<PAGE>
- BT INVESTMENT FUNDS -
- --------------------------------------------------------------------------------
LIFECYCLE LONG RANGE
LIFECYCLE MID RANGE
LIFECYCLE SHORT RANGE
- --------------------------------------------------------------------------------
SEMI-ANNUAL REPORT
--------------------
SEPTEMBER-1997
<PAGE>
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BT INVESTMENT LIFECYCLE FUNDS
TABLE OF CONTENTS
- --------------------------------------------------------------------------------
LETTERS TO SHAREHOLDERS . . . . . . . . . . . . . . . . . . . . . . . 3
BT INVESTMENT LIFECYCLE FUNDS
Statement of Assets and Liabilities. . . . . . . . . . . . . . . 8
Statement of Operations. . . . . . . . . . . . . . . . . . . . . 9
Statement of Changes in Net Assets . . . . . . . . . . . . . . . 10
Financial Highlights . . . . . . . . . . . . . . . . . . . . . . 12
Notes to Financial Statements. . . . . . . . . . . . . . . . . . 15
ASSET MANAGEMENT PORTFOLIOS
Schedule of Portfolio Investments. . . . . . . . . . . . . . . . 17
Statement of Assets and Liabilities. . . . . . . . . . . . . . . 26
Statement of Operations. . . . . . . . . . . . . . . . . . . . . 27
Statement of Changes in Net Assets . . . . . . . . . . . . . . . 28
Financial Highlights . . . . . . . . . . . . . . . . . . . . . . 30
Notes to Financial Statements. . . . . . . . . . . . . . . . . . 31
2
<PAGE>
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BT INVESTMENT LIFECYCLE FUNDS
LETTER TO SHAREHOLDERS
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We are pleased to present you with this semi-annual report for the BT Investment
Lifecycle Long Range, Mid Range, and Short Range Funds, providing a review of
the markets, the Portfolios, and our outlook, as well as a complete financial
summary of the Funds' operations and a listing of the Portfolios' holdings.
The Lifecycle Funds (the "Funds") outperformed their benchmarks for the
semi-annual period ended September 30, 1997. This strong relative performance
was due primarily to asset allocation.
MARKET ACTIVITY
U.S. MARKETS
Economic growth in the first quarter of the Funds' fiscal year was a strong
3.6%, and then it slowed in the next quarter to an estimated 2.8%. The
inflation picture, which was already quite benign, improved even further. In
fact, talk of potential deflation even appeared on the scene. Given this
scenario, the Federal Reserve Board opted to maintain its tight monetary policy
during these months, holding its target for the federal funds rate at 5.5%. We
believe this suggests that any further tightening will occur only after
inflationary pressures become more evident.
Strong economic growth combined with a lack of inflation proved to be positive
for both the equity and bond markets, although there was a short-lived
correction in each during the period, as questions were raised concerning the
possibility of emerging inflation.
U.S. EQUITIES
After a correction of approximately 10% between early March and mid-April, the
S&P 500 Index* rebounded and advanced by a huge 17.4% for the second calendar
quarter. The combination of impressive gains in corporate profits, despite the
absence of pricing power, along with the lack of evident inflation supported the
market's rise to record levels. The Dow Jones Industrial Average broke the 8000
mark on July 17, and the S&P 500 Index moved to a record level on August 4. The
Index fell back for the rest of August, swung back once more and almost
recovered to a new peak at the end of September. Even with that impressive
performance, smaller stocks, as represented by the Russell 2000 Index*,
recovered from its March/April bear market even more strongly. For the period
from May through September 1997, small cap stocks outperformed both the midcap
and large cap segments of the market and broke records virtually every day in
September.
U.S. BONDS
The bond market, too, was strong during this semi-annual period overall. The
U.S. Treasury market rallied through most of both quarters, with yields closing
0.60% to 0.80% below opening levels. Continued benign inflation and controlled
economic growth put the market's expectations of Federal Reserve Board activity
on hold and supported the rally in the second calendar quarter. In the next
quarter, the economy continued to grow at a reasonably good rate, while
inflation remained muted-a now familiar combination. However, a
stronger-than-expected employment release in early August, combined with the
digestion of the $38 billion Treasury Refunding, interrupted the rally
mid-quarter, and the bond market trended irregularly higher before rates resumed
their fall at the end of the quarter.
INTERNATIONAL MARKETS
Most of the world's developed equity markets came roaring back in September,
shaking off summer doldrums and returning to their record-setting pace set
through most of the past twelve months amidst a backdrop of sustainable economic
growth and historically low inflation. So, too, international bonds lagged the
U.S. by only 0.29% in the second calendar quarter, as domestic issues in several
major markets at least partially offset the positive tone provided by the U.S.
And in the third calendar quarter, international bonds precisely matched the
performance of the U.S. fixed income market. With U.S. Federal Reserve Board
policymakers on hold for the time being and renewed confidence that European
economic and monetary convergence will occur, a supportive environment for both
bond and stock markets remains in place.
More specifically, Europe as a whole did not beat the surging U.S. market in the
six months ended September 30, 1997. However, several of the individual
European equity markets did outperform the S&P 500 Index, even in dollar terms,
in spite of the strength of the U.S. dollar; these included Finland, Italy, and
Spain. Strong bond market performances came from several of these same
peripheral European nations, as the market came to accept that these economies
will most likely participate in the first round of European Monetary Union in
1999.
The Japanese stock market continued its pattern of offering great promise and
profound disappointment. The Nikkei skyrocketed to its year high in the second
calendar quarter, as unexpectedly strong fiscal year 1996 earnings buoyed the
market. And then in the third calendar quarter, Japan was the poorest
performing major EAFE market. Several equity markets elsewhere in Asia also saw
precipitous falls, as the Thai currency crisis set off in July sent the region
into a tailspin from which it has yet to recover. This currency crisis also
sent several of the Southeast Asian debt markets reeling. Japanese bond returns
lagged the other international markets on a fully-hedged basis.
Canada continued its strong performance both in stocks and bonds, reflecting its
growing, low inflation economy. Although the Bank of Canada has indicated that
further interest rate moves may be necessary to contain inflationary pressure,
fundamentals remain quite positive.
CASH
The U.S. dollar was strong versus most currencies, including the yen, the German
mark, and the British pound, during the semi-annual period. Strong domestic
economic growth, controlled inflation, and the Federal Reserve Board on hold,
along with high volatility in Asia and Latin America, added to the relative
attractiveness of the U.S. currency.
INVESTMENT REVIEW
Supported by the "new paradigm" of strong real growth and low inflation, as well
as by strong stock market momentum, low long-term interest rates, and a
relatively modest term premium, the Funds remained overweighted in U.S. stocks
for the semi-annual period. As U.S. equities were the leading market for the
six months, such an allocation was the primary reason for the Funds' strong
performance.
- -------------------
* Indexes are unmanaged, and investments cannot be made in an index. The S&P
500 Index emphasizes large capitalization stocks. The Russell 2000 Index
represents the U.S. small capitalization market.
3
<PAGE>
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BT INVESTMENT LIFECYCLE FUNDS
LETTER TO SHAREHOLDERS
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Even though this sector did not match S&P performance, the Funds' portfolios
remained competitive performers, and individual security selection remained
strong.
An underweight position in the U.S. bond market was supported by weak momentum
and increases in commodity prices, which, in turn, suggest inflationary
pressures. The Funds' U.S. bond portfolios beat the Salomon Broad Investment
Grade (BIG) Index* in the second calendar quarter and lagged it in the third
calendar quarter, to end the six months even versus the benchmark. Corporate
and mortgage issue selection accounted for both the relative out- and
underperformance.
The Funds' underweight position in U.S. bonds was used to fund a neutral
position in the international bond markets. International stock and bond market
exposure provided diversification of risk, but did not make a substantial
contribution to return during this period, although light investment in
international equity markets, most consistently in Germany, helped performance.
International bond market focus continued to be in Canada, France, and Japan++.
- - The Lifecycle Long Range Fund returned 18.92%+ for the six months ended
September 30, 1997, as compared to 16.93% for the Asset Allocation
Index-Long Range** and 17.99% for the Lipper Flexible Portfolio Average+++.
Since its inception on November 16, 1993, the Fund delivered a total return
of 66.86% cumulatively, or 14.14% annualized, as of September 30, 1997.
The Fund returned 27.62% for the year ended September 30, 1997. The Fund's
asset weightings were 65% in U.S. equities, 20% in U.S. bonds, 10% in
international bonds, 5% in international equities, and 0% in cash as of
September 30, 1997.
- - The Lifecycle Mid Range Fund returned 15.03%+ for the six months ended
September 30, 1997, as compared to 12.66% for the Asset Allocation
Index-Mid Range** and 17.99% for the Lipper Flexible Portfolio Average+++.
Since its inception on October 14, 1993, the Fund delivered a total return
of 46.62% cumulatively, or 10.14% annualized, as of September 30, 1997.
The Fund returned 21.78% for the year ended September 30, 1997. The
Fund's asset weightings were 45% in U.S. equities, 40% in U.S. bonds, 10%
in international bonds, 5% in international equities, and 0% in cash as of
September 30, 1997.
- - The Lifecycle Short Range Fund returned 10.96%+ for the six months ended
September 30, 1997, as compared to 8.49% for the Asset Allocation
Index-Short Range** and 14.32% for the Lipper Income Average+++. Since its
inception on October 15, 1993, the Fund delivered a total return of 32.37%
cumulatively, or 7.34% annualized, as of September 30, 1997. The Fund
returned 15.84% for the year ended September 30, 1997. The Fund's asset
weightings were 25% in U.S. equities, 52% in U.S. bonds, 10% in
international bonds, 5% in international equities, and 8% in cash as of
September 30, 1997.
MANAGER OUTLOOK
Strong underlying fundamentals in the consumer sector, continued capital
investment, and increased government spending are all expected to keep the U.S.
economy on a relatively upward course, at least into the new year. At some
point, we still anticipate that this relatively fast pace of economic growth
will generate some inflationary pressures. Rising wage rates in response to the
tight labor market conditions are bound to put some pressure on profit margins,
force prices higher, or both. As inflation picks up, interest rates are
expected to follow, although not to the degree feared earlier.
For the near term, then, the Funds remain overweight in U.S. stocks and
underweight in U.S. bonds. We believe that a continual slowing of corporate
profits growth, as the economy slows and as margins are crimped, heighten the
possibility of correction in equity prices, as do the high current valuations.
Any correction, though, is anticipated to be brief and mild, followed by renewed
strength. As for the U.S. bond market, we believe a cautious stance is still
warranted for now, although the long-term fundamentals for bonds are still
favorable.
We believe Continental European markets continue to offer the best prospects
both for international equities and bonds. In equities, France and the
periphery nations should benefit the most, as European unification will reward
companies that have taken the crucial steps required to be successful in the
increasingly competitive marketplace. With Japanese bonds at record low levels
and convergence being fully discounted in all but the shortest of maturities
across peripheral Europe, we believe the largest potential for gains in the
coming months appear to be in the intermediate sector of core European markets
such as Germany.
We will, of course, continue to closely observe economic conditions and how they
affect the financial markets, as we seek to provide high total return with
reduced risk over the long term.
We value your ongoing support of the BT Investment Lifecycle Funds and look
forward to continuing to serve your investment needs in the years ahead.
/s/ Philip Green
Philip Green
Portfolio Manager of the
LIFECYCLE FUNDS
September 30, 1997
- -------------------
* The Salomon Broad Investment Grade Index covers an all-inclusive universe
of institutionally-traded U.S. Treasury, agency, mortgage and corporate
securities.
** Indexes are unmanaged, and investments cannot be made in an index.
++ Foreign investing involves special risks, including currency risk,
increased volatility of foreign securities and differences in auditing and
other financial standards.
+ Performance quoted represents past performance and is not indicative of
future results. Investment return and principal value will fluctuate, so
that an investor's shares, when redeemed, may be worth more or less than
their original cost.
+++ Lipper figures represent the average of the total returns reported by all
of the mutual funds designated by Lipper Analytical Sevices, Inc. as
falling into the respective categories indicated. These figures do not
reflect sales charges.
4
<PAGE>
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BT INVESTMENT LIFECYCLE LONG RANGE FUND
LETTER TO SHAREHOLDERS
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DIVERSIFICATION OF PORTFOLIO INVESTMENTS
By Asset Class as of September 30, 1997
(PERCENTAGES ARE BASED ON MARKET VALUE)
[CHART]
Stocks 70%
Bonds 30%
This diversification pie chart shows the Fund's investment exposure to different
asset classes (i.e. stocks, bonds and cash) based on the risk characteristics of
the asset class rather than the actual instrument. For example, the Fund may buy
or sell a futures contract to increase or decrease the Fund's exposure to the
stock market.
FIVE LARGEST COMMON STOCK HOLDINGS
- --------------------------------------------------------------------------------
BankAmerica Corp.
- --------------------------------------------------------------------------------
Pfizer, Inc.
- --------------------------------------------------------------------------------
General Electric Co.
- --------------------------------------------------------------------------------
Merck & Co.
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Chase Manhattan Corp.
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FIVE LARGEST FIXED INCOME SECURITIES
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FNMA 7.500% 9/01/21
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US T-Notes 5.875% 9/30/02
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US T-Bond 7.625% 11/15/22
- --------------------------------------------------------------------------------
US T-Notes 6.000% 8/15/00
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Ford Motor Credit 6.250% 11/08/00
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
OBJECTIVE
Seeks high total return with reduced risk over the long term.
INVESTMENT INSTRUMENTS
Primarily common stocks, corporate and government issued intermediate- to
long-term bonds, various government agency issued asset-backed securities, and
all types of domestic and foreign securities and money market instruments.
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PERFORMANCE COMPARISON
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT IN THE BT INVESTMENT
LIFECYCLE LONG RANGE FUND, THE ASSET ALLOCATION INDEX-LONG RANGE AND THE S&P 500
INDEX SINCE NOVEMBER 30, 1993.
TOTAL RETURN FOR THE PERIOD
ENDED SEPTEMBER 30, 1997
Six Months Since 11/16/93*
---------- ---------------
18.92% 14.14%**
- -------------------
* The Fund's inception date.
** Annualized.
Investment return and principal value may fluctuate so that shares, when
redeemed, may be worth more or less than their original cost.
[GRAPH]
--BT Investment --Asset Allocation
Lifecycle Long Index --Long --S&P 500
Range Fund - $16,803 Range+ - $17,432 Index - $22,488
Nov-93 10000 10000 10000
Dec-93 10101 10089 10121
Mar-94 9748 9787 9737
Jun-94 9601 9786 9778
Sep-94 9766 10079 10256
Dec-94 9803 10112 10255
Mar-95 10392 10819 11253
Jun-95 11077 11550 12327
Sep-95 11560 12114 13307
Dec-95 12057 12621 14108
Mar-96 12408 12993 14865
Jun-96 12775 13650 15532
Sep-96 13167 14031 16013
Dec-96 13964 14902 17347
Mar-97 14130 15150 17812
Jun-97 15771 16525 20923
Sep-97 16803 17432 22488
Past performance is not indicative of future performance. The S&P 500 Index is
unmanaged, and investments may not be made in an index.
- -------------------
+ Asset allocation Index-Long Range is comprised of the following:
55% S&P 500 Index
35% Salomon Broad Investment Grade Bond Index
10% T-Bill 3-Month Index
5
<PAGE>
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BT INVESTMENT LIFECYCLE MID RANGE FUND
LETTER TO SHAREHOLDERS
- --------------------------------------------------------------------------------
DIVERSIFICATION OF PORTFOLIO INVESTMENTS
By Asset Class as of September 30, 1997
(PERCENTAGES ARE BASED ON MARKET VALUE)
[CHART]
Stocks 50% Bonds 50%
This diversification pie chart shows the Fund's investment exposure to different
asset classes (i.e. stocks, bonds and cash) based on the risk characteristics of
the asset class rather than the actual instrument. For example, the Fund may buy
or sell a futures contract to increase or decrease the Fund's exposure to the
stock market.
FIVE LARGEST COMMON STOCK HOLDINGS
- --------------------------------------------------------------------------------
BankAmerica Corp.
- --------------------------------------------------------------------------------
Pfizer, Inc.
- --------------------------------------------------------------------------------
General Electric Co.
- --------------------------------------------------------------------------------
Merck & Co.
- --------------------------------------------------------------------------------
Chase Manhattan Corp.
- --------------------------------------------------------------------------------
FIVE LARGEST FIXED INCOME SECURITIES
- --------------------------------------------------------------------------------
US T-Notes 5.875% 9/30/02
- --------------------------------------------------------------------------------
US T-Bonds 7.625% 11/15/22
- --------------------------------------------------------------------------------
US T-Notes 6.000% 8/15/00
- --------------------------------------------------------------------------------
GNMA 8.000% 7/15/25
- --------------------------------------------------------------------------------
FNMA 7.500% 9/01/21
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
OBJECTIVE
Seeks long term capital growth, current income and growth of income consistent
with reasonable investment risk.
INVESTMENT INSTRUMENTS
Primarily common stocks, corporate and government issued intermediate- to
long-term bonds, various government agency issued asset-backed securities, and
all types of domestic and foreign securities and money market instruments.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
PERFORMANCE COMPARISON
- --------------------------------------------------------------------------------
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT IN THE BT INVESTMENT
LIFECYCLE MID RANGE FUND, THE ASSET ALLOCATION INDEX-MID RANGE AND THE S&P 500
INDEX SINCE OCTOBER 31, 1993.
TOTAL RETURN FOR THE PERIOD
ENDED SEPTEMBER 30, 1997
Six Months Since 10/14/93*
---------- -------------
15.03% 10.14%**
- -------------------
* The Fund's inception date.
** Annualized.
Investment return and principal value may fluctuate so that shares, when
redeemed, may be worth more or less than their original cost.
[GRAPH]
--BT Investment
Lifecycle Mid Range --Asset Allocation Index --S&P 500
Fund - $14,780 --Mid Range+ - $15,388 Index - $22,275
Oct-93 10000 10000 10000
Dec-93 9955 10006 10024
Mar-94 9580 9763 9644
Jun-94 9486 9755 9685
Sep-94 9591 9967 10158
Dec-94 9620 10031 10157
Mar-95 10082 10585 11146
Jun-95 10636 11144 12210
Sep-95 10964 11530 13180
Dec-95 11404 11903 13973
Mar-96 11559 12126 14723
Jun-96 11851 12758 15384
Sep-96 11851 13048 15860
Dec-96 12738 13696 17182
Mar-97 12848 13859 17642
Jun-97 14011 14732 20724
Sep-97 14780 15388 22275
Past performance is not indicative of future performance. The S&P 500 Index is
unmanaged, and investments may not be made in an index.
- -------------------
+ Asset allocation Index-Mid Range is comprised of the following:
35% S&P 500 Index
45% Salomon Broad Investment Grade Bond Index
20% T-Bill 3-Month Index
6
<PAGE>
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BT INVESTMENT LIFECYCLE SHORT RANGE FUND
LETTER TO SHAREHOLDERS
- --------------------------------------------------------------------------------
DIVERSIFICATION OF PORTFOLIO INVESTMENTS
By Asset Class as of September 30, 1997
(PERCENTAGES ARE BASED ON MARKET VALUE)
[CHART]
Stocks 30%
Cash 8%
Bonds 62%
This diversification pie chart shows the Fund's investment exposure to different
asset classes (i.e. stocks, bonds and cash) based on the risk characteristics of
the asset class rather than the actual instrument. For example, the Fund may buy
or sell a futures contract to increase or decrease the Fund's exposure to the
stock market.
FIVE LARGEST COMMON STOCK HOLDINGS
- --------------------------------------------------------------------------------
BankAmerica Corp.
- --------------------------------------------------------------------------------
General Electric Co.
- --------------------------------------------------------------------------------
Pfizer, Inc.
- --------------------------------------------------------------------------------
Merck & Co.
- --------------------------------------------------------------------------------
Chase Manhattan Corp.
- --------------------------------------------------------------------------------
FIVE LARGEST FIXED INCOME SECURITIES
- --------------------------------------------------------------------------------
US T-Notes 6.000% 8/15/00
- --------------------------------------------------------------------------------
US T-Notes 5.875% 9/30/02
- --------------------------------------------------------------------------------
FNMA 7.500% 9/01/21
- --------------------------------------------------------------------------------
US T-Bond 7.625% 11/15/22
- --------------------------------------------------------------------------------
FNMA 7.000% 9/01/21
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
OBJECTIVE
Seeks high income over the long term consistent with conservation of capital.
INVESTMENT INSTRUMENTS
Primarily common stocks, corporate and government issued intermediate- to
long-term bonds, various government agency issued asset-backed securities, and
all types of domestic and foreign securities and money market instruments.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
PERFORMANCE COMPARISON
- --------------------------------------------------------------------------------
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT IN THE BT INVESTMENT
LIFECYCLE SHORT RANGE FUND, THE ASSET ALLOCATION INDEX-SHORT RANGE AND THE S&P
500 INDEX SINCE OCTOBER 31, 1993.
TOTAL RETURN FOR THE PERIOD
ENDED SEPTEMBER 30, 1997
Six Months Since 10/15/93*
---------- -------------
10.96% 7.34%**
- -------------------
* The Fund's inception date.
** Annualized.
Investment return and principal value may fluctuate so that shares, when
redeemed, may be worth more or less than their original cost.
[GRAPH]
--Asset Allocation
--BT Investment Lifecycle Index--Short --S&P 500
Short Range Fund - $13,317 Range+ - $13,664 Index - $22,275
Oct-93 10000 10000 10000
Dec-93 9956 10004 10024
Mar-94 9713 9817 9644
Jun-94 9592 9801 9685
Sep-94 9638 9935 10158
Dec-94 9674 10022 10157
Mar-95 10012 10432 11146
Jun-95 10462 10828 12210
Sep-95 10699 11038 13180
Dec-95 11069 11281 13973
Mar-96 11080 11354 14723
Jun-96 11298 11950 15384
Sep-96 11497 12181 15860
Dec-96 11497 12614 17182
Mar-97 12002 12694 17642
Jun-97 12769 13215 20724
Sep-97 13317 13664 22275
Past performance is not indicative of future performance. The S&P 500 Index is
unmanaged, and investments may not be made in an index.
- -------------------
+ Asset allocation Index-Short Range is comprised of the following:
15% S&P 500 Index
55% Salomon Broad Investment Grade Bond Index
30% T-Bill 3-Month Index
7
<PAGE>
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BT INVESTMENT LIFECYCLE FUNDS
STATEMENT OF ASSETS AND LIABILITIES SEPTEMBER 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LONG RANGE MID RANGE SHORT RANGE
------------ ----------- -----------
<S> <C> <C> <C>
ASSETS
Investment in Portfolio, at Value* . . . . . . . . . . . . . . . . . . . . . $106,375,187 $79,526,959 $38,714,406
Receivable for Shares of Beneficial Interest Subscribed. . . . . . . . . . . 222,927 169,641 94,198
Prepaid Expenses and Other . . . . . . . . . . . . . . . . . . . . . . . . . 5,958 5,878 5,866
------------ ----------- -----------
Total Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 106,604,072 79,702,478 38,814,470
------------ ----------- -----------
LIABILITIES
Due to Bankers Trust . . . . . . . . . . . . . . . . . . . . . . . . . . . . 31,291 20,874 8,310
Payable for Shares of Beneficial Interest Redeemed . . . . . . . . . . . . . 233,766 5,500 17,908
Accrued Expenses and Other . . . . . . . . . . . . . . . . . . . . . . . . . 22,026 22,082 21,850
Total Liabilities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 287,083 48,456 48,068
------------ ----------- -----------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $106,316,989 $79,654,022 $38,766,402
------------ ----------- -----------
------------ ----------- -----------
COMPOSITION OF NET ASSETS
Paid-in Capital. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 84,085,481 $66,771,263 $34,821,470
Undistributed (Overdistributed) Net Investment Income. . . . . . . . . . . . 11,433 12,867 (336,047)
Undistributed Net Realized Gain from Investments, Foreign Currencies,
Forward Foreign Currency and Futures Contracts . . . . . . . . . . . . . . 8,193,796 5,459,612 2,668,593
Net Unrealized Appreciation on:
Investments, Foreign Currencies and Forward Foreign Currency
Transactions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13,486,387 6,955,781 1,406,005
Futures Contracts. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 539,892 454,499 206,381
------------ ----------- -----------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $106,316,989 $79,654,022 $38,766,402
------------ ----------- -----------
------------ ----------- -----------
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE (net assets
divided by shares outstanding) . . . . . . . . . . . . . . . . . . . . . . . $ 14.05 $ 12.22 $ 11.10
------------ ----------- -----------
------------ ----------- -----------
SHARES OUTSTANDING ($0.001 par value per share, unlimited number of
shares of beneficial interest authorized). . . . . . . . . . . . . . . . . . 7,565,028 6,517,096 3,490,948
------------ ----------- -----------
------------ ----------- -----------
</TABLE>
- -------------------
* Allocated from Asset Management Portfolio, Asset Management Portfolio II
and Asset Management Portfolio III, respectively.
See Notes to Financial Statements on Pages 15 and 16
8
<PAGE>
- --------------------------------------------------------------------------------
BT INVESTMENT LIFECYCLE FUNDS
STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED SEPTEMBER 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LONG RANGE MID RANGE SHORT RANGE
------------ ----------- -----------
<S> <C> <C> <C>
INVESTMENT INCOME
Income, net* . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 1,425,002 $ 1,381,235 $ 820,340
------------ ----------- -----------
EXPENSES
Administration and Services Fees . . . . . . . . . . . . . . . . . . . . . . 312,042 235,662 117,432
Printing and Shareholder Reports . . . . . . . . . . . . . . . . . . . . . . 8,744 8,744 8,744
Registration Fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,353 4,395 4,309
Professional Fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,941 4,941 4,941
Trustees Fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,353 1,453 1,353
Miscellaneous. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,058 3,005 2,864
------------ ----------- -----------
Total Expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 334,491 258,200 139,643
Less Expenses Absorbed by Bankers Trust. . . . . . . . . . . . . . . . . . . (142,465) (113,177) (67,377)
------------ ----------- -----------
Net Expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 192,026 145,023 72,266
------------ ----------- -----------
NET INVESTMENT INCOME. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,232,976 1,236,212 748,074
------------ ----------- -----------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FOREIGN
CURRENCIES, FORWARD FOREIGN CURRENCY AND FUTURES CONTRACTS
Net Realized Gain (Loss) from:
Investment, Foreign Currency and Forward Foreign Currency
Transactions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (158,868) (33,971) 25,781
Futures Contracts. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,765,118 2,131,132 946,728
Net Change in Unrealized Appreciation on:
Investments, Foreign Currency and Forward Foreign Currency
Transactions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11,068,315 5,683,022 1,579,600
Futures Contracts. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,153,714 913,853 436,544
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS, FOREIGN
------------ ----------- -----------
CURRENCIES, FORWARD FOREIGN CURRENCY AND FUTURES CONTRACTS . . . . . . . . . . 14,828,279 8,694,036 2,988,653
------------ ----------- -----------
NET INCREASE IN NET ASSETS FROM OPERATIONS . . . . . . . . . . . . . . . . . . $ 16,061,255 $ 9,930,248 $ 3,736,727
------------ ----------- -----------
------------ ----------- -----------
</TABLE>
- -------------------
* Income allocated from Asset Management Portfolio, Asset Management
Portfolio II and Asset Management Portfolio III, respectively.
See Notes to Financial Statements on Pages 15 and 16
9
<PAGE>
- --------------------------------------------------------------------------------
BT INVESTMENT LIFECYCLE FUNDS
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LONG RANGE
----------------------------------------
FOR THE FOR THE
SIX MONTHS ENDED YEAR ENDED
SEPTEMBER 30, 1997+ MARCH 31, 1997
------------------- -------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS
Net Investment Income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 1,232,976 $ 1,831,370
Net Realized Gain from Investments, Foreign Currencies, Forward Foreign
Currency and Futures Contracts . . . . . . . . . . . . . . . . . . . . . . . . . . 2,606,250 6,543,684
Net Change in Unrealized Appreciation (Depreciation) on Investments, Foreign
Currencies, Forward Foreign Currency and Futures Contracts . . . . . . . . . . . . 12,222,029 (10,467)
------------------- -------------------
Net Increase in Net Assets from Operations . . . . . . . . . . . . . . . . . . . . . . 16,061,255 8,364,587
------------------- -------------------
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (1,228,929) (2,216,173)
Net Realized Gain from Investment Transactions . . . . . . . . . . . . . . . . . . . -- (2,901,114)
------------------- -------------------
Total Distributions. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (1,228,929) (5,117,287)
------------------- -------------------
CAPITAL TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST
Proceeds from Sales of Shares. . . . . . . . . . . . . . . . . . . . . . . . . . . . 23,327,936 21,938,721
Dividend Reinvestments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,228,929 5,117,271
Cost of Shares Redeemed. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (11,363,537) (8,024,398)
------------------- -------------------
Net Increase from Capital Transactions in Shares of Beneficial Interest. . . . . . . . 13,193,328 19,031,594
------------------- -------------------
TOTAL INCREASE IN NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 28,025,654 22,278,894
NET ASSETS
Beginning of Period. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 78,291,335 56,012,441
------------------- -------------------
End of Period (includes undistributed net investment income of $11,433 and $221,147,
respectively). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 106,316,989 $ 78,291,335
------------------- -------------------
------------------- -------------------
MID RANGE
----------------------------------------
FOR THE FOR THE
SIX MONTHS ENDED YEAR ENDED
SEPTEMBER 30, 1997+ MARCH 31, 1997
------------------- -------------------
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS
Net Investment Income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 1,236,212 $ 1,986,569
Net Realized Gain from Investments, Foreign Currencies, Forward Foreign
Currency and Futures Contracts . . . . . . . . . . . . . . . . . . . . . . . . . . 2,097,161 4,207,234
Net Change in Unrealized Appreciation (Depreciation) on Investments, Foreign
Currencies, Forward Foreign Currency and Futures Contracts . . . . . . . . . . . . 6,596,875 (257,947)
------------------- -------------------
Net Increase in Net Assets from Operations . . . . . . . . . . . . . . . . . . . . . 9,930,248 5,935,856
------------------- -------------------
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (1,249,161) (2,346,426)
Net Realized Gain from Investment Transactions . . . . . . . . . . . . . . . . . . . -- (2,020,093)
------------------- -------------------
Total Distributions. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (1,249,161) (4,366,519)
------------------- -------------------
CAPITAL TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST
Proceeds from Sales of Shares. . . . . . . . . . . . . . . . . . . . . . . . . . . . 12,350,373 11,583,017
Dividend Reinvestments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,249,070 4,366,423
Cost of Shares Redeemed. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (4,493,010) (7,118,197)
------------------- -------------------
Net Increase from Capital Transactions in Shares of Beneficial Interest. . . . . . . . 9,106,433 8,831,243
------------------- -------------------
TOTAL INCREASE IN NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17,787,520 10,400,580
NET ASSETS
Beginning of Period. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 61,866,502 51,465,922
------------------- -------------------
End of Period (includes undistributed net investment income of $12,867 and $295,906
respectively). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 79,654,022 $ 61,866,502
------------------- -------------------
------------------- -------------------
</TABLE>
- -------------------
+ Unaudited
See Notes to Financial Statements on Pages 15 and 16
10
<PAGE>
- --------------------------------------------------------------------------------
BT INVESTMENT LIFECYCLE FUNDS
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHORT RANGE
----------------------------------------
FOR THE FOR THE
SIX MONTHS ENDED YEAR ENDED
SEPTEMBER 30, 1997+ MARCH 31, 1997
------------------- -------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS
Net Investment Income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 748,074 $ 1,312,101
Net Realized Gain from Investments, Foreign Currencies, Forward Foreign
Currency and Futures Contracts . . . . . . . . . . . . . . . . . . . . . . . . . . 972,509 1,896,801
Net Change in Unrealized Appreciation (Depreciation) on Investments, Foreign
Currencies, Forward Foreign Currency and Futures Contracts . . . . . . . . . . . . 2,016,144 (778,720)
------------------- -------------------
Net Increase in Net Assets from Operations . . . . . . . . . . . . . . . . . . . . . 3,736,727 2,430,182
------------------- -------------------
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (1,102,862) (1,614,074)
------------------- -------------------
CAPITAL TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST
Proceeds from Sales of Shares. . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,834,031 6,206,095
Dividend Reinvestments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,102,862 1,614,074
Cost of Shares Redeemed. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (3,355,873) (4,983,599)
------------------- -------------------
Net Increase from Capital Transactions in Shares of Beneficial Interest. . . . . . . . 3,581,020 2,836,570
------------------- -------------------
TOTAL INCREASE IN NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,214,885 3,652,678
NET ASSETS
Beginning of Period. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 32,551,517 28,898,839
End of Period (includes undistributed (overdistributed) net investment income of
------------------- -------------------
$(336,047) and $176,046, respectively) . . . . . . . . . . . . . . . . . . . . . . . $ 38,766,402 $ 32,551,517
------------------- -------------------
------------------- -------------------
</TABLE>
- -------------------
+ Unaudited
See Notes to Financial Statements on Pages 15 and 16
11
<PAGE>
- --------------------------------------------------------------------------------
BT INVESTMENT LIFECYCLE 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 period
indicated for the BT Investment Lifecycle Long Range Fund.
<TABLE>
<CAPTION>
LONG RANGE
-----------------------------------------------------------------------------
FOR THE PERIOD
FOR THE YEAR ENDED NOVEMBER 16, 1993
FOR THE MARCH 31, (COMMENCEMENT
SIX MONTHS ENDED ------------------ OF OPERATIONS) TO
SEPTEMBER 30, 1997+ 1997 1996 1995 MARCH 31, 1994
-------------------- ---- ---- ---- -----------------
<S> <C> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE, BEGINNING OF PERIOD . . . . . . . . $11.96 $11.32 $10.07 $9.68 $10.00
-------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income. . . . . . . . . . . . . . . 0.14 0.35 0.37 0.30 0.02
Net Realized and Unrealized Gain (Loss) on
Investments, Foreign Currencies, Forward Foreign
Currency and Futures Contracts . . . . . . . . . 2.12 1.18 1.54 0.32 (0.34)
-------- -------- -------- -------- --------
Total from Investment Operations . . . . . . . . . . 2.26 1.53 1.91 0.62 (0.32)
-------- -------- -------- -------- --------
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income. . . . . . . . . . . . . . . (0.17) (0.39) (0.38) (0.23) --
Net Realized Gain from Investment Transactions . . -- (0.50) (0.28) -- --
-------- -------- -------- -------- --------
Total Distributions. . . . . . . . . . . . . . . . . (0.17) (0.89) (0.66) (0.23) --
-------- -------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD . . . . . . . . . . . $14.05 $11.96 $11.32 $10.07 $9.68
-------- -------- -------- -------- --------
-------- -------- -------- -------- --------
TOTAL INVESTMENT RETURN. . . . . . . . . . . . . . . 18.92% 13.88% 19.41% 6.60% (8.42)%*
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period (000s omitted) . . . . . $106,317 $78,291 $56,012 $13,366 $5,203
Ratios to Average Net Assets:
Net Investment Income. . . . . . . . . . . . . . 2.57%* 2.73% 3.58% 3.41% 2.69%*
Expenses, including Expenses of the Asset
Management Portfolio . . . . . . . . . . . . . 1.00%* 1.00% 1.00% 1.00% 1.00%*
Decrease Reflected in Above Expense Ratio Due to
Absorption of Expenses by Bankers Trust. . . . 0.45%* 0.48% 0.60% 0.91% 6.00%*
</TABLE>
- -------------------
+ Unaudited
* Annualized
See Notes to Financial Statements on Pages 15 and 16
12
<PAGE>
- --------------------------------------------------------------------------------
BT INVESTMENT LIFECYCLE 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 period
indicated for the BT Investment Lifecycle Mid Range Fund.
<TABLE>
<CAPTION>
MID RANGE
-----------------------------------------------------------------------------
FOR THE PERIOD
FOR THE YEAR ENDED OCTOBER 14, 1993
FOR THE MARCH 31, (COMMENCEMENT
SIX MONTHS ENDED ------------------ OF OPERATIONS) TO
SEPTEMBER 30, 1997+ 1997 1996 1995 MARCH 31, 1994
-------------------- ---- ---- ---- -----------------
<S> <C> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE, BEGINNING OF PERIOD . . . . . . . . $10.80 $10.48 $9.61 $9.45 $10.00
-------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income. . . . . . . . . . . . . . . 0.15 0.42 0.41 0.37 0.11
Net Realized and Unrealized Gain (Loss) on
Investments, Foreign Currencies, Forward Foreign
Currency and Futures Contracts. . . . . . . . . . 1.47 0.72 0.96 0.11 (0.60)
-------- -------- -------- -------- --------
Total from Investment Operations . . . . . . . . . . 1.62 1.14 1.37 0.48 (0.49)
-------- -------- -------- -------- --------
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income. . . . . . . . . . . . . . . (0.20) (0.44) (0.44) (0.32) (0.06)
Net Realized Gain from Investment Transactions . . -- (0.38) (0.06) -- --
-------- -------- -------- -------- --------
Total Distributions. . . . . . . . . . . . . . . . . (0.20) (0.82) (0.50) (0.32) (0.06)
-------- -------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD . . . . . . . . . . . $12.22 $10.80 $10.48 $9.61 $9.45
-------- -------- -------- -------- --------
-------- -------- -------- -------- --------
TOTAL INVESTMENT RETURN. . . . . . . . . . . . . . . 15.03% 11.16% 14.65% 5.24% (10.48)%*
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period (000s omitted) . . . . . $79,654 $61,867 $51,466 $25,733 $19,170
Ratios to Average Net Assets:
Net Investment Income. . . . . . . . . . . . . . 3.41%* 3.48% 4.15% 4.01% 2.77%*
Expenses, including Expenses of the Asset
Management Portfolio II . . . . . . . . . . . . 1.00%* 1.00% 1.00% 1.00% 1.00%*
Decrease Reflected in Above Expense Ratio Due to
Absorption of Expenses by Bankers Trust . . . . 0.49%* 0.55% 0.58% 0.76% 1.10%*
</TABLE>
- -------------------
+ Unaudited
* Annualized
See Notes to Financial Statements on Pages 15 and 16
13
<PAGE>
- --------------------------------------------------------------------------------
BT INVESTMENT LIFECYCLE 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 period
indicated for the BT Investment Lifecycle Short Range Fund.
<TABLE>
<CAPTION>
SHORT RANGE
-----------------------------------------------------------------------------
FOR THE PERIOD
FOR THE YEAR ENDED NOVEMBER 15, 1993
FOR THE MARCH 31, (COMMENCEMENT
SIX MONTHS ENDED ------------------ OF OPERATIONS) TO
SEPTEMBER 30, 1997+ 1997 1996 1995 MARCH 31, 1994
-------------------- ---- ---- ---- -----------------
<S> <C> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE, BEGINNING OF PERIOD . . . . . . . . $10.31 $10.03 $9.50 $9.60 $10.00
-------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income. . . . . . . . . . . . . . . 0.18 0.48 0.45 0.41 0.13
Net Realized and Unrealized Gain (Loss) on
Investments, Foreign Currencies, Forward Foreign
Currency and Futures Contracts. . . . . . . . . . 0.94 0.34 0.54 (0.13) (0.47)
-------- -------- -------- -------- --------
Total from Investment Operations . . . . . . . . . . 1.12 0.82 0.99 0.28 (0.34)
-------- -------- -------- -------- --------
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income. . . . . . . . . . . . . . . (0.33) (0.54) (0.46) (0.37) (0.06)
Net Realized Gain from Investment Transactions . . -- -- -- (0.01) --
-------- -------- -------- -------- --------
Total Distributions. . . . . . . . . . . . . . . . . (0.33) (0.54) (0.46) (0.38) (0.06)
-------- -------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD . . . . . . . . . . . $11.10 $10.31 $10.03 $9.50 $9.60
-------- -------- -------- -------- --------
-------- -------- -------- -------- --------
TOTAL INVESTMENT RETURN. . . . . . . . . . . . . . . 10.96% 8.32% 10.67% 3.08% (7.39)%*
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period (000s omitted) . . . . . $38,766 $32,552 $28,899 $21,137 $17,582
Ratios to Average Net Assets:
Net Investment Income . . . . . . . . . . . . . 4.14%* 4.24% 4.64% 4.47% 3.12%*
Expenses, including Expenses of the Asset
Management Portfolio III . . . . . . . . . . . 1.00%* 1.00% 1.00% 1.00% 1.00%*
Decrease Reflected in Above Expense Ratio Due to
Absorption of Expenses by Bankers Trust. . . . 0.59%* 0.65% 0.65% 0.82% 1.12%*
</TABLE>
- -------------------
+ Unaudited
* Annualized
See Notes to Financial Statements on Pages 15 and 16
14
<PAGE>
- --------------------------------------------------------------------------------
BT INVESTMENT LIFECYCLE FUNDS
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
NOTE 1--ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
A. ORGANIZATION
BT Investment Funds (the "Trust") is registered under the Investment Company Act
of 1940 (the "Act"), as amended, as an open-end management investment company.
The Trust was organized on July 21,1986, as a business trust under the laws of
the Commonwealth of Massachusetts. The BT Investment Lifecycle Long Range Fund,
Mid Range Fund and Short Range Fund (each a "Fund", and collectively, the
"Funds") are three of the funds offered to investors by the Trust. The Funds
commenced operations and began offering shares of beneficial interest on the
following dates:
COMMENCEMENT OF
OPERATIONS AND ISSUANCE
FUND OF BENEFICIAL INTEREST
- ---- -------------------------
Long Range. . . . . . . . . . . . . . . . . . . . . November 16, 1993
Mid Range . . . . . . . . . . . . . . . . . . . . . October 14, 1993
Short Range . . . . . . . . . . . . . . . . . . . . October 15, 1993
The Long Range Fund, Mid Range Fund and Short Range Fund invest substantially
all of their assets in the Asset Management Portfolio, Asset Management
Portfolio II and Asset Management Portfolio Ill (each a "Portfolio" and
collectively, the "Portfolios"), respectively. The Portfolios are open-end
management investment companies registered under the Act. The Funds seek to
achieve their investment objectives by investing all of their investable assets
in the respective Portfolio. The value of such investment in the Portfolios
reflects each Fund's proportionate interest in the net assets of the respective
Portfolio. At September 30, 1997, the Long Range Fund's investment was
approximately 23% of the Asset Management Portfolio, the Mid Range Fund's
investment was approximately 100% of the Asset Management Portfolio II and the
Short Range Fund's investment was approximately 100% of the Asset Management
Portfolio Ill.
The financial statements of each of the Portfolios, including the Schedules of
Portfolio Investments, are contained elsewhere in this report.
B. INVESTMENT INCOME
Each Fund earns income, net of expenses, daily on its investment in the
respective Portfolio. All of the net investment income and realized and
unrealized gains and losses from the security transactions of each Portfolio are
allocated pro rata among the investors in the Portfolio at the time of such
determination.
C. DIVIDENDS
It is each Fund's policy to declare and distribute dividends quarterly to
shareholders from net investment income. Dividends payable to shareholders are
recorded by each Fund on the ex-dividend date. Distributions of net realized
short-term and long-term capital gains, if any, will be made annually to the
extent they are not offset by any capital loss carryforwards.
D. FEDERAL INCOME TAXES
It is each Fund's policy to comply with the requirements of the Internal Revenue
Code applicable to regulated investment companies and distribute substantially
all of its taxable income to shareholders. Therefore, no federal income tax
provision is required.
E. OTHER
The Trust accounts separately for the assets, liabilities and operations of each
of the Funds. Expenses directly attributable to each Fund are charged to that
Fund, while expenses which are attributable to all of the Trust's funds are
allocated among them.
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions that
affect the reported amounts in the financial statements.
NOTE 2--FEES AND TRANSACTIONS WITH AFFILIATES
The Funds have entered into an Administration and Services Agreement with
Bankers Trust Company ("Bankers Trust"). Under this Administration and Services
Agreement, Bankers Trust provides administrative, custody, transfer agency and
shareholder services to each of the Funds in return for a fee computed daily and
paid monthly at an annual rate of 0.65 of 1% of each Fund's average daily net
assets. For the six months ended September 30, 1997, these fees aggregated
$312,042, $235,662 and $117,432 for the Long Range Fund, Mid Range Fund and
Short Range Fund, respectively.
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 six months ended September 30,
1997, there were no reimbursable expenses incurred under this agreement.
Bankers Trust has voluntarily undertaken to waive and reimburse expenses of each
Fund, to the extent necessary, to limit all expenses to 0.40 of 1% of the
average daily net assets of each Fund, excluding expenses of the respective
Portfolios and 1.00 of 1% of the average daily net assets of each Fund,
including expenses of the respective Portfolios. For the six months ended
September 30, 1997, expenses of the Long Range Fund, Mid Range Fund and Short
Range Fund have been reduced by $142,465, $113,177 and $67,377, respectively.
Certain trustees and officers of the Funds are also directors, officers and or
employees of Edgewood. None of the trustees so affiliated received compensation
for services as trustee of the Funds. Similarly, none of the Funds' officers
received compensation from the Funds.
15
<PAGE>
- --------------------------------------------------------------------------------
BT INVESTMENT LIFECYCLE FUNDS
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
NOTE 3--SHARES OF BENEFICIAL INTEREST
At September 30, 1997, there were an unlimited number of shares of benefical
interest authorized. Transactions in shares of beneficial interest were as
follows:
<TABLE>
<CAPTION>
FOR THE SIX MONTHS ENDED SEPTEMBER 30, 1997+
------------------------------------------------------------------------------------
LONG RANGE MID RANGE SHORT RANGE
------------------------ ------------------------ -----------------------
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
--------- ----------- --------- ----------- -------- ----------
<S> <C> <C> <C> <C> <C> <C>
Sold . . . . . . . . . . . . . . . . . 1,818,959 $23,327,936 1,069,874 $12,350,373 541,264 $5,834,031
Reinvested . . . . . . . . . . . . . . 89,507 1,228,929 104,159 1,249,070 101,275 1,102,862
Redeemed . . . . . . . . . . . . . . . (890,972) (11,363,537) (385,063) (4,493,010) (310,135) (3,355,873)
Increase . . . . . . . . . . . . . . . 1,017,494 $13,193,328 788,970 $9,106,433 332,404 $3,581,020
FOR THE YEAR ENDED MARCH 31, 1997
------------------------------------------------------------------------------------
LONG RANGE MID RANGE SHORT RANGE
------------------------ ------------------------ -----------------------
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
--------- ----------- --------- ----------- -------- ----------
Sold . . . . . . . . . . . . . . . . . 1,845,973 $21,938,721 1,072,022 $11,583,017 604,532 $6,206,095
Reinvested . . . . . . . . . . . . . . 433,151 5,117,271 405,573 4,366,423 158,464 1,614,074
Redeemed . . . . . . . . . . . . . . . (679,352) (8,024,398) (658,541) (7,118,197) (484,952) (4,983,599)
Increase . . . . . . . . . . . . . . . 1,599,772 $19,031,594 819,054 $8,831,243 278,044 $2,836,570
</TABLE>
+ Unaudited
16
<PAGE>
- --------------------------------------------------------------------------------
ASSET MANAGEMENT PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS SEPTEMBER 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES DESCRIPTION VALUE
------ ----------- ------------
<S> <C> <C>
COMMON STOCKS - 49.62%
AEROSPACE - 0.21%
17,600 Boeing Co.. . . . . . . . . . . . . . . . . . . . . . $ 958,100
------------
AIRLINES - 0.48%
14,300 AMR Corp. (a) . . . . . . . . . . . . . . . . . . . . 1,582,831
6,800 Delta Air Lines, Inc. . . . . . . . . . . . . . . . . 640,475
------------
2,223,306
------------
AUTO RELATED - 1.32%
28,500 Chrysler Corp.. . . . . . . . . . . . . . . . . . . . 1,049,156
53,000 Dana Corp.. . . . . . . . . . . . . . . . . . . . . . 2,616,875
36,900 General Motors Corp.. . . . . . . . . . . . . . . . . 2,469,994
------------
6,136,025
------------
BANKS - 3.97%
97,000 BankAmerica Corp. . . . . . . . . . . . . . . . . . . 7,111,312
54,900 BankBoston Corp.. . . . . . . . . . . . . . . . . . . 4,855,219
46,400 Chase Manhattan Corp. . . . . . . . . . . . . . . . . 5,475,200
7,700 Citicorp 1,031,319
------------
18,473,050
------------
BEVERAGES - 1.86%
37,200 Coca-Cola Co. . . . . . . . . . . . . . . . . . . . . 2,266,875
27,300 Coca-Cola Enterprises, Inc. . . . . . . . . . . . . . 735,394
127,300 PepsiCo, Inc. . . . . . . . . . . . . . . . . . . . . 5,163,606
13,800 Seagram Company Ltd.. . . . . . . . . . . . . . . . . 486,450
------------
8,652,325
------------
CHEMICALS AND TOXIC WASTE - 2.04%
9,600 Air Products & Chemical, Inc. . . . . . . . . . . . . 796,200
82,200 Du Pont (E.I.) de Nemours & Co. . . . . . . . . . . . 5,060,437
84,500 Monsanto Co.. . . . . . . . . . . . . . . . . . . . . 3,295,500
16,900 Solutia, Inc. (a) . . . . . . . . . . . . . . . . . . 338,000
------------
9,490,137
------------
COMPUTER SERVICES - 1.56%
52,100 Cisco Systems, Inc. (a) . . . . . . . . . . . . . . . 3,806,556
65,000 CUC International, Inc. (a) . . . . . . . . . . . . . 2,015,000
40,700 Seagate Technology, Inc. (a). . . . . . . . . . . . . 1,470,287
------------
7,291,843
------------
COMPUTER SOFTWARE - 1.41%
11,400 BMC Software, Inc. (a). . . . . . . . . . . . . . . . 738,150
36,850 Computer Associates International, Inc. . . . . . . . 2,646,291
14,200 Microsoft Corp. (a) . . . . . . . . . . . . . . . . . 1,878,837
35,625 Oracle Corp. (a). . . . . . . . . . . . . . . . . . . 1,298,086
------------
6,561,364
------------
DATA PROCESSING SERVICES - 0.33%
41,100 First Data Corp.. . . . . . . . . . . . . . . . . . . 1,543,819
------------
DIVERSIFIED - 2.09%
114,800 AlliedSignal, Inc.. . . . . . . . . . . . . . . . . . 4,879,000
14,100 Supervalu, Inc. . . . . . . . . . . . . . . . . . . . 553,425
21,400 Textron, Inc. . . . . . . . . . . . . . . . . . . . . 1,391,000
36,200 United Technologies Corp. . . . . . . . . . . . . . . 2,932,200
------------
9,755,625
------------
DRUGS - 3.20%
22,800 Lilly (Eli) & Co. . . . . . . . . . . . . . . . . . . 2,751,675
58,600 Merck & Co., Inc. . . . . . . . . . . . . . . . . . . 5,856,337
104,600 Pfizer, Inc.. . . . . . . . . . . . . . . . . . . . . 6,282,538
------------
14,890,550
------------
ELECTRICAL EQUIPMENT - 1.95%
48,400 Emerson Electric Co.. . . . . . . . . . . . . . . . . 2,789,050
92,200 General Electric Co.. . . . . . . . . . . . . . . . . 6,275,362
------------
9,064,412
------------
ELECTRONICS - 1.70%
51,400 Analog Devices, Inc. (a). . . . . . . . . . . . . . . 1,721,900
46,000 Intel Corp. . . . . . . . . . . . . . . . . . . . . . 4,246,375
23,900 LSI Logic Corp. (a) . . . . . . . . . . . . . . . . . 767,788
23,000 Xilinx, Inc. (a). . . . . . . . . . . . . . . . . . . 1,164,375
------------
7,900,438
------------
ENTERTAINMENT - 0.31%
18,027 Disney (Walt) Co. . . . . . . . . . . . . . . . . . . 1,453,427
------------
ENVIRONMENTAL CONTROL - 0.43%
47,000 U.S. Filter Corp. (a) . . . . . . . . . . . . . . . . 2,023,938
------------
FINANCIAL SERVICES - 2.27%
29,800 Associates First Capital Corp.-Cl. A. . . . . . . . . 1,855,050
71,900 Federal Home Loan Mortgage Corp.. . . . . . . . . . . 2,534,475
26,200 MBNA Corp.. . . . . . . . . . . . . . . . . . . . . . 1,061,100
20,400 Merrill Lynch & Co., Inc. . . . . . . . . . . . . . . 1,513,425
10,900 Price (T. Rowe) Associates, Inc.. . . . . . . . . . . 733,025
41,966 Travelers Group, Inc. . . . . . . . . . . . . . . . . 2,864,180
------------
10,561,255
------------
FOODS - 1.54%
44,500 CPC International, Inc. . . . . . . . . . . . . . . . 4,121,813
59,500 Sara Lee Corp.. . . . . . . . . . . . . . . . . . . . 3,064,250
------------
7,186,063
------------
HEALTHCARE DIVERSIFIED - 1.07%
8,400 Abbott Laboratories Co. . . . . . . . . . . . . . . . 537,075
77,400 Johnson & Johnson Co. . . . . . . . . . . . . . . . . 4,460,175
------------
4,997,250
------------
HOSPITAL SUPPLIES AND HEALTHCARE - 0.96%
36,700 Baxter International Inc. . . . . . . . . . . . . . . 1,917,575
19,800 Becton, Dickinson & Co. . . . . . . . . . . . . . . . 947,925
54,600 U.S. Surgical Corp. . . . . . . . . . . . . . . . . . 1,593,638
------------
4,459,138
------------
HOTEL/MOTEL - 0.66%
43,500 Marriott International, Inc.. . . . . . . . . . . . . 3,091,219
------------
HOUSEHOLD PRODUCTS - 1.32%
21,800 Clorox Co.. . . . . . . . . . . . . . . . . . . . . . 1,615,925
65,400 Procter & Gamble Co.. . . . . . . . . . . . . . . . . 4,516,688
------------
6,132,613
------------
INSURANCE - 1.56%
42,450 American International Group, Inc.. . . . . . . . . . 4,380,309
14,600 General Re Corp.. . . . . . . . . . . . . . . . . . . 2,898,100
------------
7,278,409
------------
METALS - 0.28%
20,000 Alcan Aluminium Ltd.. . . . . . . . . . . . . . . . . 695,000
21,600 Freeport-McMoRan Copper & Gold, Inc.-Cl. B. . . . . . 622,350
------------
1,317,350
------------
OFFICE EQUIPMENT AND COMPUTERS - 1.46%
38,200 Hewlett-Packard Co. . . . . . . . . . . . . . . . . . 2,657,288
26,400 International Business Machines Corp. . . . . . . . . 2,796,750
</TABLE>
See Notes to Financial Statements on Pages 31 through 33
17
<PAGE>
- --------------------------------------------------------------------------------
ASSET MANAGEMENT PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS SEPTEMBER 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES DESCRIPTION VALUE
------ ----------- ------------
<S> <C> <C>
15,900 Xerox Corp. . . . . . . . . . . . . . . . . . . . . . $ 1,338,581
------------
6,792,619
------------
OIL-DOMESTIC - 1.67%
5,800 Atlantic Richfield Co.. . . . . . . . . . . . . . . . 495,537
54,600 ENSCO International, Inc. . . . . . . . . . . . . . . 2,153,288
11,100 Louisiana Land & Exploration Co.. . . . . . . . . . . 869,269
26,900 Noble Drilling Corp. (a). . . . . . . . . . . . . . . 867,525
14,300 Phillips Petroleum Co.. . . . . . . . . . . . . . . . 738,237
61,300 Unocal Corp.. . . . . . . . . . . . . . . . . . . . . 2,651,225
------------
7,775,081
------------
OIL EQUIPMENT AND SERVICES - 0.47%
25,300 Apache Corp.. . . . . . . . . . . . . . . . . . . . . 1,084,738
13,200 Schlumberger Ltd. . . . . . . . . . . . . . . . . . . 1,111,275
------------
2,196,013
------------
OIL-INTERNATIONAL - 2.88%
8,700 Amoco Corp. . . . . . . . . . . . . . . . . . . . . . 838,462
11,600 Chevron Corp. . . . . . . . . . . . . . . . . . . . . 964,975
41,800 Exxon Corp. . . . . . . . . . . . . . . . . . . . . . 2,677,813
15,200 Mobil Corp. . . . . . . . . . . . . . . . . . . . . . 1,124,800
65,600 Royal Dutch Petroleum Co. . . . . . . . . . . . . . . 3,640,800
68,000 Texaco, Inc.. . . . . . . . . . . . . . . . . . . . . 4,177,750
------------
13,424,600
------------
PAPER AND FOREST PRODUCTS - 0.72%
29,300 Champion International Corp.. . . . . . . . . . . . . 1,785,469
28,800 International Paper Co. . . . . . . . . . . . . . . . 1,585,800
------------
3,371,269
------------
PRINTING AND PUBLISHING - 0.65%
44,500 McGraw-Hill Companies, Inc. . . . . . . . . . . . . . 3,012,094
------------
RAILROADS - 0.45%
21,600 Burlington Northern Santa Fe Corp.. . . . . . . . . . 2,087,100
------------
RETAIL - 2.00%
58,031 Dollar General Corp.. . . . . . . . . . . . . . . . . 1,976,689
31,200 Federated Department Stores, Inc. (a) . . . . . . . . 1,345,500
30,800 Lowe's Companies, Inc.. . . . . . . . . . . . . . . . 1,197,350
18,500 Nine West Group, Inc. (a) . . . . . . . . . . . . . . 727,281
26,400 Tiffany & Co. . . . . . . . . . . . . . . . . . . . . 1,122,000
79,900 Wal-Mart Stores, Inc. . . . . . . . . . . . . . . . . 2,926,337
------------
9,295,157
------------
TELECOMMUNICATIONS - 2.22%
81,700 AT&T Corp.. . . . . . . . . . . . . . . . . . . . . . 3,620,331
58,700 Comcast Corp.-Cl. A . . . . . . . . . . . . . . . . . 1,511,525
57,300 MCI Communications Corp.. . . . . . . . . . . . . . . 1,683,187
38,400 Motorola, Inc.. . . . . . . . . . . . . . . . . . . . 2,760,000
15,700 Sprint Corp.. . . . . . . . . . . . . . . . . . . . . 785,000
------------
10,360,043
------------
TOBACCO - 0.97%
109,100 Philip Morris Companies, Inc. . . . . . . . . . . . . 4,534,469
------------
UTILITY-ELECTRIC - 1.24%
16,900 American Electric Power Co. . . . . . . . . . . . . . 768,950
11,900 Dominion Resources, Inc.. . . . . . . . . . . . . . . 450,712
30,400 FPL Group, Inc. . . . . . . . . . . . . . . . . . . . 1,558,000
21,500 Ohio Edison Co. . . . . . . . . . . . . . . . . . . . 503,906
36,400 PG&E Corp.. . . . . . . . . . . . . . . . . . . . . . 844,025
16,500 Public Service Enterprise Group, Inc. . . . . . . . . $424,875
33,800 Texas Utilities Co. . . . . . . . . . . . . . . . . . 1,216,800
------------
5,767,268
------------
UTILITY-GAS, NATURAL GAS - 0.57%
46,000 Consolidated Natural Gas Co.. . . . . . . . . . . . . 2,676,625
------------
UTILITY-TELEPHONE - 1.80%
9,800 Ameritech Corp. . . . . . . . . . . . . . . . . . . . 651,700
7,700 Bell Atlantic Corp. . . . . . . . . . . . . . . . . . 619,369
17,800 BellSouth Corp. . . . . . . . . . . . . . . . . . . . 823,250
41,200 Frontier Corp.. . . . . . . . . . . . . . . . . . . . 947,600
81,500 GTE Corp. . . . . . . . . . . . . . . . . . . . . . . 3,698,063
12,128 Lucent Technologies, Inc. . . . . . . . . . . . . . . 986,916
10,900 SBC Communications, Inc.. . . . . . . . . . . . . . . 668,987
------------
8,395,885
------------
Total Common Stocks (Cost $175,261,084). . . . . . . . . . . . . . . . . 231,129,879
------------
<CAPTION>
PRINCIPAL
AMOUNT
---------
<S> <C> <C>
CORPORATE DEBT NON-CONVERTIBLE - 4.95%
FINANCIAL SERVICES - 3.42%
$ 195,000 Bank Negara Indonesia, 7.625%, 2/15/07. . . . . . . . 189,119
400,000 Bank of Boston Corp., 6.38%, 8/11/00. . . . . . . . . 400,352
500,000 Bayerische Landesbank, 6.17%, 2/01/06 . . . . . . . . 491,030
510,000 Chrysler Financial Corp., 6.11%, 7/28/99. . . . . . . 510,490
500,000 Dao Heng Bank Ltd., 7.75%, 1/24/07 (c). . . . . . . . 514,248
850,000 Dean Witter, Discover & Co., 6.875%, 3/01/03. . . . . 863,646
600,000 Felcor Suites, 7.625%, 10/01/07 . . . . . . . . . . . 595,254
2,400,000 Ford Motor Credit Co., 6.25%, 11/8/00 . . . . . . . . 2,401,862
600,000 Great Western Financial Corp., 6.375%, 7/01/00. . . . 601,489
940,000 IBM Credit Corp, 5.875%, 8/25/99. . . . . . . . . . . 935,657
475,000 International Bank Reconstruction &
Development, 8.875%, 3/01/26. . . . . . . . . . . . 594,943
1,375,000 KFW International Finance, 8.20%, 6/01/06 . . . . . . 1,529,147
600,000 Lehman Brothers Holdings-Ser. E, 6.30%,
8/11/99 . . . . . . . . . . . . . . . . . . . . . . 601,494
675,000 Meditrust, 7.114%, 8/15/04. . . . . . . . . . . . . . 679,413
880,000 NationsBank Corp., 7.00%, 9/15/01 . . . . . . . . . . 900,878
765,000 Paine Webber Group, Inc., 9.25%, 12/15/01 . . . . . . 839,189
400,000 Spieker Properties Inc., 7.50%, 10/01/07. . . . . . . 395,320
215,000 Standard Credit Card Master Trust, 6.55%,
10/07/05. . . . . . . . . . . . . . . . . . . . . . 216,006
735,000 St. George Bank Ltd., 7.15%, 6/18/07 (c). . . . . . . 743,426
930,000 Vesta Capital Trust I, 8.525%, 1/15/27. . . . . . . . 1,008,022
930,000 Wharf International Finance Ltd., 7.625%,
3/13/07 . . . . . . . . . . . . . . . . . . . . . . 941,461
------------
15,952,446
------------
FOREIGN INDUSTRIAL - 0.19%
19,000 Celulosa Arauco y Constitucion, 6.75%, 12/15/03 . . . 18,884
850,000 Celulosa Arauco y Constitucion, 6.95%, 9/15/05. . . . 851,190
------------
870,074
------------
INDUSTRIAL - 1.30%
300,000 Allied Waste North America, 10.25%, 12/01/06. . . . . 329,250
215,000 Auburn Hills Trust, 12.00%, 5/01/20 . . . . . . . . . 334,656
400,000 Banknorth Capital Trust I-Ser. 144A, 10.52%,
5/01/27 . . . . . . . . . . . . . . . . . . . . . . 421,551
270,000 Empress River Casino Finance, 10.75%, 4/01/02 . . . . 292,950
20,000 Federated Department Stores, Inc., 8.50%,
6/15/03 . . . . . . . . . . . . . . . . . . . . . . 21,644
380,000 Laidlaw, Inc., 6.65%, 10/01/04. . . . . . . . . . . . 377,416
</TABLE>
See Notes to Financial Statements on Pages 31 through 33
18
<PAGE>
- --------------------------------------------------------------------------------
ASSET MANAGEMENT PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS SEPTEMBER 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT DESCRIPTION VALUE
--------- ----------- ------------
<S> <C> <C>
$ 430,000 Loewen Group International, Inc.-Ser. 4,
8.25%, 10/15/03 . . . . . . . . . . . . . . . . . . $ 450,910
290,000 Marriott International, Series A, 6.75%,
12/15/03. . . . . . . . . . . . . . . . . . . . . . 289,751
145,000 Marriott International, Series B, 7.875%,
4/15/05 . . . . . . . . . . . . . . . . . . . . . . 153,810
800,000 Merck & Co., 5.76%, 5/03/37 . . . . . . . . . . . . . 819,203
415,000 Mutual Life Insurance Co., 11.25%, 8/15/24 (c). . . . 479,784
520,000 Tenet Healthcare Corp., 8.625%, 12/01/03. . . . . . . 550,142
485,000 Tenet Healthcare Corp., 9.625%, 9/01/02 . . . . . . . 532,288
535,000 Texas Instruments, Inc., 6.75%, 7/15/99 . . . . . . . 542,254
422,000 Worldcom, Inc., 9.375%, 1/15/04 . . . . . . . . . . . 449,360
------------
6,044,969
------------
UTILITY - 0.04%
35,000 Idaho Power Co., 8.00%, 3/15/04 . . . . . . . . . . . 37,550
140,000 Potomac Edison Co., 8.00%, 6/01/24. . . . . . . . . . 146,535
------------
184,085
------------
TOTAL CORPORATE DEBT NON-CONVERTIBLE (Cost $22,599,664). . . . . . . . . 23,051,574
------------
FOREIGN DEBT - 0.59%
260,000 Greater Beijing, 9.50%, 6/15/07 (c) . . . . . . . . . 259,350
125,000 Manitoba, 6.125%, 1/19/04 . . . . . . . . . . . . . . 123,141
735,000 New Zealand Government, 8.75%, 12/15/06 . . . . . . . 854,146
95,000 New Zealand Government, 10.625%, 11/15/05 . . . . . . 120,160
400,000 Quebec Province, 7.22%, 7/22/36 . . . . . . . . . . . 428,040
950,000 Republic of Lithuania, 7.125%, 7/22/02 (c). . . . . . 951,957
------------
TOTAL FOREIGN DEBT (Cost $2,683,103) . . . . . . . . . . . . . . . . . . 2,736,794
------------
SHARES
PREFERRED STOCKS - 0.31%
FINANCIAL SERVICES - 0.24%
480 Home Ownership Funding Corp.. . . . . . . . . . . . . 465,600
705 Home Ownership Funding Corp. II . . . . . . . . . . . 685,613
------------
1,151,213
------------
MISCELLANEOUS - 0.07%
314 1585 Broadway Corp. . . . . . . . . . . . . . . . . . 318,710
------------
TOTAL PREFERRED STOCKS (Cost $1,498,961) . . . . . . . . . . . . . . . . 1,469,923
------------
<CAPTION>
PRINCIPAL
AMOUNT
---------
<S> <C> <C>
U.S. GOVERNMENT AND AGENCY - 3.55%
432,722 FGHLMC, 6.50%, 4/01/11. . . . . . . . . . . . . . . . 430,288
100,453 FGHLMC, 9.50%, 2/01/25. . . . . . . . . . . . . . . . 107,693
325,000 FNMA, 8.625%, 11/10/04. . . . . . . . . . . . . . . . 337,066
458,841 FNMA, 6.00%, 12/01/08 . . . . . . . . . . . . . . . . 449,743
162,534 FNMA, 6.00%, 1/01/09. . . . . . . . . . . . . . . . . 158,673
15,438 FNMA, 6.00%, 1/01/09. . . . . . . . . . . . . . . . . 15,072
326,146 FNMA, 6.00%, 1/01/09. . . . . . . . . . . . . . . . . 319,942
547,354 FNMA, 7.00%, 8/01/10. . . . . . . . . . . . . . . . . 553,627
9,700,000 FNMA, 7.50%, 9/01/21. . . . . . . . . . . . . . . . . 9,872,786
383,975 FNMA, 6.50%, 10/01/23 . . . . . . . . . . . . . . . . 374,256
800,000 FNMA, 8.50%, 7/01/25. . . . . . . . . . . . . . . . . 836,250
150,000 FNMA, Global Bond, 6.35%, 11/23/01. . . . . . . . . . 149,930
700,000 FNMA TBA, 7.00%, 9/01/21. . . . . . . . . . . . . . . 698,032
$280,116 GNMA, 7.00%, 9/15/23. . . . . . . . . . . . . . . . . $280,379
572,800 GNMA, 8.50%, 10/20/24 . . . . . . . . . . . . . . . . 595,712
372,992 GNMA, 8.00%, 7/15/25. . . . . . . . . . . . . . . . . 385,931
957,357 GNMA, 7.00%, 3/15/26. . . . . . . . . . . . . . . . . 958,255
------------
TOTAL U.S. GOVERNMENT & AGENCY (Cost $16,377,912). . . . . . . . . . . . 16,523,635
------------
U.S. TREASURY SECURITIES - 4.15%
2,980,000 U.S. Treasury Bonds, 7.625%, 11/15/22 . . . . . . . . 3,397,203
1,570,000 U.S. Treasury Notes, 6.00%, 9/30/98 . . . . . . . . . 1,575,395
1,320,000 U.S. Treasury Notes, 5.875%, 8/31/99. . . . . . . . . 1,321,236
3,290,000 U.S. Treasury Notes, 6.00%, 8/15/00 . . . . . . . . . 3,301,305
2,140,000 U.S. Treasury Notes, 5.625%, 11/30/00 . . . . . . . . 2,121,609
265,000 U.S. Treasury Notes, 6.625%, 6/30/01. . . . . . . . . 270,673
4,270,000 U.S. Treasury Notes, 5.875%, 9/30/02. . . . . . . . . 4,247,310
550,000 U.S. Treasury Notes,7.00%, 7/15/06. . . . . . . . . . 579,989
1,660,000 U.S. Treasury Notes, 6.125%, 8/15/07. . . . . . . . . 1,661,040
855,000 U.S. Treasury Notes, 6.375%, 8/15/27. . . . . . . . . 851,389
------------
TOTAL U.S. TREASURY SECURITIES (Cost $19,181,076). . . . . . . . . . . . 19,327,149
------------
SHORT TERM INSTRUMENTS - 37.71%
MUTUAL FUNDS - 6.00%
27,942,445 BT Institutional Cash Management Fund . . . . . . . . 27,942,445
------------
REPURCHASE AGREEMENT - 4.68%
21,803,690 Sanwa Bank, dated 9/30/97, 6.02%, principal
and interest in the amount of $21,807,336,
due 10/01/97 (collateralized by U.S.
Treasury Notes, par value of $20,794,000,
7.00%, due 7/15/06, value of $22,108,252) . . . . . . 21,803,690
------------
U.S. TREASURY BILLS - 27.03%
128,005,000 4.07% to 5.07% maturing 10/02/97 to
2/05/98 (d) . . . . . . . . . . . . . . . . . . . . . 125,887,792
------------
TOTAL SHORT TERM INSTRUMENTS (Cost $175,612,884) . . . . . . . . . . . . 175,633,927
------------
TOTAL INVESTMENTS (Cost $413,214,684). . . . . . . . . . . . . 100.88% 469,872,881
Liabilities in Excess of Other Assets. . . . . . . . . . . . . (0.88)% (4,110,350)
------- ------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . 100.00% $465,762,531
------- ------------
------- ------------
</TABLE>
- -------------------
(a) Non-income producing security
(b) The following abbreviations are used in the portfolio description:
FGHLMC -- Federal Gold Home Loan Mortgage Corporation
FNMA -- Federal National Mortgage Association
GNMA -- Government National Mortgage Association
TBA -- To be announced
(c) Securities exempt from registration under Rule 144A of the Securities Act
of 1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers.
(d) Includes collateral with value of $2,989,797 for futures contracts.
See Notes to Financial Statements on Pages 31 through 33
19
<PAGE>
- --------------------------------------------------------------------------------
ASSET MANAGEMENT PORTFOLIO II
SCHEDULE OF PORTFOLIO INVESTMENTS SEPTEMBER 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES DESCRIPTION VALUE
------ ----------- ------------
<S> <C> <C>
COMMON STOCKS - 32.67%
AEROSPACE - 0.14%
2,000 Boeing Co.. . . . . . . . . . . . . . . . . . . . . . $ 108,875
------------
AIRLINES - 0.33%
1,700 AMR Corp. (a) . . . . . . . . . . . . . . . . . . . . 188,169
800 Delta Air Lines, Inc. . . . . . . . . . . . . . . . . 75,350
------------
263,519
------------
AUTO RELATED - 0.85%
3,100 Chrysler Corp.. . . . . . . . . . . . . . . . . . . . 114,119
5,800 Dana Corp.. . . . . . . . . . . . . . . . . . . . . . 286,375
4,100 General Motors Corp.. . . . . . . . . . . . . . . . . 274,444
------------
674,938
------------
BANKS - 2.59%
10,800 BankAmerica Corp. . . . . . . . . . . . . . . . . . . 791,775
6,160 BankBoston Corp.. . . . . . . . . . . . . . . . . . . 544,775
5,100 Chase Manhattan Corp. . . . . . . . . . . . . . . . . 601,800
900 Citicorp . . . . . . . . . . . . . . . . . . . . . . 120,544
------------
2,058,894
------------
BEVERAGES - 1.23%
4,100 Coca-Cola Co. . . . . . . . . . . . . . . . . . . . . 249,844
3,300 Coca-Cola Enterprises, Inc. . . . . . . . . . . . . . 88,894
14,200 PepsiCo, Inc. . . . . . . . . . . . . . . . . . . . . 575,987
1,700 Seagram Company Ltd.. . . . . . . . . . . . . . . . . 59,925
------------
974,650
------------
CHEMICALS AND TOXIC WASTE - 1.32%
1,100 Air Products & Chemical, Inc. . . . . . . . . . . . . 91,231
9,000 Du Pont (E.I.) de Nemours & Co. . . . . . . . . . . . 554,062
9,400 Monsanto Co.. . . . . . . . . . . . . . . . . . . . . 366,600
1,880 Solutia, Inc. (a) . . . . . . . . . . . . . . . . . . 37,600
------------
1,049,493
------------
COMPUTER SERVICES - 1.02%
5,700 Cisco Systems, Inc. (a) . . . . . . . . . . . . . . . 416,456
7,300 CUC International, Inc. (a) . . . . . . . . . . . . . 226,300
4,600 Seagate Technology, Inc. (a). . . . . . . . . . . . . 166,175
------------
808,931
------------
COMPUTER SOFTWARE - 0.97%
1,400 BMC Software, Inc. (a). . . . . . . . . . . . . . . . 90,650
4,100 Computer Associates International, Inc. . . . . . . . 294,431
1,800 Microsoft Corp. (a) . . . . . . . . . . . . . . . . . 238,162
3,975 Oracle Corp. (a). . . . . . . . . . . . . . . . . . . 144,839
------------
768,082
------------
DATA PROCESSING SERVICES - 0.21%
4,400 First Data Corp.. . . . . . . . . . . . . . . . . . . 165,275
------------
DIVERSIFIED - 1.40%
12,800 AlliedSignal, Inc.. . . . . . . . . . . . . . . . . . 544,000
1,700 Supervalu, Inc. . . . . . . . . . . . . . . . . . . . 66,725
2,600 Textron, Inc. . . . . . . . . . . . . . . . . . . . . 169,000
4,100 United Technologies Corp. . . . . . . . . . . . . . . 332,100
------------
1,111,825
------------
DRUGS - 2.07%
2,500 Lilly (Eli) & Co. . . . . . . . . . . . . . . . . . . 301,719
6,500 Merck & Co., Inc. . . . . . . . . . . . . . . . . . . 649,594
11,600 Pfizer, Inc.. . . . . . . . . . . . . . . . . . . . . 696,725
------------
1,648,038
------------
ELECTRICAL EQUIPMENT - 1.26%
5,400 Emerson Electric Co.. . . . . . . . . . . . . . . . . 311,175
10,200 General Electric Co.. . . . . . . . . . . . . . . . . 694,237
------------
1,005,412
------------
ELECTRONICS - 1.12%
5,700 Analog Devices, Inc. (a). . . . . . . . . . . . . . . 190,950
5,200 Intel Corp. . . . . . . . . . . . . . . . . . . . . . 480,025
2,700 LSI Logic Corp. (a) . . . . . . . . . . . . . . . . . 86,738
2,600 Xilinx, Inc. (a). . . . . . . . . . . . . . . . . . . 131,625
------------
889,338
------------
ENTERTAINMENT - 0.20%
1,978 Disney (Walt) Co. . . . . . . . . . . . . . . . . . . 159,476
------------
ENVIRONMENTAL CONTROL - 0.29%
5,300 U.S. Filter Corp. (a) . . . . . . . . . . . . . . . . 228,231
------------
FINANCIAL SERVICES - 1.50%
3,200 Associates First Capital Corp.-Cl. A. . . . . . . . . 199,200
8,100 Federal Home Loan Mortgage Corp.. . . . . . . . . . . 285,525
2,975 MBNA Corp.. . . . . . . . . . . . . . . . . . . . . . 120,488
2,400 Merrill Lynch & Co., Inc. . . . . . . . . . . . . . . 178,050
1,300 Price (T. Rowe) Associates, Inc.. . . . . . . . . . . 87,425
4,733 Travelers Group, Inc. . . . . . . . . . . . . . . . . 323,027
------------
1,193,715
------------
FOODS - 1.00%
4,900 CPC International, Inc. . . . . . . . . . . . . . . . 453,863
6,600 Sara Lee Corp.. . . . . . . . . . . . . . . . . . . . 339,900
------------
793,763
------------
HEALTHCARE DIVERSIFIED - 0.70%
1,000 Abbott Laboratories Co. . . . . . . . . . . . . . . . 63,938
8,600 Johnson & Johnson Co. . . . . . . . . . . . . . . . . 495,575
------------
559,513
------------
HOSPITAL SUPPLIES AND HEALTHCARE - 0.63%
4,100 Baxter International Inc. . . . . . . . . . . . . . . 214,225
2,200 Becton, Dickinson & Co. . . . . . . . . . . . . . . . 105,325
6,100 U.S. Surgical Corp. . . . . . . . . . . . . . . . . . 178,044
------------
497,594
------------
HOTEL/MOTEL - 0.43%
4,800 Marriott International, Inc.. . . . . . . . . . . . . 341,100
------------
HOUSEHOLD PRODUCTS - 0.87%
2,600 Clorox Co.. . . . . . . . . . . . . . . . . . . . . . 192,725
7,200 Procter & Gamble Co.. . . . . . . . . . . . . . . . . 497,250
------------
689,975
------------
INSURANCE - 1.05%
4,650 American International Group, Inc.. . . . . . . . . . 479,822
1,800 General Re Corp.. . . . . . . . . . . . . . . . . . . 357,300
------------
837,122
------------
METALS - 0.18%
2,200 Alcan Aluminium Ltd.. . . . . . . . . . . . . . . . . 76,450
2,400 Freeport-McMoRan Copper & Gold, Inc.-Cl. B. . . . . . 69,150
------------
145,600
------------
OFFICE EQUIPMENT AND COMPUTERS - 0.98%
4,300 Hewlett-Packard Co. . . . . . . . . . . . . . . . . . 299,119
3,200 International Business Machines Corp. . . . . . . . . 339,000
</TABLE>
See Notes to Financial Statements on Pages 31 through 33
20
<PAGE>
- --------------------------------------------------------------------------------
ASSET MANAGEMENT PORTFOLIO II
SCHEDULE OF PORTFOLIO INVESTMENTS SEPTEMBER 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES DESCRIPTION VALUE
------ ----------- ------------
<S> <C> <C>
1,700 Xerox Corp. . . . . . . . . . . . . . . . . . . . . . $ 143,119
------------
781,238
------------
OIL-DOMESTIC - 1.10%
600 Atlantic Richfield Co.. . . . . . . . . . . . . . . . 51,262
6,200 ENSCO International, Inc. . . . . . . . . . . . . . . 244,512
1,300 Louisiana Land & Exploration Co.. . . . . . . . . . . 101,806
3,000 Noble Drilling Corp. (a). . . . . . . . . . . . . . . 96,750
1,700 Phillips Petroleum Co.. . . . . . . . . . . . . . . . 87,763
6,800 Unocal Corp.. . . . . . . . . . . . . . . . . . . . . 294,100
------------
876,193
------------
OIL EQUIPMENT AND SERVICES - 0.32%
2,800 Apache Corp.. . . . . . . . . . . . . . . . . . . . . 120,050
1,600 Schlumberger Ltd. . . . . . . . . . . . . . . . . . . 134,700
------------
254,750
------------
OIL-INTERNATIONAL - 1.95%
1,000 Amoco Corp. . . . . . . . . . . . . . . . . . . . . . 96,375
1,400 Chevron Corp. . . . . . . . . . . . . . . . . . . . . 116,463
4,600 Exxon Corp. . . . . . . . . . . . . . . . . . . . . . 294,687
1,800 Mobil Corp. . . . . . . . . . . . . . . . . . . . . . 133,200
8,000 Royal Dutch Petroleum Co. . . . . . . . . . . . . . . 444,000
7,600 Texaco, Inc.. . . . . . . . . . . . . . . . . . . . . 466,925
------------
1,551,650
------------
PAPER AND FOREST PRODUCTS - 0.46%
3,200 Champion International Corp.. . . . . . . . . . . . . 195,000
3,100 International Paper Co. . . . . . . . . . . . . . . . 170,694
------------
365,694
------------
PRINTING AND PUBLISHING - 0.42%
4,900 McGraw-Hill Companies, Inc. . . . . . . . . . . . . . 331,669
------------
RAILROADS - 0.29%
2,400 Burlington Northern Santa Fe Corp.. . . . . . . . . . 231,900
------------
RETAIL - 1.30%
6,375 Dollar General Corp.. . . . . . . . . . . . . . . . . 217,147
3,500 Federated Department Stores, Inc. (a) . . . . . . . . 150,938
3,400 Lowe's Companies, Inc.. . . . . . . . . . . . . . . . 132,175
2,100 Nine West Group, Inc. (a) . . . . . . . . . . . . . . 82,556
3,000 Tiffany & Co. . . . . . . . . . . . . . . . . . . . . 127,500
8,800 Wal-Mart Stores, Inc. . . . . . . . . . . . . . . . . 322,300
------------
1,032,616
------------
TELECOMMUNICATIONS - 1.98%
9,100 AT&T Corp.. . . . . . . . . . . . . . . . . . . . . . 403,244
6,600 Comcast Corp.-Cl. A . . . . . . . . . . . . . . . . . 169,950
9,100 GTE Corp. . . . . . . . . . . . . . . . . . . . . . . 412,912
6,400 MCI Communications Corp.. . . . . . . . . . . . . . . 188,000
4,300 Motorola, Inc.. . . . . . . . . . . . . . . . . . . . 309,063
1,900 Sprint Corp.. . . . . . . . . . . . . . . . . . . . . 95,000
------------
1,578,169
------------
TOBACCO - 0.64%
12,300 Philip Morris Companies, Inc. . . . . . . . . . . . . 511,219
------------
UTILITY-ELECTRIC - 0.82%
2,000 American Electric Power Co. . . . . . . . . . . . . . 91,000
1,400 Dominion Resources, Inc.. . . . . . . . . . . . . . . 53,025
3,400 FPL Group, Inc. . . . . . . . . . . . . . . . . . . . 174,250
2,400 Ohio Edison Co. . . . . . . . . . . . . . . . . . . . 56,250
4,000 PG&E Corp.. . . . . . . . . . . . . . . . . . . . . . $92,750
2,000 Public Service Enterprise Group, Inc. . . . . . . . . 51,500
3,800 Texas Utilities Co. . . . . . . . . . . . . . . . . . 136,800
------------
655,575
------------
UTILITY-GAS, NATURAL GAS - 0.37%
5,100 Consolidated Natural Gas Co.. . . . . . . . . . . . . 296,756
------------
UTILITY-TELEPHONE - 0.68%
1,200 Ameritech Corp. . . . . . . . . . . . . . . . . . . . 79,800
900 Bell Atlantic Corp. . . . . . . . . . . . . . . . . . 72,394
1,900 BellSouth Corp. . . . . . . . . . . . . . . . . . . . 87,875
4,600 Frontier Corp.. . . . . . . . . . . . . . . . . . . . 105,800
1,396 Lucent Technologies, Inc. . . . . . . . . . . . . . . 113,600
1,300 SBC Communications, Inc.. . . . . . . . . . . . . . . 79,787
------------
539,256
------------
TOTAL COMMON STOCKS (Cost $19,354,343) . . . . . . . . . . . . . . . . . 25,980,044
------------
<CAPTION>
PRINCIPAL
AMOUNT
---------
<S> <C> <C>
CORPORATE DEBT NON-CONVERTIBLE - 7.46%
FINANCIAL SERVICES - 4.49%
$150,000 American Express Master Trust, 5.375%,
7/15/01 . . . . . . . . . . . . . . . . . . . . . . 147,176
60,000 Bank Negara Indonesia, 7.625%, 2/15/07. . . . . . . . 58,190
125,000 Bank of Boston Corp., 6.38%, 8/11/00. . . . . . . . . 125,110
100,000 Banknorth Capital Trust I-Ser. 144A, 10.52%,
5/01/27 . . . . . . . . . . . . . . . . . . . . . . 105,388
187,000 Bayerische Landesbank, 6.17%, 2/01/06 . . . . . . . . 183,645
150,000 Chrysler Financial Corp., 6.11%, 7/28/99. . . . . . . 150,144
145,000 Dao Heng Bank Ltd., 7.75%, 1/24/07 (c). . . . . . . . 149,132
230,000 Dean Witter, Discover & Co., 6.875%, 3/01/03. . . . . 233,692
175,000 Felcor Suites LP, 7.625%, 10/01/07. . . . . . . . . . 173,616
90,000 Ford Motor Credit Co., 6.25%, 11/8/00 . . . . . . . . 90,070
85,000 GMAC, 8.625%, 1/18/01 . . . . . . . . . . . . . . . . 90,925
280,000 IBM Credit Corp, 5.875%, 8/25/99. . . . . . . . . . . 278,706
40,000 International Bank Reconstruction &
Development, 8.875%, 3/01/26. . . . . . . . . . . . 50,100
55,000 KFW International Finance, 8.20%, 6/01/06 . . . . . . 61,166
175,000 Lehman Brothers Holdings-Ser. E, 6.30%,
8/11/99 . . . . . . . . . . . . . . . . . . . . . . 175,436
200,000 Meditrust, 7.114%, 8/15/04. . . . . . . . . . . . . . 201,308
280,000 Paine Webber Group, Inc., 9.25%, 12/15/01 . . . . . . 307,154
115,000 Spieker Properties, Inc., 7.50%, 10/01/27 . . . . . . 113,655
130,000 Standard Credit Card Master Trust, 6.55%,
10/07/05. . . . . . . . . . . . . . . . . . . . . . 130,608
215,000 St. George Bank Ltd., 7.15%, 6/18/07 (c). . . . . . . 217,465
275,000 Vesta Capital, 8.525%, 1/15/27. . . . . . . . . . . . 298,071
230,000 Wharf International Finance Ltd., 7.625%,
3/13/07 . . . . . . . . . . . . . . . . . . . . . . 232,835
------------
3,573,592
------------
FOREIGN INDUSTRIAL - 0.33%
26,000 Celulosa Arauco y Constitucion, 6.75%,
12/15/03. . . . . . . . . . . . . . . . . . . . . . 25,841
235,000 Celulosa Arauco y Constitucion, 6.95%,
9/15/05 . . . . . . . . . . . . . . . . . . . . . . 235,329
------------
261,170
------------
INDUSTRIAL - 2.50%
85,000 Allied Waste North America, 10.25%, 12/01/06. . . . . 93,288
135,000 Auburn Hills Trust, 12.00%, 5/01/20 . . . . . . . . . 210,133
</TABLE>
See Notes to Financial Statements on Pages 31 through 33
21
<PAGE>
- --------------------------------------------------------------------------------
ASSET MANAGEMENT PORTFOLIO II
SCHEDULE OF PORTFOLIO INVESTMENTS SEPTEMBER 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT DESCRIPTION VALUE
--------- ----------- ------------
<S> <C> <C>
$100,000 Empress River Casino Finance, 10.75%,
4/01/02 . . . . . . . . . . . . . . . . . . . . . . $108,500
80,000 Federated Department Stores, Inc., 8.50%,
6/15/03 . . . . . . . . . . . . . . . . . . . . . . 86,577
125,000 Laidlaw, Inc., 6.65%, 10/01/04. . . . . . . . . . . . 124,150
170,000 Loewen Group International, Inc.-Ser. 4,
8.25%, 10/15/03 . . . . . . . . . . . . . . . . . . 178,266
150,000 Marriott International, Inc., 7.125%, 6/01/07. . . . 152,599
85,000 Marriott International, Series A, 6.75%,
12/15/03. . . . . . . . . . . . . . . . . . . . . . 84,927
45,000 Marriott International, Series B, 7.875%,
4/15/05 . . . . . . . . . . . . . . . . . . . . . . 47,734
200,000 Merck & Co., 5.76%, 5/03/37 . . . . . . . . . . . . . 204,801
95,000 Tenet Healthcare Corp., 8.625%, 12/01/03. . . . . . . 100,507
200,000 Tenet Healthcare Corp., 9.625%, 9/01/02 . . . . . . . 219,500
200,000 Texas Instruments, Inc., 6.75%, 7/15/99 . . . . . . . 202,712
161,000 Worldcom, Inc., 9.375%, 1/15/04 . . . . . . . . . . . 171,438
------------
1,985,132
------------
UTILITY - 0.14%
45,000 Idaho Power Co., 8.00%, 3/15/04 . . . . . . . . . . . 48,279
60,000 Potomac Edison Co., 8.00%, 6/01/24. . . . . . . . . . 62,801
------------
111,080
------------
TOTAL CORPORATE DEBT NON-CONVERTIBLE (Cost $5,837,318) . . . . . . . . . 5,930,974
------------
FOREIGN DEBT - 1.01%
100,000 Greater Beijing, 9.50%, 6/15/07 (c) . . . . . . . . . 99,750
125,000 Manitoba, 6.125%, 1/19/04 . . . . . . . . . . . . . . 123,141
45,000 New Zealand Government, 8.75%, 12/15/06. . . . . . . 52,295
65,000 New Zealand Government, 10.625%, 11/15/05 . . . . . . 82,214
155,000 Quebec Province, 7.22%, 7/22/36 . . . . . . . . . . . 165,866
280,000 Republic of Lithuania, 7.125%, 7/22/02 (c). . . . . . 280,577
------------
TOTAL FOREIGN DEBT (Cost $787,453) . . . . . . . . . . . . . . . . . . . 803,843
------------
<CAPTION>
SHARES
- -------
<S> <C> <C>
PREFERRED STOCKS - 0.72%
FINANCIAL SERVICES - 0.56%
195 Home Ownership Funding Corp.. . . . . . . . . . . . . 189,150
265 Home Ownership Funding Corp. II . . . . . . . . . . . 257,713
------------
446,863
------------
MISCELLANEOUS - 0.16%
128 1585 Broadway . . . . . . . . . . . . . . . . . . . . 129,920
------------
TOTAL PREFERRED STOCKS (Cost $587,998) . . . . . . . . . . . . . . . . . 576,783
------------
<CAPTION>
PRINCIPAL
AMOUNT
---------
<S> <C> <C>
U.S. GOVERNMENT AND AGENCY - 6.17%
$373,378 FGHLMC, 6.50%, 8/01/11. . . . . . . . . . . . . . . . 371,278
259,385 FGHLMC, 9.50%, 2/01/25. . . . . . . . . . . . . . . . 278,081
140,000 FNMA, 8.625%, 11/10/04. . . . . . . . . . . . . . . . 145,198
458,841 FNMA, 6.00%, 12/01/08 . . . . . . . . . . . . . . . . 449,742
172,141 FNMA, 7.50%, 7/01/11. . . . . . . . . . . . . . . . . 176,283
600,000 FNMA, 7.50%, 9/01/21. . . . . . . . . . . . . . . . . 610,688
200,000 FNMA, 8.50%, 7/01/25. . . . . . . . . . . . . . . . . 209,062
50,000 FNMA, Global Bond, 6.35%, 11/23/01. . . . . . . . . . 49,977
600,000 FNMA TBA, 7.00%, 9/01/21. . . . . . . . . . . . . . . 598,313
598,303 GNMA, 6.50%, 9/15/23. . . . . . . . . . . . . . . . . 585,589
865,844 GNMA, 8.00%, 7/15/25. . . . . . . . . . . . . . . . . 895,879
501,490 GNMA, 9.00%, 10/15/25 . . . . . . . . . . . . . . . . 534,871
------------
TOTAL U.S. GOVERNMENT & AGENCY (Cost $4,865,211) . . . . . . . . . . . . 4,904,961
------------
U.S. TREASURY SECURITIES - 7.25%
1,070,000 U.S. Treasury Bonds, 7.625%, 11/15/22 . . . . . . . . 1,219,801
260,000 U.S. Treasury Notes, 6.00%, 9/30/98 . . . . . . . . . 260,894
60,000 U.S. Treasury Notes, 5.875%, 8/31/99. . . . . . . . . 60,056
940,000 U.S. Treasury Notes, 6.00%, 8/15/00 . . . . . . . . . 943,230
450,000 U.S. Treasury Notes, 5.625%, 11/30/00 . . . . . . . . 446,133
65,000 U.S. Treasury Notes, 6.625%, 6/30/01. . . . . . . . . 66,392
1,710,000 U.S. Treasury Notes, 5.875%, 9/30/02. . . . . . . . . 1,700,913
270,000 U.S. Treasury Notes, 7.00%, 7/15/06 . . . . . . . . . 284,765
505,000 U.S. Treasury Notes, 6.125%, 8/15/07. . . . . . . . . 505,316
280,000 U.S. Treasury Notes, 6.375%, 8/15/27. . . . . . . . . 278,817
------------
TOTAL U.S. TREASURY SECURITIES (Cost $5,716,942) . . . . . . . . . . . . 5,766,317
------------
SHORT TERM INSTRUMENTS - 44.91%
MUTUAL FUNDS - 16.78%
13,340,095 BT Institutional Cash Management Fund . . . . . . . . 13,340,095
------------
REPURCHASE AGREEMENT - 5.22%
4,153,020 Sanwa Bank, dated 9/30/97, 6.02% principal
and interest in the amount of $4,153,714
due 10/01/97 (collateralized by U.S.
Treasury Notes, par value of $3,915,000,
7.00%, due 7/15/06, value of $4,215,208). . . . . . 4,153,020
------------
TREASURY BILLS - 22.91%
18,530,000 4.97% to 5.07% maturing 10/02/97 to
2/05/98 (d) . . . . . . . . . . . . . . . . . . . . 18,221,528
------------
TOTAL SHORT TERM INSTRUMENTS (Cost $35,711,498). . . . . . . . . . . . . 35,714,643
------------
TOTAL INVESTMENTS (Cost $72,860,763) . . . . . . . . . . . 100.19% 79,677,565
Liabilities in Excess of Other Assets. . . . . . . . . . . (0.19)% (150,593)
------- ------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . 100.00% $ 79,526,972
------- ------------
------- ------------
</TABLE>
- -------------------
(a) Non-income producing security
(b) The following abbreviations are used in the portfolio description:
FGHLMC -- Federal Gold Home Loan Mortgage Corporation
FNMA -- Federal National Mortgage Association
GNMA -- Government National Mortgage Association
TBA -- To be announced
(c) Securities exempt from registration under Rule 144A of the Securities Act
of 1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers.
(d) Includes collateral with value of $526,548 for futures contracts.
See Notes to Financial Statements on Pages 31 through 33
22
<PAGE>
- --------------------------------------------------------------------------------
ASSET MANAGEMENT PORTFOLIO III
SCHEDULE OF PORTFOLIO INVESTMENTS SEPTEMBER 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES DESCRIPTION VALUE
------ ----------- ------------
<S> <C> <C>
COMMON STOCKS - 15.40%
AEROSPACE - 0.06%
400 Boeing Co.. . . . . . . . . . . . . . . . . . . . . . $ 21,775
------------
AIRLINES - 0.16%
400 AMR Corp. (a) . . . . . . . . . . . . . . . . . . . . 44,275
200 Delta Air Lines, Inc. . . . . . . . . . . . . . . . . 18,837
------------
63,112
------------
AUTO RELATED - 0.37%
800 Chrysler Corp.. . . . . . . . . . . . . . . . . . . . 29,450
1,200 Dana Corp.. . . . . . . . . . . . . . . . . . . . . . 59,250
800 General Motors Corp.. . . . . . . . . . . . . . . . . 53,550
------------
142,250
------------
BANKS - 1.20%
2,400 BankAmerica Corp. . . . . . . . . . . . . . . . . . . 175,950
1,380 BankBoston Corp.. . . . . . . . . . . . . . . . . . . 122,044
1,200 Chase Manhattan Corp. . . . . . . . . . . . . . . . . 141,600
200 Citicorp . . . . . . . . . . . . . . . . . . . . . . 26,787
------------
466,381
------------
BEVERAGES - 0.54%
800 Coca-Cola Co. . . . . . . . . . . . . . . . . . . . . 48,750
900 Coca-Cola Enterprises, Inc. . . . . . . . . . . . . . 24,244
3,000 PepsiCo, Inc. . . . . . . . . . . . . . . . . . . . . 121,687
400 Seagram Company Ltd.. . . . . . . . . . . . . . . . . 14,100
------------
208,781
------------
CHEMICALS AND TOXIC WASTE - 0.63%
300 Air Products & Chemical, Inc. . . . . . . . . . . . . 24,881
2,000 Du Pont (E.I.) de Nemours & Co. . . . . . . . . . . . 123,125
2,200 Monsanto Co.. . . . . . . . . . . . . . . . . . . . . 85,800
440 Solutia, Inc. (a) . . . . . . . . . . . . . . . . . . 8,800
------------
242,606
------------
COMPUTER SERVICES - 0.45%
1,200 Cisco Systems, Inc. (a) . . . . . . . . . . . . . . . 87,675
1,600 CUC International, Inc. (a) . . . . . . . . . . . . . 49,600
1,000 Seagate Technology, Inc. (a). . . . . . . . . . . . . 36,125
------------
173,400
------------
COMPUTER SOFTWARE - 0.48%
400 BMC Software, Inc. (a). . . . . . . . . . . . . . . . 25,900
900 Computer Associates International, Inc. . . . . . . . 64,631
400 Microsoft Corp. (a) . . . . . . . . . . . . . . . . . 52,925
1,200 Oracle Corp. (a). . . . . . . . . . . . . . . . . . . 43,725
------------
187,181
------------
DATA PROCESSING SERVICES - 0.09%
900 First Data Corp.. . . . . . . . . . . . . . . . . . . 33,806
------------
DIVERSIFIED - 0.66%
3,000 AlliedSignal, Inc.. . . . . . . . . . . . . . . . . . 127,500
400 Supervalu, Inc. . . . . . . . . . . . . . . . . . . . 15,700
600 Textron, Inc. . . . . . . . . . . . . . . . . . . . . 39,000
900 United Technologies Corp. . . . . . . . . . . . . . . 72,900
------------
255,100
------------
DRUGS - 0.98%
600 Lilly (Eli) & Co. . . . . . . . . . . . . . . . . . . 72,412
1,500 Merck & Co., Inc. . . . . . . . . . . . . . . . . . . 149,906
2,600 Pfizer, Inc.. . . . . . . . . . . . . . . . . . . . . 156,163
------------
378,481
------------
ELECTRICAL EQUIPMENT - 0.61%
1,400 Emerson Electric Co.. . . . . . . . . . . . . . . . . 80,675
2,300 General Electric Co.. . . . . . . . . . . . . . . . . 156,544
------------
237,219
------------
ELECTRONICS - 0.53%
1,200 Analog Devices, Inc. (a). . . . . . . . . . . . . . . 40,200
1,200 Intel Corp. . . . . . . . . . . . . . . . . . . . . . 110,775
600 LSI Logic Corp. (a) . . . . . . . . . . . . . . . . . 19,275
700 Xilinx, Inc. (a). . . . . . . . . . . . . . . . . . . 35,437
------------
205,687
------------
ENTERTAINMENT - 0.11%
524 Disney (Walt) Co. . . . . . . . . . . . . . . . . . . 42,248
------------
ENVIRONMENTAL CONTROL - 0.13%
1,200 U.S. Filter Corp. (a) . . . . . . . . . . . . . . . . 51,675
------------
FINANCIAL SERVICES - 0.72%
900 Associates First Capital Corp.-Cl. A. . . . . . . . . 56,025
1,800 Federal Home Loan Mortgage Corp.. . . . . . . . . . . 63,450
625 MBNA Corp.. . . . . . . . . . . . . . . . . . . . . . 25,312
600 Merrill Lynch & Co., Inc. . . . . . . . . . . . . . . 44,513
300 Price (T. Rowe) Associates, Inc.. . . . . . . . . . . 20,175
1,000 Travelers Group, Inc. . . . . . . . . . . . . . . . . 68,250
------------
277,725
------------
FOODS - 0.44%
1,100 CPC International, Inc. . . . . . . . . . . . . . . . 101,888
1,300 Sara Lee Corp.. . . . . . . . . . . . . . . . . . . . 66,950
------------
168,838
------------
HEALTHCARE DIVERSIFIED - 0.32%
300 Abbott Laboratories Co. . . . . . . . . . . . . . . . 19,181
1,800 Johnson & Johnson Co. . . . . . . . . . . . . . . . . 103,725
------------
122,906
------------
HOSPITAL SUPPLIES AND HEALTHCARE - 0.29%
900 Baxter International Inc. . . . . . . . . . . . . . . 47,025
500 Becton, Dickinson & Co. . . . . . . . . . . . . . . . 23,937
1,400 U.S. Surgical Corp. . . . . . . . . . . . . . . . . . 40,863
------------
111,825
------------
HOTEL/MOTEL - 0.18%
1,000 Marriott International, Inc.. . . . . . . . . . . . . 71,063
------------
HOUSEHOLD PRODUCTS - 0.40%
600 Clorox Co.. . . . . . . . . . . . . . . . . . . . . . 44,475
1,600 Procter & Gamble Co.. . . . . . . . . . . . . . . . . 110,500
------------
154,975
------------
INSURANCE - 0.48%
1,050 American International Group, Inc.. . . . . . . . . . 108,347
400 General Re Corp.. . . . . . . . . . . . . . . . . . . 79,400
------------
187,747
------------
METALS - 0.11%
600 Alcan Aluminium Ltd.. . . . . . . . . . . . . . . . . 20,850
700 Freeport-McMoRan Copper & Gold, Inc.-Cl. B. . . . . . 20,169
------------
41,019
------------
</TABLE>
See Notes to Financial Statements on Pages 31 through 33
23
<PAGE>
- --------------------------------------------------------------------------------
ASSET MANAGEMENT PORTFOLIO III
SCHEDULE OF PORTFOLIO INVESTMENTS SEPTEMBER 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES DESCRIPTION VALUE
------ ----------- ------------
<S> <C> <C>
OFFICE EQUIPMENT AND COMPUTERS - 0.45%
1,000 Hewlett-Packard Co. . . . . . . . . . . . . . . . . . $ 69,563
600 International Business Machines Corp. . . . . . . . . 63,562
500 Xerox Corp. . . . . . . . . . . . . . . . . . . . . . 42,094
------------
175,219
------------
OIL-DOMESTIC - 0.54%
200 Atlantic Richfield Co.. . . . . . . . . . . . . . . . 17,087
1,600 ENSCO International, Inc. . . . . . . . . . . . . . . 63,100
300 Louisiana Land & Exploration Co.. . . . . . . . . . . 23,494
800 Noble Drilling Corp. (a). . . . . . . . . . . . . . . 25,800
400 Phillips Petroleum Co.. . . . . . . . . . . . . . . . 20,650
1,400 Unocal Corp.. . . . . . . . . . . . . . . . . . . . . 60,550
------------
210,681
------------
OIL EQUIPMENT AND SERVICES - 0.18%
800 Apache Corp.. . . . . . . . . . . . . . . . . . . . . 34,300
400 Schlumberger Ltd. . . . . . . . . . . . . . . . . . . 33,675
------------
67,975
------------
OIL-INTERNATIONAL - 0.95%
300 Amoco Corp. . . . . . . . . . . . . . . . . . . . . . 28,912
400 Chevron Corp. . . . . . . . . . . . . . . . . . . . . 33,275
1,200 Exxon Corp. . . . . . . . . . . . . . . . . . . . . . 76,875
400 Mobil Corp. . . . . . . . . . . . . . . . . . . . . . 29,600
1,600 Royal Dutch Petroleum Co. . . . . . . . . . . . . . . 88,800
1,800 Texaco, Inc.. . . . . . . . . . . . . . . . . . . . . 110,588
------------
368,050
------------
PAPER AND FOREST PRODUCTS - 0.27%
900 Champion International Corp.. . . . . . . . . . . . . 54,844
900 International Paper Co. . . . . . . . . . . . . . . . 49,556
------------
104,400
------------
PRINTING AND PUBLISHING - 0.19%
1,100 McGraw-Hill Companies, Inc. . . . . . . . . . . . . . 74,456
------------
RAILROADS - 0.12%
500 Burlington Northern Santa Fe Corp.. . . . . . . . . . 48,313
------------
RETAIL - 0.61%
1,219 Dollar General Corp.. . . . . . . . . . . . . . . . . 41,514
800 Federated Department Stores, Inc. (a) . . . . . . . . 34,500
900 Lowe's Companies, Inc.. . . . . . . . . . . . . . . . 34,987
600 Nine West Group, Inc. (a) . . . . . . . . . . . . . . 23,588
800 Tiffany & Co. . . . . . . . . . . . . . . . . . . . . 34,000
1,800 Wal-Mart Stores, Inc. . . . . . . . . . . . . . . . . 65,925
------------
234,514
------------
TELECOMMUNICATIONS - 0.65%
1,900 AT&T Corp.. . . . . . . . . . . . . . . . . . . . . . 84,194
1,300 Comcast Corp.-Cl. A . . . . . . . . . . . . . . . . . 33,475
1,300 MCI Communications Corp.. . . . . . . . . . . . . . . 38,187
1,000 Motorola, Inc.. . . . . . . . . . . . . . . . . . . . 71,875
500 Sprint Corp.. . . . . . . . . . . . . . . . . . . . . 25,000
------------
252,731
------------
TOBACCO - 0.29%
2,700 Philip Morris Companies, Inc. . . . . . . . . . . . . 112,219
------------
UTILITY-ELECTRIC - 0.42%
600 American Electric Power Co. . . . . . . . . . . . . . 27,300
400 Dominion Resources, Inc.. . . . . . . . . . . . . . . 15,150
900 FPL Group, Inc. . . . . . . . . . . . . . . . . . . . 46,125
700 Ohio Edison Co. . . . . . . . . . . . . . . . . . . . 16,406
800 PG&E Corp.. . . . . . . . . . . . . . . . . . . . . . 18,550
500 Public Service Enterprise Group, Inc. . . . . . . . . 12,875
700 Texas Utilities Co. . . . . . . . . . . . . . . . . . 25,200
------------
161,606
------------
UTILITY-GAS, NATURAL GAS - 0.15%
1,000 Consolidated Natural Gas Co.. . . . . . . . . . . . . 58,188
------------
UTILITY-TELEPHONE - 0.64%
300 Ameritech Corp. . . . . . . . . . . . . . . . . . . . 19,950
300 Bell Atlantic Corp. . . . . . . . . . . . . . . . . . 24,131
600 BellSouth Corp. . . . . . . . . . . . . . . . . . . . 27,750
1,000 Frontier Corp.. . . . . . . . . . . . . . . . . . . . 23,000
2,100 GTE Corp. . . . . . . . . . . . . . . . . . . . . . . 95,287
388 Lucent Technologies, Inc. . . . . . . . . . . . . . . 31,574
400 SBC Communications, Inc.. . . . . . . . . . . . . . . 24,550
------------
246,242
------------
TOTAL COMMON STOCKS (Cost $4,774,756). . . . . . . . . . . . . . . . . . 5,960,394
------------
<CAPTION>
PRINCIPAL
AMOUNT
---------
<S> <C> <C>
CORPORATE DEBT NON-CONVERTIBLE - 12.28%
FINANCIAL SERVICES - 6.64%
$110,000 American Express Master Trust, 5.375%,
7/15/01 . . . . . . . . . . . . . . . . . . . . . . 107,929
40,000 Bank Negara Indonesia, 7.625%, 2/15/07. . . . . . . . 38,794
90,000 Bank of Boston Corp., 6.38%, 8/11/00. . . . . . . . . 90,079
138,000 Bayerische Landesbank, 6.17%, 2/01/06 . . . . . . . . 135,524
120,000 Chrysler Financial Corp., 6.11%, 7/28/99. . . . . . . 120,115
100,000 Dao Heng Bank Ltd., 7.75%, 1/24/07 (c). . . . . . . . 102,850
130,000 Felcor Suites LP, 7.625%, 10/01/07. . . . . . . . . . 128,972
250,000 Ford Motor Credit Co., 6.25%, 11/8/00 . . . . . . . . 250,194
25,000 International Bank Reconstruction &
Development, 8.875%, 3/01/26. . . . . . . . . . . . 31,313
120,000 KFW International Finance, 8.20%, 6/01/06 . . . . . . 133,453
125,000 Lehman Brothers Holdings-Ser. E, 6.30%,
8/11/99 . . . . . . . . . . . . . . . . . . . . . . 125,311
150,000 Meditrust, 7.114%, 8/15/04. . . . . . . . . . . . . . 150,980
225,000 Paine Webber Group, Inc., 9.25%, 12/15/01 . . . . . . 246,820
200,000 Society National Bank, 7.85%, 11/01/02. . . . . . . . 211,567
85,000 Spieker Properties, Inc., 7.50%, 10/01/27 . . . . . . 84,005
60,000 Standard Credit Card Master Trust, 6.55%,
10/07/05. . . . . . . . . . . . . . . . . . . . . . 60,281
160,000 St. George Bank Ltd., 7.15%, 6/18/07 (c). . . . . . . 161,834
200,000 Vesta Capital, 8.525%, 1/15/27. . . . . . . . . . . . 216,779
170,000 Wharf International Finance Ltd., 7.625%,
3/13/07 . . . . . . . . . . . . . . . . . . . . . . 172,095
------------
2,568,895
------------
FOREIGN INDUSTRIAL - 0.50%
17,000 Celulosa Arauco y Constitucion, 6.75%,
12/15/03. . . . . . . . . . . . . . . . . . . . . . 16,896
175,000 Celulosa Arauco y Constitucion, 6.95%,
9/15/05 . . . . . . . . . . . . . . . . . . . . . . 175,245
------------
192,141
------------
INDUSTRIAL - 4.80%
65,000 Allied Waste North America, 10.25%, 12/01/06. . . . . 71,338
55,000 Auburn Hills Trust, 12.00%, 5/01/20 . . . . . . . . . 85,610
</TABLE>
See Notes to Financial Statements on Pages 31 through 33
24
<PAGE>
- --------------------------------------------------------------------------------
ASSET MANAGEMENT PORTFOLIO III
SCHEDULE OF PORTFOLIO INVESTMENTS SEPTEMBER 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT DESCRIPTION VALUE
--------- ----------- ------------
<S> <C> <C>
$100,000 Banknorth Capital Trust I, 10.52%, 5/01/27 (c) . . . $ 105,388
65,000 Dillard Department Stores, Inc.-Cl. A, 7.15%,
2/01/07 . . . . . . . . . . . . . . . . . . . . . . 67,126
80,000 Empress River Casino Finance, 10.75%,
4/01/02 . . . . . . . . . . . . . . . . . . . . . . 86,800
45,000 Federated Department Stores, Inc., 8.50%,
6/15/03 . . . . . . . . . . . . . . . . . . . . . . 48,699
200,000 IBM Credit Corp, 5.875%, 8/25/99. . . . . . . . . . . 199,076
145,000 Laidlaw, Inc., 6.65%, 10/01/04. . . . . . . . . . . . 144,014
130,000 Loewen Group International, Inc.-Ser. 4,
8.25%, 10/15/03 . . . . . . . . . . . . . . . . . . 136,322
100,000 Marriott International, Inc., 7.125%, 6/01/07. . . . 101,733
65,000 Marriott International, Series A, 6.75%,
12/15/03. . . . . . . . . . . . . . . . . . . . . . 64,944
35,000 Marriott International, Series B, 7.875%,
4/15/05 . . . . . . . . . . . . . . . . . . . . . . 37,127
200,000 Merck & Co., 5.76%, 5/03/37 . . . . . . . . . . . . . 204,801
80,000 Tenet Healthcare Corp., 8.625%, 12/01/03. . . . . . . 84,637
140,000 Tenet Healthcare Corp., 9.625%, 9/01/02 . . . . . . . 153,650
145,000 Texas Instruments, Inc., 6.75%, 7/15/99 . . . . . . . 146,966
113,000 Worldcom, Inc., 9.375%, 1/15/04 . . . . . . . . . . . 120,326
------------
1,858,557
------------
UTILITY - 0.34%
50,000 Idaho Power Co., 8.00%, 3/15/04 . . . . . . . . . . . 53,643
75,000 Potomac Edison Co., 8.00%, 6/01/24. . . . . . . . . . 78,501
------------
132,144
------------
TOTAL CORPORATE DEBT NON-CONVERTIBLE (Cost $4,677,760) . . . . . . . . . 4,751,737
------------
FOREIGN DEBT - 1.08%
80,000 New Zealand Government, 10.625%, 11/15/05 . . . . . . 101,187
110,000 Quebec Province, 7.22%, 7/22/36 . . . . . . . . . . . 117,711
200,000 Republic of Lithuania, 7.125%, 7/22/02 (c). . . . . . 200,412
------------
TOTAL FOREIGN DEBT (Cost $410,644) . . . . . . . . . . . . . . . . . . . 419,310
------------
SHARES
------
PREFERRED STOCKS - 1.07%
FINANCIAL SERVICES - 0.83%
140 Home Ownership Funding Corp.. . . . . . . . . . . . . 135,800
190 Home Ownership Funding Corp. II . . . . . . . . . . . 184,775
------------
320,575
------------
MISCELLANEOUS - 0.24%
92 Broadway, 13.83%, 2/04/99 . . . . . . . . . . . . . . 93,380
------------
TOTAL PREFERRED STOCKS (Cost $422,000) . . . . . . . . . . . . . . . . . 413,955
------------
PRINCIPAL
AMOUNT
---------
<S> <C> <C>
U.S. GOVERNMENT AND AGENCY - 9.34%
$373,378 FGHLMC, 6.50%, 8/01/11. . . . . . . . . . . . . . . . 371,278
201,849 FGHLMC Gold, 9.50%, 2/01/25 . . . . . . . . . . . . . 216,398
180,000 FNMA, 8.625%, 11/10/04. . . . . . . . . . . . . . . . 186,683
412,957 FNMA, 6.00%, 12/01/08 . . . . . . . . . . . . . . . . 404,768
472,409 FNMA, 7.50%, 7/01/11. . . . . . . . . . . . . . . . . 483,777
900,000 FNMA, 7.50%, 9/01/21. . . . . . . . . . . . . . . . . 916,032
200,000 FNMA, 8.50%, 7/01/25. . . . . . . . . . . . . . . . . 209,063
80,000 FNMA, Global Bond, 6.35%, 11/23/01. . . . . . . . . . 79,962
500,000 FNMA TBA, 7.00%, 9/01/21. . . . . . . . . . . . . . . 498,594
256,416 GNMA, 6.50%, 9/15/23. . . . . . . . . . . . . . . . . 250,967
------------
TOTAL U.S. GOVERNMENT & AGENCY (Cost $3,574,507) . . . . . . . . . . . . 3,617,522
------------
U.S. TREASURY SECURITIES - 11.80%
470,000 U.S. Treasury Bond, 7.625%, 11/15/22. . . . . . . . . 535,800
30,000 U.S. Treasury Notes, 6.00%, 9/30/98 . . . . . . . . . 30,103
420,000 U.S. Treasury Notes, 5.875%, 8/31/99. . . . . . . . . 420,393
1,320,000 U.S. Treasury Notes, 6.00%, 8/15/00 . . . . . . . . . 1,324,536
440,000 U.S. Treasury Notes, 5.625%, 11/30/00 . . . . . . . . 436,219
50,000 U.S. Treasury Notes, 6.625%, 6/30/01. . . . . . . . . 51,070
950,000 U.S. Treasury Notes, 5.875%, 9/30/02. . . . . . . . . 944,952
150,000 U.S. Treasury Notes, 7.00%, 7/15/06 . . . . . . . . . 158,203
330,000 U.S. Treasury Notes, 6.125%, 8/15/07. . . . . . . . . 330,207
340,000 U.S. Treasury Notes, 6.375%, 8/15/27. . . . . . . . . 338,564
------------
TOTAL U.S. TREASURY SECURITIES (Cost $4,537,587) . . . . . . . . . . . . 4,570,047
------------
SHORT TERM INSTRUMENTS - 51.48%
MUTUAL FUNDS - 15.92%
6,164,040 BT Institutional Cash Management Fund . . . . . . . . 6,164,040
------------
REPURCHASE AGEEMENT - 4.45%
1,720,875 Sanwa Bank, dated 9/30/97, 6.02% principal
and interest in the amount of $1,721,163
due 10/01/97 (collateralized by U.S.
Treasury Notes, par value of $1,745,000,
7.00%, due 7/15/06, value of $1,743,233). . . . . . . 1,720,875
------------
TREASURY BILLS - 31.11%
12,250,000 4.97% to 5.07% maturing 10/02/97 to
2/05/98 (d) . . . . . . . . . . . . . . . . . . . . 12,044,774
------------
TOTAL SHORT TERM INSTRUMENTS (Cost $19,927,597). . . . . . . . . . . . . 19,929,689
------------
TOTAL INVESTMENTS (Cost $38,324,851) . . . . . . . . . . . 102.45% 39,662,654
Liabilities in Excess of Other Assets. . . . . . . . . . . (2.45)% (948,236)
------- ------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . 100.00% $ 38,714,418
------- ------------
------- ------------
</TABLE>
- -------------------
(a) Non-income producing security
(b) The following abbreviations are used in the portfolio description:
FGHLMC -- Federal Gold Home Loan Mortgage Corporation
FNMA -- Federal National Mortgage Association
GNMA -- Government National Mortgage Association
TBA -- To be announced
(c) Securities exempt from registration under Rule 144A of the Securities Act
of 1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers.
(d) Includes collateral with value of $248,116 for futures contracts.
See Notes to Financial Statements on Pages 31 through 33
25
<PAGE>
- --------------------------------------------------------------------------------
ASSET MANAGEMENT PORTFOLIOS
STATEMENT OF ASSETS AND LIABILITIES SEPTEMBER 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ASSET ASSET ASSET
MANAGEMENT MANAGEMENT II MANAGEMENT III
--------------- -------------- --------------
<S> <C> <C> <C>
ASSETS
Investments, at Value* . . . . . . . . . . . . . . . . . . . . . . . . . . $ 469,872,881 $ 79,677,565 $ 39,662,654
Cash+. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7,436,781 1,507,135 842,248
Receivable for Securities Sold . . . . . . . . . . . . . . . . . . . . . . 3,464,140 1,294,444 889,260
Dividends, Interest Receivable and Other . . . . . . . . . . . . . . . . . 1,173,859 304,524 194,557
Net Unrealized Appreciation on Forward Currency Contracts. . . . . . . . . 713,780 135,435 67,240
--------------- -------------- --------------
Total Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 482,661,441 82,919,103 41,655,959
--------------- -------------- --------------
LIABILITIES
Due to Bankers Trust . . . . . . . . . . . . . . . . . . . . . . . . . . . 217,194 38,520 16,394
Payable for Securities Purchased . . . . . . . . . . . . . . . . . . . . . 16,443,982 3,317,750 2,907,276
Variation Margin Payable . . . . . . . . . . . . . . . . . . . . . . . . . 229,756 29,345 10,023
Accrued Expenses and Other . . . . . . . . . . . . . . . . . . . . . . . . 7,978 6,516 7,848
--------------- -------------- --------------
Total Liabilities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16,898,910 3,392,131 2,941,541
--------------- -------------- --------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 465,762,531 $ 79,526,972 $ 38,714,418
--------------- -------------- --------------
--------------- -------------- --------------
COMPOSITION OF NET ASSETS
Paid-in Capital. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 405,858,636 $ 72,116,690 $ 37,102,031
Net Unrealized Appreciation on:
Investments, Foreign Currencies and Forward Foreign Currency
Transactions. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 57,400,651 6,955,782 1,406,006
Futures Contracts. . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,503,244 454,500 206,381
--------------- -------------- --------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 465,762,531 $ 79,526,972 $ 38,714,418
--------------- -------------- --------------
--------------- -------------- --------------
</TABLE>
- -------------------
* Cost of $413,214,684, $72,860,763 and $38,324,851, respectively, including
Repurchase Agreements amounting to $21,803,690, $4,153,020 and $1,720,875,
respectively.
+ Includes foreign currency of $6,670,695, $1,189,152 and $630,882,
respectively, with a value of $6,699,369, $1,192,697 and $631,845,
respectively.
See Notes to Financial Statements on Pages 31 through 33
26
<PAGE>
- --------------------------------------------------------------------------------
ASSET MANAGEMENT PORTFOLIOS
STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED SEPTEMBER 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ASSET ASSET ASSET
MANAGEMENT MANAGEMENT II MANAGEMENT III
--------------- -------------- --------------
<S> <C> <C> <C>
INVESTMENT INCOME
Dividends* . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 1,818,976 $ 204,748 $ 46,712
Interest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,570,504 1,394,184 882,141
--------------- -------------- --------------
Total Investment Income. . . . . . . . . . . . . . . . . . . . . . . . . . . 7,389,480 1,598,932 928,853
--------------- -------------- --------------
EXPENSES
Advisory Fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,345,804 235,839 117,556
Administration and Services Fees . . . . . . . . . . . . . . . . . . . . . 207,047 36,283 18,086
Professional Fees and Other. . . . . . . . . . . . . . . . . . . . . . . . 11,616 8,118 10,994
Trustees Fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,103 1,103 1,103
--------------- -------------- --------------
Total Expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,565,570 281,343 147,739
Less Expenses Absorbed by Bankers Trust. . . . . . . . . . . . . . . . . . (323,289) (63,646) (39,225)
Net Expenses. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,242,281 217,697 108,514
--------------- -------------- --------------
NET INVESTMENT INCOME. . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,147,199 1,381,235 820,339
--------------- -------------- --------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FOREIGN
CURRENCIES, FORWARD FOREIGN CURRENCY AND FUTURES CONTRACTS
Net Realized Gain (Loss) from:
Investment, Foreign Currency and Forward Foreign Currency
Transactions. . . . . . . . . . . . . . . . . . . . . . . . . . . . . (672,721) (33,971) 25,780
Futures Contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . 11,953,197 2,131,133 946,730
Net Change in Unrealized Appreciation on:
Investments, Foreign Currency and Forward Foreign Currency
Transactions. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 47,650,354 5,683,023 1,579,601
Futures Contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,810,972 913,853 436,543
--------------- -------------- --------------
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS, FOREIGN CURRENCIES,
FORWARD FOREIGN CURRENCY AND FUTURES CONTRACTS. . . . . . . . . . . . . . . 63,741,802 8,694,038 2,988,654
--------------- -------------- --------------
NET INCREASE IN NET ASSETS FROM OPERATIONS . . . . . . . . . . . . . . . . . $ 69,889,001 $ 10,075,273 $ 3,808,993
--------------- -------------- --------------
--------------- -------------- --------------
</TABLE>
- -------------------
* Net of foreign withholding tax of $15,155, $1,935 and $396, respectively.
See Notes to Financial Statements on Pages 31 through 33
27
<PAGE>
- --------------------------------------------------------------------------------
ASSET MANAGEMENT PORTFOLIOS
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ASSET MANAGEMENT
FOR THE FOR THE
SIX MONTHS ENDED YEAR ENDED
SEPTEMBER 30, 1997+ MARCH 31, 1997
------------------- -------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS
Net Investment Income. . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 6,147,199 $ 9,037,347
Net Realized Gain from Investments, Foreign Currencies, Forward Foreign
Currency and Futures Contracts. . . . . . . . . . . . . . . . . . . . . . 11,280,476 29,068,603
Net Change in Unrealized Appreciation (Depreciation) on Investments, Foreign
Currencies, Forward Foreign Currency and Futures Contracts. . . . . . . . 52,461,326 (1,730,893)
------------------- -------------------
Net Increase in Net Assets from Operations . . . . . . . . . . . . . . . . . . 69,889,001 36,375,057
------------------- -------------------
CAPITAL TRANSACTIONS
Proceeds from Capital Invested . . . . . . . . . . . . . . . . . . . . . . . 101,721,405 166,792,562
Value of Capital Withdrawn . . . . . . . . . . . . . . . . . . . . . . . . . (54,386,568) (94,771,334)
------------------- -------------------
Net Increase in Net Assets from Capital Transactions . . . . . . . . . . . . . 47,334,837 72,021,228
------------------- -------------------
TOTAL INCREASE IN NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . 117,223,838 108,396,285
NET ASSETS
Beginning of Period. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 348,538,693 240,142,408
------------------- -------------------
End of Period. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 465,762,531 $ 348,538,693
------------------- -------------------
------------------- -------------------
</TABLE>
<TABLE>
<CAPTION>
ASSET MANAGEMENT II
FOR THE FOR THE
SIX MONTHS ENDED YEAR ENDED
SEPTEMBER 30, 1997+ MARCH 31, 1997
------------------- -------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS
Net Investment Income. . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 1,381,235 $ 2,215,078
Net Realized Gain from Investments, Foreign Currencies, Forward Foreign
Currency and Futures Contracts. . . . . . . . . . . . . . . . . . . . . . 2,097,162 4,207,235
Net Change in Unrealized Appreciation (Depreciation) on Investments, Foreign
Currencies, Forward Foreign Currency and Futures Contracts. . . . . . . . 6,596,876 (257,947)
------------------- -------------------
Net Increase in Net Assets from Operations . . . . . . . . . . . . . . . . . . 10,075,273 6,164,366
------------------- -------------------
CAPITAL TRANSACTIONS
Proceeds from Capital Invested . . . . . . . . . . . . . . . . . . . . . . . 13,544,316 15,936,234
Value of Capital Withdrawn . . . . . . . . . . . . . . . . . . . . . . . . . (5,868,544) (11,724,221)
------------------- -------------------
Net Increase in Net Assets from Capital Transactions . . . . . . . . . . . . . 7,675,772 4,212,013
------------------- -------------------
TOTAL INCREASE IN NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . 17,751,045 10,376,379
NET ASSETS
Beginning of Period. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 61,775,927 51,399,548
------------------- -------------------
End of Period. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 79,526,972 $ 61,775,927
------------------- -------------------
------------------- -------------------
</TABLE>
+ Unaudited
See Notes to Financial Statements on Pages 31 through 33
28
<PAGE>
- --------------------------------------------------------------------------------
ASSET MANAGEMENT PORTFOLIOS
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ASSET MANAGEMENT III
----------------------------
FOR THE FOR THE
SIX MONTHS ENDED YEAR ENDED
SEPTEMBER 30, 1997+ MARCH 31, 1997
------------------- -------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS
Net Investment Income. . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 820,339 $ 1,435,870
Net Realized Gain from Investments, Foreign Currencies, Forward Foreign
Currency and Futures Contracts. . . . . . . . . . . . . . . . . . . . . . 972,510 1,896,802
Net Change in Unrealized Appreciation (Depreciation) on Investments, Foreign
Currencies, Forward Foreign Currency and Futures Contracts. . . . . . . . 2,016,144 (778,720)
------------------- -------------------
Net Increase in Net Assets from Operations . . . . . . . . . . . . . . . . . . 3,808,993 2,553,952
------------------- -------------------
CAPITAL TRANSACTIONS
Proceeds from Capital Invested . . . . . . . . . . . . . . . . . . . . . . . 6,881,157 7,831,235
Value of Capital Withdrawn . . . . . . . . . . . . . . . . . . . . . . . . . (4,517,268) (6,712,316)
------------------- -------------------
Net Increase in Net Assets from Capital Transactions . . . . . . . . . . . . . 2,363,889 1,118,919
------------------- -------------------
TOTAL INCREASE IN NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . 6,172,882 3,672,871
NET ASSETS
Beginning of Period. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 32,541,536 28,868,665
------------------- -------------------
End of Period. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 38,714,418 $ 32,541,536
------------------- -------------------
------------------- -------------------
</TABLE>
- -------------------
+ Unaudited
See Notes to Financial Statements on Pages 31 through 33
29
<PAGE>
- --------------------------------------------------------------------------------
ASSET MANAGEMENT PORTFOLIOS
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
Contained below are selected ratios to average net assets and other supplemental
data for each period indicated for the Asset Management Portfolios.
<TABLE>
<CAPTION>
ASSET MANAGEMENT PORTFOLIO I
-----------------------------------------------------------------------------------
FOR THE PERIOD
FOR THE YEAR ENDED SEPTEMBER 16, 1993
FOR THE MARCH 31, (COMMENCEMENT
SIX MONTHS ENDED ---------------------------------------- OF OPERATIONS) TO
SEPTEMBER 30, 1997+ 1997 1996 1995 MARCH 31, 1994
------------------- --------- ---------------- ---------- ----------------------
<S> <C> <C> <C> <C> <C>
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period (000s omitted) . $465,763 $348,539 $240,142 $96,529 $36,283
Ratios to Average Net Assets:
Net Investment Income . . . . . . . . . 2.97%* 3.12% 3.99% 3.78% 2.83%*
Expenses. . . . . . . . . . . . . . . . 0.60%* 0.60% 0.60% 0.60% 0.60%*
Decrease Reflected in Above Expense
Ratio Due to Absorption of Expenses
by Bankers Trust. . . . . . . . . . . 0.16%* 0.16% 0.17% 0.19% 0.33%*
Portfolio Turnover Rate. . . . . . . . . . 70% 137% 154% 92% 56%
Average Commissions Paid per Share** . . . 0.0563 0.0466
<CAPTION>
ASSET MANAGEMENT PORTFOLIO II
-----------------------------------------------------------------------------------
FOR THE PERIOD
FOR THE YEAR ENDED OCTOBER 14, 1993
FOR THE MARCH 31, (COMMENCEMENT
SIX MONTHS ENDED ---------------------------------------- OF OPERATIONS) TO
SEPTEMBER 30, 1997+ 1997 1996 1995 MARCH 31, 1994
------------------- --------- ---------------- ---------- ----------------------
<S> <C> <C> <C> <C> <C>
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period (000s omitted) . $79,527 $61,776 $51,400 $25,604 $19,175
Ratios to Average Net Assets:
Net Investment Income . . . . . . . . . 3.81%* 3.87% 4.55% 4.41% 3.17%*
Expenses. . . . . . . . . . . . . . . . 0.60%* 0.60% 0.60% 0.60% 0.60%*
Decrease Reflected in Above Expense
Ratio Due to Absorption of Expenses
by Bankers Trust. . . . . . . . . . . 0.18%* 0.20% 0.20% 0.27% 0.48%*
Portfolio Turnover Rate. . . . . . . . . . 108% 209% 208% 105% 79%
Average Commissions Paid per Share** . . . 0.0430 0.0476
<CAPTION>
ASSET MANAGEMENT PORTFOLIO III
-----------------------------------------------------------------------------------
FOR THE PERIOD
FOR THE YEAR ENDED OCTOBER 14, 1993
FOR THE MARCH 31, (COMMENCEMENT
SIX MONTHS ENDED ---------------------------------------- OF OPERATIONS) TO
SEPTEMBER 30, 1997+ 1997 1996 1995 MARCH 31, 1994
------------------- --------- ---------------- ---------- ----------------------
<S> <C> <C> <C> <C> <C>
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period (000s omitted) . $38,714 $32,542 $28,869 $21,202 $17,586
Ratios to Average Net Assets:
Net Investment Income . . . . . . . . . 4.54%* 4.64% 5.04% 4.87% 3.51%*
Expenses. . . . . . . . . . . . . . . . 0.60%* 0.60% 0.60% 0.60% 0.60%*
Decrease Reflected in Above Expense
Ratio Due to Absorption of Expenses
by Bankers Trust. . . . . . . . . . . 0.22%* 0.23% 0.22% 0.30% 0.49%*
Portfolio Turnover Rate. . . . . . . . . . 198% 307% 221% 111% 84%
Average Commissions Paid per Share** . . . 0.0286 0.0419
</TABLE>
- -------------------
+ Unaudited
* Annualized
** For fiscal years beginning on or after September 1, 1995, the portfolio 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 31 through 33
30
<PAGE>
- --------------------------------------------------------------------------------
ASSET MANAGEMENT PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
NOTE 1--ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
A. ORGANIZATION
The Asset Management Portfolio, Asset Management Portfolio II and Asset
Management Portfolio III (each a "Portfolio," and collectively, the
"Portfolios") are registered under the Investment Company Act of 1940 ("the
Act"), as amended, as open-end management investment companies. The Portfolios
were organized and commenced operations as follows:
ORGANIZATION COMMENCEMENT
PORTFOLIO DATE OF OPERATIONS
- --------- ---------------- ------------------
Asset Management June 9, 1992 September 16, 1993
Asset Management II October 28, 1992 October 14, 1993
Asset Management III October 28, 1992 October 15, 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. However, in the event of default or
bankruptcy by the seller, realization and/or retention of the collateral may be
subject to legal proceedings.
E. FOREIGN CURRENCY TRANSACTIONS
The books and records of the Asset Management Portfolio, Asset Management
Portfolio II and Asset Management Portfolio III 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
Each Portfolio may enter into forward foreign currency contracts for the purpose
of settling specific purchases or sales of securities denominated in a foreign
currency or with respect to the Portfolio's investments. The net U.S. dollar
value of foreign currency underlying all contractual commitments held by the
Portfolio and the resulting unrealized appreciation or depreciation are
determined using prevailing exchange rates. With respect to forward foreign
currency contracts, losses in excess of amounts recognized in the Statement of
Assets and Liabilities may arise due to changes in the value of the foreign
currency or if the counterparty does not perform under the contract.
G. OPTION CONTRACTS
Each Portfolio 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, valued at mark-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 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.
31
<PAGE>
- --------------------------------------------------------------------------------
ASSET MANAGEMENT PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
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.
NOTE 2 - FEES AND TRANSACTIONS WITH AFFILIATES
The Portfolios have entered into an Administration and Services Agreement with
Bankers Trust Company ("Bankers Trust"). Under this Administration and Services
Agreement, Bankers Trust provides administrative, custody, transfer agency and
shareholder services to each of the Portfolios in return for a fee computed
daily and paid monthly at an annual rate of 0.10 of 1% of the Portfolios'
average daily net assets. For the six months ended September 30, 1997, these
fees aggregated $207,047, $36,283 and $18,086 for the Asset Management
Portfolio, Asset Management Portfolio II and Asset Management Portfolio III,
respectively.
The Portfolios have entered into an Advisory Agreement with Bankers Trust. Under
this Advisory Agreement, the Portfolio pays Bankers Trust an advisory fee
computed daily and paid monthly at an annual rate of 0.65 of 1% of each
Portfolios' average daily net assets, For the six months ended September 30,
1997, these fees aggregated $1,345,804, $235,839 and $117,556 for the Asset
Management Portfolio, Asset Management Portfolio II and Asset Management
Portfolio III, respectively.
Bankers Trust has voluntarily undertaken to waive and reimburse expenses of each
Portfolio, to the extent necessary, to limit all expenses to 0.60 of 1% of the
average daily net assets of each Portfolio. For the six months ended September
30, 1997, expenses of the Asset Management Portfolio, the Asset Management
Portfolio II and Asset Management Portfolio III have been reduced by $323,289,
$63,646 and $39,225, respectively.
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 six months ended September 30, 1997, the Asset Management Portfolio,
Asset Management Portfolio II and the Asset Management Portfolio III paid
brokerage commissions of $15,372, $1,332 and $276, respectively.
NOTE 3--PURCHASES AND SALES OF INVESTMENT SECURITIES
The aggregate cost of purchases and proceeds from sales of investments, other
than short-term obligations, for the six months ended September 30, 1997, were
as follows:
PORTFOLIO PURCHASES SALES
- --------- ---------------- ----------------
Asset Management. . . . . . . $ 194,789,800 $ 194,876,973
Asset Management II . . . . . 45,870,789 45,203,989
Asset Management III. . . . . 37,607,361 38,150,036
For federal income tax purposes, the tax basis of investments held at September
30, 1997, was as follows:
PORTFOLIO COST-TAX BASIS
- --------- ----------------
Asset Management. . . . . . . $ 413,489,825
Asset Management II . . . . . 72,891,121
Asset Management III. . . . . 38,331,813
The aggregate gross unrealized appreciation and depreciation for all investments
as of September 30, 1997, were as follows:
PORTFOLIO APPRECIATION DEPRECIATION
- --------- ---------------- ----------------
Asset Management. . . . . . . $ 58,278,514 $ 1,895,458
Asset Management II . . . . . 7,031,277 244,833
Asset Management III. . . . . 1,403,647 72,806
- --------------------------------------------------------------------------------
NOTE 4--FUTURES CONTRACTS
A summary of obligations under these financial instruments at September 30, 1997
is as follows:
ASSET MANAGEMENT PORTFOLIO
--------------------------
<TABLE>
<CAPTION>
UNREALIZED
TYPE OF FUTURES EXPIRATION CONTRACTS POSITION MARKET VALUE APPRECIATION
- --------------- ---------- --------- -------- ------------ ------------
<S> <C> <C> <C> <C> <C>
S&P 500 December 1997 137 Long $ 65,383,250 $ 1,078,875
French 10 Year Bond Futures December 1997 113 Long 9,520,070 91,540
US Treasury Futures December 1997 251 Long 27,641,375 298,062
Japanese Bond Futures December 1997 25 Long 26,714,576 360,124
Australian 10 Year Bond Futures December 1997 127 Long 81,121,285 375,298
DAX Index Futures December 1997 99 Long 23,498,809 299,345
--- ------------- -------------
Total 752 $ 233,879,365 $ 2,503,244
--- ------------- -------------
--- ------------- -------------
</TABLE>
32
<PAGE>
- --------------------------------------------------------------------------------
ASSET MANAGEMENT PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
ASSET MANAGEMENT PORTFOLIO II
-----------------------------
<TABLE>
<CAPTION>
UNREALIZED
TYPE OF FUTURES EXPIRATION CONTRACTS POSITION MARKET VALUE APPRECIATION
- --------------- ---------- --------- -------- ------------ ------------
<S> <C> <C> <C> <C> <C>
S&P 500 December 1997 19 Long $ 9,067,750 $ 149,625
French 10 Year Bond Futures December 1997 36 Long 3,032,943 29,163
US Treasury Futures December 1997 125 Long 13,765,625 148,344
Japanese Bond Futures December 1997 4 Long 4,274,332 57,620
Australian 10 Year Bond Futures December 1997 6 Long 3,832,502 18,345
DAX Index Futures December 1997 17 Long 4,035,149 51,403
--- ------------- -------------
Total 207 $ 38,008,301 $ 454,500
--- ------------- -------------
--- ------------- -------------
</TABLE>
ASSET MANAGEMENT PORTFOLIO III
------------------------------
<TABLE>
<CAPTION>
UNREALIZED
TYPE OF FUTURES EXPIRATION CONTRACTS POSITION MARKET VALUE APPRECIATION
- --------------- ---------- --------- -------- ------------ ------------
<S> <C> <C> <C> <C> <C>
S&P 500 December 1997 8 Long $ 3,818,000 $ 63,000
French 10 Year Bond Futures December 1997 19 Long 1,600,720 15,392
US Treasury Futures December 1997 58 Long 6,387,250 68,875
Japanese Bond Futures December 1997 2 Long 2,137,166 28,809
Australian 10 Year Bond Futures December 1997 2 Long 1,277,500 6,115
DAX Index Futures December 1997 8 Long 1,898,894 24,190
--- ------------- -------------
Total 97 $ 17,119,530 $ 206,381
--- ------------- -------------
--- ------------- -------------
</TABLE>
At September 30, 1997, the Portfolios have segregated sufficient securities to
cover margin requirements on open futures contracts.
- --------------------------------------------------------------------------------
NOTE 5--OPEN FORWARD FOREIGN CURRENCY CONTRACTS
As of September 30, 1997, the Portfolio had the following open forward foreign
currency contracts outstanding:
ASSET MANAGEMENT PORTFOLIO
--------------------------
<TABLE>
<CAPTION>
Net Unrealized
Contracts to Deliver In Exchange for Settlement Date Value (USD) Appreciation (USD)
-------------------- --------------- --------------- ----------- ------------------
<S> <C> <C> <C> <C> <C> <C>
Sales
DEM 24,922,000 USD 13,755,381 10/6/97 $ 14,157,010 $ 401,629
FRF 59,648,000 USD 9,777,159 10/6/97 10,089,310 312,151
----------
Total $ 713,780
----------
----------
ASSET MANAGEMENT PORTFOLIO II
-----------------------------
<CAPTION>
Net Unrealized
Contracts to Deliver In Exchange for Settlement Date Value (USD) Appreciation (USD)
-------------------- --------------- --------------- ----------- ------------------
<S> <C> <C> <C> <C> <C> <C>
Sales
DEM 2,227,000 USD 1,229,164 10/6/97 $ 1,265,053 $ 35,889
FRF 19,022,000 USD 3,117,977 10/6/97 3,217,523 99,546
----------
Total $ 135,435
----------
----------
ASSET MANAGEMENT PORTFOLIO III
------------------------------
<CAPTION>
Net Unrealized
Contracts to Deliver In Exchange for Settlement Date Value (USD) Appreciation (USD)
-------------------- --------------- --------------- ----------- ------------------
<S> <C> <C> <C> <C> <C> <C>
Sales
DEM 852,000 USD 470,251 10/6/97 $ 483,981 $ 13,730
FRF 10,225,000 USD 1,676,023 10/6/97 1,729,533 53,510
----------
Total $ 67,240
----------
----------
</TABLE>
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<PAGE>
BT INVESTMENT LIFECYCLE FUNDS
LIFECYCLE LONG RANGE
LIFECYCLE MID RANGE
LIFECYCLE SHORT RANGE
INVESTMENT ADVISER OF THE PORTFOLIO AND ADMINISTRATOR
BANKERS TRUST COMPANY
130 Liberty Street
New York, NY 10006
DISTRIBUTOR
EDGEWOOD SERVICES, INC.
Clearing Operations
P.O. Box 897
Pittsburgh, PA 15230-0897
CUSTODIAN AND TRANSFER AGENT
BANKERS TRUST COMPANY
130 Liberty Street
New York, NY 10006
INDEPENDENT ACCOUNTANTS
COOPERS & LYBRAND L.L.P.
1100 Main Street, Suite 900
Kansas City, MO 64105
COUNSEL
WILLKIE FARR & GALLAGHER
153 East 53rd Street
New York, NY 10022
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For information on how to invest, shareholder account information
and current price and yield information, please contact your
relationship manager or the BT Mutual Fund Service Center at
(800) 730-1313.
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