BT INVESTMENT FUNDS, N-30D, 1996-05-31

BT INVESTMENT FUNDS
N-30D, 1996-05-31

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- BT INVESTMENT FUNDS -

CAPITAL APPRECIATION FUND
GLOBAL HIGH YIELD SECURITIES FUND
INTERMEDIATE TAX FREE FUND
INTERNATIONAL EQUITY FUND
LATIN AMERICAN EQUITY FUND
PACIFIC BASIN EQUITY FUND
SMALL CAP FUND

SEMI-ANNUAL REPORT
- --------------------------------------------------------------------------------
MARCH - 1996
<PAGE> 2

- --------------------------------------------------------------------------------
BT Investment Funds
TABLE OF CONTENTS
- --------------------------------------------------------------------------------

<TABLE>
<S> <C>
LETTERS TO SHAREHOLDERS
Capital Appreciation Fund........................................................... 3
Global High Yield Securities Fund................................................... 6
Intermediate Tax Free Fund.......................................................... 8
International Equity Fund........................................................... 10
Latin American Equity Fund.......................................................... 13
Pacific Basin Equity Fund........................................................... 15
Small Cap Fund...................................................................... 17
BT INVESTMENT FUNDS
Statements of Assets and Liabilities................................................ 20
Statements of Operations............................................................ 21
Statements of Changes in Net Assets................................................. 22
Financial Highlights................................................................ 24
Notes to Financial Statements....................................................... 27
BT PORTFOLIOS
Schedule of Portfolio Investments................................................... 29
Statements of Assets and Liabilities................................................ 42
Statements of Operations............................................................ 43
Statements of Changes in Net Assets................................................. 44
Financial Highlights................................................................ 46
Notes to Financial Statements....................................................... 48
</TABLE>

- --------------------------------------------------------------------------------

Providing quality service is a critical component of our relationship with our
shareholders. Not only do we strive to provide superior investment management,
administration, and flexibility, but Bankers Trust also looks for ways to expand
our definition of investor service by anticipating, and then meeting, our
shareholders' continually changing needs.

We are pleased to present you with this newly designed semi-annual report for
the BT Investment Funds, providing a more detailed review of the markets, the
portfolios, and our outlook -- all in an easier-to-read, consolidated format. Of
course, we continue to include complete financial summaries of the Funds'
operations and listings of the Portfolio's holdings.

We value your ongoing support of the BT Investment Funds and are looking forward
to serving your investment needs in the years ahead.

2
<PAGE> 3

- --------------------------------------------------------------------------------
LETTER TO SHAREHOLDERS OF CAPITAL APPRECIATION FUND
- --------------------------------------------------------------------------------

The Capital Appreciation Fund's (the "Fund's") total return was down 0.16% for
the six months ended March 31, 1996, as compared to 7.67% for the S&P 400 Midcap
Index and 7.92% for the Lipper Growth Average. Since its inception on March 9,
1993, the Fund has returned 68.03% cumulatively.

MARKET ACTIVITY

The past six months were a time of economic uncertainty and confusion for the
stock market. Signs of an economic slowdown, combined with the Federal Reserve
Board's decision not to lower interest rates further, raised fears that the
economy might be heading for a recession and that companies' earnings growth
would slow significantly, or possibly even decline year over year. Fears that
inflation would rise were also high. This uncertainty about the future impacted
middle capitalization companies more than larger capitalization companies, and
so the S&P Midcap Index lagged the S&P 500 index by more than 400 basis points
during the semi-annual period. In the prior six months, mid cap stocks led large
cap stocks by more than 1%.

As we moved through the first quarter of the year, much of the uncertainty
dissipated, and this renewed confidence in the macroeconomic climate helped the
S&P Midcap Index outperform the S&P 500 again in March 1996.

Sector performance within the mid cap universe also reflected economic trends.
The top performing sectors were health care, energy and financial
services -- all sectors that were viewed as either benefiting from rising
inflation and slowing economic growth or sectors that were seen as relatively
insensitive to economic cycles. Those sectors that were seen as more influenced
by economic cycles, such as consumer staples, capital spending, and technology,
were among the worst performing sectors in the mid capitalization marketplace.

We primarily attribute the Fund's underperformance to the weakness in the
technology sector, which, in stark contrast to its leadership position for the
six months ending September 30, 1995, was the worst performing sector during the
last six months.

INVESTMENT REVIEW

The last six months were a period of much confusion with regard to the economic
outlook, the interest rate environment and earnings prospects. It was also a
period in which volatility was higher than it had been in some time. In this
kind of environment, the type of stocks the portfolio management team seeks for
the Fund were hurt more sharply than the general market indices. We look for
companies with strong and accelerating earnings, whose prospects are not yet
fully recognized by the stock market. The portfolio was also positioned to
reflect Bankers Trust's macroeconomic view that the slowdown in economic growth
would be temporary, that we would see a reacceleration after the first quarter
of 1996, and that interest rates would not decline significantly further. Thus,
we focused particularly on companies that would continue to show strong earnings
growth and could see some benefit from reacceleration in the economy. We used
the market's volatility to our investors' advantage in implementing this
strategy, particularly in the first quarter of 1996, using significant price
dips to accumulate or add to positions in companies, which we believe have
strong earnings prospects, in the belief that our shareholders would be well
rewarded by these purchases over the coming months.

The first quarter was also a period in which volatility was higher than normal.
The portfolio management team exploited that volatility to our investors
advantage by using periods of weakness to initiate or add to positions in
companies with strong future prospects whose stocks may be hurt temporarily by
the markets volatility. A good example of that strategy was our investment in
Cheyenne Software, which was made when the stock dropped sharply in the wake of
concerns over product transition issues. We believed that the market was being
too short term orientated in its concerns and that Cheyenne's product pipeline
was not only strong, it was quite unique in the industry. Shortly after we
initiated the position, Cheyenne received a takeover bid from MacAfee Associates
at close to 100% above the price at which we purchased the stock for the
portfolio.

The portfolio management team uses a very disciplined investment process in
managing the Fund. One of the tenets of this process is the use of themes.
Themes are secular trends which are occurring in the world irrespective of
economic cycles. The team attempts to identify these trends and find companies
which, in addition to being well managed and having strong fundamental growth
prospects, will be able to benefit significantly from these secular trends. We
also have a strict valuation sell discipline. During the fourth quarter of 1995,
we scaled back on many of those technology stocks that appeared to us to be
selling at price/earnings multiples that their growth rates did not justify,
particularly those tied to the personal computer and semiconductor industries.
We refocused our technology holdings towards those companies which we believed
would be major beneficiaries in the further deregulation of our communications
industry, increasing our commitment to such themes as "Telecommunications." We
also initiated several new technology-related themes: "Life on the Net" and
"Managing the Information Age," which seek to identify companies that are
integral to the use of the Internet and Corporate Intranets and companies that
can help individuals and corporations manage and leverage an increasingly
complex range of information services and tools.

Even though a lot of the technology companies were volatile over the last six
months, we remain overweight in this sector relative to our benchmark. We
believe that technology is becoming more pervasive and ubiquitous than ever and
that this is a secular trend, not a cyclical one. We view the slowdown we saw in
the last six months in the sector simply as a pause within a longer-term
uptrend. Technology is such a broad category that not every company in the
sector will prosper. Historically, the thematic approach we use, combined with
our detailed fundamental analysis, has been of great benefit to our shareholders
in this volatile sector, particularly when one looks over a longer time frame.

3
<PAGE> 4

During the period, we increased our holdings in the energy sector, with a
particular focus on those companies that have dramatically lowered their cost
structures and should be able to continue to improve profitability even if oil
and gas prices were to go lower in the months ahead. We particularly favor those
energy companies with special niche technologies that should benefit from
increased exploration activity by the majors.

We have also selectively been increasing our exposure to certain consumer
stocks, because we believe the consumer is starting to spend again. The consumer
sector is going through a period of great secular change, as companies adjust to
the fact that consumer spending in the 1990s should be lower than consumer
spending in the 1980s due to the aging of the baby boomers. As with any secular
shift of this magnitude, certain companies are very well positioned to take
advantage of this shift, while others will be hurt by it. We have centered our
commitment to this sector around companies that can benefit from new consumer
buying patterns by offering exceptional value for the money, by having strong,
identifiable brand names with the consumers, or by exploiting our changing
leisure time patterns.

The Fund also remains overweight in the healthcare sector, with a focus around
those companies that benefit from the shift in delivery of healthcare services
and are focused on supplying services and products to an aging population.
During the period, a new healthcare theme, "Life Sciences Revolution," was begun
because we recognized that several factors are converging which we believe will
result in strong improvement in profits from many mid-sized biotechnology
companies, as they move from the development stage into the production stage
with their drugs.

For the one year ended March 31, 1996, the Fund outperformed both its benchmark
and its Lipper category average. As has been our investment management style, we
continue to use good fundamental research to identify companies with
consistently strong earnings and revenue growth, to use our thematic approach
and screening processes to help us identify unrecognized growth companies and/or
sectors, and finally, to use the volatility of the marketplace to our
shareholders' advantage by initiating or adding to positions on weakness.

LOOKING AHEAD

Bankers Trust is forecasting moderate growth in the economy, relatively stable
interest rates and relatively stable inflation (although somewhat higher than
last year's levels). We believe this environment is a very positive one for mid
cap companies, particularly for the type of companies in the Fund. We believe it
is possible that the outperformance of mid cap stocks relative to their larger
cap brethren seen in March 1996 may continue for the rest of the year, primarily
due to their relatively cheaper valuation and the prospect of stronger earnings
growth from this asset class. We still expect higher than normal volatility in
the market, particularly as we move closer to the election in November 1996.

Our strategy in this environment continues to be focused on individual companies
with compelling growth characteristics. We will try to use market volatility to
our shareholders' advantage by purchasing strong companies whose stocks may have
been hurt by unrelated market volatility. In our opinion, the mid cap bias of
the Capital Appreciation Fund continues to offer shareholders some of the
outperformance potential that resides in the smaller cap end of the marketplace,
but with more liquidity and through companies that are themselves a bit more
mature than the typical small cap company.

We will, of course, continue monitoring economic conditions and how they affect
the financial markets, as we seek capital growth over the long term.

The following graph illustrates the Fund's return versus the S&P MidCap 400
Index since March 31, 1993, assuming a $10,000 initial investment:

- --------------------------------------------------------------------------------
COMPARISON OF CHANGE
IN VALUE OF A $10,000
INVESTMENT IN THE
CAPITAL APPRECIATION
FUND AND THE S&P
MIDCAP 400 INDEX

<TABLE>
<CAPTION>
TOTAL RETURN
ENDED MARCH 31, 1996
One Year Since 3/9/93*
<S> <C>
30.56% 68.03%
</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.

[CHART]

- --------------------------------------------------------------------------------

<TABLE>
<CAPTION>
Measurement Period BT Capital Appreciation
(Fiscal Year Covered) Fund S&P MidCap 400 Index
<S> <C> <C>
3/31/93 10000 10000
6/30/93 10519 10233
9/30/93 11838 10747
12/31/93 11708 11034
3/31/94 11409 10614
6/30/94 10699 10227
9/30/94 11728 10920
12/31/94 12088 10638
3/31/95 12857 11498
6/30/95 14266 12513
9/30/95 16813 13734
12/31/95 16612 13930
3/31/96 16786 14788

</TABLE>

4
<PAGE> 5
<TABLE>
<S> <C>
Seeks capital growth over the long-term through
investment in medium sized companies that show growth
OBJECTIVE potential. Current income is a secondary goal.
- -----------------------------------------------------------------------------------------
INVESTMENT INSTRUMENTS Primarily common stocks of growth-oriented
domestic corporations and, to a lesser extent,
foreign corporations, but may invest in any market
sectors and companies of any size; also, may take
advantage of any investment opportunity with
attractive long-term prospects.
- -----------------------------------------------------------------------------------------
TEN LARGEST STOCK HOLDINGS Green Tree Financial Corp. U.S. Surgical Corp.
Parametrics Technology Corp. Elan Plc.
First USA Payment Tech Inc. Nellcor Puritan Bennett Inc.
Staples Inc. Newbridge Networks Co.
Danka Business Systems -- ADR Healthsource Inc.
- -----------------------------------------------------------------------------------------
</TABLE>

DIVERSIFICATION OF PORTFOLIO
INVESTMENTS BY THEME
AS OF MARCH 31, 1996 (UNAUDITED)
(percentages are based on market
values

[CHART]

<TABLE>
<S> <C>
Life Sciences Revolution 4.48%
New Health Care Paradigm 5.21%
U.S. Treasury Bills 9.93%
Telecommunications 5.85%
America's Changing Leisure Time 5.37%
Interactive Media 4.43%
Managing the Information Age 5.73%
Client-Server Computing 4.11%
Other* 19.25%
New Consumer 8.49%
Productivity Enhancement 4.70%
Stores of Value 7.53%
Move to Outsourcing 8.95%
Life on the Net 5.97%
</TABLE>

* No one theme represents more than 4.00% of portfolio holdings.

- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ABOUT THE MARY LISANTI
PORTFOLIO MANAGER MANAGING DIRECTOR
- Manager of the Capital Appreciation
Portfolio, Small Cap Portfolio, and separate
aggressive growth accounts
- 16 years of investment experience as a
portfolio manager and analyst in Small/Mid
cap equities
- Joined Bankers Trust from Lieber &
Company/The Evergreen Funds, where for three
years she was Vice President of Investments and
a portfolio manager working on their $800
million small and mid-sized company fund
- Senior Vice President at Shearson Lehman
Brothers, headed the firm's emerging growth
stock investment strategy and research effort;
member of the Investment Policy Committee
- Earned the #1 ranking in Institutional
Investor's All Star Research Team in 1989
(ranked #2 and #3 in 1987 and 1986,
respectively) for her work as a small company
stock analyst
- B.A. -- Princeton University
- Member, New York Society of Security Analysts
and Financial Analyst Federation

</TABLE>

5
<PAGE> 6

- --------------------------------------------------------------------------------
LETTER TO SHAREHOLDERS OF GLOBAL HIGH YIELD SECURITIES FUND
- --------------------------------------------------------------------------------

The Global High Yield Securities Fund (the "Fund") had a total return of 11.42%
for the six months ending March 31, 1996, versus 11.96% for the J.P. Morgan
Emerging Markets Bond Index and Merrill Lynch High Yield Master Index benchmark
and just 4.11% for the Lipper General World Income Average over the same period.
The benchmark is calculated using the performances of two appropriate global and
emerging market indices in the following proportions: J.P. Morgan Emerging
Markets Bond Index ("EMBI"), 75%, and Merrill Lynch High Yield Master Index
(MLHYMI), 25%. Since its inception on December 14, 1993, the Fund has returned
19.56%.

MARKET ACTIVITY

Following a weak performance in October 1995, the global high yield markets
rallied from November 1995 through January 1996, led by a strong performance by
Latin America. When the U.S. Treasury market weakened during February and March,
the global high yield markets, in turn, performed more modestly once again.

U.S. MARKET The U.S. high yield market rallied for most of the semi-annual
period, as a result of the strong U.S. Treasury market, positive technicals, and
strong mutual fund flows. However, when interest rates increased and mutual fund
flows slowed, the rally stalled. During the first quarter of 1996, a heavy new
issue calendar in the U.S. was generally well received, and yield spreads to
U.S. Treasuries tightened.

EMERGING MARKETS The emerging markets as a whole outperformed the U.S. high
yield market for the semi-annual period. Credit spreads in the Latin American
markets tightened significantly in December and January, as confidence returned
to the markets. These spreads then widened, however, during February, as
volatility in the U.S. Treasury market caused jitters. In March, spreads
initially widened as economic reforms in Brazil slowed and U.S. Treasuries
continued to weaken, but they came back later in the month as Treasuries
stabilized, the Brazilian Congress passed a Social Security reform bill which
had failed earlier in the period, and inflation both in the U.S. and throughout
Latin America remained under control. Though a "second leg" of the peso crisis
during September and October put a damper on these markets in the early part of
the semi-annual period, the markets in both Mexico and Argentina recovered as
investors became more confident that inflation was under control and the crisis
was left behind. Local rates in Mexico, for example, declined by over 10% during
the quarter.

In Poland, spreads on Brady bonds continued to tighten significantly as a result
of the assignment of an investment grade rating by Moody's back in June 1995 and
by Standard & Poor's in January 1996. In South Africa, the market strengthened
substantially through January, but then weakened, as the currency weakened based
on fears of the lifting of exchange controls, concerns about Nelson Mandela's
health, and a report stating that the rand was overvalued.

In Asian markets, the same pattern of early strength followed by weakness was
caused by tensions between China and Taiwan and, as with several of the other
markets, a weaker U.S. Treasury market.

INVESTMENT REVIEW

We generally manage the Fund in a more diversified manner than its benchmark, so
the Fund was, in fact, less volatile than its benchmark during the semi-annual
period. Still, the Fund tracked the EMBI & MLHYMI benchmark fairly closely and
significantly outperformed its Lipper General World Income Average.

In the U.S. market, we believe that overall spreads are too tight to U.S.
Treasuries, and thus our general strategy has been to invest in the relatively
high quality end of the high yield sector, in improving credits, and in selected
special situations that we believe offer good value. During the fourth quarter
of 1995, we also took advantage of the natural end of year tiering phenomenon
that takes place in the market, whereby higher quality, "top tier" new issues
become available. We particularly saw opportunity in the recession-resistant
sectors. Finally, we are overweighted in the media and telecommunications
sector, as we believe there is attractive value in many of these securities.

Within the emerging markets, we continued to favor Brazilian Brady bonds,
maintain underweight positions in Argentina and Mexico, and have no positions in
Venezuela. We also continued to favor the convertible bond markets in Southeast
Asia and South Africa. We believe that these bonds are trading at attractive
high yield levels and that they offer downside protection.

LOOKING AHEAD

Going forward, we believe that investment flows will continue to favor the
global high yield markets, as investors re-allocate their portfolios from
industrialized and high grade markets to higher yielding markets. We also
continue to believe that spreads will tighten in Latin American and Polish Brady
bonds, which we think are trading cheap to their credit quality. In Asia and
South Africa, we maintain our favorable outlook for convertible bonds trading at
attractive levels. And in the U.S. markets, we believe that lower quality bonds
are vulnerable and are avoiding them in favor of the relatively higher quality
end of the credit spectrum. We will continue to weight the Fund toward sectors
that we believe offer relative value.

We will, of course, also continue monitoring economic conditions and how they
affect the financial markets, as we seek a high level of current income, with
capital appreciation as a secondary objective.

6
<PAGE> 7

The following graph illustrates the Fund's return versus a blended J.P. Morgan
Emerging Bond Market Index and the Merrill Lynch High Yield Master Index since
December 31, 1993, assuming a $10,000 initial investment:

- --------------------------------------------------------------------------------
COMPARISON OF CHANGE
IN VALUE OF A $10,000
INVESTMENT IN THE
GLOBAL HIGH YIELD
SECURITIES FUND AND
THE BLENDED J.P.
MORGAN AND MERRILL
LYNCH INDICES

<TABLE>
<CAPTION>
TOTAL RETURN
ENDED MARCH 31, 1996
One Year Since 12/14/93*
<S> <C>
30.58% 19.56%
</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.

[CHART]

<TABLE>
<CAPTION>
Measurement Period Global High Yield Securi- J.P. Morgan (75%) &
(Fiscal Year Covered) ties Fund Merrill Lynch (25%)
<S> <C> <C>
12/31/93 10000 10000
3/31/94 9870 8560
6/30/94 9711 8430
9/30/94 10259 9115
12/31/94 9694 8570
3/31/95 9128 8043
6/30/95 10207 9448
9/30/95 10699 9926
12/31/95 11496 10742
3/31/96 11920 11077
</TABLE>

- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ABOUT THE STEPHEN C. FRIEDHEIM
PORTFOLIO MANAGERS MANAGING DIRECTOR & PORTFOLIO MANAGER
- Responsible for portfolio management and
trading of high yield investment products
- Formerly Senior Vice President and Director
of Research and Trading. Board of Directors:
Nomura Corporate Research and Asset Management;
Director of Research: Kidder Peabody High
Yield Asset Management
- Nine years investment experience, including
two years as a sell-side industry analyst for
Kidder Peabody
- Joined Bankers Trust Global High Yield group
in 1993
- B.A. (Economics) - Yale University
- -----------------------------------------------------------------------------------
DAVID A. REISS
VICE PRESIDENT & EMERGING MARKETS PORTFOLIO
MANAGER
- Responsible for portfolio management, trading
and credit analysis of emerging markets
- Managed $700MM of high yield assets for
Kidder Peabody Asset Management
- Served as Associate in Mortgage Research at
Goldman Sachs
- Joined Bankers Trust in 1994
- M.B.A. (Finance) Wharton School of Business
B.A. (Mathematics) University of Pennsylvania
- -----------------------------------------------------------------------------------
OBJECTIVE Seeks a high level of current income, with a
secondary objective of capital appreciation,
through investments in the global high yield
debt markets.
- -----------------------------------------------------------------------------------
INVESTMENT INSTRUMENTS Primarily high yield, non-investment grade debt
securities issued in many of the world's
securities markets.
- -----------------------------------------------------------------------------------
</TABLE>

7
<PAGE> 8

- --------------------------------------------------------------------------------

LETTER TO SHAREHOLDERS OF GLOBAL HIGH YIELD SECURITIES FUND (CONT.)
- --------------------------------------------------------------------------------

DIVERSIFICATION OF PORTFOLIO
INVESTMENTS BY ASSET TYPE
AS OF MARCH 31, 1996 (UNAUDITED)
(percentages are based on market value)

[CHART]

<TABLE>
<S> <C>
Foreign Corporate Debentures 38.64%
Foreign Preferred Stocks 4.78%
Other 0.03%
Foreign Government Bonds 32.91%
U.S. Corporate Debentures 23.64%
</TABLE>
- --------------------------------------------------------------------------------

LETTER TO SHAREHOLDERS OF INTERMEDIATE TAX FREE FUND
- --------------------------------------------------------------------------------

The Intermediate Tax Free Fund (the "Fund") returned 2.03% for the six months
ended March 31, 1996, as compared to 2.24% for the Lehman 7 Year Government
Obligations Index and 2.09% for the Lipper Intermediate Municipal Debt Average.
Since its inception on July 20, 1992, the Fund is up 20.94%.

Because this is the first report after the change in the Fund's fiscal year-end
from December 31 to September 30 and you were sent a report for the twelve
months ending December 31, 1995, the following semi-annual review will actually
cover activity only for the one quarter since then. Thus, please note that for
the quarter ending March 31, 1996, the Fund was down 0.93% versus a negative
0.21% for the Lehman Index and a negative 0.63% for the Lipper category average.

MARKET ACTIVITY

The tax exempt markets followed the lead of the U.S. Treasury markets during the
first quarter of 1996, with interest rates rising in February and March. In
fact, rates on intermediate municipal securities rose by about 0.55% from their
low point in early February to their high at the end of the quarter. Rates have
gone even higher in April. Fears of tax reform have receded as market
participants begin to realize the unlikelihood of a major overhaul of the tax
system. And, as anticipated in our last report, supply was quite strong in the
first quarter of 1996, with new issuance of $39 billion. This is up 35% over the
first quarter of last year.

INVESTMENT REVIEW

The change in yields moved somewhat faster than we had expected, and so the Fund
underperformed its benchmark slightly. Still, we did shift the portfolio's
duration from longer than the Index to shorter than the Index in March to
capture some gains. At the end of the quarter, the Fund had a duration of three
to six months shorter than its benchmark.

The Fund also benefited from strong issue selection, including its purchase of
New York City bonds at wide spreads and then its sale of them later in the
quarter as spreads narrowed. We also added to our California tax free holdings,
as we believe the credit outlook there is improving. In light of recent
difficulties in Los Angeles and Orange Counties, it is important to note that we
are only purchasing state-wide credits in California, not any local credits. We
may increase our exposure here further in the coming months.

Maintaining our conservative strategy and our focus on high quality issues, we
worked during the quarter to improve the call structure of bonds in the
portfolio, emphasizing those that are non-callable or that have very good call
protection. In a defensive mode, the Fund ended the quarter with a very bearish
20% of its assets in cash, as compared to its normal 5% cash holding.

8
<PAGE> 9

LOOKING AHEAD

Our outlook has grown rather cautious, as the economy appears to be stronger
than anticipated, causing some fears of renewed inflationary pressures. The
early February report of employment growth of 206,000 for the month rather than
the 150,000, usually considered moderate, has particularly reinforced this view.
Our concern is that the Federal Reserve Board may begin tightening its monetary
policy, tweaking interest rates higher.

Thus, we intend to maintain our shorter duration as compared to the Index for
the near term and to extend the portfolio's duration only when we see
indications that economic growth is slowing. If interest rates do fall again, as
we anticipate they may in the second half of the year, then we particularly look
to our improved call structure strategy to benefit performance in that scenario.

We will, of course, continue monitoring economic conditions and how they affect
the financial markets, as we seek high current income exempt from Federal taxes
with moderate risk to capital.

The following graph illustrates the Fund's return versus the Lehman 7 Year G.O.
Bond Index since July 31, 1992, assuming a $10,000 initial investment:

- --------------------------------------------------------------------------------
COMPARISON OF CHANGE
IN VALUE OF A $10,000
INVESTMENT IN THE
INTERMEDIATE TAX FREE
FUND AND THE LEHMAN 7
YEAR G.O. BOND INDEX

<TABLE>
<CAPTION>
TOTAL RETURN
ENDED MARCH 31, 1996
One Year Since 7/20/92*
<S> <C>
6.76% 20.94%
</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.

[CHART]

<TABLE>
<CAPTION>
Measurement Period Intermediate Tax Free Lehman 7 Year G.O. Bond
(Fiscal Year Covered) Fund Index
<S> <C> <C>
7/31/92 10000 10000
9/30/92 9937 9972
12/31/92 10088 10140
3/31/93 10377 10463
6/30/93 10656 10761
9/30/93 10960 11076
12/31/93 11089 11227
3/31/94 10667 10741
6/30/94 10726 10889
9/30/94 10787 10973
12/31/94 10667 10864
3/31/95 11255 11452
6/30/95 11533 11760
9/30/95 11779 12147
12/31/95 12130 12446
3/31/96 12018 12419
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
OBJECTIVE Seeks high current income exempt from Federal
taxes with moderate risk to capital.
- -----------------------------------------------------------------------------------

INVESTMENT INSTRUMENTS Diversified range of high grade intermediate
term securities issued by states and their
political subdivisions, authorities, agencies
and instrumentalities, providing income exempt
from Federal income taxes. The weighted average
maturity of securities will range from three to
eight years.
- -----------------------------------------------------------------------------------
</TABLE>

DIVERSIFICATION OF PORTFOLIO INVESTMENTS
BY STATE AS OF MARCH 31, 1996 (UNAUDITED)
(percentages are based on market value)

[CHART]

<TABLE>
<S> <C>
Arizona 8.40%
California 10.53%
Illinois 5.33%
Wisconsin 5.98%
Connecticut 4.22%
New York 26.61%
Ohio 8.12%
Texas 8.07%
Other* 17.65%
Massachusetts 5.09%
</TABLE>

* No one state represents more than 4.00% of portfolio holdings.

- --------------------------------------------------------------------------------

9
<PAGE> 10

- --------------------------------------------------------------------------------

LETTER TO SHAREHOLDERS OF INTERMEDIATE TAX FREE FUND (CONT.)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ABOUT THE GARY POLLACK
PORTFOLIO MANAGER VICE PRESIDENT
- Heads the Municipal Bond Team for Bankers
Trust's Global Investment Management Group
- 16 years of investment experience including
tax-exempt portfolio management and credit
analysis
- B.A. and M.A. from the State University of
New York at Albany
</TABLE>

- --------------------------------------------------------------------------------
LETTER TO SHAREHOLDERS OF INTERNATIONAL EQUITY FUND
- --------------------------------------------------------------------------------

The International Equity Fund (the "Fund") had a total return of 5.97% for the
six months ending March 31, 1996, as compared to 7.06% for the Morgan Stanley
Capital International ("MSCI") EAFE Index and 6.37% for the Lipper International
Equity Funds Average. Since its inception on August 4, 1992, the Fund has
returned 71.15%.

Over the twelve month period ending March 31, 1996, the Fund was up 20.04%,
nearly 8% ahead of the EAFE benchmark's return of 12.33%. However, weakness in
the paper sector and among interest rate sensitive stocks in several of the
peripheral markets led to a 1% erosion in this tremendous lead in the last six
months. The Fund's performance in the first quarter of 1996, returning 5.72%
versus the EAFE Index's return of 2.89%, placed it in the top quartile of all
international funds.

The Fund also entered the half-year with a distinctive four-star rating from
Morningstar, the independent mutual fund rating analyst. Later in the
semi-annual period, the Fund was honored with Morningstar's five-star rating,
and for a time, we were the only international equity fund rated at this highest
level. Given the general underperformance of the international equity markets
relative to the skyrocketing S&P 500, it has been difficult for international
equity funds to maintain such a rating. Thus, by the end of the period, no
international equity funds were so awarded.*

MARKET ACTIVITY

EUROPE As a whole, continental Europe, i.e. ex-U.K., continued to outperform,
though a number of the peripheral markets did not do particularly well during
these six months. These include Finland, where one of the dominant companies in
its local index, Nokia, experienced a correction; Austria, which owing to
political uncertainties and fiscal concerns, was one of the poorest performing
markets; and Sweden, which underperformed largely due to changes in its
government. In Spain, interest rate sensitive stocks continued their significant
outperformance until the March elections, leading the market down in a massive
post-election selloff.

In contrast to the previous six months, France was one of the best performing
markets during this latest semi-annual period. Taking the lead on the continent
in lowering interest rates, the French Central Bank was able to take advantage
of the strength of the franc, which, in turn, benefited from the strong U.S.
dollar. Ireland, a market which has been slowly re-rating to reflect excellent
underlying long-term GDP growth potential, performed well, too.

The United Kingdom was one of the worst performing EAFE markets over the last
six months. Political pressure continues to mount here as the Tory majority
dwindles and concerns grow over likely market-related Labor policies regarding
regulations and taxation. The U.K. equity market, in our opinion, is less likely
to benefit from its European Union peers' interest rate reductions.

ASIA The Japanese equity market solidly rebounded off its lows in the last six
months, but most of the gains were given back by a weakening currency. In the
Pacific ex-Japan, the markets overall strongly outperformed EAFE for both the
last year and the last six months, led by Hong Kong, Malaysia, and Singapore.
Among non-EAFE countries, Indonesia and the Philippines were the best
performers. Thailand has lagged due to concerns of inflation, recent massive
flooding, a cautious Central Bank, and political worries regarding the
durability of the current government.

SOUTH AFRICA Weakness in the rand, due primarily to rumors about the removal of
currency exchange controls and President Nelson Mandela's poor health, led to
recent underperformance in this market.

INVESTMENT REVIEW

- ---------------
* Morningstar proprietary ratings reflect historical risk-adjusted performance.
They are subject to change every month and are calculated from the Fund's 1-
and 3-year average annual total returns in excess of 90-day T-bill returns.
10% of the funds in the investment category may receive 5 stars. Past
performance is no guarantee of future results.

10
<PAGE> 11

believe it still has excellent long-term growth potential. We remained
overweighted in Sweden, which though it underperformed in local currency terms,
was one of the best performing markets in dollar terms over the last twelve
months. The Swedish market was led by Astra, a pharmaceutical company and one of
the Fund's top ten holdings. Fiscal discipline and a strengthening currency,
both of which allow for further monetary loosening, should support continued
strong performance in Sweden.

We increased the portfolio's exposure in Germany, primarily through the Initial
Public Offering (IPO) of Adidas, one of the nation's few true growth companies.
This IPO also gave us the opportunity to participate in what is known as the
Mittelstand, or that group of smaller to middle-sized companies with what we
consider to be attractive valuations. We also took some profits here, but we
expect to maintain our position in Germany for the long term, based on
attractive industrial restructuring opportunities and exposure to an expected
economic turnaround as 1996 develops.

The Fund benefited from its largest European overweighting, namely France, as
well as from its position in Ireland. The Fund also remains overweight in Spain
and Italy. Though neither of these two latter markets performed well, we believe
compelling valuations there will eventually be realized. While the Fund remains
very underweighted in the United Kingdom, we did increase our exposure somewhat
through the IPO of Orange, the rapidly growing cellular operator. We
significantly reduced the Fund's exposure to Austria, which owing to political
uncertainties and fiscal concerns, has been one of the poorest performing
markets.

The portfolio's underweighted position in Japan was beneficial to the Fund
through the first quarter of 1996. Still, the Fund has been increasing its
weighting here gradually over the last year, and most significantly in the last
six months. We have, for the most part, successfully captured the gains of
yen-weakness beneficiaries, consumer-related stocks, and economically-sensitive
domestic companies, while continuing to avoid financial stocks that will have to
grapple with the unfolding Jusen crisis. The Fund also benefited from its heavy
overweighting in Hong Kong and its exposure to Indonesia and the Philippines.

In both Asia and South Africa, we have significantly increased the number of
positions the Fund holds, while reducing the average position weighting. This
strategy is intended both to capture what we believe is the greater appreciation
potential of "second liners" in addition to that of the "blue chips" and also to
lower overall portfolio volatility through greater diversification.

A currency overlay, which increased the Fund's dollar exposure, added to the
Fund's performance during this period of dollar strength as well.

LOOKING AHEAD

Going forward, we continue to be very sanguine about prospects for interest rate
decreases throughout the European region, particularly in France, Spain, Sweden
and Italy. On the other hand, we intend to remain underweight in the United
Kingdom, as we believe this market is pressing against its valuation ceiling and
is reflecting the advanced stage of the nation's economic cycle.

As for Japan, we are cautiously optimistic that domestic investors will be
increasing their exposure to the equity market, and we also see confirmation
that the Japanese economy is continuing on a positive track. We are, however,
concerned about the continuing crisis in the financial sector and the impact
that may have on Japan's financial markets in general. Thus, we will likely
remain underweight here for the near term and look to possibly increase exposure
should Japan's economic recovery continue.

We intend to stay overweight in Asia ex-Japan, though we have done some recent
trimming here, primarily by taking profits in Hong Kong. This is in part due to
our concern that a rise in U.S. interest rates and weakness in the U.S. bond
market will negatively affect this region in the near term. We will likely be
reinvesting and increasing the Fund's exposure in Australia to benefit from
gearing to the region's economic recovery. And, in South Africa, we expect
excellent long-term growth and investment opportunities, in large part due to
the rise in consumerism from newly enfranchised segments of the population.

We will, of course, continue monitoring economic conditions and how they affect
the financial markets, as we seek long-term capital appreciation.

The following graph illustrates the Fund's return versus the Morgan Stanley
Capital International EAFE Index since August 31, 1992, assuming a $10,000
initial investment:

- --------------------------------------------------------------------------------
COMPARISON OF CHANGE
IN VALUE OF A $10,000
INVESTMENT IN THE
INTERNATIONAL EQUITY
FUND AND THE MORGAN
STANLEY CAPITAL
INTERNATIONAL EAFE
INDEX

<TABLE>
<CAPTION>
TOTAL RETURN
ENDED MARCH 31, 1996
One Year Since 8/4/92*
<S> <C>
20.04% 71.15%
</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.

<TABLE>
<CAPTION>
Measurement Period BT International Equity Morgan Stanley Capital
(Fiscal Year Covered) Fund International EAFE Index
<S> <C> <C>
8/31/92 10000 10000
9/30/92 9665 9803
12/31/92 9606 9424
3/31/93 10424 10554
6/30/93 11084 11615
9/30/93 11944 12386
12/31/93 13196 12493
3/31/94 13717 12930
6/30/94 13266 13590
9/30/94 13977 13603
12/31/94 13738 13465
3/31/95 14046 13715
6/30/95 14960 13814
9/30/95 15911 14390
12/31/95 15949 14973
3/31/96 16861 15406
</TABLE>

11
<PAGE> 12

- --------------------------------------------------------------------------------
LETTER TO SHAREHOLDERS OF INTERNATIONAL EQUITY FUND (CONTINUED)
- --------------------------------------------------------------------------------

- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
OBJECTIVE Seeks long term capital appreciation from investments
in foreign equity securities or other securities with
equity characteristics.
- -----------------------------------------------------------------------------------
INVESTMENT INSTRUMENTS Equity securities of foreign issuers,
consisting of common stock and other securities
with equity characteristics; the investments
are diversified among several regions.
- -----------------------------------------------------------------------------------
TEN LARGEST HOLDINGS Adidas AG Storehouse
Internationale Nederlanden Group Philips Electronics
Astra AB, Series A BBC Brown Boveri & Cie, Cl. A
Kymmene OY Volkswagen AG
Hutchison Whampoa AJL Peps Trust
- -----------------------------------------------------------------------------------
</TABLE>

DIVERSIFICATION OF PORTFOLIO EQUITY INVESTMENTS
BY COUNTRY AS OF MARCH 31, 1996 (UNAUDITED)
(percentages are based on market value)

[CHART]

<TABLE>
<S> <C>
Austria 0.34%
Malayasia 2.59%
United Kingdom 6.97%
Singapore 0.88%
Ireland 2.39%
Netherlands 6.94%
South Africa 2.60%
Switzerland 2.76%
Indonesia 1.19%
Germany 5.94%
India 0.44%
Thailand 1.28%
Hong Kong 7.36%
Phillippines 1.82%
Norway 2.06%
Japan 19.68%
Denmark 1.48%
Venezuela 0.82%
Sweden 4.39%
Australia 2.84%
Italy 4.81%
Other 0.80%
Spain 4.96%
France 10.41%
Finland 4.25%
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ABOUT THE MICHAEL LEVY
PORTFOLIO MANAGER MANAGING DIRECTOR, GLOBAL INVESTMENT MANAGEMENT
- Head of International Active Equity Portfolio
Management Team, International Equity Fund
- Equity Strategist/International Investment
Advisory
- Responsible for design and management of U.S.
International quantitative proprietary stock
selection processes. Chairman, stock
selection group.
- Prior experience in equity analysis with
Oppenheimer & Co., investment banking and
manufacturing; 24 years business experience, 14
years investment industry experience
- Joined Bankers Trust in 1993
- B.A. (Mathematics) - University of Michigan
M.S. (Geophysics) - University of Michigan
</TABLE>

12
<PAGE> 13

- --------------------------------------------------------------------------------
LETTER TO SHAREHOLDERS OF LATIN AMERICAN EQUITY FUND
- --------------------------------------------------------------------------------

The Latin American Equity Fund (the "Fund") returned 9.18% for the six months
ended March 31, 1996, as compared to 0.54% for the IFCI Latin American Index and
5.37% for the Lipper Latin American Average. Since its inception on October 25,
1993, the Fund's total return was down 5.63%.

MARKET ACTIVITY

In general, the semi-annual period was one of great volatility in the Latin
American markets, though there was a strong rally from November 1995 into
January 1996. For example, some political setbacks unsettled the major equity
market of Brazil during the last few months of the period as a result of the
Social Security bill being initially defeated in the Lower House of its Congress
and groups within the government calling for an official inquiry into the
Brazilian banking system. These events, in turn, have raised uncertainty about
the Cardoso administration's ability to get significant reforms through Congress
before this year's municipal elections in the fall. On the economic front, we
have seen evidence that the Argentine and Mexican economies bottomed in the
third quarter of 1995, but so far, the pick-up in activity in 1996 has been
mild.

Emerging markets as a whole were not able to compete with developed markets
during this semi-annual period, as they reacted to the strong reversal in the
trend of accelerating economic growth and improving fundamentals. Almost every
market suffered from weakening fundamentals, resulting in a period dominated by
speculative low volume trading. Going into the new year, however, the Latin
American markets started to discount greater optimism, and the region, all in
all, rallied.

INVESTMENT REVIEW

The Fund's strong outperformance during this semi-annual period primarily
reflects its high cash levels in the fourth quarter of 1995, when there was
greater volatility, and its fully invested position going into the strong rally
of early 1996. We had correctly anticipated the favorable changes in the
economic outlook for Latin America after a difficult two-year period and thus
had the portfolio optimally positioned.

The Fund especially benefited from our strategy of overweighting the major
markets of Mexico and Brazil during this time. In Mexico, we expected investors
to react positively to an improved liquidity story, the nascent economic
recovery, and the anticipation of falling interest rates. The bulk of the gains
were seen in January 1996, since volatility in the U.S. bond market led to some
renewed volatility in the Latin American markets as well as profit-taking during
the remainder of the quarter.

The Fund also benefited from our move from an underweighted position in
Argentina to a neutral posture, based on a much improved outlook for economic
growth and evidence of significant advancements in political reform.

LOOKING AHEAD

Our long-term outlook for the Latin American equity markets remains bullish.
This is based on an acceleration in regional economic growth, as the Mexican and
Argentine economies emerge from last year's recession; a loosening of monetary
policy in Mexico and Brazil, where real interest rates remain quite high; and
overall attractive valuations and strong earnings growth after two years of
consecutive declines in the Latin American markets. Still, the next stage in the
bull market will require concrete results in the form of improved economic and
company fundamentals.

In the short term, we could see additional volatility in the Latin American
markets, particularly if we see renewed volatility in the U.S. bond market. We
are also particularly concerned about the lack of progress in getting reforms
through the Brazilian Congress, and so we have moved towards a slight
underweight position in the Brazilian market. In Argentina and Mexico, however,
we have maintained a neutral to slightly overweight position, as we believe the
worst is behind us and that we will begin to see concrete signs of economic
recovery and improving fundamentals.

We have kept our weightings in the smaller markets unchanged and continue to
emphasize Colombia and Venezuela, where we are finding compelling valuations. In
Colombia, we expect the current pressure on the currency and the upwards biases
in both inflation and interest rates to come to an end once President Samper
steps down from office. And in Venezuela, we believe that the Caldera
administration is moving closer to liberalizing the economy and that an
agreement with the International Monetary Fund to obtain additional financing is
imminent.

In our sector and stock selection processes, we are emphasizing companies that
will benefit from looser monetary conditions and an acceleration in economic
growth. We particularly favor the banking sector in Argentina and Mexico, the
construction and cement sectors in Mexico, and the household goods sector in
Brazil.

We will, of course, continue monitoring economic conditions and how they affect
the financial markets, as we seek long-term capital appreciation.

13
<PAGE> 14

- --------------------------------------------------------------------------------

LETTER TO SHAREHOLDERS OF LATIN AMERICAN EQUITY FUND (CONTINUED)
- --------------------------------------------------------------------------------

The following graph illustrates the Fund's return versus the IFCI Latin American
Index since October 31, 1993, assuming a $10,000 initial investment:

- --------------------------------------------------------------------------------
COMPARISON OF CHANGE
IN VALUE OF A $10,000
INVESTMENT IN THE
LATIN AMERICAN EQUITY
FUND AND IFCI LATIN
AMERICAN INDEX

<TABLE>
<CAPTION>
TOTAL RETURN
ENDED MARCH 31, 1996
One Year Since 10/25/93*
<S> <C>
28.00% (5.63)%
</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.

[CHART]

<TABLE>
<CAPTION>
Measurement Period Latin American Equity IFCI Latin
(Fiscal Year Covered) Fund American Index
<S> <C> <C>
10/31/93 10000 10000
12/31/93 12433 12111
3/31/94 12822 12275
6/30/94 10917 11051
9/30/94 14526 14736
12/31/94 11071 11018
3/31/95 7350 7686
6/30/95 8476 9100
9/30/95 8618 9602
12/31/95 8364 9161
3/31/96 9408 9652
- -----------------------------------------------------------------------------------------------------------------------
</TABLE>

<TABLE>
<S> <C>
ABOUT THE MARIA-ELENA CARRION
PORTFOLIO MANAGER CFA, VICE PRESIDENT
- Joined Bankers Trust's Investment Management
Group in the Spring of 1993. Maria-Elena has
eight years of investment experience having
previously worked at Latin American
Securities (London) and US Trust (NYC). At
Latin American Securities, she was head of
the Argentine/Colombian investment team and
managed regional portfolios that invested in
the whole Latin American region. At US Trust,
she concentrated on stock-picking around the
world to complement US portfolios and also
managed US based portfolios. Maria-Elena
earned her undergraduate degree at the
Wharton School, University of Pennsylvania,
and her MBA at Columbia University.
- -----------------------------------------------------------------------------------------------------------------------
Seeks long-term capital appreciation through
OBJECTIVE investment primarily in the equity securities
(or other securities with equity
characteristics) of companies domiciled in, or
doing business in, Latin America.
- -----------------------------------------------------------------------------------------------------------------------
INVESTMENT INSTRUMENTS Primarily common and preferred stocks, rights,
warrants, American Depositary Receipts ("ADRs")
and convertible securities.
- -----------------------------------------------------------------------------------------------------------------------
TEN LARGEST Telefonos de Mexico S.A., ADR Cl'L' Perez Companc S.A.
STOCK HOLDINGS Centrais Electricas Brasileiras S.A. Telecommunicacoes Brasileiras S.A.
Gruma S.A. Cl'B' Telebras ADR Petroleo Barsileiro S.A.
Banco Frances del Rio de la Plata SP, ADR Petrobra Cemex S.A. de CV, Cl'B'
Grupo Financiero Bancomer S.A. de CV Banco Bradesco PN
- -----------------------------------------------------------------------------------------------------------------------
</TABLE>

14
<PAGE> 15

DIVERSIFICATION OF EQUITY
INVESTMENTS BY COUNTRY
AS OF MARCH 31, 1996 (UNAUDITED)
(percentages are based on market value)

[CHART]

<TABLE>
<S> <C>
Venezuela 6.21%
Brazil 28.60%
Argentina 17.22%
Chile 7.81%
Colombia 5.25%
Mexico 31.06%
Peru 3.85%
</TABLE>
- --------------------------------------------------------------------------------
LETTER TO SHAREHOLDERS OF PACIFIC BASIN EQUITY FUND
- --------------------------------------------------------------------------------

The Pacific Basin Equity Fund (the "Fund") had a total return of 6.75% for the
six months ending March 31, 1996, as compared to 11.22% for the MSCI Combined
Far East Free ex Japan Index, 9.73% for the MSCI Combined Asia ex Japan Index,
and 6.75% for the Lipper Pacific Basin ex Japan Average. Since its inception on
November 1, 1993, the Pacific Basin Equity Fund has returned 21.30%.

MARKET ACTIVITY

The last six months in most of the Asian equity markets were dominated by a
great deal of volatility, with sharp falls in October and November followed by
strong rallies in December and January. More recently, the markets have moved
sideways in a consolidation pattern. Overall, the strongest markets in the
region were Indonesia, Singapore, and Malaysia, and the weakest included South
Korea, India, and Taiwan.

There were several reasons for this volatility. First, the region had certain
expectations for U.S. interest rates, which ended up swinging wildly over the
semi-annual period. Second, there were perceptions of overheating problems
within certain Asian economies, such as Thailand, Malaysia, and Indonesia.
Third, there were strong political concerns, especially surrounding the
elections in Taiwan, Korea, and India. And finally, in-flows from U.S. mutual
funds rose to record levels in January and February, boosting most markets, but
the flow subsequently returned to much more modest levels, flattening the
markets once again.

INVESTMENT REVIEW

While the Fund tracked its category average exactly, it did underperform its
benchmarks due primarily to its overweighted positions in Thailand and the
Philippines and its underweighted positions in Malaysia and Singapore. Due to
strong cash in-flows early in 1996, the Fund also held a higher than normal cash
position, which detracted from relative performance at a time when markets were
performing strongly.

Our currency allocation as well as our stock selection was largely neutral, in
terms of their net effect on the Fund, with good performances from our Korean,
Malaysia and Indonesian holdings being offset by underperformance in Singapore
and Thailand.

In the first quarter of 1996, we did shift our strategy somewhat, increasing the
Fund's positions in Malaysia and India and reducing the Fund's holdings in
Indonesia and Thailand. We continued to overweight the Philippines and
underweight Singapore.

Overall, our stock and sector themes remain largely unchanged. We have
maintained our emphasis on construction and building materials companies that
are benefiting from the growth in infrastructure investment, selected banks and
other financial companies that are benefiting from ongoing strong loan growth
and widening interest margins, and strong consumer brand and franchise companies
that are benefiting from the rising standard of living and higher consumer
spending in the region.

LOOKING AHEAD

Our outlook for the Asian equity markets remains positive. Strong money growth
in Europe, the U.S., and Japan has created a favorable global liquidity
environment. Our concern is that the recent rise in U.S. interest rates and the
growing expectations of a tightening monetary policy before the end of the year
has taken most of the positive shine off this key performance driver. Still,
further stimulative policy in Japan and Europe should mean that the downside
remains limited.

15
<PAGE> 16

- --------------------------------------------------------------------------------
LETTER TO SHAREHOLDERS OF PACIFIC BASIN EQUITY FUND (CONTINUED)
- --------------------------------------------------------------------------------

Furthermore, local Asian overheating problems appear to be subsiding, thus
improving prospects for lower interest rates and increasing the probability that
local monetary conditions as a whole can start to improve. We also appear to
have successfully navigated our way past the important Taiwanese and Korean
elections. However, we anticipate an Indian election this coming month, and
political risk will remain quite high in the lead up to the U.S.' decision due
in June or July on China's Most Favored Nation status.

Investor interest in the region remains strong. And finally, ongoing strength in
the U.S. dollar is contributing to the deflationary forces in the region and
exasperating potential earnings fears. We continue to believe that most of the
Asian markets are approaching deceleration in their latest earnings cycle, with
modest reacceleration in growth expected in 1997.

Based on all of these factors, we believe that the Asian equity markets will
continue their current consolidation phase for a little while longer before
improving once again before year-end. The key risk to this view is that U.S.
interest rates rise further and faster than expected. If this happens, then the
Asian markets would likely be vulnerable to a 5-10% correction.

Our Fund strategy, then, remains relatively cautious. We are favoring markets,
such as the Philippines, Korea, and India, that either have accelerating
earnings growth, a supportive interest rate outlook, or valuation support. And
we expect to remain modestly underweight in Malaysia and Hong Kong based on
concerns of stretched valuations and vulnerability to rising U.S. interest
rates. We also are retaining a small defensive cash position. We will, of
course, continue monitoring economic conditions and how they affect the
financial markets, as we seek to provide long-term capital growth.

The following graph illustrates the Fund's return versus the MSCI Combined Far
East Free ex Japan Index since November 30, 1993, assuming a $10,000 initial
investment:

- --------------------------------------------------------------------------------
COMPARISON OF CHANGE
IN VALUE OF A $10,000
INVESTMENT IN THE
PACIFIC BASIN EQUITY
FUND AND MSCI
COMBINED FAR EAST
FREE EX JAPAN INDEX

<TABLE>
<CAPTION>
TOTAL RETURN
ENDED MARCH 31, 1996
One Year Since 11/1/93*
<S> <C>
17.94% 21.30%
</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.

[CHART]

<TABLE>
<CAPTION>
Measurement Period MSCI Combined Far East
(Fiscal Year Covered) Pacific Basin Equity Fund Free ex Japan Index
<S> <C> <C>
11/30/93 10000 10000
12/31/93 13127 12431
3/31/94 10392 9893
6/30/94 11115 10299
9/30/94 12198 11472
12/31/94 10913 10325
3/31/95 10614 10032
6/30/95 11641 10834
9/30/95 11727 10654
12/31/95 11705 10739
3/31/96 12518 11785
- --------------------------------------------------------------------------------------------------
</TABLE>

<TABLE>
<S> <C>
ABOUT THE PAUL DURHAM
PORTFOLIO MANAGER VICE PRESIDENT
- Portfolio Manager: - BT Investment Funds Pacific Basin Equity Fund
- BT South East Asia Fund (Offshore Fund)
- BTA South East Asia Fund (Offshore Fund)
- Attended University of Sydney
- Graduated 1987 with an Economics Degree
- Joined Bankers Trust in Sydney in 1988

- --------------------------------------------------------------------------------------------------
OBJECTIVE Seeks to provide long term capital growth
through investments in Pacific Basin stock
markets.
- --------------------------------------------------------------------------------------------------
INVESTMENT INSTRUMENTS Primarily common stocks and corporate issued
intermediate to long-term bonds.
- --------------------------------------------------------------------------------------------------
TEN LARGEST Overseas Chinese Banking Krung Thai Bank Public
HOLDINGS United Engineers Berhad Overseas Union Bank
Commerce Asset Tanjong PLC
China Resources Enterprises, LTD Wharf Holdings
Technology Resources Mulia Industrindo PT
- --------------------------------------------------------------------------------------------------
</TABLE>

16
<PAGE> 17

DIVERSIFICATION OF PORTFOLIO
INVESTMENTS BY COUNTRY
AS OF MARCH 31, 1995 (UNAUDITED)
(percentages are based on market value)

[CHART]

<TABLE>
<S> <C>
Malaysia 21.12%
Singapore 12.13%
Thailand 14.70%
Phillippines 6.05%
Pakistan 0.54%
India 2.48%
Hong Kong 29.21%
Indonesia 7.96%
South Korea 5.81%
</TABLE>

- --------------------------------------------------------------------------------
LETTER TO SHAREHOLDERS OF SMALL CAP FUND
- --------------------------------------------------------------------------------

The Small Cap Fund (the "Fund") had a total return of 15.26% for the six months
ended March 31, 1996, once again outperforming its benchmark and its
competitors. The Fund's return compares to 7.41% for the Russell 2000 Index and
7.93% for the Lipper Small Cap Growth Average. Since its inception on October
21, 1993, the Fund has returned 113.23% cumulatively.

MARKET ACTIVITY

In general, the past six months were a time of economic uncertainty and
confusion for the stock market. Signs of an economic slowdown, combined with the
Federal Reserve Board's decision not to lower interest rates further, raised
fears that the economy might be heading for a recession and that companies'
earnings growth would slow significantly, or possibly even decline year over
year. Since smaller companies are viewed as more vulnerable to economic
slowdowns, this sector of the marketplace underperformed. In fact, the Russell
2000 Index underperformed both middle capitalization companies, as measured by
the S&P Midcap Index, and large capitalization stocks, as measured by the S&P
500.

As we moved through the first quarter of the year, it became clearer that the
economic slowdown was temporary in nature, and the prospect of a pickup in
economic growth led small stocks to have the strongest performance of all U.S.
equity sectors in March of 1996.

Sector performance within the small cap universe also reflected economic trends.
The top performing sectors were those that were viewed as impervious to economic
cycles, such as healthcare, or those where a sectoral shift was beginning, which
should continue regardless of economic activity, such as energy and financial
services. Sectors that were viewed as more economically sensitive, such as
producer durables, technology and consumer staples, were among the worst
performing sectors.

INVESTMENT REVIEW

The portfolio management team utilizes a very disciplined investment process in
managing the Small Cap Fund. One of the tenets of this process is the use of
themes -- secular trends which are occurring in the world. The team attempts to
identify these trends and find companies which, in addition to being well
managed and having strong fundamental growth prospects, will be able to benefit
significantly from these secular trends, irrespective of economic or sector
cycles. This thematic approach served our investors well over the past six
months.

For example, during the period, we initiated several new themes. Life on the Net
and Managing the Information Age seek to identify companies that are integral to
the use of the Internet and corporate intranets and companies that can help
individuals and corporations manage and leverage an increasingly complex range
of information services and tools. Life Sciences Revolution was begun because we
recognized that several factors are converging, which we believe will result in
strong improvement in profits from many small biotechnology companies, as they
move from development stage into production stage with their drugs. This theme,
which was started during the summer of 1995, represents the first significant
commitment to biotechnology the Fund has made since its inception.

17
<PAGE> 18

- --------------------------------------------------------------------------------
LETTER TO SHAREHOLDERS OF SMALL CAP FUND (CONTINUED)
- --------------------------------------------------------------------------------

leading sectors for the time period, like energy and financial services. We also
remained overweight in the technology sector, which was one of the laggards
during the six month period ended March 31, 1996.

The first quarter was also a period in which volatility was higher than normal.
The portfolio management team exploited that volatility to our investors
advantage by using periods of weakness to initiate or add to positions in
companies with strong future prospects whose stocks may be hurt temporarily by
the markets volatility. A good example of that strategy was our investment in
Cheyenne Software. When the stock dropped sharply in the wake of concerns over
product transition issues, we added to our position. We believed that the market
was being too short term orientated in its concerns and that Cheyenne's product
pipeline was not only strong, it was quite unique in the industry. Shortly after
we added to our position, Cheyenne received a takeover bid from MacAfee
Associates at close to 100% above the price at which we purchased the additional
stock for the portfolio.

LOOKING AHEAD

Bankers Trust is forecasting moderate growth in the economy, relatively stable
interest rates and relatively stable inflation (although somewhat higher than
last year's). We believe this environment is a very positive one for smaller
companies. Smaller cap stocks are forecast to grow earnings at a faster rate
than larger cap stocks, but do not as of yet command significantly higher
price/earnings ("P/E") ratios. Cycles of outperformance for smaller companies
have historically been divided into two phases; during the second phase, they
command significantly higher P/E ratios. We believe that we are in the beginning
of that second phase and that small company stocks could significantly
outperform large company stocks through 1996. We still expect higher than normal
volatility in the market, particularly as we come closer to the election in
November.

Our strategy in this environment continues to be focused on identifying
individual companies with compelling growth characteristics. As we have in the
past, we will try to use market volatility to our investors' advantage by
purchasing or adding to positions in strong companies whose stocks may have been
hurt by unrelated market volatility.

As for specific sectors, we believe that the consumer is starting to spend again
and so we have been selectively increasing our exposure to consumer
discretionary stocks. We have centered our consumer holdings around companies
that offer very strong value for the money, have strong, identifiable franchises
they can leverage, and/or play to the new ways in which we are spending our
leisure time. While the technology sector was one of the poorest performing
sectors for the last six months, we believe the weakness in that sector is
ending. Our fundamental belief that technology as a whole is becoming more
pervasive and ubiquitous than ever still rings true. We view the current
slowdown in the sector as simply a pause within a longer-term uptrend, and so we
intend to remain overweight in technology. Our technology holdings remain
centered around secular trends, such as the Internet, or the convergence of
voice, data, and video into our homes. Again, our thematic approach combined
with our strong fundamental analysis has enabled us to identify strong
performing companies even in poor performing sectors.

We will, of course, continue monitoring economic conditions and how they affect
the financial markets, as we seek long-term capital growth.

The following graph illustrates the Fund's return versus the Russell 2000 Index
since October 31, 1993, assuming a $10,000 initial investment:
- --------------------------------------------------------------------------------
COMPARISON OF
CHANGE IN VALUE
OF A $10,000
INVESTMENT IN THE
SMALL CAP FUND AND
THE RUSSELL 2000
INDEX

<TABLE>
<CAPTION>
TOTAL RETURN
ENDED MARCH 31, 1996
One Year Since 10/21/93*
<S> <C>
49.22% 113.23%
</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.

[CHART]

<TABLE>
<CAPTION>
Measurement Period BT Investment Small Cap
(Fiscal Year Covered) Fund Russell 2000 Index
<S> <C> <C>
10/31/93 10000 10000
12/31/93 10326 10002
3/31/94 10375 9735
6/30/94 9951 9354
9/30/94 11451 10004
12/31/94 12320 9819
3/31/95 14107 10272
6/30/95 15903 11236
9/30/95 18263 12345
12/31/95 19536 12613
3/31/96 21049 13256
</TABLE>

- --------------------------------------------------------------------------------

18
<PAGE> 19
<TABLE>
<S> <C>
Seeks to provide long-term capital growth by investing
primarily in equity securities of smaller companies.
The production of any current income is secondary to
OBJECTIVE this objective.
- -----------------------------------------------------------------------------------------------
INVESTMENT INSTRUMENTS Primarily common stocks of smaller U.S.
corporations and, to a lesser extent, in
foreign corporations.
- -----------------------------------------------------------------------------------------------
TEN LARGEST COMMON STOCK HOLDINGS APAC Teleservices Inso Corp.
Rational Software Accustaff
Papa John's International Inc. National Data Corp.
Physician Reliance Network Business Objects S.A., ADR
Dollar Tree Stores Inc. Living Centers of America
- -----------------------------------------------------------------------------------------------
</TABLE>

DIVERSIFICATION OF PORTFOLIO
INVESTMENTS BY THEME
AS OF MARCH 31, 1996 (UNAUDITED)
(percentages are based on market value)

[CHART]

<TABLE>
<S> <C>
America's Changing Leisure Time 6.39%
Flourishing in the Managed Care Environment 7.59%
Client-Server Computing 11.10%
Life Sciences Revolution 7.07%
New Consumer 4.59%
Move to Outsourcing 8.51%
Managing the Information Age 8.82%
Stores of Value 4.30%
New Health Care Paradigm 9.81%
Productivity Enhancement 4.80%
Other* 2.71%
Life on the Net 5.92%
Telecommunications 7.84%
U.S. Treasury Bills 10.55%

* No one Investment Theme represents more than 3% of Portfolio Holdings.
- -----------------------------------------------------------------------------------------------
</TABLE>

<TABLE>
<S> <C>
ABOUT THE MARY LISANTI
PORTFOLIO MANAGER MANAGING DIRECTOR & PORTFOLIO MANAGER
- Manager of the Small Cap Fund, Capital
Appreciation Fund and separate aggressive
growth accounts
- 16 years of investment experience as a
portfolio manager and analyst in Small/Mid
cap equities
- Joined Bankers Trust from Lieber &
Company/The Evergreen Funds, where for three
years she was Vice President of Investments and
a portfolio manager working on their $800
million small and mid-sized company fund
- Senior Vice President at Shearson Lehman
Brothers, headed the firm's emerging growth
stock investment strategy and research effort;
member of the Investment Policy Committee
- Earned the #1 ranking in Institutional
Investor's All Star Research Team in 1989
(ranked #2 and #3 in 1987 and 1986,
respectively) for her work as a small company
stock analyst
- B.A. -- Princeton University
- Member, New York Society of Security Analysts
and Financial Analyst Federation
</TABLE>

19
<PAGE> 20

- --------------------------------------------------------------------------------
BT Investment Funds
STATEMENTS OF ASSETS AND LIABILITIES March 31, 1996 (unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
GLOBAL HIGH LATIN
CAPITAL YIELD INTERMEDIATE INTERNATIONAL AMERICAN
APPRECIATION SECURITIES TAX FREE EQUITY EQUITY
------------ ----------- ------------ ------------- -----------
<S> <C> <C> <C> <C> <C>
ASSETS
Investment in Portfolio, at Value+............... $ 60,360,677 $19,796,040 $ 22,790,637 $ 117,817,783 $14,961,140
Receivable for Shares of Beneficial Interest
Subscribed...................................... 395,175 130,000 -- 204,229 110,109
Deferred Organizational Expenses................. 525 4,495 -- -- 3,954
Prepaid Expenses and Other....................... 11,953 6,361 7,289 7,879 6,674
Due from Bankers Trust........................... -- -- 20,037 -- 27,868
------------ ----------- ------------ ------------- -----------
Total Assets........................................ 60,768,330 19,936,896 22,817,963 118,029,891 15,109,745
------------ ----------- ------------ ------------- -----------
LIABILITIES
Due to Bankers Trust............................. 23,920 6,646 -- 49,149 --
Payable for Shares of Beneficial Interest
Redeemed........................................ 150,000 -- 50,000 827 4,248
Dividends Payable................................ -- -- 19,701 -- --
Accrued Expenses and Other....................... 24,437 31,332 25,367 43,878 25,108
------------ ----------- ------------ ------------- -----------
Total Liabilities................................... 198,357 37,978 95,068 93,854 29,356
------------ ----------- ------------ ------------- -----------
NET ASSETS ($0.001 Par Value Per Share, Unlimited
Number of Shares of Beneficial Interest
Authorized)........................................ $ 60,569,973 $19,898,918 $ 22,722,895 $ 117,936,037 $15,080,389
=========== =========== =========== ============ ===========
SHARES OUTSTANDING.................................. 3,924,341 1,911,142 2,194,982 7,500,653 1,625,320
=========== =========== =========== ============ ===========
NET ASSET VALUE AND REDEMPTION PRICE
PER SHARE.......................................... $ 15.43 $ 10.41 $ 10.35 $ 15.72 $ 9.28
=========== =========== =========== ============ ===========
COMPOSITION OF NET ASSETS
Paid-in Capital.................................. $ 46,184,418 $18,875,144 $ 22,694,775 $ 101,048,279 $24,444,622
Accumulated Net Investment Income (Loss)......... (187,632) 247,160 -- 110,733 31,167
Accumulated Net Realized Gain (Loss) from
Investments and Foreign Currency
Transactions.................................... 4,038,670 (348,432) (717,880) 1,411,017 (8,997,858)
Net Unrealized Appreciation (Depreciation) on
Investments, Foreign Currencies and Forward
Currency Contracts.............................. 10,534,517 1,125,046 746,000 15,366,008 (397,542)
------------ ----------- ------------ ------------- -----------
NET ASSETS, MARCH 31, 1996.......................... $ 60,569,973 $19,898,918 $ 22,722,895 $ 117,936,037 $15,080,389
=========== =========== =========== ============ ===========

PACIFIC
BASIN EQUITY SMALL CAP
------------ ------------
<S> <C> <C>
ASSETS
Investment in Portfolio, at Value+............... $ 28,416,653 $205,716,834
Receivable for Shares of Beneficial Interest
Subscribed...................................... 129,960 2,039,462
Deferred Organizational Expenses................. 5,292 --
Prepaid Expenses and Other....................... 5,980 8,003
Due from Bankers Trust........................... -- --
------------ ------------
Total Assets........................................ 28,557,885 207,764,299
------------ ------------
LIABILITIES
Due to Bankers Trust............................. 5,334 146,313
Payable for Shares of Beneficial Interest
Redeemed........................................ -- 48,099
Dividends Payable................................ --
Accrued Expenses and Other....................... 23,464 45,241
------------ ------------
Total Liabilities................................... 28,798 239,653
------------ ------------
NET ASSETS ($0.001 Par Value Per Share, Unlimited
Number of Shares of Beneficial Interest
Authorized)........................................ $ 28,529,087 $207,524,646
=========== ============
SHARES OUTSTANDING.................................. 2,437,524 10,509,246
=========== ============
NET ASSET VALUE AND REDEMPTION PRICE
PER SHARE.......................................... $ 11.70 $ 19.75
=========== ============
COMPOSITION OF NET ASSETS
Paid-in Capital.................................. $ 27,032,199 $162,258,145
Accumulated Net Investment Income (Loss)......... (135,515) (507,658)
Accumulated Net Realized Gain (Loss) from
Investments and Foreign Currency
Transactions.................................... 73,862 1,853,249
Net Unrealized Appreciation (Depreciation) on
Investments, Foreign Currencies and Forward
Currency Contracts.............................. 1,558,541 43,920,910
------------ ------------
NET ASSETS, MARCH 31, 1996.......................... $ 28,529,087 $207,524,646
=========== ============
</TABLE>

- ------------------
+ Allocated from Capital Appreciation Portfolio, Global High Yield Securities
Portfolio, Intermediate Tax Free Portfolio, International Equity Portfolio,
Latin American Equity Portfolio, Pacific Basin Equity Portfolio and Small Cap
Portfolio.

See Notes to Financial Statements on Pages 27 - 28

20
<PAGE> 21

- --------------------------------------------------------------------------------
BT Investment Funds
STATEMENTS OF OPERATIONS For the period ended March 31, 1996 (unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
GLOBAL
CAPITAL HIGH YIELD INTERMEDIATE INTERNATIONAL
APPRECIATION SECURITIES TAX FREE EQUITY
------------ ---------- ------------ -------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME
Income (Loss), net+........................................ $ 3,867 $ 773,056 $ 265,276 $ 527,343
------------ ---------- ------------ -------------
EXPENSES
Administration and Services................................ 191,500 96,622 22,455 394,860
Shareholders Reports....................................... 9,259 20,381 8,970 12,563
Registration............................................... 10,930 6,725 4,020 19,049
Professional............................................... 7,901 8,807 2,336 8,927
Trustees................................................... 1,355 1,458 522 1,375
Amortization of Organizational Expenses.................... 135 833 -- --
Miscellaneous.............................................. 714 859 239 1,128
------------ ---------- ------------ -------------
Total Expenses............................................. 221,794 135,685 38,542 437,902
Less: Expenses Absorbed by Bankers Trust................... (30,295) (59,404) (16,087) (43,042)
------------ ---------- ------------ -------------
Net Expenses............................................ 191,499 76,281 22,455 394,860
------------ ---------- ------------ -------------
NET INVESTMENT INCOME (LOSS).................................. (187,632) 696,775 242,821 132,483
------------ ---------- ------------ -------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN
CURRENCY TRANSACTIONS
Net Realized Gain (Loss) from:
Investment Transactions................................... 5,771,600 360,334 263,099 1,389,789
Foreign Currency Transactions............................. -- (9,321) -- 690,178
Net Change in Unrealized Appreciation (Depreciation) of:
Investments............................................... (5,654,555) 1,095,160 (717,952) 3,522,311
Foreign Currencies and Forward Currency Contracts......... -- -- -- 76,389
------------ ---------- ------------ -------------
NET GAIN (LOSS) ON INVESTMENTS, FOREIGN CURRENCIES AND FORWARD
CURRENCY CONTRACTS........................................... 117,045 1,446,173 (454,853) 5,678,667
------------ ---------- ------------ -------------
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS......... $ (70,587) $2,142,948 $ (212,032) $ 5,811,150
=========== ========== ========== ==========

<CAPTION>
LATIN
AMERICAN PACIFIC
EQUITY BASIN EQUITY SMALL CAP
------------- ------------ -----------
<S> <C> <C> <C>
INVESTMENT INCOME
Income (Loss), net+........................................ $ 93,554 $ (35,223) $ 3,131
------------- ------------ -----------
EXPENSES
Administration and Services................................ 59,268 100,292 510,789
Shareholders Reports....................................... 16,822 10,036 8,258
Registration............................................... 7,154 7,187 27,916
Professional............................................... 6,422 8,187 6,423
Trustees................................................... 1,525 1,375 1,355
Amortization of Organizational Expenses.................... 772 1,025 --
Miscellaneous.............................................. 312 901 913
------------- ------------ -----------
Total Expenses............................................. 92,275 129,003 555,654
Less: Expenses Absorbed by Bankers Trust................... (29,888) (28,711) (44,865)
------------- ------------ -----------
Net Expenses............................................ 62,387 100,292 510,789
------------- ------------ -----------
NET INVESTMENT INCOME (LOSS).................................. 31,167 (135,515) (507,658)
------------- ------------ -----------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN
CURRENCY TRANSACTIONS
Net Realized Gain (Loss) from:
Investment Transactions................................... 542,302 835,679 2,396,540
Foreign Currency Transactions............................. (21,947) (129,447) --
Net Change in Unrealized Appreciation (Depreciation) of:
Investments............................................... 2,298 1,075,672 21,617,968
Foreign Currencies and Forward Currency Contracts......... (3,696) 78,159 --
------------- ------------ -----------
NET GAIN (LOSS) ON INVESTMENTS, FOREIGN CURRENCIES AND FORWARD
CURRENCY CONTRACTS........................................... 518,957 1,860,063 24,014,508
------------- ------------ -----------
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS......... $ 550,124 $ 1,724,548 $23,506,850
========= ========== ===========
</TABLE>

- ------------------
+ Income allocated from Capital Appreciation Portfolio, Global High Yield
Securities Portfolio, Intermediate Tax Free Portfolio, International Equity
Portfolio, Latin American Equity Portfolio, Pacific Basin Equity Portfolio and
Small Cap Portfolio.

See Notes to Financial Statements on Pages 27 - 28

21
<PAGE> 22

- --------------------------------------------------------------------------------
BT Investment Funds
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------

<TABLE>
<CAPTION>
CAPITAL APPRECIATION GLOBAL HIGH YIELD
------------------------------------- -------------------------------------
FOR THE SIX FOR THE SIX
MONTHS ENDED FOR THE PERIOD MONTHS ENDED
MARCH 31, 1996 JANUARY 1, 1995 TO MARCH 31, 1996 FOR THE YEAR ENDED
(UNAUDITED) SEPTEMBER 30, 1995 (UNAUDITED) SEPTEMBER 30, 1995
-------------- ------------------ -------------- ------------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS
Net Investment Income (Loss)............... $ (187,632) $ (228,356) $ 696,775 $ 1,531,957
Net Realized Gain (Loss) from Investments
and Foreign Currencies Transactions...... 5,771,600 5,405,206 351,013 (516,415)
Net Unrealized Appreciation (Depreciation)
on Investments, Foreign Currencies and
Forward Currency Contracts............... (5,654,555) 10,914,097 1,095,160 (3,518)
-------------- ------------------ -------------- ------------------
Net Increased (Decreased) in Net Assets from
Operations................................... (70,587) 16,090,947 2,142,948 1,012,024
-------------- ------------------ -------------- ------------------
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income...................... -- -- (960,924) (1,469,916)
Net Realized Gain from Investment
Transactions............................. (4,592,512) -- -- --
-------------- ------------------ -------------- ------------------
Total Distributions........................... (4,592,512) -- (960,924) (1,469,916)
-------------- ------------------ -------------- ------------------
TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST
Net Increase (Decrease) from Transactions
in Shares of Beneficial Interest......... 7,853,472 (1,448,121) (4,196,271) 8,632,701
-------------- ------------------ -------------- ------------------
TOTAL INCREASE (DECREASE) IN NET ASSETS....... 3,190,373 14,642,826 (3,014,247) 8,174,809
NET ASSETS
Beginning of Period........................... 57,379,600 42,736,774 22,913,165 14,738,356
-------------- ------------------ -------------- ------------------
End of Period+................................ $ 60,569,973 $ 57,379,600 $ 19,898,918 $ 22,913,165
=============== =================== =============== ===================
</TABLE>

<TABLE>
<CAPTION>
LATIN AMERICAN EQUITY PACIFIC BASIN EQUITY
------------------------------------- ----------------------------------------
FOR THE SIX FOR THE SIX
MONTHS ENDED MONTHS ENDED
MARCH 31, 1996 FOR THE YEAR ENDED MARCH 31, 1996 FOR THE YEAR ENDED
(UNAUDITED) SEPTEMBER 30, 1995 (UNAUDITED) SEPTEMBER 30, 1995
-------------- ------------------ -------------- ---------------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS
Net Investment Income (Loss)............ $ 31,167 $ 48,923 $ (135,515) $ 28,202
Net Realized Gain (Loss) from
Investments and Foreign Currency
Transactions.......................... 520,355 (9,485,479) 706,232 (481,521)
Net Unrealized Appreciation
(Depreciation) on Investments, Foreign
Currencies and Forward Currency
Contracts............................. (1,398) (3,176,213) 1,153,831 (821,330)
-------------- ------------------ -------------- -----------
Net Increased (Decreased) in Net Assets
from Operations........................... 550,124 (12,612,769) 1,724,548 (1,274,649)
-------------- ------------------ -------------- -----------
DISTRIBUTIONS TO SHAREHOLDERS
Net Realized Gain from Investment
Transactions.......................... -- (479,804) -- (831,820)
-------------- ------------------ -------------- -----------
TRANSACTIONS IN SHARES OF BENEFICIAL
INTEREST
Net Increase (Decrease) from
Transactions in Shares of Beneficial
Interest.............................. 906,061 (772,294) 2,300,265 1,248,861
-------------- ------------------ -------------- -----------
TOTAL INCREASE (DECREASE) IN NET ASSETS.... 1,456,185 (13,864,867) 4,024,813 (857,608)
NET ASSETS
Beginning of Period........................ 13,624,204 27,489,071 24,504,274 25,361,882
-------------- ------------------ -------------- -----------
End of Period+............................. $ 15,080,389 $ 13,624,204 $ 28,529,087 $24,504,274
=============== =================== =============== ======================
</TABLE>

- ------------------
+ Includes accumulated net investment income (loss) for the period ended March
31, 1996 and period ended September 30, 1995, respectively, as follows:
$(187,632) and $0 for Capital Appreciation Portfolio, $247,160 and $511,309 for
Global High Yield Securities Portfolio, $0 and $0 for Intermediate Tax Free
Portfolio, $110,773 and $799,626 for International Equity Portfolio, $31,167
and $0 for Latin American Equity Portfolio, $(135,515) and $0 for Pacific Basin
Equity Portfolio, and $(507,658) and $0 for Small Cap Portfolio.

See Notes to Financial Statements on Pages 27 - 28

22
<PAGE> 23

<TABLE>
<CAPTION>
INTERMEDIATE TAX FREE INTERNATIONAL EQUITY
------------------------------------ -------------------------------------
FOR THE THREE FOR THE SIX
MONTHS ENDED FOR THE YEAR MONTHS ENDED FOR THE PERIOD
MARCH 31, 1996 ENDED MARCH 31, 1996 JANUARY 1, 1995 TO
(UNAUDITED) DECEMBER 31, 1995 (UNAUDITED) SEPTEMBER 30, 1995
-------------- ----------------- -------------- ------------------
<S> <C> <C> <C> <C>
$ 242,821 $ 1,103,629 $ 132,483 $ 767,061
263,099 373,106 2,079,967 1,956,485
(717,952) 1,660,101 3,598,700 6,955,090
-------------- ----------------- -------------- ------------------
(212,032) 3,136,836 5,811,150 9,678,636
-------------- ----------------- -------------- ------------------
(242,821) (1,103,629) (1,680,073) (16,362)
-- -- (1,735,167) (62,809)
-------------- ----------------- -------------- ------------------
(242,821) (1,103,629) (3,415,240) (79,171)
-------------- ----------------- -------------- ------------------
964,642 (5,123,127) 32,732,916 17,187,367
-------------- ----------------- -------------- ------------------
509,789 (3,089,920) 35,128,826 26,786,832
22,213,106 25,303,026 82,807,211 56,020,379
-------------- ----------------- -------------- ------------------
$ 22,722,895 $22,213,106 $117,936,037 $ 82,807,211
=============== =================== =============== ===================
</TABLE>

<TABLE>
<CAPTION>
SMALL CAP
-------------------------------------
FOR THE SIX
MONTHS ENDED
MARCH 31, 1996 FOR THE YEAR ENDED
(UNAUDITED) SEPTEMBER 30, 1995
-------------- ------------------
<S> <C> <C>
$ (507,658) $ (274,306)
2,396,540 11,205,495
21,617,968 19,127,778
-------------- ------------------
23,506,850 30,058,967
-------------- ------------------
(10,302,003) --
-------------- ------------------
71,385,018 71,544,157
-------------- ------------------
84,589,865 101,603,124
122,934,781 21,331,657
-------------- ------------------
$207,524,646 $122,934,781
=============== ===================
</TABLE>

23
<PAGE> 24

- --------------------------------------------------------------------------------
BT Investment Funds
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 each of the Funds.

<TABLE>
<CAPTION>
CAPITAL APPRECIATION
--------------------------------------------------------------------------------
FOR THE PERIOD
MARCH 9, 1993
FOR THE SIX (COMMENCEMENT OF
MONTHS ENDED **FOR THE PERIOD FOR THE YEAR OPERATIONS) TO
MARCH 31, 1996 JANUARY 1, 1995 TO ENDED DECEMBER 31,
(UNAUDITED) SEPTEMBER 30, 1995 DECEMBER 31, 1994 1993
-------------- ------------------ ----------------- ----------------
<S> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE, BEGINNING OF PERIOD......... $ 16.83 $ 12.10 $ 11.72 $ 10.00
------- ------- ------- -------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss).............. (0.05) (0.07) (0.04) (0.01)
Net Realized and Unrealized Gain (Loss) on
Investments and Foreign Currency
Transactions............................ (0.06) 4.80 0.42 1.73
------- ------- ------- -------
Total from Investment Operations............. (0.11) 4.73 0.38 1.72
------- ------- ------- -------
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income..................... -- -- -- --
Net Realized Gain from Investment
Transactions............................ (1.29) -- -- --
------- ------- ------- -------
Total Distributions.......................... (1.29) -- -- --
------- ------- ------- -------
NET ASSET VALUE, END OF PERIOD............... $ 15.43 $ 16.83 $ 12.10 $ 11.72
======= ======= ======= =======
TOTAL INVESTMENT RETURN...................... (0.16)% 39.09% 3.24% 21.54%*
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period (000's
omitted)................................ $ 60,570 $ 57,380 $42,737 $ 17,573
Ratios to Average Net Assets
Net Investment Income..................... (0.64)%* (0.65)%* (0.57)% (0.23)%*
Expenses, including Expenses of the
Portfolio+.............................. 1.25%* 1.25%* 1.25% 1.25%*
Decrease Reflected in Above Expense Ratio
Due to Absorption of Expenses by Bankers
Trust................................... 0.28%* 0.32%* 0.54% 0.74%*
</TABLE>

<TABLE>
<CAPTION>
INTERNATIONAL EQUITY
----------------------------------------------------------------------------------
FOR THE PERIOD
AUGUST 4, 1992
FOR THE SIX FOR THE YEAR ENDED (COMMENCEMENT OF
MONTHS ENDED **FOR THE PERIOD DECEMBER 31, OPERATIONS) TO
MARCH 31, 1996 JANUARY 1, 1995 TO ------------------- DECEMBER 31,
(UNAUDITED) SEPTEMBER 30, 1995 1994 1993 1992
-------------- ------------------ ------- ------- ----------------
<S> <C> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE, BEGINNING OF PERIOD....... $ 15.47 $ 13.37 $ 13.18 $ 9.75 $10.00
------- ------- ------- ------- -------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss)............ 0.17 0.14 0.10 0.05 0.03
Investments and Foreign Currency
Transactions.......................... 0.71 1.97 0.44 3.60 (0.28)
------- ------- ------- ------- -------
Total from Investment Operations........... 0.88 2.11 0.54 3.65 (0.25)
------- ------- ------- ------- -------
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income................... (0.31) (0.00)# (0.09) (0.15) --
Net Realized Gain from Investment
Transactions.......................... (0.32) (0.01) (0.26) (0.07) --
------- ------- ------- ------- -------
Total Distributions........................ (0.63) (0.01) (0.35) (0.22) --
------- ------- ------- ------- -------
NET ASSET VALUE, END OF PERIOD............. $ 15.72 $ 15.47 $ 13.37 $ 13.18 $ 9.75
======= ======= ======= ======= =======
TOTAL INVESTMENT RETURN.................... 5.97% 15.82% 4.12% 37.38% (6.01)%*
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period (000's
omitted).............................. $117,936 $ 82,807 $56,020 $33,869 $8,218
Ratios to Average Net Assets
Net Investment Income................... 0.29%* 1.55%* 0.84% 0.79% 0.97%*
Expenses, including Expenses of the
Portfolio+............................ 1.50%* 1.50%* 1.50% 1.50% 1.50%*
Decrease Reflected in Above Expense
Ratio Due to Absorption of Expenses by
Bankers Trust......................... 0.28%* 0.33%* 0.37% 0.62% 1.36%*
</TABLE>

- ------------------
* Annualized
** On August 2, 1995, the Board of Trustees approved the change of the fiscal
year end from December 31 to September 30.
# Less than 0.01 per share.
+ Capital Appreciation Portfolio, Global High Yield Securities Portfolio,
Intermediate Tax Free Portfolio, International Equity Portfolio, Latin
American Equity Portfolio and Pacific Basin Equity Portfolio.

See Notes to Financial Statements on Pages 29 - 30

24
<PAGE> 25

- --------------------------------------------------------------------------------

- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>

GLOBAL HIGH YIELD SECURITIES INTERMEDIATE TAX FREE
---------------------------------------------------------- ----------------------------------------------------------
FOR THE PERIOD
FOR THE SIX DECEMBER 14, 1993 ***FOR THE THREE
MONTHS ENDED (COMMENCEMENT OF MONTHS ENDED FOR THE YEAR ENDED DECEMBER 31,
MARCH 31, 1996 FOR THE YEAR ENDED OPERATIONS) TO MARCH 31, 1996 -------------------------------------
(UNAUDITED) SEPTEMBER 30, 1995 SEPTEMBER 30, 1994 (UNAUDITED) 1995 1994
-------------- ------------------ ---------------- ---------------- ------- -------
<S> <C> <C> <C> <C> <C>
$ 9.78 $ 10.29 $ 10.00 $ 10.56 $ 9.72 $ 10.54
------- ------- ------- ------- ------- -------
0.36 0.77 0.31 0.11 0.47 0.42
0.72 (0.41) (0.02) (0.21) 0.84 (0.82)
------- ------- ------- ------- ------- -------
1.08 0.36 0.29 (0.10) 1.31 (0.40)
------- ------- ------- ------- ------- -------
(0.45) (0.87) -- (0.11) (0.47) (0.42)
-- -- -- -- -- --
------- ------- ------- ------- ------- -------
(0.45) (0.87) -- (0.11) (0.47) (0.42)
------- ------- ------- ------- ------- -------
$ 10.41 $ 9.78 $ 10.29 $ 10.35 $ 10.56 $ 9.72
======= ======= ======= ======= ======= =======
11.42% 4.28% 3.66%* (0.93)% 13.71% (3.81)%
$ 19,899 $ 22,913 $ 14,738 $ 22,723 $ 22,213 $ 25,303
6.85%* 8.68% 5.44%* 4.33%* 4.58% 4.20%
1.50%* 1.74% 1.75%* 0.85%* 0.85% 0.85%
0.97%* 0.87% 1.08%* 0.41%* 0.28% 0.36%

<CAPTION>
INTERMEDIATE TAX FREE
- ----------------------------------------------
FOR THE PERIOD
JULY 20, 1992
FOR THE YEAR (COMMENCEMENT OF
ENDED DECEMBER 31, OPERATIONS) TO
------------------ DECEMBER 31,
1993 1992
------- ----------------
<S> <C>
$ 9.99 $10.00
------- -------
0.41 0.16
0.57 (0.01)
------- -------
0.98 0.15
------- -------
(0.41) (0.16)
(0.02) --
------- -------
(0.43) (0.16)
------- -------
$ 10.54 $ 9.99
======= =======
9.94% 3.42%*
$ 31,709 $9,992
3.88% 3.72%*
0.85% 0.85%*
0.35% 0.80%*
</TABLE>

<TABLE>
<CAPTION>
LATIN AMERICAN EQUITY PACIFIC BASIN EQUITY
---------------------------------------------------------- ----------------------------------------------------------
FOR THE PERIOD FOR THE PERIOD
OCTOBER 25, 1993 NOVEMBER 1, 1993
FOR THE SIX (COMMENCEMENT OF FOR THE SIX (COMMENCEMENT OF
MONTHS ENDED OPERATIONS) TO MONTHS ENDED OPERATIONS) TO
MARCH 31, 1996 FOR THE YEAR ENDED SEPTEMBER 30, MARCH 31, 1996 FOR THE YEAR ENDED SEPTEMBER 30,
(UNAUDITED) SEPTEMBER 30, 1995 1994 (UNAUDITED) SEPTEMBER 30, 1995 1994
-------------- ------------------ ---------------- -------------- ------------------ ----------------
<S> <C> <C> <C> <C> <C>
$ 8.50 $ 14.59 $ 10.00 $ 10.96 $ 11.82 $ 10.00
------- ------- ------- ------- ------- -------
0.02 0.03 0.00# (0.06) 0.01 (0.04)
0.76 (5.92) 4.59 0.80 (0.49) 1.86
------- ------- ------- ------- ------- -------
0.78 (5.89) 4.59 0.74 (0.48) 1.82
------- ------- ------- ------- ------- -------
-- -- -- -- (0.38) --
-- (0.20) -- -- -- --
------- ------- ------- ------- ------- -------
-- (0.20) -- -- (0.38) --
------- ------- ------- ------- ------- -------
$ 9.28 $ 8.50 $ 14.59 $ 11.70 $ 10.96 $ 11.82
======= ======= ======= ======= ======= =======
9.18% (40.68)% 50.01%* 6.75% (3.87)% 20.11%*
$ 15,080 $ 13,624 $ 27,489 $ 28,529 $ 24,504 $ 25,362
0.50%* 0.29% 0.03%* (1.01)%* 0.12% (0.59)%*
2.00%* 2.00% 2.00%* 1.75%* 1.75% 1.75%*
0.92%* 1.17% 1.27%* 0.40%* 0.52% 0.60%*
</TABLE>

- ------------------
*** On February 9, 1996, the Board of Trustees approved the change of the fiscal
year end from December 31 to September 30.

25
<PAGE> 26

<TABLE>
<CAPTION>
SMALL CAP
----------------------------------------------------------
FOR THE PERIOD
OCTOBER 21, 1993
FOR THE SIX (COMMENCEMENT OF
MONTHS ENDED OPERATIONS) TO
MARCH 31, 1996 FOR THE YEAR ENDED SEPTEMBER 30,
(UNAUDITED) SEPTEMBER 30, 1995 1994
-------------- ------------------ ----------------
<S> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE, BEGINNING OF PERIOD............................... $ 18.50 $ 11.60 $ 10.00
-------- ------- --------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss).................................... (0.05) (0.04) (0.03)
Net Realized and Unrealized Gain (Loss) on Investments and
Foreign Currency Transactions................................. 2.67 6.94 1.63
-------- ------- --------
Total from Investment Operations................................... 2.62 6.90 1.60
-------- ------- --------
DISTRIBUTIONS TO SHAREHOLDERS
Net Realized Gain from Investment Transactions.................. (1.37) -- --
-------- ------- --------
Total Distributions................................................ (1.37) -- --
-------- ------- --------
NET ASSET VALUE, END OF PERIOD..................................... $ 19.75 $ 18.50 $ 11.60
======== ======= ========
TOTAL INVESTMENT RETURN............................................ 15.26% 59.48% 17.06%*
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period (000's omitted).......................... $207,525 $122,935 $ 21,332
Ratios to Average Net Assets
Net Investment Income........................................... (0.65)%* (0.46)% (0.58)%*
Expenses, including Expenses of the Small Cap Portfolio......... 1.25%* 1.25% 1.25%*
Decrease Reflected in Above Expense Ratio Due to Absorption of
Expenses by Bankers Trust..................................... 0.23%* 0.34% 0.86%*
</TABLE>

- ------------------
* Annualized

See Notes to Financial Statements on Pages 29 - 30

26
<PAGE> 27

- --------------------------------------------------------------------------------
BT Investment Funds
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 Capital Appreciation Fund,
Global High Yield Securities Fund, Intermediate Tax Free Fund, International
Equity Fund, Latin American Equity Fund, Pacific Basin Equity Fund, and Small
Cap Fund (each a "Fund", and collectively, the "Funds") are offered to investors
by the Trust. The Capital Appreciation Fund commenced operations and began
offering shares of beneficial interest on March 9, 1993. Global High Yield
Securities Fund commenced operations and began offering shares of beneficial
interest on December 14, 1993. Intermediate Tax Free Fund commenced operations
and began offering shares of beneficial interest on July 20, 1992. International
Equity Fund commenced operations and began offering shares of beneficial
interest on August 4, 1992. Latin American Equity Fund commenced operations and
began offering shares of beneficial interest on October 25, 1993. Pacific Basin
Equity Fund commenced operations and began offering shares of beneficial
interest on November 1, 1993. Small Cap Fund commenced operations and began
offering shares of beneficial interest on October 21, 1993. The Funds invest
substantially all of their assets in the following Portfolios: Capital
Appreciation Fund in the Capital Appreciation Portfolio, Global High Yield
Securities Fund in the Global High Yield Securities Portfolio, Intermediate Tax
Free Fund in the Intermediate Tax Free Portfolio, International Equity Fund in
the International Equity Portfolio, Latin American Equity Fund in the Latin
American Equity Portfolio, Pacific Basin Equity Fund in the Pacific Basin Equity
Portfolio, and Small Cap Fund in the Small Cap Portfolio (each a "Portfolio" and
collectively, the "Portfolios"). The Portfolios are an open-end management
investment company 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 March 31, 1996, Capital Appreciation Fund's investment was
approximately 31.9% of the Portfolio, International Equity Fund's investment was
approximately 99.6% of the Portfolio, Small Cap Fund's investment was
approximately 99.7% of the Portfolio and Global High Yield Securities Fund,
Intermediate Tax Free Fund, Latin American Equity Fund, and Pacific Basin Equity
Fund's investment was approximately 100% of the Portfolio.

The financial statements of each of the Portfolios, including the Schedules of
Portfolio Investments, are contained elsewhere in this report.
On August 2, 1995, the Board of Trustees approved the change of the fiscal year
end from December 31 to September 30 for International Equity Fund and Capital
Appreciation Fund. In addition, on February 9, 1996 the Board of Trustees
approved the change of the fiscal year end from December 31 to September 30 for
Intermediate Tax Free Fund.

B. Investment Income
Each of the Funds earn 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. Organizational Expenses
Costs incurred by each Fund in connection with its organization and initial
registration are being amortized evenly over a five year period.

D. Dividends
It is each Fund's policy to declare and distribute dividends quarterly to
shareholders from net investment income with the exception of International
Equity Fund, Latin American Equity Fund and Pacific Basin Equity Fund which
declare and distribute dividends annually, and Intermediate Tax Free Fund which
declares dividends daily and pays these dividends monthly. 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.

E. Federal Income Taxes
It is the Funds' policy to comply with the requirements of the Internal Revenue
Code. Therefore, no federal income tax provision is required. 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. For the period
ended March 31, 1996, $858,697 of International Equity Fund's net realized gain
was reclassified as undistributed net investment income. For the year ended
September 30, 1995, $274,306 of Small Cap Fund's net investment loss was
reclassified to undistributed net realized gain from securities transactions.

F. 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.

The preparation of financial statements in conformity with generally acceptable
accounting principles requires management to make estimates and assumptions that
affect the reported amounts in the financial statements.

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 each Fund's average daily net assets. The
following table provides annual rates and aggregated fees for each of the funds
for the period:

<TABLE>
<CAPTION>
FUND ANNUAL RATE AGGREGATED FEES
- -------------------------------------- ----------- ---------------
<S> <C> <C>
Capital Appreciation Fund............. .65 of 1% $ 191,500
Global High Yield Securities Fund..... .95 of 1% 96,622
Intermediate Tax Free Fund............ .40 of 1% 22,455
International Equity Fund............. .85 of 1% 394,860
Latin American Equity Fund............ .95 of 1% 59,268
Pacific Basin Equity Fund............. .75 of 1% 100,292
Small Cap Fund........................ .65 of 1% 510,789
</TABLE>

The Trust has entered into a Distribution Agreement with Signature Broker-Dealer
Services, Inc. ("Signature"). Under the Distributions Agreement with the Trust,
pursuant to Rule 12b-1 of the 1940 Act, Signature may seek reimbursement, at an
annual rate not exceeding .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 period ended March 31,

27
<PAGE> 28

- --------------------------------------------------------------------------------
BT Investment Funds
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (Continued)
- --------------------------------------------------------------------------------

1996, 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 as follows. Capital
Appreciation Fund to .65 of 1% of the average daily net assets of the Fund,
excluding expenses of the Portfolio and 1.25 of 1% of the average daily net
assets of the Fund, including expenses of the Portfolio. Global High Yield
Securities Fund .75 of 1% of the average daily net assets of the Fund, excluding
expenses of the Portfolio and 1.50 of 1% of the average daily net assets of the
Fund, including expenses of the Portfolio. Intermediate Tax Free Fund .40 of 1%
of the average daily net assets of the Fund, excluding expenses of the Portfolio
and .85 of 1% of the average daily net assets of the Fund, including expenses of
the Portfolio. International Equity Fund .85 of 1% of the average daily net
assets of the Fund, excluding expenses of the Portfolio and 1.50 of 1% of the
average daily net assets of the Fund, including expenses of the Portfolio. Latin
American Equity Fund to 1.00 of 1% of the average daily net assets of the Fund,
excluding expenses of the Portfolio and 2.00 of 1% of the average daily net
assets of the Fund, including expenses of the Portfolio. Pacific Basin Equity
Fund to .75 of 1% of the average daily net assets of the Fund, excluding
expenses of the Portfolio and 1.75 of 1% of the average daily net assets of the
Fund, including expenses of the Portfolio. Small Cap Fund .65 of 1% of the
average daily net assets of the Fund, excluding expenses of the Portfolio and
1.25 of 1% of the average daily net assets of the Fund, including expenses of
the Portfolio. For the period ended March 31, 1996, expenses have been reduced
as follows: Capital Appreciation Fund, $30,295, Global High Yield Securities
Fund, $59,404, Intermediate Tax Free Fund, $16,087, International Equity Fund,
$43,042, Latin American Equity Fund, $29,888, Pacific Basin Equity Fund,
$28,711, and Small Cap Fund, $44,865.

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 trustees of the Funds. Similarly, none of the Funds' officers
received compensation from the Funds.

NOTE 3 -- SHARES OF BENEFICIAL INTEREST
At March 31, 1996, there were an unlimited number of shares of beneficial
interest authorized. Transactions in shares of beneficial interest were as
follows:
<TABLE>
<CAPTION>
FOR THE PERIOD ENDED MARCH 31, 1996 (UNAUDITED)
--------------------------------------------------------------------------------------
CAPITAL APPRECIATION GLOBAL HIGH YIELD INTERMEDIATE TAX FREE
-------------------------- -------------------------- --------------------------
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
---------- ------------ ---------- ------------ ---------- ------------
<S> <C> <C> <C> <C> <C> <C>
Sold................................... 902,049 $ 13,886,618 692,329 $ 7,186,285 498,008 $ 5,268,772
Reinvested............................. 168,233 2,436,017 29,064 288,459 17,187 180,491
Redeemed............................... (554,428) (8,469,163) (1,152,720) (11,671,015) (424,381) (4,484,621)
---------- ------------ ---------- ------------ ---------- ------------
Increase (Decrease).................... 515,854 $ 7,853,472 (431,327) $ (4,196,271) 90,814 $ 964,642
========== ============ ========== ============ ========== ============

<CAPTION>
FOR THE PERIOD ENDED MARCH 31,
1996 (UNAUDITED)
------------------------------
INTERNATIONAL EQUITY
--------------------------
SHARES AMOUNT
---------- ------------
<S> <C> <C>
Sold................................... 3,290,854 $ 50,176,040
Reinvested............................. 125,386 1,830,639
Redeemed............................... (1,266,804) (19,273,763)
---------- ------------
Increase (Decrease).................... 2,149,436 $ 32,732,916
========== ============
</TABLE>
<TABLE>
<CAPTION>
LATIN AMERICAN EQUITY PACIFIC BASIN EQUITY SMALL CAP
-------------------------- -------------------------- --------------------------
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
---------- ------------ ---------- ------------ ---------- ------------
<S> <C> <C> <C> <C> <C> <C>
Sold................................... 1,586,580 $ 14,765,496 1,915,300 $ 22,081,448 7,538,882 $138,086,428
Reinvested............................. -- -- -- -- 439,133 7,579,445
Redeemed............................... (1,563,320) (13,859,435) (1,713,857) (19,781,183) (4,114,378) (74,280,855)
---------- ------------ ---------- ------------ ---------- ------------
Increase (Decrease).................... 23,260 $ 906,061 201,443 $ 2,300,265 3,863,637 $ 71,385,018
========== ============ ========== ============ ========== ============
</TABLE>

<TABLE>
<CAPTION>
FOR THE PERIOD ENDED SEPTEMBER 30, 1995
--------------------------------------------------------------------------------------
CAPITAL APPRECIATION* GLOBAL HIGH YIELD INTERMEDIATE TAX FREE*
-------------------------- -------------------------- --------------------------
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
---------- ------------ ---------- ------------ ---------- ------------
<S> <C> <C> <C> <C> <C> <C>
Sold................................... 892,749 $ 12,646,445 1,942,399 $ 18,303,164 444,241 $ 4,536,603
Reinvested............................. -- -- 49,577 458,206 84,551 868,327
Redeemed............................... (1,017,100) (14,094,566) (1,081,376) (10,128,669) (1,026,546) (10,528,057)
---------- ------------ ---------- ------------ ---------- ------------
Increase (Decrease).................... (124,351) $ (1,448,121) 910,600 $ 8,632,701 (497,754) $ (5,123,127)
========== ============ ========== ============ ========== ============

<CAPTION>
FOR THE PERIOD ENDED SEPTEMBER
30, 1995
------------------------------
INTERNATIONAL EQUITY*
--------------------------
SHARES AMOUNT
---------- ------------
<S> <C> <C>
Sold................................... 2,458,261 $ 35,856,451
Reinvested............................. 2,716 42,076
Redeemed............................... (1,298,482) (18,711,160)
---------- ------------
Increase (Decrease).................... 1,162,495 $ 17,187,367
========== ============
</TABLE>

<TABLE>
<CAPTION>
LATIN AMERICAN EQUITY PACIFIC BASIN EQUITY SMALL CAP
-------------------------- -------------------------- --------------------------
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
---------- ------------ ---------- ------------ ---------- ------------
<S> <C> <C> <C> <C> <C> <C>
Sold................................... 1,726,404 $ 18,486,926 1,187,576 $ 12,685,645 6,022,926 $ 90,112,541
Reinvested............................. 27,924 327,552 36,517 375,029 -- --
Redeemed............................... (2,036,411) (19,586,772) (1,133,993) (11,811,813) (1,216,232) (18,568,384)
---------- ------------ ---------- ------------ ---------- ------------
Increase (Decrease).................... (282,083) $ (772,294) 90,100 $ 1,248,861 4,806,694 $ 71,544,157
========== ============ ========== ============ ========== ============
</TABLE>

- ------------------
* Fiscal year end changed from December 31 to September 30.

28
<PAGE> 29

- --------------------------------------------------------------------------------
Capital Appreciation Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 1996 (unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES DESCRIPTION VALUE
- ------------ ---------------------------------------- -------------
<C> <S> <C>
COMMON STOCKS - 93.90%
AMERICA'S CHANGING LEISURE TIME - 5.60%
63,500 Applebees International Inc. ........... $ 1,587,500
44,800 Boston Chicken Inc.(a).................. 1,526,000
44,000 Harley-Davidson Inc. ................... 1,710,500
33,700 Hospitality Franchise Systems Inc.(a)... 1,638,662
22,700 Lone Star Steakhouse & Saloon(a)........ 868,275
36,300 Mirage Resorts Inc.(a).................. 1,592,663
72,300 Starbucks Corp.(a)...................... 1,685,494
----------
10,609,094
----------
AMERICA'S INDUSTRIAL RENAISSANCE - 3.49%
33,200 Harman International Industries......... 1,245,000
30,100 Input/Output Inc.(a).................... 933,100
47,500 UCAR International Inc.(a).............. 1,846,563
33,800 Waters Corp.(a)......................... 819,650
29,400 Western Atlas Inc.(a)................... 1,764,000
----------
6,608,313
----------
CLIENT-SERVER COMPUTING - 4.28%
30,500 BAAN Company NV(a)...................... 1,757,563
39,200 Cadence Design System Inc.(a)........... 1,729,700
33,500 Forte Software Inc.(a).................. 1,356,750
52,100 Informix Corp.(a)....................... 1,374,137
56,100 Structural Dynamics Research(a)......... 1,893,375
----------
8,111,525
----------
FLOURISHING IN THE MANAGED CARE
ENVIRONMENT - 3.28%
33,300 Caremark International.................. 836,662
16,500 Healthcare Compare Corp.(a)............. 831,187
62,900 Healthsource Inc.(a).................... 2,437,375
24,100 Oxford Health Plans(a).................. 2,114,775
----------
6,219,999
----------
INTERACTIVE MEDIA - 4.62%
30,000 America Online Inc.(a).................. 1,680,000
32,300 Clear Channel Communications(a)......... 1,824,950
51,100 CUC International Inc.(a)............... 1,494,675
38,500 Infinity Broadcasting-Cl. A(a).......... 1,669,938
11,300 Inso Corp.(a)........................... 521,212
87,400 Scientific-Atlanta Inc. ................ 1,551,350
----------
8,742,125
----------
LIFE ON THE NET - 6.22%
46,900 Cable Design Technologies(a)............ 1,723,575
16,500 FORE Systems(a)......................... 1,179,750
42,100 Macromedia Inc.(a)...................... 1,799,775
26,500 McAfee Associates Inc.(a)............... 1,450,875
17,700 Shiva Corp.(a).......................... 1,606,275
11,900 U.S. Robotics Corp.(a).................. 1,538,075
36,800 Verifone Inc.(a)........................ 1,545,600
18,100 Xylan Corp.(a).......................... 941,200
----------
11,785,125
----------

<CAPTION>
SHARES DESCRIPTION VALUE
- ------------ ---------------------------------------- -------------
<C> <S> <C>
LIFE SCIENCES REVOLUTION - 4.67%
55,800 Centocor Inc.(a)........................ $ 2,015,775
39,500 Elan Plc.(a)............................ 2,537,875
131,700 Nabi Inc.(a)............................ 1,736,794
78,200 U.S. Surgical Corp. .................... 2,561,050
----------
8,851,494
----------
MANAGING THE INFORMATION AGE - 5.97%
20,700 Ascend Communications Inc. (a).......... 1,115,213
25,250 Cascade Communications Corp. (a)........ 2,266,187
59,400 Cheyenne Software(a).................... 935,550
30,200 Electronics for Imaging(a).............. 1,313,700
78,400 First USA Paymentech Inc. (a)........... 2,763,600
48,000 Glenayre Technologies(a)................ 1,836,000
35,200 Sterling Commerce(a).................... 1,082,400
----------
11,312,650
----------
MOVE TO OUTSOURCING -- 9.34%
30,400 APAC Teleservices(a).................... 2,166,000
31,800 Atlantic Southeast Airlines............. 814,875
22,000 Boise Cascade Office Products(a)........ 1,438,250
54,900 Comair Holdings Inc. ................... 1,907,775
67,000 Corporate Express(a).................... 2,211,000
61,600 Danka Business Systems-ADR.............. 2,602,600
25,600 Global Directmail(a).................... 892,800
54,250 Olsten Corp. ........................... 1,749,562
37,500 Paychex Inc. ........................... 2,193,750
30,700 Viking Office Products Inc.(a).......... 1,707,688
----------
17,684,300
----------
NEW CONSUMER - 8.85%
86,100 Ann Taylor Stores(a).................... 1,549,800
32,000 Blyth Industries(a)..................... 1,064,000
15,700 Fila Holdings Spa....................... 1,002,837
46,800 Gucci Group NV(a)....................... 2,246,400
73,800 Gymboree Corp.(a)....................... 1,928,025
20,500 Jones Apparel Group(a).................. 994,250
25,800 Liz Claiborne Inc. ..................... 883,650
127,750 Staples Inc.(a)......................... 2,602,906
54,000 Sunglass Hut International(a)........... 1,788,750
35,300 Tommy Hilfiger Co.(a)................... 1,619,388
47,400 Williams-Sonoma(a)...................... 1,078,350
----------
16,758,356
----------
NEW HEALTH CARE PARADIGM - 5.44%
29,500 Cardinal Health Inc. ................... 1,895,375
30,800 Express Scripts(a)...................... 1,439,900
18,200 HBO & Co. .............................. 1,715,350
43,200 Healthsouth Corp.(a).................... 1,468,800
36,500 Omnicare Inc. .......................... 1,966,438
34,100 Universal Health Services(a)............ 1,811,563
----------
10,297,426
----------
</TABLE>

See Notes to Financial Statements on Pages 48 - 50

29
<PAGE> 30

- --------------------------------------------------------------------------------
Capital Appreciation Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 1996 (unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES DESCRIPTION VALUE
- ------------ ---------------------------------------- -------------
<C> <S> <C>
OUR STRENGTHENING FINANCIAL
STRUCTURE - 0.75%
43,700 Vesta Insurance Group .................. $ 1,425,712
----------
PRODUCTIVITY ENHANCEMENT - 4.90%
23,000 Applied Material(a)..................... 802,125
24,900 Catalina Marketing Corp.(a)............. 1,945,312
34,200 Checkpoint Systems Inc.(a).............. 850,725
51,700 KLA Instruments Corp.(a)................ 1,169,712
72,600 Parametric Technology Corp.(a).......... 2,840,475
12,900 Sterling Software(a).................... 909,450
42,600 Tencor Instruments(a)................... 766,800
----------
9,284,599
----------
REDISTRIBUTION OF DEBT - 2.59%
85,600 Green Tree Financial Corp. ............. 2,942,500
70,500 The Money Store Inc. ................... 1,965,188
----------
4,907,688
----------
RE-ENERGIZING AMERICA - 3.45%
66,000 Baker Hughes Inc. ...................... 1,930,500
57,300 BJ Services Co.(a)...................... 1,919,550
80,100 Global Marine Inc. ..................... 801,000
49,700 Tidewater Inc. ......................... 1,888,600
----------
6,539,650
----------
STORES OF VALUE - 7.85%
24,500 Baby Superstores(a)..................... 1,114,750
37,400 Bed Bath & Beyond, Inc.(a).............. 1,972,850
62,100 Borders Group Inc.(a)................... 1,769,850
69,600 Consolidated Stores Corp.(a)............ 2,331,600
32,200 Dollar General Corp. ................... 933,800
55,600 The Men's Wearhouse Inc.(a)............. 1,751,400
48,900 Pep-Boys-Manny Moe & Jack............... 1,638,150
44,400 PetSmart Inc.(a)........................ 1,609,500
93,600 Price/Costco Inc.(a).................... 1,755,000
----------
14,876,900
----------

<CAPTION>
SHARES DESCRIPTION VALUE
- ------------ ---------------------------------------- -------------
<C> <S> <C>
TELECOMMUNICATIONS - 6.10%
21,200 ADC Telecommunications Inc.(a) ......... $ 731,400
40,100 Adtran Inc.(a).......................... 1,834,575
38,800 Andrew Corp.(a)......................... 1,484,100
36,000 Aspect Telecommunication(a)............. 1,647,000
60,500 Bay Networks Inc.(a).................... 1,860,375
44,800 Newbridge Networks Co.(a)............... 2,520,000
63,300 Premiere Technologies Inc.(a)........... 1,471,725
----------
11,549,175
----------
THE GREYING OF AMERICA - 4.08%
31,300 Boston Scientific Corp.(a).............. 1,439,800
34,800 Guidant Corp. .......................... 1,883,550
39,300 Nellcor Puritan Bennett Inc.(a)......... 2,525,025
55,300 Sofamor/Danek Group(a).................. 1,873,288
----------
7,721,663
----------
THE UBIQUITOUS SEMICONDUCTOR - 2.42%
42,900 Altera Corp.(a) ........................ 2,397,037
56,200 Atmel Corp.(a).......................... 1,433,100
24,300 Micron Technology Inc. ................. 762,413
----------
4,592,550
----------
TOTAL COMMON STOCKS
(Cost $161,284,241)................................... $ 177,878,344
----------
<CAPTION>
PRINCIPAL
AMOUNT
- ------------
<C> <S> <C>
U.S. TREASURY BILL - 10.35%
$19,825,000 5.15% 6/20/96 (Cost $19,607,773)........ 19,606,925
----------
TOTAL INVESTMENTS
(Cost $180,892,014) - 104.25%......................... $ 197,485,269
Liabilities in Excess of Other Assets - (4.25)%........ (8,058,355)
-----------
NET ASSETS - 100.00%................................... $ 189,426,914
===========
</TABLE>

- ------------------
(a) Non-Income Producing Security

<CAPTION>
PRINCIPAL
AMOUNT DESCRIPTION VALUE
- ----------- ------------------------------------------- ------------
<C> <S> <C>
$ 500,000 Rogers Cablesystems 10.00%, 3/15/05........ $ 520,000
200,000 Rogers Cablesystems 9.625%, 8/01/02........ 206,000
---------
1,094,750
---------
COLUMBIA - 2.44%
500,000 Celcaribe, 3/15/04(b)(c)(f)................ 482,500
---------
</TABLE>

See Notes to Financial Statements on Pages 48 - 50

30
<PAGE> 31

- --------------------------------------------------------------------------------
Global High Yield Securities Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 1996 (unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT DESCRIPTION VALUE
- ----------- ------------------------------------------- ------------
<C> <S> <C>
HONG KONG - 13.87%
$ 260,000 China Overseas Land 5.25%, 12/08/00........ $ 228,800
250,000 China Resources Entertainment 3.00%,
11/24/05.................................. 294,219
740,000 Hysan Development Finance 6.75%, 6/01/00... 861,175
500,000 Lai Fung Overseas Finance 5.50%, 1/05/98... 432,500
400,000 New World Development 4.375%, 12/11/00..... 430,000
500,000 Station Casinos 10.125%, 3/15/06........... 500,000
---------
2,746,694
---------
SOUTH AFRICA - 9.30%
550,000 Investec Overseas Finance 6.375%,
11/30/02(c)............................... 592,625
360,000 Investec Overseas Finance 6.375%,
11/30/02.................................. 388,350
640,000 Liberty Life International 6.50%,
9/30/04................................... 860,400
---------
1,841,375
---------
TAIWAN - 2.53%
500,000 Winbond Electronics 2.00%, 3/13/03......... 500,000
---------
UNITED KINGDOM - 1.83%
500,000 Videotron Holdings PLC, 7/1/04(d)(f)....... 361,250
---------
UNITED STATES - 22.96%
1,000,000 American Communication Services,
4/01/06(c)(d)(f).......................... 527,500
95,000 Barlow International Investments 7.00%,
9/20/04................................... 142,381
500,000 Dominion Textile USA 9.25%, 4/01/06........ 502,500
500,000 Giant Industries 9.75%, 11/15/03........... 507,500
250,000 Ivac Corporation 9.25%, 12/01/02........... 256,250
1,000,000 Pricellular, 10/01/03(d)(f)................ 795,000
500,000 Schuller International Group 10.875%,
12/15/04.................................. 546,250
500,000 Tenet Healthcare 8.625%, 12/01/03.......... 516,250
250,000 United Meridian 10.375%, 10/15/05.......... 265,000
500,000 Vintage Petroleum 9.00%, 12/15/05.......... 487,500
---------
4,546,131
---------
TOTAL CORPORATE DEBENTURES
(Cost $11,462,316)....................................... $ 11,975,700
---------
GOVERNMENT BONDS - 31.97%
ARGENTINA - 9.37%
1,750,000 Argentina Par Series L-GL 6.562%,
3/31/23(a)................................ 1,125,469
1,400,000 Argentina Par Series L-GP 5.25%,
3/31/23(a)................................ 728,875
---------
1,854,344
---------

<CAPTION>
PRINCIPAL
AMOUNT DESCRIPTION VALUE
- ----------- ------------------------------------------- ------------
<C> <S> <C>
BRAZIL - 12.11%
$ 590,552 Brazil C 8.00%, 4/15/14.................... $ 347,687
1,273,452 Brazil C Series L 8.00%, 4/15/14........... 749,744
1,000,000 Brazil DCB Series L 6.875%, 4/15/12(a)..... 620,000
1,000,000 Brazil New Money Bond 6.875%, 4/15/09(a)... 680,000
---------
2,397,431
---------
MEXICO - 1.61%
500,000 Mexico Par Series B 6.25%, 12/31/19........ 318,438
---------
MOROCCO - 2.82%
800,000 Morocco Reconstruction & Consolidation
Agreement Ser A 6.593%, 1/1/09(a)......... 558,000
---------
PANAMA - 2.88%
700,000 Panama Refinance Loan 7.01%,(e)............ 570,500
---------
POLAND - 3.18%
275,000 Poland Discount 6.875%, 10/27/24(a)........ 243,375
145,000 Poland Series PDI 3.75%, 10/27/14(a)....... 109,838
521,000 Poland Series RSTA 2.75%, 10/27/24(a)...... 276,781
---------
629,994
---------
TOTAL GOVERNMENT BONDS
(Cost $5,852,589)........................................ $ 6,328,707
---------
<CAPTION>
SHARES
- -----------
<C> <S> <C>
PREFERRED STOCKS - 4.64%
SOUTH AFRICA - 4.64%
24,185 Bidvest Group Limited...................... 157,992
2,180 City Lodge Hotels Limited.................. 19,719
46,135 Fedsure Holdings Limited................... 368,037
11,450 South African Breweries, Class B........... 373,995
TOTAL PREFERRED STOCKS
(Cost $779,795).......................................... $ 919,743
---------
</TABLE>

See Notes to Financial Statements on Pages 48 - 50

31
<PAGE> 32

<TABLE>
<CAPTION>
SHARES DESCRIPTION VALUE
- ----------- ------------------------------------------- ------------
<C> <S> <C>
COMMON STOCK - 0.02%
SOUTH AFRICAN - 0.02%
115 South African Breweries (Cost $3,481)...... $ 3,640
---------
OTHER SECURITIES - 0.01%
UNITED STATES - 0.01%
500 IHF Holdings-Warrants Series I Expire
11/14/99 (Cost $0)........................ 1,500
---------
TOTAL INVESTMENTS
(Cost $18,098,181) - 97.14%.............................. 19,229,290
Other Assets in Excess of Liabilities - $2.86%............ 566,761
----------
NET ASSETS - 100.00%...................................... $ 19,796,051
==========
</TABLE>

- ------------------
(a) Floating Rate Security.
(b) Purchased at Deep Discount.
(c) Securities exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers. At the period end,
the value of these securities amounted to $2,005,625 or 10.13% of net
assets.
(d) Debt obligations initially issued in zero coupon form which converts to
coupon form at specified rate and date.
(e) Non-Income Producing Security.
(f) Zero coupon.

- --------------------------------------------------------------------------------
Intermediate Tax Free Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 1996 (unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT DESCRIPTION VALUE
- ----------- ------------------------------------------- ------------
<C> <S> <C>
ARIZONA - 7.22%
$ 440,000 Arizona State Transportation Board Excise
Tax Revenue, Maricopa County, 5.60%,
7/1/03.................................... $ 462,004
1,080,000 Phoenix Arizona Series C, 6.375%, 7/1/02... 1,184,317
---------
1,646,321
---------
CALIFORNIA - 9.05%
1,000,000 California State, 6.20%, 11/1/02........... 1,082,040
1,000,000 California State Public Works Board Lease
Revenue, 5.20%, 12/1/09................... 980,480
---------
2,062,520
---------
CONNECTICUT - 3.63%
500,000 Connecticut State Special Tax Obligatory
Revenue, Transportation Infrastructure
Series B, 5.90%, 09/1/05.................. 533,965
275,000 Connecticut State Special Tax Obligatory
Revenue, Transportation Series A, 6.75%,
2/15/99................................... 293,744
---------
827,709
---------
DELAWARE - 2.45%
520,000 Delaware Transportation Authority, 6.10%,
7/1/02.................................... 557,419
---------

<CAPTION>
PRINCIPAL
AMOUNT DESCRIPTION VALUE
- ----------- ------------------------------------------- ------------
<C> <S> <C>
FLORIDA - 3.34%
$ 550,000 Dade County Florida Aviation Revenue
Reference Series E, 5.40%, 10/01/07....... $ 561,105
200,000 Pinellas County Florida Health Facilities
Authority Revenue, Variable Rate Daily
Demand Note, 12/1/15...................... 200,000
---------
761,105
---------
ILLINOIS - 4.58%
1,000,000 Illinois State Sales Tax Series Q, 6.00%,
6/15/12................................... 1,043,780
---------
INDIANA - 1.43%
300,000 Indiana University Revenue, Student Fees
Series H, 6.60%, 8/1/01................... 326,910
---------
MASSACHUSETTS - 4.37%
1,000,000 Massachusetts Municipal Wholesale Electric
Company Power Supply System Revenue Series
A, 5.10%, 07/1/06......................... 996,370
---------
MICHIGAN - 3.26%
500,000 Michigan State Building Authority Series I,
6.00%, 10/1/02+........................... 535,925
200,000 Michigan State Housing Development
Authority Single Family Mortgage Revenue
Series B, 6.30%, 12/1/03.................. 207,480
---------
743,405
---------
</TABLE>

See Notes to Financial Statements on Pages 48 - 50

32
<PAGE> 33

- --------------------------------------------------------------------------------
Intermediate Tax Free Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 1996 (unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT DESCRIPTION VALUE
- ----------- ------------------------------------------- ------------
<C> <S> <C>
NEBRASKA - 1.36%
$ 300,000 Nebraska Public Power District Revenue,
5.70%, 1/1/05............................. $ 311,163
---------
NEVADA - 2.31%
500,000 Clark County, Nevada, 5.70%, 7/1/03+....... 525,850
---------
NEW JERSEY - 1.03%
225,000 New Jersey State Turnpike Authority Series
A, 6.00%, 1/1/05.......................... 233,802
---------
NEW YORK - 22.88%
100,000 New York City, New York G.O., Series B,
Variable Rate Daily Demand Note,
10/1/20................................... 100,000
100,000 New York City, New York G.O., Series B,
Variable Rate Daily Demand Note,
10/1/22................................... 100,000
100,000 New York City, New York G.O., Subseries A-
4, Variable Rate Daily Demand Note,
8/1/22.................................... 100,000
200,000 New York City, New York G.O., Subseries A-
8, Variable Rate Daily Demand Note,
8/1/18.................................... 200,000
200,000 New York City, New York G.O., Subseries B-
2, Variable Rate Daily Demand Note,
8/15/21................................... 200,000
1,000,000 New York State Environmental Facility
Corporation Pollution Control Revenue,
5.75%, 6/15/10............................ 1,025,830
1,000,000 New York State G.O., Series B, 5.50%,
08/15/06.................................. 1,022,550
1,000,000 Oyster Bay New York, 5.00%, 02/15/09....... 976,300
600,000 Suffolk County New York Industrial
Development Agency, Revenue, Variable Rate
Daily Demand Note, 1/1/98................. 600,000

<CAPTION>
PRINCIPAL
AMOUNT DESCRIPTION VALUE
- ----------- ------------------------------------------- ------------
<C> <S> <C>
$ 900,000 Triborough Bridge and Tunnel Authority New
York Revenue General Purpose Series A,
5.00%, 1/1/07............................. $ 889,254
---------
5,213,934
---------
OHIO - 6.98%
500,000 Cuyahoga County Ohio Hospital Revenue,
University Hospital Cleveland, Variable
Rate Daily Demand Note, 1/1/16............ 500,000
1,000,000 Ohio State Building Authority Series A,
6.50%, 10/1/01............................ 1,090,220
---------
1,590,220
---------
TEXAS - 6.94%
175,000 Garland, Texas Independent School District,
Series A, 6.40%, 2/15/98.................. 178,868
500,000 Texas State G.O. Series A, 6.00%,
10/01/06.................................. 539,415
300,000 Texas Water Reserve Finance Authority
Revenue, 7.30%, 8/15/04................... 319,338
500,000 University of Texas, 6.50%, 8/15/01........ 544,400
---------
1,582,021
---------
WISCONSIN - 5.14%
1,000,000 Wisconsin State Series 2, 5.125%, 11/1/11.. 960,420
200,000 Wisconsin State Transportation Revenue
Series A, 6.00%, 7/1/00................... 211,208
---------
1,171,628
---------
TOTAL INVESTMENTS
(Cost $18,847,739) - 85.97%.............................. 19,594,157
Other Assets in Excess of Liabilities - 14.03%............ 3,196,609
----------
NET ASSETS - 100.00%...................................... $ 22,790,766
==========
</TABLE>

- ------------------
+ Insured by American Municipal Bond Assurance Corporation ("AMBAC")

<CAPTION>
SHARES DESCRIPTION VALUE
- ----------- ------------------------------------------ -------------
<C> <S> <C>
AUSTRIA - 0.33%
8,835 Mayr-Melnhof Karton (Materials)........... $ 386,343
----------
DENMARK - 1.43%
32,500 Tele Danmark, Cl. B (Utilities)........... 1,693,837
----------
</TABLE>

See Notes to Financial Statements on Pages 48 - 50

33
<PAGE> 34

- --------------------------------------------------------------------------------
International Equity Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 1996 (unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES DESCRIPTION VALUE
- ----------- ------------------------------------------ -------------
<C> <S> <C>
FINLAND - 4.12%
67,400 KCI Konecranes International Corp.
(Capital Equipment)...................... $ 1,192,689
87,000 Kymmene OY (Materials).................... 2,421,934
36,800 Nokia Corp. (Consumer Goods).............. 1,260,400
----------
4,875,023
----------
FRANCE - 10.08%
24,000 Assurances Generales de France
(Finance)................................ 667,329
7,000 Chargeurs SA (Diversified)................ 1,792,056
7,650 Christian Dior (Consumer Goods)........... 1,019,494
8,609 Club Mediterranee (Services)(a)........... 837,817
6,000 Compagnie Generale des Eaux
(Diversified)............................ 613,704
18,200 Lyonnaise des Eaux-Dumez (Diversified).... 1,702,522
29,800 SGS-Thomson Microelectronics N.V.
(Consumer Goods)(a)...................... 1,080,250
3,500 Skis Rossignol SA (Consumer Goods)........ 1,258,193
3,415 Taittinger (Consumer Goods)............... 1,149,637
26,800 Total Petroleum, Cl. B (Energy)........... 1,809,732
----------
11,930,734
----------
GERMANY - 5.75%
39,000 Adidas AG (Consumer Goods)(a)(c).......... 2,879,301
6,500 Berliner Kraft & Licht (Utilities)........ 1,794,060
6,100 Volkswagen AG (Consumer Goods)............ 2,131,942
----------
6,805,303
----------
HONG KONG - 7.13%
797,000 CDL Hotels International (Services)....... 479,251
127,000 Cheung Kong Holdings, Ltd. (Finance)...... 895,060
500,000 First Pacific Co. (Diversified)(c)........ 711,238
708,000 Founder Hong Kong (Services)(a)........... 254,067
537,000 Guangnan Holdings, Ltd. (Services)........ 288,187
770,000 Goldlion Holdings, Ltd. (Consumer Goods).. 617,354
208,000 Guoco Group (Finance)..................... 1,145,843
372,000 Hutchison Whampoa (Diversified)........... 2,347,549
133,000 Jardine Matheson Holdings (Diversified)... 1,037,400
2,524,000 Tingyi Holdings (Consumer Goods)(a)....... 660,947
----------
8,436,896
----------
INDIA - 0.43%
42,000 Steel Authority of India (Materials)...... 509,250
----------
INDONESIA - 1.15%
273,500 Bank Dagang Nasional PT (Finance)......... 236,885
217,500 Bukaka Teknik Utama PT (Capital
Equipment)(a)............................ 367,462
357,000 Citra Marga Nusaphala Persada PT (Capital
Equipment)............................... 461,901
234,000 Steady Safe PT (Transportation)........... 292,750
----------
1,358,998
----------

<CAPTION>
SHARES DESCRIPTION VALUE
- ----------- ------------------------------------------ -------------
<C> <S> <C>
IRELAND - 2.32%
154,100 Bank of Ireland (Finance)................. $ 1,012,219
197,300 CRH PLC (Materials)....................... 1,731,083
----------
2,743,302
----------
ITALY - 4.66%
75,000 Bulgari S.P.A. (Consumer Goods)(a)........ 941,218
1,220,000 Credito Italiano (Finance)................ 1,305,665
850,000 Parmalat Finanziaria S.P.A. (Finance)..... 780,813
54,000 Safilo S.P.A. (Consumer Goods)............ 1,135,194
486,700 Societa Finanziaria Telefonica
(Services)............................... 1,350,243
----------
5,513,133
----------
JAPAN - 19.07%
92,600 AJL Peps Trust (Consumer Goods)........... 2,060,350
68,000 Canon Inc. (Capital Equipment)............ 1,298,876
101,000 Daimaru Inc. (Services)................... 719,672
280 East Japan Railway Co. (Transportation)... 1,441,948
163,000 Hitachi (Capital Equipment)............... 1,587,266
58,000 Jusco Co. (Services)...................... 1,515,169
9,900 Kurita Water Industries (Capital
Equipment)............................... 229,888
204,000 Mitsubishi Electric Corp. (Capital
Equipment)............................... 1,520,449
53,000 Mitsubishi Esate Co. (Finance)(a)......... 729,494
237,000 Mitsubishi Heavy Industrial (Capital
Equipment)............................... 2,050,450
200,000 Obayashi Corp. (Capital Equipment)........ 1,719,101
75,000 Sankyo Co. (Health & Personal)............ 1,720,506
30,000 Sony Corporation (Consumer Goods)......... 1,794,944
53,000 Sumitomo Realty & Development (Finance)... 407,425
253,000 Toshiba Corp. (Capital Equipment)......... 1,923,558
83,000 Toyota Motor Co. (Consumer Goods)......... 1,834,082
----------
22,553,178
----------
MALAYSIA - 2.51%
100,000 Commerce Asset Holdings (Finance)......... 573,463
76,000 Edaran Otomobil Nasional (Consumer
Goods)................................... 682,302
97,000 Jaya Tiasa Holdings (Materials)........... 621,475
188,000 Leader Universal Holdings (Diversified)... 535,337
127,000 Sungei Way Holdings (Diversified)......... 552,501
----------
2,965,078
----------
NETHERLANDS - 6.73%
14,000 Hunter Douglas N.V. (Materials)........... 948,865
38,900 Internationale Nederlanden Group
(Finance)................................ 2,824,811
57,200 KLM Royal Dutch Airlines
(Transportation)......................... 1,990,318
60,300 Philips Electronics (Consumer Goods)...... 2,193,059
----------
7,957,053
----------
NORWAY - 2.00%
275,000 Christiania Bank OG Kreditkasse
(Finance)................................ 638,926
39,600 Norsk Hydro (Energy)...................... 1,725,874
----------
2,364,800
----------
</TABLE>

See Notes to Financial Statements on Pages 48 - 50

34
<PAGE> 35

- --------------------------------------------------------------------------------
International Equity Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 1996 (unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES DESCRIPTION VALUE
- ----------- ------------------------------------------ -------------
<C> <S> <C>
PHILIPPINES - 1.77%
164,000 Fil-Estate Land, Inc. (Finance)(a)........ $ 136,249
1,536,000 Fortune Cement (Materials)(a)............. 718,716
1,194,000 Mondragon International Philippines
(Consumer Goods)(a)...................... 684,110
1,128,000 Universal Robina Corp. (Consumer Goods)... 549,351
----------
2,088,426
----------
SINGAPORE - 0.86%
86,000 Far East Levingston Shipbuilding Ltd.
(Capital Equipment)...................... 479,645
73,000 Singapore Land (Finance).................. 534,209
----------
1,013,854
----------
SOUTH AFRICA - 2.52%
80,000 Fedsure Holdings Limited (Finance)(c)..... 608,300
14,440 Libery Life Association of Africa
(Services)(a)............................ 453,711
32,100 Metro Cash and Carry Limited
(Services)(c)............................ 549,713
86,600 Nampak Limited (Consumer Goods)........... 424,478
9,000 Pretoria Portland Cement Co.
(Materials).............................. 199,080
38,000 Reunert Limited (Electrical Equipment).... 214,916
16,000 South African Breweries (Diversified)..... 530,880
----------
2,981,078
----------
SPAIN - 4.81%
88,990 Autopistas Concesionaria Espanola S.A.
(Diversified)............................ 903,379
9,635 Banco Popular Espanol (Finance)........... 1,664,312
16,324 Fomento de Construcciones y Contratas
(Capital Equipment)...................... 1,459,849
180,100 Iberdrola S.A. (Utilities)................ 1,661,412
----------
5,688,952
----------
SWEDEN - 4.25%
54,100 Astra AB, Series A (Health & Personal).... 2,505,192
79,000 Nordbanken AB (Finance)................... 1,306,088
37,400 Svedala Industries (Capital Equipment).... 1,219,863
----------
5,031,143
----------
SWITZERLAND - 2.67%
1,791 BBC Brown Boveri & Cie, Cl. A (Capital
Equipment)............................... 2,177,064
794 Ciba-Geigy AG, Cl. B (Consumer Goods)..... 983,829
----------
3,160,893
----------
THAILAND - 1.24%
44,300 Central Pattana Public Co.
(Materials)(a)........................... 166,805
59,000 PTT Exploration & Production (Energy)(a).. 748,316
116,500 Thai Military Bank (Finance).............. 549,485
----------
1,464,606
----------
UNITED KINGDOM - 6.75%
692,500 Iceland Group (Services).................. 1,606,794
560,700 Lonrho (Diversified)...................... 1,835,924
61,000 National Power (Partially Paid)
(Utilities).............................. 312,871
25,500 Orange PLC, ADR (Services)(a)............. 436,688

<CAPTION>
SHARES DESCRIPTION VALUE
- ----------- ------------------------------------------ -------------
<C> <S> <C>
350,000 Orange PLC (Services)(a).................. $ 1,183,419
65,000 Powergen (Installment Shares)
(Utilities).............................. 390,937
427,100 Storehouse (Services)..................... 2,223,211
----------
7,989,844
----------
VENEZUELA - 0.80%
822,688 Electricidad de Caracas (Utilities)....... 553,954
103,935 Mavesa SA, ADR (Consumer Goods)(c)........ 389,756
----------
943,710
----------
OTHER - 0.77%
63,500 Latin American Equity Fund
(Diversified)............................ 912,813
----------
TOTAL COMMON STOCKS
(Cost $99,427,680)...................................... $ 114,627,704
-----------
<CAPTION>
PRINCIPAL
AMOUNT DESCRIPTION VALUE
- ----------- ------------------------------------------ -------------
<C> <S> <C>
CORPORATE DEBT CONVERTIBLE - 0.46%
SOUTH AFRICA - 0.46%
$ 500,000 Investec O/S Finance BVI, 6.375%, 11/30/02
(Finance) (Cost $577,493)................ $ 539,375
----------
CORPORATE DEBT NON-CONVERTIBLE - 1.70%
SOUTH AFRICA - 1.70%
$ 1,500,000 Liberty Life International, 6.50%, 9/30/04
(Finance) (Cost $1,783,228).............. 2,016,562
----------
SHORT-TERM INVESTMENTS - 3.51%
$ 4,200,000 U.S. Treasury Bills
5.15%, 6/20/96 (amortized cost
$4,153,690).............................. 4,153,800
----------
TOTAL INVESTMENTS
(Cost $105,942,091) - 102.58%........................... 121,337,441
Liabilities in Excess of Other Assets - (2.58%).......... (3,056,305)
-----------
NET ASSETS - 100.00%..................................... $ 118,281,136
===========
</TABLE>

- ------------------
(a) Non-Income Producing Security
(b) Industry Diversification (as a percentage of Total Value of Investments):

<TABLE>
<S> <C>
Capital Equipment............................. 15.05%
Consumer Goods................................ 21.20%
Diversified................................... 11.11%
Electrical Equipment.......................... 0.18%
Energy........................................ 3.53%
Finance....................................... 16.53%
Health & Personal............................. 3.48%
Materials..................................... 6.35%
Services...................................... 10.80%
Transportation................................ 3.07%
Utilities..................................... 5.28%
U.S. Treasury Bills........................... 3.42%
-------
100.00%
-------
</TABLE>

(c) Security exempt from registration under Rule 144A of the Securities Act of
1933. These Securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers. At the period end,
the value of these securities amounted to $5,138,308 or 4.34% of net assets.

See Notes to Financial Statements on Pages 48 - 50

35
<PAGE> 36

- --------------------------------------------------------------------------------
Latin American Equity Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 1996 (unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- ----------- ------------------------------------------- ------------
<C> <S> <C>
COMMON STOCKS - 73.19%
ARGENTINA - 15.69%
15,900 Banco del Sudsa S.A. Cl 'B'(Banks)......... $ 135,164
15,287 Banco Frances del Rio de la Plata SP, ADR
(Banks)................................... 418,482
40,700 Compania Interamericana de Automotive (Auto
Related)(a)............................... 187,239
6,400 Inversiones Y Representaciones IRSA (Real
Estate)................................... 180,000
36,000 Irsa Inversiones y Representaciones (Real
Estate)................................... 100,810
68,938 Juan Minetti (Building & Construction)..... 255,096
71,512 Mirgor Sacifia, ADR (Materials)(b)......... 212,748
69,571 Perez Companc S.A. (Oil & Gas)............. 393,811
15,000 Quilmes Industrial Quins, ADR (Beverages).. 161,250
11,800 Telefonica de Argentina S.A. ADR
(Utility)................................. 302,375
---------
2,346,975
---------
BRAZIL - 8.33%
1,641,059 Centrais Eletricas Brasileiras S.A.
Electrobras (Utility)..................... 428,687
50,773 Compania Siderurgica Paulista Series 'B'
(Steel)(a)................................ 69,401
2,429,365 Lojas Americanas (Retail).................. 51,655
5,896,500 Telec Brasileiras-Telebras 'ON'
(Telecommunications)...................... 233,436
7,900 Telecommunicacoes Brasileiras S.A. Telebras
ADR (Telecommunications).................. 393,025
6,500 Usiminas, ADR (Steel)(b)................... 69,843
---------
1,246,047
---------
CHILE - 7.11%
10,744 Chile Fund (Diversified)................... 249,798
10,056 Chilgener S.A. ADR (Utility)............... 233,802
2,506 Comapania Telefonica de Chile S.A., ADR
(Telecommunications)...................... 212,383
6,859 Empresa Nacional Electricidad S.A.
(Utility)................................. 132,036
9,450 Madeco S.A., ADR (Metal Fabrication &
Hardware)................................. 236,250
---------
1,064,269
---------
COLOMBIA - 4.61%
20,000 Banco de Columbia GDR (Banks).............. 150,000
16,000 Carulla CIA S.A., ADR, Cl 'B'
(Retail)(b)............................... 106,000
14,100 Cementos Diamante S.A., ADR, Cl 'B'
(Building & Construction)(b).............. 218,550
14,794 Gran Cadena de Almacenes Columbiano, ADR
(Banks)................................... 214,513
---------
689,063
---------
MEXICO - 28.29%
97,500 Cemex S.A. de CV, Cl 'B' (Building &
Construction)............................. 375,748
24 Controladora de Farmacia (Retail).......... 19

<CAPTION>
SHARES SECURITY VALUE
- ----------- ------------------------------------------- ------------
<C> <S> <C>
103,200 Corporacion GEO S.A. de CV Ser 'B'
(Building & Construction)................. $ 351,086
36,200 Corporacion Industrial SanLuis S.A. de CV
(Auto Related)............................ 195,552
92,300 Formento Economico Mexicano S.A. de CV
(Beverages)............................... 266,167
120,519 Gruma S.A. Cl 'B' (Diversified)(a)......... 427,622
33,698 Grupo Carso S.A. de CV, Cl
'A1'(Diversified)(a)...................... 262,419
1,038,000 Grupo Financiero Bancomer S.A. de CV
(Finance)................................. 417,959
290,400 Grupo Financiero Banorte, Cl
'B'(Banks)(a)............................. 362,759
13,000 Grupo Televisa S.A. GDR (Radio-TV)......... 323,375
5,391 Panamerican Beverages ADR, Cl
'A'(Beverages)............................ 217,662
27,500 Sigma Alimentos S.A. Series 'BCP'
(Beverages)............................... 186,379
175,000 Telefonos de Mexico S.A., Cl 'L'
(Telecommunications)...................... 290,698
16,860 Telefonos de Mexico S.A., ADR Cl 'L'
(Telecommunications)...................... 554,273
---------
4,231,718
---------
PERU - 3.50%
8,300 Compania de Minas Buenaventura S.A. 'C'
(Metals & Mining)......................... 62,581
7,367 Credicorp Limited (Banks).................. 132,606
92,000 La Fabril Pacifico S.A. (Diversified)(a)... 125,588
98,641 Telefonica del Peru, Cl 'B'
(Telecommunications)...................... 203,448
---------
524,223
---------
VENEZUELA - 5.66%
14,700 Banco Mercantil Series 'A-B' (Banks)....... 19,443
9,172 Banco Mercantil Series 'B' (Banks)......... 8,291
12,407 Banco Provincial (Banks)................... 15,042
2,419 Banco Venezolano de Credito Series 'A-B'
(Banks)................................... 62,535
130,423 Electricidad de Caracas (Utility).......... 87,820
67,867 Mavesa S.A., ADR (Consumer Goods).......... 254,501
42,200 Mavesa, ADR (Consumer Goods)(b)............ 158,250
50,000 Siderurgica Venezolana Sivensa, ADR
(Steel)................................... 106,500
45,000 Siderurgica Venezolana Sivensa, (Steel).... 20,291
758,716 Sudamtex (Textiles)........................ 65,380
334,950 Venaseta Cl 'A' (Finance).................. 16,110
66,990 Venaseta Cl 'B' (Finance).................. 3,088
10,000 Venezolana de Cementos (Building &
Construction)............................. 15,952
20,000 Venezolana Pulpa y Papel (Paper)........... 13,427
---------
846,630
---------
TOTAL COMMON STOCKS
(Cost $11,199,739)....................................... $ 10,948,925
---------
</TABLE>

See Notes to Financial Statements on Pages 48 - 50

36
<PAGE> 37

<CAPTION>
PRINCIPAL
AMOUNT SECURITY VALUE
- ----------- ------------------------------------------- ------------
<C> <S> <C>
SHORT-TERM INVESTMENTS - 7.17%
$1,085,000 U.S. Treasury Bills, 5.15%, 6/20/96,
(Cost $1,073,095)......................... $1,073,065
---------
<CAPTION>
SHARES SECURITY VALUE
- ----------- ------------------------------------------- ------------
<S> <C>
TOTAL INVESTMENTS
(Cost $15,092,320) - 98.25%.............................. $ 14,699,142
Other Assets Less Liabilities - 1.75%..................... 262,005
----------
NET ASSETS - 100.00%...................................... $ 14,961,147
----------
</TABLE>

- ------------------
(a) Non-Income Producing Security
(b) Security exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers. At March 31, 1996,
the value of these securities amounted to $765,391 or 5.12% of net assets.
Industry Diversification (as a percentage of Total Investments):

<TABLE>
<S> <C>
Auto Related.................................. 4.98%
Banks......................................... 15.33%
Beverages & Foods............................. 6.90%
Building & Construction....................... 8.28%
Consumer Goods................................ 5.74%
Diversified................................... 7.25%
Finance....................................... 2.97%
Oil & Gas..................................... 5.32%
Other......................................... 8.95%*
Radio & TV.................................... 2.20%
Steel......................................... 2.55%
Telecommunications............................ 13.57%
U.S. Government............................... 7.30%
Utilities..................................... 8.66%
------
100.00%
-------
</TABLE>

*No one industry represents more than 2% of Portfolio holdings.

<CAPTION>
SHARES DESCRIPTION VALUE
- ----------- ------------------------------------------- ------------
<C> <S> <C>
728,000 Goldlion Holdings, LTD (Consumer Goods).... $ 583,552
200 Hang Seng Bank (Banking)................... 2,043
588,000 HKR International, LTD (Real Estate)....... 638,577
704,000 Hopewell Holdings, LTD (Property
Infrastructure)........................... 409,583
19,400 HSBC Holdings (Banking).................... 290,948
45,000 Hutchinson Whampoa (Diversified)........... 283,915
34,000 New World Development (Real Estate)........ 158,248
866,000 NG Fung Hong (Foods)(a).................... 408,665
</TABLE>

See Notes to Financial Statements on Pages 48 - 50

37
<PAGE> 38

- --------------------------------------------------------------------------------
Pacific Basin Equity Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 1996 (unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES DESCRIPTION VALUE
- ----------- ------------------------------------------- ------------
<C> <S> <C>
252,000 Orient Overseas International, LTD
(Transportation-Shipping)................. $ 198,741
734,000 Qingling Motors (Auto & Trucks)............ 227,753
1,014,000 Regal Hotels International Holdings, LTD
(Hotels).................................. 250,396
333,000 Sinocan Holdings, LTD (Packaging &
Container)................................ 125,929
1,447,000 Siu Fung Ceramics Holdings
(Manufacturing)........................... 252,557
193,000 Wharf Holdings (Diversified)............... 728,613
---------
7,415,925
---------
INDIA - 2.34%
4,900 Bajaj Auto, LTD, GDR (Automotive)(a)....... 152,537
1,400 Core Healthcare, LTD, GDR (Health Care).... 3,325
1,800 Indian Hotels (Hotels)(a).................. 47,700
5,000 Indian Petrochemicals, GDR (Chemicals)..... 82,500
10,000 Larsen & Toubro (Manufacturing)(a)......... 157,500
23,000 Mahindra & Mahindra Limited, GDR
(Automotive)(a)(b)........................ 221,375
---------
664,937
---------
INDONESIA - 7.50%
55,000 Bank International Indonesia PT (Banking).. 231,715
34,000 Indonesian Satellite PT, ADR
(Telecommunications)...................... 116,702
45,500 Jaya Real Property PT (Real Estate)........ 144,012
42,000 Lippo Life Insurance PT (Insurance)(a)..... 185,030
32,500 Modern Photo Film PT (Photo & Optical)..... 176,540
375,665 Mulia Industrindo PT (Glass
Manufacturing)............................ 654,762
80,000 Semen Gresik PT (Building Materials)....... 283,148
158,000 Telekomunikasi PT
(Telecommunications)(a)................... 246,664
35,000 Tempo Scan Pacific PT (Pharmaceuticals).... 92,814
---------
2,131,387
---------
MALAYSIA - 19.64%
223,000 Commerce Asset Holdings Berhad (Banking)... 1,275,291
55,000 Gadek Berhad (Diversified)................. 295,011
36,666 Gadek Capital (Financial Services)(a)...... 40,491
68,000 Konsortuim Perkapalan Berhad
(Transportation-Shipping)(a).............. 236,009
72,000 Malaysian International Shipping
(Transportation-Shipping)................. 203,037
142,000 Rashid Hussain Berhad (Financial
Services)................................. 450,838
22,000 Sungel Way Holdings Bhd (Diversified)...... 95,445
212,000 Tanjong PLC (Gaming)....................... 785,959
249,000 Technology Resources Industries
(Telecommunications)(a)................... 893,670
189,000 United Engineers Berhad (Engineering &
Constructions)............................ 1,304,476
---------
5,580,227
---------

<CAPTION>
SHARES DESCRIPTION VALUE
- ----------- ------------------------------------------- ------------
<C> <S> <C>
PAKISTAN - 0.51%
22,100 Engro Chemical Pakistan, LTD (Chemicals)... $ 94,846
16,500 Karachi Electric Supply
(Utility-Electric)(a)..................... 13,875
4,100 Pakistan State Oil
(Oil-International)(a).................... 36,024
---------
144,745
---------
PHILIPPINES - 5.70%
2,436 Benpres Holdings, GDR (Diversified)(a)..... 15,834
85,100 C & P Homes (Construction)................. 64,199
1,233,100 Engineering & Equipment (Engineering &
Construction)............................. 87,607
270,000 Filinvest Development (Real Estate)(a)..... 195,951
140,000 International Container Terminal (Packaging
& Containers)(a).......................... 81,551
284,000 Marsman & Co., Cl. B. (Pharmaceuticals).... 170,855
98,400 Megaworld Properties & Holdings (Real
Estate)(a)................................ 55,439
12,120 Philippine Commercial International Bank
(Banking)(a).............................. 138,885
20,000 Philippine National Bank (Banking)(a)...... 261,650
124,729 Philippine Savings Bank (Banking).......... 245,361
263,000 Republic Glass (Wholesale
Distributor)(a)........................... 94,431
1,059,000 Southeast Asia Cement Holdings (Building
Material)(a).............................. 135,510
464,600 Vitarich Corp (Agriculture)................ 72,760
---------
1,620,033
---------
SINGAPORE - 11.43%
60,000 City Developments, LTD (Real Estate)....... 532,293
105,000 Overseas Chinese Banking (Banking)......... 1,408,446
118,000 Overseas Union Bank (Banking).............. 837,473
50,000 Parkway Holdings, LTD (Real Estate)........ 142,654
45,000 Singapore Land (Property Development)...... 328,957
---------
3,249,823
---------
SOUTH KOREA - 5.48%
12,820 Cho Hung Bank, LTD (Banking)............... 176,997
12,000 Commercial Bank of Korea (Banking)......... 134,228
3,340 Daehan City Gas (Utility).................. 268,993
8,201 Dong-Ah Construction Industrial
(Engineering & Construction).............. 308,949
8,400 Korea Housing Bank (Banking)(a)............ 230,872
1,540 Korea Mobile Telecom Corp
(Telecommunications)...................... 192,143
4,030 Korean Air Lines
(Transportation-Shipping)................. 136,070
28 Samsung Electronics New (Voting), GDS
(Electronics)(a)(b)....................... 1,613
279 Samsung Electronics (Voting), GDS
(Electronics)(a)(b)....................... 16,226
3,750 Shinhan Bank (Banking)..................... 91,642
---------
1,557,733
---------
</TABLE>

See Notes to Financial Statements on Pages 48 - 50

38
<PAGE> 39

<CAPTION>
SHARES DESCRIPTION VALUE
- ----------- ------------------------------------------- ------------
<S> <C>
THAILAND - 0.43%
27,000 Land & House Warrants (Real Estate)(a)..... $ 122,970
---------
TOTAL OTHER SECURITIES
(Cost $602,682).......................................... $ 610,519
---------
TOTAL INVESTMENTS
(Cost $25,194,870) - 94.28%.............................. $ 26,791,964
Other Assets in Excess of Liabilities - 5.72%............. 1,624,699
----------
NET ASSETS - 100.00%...................................... $ 28,416,663
==========
</TABLE>

- ------------------
(a) Non-Income Producing Security
(b) Security exempt from registration under Rule 144A of the Securities Act of
1933. These Securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers. At the period end,
the value of the securities amounted to $239,214 or 0.84% of net assets.
Industry Diversification (as a percentage of Total Investments):

<TABLE>
<S> <C>
Banking....................................... 25.29%
Building Materials............................ 3.54%
Diversified................................... 6.57%
Engineering & Construction.................... 7.56%
Financial Services............................ 5.55%
Other*........................................ 27.06%
Real Estate................................... 14.54%
Telecommunications............................ 6.27%
Transportation-Shipping....................... 3.62%
-------
100.00%
-------
</TABLE>

*No one industry represents more than 3% of Portfolio holdings

<CAPTION>
SHARES DESCRIPTION VALUE
- ----------- ------------------------------------------ -------------
<C> <S> <C>
CLIENT-SERVER COMPUTING - 11.14%
34,700 Business Objects S.A., ADR(a)............. $ 2,949,500
32,700 CBT Group PLC., ADR(a).................... 2,403,450
16,000 Citrix Systems Inc.(a).................... 708,000
27,100 Dialogic Corp.(a)......................... 1,144,975
49,100 Indus Group Inc.(a)....................... 957,450
65,000 Microcom Inc.(a).......................... 1,941,875
41,500 Network Appliance Inc.(a)................. 1,317,625
51,000 Network Equipment Technologies Inc.(a).... 1,549,125
149,500 PowerCerv Corp.(a)........................ 2,226,148
24,000 Prism Solutions Inc.(a)................... 636,000
93,900 Rational Software(a)...................... 3,709,050
</TABLE>

See Notes to Financial Statements on Pages 48 - 50

39
<PAGE> 40

- --------------------------------------------------------------------------------
Small Cap Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 1996 (unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES DESCRIPTION VALUE
- ----------- ------------------------------------------ -------------
<C> <S> <C>
37,900 Segue Software(a)......................... $ 795,900
52,700 Structural Dynamics Research(a)........... 1,778,625
39,500 Workgroup Technology Corp.(a)............. 854,187
----------
22,971,910
----------
FLOURISHING IN THE MANAGED CARE
ENVIRONMENT - 7.61%
36,800 CRA Managed Care(a)....................... 1,315,600
50,300 Henry Schein(a)........................... 1,471,275
42,900 MedPartners/Mullikin(a)................... 1,222,650
77,600 Multicare Companies Inc.(a)............... 2,201,900
40,400 NCS HealthCare Inc.(a).................... 989,800
65,200 OccuSystems(a)............................ 1,483,300
62,700 Pediatrix Medical Group(a)................ 2,225,850
84,300 Physician Reliance Network(a)............. 3,340,387
61,400 Renal Treatment Centers Inc.(a)........... 1,458,250
----------
15,709,012
----------
LIFE ON THE NET - 5.94%
10,200 Documentum(a)............................. 359,550
179,700 IDT Corp.(a).............................. 1,797,000
49,550 McAfee Associates(a)...................... 2,712,863
30,800 Security Dynamics Tech Inc.(a)............ 1,632,400
10,200 Shiva(a).................................. 925,650
39,400 TCSI Corp.(a)............................. 1,201,700
44,100 Transaction Systems Architects(a)......... 1,797,075
43,400 Verifone Inc.(a).......................... 1,822,800
----------
12,249,038
----------
LIFE SCIENCES REVOLUTION - 7.09%
29,100 Agouron Pharmaceuticals(a)................ 1,127,625
150,000 ChiRex Inc.(a)............................ 1,537,500
50,000 Endovascular Technologies(a).............. 500,000
69,600 Isls Pharmaceuticals(a)................... 809,100
66,500 Martek Biosciences Corp.(a)............... 2,394,000
28,600 NeoPath(a)................................ 664,950
72,400 Neurogen(a)............................... 2,497,800
48,200 NeXstar Pharmaceuticals(a)................ 951,950
70,000 Protein Design Labs Inc.(a)............... 1,723,750
55,800 Sequus Pharmaceuticals(a)................. 770,737
62,400 Vertex Pharmaceuticals(a)................. 1,653,600
----------
14,631,012
----------
MANAGING THE INFORMATION AGE - 8.85%
40,700 Atria Software Inc.(a).................... 2,228,325
126,100 Cheyenne Software(a)...................... 1,986,075
65,600 DSP Communications(a)..................... 1,640,000
33,900 FileNet Corp.(a).......................... 1,957,725
42,000 Imnet Systems(a).......................... 1,270,500
20,000 IntelliQuest Information Group(a)......... 550,000
90,900 National Data Corp. ...................... 3,101,963
20,000 Raptor Systems Inc.(a).................... 597,500
15,000 Red Brick Systems Inc.(a)................. 645,000
39,400 Sitel(a).................................. 1,782,850

<CAPTION>
SHARES DESCRIPTION VALUE
- ----------- ------------------------------------------ -------------
<C> <S> <C>
144,000 Triple P.N.V.(a).......................... $ 1,620,000
31,200 Visio(a).................................. 873,600
----------
18,253,538
----------
MOVE TO OUTSOURCING - 8.54%
123,000 Accustaff(a).............................. 3,105,750
75,400 Career Horizons(a)........................ 2,243,150
63,000 Corestaff(a).............................. 1,921,500
49,100 Data Processing Resources(a).............. 1,350,250
61,200 HealthPlan Services(a).................... 1,399,950
50,600 HPR Inc.(a)............................... 1,954,425
20,300 Interim Services Inc.(a).................. 776,475
44,000 MSC Industrial Direct Co.(a).............. 1,270,500
32,100 Pharmaceutical Product Development(a)..... 1,131,525
28,600 Quintiles Transnational Corp.(a).......... 1,859,000
46,000 Superior Services Inc.(a)................. 609,500
----------
17,622,025
----------
NEW CONSUMER - 4.60%
72,500 Authentic Fitness......................... 1,875,939
57,600 Blyth Industries(a)....................... 1,915,200
35,600 Gucci Group(a)............................ 1,708,800
37,300 Mossimo Inc.(a)........................... 1,207,588
36,000 Nautica Enterprises Inc.(a)............... 1,719,000
23,000 West Maine Inc.(a)........................ 1,069,500
----------
9,496,027
----------
NEW HEALTH CARE PARADIGM - 9.84%
55,900 ALPHARMA Inc.............................. 1,299,675
22,000 ABR Information Services Inc.(a).......... 1,023,000
26,400 American Homepatient Inc.(a).............. 1,036,200
22,300 Amerisource Health Corp. Cl. A(a)......... 735,900
58,400 Gulf South Medical Supply(a).............. 2,204,600
103,900 Mariner Health Group(a)................... 1,714,350
37,800 Neuromedical Systems Inc.(a).............. 822,150
78,600 Owen Healthcare Inc.(a)................... 1,837,275
61,200 Physician Sales & Service(a).............. 1,514,700
36,200 Physician Support Systems(a).............. 619,925
5,300 Respironics Inc.(a)....................... 111,300
75,300 Rexall Sundown Inc.(a).................... 2,268,412
22,800 RoTech Medical Corp.(a)................... 843,600
59,200 Sofamor/Danek Group(a).................... 2,005,400
25,000 Summit Medical Systems(a)................. 487,500
56,900 Total Renal Care Holdings(a).............. 1,771,012
----------
20,294,999
----------
PRODUCTIVITY ENHANCEMENT - 4.81%
5,800 CKS Group Inc.(a)......................... 147,900
40,000 Engineering Animation(a).................. 835,000
63,000 HMT Technology Corp.(a)................... 657,562
69,700 Inso Corp.(a)............................. 3,214,913
157,500 OrCad Inc.(a)............................. 1,850,625
17,200 Quick Response Services Inc.(a)........... 442,900
103,500 Saville Systems PLC.(a)................... 1,953,563
42,400 Xelikon N.V., ADR(a)...................... 821,500
----------
9,923,963
----------
</TABLE>

See Notes to Financial Statements on Pages 48 - 50

40
<PAGE> 41

<TABLE>
<CAPTION>
SHARES DESCRIPTION VALUE
- ----------- ------------------------------------------ -------------
<C> <S> <C>
STORES OF VALUE - 4.31%
74,400 Dollar Tree Stores Inc.(a)................ $ 3,273,600
52,700 Just For Feet(a).......................... 2,193,638
39,800 Sunglass Hut International(a)............. 1,318,375
68,000 US Office Products(a)..................... 2,108,000
----------
8,893,613
----------
TELECOMMUNICATIONS - 7.87%
53,800 APAC Teleservices(a)...................... 3,833,250
40,400 Aspect Telecommunication(a)............... 1,848,300
56,700 CIDCO Inc.(a)............................. 1,828,575
41,000 Colonial Data Technologies(a)............. 907,125
56,500 CSG Systems International Inc.(a)......... 1,299,500
120,300 IntelCom Group(a)......................... 2,135,325
43,400 Level One Communications Inc.(a).......... 1,204,350
18,000 Teltrend Inc.(a).......................... 819,000
63,600 TresCom International(a).................. 938,100
38,400 Westell Technologies(a)................... 1,420,800
----------
16,234,325
----------
THE GREYING OF AMERICA - 2.72%
30,000 ESC Medical Systems Ltd.(a)............... 1,035,000
45,700 Genesis Health Ventures Inc.(a)........... 1,845,137
73,400 Living Centers of America(a).............. 2,734,150
----------
5,614,287
----------
TOTAL COMMON STOCKS
(Cost $141,170,594)..................................... $185,120,855
----------
</TABLE>

<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT DESCRIPTION VALUE
- ----------- ------------------------------------------ -------------
<S> <C>
U.S. TREASURY BILLS - 10.59%
$ 8,350,000 5.76%, 4/04/96............................ $ 8,346,595
2,445,000 5.01%, 4/18/96............................ 2,439,330
4,225,000 5.20%, 5/16/96............................ 4,198,560
6,935,000 5.15%, 6/20/96............................ 6,858,715
----------
TOTAL U.S. TREASURY BILLS
(Amortized Cost $21,843,226)............................ $ 21,843,200
----------
TOTAL INVESTMENTS
(Cost $163,013,820) - 100.32%........................... $ 206,964,055
Liabilities in Excess of Other Assets - (0.32)%.......... (667,611)
-----------
NET ASSETS - 100.00%..................................... $ 206,296,444
===========
</TABLE>

- ------------------
(a) Non-Income Producing Securities

See Notes to Financial Statements on Pages 48 - 50

41
<PAGE> 42

- --------------------------------------------------------------------------------
BT Portfolios
STATEMENTS OF ASSETS AND LIABILITIES March 31, 1996 (unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
GLOBAL HIGH LATIN
CAPITAL YIELD INTERMEDIATE INTERNATIONAL AMERICAN
APPRECIATION SECURITIES TAX FREE EQUITY EQUITY
------------ ----------- ------------ ------------- -----------
<S> <C> <C> <C> <C> <C>
ASSETS
Investments, at Value+.......................... $197,485,269 $19,229,290 $ 19,594,157 $ 121,337,441 $14,699,142
Cash++.......................................... -- 454,149 38,835 39,147 26,582
Receivable for Securities Sold.................. 3,669,701 1,545,903 2,850,349 1,058,112 586,302
Dividends and Interest Receivable............... 6,319 409,534 310,409 348,797 37,362
Receivable for Foreign Taxes Withheld........... -- -- -- 100,262 --
Net Unrealized Appreciation on Forward Currency
Contracts...................................... -- -- -- 24,156 --
Prepaid Expenses and Other...................... 738 113 110 409 67
Due from Bankers Trust.......................... -- -- 14,485 -- 1,415
------------ ----------- ----------- ------------ -----------
Total Assets....................................... 201,162,027 21,638,989 22,808,345 122,908,324 15,350,870
------------ ----------- ----------- ------------ -----------
LIABILITIES
Due to Bankers Trust............................ 86,252 14,905 -- 53,414 42,449
Due to Custodian................................ 3,952 913,650 -- -- --
Payable for Securities Purchased................ 11,628,216 899,509 -- 4,558,261 322,698
Net Unrealized Depreciation on Forward Currency
Contracts...................................... -- -- -- -- --
Accrued Expenses and Other...................... 16,693 14,874 17,579 15,513 24,577
------------ ----------- ----------- ------------ -----------
Total Liabilities.................................. 11,735,113 1,842,938 17,579 4,627,188 389,724
------------ ----------- ----------- ------------ -----------
NET ASSETS......................................... $189,426,914 $19,796,051 $ 22,790,766 $ 118,281,136 $14,961,146
============ =========== =========== ============ ===========
COMPOSITION OF NET ASSETS
Paid-in Capital................................. $172,833,659 $18,670,897 $ 22,044,349 $ 102,905,836 $15,358,688
Net Unrealized Appreciation (Depreciation) on
Investments, Foreign Currencies and Forward
Currency Contracts............................. 16,593,255 1,125,154 746,417 15,375,300 (397,542)
------------ ----------- ----------- ------------ -----------
NET ASSETS, MARCH 31, 1996......................... $189,426,914 $19,796,051 $ 22,790,766 $ 118,281,136 $14,961,146
============ =========== =========== ============ ===========

<CAPTION>
PACIFIC
BASIN
EQUITY SMALL CAP
------------ ------------
<S> <C> <C>
ASSETS
Investments, at Value+.......................... $ 26,791,964 $206,964,055
Cash++.......................................... 1,328,888 626,749
Receivable for Securities Sold.................. 659,540 1,505,247
Dividends and Interest Receivable............... 29,678 713
Receivable for Foreign Taxes Withheld........... -- --
Net Unrealized Appreciation on Forward Currency
Contracts...................................... -- --
Prepaid Expenses and Other...................... 121 606
Due from Bankers Trust.......................... -- --
----------- -----------
Total Assets....................................... 28,810,191 209,097,370
----------- -----------
LIABILITIES
Due to Bankers Trust............................ 22,425 119,227
Due to Custodian................................ -- --
Payable for Securities Purchased................ 306,628 2,666,864
Net Unrealized Depreciation on Forward Currency
Contracts...................................... 38,665 --
Accrued Expenses and Other...................... 25,810 14,835
----------- -----------
Total Liabilities.................................. 393,528 2,800,926
----------- -----------
NET ASSETS......................................... $ 28,416,663 $206,296,444
=========== ===========
COMPOSITION OF NET ASSETS
Paid-in Capital................................. $ 26,858,121 $162,346,209
Net Unrealized Appreciation (Depreciation) on
Investments, Foreign Currencies and Forward
Currency Contracts............................. 1,558,542 43,950,235
----------- -----------
NET ASSETS, MARCH 31, 1996......................... $ 28,416,663 $206,296,444
=========== ===========
</TABLE>

- ------------------
+ The cost of Capital Appreciation Portfolio for the period ended March 31,
1996 was $180,892,014, Global High Yield Securities Portfolio $18,098,181,
Intermediate Tax Free Portfolio $18,847,740, International Equity Portfolio
$105,942,091, Latin American Equity Portfolio $15,092,320, Pacific Basin
Equity Portfolio $25,194,870 and Small Cap Portfolio $163,013,820.
++ Includes foreign cash of $454,149, $35,462, $24,056 and $766,809 for Global
High Yield Securities, International Equity, Latin American Equity and
Pacific Basin Equity with a cost of $460,102, $74,005, $28,362 and $767,082,
respectively.

See Notes to Financial Statements on Pages 48 - 50

42
<PAGE> 43

- --------------------------------------------------------------------------------
BT Portfolios
STATEMENTS OF OPERATIONS For the period ended March 31, 1996 (unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
GLOBAL
CAPITAL HIGH YIELD INTERMEDIATE INTERNATIONAL
APPRECIATION SECURITIES TAX FREE EQUITY
------------ ---------- ------------ -------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME
Dividends+................................................ $ 100,098 $ 15,224 -- $ 689,466
Interest.................................................. 407,356 834,345 $ 290,590 141,259
------------ ---------- --------- ----------
TOTAL INVESTMENT INCOME...................................... 507,454 849,569 290,590 830,725
------------ ---------- --------- ----------
EXPENSES
Advisory.................................................. 546,623 81,613 22,501 302,602
Administration and Services............................... 84,096 20,403 2,813 69,831
Professional.............................................. 19,062 7,075 5,733 13,709
Trustees.................................................. 1,532 1,446 796 1,560
Transfer Tax.............................................. -- -- -- 2,322
Shareholders Reports...................................... 925 -- 63 650
Miscellaneous............................................. 735 5,860 -- 726
------------ ---------- --------- ----------
Total Expenses............................................ 652,973 116,397 31,906 391,400
Less: Expenses Absorbed by Bankers Trust.................. (148,398) (39,885) (6,593) (88,798)
------------ ---------- --------- ----------
Net Expenses........................................... 504,575 76,512 25,313 302,602
------------ ---------- --------- ----------
NET INVESTMENT INCOME (LOSS)................................. 2,879 773,057 265,277 528,123
------------ ---------- --------- ----------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND
FOREIGN CURRENCY TRANSACTIONS
Net Realized Gain (Loss) from:
Investment Transactions.................................. 16,902,854 360,334 263,100 1,390,252
Foreign Currency Transactions............................ -- (9,321) -- 690,674
Net Change in Unrealized Appreciation (Depreciation) of:
Investments.............................................. (16,152,731) 1,101,125 (717,956) 3,530,486
Foreign Currencies and Forward Currency Contracts........ -- (5,964) -- 77,506
------------ ---------- --------- ----------
NET GAIN (LOSS) ON INVESTMENTS, FOREIGN CURRENCIES AND
FORWARD CURRENCY CONTRACTS.................................. 750,123 1,446,174 (454,856) 5,688,918
------------ ---------- --------- ----------
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS........ $ 753,002 $2,219,231 $ (189,579) $ 6,217,041
============ ========== ========= ==========

<CAPTION>
LATIN
AMERICAN PACIFIC
EQUITY BASIN EQUITY SMALL CAP
------------- ------------ -----------
<S> <C> <C> <C>
INVESTMENT INCOME
Dividends+................................................ $ 109,693 $ 93,734 $ 19,858
Interest.................................................. 46,167 4,860 455,753
-------- ---------- -----------
TOTAL INVESTMENT INCOME...................................... 155,860 98,594 475,611
-------- ---------- -----------
EXPENSES
Advisory.................................................. 62,306 100,363 511,914
Administration and Services............................... 12,461 33,454 78,756
Professional.............................................. 12,409 15,367 14,729
Trustees.................................................. 1,585 1,560 1,532
Transfer Tax.............................................. 427 6,804 --
Shareholders Reports...................................... 650 650 500
Miscellaneous............................................. -- 887 693
-------- ---------- -----------
Total Expenses............................................ 89,838 159,085 608,124
Less: Expenses Absorbed by Bankers Trust.................. (27,532) (25,268) (135,587)
-------- ---------- -----------
Net Expenses........................................... 62,306 133,817 472,537
-------- ---------- -----------
NET INVESTMENT INCOME (LOSS)................................. 93,554 (35,223) 3,074
-------- ---------- -----------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND
FOREIGN CURRENCY TRANSACTIONS
Net Realized Gain (Loss) from:
Investment Transactions.................................. 542,302 835,679 2,392,080
Foreign Currency Transactions............................ (21,948) (129,447) --
Net Change in Unrealized Appreciation (Depreciation) of:
Investments.............................................. 2,298 1,075,673 21,647,288
Foreign Currencies and Forward Currency Contracts........ (3,696) 78,159 --
-------- ---------- -----------
NET GAIN (LOSS) ON INVESTMENTS, FOREIGN CURRENCIES AND
FORWARD CURRENCY CONTRACTS.................................. 518,956 1,860,064 24,039,368
-------- ---------- -----------
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS........ $ 612,510 $ 1,824,841 $24,042,442
======== ========== ===========
</TABLE>

- ------------------
+ Net of foreign withholding tax of $1,142 Capital Appreciation Portfolio,
$78,541 International Equity Portfolio, $9,309 Latin American Equity Portfolio
and $10,050 Pacific Basin Equity Portfolio.

See Notes to Financial Statements on Pages 48 - 50

43
<PAGE> 44

- --------------------------------------------------------------------------------
BT Portfolios
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------

<TABLE>
<CAPTION>
CAPITAL APPRECIATION GLOBAL HIGH YIELD SECURITIES
------------------------------------- -------------------------------------
FOR THE SIX FOR THE SIX
MONTHS ENDED FOR THE PERIOD MONTHS ENDED
MARCH 31, 1996 JANUARY 1, 1995 TO MARCH 31, 1996 FOR THE YEAR ENDED
(UNAUDITED) SEPTEMBER 30, 1995 (UNAUDITED) SEPTEMBER 30, 1995
-------------- ------------------ -------------- ------------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS
Net Investment Income (Loss).................. $ 2,879 $ 10,500 $ 773,057 $ 1,706,048
Net Realized Gain (Loss) from Investments
and Foreign Currency Transactions........ 16,902,854 11,774,764 351,013 (516,419)
Net Unrealized Appreciation (Depreciation)
on Investments, Foreign Currencies and
Forward Currency Contracts............... (16,152,731) 23,909,639 1,095,161 (3,411)
-------------- ------------------ -------------- ------------------
Net Increase (Decrease) in Net Assets from
Operations................................... 753,002 35,694,903 2,219,231 1,186,218
-------------- ------------------ -------------- ------------------
CAPITAL TRANSACTIONS
Proceeds from Capital Invested............. 64,319,770 63,887,608 7,086,285 18,275,555
Value of Capital Withdrawn................. (25,533,747) (23,328,952) (12,512,930) (11,187,306)
-------------- ------------------ -------------- ------------------
Net Increase (Decrease) in Net Assets from
Capital Transactions......................... 38,786,023 40,558,656 (5,426,645) 7,088,249
-------------- ------------------ -------------- ------------------
TOTAL INCREASE (DECREASE) IN NET ASSETS....... 39,539,025 76,253,559 (3,207,414) 8,274,467
NET ASSETS
Beginning of Period........................... 149,887,889 73,634,330 23,003,465 14,728,998
-------------- ------------------ -------------- ------------------
End of Period................................. $189,426,914 $149,887,889 $ 19,796,051 $ 23,003,465
=============== =================== =============== ===================
</TABLE>

<TABLE>
<CAPTION>
LATIN AMERICAN EQUITY PACIFIC BASIN EQUITY
------------------------------------- -------------------------------------
FOR THE SIX FOR THE SIX
MONTHS ENDED MONTHS ENDED
MARCH 31, 1996 FOR THE YEAR ENDED MARCH 31, 1996 FOR THE YEAR ENDED
(UNAUDITED) SEPTEMBER 30, 1995 (UNAUDITED) SEPTEMBER 30, 1995
-------------- ------------------ -------------- ------------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS
Net Investment Income (Loss).................. $ 93,554 $ 220,235 $ (35,223) $ 201,609
Net Realized Gain (Loss) from Investments
and Foreign Currency Transactions........ 520,354 (9,485,483) 706,232 (481,527)
Net Unrealized Appreciation (Depreciation)
on Investments, Foreign Currencies and
Forward Currency Contracts............... (1,398) (3,176,213) 1,153,832 (821,330)
-------------- ------------------ -------------- ------------------
Net Increase (Decrease) in Net Assets from
Operations................................... 612,510 (12,441,461) 1,824,841 (1,101,248)
-------------- ------------------ -------------- ------------------
CAPITAL TRANSACTIONS
Proceeds from Capital Invested............. 14,659,306 18,611,709 21,951,488 12,695,645
Value of Capital Withdrawn................. (13,968,585) (19,878,349) (20,015,964) (12,304,373)
-------------- ------------------ -------------- ------------------
Net Increase (Decrease) in Net Assets from
Capital Transactions......................... 690,721 (1,266,640) 1,935,524 391,272
-------------- ------------------ -------------- ------------------
TOTAL INCREASE (DECREASE) IN NET ASSETS....... 1,303,231 (13,708,101) 3,760,365 (709,976)
NET ASSETS
Beginning of Period........................... 13,657,915 27,366,016 24,656,298 25,366,274
-------------- ------------------ -------------- ------------------
End of Period................................. $ 14,961,146 $ 13,657,915 $ 28,416,663 $ 24,656,298
=============== =================== =============== ===================
</TABLE>

See Notes to Financial Statements on Pages 48 - 50

44
<PAGE> 45

- --------------------------------------------------------------------------------

<TABLE>
<CAPTION>
INTERMEDIATE TAX FREE INTERNATIONAL EQUITY
------------------------------------ -------------------------------------
FOR THE THREE FOR THE SIX
MONTHS ENDED FOR THE YEAR MONTHS ENDED FOR THE PERIOD
MARCH 31, 1996 ENDED MARCH 31, 1996 JANUARY 1, 1995 TO
(UNAUDITED) DECEMBER 31, 1995 (UNAUDITED) SEPTEMBER 30, 1995
-------------- ----------------- -------------- ------------------
<S> <C> <C> <C>
$ 265,277 $ 1,200,250 $ 528,123 $ 1,188,602
263,100 373,137 2,080,926 1,956,124
(717,956) 1,660,679 3,607,992 6,955,471
-------------- ----------------- -------------- ------------------
(189,579) 3,234,066 6,217,041 10,100,197
-------------- ----------------- -------------- ------------------
5,268,772 4,536,602 52,306,802 35,819,720
(4,541,131) (10,844,181) (23,556,138) (18,648,629)
-------------- ----------------- -------------- ------------------
727,641 (6,307,579) 28,750,664 17,171,091
-------------- ----------------- -------------- ------------------
538,062 (3,073,513) 34,967,705 27,271,288
22,252,704 25,326,217 83,313,431 56,042,143
-------------- ----------------- -------------- ------------------
$ 22,790,766 $ 22,252,704 $118,281,136 $ 83,313,431
================= ====================== ================= ======================
</TABLE>

<TABLE>
<CAPTION>
SMALL CAP
-------------------------------------
FOR THE SIX
MONTHS ENDED
MARCH 31, 1996 FOR THE YEAR ENDED
(UNAUDITED) SEPTEMBER 30, 1995
-------------- ------------------
<S> <C>
$ 3,074 $ 114,355
2,392,080 11,205,496
21,647,288 19,127,783
-------------- ------------------
24,042,442 30,447,634
-------------- ------------------
136,769,130 89,963,488
(78,343,080) (17,910,681)
-------------- ------------------
58,426,050 72,052,807
-------------- ------------------
82,468,492 102,500,441
123,827,952 21,327,511
-------------- ------------------
$206,296,444 $123,827,952
=============== ===================
</TABLE>

45
<PAGE> 46

- --------------------------------------------------------------------------------
BT Portfolios
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------

Contained below are selected ratios and supplemental data for each of the
periods indicated for each of the Portfolios.
<TABLE>
<CAPTION>
CAPITAL APPRECIATION
-----------------------------------------------------------
FOR THE SIX
MONTHS ENDED FOR THE PERIOD FOR THE YEAR
MARCH 31, 1996 JANUARY 1, 1995 TO ENDED
(UNAUDITED) SEPTEMBER 30, 1995 DECEMBER 31, 1994
-------------- ------------------ -----------------
<S> <C> <C> <C>
SUPPLEMENTAL DATA AND RATIOS
Net Assets, End of Period (000's omitted)................... $189,427 $149,888 $73,634
Ratios to Average Net Assets
Net Investment Income....................................... (0.00)%+ 0.01%* 0.08%
Expenses.................................................... 0.60%* 0.60%* 0.60%
Decrease Reflected in Above Expense Ratio Due to Absorption
of Expenses by Bankers Trust.............................. 0.18%* 0.18%* 0.23%
Portfolio Turnover Rate..................................... 193% 125% 157%

<CAPTION>
CAPITAL APPRECIATION
--------------------
FOR THE PERIOD
MARCH 9, 1993
(COMMENCEMENT OF
OPERATIONS) TO
DECEMBER 31,
1993
----------------
<S> <C>
SUPPLEMENTAL DATA AND RATIOS
Net Assets, End of Period (000's omitted)................... $ 37,076
Ratios to Average Net Assets
Net Investment Income....................................... 0.38%*
Expenses.................................................... 0.60%*
Decrease Reflected in Above Expense Ratio Due to Absorption
of Expenses by Bankers Trust.............................. 0.41%*
Portfolio Turnover Rate..................................... 137%
</TABLE>

<TABLE>
<CAPTION>
GLOBAL HIGH YIELD
----------------------------------------------------------
FOR THE PERIOD
DECEMBER 14,
1993
FOR THE SIX (COMMENCEMENT OF
MONTHS ENDED OPERATIONS) TO
MARCH 31, 1996 FOR THE YEAR ENDED SEPTEMBER 30,
(UNAUDITED) SEPTEMBER 30, 1995 1994
-------------- ------------------ ----------------
<S> <C> <C> <C>
SUPPLEMENTAL DATA AND RATIOS
Net Assets, End of Period (000's omitted)................... $ 19,796 $ 23,003 $ 14,729
Ratios to Average Net Assets
Net Investment Income....................................... 7.58%* 9.63% 6.44%*
Expenses.................................................... 0.75%* 0.75% 0.75%*
Decrease Reflected in Above Expense Ratio Due to
Absorption of Expenses by Bankers Trust................... 0.39%* 0.45% 0.59%*
Portfolio Turnover Rate..................................... 118% 169% 347%
</TABLE>
<TABLE>
<CAPTION>
INTERMEDIATE TAX FREE
--------------------------------------------------
FOR THE YEAR ENDED DECEMBER 31,
FOR THE THREE
MONTHS ENDED -------------------------------
MARCH 31, 1996 1995 1994 1993
-------------- ------- ------- -------
<S> <C> <C> <C> <C>
SUPPLEMENTAL DATA AND RATIOS
Net Assets, End of Period (000's omitted)................... $ 22,791 $22,253 $25,326 $31,745
Ratios to Average Net Assets
Net Investment Income....................................... 4.72%* 4.97% 4.58% 4.29%
Expenses.................................................... 0.45%* 0.45% 0.45% 0.45%
Decrease Reflected in Above Expense Ratio Due to
Absorption of Expenses by Bankers Trust................... 0.12%* 0.08% 0.14% 0.18%
Portfolio Turnover Rate..................................... 37% 95% 118% 40%

<CAPTION>
INTERMEDIATE TAX FREE
---------------------
FOR THE PERIOD
JULY 20, 1992
(COMMENCEMENT OF
OPERATIONS) TO
DECEMBER 31,
1992
----------------
<S> <C>
SUPPLEMENTAL DATA AND RATIOS
Net Assets, End of Period (000's omitted)................... $9,995
Ratios to Average Net Assets
Net Investment Income....................................... 4.11%*
Expenses.................................................... 0.45%*
Decrease Reflected in Above Expense Ratio Due to
Absorption of Expenses by Bankers Trust................... 0.43%*
Portfolio Turnover Rate..................................... 132%
</TABLE>
<TABLE>
<CAPTION>
INTERNATIONAL EQUITY
-------------------------------------------------------------
FOR THE
FOR THE SIX YEAR ENDED
MONTHS ENDED FOR THE PERIOD DECEMBER 31,
MARCH 31, 1996 JANUARY 1, 1995 TO -------------------
(UNAUDITED) SEPTEMBER 30, 1995 1994 1993
-------------- ------------------ ------- -------
<S> <C> <C> <C> <C>
SUPPLEMENTAL DATA AND RATIOS
Net Assets, End of Period (000's omitted)................... $118,281 $ 83,313 $56,042 $33,907
Ratios to Average Net Assets
Net Investment Income....................................... 1.13%* 2.39%* 1.69% 1.64%
Expenses.................................................... 0.65%* 0.65%* 0.65% 0.65%
Decrease Reflected in Above Expense Ratio Due to Absorption
of Expenses by Bankers Trust.............................. 0.19%* 0.22%* 0.24% 0.39%
Portfolio Turnover Rate..................................... 30% 21% 15% 17%

<CAPTION>
INTERNATIONAL EQUITY
--------------------
FOR THE PERIOD
AUGUST 4, 1992
(COMMENCEMENT OF
OPERATIONS) TO
DECEMBER 31,
1992
----------------
<S> <C>
SUPPLEMENTAL DATA AND RATIOS
Net Assets, End of Period (000's omitted)................... $8,225
Ratios to Average Net Assets
Net Investment Income....................................... 1.87%*
Expenses.................................................... 0.60%*
Decrease Reflected in Above Expense Ratio Due to Absorption
of Expenses by Bankers Trust.............................. 0.93%*
Portfolio Turnover Rate..................................... 7%
</TABLE>

- ------------------
* Annualized
+ Less than 0.01%

See Notes to Financial Statements on Pages 48 - 50

46
<PAGE> 47

<TABLE>
<CAPTION>
LATIN AMERICAN EQUITY
------------------------------------------------------
FOR THE PERIOD
OCTOBER 25, 1993
(COMMENCEMENT OF
FOR THE SIX OPERATIONS) TO
MONTHS ENDED FOR THE YEAR ENDED SEPTEMBER 30,
MARCH 31, 1996 SEPTEMBER 30, 1995 1994
-------------- ------------------ ----------------
<S> <C> <C> <C>
SUPPLEMENTAL DATA AND RATIOS
Net Assets, End of Period (000's omitted).............................. $ 14,961 $ 13,658 $ 27,366
Ratios to Average Net Assets
Net Investment Income.................................................. 1.50%* 1.27% 1.03%*
Expenses............................................................... 1.00%* 1.00% 1.00%*
Decrease Reflected in Above Expense Ratio Due to
Absorption of Expenses by Bankers Trust.............................. 0.44%* 0.80% 0.79%*
Portfolio Turnover Rate................................................ 95% 161% 124%
</TABLE>

<TABLE>
<CAPTION>
PACIFIC BASIN EQUITY
------------------------------------------------------
FOR THE PERIOD
NOVEMBER 1, 1993
FOR THE SIX (COMMENCEMENT OF
MONTHS ENDED OPERATIONS) TO
MARCH 31, 1996 FOR THE YEAR ENDED SEPTEMBER 30,
(UNAUDITED) SEPTEMBER 30, 1995 1994
-------------- ------------------ ----------------
<S> <C> <C> <C>
SUPPLEMENTAL DATA AND RATIOS
Net Assets, End of Period (000's omitted).............................. $ 28,417 $ 24,656 $ 25,366
Ratios to Average Net Assets
Net Investment Income.................................................. (0.26)%* 0.87% 0.16%*
Expenses............................................................... 1.00%* 1.00% 1.00%*
Decrease Reflected in Above Expense Ratio Due to
Absorption of Expenses by Bankers Trust.............................. 0.19%* 0.20% 0.26%*
Portfolio Turnover Rate................................................ 59% 104% 40%
</TABLE>

<TABLE>
<CAPTION>
SMALL CAP
------------------------------------------------------
FOR THE PERIOD
OCTOBER 21, 1993
FOR THE SIX (COMMENCEMENT OF
MONTHS ENDED OPERATIONS) TO
MARCH 31, 1996 FOR THE YEAR ENDED SEPTEMBER 30,
(UNAUDITED) SEPTEMBER 30, 1995 1994
-------------- ------------------ ----------------
<S> <C> <C> <C>
SUPPLEMENTAL DATA AND RATIOS
Net Assets, End of Period (000's omitted).............................. $206,296 $123,828 $ 21,328
Ratios to Average Net Assets
Net Investment Income.................................................. (0.00)%+ 0.19% 0.07%*
Expenses............................................................... 0.60%* 0.60% 0.60%*
Decrease Reflected in Above Expense Ratio Due to
Absorption of Expenses by Bankers Trust.............................. 0.17%* 0.19% 0.38%*
Portfolio Turnover Rate................................................ 93% 161% 154%
</TABLE>

- ------------------
* Annualized
+ Less than 0.01%

See Notes to Financial Statements on Pages 48 - 50

47
<PAGE> 48

- --------------------------------------------------------------------------------
BT Portfolios
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------

NOTE 1 -- ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
A. Organization
Capital Appreciation Portfolio, Global High Yield Securities Portfolio,
Intermediate Tax Free Portfolio, International Equity Portfolio, Latin American
Equity Portfolio, Pacific Basin Equity Portfolio, and Small Cap Portfolio (each
a "Portfolio", and collectively, the "Portfolios") are registered under the
Investment Company Act of 1940 ("the Act"), as amended, as an open-end
management investment company. The following portfolios were organized as an
unincorporated trust under the laws of New York and commenced operations as
follows:

<TABLE>
<CAPTION>
ORGANIZATION COMMENCEMENT OF
PORTFOLIO DATE OPERATION
- ------------------------------------------- ------------------- -----------------
<S> <C> <C>
Capital Appreciation Portfolio............. October 28, 1992 March 9, 1993
Global High Yield Securities Portfolio..... August 6, 1993 December 14, 1993
Intermediate Tax Free Portfolio............ December 11, 1991 July 20, 1992
International Equity Portfolio............. December 11, 1991 August 4, 1992
Latin American Equity Portfolio............ August 6, 1993 October 25, 1993
Pacific Basin Equity Portfolio............. August 6, 1993 November 1, 1993
Small Cap Portfolio........................ August 6, 1993 October 21, 1993
</TABLE>

The Declaration of Trust permits the Board of Trustees (the "Trustees") to issue
beneficial interests in the Portfolios.

During fiscal year 1996 and 1995, Intermediate Tax Free Portfolio and Capital
Appreciation Portfolio and International Equity Portfolio changed its year-end
to September 30th.

B. Security Valuation
The Portfolios' investments listed or traded on the National Stock Exchanges or
other domestic or foreign exchanges are valued based on the closing price of a
security traded on that exchange prior to the time when the Portfolio assets are
valued. In cases where securities are traded on more than one exchange, the
securities valued on the exchange designated as the primary market by the
Trustees. All other portfolio securities for which over-the-counter market
quotations are readily available including circumstances under which it is
determined by the Investment Manager that sale or bid prices are not reflective
of a security's market value, portfolio securities are valued at their fair
value as determined in good faith under procedures established by and under the
general supervision of the Trustees. Short-term obligations with remaining
maturities of 60 days or less are valued at amortized cost. Other short-term
debt securities are valued on a mark-to-market basis until such time as they
reach a remaining maturity of 60 days, whereupon they will be valued at
amortized cost using their value on the 61st day. All other securities and other
assets are valued at their fair value as determined in good faith under
procedures established by and under the general supervision of the Trustees.

C. Security Transactions and Interest Income
Security transactions are accounted for on a trade date basis. Dividend income,
less foreign taxes withheld (if any), is recorded on the ex-dividend date or
upon receipt of ex-dividend notification in the case of certain foreign
securities. Interest income is recorded on the accrual basis and includes
amortization of premium and discount on investments. Realized gains and losses
from securities transactions are recorded on the identified cost basis.

Each Portfolio may enter into repurchase agreements with financial institutions
deemed to be creditworthy by the Portfolio's 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 Portfolio's custodian, and pursuant to the terms of the repurchase agreement
must have an aggregate market value greater than or equal to the repurchase
price plus accrued interest at all times. If the value of the underlying
securities falls below the value of the repurchase price plus accrued interest,
the Portfolio will require the seller to deposit additional collateral by the
next business day. If the request for additional collateral is not met, or the
seller defaults on its repurchase obligation, the Portfolio maintains the right
to sell the underlying securities at market value and may claim any resulting
loss against the seller.

All of the net investment income and realized and unrealized gains and losses
from the security and foreign currency transactions of the Portfolios are
allocated pro rata among the investors in the Portfolios at the time of such
determination.

D. Foreign Currency Transactions
The books and records of the Portfolios are maintained in U.S. dollars. All
assets and liabilities initially expressed in foreign currencies are converted
into U.S. dollars at prevailing exchange rates. Purchases and sales of
investment securities, dividend and interest income, and certain expenses are
translated at the rates of exchange prevailing on the respective dates of such
transactions. The Portfolios do not isolate that portion of the results of
operations resulting from changes in foreign exchange rates on investments from
the fluctuations arising from changes in market prices of securities held. Such
fluctuations are included with the net realized and unrealized gain and loss
from securities.

E. Forward Foreign Currency Contracts
Global High Yield Securities Portfolio, International Equity Portfolio, Latin
American Equity Portfolio and Pacific Basin Equity Portfolio may enter into
forward foreign currency contracts for the purpose of settling specific
purchases or sales of securities denominated in a foreign currency or with
respect to the Portfolios' investments generally. The net U.S. dollar value of
foreign currency underlying all contractual commitments held by the Portfolios
and the resulting unrealized appreciation or depreciation are determined using
prevailing exchange rates. With respect to forward foreign currency contracts,
losses in excess of amounts recognized in the Statement of Assets and
Liabilities may arise due to changes in the value of the foreign currency or if
the counterparty does not perform under the contract.

F. Option Contracts
Each Portfolio may enter into Option Contracts with the exception of the
Intermediate Tax Free Portfolio. Upon the purchase of a put option or a call
option by a Portfolio, the premium paid is recorded as an investment, the value
of which is marked-to-market daily to reflect the current market value. When a
purchased option expires, the Portfolio will realize a loss in the amount of the
cost of the option. When the Portfolio enters into a closing sale transaction,
the Portfolio will realize a gain or loss depending on whether the sale proceeds
from the closing sale transaction are greater or less than the cost of the
option. When the Portfolio exercises a put option, it realizes a gain or loss
from the sale of the underlying security and the proceeds from such sale will be
decreased by the premium originally paid. When the Portfolio exercises a call
option, the cost of the security which the Portfolio purchases upon exercise
will be increased by the premium originally paid.

48
<PAGE> 49

- --------------------------------------------------------------------------------
BT Portfolios
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (Continued)
- --------------------------------------------------------------------------------

G. Organizational Expenses
Costs incurred by each of the Portfolios in connections with their organization
and initial registration are being amortized evenly over a five year period.

H. Federal Income Taxes
It is each Portfolio's policy to comply with the requirements of the Internal
Revenue Code. Therefore, no federal income tax provision is required.

I. Other
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions that
affect the reported amounts in the financial statements.

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 the Portfolio's average daily net
assets. The following provides a table of annual rates and aggregated fees for
each of the Portfolios for the period ended March 31, 1996:

<TABLE>
<CAPTION>
ADMIN. & SERVICES ADMIN. & SERVICES
PORTFOLIO ANNUAL RATE AGGREGATED FEES
- --------------------------------------------- ----------------- -----------------
<S> <C> <C>
Capital Appreciation Portfolio............... .10 of 1% $84,096
Global High Yield Securities Portfolio....... .20 of 1% 20,403
Intermediate Tax Free Portfolio*............. .05 of 1% 2,813
International Equity Portfolio............... .15 of 1% 69,831
Latin American Equity Portfolio.............. .20 of 1% 12,461
Pacific Basin Equity Portfolio............... .25 of 1% 33,454
Small Cap Portfolio.......................... .10 of 1% 78,756
</TABLE>

The Portfolios have entered into an Advisory Agreement with Bankers Trust. Under
this Advisory Agreement, the Portfolio's pay Bankers Trust an advisory fee
computed daily and paid monthly at an annual rate of the Portfolios' average
daily net assets. The following provides a table of annual rates and aggregated
fees for each of the Portfolios for the period ended March 31, 1996:

<TABLE>
<CAPTION>
ADVISORY ADVISORY
PORTFOLIO ANNUAL RATE AGGREGATED FEES
- ---------------------------------------------------- ----------- ---------------
<S> <C> <C>
Capital Appreciation Portfolio...................... .65 of 1% $ 546,623
Global High Yield Securities Portfolio.............. .80 of 1% 81,613
Intermediate Tax Free Portfolio*.................... .40 of 1% 22,501
International Equity Portfolio...................... .65 of 1% 302,602
Latin American Equity Portfolio..................... 1.00 of 1% 62,306
Pacific Basin Equity Portfolio...................... .75 of 1% 100,363
Small Cap Portfolio................................. .65 of 1% 511,914
</TABLE>

Bankers Trust has entered into a Sub-Advisory Agreement with BT Portfolio
Managers International Limited ("BT Portfolio Managers International"), a wholly
owned subsidiary of Bankers Trust Australia Limited, for Pacific Basin Equity
Portfolio. Under this Sub-Advisory Agreement, BT Portfolio Managers
International receives a fee from Bankers Trust for providing investment advice
and research services, computed daily and paid monthly at an annual rate of .60
of 1% of the Portfolio's average daily net assets.

Bankers Trust has voluntarily undertaken to waive and reimburse expenses of each
Portfolio, to the extent necessary, to limit all expenses based upon the average
daily net assets of the Portfolio for the period ended March 31, 1996:

<TABLE>
<CAPTION>
PORTFOLIO ANNUAL RATE EXPENSES REDUCED
- -------------------------------------------------- ----------- ----------------
<S> <C> <C>
Capital Appreciation Portfolio.................... .60 of 1% $148,398
Global High Yield Securities Portfolio............ .75 of 1% 39,885
Intermediate Tax Free Portfolio*.................. .45 of 1% 6,593
International Equity Portfolio.................... .65 of 1% 88,798
Latin American Equity Portfolio................... 1.00 of 1% 27,532
Pacific Basin Equity Portfolio.................... 1.00 of 1% 25,268
Small Cap Portfolio............................... .60 of 1% 135,587
</TABLE>

Certain trustees and officers of the Portfolios are also directors, officers
and/or employees of Signature Broker-Dealer Services, Inc., the distributor of
the BT Investment Funds. None of the trustees so affiliated received
compensation for services as trustees of the Portfolios. Similarly, none of the
Portfolios' officers received compensation from the Portfolios.

NOTE 3 -- PURCHASE AND SALE OF INVESTMENT SECURITIES
The aggregate cost of purchases and proceeds from sales of investments, other
than short-term obligations, for the period ended March 31, 1996 were as
follows:

<TABLE>
<CAPTION>
COST OF PROCEEDS FROM
PORTFOLIO PURCHASES SALE OF SECURITIES
- -------------------------------------------------- ------------ ------------------
<S> <C> <C>
Capital Appreciation Portfolio.................... $347,499,684 $300,112,811
Global High Yield Securities Portfolio............ 23,194,948 27,045,156
Intermediate Tax Free Portfolio*.................. 7,484,961 9,737,253
International Equity Portfolio.................... 58,380,801 27,069,480
Latin American Equity Portfolio................... 12,865,023 10,276,354
Pacific Basin Equity Portfolio.................... 16,512,157 13,939,260
Small Cap Portfolio............................... 182,200,296 133,321,553
</TABLE>

For Federal income tax purposes, the tax basis of investments held at March 31,
1996 was $182,110,912 for Capital Appreciation Portfolio, $18,178,725 for Global
High Yield Securities Portfolio, $25,245,528 for Pacific Basin Equity Portfolio
and $163,070,079 Small Cap Portfolio. Tax basis of investments held at March 31,
1996 for Intermediate Tax Free Portfolio, International Equity Portfolio and
Latin American Equity Portfolio, were substantially the same as the basis used
for the financial statement reporting purposes. The aggregate gross unrealized
appreciation and depreciation for all investments as of March 31, 1996 was as
follows:

<TABLE>
<CAPTION>
GROSS UNREALIZED GROSS UNREALIZED
PORTFOLIO APPRECIATION DEPRECIATION
- ----------------------------------------------- ---------------- ----------------
<S> <C> <C>
Capital Appreciation Portfolio................. $ 19,322,136 $3,947,779
Global High Yield Securities Portfolio......... 1,387,578 337,013
Intermediate Tax Free Portfolio*............... 789,508 43,091
International Equity Portfolio................. 18,110,513 2,715,163
Latin American Equity Portfolio................ 812,379 1,205,557
Pacific Basin Equity Portfolio................. 3,057,020 1,510,584
Small Cap Portfolio............................ 46,686,450 2,792,474
</TABLE>

NOTE 4 -- CREDIT RISK
The Global High Yield Securities Portfolio invests in primarily high yield,
non-investment grade debt securities issued in many of the world's securities
markets. Investments in higher yielding securities are accompanied by a greater
degree of credit risk and the risk tends to be more sensitive to economic
conditions than higher rated securities. The risk of loss due to default by the
issuer may be significantly greater for the holders of high yielding securities
because such securities are generally unsecured and are often subordinated to
other creditors of the issuer.

- --------------------------------------------------------------------------------
* The amount represents three months of activity since Intermediate Tax Free
Portfolio changed its year-end to September 30th during the fiscal year of
1996.

49
<PAGE> 50

NOTE 5 -- OPEN FORWARD FOREIGN CURRENCY CONTRACTS
As of March 31, 1996, the International Equity Portfolio and Pacific Basin
Equity Portfolio had entered into the following open forward foreign currency
contract:

<TABLE>
<CAPTION>
INTERNATIONAL EQUITY PORTFOLIO
- -------------------------------------------------------------------------------------------------
CONTRACTS TO NET UNREALIZED
DELIVER IN EXCHANGE FOR SETTLEMENT DATE VALUE (US$) APPRECIATION (US$)
- -------------------------------------------------------------------------------------------------
SALES
- -------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
ATS 1,203,706 USD 115,908 4/1/96 115,939 $ (31)
DEM 8,863,200 USD 6,010,375 4/10/96 6,002,914 7,461
DEM 14,800,000 USD 10,016,582 4/12/96 10,025,769 (9,187)
JPY 639,840,000 USD 6,001,013 4/9/96 5,976,195 24,818
NLG 1,432,868 USD 868,457 4/1/96 867,091 1,366
- -------------------------------------------------------------------------------------------------
23,012,335 22,987,908 $ 24,427
- -------------------------------------------------------------------------------------------------
PURCHASES
- -------------------------------------------------------------------------------------------------
USD 1,093,424 GBP 716,060 4/2/96 1,093,066 $ (358)
USD 712,196 MYR 1,802,569 4/2/96 712,588 392
USD 209,563 ZAR 832,490 4/2/96 209,258 (305)
- -------------------------------------------------------------------------------------------------
2,015,183 2,014,912 (271)
- -------------------------------------------------------------------------------------------------
$ 24,156
==================
</TABLE>

<TABLE>
<CAPTION>
PACIFIC BASIN EQUITY PORTFOLIO
- -------------------------------------------------------------------------------------------------
CONTRACTS TO NET UNREALIZED
DELIVER IN EXCHANGE FOR SETTLEMENT DATE VALUE (US$) DEPRECIATION (US$)
- -------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
SALES
- -------------------------------------------------------------------------------------------------
MYR 11,085,646 USD 4,316,000 4/23/96 4,374,965 $(58,965)
- -------------------------------------------------------------------------------------------------
PURCHASES
- -------------------------------------------------------------------------------------------------
USD 4,316,000 MYR 10,987,673 4/23/96 4,336,300 20,300
- -------------------------------------------------------------------------------------------------
$(38,665)
==================
</TABLE>

50
<PAGE> 51

BT INVESTMENT FUNDS

CAPITAL APPRECIATION FUND
GLOBAL HIGH YIELD SECURITIES FUND
INTERMEDIATE TAX FREE FUND
INTERNATIONAL EQUITY FUND
LATIN AMERICAN EQUITY FUND
PACIFIC BASIN EQUITY FUND
SMALL CAP FUND

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
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) 730-1313

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 Funds
at the following address:
BT INVESTMENT FUNDS
6 St. James Avenue
Boston, MA 02116
<PAGE> 52

- BT INVESTMENT FUNDS -

LIFECYCLE LONG RANGE
LIFECYCLE MID RANGE
LIFECYCLE SHORT RANGE

ANNUAL REPORT
- --------------------------------------------------------------------------------
MARCH - 1996
<PAGE> 53

- --------------------------------------------------------------------------------
BT Investment Lifecycle Funds
TABLE OF CONTENTS
- --------------------------------------------------------------------------------

<TABLE>
<S> <C>
LETTER TO SHAREHOLDERS.................................................................. 3
BT INVESTMENT LIFECYCLE FUNDS
Statements of Assets and Liabilities................................................ 8
Statements of Operations............................................................ 8
Statements of Changes in Net Assets................................................. 9
Financial Highlights................................................................ 10
Notes to Financial Statements....................................................... 12
Report of Independent Accountants................................................... 13
ASSET MANAGEMENT PORTFOLIO, ASSET MANAGEMENT PORTFOLIO II AND ASSET MANAGEMENT PORTFOLIO
III
Schedules of Portfolio Investments.................................................. 14
Statements of Assets and Liabilities................................................ 25
Statements of Operations............................................................ 26
Statements of Changes in Net Assets................................................. 26
Financial Highlights................................................................ 27
Notes to Financial Statements....................................................... 28
Report of Independent Accountants................................................... 30
</TABLE>

2
<PAGE> 54

- --------------------------------------------------------------------------------
BT Investment Lifecycle Funds
LETTER TO SHAREHOLDERS
- --------------------------------------------------------------------------------

We are pleased to present you with this newly-designed annual report for the BT
Investment Lifecycle Long Range, Mid Range and Short Range Funds, providing a
more detailed review of the markets, the portfolio, and our outlook -- all in an
easier-to-read format. Of course, we continue to include a complete financial
summary of the Funds' operations and a listing of the Portfolios' holdings.

The Lifecycle Funds underperformed their benchmarks for the year ended March 31,
1996, though performance did improve as the fiscal year progressed. This was due
in great part to changes we made in asset allocation and stock selection.

In general, the last nine months of 1995 were difficult for asset allocators,
and it wasn't until the end of the calendar year that market conditions
warranted a move from a more defensive position to taking advantage of some
decisive returns and added value opportunities.

MARKET ACTIVITY

U.S. EQUITIES Concerns about whether the economy was headed for a "hard" or
"soft" landing created what we believed to be a high degree of risk in the U.S.
equity market in the first half of the Funds' fiscal year. After the Federal
Reserve Board lowered interest rates in July 1995 and the economy posted a weak
growth number in August 1995, that risk factor seemed less severe and the soft
economic landing seemed confirmed. Though not without interruption to be sure,
the S&P 500 continued to march higher in 1996, bolstered by still-favorable
earnings, the prospects of rising economic activity, and huge in-flows of
retirement funds.

U.S. BONDS After the Federal Reserve Board last raised rates in February 1995,
the favorable economic environment in general and the positive inflation picture
in particular finally convinced the Fed to shift from a tightening to an easing
mode on July 6, 1995. The Fed lowered rates again on December 19, 1995 and once
more at the end of January. So, while there was, in fact, a strong bond market
rally, there was also a great deal of volatility. Early data in 1996 began to
reveal a somewhat stronger economy than the consensus was anticipating, and this
evidence has kept some upward pressure on bond yields and downward pressure on
bond prices.

INTERNATIONAL MARKETS The European economy, in general, is lagging the U.S. in
terms of the economic cycle of recovery. Thus, the counterparts to the U.S.'
Federal Reserve Board, including the Bundesbank and the Banque de France, are in
an interest-rate easing mode. We believe this is positive for both stock and
bond investments in Europe. In Japan, we see the recent rise in bond yields as a
good buying opportunity, especially since the nation's economy has not yet fully
recovered and interest rates there should remain low in the near term.

INVESTMENT REVIEW

The Funds remained underweighted in U.S. stocks in the first quarter of the
fiscal year based on concerns about the economy and then moved to a neutral
position by August as uncertainty abated. During this slow period in the
economy, value stocks, which usually perform better during periods of strong
economic expansion, uncharacteristically outperformed growth stocks. The
portfolios are tilted toward growth stocks. This, along with stock selection,
did detract from performance for the year. However, as we became more positive
on equities, we shifted to an overweighting in this asset class from November
1995 through March 1996, and overall, U.S. equities were a major positive
contributor to the Fund's performance.

The Funds' U.S. bond performance was right in line with the Salomon BIG Index
for the fiscal year. Based on the risk we perceived in the bond market's
volatility, we underweighted bonds in the Funds' first fiscal quarter and then
moved to a neutral posture through January 1996. With stronger economic growth
than anticipated, we believe the bond market rally is likely over, and thus we
gradually moved, in the Funds' fourth quarter, to an underweighted position in
the U.S. fixed income market in favor of the international markets.

International investments were introduced to the portfolios on February 12, 1996
to provide investment diversification, reduce risk, and create opportunities for
added return during periods when the U.S. markets are not performing. In fact,
the French and Canadian bond markets performed better than the U.S. bond market
during the quarter, and the Funds' international investments, including those in
German equities and Japanese bonds, did add value over the benchmarks for the
period. At the same time, it is important to note that the Funds' focus remains
on the U.S. markets.

- The Lifecycle Long Range Fund returned 19.41% for the twelve months ended
March 31, 1996, as compared to 22.00% for the Asset Allocation Index-Long
Range. Since its inception on November 16, 1993, the Fund was up 23.21%.
Having moved away from the defensive position held for most of the first
half of the Fund's fiscal year, the Fund's asset weightings were 64% in
U.S. equities, 20% in U.S. bonds, 14% in international bonds, 1% in
international equities, and 1% in cash as of March 31, 1996.

- The Lifecycle Mid Range Fund returned 14.65% for the twelve months ended
March 31, 1996, as compared to 17.21% for the Asset Allocation Index-Mid
Range. Since its inception on October 14, 1993, the Fund was up 14.66%. The
Fund's asset weightings were 45% in U.S. equities, 38% in U.S. bonds, 14%
in international bonds, 1% in international equities, and 2% in cash as of
March 31, 1996.

- The Lifecycle Short Range Fund returned 10.67% for the twelve months ended
March 31, 1996, as compared to 12.41% for the Asset Allocation Index-Short
Range. Since its inception on October 15, 1993, the Fund was up 10.14%. The
Fund's asset weightings were 25% in U.S. equities, 46% in U.S. bonds, 13%
in international bonds, 1% in international equities, and 15% in cash as of
March 31, 1996.

3
<PAGE> 55

- --------------------------------------------------------------------------------
BT Investment Lifecycle Funds
LETTER TO SHAREHOLDERS (CONTINUED)
- --------------------------------------------------------------------------------

LOOKING AHEAD

In the U.S., our outlook for the next year is one of moderate to above average
economic growth. For one, the economy should start feeling the effects of the
three Federal Reserve Board easings made between July 1995 and January 1996. We
believe that no further action will be taken by the Fed, at least for a while.
And second, given that this is an election year, it is likely that the President
will try to maintain positive economic conditions. Thus, we believe that stocks
should outperform bonds, and we have positioned the Funds to take advantage of
this scenario. The portfolios remain tilted toward growth stocks and
underweighted in U.S. bonds.

Our outlook for Europe is one of below average economic growth and prospects of
interest rate reductions. The anticipation of this stimulus should cause stock
and bond markets to react positively, and so we look for some good European
investment opportunities throughout the year. In Japan, the economy seems to be
recovering moderately. As a result, corporate earnings and investor sentiment
are improving. However, the strength and sustainability of a recovery are still
uncertain, and so the Bank of Japan will likely maintain its current monetary
policy. This should be positive for stocks and selectively positive for Japanese
bonds.

We will, of course, continue to closely observe economic conditions and how they
affect the financial markets, as we seek to provide high total return with
reduced risk over the long term.

* * *

We value your ongoing support of the BT Investment Lifecycle Funds and are
looking forward to serving your investment needs in the years ahead.
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ABOUT THE PHILIP GREEN
PORTFOLIO MANAGER VICE PRESIDENT
SENIOR PORTFOLIO MANAGER
- Manages Tactical Asset Allocation portfolios.
Monitors individual strategy and aggregate
portfolio risk exposures.

- Eleven 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 two years. 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
</TABLE>

FEDERAL TAX INFORMATION (UNAUDITED)
- --------------------------------------------------------------------------------
27.96% of the net investment income dividends paid by the BT Investment
Lifecycle Long Range Fund during the tax year ended March 31, 1996 qualified for
the Dividends Received Deduction. The Fund paid a long-term capital gain
dividend of $0.1225 during the tax year ended March 31, 1996.

14.96% of the net investment income dividends paid by the BT Investment
Lifecycle Mid Range Fund during the tax year ended March 31, 1996 qualified for
the Dividends Received Deduction. The Fund paid a long-term capital gain
dividend of $0.0634 during the tax year ended March 31, 1996.

8.62% of the net investment income dividends paid by the BT Investment Lifecycle
Short Range Fund during the tax year ended March 31, 1996 qualified for the
Dividends Received Deduction.

NOTE: 1996 CALENDAR YEAR DIVIDENDS RECEIVED DEDUCTION PERCENTAGES WILL BE
DISTRIBUTED UNDER SEPARATE COVER IN JANUARY 1997.

4
<PAGE> 56

- --------------------------------------------------------------------------------
BT Investment Lifecycle Long Range Fund
LETTER TO SHAREHOLDERS
- --------------------------------------------------------------------------------

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 FUND,
S&P 500 INDEX AND

**ASSET ALLOCATION
INDEX-LONG RANGE

<TABLE>
<CAPTION>
TOTAL RETURN
ENDED MARCH 31, 1996
One Year Since 11/16/93*
<S> <C>
19.41% 23.21%
</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.
[CHART]

<TABLE>
<CAPTION>
Measurement Period BT Investment Life- Asset Allocation
(Fiscal Year Covered) cycle Long Range Fund S&P 500 Index Index-Long Range**
<S> <C> <C> <C>
11/30/93 10000 10000 10000
12/31/93 10101 10121 10089
3/31/94 9748 9737 9787
6/30/94 9601 9778 9786
9/30/94 9766 10256 10079
12/31/94 9803 10255 10112
3/31/95 10392 11253 10819
6/30/95 11077 12327 11550
9/30/95 11560 13307 12114
12/31/95 12057 14108 12621
3/31/96 12408 14865 12993
</TABLE>

** Asset Allocation Index-Long Range is comprised of
the following:
55% S&P 500 Index
35% Salomon Broad Investment Grade Bond Index
10% Salomon U.S. Dollar T-Bill Index

<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 Monsanto Co. American International Group Inc.
STOCK HOLDINGS General Electric Johnson & Johnson
Merck & Co.
- ------------------------------------------------------------------------------------------------------------------
FIVE LARGEST FIXED U.S. Treasury Notes (11/15/98 @ 5.50%) U.S. Treasury Notes (11/30/97 @ 5.375%)
INCOME SECURITIES U.S. Treasury Bonds (8/15/22 @ 7.25%) U.S. Treasury Notes (10/31/00 @ 5.75%)
U.S. Treasury Notes (1/31/98 @ 5.00%)
- ------------------------------------------------------------------------------------------------------------------
DIVERSIFICATION BY ASSETS This diversification pie chart shows the Fund's investment exposure to the different
EXPOSURES AS OF asset classes (i.e. stocks, bonds and cash) based on the risk characteristics of the
MARCH 31, 1996 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>

[CHART]

<TABLE>
<S> <C>
Stocks 65%
Bonds 34%
Cash 1%
</TABLE>

<PAGE> 57

- --------------------------------------------------------------------------------
BT Investment Lifecycle Mid Range Fund
LETTER TO SHAREHOLDERS
- --------------------------------------------------------------------------------

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 FUND,
S&P 500 INDEX AND
**ASSET ALLOCATION
INDEX-MID RANGE

<TABLE>
<CAPTION>
TOTAL RETURN
ENDED MARCH 31, 1996
One Year Since 10/14/93*
<S> <C>
14.65% 14.66%
</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.
[CHART]

<TABLE>
<CAPTION>
Measurement Period BT Investment Life- Asset Allocation
(Fiscal Year Covered) cycle Mid Range Fund S&P 500 Index Index-Mid Range**
<S> <C> <C> <C>
10/31/93 10000 10000 10000
12/31/93 9955 10024 10006
3/31/94 9580 9644 9763
6/30/94 9486 9685 9755
9/30/94 9591 10158 9967
12/31/94 9620 10157 10031
3/31/95 10082 11146 10585
6/30/95 10636 12210 11144
9/30/95 10964 13180 11530
12/31/95 11404 13973 11903
3/31/96 11559 14723 12126
</TABLE>

** Asset Allocation Index-Mid Range is comprised of
the following:
35% S&P 500 Index
45% Salomon Broad Investment Grade Bond Index
20% Salomon U.S. Dollar T-Bill Index

<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 American International Group Inc.
STOCK HOLDINGS Monsanto Co. AMR Corporation
Merck & Co.
- ------------------------------------------------------------------------------------------------------------------
FIVE LARGEST FIXED U.S. Treasury Notes (11/15/98 @ 5.50%) FHLMC (9/01/25 @ 7.50%)
INCOME SECURITIES GNMA (9/15/23 @ 6.50%) U.S. Treasury Bonds (8/15/22 @ 7.25%)
GNMA (7/15/25 @ 8.00%)
- ------------------------------------------------------------------------------------------------------------------
DIVERSIFICATION BY ASSETS This diversification pie chart shows the Fund's investment exposure to the different
EXPOSURES AS OF asset classes (i.e. stocks, bonds and cash) based on the risk characteristics of the
MARCH 31, 1996 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>

[CHART]

<TABLE>
<S> <C>
Stocks 46%
Bonds 52%
Cash 2%
</TABLE>

6
<PAGE> 58

- --------------------------------------------------------------------------------
BT Investment Lifecycle Short Range Fund
LETTER TO SHAREHOLDERS
- --------------------------------------------------------------------------------

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 LIFECYCLE
SHORT RANGE FUND,
S&P 500 INDEX AND
**ASSET ALLOCATION
INDEX-SHORT RANGE

<TABLE>
<CAPTION>
TOTAL RETURN
ENDED MARCH 31, 1996
One Year Since 10/15/93*
<S> <C>
10.67% 10.14%
</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.
[CHART]

<TABLE>
<CAPTION>
BT Investment Life-
Measurement Period cycle Short Range Asset Allocation
(Fiscal Year Covered) Fund S&P 500 Index Index-Short Range**
<S> <C> <C> <C>
10/31/93 10000 10000 10000
12/31/93 9956 10024 10004
3/31/94 9713 9644 9817
6/30/94 9592 9685 9801
9/30/94 9638 10158 9935
12/31/94 9674 10157 10022
3/31/95 10012 11146 10432
6/30/95 10462 12210 10828
9/30/95 10699 13180 11038
12/31/95 11069 13973 11281
3/31/96 11080 14723 11354
</TABLE>

** Asset Allocation Index-Short Range is comprised of
the following:
15% S&P 500 Index
55% Salomon Broad Investment Grade Bond Index
30% Salomon U.S. Dollar T-Bill Index

<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 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 American International Group Inc.
STOCK HOLDINGS Monsanto Co. Johnson & Johnson
Merck & Co.
- ------------------------------------------------------------------------------------------------------------------
FIVE LARGEST FIXED U.S. Treasury Note (11/15/98 @ 5.50%) U.S. Treasury Note (12/31/97 @ 5.25%)
INCOME SECURITIES GNMA (9/15/23 @ 6.50%) FNMA (8/01/25 @ 8.00%)
FHLMC (9/01/25 @ 7.50%)
- ------------------------------------------------------------------------------------------------------------------
DIVERSIFICATION BY ASSETS This diversification pie chart shows the Fund's investment exposure to the different
EXPOSURES AS OF asset classes (i.e. stocks, bonds and cash) based on the risk characteristics of the
MARCH 31, 1996 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>

[CHART]

<TABLE>
<S> <C>
Stocks 26%
Bonds 59%
Cash 15%
</TABLE>

<PAGE> 59

- --------------------------------------------------------------------------------
BT Investment Lifecycle Funds
STATEMENTS OF ASSETS AND LIABILITIES March 31, 1996
- --------------------------------------------------------------------------------

<TABLE>
<CAPTION>
LONG MID SHORT
RANGE RANGE RANGE
----------- ----------- -----------
<S> <C> <C> <C>
ASSETS
Investment in Portfolio, at Value+............................................. $55,902,273 $51,399,537 $28,868,654
Receivable for Shares of Beneficial Interest Subscribed........................ 165,831 101,309 49,527
Prepaid Expenses............................................................... 8,199 8,208 8,164
----------- ----------- -----------
Total Assets...................................................................... 56,076,303 51,509,054 28,926,345
----------- ----------- -----------
LIABILITIES
Payable for Shares of Beneficial Interest Redeemed............................. 7,314 -- --
Accrued Expenses and Other..................................................... 37,480 22,017 8,755
Due to Bankers Trust........................................................... 19,068 21,115 18,751
----------- ----------- -----------
Total Liabilities................................................................. 63,862 43,132 27,506
----------- ----------- -----------
NET ASSETS ($0.001 Par Value Per Share, Unlimited Number of Shares of Beneficial
Interest Authorized)............................................................. $56,012,441 $51,465,922 $28,898,839
============= ============= =============
SHARES OUTSTANDING................................................................ 4,947,762 4,909,072 2,880,500
============= ============= =============
NET ASSET VALUE AND REDEMPTION PRICE PER SHARE (Net Assets/Shares Outstanding).... $ 11.32 $ 10.48 $ 10.03
============= ============= =============
COMPOSITION OF NET ASSETS
Paid-in Capital................................................................ $51,860,557 $48,833,587 $28,403,880
Undistributed Net Investment Income............................................ 392,190 385,674 320,715
Accumulated Net Realized Gain (Loss) from Investments, Foreign Transactions and
Futures Transactions......................................................... 1,944,977 1,175,309 (200,718)
Net Unrealized Appreciation on Investments..................................... 1,824,430 1,208,079 475,751
Net Unrealized Depreciation on Futures Contracts............................... (9,713) (136,727) (100,789)
----------- ----------- -----------
NET ASSETS, MARCH 31, 1996........................................................ $56,012,441 $51,465,922 $28,898,839
============= ============= =============
</TABLE>

- ------------------
+ Investment in Asset Management Portfolio, Asset Management Portfolio II, and
Asset Management Portfolio III, respectively.

STATEMENTS OF OPERATIONS For the Year Ended March 31, 1996
- --------------------------------------------------------------------------------

<TABLE>
<CAPTION>
LONG MID SHORT
RANGE RANGE RANGE
---------- ---------- ----------
<S> <C> <C> <C>
INVESTMENT INCOME
Income, net+...................................................................... $1,443,609 $1,756,177 $1,290,180
---------- ---------- ----------
EXPENSES
Administration and Services....................................................... 235,552 250,720 166,399
Shareholders Reports.............................................................. 24,922 16,012 15,013
Registration...................................................................... 24,967 19,099 16,278
Professional...................................................................... 12,190 10,374 10,568
Trustees.......................................................................... 2,301 2,251 2,251
Insurance......................................................................... 600 609 575
Miscellaneous..................................................................... -- 210 310
---------- ---------- ----------
Total Expenses.................................................................... 300,532 299,275 211,394
---------- ---------- ----------
Less: Expenses Absorbed by Bankers Trust.......................................... (155,577) (144,986) (108,995)
---------- ---------- ----------
Net Expenses.................................................................. 144,955 154,289 102,399
---------- ---------- ----------
NET INVESTMENT INCOME................................................................ 1,298,654 1,601,888 1,187,781
---------- ---------- ----------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FOREIGN CURRENCY AND FUTURES
TRANSACTIONS
Net Realized Gain (Loss) from:
Investments and Foreign Currency Transactions................................. 1,674,729 1,063,386 1,054,255
Futures Transactions.......................................................... 1,322,038 1,192,381 (329,229)
---------- ---------- ----------
2,996,767 2,255,767 725,026
---------- ---------- ----------
Net Change in Unrealized Appreciation (Depreciation) of:
Investments................................................................... 1,546,905 1,259,448 608,037
Futures Contracts............................................................. (37,611) (269,608) (71,476)
---------- ---------- ----------
1,509,294 989,840 536,561
---------- ---------- ----------
NET GAIN ON INVESTMENTS AND FUTURES CONTRACTS........................................ 4,506,061 3,245,607 1,261,587
---------- ---------- ----------
NET INCREASE IN NET ASSETS FROM OPERATIONS........................................... $5,804,715 $4,847,495 $2,449,368
============ ============ ============
</TABLE>

- ------------------
+ Income allocated from Asset Management Portfolio, Asset Management Portfolio
II, and Asset Management Portfolio III, respectively.

See Notes to Financial Statements on Pages 12 - 13

8
<PAGE> 60

- --------------------------------------------------------------------------------
BT Investment Lifecycle Funds
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------

<TABLE>
<CAPTION>
LONG RANGE MID RANGE SHORT RANGE
----------------------------- ----------------------------- -----------------------------
FOR THE YEAR ENDED FOR THE YEAR ENDED FOR THE YEAR ENDED
MARCH 31, MARCH 31, MARCH 31,
----------------------------- ----------------------------- -----------------------------
1996 1995 1996 1995 1996 1995
------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET
ASSETS
OPERATIONS
Net Investment Income....... $ 1,298,654 $ 366,820 $ 1,601,888 $ 964,057 $ 1,187,781 $ 935,678
Net Realized Gain (Loss)
from Investments and
Futures Transactions...... 2,996,767 36,650 2,255,767 (692,504) 725,026 (783,142)
Net Unrealized Appreciation
on Investments and Futures
Contracts................. 1,509,294 394,165 989,840 1,002,727 536,561 505,973
------------ ------------ ------------ ------------ ------------ ------------
Net Increase in Net Assets from
Operations.................... 5,804,715 797,635 4,847,495 1,274,280 2,449,368 658,509
------------ ------------ ------------ ------------ ------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income....... (1,044,464) (256,078) (1,514,668) (791,477) (1,141,292) (798,960)
Net Realized Gain from
Security Transactions..... (995,721) -- (251,391) -- -- (31,898)
------------ ------------ ------------ ------------ ------------ ------------
Total Distributions............ (2,040,185) (256,078) (1,766,059) (791,477) (1,141,292) (830,858)
------------ ------------ ------------ ------------ ------------ ------------
TRANSACTIONS IN SHARES OF
BENEFICIAL INTEREST
Net Increase from
Transactions in Shares of
Beneficial Interest....... 38,881,867 7,621,365 22,651,398 6,080,014 6,453,625 3,727,528
------------ ------------ ------------ ------------ ------------ ------------
TOTAL INCREASE IN NET ASSETS... 42,646,397 8,162,922 25,732,834 6,562,817 7,761,701 3,555,179
NET ASSETS
Beginning of Year.............. 13,366,044 5,203,122 25,733,088 19,170,271 21,137,138 17,581,959
------------ ------------ ------------ ------------ ------------ ------------
End of Year+................... $ 56,012,441 $ 13,366,044 $ 51,465,922 $ 25,733,088 $ 28,898,839 $ 21,137,138
============= ============= ============= ============= ============= =============
</TABLE>

- ------------------
+ Includes Undistributed Net Investment Income of $392,190, $385,674, and
$320,715, respectively for the year ended March 31, 1996 and $119,744,
$287,551 and $267,916, respectively for the year ended March 31, 1995.

See Notes to Financial Statements on Pages 12 - 13

9
<PAGE> 61

- --------------------------------------------------------------------------------
BT Investment Lifecycle Funds
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 Funds.

<TABLE>
<CAPTION>
LONG RANGE
----------------------------------------------------------
FOR THE PERIOD
NOVEMBER 16, 1993
FOR THE YEAR ENDED MARCH 31, (COMMENCEMENT
------------------------------- OF OPERATIONS) TO
1996 1995 MARCH 31, 1994
-------- -------- -----------------
<S> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE, BEGINNING OF PERIOD............................... $ 10.07 $ 9.68 $ 10.00
-------- -------- ------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income........................................... 0.37 0.30 0.02
Net Realized and Unrealized Gain (Loss) on Investments and
Futures....................................................... 1.54 0.32 (0.34)
-------- -------- ------
Total from Investment Operations................................... 1.91 0.62 (0.32)
-------- -------- ------
DISTRIBUTIONS
Dividends from Net Investment Income............................ (0.38) (0.23) --
Distribution from Net Realized Gain............................. (0.28) -- --
-------- -------- ------
Total Distributions................................................ (0.66) (0.23) --
-------- -------- ------
NET ASSET VALUE, END OF PERIOD..................................... $ 11.32 $ 10.07 $ 9.68
======== ======== =======
TOTAL INVESTMENT RETURN............................................ 19.41% 6.60% (8.42%)*
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period (000's omitted)....................... $ 56,012 $ 13,366 $5,203
Ratios to Average Net Assets
Net Investment Income....................................... 3.58% 3.41% 2.69%*
Expenses+................................................... 1.00% 1.00% 1.00%*
Decrease Reflected in Above Expense Ratio Due to Absorption
of Expenses by Bankers Trust............................... 0.60% 0.91% 6.00%*
</TABLE>

- ------------------
* Annualized
+ Includes expenses of the Asset Management Portfolio, Asset Management
Portfolio II, and Asset Management Portfolio III, respectively.

See Notes to Financial Statements on Pages 12 - 13

10
<PAGE> 62

MID RANGE SHORT RANGE
----------------------------------------- -----------------------------------------------------------
FOR THE PERIOD FOR THE PERIOD
FOR THE YEAR ENDED OCTOBER 14, 1993 OCTOBER 15, 1993
MARCH 31, (COMMENCEMENT OF FOR THE YEAR ENDED MARCH 31, (COMMENCEMENT OF
------------------- OPERATIONS) TO ------------------------------------- OPERATIONS) TO
1996 1995 MARCH 31, 1994 1996 1995 MARCH 31, 1994
-------- -------- ----------------- ----------------- ----------------- -----------------
<S> <C> <C> <C> <C> <C>
$ 9.61 $ 9.45 $ 10.00 $ 9.50 $ 9.60 $ 10.00
-------- -------- ------- ------- ------- -------
0.41 0.37 0.11 0.45 0.41 0.13
0.96 0.11 (0.60) 0.54 (0.13) (0.47)
-------- -------- ------- ------- ------- -------
1.37 0.48 (0.49) 0.99 0.28 (0.34)
-------- -------- ------- ------- ------- -------
(0.44) (0.32) (0.06) (0.46) (0.37) (0.06)
(0.06) -- -- -- (0.01) --
-------- -------- ------- ------- ------- -------
(0.50) (0.32) (0.06) (0.46) (0.38) (0.06)
-------- -------- ------- ------- ------- -------
$ 10.48 $ 9.61 $ 9.45 $ 10.03 $ 9.50 $ 9.60
======== ======== ========= ======= ======= =======
14.65% 5.24% (10.48%)* 10.67% 3.08% (7.39%)*
$ 51,466 $ 25,733 $19,170 $28,899 $21,137 $17,582
4.15% 4.01% 2.77%* 4.64% 4.47% 3.12%*
1.00% 1.00% 1.00%* 1.00% 1.00% 1.00%*
0.58% 0.76% 1.10%* 0.65% 0.82% 1.12%*
</TABLE>

- ------------------
* Annualized

See Notes to Financial Statements on Pages 12 - 13

11
<PAGE> 63

- --------------------------------------------------------------------------------
BT Investment Lifecycle Funds
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------

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 March 31, 1996, the Long Range Fund's investment was approximately
23% 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. On
March 29, 1996, a dividend of $0.0735, $0.0737, and $0.1059 per share was
declared by the Long Range Fund, Mid Range Fund and Short Range Fund,
respectively. Total dividend distribution amounting to $363,660, $361,799, and
$305,045, respectively, is payable on April 1, 1996.

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. For the year ended March 31, 1996 $18,256, $10,903 and $6,310 of net
realized short-term capital gain was reclassified to undistributed net
investment income by the Long Range Fund, Mid Range Fund, and Short Range Fund,
respectively.

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.

The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions that
affect the reported amounts in the financial statements.

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 year ended March 31, 1996, these fees aggregated $235,552,
$250,720 and $166,399 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 year ended March 31, 1996, 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 year ended March 31,
1996, expenses of the Long Range Fund, Mid Range Fund and Short Range Fund have
been reduced by $155,577, $144,986 and $108,995, respectively.

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.

12
<PAGE> 64

- --------------------------------------------------------------------------------
BT Investment Lifecycle Funds
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------

NOTE 3 -- SHARES OF BENEFICIAL INTEREST

At March 31, 1996, there were an unlimited number of shares of beneficial
interest authorized. Transactions in shares of beneficial interest were as
follows:

<TABLE>
<CAPTION>
FOR THE YEAR ENDED MARCH 31, 1996
----------------------------------------------------------------------------------------
LONG RANGE MID RANGE SHORT RANGE
-------------------------- -------------------------- --------------------------
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
--------- ------------ --------- ------------ --------- ------------
<S> <C> <C> <C> <C> <C> <C>
Sold................................... 4,376,179 $ 46,825,041 2,501,640 $ 25,423,365 1,109,684 $ 10,992,026
Reinvested............................. 187,053 2,040,116 175,343 1,765,953 117,233 1,141,292
Redeemed............................... (942,323) (9,983,290) (446,097) (4,537,920) (570,529) (5,679,693)
--------- ------------ --------- ------------ --------- ------------
Net Increase........................... 3,620,909 $ 38,881,867 2,230,886 $ 22,651,398 656,388 $ 6,453,625
--------- ------------ --------- ------------ --------- ------------
</TABLE>

<TABLE>
<CAPTION>
FOR THE YEAR ENDED MARCH 31, 1995
----------------------------------------------------------------------------------------
LONG RANGE MID RANGE SHORT RANGE
-------------------------- -------------------------- --------------------------
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
--------- ------------ --------- ------------ --------- ------------
<S> <C> <C> <C> <C> <C> <C>
Sold................................. 882,368 $ 8,527,326 821,762 $ 7,688,857 585,939 $ 5,531,582
Reinvested........................... 26,988 256,062 86,014 791,477 89,667 830,858
Redeemed............................. (120,211) (1,162,023) (257,635) (2,400,320) (282,622) (2,634,912)
--------- ------------ --------- ------------ --------- ------------
Net Increase......................... 789,145 $ 7,621,365 650,141 $ 6,080,014 392,984 $ 3,727,528
--------- ------------ --------- ------------ --------- ------------
</TABLE>

NOTE 4 -- CAPITAL LOSS CARRYFORWARD

At March 31, 1996, the Short Range Fund accumulated net realized capital loss
carryforwards available as a reduction against future net realized capital gains
aggregated $201,000 which expire in 2002.

REPORT OF INDEPENDENT ACCOUNTANTS
- --------------------------------------------------------------------------------

To the Trustees and Shareholders of
BT Investment Funds:

We have audited the accompanying statements of assets and liabilities of the BT
Investment Lifecycle Funds-Long Range Fund, Mid Range Fund and Short Range Fund
(three of the funds comprising the BT Investment Funds) as of March 31, 1996,
and the related statements of operations for the year then ended, the statements
of changes in net assets for each of the two years in the period then ended, and
the financial highlights for each of the two years in the period then ended and
for the periods November 16, 1993 (commencement of operations) to March 31,
1994, October 14, 1993 (commencement of operations) to March 31, 1994 and
October 15, 1993 (commencement of operations) to March 31, 1994 for the BT
Investment Lifecycle Funds-Long Range Fund, Mid-Range Fund and the Short Range
Fund, respectively. These financial statements and financial highlights are the
responsibility of the Funds' management. Our responsibility is to express an
opinion on these financial statements and financial highlights based on our
audits.

We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements.

Our procedures included confirmation of securities owned as of March 31, 1996,
by correspondence with the custodian. An audit also includes assessing the
accounting principles used and significant estimates made by management, as well
as evaluating the overall financial statement presentation. We believe that our
audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of the BT
Investment Lifecycle Funds-Long Range Fund, Mid Range Fund and Short Range Fund
as of March 31, 1996, the results of their operations, the changes in their net
assets, and their financial highlights for the periods referred to above, in
conformity with generally accepted accounting principles.

[New sig cut to come]

Kansas City, Missouri
May 3, 1996

13
<PAGE> 65

- --------------------------------------------------------------------------------
Asset Management Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- ------------ ----------------------------------- -------------
<C> <S> <C>
COMMON STOCKS - 43.82%
AEROSPACE - 0.96%
21,700 Boeing Co. ........................ $ 1,879,763
2,500 Lockheed Martin Corp. ............. 189,688
4,100 Rockwell International Corp. ...... 241,388
----------
2,310,839
----------
AIRLINES - 1.16%
31,100 AMR Corporation(a)................. 2,783,450
----------
AUTO RELATED - 2.14%
23,400 Chrysler Corp. .................... 1,456,650
47,700 Dana Corp. ........................ 1,591,987
11,900 Ford Motor Co. .................... 409,063
31,600 General Motors Corp. .............. 1,682,700
----------
5,140,400
----------
BANKS - 1.34%
21,900 BankAmerica Corporation............ 1,697,250
10,600 BayBanks Inc. ..................... 1,139,500
4,700 Citicorp........................... 376,000
----------
3,212,750
----------
BEVERAGES - 1.05%
40,000 PepsiCo Inc. ...................... 2,530,000
----------
BUILDING - FOREST PRODUCTS - 0.34%
18,300 Champion International Corp. ...... 828,075
----------
CHEMICALS - 2.35%
6,000 Air Products & Chemical Corp. ..... 327,750
19,300 Du Pont (E.I.) de Nemours
Company........................... 1,601,900
10,400 IMC Global Inc. ................... 379,600
21,700 Monsanto Co. ...................... 3,330,950
----------
5,640,200
----------
CLIENT SERVER COMPUTING - 0.27%
20,900 Bay Networks(a).................... 642,675
----------
COMPUTER SERVICES - 1.06%
44,700 General Motors, Cl E............... 2,547,900
----------
COMPUTER SOFTWARE - 1.41%
29,400 Cisco Systems(a)................... 1,363,425
28,400 Computer Associates
International Inc. ............... 2,034,150
----------
3,397,575
----------
DIVERSIFIED - 0.18%
5,500 Textron Inc. ...................... 440,000
----------

<CAPTION>
SHARES SECURITY VALUE
- ------------ ----------------------------------- -------------
<C> <S> <C>
DRUGS - 2.70%
47,700 Merck & Co. ....................... $ 2,969,325
40,200 Pfizer, Inc. ...................... 2,693,400
14,100 Schering-Plough Corp. ............. 819,563
----------
6,482,288
----------
ELECTRICAL EQUIPMENT - 1.71%
41,500 General Electric................... 3,231,813
9,300 Hewlett-Packard.................... 874,200
----------
4,106,013
----------
ELECTRONICS - 1.40%
36,000 Allied-Signal Inc. ................ 2,128,500
9,100 Intel Corp. ....................... 517,562
14,300 Texas Instruments.................. 727,512
----------
3,373,574
----------
FINANCIAL SERVICES - 3.59%
26,100 Federal Home Loan Mortgage......... 2,225,025
12,200 Federal National Mortgage.......... 388,875
19,600 First Data......................... 1,381,800
18,900 Household International............ 1,271,025
45,600 MBNA Corp. ........................ 1,350,900
12,800 Merrill Lynch & Co., Inc. ......... 777,600
6,700 Price (T. Rowe) Associates......... 355,100
13,200 Travelers Group Inc. .............. 871,200
----------
8,621,525
----------
FOODS - 2.12%
36,400 CPC International.................. 2,525,250
21,800 Premark International Inc. ........ 1,169,025
42,900 Sara Lee Corp. .................... 1,399,612
----------
5,093,887
----------
HEALTH CARE DIVERSIFIED - 0.09%
5,400 Abbott Laboratories................ 220,050
----------
HOSPITAL SUPPLIES/SERVICES - 1.79%
16,000 Baxter International Inc. ......... 724,000
30,200 Johnson & Johnson.................. 2,785,950
9,200 PacifiCare Health Systems,
Cl. B(a).......................... 784,300
----------
4,294,250
----------
HOTEL/MOTEL - 0.82%
41,500 Marriott International Inc. ....... 1,971,250
----------
HOUSEHOLD PRODUCTS - 1.55%
20,300 Clorox Co. ........................ 1,748,337
23,300 Procter & Gamble................... 1,974,675
----------
3,723,012
----------
INSURANCE - 1.99%
31,100 American International Group
Inc............................... 2,911,738
12,800 General Re Corp. .................. 1,865,600
----------
4,777,338
----------
</TABLE>

See Notes to Financial Statements on Pages 28 - 29

14
<PAGE> 66

- --------------------------------------------------------------------------------
Asset Management Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- ------------ ----------------------------------- -------------
<C> <S> <C>
LEISURE RELATED - 0.37%
3,900 Harcourt General Inc. ............. $ 176,963
11,227 Walt Disney Co. ................... 717,124
----------
894,087
----------
MANUFACTURING - 0.70%
43,700 Millipore Corp. ................... 1,671,525
----------
METALS - 0.58%
43,500 Alcan Aluminium Ltd. .............. 1,402,875
----------
METALS & MINING - 0.08%
3,200 Potash of Saskatchewan............. 200,000
----------
OFFICE EQUIPMENT - 0.69%
6,600 International Business Machines
Corp. ............................ 733,425
7,300 Xerox Corp. ....................... 916,150
----------
1,649,575
----------
OIL EQUIPMENT & SERVICES - 0.29%
8,700 Schlumberger Ltd. ................. 688,388
----------
OIL - DOMESTIC - 0.78%
7,300 Chevron Corp. ..................... 409,712
43,900 Unocal Corp. ...................... 1,465,163
----------
1,874,875
----------
OIL - INTERNATIONAL - 2.81%
20,500 Exxon Corp. ....................... 1,673,312
15,800 Mobil.............................. 1,830,825
10,300 Royal Dutch Petroleum Co. - ADR.... 1,454,875
20,800 Texaco Inc. ....................... 1,788,800
----------
6,747,812
----------
PAPER - 0.30%
18,200 International Paper................ 716,625
----------
PETROLEUM RELATED - 0.25%
5,500 Amoco Corp. ....................... 397,375
1,800 Atlantic Richfield................. 214,200
----------
611,575
----------
PHARMACEUTICALS - 0.24%
14,100 Pharmacia & Upjohn Inc. ........... 562,238
----------
PRINTING & PUBLISHING - 0.51%
14,000 McGraw-Hill Cos. Inc. ............. 1,214,500
----------
PRODUCTIVITY ENHANCEMENT - 0.06%
8,500 Teradyne Inc.(a)................... 142,375
----------
PROFESSIONAL SERVICES - 0.12%
7,900 H & R Block........................ 285,387
----------

<CAPTION>
SHARES SECURITY VALUE
- ------------ ----------------------------------- -------------
<C> <S> <C>
RAILROADS - 1.01%
29,400 Burlington Northern Santa Fe....... $ 2,414,475
----------
RETAIL - 0.75%
20,800 Rite Aid........................... 642,200
50,100 Wal-Mart Stores Inc. .............. 1,158,562
----------
1,800,762
----------
TELECOMMUNICATIONS - 2.04%
3,333 360 Communications Co.(a).......... 79,575
6,100 Ameritech Corp. ................... 332,450
23,400 AT&T Corporation................... 1,433,250
57,500 Comcast Corp. Spcl Cl. A........... 1,017,031
14,100 Frontier Corp. .................... 444,150
23,600 GTE Corp. ......................... 1,035,450
10,500 MCI Communications................. 317,625
4,700 NYNEX Corp. ....................... 234,413
----------
4,893,944
----------
TOBACCO - 0.46%
12,600 Philip Morris...................... 1,105,650
----------
UTILITY - ELECTRIC - 0.64%
10,800 American Electric Power............ 450,900
9,000 FPL Group.......................... 407,250
7,400 Southern Co. ...................... 176,675
12,100 Texas Utilities Co. ............... 500,637
----------
1,535,462
----------
UTILITY - NATURAL GAS - 0.52%
28,500 Consolidated Natural Gas........... 1,239,750
----------
UTILITY - TELEPHONE - 0.60%
4,800 Bell Atlantic Corp. ............... 296,400
11,000 BellSouth Corp. ................... 407,000
6,700 SBC Communications Inc. ........... 352,587
10,000 Sprint Corp. ...................... 380,000
----------
1,435,987
----------
TOTAL COMMON STOCKS
(Cost $95,149,189)............................... $ 105,224,918
----------
<CAPTION>
PRINCIPAL
AMOUNT
- ------------
<C> <S> <C>
CORPORATE DEBT
NON-CONVERTIBLE - 5.20%
BANKS - 0.81%
$ 250,000 Bayriesche L/B, 6.375%, 10/15/05... 243,136
275,000 Dresdner Bank - New York, 6.625%,
9/15/05........................... 270,335
</TABLE>

See Notes to Financial Statements on Pages 28 - 29

15
<PAGE> 67

- --------------------------------------------------------------------------------
Asset Management Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY VALUE
- ------------ ----------------------------------- -------------
<C> <S> <C>
$ 480,000 First Bank N.A., 6.25%, 8/15/05.... $ 448,953
100,000 Fleet/Norstar Group, 7.65%,
3/1/97............................ 101,523
425,000 International Bank Reconstruction &
Development, 8.875%, 3/1/26....... 513,247
385,000 Standard Credit Card Master Trust,
6.55%, 10/07/05................... 376,965
----------
1,954,159
----------
FINANCIAL SERVICES - 1.90%
925,000 BHP Finance USA, 6.42%, 3/01/26.... 905,681
1,000,000 Dean Witter Discover, 6.50%,
11/01/05.......................... 965,057
225,000 Dean Witter Discover, 6.875%,
3/01/03........................... 225,148
470,000 Ford Motor Credit, 6.250%,
11/08/00.......................... 463,823
105,000 Goldman Sachs, 5.6445%,
2/23/98(b)(d)..................... 105,389
600,000 Great Western Financial, 6.375%,
7/01/00........................... 596,807
320,000 ITT Hartford, 6.375%, 11/01/02..... 311,062
195,000 KFW International Finance, 8.20%,
6/01/06........................... 212,834
225,000 Paine Webber Group, 8.25%,
5/01/02........................... 237,803
340,000 Paine Webber Group, 9.25%,
12/15/01.......................... 376,532
155,000 Swedish Export Credit, 9.875%,
3/15/38........................... 169,737
----------
4,569,873
----------
INDUSTRIAL - 1.68%
750,000 Auburn Hills Trust, 12.00%,
5/01/20........................... 1,101,705
475,000 Brunswick, 8.125%, 4/01/97......... 484,786
475,000 Carter Holt Harvey, 7.625%,
4/15/02........................... 492,512
840,000 Celulosa Arauco Y Constitucion
S.A., 6.75%, 12/15/03............. 803,525
490,000 Laidlaw, 7.70%, 8/15/02............ 508,529
600,000 News America Holdings, 8.50%,
2/15/05........................... 646,378
----------
4,037,435
----------
OIL - DOMESTIC - 0.19%
440,000 Occidental Petroleum, 9.50%,
7/15/97........................... 458,747
----------
OIL - INTERNATIONAL - 0.04%
85,000 BHP Finance USA, 7.875%,
12/01/02.......................... 89,262
----------

<CAPTION>
PRINCIPAL
AMOUNT SECURITY VALUE
- ------------ ----------------------------------- -------------
<C> <S> <C>
RETAIL - 0.07%
$ 150,000 May Department Stores, 8.375%,
8/01/24........................... $ 160,752
----------
UTILITY - ELECTRIC - 0.42%
35,000 Idaho Power, 8.00%, 3/15/04........ 37,129
140,000 Potomac Edison, 8.00%, 6/01/24..... 141,153
625,000 Southern California Edison, 6.50%,
6/01/01........................... 619,696
195,000 Virginia Electric & Power, 8.625%,
10/01/24.......................... 209,196
----------
1,007,174
----------
UTILITY - NATURAL GAS - 0.09%
175,000 KN Energy, 9.625%, 8/01/21......... 205,079
----------
TOTAL CORPORATE DEBT NON-CONVERTIBLE
(Cost $12,688,929)............................... $ 12,482,481
----------
CORPORATE DEBT CONVERTIBLE - FOREIGN - 0.36%
GERMANY - 0.36%
635,000 Landbank Hessen-Thueringen, 6.25%,
11/10/08.......................... 592,137
260,000 Nordeutsche L/B Girozen, 6.875%,
3/10/03........................... 261,138
----------
853,275
----------
TOTAL CORPORATE DEBT CONVERTIBLE - FOREIGN
(Cost $838,977).................................. $ 853,275
----------
U.S. GOVERNMENT & AGENCY - 8.31%
155,036 FGHLMC, 9.5%, 2/01/25(c)........... 165,394
8,700,298 FHLMC, 6.93% to 7.50%, maturing
9/05/00 to 9/01/25(c)............. 8,692,903
7,297,781 FNMA, 6.00% to 8.625%, maturing
1/01/01 to 8/01/25(c)............. 7,280,987
2,569,083 GNMA, 7.00% to 8.50%, maturing
9/15/23 to 3/15/26(c)............. 2,575,979
1,145,000 Tennessee Valley Authority, 8.25%,
4/15/42........................... 1,237,998
----------
TOTAL U.S. GOVERNMENT & AGENCY
(Cost $20,203,996)............................... $ 19,953,261
----------
</TABLE>

See Notes to Financial Statements on Pages 28 - 29

16
<PAGE> 68

<CAPTION>
PRINCIPAL
AMOUNT SECURITY VALUE
- ------------ ----------------------------------- -------------
<C> <S> <C>
REPURCHASE AGREEMENT - 17.16%
$ 41,208,272 Sanwa Bank, dated 3/29/96, 5.35%
principal and interest in the
amount of $41,226,644, due 4/1/96,
(collateralized by U.S. Treasury
Notes, par value of $12,281,000);
5.875%, due 7/31/97, value of
$10,315,540, U.S. Treasury Notes,
par value of $28,976,000, 5.625%,
due 10/31/97, value of
$28,994,110)...................... $ 41,208,272
-----------
TOTAL SHORT TERM INSTRUMENTS
(Cost $83,364,950)............................... 83,364,950
-----------
TOTAL INVESTMENTS
(Cost $230,224,245) - 99.70%..................... 239,411,417
Other Assets Less Liabilities - 0.30%............. 730,991
-----------
NET ASSETS - 100.00%.............................. $ 240,142,408
===========
</TABLE>

- ------------------
(a) Non-Income Producing Securities
(b) Quarterly Floating Rate Note
(c) The following abbreviations are used in the portfolio description.

FGHLMC - Federal Gold Home Loan Mortgage Corporation
FHLMC - Federal Home Loan Mortgage Corporation
FNMA - Federal National Mortgage Association
GNMA - Government National Mortgage Association

(d) Securities exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers. At the period end,
the value of these securities amounted to $105,389 or 0.04% of net assets.

<CAPTION>
SHARES SECURITY VALUE
- ------------ ------------------------------------ ------------
<C> <S> <C>
AIRLINES - 0.82%
4,700 AMR Corporation(a).................. $ 420,650
---------
</TABLE>

See Notes to Financial Statements on Pages 28 - 29

17
<PAGE> 69

- --------------------------------------------------------------------------------
Asset Management Portfolio II
SCHEDULE OF INVESTMENTS March 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- ------------ ------------------------------------ ------------
<C> <S> <C>
AUTO RELATED - 1.49%
3,500 Chrysler Corp. ..................... $ 217,875
7,100 Dana Corp. ......................... 236,962
1,700 Ford Motor Co. ..................... 58,438
4,700 General Motors Corp. ............... 250,275
---------
763,550
---------
BANKS - 0.94%
3,300 BankAmerica Corporation............. 255,750
1,600 BayBanks Inc. ...................... 172,000
700 Citicorp............................ 56,000
---------
483,750
---------
BEVERAGES - 0.74%
6,000 PepsiCo Inc. ....................... 379,500
---------
BLDG. - FOREST PROD - 0.24%
2,700 Champion International Corp. ....... 122,175
---------
CHEMICALS - 1.63%
900 Air Products & Chemical Corp. ...... 49,162
2,900 Du Pont (E.I.) de Nemours &
Company............................ 240,700
1,600 IMC Global Inc. .................... 58,400
3,200 Monsanto Co. ....................... 491,200
---------
839,462
---------
CLIENT SERVER COMPUTING - 0.19%
3,100 Bay Networks(a)..................... 95,325
---------
COMPUTER SERVICES - 0.74%
6,700 General Motors, Cl E................ 381,900
---------
COMPUTER SOFTWARE - 1.00%
4,400 Cisco Systems(a).................... 204,050
4,300 Computer Associates International
Inc. .............................. 307,987
---------
512,037
---------
DIVERSIFIED - 0.12%
800 Textron Inc. ....................... 64,000
---------
DRUGS - 1.88%
7,100 Merck & Co.......................... 441,975
6,000 Pfizer, Inc. ....................... 402,000
2,100 Schering-Plough Corp. .............. 122,063
---------
966,038
---------
ELECTRICAL EQUIPMENT - 1.20%
6,200 General Electric.................... 482,825
1,400 Hewlett-Packard..................... 131,600
---------
614,425
---------

<CAPTION>
SHARES SECURITY VALUE
- ------------ ------------------------------------ ------------
<C> <S> <C>
ELECTRONICS - 0.97%
5,400 Allied-Signal Inc. ................. $ 319,275
1,300 Intel Corp. ........................ 73,937
2,100 Texas Instruments................... 106,838
---------
500,050
---------
FINANCIAL SERVICES - 2.50%
3,900 Federal Home Loan Mortgage.......... 332,475
1,800 Federal National Mortgage........... 57,375
2,900 First Data.......................... 204,450
2,800 Household International............. 188,300
6,750 MBNA Corp. ......................... 199,969
1,900 Merrill Lynch & Co. Inc. ........... 115,425
1,000 Price (T. Rowe) Associates.......... 53,000
2,000 Travelers Group Inc. ............... 132,000
---------
1,282,994
---------
FOODS - 1.49%
5,500 CPC International................... 381,562
3,300 Premark International Inc........... 176,962
6,400 Sara Lee Corp. ..................... 208,800
---------
767,324
---------
HEALTHCARE - 0.06%
800......... Abbott Laboratories................. 32,600
---------
HOSPITAL SUPL/SERV - 1.25%
2,400 Baxter International Inc. .......... 108,600
4,500 Johnson & Johnson................... 415,125
1,400 PacifiCare Health Systems, Cl.
B(a)............................... 119,350
---------
643,075
---------
HOTEL/MOTEL - 0.57%
6,200 Marriott International Inc. ........ 294,500
---------
HOUSEHOLD PRODUCTS - 1.10%
3,100 Clorox Co. ......................... 266,987
3,500 Procter & Gamble.................... 296,625
---------
563,612
---------
INSURANCE - 1.42%
4,700 American International Group........ 440,037
2,000 General Re Corp. ................... 291,500
---------
731,537
---------
LEISURE RELATED - 0.26%
1,678 Walt Disney Co. .................... 107,182
600 Harcourt General.................... 27,225
---------
134,407
---------
MANUFACTURING - 0.48%
6,500 Millipore Corp. .................... 248,625
---------
METALS - 0.41%
6,500 Alcan Aluminium Ltd................. 209,625
---------
</TABLE>

See Notes to Financial Statements on Pages 28 - 29

18
<PAGE> 70

- --------------------------------------------------------------------------------
Asset Management Portfolio II
SCHEDULE OF INVESTMENTS March 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- ------------ ------------------------------------ ------------
<C> <S> <C>
METALS & MINING - 0.06%
500 Potash of Saskatchewan.............. $ 31,250
---------
OFFICE EQUIP - 0.48%
1,000 International Business Machine
Corp. ............................. 111,125
1,100 Xerox Corp. ........................ 138,050
---------
249,175
---------
OIL EQUIPMENT & SERVICES - 0.20%
1,300 Schlumberger Ltd.................... 102,863
---------
OIL - DOMESTIC - 0.55%
1,100 Chevron Corp. ...................... 61,738
6,600 Unocal.............................. 220,275
---------
282,013
---------
OIL - INTERNATIONAL - 1.97%
3,100 Exxon Corp. ........................ 253,038
2,400 Mobil............................... 278,100
1,500 Royal Dutch Petroleum Co. - ADR..... 211,875
3,100 Texaco Inc. ........................ 266,600
---------
1,009,613
---------
PAPER - 0.21%
2,700 International Paper................. 106,313
---------
PETROLEUM RELATED - 0.18%
800 Amoco Corp. ........................ 57,800
300 Atlantic Richfield.................. 35,700
---------
93,500
---------
PHARMACEUTICALS - 0.16%
2,100 Pharmacia & Upjohn Inc. ............ 83,738
---------
PRINTING & PUBLISHING - 0.35%
2,100 McGraw-Hill Cos. Inc. .............. 182,175
---------
PRODUCTIVITY ENHANCEMENT - 0.04%
1,200 Teradyne Inc.(a).................... 20,100
---------
PROFESSIONAL SERVICES - 0.09%
1,200 H & R Block......................... 43,350
---------
RAILROADS - 0.71%
4,400 Burlington Northern
Santa Fe........................... 361,350
---------
RETAIL - 0.52%
3,100 Rite Aid............................ 95,712
7,500 Wal-Mart Stores..................... 173,438
---------
269,150
---------

<CAPTION>
SHARES SECURITY VALUE
- ------------ ------------------------------------ ------------
<C> <S> <C>
TELECOMMUNICATIONS - 1.42%
500 360 Communications Co.(a)........... $ 11,938
900 Ameritech Corp. .................... 49,050
3,500 AT&T Corporation.................... 214,375
8,600 Comcast Corp. Spcl Cl. A............ 152,113
2,100 Frontier Corp. ..................... 66,150
3,500 GTE Corp. .......................... 153,562
1,600 MCI Communications.................. 48,400
700 NYNEX Corp. ........................ 34,912
---------
730,500
---------
TOBACCO - 0.32%
1,900 Philip Morris....................... 166,725
---------
UTILITY - ELECTRIC - 0.45%
1,600 American Electric Power............. 66,800
1,400 FPL Group........................... 63,350
1,100 Southern............................ 26,263
1,800 Texas Utilities Co. ................ 74,475
---------
230,888
---------
UTILITY - GAS, NATURAL GAS - 0.37%
4,300 Consolidated Natural Gas............ 187,050
---------
UTILITY - TELEPHONE - 0.41%
700 Bell Atlantic Corp. ................ 43,225
1,600 BellSouth Corp. .................... 59,200
1,000 SBC Communications Inc. ............ 52,625
1,500 Sprint Corp. ....................... 57,000
---------
212,050
---------
TOTAL COMMON STOCKS
(Cost $14,343,981)................................ $ 15,764,501
---------
<CAPTION>
PRINCIPAL
AMOUNT
- ------------
<C> <S> <C>
CORPORATE DEBT
NON-CONVERTIBLE - 7.55%
AEROSPACE - 0.15%
$ 75,000 Lockheed, 7.875%, 3/15/23........... $ 75,484
---------
BANKS - 1.03%
85,000 Bayerische L/B, 6.375%, 10/15/05.... 82,667
100,000 Dresdner Bank - New York, 6.625%,
9/15/05............................ 98,304
50,000 Fleet/Norstar Group, 7.65%,
03/01/97........................... 50,761
140,000 International Bank Reconstruction &
Development, 8.875%, 03/01/26...... 169,069
130,000 Standard Credit Card Master Trust,
6.55%, 10/07/05.................... 127,287
---------
528,088
---------
</TABLE>

See Notes to Financial Statements on Pages 28 - 29

19
<PAGE> 71

- --------------------------------------------------------------------------------
Asset Management Portfolio II
SCHEDULE OF INVESTMENTS March 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY VALUE
- ------------ ------------------------------------ ------------
<C> <S> <C>
FINANCIAL SERVICES - 2.41%
$ 250,000 BHP Finance USA, 6.420%,
3/01/26............................ $ 244,779
350,000 Dean Witter Discover, 6.500%,
11/01/05........................... 337,770
185,000 Ford Motor Credit, 6.250%,
11/08/00........................... 182,568
85,000 GMAC, 8.625%, 1/18/01............... 91,889
50,000 Goldman Sachs, 6.3125%,
2/23/98(b)(d)...................... 50,185
110,000 ITT Hartford, 6.375%, 11/01/02...... 106,928
55,000 KFW International Finance, 8.20%,
6/01/06............................ 60,030
110,000 Paine Webber Group, 9.25%,
12/15/01........................... 121,819
40,000 Swedish Export Credit, 9.875%,
3/15/38............................ 43,803
---------
1,239,771
---------
HOSPITAL SUPL/SERV - 0.29%
95,000 Columbia/HCA Healthcare, 6.91%,
6/15/05............................ 94,660
50,000 Columbia/HCA Healthcare, 8.7%,
2/10/10............................ 56,315
---------
150,975
---------
INDUSTRIAL - 2.35%
210,000 Auburn Hills Trust, 12.0%,
5/01/20............................ 308,477
165,000 Brunswick, 8.125%, 4/01/97.......... 168,400
160,000 Carter Holt Harvey, 7.625%,
4/15/02............................ 165,899
230,000 Celulosa Arauco Y Constitucion S.A.,
6.75%, 12/15/03.................... 220,013
165,000 Laidlaw, 7.70%, 8/15/02............. 171,239
160,000 News America Holdings, 8.500%,
2/15/05............................ 172,367
---------
1,206,395
---------
OIL - DOMESTIC - 0.24%
120,000 Occidental Petroleum, 9.500%,
7/15/97............................ 125,113
---------
OIL - INTERNATIONAL - 0.15%
75,000 BHP Finance USA, 7.875%,
12/01/02........................... 78,761
---------
RETAIL - 0.14%
65,000 May Department Stores, 8.375%,
8/01/24............................ 69,659
---------

<CAPTION>
PRINCIPAL
AMOUNT SECURITY VALUE
- ------------ ------------------------------------ ------------
<S> <C>
UTILITY - ELECTRIC - 0.62%
$ 45,000 Idaho Power, 8.00%, 3/15/04......... $ 47,737
60,000 Potomac Edison, 8.00%, 6/01/24...... 60,494
170,000 Southern California Edison, 6.500%,
6/01/01............................ 168,557
40,000 Virginia Electric & Power, 8.625%,
10/01/24........................... 42,912
---------
319,700
---------
UTILITY - GAS, NATURAL GAS - 0.17%
75,000 KN Energy, 9.625%, 8/01/21.......... 87,891
---------
TOTAL CORPORATE DEBT NON-CONVERTIBLE
(Cost $3,918,632)................................. $ 3,881,837
---------
CORPORATE DEBT CONVERTIBLE - FOREIGN - 0.22%
GERMANY 0.22%
115,000 Nordeutsche L/B Girozen, 6.875%,
3/10/03............................ 115,503
---------
TOTAL CORPORATE DEBT CONVERTIBLE -
FOREIGN (Cost $110,407)........................... $ 115,503
---------
U.S. GOVERNMENT & AGENCY - 10.93%
900,328 FGHLMC, 7.50% to 9.50%, maturing
2/01/25 to 9/01/25(c).............. 927,540
1,072,709 FHLMC, 6.93% to 7.50%, maturing
9/05/00 to 9/01/25(c).............. 1,071,706
468,177 FNMA, 6.00% to 8.625%, maturing
1/01/01 to 11/10/04(c)............. 469,817
2,809,718 GNMA, 6.50% to 9.00%, maturing
9/15/23 to 10/15/25(c)............. 2,808,506
315,000 Tennessee Valley Authority, 8.25%,
4/15/42............................ 340,585
---------
TOTAL U.S. GOVERNMENT & AGENCY SECURITIES
(Cost $5,724,071)................................. $ 5,618,154
---------
FOREIGN DEBT - 0.96%
GOVERNMENT - 0.72%
65,000 New Zealand Government, 10.625%,
11/15/05........................... 82,864
65,000 New Zealand Government, 8.75%,
12/15/06........................... 75,051
125,000 Province of Quebec, 6.50%, 1/17/06.. 120,039
100,000 Quebec Province, 7.125%, 2/09/24.... 92,599
---------
370,553
---------
INDUSTRIAL - 0.24%
125,000 Manitoba, 6.125%, 1/19/04........... 120,451
---------
TOTAL FOREIGN DEBT
(Cost $497,177)................................... $ 491,004
---------
</TABLE>

See Notes to Financial Statements on Pages 28 - 29

20
<PAGE> 72

<CAPTION>
PRINCIPAL
AMOUNT SECURITY VALUE
- ------------ ------------------------------------ ------------
<S> <C>
TOTAL SHORT TERM INSTRUMENTS
(Cost $20,677,682)................................ $ 20,677,682
----------
TOTAL INVESTMENTS
(Cost $49,519,508) - 98.69%....................... 50,728,202
Other Assets Less Liabilities - 1.31%............. 671,346
----------
NET ASSETS - 100.00%.............................. $ 51,399,548
==========
</TABLE>

- ------------------
(a) Non-Income Producing Securities
(b) Quarterly Floating Rate Note
(c) 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
(d) Securities exempt from registration under Rule 144A of the Securities Act
of 1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers. At the period
end, the value of these securities amounted to $50,185 or 0.10% of net
assets.

<CAPTION>
SHARES SECURITY VALUE
- ------------ ------------------------------------ ------------
<C> <S> <C>
AUTO RELATED - 0.90%
1,200 Chrysler Corp. ..................... $ 74,700
2,400 Dana Corp. ......................... 80,100
600 Ford Motor Co. ..................... 20,625
1,600 General Motors Corp. ............... 85,200
---------
260,625
---------
BANKS - 0.56%
1,100 BankAmerica Corporation............. 85,250
500 BayBanks Inc. ...................... 53,750
300 Citicorp............................ 24,000
---------
163,000
---------
</TABLE>

See Notes to Financial Statements on Pages 28 - 29

21
<PAGE> 73

- --------------------------------------------------------------------------------
Asset Management Portfolio III
SCHEDULE OF INVESTMENTS March 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- ------------ ------------------------------------ ------------
<C> <S> <C>
BEVERAGES - 0.44%
2,000 PepsiCo Inc. ....................... $ 126,500
---------
BLDG. - FOREST PROD - 0.14%
900 Champion International Corp. ....... 40,725
---------
CHEMICALS - 0.91%
300 Air Products & Chemical Corp. ...... 16,387
900 Du Pont (E.I.) de Nemours
& Company.......................... 74,700
500 IMC Global Inc. .................... 18,250
1,000 Monsanto Co. ....................... 153,500
---------
262,837
---------
CLIENT SERVER COMPUTING - 0.11%
1,000 Bay Networks(a)..................... 30,750
---------
COMPUTER SERVICES - 0.43%
2,200 General Motors, Cl E................ 125,400
---------
COMPUTER SOFTWARE - 0.57%
1,400 Cisco Systems(a).................... 64,925
1,400 Computer Associates International
Inc. .............................. 100,275
---------
165,200
---------
DIVERSIFIED - 0.06%
200 Textron Inc. ....................... 16,000
---------
DRUGS - 1.10%
2,300 Merck & Co. ........................ 143,175
2,000 Pfizer, Inc. ....................... 134,000
700 Schering-Plough Corp. .............. 40,687
---------
317,862
---------
ELECTRICAL EQUIPMENT - 0.67%
2,000 General Electric.................... 155,750
400 Hewlett-Packard..................... 37,600
---------
193,350
---------
ELECTRONICS - 0.59%
1,800 Allied-Signal Inc. ................. 106,425
500 Intel Corp. ........................ 28,437
700 Texas Instruments................... 35,613
---------
170,475
---------
FINANCIAL SERVICES - 1.47%
1,200 Federal Home Loan Mortgage.......... 102,300
600 Federal National Mortgage........... 19,125
1,000 First Data.......................... 70,500
900 Household International............. 60,525
2,250 MBNA Corp. ......................... 66,656

<CAPTION>
SHARES SECURITY VALUE
- ------------ ------------------------------------ ------------
<C> <S> <C>
600 Merrill Lynch & Co. Inc. ........... $ 36,450
400 Price (T. Rowe) Associates.......... 21,200
700 Travelers Group Inc. ............... 46,200
---------
422,956
---------
FOODS - 0.87%
1,800 CPC International................... 124,875
1,100 Premark International Inc. ......... 58,987
2,100 Sara Lee Corp. ..................... 68,513
---------
252,375
---------
HEALTHCARE - 0.04%
300 Abbott Laboratories................. 12,225
---------
HOSPITAL SUPL/SERV - 0.72%
800 Baxter International Inc. .......... 36,200
1,500 Johnson & Johnson................... 138,375
400 PacifiCare Health Systems, Cl.
B(a)............................... 34,100
---------
208,675
---------
HOTEL/MOTEL - 0.35%
2,100 Marriott International Inc. ........ 99,750
---------
HOUSEHOLD PRODUCTS - 0.62%
1,000 Clorox Co. ......................... 86,125
1,100 Procter & Gamble.................... 93,225
---------
179,350
---------
INSURANCE - 0.79%
1,500 American International Group........ 140,438
600 General Re Corp. ................... 87,450
---------
227,888
---------
LEISURE RELATED - 0.15%
524 Walt Disney Co...................... 33,471
200 Harcourt General Inc................ 9,075
---------
42,546
---------
MANUFACTURING - 0.29%
2,200 Millipore Corp...................... 84,150
---------
METALS - 0.25%
2,200 Alcan Aluminium Ltd................. 70,950
---------
METALS & MINING - 0.04%
200 Potash of Saskatchewan.............. 12,500
---------
OFFICE EQUIP - 0.25%
300 International Business Machine
Corp............................... 33,338
300 Xerox Corp.......................... 37,650
---------
70,988
---------
OIL EQUIPMENT & SERVICES - 0.14%
500 Schlumberger Ltd.................... 39,563
---------
</TABLE>

See Notes to Financial Statements on Pages 28 - 29

22
<PAGE> 74

- --------------------------------------------------------------------------------
Asset Management Portfolio III
SCHEDULE OF INVESTMENTS March 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- ------------ ------------------------------------ ------------
<C> <S> <C>
OIL - DOMESTIC - 0.33%
400 Chevron Corp........................ $ 22,450
2,200 Unocal.............................. 73,425
---------
95,875
---------
OIL - INTERNATIONAL - 1.10%
1,000 Exxon Corp.......................... 81,625
700 Mobil............................... 81,112
500 Royal Dutch Petroleum Co. - ADR..... 70,625
1,000 Texaco Inc.......................... 86,000
---------
319,362
---------
PAPER - 0.12%
900 International Paper................. 35,438
---------
PETROLEUM RELATED - 0.12%
300 Amoco Corp. ........................ 21,675
100 Atlantic Richfield.................. 11,900
---------
33,575
---------
PHARMACEUTICALS - 0.10%
700 Pharmacia & Upjohn Inc.............. 27,912
---------
PRINTING & PUBLISHING - 0.18%
600 McGraw-Hill Cos. Inc................ 52,050
---------
PRODUCTIVITY ENHANCEMENT - 0.02%
400 Teradyne Inc.(a).................... 6,700
---------
PROFESSIONAL SERVICES - 0.05%
400 H & R Block......................... 14,450
---------
RAILROADS - 0.40%
1,400 Burlington Northern Santa Fe........ 114,975
---------
RETAIL - 0.30%
1,000 Rite Aid............................ 30,875
2,400 Wal-Mart Stores Inc................. 55,500
---------
86,375
---------
TELECOMMUNICATIONS - 0.86%
166 360 Communications.................. 3,963
300 Ameritech Corp...................... 16,350
1,200 AT&T Corporation.................... 73,500
2,800 Comcast Corp. spcl, Cl. A........... 49,525
700 Frontier Corp....................... 22,050
1,200 GTE Corp. .......................... 52,650
500 MCI Communications.................. 15,125
300 NYNEX Corp.......................... 14,963
---------
248,126
---------
TOBACCO - 0.18%
600 Philip Morris....................... 52,650
---------

<CAPTION>
SHARES SECURITY VALUE
- ------------ ------------------------------------ ------------
<C> <S> <C>
UTILITY - ELECTRIC - 0.28%
600 American Electric Power............. $ 25,050
500 FPL Group........................... 22,625
400 Southern Co......................... 9,550
600 Texas Utilities Co.................. 24,825
---------
82,050
---------
UTILITY - GAS, NATURAL GAS - 0.21%
1,400 Consolidated Natural Gas............ 60,900
---------
UTILITY - TELEPHONE - 0.28%
300 Bell Atlantic Co.................... 18,525
600 BellSouth Corp...................... 22,200
400 SBC Communications Inc.............. 21,050
500 Sprint Corp......................... 19,000
---------
80,775
---------
TOTAL COMMON STOCKS
(Cost $4,544,088).................................. $5,148,090
---------
PRINCIPAL
AMOUNT
- ------------
CORPORATE DEBT
NON-CONVERTIBLE - 10.31%
AEROSPACE - 0.42%
$ 120,000 Lockheed Corp., 7.875%, 3/15/23..... $ 120,775
---------
BANKS - 2.13%
100,000 Bayerische L/B, 6.375%, 10/15/05.... 97,255
120,000 Dresdner Bank - New York, 6.625%,
9/15/05............................ 117,964
60,000 Fleet/Norstar Group, 7.65%,
3/01/97............................ 60,914
215,000 International Bank Reconstruction &
Development, 8.875%, 3/01/26....... 259,642
80,000 Standard Credit Card Master Trust,
6.55%, 10/07/05.................... 78,330
---------
614,105
---------
FINANCIAL SERVICES - 3.25%
200,000 BHP Finance USA, 6.420%, 3/01/26.... 195,823
50,000 Dean Witter Discover, 6.875%,
3/01/03............................ 50,033
220,000 Ford Motor Credit, 6.250%,
11/08/00........................... 217,108
60,000 Goldman Sachs, 5.6445%(b)(d),
2/23/98............................ 60,222
140,000 ITT Hartford, 6.375%, 11/01/02...... 136,089
70,000 KFW International Finance, 8.20%,
6/01/06............................ 76,402
135,000 Paine Webber Group, 9.25%,
12/15/01........................... 149,505
50,000 Swedish Export Credit, 9.875%,
3/15/38............................ 54,754
---------
939,936
---------
</TABLE>

See Notes to Financial Statements on Pages 28 - 29

23
<PAGE> 75

- --------------------------------------------------------------------------------
Asset Management Portfolio III
SCHEDULE OF INVESTMENTS March 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY VALUE
- ------------ ------------------------------------ ------------
<S> <C>
HOSPITAL SUPL/SERV - 0.72%
$ 130,000 Columbia/HCA Healthcare, 6.91%,
6/15/05............................ $ 129,535
70,000 Columbia/HCA Healthcare, 8.7%,
2/10/10............................ 78,841
----------
208,376
----------
INDUSTRIAL - 2.12%
165,000 Auburn Hills Trust, 12.0%,
5/01/20............................ 242,375
180,000 Celulosa Arauco Y Constitucion S.A.,
6.75%, 12/15/03.................... 172,184
190,000 Laidlaw, 7.7%, 8/15/02.............. 197,185
----------
611,744
----------
OIL - INTERNATIONAL - 0.33%
90,000 BHP Finance USA, 7.875%, 12/01/02... 94,513
----------
RETAIL - 0.30%
80,000 May Department Stores, 8.375%,
8/01/24............................ 85,735
----------
UTILITY - ELECTRIC - 0.63%
50,000 Idaho Power, 8.00%, 3/15/04......... 53,042
75,000 Potomac Edison, 8.00%, 6/01/24...... 75,617
50,000 Virginia Electric & Power, 8.625%,
10/01/24........................... 53,640
----------
182,299
----------
UTILITY - GAS, NATURAL GAS - 0.41%
100,000 KN Energy, 9.625%, 8/01/21.......... 117,188
----------
TOTAL CORPORATE DEBT NON-CONVERTIBLE
(Cost $2,962,761).................................. $2,974,671
----------
CORPORATE DEBT CONVERTIBLE -
FOREIGN - 0.49%
GERMANY - 0.49%
140,000 Nordeutsche L/B Girozen, 6.875%,
3/10/03............................ 140,613
----------
TOTAL CORPORATE DEBT CONVERTIBLE - FOREIGN
(Cost $134,408).................................... $140,613
----------

<CAPTION>
PRINCIPAL
AMOUNT SECURITY VALUE
- ------------ ------------------------------------ ------------
<S> <C>
U.S. GOVERNMENT &
AGENCIES - 15.51%
$ 800,000 FGHLMC, 7.50%, 9/01/25(c)........... $ 800,746
311,527 FHLMC, 6.93% to 9.50%, maturing
9/05/00 to 2/01/25(c).............. 501,942
1,595,298 FNMA, 6.00% to 8.625% maturing
1/1/01 to 8/1/25(c)................ 1,621,806
1,358,464 GNMA, 6.5%, 9/15/23(c).............. 1,289,261
245,000 Tennessee Valley Authority, 8.25%,
4/15/42............................ 264,899
----------
TOTAL U.S. GOVERNMENT & AGENCIES
(Cost $4,565,350).................................. $4,478,654
----------
FOREIGN DEBT - 1.51%
GOVERNMENT - 1.09%
80,000 New Zealand Government, 10.625%,
11/15/05........................... 101,986
80,000 New Zealand Government 8.75%,
12/15/06........................... 92,371
130,000 Quebec Province, 7.125%, 2/09/24.... 120,379
----------
314,736
----------
INDUSTRIAL - 0.42%
125,000 Manitoba, 6.125%, 1/19/04........... 120,451
----------
TOTAL FOREIGN DEBT
(Cost $436,592).................................... $435,187
----------
U.S. TREASURY SECURITIES - 11.32%
460,000 U.S. Treasury Bonds, 7.25%,
8/15/22............................ 480,125
2,815,000 U.S. Treasury Notes, 5.00% to 5.50%,
maturing 12/31/97 to 11/15/98...... 2,788,079
----------
TOTAL U.S. TREASURY SECURITIES
(Cost $3,326,671).................................. $3,268,204
----------
SHORT TERM INSTRUMENTS - 41.97%
U.S. TREASURY BILLS - 28.17%
8,160,000 4.97% to 5.225%, maturing 4/25/96 to
5/16/96............................ 8,131,402
----------
</TABLE>

See Notes to Financial Statements on Pages 28 - 29

24
<PAGE> 76

<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY VALUE
- ------------ ------------------------------------ ------------
<C> <S> <C>
REPURCHASE AGREEMENT - 13.80%
$ 3,987,048 Sanwa Bank, 5.35%, dated 3/29/96,
principal and interest in the
amount of $3,988,826 due 4/1/96
(collateralized by U.S. Treasury
Notes, par value of $2,758,000,
11.25%, due 2/15/15, value of
$4,055,122)........................ $ 3,987,048
------------
TOTAL SHORT TERM INSTRUMENTS
(Cost $12,118,450)................................. 12,118,450
------------
TOTAL INVESTMENTS
(Cost $28,088,320) - 98.94%........................ 28,563,869
Other Assets Less Liabilities - 1.06%.............. 304,796
------------
NET ASSETS - 100.00%............................... $ 28,868,665
============
</TABLE>

(a) Non-Income Producing Securities
(b) Quarterly Floating Rate Note
(c) The following abbreviations are used in the portfolio description.
FGHLMC - Federal Gold Home Loan Mortgage Corporation
FHLMC - Federal Home Loan Mortgage Corporation
FNMA - Federal National Mortgage Association
GNMA - Government National Mortgage Association
(d) Securities exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers. At the period end,
the value of these securities amounted to $60,222 or 0.21% of net assets.

- --------------------------------------------------------------------------------
Asset Management Portfolios
STATEMENTS OF ASSETS AND LIABILITIES March 31, 1996
- --------------------------------------------------------------------------------

<TABLE>
<CAPTION>
ASSET MANAGEMENT ASSET MANAGEMENT II ASSET MANAGEMENT III
---------------- ------------------- --------------------
<S> <C> <C> <C>
ASSETS
Investments, at Value+................................... $239,411,417 $50,728,202 $ 28,563,869
Cash++................................................... 1,497,483 430,599 178,223
Receivable for Securities Sold........................... -- 65,746 --
Dividends and Interest Receivable........................ 917,912 236,283 162,088
Prepaid Expenses and Other Assets........................ 3,023 4,114 1,306
------------ ----------- ------------
Total Assets................................................ 241,829,835 51,464,944 28,905,486
------------ ----------- ------------
LIABILITIES
Due to Bankers Trust..................................... 119,492 21,519 7,276
Payable for Securities Purchased......................... 1,179,696 -- --
Accrued Expenses and Accounts Payable.................... 24,487 19,615 20,085
Variation Margin Payable................................. 363,752 24,262 9,460
------------ ----------- ------------
Total Liabilities........................................... 1,687,427 65,396 36,821
------------ ----------- ------------
NET ASSETS.................................................. $240,142,408 $51,399,548 $ 28,868,665
============ =========== ============
COMPOSITION OF NET ASSETS
Paid-in Capital.......................................... $230,968,946 $50,328,196 $ 28,493,702
Net Unrealized Appreciation on Investments and Foreign
Currency Translation................................... 9,188,933 1,208,079 475,752
Net Unrealized Depreciation on Futures Contracts......... (15,471) (136,727) (100,789)
------------ ----------- ------------
NET ASSETS, MARCH 31, 1996.................................. $240,142,408 $51,399,548 $ 28,868,665
============ =========== =============
</TABLE>

- ------------------
+ Cost $230,224,245, $49,519,508, and $28,088,320, including Repurchase
Agreements amounting to $41,208,272, $9,328,100, and $3,987,048 respectively.
++ Includes foreign currency of $1,493,961, $431,212, and $177,816, respectively
with a value of $1,495,722, $430,597, and $178,079, respectively.

See Notes to Financial Statements on Pages 28 - 29

25
<PAGE> 77

- --------------------------------------------------------------------------------
Asset Management Portfolios
STATEMENTS OF OPERATIONS For the Year Ended March 31, 1996
- --------------------------------------------------------------------------------

<TABLE>
<CAPTION>
ASSET MANAGEMENT ASSET MANAGEMENT II ASSET MANAGEMENT III
---------------- ------------------- --------------------
<S> <C> <C> <C>
INVESTMENT INCOME
Dividends+............................................... $ 1,673,515 $ 237,108 $ 103,450
Interest................................................. 6,047,253 1,750,719 1,340,480
----------- ---------- ----------
Total Investment Income.............................. 7,720,768 1,987,827 1,443,930
----------- ---------- ----------
EXPENSES
Advisory................................................. 1,092,488 250,954 166,563
Administration and Services.............................. 168,075 38,608 25,625
Professional............................................. 20,671 11,963 12,054
Insurance................................................ 2,149 1,665 1,618
Trustees................................................. 2,288 2,288 2,238
Miscellaneous............................................ 1,980 1,750 1,297
----------- ---------- ----------
Total Expenses........................................... 1,287,651 307,228 209,395
Expenses Absorbed by Bankers Trust....................... (279,200) (75,578) (55,645)
----------- ---------- ----------
Net Expenses......................................... 1,008,451 231,650 153,750
----------- ---------- ----------
NET INVESTMENT INCOME....................................... 6,712,317 1,756,177 1,290,180
----------- ---------- ----------
REALIZED AND UNREALIZED GAIN ON INVESTMENTS, FOREIGN
CURRENCY TRANSACTIONS, AND FUTURES CONTRACTS
Net Realized Gain on:
Investments and Foreign Currency Transactions........ 7,730,647 1,063,387 1,054,255
Futures Contracts.................................... 6,275,542 1,192,381 (329,229)
----------- ---------- ----------
14,006,189 2,255,768 725,026
----------- ---------- ----------
Net Change in Unrealized Appreciation (Depreciation) of:
Investments and Foreign Currency Translations........ 7,485,813 1,259,448 608,038
Futures Contracts.................................... (223,996) (269,608) (71,476)
----------- ---------- ----------
7,261,817 989,840 536,562
----------- ---------- ----------
NET GAIN ON INVESTMENTS, FOREIGN CURRENCIES, AND FUTURES.... 21,268,006 3,245,608 1,261,588
----------- ---------- ----------
NET INCREASE IN NET ASSETS FROM OPERATIONS.................. $ 27,980,323 $ 5,001,785 $2,551,768
=========== ========== ==========
</TABLE>

- ------------------
+ Net of foreign withholding tax of $11,337, $1,580, and $804, respectively.

STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------

<TABLE>
<CAPTION>
ASSET MANAGEMENT ASSET MANAGEMENT II ASSET MANAGEMENT III
FOR THE YEAR ENDED MARCH 31, FOR THE YEAR ENDED FOR THE YEAR ENDED
MARCH 31, MARCH 31,
----------------------------- --------------------------- ---------------------------
1996 1995 1996 1995 1996 1995
------------ ------------ ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET
ASSETS
OPERATIONS
Net Investment Income........ $ 6,712,317 $ 3,350,844 $ 1,756,177 $ 1,060,282 $ 1,290,180 $ 1,019,467
Net Realized Gain (Loss) from
Investments, Foreign
Currency and Futures
Transactions............... 14,006,189 (85,052) 2,255,768 (692,504) 725,026 (783,153)
Net Unrealized Appreciation
on Securities, Foreign
Translations and Futures
Contracts.................. 7,261,817 3,010,076 989,840 1,002,727 536,562 505,973
------------ ------------ ----------- ----------- ----------- -----------
Net Increase in Net Assets from
Operations..................... 27,980,323 6,275,868 5,001,785 1,370,505 2,551,768 742,287
------------ ------------ ----------- ----------- ----------- -----------
CAPITAL TRANSACTIONS
Proceeds from Capital
Invested................... 170,133,182 77,053,606 25,468,459 7,542,454 10,942,499 5,531,582
Value of Capital Withdrawn... (54,499,861) (23,083,892) (4,675,086) (2,483,935) (5,827,202) (2,658,595)
------------ ------------ ----------- ----------- ----------- -----------
Net Increase in Net Assets from
Capital Transactions........... 115,633,321 53,969,714 20,793,373 5,058,519 5,115,297 2,872,987
------------ ------------ ----------- ----------- ----------- -----------
TOTAL INCREASE IN NET ASSETS.... 143,613,644 60,245,582 25,795,158 6,429,024 7,667,065 3,615,274
NET ASSETS
Beginning of Year............... 96,528,764 36,283,182 25,604,390 19,175,366 21,201,600 17,586,326
------------ ------------ ----------- ----------- ----------- -----------
End of Year..................... $240,142,408 $ 96,528,764 $51,399,548 $25,604,390 $28,868,665 $21,201,600
============ ============ =========== =========== ============= ===========
</TABLE>

See Notes to Financial Statements on Pages 32 - 33

26
<PAGE> 78

- --------------------------------------------------------------------------------
Asset Management Portfolios
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------

Contained below are selected ratios and supplemental data for each of the
periods indicated for the Asset Management Portfolios.

<TABLE>
<CAPTION>
ASSET MANAGEMENT PORTFOLIO
-----------------------------------------------------------
FOR THE FOR THE PERIOD
YEAR ENDED SEPTEMBER 16, 1993
MARCH 31, (COMMENCEMENT OF
------------------ OPERATIONS) TO
1996 1995 MARCH 31, 1994
--------------- --------------- -------------------
<S> <C> <C> <C>
SUPPLEMENTAL DATA AND RATIOS
Net Assets, End of Period (000's omitted)...................... $ 240,142 $ 96,529 $36,283
Ratios to Average Net Assets
Net Investment Income...................................... 3.99% 3.78% 2.83%*
Expenses................................................... 0.60% 0.60% 0.60%*
Decrease Reflected in Above Expense Ratio Due to Absorption
of Expenses by Bankers Trust.............................. 0.17% 0.19% 0.33%*
Portfolio Turnover Rate........................................ 154% 92% 56%
</TABLE>

- ------------------
* Annualized

<TABLE>
<CAPTION>
ASSET MANAGEMENT PORTFOLIO II
-----------------------------------------------------------
FOR THE FOR THE PERIOD
YEAR ENDED SEPTEMBER 16, 1993
MARCH 31, (COMMENCEMENT OF
------------------ OPERATIONS) TO
1996 1995 MARCH 31, 1994
--------------- --------------- -------------------
<S> <C> <C> <C>
SUPPLEMENTAL DATA AND RATIOS
Net Assets, End of Period (000's omitted)...................... $ 51,400 $ 25,604 $19,175
Ratios to Average Net Assets
Net Investment Income...................................... 4.55% 4.41% 3.17%*
Expenses................................................... 0.60% 0.60% 0.60%*
Decrease Reflected in Above Expense Ratio Due to Absorption
of Expenses by Bankers Trust.............................. 0.20% 0.27% 0.48%*
Portfolio Turnover Rate........................................ 208% 105% 79%
</TABLE>

- ------------------
* Annualized

<TABLE>
<CAPTION>
ASSET MANAGEMENT PORTFOLIO III
-----------------------------------------------------------
FOR THE FOR THE PERIOD
YEAR ENDED SEPTEMBER 16, 1993
MARCH 31, (COMMENCEMENT OF
------------------ OPERATIONS) TO
1996 1995 MARCH 31, 1994
--------------- --------------- -------------------
<S> <C> <C> <C>
SUPPLEMENTAL DATA AND RATIOS
Net Assets, End of Period (000's omitted)...................... $ 28,869 $ 21,202 $17,586
Ratios to Average Net Assets
Net Investment Income...................................... 5.04% 4.87% 3.51%*
Expenses................................................... 0.60% 0.60% 0.60%*
Decrease Reflected in Above Expense Ratio Due to Absorption
of Expenses by Bankers Trust.............................. 0.22% 0.30% 0.49%*
Portfolio Turnover Rate........................................ 221% 111% 84%
</TABLE>

- ------------------
* Annualized

See Notes to Financial Statements on Pages 28 - 29

27
<PAGE> 79

- --------------------------------------------------------------------------------
Asset Management Portfolios
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------

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.

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 year ended March 31, 1996, these fees
aggregated $168,075, $38,608 and $25,625 for the Asset Management Portfolio,
Asset Management Portfolio II and Asset 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 year ended March 31, 1996, these
fees aggregated $1,092,488, $250,954 and $166,563 for the Asset Management
Portfolio, Asset Management Portfolio II and 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 year ended March 31, 1996,
expenses of the Asset Management Portfolio, Asset Management Portfolio II and
Asset Management Portfolio III have been reduced by $279,200, $75,578 and
$55,645, 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 year ended March 31, 1996, were as follows:

<TABLE>
<CAPTION>
PORTFOLIO PURCHASES SALES
- ------------------------------------------------------- ------------ ------------
<S> <C> <C>
Asset Management....................................... $236,481,467 $167,614,159
Asset Management II.................................... 58,524,728 46,129,115
Asset Management III................................... 38,827,631 41,662,206
</TABLE>

28
<PAGE> 80

- --------------------------------------------------------------------------------
Asset Management Portfolios
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------

For federal income tax purposes, the tax basis of investments held at March 31,
1996, were as follows:

<TABLE>
<CAPTION>
PORTFOLIO COST-TAX BASIS
- ---------------------------------------------------------- --------------
<S> <C>
Asset Management.......................................... $230,420,441
Asset Management II....................................... 49,600,881
Asset Management III...................................... 28,096,139
</TABLE>

The aggregate gross unrealized appreciation/depreciation for all investments,
were as follows:

<TABLE>
<CAPTION>
PORTFOLIO APPRECIATION DEPRECIATION
- -------------------------------------------------------- ------------ ------------
<S> <C> <C>
Asset Management........................................ $11,369,454 $2,378,478
Asset Management II..................................... 1,636,267 508,946
Asset Management III.................................... 744,494 276,764
</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.

NOTE 4 -- FUTURE CONTRACTS
A summary of obligations under these financial instruments at March 31, 1996 are
as follows:

<TABLE>
<CAPTION>
UNREALIZED
APPRECIATION/
TYPE OF FUTURE EXPIRATION CONTRACTS POSITION (DEPRECIATION)
- ------------------------------ ---------- --------- -------- -------------
<S> <C> <C> <C> <C>
ASSET MANAGEMENT PORTFOLIO
S&P 500....................... June 1996 154 Long $ 15,450
US Treasury................... June 1996 75 Long (178,031)
French Government Bond........ June 1996 96 Long (13,258)
German Bond................... June 1996 87 Long (103,176)
Canadian Government Bond...... June 1996 118 Long (159,605)
DAX Index..................... June 1996 14 Long 46,623
CDM C$ Future................. June 1996 2 Short (1,280)
DMM D-Mark.................... June 1996 6 Short 1,650
FRM French Franc.............. June 1996 5 Short (2,500)
TYU US Treasury Futures....... June 1996 126 Short 378,656
---------
$ (15,471)
=========
ASSET MANAGEMENT PORTFOLIO II
S&P 500....................... June 1996 23 Long $ 1,525
US Treasury................... June 1996 52 Long (187,313)
Japanese Bond................. June 1996 1 Long 3,620
Topix Index................... June 1996 1 Long 6,535
French Government............. June 1996 21 Long (5,679)
German Bond................... June 1996 14 Long (19,450)
Canadian Government Bond...... June 1996 11 Long (13,630)
DAX Index..................... June 1996 3 Long 10,885
DMM D-Mark.................... June 1996 1 Short 275
FRM French Franc.............. June 1996 1 Short (50)
JYM Japanese Yen.............. June 1996 1 Short 2,775
TYU US Treasury Futures....... June 1996 23 Short 63,780
---------
$(136,727)
=========
ASSET MANAGEMENT PORTFOLIO III
S&P 500....................... June 1996 6 Long $ (19,450)
US Treasury................... June 1996 28 Long (110,313)
German Bond................... June 1996 8 Long (12,648)
Canadian Government Bond...... June 1996 6 Long (8,606)
French Government Bond........ June 1996 12 Long (3,409)
DAX Index..................... June 1996 2 Long 7,256
DMM D-Mark.................... June 1996 1 Short 275
FRM French Franc.............. June 1996 1 Short (800)
TYU US Treasury Futures....... June 1996 16 Short 46,906
---------
$(100,789)
=========
</TABLE>

At March 31, 1996, the Portfolios have segregated sufficient securities to cover
margin requirements on open futures contracts.

29
<PAGE> 81

- --------------------------------------------------------------------------------
Asset Management Portfolio
REPORT OF INDEPENDENT ACCOUNTANTS
- --------------------------------------------------------------------------------

To the Trustees and Holders of Beneficial
Interest of the Asset Management Portfolios:

We have audited the accompanying statements of assets and liabilities of the
Asset Management Portfolio, Asset Management Portfolio II and Asset Management
Portfolio III, including the schedule of portfolio investments, as of March 31,
1996, and the related statements of operations for the year then ended, the
statement of changes in net assets for each of the two years in the period then
ended, and the financial highlights for each of the two years in the period then
ended and the periods September 16, 1993 (commencement of operations) to March
31, 1994, October 14, 1993 (commencement of operations) to March 31, 1994 and
October 15, 1993 (commencement of operations) to March 31, 1994 for the Asset
Management Portfolio, Asset Management Portfolio II and Asset Management
Portfolio III, respectively. These financial statements and financial highlights
are the responsibility of the Portfolios' management. Our responsibility is to
express an opinion on these financial statements and financial highlights based
on our audits.

Our procedures included confirmation of securities owned as of March 31, 1996,
by correspondence with the custodian and brokers. An audit also includes
assessing the accounting principles used and significant estimates made by
management, as well as evaluating the overall financial statement presentation.
We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of the
Asset Management Portfolio, Asset Management Portfolio II and Asset Management
Portfolio III, as of March 31, 1996, the results of their operations, the
changes in their net assets, and their financial highlights for the periods
referred to above, in conformity with generally accepted accounting principles.

[New sig cut to come]

Kansas City, Missouri
May 3, 1996

30
<PAGE> 82

BT INVESTMENT FUNDS
LIFECYCLE LONG RANGE
LIFECYCLE MID RANGE
LIFECYCLE SHORT RANGE

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) 730-1313

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> 83

- BT INVESTMENT FUNDS -

---------------------------------
INTERNATIONAL EQUITY FUND
---------------------------------

SEMI-ANNUAL REPORT
---------------------------------
MARCH - 1996
<PAGE> 84

- --------------------------------------------------------------------------------
International Equity Fund

TABLE OF CONTENTS
- --------------------------------------------------------------------------------

<TABLE>
<S> <C>
LETTER TO SHAREHOLDERS.................................................................. 3

INTERNATIONAL EQUITY FUND

Statement of Assets and Liabilities................................................. 6
Statement of Operations............................................................. 6
Statements of Changes in Net Assets................................................. 7
Financial Highlights................................................................ 7
Notes to Financial Statements....................................................... 8

INTERNATIONAL EQUITY PORTFOLIO

Schedule of Portfolio Investments................................................... 9
Statement of Assets and Liabilities................................................. 12
Statement of Operations............................................................. 12
Statements of Changes in Net Assets................................................. 13
Financial Highlights................................................................ 13
Notes to Financial Statements....................................................... 14
</TABLE>

2
<PAGE> 85

- --------------------------------------------------------------------------------
International Equity Fund

LETTER TO SHAREHOLDERS
- --------------------------------------------------------------------------------

We are pleased to present you with this newly-designed semi-annual report for
the BT Investment International Equity Fund, providing a more detailed review of
the markets, the portfolio, and our outlook -- all in an easier-to-read format.
Of course, we continue to include a complete financial summary of the Fund's
operations and a listing of the Portfolio's holdings.

The International Equity Fund (the "Fund") had a total return of 5.97% for the
six months ended March 31, 1996, as compared to 7.06% for the Morgan Stanley
Capital International ("MSCI") EAFE Index and 6.37% for the Lipper International
Equity Funds Average. Since its inception on August 4, 1992, the Fund has
returned 71.15%.

Over the twelve month period ended March 31, 1996, the Fund was up 20.04%,
nearly 8% ahead of the EAFE benchmark's return of 12.33%. However, weakness in
the paper sector and among interest rate sensitive stocks in several of the
peripheral markets led to a 1% erosion in this tremendous lead in the last six
months. The Fund's performance in the first quarter of 1996, returning 5.72%
versus the EAFE Index's return of 2.89%, placed it in the top quartile of all
international funds.

MARKET ACTIVITY

SOUTH AFRICA Weakness in the rand, due primarily to rumors about the removal of
currency exchange controls and President Nelson Mandela's poor health, led to
recent underperformance in this market.

INVESTMENT REVIEW

Overall, the Fund remains overweighted in continental Europe, as we continue to
find most of these equity markets to be attractively valued. We increased our
exposure over the last six months to the core countries while staying well
represented in the peripheral markets. More specifically, we saw Nokia's
problems in Finland as an opportunity to gain exposure to this company after the
correction was under way, for we believe it still has excellent long-term growth
potential. We remained overweighted in Sweden, which though it underperformed in
local currency terms, was one of the best performing markets in dollar terms
over the last twelve months. The Swedish market was led by Astra, a
pharmaceutical company and one of the Fund's top ten holdings. Fiscal discipline
and a strengthening currency, both of which allow for further monetary
loosening, should support continued strong performance in Sweden. We increased
the portfolio's exposure in Germany, primarily through the Initial Public
Offering (IPO) of Adidas, one of the nation's few true growth companies. This
IPO also gave us the opportunity to participate in what is known as the
Mittelstand, or that group of smaller to middle-sized companies with what we
consider to be attractive valuations. We also took some profits here, but we
expect to maintain our position in Germany for the long term, based on
attractive industrial restructuring opportunities and exposure to an expected
economic turnaround as 1996 develops.

- ---------------

* Morningstar proprietary ratings reflect historical risk-adjusted performance.
They are subject to change every month and are calculated from the Fund's 1-
and 3-year average annual total returns in excess of 90-day T-bill returns.
10% of the funds in the investment category may receive 5 stars. Past
performance is no guarantee of future results.

3
<PAGE> 86

- --------------------------------------------------------------------------------
International Equity Fund

LETTER TO SHAREHOLDERS
- --------------------------------------------------------------------------------

be realized. While the Fund remains very underweighted in the United Kingdom, we
did increase our exposure somewhat through the IPO of Orange, the rapidly
growing cellular operator. We significantly reduced the Fund's exposure to
Austria, which owing to political uncertainties and fiscal concerns, has been
one of the poorest performing markets.

A currency overlay, which increased the Fund's dollar exposure, added to the
Fund's performance during this period of dollar strength as well.

LOOKING AHEAD

We will, of course, continue monitoring economic conditions and how they affect
the financial markets, as we seek long-term capital appreciation.

* * *

We value your ongoing support of the BT Investment International Equity Fund and
look forward to continuing to serve your investment needs in the years ahead.

The following graph illustrates the Fund's return versus the Morgan Stanley
Capital International EAFE Index since August 31, 1992, assuming a $10,000
initial investment:

- --------------------------------------------------------------------------------

COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT IN THE INTERNATIONAL
EQUITY FUND AND THE MORGAN STANLEY CAPITAL INTERNATIONAL EAFE INDEX

TOTAL RETURN
ENDED MARCH 31, 1996

One Year Since 8/4/92*
20.04% 71.15%

* 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.

<TABLE>
<CAPTION>
Morgan Stanley
Measurement Period BT International Capital International
(Fiscal Year Covered) Equity Fund EAFE Index
- --------------------- ---------------- ---------------------
<S> <C> <C>
8/31/92 $10,000 $10,000
9/30/92 9,665 9,803
12/31/92 9,606 9,424
3/31/93 10,424 10,554
6/30/93 11,084 11,615
9/30/93 11,944 12,386
12/31/93 13,196 12,493
3/31/94 13,717 12,930
6/30/94 13,266 13,590
9/30/94 13,977 13,603
12/31/94 13,738 13,465
3/31/95 14,046 13,715
6/30/95 14,960 13,814
9/30/95 15,911 14,390
12/31/95 15,949 14,973
3/31/96 16,861 15,406

Past performance is not indicative of future performance
</TABLE>
- --------------------------------------------------------------------------------
<PAGE> 87

- --------------------------------------------------------------------------------
International Equity Fund

LETTER TO SHAREHOLDERS
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
Seeks long term capital appreciation from
investments in foreign equity securities or
OBJECTIVE other securities with equity characteristics.
- ------------------------------------------------------------------------------------------------------------------
INVESTMENT INSTRUMENTS Equity securities of foreign issuers, consisting of common stock and other securities
with equity characteristics; the investments are diversified among several regions.
- ------------------------------------------------------------------------------------------------------------------
TEN LARGEST HOLDINGS Adidas AG Storehouse
Internationale Nederlanden Group Philips Electronics
Astra AB, Series A BBC Brown Boveri & Cie, Cl. A
Kymmene OY Volkswagen AG
Hutchison Whampoa AJL Peps Trust
- ------------------------------------------------------------------------------------------------------------------
</TABLE>

DIVERSIFICATION OF PORTFOLIO
EQUITY INVESTMENTS BY COUNTRY AS OF MARCH 31, 1996 (UNAUDITED)
(percentages are based on market value)

<TABLE>
<S> <C>
Austria 0.34%
India 0.44%
Other 0.80%
Venezuela 0.82%
Singapore 0.88%
Indonesia 1.19%
Thailand 1.28%
Denmark 1.48%
Philippines 1.82%
Norway 2.06%
Ireland 2.39%
Malaysia 2.59%
South Africa 2.60%
Switzerland 2.76%
Australia 2.84%
Finland 4.25%
Sweden 4.39%
Italy 4.81%
Spain 4.96%
Germany 5.94%
Netherlands 6.94%
United Kingdom 6.97%
Hong Kong 7.36%
France 10.41%
Japan 19.68%
- --------------------------------------------------------------------------------
</TABLE>

<TABLE>
<S> <C>
ABOUT THE MICHAEL LEVY
PORTFOLIO MANAGER MANAGING DIRECTOR, GLOBAL INVESTMENT MANAGEMENT

- Head of International Active Equity Portfolio
Management Team, International Equity Fund

- Equity Strategist/International Investment
Advisory

- Responsible for design and management of U.S.
International quantitative proprietary stock
selection processes. Chairman, stock
selection group.

- Prior experience in equity analysis with
Oppenheimer & Co., investment banking and
manufacturing; 24 years business experience, 14
years investment industry experience

- Joined Bankers Trust in 1993

- B.A. (Mathematics) - University of Michigan
M.S. (Geophysics) - University of Michigan

<CAPTION>
ABOUT THE

<CAPTION>
PORTFOLIO MANAGER
</TABLE>

5
<PAGE> 88

- --------------------------------------------------------------------------------
International Equity Fund
STATEMENT OF ASSETS AND LIABILITIES March 31, 1996 (unaudited)
- --------------------------------------------------------------------------------

<TABLE>
<S> <C>
ASSETS
Investment in International Equity Portfolio, at Value....................................................... $ 117,817,783
Receivable for Shares of Beneficial Interest Subscribed...................................................... 204,229
Prepaid Expenses and Other................................................................................... 7,879
----------
Total Assets.................................................................................................... 118,029,891
----------
LIABILITIES
Due to Bankers Trust......................................................................................... 49,149
Payable for Shares of Beneficial Interest Redeemed........................................................... 827
Accrued Expenses and Other................................................................................... 43,878
----------
Total Liabilities............................................................................................... 93,854
----------
NET ASSETS ($0.001 Par Value Per Share, Unlimited Number of Shares of Beneficial Interest Authorized)........... $ 117,936,037
----------
----------
SHARES OUTSTANDING.............................................................................................. 7,500,653
----------
----------
NET ASSET VALUE AND REDEMPTION PRICE PER SHARE.................................................................. $ 15.72
----------
----------
COMPOSITION OF NET ASSETS
Paid-in Capital.............................................................................................. $ 101,048,279
Accumulated Net Investment Income............................................................................ 110,733
Accumulated Net Realized Gain from Investments and Foreign Currency Transactions............................. 1,411,017
Net Unrealized Appreciation on Investments, Foreign Currencies and Forward Currency Contracts................ 15,366,008
----------
NET ASSETS, MARCH 31, 1996...................................................................................... $ 117,936,037
----------
----------
</TABLE>

STATEMENT OF OPERATIONS For the six months ended March 31, 1996 (unaudited)
- --------------------------------------------------------------------------------

<TABLE>
<S> <C>
INVESTMENT INCOME
Income Allocated from International Equity Portfolio, net...................................................... $ 527,343
-----------
EXPENSES
Administration and Services.................................................................................... 394,860
Registration................................................................................................... 19,049
Shareholders Reports........................................................................................... 12,563
Professional................................................................................................... 8,927
Trustees....................................................................................................... 1,375
Miscellaneous.................................................................................................. 1,128
-----------
Total Expenses................................................................................................. 437,902
Less: Expenses Absorbed by Bankers Trust....................................................................... (43,042)
-----------
Net Expenses............................................................................................... 394,860
-----------
NET INVESTMENT INCOME............................................................................................. 132,483
-----------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS
Net Realized Gain from:
Investment Transactions...................................................................................... 1,389,789
Foreign Currency Transactions................................................................................ 690,178
Net Change in Unrealized Appreciation (Depreciation) of:
Investments.................................................................................................. 3,522,311
Foreign Currencies and Forward Currency Contracts............................................................ 76,389
-----------
NET GAIN ON INVESTMENTS, FOREIGN CURRENCIES AND FORWARD CURRENCY CONTRACTS........................................ 5,678,667
-----------
NET INCREASE IN NET ASSETS FROM OPERATIONS........................................................................ $ 5,811,150
============
</TABLE>

See Notes to Financial Statements on Page 8

6
<PAGE> 89

- --------------------------------------------------------------------------------
International Equity Fund
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------

<TABLE>
<CAPTION>
FOR THE SIX
MONTHS ENDED **FOR THE PERIOD
MARCH 31, 1996 JANUARY 1, 1995 TO
(UNAUDITED) SEPTEMBER 30, 1995
-------------- ------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS
Net Investment Income................................................................... $ 132,483 $ 767,061
Net Realized Gain from Investments and Foreign Currency Transactions.................... 2,079,967 1,956,485
Net Unrealized Appreciation on Investments, Foreign Currencies and
Forward Currency Contracts............................................................ 3,598,700 6,955,090
-------------- ------------------
Net Increase in Net Assets from Operations................................................. 5,811,150 9,678,636
-------------- ------------------
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income................................................................... (1,680,073) (16,362)
Net Realized Gain from Investment Transactions.......................................... (1,735,167) (62,809)
-------------- ------------------
Total Distributions........................................................................ (3,415,240) (79,171)
-------------- ------------------
TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST
Net Increase from Transactions in Shares of Beneficial Interest......................... 32,732,916 17,187,367
-------------- ------------------
TOTAL INCREASE IN NET ASSETS............................................................... 35,128,826 26,786,832
NET ASSETS
Beginning of Period........................................................................ 82,807,211 56,020,379
-------------- ------------------
End of Period+............................................................................. $117,936,037 $ 82,807,211
=============== ===================
</TABLE>

FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------

FOR THE SIX
MONTHS ENDED **FOR THE PERIOD
MARCH 31, 1996 JANUARY 1, 1995 TO
(UNAUDITED) SEPTEMBER 30, 1995
-------------- ---------------------
<S> <C> <C>
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE, BEGINNING OF PERIOD...................... $ 15.47 $ 13.37
-------------- -------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income.................................. 0.17 0.14
Net Realized and Unrealized Gain (Loss) on Investments
and Foreign Currency Transactions.................... 0.71 1.97
-------------- -------
Total from Investment Operations.......................... 0.88 2.11
-------------- -------
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income.................................. (0.31) (0.00)#
Net Realized Gain from Investment Transactions......... (0.32) (0.01)
-------------- -------
Total Distributions....................................... (0.63) (0.01)
-------------- -------
NET ASSET VALUE, END OF PERIOD............................ $ 15.72 $ 15.47
=============== ======================
TOTAL INVESTMENT RETURN................................... 5.97% 15.82%
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period (000's omitted).............. $117,936 $82,807
Ratios to Average Net Assets
Net Investment Income.............................. 0.29%* 1.55%*
Expenses, including Expenses of the International
Equity Portfolio.................................. 1.50%* 1.50%*
Decrease Reflected in Above Expense Ratio Due to
Absorption of Expenses by Bankers Trust........... 0.28%* 0.33%*

<CAPTION>
FOR THE FOR THE PERIOD
YEAR ENDED AUGUST 4, 1992
DECEMBER 31, (COMMENCEMENT
--------------------------------------------- OF OPERATIONS) TO
1994 1993 DECEMBER 31, 1992
--------------------------------------------- -----------------
<S> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE, BEGINNING OF PERIOD...................... $ 13.18 $ 9.75 $ 10.00
------- ------- -------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income.................................. 0.10 0.05 0.03
Net Realized and Unrealized Gain (Loss) on Investments
and Foreign Currency Transactions.................... 0.44 3.60 (0.28)
------- ------- -------
Total from Investment Operations.......................... 0.54 3.65 (0.25)
------- ------- -------
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income.................................. (0.09) (0.15) --
Net Realized Gain from Investment Transactions......... (0.26) (0.07) --
------- ------- -------
Total Distributions....................................... (0.35) (0.22) --
------- ------- -------
NET ASSET VALUE, END OF PERIOD............................ $ 13.37 $ 13.18 $ 9.75
========= ========= ===================
TOTAL INVESTMENT RETURN................................... 4.12% 37.38% (6.01)%*
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period (000's omitted).............. $ 56,020 $ 33,869 $ 8,218
Ratios to Average Net Assets
Net Investment Income.............................. 0.84% 0.79% 0.97%*
Expenses, including Expenses of the International
Equity Portfolio.................................. 1.50% 1.50% 1.50%*
Decrease Reflected in Above Expense Ratio Due to
Absorption of Expenses by Bankers Trust........... 0.37% 0.62% 1.36%*
</TABLE>

- ------------------
* Annualized
# Less Than $0.01 Per Share
** On August 2, 1995, the Board of Trustees approved the change of the fiscal
year end from December 31 to September 30.
+ Includes Undistributed net investment income of $110,773 and $799,626 for the
six months ended March 31, 1996 and period ended September 30, 1995,
respectively.

See Notes to Financial Statements on Page 8

7
<PAGE> 90

- --------------------------------------------------------------------------------
International Equity Fund
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------

The financial statements of the Portfolio, including the Schedule of Portfolio
Investments, are contained elsewhere in this report.

On August 2, 1995, the Board of Trustees approved the change of the fiscal year
end from December 31 to September 30.

B. Investment Income
The Fund earns income, net of expenses, daily on its investment in the
Portfolio. All of the net investment income and realized and unrealized gains
and losses from the security and foreign currency transactions of the Portfolio
are allocated pro rata among the investors in the Portfolio at the time of such
determination.

C. Dividends
It is the Fund's policy to declare and distribute dividends annually to
shareholders from net investment income. Dividends payable to shareholders are
recorded by the Fund on the ex-dividend date. Distributions of net realized
short-term and long-term capital gains, if any, earned by the Fund will be made
annually to the extent they are not offset by any capital loss carryforwards.

D. Federal Income Taxes
It is the Fund's policy to comply with the requirements of the Internal Revenue
Code applicable to regulated investment companies and to distribute all of its
taxable income to shareholders. Therefore, no federal income tax provision is
required. The Fund may periodically make reclassifications among certain of its
capital accounts as a result of 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. For the period ended March 31, 1996, $858,697 of the Fund's net
realized gain was reclassified as undistributed net investment income.

NOTE 2 -- FEES AND TRANSACTIONS WITH AFFILIATES
The Fund has entered into an Administration and Services Agreement with Bankers
Trust Company ("Bankers Trust"). Under this Administration and Services
Agreement, Bankers Trust provides administrative, custody, transfer agency and
shareholder services to the Fund in return for a fee computed daily and paid
monthly at an annual rate of 0.85 of 1% of the Fund's average daily net assets.
For the six months ended March 31, 1996, this fee aggregated $394,860.

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 the Fund's shares. For the six months ended March 31, 1996, there
were no reimbursable expenses incurred under this agreement.

Bankers Trust has voluntarily undertaken to waive and reimburse expenses of the
Fund, to the extent necessary, to limit all expenses to 0.85 of 1% of the
average daily net assets of the Fund, excluding expenses of the Portfolio and
1.50 of 1% of the average daily net assets of the Fund, including expenses of
the Portfolio. For the six months ended March 31, 1996, expenses of the Fund
have been reduced by $43,042.

The Fund is subject to such limitations as may from time to time be imposed by
the Blue Sky laws of states in which the Fund 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 Fund are also directors, officers and/or
employees of Signature. None of the trustees so affiliated received compensation
for services as trustee of the Fund. Similarly, none of the Fund's officers
received compensation from the Fund.

NOTE 3 -- SHARES OF BENEFICIAL INTEREST
At March 31, 1996, there were an unlimited number of shares of beneficial
interest authorized. Transactions in shares of beneficial interest were as
follows:

<TABLE>
<CAPTION>
FOR THE SIX
MONTHS ENDED FOR THE PERIOD
MARCH 31, 1996 JANUARY 1, 1995 TO
(UNAUDITED) SEPTEMBER 30, 1995
-------------------------- --------------------------
SHARES AMOUNT SHARES AMOUNT
---------- ------------ ---------- ------------
<S> <C> <C> <C> <C>
Sold................. 3,290,854 $ 50,176,040 2,458,261 $ 35,856,451
Reinvested........... 125,386 1,830,639 2,716 42,076
Redeemed............. (1,266,804) (19,273,763) (1,298,482) (18,711,160)
---------- ------------ ---------- ------------
Net Increase......... 2,149,436 $ 32,732,916 1,162,495 $ 17,187,367
========== ============ ========== ============
</TABLE>

8
<PAGE> 91

- --------------------------------------------------------------------------------
International Equity Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 1996 (unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES DESCRIPTION VALUE
- ----------- ------------------------------------------ -------------
<C> <S> <C>
COMMON STOCKS - 96.91%
AUSTRALIA - 2.76%
166,072 National Australia Bank, Ltd. (Finance)... $ 1,481,066
206,500 News Corporation (Services)............... 1,209,972
140,000 Tabcorp Holdings, Ltd. (Capital
Equipment)............................... 568,419
----------
3,259,457
----------
AUSTRIA - 0.33%
8,835 Mayr-Melnhof Karton (Materials)........... 386,343
----------
DENMARK - 1.43%
32,500 Tele Danmark, Cl. B (Utilities)........... 1,693,837
----------
FINLAND - 4.12%
67,400 KCI Konecranes International Corp.
(Capital Equipment)...................... 1,192,689
87,000 Kymmene OY (Materials).................... 2,421,934
36,800 Nokia Corp. (Consumer Goods).............. 1,260,400
----------
4,875,023
----------
FRANCE - 10.08%
24,000 Assurances Generales de France
(Finance)................................ 667,329
7,000 Chargeurs SA (Diversified)................ 1,792,056
7,650 Christian Dior (Consumer Goods)........... 1,019,494
8,609 Club Mediterranee (Services)(a)........... 837,817
6,000 Compagnie Generale des Eaux
(Diversified)............................ 613,704
18,200 Lyonnaise des Eaux-Dumez (Diversified).... 1,702,522
29,800 SGS-Thomson Microelectronics N.V.
(Consumer Goods)(a)...................... 1,080,250
3,500 Skis Rossignol SA (Consumer Goods)........ 1,258,193
3,415 Taittinger (Consumer Goods)............... 1,149,637
26,800 Total Petroleum, Cl. B (Energy)........... 1,809,732
----------
11,930,734
----------
GERMANY - 5.75%
39,000 Adidas AG (Consumer Goods)(a)(c).......... 2,879,301
6,500 Berliner Kraft & Licht (Utilities)........ 1,794,060
6,100 Volkswagen AG (Consumer Goods)............ 2,131,942
----------
6,805,303
----------
HONG KONG - 7.13%
797,000 CDL Hotels International (Services)....... 479,251
127,000 Cheung Kong Holdings, Ltd. (Finance)...... 895,060
500,000 First Pacific Co. (Diversified)(c)........ 711,238
708,000 Founder Hong Kong (Services)(a)........... 254,067
537,000 Guangnan Holdings, Ltd. (Services)........ 288,187
770,000 Goldlion Holdings, Ltd. (Consumer Goods).. 617,354
208,000 Guoco Group (Finance)..................... 1,145,843
372,000 Hutchison Whampoa (Diversified)........... 2,347,549
133,000 Jardine Matheson Holdings (Diversified)... 1,037,400
2,524,000 Tingyi Holdings (Consumer Goods)(a)....... 660,947
----------
8,436,896
----------

<CAPTION>
SHARES DESCRIPTION VALUE
- ----------- ------------------------------------------ -------------
<C> <S> <C>
INDIA - 0.43%
42,000 Steel Authority of India (Materials)...... $ 509,250
----------
INDONESIA - 1.15%
273,500 Bank Dagang Nasional PT (Finance)......... 236,885
217,500 Bukaka Teknik Utama PT (Capital
Equipment)(a)............................ 367,462
357,000 Citra Marga Nusaphala Persada PT (Capital
Equipment)............................... 461,901
234,000 Steady Safe PT (Transportation)........... 292,750
----------
1,358,998
----------
IRELAND - 2.32%
154,100 Bank of Ireland (Finance)................. 1,012,219
197,300 CRH PLC (Materials)....................... 1,731,083
----------
2,743,302
----------
ITALY - 4.66%
75,000 Bulgari S.P.A. (Consumer Goods)(a)........ 941,218
1,220,000 Credito Italiano (Finance)................ 1,305,665
850,000 Parmalat Finanziaria S.P.A. (Finance)..... 780,813
54,000 Safilo S.P.A. (Consumer Goods)............ 1,135,194
486,700 Societa Finanziaria Telefonica
(Services)............................... 1,350,243
----------
5,513,133
----------
JAPAN - 19.07%
92,600 AJL Peps Trust (Consumer Goods)........... 2,060,350
68,000 Canon Inc. (Capital Equipment)............ 1,298,876
101,000 Daimaru Inc. (Services)................... 719,672
280 East Japan Railway Co. (Transportation)... 1,441,948
163,000 Hitachi (Capital Equipment)............... 1,587,266
58,000 Jusco Co. (Services)...................... 1,515,169
9,900 Kurita Water Industries (Capital
Equipment)............................... 229,888
204,000 Mitsubishi Electric Corp. (Capital
Equipment)............................... 1,520,449
53,000 Mitsubishi Esate Co. (Finance)(a)......... 729,494
237,000 Mitsubishi Heavy Industrial (Capital
Equipment)............................... 2,050,450
200,000 Obayashi Corp. (Capital Equipment)........ 1,719,101
75,000 Sankyo Co. (Health & Personal)............ 1,720,506
30,000 Sony Corporation (Consumer Goods)......... 1,794,944
53,000 Sumitomo Realty & Development (Finance)... 407,425
253,000 Toshiba Corp. (Capital Equipment)......... 1,923,558
83,000 Toyota Motor Co. (Consumer Goods)......... 1,834,082
----------
22,553,178
----------
MALAYSIA - 2.51%
100,000 Commerce Asset Holdings (Finance)......... 573,463
76,000 Edaran Otomobil Nasional (Consumer
Goods)................................... 682,302
97,000 Jaya Tiasa Holdings (Materials)........... 621,475
188,000 Leader Universal Holdings (Diversified)... 535,337
127,000 Sungei Way Holdings (Diversified)......... 552,501
----------
2,965,078
----------
</TABLE>

See Notes to Financial Statements on Pages 14 - 15

9
<PAGE> 92

- --------------------------------------------------------------------------------
International Equity Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 1996 (unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES DESCRIPTION VALUE
- ----------- ------------------------------------------ -------------
<C> <S> <C>
NETHERLANDS - 6.73%
14,000 Hunter Douglas N.V. (Materials)........... $ 948,865
38,900 Internationale Nederlanden Group
(Finance)................................ 2,824,811
57,200 KLM Royal Dutch Airlines
(Transportation)......................... 1,990,318
60,300 Philips Electronics (Consumer Goods)...... 2,193,059
----------
7,957,053
----------
NORWAY - 2.00%
275,000 Christiania Bank OG Kreditkasse
(Finance)................................ 638,926
39,600 Norsk Hydro (Energy)...................... 1,725,874
----------
2,364,800
----------
PHILIPPINES - 1.77%
164,000 Fil-Estate Land, Inc. (Finance)(a)........ 136,249
1,536,000 Fortune Cement (Materials)(a)............. 718,716
1,194,000 Mondragon International Philippines
(Consumer Goods)(a)...................... 684,110
1,128,000 Universal Robina Corp. (Consumer Goods)... 549,351
----------
2,088,426
----------
SINGAPORE - 0.86%
86,000 Far East Levingston Shipbuilding Ltd.
(Capital Equipment)...................... 479,645
73,000 Singapore Land (Finance).................. 534,209
----------
1,013,854
----------
SOUTH AFRICA - 2.52%
80,000 Fedsure Holdings Limited (Finance)(c)..... 608,300
14,440 Libery Life Association of Africa
(Services)(a)............................ 453,711
32,100 Metro Cash and Carry Limited
(Services)(c)............................ 549,713
86,600 Nampak Limited (Consumer Goods)........... 424,478
9,000 Pretoria Portland Cement Co.
(Materials).............................. 199,080
38,000 Reunert Limited (Electrical Equipment).... 214,916
16,000 South African Breweries (Diversified)..... 530,880
----------
2,981,078
----------
SPAIN - 4.81%
88,990 Autopistas Concesionaria Espanola S.A.
(Diversified)............................ 903,379
9,635 Banco Popular Espanol (Finance)........... 1,664,312
16,324 Fomento de Construcciones y Contratas
(Capital Equipment)...................... 1,459,849
180,100 Iberdrola S.A. (Utilities)................ 1,661,412
----------
5,688,952
----------

<CAPTION>
SHARES DESCRIPTION VALUE
- ----------- ------------------------------------------ -------------
<C> <S> <C>
SWEDEN - 4.25%
54,100 Astra AB, Series A (Health & Personal).... $ 2,505,192
79,000 Nordbanken AB (Finance)................... 1,306,088
37,400 Svedala Industries (Capital Equipment).... 1,219,863
----------
5,031,143
----------
SWITZERLAND - 2.67%
1,791 BBC Brown Boveri & Cie, Cl. A (Capital
Equipment)............................... 2,177,064
794 Ciba-Geigy AG, Cl. B (Consumer Goods)..... 983,829
----------
3,160,893
----------
THAILAND - 1.24%
44,300 Central Pattana Public Co.
(Materials)(a)........................... 166,805
59,000 PTT Exploration & Production (Energy)(a).. 748,316
116,500 Thai Military Bank (Finance).............. 549,485
----------
1,464,606
----------
UNITED KINGDOM - 6.75%
692,500 Iceland Group (Services).................. 1,606,794
560,700 Lonrho (Diversified)...................... 1,835,924
61,000 National Power (Partially Paid)
(Utilities).............................. 312,871
25,500 Orange PLC, ADR (Services)(a)............. 436,688
350,000 Orange PLC (Services)(a).................. 1,183,419
65,000 Powergen (Installment Shares)
(Utilities).............................. 390,937
427,100 Storehouse (Services)..................... 2,223,211
----------
7,989,844
----------
VENEZUELA - 0.80%
822,688 Electricidad de Caracas (Utilities)....... 553,954
103,935 Mavesa SA, ADR (Consumer Goods)(c)........ 389,756
----------
943,710
----------
OTHER - 0.77%
63,500 Latin American Equity Fund
(Diversified)............................ 912,813
----------
TOTAL COMMON STOCKS
(Cost $99,427,680)...................................... $ 114,627,704
----------
<CAPTION>
PRINCIPAL
AMOUNT
- -----------
<C> <S> <C>
CORPORATE DEBT CONVERTIBLE - 0.46%
SOUTH AFRICA - 0.46%
$ 500,000 Investec O/S Finance BVI, 6.375%, 11/30/02
(Finance) (Cost $577,493)................ 539,375
----------
</TABLE>

See Notes to Financial Statements on Pages 14 - 15

10
<PAGE> 93

<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT DESCRIPTION VALUE
- ----------- ------------------------------------------ -------------
<C> <S> <C>
CORPORATE DEBT NON-CONVERTIBLE - 1.70%
SOUTH AFRICA - 1.70%
$ 1,500,000 Liberty Life International, 6.50%, 9/30/04
(Finance) (Cost $1,783,228).............. $ 2,016,562
----------
SHORT-TERM INVESTMENTS - 3.51%
$ 4,200,000 U.S. Treasury Bills
5.15%, 6/20/96 (cost $4,153,690)......... 4,153,800
----------
TOTAL INVESTMENTS
(Cost $105,942,091) - 102.58%........................... 121,337,441
Liabilities in Excess of Other Assets - (2.58%).......... (3,056,305)
----------
NET ASSETS - 100.00%..................................... $ 118,281,136
----------
</TABLE>

- ------------------
(a) Non-Income Producing Security
(b) Industry Diversification (as a percentage of Total Value of Investments):

See Notes to Financial Statements on Pages 14 - 15

11
<PAGE> 94

- --------------------------------------------------------------------------------
International Equity Portfolio
STATEMENT OF ASSETS AND LIABILITIES March 31, 1996 (unaudited)
- --------------------------------------------------------------------------------

<TABLE>
<S> <C>
ASSETS
Investments, at Value (Cost $105,942,091).................................................................... $ 121,337,441
Foreign Cash (Cost $74,005).................................................................................. 35,462
Cash......................................................................................................... 3,685
Receivable for Securities Sold............................................................................... 1,058,112
Dividends and Interest Receivable............................................................................ 348,797
Receivable for Foreign Taxes Withheld........................................................................ 100,262
Net Unrealized Appreciation on Forward Currency Contracts.................................................... 24,156
Prepaid Expenses............................................................................................. 409
------------
Total Assets.................................................................................................... 122,908,324
------------
LIABILITIES
Due to Bankers Trust......................................................................................... 53,414
Payable for Securities Purchased............................................................................. 4,558,261
Accrued Expenses and Other................................................................................... 15,513
------------
Total Liabilities............................................................................................... 4,627,188
------------
NET ASSETS...................................................................................................... $ 118,281,136
============
COMPOSITION OF NET ASSETS
Paid-in Capital.............................................................................................. $ 102,905,836
Net Unrealized Appreciation on Investments................................................................... 15,395,350
Net Unrealized Depreciation on Foreign Currencies and Forward Currency Contracts............................. (20,050)
------------
NET ASSETS, MARCH 31, 1996...................................................................................... $ 118,281,136
============
</TABLE>

STATEMENT OF OPERATIONS For the six months ended March 31, 1996 (unaudited)
- --------------------------------------------------------------------------------

<TABLE>
<S> <C>
INVESTMENT INCOME
Dividends (net of foreign withholding tax of $78,541).......................................................... $ 689,466
Interest....................................................................................................... 141,259
---------
TOTAL INVESTMENT INCOME........................................................................................... 830,725
---------
EXPENSES
Advisory....................................................................................................... 302,602
Administration and Services.................................................................................... 69,831
Professional................................................................................................... 13,709
Transfer Tax................................................................................................... 2,322
Trustees....................................................................................................... 1,560
Shareholders Reports........................................................................................... 650
Miscellaneous.................................................................................................. 726
---------
Total Expenses................................................................................................. 391,400
Less: Expenses Absorbed by Bankers Trust....................................................................... (88,798)
---------
Net Expenses............................................................................................... 302,602
---------
NET INVESTMENT INCOME............................................................................................. 528,123
---------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS
Net Realized Gain from:
Investment Transactions...................................................................................... 1,390,252
Foreign Currency Transactions................................................................................ 690,674
Net Change in Unrealized Appreciation (Depreciation) of:
Investments.................................................................................................. 3,530,486
Foreign Currencies and Forward Currency Contracts............................................................ 77,506
---------
NET GAIN ON INVESTMENTS, FOREIGN CURRENCIES AND FORWARD CURRENCY CONTRACTS........................................ 5,688,918
---------
NET INCREASE IN NET ASSETS FROM OPERATIONS........................................................................ $ 6,217,041
=========
</TABLE>

See Notes to Financial Statements on Pages 14 - 15

12
<PAGE> 95

- --------------------------------------------------------------------------------
International Equity Portfolio
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------

<TABLE>
<CAPTION>
FOR THE SIX
MONTHS ENDED FOR THE PERIOD
MARCH 31, 1996 JANUARY 1, 1995 TO
(UNAUDITED) SEPTEMBER 30, 1995
-------------- ------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net Investment Income................................................................ $ 528,123 $ 1,188,602
Net Realized Gain from Investments and Foreign Currency Transactions................. 2,080,926 1,956,124
Net Unrealized Appreciation on Investments, Foreign Currencies and
Forward Currency Contracts......................................................... 3,607,992 6,955,471
-------------- ------------------
Net Increase in Net Assets from Operations.............................................. 6,217,041 10,100,197
-------------- ------------------
CAPITAL TRANSACTIONS
Proceeds from Capital Invested....................................................... 52,306,802 35,819,720
Value of Capital Withdrawn........................................................... (23,556,138) (18,648,629)
-------------- ------------------
Net Increase in Net Assets from Capital Transactions.................................... 28,750,664 17,171,091
-------------- ------------------
TOTAL INCREASE IN NET ASSETS............................................................ 34,967,705 27,271,288
NET ASSETS
Beginning of Period..................................................................... 83,313,431 56,042,143
-------------- ------------------
End of Period........................................................................... $118,281,136 $ 83,313,431
=============== ===================
</TABLE>

FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------

Contained below are selected supplemental data and ratios for each of the
periods indicated for the International Equity Portfolio.
<TABLE>
<CAPTION>
FOR THE
FOR THE SIX YEAR ENDED
MONTHS ENDED FOR THE PERIOD DECEMBER 31,
MARCH 31, 1996 JANUARY 1, 1995 TO ------------------
(UNAUDITED) SEPTEMBER 30, 1995 1994
-------------- ------------------ ------------------
<S> <C> <C> <C>
SUPPLEMENTAL DATA AND RATIOS
Net Assets, End of Period (000's omitted).............. $118,281 $ 83,313 $ 56,042
Ratios to Average Net Assets
Net Investment Income............................... 1.13%* 2.39%* 1.69%
Expenses............................................ 0.65%* 0.65%* 0.65%
Decrease Reflected in Above Expense Ratio Due to
Absorption of Expenses by Bankers Trust........... 0.19%* 0.22%* 0.24%
Portfolio Turnover Rate................................ 30% 21% 15%

<CAPTION>
FOR THE PERIOD
AUGUST 4, 1992
(COMMENCEMENT
OF OPERATIONS) TO
1993 DECEMBER 31, 1992
------------------ -----------------
<S> <C> <C>
SUPPLEMENTAL DATA AND RATIOS
Net Assets, End of Period (000's omitted).............. $ 33,907 $ 8,225
Ratios to Average Net Assets
Net Investment Income............................... 1.64% 1.87%*
Expenses............................................ 0.65% 0.60%*
Decrease Reflected in Above Expense Ratio Due to
Absorption of Expenses by Bankers Trust........... 0.39% 0.93%*
Portfolio Turnover Rate................................ 17% 7%
</TABLE>

- ------------------
* Annualized

See Notes to Financial Statements on Pages 14 - 15

13
<PAGE> 96

- --------------------------------------------------------------------------------
International Equity Portfolio
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------

NOTE 1 -- ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
A. Organization
The International Equity Portfolio (the "Portfolio") is registered under the
Investment Company Act of 1940 (the "Act"), as amended, as an open-end
management investment company. The Portfolio was organized on December 11, 1991,
as an unincorporated trust under the laws of New York and commenced operations
on August 4, 1992. The Declaration of Trust permits the Board of Trustees (the
"Trustees") to issue beneficial interests in the Portfolio.

In fiscal 1995, the Portfolio changed its year end to September 30th.

B. Security Valuation
The Portfolio's investments listed or traded on the National Stock Exchanges or
other domestic or foreign exchanges are valued based on the closing price of a
security traded on that exchange prior to the time when the Portfolio assets are
valued. In cases where securities are traded on more than one exchange, the
securities valued on the exchange designated as the primary market by the
Trustees. All other portfolio securities for which over-the-counter market
quotations are readily available including circumstances under which it is
determined by the Investment Manager that sale or bid prices are not reflective
of a security's market value, portfolio securities are valued at their fair
value as determined in good faith under procedures established by and under the
general supervision of the Trustees. Short-term obligations with remaining
maturities of 60 days or less are valued at amortized cost. Other short-term
debt securities are valued on a mark-to-market basis until such time as they
reach a remaining maturity of 60 days, whereupon they will be valued at
amortized cost using their value on the 61st day. All other securities and other
assets are valued at their fair value as determined in good faith under
procedures established by and under the general supervision of the Trustees.

C. Foreign Currency Transactions
The books and records of the Portfolio are maintained in U.S. dollars. All
assets and liabilities initially expressed in foreign currencies are converted
into U.S. dollars at prevailing exchange rates. Purchases and sales of
investment securities, dividend and interest income, and certain expenses are
translated at the rates of exchange prevailing on the respective dates of such
transactions. The Portfolio does not isolate that portion of the results of
operations resulting from changes in foreign exchange rates on investments from
the fluctuations arising from changes in market prices of securities held. Such
fluctuations are included with the net realized and unrealized gain or loss from
securities.

D. Forward Foreign Currency Contracts
The Portfolio may enter into forward foreign currency contracts for the purpose
of settling specific purchases or sales of securities denominated in a foreign
currency or with respect to the Portfolio's investments generally. The net U.S.
dollar value of foreign currency underlying all contractual commitments held by
the Portfolio and the resulting unrealized appreciation or depreciation are
determined using prevailing exchange rates. With respect to forward foreign
currency contracts, losses in excess of amounts recognized in the Statement of
Assets and Liabilities may arise due to changes in the value of the foreign
currency or if the counterparty does not perform under the contract.

E. Option Contracts
Upon the purchase of a put option or a call option by the Portfolio, the premium
paid is recorded as an investment, the value of which is marked-to-market daily
to reflect the current market value. When a purchased option expires, the
Portfolio will realize a loss in the amount of the cost of the option. When the
Portfolio enters into a closing sale transaction, the Portfolio will realize a
gain or loss depending on whether the sale proceeds from the closing sale
transaction are greater or less than the cost of the option. When the Portfolio
exercises a put option, it realizes a gain or loss from the sale of the
underlying security and the proceeds from such sale will be decreased by the
premium originally paid. When the Portfolio exercises a call option, the cost of
the security which the Portfolio purchases upon exercise will be increased by
the premium originally paid.

F. Security Transactions and Investment Income
Security transactions are accounted for on a trade date basis. Dividend income,
less foreign taxes withheld (if any), is recorded on the ex-dividend date or
upon receipt of ex-dividend notification in the case of certain foreign
securities. Interest income is recorded on the accrual basis and includes
amortization of premium and discount on investments. Realized gains and losses
from security transactions are recorded on the identified cost basis.

All of the net investment income and realized and unrealized gains and losses
from security and foreign currency transactions of the Portfolio are allocated
pro rata among the investors of the Portfolio at the time of such determination.

G. Federal Income Taxes
It is the Portfolio's policy to comply with the requirements of the Internal
Revenue Code applicable to it. Therefore, no federal income tax provision is
required.

H. Other
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions that
affect the reported amounts in the financial statements.

NOTE 2 -- FEES AND TRANSACTIONS WITH AFFILIATES
The Portfolio has entered into an Administration and Services Agreement with
Bankers Trust Company ("Bankers Trust"). Under this Administration and Services
Agreement, Bankers Trust provides administrative, custody, transfer agency and
shareholder services to the Portfolio in return for a fee computed daily and
paid monthly at an annual rate of 0.15 of 1% of the Portfolio's average daily
net assets. For the six months ended March 31, 1996, this fee aggregated
$69,831.

The Portfolio has entered into an Advisory Agreement with Bankers Trust. Under
this Advisory Agreement, the Portfolio pays Bankers Trust an advisory fee
computed daily and paid monthly at an annual rate of 0.65 of 1% of the
Portfolio's average daily net assets. For the six months ended March 31, 1996,
this fee aggregated $302,602.

14
<PAGE> 97

Bankers Trust has voluntarily undertaken to waive and reimburse expenses of the
Portfolio, to the extent necessary, to limit all expenses to 0.65 of 1% of the
average daily net assets of the Portfolio. For the six months ended March 31,
1996, expenses of the Portfolio have been reduced by $88,798.

Certain trustees and officers of the Portfolio are also directors, officers
and/or employees of Signature. None of the trustees so affiliated received
compensation for services as trustee of the Portfolio. Similarly, none of the
Portfolio's officers received compensation from the Portfolio.

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 March 31, 1996, were
$58,380,801 and $27,069,480, respectively. Tax basis of investments held at
March 31, 1996, were substantially the same as the basis used for the financial
statement reporting purposes. The aggregate gross unrealized appreciation for
all investments was $18,110,513 and the aggregate gross unrealized depreciation
for all investments was $2,715,163.

NOTE 4 -- OPEN FORWARD FOREIGN CURRENCY CONTRACTS
As of March 31, 1996, the Portfolio had entered into the following open forward
foreign currency contract:

<TABLE>
<CAPTION>
CONTRACTS TO NET UNREALIZED
DELIVER IN EXCHANGE FOR SETTLEMENT DATE VALUE (US$) APPRECIATION (US$)
<S> <C> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------
SALES
- ------------------------------------------------------------------------------------------------------
ATS 1,203,706 USD $ 115,908 4/1/96 $ 115,939 $ (31)
DEM 8,863,200 USD 6,010,375 4/10/96 6,002,914 7,461
DEM 14,800,000 USD 10,016,582 4/12/96 10,025,769 (9,187)
JPY 639,840,000 USD 6,001,013 4/9/96 5,976,195 24,818
NLG 1,432,868 USD 868,457 4/1/96 867,091 1,366
- ------------------------------------------------------------------------------------------------------
$23,012,335 22,987,908 24,427
- ------------------------------------------------------------------------------------------------------
PURCHASES
- ------------------------------------------------------------------------------------------------------
USD $ 1,093,424 GBP 716,060 4/2/96 1,093,066 (358)
USD 712,196 MYR 1,802,569 4/2/96 712,588 392
USD 209,563 ZAR 832,490 4/2/96 209,258 (305)
- ------------------------------------------------------------------------------------------------------
$ 2,015,183 $ 2,014,912 (271)
- ------------------------------------------------------------------------------------------------------
$ 24,156
===================
</TABLE>

15
<PAGE> 98

BT INVESTMENT FUNDS
INTERNATIONAL EQUITY FUND

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 International
Equity Fund 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) 730-1313

BT INVESTMENT FUNDS
Signature Broker-Dealer Services, Inc.
6 St. James Avenue
Boston, MA 02116
(800) 545-1074

You may write to the International Equity Fund
at the following address:
BT INVESTMENT FUNDS
6 St. James Avenue
Boston, MA 02116
<PAGE> 99

- BT INVESTMENT FUNDS -

- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------

SMALL CAP FUND

SEMI-ANNUAL REPORT
- --------------------------------------------------------------------------------
MARCH - 1996
<PAGE> 100

- --------------------------------------------------------------------------------
BT Investment Small Cap Fund
TABLE OF CONTENTS
- --------------------------------------------------------------------------------

<TABLE>
<S> <C>
LETTER TO SHAREHOLDERS.................................................................. 3
BT INVESTMENT SMALL CAP FUND
Statement of Assets and Liabilities................................................. 6
Statement of Operations............................................................. 6
Statements of Changes in Net Assets................................................. 7
Financial Highlights................................................................ 7
Notes to Financial Statements....................................................... 8
SMALL CAP PORTFOLIO
Schedule of Portfolio Investments................................................... 9
Statement of Assets and Liabilities................................................. 11
Statement of Operations............................................................. 11
Statements of Changes in Net Assets................................................. 12
Financial Highlights................................................................ 12
Notes to Financial Statements....................................................... 13
</TABLE>

2
<PAGE> 101

- --------------------------------------------------------------------------------
BT Investment Small Cap Fund
LETTER TO SHAREHOLDERS
- --------------------------------------------------------------------------------

We are pleased to present you with this newly-designed semi-annual report for
the BT Investment Small Cap Fund, providing a more detailed review of the
markets, the portfolio, and our outlook -- all in an easier-to-read format. Of
course, we continue to include a complete financial summary of the Fund's
operations and a listing of the Portfolio's holdings.

MARKET ACTIVITY

INVESTMENT REVIEW

Most of the Fund's outperformance during this semi-annual period can be
attributed to specific stock selection rather than sector allocation. Although
healthcare, in which the Fund was overweighted, remained strong during the six
months, the Fund had very low exposure to other leading sectors for the time
period, like energy and financial services. We also remained overweight in the
technology sector, which was one of the laggards during the six month period
ended March 31, 1996.

The first quarter was also a period in which volatility was higher than normal.
The portfolio management team exploited that volatility to our investor's
advantage by using periods of weakness to initiate or add to positions in
companies with strong future prospects whose stocks may be hurt temporarily by
the market's volatility. A good example of that strategy was our investment in
Cheyenne Software. When the stock dropped sharply in the wake of concerns over
product transition issues, we added to our position. We believed that the market
was being too short term orientated in its concerns and that Cheyenne's product
pipeline was not only strong, it was quite unique in the industry. Shortly after
we added to our position, Cheyenne received a takeover bid from MacAfee
Associates at close to 100% above the price at which we purchased the additional
stock for the portfolio.

LOOKING AHEAD

Bankers Trust is forecasting moderate growth in the economy, relatively stable
interest rates and relatively stable inflation (although somewhat higher than
last year's). We believe this environment is a very positive one for smaller
companies. Smaller cap stocks are forecast to grow earnings at a faster rate
than larger cap stocks, but do not as of yet command significantly higher
price/earnings ("P/E") ratios. Cycles of outperformance for smaller companies
have historically been divided into two phases; during the second phase they
command significantly higher P/E ratios. We believe that we are in the beginning
of that second phase and that small company stocks could significantly
outperform large company stocks through 1996. We still expect higher than normal
volatility in the market, particularly as we come closer to the election in
November.

3
<PAGE> 102

We will, of course, continue monitoring economic conditions and how they affect
the financial markets, as we seek long-term capital growth.

* * *

We value your ongoing support of the Small Cap Fund and look forward to
continuing to serve your investment needs in the years ahead.
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ABOUT THE MARY LISANTI
PORTFOLIO MANAGER MANAGING DIRECTOR & PORTFOLIO MANAGER
o Manager of the Small Cap Fund, Capital
Appreciation Fund and separate aggressive
growth accounts
o 16 years of investment experience as a
portfolio manager and analyst in Small/Mid
cap equities
o Joined Bankers Trust from Lieber &
Company/The Evergreen Funds, where for
three years she was Vice President of
Investments and a portfolio manager
working on their $800 million small and
mid-sized company fund
o Senior Vice President at Shearson Lehman
Brothers, headed the firm's emerging
growth stock investment strategy and
research effort; member of the
Investment Policy Committee
o Earned the #1 ranking in Institutional
Investor's All Star Research Team in 1989
(ranked #2 and #3 in 1987 and 1986,
respectively) for her work as a small company
stock analyst
o B.A.--Princeton University
o Member, New York Society of Security Analysts
and Financial Analyst Federation
</TABLE>

4
<PAGE> 103

The following graph illustrates the Fund's return versus the Russell 2000 Index
since October 31, 1993, assuming a $10,000 initial investment:
- -------------------------------------------------------------------------------
COMPARISON OF
CHANGE IN VALUE
OF A $10,000
INVESTMENT IN THE
SMALL CAP FUND AND
THE RUSSELL 2000
INDEX

<TABLE>
<CAPTION>
<S> <C> <C> <C>
TOTAL RETURN
ENDED MARCH 31, 1996 Measurement Period BT Investment Small
One Year Since 10/21/93* (Fiscal Year Covered) Cap Fund Russell 2000 Index
49.22% 113.23% 10/31/93 $10,000 $10,000
* The Fund's inception date 12/31/93 $10,326 $10,002
Investment return and principal 3/31/94 $10,375 $ 9,735
value may fluctuate so that 6/30/94 $ 9,951 $ 9,354
shares, when redeemed, may be worth 9/30/94 $11,451 $10,004
more or less than their original 12/31/94 $12,320 $ 9,819
cost. 3/31/95 $14,107 $10,272
6/30/95 $15,903 $11,236
9/30/95 $18,263 $12,345
12/31/95 $19,536 $12,613
3/31/96 $21,049 $13,256
</TABLE>

<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------
<S> <C>
Seeks to provide long-term capital growth by
OBJECTIVE investing primarily in equity securities of
smaller companies. The production of any
current income is secondary to this objective.
- -------------------------------------------------------------------------------------------------
INVESTMENT INSTRUMENTS Primarily common stocks of smaller U.S.
corporations and, to a lesser extent, in
foreign corporations.
- -------------------------------------------------------------------------------------------------
TEN LARGEST COMMON STOCK HOLDINGS APAC Teleservices Inso Corp.
Rational Software Accustaff
Papa John's International Inc. National Data Corp.
Physician Reliance Network Business Objects S.A., ADR
Dollar Tree Stores Inc. Living Centers of America
- -------------------------------------------------------------------------------------------------
</TABLE>

DIVERSIFICATION OF PORTFOLIO
INVESTMENTS BY THEME
AS OF MARCH 31, 1996 (UNAUDITED)
(percentages are based on market value

<TABLE>

<S> <C>
Client-Server Computing 11.10%
U.S. Treasury Bills 10.55%
New Health Care Paradigm 9.81%
Managing the Information Age 8.82%
Move to Outsourcing 8.51%
Telecommunications 7.84%
Flourishing in the Managed Care Environment 7.59%
Life Science Revolution 7.07%
America's Changing Leisure Time 6.39%
Life on the Net 5.92%
Productivity Enhancement 4.80%
New Consumer 4.59%
Stores of Value 4.30%
Other* 2.71%

</TABLE>
* No one Investment Theme represents more than 3% of the Portfolio Holdings.

<PAGE> 104

- --------------------------------------------------------------------------------
BT Investment Small Cap Fund
STATEMENT OF ASSETS AND LIABILITIES March 31, 1996 (unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investment in Small Cap Portfolio, at Value............................. $ 205,716,834
Receivable for Shares of Beneficial Interest Subscribed................. 2,039,462
Prepaid Expenses and Other.............................................. 8,003
-------------
Total Assets............................................................... 207,764,299
-------------
LIABILITIES
Due to Bankers Trust.................................................... 146,313
Payable for Shares of Beneficial Interest Redeemed...................... 48,099
Accrued Expenses and Other.............................................. 45,241
-------------
Total Liabilities.......................................................... 239,653
-------------
NET ASSETS ($0.001 Par Value Per Share, Unlimited Number of
Shares of Beneficial Interest Authorized) ............................. $ 207,524,646
=============
SHARES OUTSTANDING......................................................... 10,509,246
=============
NET ASSET VALUE AND REDEMPTION PRICE PER SHARE............................. $ 19.75
=============
COMPOSITION OF NET ASSETS
Paid-in Capital......................................................... $ 162,258,145
Accumulated Net Investment (Loss)....................................... (507,658)
Undistributed Net Realized Gain from Investments........................ 1,853,249
Net Unrealized Appreciation on Investments.............................. 43,920,910
-------------
NET ASSETS, MARCH 31, 1996................................................. $ 207,524,646
=============
</TABLE>

STATEMENT OF OPERATIONS For the six months ended March 31, 1996 (unaudited)
- --------------------------------------------------------------------------------

<TABLE>
<S> <C>
INVESTMENT INCOME
Income Allocated from Small Cap Portfolio, net.......................... $ 3,131
------------
EXPENSES
Administration and Services............................................. 510,789
Shareholders Reports.................................................... 8,258
Registration............................................................ 27,916
Professional............................................................ 6,423
Trustees................................................................ 1,355
Miscellaneous........................................................... 913
------------
Total Expenses.......................................................... 555,654
Less: Expenses Absorbed by Bankers Trust................................ (44,865)
------------
Net Expenses............................................................... 510,789
------------
NET INVESTMENT (LOSS)...................................................... (507,658)
------------
REALIZED AND UNREALIZED GAIN ON INVESTMENTS
Net Realized Gain from Investment Transactions............................. 2,396,540
Net Change in Unrealized Appreciation of Investments....................... 21,617,968
------------
NET GAIN ON INVESTMENTS.................................................... 24,014,508
------------
NET INCREASE IN NET ASSETS FROM OPERATIONS................................. $ 23,506,850
============
</TABLE>

See Notes to Financial Statements on Page 8

6
<PAGE> 105

- --------------------------------------------------------------------------------
BT Investment Small Cap Fund
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------

<TABLE>
<CAPTION>
FOR THE SIX
MONTHS ENDED FOR THE
MARCH 31, 1996 YEAR ENDED
(UNAUDITED) SEPTEMBER 30, 1995
-------------- ------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS
Net Investment (Loss).............................................................. $ (507,658) $ (274,306)
Net Realized Gain from Investments Transactions.................................... 2,396,540 11,205,495
Net Unrealized Appreciation on Investments......................................... 21,617,968 19,127,778
------------ ------------
Net Increase in Net Assets from Operations............................................ 23,506,850 30,058,967
------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS
Net Realized Gain from Investment Transactions..................................... (10,302,003) --
------------ ------------
TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST
Net Increase from Transactions in Shares of Beneficial Interest.................... 71,385,018 71,544,157
------------ ------------
TOTAL INCREASE IN NET ASSETS.......................................................... 84,589,865 101,603,124
NET ASSETS
Beginning of Period................................................................... 122,934,781 21,331,657
------------ ------------
End of Period......................................................................... $207,524,646 $122,934,781
============ ============
</TABLE>

FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------

<TABLE>
<CAPTION>
FOR THE PERIOD
FOR THE SIX OCTOBER 21, 1993
MONTHS ENDED FOR THE (COMMENCEMENT
MARCH 31, 1996 YEAR ENDED OF OPERATIONS) TO
(UNAUDITED) SEPTEMBER 30, 1995 SEPTEMBER 30, 1994
-------------- ------------------ ------------------
<S> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE, BEGINNING OF PERIOD............................. $ 18.50 $ 11.60 $ 10.00
-------- -------- --------
INCOME (LOSS) FROM INVESTMENT OPERATIONS
Net Investment (Loss)............................................ (0.05) (0.04) (0.03)
Net Realized and Unrealized Gain on Investments.................. 2.67 6.94 1.63
-------- -------- --------
Total from Investment Operations.............................. 2.62 6.90 1.60
-------- -------- --------
DISTRIBUTIONS
Distribution from Net Realized Gain.............................. (1.37) -- --
-------- -------- --------
NET ASSET VALUE, END OF PERIOD................................... $ 19.75 $ 18.50 $ 11.60
======== ======== ========
TOTAL INVESTMENT RETURN.......................................... 15.26% 59.48% 17.06%*
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period (000's omitted)........................ $207,525 $122,935 $ 21,332
Ratios to Average Net Assets
Net Investment (Loss)......................................... (0.65)%* (0.46)% (0.58)%*
Expenses, Including Expenses of the Small Cap Portfolio....... 1.25%* 1.25% 1.25%*
Decrease Reflected in Above Expense Ratio Due to
Absorption of Expenses by Bankers Trust..................... 0.23%* 0.34% 0.86%*
</TABLE>

- ------------------
* Annualized

See Notes to Financial Statements on Page 8

7
<PAGE> 106

- --------------------------------------------------------------------------------
BT Investment Small Cap Fund
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------

The financial statements of the Portfolio, including the Schedule of Portfolio
Investments, are contained elsewhere in this report.

B. Investment Income
The Fund earns income, net of expenses, daily on its investment in the
Portfolio. All of the net investment income and realized and unrealized gains
and losses from the security transactions of the Portfolio are allocated pro
rata among the investors in the Portfolio at the time of such determination.

C. Dividends
It is the Fund's policy to declare and distribute dividends quarterly to
shareholders from net investment income. Dividends payable to shareholders are
recorded by the Fund on the ex-dividend date. Distributions of net realized
short-term and long-term capital gains, if any, earned by the Fund will be made
annually to the extent they are not offset by any capital loss carryforwards.

D. Federal Income Taxes
It is the Fund's policy to comply with the requirements of the Internal Revenue
Code. Therefore, no federal income tax provision is required. The Fund 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. For the year
ended September 30, 1995, $274,306 of net investment loss was reclassified to
undistributed net realized gain from securities transactions.

E. Other
The Trust accounts separately for the assets, liabilities, and operations of the
Fund. Expenses directly attributable to the Fund are charged to that Fund, while
expenses which are attributable to all of the Trust's funds are allocated among
them.
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions that
affect the reported amounts in the financial statements.

NOTE 2 -- FEES AND TRANSACTIONS WITH AFFILIATES
The Fund has entered into an Administration and Services Agreement with Bankers
Trust Company ("Bankers Trust"). Under this Administration and Services
Agreement, Bankers Trust provides administrative, custody, transfer agency and
shareholder services to the Fund in return for a fee computed daily and paid
monthly at an annual rate of 0.65 of 1% of the Fund's average daily net assets.
For the six months ended March 31, 1996, this fee aggregated $510,789.

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 under 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 the Fund's shares. For the six months ended March 31,
1996, 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 0.65 of 1% of the
average daily net assets of each Fund, excluding expenses of the Portfolio and
1.25 of 1% of the average daily net assets of the Fund, including expenses of
the Portfolio. For the six months ended March 31, 1996, expenses of the Fund
have been reduced $44,865.

The Fund 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 Fund 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.

NOTE 3 -- SHARES OF BENEFICIAL INTEREST
At March 31, 1996, there were an unlimited number of shares of beneficial
interest authorized. Transactions in shares of beneficial interest were as
follows:

<TABLE>
<CAPTION>
FOR THE SIX FOR THE YEAR
MONTHS ENDED ENDED SEPTEMBER 30, 1995
MARCH 31, 1996
---------------------------- ---------------------------
SHARES AMOUNT SHARES AMOUNT
----------- ------------- ----------- ------------
<S> <C> <C> <C> <C>
Sold............. 7,538,882 $ 138,086,428 6,022,926 $ 90,112,541
Reinvested....... 439,133 7,579,445 -- --
Redeemed......... (4,114,378) (74,280,855) (1,216,232) (18,568,384)
----------- ------------- ----------- ------------
Net Increase..... 3,863,637 $ 71,385,018 4,806,694 $ 71,544,157
----------- ------------- ----------- ------------
</TABLE>

8
<PAGE> 107

- --------------------------------------------------------------------------------
Small Cap Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 1996 (unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES DESCRIPTION VALUE
- ----------- ------------------------------------ -------------
<C> <S> <C>
COMMON STOCKS - 89.73%
AMERICA'S CHANGING LEISURE TIME - 6.41%
46,300 EchoStar Communications(a).......... $ 1,562,625
48,300 Gemstar International Group
Ltd.(a)............................ 1,207,500
99,200 New World Communications Group(a)... 1,946,800
82,650 Papa John's International Inc.(a)... 3,688,256
7,500 Penske Motorsports(a)............... 279,375
50,150 Regal Cinemas(a).................... 1,855,550
54,500 Renaissance Hotel Group N.V.(a)..... 1,171,750
63,800 Sodak Gaming(a)..................... 1,515,250
----------
13,227,106
----------
CLIENT-SERVER COMPUTING - 11.14%
34,700 Business Objects S.A., ADR(a)....... 2,949,500
32,700 CBT Group PLC, ADR(a)............... 2,403,450
16,000 Citrix Systems Inc.(a).............. 708,000
27,100 Dialogic Corp.(a)................... 1,144,975
49,100 Indus Group Inc.(a)................. 957,450
65,000 Microcom Inc.(a).................... 1,941,875
41,500 Network Appliance Inc.(a)........... 1,317,625
51,000 Network Equipment Technologies
Inc.(a)............................ 1,549,125
149,500 PowerCerv Corp.(a).................. 2,226,148
24,000 Prism Solutions Inc.(a)............. 636,000
93,900 Rational Software(a)................ 3,709,050
37,900 Segue Software(a)................... 795,900
52,700 Structural Dynamics Research(a)..... 1,778,625
39,500 Workgroup Technology Corp.(a)....... 854,187
----------
22,971,910
----------
FLOURISHING IN THE MANAGED
CARE ENVIRONMENT - 7.61%
36,800 CRA Managed Care(a)................. 1,315,600
50,300 Henry Schein(a)..................... 1,471,275
42,900 MedPartners/Mullikin(a)............. 1,222,650
77,600 Multicare Companies Inc.(a)......... 2,201,900
40,400 NCS HealthCare Inc.(a).............. 989,800
65,200 OccuSystems(a)...................... 1,483,300
62,700 Pediatrix Medical Group(a).......... 2,225,850
84,300 Physician Reliance Network(a)....... 3,340,387
61,400 Renal Treatment Centers Inc.(a)..... 1,458,250
----------
15,709,012
----------
LIFE ON THE NET - 5.94%
10,200 Documentum(a)....................... 359,550
179,700 IDT Corp.(a)........................ 1,797,000
49,550 McAfee Associates(a)................ 2,712,863
30,800 Security Dynamics Tech Inc.(a)...... 1,632,400
10,200 Shiva(a)............................ 925,650
39,400 TCSI Corp.(a)....................... 1,201,700
44,100 Transaction Systems Architects(a)... 1,797,075
43,400 Verifone Inc.(a).................... 1,822,800
----------
12,249,038
----------

<CAPTION>
SHARES DESCRIPTION VALUE
- ----------- ------------------------------------ -------------
<C> <S> <C>
LIFE SCIENCE REVOLUTION - 7.09%
29,100 Agouron Pharmaceuticals(a).......... $ 1,127,625
150,000 ChiRex Inc.(a)...................... 1,537,500
50,000 Endovascular Technologies(a)........ 500,000
69,600 Isls Pharmaceuticals(a)............. 809,100
66,500 Martek Biosciences Corp.(a)......... 2,394,000
28,600 NeoPath(a).......................... 664,950
72,400 Neurogen(a)......................... 2,497,800
48,200 NeXstar Pharmaceuticals(a).......... 951,950
70,000 Protein Design Labs Inc.(a)......... 1,723,750
55,800 Sequus Pharmaceuticals(a)........... 770,737
62,400 Vertex Pharmaceuticals(a)........... 1,653,600
----------
14,631,012
----------
MANAGING THE INFORMATION AGE - 8.85%
40,700 Atria Software Inc.(a).............. 2,228,325
126,100 Cheyenne Software(a)................ 1,986,075
65,600 DSP Communications(a)............... 1,640,000
33,900 FileNet Corp.(a).................... 1,957,725
42,000 Imnet Systems(a).................... 1,270,500
20,000 IntelliQuest Information Group(a)... 550,000
90,900 National Data Corp. ................ 3,101,963
20,000 Raptor Systems Inc.(a).............. 597,500
15,000 Red Brick Systems Inc.(a)........... 645,000
39,400 Sitel(a)............................ 1,782,850
144,000 Triple P.N.V.(a).................... 1,620,000
31,200 Visio(a)............................ 873,600
----------
18,253,538
----------
MOVE TO OUTSOURCING - 8.54%
123,000 Accustaff(a)........................ 3,105,750
75,400 Career Horizons(a).................. 2,243,150
63,000 Corestaff(a)........................ 1,921,500
49,100 Data Processing Resources(a)........ 1,350,250
61,200 HealthPlan Services(a).............. 1,399,950
50,600 HPR Inc.(a)......................... 1,954,425
20,300 Interim Services Inc.(a)............ 776,475
44,000 MSC Industrial Direct Co.(a)........ 1,270,500
32,100 Pharmaceutical Product
Development(a)..................... 1,131,525
28,600 Quintiles Transnational Corp.(a).... 1,859,000
46,000 Superior Services Inc.(a)........... 609,500
----------
17,622,025
----------
NEW CONSUMER - 4.60%
72,500 Authentic Fitness................... 1,875,939
57,600 Blyth Industries(a)................. 1,915,200
35,600 Gucci Group(a)...................... 1,708,800
37,300 Mossimo Inc.(a)..................... 1,207,588
36,000 Nautica Enterprises Inc.(a)......... 1,719,000
23,000 West Maine Inc.(a).................. 1,069,500
----------
9,496,027
----------
</TABLE>

See Notes to Financial Statements on Page 13

9
<PAGE> 108

- --------------------------------------------------------------------------------
Small Cap Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 1996 (unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES DESCRIPTION VALUE
- ----------- ------------------------------------ -------------
<C> <S> <C>
NEW HEALTH CARE PARADIGM - 9.84%
55,900 ALPHARMA Inc........................ $ 1,299,675
22,000 ABR Information Services Inc.(a).... 1,023,000
26,400 American Homepatient Inc.(a)........ 1,036,200
22,300 Amerisource Health Corp. Cl. A(a)... 735,900
58,400 Gulf South Medical Supply(a)........ 2,204,600
103,900 Mariner Health Group(a)............. 1,714,350
37,800 Neuromedical Systems Inc.(a)........ 822,150
78,600 Owen Healthcare Inc.(a)............. 1,837,275
61,200 Physician Sales & Service(a)........ 1,514,700
36,200 Physician Support Systems(a)........ 619,925
5,300 Respironics Inc.(a)................. 111,300
75,300 Rexall Sundown Inc.(a).............. 2,268,412
22,800 RoTech Medical Corp.(a)............. 843,600
59,200 Sofamor/Danek Group(a).............. 2,005,400
25,000 Summit Medical Systems(a)........... 487,500
56,900 Total Renal Care Holdings(a)........ 1,771,012
-------------
20,294,999
-------------
PRODUCTIVITY ENHANCEMENT - 4.81%
5,800 CKS Group Inc.(a)................... 147,900
40,000 Engineering Animation(a)............ 835,000
63,000 HMT Technology Corp.(a)............. 657,562
69,700 Inso Corp.(a)....................... 3,214,913
157,500 OrCad Inc.(a)....................... 1,850,625
17,200 Quick Response Services Inc.(a)..... 442,900
103,500 Saville Systems PLC.(a)............. 1,953,563
42,400 Xelikon N.V., ADR(a)................ 821,500
-------------
9,923,963
-------------
STORES OF VALUE - 4.31%
74,400 Dollar Tree Stores Inc.(a).......... 3,273,600
52,700 Just For Feet(a).................... 2,193,638
39,800 Sunglass Hut International(a)....... 1,318,375
68,000 US Office Products(a)............... 2,108,000
-------------
8,893,613
-------------
TELECOMMUNICATIONS - 7.87%
53,800 APAC Teleservices(a)................ 3,833,250
40,400 Aspect Telecommunication(a)......... 1,848,300
56,700 CIDCO Inc.(a)....................... 1,828,575

<CAPTION>
SHARES DESCRIPTION VALUE
- ----------- ------------------------------------ -------------
<C> <S> <C>
41,000 Colonial Data Technologies(a)....... $ 907,125
56,500 CSG Systems International Inc.(a)... 1,299,500
120,300 IntelCom Group(a)................... 2,135,325
43,400 Level One Communications Inc.(a).... 1,204,350
18,000 Teltrend Inc.(a).................... 819,000
63,600 TresCom International(a)............ 938,100
38,400 Westell Technologies(a)............. 1,420,800
-------------
16,234,325
-------------
THE GREYING OF AMERICA - 2.72%
30,000 ESC Medical Systems Ltd.(a)......... 1,035,000
45,700 Genesis Health Ventures Inc.(a)..... 1,845,137
73,400 Living Centers of America(a)........ 2,734,150
-------------
5,614,287
-------------
TOTAL COMMON STOCK
(Cost $141,170,594).............................. $ 185,120,855
-------------
<CAPTION>
PRINCIPLE
AMOUNT
- -----------
<C> <S> <C>
U.S. TREASURY BILLS - 10.59%
$8,350,000 5.76%, 4/04/96...................... 8,346,595
2,445,000 5.01%, 4/18/96...................... 2,439,330
4,225,000 5.20%, 5/16/96...................... 4,198,560
6,935,000 5.15%, 6/20/96...................... 6,858,715
-------------
TOTAL U.S. TREASURY BILLS
(Amortized Cost $21,843,226)..................... $ 21,843,200
-------------
TOTAL INVESTMENTS
(Cost $163,013,820) - 100.32%.................... 206,964,055
Liabilities in Excess of Other Assets - (0.32)%... (667,611)
-------------
NET ASSETS - 100.00%.............................. $ 206,296,444
-------------
</TABLE>

- ------------------
(a) Non-Income Producing Securities

See Notes to Financial Statements on Page 13

10
<PAGE> 109

- --------------------------------------------------------------------------------
Small Cap Portfolio
STATEMENT OF ASSETS AND LIABILITIES March 31, 1996 (unaudited)
- --------------------------------------------------------------------------------

<TABLE>
<S> <C>
ASSETS
Investments, at Value (Cost $163,013,820)....................................................................... $206,964,055
Cash............................................................................................................ 626,749
Receivable for Securities Sold.................................................................................. 1,505,247
Dividends Receivable............................................................................................ 713
Prepaid Expenses and Other...................................................................................... 606
------------
Total Assets................................................................................................. 209,097,370
------------
LIABILITIES
Due to Bankers Trust............................................................................................ 119,227
Payable for Securities Purchased................................................................................ 2,666,864
Accrued Expenses and Other...................................................................................... 14,835
------------
Total Liabilities............................................................................................ 2,800,926
------------
NET ASSETS...................................................................................................... $206,296,444
============
COMPOSITION OF NET ASSETS
Paid-in Capital.............................................................................................. $162,346,209
Net Unrealized Appreciation on Investments................................................................... 43,950,235
------------
NET ASSETS, MARCH 31, 1996...................................................................................... $206,296,444
============
</TABLE>

STATEMENT OF OPERATIONS For the period ended March 31, 1996 (unaudited)
- --------------------------------------------------------------------------------

<TABLE>
<S> <C>
INVESTMENT INCOME
Dividends..................................................................................................... $ 19,858
Interest...................................................................................................... 455,753
-----------
Total Investment Income................................................................................... 475,611
-----------
EXPENSES
Advisory...................................................................................................... 511,914
Administration and Services................................................................................... 78,756
Professional.................................................................................................. 14,729
Trustees...................................................................................................... 1,532
Miscellaneous................................................................................................. 1,193
-----------
Total Expenses................................................................................................ 608,124
Expenses Absorbed by Bankers Trust............................................................................ (135,587)
-----------
Net Expenses.............................................................................................. 472,537
-----------
NET INVESTMENT INCOME............................................................................................ 3,074
-----------
REALIZED AND UNREALIZED GAIN ON INVESTMENTS
Net Realized Gain on Investment Transactions..................................................................... 2,392,080
Net Change in Unrealized Appreciation of Investments............................................................. 21,647,288
-----------
NET GAIN ON INVESTMENTS.......................................................................................... 24,039,368
-----------
NET INCREASE IN NET ASSETS FROM OPERATIONS....................................................................... $ 24,042,442
===========
</TABLE>

See Notes to Financial Statements on Page 13

11
<PAGE> 110

- --------------------------------------------------------------------------------
Small Cap Portfolio
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------

<TABLE>
<CAPTION>
FOR THE SIX
MONTHS ENDED
MARCH 31, 1996 FOR THE YEAR ENDED
(UNAUDITED) SEPTEMBER 30, 1995
-------------- ------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS
Net Investment Income................................................................ $ 3,074 $ 114,355
Net Realized Gain from Investments................................................... 2,392,080 11,205,496
Net Unrealized Appreciation on Investments........................................... 21,647,288 19,127,783
------------ ------------
Net Increase in Net Assets from Operations.............................................. 24,042,442 30,447,634
------------ ------------
CAPITAL TRANSACTIONS
Proceeds from Capital Invested....................................................... 136,769,130 89,963,488
Value of Capital Withdrawn........................................................... (78,343,080) (17,910,681)
------------ ------------
Net Increase in Net Assets from Capital Transactions.................................... 58,426,050 72,052,807
------------ ------------
TOTAL INCREASE IN NET ASSETS............................................................ 82,468,492 102,500,441
NET ASSETS
Beginning of Period..................................................................... 123,827,952 21,327,511
------------ ------------
End of Period........................................................................... $206,296,444 $123,827,952
============ ============
</TABLE>

FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------

Contained below are selected ratios and supplemental data for each of the
periods indicated for the Small Cap Portfolio.

- ------------------
* Annualized
+ Less than 0.01%

See Notes to Financial Statements on Page 13

12
<PAGE> 111

- --------------------------------------------------------------------------------
Small Cap Portfolio
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------

NOTE 1 -- ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
A. Organization
The Small Cap Portfolio (the "Portfolio") is registered under the Investment
Company Act of 1940 (the "Act"), as amended, as an open-end management
investment company. The Portfolio was organized on August 6, 1993 as an
unincorporated trust under the laws of New York and commenced operations on
October 21, 1993. The Declaration of Trust permits the Board of Trustees (the
"Trustees") to issue beneficial interests in the Portfolio.

B. Security Valuation
The Portfolio's investments listed or traded on the National Stock Exchanges or
other domestic or foreign exchanges are valued based on the closing price of a
security traded on that exchange prior to the time when the Portfolio assets are
valued in cases where securities are traded on more than one exchange, the
securities valued on the exchange designated as the primary market by the
Trustees. All other portfolio securities for which over-the-counter market
quotations are readily available including circumstances under which it is
determined by the Investment Manager that sale or bid prices are not reflective
of a security's market value, portfolio securities are valued at their fair
values as determined in good faith under procedures established by and under the
general supervision of the Trustees. Short-term obligations with remaining
maturities of 60 days or less are valued at amortized cost. Other short-term
debt securities are valued on a mark-to-market basis until such time as they
reach a remaining maturity of 60 days, whereupon they will be valued at
amortized cost using their value on the 61st day. All other securities and other
assets are valued at their fair value as determined in good faith under
procedures established by and under the general supervision of the Trustees.

C. Security Transactions and Investment Income
Security transactions are accounted for on a trade date basis. Dividend income
is recorded on the ex-dividend date. Interest income is recorded on the accrual
basis and includes amortization of premium and discount on investments. Realized
gains and losses from securities transactions are recorded on the identified
cost basis.

The Portfolio may enter into repurchase agreements with financial institutions
deemed to be creditworthy by the Portfolio's Investment Adviser, subject to the
seller's agreement to repurchase such securities at a mutually agreed upon
price. Securities purchased subject to repurchase agreements are deposited with
the Portfolio's custodian, and pursuant to the terms of the repurchase agreement
must have an aggregate market value greater than or equal to the repurchase
price plus accrued interest at all times. If the value of the underlying
securities falls below the value of the repurchase price plus accrued interest,
the Portfolio will require the seller to deposit additional collateral by the
next business day. If the request for additional collateral is not met, or the
seller defaults on its repurchase obligation, the Portfolio maintains the right
to sell the underlying securities at market value and may claim any resulting
loss against the seller.

All of the net investment income and realized and unrealized gains and losses
from the securities transactions of the Portfolio are allocated pro rata among
the investors in the Portfolio at the time of such determination.

D. Federal Income Taxes
It is the Portfolio's policy to comply with the requirements of the Internal
Revenue Code. Therefore, no federal income tax provision is required.

E. Other
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions that
affect the reported amounts in the financial statements.

F. Option Contracts
The Portfolio may enter into Option Contracts. Upon the purchase of a put option
or a call option by the Portfolio, the premium paid is recorded as an
investment, the value of which is marked-to-market daily to reflect the current
market value. When a purchased option expires, the Portfolio will realize a loss
in the amount of the cost of the option. When the Portfolio enters into a
closing sale transaction, the Portfolio will realize a gain or loss depending on
whether the sale proceeds from the closing sale transaction are greater or less
than the cost of the option. When the Portfolio exercises a put option, it
realizes a gain or loss from the sale of the underlying security and the
proceeds from such sale will be decreased by the premium originally paid. When
the Portfolio exercises a call option, the cost of the security which the
Portfolio purchases upon exercise will be increased by the premium originally
paid.

NOTE 2 -- FEES AND TRANSACTIONS WITH AFFILIATES
The Portfolio has entered into an Administration and Services Agreement with
Bankers Trust Company ("Bankers Trust"). Under this Administration and Services
Agreement, Bankers Trust provides administrative, custody, transfer agency and
shareholder services to the Portfolio in return for a fee computed daily and
paid monthly at an annual rate of 0.10 of 1% of the Portfolio's average daily
net assets. For the six months ended March 31, 1996, this fee aggregated
$78,756.

The Portfolio has entered into an Advisory Agreement with Bankers Trust. Under
this Advisory Agreement, Bankers Trust manages the Portfolio in accordance with
the Portfolio's 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
Portfolio's average daily net assets. For the six months ended March 31, 1996,
this fee aggregated $511,914.

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 the Portfolio. For the six months ended March 31,
1996, expenses of the Portfolio have been reduced by $135,587.

For Federal income tax purposes, the tax basis of investments held at March 31,
1996 was $163,070,079. The aggregate gross unrealized appreciation for all
investments was $46,686,450 and the aggregate gross unrealized depreciation for
all investments was $2,792,474.

13
<PAGE> 112

[This page intentionally left blank]
<PAGE> 113

[This page intentionally left blank]
<PAGE> 114

BT INVESTMENT FUNDS
SMALL CAP FUND

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
Small Cap Fund 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) 730-1313

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 Small Cap Fund
at the following address:
BT INVESTMENT FUNDS
6 St. James Avenue
Boston, MA 02116
<PAGE> 115

- BT INVESTMENT FUNDS -

SHORT/INTERMEDIATE
U.S. GOVERNMENT
SECURITIES FUND

SEMI-ANNUAL REPORT
- --------------------------------------------------------------------------------
MARCH - 1996
<PAGE> 116

- --------------------------------------------------------------------------------
Short/Intermediate U.S. Government Securities Fund
TABLE OF CONTENTS
- --------------------------------------------------------------------------------

<TABLE>
<S> <C>
LETTER TO SHAREHOLDERS.................................................................. 3
SHORT/INTERMEDIATE U.S. GOVERNMENT SECURITIES FUND
Statement of Assets and Liabilities................................................. 5
Statement of Operations............................................................. 5
Statements of Changes in Net Assets................................................. 6
Financial Highlights................................................................ 6
Notes to Financial Statements....................................................... 7
SHORT/INTERMEDIATE U.S. GOVERNMENT SECURITIES PORTFOLIO
Schedule of Portfolio Investments................................................... 8
Statement of Assets and Liabilities................................................. 9
Statement of Operations............................................................. 9
Statements of Changes in Net Assets................................................. 10
Financial Highlights................................................................ 10
Notes to Financial Statements....................................................... 11
</TABLE>

2
<PAGE> 117

- --------------------------------------------------------------------------------
Short/Intermediate U.S. Government Securities Fund
LETTER TO SHAREHOLDERS
- --------------------------------------------------------------------------------

We are pleased to present you with this newly-designed semi-annual report for
the BT Investment Short/Intermediate U.S. Government Securities Fund, providing
a more detailed review of the markets, the portfolio, and our outlook -- all in
an easier-to-read format. Of course, we continue to include a complete financial
summary of the Fund's operations and a listing of the Portfolio's holdings.

The Short/Intermediate U.S. Government Securities Fund (the "Fund") returned
2.41% for the six months ended March 31, 1996, as compared to 2.85% for the
Lehman 1-3 Year Government Index and 2.46% for the Lipper Short U.S. Government
Funds Average. Since its inception on August 24, 1992, the Fund is up 16.65%.

Because this is the first report after the change in the Fund's fiscal year-end
from December to September and you were sent a report for the twelve months
ended December 31, 1995, the following semi-annual review will actually cover
activities only for the one quarter since then. Thus, please note that for the
quarter ended March 31, 1996, the Fund had a return of 0.27% versus 0.38% for
the Lehman 1-3 year Government Index and 0.14% for the Lipper Short U.S.
Government Funds Average.

MARKET ACTIVITY

In contrast to the strong rally of 1995, the first quarter of 1996 saw rates
increase dramatically in the bond market, primarily due to stronger than
expected economic indicators in general and the early February 1996 report
indicating higher than anticipated employment figures in particular. Other
factors also contributed to the market decline, including the introduction of
political uncertainty during the early weeks of the Republican primaries, a
breakdown in balanced budget negotiations within the U.S. government, and a
stronger supply than demand of securities. It is interesting to note that the
market reversed even with yet another cut in interest rates by the Federal
Reserve Board at the end of January 1996.

With this seeming end to the bond market rally, long-term bond yields increased
most sharply, as the yields on 10-year U.S. Treasury Notes rose by 0.75%. The
yield curve steepened, as yields on 2-year U.S. Treasury Notes rose by just
0.60%.

INVESTMENT REVIEW

The change in yields on the 2-year U.S. Treasuries moved somewhat faster than we
had anticipated, and so the Fund underperformed its benchmark slightly. Still,
we did shift the portfolio's duration from longer than the Index to shorter than
the Index in midquarter, and we were able to capture substantial gains from this
position as the market traded off most considerably through February and March
1996. As of March 31, 1996, the Fund had a duration of 1.5 years as compared to
1.75 years for the Index.

While we decreased our holdings of 5-year U.S. Treasuries in favor of 2-year
U.S. Treasuries, the Fund still remains overweighted in U.S. Treasury
securities. As of March 31, 1996, the Fund was allocated 85.0% to U.S. Treasury
Notes, 12.2% to repurchase agreement, and 2.8% to U.S. Government Agency.

LOOKING AHEAD

Our outlook is for a steadily growing economy with low to moderate inflation.
Despite this overall positive backdrop, we expect the fixed income markets to
continue to experience comparatively high volatility, as new economic data is
released in the months ahead and fears of inflation start creeping back. Our
concern is that the Federal Reserve Board may begin tightening its monetary
policy, tweaking interest rates higher. Thus, as a defensive move, we continue
to maintain our shorter duration as compared to the Index for the near term.

We will, of course, continue monitoring economic conditions and how they affect
the financial markets, as we seek to provide high levels of current income with
the preservation of capital.

* * *

We value your ongoing support of the BT Investment Short/Intermediate U.S.
Government Securities Fund and look forward to continuing to serve your
investment needs in the years ahead.

3
<PAGE> 118

The following graph illustrates the Fund's return versus the Lehman 1-3 Year
Government Index from August 31, 1992 to March 31, 1996, assuming a $10,000
initial investment:
- --------------------------------------------------------------------------------
COMPARISON OF CHANGE
IN VALUE OF A $10,000
INVESTMENT IN THE
SHORT/INTERMEDIATE
U.S. GOVERNMENT
SECURITIES FUND AND
THE LEHMAN 1-3 YEAR
GOVERNMENT INDEX

<TABLE>
<S> <C>
TOTAL RETURN
ENDED MARCH 31, 1996
One Year Since 8/24/92*
6.79% 16.65%
* 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.
</TABLE>

<TABLE>
<CAPTION>
Short/Intermediate
Measurement Period U.S. Government Se- Lehman 1 - 3 Year
(Fiscal Year Covered) curities Fund Government I ndex
<S> <C> <C>
8/31/92 10000 10000
9/30/92 10109 10094
12/31/92 10026 10115
3/31/93 10286 10333
6/30/93 10383 10448
9/30/93 10585 10592
12/31/93 10636 10659
3/31/94 10551 10607
6/30/94 10561 10607
9/30/94 10582 10714
12/31/94 10592 10714
3/31/95 10895 11070
6/30/95 11223 11420
9/30/95 11359 11590
12/31/95 11602 11875
3/31/96 11634 11921
</TABLE>
- --------------------------------------------------------------------------------

<TABLE>
<S> <C>
OBJECTIVE Seeks high level of current income with the preservation of capital.
- ------------------------------------------------------------------------------------------------------------------
INVESTMENT INSTRUMENTS Direct obligations issued or guaranteed by the U.S. Government, or its agencies and
instrumentalities, including repurchase agreements collateralized by U.S. Government
obligations. The average weighted maturity of securities will range from two to five
years.
- ------------------------------------------------------------------------------------------------------------------
DIVERSIFICATION OF PORTFOLIO
INVESTMENTS BY ASSET TYPE AS OF
MARCH 31, 1996 (UNAUDITED)
(PERCENTAGES ARE BASED ON
MARKET VALUE)
</TABLE>

<TABLE>
<S> <C>
U.S. Treasury Notes 85.0%
Repurchase Agreement 12.2%
U.S. Government Agency 2.8%
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ABOUT THE LOU HUDSON
PORTFOLIO MANAGER VICE PRESIDENT
- Thirty-three years of investment experience
- Specializes in short-intermediate fixed
income securities
- BA-City College of New York
</TABLE>

4
<PAGE> 119

- --------------------------------------------------------------------------------
Short/Intermediate U.S. Government Securities Fund
STATEMENT OF ASSETS AND LIABILITIES March 31, 1996 (unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investment in Short/Intermediate U.S. Government Securities Portfolio, at Value................................ $24,717,956
Receivable for Shares of Beneficial Interest Subscribed........................................................ 1,495
Prepaid Expenses............................................................................................... 7,320
Due from Bankers Trust......................................................................................... 5,916
-----------
Total Assets...................................................................................................... 24,732,687
-----------
LIABILITIES
Payable for Shares of Beneficial Interest Redeemed............................................................. 1,150
Dividends Payable.............................................................................................. 6,270
Accrued Expenses and Other..................................................................................... 24,232
-----------
Total Liabilities................................................................................................. 31,652
-----------
Net Assets ($0.001 Par Value Per Share, Unlimited Number of Shares of Beneficial Interest Authorized)............. $24,701,035
===========
SHARES OUTSTANDING................................................................................................ 2,502,560
===========
NET ASSET VALUE AND REDEMPTION PRICE PER SHARE.................................................................... $ 9.87
===========
COMPOSITION OF NET ASSETS
Paid-in Capital................................................................................................ $24,918,645
Undistributed Net Realized Gain from Investment Transactions................................................... 113,237
Net Unrealized Depreciation on Investments..................................................................... (330,847)
-----------
NET ASSETS, MARCH 31, 1996........................................................................................ $24,701,035
===========
</TABLE>

STATEMENT OF OPERATIONS For the Period January 1, 1996 to March 31, 1996
(unaudited)
- --------------------------------------------------------------------------------

<TABLE>
<S> <C>
INVESTMENT INCOME
Income Allocated from Short/Intermediate U.S. Government Securities Portfolio, net.............................. $ 319,703
----------
EXPENSES
Administration and Services..................................................................................... 33,232
Registration.................................................................................................... 4,539
Shareholders Reports............................................................................................ 7,975
Professional.................................................................................................... 2,039
Trustees........................................................................................................ 602
Miscellaneous................................................................................................... 250
----------
Total Expenses.................................................................................................. 48,637
----------
Less: Expenses Absorbed by Bankers Trust........................................................................ (15,406)
----------
Net Expenses................................................................................................ 33,231
----------
NET INVESTMENT INCOME.............................................................................................. 286,472
----------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net Realized Gain from Investment Transactions.................................................................. 57,326
Net Change in Unrealized Depreciation of Investments............................................................ (280,308)
----------
NET LOSS ON INVESTMENTS............................................................................................ (222,982)
----------
NET INCREASE IN NET ASSETS FROM OPERATIONS......................................................................... $ 63,490
==========
</TABLE>

See Notes to Financial Statements on Page 7

5
<PAGE> 120

- --------------------------------------------------------------------------------
Short/Intermediate U.S. Government Securities Fund
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------

<TABLE>
<CAPTION>
**FOR THE
PERIOD JANUARY
1, 1996 TO FOR THE YEAR
MARCH 31, 1996 ENDED DECEMBER
(UNAUDITED) 31, 1995
--------------- -----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net Investment Income................................................................ $ 286,472 $ 1,092,341
Net Realized Gain from Investment Transactions....................................... 57,326 337,315
Net Unrealized Appreciation (Depreciation) on Investments............................ (280,308) 297,631
--------------- -----------------
Net Increase in Net Assets from Operations.............................................. 63,490 1,727,287
--------------- -----------------
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income................................................................ (286,472) (1,092,347)
--------------- -----------------
TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST
Net Increase from Transactions in Shares of Beneficial Interest...................... 1,755,954 8,444,966
--------------- -----------------
TOTAL INCREASE IN NET ASSETS............................................................ 1,532,972 9,079,906
NET ASSETS
Beginning of Period..................................................................... 23,168,063 14,088,157
--------------- -----------------
End of Period........................................................................... $24,701,035 $23,168,063
=============== =================
</TABLE>

FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------

<TABLE>
<CAPTION>
**FOR THE
PERIOD
JANUARY 1, FOR THE PERIOD
1996 FOR THE YEAR AUGUST 24, 1992
TO MARCH 31, ENDED DECEMBER 31, (COMMENCEMENT
1996 ------------------------------- OF OPERATIONS) TO
(UNAUDITED) 1995 1994 1993 DECEMBER 31, 1992
-------------- -------------- -------------- -------------- -----------------
<S> <C> <C> <C> <C> <C>
PER SHARE OPERATING
PERFORMANCE:
NET ASSET VALUE, BEGINNING
OF PERIOD.................. $ 9.96 $ 9.61 $ 10.07 $ 9.92 $ 10.00
------- ------- ------- ------- ------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income.... 0.12 0.55 0.42 0.39 0.13
Net Realized and
Unrealized Gain (Loss)
on Investment
Transactions........... (0.09) 0.35 (0.46) 0.21 (0.08)
------- ------- ------- ------- ------
Total from Investment
Operations................. 0.03 0.90 (0.04) 0.60 0.05
------- ------- ------- ------- ------
DISTRIBUTIONS TO
SHAREHOLDERS
Net Investment Income.... (0.12) (0.55) (0.42) (0.39) (0.13)
Net Realized Gain from
Investment
Transactions........... -- -- -- (0.06) --
------- ------- ------- ------- ------
Total Distributions......... (0.12) (0.55) (0.42) (0.45) (0.13)
------- ------- ------- ------- ------
NET ASSET VALUE, END OF
PERIOD..................... $ 9.87 $ 9.96 $ 9.61 $ 10.07 $ 9.92
=========== ========= ========= ========= ============
TOTAL INVESTMENT RETURN..... 0.27% 9.54% (0.42)% 6.09% 1.48%*
RATIOS AND SUPPLEMENTAL
DATA:
Net Assets, End of Period
(000's omitted)............ $ 24,701 $ 23,168 $ 14,088 $ 14,143 $ 1,812
Ratios to Average Net Assets
Net Investment Income.... 4.74%* 5.54% 4.28% 3.68% 3.80%*
Expenses, including
Expenses of the
Short/Intermediate U.S.
Government Securities
Portfolio.............. 0.85%* 0.85% 0.85% 0.85% 0.85%*
Decrease Reflected in
Above Expense Ratio Due
to Absorption of
Expenses by Bankers
Trust.................. 0.29%* 0.28% 0.53% 0.57% 3.29%*
</TABLE>

- ------------------
* Annualized
** On February 9, 1996, the Board of Trustees approved the change of the fiscal
year end from December 31 to September 30.

See Notes to Financial Statements on Page 7

6
<PAGE> 121

- --------------------------------------------------------------------------------
Short/Intermediate U.S. Government Securities Fund
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------

The financial statements of the Portfolio, including the Schedule of Portfolio
Investments, are contained elsewhere in this report.

During fiscal year of 1996, the Fund changed its year-end to September 30th.

B. Investment Income
The Fund earns interest income, net of expenses, daily on its investment in the
Portfolio. All of the net investment income and realized and unrealized gains
and losses from the security transactions of the Portfolio are allocated pro
rata among the investors in the Portfolio at the time of such determination.

C. Dividends
The Fund declares dividends daily from net investment income and pays these
dividends monthly. Dividends payable to shareholders are recorded by the Fund on
the ex-dividend date, which is the same as the declaration date. Distributions
of net realized short-term and long-term capital gains, if any, will be made
annually to the extent they are not offset by any capital loss carryforwards.

E. Other
The Trust accounts separately for the assets, liabilities, and operations of the
Fund. Expenses directly attributable to the Fund are charged to the Fund, while
expenses which are attributable to all of the Trust's funds are allocated among
them.

NOTE 2 -- FEES AND TRANSACTIONS WITH AFFILIATES
The Fund has entered into an Administration and Services Agreement with Bankers
Trust Company ("Bankers Trust"). Under this Administration and Services
Agreement, Bankers Trust provides administrative, custody, transfer agency and
shareholder services to the Fund in return for a fee computed daily and paid
monthly at an annual rate of 0.55 of 1% of the Fund's average daily net assets.
For the period January 1, 1996 to March 31, 1996, this fee aggregated $33,232.

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 the Fund's shares. For the period January 1, 1996 to March 31,
1996, there were no reimbursable expenses incurred under this agreement.

Bankers Trust has voluntarily undertaken to waive and reimburse expenses of the
Fund, to the extent necessary, to limit all expenses to 0.55 of 1% of the
average daily net assets of the Fund, excluding expenses of the Portfolio, and
0.85 of 1% of the average daily net assets of the Fund, including expenses of
the Portfolio. For the period January 1, 1996 to March 31, 1996, expenses of the
Fund have been reduced $15,406.

NOTE 3 -- SHARES OF BENEFICIAL INTEREST
At March 31, 1996, there were an unlimited number of shares of beneficial
interest authorized. Transactions in shares of beneficial interest were as
follows:

FOR THE PERIOD
JANUARY 1, 1996
TO MARCH 31, 1996 FOR THE YEAR ENDED
(UNAUDITED) DECEMBER 31, 1995
-------------------- -----------------------
SHARES AMOUNT SHARES AMOUNT
------- ---------- --------- -----------
<S> <C> <C> <C> <C>
Sold....................................... 234,454 $2,337,388 1,260,050 $12,376,853
Reinvested................................. 26,889 266,822 101,095 996,808
Redeemed................................... (85,180) (848,256) ( 500,145) (4,928,695)
------- ---------- --------- -----------
Net Increase............................... 176,163 $1,755,954 861,000 $ 8,444,966
======= ========= ========= ===========
</TABLE>

NOTE 4 -- CAPITAL LOSS CARRYFORWARD
At December 31, 1995, the accumulated net realized capital loss carryforward
available as a reduction against future net realized capital gains aggregated
$67,939 which will expire in 2002.

7
<PAGE> 122

- --------------------------------------------------------------------------------
Short/Intermediate U.S. Government Securities Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 1996 (unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT DESCRIPTION VALUE
- ------------ ------------------------------------ ------------
<S> <C>
U.S. GOVERNMENT & AGENCY
OBLIGATIONS - 86.74%
U.S. TREASURY NOTES - 83.99%
$ 1,500,000 7.50%, 12/31/96..................... $ 1,522,974
7,000,000 5.875%, 7/31/97..................... 7,020,764
5,150,000 5.375%, 11/30/97.................... 5,120,214
8,090,000 5.25%, 12/31/97..................... 8,024,279
9,970,000 5.00%, 1/31/98...................... 9,838,378
860,000 5.125%, 2/28/98..................... 850,058
10,000,000 5.50%, 11/15/98..................... 9,901,563
2,600,000 5.00%, 2/15/99...................... 2,539,462
1,000,000 7.125%, 9/30/99..................... 1,035,002
----------
45,852,694
----------
U.S. GOVERNMENT AGENCY - 2.75%
1,500,000 Tennessee Valley Authority, 6.00%,
1/15/97............................ 1,502,104
----------
TOTAL U.S. GOVERNMENT & AGENCY OBLIGATIONS
(Cost $47,837,408)................................. 47,354,798
----------

<CAPTION>
PRINCIPAL
AMOUNT DESCRIPTION VALUE
- ------------ ------------------------------------ ------------
<S> <C>
SHORT-TERM INVESTMENT - 12.10%
REPURCHASE AGREEMENT - 12.10%
$ 6,606,801 Repurchase Agreement with Sanwa
Bank, Dated 3/29/96, 5.35%,
principal and Interest in the amount
of $6,609,747, due 4/1/96,
collateralized by U.S. Treasury
Notes, Par Value $6,550,000, 5.75%,
due 9/30/97 (Value of $6,716,043)
(Cost $6,606,801) $ 6,606,801
----------
TOTAL INVESTMENTS
(Cost $54,444,209) - 98.84%........................ 53,961,599
Other Assets less Liabilities - 1.16%.............. 634,429
----------
NET ASSETS - 100.00%............................... $ 54,596,028
----------
</TABLE>

See Notes to Financial Statements on Page 11

8
<PAGE> 123

- --------------------------------------------------------------------------------
Short/Intermediate U.S. Government Securities Portfolio
STATEMENT OF ASSETS AND LIABILITIES March 31, 1996 (unaudited)
- --------------------------------------------------------------------------------

<TABLE>
<S> <C>
ASSETS
Investments, at Value (Cost $54,444,209, including Repurchase Agreement amounting to $6,606,801).............. $ 53,961,599
Interest Receivable........................................................................................... 651,916
Prepaid Expenses and Other.................................................................................... 23,465
------------
Total Assets..................................................................................................... 54,636,980
------------
LIABILITIES
Due to Bankers Trust.......................................................................................... 5,423
Accrued Expenses and Other.................................................................................... 35,529
------------
Total Liabilities................................................................................................ 40,952
------------
NET ASSETS....................................................................................................... $ 54,596,028
============
COMPOSITION OF NET ASSETS
Paid-in Capital............................................................................................... 55,078,638
Net Unrealized Depreciation on Investments.................................................................... (482,610)
------------
NET ASSETS, MARCH 31, 1996....................................................................................... $ 54,596,028
============
</TABLE>

STATEMENT OF OPERATIONS For the Period January 1, 1996 to March 31, 1996
(unaudited)
- --------------------------------------------------------------------------------

<TABLE>
<S> <C>
INVESTMENT INCOME
Interest........................................................................................................ $ 804,008
----------
EXPENSES
Advisory........................................................................................................ 36,037
Administration and Services..................................................................................... 7,207
Professional.................................................................................................... 4,613
Trustees........................................................................................................ 721
Miscellaneous................................................................................................... 407
----------
Total Expenses.................................................................................................. 48,985
Expenses Absorbed by Bankers Trust.............................................................................. (5,741)
----------
Net Expenses................................................................................................ 43,244
----------
NET INVESTMENT INCOME.............................................................................................. 760,764
----------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net Realized Gain on Investment Transactions.................................................................... 141,989
Net Change in Unrealized Depreciation of Investments............................................................ (656,897)
----------
NET LOSS ON INVESTMENTS............................................................................................ (514,908)
----------
NET INCREASE IN NET ASSETS FROM OPERATIONS......................................................................... $ 245,856
==========
</TABLE>

See Notes to Financial Statements on Page 11

9
<PAGE> 124

- --------------------------------------------------------------------------------
Short/Intermediate U.S. Government Securities Portfolio
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------

<TABLE>
<CAPTION>
FOR THE PERIOD
JANUARY 1, 1996 FOR THE YEAR
TO MARCH 31, 1996 ENDED
(UNAUDITED) DECEMBER 31, 1995
----------------- -----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net Investment Income.............................................................. $ 760,764 $ 3,185,902
Net Realized Gain from Investment Transactions..................................... 141,989 834,099
Net Unrealized Appreciation (Depreciation) on Investments.......................... (656,897) 965,227
-------------- ---------------
Net Increase in Net Assets from Operations............................................ 245,856 4,985,228
-------------- ---------------
CAPITAL TRANSACTIONS
Proceeds from Capital Invested..................................................... 7,389,831 24,442,594
Value of Capital Withdrawn......................................................... (8,217,572) (21,520,447)
-------------- ---------------
Net Increase (Decrease) in Net Assets from Capital Transactions....................... (827,741) 2,922,147
-------------- ---------------
TOTAL INCREASE (DECREASE) IN NET ASSETS............................................... (581,885) 7,907,375
NET ASSETS
Beginning of Period................................................................... 55,177,913 47,270,538
-------------- ---------------
End of Period......................................................................... $54,596,028 $ 55,177,913
============== ===============
</TABLE>

FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------

Contained below are selected ratios and supplemental data for each of the
periods indicated for the Short/Intermediate U.S. Government Securities
Portfolio.
<TABLE>
<CAPTION>
FOR THE PERIOD FOR THE YEAR
JANUARY 1, 1996 ENDED DECEMBER 31,
TO MARCH 31, 1996 ---------------------------------------
(UNAUDITED) 1995 1994
----------------- ----------------- -----------------
<S> <C> <C> <C>
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (000's omitted).................... $54,596 $ 55,178 $ 47,271
Ratios to Average Net Assets
Net Investment Income..................................... 5.28%* 6.09% 4.91%
Expenses.................................................. 0.30%* 0.30% 0.30%
Decrease Reflected in Above Expense Ratio Due to
Absorption of Expenses by Bankers Trust................. 0.04%* 0.05% 0.09%
Portfolio Turnover Rate...................................... 107% 246% 202%

<CAPTION>
FOR THE PERIOD
AUGUST 24, 1992
FOR THE YEAR (COMMENCEMENT
ENDED DECEMBER 31, OF OPERATIONS) TO
1993 DECEMBER 31, 1992
----------------- -----------------
<S> <C> <C>
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (000's omitted).................... $ 17,729 $ 4,999
Ratios to Average Net Assets
Net Investment Income..................................... 4.25% 4.36%*
Expenses.................................................. 0.30% 0.30%*
Decrease Reflected in Above Expense Ratio Due to
Absorption of Expenses by Bankers Trust................. 0.25% 1.41%*
Portfolio Turnover Rate...................................... 267% 75%
</TABLE>

- ------------------
* Annualized

See Notes to Financial Statements on Page 11

10
<PAGE> 125

- --------------------------------------------------------------------------------
Short/Intermediate U.S. Government Securities Portfolio
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------

NOTE 1 -- ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
A. Organization
The Short/Intermediate U.S. Government Securities Portfolio (the "Portfolio") is
registered under the Investment Company Act of 1940 (the "Act"), as amended, as
an open-end management investment company. The Portfolio was organized on
December 11, 1991, as an unincorporated trust under the laws of New York and
commenced operations on August 24, 1992. The Declaration of Trust permits the
Board of Trustees (the "Trustees") to issue beneficial interests in the
Portfolio.

In fiscal 1996, the Portfolio changed its year end to September 30th.

B. Security Valuation
The Portfolio's investments are carried at fair market value as determined by an
independent pricing service at the end of each business day. 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
Board of Trustees.

C. Security Transactions and Interest Income
Security transactions are accounted for on a trade date basis. Interest income
is recorded on the accrual basis and includes amortization of premium and
discount on investments. Realized gains and losses from security transactions
are recorded on the identified cost basis.

The Portfolio may enter into repurchase agreements with financial institutions
deemed to be creditworthy by the Portfolio's Investment Adviser, subject to the
seller's agreement to repurchase and the Portfolio's agreement to resell such
securities at a mutually agreed upon price. Securities purchased subject to
repurchase agreements are deposited with the Portfolio's custodian, and pursuant
to the terms of the repurchase agreement must have an aggregate market value
greater than or equal to the repurchase price plus accrued interest at all
times. If the value of the underlying securities falls below the value of the
repurchase price plus accrued interest, the Portfolio will require the seller to
deposit additional collateral by the next business day. If the request for
additional collateral is not met, or the seller defaults on its repurchase
obligation, the Portfolio maintains the right to sell the underlying securities
at market value and may claim any resulting loss against the seller.

All of the net investment income and realized and unrealized gains and losses
from the security transactions of the Portfolio are allocated pro rata among the
investors in the Portfolio at the time of such determination.

D. Federal Income Taxes
It is the Portfolio's policy to comply with the requirements of the Internal
Revenue Code. Therefore, no federal income tax provision is required.

NOTE 2 -- FEES AND TRANSACTIONS WITH AFFILIATES
The Portfolio has entered into an Administration and Services Agreement with
Bankers Trust Company ("Bankers Trust"). Under this Administration and Services
Agreement, Bankers Trust provides administrative, custody, transfer agency and
shareholder services to the Portfolio in return for a fee computed daily and
paid monthly at an annual rate of 0.05 of 1% of the Portfolio's average daily
net assets. For the period January 1, 1996 to March 31, 1996, this fee
aggregated $7,207.

The Portfolio has entered into an Advisory Agreement with Bankers Trust. Under
this Advisory Agreement, the Portfolio pays Bankers Trust an advisory fee
computed daily and paid monthly at an annual rate of 0.25 of 1% of the
Portfolio's average daily net assets. For the period January 1, 1996 to March
31, 1996, this fee aggregated $36,037.

Bankers Trust has voluntarily undertaken to waive and reimburse expenses of the
Portfolio, to the extent necessary, to limit all expenses to 0.30 of 1% of the
average daily net assets of the Portfolio. For the period January 1, 1996 to
March 31, 1996, expenses of the Portfolio have been reduced by $5,741.

NOTE 3 -- PURCHASES AND SALES OF INVESTMENT SECURITIES
The aggregate cost of purchases and proceeds from sales of investments of
long-term U.S. Government obligations, for the period January 1, 1996 to March
31, 1996, were $52,793,732 and $52,181,449, respectively. For federal income tax
purposes, the tax basis of investments held at March 31, 1996 was $54,518,013.
The aggregate gross unrealized appreciation for all investments was $9,636 and
the aggregate gross unrealized depreciation for all investments was $566,050.

11
<PAGE> 126

BT INVESTMENT FUNDS
SHORT/INTERMEDIATE
U.S. GOVERNMENT
SECURITIES FUND

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
Short/Intermediate U.S. Government Securities Fund 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) 730-1313

BT INVESTMENT FUNDS
Signature Broker-Dealer Services, Inc.
6 St. James Avenue
Boston, MA 02116
(800) 545-1074

You may write to the Short/Intermediate
U.S. Government Securities Fund
at the following address:
BT INVESTMENT FUNDS
6 St. James Avenue
Boston, MA 02116