INCOME
- -------------------------------------------------------------------------------------------------------
Income Allocated from Asset Management Portfolio, net $ 631,445
- -------------------------------------------------------------------------------------------------------
EXPENSES
- -------------------------------------------------------------------------------------------------------
Administration and Services Fee $ 92,876
- -------------------------------------------------------------------------------------------------------
Shareholders Reports 8,663
- -------------------------------------------------------------------------------------------------------
Registration Fees 8,197
- -------------------------------------------------------------------------------------------------------
Professional Fees 3,494
- -------------------------------------------------------------------------------------------------------
Trustees Fees 795
- -------------------------------------------------------------------------------------------------------
Insurance 443
- -------------------------------------------------------------------------------------------------------
Total Expenses 114,468
- -------------------------------------------------------------------------------------------------------
Less: Expenses Absorbed by Bankers Trust (57,314) 57,154
- -------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 574,291
- -------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON SECURITIES AND FUTURES
- -------------------------------------------------------------------------------------------------------
Net Realized Gain from Securities Transactions 440,514
- -------------------------------------------------------------------------------------------------------
Net Realized Gain from Futures Transactions 368,417
- -------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Securities 1,327,854
- -------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Futures Contracts 192,888
- -------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN ON SECURITIES AND FUTURES 2,329,673
- -------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $2,903,964
=======================================================================================================
</TABLE>
See Notes to Financial Statements on Pages 53-55
<PAGE> 14
BT INVESTMENT LIFECYCLE FUNDS--LONG RANGE FUND 13
----------------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENT OF CHANGES IN NET ASSETS
==========================================================================================================
For the
six months ended For the
September 30, 1995 year ended
(unaudited) March 31, 1995
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
- ----------------------------------------------------------------------------------------------------------
FROM OPERATIONS
- ----------------------------------------------------------------------------------------------------------
Net Investment Income $ 574,291 $ 366,820
- ----------------------------------------------------------------------------------------------------------
Net Realized Gain from Securities and Futures Transactions 808,931 36,650
- ----------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Securities
and Futures Contracts 1,520,742 394,165
- ----------------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Operations 2,903,964 797,635
- ----------------------------------------------------------------------------------------------------------
FROM DIVIDENDS
- ----------------------------------------------------------------------------------------------------------
Net Investment Income (348,172) (256,078)
- ----------------------------------------------------------------------------------------------------------
Net (Decrease) in Net Assets from Dividends (348,172) (256,078)
- ----------------------------------------------------------------------------------------------------------
FROM TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST
- ----------------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Transactions in
Shares of Beneficial Interest 19,980,945 7,621,365
- ----------------------------------------------------------------------------------------------------------
TOTAL INCREASE IN NET ASSETS 22,536,737 8,162,922
==========================================================================================================
NET ASSETS
- ----------------------------------------------------------------------------------------------------------
Beginning of Period 13,366,044 5,203,122
- ----------------------------------------------------------------------------------------------------------
End of Period (including Undistributed Net Investment Income of
$345,863 and $119,744, for September 1995 and
March 1995, respectively) $35,902,781 $13,366,044
==========================================================================================================
</TABLE>
See Notes to Financial Statements on Pages 53-55
<PAGE> 15
BT INVESTMENT LIFECYCLE FUNDS--LONG RANGE FUND 14
----------------------------------------------------------------
FINANCIAL HIGHLIGHTS
============================================================================
Contained below are selected data for a share outstanding, total investment
return, ratios to average net assets and other supplemental data for each of
the periods indicated for the BT Investment Lifecycle Long Range Fund.
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------
For the period
For the November 16, 1993
six months ended For the (Commencement
September 30, 1995 year ended of Operations) to
(unaudited) March 31, 1995 March 31, 1994
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
SELECTED PER SHARE DATA
Net Asset Value, Beginning of Period $10.07 $ 9.68 $10.00
------ ------- ------
Income from Investment Operations
Net Investment Income 0.20 0.30 0.02
Net Realized and Unrealized Gain (Loss) on Securities
and Futures 0.92 0.32 (0.34)
------ ------- ------
Total from Investment Operations 1.12 0.62 (0.32)
------ ------- ------
Less Dividends
Dividends from Net Investment Income (0.18) (0.23) -00
------ ------- ------
Total Dividends (0.18) (0.23) -00
------ ------- ------
Net Asset Value, End of Period $11.01 $10.07 $ 9.68
====== ======= ======
TOTAL INVESTMENT RETURN 11.24% 6.60% (8.42%)*
RATIOS AND SUPPLEMENTAL DATA
Ratio of Net Investment Income to Average Net Assets 4.02%* 3.41% 2.69%*
Ratio of Expenses to Average Net Assets, Including
Expenses of the Asset Management Portfolio 1.00%* 1.00% 1.00%*
Decrease Reflected in Above Expense Ratio Due to Absorption
of Expenses by Bankers Trust 0.56%* 0.91% 6.00%*
Net Assets, End of Period (000's omitted) $35,903 $13,366 $5,203
</TABLE>
* Annualized
See Notes to Financial Statements on Pages 53-55
<PAGE> 16
ASSET MANAGEMENT PORTFOLIO 15
----------------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
=======================================================================================================
September 30, 1995 (unaudited)
- -------------------------------------------------------------------------------------------------------
<S> <C>
ASSETS
- -------------------------------------------------------------------------------------------------------
Investments, at Value (Cost $161,898,856, including Repurchase Agreement
amounting to $33,060,340) $169,979,969
- -------------------------------------------------------------------------------------------------------
Cash 42,914
- -------------------------------------------------------------------------------------------------------
Receivable for Securities Sold 2,838,282
- -------------------------------------------------------------------------------------------------------
Dividends and Interest Receivable 638,968
- -------------------------------------------------------------------------------------------------------
Prepaid Expenses 189
- -------------------------------------------------------------------------------------------------------
Variation Margin Receivable 47,500
- -------------------------------------------------------------------------------------------------------
Total Assets 173,547,822
- -------------------------------------------------------------------------------------------------------
LIABILITIES
- -------------------------------------------------------------------------------------------------------
Due to Bankers Trust 78,995
- -------------------------------------------------------------------------------------------------------
Payable for Securities Purchased 4,203,132
- -------------------------------------------------------------------------------------------------------
Accrued Expenses and Accounts Payable 13,375
- -------------------------------------------------------------------------------------------------------
Total Liabilities 4,295,502
- -------------------------------------------------------------------------------------------------------
NET ASSETS $169,252,320
=======================================================================================================
COMPOSITION OF NET ASSETS
- -------------------------------------------------------------------------------------------------------
Paid-in Capital $160,086,761
- -------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Securities 8,081,113
- -------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Futures Contracts 1,084,446
- -------------------------------------------------------------------------------------------------------
NET ASSETS, SEPTEMBER 30, 1995 $169,252,320
=======================================================================================================
</TABLE>
See Notes to Financial Statements on Pages 56 and 57
<PAGE> 17
ASSET MANAGEMENT PORTFOLIO 16
-----------------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
=======================================================================================================
For the six months ended September 30, 1995 (unaudited)
- -------------------------------------------------------------------------------------------------------
<S> <C> <C>
INVESTMENT INCOME
- -------------------------------------------------------------------------------------------------------
Dividends $ 753,329
- -------------------------------------------------------------------------------------------------------
Interest 2,664,172
=======================================================================================================
Total Investment Income $ 3,417,501
- -------------------------------------------------------------------------------------------------------
EXPENSES
- -------------------------------------------------------------------------------------------------------
Advisory Fee 442,103
- -------------------------------------------------------------------------------------------------------
Administration and Services Fee 68,016
- -------------------------------------------------------------------------------------------------------
Professional Fees 6,733
- -------------------------------------------------------------------------------------------------------
Insurance 1,332
- -------------------------------------------------------------------------------------------------------
Trustees Fees 757
- -------------------------------------------------------------------------------------------------------
Total Expenses 518,941
- -------------------------------------------------------------------------------------------------------
Less: Expenses Absorbed by Bankers Trust (110,846) 408,095
=======================================================================================================
NET INVESTMENT INCOME 3,009,406
- -------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON SECURITIES AND FUTURES
- -------------------------------------------------------------------------------------------------------
Net Realized Gain from SecuritiesTransactions 2,059,702
- -------------------------------------------------------------------------------------------------------
Net Realized Gain from Futures Contracts 1,778,455
- -------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Securities 6,377,993
- -------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Futures Contracts 875,921
=======================================================================================================
NET REALIZED AND UNREALIZED GAIN ON SECURITIES AND FUTURES 11,092,071
=======================================================================================================
NET INCREASE IN NET ASSETS FROM OPERATIONS $14,101,477
=======================================================================================================
</TABLE>
See Notes to Financial Statements on Pages 56 and 57
<PAGE> 18
ASSET MANAGEMENT PORTFOLIO 17
-----------------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENT OF CHANGES IN NET ASSETS
==========================================================================================================
For the
six months ended For the
September 30, 1995 year ended
(unaudited) March 31, 1995
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
- ----------------------------------------------------------------------------------------------------------
FROM OPERATIONS
- ----------------------------------------------------------------------------------------------------------
Net Investment Income $3,009,406 $ 3,350,844
- ----------------------------------------------------------------------------------------------------------
Net Realized Gain (Loss) from Securities and Futures Transactions 3,838,157 (85,052)
- ----------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Securities and Futures Contracts 7,253,914 3,010,076
- ----------------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Operations 14,101,477 6,275,868
- ----------------------------------------------------------------------------------------------------------
FROM CAPITAL TRANSACTIONS
- ----------------------------------------------------------------------------------------------------------
Proceeds from Capital Invested 84,519,923 77,053,606
- ----------------------------------------------------------------------------------------------------------
Value of Capital Withdrawn (25,897,844) (23,083,892)
- ----------------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Capital Transactions 58,622,079 53,969,714
- ----------------------------------------------------------------------------------------------------------
TOTAL INCREASE IN NET ASSETS 72,723,556 60,245,582
==========================================================================================================
NET ASSETS
- ----------------------------------------------------------------------------------------------------------
Beginning of Period 96,528,764 36,283,182
- ----------------------------------------------------------------------------------------------------------
End of Period $169,252,320 $96,528,764
==========================================================================================================
</TABLE>
See Notes to Financial Statements on Pages 56 and 57
<PAGE> 19
ASSET MANAGEMENT PORTFOLIO 18
-----------------------------------------------------------------
FINANCIAL HIGHLIGHTS
===============================================================================
Contained below are selected ratios and supplemental data for each of the
periods indicated for the Asset Management Portfolio.
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------------
For the period
For the September 16, 1993
six months ended For the (Commencement
September 30, 1995 year ended of Operations) to
(unaudited) March 31, 1995 March 31, 1994
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
RATIOS AND SUPPLEMENTAL DATA
Ratio of Net Investment Income to Average Net Assets 4.42%* 3.78% 2.83%*
Ratio of Expenses to Average Net Assets 0.60%* 0.60% 0.60%*
Decrease Reflected in Above Ratio of Expenses to Average
Net Assets Due to Absorption of Expenses by Bankers Trust 0.16%* 0.19% 0.33%*
Portfolio Turnover Rate 48% 92% 56%
Net Assets, End of Period (000's omitted) $169,252 $96,529 $36,283
</TABLE>
* Annualized
See Notes to Financial Statements on Pages 56 and 57
<PAGE> 20
ASSET MANAGEMENT PORTFOLIO 19
-----------------------------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
===============================================================================
September 30, 1995 (unaudited)
SHARES DESCRIPTION VALUE
===================================================================
<S> <C> <C>
COMMON STOCKS - 33.95%
- -------------------------------------------------------------------
AEROSPACE - 0.12%
- -------------------------------------------------------------------
3,000 Lockheed Martin $ 201,375
===================================================================
AIRLINES - 0.39%
- -------------------------------------------------------------------
4,600 AMR (a) 331,775
- -------------------------------------------------------------------
4,700 Delta Air Lines 325,475
- -------------------------------------------------------------------
657,250
===================================================================
AUTO RELATED - 2.26%
- -------------------------------------------------------------------
14,200 Chrysler 752,600
- -------------------------------------------------------------------
25,400 Dana 733,425
- -------------------------------------------------------------------
19,900 Ford Motor 619,387
- -------------------------------------------------------------------
24,600 General Motors 1,153,125
- -------------------------------------------------------------------
6,600 General Motors, Cl E 300,300
- -------------------------------------------------------------------
5,700 PACCAR 266,475
- -------------------------------------------------------------------
3,825,312
===================================================================
AVIATION SERVICES - 0.37%
- -------------------------------------------------------------------
26,800 Ogden 629,800
===================================================================
BANKS - 0.71%
- -------------------------------------------------------------------
1,400 BankAmerica 83,825
- -------------------------------------------------------------------
4,200 BayBanks 318,675
- -------------------------------------------------------------------
2,500 Citicorp 176,875
- -------------------------------------------------------------------
6,200 First Interstate Bancorp 624,650
- -------------------------------------------------------------------
1,204,025
===================================================================
BEVERAGES - 0.90%
- -------------------------------------------------------------------
7,100 Coca Cola 489,900
- -------------------------------------------------------------------
20,200 PepsiCo 1,030,200
- -------------------------------------------------------------------
1,520,100
===================================================================
BROADCASTING - 0.09%
- -------------------------------------------------------------------
2,000 Clear Channel
Communications (a) 151,500
===================================================================
BUILDING & CONSTRUCTION - 0.16%
- -------------------------------------------------------------------
9,100 Centex 263,900
===================================================================
BUILDING FOREST PRODUCTS - 0.13%
- -------------------------------------------------------------------
2,000 Champion International 107,750
- -------------------------------------------------------------------
9,000 Kaufman & Broad Home 113,625
- -------------------------------------------------------------------
221,375
===================================================================
CHEMICALS - 0.83%
- -------------------------------------------------------------------
3,400 Air Products & Chemical 177,225
- -------------------------------------------------------------------
11,900 Du Pont (E.I.) De Nemours 818,125
- -------------------------------------------------------------------
4,100 Monsanto 413,075
- -------------------------------------------------------------------
1,408,425
===================================================================
COMPUTER - 0.01%
- -------------------------------------------------------------------
300 Bay Networks (a) 16,012
===================================================================
COMPUTER SOFTWARE - 0.99%
- -------------------------------------------------------------------
4,100 Cisco Systems (a) 282,900
- -------------------------------------------------------------------
6,050 Computer Associates International 255,613
- -------------------------------------------------------------------
1,700 Informix (a) 55,250
- -------------------------------------------------------------------
10,700 Microsoft (a) 968,350
- -------------------------------------------------------------------
3,000 Oracle Systems (a) 115,125
- -------------------------------------------------------------------
1,677,238
===================================================================
CONTAINERS - 0.40%
- -------------------------------------------------------------------
12,600 Temple-Inland 670,950
===================================================================
DIVERSIFIED - 0.56%
- -------------------------------------------------------------------
14,000 Textron 955,500
===================================================================
DRUGS - 1.69%
- -------------------------------------------------------------------
24,500 Merck & Co. 1,372,000
- -------------------------------------------------------------------
16,600 Pfizer 886,025
- -------------------------------------------------------------------
11,600 Schering-Plough 597,400
- -------------------------------------------------------------------
2,855,425
===================================================================
</TABLE>
See Notes to Financial Statements on Pages 56 and 57
<PAGE> 21
ASSET MANAGEMENT PORTFOLIO 20
-----------------------------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
===============================================================================
September 30, 1995 (unaudited)
SHARES DESCRIPTION VALUE
===================================================================
<S> <C> <C>
ELECTRICAL EQUIPMENT - 2.38%
- -------------------------------------------------------------------
4,500 Duracell International $ 201,937
- -------------------------------------------------------------------
42,000 General Electric 2,677,500
- -------------------------------------------------------------------
2,300 General Instrument (a) 69,000
- -------------------------------------------------------------------
12,000 Hewlett-Packard 1,000,500
- -------------------------------------------------------------------
2,000 Linear Technology 83,000
- -------------------------------------------------------------------
4,031,937
===================================================================
ELECTRONICS - 1.63%
- -------------------------------------------------------------------
7,900 AlliedSignal 348,587
- -------------------------------------------------------------------
5,500 AMP 211,750
- -------------------------------------------------------------------
7,100 Intel 426,887
- -------------------------------------------------------------------
14,900 Motorola 1,137,988
- -------------------------------------------------------------------
9,800 Teradyne (a) 352,800
- -------------------------------------------------------------------
3,600 Texas Instruments 287,550
- -------------------------------------------------------------------
2,765,562
===================================================================
FINANCIAL SERVICES - 1.14%
- -------------------------------------------------------------------
1,600 Federal National Mortgage Assoc. 165,600
- -------------------------------------------------------------------
10,000 First Data 620,000
- -------------------------------------------------------------------
4,500 Household International 279,000
- -------------------------------------------------------------------
5,500 MBNA 228,937
- -------------------------------------------------------------------
11,900 Travelers Group 632,188
- -------------------------------------------------------------------
1,925,725
===================================================================
FOOD SERVICES & LODGING - 0.36%
- -------------------------------------------------------------------
15,900 McDonald's 608,175
===================================================================
FOODS - 0.88%
- -------------------------------------------------------------------
9,000 CPC International 594,000
- -------------------------------------------------------------------
3,000 Hershey Foods 193,125
- -------------------------------------------------------------------
1,800 Premark International 91,575
- -------------------------------------------------------------------
20,600 Sara Lee 612,850
- -------------------------------------------------------------------
1,491,550
===================================================================
HEALTH CARE DIVERSIFIED - 0.64%
- -------------------------------------------------------------------
22,800 Abbott Laboratories 971,850
- -------------------------------------------------------------------
2,200 Columbia/HCA Healthcare 106,975
- -------------------------------------------------------------------
1,078,825
===================================================================
HOSPITAL SUPPLIES & SERVICES - 1.04%
- -------------------------------------------------------------------
17,000 Johnson & Johnson 1,260,125
- -------------------------------------------------------------------
3,200 St. Jude Medical 202,400
- -------------------------------------------------------------------
6,000 United Healthcare 293,250
- -------------------------------------------------------------------
1,755,775
===================================================================
HOTELS & MOTELS - 0.12%
- -------------------------------------------------------------------
5,300 Marriott International 198,087
===================================================================
HOUSEHOLD PRODUCTS - 1.13%
- -------------------------------------------------------------------
4,500 Clorox 321,188
- -------------------------------------------------------------------
20,600 Procter & Gamble 1,586,200
- -------------------------------------------------------------------
1,907,388
===================================================================
INSURANCE - 1.05%
- -------------------------------------------------------------------
13,050 American International Group 1,109,250
- -------------------------------------------------------------------
4,400 General Re 664,400
- -------------------------------------------------------------------
1,773,650
===================================================================
LEISURE RELATED - 0.84%
- -------------------------------------------------------------------
16,500 Disney (Walt) 946,688
- -------------------------------------------------------------------
6,000 Harcourt General 251,250
- -------------------------------------------------------------------
10,400 Outboard Marine 223,600
- -------------------------------------------------------------------
1,421,538
===================================================================
MACHINERY - AGRICULTURE - 0.29%
- -------------------------------------------------------------------
6,100 Deere & Co. 496,388
===================================================================
</TABLE>
See Notes to Financial Statements on Pages 56 and 57
<PAGE> 22
ASSET MANAGEMENT PORTFOLIO 21
-----------------------------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
===============================================================================
September 30, 1995 (unaudited)
SHARES DESCRIPTION VALUE
===================================================================
<S> <C> <C>
MACHINERY - OTHER - 0.14%
- -------------------------------------------------------------------
6,000 Dover $ 229,500
===================================================================
MANUFACTURING - 0.12%
- -------------------------------------------------------------------
5,600 Millipore 210,000
===================================================================
METALS - 0.21%
- -------------------------------------------------------------------
6,200 Alcan Aluminum Ltd. 200,725
- -------------------------------------------------------------------
5,100 ASARCO 160,650
- -------------------------------------------------------------------
361,375
===================================================================
OFFICE EQUIPMENT - 0.66%
- -------------------------------------------------------------------
8,100 International Business Machines 764,437
- -------------------------------------------------------------------
1,100 Sun Microsystems (a) 69,300
- -------------------------------------------------------------------
12,500 Unisys (a) 98,438
- -------------------------------------------------------------------
1,400 Xerox 188,125
- -------------------------------------------------------------------
1,120,300
===================================================================
OIL DOMESTIC - 0.46%
- -------------------------------------------------------------------
17,000 Tenneco 786,250
===================================================================
OIL INTERNATIONAL - 1.79%
- -------------------------------------------------------------------
8,600 Exxon 621,350
- -------------------------------------------------------------------
13,100 Royal Dutch Petroleum 1,608,025
- -------------------------------------------------------------------
12,500 Texaco 807,813
- -------------------------------------------------------------------
3,037,188
===================================================================
OIL SUPPLIES & CONSTRUCTION - 0.38%
- -------------------------------------------------------------------
9,900 Schlumberger Ltd. 645,975
===================================================================
PAPER - 0.16%
- -------------------------------------------------------------------
6,400 International Paper 268,800
===================================================================
PETROLEUM RELATED - 0.85%
- -------------------------------------------------------------------
17,100 Ashland Oil 570,713
- -------------------------------------------------------------------
8,000 Atlantic Richfield 859,000
- -------------------------------------------------------------------
1,429,713
===================================================================
PHOTOGRAPHY & OPTICAL - 0.04%
- -------------------------------------------------------------------
1,100 Eastman Kodak 65,175
===================================================================
PRINTING & PUBLISHING - 0.40%
- -------------------------------------------------------------------
3,000 McGraw-Hill 245,250
- -------------------------------------------------------------------
10,800 Time Warner 429,300
- -------------------------------------------------------------------
674,550
===================================================================
RAILROADS - 0.34%
- -------------------------------------------------------------------
8,300 Conrail 570,625
===================================================================
REAL ESTATE - 0.15%
- -------------------------------------------------------------------
9,200 Pulte 261,050
===================================================================
RETAIL - 1.17%
- -------------------------------------------------------------------
12,100 Dayton Hudson 918,087
- -------------------------------------------------------------------
23,300 Fleming 559,200
- -------------------------------------------------------------------
20,300 Wal-Mart Stores 504,963
- -------------------------------------------------------------------
1,982,250
===================================================================
TELECOMMUNICATIONS - 1.22%
- -------------------------------------------------------------------
17,600 AT&T 1,157,200
- -------------------------------------------------------------------
4,000 Capital Cities/ABC 470,500
- -------------------------------------------------------------------
22,200 Comcast, Cl A 444,000
- -------------------------------------------------------------------
2,071,700
===================================================================
TOBACCO - 0.93%
- -------------------------------------------------------------------
28,400 American Brands 1,199,900
- -------------------------------------------------------------------
4,400 Philip Morris 367,400
- -------------------------------------------------------------------
1,567,300
===================================================================
TRUCKING - SHIPPING - 0.34%
- -------------------------------------------------------------------
22,700 Ryder System 576,013
===================================================================
UTILITY - ELECTRIC - 2.82%
- -------------------------------------------------------------------
3,600 American Electric Power 130,950
- -------------------------------------------------------------------
31,600 Detroit Edison 1,019,100
- -------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements on Pages 56 and 57
<PAGE> 23
ASSET MANAGEMENT PORTFOLIO 22
-----------------------------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
===============================================================================
September 30, 1995 (unaudited)
SHARES DESCRIPTION VALUE
===================================================================
<S> <C>
26,100 Houston Industries $ 1,151,662
- -------------------------------------------------------------------
26,400 Pacific Gas &Electric 788,700
- -------------------------------------------------------------------
45,300 PECO Energy 1,296,713
- -------------------------------------------------------------------
21,900 SCE 388,725
- -------------------------------------------------------------------
4,775,850
===================================================================
UTILITY - NATURAL GAS - 0.54%
- -------------------------------------------------------------------
20,200 ONEOK 469,650
- -------------------------------------------------------------------
16,100 Panhandle Eastern 438,725
- -------------------------------------------------------------------
908,375
===================================================================
UTILITY - TELEPHONE - 0.12%
- -------------------------------------------------------------------
3,300 Bell Atlantic 202,537
===================================================================
TOTAL COMMON STOCKS
(Cost $50,066,756) $ 57,457,313
===================================================================
PREFERRED STOCK
NON-CONVERTIBLE - 0.00%
- -------------------------------------------------------------------
DIVERSIFIED - 0.00%
- -------------------------------------------------------------------
146 Teledyne (Cost $1,678) $ 2,026
- -------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT CORPORATE DEBENTURES - 2.39%
===================================================================
<S> <C>
BANKS - 0.67%
- -------------------------------------------------------------------
$220,000 Citicorp, 8.00%, 2/1/03 $ 235,356
- -------------------------------------------------------------------
275,000 Dresdner Bank, 6.625%, 9/15/05 273,698
- -------------------------------------------------------------------
100,000 Fleet/Norstar Group, 7.65%, 3/1/97 101,598
- -------------------------------------------------------------------
425,000 International Bank Reconstruction
& Development, 8.875%, 3/1/26 521,479
- -------------------------------------------------------------------
1,132,131
===================================================================
FINANCIAL SERVICES - 0.73%
- -------------------------------------------------------------------
150,000 Dean Witter Discover, 6.875%, 3/1/03 151,086
- -------------------------------------------------------------------
105,000 Goldman Sachs, 6.3125%, 2/23/98 (b)(e) 105,058
- -------------------------------------------------------------------
195,000 KFW International Finance,
8.20%, 6/1/06 216,076
- -------------------------------------------------------------------
190,000 PaineWebber Group,
9.25%, 12/15/01 209,738
- -------------------------------------------------------------------
155,000 Swedish Export Credit,
9.875%, 3/15/38 170,951
- -------------------------------------------------------------------
380,000 Washington Mutual Savings Bank,
7.25%, 8/15/05 385,949
- -------------------------------------------------------------------
1,238,858
===================================================================
INDUSTRIAL - 0.19%
- -------------------------------------------------------------------
220,000 Auburn Hills Trust, 12.00%, 5/1/20 323,245
===================================================================
OIL INTERNATIONAL - 0.05%
- -------------------------------------------------------------------
85,000 BHP Finance USA, 7.875%, 12/1/02 90,050
===================================================================
RETAIL - 0.25%
- -------------------------------------------------------------------
260,000 J.C. Penney, 6.50%, 6/15/02 258,620
- -------------------------------------------------------------------
150,000 May Department Stores,
8.375%, 8/1/24 161,056
- -------------------------------------------------------------------
419,676
===================================================================
UTILITY - ELECTRIC - 0.38%
- -------------------------------------------------------------------
240,000 Delmarva Power & Light,
7.71%, 6/1/25 244,411
- -------------------------------------------------------------------
35,000 Idaho Power, 8.00%, 3/15/04 37,530
- -------------------------------------------------------------------
140,000 Potomac Edison, 8.00%, 6/1/24 145,601
- -------------------------------------------------------------------
195,000 Virginia Electric & Power,
8.625%, 10/1/24 216,828
- -------------------------------------------------------------------
644,370
===================================================================
UTILITY - NATURAL GAS - 0.12%
- -------------------------------------------------------------------
175,000 KN Energy, 9.625%, 8/1/21 200,558
===================================================================
TOTAL CORPORATE DEBENTURES
(Cost $3,935,646) $ 4,048,888
===================================================================
</TABLE>
See Notes to Financial Statements on Pages 56 and 57
<PAGE> 24
ASSET MANAGEMENT PORTFOLIO 23
-----------------------------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
===============================================================================
September 30, 1995 (unaudited)
PRINCIPAL
AMOUNT DESCRIPTION VALUE
===================================================================
<S> <C>
CORPORATE DEBENTURES
FOREIGN - 0.15%
- -------------------------------------------------------------------
GERMANY - 0.15%
- -------------------------------------------------------------------
$ 260,000 Norddeutsche Landesbank
6.875%, 3/10/03 (Cost $249,053) $ 260,813
===================================================================
ASSET-BACKED SECURITIES - 9.52%
===================================================================
CORPORATE - 0.32%
- -------------------------------------------------------------------
Standard Credit Card:
- -------------------------------------------------------------------
$ 140,000 8.25%, 11/7/03 $ 151,547
- -------------------------------------------------------------------
375,000 7.25%, 4/7/06 388,452
- -------------------------------------------------------------------
539,999
===================================================================
U.S. GOVERNMENT & AGENCIES - 9.20%
- -------------------------------------------------------------------
FGHLMC: (d)
- -------------------------------------------------------------------
41,215 8.50%, 12/1/24 42,680
- -------------------------------------------------------------------
29,422 8.50%, 1/1/25 30,452
- -------------------------------------------------------------------
790,178 8.50%, 2/1/25 818,269
- -------------------------------------------------------------------
197,671 9.50%, 2/1/25 208,972
- -------------------------------------------------------------------
FHLMC: (d)
- -------------------------------------------------------------------
335,000 6.93%, 9/5/00 338,008
- -------------------------------------------------------------------
222,531 8.50%, 3/1/23 232,009
- -------------------------------------------------------------------
631,201 8.50%, 3/1/25 653,880
- -------------------------------------------------------------------
FNMA: (d)
- -------------------------------------------------------------------
274,673 6.00%, 1/1/01 270,520
- -------------------------------------------------------------------
325,000 8.625%, 11/10/04 348,927
- -------------------------------------------------------------------
628,088 7.00%, 9/1/07 630,443
- -------------------------------------------------------------------
419,896 6.50%, 9/1/08 414,122
- -------------------------------------------------------------------
643,697 6.00%, 1/1/09 624,816
- -------------------------------------------------------------------
173,033 7.00%, 5/1/09 173,682
- -------------------------------------------------------------------
379,003 7.00%, 6/1/09 380,425
- -------------------------------------------------------------------
390,674 8.00%, 4/1/10 401,656
- -------------------------------------------------------------------
1,016,471 7.00%, 8/1/10 1,019,420
- -------------------------------------------------------------------
507,742 7.00%, 9/1/10 509,169
- -------------------------------------------------------------------
1,500,000 7.50%, 9/1/21 1,510,310
- -------------------------------------------------------------------
177,580 7.50%, 8/1/23 178,800
- -------------------------------------------------------------------
440,876 6.50%, 10/1/23 425,169
- -------------------------------------------------------------------
1,333,412 8.00%, 5/1/25 1,365,078
- -------------------------------------------------------------------
1,105,978 8.00%, 7/1/25 1,130,862
- -------------------------------------------------------------------
GNMA: (d)
- -------------------------------------------------------------------
352,979 7.00%, 9/15/23 349,007
- -------------------------------------------------------------------
982,862 8.50%, 10/20/24 1,018,791
- -------------------------------------------------------------------
2,420,816 8.00%, 7/15/25 2,488,865
- -------------------------------------------------------------------
15,564,332
===================================================================
TOTAL ASSET-BACKED SECURITIES
(Cost $16,011,558) $ 16,104,331
===================================================================
GOVERNMENTS FOREIGN - 0.43%
===================================================================
CANADA - 0.07%
- -------------------------------------------------------------------
$ 125,000 Manitoba, 6.125%, 1/19/04 $ 121,006
===================================================================
ITALY - 0.05%
- -------------------------------------------------------------------
95,000 Republic of Italy, 6.875%, 9/27/23 86,806
===================================================================
NEW ZEALAND - 0.31%
- -------------------------------------------------------------------
445,000 New Zealand Government,
8.75%, 12/15/06 522,536
===================================================================
TOTAL GOVERNMENTS FOREIGN
(Cost $711,094) $ 730,348
===================================================================
LONG-TERM U.S. TREASURY
SECURITIES - 11.76%
- -------------------------------------------------------------------
U.S. TREASURY BONDS - 2.72%
- -------------------------------------------------------------------
$ 1,573,000 8.125%, 8/15/19 $ 1,846,800
- -------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements on Pages 56 and 57
<PAGE> 25
ASSET MANAGEMENT PORTFOLIO 24
-----------------------------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
===============================================================================
September 30, 1995 (unaudited)
PRINCIPAL
AMOUNT DESCRIPTION VALUE
===================================================================
<S> <C>
$2,565,000 7.25%, 8/15/22 $ 2,757,374
- -------------------------------------------------------------------
4,604,174
===================================================================
U.S. TREASURY NOTES - 9.04%
- -------------------------------------------------------------------
1,000,000 6.00%, 6/30/96 1,001,716
- -------------------------------------------------------------------
2,095,000 7.50%, 12/31/96 2,137,227
- -------------------------------------------------------------------
5,610,000 5.125%, 11/30/98 5,479,413
- -------------------------------------------------------------------
50,000 6.125%, 7/31/00 50,203
- -------------------------------------------------------------------
3,250,000 6.25%, 8/31/00 3,281,480
- -------------------------------------------------------------------
820,000 8.50%, 11/15/00 907,381
- -------------------------------------------------------------------
2,284,000 7.25%, 8/15/04 2,441,738
- -------------------------------------------------------------------
15,299,158
===================================================================
TOTAL LONG-TERM U.S. TREASURY SECURITIES
(Cost $19,462,176) $ 19,903,332
===================================================================
SHORT-TERM INVESTMENTS - 42.23%
===================================================================
U.S. TREASURY BILLS - 22.70%
- -------------------------------------------------------------------
$ 1,490,000 5.37%, 10/12/95 (c) $ 1,487,582
- -------------------------------------------------------------------
35,000,000 5.42%, 12/21/95 34,590,115
- -------------------------------------------------------------------
2,400,000 5.76%, 4/4/96 2,334,881
- -------------------------------------------------------------------
38,412,578
===================================================================
REPURCHASE AGREEMENT - 19.53%
- -------------------------------------------------------------------
33,060,340 Repurchase Agreement with Sanwa
Bank, Dated 9/29/95, 6.25%,
Principal and Interest in the
Amount of $33,071,819, Due 10/02/95,
(Collateralized by U.S. Treasury
Bonds, Par Value of $31,014,000,
7.25%, Due 5/15/04, Value of
$33,950,638) 33,060,340
===================================================================
TOTAL SHORT-TERM INVESTMENTS
(Cost $71,460,895) $ 71,472,918
===================================================================
TOTAL INVESTMENTS
(Cost $161,898,856) 100.43% $169,979,969
- -------------------------------------------------------------------
Liabilities in Excess of Other Assets (0.43) (727,649)
- -------------------------------------------------------------------
NET ASSETS 100.00% $169,252,320
===================================================================
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF
FUTURES NET UNREALIZED
CONTRACTS FUTURE CONTRACTS APPRECIATION
===================================================================
<S> <C> <C>
114 S&P 500 December 1995 Long
Futures (Market Value $33,527,400) $ 970,821
- -------------------------------------------------------------------
152 U.S. Treasury December 1995 Long
Futures (Market Value $16,758,000) 113,625
$ 1,084,446
===================================================================
</TABLE>
(a) Non-Income Producing Security
(b) Quarterly Floating Rate Note
(c) Held as Collateral for Futures Contracts
(d) The following abbreviations are used in the portfolio descriptions:
FGHLMC - Federal Gold Home Loan Mortgage Corporation
FHLMC - Federal Home Loan Mortgage Corporation
FNMA - Federal National Mortgage Association
GNMA - Government National Mortgage Association
(e) Security exempt from registration under Rule 144A of the Securities Act of
1933. This security may be resold in transactions exempt from registration,
normally to qualified institutional buyers. At the period end, the value of
this security amounted to $105,058 or 0.06% of net assets.
See Notes to Financial Statements on Pages 56 and 57
<PAGE> 26
BT INVESTMENT LIFECYCLE FUNDS--MID RANGE FUND 25
-----------------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
=======================================================================================================
September 30, 1995 (unaudited)
- -------------------------------------------------------------------------------------------------------
<S> <C>
ASSETS
- -------------------------------------------------------------------------------------------------------
Investment in Asset Management Portfolio II, at Value $38,498,755
- -------------------------------------------------------------------------------------------------------
Receivable for Shares of Beneficial Interest Sold 190,942
- -------------------------------------------------------------------------------------------------------
Prepaid Expenses 4,403
- -------------------------------------------------------------------------------------------------------
Total Assets 38,694,100
- -------------------------------------------------------------------------------------------------------
LIABILITIES
- -------------------------------------------------------------------------------------------------------
Due to Bankers Trust 14,666
- -------------------------------------------------------------------------------------------------------
Payable for Shares of Beneficial Interest Redeemed 57,834
- -------------------------------------------------------------------------------------------------------
Accrued Expenses and Accounts Payable 16,276
- -------------------------------------------------------------------------------------------------------
Total Liabilities 88,776
- -------------------------------------------------------------------------------------------------------
NET ASSETS (Applicable to 3,773,389 Outstanding Shares of $0.001 Par Value Per Share,
Unlimited Number of Shares of Beneficial Interest Authorized) $38,605,324
=======================================================================================================
NET ASSET VALUE, Subscription and Redemption Price Per Share
($38,605,324/3,773,389 Shares) $ 10.23
=======================================================================================================
COMPOSITION OF NET ASSETS
- -------------------------------------------------------------------------------------------------------
Shares of Beneficial Interest, at Par $ 3,773
- -------------------------------------------------------------------------------------------------------
Paid-in Capital 36,966,436
- -------------------------------------------------------------------------------------------------------
Undistributed Net Investment Income 428,213
- -------------------------------------------------------------------------------------------------------
Accumulated Net Realized (Loss) from Securities and Futures Transactions (40,216)
- -------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Securities 1,102,740
- -------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Futures Contracts 144,378
=======================================================================================================
NET ASSETS, SEPTEMBER 30, 1995 $38,605,324
=======================================================================================================
</TABLE>
See Notes to Financial Statements on Pages 53-55
<PAGE> 27
BT INVESTMENT LIFECYCLE FUNDS--MID RANGE FUND 26
-----------------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
=======================================================================================================
For the six months ended September 30, 1995 (unaudited)
- -------------------------------------------------------------------------------------------------------
<S> <C> <C>
INVESTMENT INCOME
- -------------------------------------------------------------------------------------------------------
Income Allocated from Asset Management Portfolio II, net $ 818,925
- -------------------------------------------------------------------------------------------------------
EXPENSES
- -------------------------------------------------------------------------------------------------------
Administration and Services Fee $107,227
- -------------------------------------------------------------------------------------------------------
Professional Fees 2,988
- -------------------------------------------------------------------------------------------------------
Registration Fees 7,021
- -------------------------------------------------------------------------------------------------------
Trustees Fees 775
- -------------------------------------------------------------------------------------------------------
Shareholders Reports 9,154
- -------------------------------------------------------------------------------------------------------
Insurance 443
- -------------------------------------------------------------------------------------------------------
Total Expenses 127,608
- -------------------------------------------------------------------------------------------------------
Less: Expenses Absorbed by Bankers Trust (61,623) 65,985
- -------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 752,940
- -------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON SECURITIES AND FUTURES
- -------------------------------------------------------------------------------------------------------
Net Realized Gain from Securities Transactions 211,253
- -------------------------------------------------------------------------------------------------------
Net Realized Gain from Futures Transactions 566,695
- -------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Securities 1,154,109
- -------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Futures Contracts 11,497
- -------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN ON SECURITIES AND FUTURES 1,943,554
- -------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $2,696,494
=======================================================================================================
</TABLE>
See Notes to Financial Statements on Pages 53-55
<PAGE> 28
BT INVESTMENT LIFECYCLE FUNDS--MID RANGE FUND 27
-----------------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENT OF CHANGES IN NET ASSETS
==========================================================================================================
For the
six months ended For the
September 30, 1995 year ended
(unaudited) March 31, 1995
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
- ----------------------------------------------------------------------------------------------------------
FROM OPERATIONS
- ----------------------------------------------------------------------------------------------------------
Net Investment Income $ 752,940 $ 964,057
- ----------------------------------------------------------------------------------------------------------
Net Realized Gain (Loss) from Securities and
Futures Transactions 777,948 (692,504)
- ----------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Securities and
Futures Contracts 1,165,606 1,002,727
- ----------------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Operations 2,696,494 1,274,280
- ----------------------------------------------------------------------------------------------------------
FROM DIVIDENDS
- ----------------------------------------------------------------------------------------------------------
Net Investment Income (612,278) (791,477)
- ----------------------------------------------------------------------------------------------------------
Net (Decrease) in Net Assets from Dividends (612,278) (791,477)
- ----------------------------------------------------------------------------------------------------------
FROM TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST
- ----------------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Transactions in
Shares of Beneficial Interest 10,788,020 6,080,014
- ----------------------------------------------------------------------------------------------------------
TOTAL INCREASE IN NET ASSETS 12,872,236 6,562,817
==========================================================================================================
NET ASSETS
- ----------------------------------------------------------------------------------------------------------
Beginning of Period 25,733,088 19,170,271
- ----------------------------------------------------------------------------------------------------------
End of Period (including Undistributed Net Investment
Income of $428,213 and $287,551, for September
1995 and March 1995, respectively) $38,605,324 $25,733,088
==========================================================================================================
</TABLE>
See Notes to Financial Statements on Pages 53-55
<PAGE> 29
BT INVESTMENT LIFECYCLE FUNDS--MID RANGE FUND 28
-----------------------------------------------------------------
FINANCIAL HIGHLIGHTS
===============================================================================
Contained below are selected data for a share outstanding, total investment
return, ratios to average net assets and other supplemental data for each of
the periods indicated for the BT Investment Lifecycle Mid Range Fund.
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------------
For the period
For the October 14, 1993
six months ended For the (Commencement of
September 30, 1995 year ended Operations) to
(unaudited) March 31, 1995 March 31, 1994
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
SELECTED PER SHARE DATA
Net Asset Value, Beginning of Period $ 9.61 $ 9.45 $ 10.00
------- ------- -------
Income from Investment Operations
Net Investment Income 0.22 0.37 0.11
Net Realized and Unrealized Gain (Loss) on Securities
and Futures Transactions 0.61 0.11 (0.60)
------- ------- -------
Total from Investment Operations 0.83 0.48 (0.49)
------- ------- -------
Less Dividends
Dividends from Net Investment Income (0.21) (0.32) (0.06)
------- ------- -------
Net Asset Value, End of Period $ 10.23 $ 9.61 $ 9.45
======= ======= =======
TOTAL INVESTMENT RETURN 8.74% 5.24% (10.48%)*
RATIOS AND SUPPLEMENTAL DATA
Ratio of Net Investment Income to Average Net Assets 4.56%* 4.01% 2.77%*
Ratio of Expenses to Average Net Assets, Including
Expenses of the Asset Management Portfolio II 1.00%* 1.00% 1.00%*
Decrease Reflected in Above Expense Ratio Due to Absorption
of Expenses by Bankers Trust 0.55%* 0.76% 1.10%*
Net Assets, End of Period (000's omitted) $38,605 $25,733 $19,170
</TABLE>
* Annualized
See Notes to Financial Statements on Pages 53-55
<PAGE> 30
ASSET MANAGEMENT PORTFOLIO II 29
-----------------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
=======================================================================================================
September 30, 1995 (unaudited)
- -------------------------------------------------------------------------------------------------------
<S> <C>
ASSETS
- -------------------------------------------------------------------------------------------------------
Investments, at Value (Cost $37,907,095, including Repurchase Agreement
amounting to $5,975,881) $39,009,835
- -------------------------------------------------------------------------------------------------------
Cash 42,914
- -------------------------------------------------------------------------------------------------------
Receivable for Securities Sold 2,138,646
- -------------------------------------------------------------------------------------------------------
Dividends and Interest Receivable 202,068
- -------------------------------------------------------------------------------------------------------
Variation Margin Receivable 6,312
- -------------------------------------------------------------------------------------------------------
Prepaid Expenses 189
- -------------------------------------------------------------------------------------------------------
Total Assets 41,399,964
- -------------------------------------------------------------------------------------------------------
LIABILITIES
- -------------------------------------------------------------------------------------------------------
Due to Bankers Trust 18,002
- -------------------------------------------------------------------------------------------------------
Payable for Securities Purchased 2,870,686
- -------------------------------------------------------------------------------------------------------
Accrued Expenses and Accounts Payable 12,510
- -------------------------------------------------------------------------------------------------------
Total Liabilities 2,901,198
- -------------------------------------------------------------------------------------------------------
NET ASSETS $38,498,766
=======================================================================================================
COMPOSITION OF NET ASSETS
- -------------------------------------------------------------------------------------------------------
Paid-in Capital $37,251,647
- -------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Securities 1,102,740
- -------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Futures Contracts 144,379
- -------------------------------------------------------------------------------------------------------
NET ASSETS, SEPTEMBER 30, 1995 $38,498,766
=======================================================================================================
</TABLE>
See Notes to Financial Statements on Pages 56 and 57
<PAGE> 31
ASSET MANAGEMENT PORTFOLIO II 30
-----------------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
=======================================================================================================
For the six months ended September 30, 1995 (unaudited)
- -------------------------------------------------------------------------------------------------------
<S> <C> <C>
INVESTMENT INCOME
- -------------------------------------------------------------------------------------------------------
Dividends $102,988
- -------------------------------------------------------------------------------------------------------
Interest 815,011
- -------------------------------------------------------------------------------------------------------
Total Investment Income $ 917,999
- -------------------------------------------------------------------------------------------------------
EXPENSES
- -------------------------------------------------------------------------------------------------------
Advisory Fee 107,330
- -------------------------------------------------------------------------------------------------------
Administration and Services Fee 16,512
- -------------------------------------------------------------------------------------------------------
Professional Fees 1,920
- -------------------------------------------------------------------------------------------------------
Insurance 1,332
- -------------------------------------------------------------------------------------------------------
Trustees Fees 729
- -------------------------------------------------------------------------------------------------------
Total Expenses 127,823
- -------------------------------------------------------------------------------------------------------
Less: Expenses Absorbed by Bankers Trust (28,750) 99,073
- -------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 818,926
- -------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON SECURITIES AND FUTURES
- -------------------------------------------------------------------------------------------------------
Net Realized Gain from SecuritiesTransactions 211,253
- -------------------------------------------------------------------------------------------------------
Net Realized Gain from Futures Contracts 566,695
- -------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Securities 1,154,109
- -------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Futures Contracts 11,498
- -------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN ON SECURITIES AND FUTURES 1,943,555
- -------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $2,762,481
=======================================================================================================
</TABLE>
See Notes to Financial Statements on Pages 56 and 57
<PAGE> 32
ASSET MANAGEMENT PORTFOLIO II 31
-----------------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENT OF CHANGES IN NET ASSETS
==========================================================================================================
For the
six months ended For the
September 30, 1995 year ended
(unaudited) March 31, 1995
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
- ----------------------------------------------------------------------------------------------------------
FROM OPERATIONS
- ----------------------------------------------------------------------------------------------------------
Net Investment Income $ 818,926 $ 1,060,282
- ----------------------------------------------------------------------------------------------------------
Net Realized Gain (Loss) from Securities and Futures Transactions 777,948 (692,504)
- ----------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Securities and Futures Contracts 1,165,607 1,002,727
- ----------------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Operations 2,762,481 1,370,505
- ----------------------------------------------------------------------------------------------------------
FROM CAPITAL TRANSACTIONS
- ----------------------------------------------------------------------------------------------------------
Proceeds from Capital Invested 12,099,901 7,542,454
- ----------------------------------------------------------------------------------------------------------
Value of Capital Withdrawn (1,968,006) (2,483,935)
- ----------------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Capital Transactions 10,131,895 5,058,519
- ----------------------------------------------------------------------------------------------------------
TOTAL INCREASE IN NET ASSETS 12,894,376 6,429,024
==========================================================================================================
NET ASSETS
- ----------------------------------------------------------------------------------------------------------
Beginning of Period 25,604,390 19,175,366
- ----------------------------------------------------------------------------------------------------------
End of Period $38,498,766 $25,604,390
==========================================================================================================
</TABLE>
See Notes to Financial Statements on Pages 56 and 57
<PAGE> 33
ASSET MANAGEMENT PORTFOLIO II 32
-----------------------------------------------------------------
FINANCIAL HIGHLIGHTS
===============================================================================
Contained below are selected ratios and supplemental data for each of the
periods indicated for the Asset Management Portfolio II.
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------------
For the period
For the October 14, 1993
six months ended For the (Commencement
September 30, 1995 year ended of Operations) to
(unaudited) March 31, 1995 March 31, 1994
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
RATIOS AND SUPPLEMENTAL DATA
Ratio of Net Investment Income to Average Net Assets 4.96%* 4.41% 3.17%*
Ratio of Expenses to Average Net Assets 0.60%* 0.60% 0.60%*
Decrease Reflected in Above Ratio of Expenses to Average
Net Assets Due to Absorption of Expenses by Bankers Trust 0.17%* 0.27% 0.48%*
Portfolio Turnover Rate 90% 105% 79%
Net Assets, End of Period (000's omitted) $38,499 $25,604 $19,175
</TABLE>
* Annualized
See Notes to Financial Statements on Pages 56 and 57
<PAGE> 34
ASSET MANAGEMENT PORTFOLIO II 33
-----------------------------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
===============================================================================
September 30, 1995 (unaudited)
SHARES DESCRIPTION VALUE
===================================================================
<S> <C> <C>
COMMON STOCKS - 20.57%
- -------------------------------------------------------------------
AEROSPACE - 0.10%
- -------------------------------------------------------------------
600 Lockheed Martin $ 40,275
===================================================================
AIRLINES - 0.24%
- -------------------------------------------------------------------
600 AMR (a) 43,275
- -------------------------------------------------------------------
700 Delta Air Lines 48,475
- -------------------------------------------------------------------
91,750
===================================================================
AUTO RELATED - 1.37%
- -------------------------------------------------------------------
2,000 Chrysler 106,000
- -------------------------------------------------------------------
3,900 Dana 112,612
- -------------------------------------------------------------------
2,700 Ford Motor 84,038
- -------------------------------------------------------------------
3,200 General Motors 150,000
- -------------------------------------------------------------------
900 General Motors, Cl E 40,950
- -------------------------------------------------------------------
700 PACCAR 32,725
- -------------------------------------------------------------------
526,325
===================================================================
AVIATION SERVICES - 0.22%
- -------------------------------------------------------------------
3,600 Ogden 84,600
===================================================================
BANKS - 0.41%
- -------------------------------------------------------------------
300 BankAmerica 17,962
- -------------------------------------------------------------------
500 BayBanks 37,938
- -------------------------------------------------------------------
300 Citicorp 21,225
- -------------------------------------------------------------------
800 First Interstate Bancorp 80,600
- -------------------------------------------------------------------
157,725
===================================================================
BEVERAGES - 0.59%
- -------------------------------------------------------------------
1,200 Coca Cola 82,800
- -------------------------------------------------------------------
2,800 PepsiCo 142,800
- -------------------------------------------------------------------
225,600
===================================================================
BROADCASTING - 0.06%
- -------------------------------------------------------------------
300 Clear Channel
Communications (a) 22,725
===================================================================
BUILDING & CONSTRUCTION - 0.09%
- -------------------------------------------------------------------
1,200 Centex 34,800
===================================================================
BUILDING FOREST PRODUCTS - 0.08%
- -------------------------------------------------------------------
300 Champion International 16,162
- -------------------------------------------------------------------
1,200 Kaufman & Broad Home 15,150
- -------------------------------------------------------------------
31,312
===================================================================
CHEMICALS - 0.51%
- -------------------------------------------------------------------
500 Air Products & Chemical 26,062
- -------------------------------------------------------------------
1,600 Du Pont (E.I.) De Nemours 110,000
- -------------------------------------------------------------------
600 Monsanto 60,450
- -------------------------------------------------------------------
196,512
===================================================================
COMPUTER SOFTWARE - 0.62%
- -------------------------------------------------------------------
600 Cisco Systems (a) 41,400
- -------------------------------------------------------------------
800 Computer Associates International 33,800
- -------------------------------------------------------------------
300 Informix (a) 9,750
- -------------------------------------------------------------------
1,500 Microsoft (a) 135,750
- -------------------------------------------------------------------
500 Oracle Systems (a) 19,187
- -------------------------------------------------------------------
239,887
===================================================================
CONTAINERS - 0.23%
- -------------------------------------------------------------------
1,700 Temple-Inland 90,525
===================================================================
DIVERSIFIED - 0.34%
- -------------------------------------------------------------------
1,900 Textron 129,675
===================================================================
DRUGS - 1.03%
- -------------------------------------------------------------------
3,400 Merck & Co. 190,400
- -------------------------------------------------------------------
2,300 Pfizer 122,762
- -------------------------------------------------------------------
1,600 Schering-Plough 82,400
- -------------------------------------------------------------------
395,562
===================================================================
ELECTRICAL EQUIPMENT - 1.37%
- -------------------------------------------------------------------
600 Duracell International 26,925
- -------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements on Pages 56 and 57
<PAGE> 35
ASSET MANAGEMENT PORTFOLIO II 34
-----------------------------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
===============================================================================
September 30, 1995 (unaudited)
SHARES DESCRIPTION VALUE
===================================================================
<S> <C> <C>
5,600 General Electric $ 357,000
- -------------------------------------------------------------------
300 General Instrument (a) 9,000
- -------------------------------------------------------------------
1,600 Hewlett-Packard 133,400
- -------------------------------------------------------------------
526,325
===================================================================
ELECTRONICS - 0.95%
- -------------------------------------------------------------------
1,000 AlliedSignal 44,125
- -------------------------------------------------------------------
800 AMP 30,800
- -------------------------------------------------------------------
800 Intel 48,100
- -------------------------------------------------------------------
2,000 Motorola 152,750
- -------------------------------------------------------------------
1,400 Teradyne (a) 50,400
- -------------------------------------------------------------------
500 Texas Instruments 39,937
- -------------------------------------------------------------------
366,112
===================================================================
FINANCIAL SERVICES - 0.77%
- -------------------------------------------------------------------
300 Federal National Mortgage Assoc. 31,050
- -------------------------------------------------------------------
1,300 First Data 80,600
- -------------------------------------------------------------------
600 Household International 37,200
- -------------------------------------------------------------------
700 MBNA 29,137
- -------------------------------------------------------------------
2,200 Travelers Group 116,875
- -------------------------------------------------------------------
294,862
===================================================================
FOOD SERVICES & LODGING - 0.22%
- -------------------------------------------------------------------
2,200 McDonald's 84,150
===================================================================
FOODS - 0.46%
- -------------------------------------------------------------------
1,200 CPC International 79,200
- -------------------------------------------------------------------
300 Premark International 15,262
- -------------------------------------------------------------------
2,800 Sara Lee 83,300
- -------------------------------------------------------------------
177,762
===================================================================
HEALTH CARE DIVERSIFIED - 0.39%
- -------------------------------------------------------------------
3,100 Abbott Laboratories 132,138
- -------------------------------------------------------------------
400 Columbia/HCA Healthcare 19,450
- -------------------------------------------------------------------
151,588
===================================================================
HOSPITAL SUPPLIES & SERVICES - 0.63%
- -------------------------------------------------------------------
2,300 Johnson & Johnson 170,488
- -------------------------------------------------------------------
500 St. Jude Medical 31,625
- -------------------------------------------------------------------
800 United Healthcare 39,100
- -------------------------------------------------------------------
241,213
===================================================================
HOTELS & MOTELS - 0.07%
- -------------------------------------------------------------------
700 Marriott International 26,163
===================================================================
HOUSEHOLD PRODUCTS - 0.67%
- -------------------------------------------------------------------
600 Clorox 42,825
- -------------------------------------------------------------------
2,800 Procter & Gamble 215,600
- -------------------------------------------------------------------
258,425
===================================================================
INSURANCE - 0.61%
- -------------------------------------------------------------------
1,700 American International Group 144,500
- -------------------------------------------------------------------
600 General Re 90,600
- -------------------------------------------------------------------
235,100
===================================================================
LEISURE RELATED - 0.49%
- -------------------------------------------------------------------
2,200 Disney (Walt) 126,225
- -------------------------------------------------------------------
800 Harcourt General 33,500
- -------------------------------------------------------------------
1,400 Outboard Marine 30,100
- -------------------------------------------------------------------
189,825
===================================================================
MACHINERY - AGRICULTURE - 0.19%
- -------------------------------------------------------------------
900 Deere & Co. 73,238
===================================================================
MACHINERY - OTHER - 0.08%
- -------------------------------------------------------------------
800 Dover 30,600
===================================================================
MANUFACTURING - 0.08%
- -------------------------------------------------------------------
800 Millipore 30,000
===================================================================
</TABLE>
See Notes to Financial Statements on Pages 56 and 57
<PAGE> 36
ASSET MANAGEMENT PORTFOLIO II 35
-----------------------------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
===============================================================================
September 30, 1995 (unaudited)
SHARES DESCRIPTION VALUE
===================================================================
<S> <C> <C>
METALS - 0.14%
- -------------------------------------------------------------------
800 Alcan Aluminum Ltd. $ 25,900
- -------------------------------------------------------------------
900 ASARCO 28,350
- -------------------------------------------------------------------
54,250
===================================================================
OFFICE EQUIPMENT - 0.41%
- -------------------------------------------------------------------
1,100 International Business Machines 103,812
- -------------------------------------------------------------------
200 Sun Microsystems (a) 12,600
- -------------------------------------------------------------------
1,700 Unisys (a) 13,388
- -------------------------------------------------------------------
200 Xerox 26,875
- -------------------------------------------------------------------
156,675
===================================================================
OIL DOMESTIC - 0.27%
- -------------------------------------------------------------------
2,300 Tenneco 106,375
===================================================================
OIL INTERNATIONAL - 1.10%
- -------------------------------------------------------------------
1,300 Exxon 93,925
- -------------------------------------------------------------------
1,800 Royal Dutch Petroleum 220,950
- -------------------------------------------------------------------
1,700 Texaco 109,863
- -------------------------------------------------------------------
424,738
===================================================================
OIL SUPPLIES & CONSTRUCTION - 0.24%
- -------------------------------------------------------------------
1,400 Schlumberger Ltd. 91,350
===================================================================
PAPER - 0.11%
- -------------------------------------------------------------------
1,000 International Paper 42,000
===================================================================
PETROLEUM RELATED - 0.51%
- -------------------------------------------------------------------
2,300 Ashland Oil 76,762
- -------------------------------------------------------------------
1,100 Atlantic Richfield 118,113
- -------------------------------------------------------------------
194,875
===================================================================
PHOTOGRAPHY & OPTICAL - 0.05%
- -------------------------------------------------------------------
300 Eastman Kodak 17,775
===================================================================
PRINTING & PUBLISHING - 0.23%
- -------------------------------------------------------------------
400 McGraw-Hill 32,700
- -------------------------------------------------------------------
1,400 Time Warner 55,650
- -------------------------------------------------------------------
88,350
===================================================================
RAILROADS - 0.21%
- -------------------------------------------------------------------
1,200 Conrail 82,500
===================================================================
REAL ESTATE - 0.09%
- -------------------------------------------------------------------
1,200 Pulte 34,050
===================================================================
RETAIL - 0.71%
- -------------------------------------------------------------------
1,600 Dayton Hudson 121,400
- -------------------------------------------------------------------
3,200 Fleming 76,800
- -------------------------------------------------------------------
3,000 Wal-Mart Stores 74,625
- -------------------------------------------------------------------
272,825
===================================================================
TELECOMMUNICATIONS - 0.76%
- -------------------------------------------------------------------
2,400 AT&T 157,800
- -------------------------------------------------------------------
500 Capital Cities/ABC 58,813
- -------------------------------------------------------------------
3,800 Comcast, Cl A 76,000
- -------------------------------------------------------------------
292,613
===================================================================
TOBACCO - 0.58%
- -------------------------------------------------------------------
3,900 American Brands 164,775
- -------------------------------------------------------------------
700 Philip Morris 58,450
- -------------------------------------------------------------------
223,225
===================================================================
TRUCKING - SHIPPING - 0.20%
- -------------------------------------------------------------------
3,000 Ryder System 76,125
===================================================================
UTILITY - ELECTRIC - 1.68%
- -------------------------------------------------------------------
4,500 Detroit Edison 145,125
- -------------------------------------------------------------------
3,700 Houston Industries 163,262
- -------------------------------------------------------------------
3,500 Pacific Gas &Electric 104,563
- -------------------------------------------------------------------
6,400 PECO Energy 183,200
- -------------------------------------------------------------------
2,900 SCE 51,475
- -------------------------------------------------------------------
647,625
===================================================================
</TABLE>
See Notes to Financial Statements on Pages 56 and 57
<PAGE> 37
ASSET MANAGEMENT PORTFOLIO II 36
----------------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
===================================================================
September 30, 1995 (unaudited)
SHARES DESCRIPTION VALUE
===================================================================
<S> <C>
UTILITY - NATURAL GAS - 0.32%
- -------------------------------------------------------------------
2,800 ONEOK $ 65,100
- -------------------------------------------------------------------
2,200 Panhandle Eastern 59,950
- -------------------------------------------------------------------
125,050
===================================================================
UTILITY - TELEPHONE - 0.09%
- -------------------------------------------------------------------
600 Bell Atlantic 36,825
===================================================================
TOTAL COMMON STOCKS
(Cost $6,965,446) $ 7,919,862
===================================================================
PREFERRED STOCK
NON-CONVERTIBLE - 0.00%
- -------------------------------------------------------------------
DIVERSIFIED - 0.00%
- -------------------------------------------------------------------
19 Teledyne (Cost $275) $ 264
===================================================================
</TABLE>
<TABLE>
<CAPTION>
===================================================================
PRINCIPAL
AMOUNT CORPORATE DEBENTURES - 4.61%
- -------------------------------------------------------------------
<S> <C>
AEROSPACE - 0.20%
- -------------------------------------------------------------------
$ 75,000 Lockheed, 7.875%, 3/15/23 $ 77,406
===================================================================
AUTO RELATED - 0.31%
- -------------------------------------------------------------------
120,000 Ford Motor Credit, 5.625%, 3/3/97 119,089
===================================================================
BANKS - 1.06%
- -------------------------------------------------------------------
80,000 Citicorp, 8.00%, 2/1/03 85,584
- -------------------------------------------------------------------
100,000 Dresdner Bank, 6.625%, 9/15/05 99,526
- -------------------------------------------------------------------
50,000 Fleet/Norstar Group, 7.65%, 3/1/97 50,799
- -------------------------------------------------------------------
140,000 International Bank Reconstruction &
Development, 8.875%, 3/1/26 171,782
- -------------------------------------------------------------------
407,691
===================================================================
FINANCIAL SERVICES - 1.16%
- -------------------------------------------------------------------
General Motors Acceptance:
85,000 8.625%, 1/18/01 92,488
- -------------------------------------------------------------------
7,165 5.55%, 5/15/97 7,155
- -------------------------------------------------------------------
50,000 Goldman Sachs, 6.3125%, 2/23/98 (b) (e) 50,027
- -------------------------------------------------------------------
55,000 KFW International Finance,
8.20%, 6/1/06 60,945
- -------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT DESCRIPTION VALUE
- -------------------------------------------------------------------
<S> <C>
$ 60,000 PaineWebber Group,
9.25%, 12/15/01 66,233
- -------------------------------------------------------------------
40,000 Swedish Export Credit,
9.875%, 3/15/38 44,116
- -------------------------------------------------------------------
125,000 Washington Mutual Savings Bank,
7.25%, 8/15/05 126,957
- -------------------------------------------------------------------
447,921
===================================================================
HOSPITAL SUPPLIES & SERVICES - 0.40%
- -------------------------------------------------------------------
Columbia/HCA Healthcare:
- -------------------------------------------------------------------
95,000 6.91%, 6/15/05 95,297
- -------------------------------------------------------------------
50,000 8.70%, 2/10/10 57, 272
- -------------------------------------------------------------------
152,569
===================================================================
INDUSTRIAL - 0.27%
- -------------------------------------------------------------------
70,000 Auburn Hills Trust, 12.00%, 5/1/20 102,851
===================================================================
OIL - INTERNATIONAL - 0.21%
- -------------------------------------------------------------------
75,000 BHP Finance USA, 7.875%, 12/1/02 79,456
===================================================================
RETAIL - 0.18%
- -------------------------------------------------------------------
65,000 May Department Stores,
8.375%, 8/1/24 69,791
===================================================================
UTILITY - ELECTRIC - 0.60%
- -------------------------------------------------------------------
75,000 Delmarva Power & Light,
7.71%, 6/1/25 76,379
- -------------------------------------------------------------------
45,000 Idaho Power, 8.00%, 3/15/04 48,253
- -------------------------------------------------------------------
60,000 Potomac Edison, 8.00%, 6/1/24 62,400
- -------------------------------------------------------------------
40,000 Virginia Electric & Power,
8.625%, 10/1/24 44,477
- -------------------------------------------------------------------
231,509
===================================================================
UTILITY - NATURAL GAS - 0.22%
- -------------------------------------------------------------------
75,000 KN Energy, 9.625%, 8/1/21 85,953
- -------------------------------------------------------------------
TOTAL CORPORATE DEBENTURES
(Cost $1,725,115) $ 1,774,236
===================================================================
</TABLE>
See Notes to Financial Statements on Pages 56 and 57
<PAGE> 38
ASSET MANAGEMENT PORTFOLIO II 37
----------------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
===================================================================
September 30, 1995 (unaudited)
PRINCIPAL
AMOUNT DESCRIPTION VALUE
===================================================================
<S> <C>
CORPORATE DEBENTURES -
FOREIGN - 0.30%
- -------------------------------------------------------------------
GERMANY - 0.30%
- -------------------------------------------------------------------
$ 115,000 Norddeutsche Landesbank
6.875%, 3/10/03 (Cost $110,157) $ 115,359
===================================================================
ASSET- BACKED
SECURITIES - 14.04%
- -------------------------------------------------------------------
CORPORATE - 0.43%
- -------------------------------------------------------------------
Standard Credit Card:
- -------------------------------------------------------------------
$ 35,000 8.25%, 11/7/03 $ 37,887
- -------------------------------------------------------------------
125,000 7.25%, 4/7/06 129,483
- -------------------------------------------------------------------
167,370
===================================================================
U.S. GOVERNMENT & AGENCIES - 13.61%
- -------------------------------------------------------------------
FHLMC: (d)
- -------------------------------------------------------------------
100,000 6.93%, 9/5/00 100,898
- -------------------------------------------------------------------
74,164 7.50%, 12/1/08 75,546
- -------------------------------------------------------------------
510,418 9.50%, 2/1/25 539,600
- -------------------------------------------------------------------
FNMA: (d)
- -------------------------------------------------------------------
339,778 6.00%, 1/1/01 333,564
- -------------------------------------------------------------------
140,000 8.625%, 11/10/04 150,307
- -------------------------------------------------------------------
112,951 8.00%, 7/1/25 115,492
- -------------------------------------------------------------------
GNMA: (d)
- -------------------------------------------------------------------
700,000 9.00%, 2/1/21 737,620
- -------------------------------------------------------------------
1,171,027 6.50%, 9/15/23 1,130,039
- -------------------------------------------------------------------
2,000,039 8.00%, 7/15/25 2,056,260
- -------------------------------------------------------------------
5,239,326
===================================================================
TOTAL ASSET-BACKED SECURITIES
(Cost $5,448,485) $ 5,406,696
===================================================================
GOVERNMENTS FOREIGN - 0.61%
- -------------------------------------------------------------------
CANADA - 0.31%
- -------------------------------------------------------------------
$ 125,000 Manitoba, 6.125%, 1/19/04 $ 121,006
===================================================================
ITALY - 0.10%
- -------------------------------------------------------------------
40,000 Republic of Italy, 6.875%, 9/27/23 36,550
===================================================================
NEW ZEALAND - 0.20%
- -------------------------------------------------------------------
65,000 New Zealand Government,
8.75%, 12/15/06 76,326
===================================================================
TOTAL GOVERNMENTS FOREIGN
(Cost $227,305) $ 233,882
===================================================================
LONG-TERM U.S. TREASURY
SECURITIES - 19.37%
- -------------------------------------------------------------------
U.S. TREASURY BONDS - 3.77%
- -------------------------------------------------------------------
$ 550,000 8.125%, 8/15/19 $ 645,734
- -------------------------------------------------------------------
750,000 7.25%, 8/15/22 806,250
- -------------------------------------------------------------------
1,451,984
===================================================================
U.S. TREASURY NOTES - 15.60%
- -------------------------------------------------------------------
1,050,000 6.00%, 6/30/96 1,051,802
- -------------------------------------------------------------------
140,000 7.50%, 12/31/96 142,822
- -------------------------------------------------------------------
1,535,000 5.125%, 11/30/98 1,499,269
- -------------------------------------------------------------------
1,300,000 6.25%, 8/31/00 1,312,592
- -------------------------------------------------------------------
845,000 8.50%, 11/15/00 935,045
- -------------------------------------------------------------------
994,000 7.25%, 8/15/04 1,062,648
- -------------------------------------------------------------------
6,004,178
===================================================================
TOTAL LONG-TERM U.S. TREASURY SECURITIES
(Cost $7,328,572) $ 7,456,162
===================================================================
</TABLE>
See Notes to Financial Statements on Pages 56 and 57
<PAGE> 39
ASSET MANAGEMENT PORTFOLIO II 38
----------------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
===================================================================
September 30, 1995 (unaudited)
PRINCIPAL
AMOUNT DESCRIPTION VALUE
===================================================================
<S> <C>
SHORT-TERM INVESTMENTS - 41.83%
- -------------------------------------------------------------------
U.S. TREASURY BILLS - 26.31%
- -------------------------------------------------------------------
$ 245,000 5.40%, 10/12/95 (c) $ 244,603
- -------------------------------------------------------------------
10,000,000 5.42%, 12/21/95 9,882,890
- -------------------------------------------------------------------
10,127,493
===================================================================
REPURCHASE AGREEMENT - 15.52%
- -------------------------------------------------------------------
5,975,881 Repurchase Agreement with Sanwa
Bank, Dated 9/29/95, 6.25%,
Principal and Interest in the
Amount of $5,977,956 Due 10/2/95,
(Collateralized by U.S. Treasury
Bonds, Par Value of $4,044,000,
12.75%, Due 11/15/10, Value of
$6,140,561) 5,975,881
===================================================================
TOTAL SHORT-TERM INVESTMENTS
(Cost $16,101,740) $16,103,374
===================================================================
TOTAL INVESTMENTS
(Cost $37,907,095) 101.33% $39,009,835
- -------------------------------------------------------------------
Liabilities in Excess of Other Assets (1.33) (511,069)
- -------------------------------------------------------------------
NET ASSETS 100.00% $38,498,766
===================================================================
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF
FUTURES NET UNREALIZED
CONTRACTS DESCRIPTION APPRECIATION
===================================================================
<S> <C> <C>
FUTURES CONTRACTS
- -------------------------------------------------------------------
19 S&P 500 December 1995 Long
Futures (Market Value $5,587,900) $ 138,629
- -------------------------------------------------------------------
23 U.S. Treasury December 1995 Long
Futures (Market Value $2,535,750) 5,750
- -------------------------------------------------------------------
$ 144,379
===================================================================
</TABLE>
(a) Non-Income Producing Security
(b) Quarterly Floating Rate Note
(c) Held as Collateral for Futures Contracts
(d) The following abbreviations are used in the portfolio descriptions:
FHLMC - Federal Home Loan Mortgage Corporation
FNMA - Federal National Mortgage Association
GNMA - Government National Mortgage Association
(e) Security exempt from registration under Rule 144A of the Securities Act of
1933. This security may be resold in transactions exempt from
registration, normally to qualified institutional buyers. At the period
end, the value of this security amounted to $50,027 or 0.13% of net
assets.
See Notes to Financial Statements on Pages 56 and 57
<PAGE> 40
BT INVESTMENT LIFECYCLE FUNDS--SHORT RANGE FUND 39
----------------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
=======================================================================================================
September 30, 1995 (unaudited)
- -------------------------------------------------------------------------------------------------------
<S> <C>
ASSETS
- -------------------------------------------------------------------------------------------------------
Investment in Asset Management Portfolio III, at Value $25,936,220
- -------------------------------------------------------------------------------------------------------
Receivable for Share of Beneficial Interest Sold 82,481
- -------------------------------------------------------------------------------------------------------
Prepaid Expenses 4,654
- -------------------------------------------------------------------------------------------------------
Total Assets 26,023,355
- -------------------------------------------------------------------------------------------------------
LIABILITIES
- -------------------------------------------------------------------------------------------------------
Due to Bankers Trust 6,945
- -------------------------------------------------------------------------------------------------------
Payable for Shares of Beneficial Interest Redeemed 17,982
- -------------------------------------------------------------------------------------------------------
Accrued Expenses and Accounts Payable 17,161
- -------------------------------------------------------------------------------------------------------
Total Liabilities 42,088
- -------------------------------------------------------------------------------------------------------
NET ASSETS (Applicable to 2,622,995 Outstanding Shares of $0.001 Par Value
Per Share, Unlimited Number of Shares of Beneficial Interest Authorized) $25,981,267
=======================================================================================================
NET ASSET VALUE, Subscription and Redemption Price Per Share
($25,981,267/2,622,995 Shares) $ 9.91
=======================================================================================================
COMPOSITION OF NET ASSETS
- -------------------------------------------------------------------------------------------------------
Shares of Beneficial Interest, at Par $ 2,623
- -------------------------------------------------------------------------------------------------------
Paid-in Capital 25,789,060
- -------------------------------------------------------------------------------------------------------
Undistributed Net Investment Income 325,323
- -------------------------------------------------------------------------------------------------------
Accumulated Net Realized (Loss) from Securities and Futures Transactions (924,932)
- -------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Securities 794,831
- -------------------------------------------------------------------------------------------------------
Net Unrealized (Depreciation) on Futures Contracts (5,638)
- -------------------------------------------------------------------------------------------------------
NET ASSETS, SEPTEMBER 30, 1995 $25,981,267
=======================================================================================================
</TABLE>
See Notes to Financial Statements on Pages 53-55
<PAGE> 41
BT INVESTMENT LIFECYCLE FUNDS--SHORT RANGE FUND 40
-------------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
=======================================================================================================
For the six months ended September 30, 1995 (unaudited)
- -------------------------------------------------------------------------------------------------------
<S> <C> <C>
INVESTMENT INCOME
- -------------------------------------------------------------------------------------------------------
Income Allocated from Asset Management Portfolio III, net $ 646,709
- -------------------------------------------------------------------------------------------------------
EXPENSES
- -------------------------------------------------------------------------------------------------------
Administration and Services Fee $ 77,798
- -------------------------------------------------------------------------------------------------------
Professional Fees 3,399
- -------------------------------------------------------------------------------------------------------
Shareholders Reports 8,654
- -------------------------------------------------------------------------------------------------------
Registration Fees 7,275
- -------------------------------------------------------------------------------------------------------
Trustees Fees 775
- -------------------------------------------------------------------------------------------------------
Insurance 443
- -------------------------------------------------------------------------------------------------------
Total Expenses 98,344
- -------------------------------------------------------------------------------------------------------
Less: Expenses Absorbed by Bankers Trust (50,467) 47,877
- -------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 598,832
- -------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON SECURITIES AND FUTURES
- -------------------------------------------------------------------------------------------------------
Net Realized Gain from Securities Transactions 323,749
- -------------------------------------------------------------------------------------------------------
Net Realized (Loss) from Futures Transactions (329,247)
- -------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Securities 927,117
- -------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Futures Contracts 23,675
- -------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN ON SECURITIES AND FUTURES 945,294
- -------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $1,544,126
=======================================================================================================
</TABLE>
See Notes to Financial Statements on Pages 53-55
<PAGE> 42
BT INVESTMENT LIFECYCLE FUNDS--SHORT RANGE FUND 41
----------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENT OF CHANGES IN NET ASSETS
==========================================================================================================
For the
six months ended For the
September 30, 1995 year ended
(unaudited) March 31, 1995
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
- ----------------------------------------------------------------------------------------------------------
FROM OPERATIONS
- ----------------------------------------------------------------------------------------------------------
Net Investment Income $ 598,832 $ 935,678
- ----------------------------------------------------------------------------------------------------------
Net Realized (Loss) from Securities and Futures Transactions (5,498) (783,142)
- ----------------------------------------------------------------------------------------------------------
Net Unrealized Appeciation on Securities and Futures Contracts 950,792 505,973
- ----------------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Operations 1,544,126 658,509
- ----------------------------------------------------------------------------------------------------------
FROM DIVIDENDS AND DISTRIBUTIONS
- ----------------------------------------------------------------------------------------------------------
Net Investment Income (541,425) (798,960)
- ----------------------------------------------------------------------------------------------------------
Net Realized Gain from Securities and Futures Transactions - (31,898)
- ----------------------------------------------------------------------------------------------------------
Net (Decrease) in Net Assets from Dividends and Distributions (541,425) (830,858)
- ----------------------------------------------------------------------------------------------------------
FROM TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST
- ----------------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Transactions in
- ----------------------------------------------------------------------------------------------------------
Shares of Beneficial Interest 3,841,428 3,727,528
- ----------------------------------------------------------------------------------------------------------
TOTAL INCREASE IN NET ASSETS 4,844,129 3,555,179
==========================================================================================================
NET ASSETS
- ----------------------------------------------------------------------------------------------------------
Beginning of Period 21,137,138 17,581,959
- ----------------------------------------------------------------------------------------------------------
End of Period (including Undistributed Net Investment Income of
$325,323 and $267,916, for September 1995 and
March 1995, respectively) $25,981,267 $21,137,138
==========================================================================================================
</TABLE>
See Notes to Financial Statements on Pages 53-55
<PAGE> 43
BT INVESTMENT LIFECYCLE FUNDS--SHORT RANGE FUND 42
-------------------------------------------------------------
FINANCIAL HIGHLIGHTS
============================================================================
Contained below are selected data for a share outstanding, total investment
return, ratios to average net assets and other supplemental data for each of
the periods indicated for the BT Investment Lifecycle Short Range Fund.
- ----------------------------------------------------------------------------
<TABLE>
<CAPTION>
For the period
For the October 15, 1993
six months ended For the (Commencement
September 30, 1995 year ended of Operations) to
(unaudited) March 31, 1995 March 31, 1994
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
SELECTED PER SHARE DATA
Net Asset Value, Beginning of Period $ 9.50 $ 9.60 $10.00
------- ------ ------
Income from Investment Operations
Net Investment Income 0.23 0.41 0.13
Net Realized and Unrealized Gain (Loss) on Securities
and Futures Transactions 0.41 (0.13) (0.47)
------- ------ ------
Total from Investment Operations 0.64 0.28 (0.34)
------- ------ ------
Less Dividends and Distributions
Dividends from Net Investment Income (0.23) (0.37) (0.06)
Distributions from Net Realized Gain from Securities
and Futures Transactions - (0.01) -
------- ------ ------
Total Dividends and Distributions (0.23) (0.38) (0.06)
------- ------ ------
Net Asset Value, End of Period $ 9.91 $ 9.50 $ 9.60
======= ====== ======
TOTAL INVESTMENT RETURN 6.87% 3.08% (7.39%)*
RATIOS AND SUPPLEMENTAL DATA
Ratio of Net Investment Income to Average Net Assets 5.00%* 4.47% 3.12%*
Ratio of Expenses to Average Net Assets, Including
Expenses of the Asset Management Portfolio III 1.00%* 1.00% 1.00%*
Decrease Reflected in Above Expense Ratio Due to Absorption
of Expenses by Bankers Trust 0.60%* 0.82% 1.12%*
Net Assets, End of Period (000's omitted) $25,981 $21,137 $17,582
</TABLE>
* Annualized
See Notes to Financial Statements on Pages 53-55
<PAGE> 44
ASSET MANAGEMENT PORTFOLIO III 43
----------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
=======================================================================================================
September 30, 1995 (unaudited)
- -------------------------------------------------------------------------------------------------------
<S> <C>
ASSETS
- -------------------------------------------------------------------------------------------------------
Investments, at Value (Cost $24,938,137, including
Repurchase Agreement amounting to $2,774,224) $25,732,968
- -------------------------------------------------------------------------------------------------------
Receivable for Securities Sold 2,140,320
- -------------------------------------------------------------------------------------------------------
Cash 53,642
- -------------------------------------------------------------------------------------------------------
Dividends and Interest Receivable 179,268
- -------------------------------------------------------------------------------------------------------
Prepaid Expenses 189
- -------------------------------------------------------------------------------------------------------
Total Assets 28,106,387
- -------------------------------------------------------------------------------------------------------
LIABILITIES
- -------------------------------------------------------------------------------------------------------
Due to Bankers Trust 10,322
- -------------------------------------------------------------------------------------------------------
Payable for Securities Purchased 2,142,920
- -------------------------------------------------------------------------------------------------------
Variation Margin Payable 3,625
- -------------------------------------------------------------------------------------------------------
Accrued Expenses and Accounts Payable 13,289
- -------------------------------------------------------------------------------------------------------
Total Liabilities 2,170,156
- -------------------------------------------------------------------------------------------------------
NET ASSETS $25,936,231
=======================================================================================================
COMPOSITION OF NET ASSETS
- -------------------------------------------------------------------------------------------------------
Paid-in Capital $25,147,038
- -------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Securities 794,831
- -------------------------------------------------------------------------------------------------------
Net Unrealized (Depreciation) on Futures Contracts (5,638)
- -------------------------------------------------------------------------------------------------------
NET ASSETS, SEPTEMBER 30, 1995 $25,936,231
=======================================================================================================
</TABLE>
See Notes to Financial Statements on Pages 56 and 57
<PAGE> 45
ASSET MANAGEMENT PORTFOLIO III 44
-----------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
=======================================================================================================
For the six months ended September 30, 1995 (unaudited)
- -------------------------------------------------------------------------------------------------------
<S> <C> <C>
INVESTMENT INCOME
- -------------------------------------------------------------------------------------------------------
Dividends $ 52,310
- -------------------------------------------------------------------------------------------------------
Interest 666,287
- -------------------------------------------------------------------------------------------------------
Total Investment Income $ 718,597
- -------------------------------------------------------------------------------------------------------
EXPENSES
- -------------------------------------------------------------------------------------------------------
Advisory Fee 77,879
- -------------------------------------------------------------------------------------------------------
Administration and Services Fee 11,981
- -------------------------------------------------------------------------------------------------------
Professional Fees 1,793
- -------------------------------------------------------------------------------------------------------
Trustees Fees 729
- -------------------------------------------------------------------------------------------------------
Insurance 1,332
- -------------------------------------------------------------------------------------------------------
Total Expenses 93,714
- -------------------------------------------------------------------------------------------------------
Less:Expenses Absorbed by Bankers Trust (21,826) 71,888
- -------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 646,709
- -------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON SECURITIES AND FUTURES
- -------------------------------------------------------------------------------------------------------
Net Realized Gain from SecuritiesTransactions 323,749
- -------------------------------------------------------------------------------------------------------
Net Realized (Loss) from Futures Transactions (329,247)
- -------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Securities 927,117
- -------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Futures Contracts 23,675
- -------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN ON SECURITIES AND FUTURES 945,294
- -------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $1,592,003
=======================================================================================================
</TABLE>
See Notes to Financial Statements on Pages 56 and 57
<PAGE> 46
ASSET MANAGEMENT PORTFOLIO III 45
----------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENT OF CHANGES IN NET ASSETS
==========================================================================================================
For the
six months ended For the
September 30, 1995 year ended
(unaudited) March 31, 1995
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
- ----------------------------------------------------------------------------------------------------------
FROM OPERATIONS
- ----------------------------------------------------------------------------------------------------------
Net Investment Income $ 646,709 $ 1,019,467
- ----------------------------------------------------------------------------------------------------------
Net Realized (Loss) from Securities and Futures Transactions (5,498) (783,153)
- -----------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Securities and Futures Contracts 950,792 505,973
- ----------------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Operations 1,592,003 742,287
- ----------------------------------------------------------------------------------------------------------
FROM CAPITAL TRANSACTIONS
- ----------------------------------------------------------------------------------------------------------
Proceeds from Capital Invested 4,371,610 5,531,582
- ----------------------------------------------------------------------------------------------------------
Value of Capital Withdrawn (1,228,982) (2,658,595)
- -----------------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Capital Transactions 3,142,628 2,872,987
- ----------------------------------------------------------------------------------------------------------
Total Increase in Net Assets 4,734,631 3,615,274
==========================================================================================================
NET ASSETS
- ----------------------------------------------------------------------------------------------------------
Beginning of Period 21,201,600 17,586,326
- ----------------------------------------------------------------------------------------------------------
End of Period $25,936,231 $21,201,600
==========================================================================================================
</TABLE>
See Notes to Financial Statements on Pages 56 and 57
<PAGE> 47
ASSET MANAGEMENT PORTFOLIO III 46
------------------------------------------------------------
FINANCIAL HIGHLIGHTS
=========================================================================
Contained below are selected ratios and supplemental data for each of the
periods indicated for the Asset Management Portfolio III.
- -------------------------------------------------------------------------
<TABLE>
<CAPTION>
For the period
For the October 15, 1993
six months ended For the (Commencement
September 30, 1995 year ended of Operations) to
(unaudited) March 31, 1995 March 31, 1994
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
RATIOS AND SUPPLEMENTAL DATA
Ratio of Net Investment Income to Average Net Assets 5.40%* 4.87% 3.51%*
Ratio of Expenses to Average Net Assets 0.60%* 0.60% 0.60%*
Decrease Reflected in Above Ratio of Expenses to Average
Net Assets Due to Absorption of Expenses by Bankers Trust 0.18%* 0.30% 0.49%*
Portfolio Turnover Rate 95% 111% 84.30%
Net Assets, End of Period (000's omitted) $25,936 $21,202 $17,586
</TABLE>
* Annualized
See Notes to Financial Statements on Pages 56 and 57
<PAGE> 48
ASSET MANAGEMENT PORTFOLIO III 47
----------------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
===================================================================
September 30, 1995 (unaudited)
SHARES DESCRIPTION VALUE
===================================================================
<S> <C> <C>
COMMON STOCKS - 16.33%
- -------------------------------------------------------------------
AEROSPACE - 0.05%
- -------------------------------------------------------------------
200 Lockheed Martin $ 13,425
===================================================================
AIRLINES - 0.19%
- -------------------------------------------------------------------
400 AMR (a) 28,850
- -------------------------------------------------------------------
300 Delta Air Lines 20,775
- -------------------------------------------------------------------
49,625
===================================================================
AUTO RELATED - 1.04%
- -------------------------------------------------------------------
1,000 Chrysler 53,000
- -------------------------------------------------------------------
1,700 Dana 49,087
- -------------------------------------------------------------------
1,500 Ford Motor 46,687
- -------------------------------------------------------------------
1,700 General Motors 79,688
- -------------------------------------------------------------------
400 General Motors, Cl E 18,200
- -------------------------------------------------------------------
500 PACCAR 23,375
- -------------------------------------------------------------------
270,037
===================================================================
AVIATION SERVICES - 0.18%
- -------------------------------------------------------------------
2,000 Ogden 47,000
===================================================================
BANKS - 0.40%
- -------------------------------------------------------------------
200 BankAmerica 11,975
- -------------------------------------------------------------------
300 BayBanks 22,762
- -------------------------------------------------------------------
200 Citicorp 14,150
- -------------------------------------------------------------------
400 First Interstate Bancorp 40,300
- -------------------------------------------------------------------
200 SunTrust Banks 13,225
- -------------------------------------------------------------------
102,412
===================================================================
BEVERAGES - 0.46%
- -------------------------------------------------------------------
700 Coca Cola 48,300
- -------------------------------------------------------------------
1,400 Pepsico 71,400
- -------------------------------------------------------------------
119,700
===================================================================
BROADCASTING - 0.03%
- -------------------------------------------------------------------
100 Clear Channel Communications (a) 7,575
===================================================================
BUILDING & CONSTRUCTION - 0.08%
- -------------------------------------------------------------------
700 Centex 20,300
===================================================================
BUILDING FOREST PRODUCTS - 0.08%
- -------------------------------------------------------------------
200 Champion International 10,775
- -------------------------------------------------------------------
700 Kaufman &Broad Home 8,837
- -------------------------------------------------------------------
19,612
===================================================================
CHEMICALS - 0.39%
- -------------------------------------------------------------------
300 Air Products & Chemical 15,637
- -------------------------------------------------------------------
800 Du Pont (E.I.) De Nemours 55,000
- -------------------------------------------------------------------
300 Monsanto 30,225
- -------------------------------------------------------------------
100,862
===================================================================
COMPUTER SOFTWARE - 0.48%
- -------------------------------------------------------------------
300 Cisco Systems (a) 20,700
- -------------------------------------------------------------------
400 Computer Associates International 16,900
- -------------------------------------------------------------------
100 Informix (a) 3,250
- -------------------------------------------------------------------
800 Microsoft (a) 72,400
- -------------------------------------------------------------------
300 Oracle Systems (a) 11,512
- -------------------------------------------------------------------
124,762
===================================================================
CONTAINERS - 0.21%
- -------------------------------------------------------------------
1,000 Temple-Inland 53,250
===================================================================
COSMETICS - 0.02%
- -------------------------------------------------------------------
100 Gillette 4,762
===================================================================
DIVERSIFIED - 0.26%
- -------------------------------------------------------------------
1,000 Textron 68,250
===================================================================
DRUGS - 0.75%
- -------------------------------------------------------------------
1,700 Merck & Co. 95,200
- -------------------------------------------------------------------
1,100 Pfizer 58,712
- -------------------------------------------------------------------
800 Schering-Plough 41,200
- -------------------------------------------------------------------
195,112
===================================================================
</TABLE>
See Notes to Financial Statements on Pages 56 and 57
<PAGE> 49
ASSET MANAGEMENT PORTFOLIO III 48
----------------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
===================================================================
September 30, 1995 (unaudited)
SHARES DESCRIPTION VALUE
===================================================================
<S> <C> <C>
ELECTRICAL EQUIPMENT - 1.08%
- -------------------------------------------------------------------
300 Duracell International $ 13,462
- -------------------------------------------------------------------
3,100 General Electric 197,625
- -------------------------------------------------------------------
100 General Instrument (a) 3,000
- -------------------------------------------------------------------
800 Hewlett-Packard 66,700
- -------------------------------------------------------------------
280,787
===================================================================
ELECTRONICS - 0.78%
- -------------------------------------------------------------------
600 AlliedSignal 26,475
- -------------------------------------------------------------------
500 AMP 19,250
- -------------------------------------------------------------------
400 Intel 24,050
- -------------------------------------------------------------------
1,100 Motorola 84,012
- -------------------------------------------------------------------
700 Teradyne (a) 25,200
- -------------------------------------------------------------------
300 Texas Instruments 23,963
- -------------------------------------------------------------------
202,950
===================================================================
FINANCIAL SERVICES - 0.65%
- -------------------------------------------------------------------
100 Federal National Mortgage Assoc. 10,350
- -------------------------------------------------------------------
700 First Data 43,400
- -------------------------------------------------------------------
300 Household International 18,600
- -------------------------------------------------------------------
400 MBNA 16,650
- -------------------------------------------------------------------
1,500 Travelers Group 79,688
- -------------------------------------------------------------------
168,688
===================================================================
FOOD SERVICES & LODGING - 0.16%
- -------------------------------------------------------------------
1,100 McDonald's 42,075
===================================================================
FOODS - 0.40%
- -------------------------------------------------------------------
600 CPC International 39,600
- -------------------------------------------------------------------
200 Premark International 10,175
- -------------------------------------------------------------------
1,400 Sara Lee 41,650
- -------------------------------------------------------------------
100 Unilever N.V., ADR 13,000
- -------------------------------------------------------------------
104,425
===================================================================
HEALTH CARE DIVERSIFIED - 0.40%
- -------------------------------------------------------------------
2,100 Abbott Laboratories 89,512
- -------------------------------------------------------------------
300 Columbia/HCA Healthcare 14,588
- -------------------------------------------------------------------
104,100
===================================================================
HOSPITAL SUPPLIES & SERVICES - 0.47%
- -------------------------------------------------------------------
1,200 Johnson & Johnson 88,950
- -------------------------------------------------------------------
200 St. Jude Medical 12,650
- -------------------------------------------------------------------
400 United Healthcare 19,550
- -------------------------------------------------------------------
121,150
===================================================================
HOTELS & MOTELS - 0.06%
- -------------------------------------------------------------------
400 Marriott International 14,950
===================================================================
HOUSEHOLD PRODUCTS - 0.50%
- -------------------------------------------------------------------
300 Clorox 21,413
- -------------------------------------------------------------------
1,400 Procter & Gamble 107,800
- -------------------------------------------------------------------
129,213
===================================================================
INSURANCE - 0.45%
- -------------------------------------------------------------------
850 American International Group 72,250
- -------------------------------------------------------------------
300 General Re 45,300
- -------------------------------------------------------------------
117,550
===================================================================
LEISURE RELATED - 0.40%
- -------------------------------------------------------------------
1,200 Disney (Walt) 68,850
- -------------------------------------------------------------------
400 Harcourt General 16,750
- -------------------------------------------------------------------
800 Outboard Marine 17,200
- -------------------------------------------------------------------
102,800
===================================================================
MACHINERY - AGRICULTURE - 0.15%
- -------------------------------------------------------------------
500 Deere &Co. 40,688
===================================================================
MANUFACTURING - 0.06%
- -------------------------------------------------------------------
400 Millipore 15,000
===================================================================
</TABLE>
See Notes to Financial Statements on Pages 56 and 57
<PAGE> 50
ASSET MANAGEMENT PORTFOLIO III 49
------------------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
===================================================================
September 30, 1995 (unaudited)
SHARES DESCRIPTION VALUE
===================================================================
<S> <C> <C>
METALS - 0.07%
- -------------------------------------------------------------------
600 Alcan Aluminum Ltd. $ 19,425
===================================================================
OFFICE EQUIPMENT - 0.32%
- -------------------------------------------------------------------
600 International Business Machines 56,625
- -------------------------------------------------------------------
100 Sun Microsystems (a) 6,300
- -------------------------------------------------------------------
900 Unisys (a) 7,087
- -------------------------------------------------------------------
100 Xerox 13,438
- -------------------------------------------------------------------
83,450
===================================================================
OIL DOMESTIC - 0.22%
- -------------------------------------------------------------------
100 Enron Oil & Gas 2,175
- -------------------------------------------------------------------
1,200 Tenneco 55,500
- -------------------------------------------------------------------
57,675
===================================================================
OIL INTERNATIONAL - 0.86%
- -------------------------------------------------------------------
700 Exxon 50,575
- -------------------------------------------------------------------
100 Mobil 9,963
- -------------------------------------------------------------------
900 Royal Dutch Petroleum 110,475
- -------------------------------------------------------------------
800 Texaco 51,700
- -------------------------------------------------------------------
222,713
===================================================================
OIL SUPPLIES & CONSTRUCTION - 0.18%
- -------------------------------------------------------------------
700 Schlumberger Ltd. 45,675
===================================================================
PAPER - 0.10%
- -------------------------------------------------------------------
600 International Paper 25,200
===================================================================
PETROLEUM RELATED - 0.41%
- -------------------------------------------------------------------
200 Amoco 12,825
- -------------------------------------------------------------------
1,200 Ashland Oil 40,050
- -------------------------------------------------------------------
500 Atlantic Richfield 53,688
- -------------------------------------------------------------------
106,563
===================================================================
PHOTOGRAPHY & OPTICAL - 0.05%
- -------------------------------------------------------------------
200 Eastman Kodak 11,850
===================================================================
PRINTING & PUBLISHING - 0.15%
- -------------------------------------------------------------------
200 McGraw-Hill 16,350
- -------------------------------------------------------------------
600 Time Warner $ 23,850
- -------------------------------------------------------------------
40,200
===================================================================
RAILROADS - 0.19%
- -------------------------------------------------------------------
700 Conrail 48,125
===================================================================
REAL ESTATE - 0.08%
- -------------------------------------------------------------------
700 Pulte 19,863
===================================================================
RETAIL - 0.59%
- -------------------------------------------------------------------
900 Dayton Hudson 68,288
- -------------------------------------------------------------------
1,700 Fleming 40,800
- -------------------------------------------------------------------
1,800 Wal-Mart Stores 44,775
- -------------------------------------------------------------------
153,863
===================================================================
TELECOMMUNICATIONS - 0.71%
- -------------------------------------------------------------------
1,300 AT&T 85,475
- -------------------------------------------------------------------
300 Capital Cities/ABC 35,288
- -------------------------------------------------------------------
3,200 Comcast, Cl A 64,000
- -------------------------------------------------------------------
184,763
===================================================================
TOBACCO - 0.47%
- -------------------------------------------------------------------
2,100 American Brands 88,725
- -------------------------------------------------------------------
400 Philip Morris 33,400
- -------------------------------------------------------------------
122,125
===================================================================
TRUCKING - SHIPPING - 0.17%
- -------------------------------------------------------------------
1,700 Ryder System 43,138
===================================================================
UTILITY - ELECTRIC - 1.31%
- -------------------------------------------------------------------
2,200 Detroit Edison 70,950
- -------------------------------------------------------------------
2,100 Houston Industries 92,662
- -------------------------------------------------------------------
1,900 Pacific Gas & Electric 56,763
- -------------------------------------------------------------------
3,200 PECO Energy 91,600
- -------------------------------------------------------------------
1,600 SCE 28,400
- -------------------------------------------------------------------
340,375
===================================================================
</TABLE>
See Notes to Financial Statements on Pages 56 and 57
<PAGE> 51
ASSET MANAGEMENT PORTFOLIO III 50
-----------------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
===================================================================
September 30, 1995 (unaudited)
SHARES DESCRIPTION VALUE
===================================================================
<S> <C>
UTILITY - NATURAL GAS - 0.27%
- -------------------------------------------------------------------
1,600 ONEOK $ 37,200
- -------------------------------------------------------------------
1,200 Panhandle Eastern 32,700
- -------------------------------------------------------------------
69,900
===================================================================
TOTAL COMMON STOCKS
(Cost $3,716,793) $ 4,235,963
===================================================================
PREFERRED STOCK
NON-CONVERTIBLE - 0.00%
- -------------------------------------------------------------------
DIVERSIFIED - 0.00%
- -------------------------------------------------------------------
10 Teledyne (Cost $147) $ 139
===================================================================
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT CORPORATE DEBENTURES - 9.95%
- -------------------------------------------------------------------
<S> <C> <C>
AEROSPACE - 0.48%
- -------------------------------------------------------------------
$ 120,000 Lockheed, 7.875%, 3/15/23 $ 123,850
===================================================================
BANKS - 2.19%
- -------------------------------------------------------------------
115,000 Citicorp, 8.00%, 2/1/03 123,027
- -------------------------------------------------------------------
120,000 Dresdner Bank, 6.625%, 9/15/05 119,432
- -------------------------------------------------------------------
60,000 Fleet/Norstar Group, 7.65%, 3/1/97 60,959
- -------------------------------------------------------------------
215,000 International Bank Reconstruction
& Development, 8.875%, 3/1/26 263,807
- -------------------------------------------------------------------
567,225
===================================================================
FINANCIAL SERVICES - 3.04%
- -------------------------------------------------------------------
50,000 Dean Witter Discover,
6.875%, 3/1/03 50,362
- -------------------------------------------------------------------
150,000 Ford Motor Credit, 5.625%, 3/3/97 148,861
- -------------------------------------------------------------------
General Motors Acceptance:
6,354 5.55%, 5/15/97 6,345
110,000 8.625%, 1/18/01 119,690
- -------------------------------------------------------------------
60,000 Goldman Sachs,
6.3125%, 2/23/98 (b) (e) 60,033
- -------------------------------------------------------------------
70,000 KFW International Finance,
8.20%, 6/1/06 77,566
- -------------------------------------------------------------------
90,000 PaineWebber Group,
9.25%, 12/15/01 99,350
- -------------------------------------------------------------------
50,000 Swedish Export Credit,
9.875%, 3/15/38 55,145
- -------------------------------------------------------------------
170,000 Washington Mutual Savings Bank,
7.25%, 8/15/05 172,661
- -------------------------------------------------------------------
790,013
===================================================================
HOSPITAL SUPPLIES & SERVICES - 0.81%
- -------------------------------------------------------------------
Columbia/HCA Healthcare:
- -------------------------------------------------------------------
130,000 6.91%, 6/15/05 130,407
- -------------------------------------------------------------------
70,000 8.70%, 2/10/10 80,181
- -------------------------------------------------------------------
210,588
===================================================================
INDUSTRIAL - 0.62%
- -------------------------------------------------------------------
110,000 Auburn Hills Trust, 12.00%, 5/1/20 161,623
===================================================================
OIL - INTERNATIONAL - 0.37%
- -------------------------------------------------------------------
90,000 BHP Finance USA, 7.875%, 12/1/02 95,347
===================================================================
RETAIL - 0.81%
- -------------------------------------------------------------------
125,000 J.C. Penney, 6.50%, 6/15/02 124,337
- -------------------------------------------------------------------
80,000 May Department Stores,
8.375%, 8/1/24 85,896
- -------------------------------------------------------------------
210,233
===================================================================
UTILITY - ELECTRIC - 1.19%
- -------------------------------------------------------------------
120,000 Delmarva Power & Light,
7.71%, 6/1/25 122,206
- -------------------------------------------------------------------
50,000 Idaho Power, 8.00%, 3/15/04 53,614
- -------------------------------------------------------------------
75,000 Potomac Edison, 8.00%, 6/1/24 78,000
- -------------------------------------------------------------------
50,000 Virginia Electric & Power,
8.625%, 10/1/24 55,597
- -------------------------------------------------------------------
309,417
===================================================================
UTILITY - NATURAL GAS - 0.44%
- -------------------------------------------------------------------
100,000 KN Energy, 9.625%, 8/1/21 114,604
===================================================================
</TABLE>
See Notes to Financial Statements on Pages 56 and 57
<PAGE> 52
ASSET MANAGEMENT PORTFOLIO III 51
- -------------------------------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
===================================================================
September 30, 1995 (unaudited)
PRINCIPAL
AMOUNT DESCRIPTION VALUE
===================================================================
<S> <C>
TOTAL CORPORATE DEBENTURES
(Cost $2,514,378) $ 2,582,900
- -------------------------------------------------------------------
CORPORATE DEBENTURE-
FOREIGN - 0.54%
- -------------------------------------------------------------------
GERMANY - 0.54%
- -------------------------------------------------------------------
$ 140,000 Norddeutsche Landesbank
6.875%, 3/10/03 (Cost $134,105) $ 140,438
===================================================================
ASSET-BACKED SECURITIES - 27.52%
- -------------------------------------------------------------------
CORPORATE - 0.49%
- -------------------------------------------------------------------
Standard Credit Card:
- -------------------------------------------------------------------
$ 45,000 8.25%, 11/7/03 $ 48,712
- -------------------------------------------------------------------
75,000 7.25%, 4/7/06 77,690
- -------------------------------------------------------------------
126,402
===================================================================
U.S. GOVERNMENT & AGENCIES - 27.03%
- -------------------------------------------------------------------
FHLMC: (d)
- -------------------------------------------------------------------
170,000 6.93%, 9/5/00 171,526
- -------------------------------------------------------------------
30,279 8.50%, 3/1/23 31,568
- -------------------------------------------------------------------
413,697 9.50%, 2/1/25 419,906
- -------------------------------------------------------------------
FNMA: (d)
- -------------------------------------------------------------------
379,937 6.00%, 1/1/01 374,192
- -------------------------------------------------------------------
180,000 8.625%, 11/10/04 193,252
- -------------------------------------------------------------------
228,089 7.00%, 5/1/09 228,945
- -------------------------------------------------------------------
317,991 8.00%, 4/1/10 326,930
- -------------------------------------------------------------------
413,697 7.00%, 1/1/24 408,008
- -------------------------------------------------------------------
1,350,705 8.00%, 7/1/25 1,381,096
- -------------------------------------------------------------------
GNMA: (d)
- -------------------------------------------------------------------
1,367,798 6.50%, 9/15/23 1,319,923
- -------------------------------------------------------------------
2,096,896 8.00%, 7/15/25 2,155,839
- -------------------------------------------------------------------
7,011,185
===================================================================
TOTAL ASSET-BACKED SECURITIES
(Cost $7,185,904) $ 7,137,587
===================================================================
GOVERNMENTS FOREIGN - 1.03%
- -------------------------------------------------------------------
CANADA - 0.47%
- -------------------------------------------------------------------
$ 125,000 Manitoba, 6.125%, 1/19/04 $ 121,006
===================================================================
ITALY - 0.20%
- -------------------------------------------------------------------
55,000 Republic of Italy, 6.875%, 9/27/23 50,256
===================================================================
NEW ZEALAND - 0.36%
- -------------------------------------------------------------------
80,000 New Zealand Government,
8.75%, 12/15/06 93,939
===================================================================
TOTAL GOVERNMENTS FOREIGN
(Cost $ 256,003) $ 265,201
===================================================================
LONG-TERM U.S. TREASURY
SECURITIES - 21.22%
- -------------------------------------------------------------------
U.S. TREASURY BONDS - 3.89%
- -------------------------------------------------------------------
$ 476,000 8.125%, 8/15/19 $ 558,853
- -------------------------------------------------------------------
419,000 7.25%, 8/15/22 450,425
- -------------------------------------------------------------------
1,009,278
===================================================================
U.S. TREASURY NOTES - 17.33%
- -------------------------------------------------------------------
40,000 6.00%, 6/30/96 400,687
- -------------------------------------------------------------------
150,000 7.50%, 12/31/96 153,023
- -------------------------------------------------------------------
1,690,000 5.125%, 11/30/98 1,650,661
- -------------------------------------------------------------------
2,142,000 7.25%, 8/15/04 2,289,931
- -------------------------------------------------------------------
4,494,302
===================================================================
TOTAL LONG-TERM U.S. TREASURY SECURITIES
(Cost $5,266,732) $ 5,503,580
===================================================================
</TABLE>
See Notes to Financial Statements on Pages 56 and 57
<PAGE> 53
ASSET MANAGEMENT PORTFOLIO III 52
-----------------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
===================================================================
September 30, 1995 (unaudited)
PRINCIPAL
AMOUNT DESCRIPTION VALUE
===================================================================
<S> <C>
SHORT-TERM INVESTMENTS - 22.63%
- -------------------------------------------------------------------
UNITED STATES TREASURY BILLS - 11.93%
- -------------------------------------------------------------------
$95,000 5.40%, 10/12/95 (c) $ 94,848
- -------------------------------------------------------------------
2,000,000 5.42%, 12/21/95 1,976,578
- -------------------------------------------------------------------
1,050,000 5.76%, 4/4/96 1,021,510
- -------------------------------------------------------------------
3,092,936
===================================================================
REPURCHASE AGREEMENT - 10.70%
- -------------------------------------------------------------------
2,774,224 Repurchase Agreement with Sanwa
Bank, Dated 9/29/95, 6.25%,
Principal and Interest in the
Amount of $2,775,187, Due 10/02/95,
(Collateralized by U.S. Treasury
Bonds, Par Value of $1,877,000,
12.75%, Due 11/15/10, Value
of $2,850,107) 2,774,224
===================================================================
TOTAL SHORT-TERM INVESTMENTS
(Cost $5,864,075) $ 5,867,160
===================================================================
TOTAL INVESTMENTS
(Cost $24,938,137) 99.22% $25,732,968
- -------------------------------------------------------------------
Other Assets in Excess of Liabilities 0.78 203,263
- -------------------------------------------------------------------
NET ASSETS 100.00% $25,936,231
===================================================================
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF
FUTURES NET UNREALIZED
CONTRACTS DESCRIPTION (DEPRECIATION)
===================================================================
<S> <C> <C>
FUTURES CONTRACTS
- -------------------------------------------------------------------
1 S&P 500 December 1995 Short Futures
(Market Value $294,100) $ (4,700)
- -------------------------------------------------------------------
6 U.S. Treasury December 1995 Short
Futures (Market Value $661,500) (938)
- -------------------------------------------------------------------
$ (5,638)
===================================================================
</TABLE>
(a) Non-Income Producing Security
(b) Quarterly Floating Rate Note
(c) Held as Collateral for Futures Contracts
(d) The following abbreviations are used in the portfolio descriptions:
FHLMC - Federal Home Loan Mortgage Corporation
FNMA - Federal National Mortgage Association
GNMA - Government National Mortgage Association
(e) Security exempt from registration under Rule 144A of the Securities Act of
1933. This security may be resold in transactions exempt from
registration, normally to qualified institutional buyers. At the period
end, the value of this security amounted to $60,033 or 0.23% of net
assets.
See Notes to Financial Statements on Pages 56 and 57
<PAGE> 54
BT INVESTMENT LIFECYCLE FUNDS 53
------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (unaudited)
- -------------------------------------------------------------------
NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
A. Organization
BT Investment Funds (the "Trust") is registered under the Investment Company
Act of 1940 (the "Act"), as amended, as an open-end management investment
company. The Trust was organized on July 21, 1986, as a business trust under
the laws of the Commonwealth of Massachusetts. The BT Investment Lifecycle Long
Range Fund, Mid Range Fund and Short Range Fund (each a "Fund", and
collectively, the "Funds") are three of the funds offered to investors by the
Trust. The Long Range Fund commenced operations and began offering shares of
beneficial interest on November 16, 1993. The Mid Range Fund commenced
operations and began offering shares of beneficial interest on October 14,
1993. The Short Range Fund commenced operations and began offering shares of
beneficial interest on October 15, 1993. The Long Range Fund, Mid Range Fund
and Short Range Fund invest substantially all of their assets in the Asset
Management Portfolio, Asset Management Portfolio II and Asset Management
Portfolio III (each a "Portfolio" and collectively, the "Portfolios")
respectively. The Portfolios are open-end management investment companies
registered under the Act. The Funds seek to achieve their investment objectives
by investing all of their investable assets in the respective Portfolio. The
value of such investment in the Portfolios reflects each Fund's proportionate
interest in the net assets of the respective Portfolio. At September 30, 1995,
the Long Range Fund's investment was approximately 21% of the Asset Management
Portfolio, the Mid Range Fund's investment was approximately 100% of the Asset
Management Portfolio II and the Short Range Fund's investment was approximately
100% of the Asset Management Portfolio III. The financial statements of each of
the Portfolios, including the Schedules of Portfolio Investments, are contained
elsewhere in this report.
B. Investment Income
Each of the Funds earns income, net of expenses, daily on its investment in the
respective Portfolio. All of the net investment income and realized and
unrealized gains and losses from the security transactions of each Portfolio
are allocated pro rata among the investors in the Portfolio at the time of such
determination.
C. Dividends
It is each Fund's policy to declare and distribute dividends quarterly to
shareholders from net investment income. Dividends payable to shareholders are
recorded by each Fund on the ex-dividend date. Distributions of net realized
short-term and long-term capital gains, if any, earned by each Fund will be
made annually to the extent they are not offset by any capital loss
carryforwards.
Each of the Funds may periodically make reclassifications among certain of its
capital accounts as a result of the timing and characterization of certain
income and capital gains distributions determined annually in accordance with
federal tax regulations which may differ from generally accepted accounting
principles.
D. Federal Income Taxes
It is each Fund's policy to comply with the requirements of the Internal
Revenue Code applicable to regulated investment companies and to distribute all
of its taxable income to shareholders. Therefore, no federal income tax
provision is required.
E. Other
The Trust accounts separately for the assets, liabilities, and operations of
each of the Funds. Expenses directly attributable to each Fund are charged to
that Fund, while expenses which are attributable to all of the Trust's funds
are allocated among them.
<PAGE> 55
BT INVESTMENT LIFECYCLE FUNDS 54
----------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (unaudited)
===================================================================
NOTE 2 - FEES AND TRANSACTIONS WITH AFFILIATES
The Funds have entered into an Administration and Services Agreement with
Bankers Trust Company ("Bankers Trust"). Under this Administration and Services
Agreement, Bankers Trust provides administrative, custody, transfer agency and
shareholder services to each of the Funds in return for a fee computed daily
and paid monthly at an annual rate of 0.65 of 1% of each Fund's average daily
net assets. For the six months ended September 30, 1995, these fees aggregated
$92,876, $107,227 and $77,798 for the Long Range Fund, Mid Range Fund and Short
Range Fund, respectively.
The Trust has entered into a Distribution Agreement with Signature
Broker-Dealer Services, Inc. ("Signature"). Under the Distribution Agreement
with the Trust, pursuant to Rule 12b-1 of the 1940 Act, Signature may seek
reimbursement, at an annual rate not exceeding 0.20 of 1% of the Fund's average
daily net assets, for expenses incurred in connection with any activities
primarily intended to result in the sale of each Fund's shares. For the six
months ended September 30, 1995, there were no reimbursable expenses incurred
under this agreement.
Bankers Trust has voluntarily undertaken to waive and reimburse expenses of
each Fund, to the extent necessary, to limit all expenses to 0.40 of 1% of the
average daily net assets of each Fund, excluding expenses of the respective
Portfolios and 1.00 of 1% of the average daily net assets of each Fund,
including expenses of the respective Portfolios. For the six months ended
September 30, 1995, expenses of the Long Range Fund, Mid Range Fund and Short
Range Fund have been reduced $57,314, $61,623 and $50,467, respectively.
Each of the Funds is subject to such limitations as may from time to time be
imposed by the Blue Sky laws of states in which each of the Funds sells its
shares. Currently, the most restrictive jurisdiction imposes expense
limitations of 2.5% of the first $30,000,000 of the average daily net assets,
2.0% of the next $70,000,000, and 1.5% of any excess over $100,000,000. Certain
trustees and officers of the Funds are also directors, officers and/or
employees of Signature. None of the trustees so affiliated received
compensation for services as trustee of the Funds. Similarly, none of the
Funds' officers received compensation from the Funds.
NOTE 3 - SHARES OF BENEFICIAL INTEREST
At September 30, 1995, there were an unlimited number of shares of beneficial
interest authorized. Transactions in shares of beneficial interest were as
follows:
LONG RANGE FUND
<TABLE>
<CAPTION>
For the
six months ended For the
September 30, 1995 year ended
(unaudited) March 31, 1995
------------------ ----------------------
Shares Amount Shares Amount
------ ------ ------ ------
<S> <C> <C> <C> <C>
Sold 2,534,757 $26,191,035 882,368 $ 8,527,326
Reinvested 33,388 348,153 26,988 256,062
Redeemed (633,744) (6,558,243) (120,211) (1,162,023)
--------- ----------- -------- -----------
Net Increase 1,934,401 $19,980,945 789,145 $ 7,621,365
========= =========== ======== ===========
</TABLE>
<PAGE> 56
BT INVESTMENT LIFECYCLE FUNDS 55
------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (unaudited)
===================================================================
MID RANGE FUND
<TABLE>
<CAPTION>
For the
six months ended For the
September 30, 1995 year ended
(unaudited) March 31, 1995
--------------------- ----------------------
Shares Amount Shares Amount
------ ------ ------ ------
<S> <C> <C> <C> <C>
Sold 1,231,649 $12,144,440 821,762 $ 7,688,857
Reinvested 62,648 612,277 86,014 791,477
Redeemed (199,094) (1,968,697) (257,635) (2,400,320)
--------- ----------- -------- ------------
Net Increase 1,095,203 $10,788,020 650,141 $ 6,080,014
========= =========== ======== ============
</TABLE>
SHORT RANGE FUND
<TABLE>
<CAPTION>
For the
six months ended For the
September 30, 1995 year ended
(unaudited) March 31, 1995
--------------------- ----------------------
Shares Amount Shares Amount
------ ------ ------ ------
<S> <C> <C> <C> <C>
Sold 461,781 $ 4,454,091 585,939 $ 5,531,582
Reinvested 56,486 541,425 89,667 830,858
Redeemed (119,384) (1,154,088) (282,622) (2,634,912)
--------- ------------- --------- -------------
Net Increase 398,883 $ 3,841,428 392,984 $ 3,727,528
========= ============= ========= =============
</TABLE>
NOTE 4 - CAPITAL LOSS CARRYFORWARD
At March 31, 1995, accumulated net realized capital
loss carryforwards available as a reduction against
future net realized capital gains were as follows:
MID RANGE FUND
Amount Expiring
- ------ --------
$ 51,946 2002
527,308 2003
SHORT RANGE FUND
Amount Expiring
- ------ --------
$828,397 2003
<PAGE> 57
ASSET MANAGEMENT PORTFOLIOS 56
------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (unaudited)
===================================================================
NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
A. Organization
The Asset Management Portfolio, Asset Management Portfolio II and Asset
Management Portfolio III (each a "Portfolio", and collectively, the
"Portfolios") are registered under the Investment Company Act of 1940 (the
"Act"), as amended, as open-end management investment companies. The Asset
Management Portfolio was organized on June 9, 1992 as an unincorporated trust
under the laws of New York and commenced operations on September 16, 1993. The
Asset Management Portfolio II was organized on October 28, 1992, as an
unincorporated trust under the laws of New York and commenced operations on
October 14, 1993. The Asset Management Portfolio III was organized on October
28, 1992 as an unincorporated trust under the laws of New York and commenced
operations on October 15, 1993. The Declaration of Trust permits the Board of
Trustees (the "Trustees") to issue beneficial interests in each of the
Portfolios.
B. Security Valuation
The Portfolios' investments are valued each business day by an independent
pricing service (the "Service") approved by the Trustees. Securities traded on
national exchanges or traded in the NASDAQ National Market System are valued at
the last sales prices reported at the close of business each day.
Over-the-counter securities not included in the NASDAQ National Market System
and listed securities for which no sale was reported are valued at the mean of
the bid and asked prices. Short-term obligations with remaining maturities of
60 days or less are valued at amortized cost which with accrued interest
approximates value. Securities for which quotations are not available are
stated at fair value as determined by the Trustees.
C. Security Transactions and Interest Income
Security transactions are accounted for on a trade date basis (date the order
to buy or sell is executed). 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.
Each of the Portfolios may enter into repurchase agreements with financial
institutions deemed to be creditworthy by the Portfolios' Investment Advisers,
subject to the seller's agreement to repurchase such securities at a mutually
agreed upon price. Securities purchased subject to repurchase agreements are
deposited with the Portfolios' custodian, and pursuant to the terms of the
repurchase agreement must have an aggregate market value greater than or equal
to the repurchase price plus accrued interest at all times. If the value of the
underlying securities falls below the value of the repurchase price plus
accrued interest, the Portfolios will require the seller to deposit additional
collateral by the next business day. If the request for additional collateral
is not met, or the seller defaults on its repurchase obligation, the Portfolios
maintain the right to sell the underlying securities at market value and may
claim any resulting loss against the seller.
All of the net investment income and realized and unrealized gains and losses
from the security transactions of the Portfolios are allocated pro rata among
the investors in the Portfolios at the time of such determination.
D. Federal Income Taxes
It is each Portfolio's policy to comply with the requirements of the Internal
Revenue Code applicable to it. Therefore, no federal income tax provision is
required.
<PAGE> 58
ASSET MANAGEMENT PORTFOLIOS 57
------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (unaudited)
===================================================================
Note 2 - FEES and TRANSACTIONS with AFFILIATES
The Portfolios have entered into an Administration and Services Agreement with
Bankers Trust Company ("Bankers Trust"). Under this Administration and Services
Agreement, Bankers Trust provides administrative, custody, transfer agency and
shareholder services to each of the Portfolios in return for a fee computed
daily and paid monthly at an annual rate of 0.10 of 1% of the Portfolios'
average daily net assets. For the six months ended September 30, 1995, these
fees aggregated $68,016, $16,512 and $11,981 for the Asset Management
Portfolio, Asset Management Portfolio II andAsset Management Portfolio III,
respectively.
The Portfolios have entered into an Advisory Agreement with Bankers Trust.
Under this Advisory Agreement, Bankers Trust manages the Portfolios in
accordance with the Portfolios' investment objective and stated investment
policies in return for a fee computed daily and paid monthly at an annual rate
of 0.65 of 1% of the Portfolios' average daily net assets. For the six months
ended September 30, 1995, these fees aggregated $442,103, $107,330, and $77,879
for the Asset Management Portfolio, Asset Management Portfolio IIand Asset
Management Portfolio III, respectively.
Bankers Trust has voluntarily undertaken to waive and reimburse expenses of
each Portfolio, to the extent necessary, to limit all expenses to 0.60 of 1% of
the average daily net assets of each Portfolio. For the six months ended
September 30, 1995, expenses of the Asset Management Portfolio, Asset
Management Portfolio II and Asset Management Portfolio III have been reduced
$110,846, $28,750 and $21,826, respectively.
Certain trustees and officers of the Portfolios are also directors, officers
and/or employees of Signature. None of the trustees so affiliated received
compensation for services as trustee of the Portfolios. Similarly, none of the
Portfolios' officers received compensation from the Portfolios.
NOTE 3 - PURCHASES AND SALES OF INVESTMENT SECURITIES
The aggregate cost of purchases and proceeds from sales of investments, other
than short-term obligations, for the six months ended September 30, 1995, were
as follows:
<TABLE>
<CAPTION>
Portfolio Purchases Sales
- --------- --------- -----
<S> <C> <C>
Asset Management $58,067,782 $40,012,378
Asset Management II 21,938,698 15,744,528
Asset Management III 18,352,445 17,366,459
</TABLE>
The aggregate gross unrealized appreciation/depreciation for all investments,
were as follows:
<TABLE>
<CAPTION>
Portfolio Appreciation Depreciation
- --------- ------------ ------------
<S> <C> <C>
Asset Management $8,589,840 $508,727
Asset Management II 1,239,562 136,822
Asset Management III 920,111 125,280
</TABLE>
The Portfolio may enter into financial futures contracts as an investment
technique designed to hedge against anticipated future change in general market
prices which otherwise might either adversely affect the value of securities
held by the Portfolio or adversely affect the prices of securities which are
intended to be purchased at a later date for the Portfolio. Investment in
financial futures require initial margin deposits which consist of cash or cash
equivalents equal to approximately 5% to 10% of the contract amount. During the
period the financial futures are open, changes in the value of the contracts
are recognized by "mark to market" on a daily basis to reflect the market value
of the contracts at the close of each day's trading. Accordingly, variation
margin payments are made or received to reflect daily unrealized gains or
losses. When the contracts are closed, the Portfolios recognize a realized gain
or loss. The use of futures contracts involves elements of market risk in
excess of amounts recognized in the statement of assets and liabilities.
