<PAGE>
- BT INVESTMENT FUNDS -
- --------------------------------------------------------------------------------
LIFECYCLE LONG RANGE
LIFECYCLE MID RANGE
LIFECYCLE SHORT RANGE
- --------------------------------------------------------------------------------
ANNUAL REPORT
- --------------------------------------------------------------------------------
MARCH-1997
<PAGE>
- --------------------------------------------------------------------------------
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. . . . . . . . . . . . . . . . . . . . 14
Report of Independent Accountants. . . . . . . . . . . . . . . . . . 16
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 . . . . . . . . . . . . . . . . . . . . . . . . 29
Notes to Financial Statements. . . . . . . . . . . . . . . . . . . . 30
Report of Independent Accountants. . . . . . . . . . . . . . . . . . 33
2
<PAGE>
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BT INVESTMENT LIFECYCLE FUNDS
LETTER TO SHAREHOLDERS
- --------------------------------------------------------------------------------
We are pleased to present you with this 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 fiscal
year ended March 31, 1997. They each either outperformed or closely tracked
their Lipper category averages as well. This strong relative performance was
due primarily to above average asset allocation.
MARKET ACTIVITY
U.S. MARKETS
The Funds' fiscal year began with real GDP accelerating to a 4.20% pace,
dramatically slowing in the next quarter to 2.1%, and then picking up again to a
3.8% annual growth rate in the fourth calendar quarter of 1996. In the first
quarter of 1997, real GDP was in excess of 3%, a pace well above what most
experts agree to be a noninflationary growth course.
Still, the actual inflation picture remained quite benign. Producer prices
declined, and consumer prices advanced at a slightly lower pace than seen last
year. In spite of this good news, fears of future pressures failed to be
alleviated, and the financial markets were nervous. Clearly, this was
exacerbated by Federal Reserve Board Chairman Alan Greenspan's comments
regarding "irrational exuberance" over market valuations and the possibility of
a "preemptive strike" with a tightening of monetary policy. After many months
of speculation and for the first time since January 1996, the Federal Reserve
Board did raise the Fed Funds rate by 0.25% on March 25, 1997 to 5.50%.
U.S. EQUITIES
The stock market was characterized by tremendous volatility during this annual
period. Still, the economic environment proved to be a generally favorable one
for the equity markets, with the various indices continuing to reach new highs.
The market reacted particularly positively to the November election results,
which, at the time, seemed to promise cooperation between the Republican
Congress and the Democratic administration. Corporate sales continued to grow,
but profits were squeezed, as companies were unable to pass on increased wage
costs to consumers. The only real glitches were in July, when there was a 2.92%
fall in the Dow Jones Industrial average in just one day, in December, when Mr.
Greenspan first started making public comments, and in March, following the
Federal Reserve Board's official interest rate hike. Each of these downturns
was very short-lived. The equity market was led by the large cap companies
during this annual period.
U.S. BONDS
The bond market, too, was volatile. The fourth calendar quarter was
particularly strong, as short-term rates held steady and long-term rates drifted
lower. However, the rapid pace of economic growth of the last two quarters,
pushed interest rates and bond yields higher. Overall, the focus in the U.S.
bond market over the Funds' annual period was on the threat of inflation, and it
has been a virtually continuous plague on the performance of the fixed income
markets. This potential threat was made even more real by the Federal Reserve
Board rate increase in late March.
INTERNATIONAL MARKETS
In core Europe, short-term interest rates remained low and fairly steady, as
most economies continued to recover from recent recessions. This backdrop
provided support for both European bonds and equities to outperform their U.S.
counterparts on a currency hedged basis. Japan had mixed performance in its
bonds and equities, as concerns about economic recovery and mounting credit
problems for the nation's financial institutions pulled the markets in different
directions. The central bank of Canada lowered its short-term interest rates by
2.0% this year, leading the Canadian bond market to outperform the U.S. bond
market. The lower rates did not push the Canadian equity markets any higher
than the U.S., however, as they performed similarly to the S&P 500.
CASH
The U.S. dollar had a strong year versus most currencies. It appreciated
substantially, as strong domestic economic growth and fears of higher U.S.
interest rates made the dollar look relatively attractive versus the yen and
most European currencies.
INVESTMENT REVIEW
Supported by low interest rates, low inflation, and fundamental indicators, such
as favorable valuation measures, the Funds remained overweighted in U.S. stocks
for the annual period. Although this position hurt performance in July 1996 and
March 1997, U.S. equities were a leading market for the twelve months. Thus,
such an allocation was the primary reason for the Funds' relative
outperformance. Even though this sector did not match S&P performance,
individual security selection here did add value to the Funds.
The Funds also benefited from their underweighted position in the U.S. bond
market, an allocation supported by weak momentum, upward sloping of the yield
curve, which, in turn, indicated rising interest rates, and a Salomon Broad
Investment Grade (BIG) Bond Index* that returned less than Treasury bills for
the year. Incremental return was generated by corporate and mortgage-backed
issue selection.
International stock and bond market exposure provided diversification of risk
but did not contribute to the Funds' returns during this period. Though higher
than it was six months earlier, the Funds' investment in international equities
remained light. Their international bond market position continued to be
overweighted, with the focus on Canada, France, and Japan.
- - The Lifecycle Long Range Fund returned 13.88% for the twelve months ended
March 31, 1997**, as compared to 13.14% for the Asset Allocation Index-Long
Range* and 10.13% for the Lipper Flexible Portfolio Average+. Since its
inception on November 16,
- ---------------
* Indexes are unmanaged, and investments cannot be made in an index.
** Performance quoted represents past performance. 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.
+ Foreign investing involves special risks including currency risk, increased
volatility of foreign securities and differences in auditing and other
financial standards.
++ 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.
3
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BT INVESTMENT LIFECYCLE FUNDS
LETTER TO SHAREHOLDERS
- --------------------------------------------------------------------------------
1993, the Fund is up 40.31% cumulatively, or 10.57% annualized. The Fund's
asset weightings were 65% in U.S. equities, 20% in U.S. bonds, 12% in
international bonds, 3% in international equities, and 0% in cash as of
March 31, 1997.
- - The Lifecycle Mid Range Fund returned 11.16% for the twelve months ended
March 31, 1997**, as compared to 10.18% for the Asset Allocation Index-Mid
Range* and 10.13% for the Lipper Flexible Portfolio Average+. Since its
inception on October 14, 1993, the Fund is up 27.46% cumulatively, or 7.26%
annualized. The Fund's asset weightings were 45% in U.S. equities, 32% in
U.S. bonds, 12% in international bonds, 3% in international equities, and
8% in cash as of March 31, 1997.
- - The Lifecycle Short Range Fund returned 8.32% for the twelve months ended
March 31, 1997**, as compared to 7.21% for the Asset Allocation Index-Short
Range* and 8.71% for the Lipper Income Average+. Since its inception on
October 15, 1993, the Fund is up 19.30% cumulatively, or 5.23% annualized.
The Fund's asset weightings were 25% in U.S. equities, 44% in U.S. bonds,
9% in international bonds, 2% in international equities, and 20% in cash as
of March 31, 1997.
MANAGER OUTLOOK
As the U.S. economy embarks on its seventh year of expansion, the imbalances
that normally precede a recession are still not evident. Should the economy
continue at its recent pace, however, the developing upward pressures on labor
costs would likely generate higher inflation and a strong upward move in
interest rates. This move, in turn, would probably lay the groundwork for an
ensuing downturn in business activity. To some extent, the current higher
interest rates should also temper overall real economic growth going forward and
create a slower economic growth path by summer. This would be a more positive
environment for both the stock and bond markets.
The Funds remain overweighted in U.S. stocks and underweighted in U.S. bonds.
Favorable earnings reports and the forecasted continuation of a sustainable
economic expansion are anticipated to offset some of the downward pressures on
equities in the near term. Plus, we believe a cautious stance is warranted for
the U.S. bond market for the near term, until we see what future action the
Federal Reserve Board may take and what effect their previous action will have.
We believe the international markets are still well behind the U.S. in terms of
an economic cycle, even with their recovery out of recession over the past year.
Their economies, for the most part, are just beginning to show signs of moderate
growth. However, low interest rates and favorable foreign exchange rates should
propel the growth scenario over the next six months or so. At that point, their
equity markets may well be poised to outperform the U.S. once again. Stronger
economic markets may also cause foreign central banks to begin to raise
short-term interest rates in the second half of 1997. If such a move is made,
foreign bonds may become relatively unattractive compared to U.S. bonds. This
international outlook combined with the possibility of the Federal Reserve Board
maintaining a tightened monetary policy for the near term may also make foreign
currencies look more attractive than the U.S. dollar later in 1997.
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
March 31, 1997
- ---------------
* Indexes are unmanaged, and investments cannot be made in an index.
** Performance quoted represents past performance. 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 FUNDS
LETTER TO SHAREHOLDERS
- --------------------------------------------------------------------------------
----------------------------------------
DIVERSIFICATION OF PORTFOLIO INVESTMENTS
----------------------------------------
By Asset Class as of March 31, 1997
(PERCENTAGES ARE BASED ON MARKET VALUE)
[PIE CHART]
Stocks 68% Bonds 32%
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
--------------------------------------
Merck & Co., Inc.
BankAmerica Corp.
General Electric
Philip Morris Companies, Inc.
Pfizer, Inc.
--------------------------------------
--------------------------------------
FIVE LARGEST FIXED INCOME SECURITIES
--------------------------------------
US Treasury Notes 5.875%, 2/15/00
FNMA 7.00%, 9/01/21
US Treasury Notes 6.625%, 3/31/02
US Treasury Bond 6.50%, 11/15/26
US Treasury Notes 7.50%, 2/15/05
--------------------------------------
- --------------------------------------------------------------------------------
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.
- --------------------------------------------------------------------------------
PERFORMANCE COMPARISON
- --------------------------------------------------------------------------------
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT IN THE BT INVESTMNT
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 MARCH 31, 1997
One Year Since 11/16/93*
13.88% 40.31%
* The Fund's inception date.
Investment return and principal value may
fluctuate so that shares, when redeemed, may be
worth more or less than their original cost.
-------------------------------------------------------
[GRAPH]
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 March 31, 1997
(PERCENTAGES ARE BASED ON MARKET VALUE)
[CHART]
Short Term Instruments 8%
Stocks 48% Bonds 44%
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
--------------------------------------
Merck & Co., Inc.
BankAmerica Corp.
General Electric Co.
Philip Morris Companies, Inc.
Pfizer, Inc.
--------------------------------------
--------------------------------------
FIVE LARGEST FIXED INCOME SECURITIES
--------------------------------------
US Treasury Notes 6.625%, 3/31/02
GNMA 8.00%, 7/15/25
US Treasury Bond 6.50%, 11/15/26
US Treasury Notes 5.875%, 2/15/00
GNMA 9.00%, 10/15/25
--------------------------------------
- --------------------------------------------------------------------------------
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 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 March 31, 1997
One Year Since 10/14/93*
11.16% 27.46%
* The Fund's inception date.
Investment return and principal value may fluctuate so that
shares, when redeemed, may be worth more or less than their
original cost.
-----------------------------------------------------------------
[GRAPH]
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>
- --------------------------------------------------------------------------------
BT INVESTMENT LIFECYCLE SHORT RANGE FUND
LETTER TO SHAREHOLDERS
- --------------------------------------------------------------------------------
-------------------------------------------
DIVERSIFICATION OF PORTFOLIO INVESTMENTS
-------------------------------------------
By Asset Class as of March 31, 1997
(PERCENTAGES ARE BASED ON MARKET VALUE)
[PIE CHART]
Stocks 27% Short Term Instruments 20%
Bonds 53%
--------------------------------------
FIVE LARGEST COMMON STOCK HOLDINGS
--------------------------------------
BankAmerica Corp.
Merck & Co., Inc.
DuPont (E.I.) de Nemours & Co.
American Internation Group, Inc.
Philip Morris Companies, Inc.
--------------------------------------
--------------------------------------
FIVE LARGEST FIXED INCOME SECURITIES
--------------------------------------
US Treasury Notes 6.625%, 3/31/02
FNMA 7.50%, 9/01/21
US Treasury Notes 6.250%, 6/30/98
US Treasury Bond 6.50%, 11/15/26
US Treasury Notes 6.250%, 3/31/99
--------------------------------------
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.
- --------------------------------------------------------------------------------
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 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 MARCH 31, 1997
One Year Since 10/15/93*
8.32% 19.30%
* The Fund's inception date.
Investment return and principal value may fluctuate so that
shares, when redeemed, may be worth more or less than their
original cost.
------------------------------------------------------------
[GRAPH]
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 MARCH 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LONG RANGE MID RANGE SHORT RANGE
------------- ------------- -------------
<S> <C> <C> <C>
ASSETS
Investment in Portfolio, at Value*. . . . . . . . . . . . . . $ 78,042,203 $ 61,775,915 $ 32,541,524
Receivable for Shares of Beneficial Interest Subscribed . . . 327,692 114,515 38,461
Prepaid Expenses and Other. . . . . . . . . . . . . . . . . . 8,915 8,913 8,676
Due from Bankers Trust. . . . . . . . . . . . . . . . . . . . -- -- 3,548
------------- ------------- -------------
Total Assets . . . . . . . . . . . . . . . . . . . . . . . . . . 78,378,810 61,899,343 32,592,209
------------- ------------- -------------
Liabilities
Due to Bankers Trust. . . . . . . . . . . . . . . . . . . . . 12,916 4,931 --
Payable for Shares of Beneficial Interest Redeemed. . . . . . 52,426 8,376 21,093
Accrued Expenses and Other. . . . . . . . . . . . . . . . . . 22,133 19,534 19,599
------------- ------------- -------------
Total Liabilities. . . . . . . . . . . . . . . . . . . . . . . . 87,475 32,841 40,692
------------- ------------- -------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 78,291,335 $ 61,866,502 $ 32,551,517
------------- ------------- -------------
------------- ------------- -------------
COMPOSITION OF NET ASSETS
Paid-in Capital . . . . . . . . . . . . . . . . . . . . . . . $ 71,307,115 $ 57,669,496 $ 31,356,220
Undistributed Net Investment Income . . . . . . . . . . . . . 221,147 295,906 176,046
Undistributed Net Realized Gain from Investments,
Foreign Currencies and Futures Contracts . . . . . . . . . 4,958,823 3,087,695 1,423,009
Net Unrealized Appreciation (Depreciation) on:
Investment and Foreign Currency Transactions . . . . . . . 2,418,072 1,272,759 (173,595)
Futures Contracts. . . . . . . . . . . . . . . . . . . . . (613,822) (459,354) (230,163)
------------- ------------- -------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 78,291,335 $ 61,866,502 $ 32,551,517
------------- ------------- -------------
------------- ------------- -------------
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE
(net assets divided by shares outstanding). . . . . . . . . . $ 11.96 $ 10.80 $ 10.31
------------- ------------- -------------
------------- ------------- -------------
SHARES OUTSTANDING ($0.001 par value per share, unlimited
number of shares of beneficial interest authorized) . . . . . 6,547,534 5,728,126 3,158,544
------------- ------------- -------------
------------- ------------- -------------
</TABLE>
- -------------------------
* Allocated from Asset Management Portfolio, Asset Management Portfolio II
and Asset Management Portfolio III, respectively.
See Notes to Financial Statements on Pages 14 and 15
8
<PAGE>
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BT INVESTMENT LIFECYCLE FUNDS
STATEMENT OF OPERATIONS FOR THE YEAR ENDED MARCH 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LONG RANGE MID RANGE SHORT RANGE
----------- ----------- -----------
<S> <C> <C> <C>
INVESTMENT INCOME
Income, net*. . . . . . . . . . . . . . . . . . . . . . . $ 2,100,186 $ 2,215,078 $ 1,435,869
----------- ----------- -----------
EXPENSES
Administration and Services Fees. . . . . . . . . . . . . 436,826 371,327 201,123
Printing and Shareholder Reports. . . . . . . . . . . . . 11,951 22,233 22,229
Registration Fees . . . . . . . . . . . . . . . . . . . . 22,436 18,570 15,986
Professional Fees . . . . . . . . . . . . . . . . . . . . 10,393 11,318 11,368
Trustees Fees . . . . . . . . . . . . . . . . . . . . . . 2,714 2,814 2,764
Miscellaneous . . . . . . . . . . . . . . . . . . . . . . 2,952 3,131 2,886
----------- ----------- -----------
Total Expenses. . . . . . . . . . . . . . . . . . . . . . 487,272 429,393 256,356
Less Expenses Absorbed by Bankers Trust . . . . . . . . . (218,456) (200,884) (132,588)
----------- ----------- -----------
Net Expenses . . . . . . . . . . . . . . . . . . . . . 268,816 228,509 123,768
----------- ----------- -----------
NET INVESTMENT INCOME. . . . . . . . . . . . . . . . . . . . 1,831,370 1,986,569 1,312,101
----------- ----------- -----------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FOREIGN
CURRENCIES AND FUTURES CONTRACTS
Net Realized Gain from:
Investment and Foreign Currency Transactions . . . . . 4,160,182 2,633,873 1,240,231
Futures Contracts. . . . . . . . . . . . . . . . . . . 2,383,502 1,573,361 656,570
Net Change in Unrealized Appreciation (Depreciation) on:
Investments and Foreign Currency Transactions. . . . . 593,642 64,680 (649,346)
Futures Contracts. . . . . . . . . . . . . . . . . . . (604,109) (322,627) (129,374)
----------- ----------- -----------
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS, FOREIGN
CURRENCIES AND FUTURES CONTRACTS. . . . . . . . . . . . . . 6,533,217 3,949,287 1,118,081
----------- ----------- -----------
NET INCREASE IN NET ASSETS FROM OPERATIONS . . . . . . . . . $ 8,364,587 $ 5,935,856 $ 2,430,182
----------- ----------- -----------
----------- ----------- -----------
</TABLE>
- -------------------------
* Income allocated from Asset Management Portfolio, Asset Management
Portfolio II and Asset Management Portfolio III, respectively.
See Notes to Financial Statements on Pages 14 and 15
9
<PAGE>
- --------------------------------------------------------------------------------
BT INVESTMENT LIFECYCLE FUNDS
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LONG RANGE
------------------------------------
FOR THE FOR THE
YEAR ENDED YEAR ENDED
MARCH 31, 1997 MARCH 31, 1996
---------------- ----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS
Net Investment Income . . . . . . . . . . . . . . . . . . . . $ 1,831,370 $ 1,298,654
Net Realized Gain from Investments, Foreign Currencies
and Futures Contracts. . . . . . . . . . . . . . . . . . . 6,543,684 2,996,767
Net Change in Unrealized Appreciation (Depreciation)
on Investments, Foreign Currencies and Futures Contracts . (10,467) 1,509,294
------------- -------------
Net Increase in Net Assets from Operations. . . . . . . . . . 8,364,587 5,804,715
------------- -------------
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income . . . . . . . . . . . . . . . . . . . . (2,216,173) (1,044,464)
Net Realized Gain from Investment Transactions. . . . . . . . (2,901,114) (995,721)
------------- -------------
Total Distributions. . . . . . . . . . . . . . . . . . . . . . . (5,117,287) (2,040,185)
------------- -------------
CAPITAL TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST
Proceeds from Sales of Shares . . . . . . . . . . . . . . . . 21,938,721 46,825,041
Dividend Reinvestments. . . . . . . . . . . . . . . . . . . . 5,117,271 2,040,116
Cost of Shares Redeemed . . . . . . . . . . . . . . . . . . . (8,024,398) (9,983,290)
------------- -------------
Net Increase from Capital Transactions in Shares
of Beneficial Interest. . . . . . . . . . . . . . . . . . . . 19,031,594 38,881,867
------------- -------------
TOTAL INCREASE IN NET ASSETS . . . . . . . . . . . . . . . . . . 22,278,894 42,646,397
NET ASSETS
Beginning of Year. . . . . . . . . . . . . . . . . . . . . . . . 56,012,441 13,366,044
------------- -------------
End of Year (includes undistributed net investment
income of $221,147 and $392,190, respectively). . . . . . . . $ 78,291,335 $ 56,012,441
------------- -------------
------------- -------------
MID RANGE
------------------------------------
FOR THE FOR THE
YEAR ENDED YEAR ENDED
MARCH 31, 1997 MARCH 31, 1996
---------------- ----------------
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS
Net Investment Income . . . . . . . . . . . . . . . . . . . . $ 1,986,569 $ 1,601,888
Net Realized Gain from Investments, Foreign Currencies
and Futures Contracts. . . . . . . . . . . . . . . . . . . 4,207,234 2,255,767
Net Change in Unrealized Appreciation (Depreciation)
on Investments, Foreign Currencies and Futures Contracts . (257,947) 989,840
------------- -------------
Net Increase in Net Assets from Operations. . . . . . . . . . 5,935,856 4,847,495
------------- -------------
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income . . . . . . . . . . . . . . . . . . . . (2,346,426) (1,514,668)
Net Realized Gain from Investment Transactions. . . . . . . . (2,020,093) (251,391)
------------- -------------
Total Distributions. . . . . . . . . . . . . . . . . . . . . . . (4,366,519) (1,766,059)
------------- -------------
CAPITAL TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST
Proceeds from Sales of Shares . . . . . . . . . . . . . . . . 11,583,017 25,423,365
Dividend Reinvestments. . . . . . . . . . . . . . . . . . . . 4,366,423 1,765,953
Cost of Shares Redeemed . . . . . . . . . . . . . . . . . . . (7,118,197) (4,537,920)
------------- -------------
Net Increase from Capital Transactions in Shares
of Beneficial Interest. . . . . . . . . . . . . . . . . . . . 8,831,243 22,651,398
------------- -------------
TOTAL INCREASE IN NET ASSETS . . . . . . . . . . . . . . . . . . 10,400,580 25,732,834
NET ASSETS
Beginning of Year. . . . . . . . . . . . . . . . . . . . . . . . 51,465,922 25,733,088
------------- -------------
End of Year (includes undistributed net investment
income of $295,906 and $385,674, respectively). . . . . . . . $ 61,866,502 $ 51,465,922
------------- -------------
------------- -------------
</TABLE>
See Notes to Financial Statements on Pages 14 and 15
10
<PAGE>
- --------------------------------------------------------------------------------
BT INVESTMENT LIFECYCLE FUNDS
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHORT RANGE
------------------------------------
FOR THE FOR THE
YEAR ENDED YEAR ENDED
MARCH 31, 1997 MARCH 31, 1996
---------------- ----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS
Net Investment Income . . . . . . . . . . . . . . . . . . . . $ 1,312,101 $ 1,187,781
Net Realized Gain from Investments, Foreign Currencies
and Futures Contracts. . . . . . . . . . . . . . . . . . . 1,896,801 725,026
Net Change in Unrealized Appreciation (Depreciation)
on Investments, Foreign
Currencies and Futures Contracts . . . . . . . . . . . . . (778,720) 536,561
------------- -------------
Net Increase in Net Assets from Operations. . . . . . . . . . 2,430,182 2,449,368
------------- -------------
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income . . . . . . . . . . . . . . . . . . . . (1,614,074) (1,141,292)
------------- -------------
CAPITAL TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST
Proceeds from Sales of Shares . . . . . . . . . . . . . . . . 6,206,095 10,992,026
Dividend Reinvestments. . . . . . . . . . . . . . . . . . . . 1,614,074 1,141,292
Cost of Shares Redeemed . . . . . . . . . . . . . . . . . . . (4,983,599) (5,679,693)
------------- -------------
Net Increase from Capital Transactions in Shares
of Beneficial Interest. . . . . . . . . . . . . . . . . . . . 2,836,570 6,453,625
------------- -------------
TOTAL INCREASE IN NET ASSETS . . . . . . . . . . . . . . . . . . 3,652,678 7,761,701
NET ASSETS
Beginning of Year. . . . . . . . . . . . . . . . . . . . . . . . 28,898,839 21,137,138
------------- -------------
End of Year (includes undistributed net investment
income of $176,046 and $320,715, respectively). . . . . . . . $ 32,551,517 $ 28,898,839
------------- -------------
------------- -------------
</TABLE>
See Notes to Financial Statements on Pages 14 and 15
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 and BT Investment Lifecyle
Mid Range Funds.
<TABLE>
<CAPTION>
LONG RANGE
-----------------------------------------------------------
FOR THE PERIOD
FOR THE YEAR ENDED NOVEMBER 16, 1993
MARCH 31, (COMMENCEMENT
---------------------------------------- OF OPERATIONS) TO
1997 1996 1995 MARCH 31, 1994
---------- ---------- ---------- -----------------
<S> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE, BEGINNING OF PERIOD . . . . . . . . . . . . $ 11.32 $ 10.07 $ 9.68 $ 10.00
---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income . . . . . . . . . . . . . . . . . . 0.35 0.37 0.30 0.02
Net Realized and Unrealized Gain (Loss) on Investments,
Foreign Currencies and Futures Contracts . . . . . . . 1.18 1.54 0.32 (0.34)
---------- ---------- ---------- ----------
Total from Investment Operations . . . . . . . . . . . . . . 1.53 1.91 0.62 (0.32)
---------- ---------- ---------- ----------
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income . . . . . . . . . . . . . . . . . . (0.39) (0.38) (0.23) --
Net Realized Gain from Investment Transactions. . . . . . (0.50) (0.28) -- --
---------- ---------- ---------- ----------
Total Distributions. . . . . . . . . . . . . . . . . . . . . (0.89) (0.66) (0.23) --
---------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD . . . . . . . . . . . . . . . $ 11.96 $ 11.32 $ 10.07 $ 9.68
---------- ---------- ---------- ----------
---------- ---------- ---------- ----------
TOTAL INVESTMENT RETURN. . . . . . . . . . . . . . . . . . . 13.88% 19.41% 6.60% (8.42%)*
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period (000s omitted). . . . . . . . . $ 78,291 $ 56,012 $ 13,366 $ 5,203
Ratios to Average Net Assets:
Net Investment Income. . . . . . . . . . . . . . . . . 2.73% 3.58% 3.41% 2.69%*
Expenses, including expenses of the
Asset Management Portfolio. . . . . . . . . . . . . 1.00% 1.00% 1.00% 1.00%*
Decrease Reflected in Above Expense Ratio Due
to Absorption of Expenses by Bankers Trust. . . . . 0.48% 0.60% 0.91% 6.00%*
MID RANGE
-----------------------------------------------------------
FOR THE PERIOD
FOR THE YEAR ENDED OCTOBER 14, 1993
MARCH 31, (COMMENCEMENT
---------------------------------------- OF OPERATIONS) TO
1997 1996 1995 MARCH 31, 1994
---------- ---------- ---------- -----------------
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE, BEGINNING OF PERIOD . . . . . . . . . . . . $ 10.48 $ 9.61 $ 9.45 $ 10.00
---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income . . . . . . . . . . . . . . . . . . 0.42 0.41 0.37 0.11
Net Realized and Unrealized Gain (Loss) on Investments,
Foreign Currencies and Futures Contracts . . . . . . . 0.72 0.96 0.11 (0.60)
---------- ---------- ---------- ----------
Total from Investment Operations . . . . . . . . . . . . . . 1.14 1.37 0.48 (0.49)
---------- ---------- ---------- ----------
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income . . . . . . . . . . . . . . . . . . (0.44) (0.44) (0.32) (0.06)
Net Realized Gain from Investment Transactions. . . . . . (0.38) (0.06) -- --
---------- ---------- ---------- ----------
Total Distributions. . . . . . . . . . . . . . . . . . . . . (0.82) (0.50) (0.32) (0.06)
---------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD . . . . . . . . . . . . . . . $ 10.80 $ 10.48 $ 9.61 $ 9.45
---------- ---------- ---------- ----------
---------- ---------- ---------- ----------
TOTAL INVESTMENT RETURN. . . . . . . . . . . . . . . . . . . 11.16% 14.65% 5.24% (10.48%)*
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period (000s omitted). . . . . . . . . $ 61,867 $ 51,466 $ 25,733 $ 19,170
Ratios to Average Net Assets:
Net Investment Income. . . . . . . . . . . . . . . . . 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%*
Decrease Reflected in Above Expense Ratio Due
to Absorption of Expenses by Bankers Trust. . . . . 0.55% 0.58% 0.76% 1.10%*
</TABLE>
- --------------------
* Annualized
See Notes to Financial Statements on Pages 14 and 15
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 Short Range Fund.
<TABLE>
<CAPTION>
SHORT RANGE
-----------------------------------------------------------
FOR THE PERIOD
FOR THE YEAR ENDED OCTOBER 15, 1993
MARCH 31, (COMMENCEMENT
---------------------------------------- OF OPERATIONS) TO
1997 1996 1995 MARCH 31, 1994
---------- ---------- ---------- -----------------
<S> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE, BEGINNING OF PERIOD . . . . . . . . . . . . $10.03 $ 9.50 $ 9.60 $ 10.00
---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income . . . . . . . . . . . . . . . . . . 0.48 0.45 0.41 0.13
Net Realized and Unrealized Gain (Loss) on Investments,
Foreign Currencies and Futures Contracts . . . . . . . 0.34 0.54 (0.13) (0.47)
---------- ---------- ---------- ----------
Total from Investment Operations . . . . . . . . . . . . . . 0.82 0.99 0.28 (0.34)
---------- ---------- ---------- ----------
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income . . . . . . . . . . . . . . . . . . (0.54) (0.46) (0.37) (0.06)
Net Realized Gain from Investment Transactions. . . . . . -- -- (0.01) --
---------- ---------- ---------- ----------
Total Distributions. . . . . . . . . . . . . . . . . . . . . (0.54) (0.46) (0.38) (0.06)
---------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD . . . . . . . . . . . . . . . $ 10.31 $ 10.03 $ 9.50 $ 9.60
---------- ---------- ---------- ----------
---------- ---------- ---------- ----------
TOTAL INVESTMENT RETURN. . . . . . . . . . . . . . . . . . . 8.32% 10.67% 3.08% (7.39%)*
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period (000s omitted). . . . . . . . . $ 32,552 $ 28,899 $ 21,137 $ 17,582
Ratios to Average Net Assets:
Net Investment Income. . . . . . . . . . . . . . . . . 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%*
Decrease Reflected in Above Expense Ratio Due
to Absorption of Expenses by Bankers Trust. . . . . 0.65% 0.65% 0.82% 1.12%*
</TABLE>
- --------------------
* Annualized
See Notes to Financial Statements on Pages 14 and 15
13
<PAGE>
- --------------------------------------------------------------------------------
BT INVESTMENT LIFECYCLE FUNDS
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
NOTE 1--ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
A. ORGANIZATION
BT Investment Funds (the "Trust") is registered under the Investment Company Act
of 1940 (the "Act"), as amended, as an open-end management investment company.
The Trust was organized on July 21,1986, as a business trust under the laws of
the Commonwealth of Massachusetts. The BT Investment Lifecycle Long Range Fund,
Mid Range Fund and Short Range Fund (each a "Fund", and collectively, the
"Funds") are three of the funds offered to investors by the Trust. The 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 III (each a "Portfolio" and
collectively, the "Portfolios"), respectively. The Portfolios are open-end
management investment companies registered under the Act. The Funds seek to
achieve their investment objectives by investing all of their investable assets
in the respective Portfolio. The value of such investment in the Portfolios
reflects each Fund's proportionate interest in the net assets of the respective
Portfolio. At March 31, 1997, the Long Range Fund's investment was approximately
22% of the Asset Management Portfolio, the Mid Range Fund's investment was
approximately 100% of the Asset Management Portfolio II and the Short Range
Fund's investment was approximately 100% of the Asset Management Portfolio III.
The financial statements of each of the Portfolios, including the Schedules of
Portfolio Investments, are contained elsewhere in this report.
B. INVESTMENT INCOME
Each 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.
Each of the Funds may periodically make reclassifications among certain of its
capital accounts as a result of the timing and characterization of certain
income and capital gains distributions determined annually in accordance with
federal tax regulations which may differ from generally accepted accounting
principles. For the year ended March 31, 1997, $199,730, $270,089 and $157,316
of undistributed net realized gain was reclassified to undistributed net
investment income by the Long Range Fund, Mid Range Fund and Short Range Fund,
respectively. Additionally, the Long Range Fund reclassified $14,030 of
undistributed net realized gain to undistributed net investment income and
$414,964 of undistributed net realized gain to paid-in capital. The Mid Range
Fund reclassified $4,666 of undistributed net realized gain to paid-in capital,
and the Short Range Fund reclassified 115,758 of undistributed net realized gain
to paid-in capital and $12 of undistributed net investment income to paid-in
capital.
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 year ended March 31, 1997, these fees aggregated $436,826,
$371,327 and $201,123 for the Long Range Fund, Mid Range Fund and Short Range
Fund, respectively.
On September 30, 1996, the Trust entered into a Distribution Agreement with
Edgewood Services, Inc. ("Edgewood"). Prior to September 30, Signature
Broker-Dealer Services, Inc. ("Signature") was the Trust's distributor. Under
the Distribution Agreement with the Trust, pursuant to Rule 12b-1 of the 1940
Act, Edgewood, and previously Signature, may seek reimbursement, at an annual
rate not exceeding 0.20 of 1% of each Fund's average daily net assets, for
expenses incurred in connection with any activities primarily intended to result
in the sale of each Fund's shares. For the year ended March 31, 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 year ended March 31,
1997, expenses of the Long Range Fund, Mid Range Fund and Short Range Fund have
been reduced by $218,456, $200,884 and $132,588, respectively.
Certain trustees and officers of the Funds are also directors, officers and or
employees of Edgewood and/or Signature. None of the trustees so affiliated
received compensation for services as trustee of the Funds. Similarly, none of
the Funds' officers received compensation from the Funds.
14
<PAGE>
- --------------------------------------------------------------------------------
BT INVESTMENT LIFECYCLE FUNDS
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
NOTE 3--SHARES OF BENEFICIAL INTEREST
At March 31, 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 YEAR ENDED MARCH 31, 1997
--------------------------------------------------------------------------------
- ------
LONG RANGE MID RANGE SHORT RANGE
-------------------------- ------------------------- -------------------------
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
----------- ----------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
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
----------- ----------- ----------- ----------- ----------- -----------
----------- ----------- ----------- ----------- ----------- -----------
FOR THE YEAR ENDED MARCH 31, 1996
--------------------------------------------------------------------------------
- ------
LONG RANGE MID RANGE SHORT RANGE
-------------------------- ------------------------- -------------------------
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
----------- ----------- ----------- ----------- ----------- -----------
Sold . . . . . . . . . . . . . 4,376,179 $46,825,041 2,501,640 $25,423,365 1,109,684 $10,992,026
Reinvested . . . . . . . . . . 187,053 2,040,116 175,343 1,765,953 117,233 1,141,292
Redeemed . . . . . . . . . . . (942,323) (9,983,290) (446,097) (4,537,920) (570,529) (5,679,693)
----------- ----------- ----------- ----------- ----------- -----------
Increase . . . . . . . . . . . 3,620,909 $38,881,867 2,230,886 $22,651,398 656,388 $ 6,453,625
----------- ----------- ----------- ----------- ----------- -----------
----------- ----------- ----------- ----------- ----------- -----------
</TABLE>
- --------------------------------------------------------------------------------
FEDERAL TAX INFORMATION (UNAUDITED)
30.62% of the net investment income dividends paid by the BT Investment
Lifecycle Long Range Fund during the tax year ended March 31, 1997, qualified
for the Dividends Received Deduction. The Fund paid a long-term capital gain
dividend of $0.2622 during the tax year ended March 31, 1997.
16.64% of the net investment income dividends paid by the BT Investment
Lifecycle Mid Range Fund during the tax year ended March 31, 1997, qualified for
the Dividends Received Deduction. The Fund paid a long-term capital gain
dividend of $0.1978 during the tax year ended March 31, 1997.
6.45% of the net investment income dividends paid by the BT Investment Lifecycle
Short Range Fund during the tax year ended March 31, 1997, qualified for the
Dividends Received Deduction.
Note: 1997 calendar year percentages will be distributed under separate cover
in January 1998.
15
<PAGE>
- --------------------------------------------------------------------------------
BT INVESTMENT LIFECYCLE FUNDS
REPORT OF INDEPENDENT ACCOUNTANTS
- --------------------------------------------------------------------------------
To the Trustees and Shareholders of BT Investment Funds:
We have audited the accompanying statement of assets and liabilities of the BT
Investment Lifecycle Funds - Long Range Fund, Mid Range Fund and Short Range
Fund (the "Funds") (three of the Funds comprising BT Investment Funds) as of
March 31, 1997, and the related statement of operations for the year then ended,
the statement of changes in net assets for each of the two years in the period
then ended, and the financial highlights for each of the three years in the
period then ended and for the periods November 16, 1993 (commencement of
operations) to March 31, 1994, October 14, 1993 (commencement of operations) to
March 31, 1994 and October 15, 1993 (commencement of operations) to March 31,
1994 for the BT Investment Lifecycle -- Funds Long Range, Mid Range and Short
Range Fund, respectively. These financial statements and financial highlights
are the responsibility of the Funds' management. Our responsibility is to
express an opinion on these financial statements and financial highlights based
on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned as of
March 31, 1997, by correspondence with the custodian. An audit also includes
assessing the accounting principles used and significant estimates made by
management, as well as evaluating the overall financial statement presentation.
We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of each
of the Funds as of March 31, 1997, the results of their operations, the changes
in their net assets and the financial highlights for the periods referred to
above, in conformity with generally accepted accounting principles.
Coopers & Lybrand L.L.P.
Kansas City, Missouri
May 2, 1997
16
<PAGE>
- --------------------------------------------------------------------------------
ASSET MANAGEMENT PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS MARCH 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Description Value
------ ----------- -----
<S> <C> <C>
COMMON STOCKS - 53.50%
AEROSPACE - 0.36%
12,800 Boeing Co.. . . . . . . . . . . . . . . . . . . . . . . $ 1,262,400
------------
AIRLINES - 0.50%
14,300 AMR Corp. (a) . . . . . . . . . . . . . . . . . . . . . 1,179,750
6,800 Delta Air Lines, Inc. . . . . . . . . . . . . . . . . . 572,050
------------
1,751,800
------------
AUTO RELATED - 1.33%
28,500 Chrysler Corp.. . . . . . . . . . . . . . . . . . . . . 855,000
53,000 Dana Corp.. . . . . . . . . . . . . . . . . . . . . . . 1,742,375
36,900 General Motors Corp.. . . . . . . . . . . . . . . . . . 2,043,337
------------
4,640,712
------------
BANKS - 3.94%
54,900 Bank of Boston Corp.. . . . . . . . . . . . . . . . . . 3,678,300
48,500 BankAmerica Corp. . . . . . . . . . . . . . . . . . . . 4,886,375
46,400 Chase Manhattan Corp. . . . . . . . . . . . . . . . . . 4,344,200
7,700 Citicorp Co.. . . . . . . . . . . . . . . . . . . . . . 833,525
------------
13,742,400
------------
BEVERAGES - 2.09%
37,200 Coca-Cola Co. . . . . . . . . . . . . . . . . . . . . . 2,078,550
9,100 Coca-Cola Enterprises, Inc. . . . . . . . . . . . . . . 522,113
127,300 PepsiCo, Inc. . . . . . . . . . . . . . . . . . . . . . 4,153,162
13,800 Seagram Ltd.. . . . . . . . . . . . . . . . . . . . . . 527,850
------------
7,281,675
------------
CHEMICALS AND TOXIC WASTE - 2.36%
9,600 Air Products & Chemical Corp. . . . . . . . . . . . . . 651,600
41,100 Du Pont (E.I.) de Nemours & Co. . . . . . . . . . . . . 4,356,600
84,500 Monsanto Co.. . . . . . . . . . . . . . . . . . . . . . 3,232,125
------------
8,240,325
------------
COMPUTER SERVICES - 1.35%
52,100 Cisco Systems, Inc. (a) . . . . . . . . . . . . . . . . 2,507,312
39,600 CUC International, Inc. (a) . . . . . . . . . . . . . . 891,000
13,000 EMC Corp. (a) . . . . . . . . . . . . . . . . . . . . . 461,500
18,600 Seagate Technology Co. (a). . . . . . . . . . . . . . . 834,675
------------
4,694,487
------------
COMPUTER SOFTWARE - 1.34%
11,400 BMC Software, Inc. (a). . . . . . . . . . . . . . . . . 525,825
27,750 Computer Associates International, Inc. . . . . . . . . 1,078,781
28,600 Informix Corp.. . . . . . . . . . . . . . . . . . . . . 432,575
14,200 Microsoft Corp. (a) . . . . . . . . . . . . . . . . . . 1,301,963
34,350 Oracle Corp. (a). . . . . . . . . . . . . . . . . . . . 1,324,622
------------
4,663,766
------------
DATA PROCESSING SERVICES - 0.40%
41,100 First Data Corp.. . . . . . . . . . . . . . . . . . . . 1,392,262
------------
DIVERSIFIED - 2.40%
57,400 AlliedSignal, Inc.. . . . . . . . . . . . . . . . . . . 4,089,750
14,100 Supervalu, Inc. . . . . . . . . . . . . . . . . . . . . 419,475
10,700 Textron, Inc. . . . . . . . . . . . . . . . . . . . . . 1,123,500
36,200 United Technologies Corp. . . . . . . . . . . . . . . . 2,724,050
------------
8,356,775
------------
DRUGS - 3.22%
22,800 Lilly (Eli) & Co. . . . . . . . . . . . . . . . . . . . $ 1,875,300
58,600 Merck & Co., Inc. . . . . . . . . . . . . . . . . . . . 4,937,050
52,300 Pfizer, Inc.. . . . . . . . . . . . . . . . . . . . . . 4,399,738
------------
11,212,088
------------
ELECTRICAL EQUIPMENT - 1.94%
48,400 Emerson Electric Co.. . . . . . . . . . . . . . . . . . 2,178,000
46,100 General Electric Co.. . . . . . . . . . . . . . . . . . 4,575,425
------------
6,753,425
------------
ELECTRONICS - 1.57%
51,400 Analog Devices, Inc. (a). . . . . . . . . . . . . . . . 1,156,500
23,000 Intel Corp. . . . . . . . . . . . . . . . . . . . . . . 3,199,875
23,000 Xilinx, Inc. (a). . . . . . . . . . . . . . . . . . . . 1,121,250
------------
5,477,625
------------
ENTERTAINMENT - 0.38%
18,027 Disney (Walt) Co. . . . . . . . . . . . . . . . . . . . 1,315,971
------------
ENVIRONMENT CONTROL - 0.32%
36,500 U.S. Filter Corp. (a) . . . . . . . . . . . . . . . . . 1,126,938
------------
FINANCIAL SERVICES - 2.08%
29,800 Associates First Capital Corp.-Cl. A. . . . . . . . . . 1,281,400
71,900 Federal Home Loan Mortgage Corp.. . . . . . . . . . . . 1,959,275
37,500 Glendale Federal Bank FSB Co. (a) . . . . . . . . . . . 862,500
26,200 MBNA Corp.. . . . . . . . . . . . . . . . . . . . . . . 730,325
10,900 Price (T. Rowe) Associates, Inc.. . . . . . . . . . . . 404,663
41,966 Travelers Group, Inc. . . . . . . . . . . . . . . . . . 2,009,122
------------
7,247,285
------------
FOODS - 1.74%
44,500 CPC International, Inc. . . . . . . . . . . . . . . . . 3,649,000
59,500 Sara Lee Corp.. . . . . . . . . . . . . . . . . . . . . 2,409,750
------------
6,058,750
------------
HEALTHCARE DIVERSIFIED - 1.31%
8,400 Abbott Laboratories Co. . . . . . . . . . . . . . . . . 471,450
77,400 Johnson & Johnson Co. . . . . . . . . . . . . . . . . . 4,092,525
------------
4,563,975
------------
HOSPITAL SUPPLIES AND HEALTHCARE - 1.18%
36,700 Baxter International, Inc.. . . . . . . . . . . . . . . 1,582,688
19,800 Becton, Dickinson & Company . . . . . . . . . . . . . . 891,000
6,400 PacifiCare Health Systems, Inc.-Cl. B . . . . . . . . . 552,000
35,200 U.S. Surgical Corp. . . . . . . . . . . . . . . . . . . 1,073,600
------------
4,099,288
------------
HOTEL/MOTEL - 0.62%
43,500 Marriott International, Inc.. . . . . . . . . . . . . . 2,164,125
------------
HOUSEHOLD PRODUCTS - 1.51%
10,900 Clorox Co.. . . . . . . . . . . . . . . . . . . . . . . 1,222,163
32,700 Procter & Gamble Co.. . . . . . . . . . . . . . . . . . 3,760,500
8,500 Tupperware Corp.. . . . . . . . . . . . . . . . . . . . 284,750
------------
5,267,413
------------
INSURANCE - 1.62%
28,300 American International Group, Inc.. . . . . . . . . . . 3,321,713
14,600 General Re Corp.. . . . . . . . . . . . . . . . . . . . 2,306,800
------------
5,628,513
------------
</TABLE>
See Notes to Financial Statements on Pages 30 through 32
17
<PAGE>
- --------------------------------------------------------------------------------
ASSET MANAGEMENT PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS MARCH 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Description Value
------ ----------- -----
<S> <C> <C>
METALS - 0.38%
20,000 Alcan Aluminium Co. Ltd.. . . . . . . . . . . . . . . . $ 677,500
21,600 Freeport-McMoRan Copper & Gold, Inc.-Cl. B. . . . . . . 656,100
------------
1,333,600
------------
OFFICE EQUIPMENT AND COMPUTERS - 1.62%
54,900 Hewlett-Packard Co. . . . . . . . . . . . . . . . . . . 2,923,425
13,200 IBM Corp. . . . . . . . . . . . . . . . . . . . . . . . 1,813,350
15,900 Xerox Corp. . . . . . . . . . . . . . . . . . . . . . . 904,312
------------
5,641,087
------------
OIL-DOMESTIC - 1.62%
2,900 Atlantic Richfield Co.. . . . . . . . . . . . . . . . . 391,500
27,300 ENSCO International, Inc. (a) . . . . . . . . . . . . . 1,344,525
11,100 Louisiana Land & Exploration Co.. . . . . . . . . . . . 525,862
26,900 Noble Drilling Corp. (a). . . . . . . . . . . . . . . . 464,025
14,300 Phillips Petroleum Co.. . . . . . . . . . . . . . . . . 584,513
61,300 Unocal Corp.. . . . . . . . . . . . . . . . . . . . . . 2,337,063
------------
5,647,488
------------
OIL EQUIPMENT AND SERVICES - 0.45%
25,300 Apache Corp.. . . . . . . . . . . . . . . . . . . . . . 847,550
6,600 Schlumberger Ltd. . . . . . . . . . . . . . . . . . . . 707,850
------------
1,555,400
------------
OIL-INTERNATIONAL - 3.27%
8,700 Amoco Corp. . . . . . . . . . . . . . . . . . . . . . . 753,637
11,600 Chevron Corp. . . . . . . . . . . . . . . . . . . . . . 807,650
20,900 Exxon Corp. . . . . . . . . . . . . . . . . . . . . . . 2,251,975
7,600 Mobil Corp. . . . . . . . . . . . . . . . . . . . . . . 992,750
16,400 Royal Dutch Petroleum Co. . . . . . . . . . . . . . . . 2,870,000
34,000 Texaco, Inc.. . . . . . . . . . . . . . . . . . . . . . 3,723,000
------------
11,399,012
------------
PAPER AND FOREST PRODUCTS - 0.70%
29,300 Champion International Corp.. . . . . . . . . . . . . . 1,333,150
28,800 International Paper Co. . . . . . . . . . . . . . . . . 1,119,600
------------
2,452,750
------------
PRINTING AND PUBLISHING - 0.65%
44,500 McGraw-Hill Companies, Inc. . . . . . . . . . . . . . . 2,275,062
------------
RAILROADS - 0.46%
21,600 Burlington Northern Santa Fe Corp.. . . . . . . . . . . 1,598,400
------------
RETAIL - 2.30%
46,425 Dollar General Corp.. . . . . . . . . . . . . . . . . . 1,450,781
30,800 Lowe's Companies, Inc.. . . . . . . . . . . . . . . . . 1,151,150
18,500 Nine West Group, Inc. (a) . . . . . . . . . . . . . . . 827,875
68,100 Staples, Inc. (a) . . . . . . . . . . . . . . . . . . . 1,370,512
26,400 Tiffany & Co. . . . . . . . . . . . . . . . . . . . . . 1,003,200
79,900 Wal-Mart Stores, Inc. . . . . . . . . . . . . . . . . . 2,227,213
------------
8,030,731
------------
TELECOMMUNICATIONS - 2.83%
81,700 AT&T Corp.. . . . . . . . . . . . . . . . . . . . . . . 2,839,075
58,700 Comcast Corp.-Cl. A . . . . . . . . . . . . . . . . . . 990,562
57,300 MCI Communications Corp.. . . . . . . . . . . . . . . . 2,041,313
54,000 Motorola, Inc.. . . . . . . . . . . . . . . . . . . . . 3,260,250
15,700 Sprint Corp.. . . . . . . . . . . . . . . . . . . . . . 714,350
------------
9,845,550
------------
TOBACCO - 1.29%
39,400 Philip Morris Companies, Inc. . . . . . . . . . . . . . $ 4,496,525
------------
UTILITY-ELECTRIC - 1.54%
16,900 American Electric Power Co. . . . . . . . . . . . . . . 697,125
11,900 Dominion Resources, Inc.. . . . . . . . . . . . . . . . 432,862
30,400 FPL Group, Inc. . . . . . . . . . . . . . . . . . . . . 1,341,400
21,500 Ohio Edison Co. . . . . . . . . . . . . . . . . . . . . 454,188
36,400 Pacific Gas & Electric Corp.. . . . . . . . . . . . . . 855,400
16,500 Public Service Enterprise Corp. . . . . . . . . . . . . 433,125
33,800 Texas Utilities Co. . . . . . . . . . . . . . . . . . . 1,157,650
------------
5,371,750
------------
UTILITY-GAS, NATURAL GAS - 0.66%
46,000 Consolidated Natural Gas Co.. . . . . . . . . . . . . . 2,317,250
------------
UTILITY-TELEPHONE - 2.17%
9,800 Ameritech Corp. . . . . . . . . . . . . . . . . . . . . 602,700
7,700 Bell Atlantic Corp. . . . . . . . . . . . . . . . . . . 468,737
17,800 BellSouth Corp. . . . . . . . . . . . . . . . . . . . . 752,050
41,200 Frontier Corp.. . . . . . . . . . . . . . . . . . . . . 736,450
81,500 GTE Corp. . . . . . . . . . . . . . . . . . . . . . . . 3,799,937
12,128 Lucent Technologies, Inc. . . . . . . . . . . . . . . . 639,752
10,900 SBC Communications, Inc.. . . . . . . . . . . . . . . . 573,613
------------
7,573,239
TOTAL COMMON STOCK (Cost $175,839,456) . . . . . . . . . . . . . . . . 186,479,842
------------
Principal
Amount
- ---------
CORPORATE DEBT-NON CONVERTIBLE - 2.98%
FINANCIAL SERVICES - 1.62%
$ 240,000 Bangkok Bank Public Co., 8.375%, 1/15/27 (c). . . . . . 230,464
500,000 Bayerische Landesbank, 6.17%, 2/01/06 . . . . . . . . . 464,807
400,000 China International Trust, 9.00%, 10/15/06. . . . . . . 424,119
300,000 Ford Motor Credit Co., 6.25%, 11/8/00 . . . . . . . . . 293,274
600,000 Great Western Financial Corp., 6.375%, 7/01/00. . . . . 588,226
215,000 International Bank Reconstruction &
Development, 8.875%, 3/01/26. . . . . . . . . . . . . 248,763
450,000 Jackson National Life Insurance Co., 8.15%,
3/15/27 (c) . . . . . . . . . . . . . . . . . . . . . 441,828
195,000 KFW International Finance, 8.20%, 6/01/06 . . . . . . . 206,519
700,000 Lehman Brothers, Inc., 7.25%, 4/15/03 . . . . . . . . . 691,450
415,000 Mutual Life Insurance Co., 11.25%, 8/15/24 (c). . . . . 403,521
625,000 News America Holdings, 7.43%, 10/01/26. . . . . . . . . 623,317
765,000 Paine Webber Group, Inc., 9.25%, 12/15/01 . . . . . . . 823,594
215,000 Standard Credit Card Master Trust, 6.55%,
10/07/05. . . . . . . . . . . . . . . . . . . . . . . 205,428
------------
5,645,310
------------
FOREIGN INDUSTRIAL - 0.17%
19,000 Celulosa Arauco y Constitucion, 6.75%, 12/15/03 . . . . 18,038
610,000 Celulosa Arauco y Constitucion, 7.00%, 12/15/07 . . . . 574,507
------------
592,545
------------
INDUSTRIAL - 1.01%
215,000 Auburn Hills Trust, 12.00%, 5/01/20 . . . . . . . . . . 314,008
475,000 Brunswick Corp., 8.125%, 4/01/97. . . . . . . . . . . . 475,000
270,000 Empress River Casino Finance, 10.75%,
4/01/02. . . . . . . . . . . . . . . . . . . . . . . . 285,525
50,000 Federated Department Stores, Inc., 8.50%,
6/15/03 . . . . . . . . . . . . . . . . . . . . . . . 51,299
</TABLE>
See Notes to Financial Statements on Pages 30 through 32
18
<PAGE>
- --------------------------------------------------------------------------------
ASSET MANAGEMENT PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS MARCH 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal
Amount Description Value
- --------- ----------- -----
<S> <C> <C>
$ 490,000 Laidlaw, Inc., 7.70%, 8/15/02 . . . . . . . . . . . . . $ 497,644
430,000 Loewen Group, Inc., 8.25%, 10/15/03 . . . . . . . . . . 431,048
290,000 Marriott International, Inc., Series A, 6.75%,
12/15/03. . . . . . . . . . . . . . . . . . . . . . . 278,111
145,000 Marriott International, Inc. ,Series B, 7.875%,
4/15/05 . . . . . . . . . . . . . . . . . . . . . . . 146,244
485,000 Tenet Healthcare Corp., 9.625%, 9/01/02 . . . . . . . . 517,738
535,000 Texas Instruments, Inc., 6.75%, 7/15/99 . . . . . . . . 535,606
------------
3,532,223
------------
UTILITY - 0.18%
35,000 Idaho Power Co., 8.00%, 3/15/04 . . . . . . . . . . . . 36,254
440,000 Occidental Petroleum Corp., 9.50%, 7/15/97. . . . . . . 444,624
140,000 Potomac Edison Co., 8.00%, 6/01/24. . . . . . . . . . . 138,022
------------
618,900
------------
TOTAL CORPORATE DEBT NON-CONVERTIBLE (Cost $10,506,602). . . . . . . . 10,388,978
------------
FOREIGN DEBT - 0.41%
SOVEREIGN DEBT - 0.41%
125,000 Manitoba, 6.125%, 1/19/04 . . . . . . . . . . . . . . . 118,188
265,000 New Zealand Government, 8.75%, 12/15/06 . . . . . . . . 291,912
95,000 New Zealand Government, 10.625%, 11/15/05 . . . . . . . 116,157
520,000 Poland Discount Bond, 6.437%, 10/27/24. . . . . . . . . 508,950
400,000 Quebec Province, 7.22%, 7/22/36 . . . . . . . . . . . . 405,922
------------
TOTAL FOREIGN DEBT (Cost $1,438,355) . . . . . . . . . . . . . . . . . 1,441,129
------------
Shares
------
PREFERRED STOCK - 0.48%
FINANCIAL SERVICES - 0.33%
480 Home Ownership Funding Corp. (c). . . . . . . . . . . . 457,920
705 Home Ownership Funding Corp. II (c) . . . . . . . . . . 674,341
------------
1,132,261
------------
MISCELLANEOUS - 0.15%
314 1585 Broadway Corp. (c) . . . . . . . . . . . . . . . . 302,402
240 Marquette Real Estate Funding Corp. (c) . . . . . . . . 230,285
------------
532,687
------------
TOTAL PREFERRED STOCK (Cost $1,738,740). . . . . . . . . . . . . . . . 1,664,948
------------
Principal
Amount
- ---------
U.S. GOVERNMENT AND AGENCY - 3.93%
$ 464,331 FGHLMC, 6.50%, 4/01/11 (b). . . . . . . . . . . . . . . 447,644
111,125 FGHLMC, 9.50%, 2/01/25 (b). . . . . . . . . . . . . . . 118,866
93,841 FGHLMC, 7.50%, 9/01/25 (b). . . . . . . . . . . . . . . 92,589
253,443 FNMA, 6.00%, 1/01/01 (b). . . . . . . . . . . . . . . . 247,832
150,000 FNMA, Global Bond, 6.35%, 11/23/01 (b). . . . . . . . . 146,321
325,000 FNMA, 8.625%, 11/10/04 (b). . . . . . . . . . . . . . . 334,796
463,851 FNMA, 7.00%, 9/01/07 (b). . . . . . . . . . . . . . . . 456,169
500,000 FNMA TBA, 6.00%, 4/01/08 (b). . . . . . . . . . . . . . 470,469
384,477 FNMA, 6.50%, 9/01/08 (b). . . . . . . . . . . . . . . . 370,179
175,287 FNMA, 6.00%, 1/01/09 (b). . . . . . . . . . . . . . . . 164,934
345,913 FNMA, 6.00%, 1/01/09 (b). . . . . . . . . . . . . . . . 329,863
15,968 FNMA, 6.00%, 1/01/09 (b). . . . . . . . . . . . . . . . 15,025
273,932 FNMA, 8.00%, 4/01/10 (b). . . . . . . . . . . . . . . . 279,392
616,614 FNMA, 7.00%, 8/01/10 (b). . . . . . . . . . . . . . . . 608,888
7,300,000 FNMA TBA, 7.00%, 9/01/21 (b). . . . . . . . . . . . . . 6,985,246
387,850 FNMA, 6.50%, 10/01/23 (b) . . . . . . . . . . . . . . . 360,824
282,042 GNMA, 7.00%, 9/15/23 (b). . . . . . . . . . . . . . . . 269,176
$ 647,611 GNMA, 8.50%, 10/20/24 (b) . . . . . . . . . . . . . . . $ 660,159
389,389 GNMA, 8.00%, 7/15/25 (b). . . . . . . . . . . . . . . . 391,701
980,646 GNMA, 7.00%, 3/15/26 (b). . . . . . . . . . . . . . . . 935,912
------------
TOTAL U.S. GOVERNMENT AND AGENCY (Cost $13,951,373). . . . . . . . . . 13,685,985
------------
U.S. TREASURY SECURITIES - 9.45%
265,000 U.S. Treasury Bonds, 6.625%, 6/30/01. . . . . . . . . . 263,758
460,000 U.S. Treasury Bonds, 6.375%, 9/30/01. . . . . . . . . . 453,170
735,000 U.S. Treasury Bonds, 6.875%, 5/15/06. . . . . . . . . . 730,866
195,000 U.S. Treasury Bonds, 8.125%, 8/15/19. . . . . . . . . . 214,013
960,000 U.S. Treasury Bonds, 7.25%, 8/15/22 . . . . . . . . . . 960,900
4,720,000 U.S. Treasury Bonds, 6.50%, 11/15/26. . . . . . . . . . 4,343,877
2,130,000 U.S. Treasury Notes, 6.25%, 6/30/98 . . . . . . . . . . 2,131,334
1,570,000 U.S. Treasury Notes, 6.00%, 9/30/98 . . . . . . . . . . 1,563,369
3,550,000 U.S. Treasury Notes, 6.375%, 5/15/99. . . . . . . . . . 3,542,780
10,110,000 U.S. Treasury Notes, 5.875%, 2/15/00. . . . . . . . . . 9,923,635
5,100,000 U.S. Treasury Notes, 6.625%, 3/31/02. . . . . . . . . . 5,069,738
3,620,000 U.S. Treasury Notes, 7.50%, 2/15/05 . . . . . . . . . . 3,746,130
------------
TOTAL U.S. TREASURY SECURITIES (Cost $33,364,355). . . . . . . . . . . 32,943,570
------------
SHORT TERM INSTRUMENTS - 30.80%
REPURCHASE AGREEMENT - 14.38%
50,120,646 Sanwa Bank, dated 3/31/97, 6.30%, principal
and interest in the amount of $50,129,417
due 4/01/97 (collateralized by U.S. Treasury
Notes, par value of $51,926,000, 5.63%, due
11/30/00, value of $50,157,271) . . . . . . . . . . . 50,120,646
------------
U.S. TREASURY BILLS - 16.42%
57,240,000 4.91% to 5.06% maturing 4/03/97 to 5/29/97 (d). . . . . 57,215,857
------------
TOTAL SHORT TERM INSTRUMENTS (Cost $107,336,744) . . . . . . . . . . . 107,336,503
------------
TOTAL INVESTMENTS (Cost $344,175,625). . . . . . . . . 101.55% 353,940,955
Liabilities in Excess of Other Assets. . . . . . . . . (1.55)% (5,402,262)
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . 100.00% $348,538,693
</TABLE>
- -------------------------
(a) Non-income producing security
(b) The following abbreviations are used in the portfolio description:
FGHLMC -- Federal Gold Home Loan Mortgage Corporation
FHLMC -- Federal Home Loan Mortgage Corporation
FNMA -- Federal National Mortgage Association
GNMA -- Government National Mortgage Association
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 of $2,230,860 for futures contracts.
See Notes to Financial Statements on Pages 30 through 32
19
<PAGE>
- --------------------------------------------------------------------------------
ASSET MANAGEMENT PORTFOLIO II
SCHEDULE OF PORTFOLIO INVESTMENTS MARCH 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Description Value
------ ----------- -----
<S> <C> <C>
COMMON STOCKS - 33.93%
AEROSPACE - 0.26%
1,600 Boeing Co.. . . . . . . . . . . . . . . . . . . . . . . $ 157,800
------------
AIRLINES - 0.33%
1,700 AMR Corp. (a) . . . . . . . . . . . . . . . . . . . . . 140,250
800 Delta Air Lines, Inc. . . . . . . . . . . . . . . . . . 67,300
------------
207,550
------------
AUTO RELATED - 0.83%
3,100 Chrysler Corp.. . . . . . . . . . . . . . . . . . . . . 93,000
5,800 Dana Corp.. . . . . . . . . . . . . . . . . . . . . . . 190,675
4,100 General Motors Corp.. . . . . . . . . . . . . . . . . . 227,037
------------
510,712
------------
BANKS - 2.48%
6,160 Bank of Boston Corp.. . . . . . . . . . . . . . . . . . 412,720
5,400 BankAmerica Corp. . . . . . . . . . . . . . . . . . . . 544,050
5,100 Chase Manhattan Corp. . . . . . . . . . . . . . . . . . 477,487
900 Citicorp Co.. . . . . . . . . . . . . . . . . . . . . . 97,425
------------
1,531,682
------------
BEVERAGES - 1.33%
4,100 Coca-Cola Co. . . . . . . . . . . . . . . . . . . . . . 229,087
1,100 Coca-Cola Enterprises, Inc. . . . . . . . . . . . . . . 63,112
14,200 PepsiCo, Inc. . . . . . . . . . . . . . . . . . . . . . 463,275
1,700 Seagram Ltd.. . . . . . . . . . . . . . . . . . . . . . 65,025
------------
820,499
------------
CHEMICALS AND TOXIC WASTE - 1.48%
1,100 Air Products & Chemical Corp. . . . . . . . . . . . . . 74,662
4,500 Du Pont (E.I.) de Nemours & Co. . . . . . . . . . . . . 477,000
9,400 Monsanto Co.. . . . . . . . . . . . . . . . . . . . . . 359,550
------------
911,212
------------
COMPUTER SERVICES - 0.84%
5,700 Cisco Systems, Inc. (a) . . . . . . . . . . . . . . . . 274,312
4,400 CUC International, Inc. (a) . . . . . . . . . . . . . . 99,000
1,600 EMC Corp. (a) . . . . . . . . . . . . . . . . . . . . . 56,800
2,000 Seagate Technology Co. (a). . . . . . . . . . . . . . . 89,750
------------
519,862
------------
COMPUTER SOFTWARE - 0.89%
1,400 BMC Software, Inc. (a). . . . . . . . . . . . . . . . . 64,575
3,100 Computer Associates International, Inc. . . . . . . . . 120,512
3,100 Informix Corp. (a). . . . . . . . . . . . . . . . . . . 46,887
1,800 Microsoft Corp. (a) . . . . . . . . . . . . . . . . . . 165,037
3,950 Oracle Corp. (a). . . . . . . . . . . . . . . . . . . . 152,321
------------
549,332
------------
DATA PROCESSING SERVICES - 0.24%
4,400 First Data Corp.. . . . . . . . . . . . . . . . . . . . 149,050
------------
DIVERSIFIED - 1.54%
6,400 AlliedSignal, Inc.. . . . . . . . . . . . . . . . . . . 456,000
1,700 Supervalu, Inc. . . . . . . . . . . . . . . . . . . . . 50,575
1,300 Textron, Inc. . . . . . . . . . . . . . . . . . . . . . 136,500
4,100 United Technologies Corp. . . . . . . . . . . . . . . . 308,525
------------
951,600
------------
DRUGS - 2.01%
2,500 Lilly (Eli) & Co. . . . . . . . . . . . . . . . . . . . 205,625
6,500 Merck & Co., Inc. . . . . . . . . . . . . . . . . . . . 547,625
5,800 Pfizer, Inc.. . . . . . . . . . . . . . . . . . . . . . $ 487,925
------------
1,241,175
------------
ELECTRICAL EQUIPMENT - 1.21%
5,400 Emerson Electric Co.. . . . . . . . . . . . . . . . . . 243,000
5,100 General Electric Co.. . . . . . . . . . . . . . . . . . 506,175
------------
749,175
------------
ELECTRONICS - 1.00%
5,700 Analog Devices, Inc. (a). . . . . . . . . . . . . . . . 128,250
2,600 Intel Corp. . . . . . . . . . . . . . . . . . . . . . . 361,725
2,600 Xilinx, Inc. (a). . . . . . . . . . . . . . . . . . . . 126,750
------------
616,725
------------
ENTERTAINMENT - 0.23%
1,978 Disney (Walt) Co. . . . . . . . . . . . . . . . . . . . 144,394
------------
ENVIRONMENTAL CONTROL - 0.20%
4,100 U.S. Filter Corp. (a) . . . . . . . . . . . . . . . . . 126,588
------------
FINANCIAL SERVICES - 1.31%
3,200 Associates First Capital Corp.-Cl. A. . . . . . . . . . 137,600
8,100 Federal Home Loan Mortgage Corp.. . . . . . . . . . . . 220,725
4,200 Glendale Federal Bank FSB Co. (a) . . . . . . . . . . . 96,600
2,975 MBNA Corp.. . . . . . . . . . . . . . . . . . . . . . . 82,928
1,300 Price (T. Rowe) Associates, Inc.. . . . . . . . . . . . 48,263
4,733 Travelers Group, Inc. . . . . . . . . . . . . . . . . . 226,592
------------
812,708
------------
FOODS - 1.08%
4,900 CPC International, Inc. . . . . . . . . . . . . . . . . 401,800
6,600 Sara Lee Corp.. . . . . . . . . . . . . . . . . . . . . 267,300
------------
669,100
------------
HEALTHCARE DIVERSIFIED - 0.83%
1,000 Abbott Laboratories Co. . . . . . . . . . . . . . . . . 56,125
8,600 Johnson & Johnson Co. . . . . . . . . . . . . . . . . . 454,725
------------
510,850
------------
HOSPITAL SUPPLIES AND HEALTHCARE - 0.75%
4,100 Baxter International, Inc.. . . . . . . . . . . . . . . 176,813
2,200 Becton, Dickinson & Company . . . . . . . . . . . . . . 99,000
800 PacifiCare Health Systems, Inc.-Cl. B . . . . . . . . . 69,000
3,900 U.S. Surgical Corp. . . . . . . . . . . . . . . . . . . 118,950
------------
463,763
------------
HOTEL/MOTEL - 0.39%
4,800 Marriott International, Inc.. . . . . . . . . . . . . . 238,800
------------
HOUSEHOLD PRODUCTS - 0.96%
1,300 Clorox Co.. . . . . . . . . . . . . . . . . . . . . . . 145,763
3,600 Procter & Gamble Co.. . . . . . . . . . . . . . . . . . 414,000
1,000 Tupperware Corp.. . . . . . . . . . . . . . . . . . . . 33,500
------------
593,263
------------
INSURANCE - 1.05%
3,100 American International Group, Inc.. . . . . . . . . . . 363,863
1,800 General Re Corp.. . . . . . . . . . . . . . . . . . . . 284,400
------------
648,263
------------
METALS - 0.24%
2,200 Alcan Aluminium Co. Ltd.. . . . . . . . . . . . . . . . 74,525
2,400 Freeport-McMoRan Copper & Gold, Inc.-Cl. B. . . . . . . 72,900
------------
147,425
------------
</TABLE>
See Notes to Financial Statements on Pages 30 through 32
20
<PAGE>
- --------------------------------------------------------------------------------
ASSET MANAGEMENT PORTFOLIO II
SCHEDULE OF PORTFOLIO INVESTMENTS MARCH 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Description Value
------ ----------- -----
<S> <C> <C>
OFFICE EQUIPMENT AND COMPUTERS - 1.04%
6,100 Hewlett-Packard Co. . . . . . . . . . . . . . . . . . . $ 324,825
1,600 IBM Corp. . . . . . . . . . . . . . . . . . . . . . . . 219,800
1,700 Xerox Corp. . . . . . . . . . . . . . . . . . . . . . . 96,688
------------
641,313
------------
OIL-DOMESTIC - 1.03%
300 Atlantic Richfield Co.. . . . . . . . . . . . . . . . . 40,500
3,100 ENSCO International, Inc. (a) . . . . . . . . . . . . . 152,675
1,300 Louisiana Land & Exploration Co.. . . . . . . . . . . . 61,587
3,000 Noble Drilling Corp. (a). . . . . . . . . . . . . . . . 51,750
1,700 Phillips Petroleum Co.. . . . . . . . . . . . . . . . . 69,488
6,800 Unocal Corp.. . . . . . . . . . . . . . . . . . . . . . 259,250
------------
635,250
------------
OIL EQUIPMENT AND SERVICES - 0.29%
2,800 Apache Corp.. . . . . . . . . . . . . . . . . . . . . . 93,800
800 Schlumberger Ltd. . . . . . . . . . . . . . . . . . . . 85,800
------------
179,600
------------
OIL-INTERNATIONAL - 2.13%
1,000 Amoco Corp. . . . . . . . . . . . . . . . . . . . . . . 86,625
1,400 Chevron Corp. . . . . . . . . . . . . . . . . . . . . . 97,475
2,300 Exxon Corp. . . . . . . . . . . . . . . . . . . . . . . 247,825
900 Mobil Corp. . . . . . . . . . . . . . . . . . . . . . . 117,563
2,000 Royal Dutch Petroleum Co. . . . . . . . . . . . . . . . 350,000
3,800 Texaco, Inc.. . . . . . . . . . . . . . . . . . . . . . 416,100
------------
1,315,588
------------
PAPER AND FOREST PRODUCTS - 0.43%
3,200 Champion International Corp.. . . . . . . . . . . . . . 145,600
3,100 International Paper Co. . . . . . . . . . . . . . . . . 120,513
------------
266,113
------------
PRINTING AND PUBLISHING - 0.41%
4,900 McGraw-Hill Companies, Inc. . . . . . . . . . . . . . . 250,513
------------
RAILROADS - 0.29%
2,400 Burlington Northern Santa Fe Corp.. . . . . . . . . . . 177,600
------------
RETAIL - 1.44%
5,100 Dollar General Corp.. . . . . . . . . . . . . . . . . . 159,375
3,400 Lowe's Companies, Inc.. . . . . . . . . . . . . . . . . 127,075
2,100 Nine West Group, Inc. (a) . . . . . . . . . . . . . . . 93,975
7,600 Staples, Inc. (a) . . . . . . . . . . . . . . . . . . . 152,950
3,000 Tiffany & Co. . . . . . . . . . . . . . . . . . . . . . 114,000
8,800 Wal-Mart Stores, Inc. . . . . . . . . . . . . . . . . . 245,300
------------
892,675
------------
TELECOMMUNICATIONS - 1.79%
9,100 AT&T Corp.. . . . . . . . . . . . . . . . . . . . . . . 316,225
6,600 Comcast Corp.-Cl. A . . . . . . . . . . . . . . . . . . 111,375
6,400 MCI Communications Corp.. . . . . . . . . . . . . . . . 228,000
6,000 Motorola, Inc.. . . . . . . . . . . . . . . . . . . . . 362,250
1,900 Sprint Corp.. . . . . . . . . . . . . . . . . . . . . . 86,450
------------
1,104,300
------------
TOBACCO - 0.81%
4,400 Philip Morris Companies, Inc. . . . . . . . . . . . . . 502,150
------------
UTILITY-ELECTRIC - 0.99%
2,000 American Electric Power Co. . . . . . . . . . . . . . . 82,500
1,400 Dominion Resources, Inc.. . . . . . . . . . . . . . . . 50,925
3,400 FPL Group, Inc. . . . . . . . . . . . . . . . . . . . . 150,025
2,400 Ohio Edison Co. . . . . . . . . . . . . . . . . . . . . $ 50,700
4,000 Pacific Gas & Electric Corp.. . . . . . . . . . . . . . 94,000
2,000 Public Service Enterprise Corp. . . . . . . . . . . . . 52,500
3,800 Texas Utilities Co. . . . . . . . . . . . . . . . . . . 130,150
------------
610,800
------------
UTILITY-GAS, NATURAL GAS - 0.41%
5,100 Consolidated Natural Gas Co.. . . . . . . . . . . . . . 256,913
------------
UTILITY-TELEPHONE - 1.39%
1,200 Ameritech Corp. . . . . . . . . . . . . . . . . . . . . 73,800
900 Bell Atlantic Corp. . . . . . . . . . . . . . . . . . . 54,787
1,900 BellSouth Corp. . . . . . . . . . . . . . . . . . . . . 80,275
4,600 Frontier Corp.. . . . . . . . . . . . . . . . . . . . . 82,225
9,100 GTE Corp. . . . . . . . . . . . . . . . . . . . . . . . 424,288
1,396 Lucent Technologies, Inc. . . . . . . . . . . . . . . . 73,639
1,300 SBC Communications, Inc.. . . . . . . . . . . . . . . . 68,413
------------
857,427
------------
TOTAL COMMON STOCK (Cost $19,393,703). . . . . . . . . . . . . . . . . 20,961,770
------------
Principal
Amount
- ---------
CORPORATE DEBT NON-CONVERTIBLE - 6.73%
FINANCIAL SERVICES - 3.63%
$ 150,000 American Express Master Trust, 5.375%, 7/15/01. . . . . 143,337
90,000 Bangkok Bank Public Co., 8.375%, 1/15/27 (c). . . . . . 86,424
187,000 Bayerische Landesbank, 6.17%, 2/01/06 . . . . . . . . . 173,838
230,000 China International Trust, 9.00%, 10/15/06. . . . . . . 243,868
230,000 Dean Witter, Discover & Co., 6.875%, 3/01/03. . . . . . 225,933
90,000 Ford Motor Credit Co., 6.25%, 11/8/00 . . . . . . . . . 87,983
85,000 GMAC, 8.625%, 1/18/01 . . . . . . . . . . . . . . . . . 89,289
40,000 International Bank Reconstruction &
Development, 8.875%, 3/01/26. . . . . . . . . . . . . 46,282
170,000 Jackson National Life Insurance Co., 8.15%,
3/15/27 (c) . . . . . . . . . . . . . . . . . . . . . 166,913
55,000 KFW International Finance, 8.20%, 6/01/06 . . . . . . . 58,249
265,000 Lehman Brothers, Inc., 7.25%, 4/15/03 . . . . . . . . . 261,763
235,000 News America Holdings, 7.43%, 10/01/26. . . . . . . . . 234,367
280,000 Paine Webber Group, Inc., 9.25%, 12/15/01 . . . . . . . 301,446
130,000 Standard Credit Card Master Trust, 6.55%,
10/07/05. . . . . . . . . . . . . . . . . . . . . . . 124,212
------------
2,243,904
------------
FOREIGN INDUSTRIAL - 0.30%
26,000 Celulosa Arauco y Constitucion, 6.75%, 12/15/03 . . . . 24,682
170,000 Celulosa Arauco y Constitucion, 7.00%, 12/15/07 . . . . 160,109
------------
184,791
------------
INDUSTRIAL - 2.43%
135,000 Auburn Hills Trust, 12.00%, 5/01/20 . . . . . . . . . . 197,168
100,000 Empress River Casino Finance, 10.75%, 4/01/02 . . . . . 105,750
170,000 Federated Department Stores, Inc., 8.50%,
6/15/03 . . . . . . . . . . . . . . . . . . . . . . . 174,417
165,000 Laidlaw, Inc., 7.70%, 8/15/02 . . . . . . . . . . . . . 167,574
170,000 Loewen Group, Inc., 8.25%, 10/15/03 . . . . . . . . . . 170,415
150,000 Marriott International, Inc., 7.125%, 6/01/07 . . . . . 143,319
85,000 Marriott International, Inc., Series A, 6.75%,
12/15/03. . . . . . . . . . . . . . . . . . . . . . . 81,515
45,000 Marriott International, Inc., Series B, 7.875%,
4/15/05 . . . . . . . . . . . . . . . . . . . . . . . 45,386
200,000 Tenet Healthcare Corp., 9.625%, 9/01/02 . . . . . . . . 213,500
200,000 Texas Instruments, Inc., 6.75%, 7/15/99 . . . . . . . . 200,227
------------
1,499,271
------------
</TABLE>
See Notes to Financial Statements on Pages 30 through 32
21
<PAGE>
- --------------------------------------------------------------------------------
ASSET MANAGEMENT PORTFOLIO II
SCHEDULE OF PORTFOLIO INVESTMENTS MARCH 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal
Amount Description Value
- --------- ----------- -----
<S> <C> <C>
UTILITY - 0.37%
$ 45,000 Idaho Power Co., 8.00%, 3/15/04 . . . . . . . . . . . . $ 46,612
120,000 Occidental Petroleum Corp., 9.50%, 7/15/97. . . . . . . 121,261
60,000 Potomac Edison Co., 8.00%, 6/01/24. . . . . . . . . . . 59,153
------------
227,026
------------
TOTAL CORPORATE DEBT NON-CONVERTIBLE (Cost $4,223,433) . . . . . . . . 4,154,992
------------
FOREIGN DEBT - 0.88%
SOVEREIGN DEBT - 0.88%
125,000 Manitoba, 6.125%, 1/19/04 . . . . . . . . . . . . . . . 118,188
45,000 New Zealand Government, 8.75%, 12/15/06 . . . . . . . . 49,570
65,000 New Zealand Government, 10.625%, 11/15/05 . . . . . . . 79,476
140,000 Poland Discount Bond, 6.437%, 10/27/24. . . . . . . . . 137,025
155,000 Quebec Province, 7.22%, 7/22/36 . . . . . . . . . . . . 157,295
------------
TOTAL FOREIGN DEBT (Cost $540,182) . . . . . . . . . . . . . . . . . . 541,554
------------
Shares
------
PREFERRED STOCK - 1.06%
FINANCIAL SERVICES - 0.71%
195 Home Ownership Funding Corp. (c). . . . . . . . . . . . 186,030
265 Home Ownership Funding Corp. II (c) . . . . . . . . . . 253,476
------------
439,506
------------
MISCELLANEOUS - 0.35%
128 1585 Broadway Corp. (c) . . . . . . . . . . . . . . . . 123,272
100 Marquette Real Estate Funding Corp. (c) . . . . . . . . 95,952
------------
219,224
------------
TOTALPREFERRED STOCK (Cost $687,906) . . . . . . . . . . . . . . . . . 658,730
------------
Principal
Amount
- ---------
U.S GOVERNMENT AND AGENCY - 7.16%
$ 384,215 FGHLMC, 6.50%, 8/01/11 (b). . . . . . . . . . . . . . . 370,407
286,942 FGHLMC, 9.50%, 2/01/25 (b). . . . . . . . . . . . . . . 306,931
22,510 FGHLMC, 7.50%, 9/01/25 (b). . . . . . . . . . . . . . . 22,210
286,315 FNMA, 6.00 %, 1/01/01 (b) . . . . . . . . . . . . . . . 278,301
50,000 FNMA, Global Bond, 6.35%, 11/23/01 (b). . . . . . . . . 48,774
140,000 FNMA, 8.625%, 11/10/04 (b). . . . . . . . . . . . . . . 144,220
500,000 FNMA TBA, 6.00%, 4/01/08 (b). . . . . . . . . . . . . . 470,469
200,020 FNMA, 7.50%, 7/01/11 (b). . . . . . . . . . . . . . . . 200,395
500,000 FNMA TBA, 7.00%, 9/01/21 (b). . . . . . . . . . . . . . 478,442
612,362 GNMA, 6.50%, 9/15/23 (b). . . . . . . . . . . . . . . . 567,588
903,907 GNMA, 8.00%, 7/15/25 (b). . . . . . . . . . . . . . . . 909,274
599,218 GNMA, 9.00%, 10/15/25 (b) . . . . . . . . . . . . . . . 628,055
------------
TOTALU.S GOVERNMENT AND AGENCY (Cost $4,516,363) . . . . . . . . . . . 4,425,066
------------
U.S. TREASURY SECURITIES - 10.99%
65,000 U.S. Treasury Bonds, 6.625%, 6/30/01. . . . . . . . . . 64,695
50,000 U.S. Treasury Bonds, 6.375%, 9/30/01. . . . . . . . . . 49,258
400,000 U.S. Treasury Bonds, 6.875%, 5/15/06. . . . . . . . . . 397,750
270,000 U.S. Treasury Bonds, 8.125%, 8/15/19. . . . . . . . . . 296,325
425,000 U.S. Treasury Bonds, 7.25%, 8/15/22 . . . . . . . . . . 425,398
945,000 U.S. Treasury Bonds, 6.50%, 11/15/26. . . . . . . . . . 869,696
290,000 U.S. Treasury Notes, 6.25%, 6/30/98 . . . . . . . . . . 290,182
260,000 U.S. Treasury Notes, 6.00%, 9/30/98 . . . . . . . . . . 258,902
210,000 U.S. Treasury Notes, 6.375%, 5/15/99. . . . . . . . . . 209,573
870,000 U.S. Treasury Notes, 5.875%, 2/15/00. . . . . . . . . . 853,963
2,760,000 U.S. Treasury Notes, 6.625%, 3/31/02. . . . . . . . . . 2,743,623
$ 240,000 U.S. Treasury Notes, 7.50%, 2/15/05 . . . . . . . . . . $ 248,362
85,000 U.S. Treasury Notes, 6.25%, 2/15/07 . . . . . . . . . . 81,109
------------
TOTAL U.S. TREASURY SECURITIES (Cost $6,892,889) . . . . . . . . . . . 6,788,836
------------
SHORT TERM INSTRUMENTS - 40.17%
REPURCHASE AGREEMENT - 14.46%
8,932,484 Sanwa Bank, dated 3/31/97, 6.30%, principal
and interest in the amount of $8,934,047
due 4/01/97 (collateralized by U.S. Treasury
Notes, par value of $9,255,000, 5.63%,
due 11/30/00, value of $8,939,752). . . . . . . . . . 8,932,484
------------
U.S. TREASURY BILLS - 25.71%
15,900,000 4.91% to 5.16% maturing 4/03/97 to 5/29/97 (d). . . . . 15,882,586
------------
TOTAL SHORT TERM INSTRUMENTS (Cost $24,815,114). . . . . . . . . . . . 24,815,070
------------
TOTAL INVESTMENTS (Cost $61,069,590) . . . . . . . . . 100.92% 62,346,018
LIABILITIES IN EXCESS OF OTHER ASSETS. . . . . . . . . (0.92)% (570,091)
------------ ------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . 100.00% $ 61,775,927
------------ ------------
------------ ------------
</TABLE>
- -------------------------
(a) Non-income producing security
(b) The following abbreviations are used in the portfolio description:
FGHLMC -- Federal Gold Home Loan Mortgage Corporation
FHLMC -- Federal Home Loan Mortgage Corporation
FNMA -- Federal National Mortgage Association
GNMA -- Government National Mortgage Association
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 $383,350 for futures contracts.
See Notes to Financial Statements on Pages 30 through 32
22
<PAGE>
- --------------------------------------------------------------------------------
ASSET MANAGEMENT PORTFOLIO II
SCHEDULE OF PORTFOLIO INVESTMENTS MARCH 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Description Value
------ ----------- -----
<S> <C> <C>
COMMON STOCKS - 14.52%
AEROSPACE - 0.12%
400 Boeing Co.. . . . . . . . . . . . . . . . . . . . . . . $ 39,450
------------
AIRLINES - 0.15%
400 AMR Corp. (a) . . . . . . . . . . . . . . . . . . . . . 33,000
200 Delta Air Lines, Inc. . . . . . . . . . . . . . . . . . 16,825
------------
49,825
------------
AUTO RELATED - 0.33%
800 Chrysler Corp.. . . . . . . . . . . . . . . . . . . . . 24,000
1,200 Dana Corp.. . . . . . . . . . . . . . . . . . . . . . . 39,450
800 General Motors Corp.. . . . . . . . . . . . . . . . . . 44,300
------------
107,750
------------
BANKS - 1.04%
1,380 Bank of Boston Corp.. . . . . . . . . . . . . . . . . . 92,460
1,200 BankAmerica Corp. . . . . . . . . . . . . . . . . . . . 120,900
1,000 Chase Manhattan Corp. . . . . . . . . . . . . . . . . . 93,625
300 Citicorp Co.. . . . . . . . . . . . . . . . . . . . . . 32,475
------------
339,460
------------
BEVERAGES - 0.54%
800 Coca-Cola Co. . . . . . . . . . . . . . . . . . . . . . 44,700
300 Coca-Cola Enterprises, Inc. . . . . . . . . . . . . . . 17,213
3,000 PepsiCo, Inc. . . . . . . . . . . . . . . . . . . . . . 97,875
400 Seagram Ltd.. . . . . . . . . . . . . . . . . . . . . . 15,300
------------
175,088
------------
CHEMICALS AND TOXIC WASTE - 0.61%
300 Air Products & Chemical Corp. . . . . . . . . . . . . . 20,363
1,000 Du Pont (E.I.) de Nemours & Co. . . . . . . . . . . . . 106,000
1,900 Monsanto Co.. . . . . . . . . . . . . . . . . . . . . . 72,675
------------
199,038
------------
COMPUTER SERVICES - 0.37%
1,200 Cisco Systems, Inc. (a) . . . . . . . . . . . . . . . . 57,750
1,000 CUC International, Inc. (a) . . . . . . . . . . . . . . 22,500
400 EMC Corp. (a) . . . . . . . . . . . . . . . . . . . . . 14,200
600 Seagate Technology Co. (a). . . . . . . . . . . . . . . 26,925
------------
121,375
------------
COMPUTER SOFTWARE - 0.41%
400 BMC Software, Inc. (a). . . . . . . . . . . . . . . . . 18,450
900 Computer Associates International, Inc. . . . . . . . . 34,987
900 Informix Corp. (a). . . . . . . . . . . . . . . . . . . 13,612
400 Microsoft Corp. . . . . . . . . . . . . . . . . . . . . 36,675
800 Oracle Corp. (a). . . . . . . . . . . . . . . . . . . . 30,850
------------
134,574
------------
DATA PROCESSING SERVICES - 0.09%
900 First Data Corp.. . . . . . . . . . . . . . . . . . . . 30,487
------------
DIVERSIFIED - 0.63%
1,300 AlliedSignal, Inc.. . . . . . . . . . . . . . . . . . . 92,625
400 Supervalu, Inc. . . . . . . . . . . . . . . . . . . . . 11,900
300 Textron, Inc. . . . . . . . . . . . . . . . . . . . . . 31,500
900 United Technologies Corp. . . . . . . . . . . . . . . . 67,725
------------
203,750
------------
DRUGS - 0.82%
700 Lilly (Eli) & Co. . . . . . . . . . . . . . . . . . . . 57,575
1,300 Merck & Co., Inc. . . . . . . . . . . . . . . . . . . . $ 109,525
1,200 Pfizer, Inc.. . . . . . . . . . . . . . . . . . . . . . 100,950
------------
268,050
------------
ELECTRICAL EQUIPMENT - 0.50%
1,400 Emerson Electric Co.. . . . . . . . . . . . . . . . . . 63,000
1,000 General Electric Co.. . . . . . . . . . . . . . . . . . 99,250
------------
162,250
------------
ELECTRONICS - 0.49%
1,200 Analog Devices, Inc. (a). . . . . . . . . . . . . . . . 27,000
700 Intel Corp. . . . . . . . . . . . . . . . . . . . . . . 97,387
700 Xilinx, Inc. (a). . . . . . . . . . . . . . . . . . . . 34,125
------------
158,512
------------
ENTERTAINMENT - 0.12%
524 Disney (Walt) Co. . . . . . . . . . . . . . . . . . . . 38,252
------------
ENVIRONMENTAL CONTROL - 0.08%
800 U.S. Filter Corp. (a) . . . . . . . . . . . . . . . . . 24,700
------------
FINANCIAL SERVICES - 0.56%
900 Associates First Capital Corp.-Cl. A. . . . . . . . . . 38,700
1,800 Federal Home Loan Mortgage Corp.. . . . . . . . . . . . 49,050
800 Glendale Federal Bank FSB Co. (a) . . . . . . . . . . . 18,400
625 MBNA Corp.. . . . . . . . . . . . . . . . . . . . . . . 17,421
300 Price (T. Rowe) Associates, Inc.. . . . . . . . . . . . 11,137
1,000 Travelers Group, Inc. . . . . . . . . . . . . . . . . . 47,875
------------
182,583
------------
FOODS - 0.41%
1,000 CPC International, Inc. . . . . . . . . . . . . . . . . 82,000
1,300 Sara Lee Corp.. . . . . . . . . . . . . . . . . . . . . 52,650
------------
134,650
------------
HEALTHCARE DIVERSIFIED - 0.34%
300 Abbott Laboratories Co. . . . . . . . . . . . . . . . . 16,837
1,800 Johnson & Johnson Co. . . . . . . . . . . . . . . . . . 95,175
------------
112,012
------------
HOSPITAL SUPPLIES AND HEALTHCARE - 0.29%
700 Baxter International, Inc.. . . . . . . . . . . . . . . 30,187
500 Becton, Dickinson & Company . . . . . . . . . . . . . . 22,500
200 PacifiCare Health Systems, Inc.-Cl. B . . . . . . . . . 17,250
800 U.S. Surgical Corp. . . . . . . . . . . . . . . . . . . 24,400
------------
94,337
------------
HOTEL/MOTEL - 0.15%
1,000 Marriott International, Inc.. . . . . . . . . . . . . . 49,750
------------
HOUSEHOLD PRODUCTS - 0.38%
300 Clorox Co.. . . . . . . . . . . . . . . . . . . . . . . 33,637
700 Procter & Gamble Co.. . . . . . . . . . . . . . . . . . 80,500
300 Tupperware Corp.. . . . . . . . . . . . . . . . . . . . 10,050
------------
124,187
------------
INSURANCE - 0.52%
900 American International Group, Inc.. . . . . . . . . . . 105,638
400 General Re Corp.. . . . . . . . . . . . . . . . . . . . 63,200
------------
168,838
------------
</TABLE>
See Notes to Financial Statements on Pages 30 through 32
23
<PAGE>
- --------------------------------------------------------------------------------
ASSET MANAGEMENT PORTFOLIO III
SCHEDULE OF PORTFOLIO INVESTMENTS MARCH 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Description Value
------ ----------- -----
<S> <C> <C>
METALS - 0.13%
600 Alcan Aluminium Co. Ltd.. . . . . . . . . . . . . . . . $ 20,325
700 Freeport-McMoRan Copper & Gold, Inc.-Cl. B. . . . . . . 21,263
------------
41,588
------------
OFFICE EQUIPMENT AND COMPUTERS - 0.47%
1,300 Hewlett-Packard Co. . . . . . . . . . . . . . . . . . . 69,225
400 IBM Corp. . . . . . . . . . . . . . . . . . . . . . . . 54,950
500 Xerox Corp. . . . . . . . . . . . . . . . . . . . . . . 28,438
------------
152,613
------------
OIL-DOMESTIC - 0.46%
100 Atlantic Richfield Co.. . . . . . . . . . . . . . . . . 13,500
800 ENSCO International, Inc. (a) . . . . . . . . . . . . . 39,400
300 Louisiana Land & Exploration Co.. . . . . . . . . . . . 14,213
800 Noble Drilling Corp. (a). . . . . . . . . . . . . . . . 13,800
400 Phillips Petroleum Co.. . . . . . . . . . . . . . . . . 16,350
1,400 Unocal Corp.. . . . . . . . . . . . . . . . . . . . . . 53,375
------------
150,638
------------
OIL EQUIPMENT AND SERVICES - 0.15%
800 Apache Corp.. . . . . . . . . . . . . . . . . . . . . . 26,800
200 Schlumberger Ltd. . . . . . . . . . . . . . . . . . . . 21,450
------------
48,250
------------
OIL-INTERNATIONAL - 0.92%
300 Amoco Corp. . . . . . . . . . . . . . . . . . . . . . . 25,988
400 Chevron Corp. . . . . . . . . . . . . . . . . . . . . . 27,850
600 Exxon Corp. . . . . . . . . . . . . . . . . . . . . . . 64,650
200 Mobil Corp. . . . . . . . . . . . . . . . . . . . . . . 26,125
500 Royal Dutch Petroleum Co. . . . . . . . . . . . . . . . 87,500
600 Texaco, Inc.. . . . . . . . . . . . . . . . . . . . . . 65,700
------------
297,813
------------
PAPER AND FOREST PRODUCTS - 0.23%
900 Champion International Corp.. . . . . . . . . . . . . . 40,950
900 International Paper Co. . . . . . . . . . . . . . . . . 34,988
------------
75,938
------------
PRINTING AND PUBLISHING - 0.14%
900 McGraw-Hill Companies, Inc. . . . . . . . . . . . . . . 46,013
------------
RAILROADS - 0.16%
700 Burlington Northern Santa Fe Corp.. . . . . . . . . . . 51,800
------------
RETAIL - 0.63%
975 Dollar General Corp.. . . . . . . . . . . . . . . . . . 30,468
900 Lowe's Companies, Inc.. . . . . . . . . . . . . . . . . 33,638
600 Nine West Group, Inc. (a) . . . . . . . . . . . . . . . 26,850
1,600 Staples, Inc. (a) . . . . . . . . . . . . . . . . . . . 32,200
800 Tiffany & Co. . . . . . . . . . . . . . . . . . . . . . 30,400
1,800 Wal-Mart Stores, Inc. . . . . . . . . . . . . . . . . . 50,175
------------
203,731
------------
TELECOMMUNICATIONS - 0.71%
1,900 AT&T Corp.. . . . . . . . . . . . . . . . . . . . . . . 66,025
1,300 Comcast Corp.-Cl. A . . . . . . . . . . . . . . . . . . 21,937
1,300 MCI Communications Corp.. . . . . . . . . . . . . . . . 46,313
1,200 Motorola, Inc.. . . . . . . . . . . . . . . . . . . . . 72,450
500 Sprint Corp.. . . . . . . . . . . . . . . . . . . . . . 22,750
------------
229,475
------------
TOBACCO - 0.32%
900 Philip Morris Companies, Inc. . . . . . . . . . . . . . $ 102,713
------------
UTILITY-ELECTRIC - 0.46%
600 American Electric Power Co. . . . . . . . . . . . . . . 24,750
400 Dominion Resources, Inc.. . . . . . . . . . . . . . . . 14,550
900 FPL Group, Inc. . . . . . . . . . . . . . . . . . . . . 39,713
700 Ohio Edison Co. . . . . . . . . . . . . . . . . . . . . 14,787
800 Pacific Gas & Electric Corp.. . . . . . . . . . . . . . 18,800
500 Public Service Enterprise Corp. . . . . . . . . . . . . 13,125
700 Texas Utilities Co. . . . . . . . . . . . . . . . . . . 23,975
------------
149,700
------------
UTILITY-GAS, NATURAL GAS - 0.16%
1,000 Consolidated Natural Gas Co.. . . . . . . . . . . . . . 50,375
------------
UTILITY-TELEPHONE - 0.63%
300 Ameritech Corp. . . . . . . . . . . . . . . . . . . . . 18,450
300 Bell Atlantic Corp. . . . . . . . . . . . . . . . . . . 18,263
600 BellSouth Corp. . . . . . . . . . . . . . . . . . . . . 25,350
1,000 Frontier Corp.. . . . . . . . . . . . . . . . . . . . . 17,875
1,800 GTE Corp. . . . . . . . . . . . . . . . . . . . . . . . 83,925
388 Lucent Technologies, Inc. . . . . . . . . . . . . . . . 20,467
400 SBC Communications, Inc.. . . . . . . . . . . . . . . . 21,050
------------
205,380
------------
TOTAL COMMON STOCK (Cost $4,690,042) . . . . . . . . . . . . . . . . . 4,724,945
------------
Principal
Amount
- ---------
CORPORATE DEBT NON-CONVERTIBLE - 10.12%
FINANCIAL SERVICES - 5.84%
$ 110,000 American Express Master Trust, 5.375%, 7/15/01. . . . . 105,114
65,000 Bangkok Bank Public Co., 8.375%, 1/15/27 (c). . . . . . 62,417
138,000 Bayerische Landesbank, 6.17%, 2/01/06 . . . . . . . . . 128,286
120,000 China International Trust, 9.00%, 10/15/06. . . . . . . 127,235
250,000 Ford Motor Credit Co., 6.25%, 11/8/00 . . . . . . . . . 244,396
25,000 International Bank Reconstruction &
Development, 8.875%, 3/01/26. . . . . . . . . . . . . 28,926
120,000 Jackson National Life Insurance Co., 8.15%,
3/15/27 (c) . . . . . . . . . . . . . . . . . . . . . 117,821
120,000 KFW International Finance, 8.20%, 6/01/06 . . . . . . . 127,089
245,000 Lehman Brothers, Inc., 7.25%, 4/15/03 . . . . . . . . . 242,007
165,000 News America Holdings, 7.43%, 10/01/26. . . . . . . . . 164,556
225,000 Paine Webber Group, Inc., 9.25%, 12/15/01 . . . . . . . 242,233
200,000 Society National Bank, 7.85%, 11/01/02. . . . . . . . . 205,241
60,000 Standard Credit Card Master Trust, 6.55%,
10/07/05. . . . . . . . . . . . . . . . . . . . . . . 57,329
50,000 State Development Bank of China, 7.375%,
2/01/07 . . . . . . . . . . . . . . . . . . . . . . . 48,953
------------
1,901,603
------------
FOREIGN INDUSTRIAL - 0.43%
17,000 Celulosa Arauco y Constitucion, 6.75%, 12/15/03 . . . . 16,139
130,000 Celulosa Arauco y Constitucion, 7.00%, 12/15/07 . . . . 122,436
------------
138,575
------------
INDUSTRIAL - 3.46%
55,000 Auburn Hills Trust, 12.00%, 5/01/20 . . . . . . . . . . 80,328
65,000 Dillard Department Stores, Inc., 7.15%,
2/01/07 . . . . . . . . . . . . . . . . . . . . . . . 63,519
80,000 Empress River Casino Finance, 10.75%, 4/01/02 . . . . . 84,600
</TABLE>
See Notes to Financial Statements on Pages 30 through 32
24
<PAGE>
- --------------------------------------------------------------------------------
ASSET MANAGEMENT PORTFOLIO III
SCHEDULE OF PORTFOLIO INVESTMENTS MARCH 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal
Amount Description Value
- ---------- ----------- -----
<S> <C> <C>
$ 85,000 Federated Department Stores, Inc., 8.50%,
6/15/03 . . . . . . . . . . . . . . . . . . . . . . . $ 87,209
190,000 Laidlaw, Inc., 7.70%, 8/15/02 . . . . . . . . . . . . . 192,964
130,000 Loewen Group, Inc., 8.25%, 10/15/03 . . . . . . . . . . 130,317
100,000 Marriott International, Inc., 7.125%, 6/01/07 . . . . . 95,546
65,000 Marriott International, Inc., Series A, 6.75%,
12/15/03. . . . . . . . . . . . . . . . . . . . . . . 62,335
35,000 Marriott International, Inc., Series B, 7.875%,
4/15/05 . . . . . . . . . . . . . . . . . . . . . . . 35,300
140,000 Tenet Healthcare Corp., 9.625%, 9/01/02 . . . . . . . . 149,450
145,000 Texas Instruments, Inc., 6.75%, 7/15/99 . . . . . . . . 145,164
------------
1,126,732
------------
UTILITY - 0.39%
50,000 Idaho Power Co., 8.00%, 3/15/04 . . . . . . . . . . . . 51,791
75,000 Potomac Edison Co., 8.00%, 6/01/24. . . . . . . . . . . 73,941
------------
125,732
------------
TOTAL CORPORATE DEBT NON-CONVERTIBLE (Cost $3,350,764) . . . . . . . . 3,292,642
------------
FOREIGN DEBT - 0.97%
SOVEREIGN DEBT - 0.97%
80,000 New Zealand Government, 10.625%, 11/15/05 . . . . . . . 97,817
110,000 Poland Discount Bond, 6.437%, 10/27/24. . . . . . . . . 107,662
110,000 Quebec Province, 7.22%, 7/22/36 . . . . . . . . . . . . 111,629
------------
TOTAL FOREIGN DEBT (Cost $314,675) . . . . . . . . . . . . . . . . . . 317,108
------------
Shares
------
PREFERRED STOCK - 1.45%
FINANCIAL SERVICES - 0.97%
190 Home Ownership Funding Corp. II (c) . . . . . . . . . . 181,737
140 Home Ownership Funding Corp. (c). . . . . . . . . . . . 133,560
------------
315,297
------------
MISCELLANEOUS - 0.48%
92 1585 Broadway Corp. (c) . . . . . . . . . . . . . . . . 88,602
70 Marquette Real Estate Funding Corp. (c) . . . . . . . . 67,167
------------
155,769
------------
TOTAL PREFERRED STOCK (Cost $491,936). . . . . . . . . . . . . . . . . 471,066
------------
Principal
Amount
- ---------
U.S. GOVERNMENT AND AGENCY - 13.23%
$ 384,215 FGHLMC, 6.50%, 8/01/11 (b). . . . . . . . . . . . . . . 370,407
223,293 FGHLMC, 9.50%, 2/01/25 (b). . . . . . . . . . . . . . . 238,848
154,004 FGHLMC, 7.50%, 9/01/25 (b). . . . . . . . . . . . . . . 151,599
350,571 FNMA, 6.00%, 1/01/01 (b). . . . . . . . . . . . . . . . 342,809
80,000 FNMA, Global Bond, 6.35%, 11/23/01 (b). . . . . . . . . 78,038
180,000 FNMA, 8.625%, 11/10/04 (b). . . . . . . . . . . . . . . 185,426
450,000 FNMA TBA, 6.00%, 4/01/08 (b). . . . . . . . . . . . . . 423,422
222,968 FNMA, 8.00%, 4/01/10 (b). . . . . . . . . . . . . . . . 227,412
482,482 FNMA, 7.50%, 7/01/11 (b). . . . . . . . . . . . . . . . 483,387
400,000 FNMA TBA, 7.00%, 9/01/21 (b). . . . . . . . . . . . . . 382,753
1,200,000 FNMA TBA, 7.50%, 9/01/21 (b). . . . . . . . . . . . . . 1,178,634
262,441 GNMA, 6.50%, 9/15/23 (b). . . . . . . . . . . . . . . . 243,252
------------
TOTAL U.S. GOVERNMENT AND AGENCY (Cost $4,363,823) . . . . . . . . . . 4,305,987
------------
U.S. TREASURY SECURITIES - 16.90%
$ 50,000 U.S. Treasury Bonds, 6.625%, 6/30/01. . . . . . . . . . $ 49,766
50,000 U.S. Treasury Bonds, 6.375%, 9/30/01. . . . . . . . . . 49,258
325,000 U.S. Treasury Bonds, 6.875%, 5/15/06. . . . . . . . . . 323,172
230,000 U.S. Treasury Bonds, 8.125%, 8/15/19. . . . . . . . . . 252,426
290,000 U.S. Treasury Bonds, 7.25%, 8/15/22 . . . . . . . . . . 290,272
615,000 U.S. Treasury Bonds, 6.50%, 11/15/26. . . . . . . . . . 565,992
580,000 U.S. Treasury Notes, 6.25%, 6/30/98 . . . . . . . . . . 580,363
30,000 U.S. Treasury Notes, 6.00%, 9/30/98 . . . . . . . . . . 29,873
550,000 U.S. Treasury Notes, 6.25%, 3/31/99 . . . . . . . . . . 548,151
540,000 U.S. Treasury Notes, 6.375%, 5/15/99. . . . . . . . . . 538,902
80,000 U.S. Treasury Notes, 5.875%, 2/15/00. . . . . . . . . . 78,525
2,090,000 U.S. Treasury Notes, 6.625%, 3/31/02. . . . . . . . . . 2,077,598
110,000 U.S. Treasury Notes, 7.50%, 2/15/05 . . . . . . . . . . 113,833
------------
TOTAL U.S. TREASURY SECURITIES (Cost $5,568,895) . . . . . . . . . . . 5,498,131
------------
SHORT TERM INSTRUMENT - 48.40%
REPURCHASE AGREEMENT - 12.45%
4,050,650 Sanwa Bank, dated 3/31/97, 6.30%, principal
and interest in the amount of $4,051,359
due 4/01/97 (collateralized by U.S. Treasury
Notes, par value of $4,197,000, 5.63%,
due 11/30/00, value of $4,054,040). . . . . . . . . . 4,050,650
------------
U.S. TREASURY BILLS - 35.95%
11,715,000 4.91% to 5.16% maturing 4/03/97 to 5/29/97 (d). . . . . 11,699,034
------------
TOTAL SHORT TERM INSTRUMENTS (Cost $15,749,720). . . . . . . . . . . . 15,749,684
------------
TOTAL INVESTMENTS (Cost $34,529,855) . . . . . . . . . 105.59% 34,359,563
LIABILITIES IN EXCESS OF OTHER ASSETS. . . . . . . . . (5.59)% (1,818,027)
------------ ------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . 100.00% $ 32,541,536
------------ ------------
------------ ------------
</TABLE>
- -------------------------
(a) Non-income producing security
(b) The following abbreviations are used in the portfolio description:
FGHLMC -- Federal Gold Home Loan Mortgage Corporation
FHLMC -- Federal Home Loan Mortgage Corporation
FNMA -- Federal National Mortgage Association
GNMA -- Government National Mortgage Association
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 of $198,706 for futures contracts.
See Notes to Financial Statements on Pages 30 through 32
25
<PAGE>
- --------------------------------------------------------------------------------
ASSET MANAGEMENT PORTFOLIOS
STATEMENT OF ASSETS AND LIABILITIES MARCH 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ASSET ASSET ASSET
MANAGEMENT MANAGEMENT II MANAGEMENT III
-------------- ------------- --------------
<S> <C> <C> <C>
ASSETS
Investments, at Value*. . . . . . . . . . . . . . . . . . $ 353,940,955 $ 62,346,018 $ 34,359,563
Cash+ . . . . . . . . . . . . . . . . . . . . . . . . . . 3,028,954 516,264 316,536
Receivable for Securities Sold. . . . . . . . . . . . . . 6,035,290 2,587,747 1,734,290
Dividends and Interest Receivable . . . . . . . . . . . . 1,067,903 248,953 188,996
Prepaid Expenses and Other. . . . . . . . . . . . . . . . 995 190 103
-------------- ------------- -------------
Total Assets . . . . . . . . . . . . . . . . . . . . . . . . 364,074,097 65,699,172 36,599,488
-------------- ------------- -------------
LIABILITIES
Due to Bankers Trust. . . . . . . . . . . . . . . . . . . 174,808 26,903 11,526
Payable for Securities Purchased. . . . . . . . . . . . . 14,290,906 3,694,962 3,933,932
Variation Margin Payable. . . . . . . . . . . . . . . . . 1,048,407 182,251 95,026
Accrued Expenses and Other. . . . . . . . . . . . . . . . 21,283 19,129 17,468
-------------- ------------- -------------
Total Liabilities. . . . . . . . . . . . . . . . . . . . . . 15,535,404 3,923,245 4,057,952
-------------- ------------- -------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . $ 348,538,693 $ 61,775,927 $ 32,541,536
-------------- ------------- -------------
-------------- ------------- -------------
COMPOSITION OF NET ASSETS
Paid-in Capital . . . . . . . . . . . . . . . . . . . . . $ 341,096,124 $ 60,962,522 $ 32,945,293
Net Unrealized Appreciation (Depreciation) on:
Investments and Foreign Currency Transactions . . . . . . 9,750,297 1,272,759 (173,595)
Futures Contracts . . . . . . . . . . . . . . . . . . . . (2,307,728) (459,354) (230,162)
-------------- ------------- -------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . $ 348,538,693 $ 61,775,927 $ 32,541,536
-------------- ------------- -------------
-------------- ------------- -------------
</TABLE>
- -------------------------
* Cost of $344,175,625, $61,069,590 and $34,529,855, respectively, including
Repurchase Agreements amounting to $50,120,646, $8,932,484 and $4,050,650,
respectively.
+ Includes foreign currency of $2,360,173, $398,116 and $218,982,
respectively, with a value of $2,345,140, $394,447 and $215,679,
respectively.
See Notes to Financial Statements on Pages 30 through 32
26
<PAGE>
- --------------------------------------------------------------------------------
ASSET MANAGEMENT PORTFOLIOS
STATEMENT OF OPERATIONS FOR THE YEAR ENDED MARCH 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ASSET ASSET ASSET
MANAGEMENT MANAGEMENT II MANAGEMENT III
------------- ------------- --------------
<S> <C> <C> <C>
INVESTMENT INCOME
Dividends*. . . . . . . . . . . . . . . . . . . . . . . . $ 2,943,047 $ 390,307 $ 104,698
Interest. . . . . . . . . . . . . . . . . . . . . . . . . 7,832,156 2,167,887 1,517,015
------------- ------------ ------------
Total Investment Income. . . . . . . . . . . . . . . . . . . 10,775,203 2,558,194 1,621,713
------------- ------------ ------------
EXPENSES
Advisory Fees . . . . . . . . . . . . . . . . . . . . . . 1,882,677 371,709 201,330
Administration and Services Fees. . . . . . . . . . . . . 289,643 57,186 30,974
Professional Fees . . . . . . . . . . . . . . . . . . . . 23,070 22,881 20,233
Trustees Fees . . . . . . . . . . . . . . . . . . . . . . 2,169 2,169 2,219
Miscellaneous . . . . . . . . . . . . . . . . . . . . . . 2,405 762 918
------------- ------------ ------------
Total Expenses. . . . . . . . . . . . . . . . . . . . . . 2,199,964 454,707 255,674
Less Expenses Absorbed by Bankers Trust . . . . . . . . . (462,108) (111,591) (69,831)
------------- ------------ ------------
Net Expenses . . . . . . . . . . . . . . . . . . . . . 1,737,856 343,116 185,843
------------- ------------ ------------
NET INVESTMENT INCOME. . . . . . . . . . . . . . . . . . . . 9,037,347 2,215,078 1,435,870
------------- ------------ ------------
REALIZED AND UNREALIZED GAIN ON INVESTMENTS,
FOREIGN CURRENCIES AND FUTURES CONTRACTS
Net Realized Gain from:
Investment and Foreign Currency Transactions . . . . . 18,608,370 2,633,873 1,240,231
Futures Contracts. . . . . . . . . . . . . . . . . . . 10,460,233 1,573,362 656,571
Net Change in Unrealized Appreciation (Depreciation) on:
Investments and Foreign Currency Transactions. . . . . 561,364 64,680 (649,347)
Futures Contracts. . . . . . . . . . . . . . . . . . . (2,292,257) (322,627) (129,373)
------------- ------------ ------------
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS,
FOREIGN CURRENCIES AND FUTURES CONTRACTS. . . . . . . . . . 27,337,710 3,949,288 1,118,082
------------- ------------ ------------
NET INCREASE IN NET ASSETS FROM OPERATIONS . . . . . . . . . $ 36,375,057 $ 6,164,366 $ 2,553,952
------------- ------------ ------------
------------- ------------ ------------
</TABLE>
- -------------------------
* Net of foreign withholding tax of $13,800, $1,954 and $536, respectively.
See Notes to Financial Statements on Pages 30 through 32
27
<PAGE>
- --------------------------------------------------------------------------------
ASSET MANAGEMENT PORTFOLIOS
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ASSET MANAGEMENT
---------------------------------------
FOR THE YEAR ENDED FOR THE YEAR ENDED
MARCH 31, 1997 MARCH 31, 1996
------------------ ------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS
Net Investment Income . . . . . . . . . . . . . . . . . . $ 9,037,347 $ 6,712,317
Net Realized Gain from Investments, Foreign Currencies
and Futures Contracts. . . . . . . . . . . . . . . . . 29,068,603 14,006,189
Net Change in Unrealized Appreciation (Depreciation)
on Investments, Foreign
Currencies and Futures Contracts . . . . . . . . . . . (1,730,893) 7,261,817
------------ ------------
Net Increase in Net Assets from Operations . . . . . . . . . 36,375,057 27,980,323
------------ ------------
CAPITAL TRANSACTIONS
Proceeds from Capital Invested. . . . . . . . . . . . . . 166,792,562 170,133,182
Value of Capital Withdrawn. . . . . . . . . . . . . . . . (94,771,334) (54,499,861)
------------ ------------
Net Increase in Net Assets from Capital Transactions . . . . 72,021,228 115,633,321
------------ ------------
TOTAL INCREASE IN NET ASSETS . . . . . . . . . . . . . . . . 108,396,285 143,613,644
NET ASSETS
Beginning of Year. . . . . . . . . . . . . . . . . . . . . . 240,142,408 96,528,764
------------ ------------
End of Year. . . . . . . . . . . . . . . . . . . . . . . . . $348,538,693 $240,142,408
------------ ------------
------------ ------------
ASSET MANAGEMENT II
--------------------------------------
FOR THE YEAR ENDED FOR THE YEAR ENDED
MARCH 31, 1997 MARCH 31, 1996
------------------ ------------------
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS
Net Investment Income . . . . . . . . . . . . . . . . . . $ 2,215,078 $ 1,756,177
Net Realized Gain from Investments, Foreign Currencies
and Futures Contracts. . . . . . . . . . . . . . . . . . 4,207,235 2,255,768
Net Change in Unrealized Appreciation (Depreciation)
on Investments, Foreign
Currencies and Futures Contracts . . . . . . . . . . . (257,947) 989,840
------------ ------------
Net Increase in Net Assets from Operations . . . . . . . . . 6,164,366 5,001,785
------------ ------------
CAPITAL TRANSACTIONS
Proceeds from Capital Invested. . . . . . . . . . . . . . 15,936,234 25,468,459
Value of Capital Withdrawn. . . . . . . . . . . . . . . . (11,724,221) (4,675,086)
------------ ------------
Net Increase in Net Assets from Capital Transactions . . . . 4,212,013 20,793,373
------------ ------------
TOTAL INCREASE IN NET ASSETS . . . . . . . . . . . . . . . . 10,376,379 25,795,158
NET ASSETS
Beginning of Year. . . . . . . . . . . . . . . . . . . . . . 51,399,548 25,604,390
------------ ------------
End of Year. . . . . . . . . . . . . . . . . . . . . . . . . $ 61,775,927 $ 51,399,548
------------ ------------
------------ ------------
ASSET MANAGEMENT III
--------------------------------------
FOR THE YEAR ENDED FOR THE YEAR ENDED
MARCH 31, 1997 MARCH 31, 1996
------------------ ------------------
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS
Net Investment Income . . . . . . . . . . . . . . . . . . $ 1,435,870 $ 1,290,180
Net Realized Gain from Investments, Foreign Currencies
and Futures Contracts. . . . . . . . . . . . . . . . . . 1,896,802 725,026
Net Change in Unrealized Appreciation (Depreciation)
on Investments, Foreign
Currencies and Futures Contracts . . . . . . . . . . . (778,720) 536,562
------------ ------------
Net Increase in Net Assets from Operations . . . . . . . . . 2,553,952 2,551,768
------------ ------------
CAPITAL TRANSACTIONS
Proceeds from Capital Invested. . . . . . . . . . . . . . 7,831,235 10,942,499
Value of Capital Withdrawn. . . . . . . . . . . . . . . . (6,712,316) (5,827,202)
------------ ------------
Net Increase in Net Assets from Capital Transactions . . . . 1,118,919 5,115,297
------------ ------------
TOTAL INCREASE IN NET ASSETS . . . . . . . . . . . . . . . . 3,672,871 7,667,065
NET ASSETS
Beginning of Year. . . . . . . . . . . . . . . . . . . . . . 28,868,665 21,201,600
------------ ------------
End of Year. . . . . . . . . . . . . . . . . . . . . . . . . $ 32,541,536 $ 28,868,665
------------ ------------
------------ ------------
</TABLE>
See Notes to Financial Statements on Pages 30 through 32
28
<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
--------------------------------------------------------------------------
FOR THE PERIOD
SEPTEMBER 16, 1993
FOR THE YEAR ENDED (COMMENCEMENT
MARCH 31, OF OPERATIONS) TO
-------------------------------------------------
1997 1996 1995 MARCH 31, 1994
--------- --------- -------- -----------------
<S> <C> <C> <C> <C>
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period (000s omitted). . . . $348,539 $240,142 $96,529 $36,283
Ratios to Average Net Assets:
Net Investment Income. . . . . . . . . . . . 3.12% 3.99% 3.78% 2.83%*
Expenses . . . . . . . . . . . . . . . . . . 0.60% 0.60% 0.60% 0.60%*
Decrease Reflected in Above Expense Ratio Due
to Absorption of Expenses by Bankers Trust. 0.16% 0.17% 0.19% 0.33%*
Portfolio Turnover Rate . . . . . . . . . . . . 137% 154% 92% 56%
Average Commissions Paid per Share**. . . . . . 0.0466
ASSET MANAGEMENT PORTFOLIO
--------------------------------------------------------------------------
FOR THE PERIOD
OCTOBER 14, 1993
FOR THE YEAR ENDED (COMMENCEMENT
MARCH 31, OF OPERATIONS) TO
1997 1996 1995 MARCH 31, 1994
--------- --------- -------- -----------------
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period (000s omitted). . . . $61,776 $51,400 $25,604 $19,175
Ratios to Average Net Assets:
Net Investment Income. . . . . . . . . . . . 3.87% 4.55% 4.41% 3.17%*
Expenses . . . . . . . . . . . . . . . . . . 0.60% 0.60% 0.60% 0.60%*
Decrease Reflected in Above Expense Ratio Due
to Absorption of Expenses by Bankers Trust. 0.20% 0.20% 0.27% 0.48%*
Portfolio Turnover Rate . . . . . . . . . . . . 209% 208% 105% 79%
Average Commissions Paid per Share**. . . . . . 0.0476
ASSET MANAGEMENT PORTFOLIO
--------------------------------------------------------------------------
FOR THE PERIOD
OCTOBER 15, 1993
FOR THE YEAR ENDED (COMMENCEMENT
MARCH 31, OF OPERATIONS) TO
1997 1996 1995 MARCH 31, 1994
--------- --------- -------- -----------------
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period (000s omitted). . . . $32,542 $28,869 $21,202 $17,586
Ratios to Average Net Assets:
Net Investment Income. . . . . . . . . . . . 4.64% 5.04% 4.87% 3.51%*
Expenses . . . . . . . . . . . . . . . . . . 0.60% 0.60% 0.60% 0.60%*
Decrease Reflected in Above Expense Ratio Due
to Absorption of Expenses by Bankers Trust. 0.23% 0.22% 0.30% 0.49%*
Portfolio Turnover Rate . . . . . . . . . . . . 307% 221% 111% 84%
Average Commissions Paid per Share**. . . . . . 0.0419
- --------------------------
* 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.
</TABLE>
See Notes to Financial Statements on Pages 30 through 32
29
<PAGE>
- --------------------------------------------------------------------------------
ASSET MANAGEMENT PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
NOTE 1--ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
A. ORGANIZATION
The Asset Management Portfolio, Asset Management Portfolio II and Asset
Management Portfolio III (each a "Portfolio," and collectively, the
"Portfolios") are registered under the Investment Company Act of 1940 ("the
Act"), as amended, as open-end management investment companies. The 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.
30
<PAGE>
- --------------------------------------------------------------------------------
ASSET MANAGEMENT PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
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 year ended March 31, 1997, these fees
aggregated $289,643, $57,186 and $30,974 for the Asset Management Portfolio,
Asset Management Portfolio II and Asset Management Portfolio Ill, 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 year ended March 31, 1997, these
fees aggregated $1,882,677, $371,709 and $201,330 for the Asset Management
Portfolio, Asset Management Portfolio II and Asset Management Portfolio Ill,
respectively.
Bankers Trust has voluntarily undertaken to waive and reimburse expenses of each
Portfolio, to the extent necessary, to limit all expenses to 0.60 of 1% of the
average daily net assets of each Portfolio. For the year ended March 31, 1997,
expenses of the Asset Management Portfolio, the Asset Management Portfolio II
and Asset Management Portfolio Ill have been reduced by $462,108, $111,591 and
$69,831, respectively.
On September 30, 1996, the Trust entered into a Distribution Agreement with
Edgewood Services, Inc. ("Edgewood"). Prior to September 30, Signature
Broker-Dealer Services, Inc. ("Signature") was the Trust's distributor.
Certain trustees and officers of the Portfolios are also directors, officers
and/or employees of Edgewood and/or Signature. None of the trustees so
affiliated received compensation for services as trustees of the Portfolios.
Similarly, none of the Portfolios' officers received compensation from the
Portfolios.
For the year ended March 31, 1997, the Asset Management Portfolio, Asset
Management Portfolio II and the Asset Management Portfolio III paid brokerage
commissions of $193,354, $23,627 and $7,279, 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 year ended March 31, 1997, were as follows:
PORTFOLIO PURCHASES SALES
- --------- --------- -----
Asset Management.......... $338,539,944 $267,916,709
Asset Management II....... 79,632,248 75,003,074
Asset Management III...... 54,671,244 53,179,493
For federal income tax purposes, the tax basis of investments held at March 31,
1997, was as follows:
PORTFOLIO COST-TAX BASIS
- --------- --------------
Asset Management............................ $344,514,483
Asset Management II......................... 61,115,689
Asset Management III........................ 34,547,716
The aggregate gross unrealized appreciation and depreciation for all investments
as of March 31, 1997, were as follows:
PORTFOLIO APPRECIATION DEPRECIATION
- --------- ------------ ------------
Asset Management.......... $14,835,386 $5,408,914
Asset Management II....... 2,015,470 785,141
Asset Management III...... 299,787 487,940
NOTE 4--FUTURES CONTRACTS
A summary of obligations under these financial instruments at March 31, 1997 is
as follows:
ASSET MANAGEMENT PORTFOLIO
--------------------------
<TABLE>
<CAPTION>
UNREALIZED
APPRECIATION
TYPE OF FUTURES EXPIRATION CONTRACTS POSITION MARKET VALUE (DEPRECIATION)
- --------------- ---------- --------- -------- ------------ --------------
<S> <C> <C> <C> <C> <C>
S&P 500 June 1997 111 Long $ 42,069,000 $(2,102,400)
French 10 Year Bond Futures June 1997 87 Long 9,898,536 (88,806)
CAC 40 Year Futures April 1997 67 Long 6,319,028 115,412
US Treasury Futures June 1997 15 Long 1,582,500 (33,594)
Japanese Bond Futures June 1997 17 Long 17,335,223 143,154
Toronto 35 Index Futures June 1997 41 Long 8,764,783 (265,518)
Australian 10 Year Bond Futures June 1997 160 Long 91,567,267 (76,944)
JPN Yen Futures June 1997 6 Short (613,350) 6,605
Canadian $ Futures June 1997 5 Short (362,950) 5,513
French Franc Futures June 1997 11 Short (979,550) (11,802)
Australian $ Futures June 1997 9 Short (707,040) 652
- ------------------------------- --------- ------------ -----------
Total 529 $174,873,447 $(2,307,728)
--------- ------------ -----------
--------- ------------ -----------
</TABLE>
31
<PAGE>
- --------------------------------------------------------------------------------
ASSET MANAGEMENT PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
ASSET MANAGEMENT PORTFOLIO II
-----------------------------
<TABLE>
<CAPTION>
UNREALIZED
APPRECIATION
TYPE OF FUTURES EXPIRATION CONTRACTS POSITION MARKET VALUE (DEPRECIATION)
- --------------- ---------- --------- -------- ------------ --------------
<S> <C> <C> <C> <C> <C>
S&P 500 June 1997 20 Long $ 7,580,000 $(425,100)
French 10 Year Bond Futures June 1997 19 Long 2,161,749 (19,160)
CAC 40 Year Futures April 1997 10 Long 943,139 17,226
US Treasury Futures June 1997 3 Long 316,500 (5,719)
Japanese Bond Futures June 1997 3 Long 3,059,157 24,760
Toronto 35 Index Futures June 1997 6 Long 1,282,651 (38,855)
Australian 10 Year Bond Futures June 1997 26 Long 14,879,681 (12,508)
JPN Yen Futures June 1997 2 Short (204,450) 910
Canadian $ Futures June 1997 1 Short (72,590) 1,102
French Franc Futures June 1997 2 Short (178,100) (2,155)
Australian $ Futures June 1997 2 Short (157,120) 145
- ------------------------------ --------- ------------ -----------
Total 94 $29,610,617 $(459,354)
--------- ------------ -----------
--------- ------------ -----------
ASSET MANAGEMENT PORTFOLIO III
------------------------------
UNREALIZED
APPRECIATION
TYPE OF FUTURES EXPIRATION CONTRACTS POSITION MARKET VALUE (DEPRECIATION)
- --------------- ---------- --------- -------- ------------ --------------
S&P 500 June 1997 10 Long $3,790,000 $(216,700)
French 10 Year Bond Futures June 1997 10 Long 1,137,763 (10,084)
CAC 40 Year Futures April 1997 5 Long 471,569 8,613
Japanese Bond Futures June 1997 1 Long 1,019,719 8,254
Toronto 35 Index Futures June 1997 3 Long 337,371 (19,428)
Australian 10 Year Bond Futures June 1997 13 Long 7,439,840 (6,254)
US Treasury Futures June 1997 2 Short (211,000) 5,938
JPN Yen Futures June 1997 1 Short (102,225) 455
French Franc Futures June 1997 1 Short (89,050) (1,028)
Australian $ Futures June 1997 1 Short (78,560) 72
- ------------------------------- --------- ------------ -----------
Total 47 $13,715,427 $(230,162)
--------- ------------ -----------
--------- ------------ -----------
</TABLE>
At March 31, 1997, the Portfolios have segregated sufficient securities to cover
margin requirements on open futures contracts.
32
<PAGE>
- --------------------------------------------------------------------------------
ASSET MANAGEMENT PORTFOLIOS
REPORT OF INDEPENDENT ACCOUNTANTS
- --------------------------------------------------------------------------------
To the Trustees and Holders of Beneficial Interest of the Asset Management
Portfolios:
We have audited the accompanying statement of assets and liabilities, including
the schedules of portfolio investments, of the Asset Management Portfolio, Asset
Management Portfolio II and Asset Management Portfolio III (the "Portfolios") as
of March 31, 1997, and the related statement of operations for the year then
ended, the statement of changes in net assets for each of the two years in the
period then ended, and the financial highlights for each of the three years in
the period then ended and for the period September 16, 1993 (commencement of
operations) to March 31, 1994, October 14, 1993 (commencement of operations) to
March 31, 1994 and October 15, 1993 (commencement of operations) to March 31,
1994 for the Asset Management Portfolio, Asset Management Portfolio II and Asset
Management Portfolio III, respectively. These financial statements and
financial highlights are the responsibility of the Portfolios' management. Our
responsibility is to express an opinion on these financial statements and
financial highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on
a test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned as of
March 31, 1997, by correspondence with the custodian and brokers. An audit also
includes assessing the accounting principles used and significant estimates made
by management, as well as evaluating the overall financial statement
presentation. We believe that our audits provide a reasonable basis for our
opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of each
of the Portfolios as of March 31, 1997, the results of their operations, the
changes in their net assets and the financial highlights for the periods
referred to above, in conformity with generally accepted accounting principles.
Coopers & Lybrand L.L.P.
Kansas City, Missouri
May 2, 1997
33
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34
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35
<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
-----------------------
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.
-----------------------
COMBLIFE 200 (5/97)
