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
ANNUAL REPORT
SEPTEMBERo1996
BT Investment Funds
Table of Contents
Introduction to Annual Report 3
Letter to Shareholders
Capital Appreciation Fund 4
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
Statement of Assets and Liabilities 20
Statement of Operations 21
Statement of Changes in Net Assets 22
Financial Highlights 24
Notes to Financial Statements 27
Report of Independent Accountants 29
BT Portfolios
Schedule of Portfolio Investments 30
Statement of Assets and Liabilities 42
Statement of Operations 43
Statement of Changes in Net Assets 44
Financial Highlights 46
Notes to Financial Statements 48
Report of Independent Accountants 51
BT Investment Funds
Introduction to Annual Report
When the Dow Jones Industrial Average plummeted 161 points on July 15,
1996, Wall Street held its breath, many investors fled, and economists had
a field day predicting future chaos. But within two days, Wall Street
exhaled, investors returned, and the "experts" were forced to admit that it
is harder than ever to predict what happens next. By the last week in
September, both the Dow Jones and the Standard & Poor's 500 Index hit
record highs, completely confounding expectations that a serious stock
market correction was at hand. The fixed income markets saw similar
volatility.
Of course, this period was no different from any other time in recent
history in that there never has been-and never will be-a time when the
future of the investment markets and economies of the world are certain.
So, perhaps the best lesson to learn from all this is that it confirms the
wisdom of Bankers Trust's philosophy of staying true to the Funds' long-
term financial objectives.
The volatility also points out that whether investing in the U.S. or
internationally, in equities or fixed income, Bankers Trust mutual fund
shareholders benefit from its superior global investment expertise, risk
management strategies, financial strength, and extensive research
resources. As you can see just from the BT Investment Funds reviewed on the
following pages, Bankers Trust provides a variety of global investment
strategies that meet a broad spectrum of investment objectives. Please
take the time to read this annual report for the BT Investment Funds and
keep it for your records. It provides a detailed review of the markets,
the portfolios, and our outlook-all in an easy-to-read, consolidated
format. Also included are complete financial summaries of the Funds'
operations and listings of the Portfolios' holdings.
We value your ongoing support of the BT Investment Funds and look forward
to continuing to serve your investment needs in the years ahead.
BT Investment Funds
Letter to Shareholders of Capital Appreciation Fund
Objective
Seeks capital growth over the long-term through investment in medium sized
companies that show growth potential. Current income is a secondary goal.
Investment Instruments
Generally stocks of medium sized U.S. corporations and, to a lesser extent,
foreign corporations.
The Capital Appreciation Fund (the "Fund") had a total return of 12.35% for
the twelve months ending September 30, 1996, as compared to 14.00% for the
S&P 400 Midcap Index and 15.89% for the Lipper Growth Average. Since its
inception on March 9, 1993, the Fund has returned 89.09%, cumulatively.
MARKET ACTIVITY
In general, the last twelve months were a time of very good overall market
performance. It was also a time of changing expectations and massive
shifts in investor psychology. During the first six months, the market was
primarily focused on fears of a slowing economy and the possibility that
earnings growth would decelerate or even decline in the near future.
Investors moved to companies expected to do relatively better in such an
environment. As a result, the health care, energy, and financial services
sectors performed well, while capital spending and technology companies
underperformed.
As we moved through the year's first quarter, it became apparent the
economy was not only not growing too slowly, but might even be growing too
fast. As often happens, investor expectations reversed, and worries about
higher inflation and a possible interest rate hike dominated. With this,
consumer services, consumer cyclical and energy stocks took the lead for
most of the last six months, with the technology and financial services
sectors kicking in toward the end of the period. Laggards included the
health care, utilities and basic industry sectors.
All of these shifting worries tended to move investors toward larger
capitalization stocks, which are often perceived as safer in times of
uncertainty. Thus, the S&P 500 Index outperformed the S&P Midcap Index for
the twelve months ending September 30, 1996.
INVESTMENT REVIEW
The Fund's underperformance is primarily due to its relative overweighting
in technology stocks during the first six months of the period. The Fund
began to perform much better in the most recent six months, when it
outperformed not only the S&P Midcap Index but also the broader S&P 500
Index.
Our disciplined investment process has allowed us to use this period's
volatility to take profits in expensive stocks and make opportune additions
to the portfolio.
After benefitting greatly from exposure to Telecommunications, we de-
emphasized this investing theme recently, as the realities of a competitive
market are impacting growth assumptions. We also scaled back the
Ubiquitous Semiconductor theme, believing that supply too far outweighed
demand. We increased the Fund's presence in the New Consumer, America's
Changing Leisure Time and Stores of Value themes when it became apparent
the consumer was beginning to spend again with a focus on value for the
money, strong identifiable brand names, and increased leisure spending.
And finally, we have renewed interest in the Outsourcing theme, as
corporations seek to cut costs and move much of their non-strategic
operations to third party providers. Importantly, outsourcing has become
much more than just using temporary clerical help; there are now companies
that provide financial processing, teleservices, and information
technology, to name just a few. Corporate America has embraced this new
way of doing business, and many companies have benefitted from the shift.
MANAGER OUTLOOK
Our outlook for the economy remains fairly positive-moderate growth, only
slightly higher inflation, and benign interest rates. In the near term, the
main factors to pay attention to include the Presidential election, a
return to more realistic expectations of technology growth, continued
inflows into the financial markets, corporate consolidations, and ongoing
market volatility. We also believe the bumper crop of Initial Public
Offerings in the last two years makes midcap investing increasingly
interesting going forward, as these companies will begin to hit the
acceleration points in their growth curves and enter the midcap universe.
We anticipate that stock selection will become increasingly important, as
this has become a market of stocks and much less a stock market. Our
thematic approach keeps us focused on what we need to own, and our in-depth
fundamental research enables us to take advantage of stock price
volatility. Areas of potential thematic interest include the need for
better, more efficient agriculture and the need for what is becoming a
scarcer resource, namely, clean water.
We continue to believe that, over time, the mid cap market is an area of
strong investment opportunities, given its small cap growth dynamics
combined with liquidity and stability usually associated with large cap
stocks.
We will, of course, continue monitoring economic conditions and how they
affect the financial markets, as we seek capital growth over the long term,
with current income as a secondary objective.
Ten Largest Stock Holdings
Paychex Adaptec, Inc.
Network General Corp. Clear Channel Comm., Inc.
Cognos, Inc. McLeod, Inc. - Cl.A
APAC TeleServices, Inc. U.S. Filter Corp.
Tidewater, Inc. Consolidated Stores Corp.
Diversification of Portfolio Investments
By Theme as of September 30, 1996 (percentages are based on market value)
New Consumer 9%
Other 34%
Interactive Media 5%
America's Industrial Renaissance 6%
Life Sciences Revolution 6%
Stores of Value 8%
Telecommunications 7%
America's Chg. Leisure Time 8%
Cash 8%
Move to Outsourcing 9%
Anthony Takazawa
Portfolio Manager of the
Capital Appreciation Portfolio
September 30, 1996
Performance Comparison
Comparison of Change in Value of a $10,000 Investment in the BT Investment
Capital Appreciation Fund and the S&P MidCap 400 Index since March 31,
1993.
Total Return
Ended September 30, 1996
One Year Since 3/9/93*
12.35% 89.09%
* 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.
BT Investment Capital Appreciation Fund S&P MidCap 400 Index
Mar-93 10000 10000
Jun-93 10519 10233
Sep-93 11838 10747
Dec-93 11708 11033
Mar-94 11409 10614
Jun-94 10699 10227
Sep-94 11728 10919
Dec-94 12188 10638
Mar-95 12857 11498
Jun-95 14255 12512
Sep-95 16813 13734
Dec-95 16612 13930
Mar-96 16786 14788
Jun-96 18070 15214
Sep-96 18890 15657
Past performance is not indicative of future performance.
BT Investment Funds
Letter to Shareholders of Global High Yield Securities Fund
The Global High Yield Securities Fund (the "Fund") had a total return of
23.31% for the twelve months ending September 30, 1996, versus 31.04% for
the Fund's benchmark and just 11.12% for the Lipper General World Income
Average over the same period. The benchmark is calculated using the
performances of two appropriate emerging market and U.S. high yield 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 32.31%,
cumulatively.
MARKET ACTIVITY
Overall, spreads in the global high yield market tightened significantly
during the twelve month period, driving strong price performance and strong
returns in both the U.S. high yield and emerging debt markets.
U.S. Market
Except for the period of rising interest rates early in 1996 when U.S.
Treasuries traded off sharply, the U.S. high yield market enjoyed positive
returns, as demand outstripped even a strong new issue supply. In
addition, many high yield issues are being upgraded toward the higher
quality, investment-grade end of the fixed income spectrum.
Emerging Markets
During the year, investors continued to return to the emerging markets,
which continued their comeback following last year's Mexican peso crisis.
Political and economic stability, reduced inflation, favorable liquidity
conditions, and an emphasis on fiscal prudence also benefitted the emerging
markets.
February brought on a period of weakness as a result of the unfavorable
interest rate environment in the U.S. However, as inflation and the
likelihood of the Federal Reserve Board adjusting interest rates remained
low from March on, the markets recovered once again. The emerging markets
benefitted from a strong new issue market, as many nations were able to
refinance their short-term debt with these issues. Latin America, Mexico
and Argentina, in particular, were beneficiaries of renewed access to
capital markets. Brazil performed well as reduced inflation, plans for
privatization, and the building of large currency reserves by the central
bank all continued, giving investors added comfort.
In Eastern Europe, bonds of Poland were upgraded to investment grade in
January by Standard & Poor's and in April by Moody's, benefitting their
high yield securities. Russia was a strong performer once fears of a
Communist takeover subsided and Yeltsin won the election. The
restructuring of Russia's defaulted loans also gave a boost to the emerging
debt markets in general.
Asian markets did well, primarily due to the significant spread tightening
in the busted convertible bond markets, especially in Hong Kong, Malaysia,
the Philippines, and Thailand.
In South Africa, the market strengthened through January, experienced a
great deal of turmoil during the second calendar quarter, and then bottomed
in the third calendar quarter.
INVESTMENT REVIEW
As previously reported, the Fund is managed in a more diversified manner
than its benchmark, so the Fund is generally less volatile than its
benchmark. This also means that the Fund will tend to underperform the
benchmark somewhat in a strong market and outperform in down markets.
Largely due to strong corporate credit selection skills, superior asset
allocation choices, and excellent fundamental research, the Fund
significantly outperformed its Lipper category average.
In the U.S. market, we continue to believe that overall spreads in high
yield are historically tight, so we are generally investing in the higher
quality end of the high yield sector, in improving credits, and in selected
special situations that we believe offer good value, especially in the
media and telecommunications sectors.
Within the emerging markets, the Fund benefitted from overweighted
positions in Mexico, the Asian markets, and Russia. We reduced the Fund's
exposure to South Africa early in the year in anticipation of currency
problems, but positioned the Fund in its financial and mining sectors, as
we believe there is attractive value in these sectors.
Manager Outlook
Going forward, we believe that investment flows will continue to favor the
global high yield markets, as investors continue their search for yield and
as liquidity continues to drive strong returns. 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.
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.
Diversification of Portfolio Investments
By Country as of September 30, 1996 (percentages are based on market value)
Colombia 3%
Poland 3%
Morocco 3%
Panama 4%
Argentina 7%
Hong Kong 10%
Brazil 17%
Mexico 19%
United States 24%
Other 10%
Stephen C. Freidheim and David A. Reiss
Portfolio Managers of the Global High Yield Securities Portfolio
September 30, 1996
Performance Comparison
Comparison of Change in Value of a $10,000 Investment in the BT Investment
Global High Yield Securities Fund and the blended J.P. Morgan and Merrill
Lynch Index since December 31, 1993.
Total Return
Ended September 30, 1996
One Year Since 12/14/93*
23.31% 32.31%
* 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.
BT Investment Global High Yield Securities Fund
JPM Emerging Bond/ML High Yield Master Index
Dec-93 10000 10000
Mar-94 9870 8562
Jun-94 9710 8433
Sep-94 10259 9119
Dec-94 9695 8573
Mar-95 9129 8047
Jun-95 10207 9452
Sep-95 10699 9931
Dec-95 11497 10747
Mar-96 11920 11077
Jun-96 12346 11867
Sep-96 13192 12901
Past performance is not indicative of future performance.
BT Investment Funds
Letter to Shareholders of Intermediate Tax Free Fund
The Intermediate Tax Free Fund (the "Fund") returned 4.09% for the twelve
months ending September 30, 1996, as compared to 4.46% for the Lehman 7
Year Government Obligations Index and 4.31% for the Lipper Intermediate
Municipal Debt Average. Since its inception on July 20, 1992, the Fund is
up 23.39%, cumulatively.
MARKET ACTIVITY
Over the course of the Fund's fiscal year, intermediate tax free bond
yields rose by about 0.20%. Still, there was some volatility during the
period. For example, after falling by about 0.10% to 0.15% from the end of
September 1995 to early February 1996, yields began to rise in February
when reports of stronger-than-anticipated employment growth sparked
investor concerns over the increasing pace of economic activity. This
renewed inflationary concerns and raised questions as to whether the
Federal Reserve Board would tighten its monetary policy. Then, from early
July through the end of September, when it became apparent that economic
growth had moderated, inflation was under control, and the Federal Reserve
Board had taken no action, yields fell by about 0.30%.
During the first nine months of 1996, municipal securities supply picked up
by about 20%, both in new money for capital projects and in refundings.
Demand also picked up, meeting the increase in supply, as serious concerns
over a major overhaul of the tax system subsided.
INVESTMENT REVIEW
The Fund closely tracked both its benchmark and its category average. The
slight underperformance can be attributed to our somewhat longer than the
Index duration in February, when strong economic activity numbers were
released, and the resulting change in yields moved faster than we had
expected. After shifting the portfolio's duration to shorter than the
Index in March to capture some gains, we stayed three to six months shorter
through June, just as we had anticipated we would in our last report.
We shifted back to a six month longer than the Index duration in July, when
interest rates started to go down, thus causing bond yields to fall and
bond prices to rise. By August, we had moved the portfolio back to a
neutral position, as we became more bearish, thinking that interest rates
may rise again. Based on our view of the slowed economy at the end of
September, the Fund had a duration of three months longer than its
benchmark.
We concentrated the Fund's purchases in high tax states, such as New York,
California, Florida, Pennsylvania, and South Carolina. There is a natural
demand for these securities in these states and a very marketable supply.
Our strategy continues to be to buy when there is a particularly high
supply and yield spreads are wide and to sell when supply is low and yield
spreads have narrowed. It is important to note that even though
California's tax free securities were upgraded by Moody's this year, we
still have some concerns about pressures on their budget. Thus, we
continue to purchase only state-wide agency credits in California, not any
local credits and no credits depending on state aid.
Maintaining our focus on high quality issues, we also improved the call
structure of bonds in the portfolio during the annual period, emphasizing
those that are non-callable. In a slightly less defensive mode than we
were in six months ago, the Fund ended the period with a still conservative
15% of its assets in cash.
BT Investment Funds
Letter to Shareholders of Intermediate Tax Free Fund (continued)
MANAGER OUTLOOK
For the short term, we anticipate that interest rates will fall slightly,
as economic activity slows from its torrid pace of earlier in the year and
as inflation remains under control. Thus, for now, we remain slightly
longer than the benchmark, positioning the Fund to take advantage of lower
yields over the near term. Our longer-term outlook calls for gradually
rising interest rates over the next six months to a year.
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.
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.
Diversification of Portfolio Investments
By Sector as of September 30, 1996 (percentages are based on market value)
Other 22%
Airlines 5%
Sewer Revenue 5%
Hospital Revenue 6%
Building Revenue 8%
Utility Revenue 9%
Sales Tax Revenue 10%
Power Revenue 11%
Transportation 11%
General Obligations 13%
Gary Pollack
Portfolio Manager of the
Intermediate Tax Free Portfolio
September 30, 1996
Performance Comparison
Comparison of Change in Value of a $10,000 Investment in the BT Investment
Intermediate Tax Free Fund and the Lehman 7 Year G.O. Bond Index since July
31, 1992.
Total Return
Ended September 30, 1996
One Year Since 7/20/92*
4.09% 23.39%
* 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.
BT Investment Intermediate Tax Free
Lehman 7 Yr G.O. Index
Jul-92 10000 10000
Sep-92 9937 9972
Dec-92 10088 10140
Mar-93 10377 10463
Jun-93 10656 10761
Sep-93 10960 11076
Dec-93 11089 11227
Mar-94 10667 10741
Jun-94 10726 10889
Sep-94 10787 10973
Dec-94 10667 10864
Mar-95 11255 11452
Jun-95 11533 11760
Sep-95 11779 12147
Dec-95 12130 12446
Mar-96 12018 12419
Jun-96 12084 12456
Sep-96 12261 12691
Past performance is not indicative of future performance.
BT Investment Funds
Letter to Shareholders of International Equity Fund
The International Equity Fund (the "Fund") had a total return of 13.42% for
the twelve months ending September 30, 1996, as compared to 8.61% for the
Morgan Stanley Capital International ("MSCI") EAFE Index and 9.36% for the
Lipper International Equity Funds Average. Since its inception on August 4,
1992, the Fund has returned 83.17%, cumulatively.
MARKET ACTIVITY
Europe
Continental Europe performed well for the year, although in the six months
ending September 30, 1996, the upsurge in the U.S. dollar depressed the
returns of these markets. In contrast, the sterling rallied on the back of
dollar strength, bringing the United Kingdom to equal performance with the
continent in dollar terms.
Still, a number of peripheral markets outperformed the U.K. in both local
currency and dollar terms. These include the devaluers-Spain, Sweden, and
Italy-where markets benefitted from both dollar and bond market strength,
as well as Ireland and Finland, which outperformed on the back of superior
GDP performance.
In contrast to the previous six months, Switzerland underperformed due to
the weak domestic economy and currency volatility. The European markets as
a whole have become increasingly sensitive to currency fluctuations, as the
arrival of the new common tender "Euro" nears and deutschemark hardness
comes into question.
The process of European monetary convergence actually propelled many of
Europe's markets in the latest six months, notably on the periphery where
bond market rallies and decreasing interest rates helped interest-sensitive
sectors. At the same time, the convergence hurt many exporters and
domestic economy sensitive stocks, as the drive toward fiscal discipline
continues to restrain economic activity. Much of this same dichotomous
influence was felt in the European core countries as well.
For much of the latest six-month period, the European market hinged on
expectations of a U.S. Federal Reserve Board tightening, which never
materialized. However, the U.S. and its G3 partners have succeeded in
talking up the U.S. dollar and cooling down the U.S. economy. This has
been a different form of monetary tightening, and it has helped prospects
in Europe and Japan. With U.S. inflation in check and real rates fairly
high, European markets seem to have concluded that the Bundesbank is not
even close to reversing its interest rate cycle.
Asia
The Japanese equity market has been relatively flat in local currency terms
since we last reported, but due to significant softening of the yen, it was
down in dollar terms. In fact, the Japanese market was the worst
performing major EAFE market for both the six months and year ending
September 30, 1996. Concerns abound over the sustainability of its
economic recovery, especially in light of the fiscal contraction underway.
Asia ex-Japan outperformed the EAFE Index overall for the year but
underperformed the Index over the latest six-month period. Performance
throughout the region was mixed. More specifically, in the six months
ending September 30, Hong Kong, the Philippines, Australia and Malaysia
modestly outperformed. Singapore and Thailand, on the other hand, gave up
the progress they made in the first half of the Fund's fiscal year, as they
were rocked in the second six months by fears of a hard economic landing
and by concerns over weak exports. Government efforts to restrain property
market speculation compounded liquidity problems.
South Africa
Weakness in the rand continued to lead to underperformance in this market
in dollar terms, though the market has reached new highs in local currency
terms.
INVESTMENT REVIEW
Overall, the Fund added to its holdings in continental Europe during the
latest six-month period, staying significantly overweight in the peripheral
markets. The Fund remained underweight in the U.K., although it has
increased its exposure to this market, and reduced its weightings in Japan
and in South Africa. We also increased the Fund's cash exposure to
approximately 9%, due to increased cash flows, interest rate uncertainty,
and high market volatility.
BT Investment Funds
Letter to Shareholders of International Equity Fund (continued)
In Europe's peripheral markets, the Fund is focused primarily on defensive
and interest-sensitive sectors, such as utilities, energy, and financials.
We believe these areas should benefit the most from EMU convergence. These
selections were supplemented by such stocks as Acerinox, the lowest cost
global producer of stainless steel, and by such luxury goods stocks as
Gucci Group. We took profits in both Sweden's Astra, as concerns
heightened over the company's longer-term drug pipeline, and in Finland's
UPM-Kymmene, as weakness in the pulp and paper industry became evident.
We added a restructuring play in Germany, namely SGL Carbon, a world leader
in graphite manufacturing. We also purchased shares of Koninklijke Ahold,
a leading Dutch retailer, while we reduced holdings in Dutch airline
company KLM, as a reflection of Europe's sluggish economy.
Telecommunication stocks underperformed, weighed down by large
privatizations in France, Italy and Germany as well as by heightened
competition in the current deregulated environment. The Fund's sole
exposure to the sector is STET, the Italian telecom holding company, after
we sold TeleDanmark and Orange Plc.
While remaining underweight in the United Kingdom, we are taking advantage
of the market's excellent yield support by gradually increasing the Fund's
exposure. We are focusing on shareholder friendly companies, adding
positions in Barclays and NatWest, both of which are generating significant
cash and are committed to enhancing shareholder value; Rolls Royce and
British Aerospace, both expected to benefit from further restructuring in
the European aerospace industry; and Millenium & Copthorne Hotels and
British Land Company, both late-cycle plays in the property and hotel
sectors. We also concentrated exposure in utilities, selling PowerGen,
adding to National Power, which has a superior international business
strategy, and purchasing United Utilities, which is the best positioned
pure play, dual water/electric utility in the U.K.
In Japan, we established exposure to the blue chip office and commercial
property sector, where long-term post-bubble declines in prices have begun
to turn. Specifically, we purchased Sumitomo Realty and Development and
Mitsubishi Estate. We also added Takashimaya, a high-end department store,
which opened the largest store in Japan with no new employee hires. We
purchased Takeda Chemical Industries, a global pharmaceutical company with
a strong drug pipeline, scope for operating margin improvement, and a
shareholder friendly management team. We took profits in Toshiba. The
Fund continues to avoid the troubled financial sector.
The Fund remains overweighted in Hong Kong, which benefitted the Fund's
performance in the latest six month period. Our position is primarily in
"red chips," positioned to leverage Mainland China economic growth,
including regional conglomerates, strong specialty clothing concepts, and
infrastructure plays.
We established a presence in Korea and in Taiwan, and in Australia, we took
profits in National Australia Bank to establish more balance through the
resource and gaming operator sectors. We reduced our exposure to the Thai
market, which suffered from a deteriorating trade balance and growing
foreign debt exposure, and we remained underweighted in Singapore.
As a whole in Asia, we are looking for companies catering to growing
domestic consumerism, such as those in the leisure and gaming industries.
In South Africa, we maintained a core presence in blue chips with excellent
prospects.
MANAGER OUTLOOK
Going forward, we believe that perceived fiscal restraints in Europe in an
effort to meet Maastricht requirements for EMU convergence will keep
inflation low but also hold back any opportunity for robust economic
activity. Our emphasis will continue to be, then, on beneficiaries of
lower interest rates and strong bond markets, such as utilities and
financials in the periphery European markets. We also are finding exciting
opportunities in special niche sectors such as luxury goods that capture
renewed demand in both domestic and foreign markets and are relatively
insensitive to sluggish European economies. In the European core, we are
focusing on companies motivated by the need to restructure their operations
and demonstrating management sensitivity to minority shareholder interests.
Ultimately, we believe the EMU will happen, and that as those nations who
want to participate try to get their economies in order to qualify, the
equity markets in those nations will benefit.
In Japan, we believe there are still compelling opportunities from a
bottom-up perspective, though the prognosis here is still cloudy. We are
skeptical about the financial sector, in particular, as capital adequacy
requirements will likely depress stock prices. We continue to find value in
those companies benefitting from a weak yen regime, successfully
restructuring operations, focusing on global growth, and delivering value
to Japanese consumers. As for Asia ex-Japan, we remain positive on Hong
Kong, the Philippines, Malaysia, and Australia, and we remain cautious on
Thailand.
We also stay concerned and cautious about South Africa, especially when the
Central Bank raised rates to defend its currency, rather than removing
exchange controls.
We will, of course, continue monitoring economic conditions and how they
affect the financial markets, as we seek long-term capital appreciation.
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 Stock Holdings
Internationale Nederlanden Groep KCI Konecranes Intl. Corp
adidas AG ABB AG
Dassault Systemes SA Philips Electronics
Barclays Plc Toyota Motor Corp
Volkswagen AG CRH Plc
Diversification of Portfolio Investments
By Country as of September 30, 1996 (percentages are based on market value)
Other 31% Spain 4%
Netherlands 6%
Italy 6%
Hong Kong 7%
Germany 7%
United Kingdom 10%
Switzerland 3%
France 11%
Japan 15%
Michael Levy and Robert Reiner
Portfolio Managers of the
International Equity Portfolio
September 30, 1996
Performance Comparison
Comparison of Change in Value of a $10,000 Investment in the BT Investment
International Equity Fund and the Morgan Stanley Capital International EAFE
Index since August 31, 1992.
Total Return
Ended September 30, 1996
One Year Since 8/4/92*
13.42% 83.17%
* 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.
BT Investment International Equity Fund
MSCI EAFE Index
Aug-92 10000 10000
Sep-92 9665 9803
Dec-92 9606 9424
Mar-93 10424 10554
Jun-93 11084 11615
Sep-93 11944 12386
Dec-93 13196 12493
Mar-94 13717 12930
Jun-94 13266 13590
Sep-94 13977 13603
Dec-94 13738 13465
Mar-95 14046 13715
Jun-95 14960 13815
Sep-95 15911 14391
Dec-95 15949 14974
Mar-96 16862 15406
Jun-96 17881 15650
Sep-96 18057 15630
Past performance is not indicative of future performance.
BT Investment Funds
Letter to Shareholders of Latin American Equity Fund
The Latin American Equity Fund (the "Fund") returned 26.00% for the twelve
months ending September 30, 1996, as compared to 10.53% for the IFCI Latin
American Index and 18.16% for the Lipper Latin American Average. Since its
inception on October 25, 1993, the Fund has returned 8.91%, cumulatively.
MARKET ACTIVITY
In general, the Latin American markets experienced a powerful rally for the
year, with every market in the region, except Chile, posting strong
positive performance. Venezuela was the top performer.
Prospects of economic recovery in several countries during the second half
of the fiscal year were the major factor behind the markets' strong
performance. For example, Mexico saw GDP growth in the second quarter of
1996 of 7.2%. The country's equity market was also the beneficiary of a
stable peso, rapidly declining interest rates, falling inflation, and
relative political stability.
Argentina's economic recovery also began mid-fiscal year, as its
Convertibility Plan proved it could survive the Mexican peso devaluation
crisis, and the change in finance minister was well received by the market.
Argentina is still weighed down, however, by the need to raise capital to
finance the fiscal deficit and to meet debt servicing obligations.
Brazil's market was up based on modest signs of economic pickup, declining
interest rates, and several well-received privatizations. Peru's market
benefitted from enhanced foreign sentiment, as well as strong demand for
one of its privatization offerings.
INVESTMENT REVIEW
The Fund's strong outperformance during this annual period primarily
reflects its high cash level in the fourth quarter of 1995, when there was
greater volatility, its fully invested position going into the strong rally
of 1996, its overweighted position in Venezuela, and its underweighted
position in Chile. The Fund maintained neutral positions in both Mexico and
Brazil throughout the period. As we indicated in our semi-annual report,
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 remained focused on the financial services, cement and
construction, communications, and food and beverage sectors, as we look for
economic and company fundamentals that are significantly improving.
MANAGER OUTLOOK
Our outlook for the Latin American equity markets remains bullish for the
rest of 1996 and going forward into 1997. The region as a whole appears to
be gaining momentum with valuations and bottom-up stories looking very
attractive. We also expect capital flows to the region to increase by
calendar year-end, as investors seek to diversify internationally. This
will be extremely beneficial for the region's markets, given that global
and international investors have been virtually absent from the Latin
American equity markets over the last couple of years.
We anticipate that Argentina, Mexico, and Peru, in particular, will post
good economic statistics and corporate earnings growth in the near term, as
these countries reached their weakest points in terms of economic and
corporate performance in the second half of the Fund's fiscal year and are
thus likely to begin a cyclical uptrend.
We will, of course, continue monitoring economic conditions and how they
affect the financial markets, as we seek long-term capital appreciation.
Objective
Seeks long-term capital appreciation through 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
Depository Receipts (`ADRs'') and convertible securities.
Ten Largest Stock Holdings
Gruma SA - B
Centrais Electricas Brasileiras SA Electrobras
Telec Brasileiras-Telebras ON
Mavesa SA, ADR
Corporacion Industrial Sanluis, SA de CV
Corporacion Geo, SA de CV-B
Telecommunicacoes Brasileiras SA Telebras, ADR
Cementos Diamante SA, ADR - B
Fomento Economico Mexicano SA de CV
Compania Cervejaria Brahma
Maria-Elena Carrion
BT Investment Funds
Portfolio Manager of the
Latin American Equity Portfolio
September 30, 1996
Diversification of Portfolio Investments
By Country as of September 30, 1996 (percentages are based on market value)
Mexico 36%
Argentina 1%
Colombia 7%
Peru 6%
USA 3%
Venezuela 7%
Chile 10%
Brazil 30%
Performance Comparison
Comparison of Change in Value of a $10,000 Investment in the BT Investment
Latin American Equity Fund and IFCI Latin American Index.
Total Return
Ended September 30, 1996
One Year Since 10/25/93*
26.00% 8.91%
* 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.
BT Investment Latin American Equity Fund
IFCI Latin American Index
Oct-93 10000 10000
Dec-93 12433 12327
Mar-94 12822 12448
Jun-94 10917 11206
Sep-94 14546 14938
Dec-94 11091 11159
Mar-95 7350 7791
Jun-95 8475 9254
Sep-95 8617 9760
Dec-95 8384 9542
Mar-96 9408 9652
Jun-96 10706 10584
Sep-96 10838 10763
Past performance is not indicative of future performance.
BT Investment Funds
Letter to Shareholders of Pacific Basin Equity Fund
The Pacific Basin Equity Fund (the "Fund") had a total return of 7.66% for
the twelve months ending September 30, 1996, as compared to 6.37% for the
MSCI Combined Asia Free ex Japan Index and 4.79% for the Lipper Pacific
Basin ex Japan Average. Since its inception on November 1, 1993, the Fund
has returned 22.34%, cumulatively.
MARKET ACTIVITY
Asian equity markets as a whole performed well over the past year, although
individual country performance was quite mixed, and markets were generally
stronger during the first six months. For the year, the best performing
markets in the region included Taiwan, Indonesia, and Hong Kong; the
weakest included South Korea, Pakistan, and Thailand.
Positive performance early in the year was supported by record inflows from
U.S. mutual funds, moderate economic and local monetary conditions, and an
improving global liquidity environment. The easing monetary policy in the
U.S. in February gave a particular boost to the markets. As the year
progressed, expectations for further cuts in U.S. interest rates decreased
significantly, mutual fund flows became much more modest, and earnings
downgrades intensified in a number of markets. The weaker markets, such as
Korea and Thailand, also suffered from political uncertainties and
increasing equity supply.
INVESTMENT REVIEW
The Fund significantly outperformed both its category average and its
benchmark. This strong relative performance was primarily due to effective
stock selection, particularly in Hong Kong, Malaysia, Singapore, and
Thailand.
For example, given the improved outlook for the Chinese economy, we held a
slightly overweighted position in Hong Kong, concentrating the majority of
our exposure there in China-related companies. We also increased our
position in Malaysia, based on our research that points to a peaking in
that economy's interest rate cycle. All of this more than offset relative
underperformance in the Philippines, Indonesia, and India.
MANAGER OUTLOOK
Our expectations are for reasonably benign global liquidity conditions,
thus we expect Asian equity markets to be relatively strong performers over
the medium term. There are four primary reasons for this outlook.
First, we expect a modest tightening of short-term interest rates in the
U.S. over the next twelve months, with Germany and Japan lagging behind.
Second, we expect long-term U.S. bonds to trend sideways for some time,
though we may see lower yields and some market volatility in the short
term.
Third, we believe that concerns over a long-term structural decline in
Asia's growth prospects have been overplayed. At the same time, the Asian
markets have been de-rated to a significant extent over the last ten years,
suggesting that if the consensus is proven to be too pessimistic on long-
term growth prospects, then there is room for a rebound in market ratings.
And finally, we believe that cyclical growth prospects, though likely
muted, will be improving in the region into 1997, leading to an earnings
recovery in most markets.
Given this environment, then, we believe that equity market returns will be
strongly underwritten by earnings growth. Unless international interest
rates rise faster and further than currently anticipated and bring some
unforeseen local political shock, then valuation multiples should be at
least maintained, with upside potential in those markets where domestic
liquidity expansion is most aggressive. These markets include the
Philippines and Indonesia, and so we remain overweighted there. The
prospect for lower interest rates in Thailand also attracts us to this
market.
We see significant opportunities in India and Korea as well, and we will be
looking for opportunities to add positions in these markets, although we
currently remain underweight in Korea.
We will, of course, continue monitoring economic conditions and how they
affect the financial markets, as we seek to provide long-term capital
growth.
Objective
Seeks to provide long term capital appreciation through investment
primarily in the equity securities (or other securities with equity
characteristics) of companies domiciled in, or doing business in, the
Pacific Basin region.
Investment Instruments
Primarily common and preferred stocks, rights, warrants and convertible
securities.
Ten Largest Stock Holdings
Overseas Chinese Banking China Resources Ent. Ltd.
Commerce Asset Hldgs. Berhad Overseas Union Bank
Rashid Hussain Berhad Tanjong Plc.
Gadek Berhad Cheung Kong Holdings Ltd.
Krung Thai Bank Public Co. United Engineers Berhad
Paul Durham
Portfolio Manager of the
Pacific Basin Equity Portfolio
September 30, 1996
BT Investment Funds
Letter to Shareholders of Pacific Basin Equity Fund (continued)
Diversification of Portfolio Investments
By Country as of September 30, 1996 (percentages are based on market value)
India 5%
Philippines 6%
Indonesia 7%
Thailand 12%
Singapore 14%
Malaysia 21%
Hong Kong 30%
Pakistan 1%
South Korea 4%
Performance Comparison
Comparison of Change in Value of a $10,000 Investment in the BT Investment
Pacific Basin Equity Fund and MSCI Combined Asia Free ex Japan Index since
November 30, 1993.
Total Return
Ended September 30, 1996
One Year Since 11/1/93*
7.66% 22.34%
* 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.
BT Investment Pacific Basin Equity Fund
MSCI Combined Asia Free ex Japan Index
Nov-93 10000 10000
Dec-93 13126 12418
Mar-94 10392 9672
Jun-94 11114 10039
Sep-94 12198 11226
Dec-94 10913 10057
Mar-95 10613 9879
Jun-95 11641 11088
Sep-95 11726 10914
Dec-95 11705 11164
Mar-96 12518 11785
Jun-96 12775 11893
Sep-96 12625 10963
Past performance is not indicative of future performance. Letter to
Shareholders of Small Cap Fund
BT Investment Funds
The Small Cap Fund (the "Fund") had a total return of 26.41% for the twelve
months ending September 30, 1996, as compared to 13.13% for the Russell
2000 Index and 18.40% for the Lipper Small Cap Growth Average. Since its
inception on October 21, 1993, the Fund has returned 133.85%, cumulatively.
MARKET ACTIVITY
In general, the last twelve months were a period of strong market
performance. It was also a time of economic uncertainty, market confusion,
and major shifts in investor psychology. In the first six months, signs of
an economic slowdown and the Federal Reserve Board's decision not to lower
interest rates raised fears that the economy might be heading for a
recession and that companies' earnings growth would decelerate or possibly
even decline. In this environment, the health care, energy, and financial
services sectors performed well. Economically sensitive sectors, such as
producer durables, technology, and consumer staples, underperformed.
Smaller companies, viewed as more vulnerable to economic slowdowns,
underperformed both middle and large capitalization companies for this
period.
The prospect of relatively controlled economic growth led to a stock market
rally through most of the second calendar quarter, with small stocks
outperforming large and middle capitalization companies. This also caused
the better performing sectors of the market to change rapidly, with more
economically sensitive areas, such as consumer cyclicals, leading the way.
Later in the second quarter, investor sentiment changed course again, with
worries about accelerating economic growth, higher inflation, and the
possibility of a Federal Reserve Board interest rate hike. This resulted
in a sharp mid-summer sell-off in the equity markets; small cap stocks took
the largest beating. We firmly believe that this was a correction in a
bull market rather than a negative indicator. In fact, this correction
lasted for less time than did the three previous small cap corrections
since 1990.
The equity markets recovered significantly in August and September, with
the technology, consumer staples, and financial sectors showing the most
strength. Small cap stocks were very resilient, with the majority of
companies reporting earnings that either met or exceeded expectations.
INVESTMENT REVIEW
The Fund outperformed its benchmark and its category average both since
inception and for the twelve month period. For the annual period, most of
the outperformance can be attributed to specific stock selection. As for
sector allocation, the Fund benefitted from its overweightings in health
care and the consumer area. However, the Fund had low exposure to other
leading sectors, such as energy and financial services. We continue to be
overweighted in technology, which, though lackluster for the year, has
recently begun to outperform.
Our disciplined investment process allowed us to initiate or add to
positions in companies with strong prospects whose stocks may be hurt
temporarily by the market's volatility. For example, we added to our
investment in Pediatrix Medical, a physician practice management company
focused on neonatology. As investors sold growth stocks from May to July,
the stock dropped sharply. We believed Pediatrix' position as the industry
leader had not changed. After the market correction, the stock, in fact,
recovered, and its growth prospects remain bright.
For the last twelve months, we initiated a number of new investment themes.
For example, Life on the 'Net seeks companies integral to the use of the
Internet and corporate intranets. The Life Sciences Revolution theme
exploits small biotechnology companies moving from the development stage
into production with their drugs. We also increased the Fund's presence in
the New Consumer, America's Changing Leisure Time and Stores of Value
themes when it became apparent the consumer was beginning to spend again.
MANAGER OUTLOOK
Bankers Trust is forecasting moderate growth in the economy, relatively
stable interest rates, and only slightly higher inflation. In this
environment, small cap stocks should continue to do well. More
specifically, as earnings for large cap stocks begin to slow with
increasing global competition and the slowing of a multiyear period of
restructurings and resulting margin expansion, small caps should outperform
as their higher relative earnings growth is rewarded. We believe, too,
that we are still in an upward phase in this latest small cap cycle, which
started in late 1990. Despite robust earnings, the price/earnings (P/E)
multiples in the small cap sector remain very compelling both compared to
historical levels and as the P/E multiples remain at a discount to their
larger cap counterparts.
We expect some ongoing market volatility. We will, of course, continue
monitoring economic conditions and how they affect the financial markets,
as we seek long-term capital growth with current income as a secondary
objective.
Objective
Seeks to provide long-term capital growth by investing primarily in equity
securities of smaller companies. Current income is a secondary goal.
Investment Instruments
Generally common stocks of smaller U.S. corporations and, to a lesser
extent, foreign corporations.
Ten Largest Stock Holdings
Transaction Systems Architects Nautica Enterprises, Inc.
National Data Corp Dollar Tree Stores, Inc.
Pediatrix Medical Group Rational Software
Papa John's International Legato Systems
Sitel Corp Saville Systems Plc
Mary Dugan and Tim Woods
Portfolio Managers of the
Small Cap Portfolio
September 30, 1996
Diversification of Portfolio Investments
By Theme as of September 30, 1996 (percentages are based on market value)
Move to Outsourcing 7%
New Consumer 6%
Telecommunications 7%
Stores of Value 7%
Productivity Enhancements 6%
Client Server Computing 10%
Flourishing in the Managed Care Environment 8%
Managing the Info Age 10%
New Healthcare Paradigm 11%
Other 28%
Performance Comparison
Comparison of Change in Value of a $10,000 Investment in the BT Investment
Small Cap Fund and the Russell 2000 Index since October 31, 1993.
Total Return
Ended September 30, 1996
One Year Since 10/21/93*
26.41% 133.85%
* 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.
BT Investment Small Cap Fund
Russell 2000 Index
Oct-93 10000 10000
Dec-93 10326 10005
Mar-94 10375 9739
Jun-94 9951 9360
Sep-94 11451 10010
Dec-94 12320 9823
Mar-95 14107 10276
Jun-95 15903 11238
Sep-95 18263 12316
Dec-95 19535 12612
Mar-96 21049 13256
Jun-96 23181 13919
Sep-96 23074 13967
Past performance is not indicative of future performance.
This page intentionally left blank.
BT Investment Funds
Statement of Assets and Liabilities September 30, 1996
<TABLE>
<CAPTION>
Global Latin
Capital High Yield Intermediate International American Pacific Small
Appreciation Securities Tax Free Equity Equity Basin Equity Cap
<S> <C> <C> <C> <C> <C> <C> <C>
Assets
Investment in
Portfolio,
at Value* $67,478,448 $19,571,101 $22,019,268 $161,678,276 $17,032,666 $29,409,376 $242,809,448
Receivable for
Shares of
Beneficial
Interest
Subscribed 7,260 - - 166,693 9,800 10,000 245,188
Deferred
Organization
Expenses 389 3,663 - - 3,182 4,267 -
Prepaid
Expenses and
Other 5,078 15,244 7,393 9,547 9,146 9,329 12,276
Due from
Bankers Trust - - 24,472 - 22,101 - -
Total Assets 67,491,175 19,590,008 22,051,133 161,854,516 17,076,895 29,432,972 243,066,912
Liabilities
Due to
Bankers Trust 29,714 9,589 - 80,666 - 9,685 145,195
Payable for
Shares of
Beneficial
Interest
Redeemed 48,268 10,000 - 43,077 52,649 5,264 610,097
Dividend Payable - - 17,772 - - - -
Accrued Expenses
and Other 28,393 29,800 25,804 39,127 27,363 28,720 75,391
Total Liabilities 106,375 49,389 43,576 162,870 80,012 43,669 830,683
Net Assets ($0.001
par value per
share, unlimited
number of shares
of beneficial
interest
authorized) $67,384,800 $19,540,619 $22,007,557 $161,691,646 $16,996,883 $29,389,303 $242,236,229
Composition of
Net Assets
Paid-in
Capital $47,717,389 $17,147,199 $22,002,796 $135,977,614 $24,024,121 $27,490,005 $177,057,815
Accumulated
Net Investment
Income - 524,700 - 1,972,372 - - -
Accumulated Net
Realized
Gain (Loss)
from
Investments
and Foreign
Currency
Transactions 2,089,067 220,152 (704,362) 3,984,951 (8,532,124) 903,974 4,403,294
Net Unrealized
Appreciation
on Investments,
Foreign
Currencies and
Forward Foreign
Currency
Contracts 17,578,344 1,648,568 709,123 19,756,709 1,504,886 995,324 60,775,120
Net Assets,
September 30,
1996 $67,384,800 $19,540,619 $22,007,557 $161,691,646 $16,996,883 $29,389,303 $242,236,229
Net Asset
Value,
Offering and
Redemption
Price Per
Share (Net
assets
divided by
shares
outstanding) $ 16.79 $ 11.20 $ 10.34 $ 16.77 $ 10.71 $ 11.80 $ 21.66
Shares
Outstanding 4,013,416 1,744,731 2,127,754 9,641,288 1,587,240 2,489,738 11,185,714
* 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,
respectively.
See Notes to Financial Statements on Pages 27 and 28
BT Investment Funds
Global Latin
Capital High Yield Intermediate International American Pacific Small
Appreciation Securities Tax Free Equity Equity Basin Equity Cap
Investment
Income
Income (Loss),
net* $ (4,708) $ 1,712,705 $ 780,705 $ 2,033,530 $ 174,692 $ 141,789 $ (94,845)
Expenses
Administration
and Services 405,364 185,042 67,185 982,662 143,318 210,057 1,285,892
Shareholder
Reports 14,315 34,821 14,436 16,059 25,537 23,230 26,845
Registration 23,904 14,537 13,845 40,624 16,675 13,479 66,249
Professional 14,027 15,428 8,459 13,029 14,077 13,591 11,840
Trustees 2,902 2,862 2,002 2,875 2,767 2,875 2,855
Miscellaneous 2,231 3,335 1,581 1,906 1,799 3,528 2,171
Total Expenses 462,743 256,025 107,508 1,057,155 204,173 266,760 1,395,852
Less: Expenses
Absorbed by Bankers
Trust (57,379) (109,939) (40,323) (74,494) (53,312) (56,703) (109,960)
Net Expenses 405,364 146,086 67,185 982,661 150,861 210,057 1,285,892
Net Investment
Income (Loss) (410,072) 1,566,619 713,520 1,050,869 23,831 (68,268) (1,380,737)
Realized and
Unrealized Gain
(Loss) on
Investments,
Foreign Currencies
and Forward
Foreign Currency
Contracts
Net Realized
Gain (Loss) from:
Investment
Transactions 6,405,510 899,467 276,617 5,057,199 986,089 1,762,981 4,946,585
Foreign
Currency
Transactions - (44,386) - 1,023,498 (47,451) (158,369) -
Net Change in
Unrealized
Appreciation
(Depreciation)
on Investments,
Foreign Currencies
and Forward Foreign
Currency
Contracts 1,389,272 1,618,682 (754,829) 7,989,401 1,901,030 590,614 38,472,178
Net Realized and
Unrealized Gain
(Loss) on
Investments,
Foreign Currencies
and Forward
Foreign Currency
Contracts 7,794,782 2,473,763 (478,212) 14,070,098 2,839,668 2,195,226 43,418,763
Net Increase
in Net Assets
from Operations $7,384,710 $4,040,382 $ 235,308 $15,120,967 $2,863,499 $2,126,958 $42,038,026
</TABLE>
BT INVESTMENT FUNDS
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
CAPITAL APPRECIATION GLOBAL HIGH YIELD SECURITIES
FOR THE FOR THE PERIOD FOR THE FOR THE
YEAR ENDED JANUARY 1, 1995 TO YEAR ENDED YEAR ENDED
SEPTEMBER 30, 1996 SEPTEMBER 30, 1995# SEPTEMBER 30, 1996 SEPTEMBER 30, 1995
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS
Net Investment Income (Loss) $ (410,072) $ (228,356) $ 1,566,619 $ 1,531,957
Net Realized Gain (Loss) from Investments and
Foreign Currency Transactions 6,405,510 5,405,206 855,081 (516,415)
Net Change in Unrealized Appreciation (Depreciation)
on Investments, Foreign Currencies and Forward Foreign
Currency Contracts 1,389,272 10,914,097 1,618,682 (3,518)
Net Increase in Net Assets from Operations 7,384,710 16,090,947 4,040,382 1,012,024
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income - - (1,488,712) (1,469,916)
Net Realized Gains from Investment Transactions (6,765,953) - - -
TOTAL DISTRIBUTIONS (6,765,953) - (1,488,712) (1,469,916)
CAPITAL TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST
Proceeds from Sales of Shares 25,355,460 12,646,445 10,018,654 18,303,164
Dividend Reinvestments 3,593,138 - 381,174 458,206
Cost of Shares Redeemed (19,562,155) (14,094,566) (16,324,044) (10,128,669)
NET INCREASE (DECREASE) FROM CAPITAL
TRANSACTIONS IN SHARES OF
BENEFICIAL INTEREST 9,386,443 (1,448,121) (5,924,216) 8,632,701
TOTAL INCREASE (DECREASE) IN NET ASSETS 10,005,200 14,642,826 (3,372,546) 8,174,809
NET ASSETS
Beginning of Period 57,379,600 42,736,774 22,913,165 14,738,356
End of Period* $ 67,384,800 $ 57,379,600 $ 19,540,619 $ 22,913,165
<CAPTION>
LATIN AMERICAN EQUITY PACIFIC BASIN EQUITY
FOR THE FOR THE FOR THE FOR THE
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
SEPTEMBER 30, 1996 SEPTEMBER 30, 1995 SEPTEMBER 30, 1996 SEPTEMBER 30, 1995
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS
Net Investment Income (Loss) $ 23,831 $ 48,923 $ (68,268) $ 28,202
Net Realized Gain (Loss) from
Investments and Foreign
Currency Transactions 938,638 (9,485,479) 1,604,612 (481,521)
Net Change in Unrealized Appreciation
(Depreciation) on
Investments, Foreign Currencies and
Forward Foreign
Currency Contracts 1,901,030 (3,176,213) 590,614 (821,330)
Net Increase (Decrease) in Net Assets
from Operations 2,863,499 (12,612,769) 2,126,958 (1,274,649)
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income - (479,804) - -
Net Realized Gains from Investment Transactions - - - (831,820)
Total Distributions - (479,804) - (831,820)
CAPITAL TRANSACTIONS IN SHARES OF
BENEFICIAL INTEREST
PROCEEDS FROM SALES OF SHARES 24,344,592 18,486,926 37,293,728 12,685,645
Dividend Reinvestments - 327,552 - 375,029
Cost of Shares Redeemed (23,835,412) (19,586,772) (34,535,657) (11,811,813)
NET INCREASE (DECREASE) FROM CAPITAL
TRANSACTIONS IN SHARES OF
BENEFICIAL INTEREST 509,180 (772,294) 2,758,071 1,248,861
TOTAL INCREASE (DECREASE) IN NET ASSETS 3,372,679 (13,864,867) 4,885,029 (857,608)
NET ASSETS
Beginning of Year 13,624,204 27,489,071 24,504,274 25,361,882
End of Year* $ 16,996,883 $ 13,624,204 $ 29,389,303 $ 24,504,274
</TABLE>
* Includes accumulated net investment income for the period ended
September 30, 1996 and September 30, 1995, respectively, as follows:
$0 and 0 for Captial Appreciation Fund, $524,700 and $511,309 for Global
High Yield Securities Fund, $0 and $0 for Intermediate Tax Free Fund,
$1,972,372 and $799,626 for International Equity Fund, $0 and $0 for
Latin American Equity Fund, $0 and $0 for Pacific Basin Equity Fund,
and $0 and $0 for Small Cap Fund.
# The Board of Trustees approved the change of the fiscal year ends
from December 31 to September 30.
See Notes to Financial Statements on Pages 27 and 28
BT INVESTMENT FUNDS
<TABLE>
<CAPTION>
INTERMEDIATE TAX FREE INTERNATIONAL EQUITY
FOR THE PERIOD FOR THE FOR THE FOR THE PERIOD
JANUARY 1, 1996 TO YEAR ENDED YEAR ENDED JANUARY 1, 1995 TO
SEPTEMBER 30, 1996# DECEMBER 31, 1995 SEPTEMBER 30, 1996 SEPTEMBER 30, 1995
<C> <C> <C> <C>
$ 713,520 $ 1,103,629 $ 1,050,869 $ 767,061
276,617 373,106 6,080,697 1,956,485
(754,829) 1,660,101 7,989,401 6,955,090
235,308 3,136,836 15,120,967 9,678,636
(713,520) (1,103,629) (1,680,074) (16,362)
- - (2,218,709) (62,809)
(713,520) (1,103,629) (3,898,783) (79,171)
3,212,369 4,536,603 98,926,188 35,856,451
480,696 868,327 2,166,771 42,076
(3,420,402) (10,528,057) (33,430,708) (18,711,160)
272,663 (5,123,127) 67,662,251 17,187,367
(205,549) (3,089,920) 78,884,435 26,786,832
22,213,106 25,303,026 82,807,211 56,020,379
$ 22,007,557 $ 22,213,106 $ 161,691,646 $ 82,807,211
<CAPTION>
SMALL CAP
FOR THE FOR THE
YEAR ENDED YEAR ENDED
SEPTEMBER 30, 1996 SEPTEMBER 30, 1995
<C> <C>
$ (1,380,737) $ (274,306)
4,946,585 11,205,495
38,472,178 19,127,778
42,038,026 30,058,967
- -
(10,302,003) -
(10,302,003) -
249,711,457 90,112,541
7,579,445 -
(169,725,477) (18,568,384)
87,565,425 71,544,157
119,301,448 101,603,124
122,934,781 21,331,657
$ 242,236,229 $ 122,934,781
</TABLE>
See Notes to Financial Statements on Pages 27 and 28
BT Investment Funds
FINANCIAL HIGHLIGHTS
Contained below are selected data for a share outstanding, total investment
return, other supplemental data and ratios to average net assets for each
of the periods indicated for each of the Funds.
<TABLE>
<CAPTION>
CAPITAL APPRECIATION
FOR THE PERIOD
MARCH 9, 1993
FOR THE FOR THE PERIOD FOR THE (COMMENCEMENT OF
YEAR ENDED JANUARY 1, 1995 TO YEAR ENDED OPERATIONS) TO
SEPTEMBER 30, 1996 SEPTEMBER 30, 1995** DECEMBER 31, 1994 DECEMBER 31, 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) (0.10) (0.07) (0.04) (0.01)
Net Realized and Unrealized Gain
(Loss) on Investments
and Foreign Currency Transactions 1.89 4.80 0.42 1.73
Total from Investment Operations 1.79 4.73 0.38 1.72
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income - - - -
Net Realized Gain from Investment
Transactions (1.83) - - -
Total Distributions (1.83) - - -
NET ASSET VALUE, END OF PERIOD $16.79 $16.83 $12.10 $11.72
TOTAL INVESTMENT RETURN 12.35% 39.09% 3.24% 21.54%*
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period
(000's omitted) $67,385 $57,380 $42,737 $17,573
Ratios to Average Net Assets:
Net Investment Income (Loss) (0.66)% (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 0.26% 0.32%* 0.54% 0.74%*
<CAPTION>
INTERNATIONAL EQUITY
FOR THE PERIOD
AUGUST 4, 1992
FOR THE FOR THE PERIOD FOR THE YEAR ENDED (COMMENCEMENT OF
YEAR ENDED JANUARY 1, 1995 TO DECEMBER 31, OPERATIONS) TO
SEPTEMBER 30, 1996 SEPTEMBER 30, 1995** 1994 1993 DECEMBER 31, 1992
<S>
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) 0.18 0.14 0.10 0.05 0.03
Net Realized and Unrealized Gain
(Loss) on Investments
and Foreign Currency Transactions 1.80 1.97 0.44 3.60 (0.28)
Total from Investment Operations 1.98 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 (0.37) (0.01) (0.26) (0.07) -
Total Distributions (0.68) (0.01) (0.35) (0.22) -
NET ASSET VALUE, END OF PERIOD $16.77 $15.47 $13.37 $13.18 $9.75
TOTAL INVESTMENT RETURN 13.42% 15.82% 4.12% 37.38% (6.01)%*
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period
(000's omitted) $161,692 $82,807 $56,020 $33,869 $8,218
Ratios to Average Net Assets:
Net Investment Income (Loss) 0.91% 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 0.26% 0.33%* 0.37% 0.62% 1.36%*
</TABLE>
* Annualized
** The Board of Trustees approved the change of the fiscal year ends
from December 31 to September 30.
*** Expenses allocated from Capital Appreciation Portfolio, Global
High Yield Securities Portfolio, Intermediate Tax Free Portfolio,
International Equity Portfolio, Latin American Equity Portfolio, and
Pacific Basin Equity Portfolio, respectively.
See Notes to Financial Statements on Pages 27 and 28
BT INVESTMENT FUNDS
<TABLE>
<CAPTION>
GLOBAL HIGH YIELD SECURITIES INTERMEDIATE TAX FREE
FOR THE PERIOD FOR THE PERIOD
DECEMBER 14, 1993 JULY 20, 1992
(COMMENCEMENT OF FOR THE PERIOD FOR THE YEAR ENDED (COMMENCEMENT OF
FOR THE YEAR ENDED OPERATIONS) TO JANUARY 1, 1996 TO DECEMBER 31, OPERATIONS) TO
SEPTEMBER 30, 1996 SEPTEMBER 30, 1995 SEPTEMBER 30, 1994 SEPTEMBER 30, 1996** 1995 1994 1993 DECEMBER 31, 1992
<C> <C> <C> <C> <C> <C> <C> <C>
$9.78 $10.29 $10.00 $10.56 $9.72 $10.54 $9.99 $10.00
0.87 0.77 0.31 0.33 0.47 0.42 0.41 0.16
1.30 (0.41) (0.02) (0.22) 0.84 (0.82) 0.57 (0.01)
2.17 0.36 0.29 0.11 1.31 (0.40) 0.98 0.15
(0.75) (0.87) - (0.33) (0.47) (0.42) (0.41) (0.16)
- - - - - - (0.02) -
(0.75) (0.87) - (0.33) (0.47) (0.42) (0.43) (0.16)
$11.20 $9.78 $10.29 $10.34 $10.56 $9.72 $10.54 $9.99
23.31% 4.28% 3.66%* 4.09%* 13.71% (3.81)% 9.94% 3.42%*
$19,541 $22,913 $14,738 $22,008 $22,213 $25,303 $31,709 $9,992
8.04% 8.68% 5.44%* 4.25%* 4.58% 4.20% 3.88% 3.72%*
1.50% 1.74% 1.75%* 0.85%* 0.85% 0.85% 0.85% 0.85%*
1.00% 0.87% 1.08%* 0.38%* 0.28% 0.36% 0.35% 0.80%*
<CAPTION>
LATIN AMERICAN EQUITY PACIFIC BASIN EQUITY
FOR THE PERIOD FOR THE PERIOD
OCTOBER 25, 1993 NOVEMBER 1, 1993
(COMMENCEMENT OF (COMMENCEMENT OF
FOR THE YEAR ENDED OPERATIONS) TO FOR THE YEAR ENDED OPERATIONS) TO
SEPTEMBER 30, 1996 SEPTEMBER 30, 1995 SEPTEMBER 30, 1994 SEPTEMBER 30, 1996 SEPTEMBER 30, 1995 SEPTEMBER 30, 1994
<C> <C> <C> <C> <C> <C>
$8.50 $14.59 $10.00 $10.96 $11.82 $10.00
0.02 0.03 - (0.03) 0.01 (0.04)
2.19 (5.92) 4.59 0.87 (0.49) 1.86
2.21 (5.89) 4.59 0.84 (0.48) 1.82
- - - - - -
- (0.20) - - (0.38) -
- (0.20) - - (0.38) -
$10.71 $8.50 $14.59 $11.80 $10.96 $11.82
26.00% (40.68)% 50.01%* 7.66% (3.87)% 20.11%*
$16,997 $13,624 $27,489 $29,389 $24,504 $25,362
0.16% 0.29% 0.03%* (0.24)% 0.12% (0.59)%*
2.00% 2.00% 2.00%* 1.75% 1.75% 1.75%*
0.66% 1.17% 1.27%* 0.31% 0.52% 0.60%*
</TABLE>
See Notes to Financial Statements on Pages 27 and 28
BT Investment Funds
FINANCIAL HIGHLIGHTS (CONTINUED)
<TABLE>
<CAPTION>
SMALL CAP
FOR THE PERIOD
OCTOBER 21, 1993
FOR THE (COMMENCEMENT OF
YEAR ENDED FOR THE YEAR ENDED OPERATIONS) TO
SEPTEMBER 30, 1996 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 FROM INVESTMENT OPERATIONS
Net Investment Loss (0.12) (0.04) (0.03)
Net Realized and Unrealized Gain on
Investments 4.65 6.94 1.63
Total from Investment Operations 4.53 6.90 1.60
DISTRIBUTIONS TO SHAREHOLDERS
Net Realized Gain from Investment
Transactions (1.37) - -
Net Asset Value, End of Period $21.66 $18.50 $11.60
Total Investment Return 26.41% 59.48% 17.06%*
Supplemental Data and Ratios:
Net Assets, End of Period
(000's omitted) $242,236 $122,935 $21,332
Ratios to Average Net Assets:
Net Investment Loss (0.70)% (0.46)% (0.58)%*
Expenses, including Expenses of the
Portfolio** 1.25% 1.25% 1.25%*
Decrease Reflected in Above Expense
Ratio Due to Absorption of Expenses
by Bankers Trust 0.22% 0.34% 0.86%*
</TABLE>
* Annualized
** Expenses allocated from Small Cap Portfolio.
See Notes to Financial Statements on Pages 27 and 28
BT Investment 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 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 Funds commenced operations and
began offering shares of beneficial interest on the following dates:
COMMENCEMENT OF
OPERATIONS AND ISSUANCE
FUND OF BENEFICIAL INTEREST
Capital Appreciation March 9, 1993
Global High Yield Securities December 14, 1993
Intermediate Tax Free July 20, 1992
International Equity August 4, 1992
Latin American Equity October 25, 1993
Pacific Basin Equity November 1, 1993
Small Cap October 21, 1993
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 September 30, 1996, each Fund's
proportionate interest in net assets for its respective Portfolio was:
FUND PRO RATA INTEREST
Capital Appreciation 98.67%
Global High Yield Securities 99.13%
Intermediate Tax Free 100.00%
International Equity 98.10%
Latin American Equity 99.89%
Pacific Basin Equity 99.33%
Small Cap 98.86%
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 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. Organization 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 Fund's 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 September 30, 1996, the following reclassifications were
recorded; $410,072, $1,801,951 and $47,451 of Capital Appreciation Fund,
International Equity Fund and Latin American Equity Fund's net realized gain
(loss) was reclassified as undistributed net investment income; $64,516 and
$68,268 of Global High Yield Securities Fund and Pacific Basin Equity Fund's
undistributed net investment income (loss) was reclassified as net realized
captial gain; $1,380,737 and $23,620 of Small Cap Fund and Latin American
Equity Fund's undistributed net investment income (loss) was reclassified as
paid-in-capital.
For the period ended September 30, 1996 the Intermediate Tax-Free Fund has a
capital loss carry forward of $668,173 which expires in 2002, and the Latin
American Equity Fund has a capital loss carryforward of $8,029,673 which
expires in 2004.
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 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 each Fund's average
daily net assets. The following table provides annual rates and aggregated
fees for each of the Funds for the period ended September 30, 1996:
FUND ANNUAL RATE AGGREGATE FEES
Capital Appreciation 0.65 of 1% $ 405,364
Global High Yield Securities 0.95 of 1% 185,042
Intermediate Tax Free 0.40 of 1% 67,185
International Equity 0.85 of 1% 982,662
Latin American Equity 0.95 of 1% 143,318
Pacific Basin Equity 0.75 of 1% 210,057
Small Cap 0.65 of 1% 1,285,892
On September 30, 1996, the Trust entered into a Distribution Agreement with
Edgewood Services, Inc. ("Edgewood"). Prior to September 30, Signature Broker-
Dealer Services, Inc. ("Signature") was the Trust's distributor. Under the
Distribution Agreement with the Trust, pursuant to Rule 12b-1 of the 1940 Act,
Edgewood, and previously Signature, may seek reimbursement, at an annual rate
not exceeding 0.20 of 1% of each 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 September 30, 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 0.65 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 0.75 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 0.40 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. International Equity Fund 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. 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 0.75 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 0.65 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 September 30, 1996, expenses have been reduced
as follows:
FUND EXPENSES REDUCED
Capital Appreciation $ 57,379
Global High Yield Securities 109,939
Intermediate Tax Free 40,323
International Equity 74,494
Latin American Equity 53,312
Pacific Basin Equity 56,703
Small Cap 109,960
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 2.50% of the first $30,000,000 of the average daily net assets,
2.00% of the next $70,000,000, and 1.50% of any excess over $100,000,000.
Certain trustees and officers of the Funds are also directors, officers and/or
employees of Edgewood and/or 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 September 30, 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 SEPTEMBER 30, 1996
CAPITAL APPRECIATION GLOBAL HIGH YIELD INTERMEDIATE TAX FREE INTERNATIONAL EQUITY
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Sold 1,597,362 $ 25,355,460 955,647 $ 10,018,654 305,971 $ 3,212,369 6,278,513 $ 98,926,188
Reinvested 240,689 3,593,138 43,268 381,174 46,327 480,696 146,008 2,166,771
Redeemed (1,233,122) (19,562,155) (1,596,653) (16,324,044) (328,712) (3,420,402) (2,134,450) (33,430,708)
Increase
(Decrease) 604,929 $ 9,386,443 (597,738) $ (5,924,216) 23,586 $ 272,663 4,290,071 $ 67,662,251
<CAPTION>
LATIN AMERICAN EQUITY PACIFIC BASIN EQUITY SMALL CAP
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
<S> <C> <C> <C> <C> <C> <C>
Sold 2,527,607 $ 24,344,592 3,199,745 $ 37,293,728 12,796,190 $ 249,711,457
Reinvested - - - - 439,133 7,579,445
Redeemed (2,542,427) (23,835,412) (2,946,088) (34,535,657) (8,695,218) (169,725,477)
Increase
(Decrease) (14,820) $ 509,180 253,657 $ 2,758,071 4,540,105 $ 87,565,425
</TABLE>
FOR THE PERIOD ENDED SEPTEMBER 30, 1995
<TABLE>
<CAPTION>
CAPITAL APPRECIATION* GLOBAL HIGH YIELD INTERMEDIATE TAX FREE** INTERNATIONAL EQUITY*
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Sold 892,749 $ 12,646,445 1,942,399 $ 18,303,164 444,241 $ 4,536,603 2,458,261 $ 35,856,451
Reinvested - - 49,577 458,206 84,551 868,327 2,716 42,076
Redeemed (1,017,100) (14,094,566) (1,081,376) (10,128,669) (1,026,546) (10,528,057) (1,298,482) (18,711,160)
Increase
(Decrease) (124,351) $ (1,448,121) 910,600 $ 8,632,701 (497,754) $ (5,123,127) 1,162,495 $ 17,187,367
<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>
* The Board of Trustees approved the change of Capital Appreciation and
International Equity Portfolios' fiscal year ends from December 31 to
September 30.
** The Board of Trustees approved the change of the fiscal year end from
December 31 to September 30. The period reflects the share balances as of
December 31, 1995.
BT Investment Funds
REPORT OF INDEPENDENT ACCOUNTANTS
To the Trustees and Shareholders of BT Investment Funds:
We have audited the accompanying statement of assets and liabilities of the
Capital Appreciation, Global High Yield Securities, Intermediate Tax Free,
International Equity, Latin American Equity, Pacific Basin Equity and Small
Cap Funds (seven of the Funds comprising BT Investment Funds) as of September
30, 1996, and the related statement of operations for the year then ended
except for the Intermediate Tax Free Fund, for which the period was for the
nine months ended September 30, 1996, the statement of changes in net assets
for each of the two years in the period then ended except for the Intermediate
Tax Free Fund, for which the periods were for the nine months ended September
30, 1996 and the year ended December 31, 1995 and the Capital Appreciation
Fund and International Equity Fund, for which the periods were for the year
ended September 30, 1996 and the nine months ended September 30, 1995 and the
financial highlights for each of the periods presented therein. These
financial statements and financial highlights are the responsibility of the
Fund's 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 September 30, 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 each
of the Funds comprising BT Investment Funds as of September 30, 1996, the
results of their operations, the changes in their net assets and the financial
highlights for the periods referred to above, in conformity with generally
accepted accounting principles.
Coopers & Lybrand L.L.P.
Kansas City, Missouri
October 29, 1996, except for the Intermediate Tax Free Portfolio, for which
the date is November 4, 1996
Capital Appreciation Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS SEPTEMBER 30, 1996
<TABLE>
<CAPTION>
Shares Description Value
COMMON STOCKS - 91.90%
AMERICA'S CHANGING LEISURE TIME - 7.78%
<C> <S> <C>
20,364 Applebees International, Inc. (a) $ 539,646
8,865 Callaway Golf Co. 302,518
16,247 Circus Circus Enterprises, Inc. (a) 574,738
3,842 Gemstar International Group Ltd. (a) 113,339
35,249 GT Interactive Software Corp. (a) 801,915
11,225 HFS, Inc. (a) 750,672
38,455 International Game Technology 788,327
26,655 Mirage Resorts, Inc. (a) 683,034
23,175 Starbucks Corp. (a) 764,775
5,318,964
AMERICA'S INDUSTRIAL RENAISSANCE - 5.75%
28,228 Agco Corp. 719,814
10,650 Harman International Industries, Inc. 519,187
19,091 Input/Output, Inc. (a) 567,957
9,167 Potash Corporation of Saskatchewan, Inc. 670,337
10,287 Raychem Corp. 771,525
10,983 Western Atlas, Inc. (a) 683,692
3,932,512
CLIENT-SERVER COMPUTING - 5.02%
15,550 Adaptec, Inc. (a) 933,000
20,725 Cadence Design System, Inc. (a) 740,919
30,104 Cognos, Inc. (a) 982,143
9,350 Peoplesoft, Inc. (a) 778,387
3,434,449
ENVIRONMENTAL CRISIS - 1.33%
26,655 U.S. Filter Corp. (a) 909,602
FLOURISHING IN THE MANAGED CARE
ENVIRONMENT - 2.30%
16,761 Oxford Health Plans, Inc. 833,860
48,350 Physician Reliance Network, Inc. (a) 737,337
1,571,197
INTERACTIVE MEDIA - 5.22%
10,350 Clear Channel Communications, Inc. (a) 915,975
16,399 CUC International, Inc. (a) 653,910
14,915 Intuit, Inc. (a) 469,823
16,822 Outdoor Systems, Inc. (a) 790,634
17,185 The Providence Journal Co. -Cl. A (a) 504,809
6,989 Univision Communications, Inc. (a) 234,132
3,569,283
LIFE ON THE NET - 4.05%
10,439 America Online, Inc. (a) 371,889
4,630 McAfee Associates, Inc. (a) 319,470
7,808 Netscape Communications Corp. (a) 362,096
45,443 Network General Corp. (a) 1,039,509
15,068 VeriFone, Inc. (a) 674,293
2,767,257
LIFE SCIENCES REVOLUTION - 6.20%
17,790 BioChem Pharma, Inc. (a) 713,824
20,998 Centocor, Inc. (a) 745,429
22,782 Elan Corp., ADR (a) 680,612
10,347 Genetics Institute, Inc. (a) 719,117
24,355 Genzyme Corp. (a) 621,052
17,850 U.S. Surgical Corp. 758,625
4,238,659
MANAGING THE INFORMATION AGE - 3.72%
34,431 Cheyenne Software, Inc. (a) $ 740,266
10,167 Electronics for Imaging, Inc 729,482
19,697 Pure Atria Corp. (a) 743,562
11,285 Sterling Commerce, Inc. 332,907
2,546,217
MOVE TO OUTSOURCING - 8.97%
25,475 AccuStaff, Inc. (a) 659,166
18,698 APAC Teleservices, Inc. (a) 958,272
10,878 CoreStaff, Inc. (a) 290,986
21,482 Corporate Express, Inc. (a) 835,113
11,588 Danka Business Systems, ADR 460,623
17,578 Global DirectMail Corp. (a) 839,350
18,049 Paychex, Inc. 1,046,842
4,477 Quintiles Transnational Corp. (a) 327,940
22,722 USA Waste Services, Inc. (a) 715,743
6,134,035
NEW CONSUMER - 8.70%
10,044 Abercrombie & Fitch Co. (a) 246,078
10,257 Blyth Industries, Inc. (a) 497,465
6,807 Fila Holdings, ADR 654,323
12,042 Gucci Group NV 873,045
12,586 Jones Apparel Group, Inc. (a) 802,358
19,576 Saks Holdings, Inc. (a) 685,160
34,369 Staples, Inc. (a) 762,562
11,314 Tommy Hilfiger Corp. (a) 670,354
26,747 Williams-Sonoma, Inc. (a) 758,946
5,950,291
NEW HEALTH CARE PARADIGM - 4.27%
9,470 Cardinal Health, Inc. (a) 782,459
16,973 Healthsouth Corp. (a) 651,339
23,417 Omnicare, Inc. 714,218
20,363 PhyCor, Inc. (a) 775,067
2,923,083
OTHER - 1.47%
16,490 IMC Global, Inc. 645,171
15,552 Sunbeam Corporation, Inc 359,640
1,004,811
PRODUCTIVITY ENHANCEMENT - 4.04%
15,976 Catalina Marketing Corp. (a) 850,722
13,101 Checkpoint Systems, Inc. (a) 347,176
15,914 Compuware Corp. (a) 728,066
17,003 Parametric Technology Co. 839,523
2,765,487
REDISTRIBUTION OF DEBT - 0.88%
22,601 The Money Store, Inc. 598,927
RE-ENERGIZING AMERICA - 4.56%
20,634 BJ Services Co. (a) 747,983
13,312 Cooper Cameron Corp. (a) 763,776
42,933 Global Marine, Inc. (a) 676,195
24,991 Tidewater, Inc. 934,039
3,121,993
SPECIAL SITUATIONS - 0.38%
13,433 Softkey International, Inc. (a) 260,264
</TABLE>
<TABLE>
<CAPTION>
See Notes to Financial Statements on Pages 48-50
Capital Appreciation Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS SEPTEMBER 30, 1996
Shares Description Value
<C> <S> <C>
STORES OF VALUE - 7.65%
19,908 Borders Group, Inc. (a) $ 741,573
22,328 Consolidated Stores Corp. (a) 893,120
12,859 Nine West Group, Inc. (a) 697,601
17,276 Oakley, Inc. (a) 734,230
28,501 PETsMART, Inc. (a) 737,463
30,013 Price/Costco, Inc. (a) 615,267
22,631 U.S. Office Products Co. (a) 811,887
5,231,141
TELECOMMUNICATIONS - 6.96%
13,645 Andrew Corp. (a) 680,544
11,013 Aspect Telecommunication Corp. (a) 685,559
12,101 Excel Communications, Inc. (a) 382,694
27,623 McLeod, Inc.-Cl. A (a) 911,559
7,684 Omnipoint Corp. (a) 223,797
14,191 QUALCOMM, Inc. (a) 603,118
34,401 Teleport Communications Group Inc. (a) 812,724
21,420 WorldCom, Inc. (a) 457,853
4,757,848
THE UBIQUITOUS SEMICONDUCTOR - 0.43%
8,683 Xilinx, Inc. 295,222
The Greying of America - 2.22%
11,165 Guidant Corp. $ 616,866
8,230 Loewen Group, Inc. (a) 344,631
25,234 Nellcor Puritan Bennett, Inc. (a) 555,148
1,516,645
TOTAL COMMON STOCKS (Cost $47,822,620) $ 62,847,887
Principal
Amount
SHORT TERM INVESTMENTS - 7.90%
U.S. TREASURY BILLS - 7.90%
$ 3,105,740 5.00%, 10/24/96 $ 3,095,765
2,325,145 5.12%, 12/5/96 2,304,491
TOTAL SHORT TERM INVESTMENTS (Cost $5,399,135) $ 5,400,256
TOTAL INVESTMENTS (Cost $53,221,755) - 99.80% $ 68,248,143
Other Assets in Excess of Liabilities - 0.20% 137,352
NET ASSETS - 100.00% $ 68,385,495
</TABLE>
(a) Non-Income Producing Security
Global High Yield Securities Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS SEPTEMBER 30, 1996
<TABLE>
<CAPTION>
Principal
Amount Description Value
<C> <S> <C>
CORPORATE DEBENTURES - 41.56%
China - 1.33%
$ 250,000 Zhuhai Highway 11.50%, 7/1/08 (b) $ 263,125
COLOMBIA - 2.72%
500,000 Celcaribe, 3/15/04 (b)(c) 537,500
HONG KONG - 9.78%
500,000 Bank of East Asia 2.00%, 7/19/03 520,000
350,000 China Overseas Land 5.25%, 12/8/00 353,937
390,000 Hysan Development Finance 6.75%, 6/1/00 444,112
500,000 Lai Fung Overseas Finance 5.75%, 1/5/98 458,750
150,000 New World Development 4.375%, 12/11/00 153,469
1,930,268
INDIA - 0.27%
50,000 Mahindra & Mahindra 5.00%, 7/9/01 53,000
MALAYSIA - 1.06%
250,000 Aokam Perdana Berhad 3.50%, 6/13/04 208,750
SOUTH AFRICA - 1.75%
20,000 Investec Overseas Finance 6.375%,
11/30/02 (b) 21,550
300,000 Investec Overseas Finance 6.375%,
11/30/02 324,375
345,925
THAILAND - 0.70%
150,000 Tanayong Public 3.50%, 3/1/04 138,000
UNITED KINGDOM - 1.90%
500,000 Videotron Holdings Plc., 7/1/04 (c) 376,250
UNITED STATES - 22.05%
$ 500,000 Cinemark USA, Inc. 9.625%, 8/1/08 (b) $ 491,250
250,000 Eagle Food Centers, Inc. 8.625%, 4/15/00 235,625
500,000 Giant Industries 9.75%, 11/15/03 506,250
150,000 Grupo Industrial Durango 12.625%, 8/1/03 159,938
400,000 Nextel Communications, Inc. 8/15/04 (e) 261,000
200,000 Paracelsus Healthcare 10.00%, 8/15/06 206,750
500,000 Pricellular, 10/1/03 (c) 407,500
500,000 Schuller International Group 10.875%,
12/15/04 548,750
500,000 Station Casinos 10.125%, 3/15/06 493,750
500,000 Tenet Healthcare 8.625%, 12/1/03 523,125
250,000 Twin Laboratories 10.25%, 5/15/06 (b) 252,500
250,000 United Meridian Corp. 10.375%, 10/15/05 266,875
4,353,313
TOTAL CORPORATE DEBENTURES (Cost $7,808,167) $ 8,206,131
GOVERNMENT BONDS - 53.07%
ARGENTINA - 7.06%
500,000 Argentina Discount 6.437%, 3/31/23 370,000
245,000 Argentina FRB 6.625%, 3/31/05 205,494
1,400,000 Argentina Par Ser. L-GP 5.25%,
3/31/23 (a) 819,000
1,394,494
BRAZIL - 16.65%
1,136,551 Brazil C 8.00%, 4/15/14 (f) 801,269
1,298,916 Brazil C Ser. L 8.00%, 4/15/14 (f) 915,735
1,000,000 Brazil DCB Ser. L 6.562%, 4/15/12 (a) 755,625
1,000,000 Brazil New Money Bond 6.562%, 4/15/09 813,750
3,286,379
</TABLE>
See Notes to Financial Statements on Pages 48-50
Global High Yield Securities Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS SEPTEMBER 30, 1996
<TABLE>
<CAPTION>
Principal
Amount Description Value
<C> <C> <C>
BULGARIA - 1.29%
$ 500,000 Bulgaria Discount 6.687%, 7/28/24 (a) $ 254,063
MEXICO-17.91%
500,000 Mexico Discount Ser. D 6.453%,
12/31/19 421,875
1,000,000 Mexico Discount Ser. B 6.390%,
12/31/19 845,000
2,550,000 Mexico Par Ser. B 6.25%, 12/31/19 1,772,250
500,000 United Mexican States, 11.375%,
9/15/16 497,500
3,536,625
MOROCCO - 3.18%
800,000 Morocco Restructuring & Consolidation
Agreement Ser. A 6.437%, 1/1/09 (a) 628,500
PANAMA - 4.00%
700,000 Panama IRB 3.50%, 7/17/14 441,000
505,000 Panama PDI 6.75%, 7/17/16 348,766
789,766
POLAND - 2.98%
615,000 Poland Discount 6.437%, 10/27/24 (a) 587,325
TOTAL GOVERNMENT BONDS (Cost $9,209,215) $ 10,477,152
OTHER SECURITIES - 1.44%
SOUTH AFRICA - 1.36%
24,185 Bidvest Group Ltd. $ 133,192
9,035 Fedsure Holdings Ltd. 63,690
151 South African Breweries 4,025
2,580 South African Breweries - B 68,201
269,108
UNITED STATES - 0.08%
500 IHF Holdings - Warrants Ser. I
Expire 11/14/99 (Cost $0) 15,000
TOTAL OTHER SECURITIES (Cost $298,263) $ 284,108
TOTAL INVESTMENTS (Cost $17,315,645) - 96.07% $ 18,967,391
Other Assets in Excess of Liabilities - 3.93% 775,764
NET ASSETS - 100.00% $ 19,743,155
</TABLE>
(a) Floating Rate Security
(b) 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.
(c) Debt obligations initially issued in zero coupon form which converts to
coupon form at specified rate and date
(d) Non-Income Producing Security
(e) Zero coupon
(f) Payment-in-Kind Security
Intermediate Tax Free Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS September 30, 1996
<TABLE>
<CAPTION>
Principal
Amount Description Value
ARIZONA - 7.43%
<C> <S> <C>
$ 1,080,000 Phoenix Arizona, 6.375%, 7/1/02 $ 1,175,558
440,000 Arizona State Transportation Board Excise
Tax Revenue, 5.60%, 7/1/03 460,192
1,635,750
CALIFORNIA - 4.75%
1,000,000 Northern California Power Agency Public
Power Revenue, 5.85%, 7/1/10 1,046,460
COLORADO - 5.90%
1,300,000 Pinellas Colorado G.O., 5.40%, 12/1/15 1,300,000
CONNECTICUT - 8.13%
1,000,000 Connecticut State Series B, 5.125%, 8/15/10 968,200
500,000 Connecticut State Special Tax Obligations,
5.90%, 09/01/05 531,340
275,000 Connecticut State Special Tax Obligitory
Revenue, 6.75%, 2/15/99 289,990
1,789,530
DELAWARE - 2.52%
520,000 Delaware Transportation Authority,
6.10%, 7/1/02 555,334
FLORIDA - 3.22%
$ 50,000 Dade County Aviation Authority, 5.40%,
10/01/2007 $ 50,910
575,000 Florida State Board Of Education Capital Outlay,
Public Education Series A, 5.00%, 6/1/09 556,870
100,000 Palm Beach Florida, 5.00%, 10/1/11 100,000
707,780
GEORGIA - 3.99%
750,000 Georgia State Series C, 7.25%, 7/1/06 879,233
ILLINOIS - 9.43%
1,000,000 Chicago Illinois O'Hare International Airport
Revenue, 5.75%, 1/1/09 1,026,920
1,000,000 Illinois State Sales Tax, 6.00%, 6/15/12 1,048,280
2,075,200
INDIANA - 1.47%
300,000 Indiana University Revenues, 6.60%, 8/1/01 323,706
MICHIGAN - 7.95%
500,000 Michigan State Building Authority, 6.00%,
10/1/02* 532,715
200,000 Michigan State Housing Development
Authority, 6.30%, 12/1/03 208,202
</TABLE>
See Notes to Financial Statements on Pages 48-50
Intermediate Tax Free Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS September 30, 1996
<TABLE>
<CAPTION>
Principal
Amount Description Value
<C> <S> <C>
$ 1,000,000 Michigan State Underground Storage Tank
Financial Assurance Authority, 5.50%, 5/1/08 $ 1,009,140
1,750,057
NEBRASKA - 1.41%
300,000 Nebraska Public Power District Revenue,
5.70%, 1/1/05 310,443
NEVADA - 2.38%
500,000 Clark County Nevada, 5.70%, 7/1/03* 523,160
NEW JERSEY - 1.07%
225,000 New Jersey State Turnpike Authority,
6.00%, 1/1/05 234,634
NEW YORK - 21.40%
200,000 New York City, New York G.O., 5.00%, 8/15/20 200,000
200,000 New York City, New York G.O., 5.00%, 8/15/23 200,000
200,000 New York City, New York G.O., 5.00%, 8/15/23 200,000
200,000 New York City, New York G.O., 5.00%, 8/1/15 200,000
200,000 New York City, New York G.O., 5.00%, 8/1/17 200,000
200,000 New York City, New York G.O., 5.00%, 8/1/18 200,000
300,000 New York City, New York G.O., 5.00%, 8/1/22 300,000
200,000 New York Energy, 3.25%, 6/1/29 200,000
1,000,000 New York State Energy Revenues, 1.85%,
10/1/29 1,000,000
1,000,000 New York State Environment Facility Corp.,
5.75%, 6/15/10 1,033,010
1,000,000 New York State Throughway Authority Highway
& Bridge Trust Fund, 5.20%, 4/1/09 979,940
4,712,950
OHIO - 4.91%
$ 1,000,000 Ohio State Building Authority, 6.50%, 10/1/01 $ 1,081,960
TEXAS - 7.13%
175,000 Garland Texas Independent School District,
6.40%, 2/15/98 176,570
500,000 Texas State Ref Series Authority, 6.00%, 10/01/06 536,740
300,000 Texas Water Reserve Finance Authority
Revenue, 7.30%, 8/15/04 316,302
500,000 University of Texas, 6.50%, 8/15/01 540,920
1,570,532
WASHINGTON - 4.64%
1,000,000 Washington State Public Power Supply System
Nuclear Project Number 1 Revenue,
5.50%, 7/1/04 1,022,050
WISCONSIN - 0.95%
200,000 Wisconsin State Transportation, 6.00%, 7/1/00 209,780
TOTAL MUNICIPALS (Cost $21,019,018) $ 21,728,559
TOTAL INVESTMENTS (Cost $21,019,018) 98.68% 21,728,559
Liabilities in Excess of Other Assets - 1.32% 290,842
NET ASSETS - 100.00% $ 22,019,401
</TABLE>
* Insured by American Municipal Bond Assurance Corporation ("AMBAC")
International Equity Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS September 30, 1996
<TABLE>
<CAPTION>
Shares Description Value
<C> <S> <C>
COMMON STOCKS - 90.24%
AUSTRALIA - 2.62%
265,000 Aristocrat Leisure (Entertainment) $ 744,415
307,300 Capral Aluminum Ltd. (Metals-Diversified) 936,191
206,960 News Corporation (Services) 1,085,778
140,000 TABCORP Holdings Ltd. (Capital Equipment) 691,280
134,000 WMC Ltd. (Mining) 862,058
4,319,722
AUSTRIA - 0.61%
10,000 OMV AG (Energy) 1,006,421
BRAZIL - 0.34%
8,600,000 Telec Brasileiras-Telebras"ON" (Telecommunication) 561,877
CANADA - 0.33%
24,800 Canadian Natural Resources Ltd. (Energy) (a) 549,776
FINLAND - 2.34%
79,900 KCI Konecranes International Corp.
(Capital Equipment) (a) 2,221,631
36,800 Nokia AB ADR-A (Consumer Goods) 1,628,400
3,850,031
FRANCE - 11.62%
14,889 Accor SA (Diversified) $ 1,840,463
67,100 Assurances Generales de France (Finance) 1,879,887
22,000 Chargeurs International SA (Diversified) 814,136
11,750 Christian Dior (Consumer Goods) 1,375,041
13,987 Club Mediterranee (Services) 1,002,691
6,117 Compagnie Generale des Eaux (Diversified) 664,878
2,200 Comptoirs Modernes (Retail-Grocery) 1,043,458
66,700 Dassault Systemes SA (Computer Software) (a) 2,793,063
21,200 Genset ADR (Biopharmaceuticals) (a) 365,700
7,000 Groupe Danone (Food Processing) 1,022,611
20,944 Lyonnaise des Eaux-Dumez (Diversified) 1,874,746
7,900 Pathe SA (Services) (a) 2,018,891
29,800 SGS-Thomson Microelectronics N.V.
(Consumer Goods) (a) 1,411,775
13,251 Total SA - B (Energy) 1,043,639
19,150,979
GERMANY - 7.13%
31,000 adidas AG (Consumer Goods) (b) 2,822,986
40,600 BASF AG (Diversified) 1,277,650
6,500 Berliner Kraft & Licht (Utilities) 1,768,504
10,344 SAP AG - Vorzug (Computer Software) 1,739,485
16,000 SGL Carbon AG (Diversified) 1,867,174
</TABLE>
See Notes to Financial Statements on Pages 48-50
International Equity Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS September 30, 1996
<TABLE>
<CAPTION>
Shares Description Value
<C> <S> <C>
6,100 Volkswagen AG (Consumer Goods) $ 2,275,552
11,751,351
HONG KONG - 6.91%
797,000 CDL Hotels International (Services) 432,872
127,000 Cheung Kong Holdings, Ltd. (Finance) 977,176
687,000 China Resources Enterprises, Ltd. (Real Estate) 692,952
2,000,000 China Travel International Investment
Hong Kong Ltd. (Transportation) 594,853
500,000 First Pacific Co. (Diversified) (b) 756,498
2,412,000 First Sign International Holdings Ltd. (Textile) 647,213
672,000 Founder Hong Kong Ltd. (Services) (a) 262,873
662,000 Giordano International Ltd. (Diversified) 582,129
770,000 Goldlion Holdings Ltd. (Consumer Goods) 652,205
806,000 Guangnan Holdings, Ltd. (Services) 536,778
28,200 Guangshen Railway Company Ltd.
(Transportation) (a) 535,800
138,000 Guoco Group (Finance) 674,564
166,000 Hutchison Whampoa Ltd. (Diversified) 1,116,255
133,000 Jardine Matheson Holdings (Diversified) 831,250
114,000 Pico Far East Holdings (Diversified) 25,061
626,000 Shanghai Industrial Holdings Ltd. (Diversified) (a) 1,436,894
1,856,000 Theme International Holdings Ltd.
(Consumer Goods) 630,027
11,385,400
INDIA - 0.37%
46,000 Tata Engineering and Locomotive Company Ltd.
(Diversified) (b) 603,750
INDONESIA - 1.16%
217,500 Bukaka Teknik Utama PT (Capital Equipment) 175,570
332,000 Ciputra Development PT (Real Estate) 264,422
498,000 Citra Marga Nusaphala Persada PT
(Capital Equipment) 337,674
545,000 Fiskaragung Perkasa PT (Consumer Goods) (a) 404,738
207,000 Kalbe Farma PT (Pharmaceuticals) 494,597
265,200 Steady Safe PT (Transportation) 242,617
1,919,618
IRELAND - 2.20%
192,600 Bank of Ireland (Finance) 1,517,663
207,300 CRH Plc. (Materials) 2,101,634
3,619,297
ITALY - 5.34%
75,000 Bulgari SPA (Consumer Goods) 1,396,965
1,400,000 Credito Italiano (Finance) 1,608,751
246,700 Ente Nazionale Idrocarburi SPA (Oil) 1,261,824
1,020,000 Parmalat Finanziaria SPA (Finance) 1,467,626
62,000 Safilo SPA (Consumer Goods) 1,380,901
486,700 Societa Finanziaria Telefonica (Services) 1,689,964
8,806,031
JAPAN - 15.44%
92,600 AJL Peps Trust (Consumer Goods) 1,828,850
68,000 Canon Inc.(Capital Equipment) 1,337,104
51,000 Daimaru Inc. (Services) 337,939
280 East Japan Railway Co. (Transportation) 1,352,548
163,000 Hitachi Ltd. (Capital Equipment) 1,580,606
58,000 Jusco Co. (Services) 1,765,387
204,000 Mitsubishi Electric Corp. (Capital Equipment) 1,392,054
64,000 Mitsubishi Estate Co. (Finance) 879,192
237,000 Mitsubishi Heavy Industry (Capital Equipment) 1,930,047
200,000 Obayashi Corp. (Capital Equipment) $ 1,641,302
75,000 Sankyo Co. (Health & Personal) 1,919,192
30,000 Sony Corp. (Consumer Goods) 1,893,603
440,000 Sumitomo Metal Industries (Steel) 1,248,395
114,000 Sumitomo Realty & Development (Finance) 878,222
108,000 Takashimaya Co. (Retail) 1,609,697
94,000 Takeda Chemical Industries (Pharmaceuticals) 1,721,751
83,000 Toyota Motor Corp. (Consumer Goods) 2,123,906
25,439,795
MALAYSIA - 2.49%
76,000 Edaran Otomobil Nasional (Consumer Goods) 748,933
97,000 Jaya Tiasa Holdings (Materials) 603,710
183,337 Kentucky Fried Chicken (Consumer Goods) 797,276
102,000 Perusahaan Otomobil Nasional BHD
(Consumer Goods) 553,441
127,000 Sungei Way Holdings (Diversified) 678,955
188,000 UMW Holdings BHD (Diversified) 723,798
4,106,113
NETHERLANDS - 5.98%
18,000 Gucci Group (Consumer Goods) 1,305,000
97,250 Internationale Nederlanden Groep NV (Finance) 3,035,332
32,200 KLM Royal Dutch Airlines (Transportation) 861,979
28,140 Koninklijke Ahold NV (Retail) 1,593,761
60,300 Philips Electronics (Consumer Goods) 2,178,117
18,750 Toolex Alpha NV ADR (Diversified) (a) 421,875
20,500 Toolex Alpha NV (Diversified) (a) 467,298
9,863,362
PHILIPPINES - 1.48%
3,720,000 Belle Corp. (Real Estate) (a) 1,091,824
1,270,100 Mondragon International Philippines
(Consumer Goods) (a) 726,187
1,232,400 Universal Robina Corp. (Consumer Goods) 622,424
2,440,435
SINGAPORE - 0.52%
86,000 Far East Levingston Shipbuilding Ltd.
(Capital Equipment) 406,150
73,000 Singapore Land Ltd. (Finance) 443,257
849,407
SOUTH AFRICA - 0.53%
53,960 Fedsure Holdings Ltd. (Finance) (b) 392,522
6,932 Liberty Life Association of Africa (Services) 209,725
19,600 Metro Cash and Carry Ltd. (Services) (b) 267,050
169 South African Breweries (Diversified) 4,508
873,805
SOUTH KOREA - 0.60%
65,000 Korea Mobile Telecommunications
(Telecommunications) (a) 983,125
SPAIN - 4.25%
9,932 Acerinox (Steel) 1,156,368
61,204 Autopistas Concesionaria Espanola SA
(Diversified) 731,655
9,635 Banco Popular Espanol (Finance) 1,770,850
20,200 Fomento de Construcciones y Contratas
(Capital Equipment) 1,596,745
180,100 Iberdrola SA (Utilities) 1,746,229
7,001,847
</TABLE>
See Notes to Financial Statements on Pages 48-50
International Equity Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS September 30, 1996
<TABLE>
<CAPTION>
Shares Description Value
<C> <S> <C>
SWEDEN - 2.02%
79,000 Nordbanken AB (Finance) $ 2,027,476
74,800 Svedala Industries (Capital Equipment) 1,298,611
3,326,087
SWITZERLAND - 3.12%
1,791 ABB AG - Bearer (Machinery) 2,191,603
794 Ciba-Geigy AG, - B (Consumer Goods) 1,011,501
9,841 TAG Heuer International SA
(Consumer Goods) 1,931,147
5,134,251
TAIWAN - 0.39%
28,130 Taiwan Fund, Inc. (Diversified) 650,506
THAILAND - 0.66%
41,300 PTT Exploration & Production (Energy) 610,949
135,500 Thai Military Bank (Finance) 482,453
1,093,402
UNITED KINGDOM - 10.13%
170,000 Barclays Plc. (Finance) 2,495,656
98,600 British Aerospace Plc. (Aerospace) 1,628,608
160,000 British Land Company Plc. (Real Estate) 1,140,657
692,500 Iceland Group (Services) 936,496
560,700 Lonrho (Diversified) 1,494,600
210,000 Millennium & Copthorne Hotels Plc. (Services) 1,025,981
231,000 National Power Plc. (Utilities) 1,421,107
108,500 National Westminster Bank Plc. (Finance) 1,151,780
96,600 Powerscreen International Plc. (Diversified) 829,879
307,000 Rolls-Royce Plc. (Aerospace) 1,149,513
427,100 Storehouse Plc. (Services) 2,013,201
157,000 United Utilities Plc. (Utilities) 1,400,314
16,687,792
VENEZUELA - 1.10%
822,688 Electricidad de Caracas (Utilities) 816,585
155,902 Mavesa SA, ADR (Consumer Goods) (b) 1,004,009
1,820,594
OTHER - 0.56%
63,500 Latin American Equity Fund (Diversified) 928,688
TOTAL COMMON STOCKS (Cost $128,783,890) $ 148,723,462
PREFERRED STOCK CONVERTIBLE - 0.25%
SOUTH AFRICA - 0.25%
16,000 South African Breweries
(Diversified) (Cost $594,485) 423,234
CORPORATE DEBT CONVERTIBLE - 0.65%
SOUTH AFRICA - 0.65%
$ 280,000 Investec O/S Finance BVI, 6.375% 11/30/02
(Finance) $ 302,750
590,000 Liberty Life International, 6.50%, 9/30/04
(Finance) 772,900
TOTAL CORPORATE DEBT CONVERTIBLE (Cost $1,084,333) 1,075,650
SOVEREIGN DEBT - 0.66%
ITALY - 0.66%
1,075,000 Republic of Italy, 5.00%, 6/28/01
(Finance) (Cost $1,083,701) 1,088,437
SHORT TERM INSTRUMENT - 10.78%
U.S. TREASURY BILL - 10.78%
$18,030,000 5.36%, 1/16/97 (Cost $17,754,106) $ 17,759,911
TOTAL INVESTMENTS (Cost $149,300,515) - 102.58% $ 169,070,694
Liabilities in Excess of Other Assets - (2.58%) (4,257,333)
NET ASSETS - 100% $ 164,813,361
(a) Non-Income Producing Security
(b) Security exempt from registration under Rule 144A of the Securities Act
of 1933. This Security may be resold in transactions exempt from
registrations, normally to qualified institutional buyers.
Industry Diversification (as a percentage of Total Investments):
Consumer Goods 20.84%
Finance 14.10%
Diversified 12.45%
Services 11.13%
U.S. Treasury 10.50%
Capital Equipment 9.94%
Utilities 4.23%
Transportation 3.77%
Energy 2.64%
Retail 2.51%
Metals Diversified 2.49%
Materials 1.98%
Real Estate 1.89%
Other* 1.53%
100.00%
* No one industry represents more than 1.50% of Portfolio holdings.
See Notes to Financial Statements on Pages 48-50
Latin American Equity Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS September 30, 1996
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
<C> <S> <C>
COMMON STOCKS - 84.64%
ARGENTINA - 0.33%
27,412 Mirgor Sacifia - ADS (Auto Parts)(a)(b) $ 56,880
BRAZIL - 17.08%
2,400 Centrais Electricas Brasileiras SA
Electrobras ADR- B (Utility) (a) 199,794
2,898,059 Centrais Electricas Brasileiras SA
Electrobras (Utility) 774,973
2,250,000 CIA Paulista De Forca E Luz (Utility) (a) 206,840
22,300 Compania Vale de Rio Doce, ADR
(Metals/Mining) 442,267
11,176,500 Telec Brasileiras-Telebras ON
(Telecommunications) 729,664
6,300 Telecommunicacoes Brasileiras SA
Telebras, ADR (Telecommunications) 494,550
6,500 Usiminas, ADR (Metals/Mining) (b) 64,188
2,912,276
CHILE - 10.23%
13,000 Banco BHIF, ADR (Financial Services) (a) 237,250
10,744 Chile Fund (Country Fund) 247,112
10,056 Chilgener SA, ADR (Utility) 233,802
1,000 Compania Telefonica de Chile SA, ADR
(Telecommunications) 96,625
1,600 Embotelladora Andina, ADR (Beverages) 55,600
6,859 Empresa Nacional Electricidad SA (Utility) 129,464
14,450 Madeco SA, ADR (Building Materials) 334,156
16,000 Santa Isabel, ADR (Retail) 410,000
1,744,009
COLOMBIA - 6.76%
20,000 Banco de Colombia, GDR (Financial Services) 157,500
45,320 Carulla CIA SA, ADR - B (Retail) (b) 317,240
38,700 Cementos Diamante SA, ADR - B
(Building/Construction) (b) 493,425
5,300 Cementos Diamante SA (Building/Construction) 20,638
135,000 Gran Cadena Almacenes (Retail) 121,562
3,794 Gran Cadena de Almacenes Colombiano,
ADR (Retail) 41,734
1,152,099
MEXICO - 36.60%
83,400 Cemex SA de CV - B (Building Materials) 346,118
24 Controladora de Farmacia (Retail) 29
9,000 Consorcio ARA, ADR (Building/Construction) (a) (b) 192,375
110,100 Corporacion GEO, SA de CV - B
(Building/Construction) 515,318
102,300 Corporacion Industrial Sanluis, SA de CV
(Diversified) 583,254
8,400 Empresas La Moderna, ADR (Tobacco) 160,650
159,400 Fomento Economico Mexicano SA de CV
(Beverages) 489,275
126,544 Gruma SA - B (Food) (a) 791,110
41,498 Grupo Carso SA de CV - A1 (Diversified) (a) 192,579
68,700 Grupo Financiero Serfin, ADR
(Financial Services) (a) 326,325
759,200 Grupo Financiero Bancomer, SA de CV
(Financial Services) (a) 370,440
429,250 Grupo Financiero Banorte - B
(Financial Services) (a) 456,455
1,001,900 Grupo Posadas SA - Ser. L (Hotels) (a) 435,724
11,100 Grupo Televisa SA Spons, GDR
(Media) (a) $ 320,512
41,498 Invercorporacion SA - A-1 (Financial Services) (a) 5,557
24,100 Kimberly Clark De Mexico - A
(Consumer Products) 456,948
10,000 Kimberly Clark De Mexico - B
(Consumer Products) 192,124
27,500 Sigma Alimentos, SA - Ser. BCP
(Food Processing) 255,602
4,660 Telefonos de Mexico SA, ADR - L
(Telecommunications) 149,702
6,240,097
PERU - 6.03%
15,031 Compania de Minas Buenaventura SA - A
(Metals/Mining) 135,285
3,015 Compania de Minas Buenaventura - B
(Metals/Mining) (a) 28,817
9,000 Compania de Minas Buenaventura SA, ADR
(Metals/Mining) (a) 172,687
102,950 Consorcio Alim Fabril Pacifico - C
(Consumer Products) (a) 153,749
39,445 Consorcio Alim Fabril Pacifico - T
(Consumer Products) (a) 58,123
14,436 Credicorp (Financial Services) 274,284
9,000 Telefonica Del Peru, ADR (Telecommunications) 205,875
1,028,820
VENEZUELA - 7.61%
14,398 Banco Provincial (Financial Services) 28,491
1,325 Banco Venezolano de Credito Ser. - A-B
(Financial Services) 70,102
130,427 Electricidad de Caracas (Utility) 129,460
101,800 Mavesa SA, ADR (Consumer Products) 655,592
45,819 Siderurgica Venezuela (Metals/Mining) 33,552
50,000 Sivensa - A, ADR (Metals/Mining) 185,000
4,545 Sivensa - B, ADR (Metals/Mining) 14,185
758,716 Sudamtex (Textiles) 95,541
334,950 Venaseta - A (Diversified) (a) 31,616
66,990 Venaseta - B (Diversified) 6,380
10,000 Venezolana de Cementos (Building/Construction) 23,174
25,396 Venezolana Pulpa Y Papel (Paper and Pulp) 23,649
1,296,742
TOTAL COMMON STOCKS (Cost $12,999,890) $ 14,430,923
PREFERRED STOCKS CONVERTIBLE - 13.95%
BRAZIL - 13.95%
52,660,449 Banco Bradesco PN (Financial Services) 446,188
696,874 Banco Itau SA (Financial Services) 286,695
325,000 Centrais Electricas Brasileiras SA Electrobras
- B (Utility) 90,410
22,000 CIA Vale Rio Doce (Metals/Mining) 436,380
773,808 Compania Cervejaria Brahma (Beverages) 479,793
610,800 Mesbla SA (Retail) (c) 0
3,954,200 Petroleo Brasileiro SA (Oil/Gas) 453,170
188,266,396 Usiminas ADR (Metal/Mining) (b) 186,256
TOTAL PREFERRED STOCKS CONVERTIBLE (Cost $2,314,555) $ 2,378,892
</TABLE>
See Notes to Financial Statements on Pages 48-50
Latin American Equity Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS September 30, 1996
<TABLE>
<CAPTION>
Shares Description Value
PREFERRED STOCK NON-CONVERTIBLE - 0.21%
COLOMBIA - 0.21%
<C> <S>
1,800 Banco Ganadero SA, ADR (Financial Services)
(Cost $25,970) $ 36,450
<CAPTION>
Principal
Amount
SHORT TERM INSTRUMENT - 1.07%
$ 185,000 U.S. Treasury Bill, 5.36%, 1/16/1997
(Cost $182,224) $ 182,229
Total Investments (Cost $15,522,639) - 99.87% $ 17,028,494
Other Assets Less Liabilities - 0.13% 22,703
NET ASSETS - 100.00% $ 17,051,197
</TABLE>
(a) Non-Income Producing Security.
(b) Security exempt from registration under Rule 144A of the Securities Act of
1933. This Security may be resold in transactions exempt from registrations,
normally to qualified institutional buyers.
(c) Issuer in bankruptcy.
Industry Diversification (as a percentage of Total Investments):
Beverages 6.02%
Building/Construction 7.31%
Building Materials 4.00%
Consumer Products 8.91%
Diversified 4.78%
Financial Services 15.83%
Food 4.65%
Hotels 2.56%
Metals/Mining 9.98%
Oil/Gas 2.66%
Retail 5.23%
Telecommunications 9.84%
Utility 10.36%
Other* 7.87%
100.00%
* No one industry represents more than 2% of Portfolio holdings.
Pacific Basin Equity Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS September 30, 1996
<TABLE>
<CAPTION>
Shares Description Value
<C> <S> <C>
COMMON STOCKS - 98.45%
HONG KONG - 29.22%
29,000 Bank of East Asia, Ltd. (Banks) $ 106,692
86,000 Cheung Kong Holdings, Ltd. (Real Estate) 661,710
57,000 Cheung Kong Infrastructure Holdings
(Construction) (a) 93,980
710,000 Chevalier International Holdings (Diversified) 122,113
725,000 China Merchants Hai Hong Holdings (Chemicals) 243,761
851,000 China Resources Enterprises, Ltd. (Real Estate) 858,373
230,000 China Travel International Investment, Ltd.
(Transportation) 68,408
95,000 Citic Pacific, Ltd. (Diversified) 429,975
140,400 Dah Sing Financial Holdings (Financial Services) 493,842
786,000 Denway Investment, Ltd. (Automobiles) (a) 40,657
1,933,000 First Sign International Holdings (Textile) 518,683
790,000 Founder Hong Kong, Ltd. (Consumer
Services) (a) 309,033
446,000 Gilbert Holdings, Ltd. (Textile) 57,675
52,000 Glorious Sun Enterprises (Textile) (a) 20,341
389,000 Goldlion Holdings, Ltd. (Consumer Goods) 329,491
499,360 HKR International, Ltd. (Real Estate) 581,177
13,600 HSBC Holdings (Banks) 252,373
49,000 Hutchison Whampoa (Diversified) 329,497
130,200 Lai Sun Development Co. (Real Estate) 136,379
874,000 Moulin International Holding (Diversified) 519,902
110,000 New World Development Co. (Real Estate) 577,524
934,000 Qingling Motors Co. (Automobiles) 359,324
1,350,000 Regal Hotels International Holdings, Ltd.
(Hotel/Motel) 366,611
184,000 Shanghai Industrial Holdings, Ltd. - A
(Diversified) (a) 422,345
543,000 Sinocan Holdings, Ltd. (Packaging & Container) 242,254
1,890,000 Wai Kee Holdings, Ltd. (Construction) 427,712
20,000 Wharf Holdings, Ltd. (Diversified) 82,762
8,652,594
INDIA - 4.40%
9,500 Bombay Subernean Electric, Ltd. (Utility) (a) $ 166,250
18,700 Crompton Greaves, Ltd. (Electrical Products) (a) 95,838
4,100 Indian Hotels Co., Ltd., GDR (Hotel/Motel) (a) 93,808
15,400 Indian Petrochemicals Corp., GDR (Chemicals) 152,075
21,300 Larsen & Toubro, Ltd. (Building Products) 308,850
17,600 Mahindra & Mahindra, Ltd., GDR
(Automobiles) (a) (b) 176,000
23,800 Tata Engineering & Locomotive Co., Ltd., GDR
(Automotive) 309,400
1,302,221
INDONESIA - 7.17%
81,000 Astra International PT (Automobiles) 158,666
272,142 Bank International Indonesia PT (Banking) 398,349
11,000 Gudang Garam PT (Tobacco) 41,437
108,295 Indah Kiat Paper & Pulp PT (Paper) (a) 82,755
36,000 Indonesian Satellite PT (Telecommunications) 121,276
97,000 Jaya Real Property PT (Real Estate) 123,192
34,500 Lippo Bank PT (Banks) 54,213
67,000 Lippo Karawaci PT (Real Estate) (a) 77,880
335,000 Lippo Life Insurance PT (Insurance) 295,656
441,931 Mulia Industrindo PT (Glass Manufacturing) 442,350
110,000 Semen Gresik PT (Building Materials) 326,760
2,122,534
MALAYSIA - 20.41%
24,000 Amway Malaysia Holdings Berhad
(Consumer Products) (a) 135,009
213,000 Commerce Asset Holdings Berhad (Banks) 1,325,673
115,000 Gadek Berhad (Diversified) (a) 908,438
32,666 Gadek Capital (Financial Services) (a) 95,789
71,000 Gopeng Berhad (Construction) (a) 135,966
</TABLE>
See Notes to Financial Statements on Pages 48-50
Pacific Basin Equity Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS September 30, 1996
<TABLE>
<CAPTION>
Shares Description Value
<C> <S> <C>
25,000 Kedah Cement Holdings Berhad
(Building Products) $ 48,673
61,000 Konsortium Perkapalan Berhad
(Transportation) (a) 396,689
101,000 Malaysian International Shipping Berhad
(Transportation) 310,273
176,000 Rashid Hussain Berhad (Financial Services) 976,022
192,000 Tanjong Plc. (Gaming) 689,408
123,000 Technology Resources Industries Berhad
(Telecommunications) (a) 323,878
9,000 Timah Langat Berhad (Diversified) 46,679
84,000 United Engineers Berhad (Engineering &
Construction) 650,150
6,042,647
PAKISTAN - 0.50%
26,520 Engro Chemical Pakistan (Chemicals) 101,246
16,500 Karachi Electric Supply (Utility) (a) 9,427
4,100 Pakistan State Oil Co. (Oil - International) 36,856
147,529
PHILIPPINES - 6.18%
2,436 Benpres Holdings Corp. GDR (Broadcast Media) (a) 18,270
126,000 C & P Homes (Real Estate) 85,249
1,597,900 Centennial City, Inc. (Real Estate) 280,173
40 Empire East Land, Inc. (Real Estate) (a) 21
139,700 Fil-Estate Land, Inc. (Real Estate) 129,130
327,500 Filinvest Development Corp. (Real Estate) (a) 124,833
158,700 International Container Terminal, Inc.
(Transportation) (a) 105,860
384,000 Marsman & Co. (Pharmaceuticals) 139,051
22,705 Megaworld Properties & Holdings (Real Estate) (a) 8,871
158,000 Metro Pacific (Diversified) 45,771
203,900 Mondragon International (Textiles) (a) 116,581
5,000 Philippine Long Distance Telephone Co.
(Telecommunications) 310,654
7,300 Philippine National Bank (Banks) (a) 120,345
31,129 Philippine Savings Bank (Banks) (a) 69,413
113,000 Republic Glass Holdings (Wholesale Distributor) 27,997
665,000 Solid Group, Inc. (Diversified) (a) 149,552
16,000 Southeast Asia Cement Holdings
(Building Products) (a) 1,891
539,000 Uniwide Holdings, Inc. (Wholesale Distributor) (a) 97,589
1,831,251
SINGAPORE - 13.90%
50,000 City Developments, Ltd. (Real Estate) 426,137
39,000 Development Bank of Singapore (Banks) 479,190
115,000 Overseas Chinese Banking (Banks) 1,380,327
102,000 Overseas Union Bank (Banks) 713,565
163,000 Parkway Holdings, Ltd. (Diversified) 527,898
45,000 Singapore Land (Real Estate) 273,260
84,000 Van Der Horst, Ltd. (Machinery) 316,193
4,116,570
SOUTH KOREA - 4.40%
5,000 Commercial Bank of Korea (Banking) 45,979
2,500 Daehan City Gas Co. (Utility) 203,474
1,410 Daesung Industrial Co. (Retail) 97,460
396 Dong-Ah Construction (Construction) 11,799
2,101 Dong-Ah Construction Industrial Co. (Construction) 62,601
2,420 Kook Min Bank (Banks) (a) 46,887
2,733 Kook Min Bank, GDR (Banks) (a) 68,667
261 Korea Mobile Telecom Corp.
(Telecommunictions) $ 279,700
4,100 LG Construction, Co. (Construction) 94,947
450 LG Insurance Co., Ltd. (Insurance) 36,180
1,610 Samsung Electronics (Electronic Products) 126,735
136 Samsung Fire & Marine Insurance Co. (Insurance) 82,869
4,900 Tongyang Confectionery Co. (Food) 144,643
1,301,941
THAILAND - 12.27%
40,000 BEC World (Diversified) (a) 427,959
193,000 Big C Supercenter Plc. (Textiles) (a) 261,909
63,600 Finance One Plc. (Financial Services) 375,251
208,820 Krung Thai Bank Public Co., Ltd. (Banks) 903,520
87,000 Nawarat Patanakarn (Engineering &
Construction) 212,170
63,000 Phatra Thanakit Finance & Securities
(Financial Services) 359,320
89,000 Sahaviriya Steel Industries Co., Ltd. (Metals) (a) 44,635
9,300 Siam Cement Plc. Co., Ltd. (Building Products) 378,980
214,600 Siam City Bank (Banks) 360,860
48,000 SP Suzuki Plc. Co., Ltd. (Consumer Goods) (a) 92,515
42,100 TelecomAsia Corp. Plc. Co., Ltd.
(Telecommunications) (a) 85,283
25,050 TPI Polene Co. (Rubber & Plastics) 71,928
30,500 Unithai Line Public Co. (Transportation) 59,385
3,633,715
TOTAL COMMON STOCKS (Cost $28,295,395) $ 29,151,002
WARRANTS - 0.73%
INDONESIA - 0.12%
88,000 Indah Kiat Paper & Pulp Corp. PT (Paper) 35,991
MALAYSIA - 0.61%
55,000 Gadek Berhad (Diversified) 179,932
TOTAL WARRANTS (Cost $116,116) $ 215,923
TOTAL INVESTMENTS (Cost $28,411,511) - 99.18% $ 29,366,925
Other Assets Less Liabilities - 0.82% 242,007
NET ASSETS - 100.00% $ 29,608,932
</TABLE>
(a) Non-Income Producing Security
(b) Security exempt from registration under Rule 144A of the Securities Act of
1933. This Security may be resold in transactions exempt from registrations,
normally to qualified institutional buyers.
Industry Diversification (as a percentage of Total Investments):
Banks 21.54%
Building Products 3.63%
Construction 5.03%
Diversified 14.28%
Financial Services 7.83%
Real Estate 14.79%
Telecommunications 3.82%
Textile 3.32%
Other* 25.76%
100.00%
* No one industry represents more than 3% of Portfolio holdings.
See Notes to Financial Statements on Pages 48-50
Small Cap Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS September 30, 1996
<TABLE>
<CAPTION>
Shares Description Value
<C> <S> <C>
COMMON STOCKS - 96.21%
AMERICA'S CHANGING LEISURE TIME - 5.64%
71,800 Applebees International, Inc. $ 1,902,700
31,900 Cinar Films, Inc. (a) 831,394
32,800 Interstate Hotels (a) 906,100
82,650 Papa John's International (a) 4,339,125
101,925 Regal Cinemas, Inc. (a) 2,548,125
144,200 Sodak Gaming, Inc. (a) 3,316,600
13,844,044
AMERICA'S INDUSTRIAL RENAISSANCE - 0.74%
64,600 Greenwich Air Services 1,808,800
CLIENT SERVER COMPUTING - 9.81%
5,000 CBT Group Plc., ADR (a) 235,000
17,100 Citrix Systems, Inc. (a) 876,375
36,300 Clarify, Inc. (a) 2,250,600
78,600 Indus Group, Inc. (a) 1,572,000
53,300 Industri-Matematik International Corp. (a) 659,587
115,200 Rational Software (a) 3,931,200
30,600 SS&C Technologies (a) 309,825
49,000 Sapient Corp. (a) 2,180,500
77,800 Structural Dynamics Research (a) 1,857,475
92,400 Systemsoft Corp. (a) 3,164,700
40,200 Veritas Software (a) 2,844,150
153,300 Versant Object Technology Corp. (a) 3,640,875
38,200 Xionics Document Technologies, Inc. (a) 573,000
24,095,287
FLOURISHING IN THE MANAGED CARE
ENVIRONMENT - 8.18%
36,800 CRA Managed Care (a) 1,987,200
102,500 FPA Medical Management Inc. (a) 2,703,437
74,100 Henry Schein, Inc. (a) 2,852,850
116,400 Multicare Companies, Inc. (a) 2,531,700
40,400 NCS HealthCare, Inc. (a) 1,267,550
103,700 OccuSystems, Inc. (a) 3,111,000
47,300 Perclose, Inc. (a) 1,052,425
87,100 Renal Treatment Centers, Inc. (a) 2,896,075
39,100 Target Therapeutics (a) 1,671,525
20,073,762
INTERACTIVE MEDIA - 3.82%
62,900 Inso Corp. (a) 3,412,325
64,500 The Providence Journal Company Cl. A (a) 1,894,687
51,000 Universal Outdoor Holdings, Inc. (a) 1,843,200
63,900 VideoServer, Inc. (a) 2,220,525
9,370,737
LIFE ON THE NET - 5.32%
79,800 Legato Systems, Inc. (a) 3,790,500
14,900 Security Dynamics Tech, Inc. (a) 1,069,075
62,500 Technology Modeling Association, Inc. (a) 812,500
113,400 Transaction Systems Architects (a) 4,791,150
58,400 VeriFone, Inc. (a) 2,613,400
13,076,625
LIFE SCIENCES REVOLUTION - 4.47%
67,500 Agouron Pharmaceuticals (a) 2,944,687
85,100 Endovascular Technologies (a) 1,021,200
68,000 Human Genome Sciences (a) 2,567,000
39,500 Idexx Laboratories Corp. (a) 1,787,375
53,200 Martek Biosciences Corp. (a) 1,330,000
47,600 Spine-Tech, Inc. (a) 1,332,800
10,983,062
MANAGING THE INFORMATION AGE - 10.19%
35,800 Abacus Direct Corp. (a) $ 751,800
65,500 CCC Information Services Group (a) 1,375,500
126,100 Cheyenne Software, Inc. (a) 2,711,150
43,200 DSP Communications (a) 2,413,800
68,200 IDX Systems (a) 2,387,000
57,600 Metromail Corp. (a) 1,245,600
104,800 National Data Corp. 4,571,900
62,865 Pure Atria Corp. (a) 2,373,154
93,800 Sitel Corp. (a) 4,174,100
66,500 Visio Corp. (a) 3,025,750
25,029,754
MOVE TO OUTSOURCING - 6.96%
42,600 Affiliated Computer Services (a) 2,502,750
81,200 Atlantic Southeast Airlines 1,786,400
84,500 Career Horizons, Inc. (a) 3,284,937
58,600 CoreStaff, Inc. (a) 1,567,550
101,500 HPR, Inc. (a) 1,624,000
57,000 MSC Industrial Direct (a) 2,030,625
61,800 Norrell Corp. 1,946,700
32,100 Pharmaceutical Product Development (a) 866,700
38,900 The Vincam Group, Inc. (a) 1,487,925
17,097,587
NEW CONSUMER - 6.30%
57,600 Blyth Industries, Inc. (a) 2,793,600
26,700 Boston Beer Company, Inc. (a) 517,313
19,400 Gargoyles, Inc. (a) 412,250
127,900 Nautica Enterprises, Inc. (a) 4,124,775
72,000 USA Detergents, Inc. (a) 2,862,000
70,400 Urban Outfitters, Inc. (a) 1,636,800
54,800 West Marine, Inc. (a) 1,808,400
46,400 Williams-Sonoma, Inc. (a) 1,316,600
15,471,738
NEW HEALTH CARE PARADIGM - 11.21%
30,500 ABR Information Services, Inc. (a) 2,196,000
48,400 American Homepatient, Inc. (a) 1,076,900
33,000 Amerisource Health Corp. CI. A (a) 1,468,500
50,100 Applied Analytical Industries, Inc. (a) 1,139,775
33,900 Express Scripts (a) 1,228,875
90,800 Gulf South Medical Supply (a) 2,338,100
127,500 Mariner Health Group (a) 1,960,313
91,200 Pediatrix Medical Group (a) 4,571,400
113,200 Physician Sales & Service (a) 2,660,200
44,900 Rexall Sundown, Inc. (a) 1,638,850
82,900 Ro Tech Medical Corp. (a) 1,367,850
133,100 TheraTx, Inc. (a) 1,580,562
63,900 Total Renal Care Holdings (a) 2,540,025
83,700 Transition Systems (a) 1,757,700
27,525,050
PRODUCTIVITY ENHANCEMENT - 5.79%
58,000 Catalina Marketing Corp. (a) 3,088,500
22,900 Quick Response Services, Inc. (a) 853,025
20,600 Remedy Corp. (a) 1,648,000
103,500 Saville Systems Plc. (a) 3,648,375
81,100 Sawtek, Inc. (a) 2,108,600
16,400 Symbol Technologies (a) 754,400
44,900 Whittman-Hart, Inc. (a) 2,121,525
14,222,425
OWNERSHIP - 0.28%
22,400 Ethan Allen, Inc. 697,200
</TABLE>
See Notes to Financial Statements on Pages 48-50
Small Cap Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS September 30, 1996
<TABLE>
<CAPTION>
Shares Description Value
<C> <S> <C>
STORES OF VALUE - 6.63%
73,000 Cost Plus, Inc. (a) $ 1,688,125
105,700 Dollar Tree Stores Inc. (a) 4,069,450
21,400 Hot Topic, Inc. (a) 502,900
52,700 Just For Feet (a) 2,641,588
83,100 Petco Animal Supplies (a) 2,264,475
81,900 The Men's Wearhouse (a) 2,047,500
85,900 US Office Products Co. (a) 3,081,663
16,295,701
TELECOMMUNICATIONS - 6.64%
4,900 Advanced Fibre Communication (a) 122,500
44,000 Aspect Telecommunication Corp. (a) 2,739,000
54,500 CSG Systems International, Inc. (a) 1,103,625
71,500 Digital Microwave Corp. (a) 1,644,500
78,000 ICG Communications, Inc. (a) 1,638,000
67,600 Lightbridge Inc. (a) 794,300
43,600 Orckit Communications, Ltd. (a) 801,150
95,800 P-COM, Inc. (a) 2,371,050
50,000 Premisys Communications (a) 1,837,500
86,400 Verilink Co. (a) 2,116,800
25,800 Westell Technologies, Inc. (a) 1,141,650
16,310,075
THE GREYING OF AMERICA - 3.11%
51,200 ESC Medical Systems Ltd. (a) 1,638,400
90,250 Genesis Health Ventures Inc. (a) 2,538,281
59,700 Sofamor Danek Group, Inc. (a) $ 1,843,238
58,000 Sunrise Assisted Living (a) 1,624,000
7,643,919
THE UBIQUITOUS SEMICONDUCTOR- 1.12%
46,200 Microchip Technology (a) 1,726,725
59,200 USCS International, Inc. (a) 1,036,000
2,762,725
TOTAL COMMON STOCKS (Cost $175,410,470) $ 236,308,491
<CAPTION>
Principal
Amount
SHORT-TERM INVESTMENTS - 5.37%
U.S. TREASURY BILLS - 5.37%
$ 3,105,000 5.12%, 10/24/96 3,095,168
10,190,000 5.00%, 12/05/96 10,099,482
TOTAL SHORT TERM INVESTMENTS (Cost $13,192,508) $ 13,194,650
TOTAL INVESTMENTS (Cost $188,602,978) - 101.58% $249,503,141
Liabilities in Excess of Other Assets - (1.58%) (3,888,050)
NET ASSETS - 100.00% $245,615,091
</TABLE>
(a) Non-Income Producing Security
See Notes to Financial Statements on Pages 48-50
This page intentionally left blank.
BT Portfolios
STATEMENT OF ASSETS AND LIABILITIES September 30, 1996
<TABLE>
<CAPTION>
GLOBAL LATIN PACIFIC
CAPITAL HIGH YIELD INTERMEDIATE INTERNATIONAL AMERICAN BASIN SMALL
APPRECIATION SECURITIES TAX FREE EQUITY EQUITY EQUITY CAP
<S> <C> <C> <C> <C> <C> <C> <C>
ASSETS
Investment, at Value* $68,248,143 $18,967,391 $21,728,559 $169,070,694 $17,028,494 $29,366,925 $249,503,141
Cash** 148,138 357,705 14,570 369,172 59,731 518,802 174,574
Receivable for Securities Sold 4,203,285 - - - 221,538 428,119 599,261
Receivable for Foreign Taxes
Withheld - - - 152,263 - - -
Dividends and Interest Receivable 939 443,328 274,757 238,301 33,825 45,757 2,163
Net Unrealized Appreciation on
Forward Foreign Currency
Exchange Contracts - - - 143,547 - 160,912 -
Prepaid Expenses and Other 163 20 21 12,855 15 25 165
Due From Bankers Trust - - 17,184 - - - -
Total Assets 72,600,668 19,768,444 22,035,091 169,986,832 17,343,603 30,520,540 250,279,304
LIABILITIES
Due to Bankers Trust 117,231 8,863 - 60,426 86,260 40,267 147,607
Due to Custodian - - - 707,593 - - -
Payable for Securities Purchased 3,762,530 - - 4,314,462 191,250 729,237 4,498,328
Net Unrealized Depreciation on
Forward Foreign Currency
Contracts - - - 65,575 - 128,196 -
Accrued Expenses and Other 335,412 16,426 15,690 25,415 14,896 13,908 18,278
Total Liabilities 4,215,173 25,289 15,690 5,173,471 292,406 911,608 4,664,213
NET ASSETS $68,385,495 $19,743,155 $22,019,401 $164,813,361 $17,051,197 $29,608,932 $245,615,091
COMPOSITION OF NET ASSETS
Paid-in Capital $53,359,107 $18,091,409 21,309,860 $145,003,353 $15,546,336 $28,620,006 $184,714,928
Net Unrealized Appreciation
on Investments, Foreign
Currencies and Forward
Foreign Currency Contracts 15,026,388 1,651,746 709,541 19,810,008 1,504,861 988,926 60,900,163
NET ASSETS, SEPTEMBER 30, 1996 $68,385,495 $19,743,155 $22,019,401 $164,813,361 $17,051,197 $29,608,932 $245,615,091
</TABLE>
* As of September 30, 1996, the cost of investments in the Capital
Appreciation Portfolio was $53,221,755; Global High Yield Securities Portfolio
was $17,315,645; Intermediate Tax Free Portfolio was $21,019,018;
International Equity Portfolio was $149,300,515; Latin American Equity
Portfolio was $15,522,639; Pacific Basin Equity Portfolio was $28,411,511
and Small Cap Portfolio was $188,602,978.
** Includes foreign cash of $369,172, $59,388 and $470,170 with a cost
of $327,112, $59,622 and $469,642 for International Equity, Latin American
Equity and Pacific Basin Equity Portfolios, respectively.
See Notes to Financial Statements on Pages 48-50
BT Portfolios
STATEMENT OF OPERATIONS for the Period Ended September 30, 1996
<TABLE>
<CAPTION>
GLOBAL LATIN PACIFIC
CAPITAL HIGH YIELD INTERMEDIATE INTERNATIONAL AMERICAN BASIN SMALL
APPRECIATION SECURITIES TAX FREE EQUITY EQUITY EQUITY CAP
<S> <C> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Dividends* $ 215,459 $ 19,719 $ - $ 2,358,966 $ 252,382 $ 414,540 $ 55,426
Interest 890,485 1,845,865 856,436 457,553 81,153 9,597 1,042,653
TOTAL INVESTMENT INCOME 1,105,944 1,865,584 856,436 2,816,519 333,535 424,137 1,098,079
EXPENSES
Advisory 1,225,764 156,634 67,313 759,552 151,004 211,122 1,293,449
Administration and Services 188,579 39,158 8,414 175,281 30,201 70,374 198,992
Professional 31,708 18,679 21,446 35,044 12,138 12,395 27,045
Trustees 2,628 2,638 1,866 3,004 2,904 2,654 2,718
Transfer Tax - - - 14,335 - 10,571 -
Miscellaneous 2,319 15,805 529 1,633 1,685 4,830 2,925
Total Expenses 1,450,998 232,914 99,568 988,849 197,932 311,946 1,525,129
Less: Expenses Absorbed by
Bankers Trust (319,524) (86,070) (23,842) (229,297) (46,928) (30,450) (331,176)
Net Expenses 1,131,474 146,844 75,726 759,552 151,004 281,496 1,193,953
NET INVESTMENT INCOME (LOSS) (25,530) 1,718,740 780,710 2,056,967 182,531 142,641 (95,874)
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS,
FOREIGN CURRENCIES
AND FORWARD FOREIGN CURRENCY
CONTRACTS
Net Realized Gain (Loss) from:
Investment Transactions 18,986,988 903,691 276,619 5,103,507 986,129 1,764,595 4,944,264
Foreign Currency Transactions - (44,567) - 1,024,419 (47,459) (158,278) -
Net Change in Unrealized
Appreciation (Depreciation)
on Investments,
Foreign Currencies and Forward
Foreign Currency Contracts (17,719,598) 1,621,753 (754,832) 8,042,701 1,901,005 584,216 38,597,216
NET REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS, FOREIGN
CURRENCIES AND FORWARD FOREIGN
CURRENCY CONTRACTS 1,267,390 2,480,877 (478,213) 14,170,627 2,839,675 2,190,533 43,541,480
NET INCREASE IN NET ASSETS
FROM OPERATIONS $ 1,241,860 $ 4,199,617 $ 302,497 $ 16,227,594 $ 3,022,206 $ 2,333,174 $ 43,445,606
</TABLE>
* Net of foreign withholding tax of $5,815 for Capital Appreciation
Portfolio; $271,374 for International Equity Portfolio; $15,305 for Latin
American Equity Portfolio; and $37,711 for Pacific Basin Equity Portfolio.
See Notes to Financial Statements on Pages 48-50
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
CAPITAL APPRECIATION GLOBAL HIGH YIELD
FOR THE FOR THE PERIOD FOR THE FOR THE
YEAR ENDED JANUARY 1, 1995 TO YEAR ENDED YEAR ENDED
SEPTEMBER 30, 1996 SEPTEMBER 30, 1995* SEPTEMBER 30, 1996 SEPTEMBER 30, 1995
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS
Net Investment Income (Loss) $ (25,530) $ 10,500 $ 1,718,740 $ 1,706,048
Net Realized Gain (Loss) on
Investment and Foreign
Currency Transactions 18,986,988 11,774,764 859,124 (516,419)
Net Change in Unrealized
Appreciation (Depreciation) on
Investments, Foreign Currencies
and Forward Foreign
Currency Contracts (17,719,598) 23,909,639 1,621,753 (3,411)
Net Increase in Net Assets
from Operations 1,241,860 35,694,903 4,199,617 1,186,218
CAPITAL TRANSACTIONS
Proceeds from Capital Invested 110,885,692 63,887,608 10,592,611 18,275,555
Value of Capital Withdrawn (193,629,946) (23,328,952) (18,052,538) (11,187,306)
Net Increase (Decrease) in
Net Assets from Capital
Transactions (82,744,254) 40,558,656 (7,459,927) 7,088,249
TOTAL INCREASE (DECREASE)
IN NET ASSETS (81,502,394) 76,253,559 (3,260,310) 8,274,467
NET ASSETS
Beginning of Period 149,887,889 73,634,330 23,003,465 14,728,998
End of Period $ 68,385,495 $ 149,887,889 $ 19,743,155 $ 23,003,465
<CAPTION>
LATIN AMERICAN EQUITY PACIFIC BASIN EQUITY
FOR THE FOR THE FOR THE FOR THE
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
SEPTEMBER 30, 1996 SEPTEMBER 30, 1995 SEPTEMBER 30, 1996 SEPTEMBER 30, 1995
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS
Net Investment Income (Loss) $ 182,531 $ 220,235 $ 142,641 $ 201,609
Net Realized Gain (Loss) on Investment and Foreign
Currency Transactions 938,670 (9,485,483) 1,606,317 (481,527)
Net Change in Unrealized Appreciation
(Depreciation) on
Investments, Foreign Currencies
and Forward Foreign
Currency Contracts 1,901,005 (3,176,213) 584,216 (821,330)
Net Increase (Decrease) in Net
Assets from Operations 3,022,206 (12,441,461) 2,333,174 (1,101,248)
CAPITAL TRANSACTIONS
Proceeds from Capital Invested 24,363,201 18,611,709 37,502,717 12,695,645
Value of Capital Withdrawn (23,992,125) (19,878,349) (34,883,257) (12,304,373)
Net Increase (Decrease) in Net Assets from Capital
Transactions 371,076 (1,266,640) 2,619,460 391,272
TOTAL INCREASE (DECREASE) IN NET ASSETS 3,393,282 (13,708,101) 4,952,634 (709,976)
NET ASSETS
Beginning of Period 13,657,915 27,366,016 24,656,298 25,366,274
End of Period $ 17,051,197 $ 13,657,915 $ 29,608,932 $ 24,656,298
</TABLE>
* The Board of Trustees approved the change of the fiscal
year ends from December 31 to September 30.
See Notes to Financial Statements on Pages 48-50
BT PORTFOLIOS
<TABLE>
<CAPTION>
INTERMEDIATE TAX FREE INTERNATIONAL EQUITY
FOR THE PERIOD FOR THE FOR THE FOR THE PERIOD
JANUARY 1, 1996 TO YEAR ENDED YEAR ENDED JANUARY 1, 1995 TO
SEPTEMBER 30, 1996* DECEMBER 31, 1995 SEPTEMBER 30, 1996 SEPTEMBER 30, 1995*
<C> <C> <C> <C>
$ 780,710 $ 1,200,250 $ 2,056,967 $ 1,188,602
276,619 373,137 6,127,926 1,956,124
(754,832) 1,660,679 8,042,701 6,955,471
302,497 3,234,066 16,227,594 10,100,197
3,694,217 4,536,602 104,050,782 35,819,720
(4,230,017) (10,844,181) (38,778,446) (18,648,629)
(535,800) (6,307,579) 65,272,336 17,171,091
(233,303) (3,073,513) 81,499,930 27,271,288
22,252,704 25,326,217 83,313,431 56,042,143
$ 22,019,401 $ 22,252,704 $ 164,813,361 $ 83,313,431
<CAPTION>
SMALL CAP
FOR THE FOR THE
YEAR ENDED YEAR ENDED
SEPTEMBER 30, 1996 SEPTEMBER 30, 1995
<C> <C>
$ (95,874) $ 114,355
4,944,264 11,205,496
38,597,216 19,127,783
43,445,606 30,447,634
259,905,685 89,963,488
(181,564,152) (17,910,681)
78,341,533 72,052,807
121,787,139 102,500,441
123,827,952 21,327,511
$ 245,615,091 $ 123,827,952
</TABLE>
See Notes to Financial Statements on Pages 48-50
BT Portfolios
FINANCIAL HIGHLIGHTS
Contained below are selected data for a share outstanding, ratios to average
net assets and other supplemental data for the periods indicated for each of
the Portfolios.
<TABLE>
<CAPTION>
CAPITAL APPRECIATION
FOR THE PERIOD
MARCH 9, 1993
FOR THE FOR THE PERIOD FOR THE (COMMENCEMENT
YEAR ENDED JANUARY 1, 1995 TO YEAR ENDED OF OPERATIONS) TO
SEPTEMBER 30, 1996 SEPTEMBER 30, 1995# DECEMBER 31, 1994 DECEMBER 31, 1993
<S> <C> <C> <C> <C>
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period
(000's omitted) $ 68,385 $ 149,888 $ 73,634 $ 37,076
Ratios to Average Net Assets
Net Investment Income (Loss) (0.01)% 0.01%* 0.08% 0.38%*
Expenses 0.60% 0.60%* 0.60% 0.60%*
Decrease Reflected in Above
Expense Ratios Due to Absorption
of Expenses by Bankers Trust 0.17% 0.18%* 0.23% 0.41%*
Portfolio Turnover Rate 271% 125% 157% 137%
Average Commission Per Share** $0.055
<CAPTION>
GLOBAL HIGH YIELD
FOR THE PERIOD
DECEMBER 14, 1993
(COMMENCEMENT
FOR THE YEAR ENDED FOR THE YEAR ENDED OF OPERATIONS) TO
SEPTEMBER 30, 1996 SEPTEMBER 30, 1995 SEPTEMBER 30, 1994
<S> <C> <C> <C>
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period
(000's omitted) $ 19,743 $ 23,003 $ 14,729
Ratios to Average Net Assets
Net Investment Income 8.78% 9.63% 6.44%*
Expenses 0.75% 0.75% 0.75%*
Decrease Reflected in Above Expense
Ratios Due to Absorption of Expenses
by Bankers Trust 0.44% 0.45% 0.59%*
Portfolio Turnover Rate 207% 169% 347%
<CAPTION>
INTERMEDIATE TAX FREE
FOR THE PERIOD
JULY 20, 1992
FOR THE PERIOD FOR THE YEAR ENDED (COMMENCEMENT
JANUARY 1, 1996 TO DECEMBER 31, OF OPERATIONS) TO
SEPTEMBER 30, 1996# 1995 1994 1993 DECEMBER 31, 1992
<S> <C> <C> <C> <C> <C>
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period
(000's omitted) $ 22,019 $22,253 $25,326 $31,745 $ 9,995
Ratios to Average Net Assets
Net Investment Income 4.64%* 4.97% 4.58% 4.29% 4.11%*
Expenses 0.45%* 0.45% 0.45% 0.45% 0.45%*
Decrease Reflected in Above Expense
Ratios Due to Absorption of Expenses
by Bankers Trust 0.14%* 0.08% 0.14% 0.18% 0.43%*
Portfolio Turnover Rate 130% 95% 118% 40% 132%
<CAPTION>
INTERNATIONAL EQUITY
FOR THE PERIOD
AUGUST 4, 1992
FOR THE FOR THE PERIOD FOR THE YEAR ENDED (COMMENCEMENT
YEAR ENDED JANUARY 1, 1995 TO DECEMBER 31, OF OPERATIONS) TO
SEPTEMBER 30, 1996 SEPTEMBER 30, 1995# 1994 1993 DECEMBER 31, 1992
<S> <C> <C> <C> <C>
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period
(000's omitted) $ 164,813 $ 83,313 $56,042 $33,907 $ 8,225
Ratios to Average Net Assets
Net Investment Income 1.76% 2.39%* 1.69% 1.64% 1.87%*
Expenses 0.65% 0.65%* 0.65% 0.65% 0.60%*
Decrease Reflected in Above Expense
Ratios Due to Absorption of Expenses
by Bankers Trust 0.20% 0.22%* 0.24% 0.39% 0.93%*
Portfolio Turnover Rate 68% 21% 15% 17% 7%
Average Commission Per Share** $0.010
See Notes to Financial Statements on Pages 48-50
</TABLE>
BT Portfolios
FINANCIAL HIGHLIGHTS (CONTINUED)
<TABLE>
<CAPTION>
LATIN AMERICAN EQUITY
FOR THE PERIOD
OCTOBER 25, 1993
FOR THE FOR THE (COMMENCEMENT
YEAR ENDED YEAR ENDED OF OPERATIONS) TO
SEPTEMBER 30, 1996 SEPTEMBER 30, 1995 SEPTEMBER 30, 1994
<S> <C> <C> <C>
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period
(000's omitted) $ 17,051 $ 13,658 $ 27,366
Ratios to Average Net Assets
Net Investment Income 1.21% 1.27% 1.03%*
Expenses 1.00% 1.00% 1.00%*
Decrease Reflected in Above Expense
Ratios Due to Absorption of Expenses
by Bankers Trust 0.31% 0.80% 0.79%*
Portfolio Turnover Rate 171% 161% 124%
Average Commission Per Share** $ 0.0001
<CAPTION>
PACIFIC BASIN EQUITY
FOR THE PERIOD
NOVEMBER 1, 1993
FOR THE FOR THE (COMMENCEMENT
YEAR ENDED YEAR ENDED OF OPERATIONS) TO
SEPTEMBER 30, 1996 SEPTEMBER 30, 1995 SEPTEMBER 30, 1994
<S> <C> <C> <C>
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period
(000's omitted) $ 29,609 $ 24,656 $ 25,366
Ratios to Average Net Assets
Net Investment Income 0.51% 0.87% 0.16%*
Expenses 1.00% 1.00% 1.00%*
Decrease Reflected in Above Expense
Ratios Due to Absorption of Expenses
by Bankers Trust 0.11% 0.20% 0.26%*
Portfolio Turnover Rate 118% 104% 40%
Average Commission Per Share** $ 0.005
<CAPTION>
SMALL CAP
FOR THE PERIOD
OCTOBER 21, 1993
FOR THE FOR THE (COMMENCEMENT
YEAR ENDED YEAR ENDED OF OPERATIONS) TO
SEPTEMBER 30, 1996 SEPTEMBER 30, 1995 SEPTEMBER 30, 1994
<S> <C> <C> <C>
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period
(000's omitted) $ 245,615 $ 123,828 $ 21,328
Ratios to Average Net Assets
Net Investment Income (Loss) (0.05)% 0.19% 0.07%*
Expenses 0.60% 0.60% 0.60%*
Decrease Reflected in Above Expense
Ratios Due to Absorption of Expenses
by Bankers Trust 0.17% 0.19% 0.38%*
Portfolio Turnover Rate 159% 161% 154%
Average Commission Per Share** $ 0.048
</TABLE>
# The Board of Trustees approved the change of the fiscal year ends
from December 31 to September 30.
* Annualized
** For fiscal years beginning on or after September 1, 1995, a fund is
required to disclose its average commission rate per share for security
trades on which commissions are charged.
See Notes to Financial Statements on Pages 48-50
BT Portfolios
NOTES TO FINANCIAL STATEMENTS
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.
ORGANIZATION COMMENCEMENT
PORTFOLIO DATE OF OPERATION
Capital Appreciation October 28, 1992 March 9, 1993
Global High Yield Securities August 6, 1993 December 14, 1993
Intermediate Tax Free December 11, 1991 July 20, 1992
International Equity December 11, 1991 August 4, 1992
Latin American Equity August 6, 1993 October 25, 1993
Pacific Basin Equity August 6, 1993 November 1, 1993
Small Cap August 6, 1993 October 21, 1993
The Declaration of Trust permits the Board of Trustees (the "Trustees") to
issue beneficial interests in the Portfolios.
B. Security Valuation
The Portfolios' investments listed or traded on National Stock Exchanges or
other domestic or foreign exchanges are valued based on the closing price of
the security traded on that exchange prior to the time when the Portfolio
assets are valued. Short-term obligations with remaining maturities of 60
days or less are valued at amortized cost. Other short-term debt securities
are valued on a mark-to-market basis until such time as they reach a remaining
maturity of 60 days, whereupon they will be valued at amortized cost using
their value on the 61st day. All other securities and other assets are valued
at their fair value as determined in good faith under procedures established
by and under the general supervision of the 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.
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. Repurchase Agreements
Each of the Portfolios 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.
E. Foreign Currency Transactions
The books and records of the Global High Yield Securities Portfolio,
International Equity Portfolio, Latin American Equity Portfolio and Pacific
Basin Equity 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.
F. Forward Foreign Currency Contracts
The 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. 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.
G. Option Contracts
Each Portfolio, except Intermediate Tax Free, may enter into option
contracts. 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.
H. Futures Contracts
Each Portfolio, except Intermediate Tax Free, may enter into financial
futures contracts which are contracts to buy a standard quantity of
securities at a specified price on a future date. Each Portfolio is
required to deposit either in cash or securities an amount equal to a
certain percentage of the contract amount. Subsequent payments are
made or received by the Portfolio each day, dependent on the daily
fluctuations in the value of the underlying security, and are recorded
for financial statement purposes as unrealized gains or losses by
the Portfolio.
Futures contracts are valued at the settlement price established each
day by the board of trade or exchange on which they are traded.
I. 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.
J. Other
The preparation of financial statements in conformity with generally
accepted accounting principles requires management to make estimates and
assumptions that affect the reported amounts in the financial statements.
BT Portfolios
NOTES TO FINANCIAL STATEMENTS (continued)
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 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 aggregate fees for
each of the Portfolios for the period ended September 30, 1996:
PORTFOLIO ANNUAL RATE AGGREGATE FEES
Capital Appreciation 0.10 of 1% $ 188,579
Global High Yield Securities 0.20 of 1% 39,158
Intermediate Tax Free 0.05 of 1% 8,414
International Equity 0.15 of 1% 175,281
Latin American Equity 0.20 of 1% 30,201
Pacific Basin Equity 0.25 of 1% 70,374
Small Cap 0.10 of 1% 198,992
Each of the Portfolios have 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 each
Portfolio's average daily net assets. The following provides a table of annual
rates and aggregate fees for each of the Portfolios for the period ended
September 30, 1996:
PORTFOLIO ANNUAL RATE AGGREGATE FEES
Capital Appreciation 0.65 of 1% $1,225,764
Global High Yield Securities 0.80 of 1% 156,634
Intermediate Tax Free 0.40 of 1% 67,313
International Equity 0.65 of 1% 759,552
Latin American Equity 1.00 of 1% 151,004
Pacific Basin Equity 0.75 of 1% 211,122
Small Cap 0.65 of 1% 1,293,449
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 such 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 0.60 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
September 30, 1996, expenses of the Portfolios have been reduced based on the
expense limits as follows:
EXPENSES
PORTFOLIO ANNUAL RATE REDUCED
Capital Appreciation 0.60 of 1% $ 319,524
Global High Yield Securities 0.75 of 1% 86,070
Intermediate Tax Free 0.45 of 1% 23,842
International Equity 0.65 of 1% 229,297
Latin American Equity 1.00 of 1% 46,928
Pacific Basin Equity 1.00 of 1% 30,450
Small Cap 0.60 of 1% 331,176
On September 30, 1996, the Trust entered into a Distribution Agreement with
Edgewood Services, Inc. ("Edgewood"). Prior to September 30, Signature Broker-
Dealer Services, Inc. ("Signature") was the Trust's Distributor.
Certain trustees and officers of the Portfolios are also directors, officers
and/or employees of Edgewood and/or Signature. 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.
For the period ended September 30, 1996, the equity Portfolios paid brokerage
commissions of:
BROKERAGE
PORTFOLIO COMMISSIONS PAID
Capital Appreciation $ 648,897
International Equity 603,995
Latin American Equity 164,049
Pacific Basin Equity 323,957
Small Cap 238,160
NOTE 3-PURCHASES AND SALES OF INVESTMENT SECURITIES
The aggregate costs of purchases and proceeds from sales of investments,
other than short-term obligations, for the year ended September 30, 1996
were as follows:
COST OF PROCEEDS FROM
PORTFOLIO PURCHASES SALES OF SECURITIES
Capital Appreciation $489,610,608 $437,250,028
Global High Yield Securities 39,107,438 44,629,238
Intermediate Tax Free 25,335,036 27,520,294
International Equity 132,762,664 75,463,529
Latin American Equity 26,499,916 23,034,698
Pacific Basin Equity 35,078,130 30,217,506
Small Cap 369,914,922 289,341,209
For federal income tax purposes, the tax basis of investments held at
September 30, 1996 was $53,971,519 for Capital Appreciation Portfolio,
$17,406,656 for Global High Yield Securities Portfolio, $21,019,018
for Intermediate Tax Free Portfolio, $149,313,254 for International Equity
Portfolio, $15,799,820 for Latin American Equity Portfolio, $28,657,893 for
Pacific Basin Equity Portfolio and $190,666,888 for Small Cap Portfolio.
The aggregate gross unrealized appreciation and depreciation for all
investments as of September 30, 1996 were as follows:
GROSS UNREALIZED GROSS UNREALIZED
PORTFOLIO APPRECIATION DEPRECIATION
Capital Appreciation $14,799,536 $ 522,912
Global High Yield Securities 1,606,712 45,977
Intermediate Tax Free 720,484 10,943
International Equity 23,947,591 4,190,151
Latin American Equity 1,982,743 754,069
Pacific Basin Equity 3,439,325 2,730,293
Small Cap 63,846,863 5,010,610
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.
BT Portfolios
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
NOTE 5 - OPEN FORWARD FOREIGN CURRENCY CONTRACTS
As of September 30, 1996, the International Equity Portfolio had
the following open forward foreign currency contracts outstanding:
<TABLE>
<CAPTION>
NET UNREALIZED
APPRECIATION
CONTRACTS TO DELIVER IN EXCHANGE FOR SETTLEMENT DATE VALUE (US$) (DEPRECIATION) (US$)
SALES
<S> <C> <C> <C> <C> <C> <C>
AUD 41,746 USD 32,993 10/01/96 33,135 (142)
AUD 3,289,201 USD 2,597,378 10/01/96 2,610,771 (13,393)
AUD 3,267,343 USD 2,572,897 10/08/96 2,585,416 (12,519)
AUD 3,396,879 USD 2,713,261 10/01/96 2,696,239 17,022
JPY 296,683,411 USD 2,677,658 10/01/96 2,661,315 16,343
JPY 286,594,676 USD 2,625,452 10/01/96 2,570,817 54,635
JPY 286,594,676 USD 2,690,090 01/06/97 2,608,489 81,601
Total Sales 143,547
<CAPTION>
PURCHASES
<S> <C> <C> <C> <C> <C> <C>
USD 2,677,657 AUD 3,396,879 10/01/96 2,696,238 18,581
USD 2,625,452 AUD 3,330,947 10/01/96 2,643,905 18,453
USD 2,690,090 AUD 3,396,879 01/06/97 2,680,715 (9,375)
USD 465,179 FRF 2,400,000 10/01/96 468,365 3,186
USD 1,175,398 GBP 750,325 10/01/96 1,174,483 (915)
USD 394 IDR 915,000 10/02/96 394 -
USD 188,815 ITL 287,000,000 10/01/96 188,258 (557)
USD 2,597,377 JPY 286,594,676 10/01/96 2,570,816 (26,561)
USD 2,572,897 JPY 286,595,000 10/08/96 2,572,897 -
USD 10,978 JPY 1,209,289 10/01/96 10,847 (131)
USD 2,713,261 JPY 295,474,118 10/01/96 2,650,468 (62,793)
USD 7,000,000 JPY 779,751,000 10/09/96 6,994,537 (5,463)
Total Purchases (65,575)
Net Appreciation 77,972
</TABLE>
As of September 30, 1996, the Pacific Basin Equity Portfolio had the
following open forward foreign currency contracts outstanding:
<TABLE>
<CAPTION>
NET UNREALIZED
APPRECIATION
CONTRACTS TO DELIVER IN EXCHANGE FOR SETTLEMENT DATE VALUE (US$) (DEPRECIATION) (US$)
SALES
<S> <C> <C> <C> <C> <C> <C>
HKD 54,144,300 USD 7,000,996 11/12/96 7,002,897 (1,901)
IDR 3,938,334,407 USD 1,634,299 10/29/96 1,683,253 (48,954)
IDR 1,788,951,525 USD 732,576 12/17/96 756,555 (23,979)
IDR 4,083,140,593 USD 1,698,831 10/29/96 1,745,143 (46,312)
MYR 6,784,253 USD 2,702,889 10/01/96 2,706,771 (3,882)
SGD 4,617,680 USD 3,290,000 12/16/96 3,293,168 (3,168)
Total Sales (128,196)
<CAPTION>
PURCHASES
<S> <C> <C> <C> <C> <C> <C> <C>
USD 129,316 HKD 1,000,000 10/01/96 129,316 -
USD 3,300,000 IDR 8,021,475,000 10/29/96 3,428,396 128,396
USD 1,530,000 IDR 3,693,420,000 12/17/96 1,561,964 31,964
USD 55,833 MYR 140,000 10/01/96 55,855 22
USD 1,660,000 MYR 4,156,806 10/01/96 1,658,477 (1,523)
USD 1,050,000 MYR 2,627,447 10/01/96 1,048,295 (1,705)
USD 2,697,087 MYR 6,784,253 12/02/96 2,700,845 3,758
Total Purchases 160,912
Net Appreciation 32,716
</TABLE>
BT Portfolios
REPORT OF INDEPENDENT ACCOUNTANTS
To the Trustees and Holders of Beneficial Interest of BT Investment
Portfolios, Capital Appreciation Portfolio, International
Equity Portfolio and Intermediate Tax Free Portfolio:
We have audited the accompanying statement of assets and liabilities,
including the schedule of portfolio investments, of the Global High Yield
Securities, Latin American Equity, Pacific Basin Equity and Small Cap
Portfolios (four of the Funds comprising BT Investment Portfolios) and the
Capital Appreciation Portfolio, International Equity Portfolio and
Intermediate Tax Free Portfolio (collectively, the "Portfolios"), as of
September 30, 1996, and the related statement of operations for the year
then ended except for the Intermediate Tax Free Portfolio, for which the
period was for the nine months ended September 30, 1996, the statement of
changes in net assets for each of the two years in the period then ended
except for the Intermediate Tax Free Portfolio, for which the periods were
for the nine months ended September 30, 1996 and the year ended December 31,
1995 and the Capital Appreciation Portfolio and International Equity
Portfolio, for which the periods were for the year ended September 30, 1996
and the nine months ended September 30, 1995 and the financial highlights
for each of the periods presented therein. These financial statements and
financial highlights are the responsibility of the Portfolio's 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 September 30, 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
each of the Portfolios as of September 30, 1996, the results of their
operations, the changes in their net assets and the financial highlights for
the periods referred to above, in conformity with generally accepted
accounting principles.
Coopers & Lybrand L.L.P.
Kansas City, Missouri
October 29, 1996, except for the Intermediate Tax Free Portfolio,
for which the date is November 4, 1996
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 Edgewood 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
Edgewood Services, Inc.
Clearing Operations
P.O. Box 897
Pittsburgh, PA 15230-0897
You may write to BT Investment Funds at the following address:
BT INVESTMENT FUNDS
Clearing Operations
P.O. Box 897
Pittsburgh, PA 15230-0897
COMBINV200 (11/96)
APPENDIX
Pie Chart-Page 5
The graphic representation here displayed consists of a pie chart
representing the Diversification of Portfolio Investments by Theme in the
Capital Appreciation Portfolio as of September 30, 1996. Each slice of the
pie represents an investment category and is sized according to the
percentage of the Fund's investment in that category. The categories of
investments and their percentages, starting at the top of the pie and
moving clockwise, are: New Consumer- 9%; Move to Outsourcing-9%; Cash-8%;
America's Chg. leisure Time-8%; Telecommunications-7%; Stores of Value-8%;
Life Sciences Revolution-6%; America's Industrial Renaissance-6%;
Interactive Media-5%; and Other-34%.
Line Graph-Page 5
The graphic representation here displayed consists of a boxed legend in the
upper left-hand corner of the corresponding line graph. The solid black
line represents BT Investment Capital Appreciation Fund (the `Fund''); the
dashed line represents the S&P MidCap 400 Index. The graph represents a
comparison of change in value of a $10,000 investment in the Fund and in
the S&P MidCap 400 Index begining March 31, 1993. The `y'' axis reflects
quarterly computation periods from March 1993 to September 1996. The `x''
axis reflects investment values in $2,000 increments ranging from $8,000 to
$20,000.
Pie Chart-Page 6
The graphic representation here displayed consists of a pie chart
representing the Diversification of Portfolio Investments by Country in the
Global High Yield Securities Portfolio as of September 30, 1996. Each slice
of the pie represents an investment country and is sized according to the
percentage of the Fund's investment in that country. The countries and
their percentages, starting at the top of the pie and moving clockwise,
are: United States-24%; Mexico-19%; Brazil-17%; Hong Kong-10%; Argentina-
7%; Panama-4%; Morocco-3%; Poland-3%; Colombia-3%; and Other-10%.
Line Graph-Page 7
The graphic representation here displayed consists of a boxed legend in the
upper left-hand corner of the corresponding line graph. The solid black
line represents BT Investment Global High Yeild Securities Fund (the
`Fund''); the dashed line represents the JPM Emerging Bond/ML High Yield
Master Index. The graph represents a comparison of change in value of a
$10,000 investment in the Fund and in the JPM Emerging Bond/ML High Yield
Master Index begining December 31, 1993. The `y'' axis reflects quarterly
computation periods from December 1993 to September 1996. The `x'' axis
reflects investment values in $2,000 increments ranging from $7,000 to
$14,000.
Pie Chart-Page 8
The graphic representation here displayed consists of a pie chart
representing the Diversification of Portfolio Investments by Sector in the
Intermediate Tax Free Portfolio as of September 30, 1996. Each slice of the
pie represents an investment sector and is sized according to the
percentage of the Fund's investment in that sector. The sectors of
investments and their percentages, starting at the top of the pie and
moving clockwise, are: General Obligations-13%; Transportation-11%; Power
Revenue-11%; Sales Tax Revenue-10%; Utility Revenue-9%; Building Revenue-
8%; Hospital Revenue-6%; Sewer Revenue-5%; Airlines-5%; and Other-22%.
Line Graph-Page 9
The graphic representation here displayed consists of a boxed legend in the
upper left-hand corner of the corresponding line graph. The solid black
line represents BT Investment Investment Intermediate Tax Free Fund (the
`Fund''); the dashed line represents the Lehman 7 Yr G.O. Index. The graph
represents a comparison of change in value of a $10,000 investment in the
Fund and in the Lehman 7 Yr G.O. Index begining July 31, 1992. The `y''
axis reflects quarterly computation periods from July 1992 to September
1996. The `x'' axis reflects investment values in $1,000 increments
ranging from $9,000 to $13,000.
Pie Chart-Page 11
The graphic representation here displayed consists of a pie chart
representing the Diversification of Portfolio Investments by Country in the
International Equtiy Portfolio as of September 30, 1996. Each slice of the
pie represents an investment country and is sized according to the
percentage of the Fund's investment in that country. The countries and
their percentages, starting at the top of the pie and moving clockwise,
are: Japan-15%; France-11%; Switzerland-3%; United Kingdom-10%; Germany-7%;
Hong Kong-7%; Italy-6%; Netherlands-6%; Spain-4%; and Other-31%.
Line Graph-Page 12
The graphic representation here displayed consists of a boxed legend in the
upper left-hand corner of the corresponding line graph. The solid black
line represents BT Investment International Equity Fund (the `Fund''); the
dashed line represents the MSCI EAFE Index. The graph represents a
comparison of change in value of a $10,000 investment in the Fund and in
the MSCI EAFE Index begining August 31, 1992. The `y'' axis reflects
quarterly computation periods from August 1992 to September 1996. The `x''
axis reflects investment values in $2,000 increments ranging from $8,000 to
$20,000.
Pie Chart-Page 14
The graphic representation here displayed consists of a pie chart
representing the Diversification of Portfolio Investments by Country in the
Latin American Equity Portfolio as of September 30, 1996. Each slice of the
pie represents an investment country and is sized according to the
percentage of the Fund's investment in that country. The countries and
their percentages, starting at the top of the pie and moving clockwise,
are: Japan-15%; France-11%; Switzerland-3%; United Kingdom-10%; Germany-7%;
Hong Kong-7%; Italy-6%; Netherlands-6%; Spain-4%; and Other-31%.
Line Graph-Page 14
The graphic representation here displayed consists of a boxed legend in the
upper right-hand corner of the corresponding line graph. The solid black
line represents BT Investment Latin American Equity Fund (the `Fund'');
the dashed line represents the IFCI Latin American Index. The graph
represents a comparison of change in value of a $10,000 investment in the
Fund and in the IFCI Latin American Index begining October 25, 1993. The
`y'' axis reflects quarterly computation periods from October 1993 to
September 1996. The `x'' axis reflects investment values in $2,000
increments ranging from $6,000 to $16,000.
Pie Chart-Page 16
The graphic representation here displayed consists of a pie chart
representing the Diversification of Portfolio Investments by Country in the
Pacific Basin Equity Portfolio as of September 30, 1996. Each slice of the
pie represents an investment country and is sized according to the
percentage of the Fund's investment in that country. The countries and
their percentages, starting at the top of the pie and moving clockwise,
are: Pakistan-1%; Hong Kong-30%; Malaysia-21%; Singapore-14%; Thailand-12%;
Indonesia-7%; Philippines-6%; India-5%; and South Korea 4%.
Line Graph-Page 16
The graphic representation here displayed consists of a boxed legend in the
upper center of the corresponding line graph. The solid black line
represents BT Investment Pacific Basin Equity Fund (the `Fund''); the
dashed line represents the MSCI Combined Asia Free ex Japan Index. The
graph represents a comparison of change in value of a $10,000 investment in
the Fund and in the MSCI Combined Asia Free ex Japan Index begining
November 1, 1993. The `y'' axis reflects quarterly computation periods
from November 1993 to September 1996. The `x'' axis reflects investment
values in $1,000 increments ranging from $9,000 to $14,000.
Pie Chart-Page 18
The graphic representation here displayed consists of a pie chart
representing the Diversification of Portfolio Investments by Theme in the
Small Cap Portfolio as of September 30, 1996. Each slice of the pie
represents an investment Theme and is sized according to the percentage of
the Fund's investment in that Theme. The Themes and their percentages,
starting at the top of the pie and moving clockwise, are: Other 28%; New
Healthcare Paradigm-11%; Managing the Info Age-10%; Flourishing in the
Managed Care Environment-8%; Client Server Computing-10%
Line Graph-Page 18
The graphic representation here displayed consists of a boxed legend in the
upper left corner of the corresponding line graph. The solid black line
represents BT Investment Small Cap Fund (the `Fund''); the dashed line
represents the Russell 2000 Index. The graph represents a comparison of
change in value of a $10,000 investment in the Fund and in the Russell 2000
Index begining October 31, 1993. The `y'' axis reflects quarterly
computation periods from October 1993 to September 1996. The `x'' axis
reflects investment values in $2,000 increments ranging from $8,000 to
$24,000.
