o BT INVESTMENT FUNDS o
LIFECYCLE LONG RANGE FUND
LIFECYCLE MID RANGE FUND
LIFECYCLE SHORT RANGE FUND
ANNUAL REPORT
-------------
MARCH o 1998
<PAGE>
BT Investment Funds
Table of Contents
Letter to Shareholders.............................. 3
BT Investment Funds
Statements of Assets and Liabilities............. 8
Statements of Operations......................... 9
Statements of Changes in Net Assets..............10
Financial Highlights.............................12
Notes to Financial Statements....................14
Report of Independent Accountants................16
Asset Management Portfolios
Statements of Net Assets.........................17
Statements of Operations.........................26
Statements of Changes in Net Assets..............27
Financial Highlights.............................28
Notes to Financial Statements....................29
Report of Independent Accountants................33
-------------------
The Funds are not insured by the FDIC and are not a deposit, obligation of or
guaranteed by Bankers Trust Company. The Funds are subject to investment risks,
including possible loss of principal amount invested.
-------------------
2
<PAGE>
BT Investment 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 annual
period ended March 31, 1998. We believe that this strong relative performance
was due primarily to superior asset allocation.
MARKET ACTIVITY
U.S. MARKETS
Given the continued absence of inflation and evidence of a slower economic
growth environment, the Federal Reserve Board has opted not to officially change
monetary policy since raising rates on March 25, 1997. The positive Federal
budget outlook has supported this interest rate scenario, as the U.S. now has
the smallest deficit in thirty years, with signs of a surplus coming onto the
books later in 1998.
The Asian currency crisis, whose effect began to be felt in the fourth calendar
quarter, may have been the major factor both keeping interest rates low and
impacting the stock and bond markets during this annual period. The Far East
turmoil helped strengthen both the dollar and dollar-denominated securities. It
also created a flight to quality that benefited both U.S. Treasuries and
municipal bonds. Equity investors tended to turn their focus away from smaller,
growth-oriented stocks and toward large cap names and more value-oriented
stocks.
As the first calendar quarter of 1998 progressed and it became clear that the
Asian problems would have limited effect on the U.S., investors grew more
confident with the co-existence of low inflation, reasonably good GDP growth,
low unemployment, and low interest rates. Growth stocks came back into favor, as
did the corporate and mortgage sectors of the bond market.
U.S. EQUITIES
1997 was an impressive year for the U.S. equity market, particularly in the
large capitalization sector. Having broken the 7,000 barrier in February 1997,
the Dow Jones Industrial Average reached the 8,000 milestone by the middle of
July. The trend continued, with the Dow closing above the 9,000 mark for the
first time on April 6, 1998, just after the close of the Funds' fiscal year. The
S&P 500 Index also reached record high levels. However, as was anticipated,
short-term volatility plagued the bull market for equities every step of the
way. Major contributors to this volatility were the rippling effects of
weakening currencies, failing economies, and uncertain markets in Southeast
Asia, which, in turn, led to the Dow Jones' largest single one day point loss on
October 27, 1997. For the calendar year, large capitalization stocks
outperformed small capitalization stocks, though the small cap stocks
outperformed from March through September 1997, due to a resurgence in
technology stocks. Small cap stocks underperformed in the fourth calendar
quarter.
The new year began inconspicuously, as the equity markets continued to reconcile
the impact of events in Asia. Stable to rising overall market levels following
the volatile fourth quarter for all equity sectors helped settle investors'
desire for safe havens and more liquid names. This, together with sustained
strong U.S. economic conditions, few signs of inflation, and stable interest
rates, led to a robust rally among all segments of the stock market during the
first calendar quarter overall.
U.S. BONDS
Favorable economic conditions, ebbing inflation worries, and foreign investors
seeking a safe haven supported the bond market's rally through most of the first
three quarters of the Funds' fiscal year. In the first calendar quarter of 1998,
the bond market traded in a broad range, with the ten-year Treasury between
5.30% and 5.74%. This variance was primarily due to a change in perception about
the impact of the Asian crisis on the U.S. economy and, thereby, on Federal
Reserve Board policy. While U.S. Treasuries had outperformed through most of the
fiscal year, in early 1998, diminished fears about the Asian situation led to
the corporate sector benefiting from low levels of new issue supply and the
mortgage sector benefiting from stable rates tempering pre-payment concerns.
INTERNATIONAL MARKETS
Though still lagging the U.S., most of the world's developed markets outside of
Asia soared to new highs during the fiscal year, shaking off summer doldrums and
the initial gloom of Asia's financial and economic malaise. After assessing the
limited impact of Asian weakness on earnings of firms elsewhere in the world,
investor sentiment turned sharply positive. However, concerns were reignited in
Japan, where the combination of softer exports to the region and a further
weakening in the domestic economy has likely pushed the nation into recession.
The crisis in Asia did devastate many of the emerging stock and bond markets in
the Pacific region as well as in Latin America and Russia.
Investors were particularly focused on Europe, where attractive valuations,
lower interest rates, and renewed economic growth pushed equity markets to
record levels. This backdrop, along with a trend in retirement planning away
from governmental paternalism and toward individual self-reliance, helped to
bolster an equity culture similar to that of the U.S. and U.K. The anticipated
success of European Economic and Monetary Union (EMU) further contributed to a
dramatic regional re-rating. The recent recommendation by the European Monetary
Institute and the German Bundesbank that EMU should proceed as scheduled in
January 1999 and that all eleven candidates should be approved was an important
landmark.
In Canada, consolidation in the banking industry and a slower growth rate, which
quelled fears of inflation, bolstered this equity market despite a currency
driven down by depressed commodity prices.
CASH
The U.S. dollar was strong versus most currencies, including the Japanese
yen, the German mark, and the British pound, during the annual period. Strong
domestic economic growth, controlled inflation, and the Federal Reserve
Board on hold--along with high volatility in Asia and Latin America--added to
the relative attractiveness of the U.S. currency.
3
<PAGE>
BT Investment Funds
Letter to Shareholders
INVESTMENT REVIEW
Supported by favorable economic, fundamental, and sentiment factors, the Funds
remained overweighted in U.S. stocks virtually throughout the annual period. The
U.S. equity portion of the Funds' portfolios did not match S&P 500 Index
performance in the first half of the fiscal year, but did outperform in the
second half. Overall, as U.S. equities outperformed the most commonly used
international equities index, namely the MSCI EAFE Index**, for the twelve
months, such an allocation was the primary reason for the Funds' strong
performance. An increased allocation to equities in Continental Europe also
benefited the Funds, particularly in the second half of the fiscal year.## In
fact, most European markets outperformed the U.S. market by a wide margin during
the six months ending March 31, 1998.
An underweighted position in bonds was supported by unfavorable valuations, by
interest rate measures, and by a weaker return forecast. The fixed income
portion of the Funds' portfolios matched the Salomon Broad Investment Grade
(BIG) Index# in the first half of the year and outperformed it in the second
half. Individual security selection in all asset classes remained strong.
o The Lifecycle Long Range Fund returned 33.69%* for the twelve months ended
March 31, 1998, as compared to 30.13% for the Asset Allocation Index--Long
Range** and 28.72% for the Lipper Flexible Portfolio Average***. Since its
inception on November 16, 1993, the Fund delivered a total return of 87.59%
cumulatively, or 15.48% annualized, as of March 31, 1998. The Fund's asset
weightings were 55% in U.S. equities, 23% in U.S. bonds, 5% in international
bonds, 10% in international equities, and 7% in short term instruments as of
March 31, 1998.
o The Lifecycle Mid Range Fund returned 26.33%* for the twelve months ended
March 31, 1998, as compared to 22.31% for the Asset Allocation Index--Mid
Range** and 28.72% for the Lipper Flexible Portfolio Average***. Since its
inception on October 14, 1993, the Fund delivered a total return of 61.01%
cumulatively, or 11.27% annualized, as of March 31, 1998. The Fund's asset
weightings were 38% in U.S. equities, 37% in U.S. bonds, 6% in international
bonds, 11% in international equities, and 8% in short term instruments as of
March 31, 1998.
o The Lifecycle Short Range Fund returned 18.68%* for the twelve months ended
March 31, 1998, as compared to 14.83% for the Asset Allocation Index--Short
Range** and 22.22% for the Lipper Income Average***. Since its inception on
October 15, 1993, the Fund delivered a total return of 41.58% cumulatively,
or 8.11% annualized, as of March 31, 1998. The Fund's asset weightings were
17% in U.S. equities, 46% in U.S. bonds, 4% in international bonds, 10% in
international equities, and 23% in short term instruments as of March 31,
1998.
MANAGER OUTLOOK
We remain positive with respect to equity markets in continental Europe. With
inflation in check and the impact of the Asian crisis still uncertain, we
believe that the Federal Reserve Board and the Bundesbank are likely to retain
their market-friendly policy stances for a while longer. Solid growth, low
inflation and accommodating interest rates should also continue to form an
almost ideal backdrop for these markets. Thus, we anticipate staying
overweighted in these sectors for the near term.
We remain less sanguine, however, about longer-term prospects. In the U.S.,
exceptionally strong domestic economic fundamentals will likely overwhelm the
downdraft from Asia, raising the risk of the economy overheating. In Continental
Europe, economic activity will likely gather momentum throughout the year,
fueled by monetary conditions and by a relaxation of fiscal policies. In short,
the environment is ripe, in our opinion, for an acceleration in European
domestic demand that should easily offset any negative impact from Asia.
Against this backdrop, central bank policies will likely become gradually more
restrictive in both the U.S. and core Europe, as 1998 progresses. We believe
that the Federal Reserve Board may increase rates, as inflation pressures build
by year-end. Europe has more room to grow before bumping against its capacity
constraints. Moreover, convergence of interest rates leading up to EMU actually
will require rate cuts in the peripheral countries in the near term.
Nevertheless, growing momentum in domestic demand is expected to push German
rates up by year-end as well. In this environment, we expect the U.S. Treasury
long-term bond yield to move back up accompanied as well by small rises in
European bond rates.
Equity markets, which have benefited from the stable U.S. monetary policy due in
large part to the turmoil in Asia, will likely turn sour should the Fed, in
fact, take action. European equities may suffer some ripple effect, though we
believe most, especially in the peripheral markets, will probably outperform the
U.S.
We will, of course, continue to closely observe economic conditions and how they
affect the financial markets, as we seek to achieve the Funds' objective.
We value your ongoing support of the BT Investment 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, 1998
- --------------------
* Performance quoted represents past performance and is not a guarantee of
future results. Investment return and principal value will fluctuate, so
that an investor's shares, when redeemed, may be worth more or less than
their original cost.
** Indexes are unmanaged, and investments cannot be made in an index.
*** Lipper figures represent the average of the total returns reported by all of
the mutual funds designated by Lipper Analytical Services, Inc. as falling
into the respective categories indicated. These figures do not reflect sales
charges.
# The Salomon Broad Investment Grade Index covers an all-inclusive universe of
institutionally-traded U.S. Treasury, agency, mortgage and corporate
securities.
## Foreign investing involves special risks, including currency risk, increased
volatility of foreign securities and differences in auditing and other
financial standards.
4
<PAGE>
BT Investment Lifecycle Long Range Fund
Letter to Shareholders
Diversification of Portfolio Investments
By Asset Class as of March 31, 1998
(percentages are based on market value)
[PIE CHART APPEARS HERE]
Short Term Instruments 7%
Stocks 65%
Bonds 28%
This diversification pie chart shows the Fund's investment exposure to different
asset classes (i.e. stocks, bonds and short term instruments) 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
Pfizer, Inc.
BankAmerica Corp.
General Electric
Merck & Co., Inc.
Chase Manhattan Corp.
Five Largest Fixed Income Securities
FNMA TBA, 7.50%, 9/01/21
GNMA TBA, 7.50%, 9/01/21
US Treasury Note, 6.625%, 3/31/02
US Treasury Note, 6.125%, 11/15/27
US Treasury Note, 5.375%, 2/15/01
Objective
Seeks high total return with reduced risk over the long term by investing in
stocks, bonds and short term instruments.
Investment Instruments
Primarily common stocks, corporate and government issued intermediate- to
long-term bonds, various government agency issued asset-backed securities, and
all types of domestic and foreign securities and money market instruments.
Performance Comparison
Comparison of Change in Value of a $10,000 Investment in the BT Investment
Lifecycle Long Range Fund, the Asset Allocation Index-Long Range and the S&P 500
Index since November 30, 1993.
Total Return for the Period
Ended March 31, 1998
One Year Since 11/16/93*
33.69% 15.48%**
* The Fund's inception date.
** Annualized.
Investment return and principal value may fluctuate so that shares, when
redeemed, may be worth more or less than their original cost.
[GRAPH APPEARS HERE - SEE PLOT POINTS BELOW]
BT Investment Lifecycle Asset Allocation Index-- S&P 500 Index -
Long Range Fund - $18,759 Long Range+ - $19,400 $26,363
------------------------- ------------------------ ---------------
Nov-93 $10,000 $10,000 $10,000
Dec-93 10,101 10,089 10,121
Mar-94 9,680 9,789 9,737
Jun-94 9,534 9,788 9,778
Sep-94 9,698 10,082 10,256
Dec-94 9,735 10,111 10,254
Mar-95 10,319 10,843 11,253
Jun-95 11,000 11,658 12,328
Sep-95 11,479 12,256 13,308
Dec-95 11,973 12,867 14,109
Mar-96 12,321 13,180 14,867
Jun-96 12,686 13,545 15,534
Sep-96 13,074 13,889 16,014
Dec-96 13,867 14,693 17,348
Mar-97 14,032 14,908 17,813
Jun-97 15,662 16,525 20,925
Sep-97 16,686 17,432 22,490
Dec-97 17,062 17,917 23,136
Mar-98 18,759 19,400 26,363
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>
BT Investment Lifecycle Mid Range Fund
Letter to Shareholders
Diversification of Portfolio Investments
By Asset Class as of March 31, 1998
(percentages are based on market value)
[PIE CHART APPEARS HERE]
Short Term Instruments 8%
Stocks 49%
Bonds 43%
This diversification pie chart shows the Fund's investment exposure to different
asset classes (i.e. stocks, bonds and short term instruments) 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
Pfizer, Inc.
BankAmerica Corp.
General Electric Co.
Merck & Co., Inc.
Chase Manhattan Corp.
Five Largest Fixed Income Securities
GNMA TBA, 7.50%, 9/01/21
US Treasury Note, 6.625%, 3/31/02
US Treasury Note, 6.125%, 11/15/27
FNMA TBA, 6.50%, 4/01/23
US Treasury Note, 5.375%, 2/15/01
Objective
Seeks long term capital growth, current income and growth of income consistent
with reasonable investment risk.
Investment Instruments
Primarily common stocks, corporate and government issued intermediate- to
long-term bonds, various government agency issued asset-backed securities, and
all types of domestic and foreign securities and money market instruments.
Performance Comparison
Comparison of Change in Value of a $10,000 Investment in the BT Investment
Lifecycle Mid Range Fund, the Asset Allocation Index-Mid Range and the S&P 500
Index since October 31, 1993.
Total Return for the Period
Ended March 31, 1998
One Year Since 10/14/93*
26.33% 11.27%**
* The Fund's inception date.
** Annualized.
Investment return and principal value may fluctuate so that shares, when
redeemed, may be worth more or less than their original cost.
[GRAPH APPEARS HERE - SEE PLOT POINTS BELOW]
BT Investment Lifecycle Asset Allocation Index-- S&P 500 Index -
Mid Range Fund - $16,101 Mid Range+ - $16,705 $26,111
------------------------ ------------------------ ---------------
Oct-93 $10,000 $10,000 $10,000
Dec-93 9,955 10,006 10,024
Mar-94 9,503 9,766 9,644
Jun-94 9,410 9,757 9,685
Sep-94 9,515 9,971 10,158
Dec-94 9,544 10,017 10,156
Mar-95 10,002 10,611 11,145
Jun-95 10,551 11,286 12,210
Sep-95 10,876 11,724 13,180
Dec-95 11,314 12,236 13,974
Mar-96 11,466 12,396 14,724
Jun-96 11,756 12,650 15,385
Sep-96 12,040 12,934 15,861
Dec-96 12,637 13,523 17,182
Mar-97 12,746 13,658 17,642
Jun-97 13,899 14,732 20,725
Sep-97 14,662 15,388 22,275
Dec-97 14,979 15,792 22,914
Mar-98 16,101 16,705 26,111
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, 1998
(percentages are based on market value)
[PIE CHART APPEARS HERE]
Short Term Instruments 23%
Stocks 27%
Bonds 50%
This diversification pie chart shows the Fund's investment exposure to different
asset classes (i.e. stocks, bonds and short term instruments) 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
Pfizer Inc.
BankAmerica Corp.
General Electric Co.
Merck & Co., Inc.
Chase Manhattan Corp.
Five Largest Fixed Income Securities
US Treasury Note, 5.375%, 2/15/01
US Treasury Note, 6.625%, 3/31/02
GNMA TBA, 7.50%, 9/01/21
FNMA TBA, 6.50%, 4/01/23
US Treasury Note, 5.50%, 2/15/08
Objective
Seeks high income over the long term consistent with conservation of capital.
Investment Instruments
Primarily common stocks, corporate and government issued intermediate- to
long-term bonds, various government agency issued asset-backed securities, and
all types of domestic and foreign securities and money market instruments.
Performance Comparison
Comparison of Change in Value of a $10,000 Investment in the BT Investment
Lifecycle Short Range Fund, the Asset Allocation Index-Short Range and the S&P
500 Index since October 31, 1993.
Total Return for the Period
Ended March 31, 1998
One Year Since 10/15/93*
18.68% 8.11%**
* The Fund's inception date.
** Annualized.
Investment return and principal value may fluctuate so that shares, when
redeemed, may be worth more or less than their original cost.
[GRAPH APPEARS HERE - SEE PLOT POINTS BELOW]
BT Investment Lifecycle Asset Allocation Index-- S&P 500 Index -
Short Range Fund - $14,158 Short Range+ - $14,463 $26,111
-------------------------- ------------------------ ---------------
Oct-93 $10,000 $10,000 $10,000
Dec-93 9,956 10,004 10,024
Mar-94 9,654 9,818 9,644
Jun-94 9,534 9,800 9,685
Sep-94 9,580 9,935 10,158
Dec-94 9,616 9,996 10,156
Mar-95 9,951 10,461 11,145
Jun-95 10,399 11,006 12,210
Sep-95 10,635 11,297 13,180
Dec-95 11,003 11,719 13,974
Mar-96 11,014 11,742 14,724
Jun-96 11,231 11,898 15,385
Sep-96 11,427 12,128 15,861
Dec-96 11,861 12,530 17,182
Mar-97 11,929 12,595 17,642
Jun-97 12,692 13,215 20,725
Sep-97 13,236 13,664 22,275
Dec-97 13,490 13,999 22,914
Mar-98 14,158 14,463 26,111
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>
BT Investment Funds
Statements of Assets and Liabilities March 31, 1998
<TABLE>
<CAPTION>
Long Range Mid Range Short Range
------------ ----------- -----------
<S><C>
Assets
Investment in Portfolio, at Value* $138,771,839 $95,071,515 $49,399,147
Receivable for Shares of Beneficial Interest Subscribed 146,806 81,235 40,787
Prepaid Expenses and Other 12,293 11,891 11,414
------------ ----------- -----------
Total Assets 138,930,938 95,164,641 49,451,348
------------ ----------- -----------
Liabilities
Due to Bankers Trust, net 40,715 27,817 12,153
Payable for Shares of Beneficial Interest Redeemed 62,463 8,100 6,275
Accrued Expenses and Other 26,787 25,631 25,324
------------ ----------- -----------
Total Liabilities 129,965 61,548 43,752
------------ ----------- -----------
Net Assets $138,800,973 $95,103,093 $49,407,596
============ =========== ===========
Composition of Net Assets
Paid-in Capital $108,983,123 $80,903,933 $46,236,367
Undistributed Net Investment Income 304,495 364,301 258,449
Undistributed Net Realized Gain from Investment,
Foreign Currency Transactions, Forward Foreign
Currency Contracts and Futures Contracts 21,789,643 11,989,428 2,340,064
Net Unrealized Appreciation/Depreciation on:
Investment, Foreign Currency, and Forward Foreign Currency
Contracts 6,719,995 1,147,272 219,783
Futures Contracts 1,003,717 698,159 352,933
------------ ----------- -----------
Net Assets $138,800,973 $95,103,093 $49,407,596
============ =========== ===========
Net Asset Value, Offering and Redemption Price Per Share
(net assets divided by shares outstanding) $ 14.57 $ 12.32 $ 10.82
============ =========== ===========
Shares Outstanding ($0.001 par value per share, unlimited
number of shares of beneficial interest authorized) 9,524,862 7,722,204 4,567,076
============ =========== ===========
</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>
BT Investment Funds
Statements of Operations For the year ended March 31, 1998
<TABLE>
<CAPTION>
Long Range Mid Range Short Range
----------- ----------- -----------
<S><C>
Investment Income
Income, net* $ 3,201,762 $ 2,944,682 $1,748,553
----------- ----------- ----------
Expenses
Administration and Services Fees 699,739 515,229 255,093
Printing and Shareholder Reports 18,006 18,006 18,006
Registration Fees 9,548 9,507 9,403
Professional Fees 9,855 9,855 9,855
Trustees Fees 2,700 2,900 2,700
Miscellaneous 4,809 4,751 4,599
----------- ----------- ----------
Total Expenses 744,657 560,248 299,656
Less Expenses Absorbed by Bankers Trust (314,048) (243,184) (142,675)
----------- ----------- ----------
Net Expenses 430,609 317,064 156,981
----------- ----------- ----------
Net Investment Income 2,771,153 2,627,618 1,591,572
----------- ----------- ----------
Realized and Unrealized Gain (Loss) on Investments, Foreign
Currency Transactions, Forward Foreign Currency Contracts
and Futures Contracts
Net Realized Gain from:
Investment, Foreign Currency Transactions and Forward
Foreign Currency Contracts 15,398,746 9,781,154 2,029,910
Futures Contracts 6,903,070 4,826,193 2,072,353
Net Change in Unrealized Appreciation/Depreciation on:
Investment, Foreign Currency Transactions and Forward
Foreign Currency Contracts 4,301,923 (125,487) 393,378
Futures Contracts 1,617,539 1,157,513 583,096
----------- ----------- ----------
Net Realized and Unrealized Gain on Investment, Foreign
Currency Transactions, Forward Foreign Currency Contracts
and Futures Contracts 28,221,278 15,639,373 5,078,737
----------- ----------- ----------
Net Increase in Net Assets from Operations $30,992,431 $18,266,991 $6,670,309
=========== =========== ==========
</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
9
<PAGE>
BT Investment Funds
Statements of Changes in Net Assets
<TABLE>
<CAPTION>
Long Range
-------------------------------------
For the For the
year ended year ended
March 31, 1998 March 31, 1997
-------------- --------------
<S><C>
Increase (Decrease) in Net Assets from:
Operations
Net Investment Income $ 2,771,153 $ 1,831,370
Net Realized Gain from Investment, Foreign Currency Transactions,
Forward Foreign Currency Contracts and Futures Contracts 22,301,816 6,543,684
Net Change in Unrealized Appreciation/Depreciation on Investments,
Foreign Currency Transactions, Forward Foreign Currency Contracts and
Futures Contracts 5,919,462 (10,467)
------------ -----------
Net Increase in Net Assets from Operations 30,992,431 8,364,587
------------ -----------
Distributions to Shareholders
Net Investment Income (2,687,805) (2,216,173)
Net Realized Gain from Investment Transactions (7,578,208) (2,901,114)
------------ -----------
Total Distributions (10,266,013) (5,117,287)
------------ -----------
Capital Transactions in Shares of Beneficial Interest
Proceeds from Sales of Shares 50,397,372 21,938,721
Dividend Reinvestments 10,265,694 5,117,271
Cost of Shares Redeemed (20,879,846) (8,024,398)
------------ -----------
Net Increase from Capital Transactions in Shares of Beneficial Interest 39,783,220 19,031,594
------------ -----------
Total Increase in Net Assets 60,509,638 22,278,894
Net Assets
Beginning of Period 78,291,335 56,012,441
------------ -----------
End of Period (includes undistributed net investment income of
$304,495 and $221,147, respectively) $138,800,973 $78,291,335
============ ===========
<CAPTION>
Mid Range
-------------------------------------
For the For the
year ended year ended
March 31, 1998 March 31, 1997
-------------- --------------
<S><C>
Increase (Decrease) in Net Assets from:
Operations
Net Investment Income $ 2,627,618 $ 1,986,569
Net Realized Gain from Investment, Foreign Currency Transactions,
Forward Foreign Currency Contracts and Futures Contracts 14,607,347 4,207,234
Net Change in Unrealized Appreciation/Depreciation on Investments,
Foreign Currency Transactions, Forward Foreign Currency Contracts and
Futures Contracts 1,032,026 (257,947)
------------ -----------
Net Increase in Net Assets from Operations 18,266,991 5,935,856
------------ -----------
Distributions to Shareholders
Net Investment Income (2,559,223) (2,346,426)
Net Realized Gain from Investment Transactions (5,705,614) (2,020,093)
------------ -----------
Total Distributions (8,264,837) (4,366,519)
------------ -----------
Capital Transactions in Shares of Beneficial Interest
Proceeds from Sales of Shares 26,695,260 11,583,017
Dividend Reinvestments 8,264,111 4,366,423
Cost of Shares Redeemed (11,724,934) (7,118,197)
------------ -----------
Net Increase from Capital Transactions in Shares of Beneficial Interest 23,234,437 8,831,243
------------ -----------
Total Increase in Net Assets 33,236,591 10,400,580
Net Assets
Beginning of Period 61,866,502 51,465,922
------------ -----------
End of Period (includes undistributed net investment income of
$364,301 and $295,906, respectively) $ 95,103,093 $61,866,502
============ ===========
</TABLE>
See Notes to Financial Statements on Pages 14 and 15
10
<PAGE>
BT Investment Funds
Statements of Changes in Net Assets
<TABLE>
<CAPTION>
Short Range
-----------------------------------
For the For the
year ended year ended
March 31, 1998 March 31, 1997
-------------- --------------
<S><C>
Increase (Decrease) in Net Assets from:
Operations
Net Investment Income $ 1,591,572 $ 1,312,101
Net Realized Gain from Investment, Foreign Currency Transactions,
Forward Foreign Currency Contracts and Futures Contracts 4,102,263 1,896,801
Net Change in Unrealized Appreciation/Depreciation on Investments,
Foreign Currency Transactions, Forward Foreign Currency Contracts and
Futures Contracts 976,474 (778,720)
---------- ----------
Net Increase in Net Assets from Operations 6,670,309 2,430,182
---------- ----------
Distributions to Shareholders
Net Investment Income (1,605,565) (1,614,074)
Net Realized Gain from Investment Transactions (3,088,812) --
---------- ----------
Total Distributions (4,694,377) (1,614,074)
---------- ----------
Capital Transactions in Shares of Beneficial Interest
Proceeds from Sales of Shares 18,129,387 6,206,095
Dividend Reinvestments 4,694,376 1,614,074
Cost of Shares Redeemed (7,943,616) (4,983,599)
---------- ----------
Net Increase from Capital Transactions in Shares of Beneficial Interest 14,880,147 2,836,570
---------- ----------
Total Increase in Net Assets 16,856,079 3,652,678
Net Assets
Beginning of Period 32,551,517 28,898,839
---------- ----------
End of Period (includes undistributed net investment income of
$258,449 and $176,046, respectively) $49,407,596 $32,551,517
=========== ===========
</TABLE>
See Notes to Financial Statements on Pages 14 and 15
11
<PAGE>
BT Investment Funds
Financial Highlights
Contained below are selected data for a share outstanding, total investment
return, other supplemental data and ratios to average net assets for each period
indicated for the Lifecycle Long Range and Lifecycle Mid Range Funds.
<TABLE>
<CAPTION>
Long Range
-------------------------------------------------------
For the period
For the years ended November 16, 1993
March 31, (Commencement
----------------------------------- of Operations) to
1998 1997 1996 1995 March 31, 1994
---- ---- ---- ---- -----------------
<S><C>
Per Share Operating Performance:
Net Asset Value, Beginning of Period $ 11.96 $ 11.32 $ 10.07 $ 9.68 $ 10.00
-------- -------- ------- ------- -------
Income from Investment Operations
Net Investment Income 0.32 0.35 0.37 0.30 0.02
Net Realized and Unrealized Gain (Loss) on Investments,
Foreign Currency Transactions, Forward Foreign Currency
Contracts and Futures Contracts 3.57 1.18 1.54 0.32 (0.34)
-------- -------- ------- ------- -------
Total from Investment Operations 3.89 1.53 1.91 0.62 (0.32)
-------- -------- ------- ------- -------
Distributions to Shareholders
Net Investment Income (0.33) (0.39) (0.38) (0.23) --
Net Realized Gain from Investment Transactions (0.95) (0.50) (0.28) -- --
-------- -------- ------- ------- -------
Total Distributions (1.28) (0.89) (0.66) (0.23) --
-------- -------- ------- ------- -------
Net Asset Value, End of Period $ 14.57 $ 11.96 $ 11.32 $ 10.07 $ 9.68
======== ======== ======= ======= =======
Total Investment Return 33.69% 13.88% 19.41% 6.60% (8.42%)*
Supplemental Data and Ratios:
Net Assets, End of Period (000s omitted) $138,801 $78,291 $56,012 $13,366 $ 5,203
Ratios to Average Net Assets:
Net Investment Income 2.57% 2.73% 3.58% 3.41% 2.69%*
Expenses, Including Expenses of the Asset Management Portfolio 1.00% 1.00% 1.00% 1.00% 1.00%*
Decrease Reflected in Above Expense Ratio Due
to Absorption of Expenses by Bankers Trust 0.45% 0.48% 0.60% 0.91% 6.00%*
<CAPTION>
Mid Range
-------------------------------------------------------
For the period
For the years ended October 14, 1993
March 31, (Commencement
----------------------------------- of Operations) to
1998 1997 1996 1995 March 31, 1994
---- ---- ---- ---- -----------------
<S><C>
Per Share Operating Performance:
Net Asset Value, Beginning of Period $ 10.80 $ 10.48 $ 9.61 $ 9.45 $ 10.00
-------- ------- ------- ------ -------
Income from Investment Operations
Net Investment Income 0.37 0.42 0.41 0.37 0.11
Net Realized and Unrealized Gain (Loss) on Investments,
Foreign Currency Transactions, Forward Foreign Currency
Contracts and Futures Contracts 2.36 0.72 0.96 0.11 (0.60)
-------- ------- ------- ------ -------
Total from Investment Operations 2.73 1.14 1.37 0.48 (0.49)
-------- ------- ------- ------ -------
Distributions to Shareholders
Net Investment Income (0.37) (0.44) (0.44) (0.32) (0.06)
Net Realized Gain from Investment Transactions (0.84) (0.38) (0.06) -- --
-------- ------- ------- ------ -------
Total Distributions (1.21) (0.82) (0.50) (0.32) (0.06)
-------- ------- ------- ------ -------
Net Asset Value, End of Period $ 12.32 $ 10.80 $ 10.48 $ 9.61 $ 9.45
======== ======= ======= ====== =======
Total Investment Return 26.33% 11.16% 14.65% 5.24% (10.48%)*
Supplemental Data and Ratios:
Net Assets, End of Period (000s omitted) $ 95,103 $61,867 $51,466 $25,733 $19,170
Ratios to Average Net Assets:
Net Investment Income 3.31% 3.48% 4.15% 4.01% 2.77%*
Expenses, Including Expenses of the Asset Management Portfolio II 1.00% 1.00% 1.00% 1.00% 1.00%*
Decrease Reflected in Above Expense Ratio Due
to Absorption of Expenses by Bankers Trust 0.48% 0.55% 0.58% 0.76% 1.10%*
</TABLE>
- -----------
* Annualized
See Notes to Financial Statements on Pages 14 and 15
12
<PAGE>
BT Investment Funds
Financial Highlights
Contained below are selected data for a share outstanding, total investment
return, other supplemental data and ratios to average net assets for each period
indicated for the Lifecycle Short Range Fund.
<TABLE>
<CAPTION>
Short Range
------------------------------------------------------
For the period
For the years ended October 15, 1993
March 31, (Commencement
---------------------------------- of Operations) to
1998 1997 1996 1995 March 31, 1994
---- ---- ---- ---- -----------------
<S><C>
Per Share Operating Performance:
Net Asset Value, Beginning of Period $ 10.31 $10.03 $ 9.50 $ 9.60 $ 10.00
------- ------ ------ ------ -------
Income from Investment Operations
Net Investment Income 0.44 0.48 0.45 0.41 0.13
Net Realized and Unrealized Gain (Loss) on Investments,
Foreign Currency Transactions, Forward Foreign Currency
Contracts and Futures Contracts 1.39 0.34 0.54 (0.13) (0.47)
------- ------ ------ ------ -------
Total from Investment Operations 1.83 0.82 0.99 0.28 (0.34)
------- ------ ------ ------ -------
Distributions to Shareholders
Net Investment Income (0.46) (0.54) (0.46) (0.37) (0.06)
Net Realized Gain from Investment Transactions (0.86) -- -- (0.01) --
------- ------ ------ ------ -------
Total Distributions (1.32) (0.54) (0.46) (0.38) (0.06)
------- ------ ------ ------ -------
Net Asset Value, End of Period $ 10.82 $10.31 $10.03 $ 9.50 $ 9.60
======= ====== ====== ====== =======
Total Investment Return 18.68% 8.32% 10.67% 3.08% (7.39%)*
Supplemental Data and Ratios:
Net Assets, End of Period (000s omitted) $49,408 $32,552 $28,899 $21,137 $17,582
Ratios to Average Net Assets:
Net Investment Income 4.06% 4.24% 4.64% 4.47% 3.12%*
Expenses, Including Expenses of the Asset Management Portfolio III 1.00% 1.00% 1.00% 1.00% 1.00%*
Decrease Reflected in Above Expense Ratio Due
to Absorption of Expenses by Bankers Trust 0.58% 0.65% 0.65% 0.82% 1.12%*
</TABLE>
- -----------
* Annualized
See Notes to Financial Statements on Pages 14 and 15
13
<PAGE>
BT Investment Funds
Notes to Financial Statements
Note 1--Organization and Significant Accounting Policies
A. Organization
BT Investment Funds (the "Trust") is registered under the Investment Company Act
of 1940 (the "Act"), as amended, as an open-end management investment company.
The Trust was organized on July 21,1986, as a business trust under the laws of
the Commonwealth of Massachusetts. The BT Investment 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 investable assets in the Asset Management Portfolio, Asset
Management Portfolio II and Asset Management Portfolio Ill (each a "Portfolio"
and collectively, the "Portfolios"), respectively. The Portfolios are open-end
management investment companies registered under the Act. The Funds seek to
achieve their investment objectives by investing all of their investable assets
in the respective Portfolio. The value of such investment in the Portfolios
reflects each Fund's proportionate interest in the net assets of the respective
Portfolio. At March 31, 1998, the Long Range Fund's investment was approximately
21% of the Asset Management Portfolio, the Mid Range Fund's investment was 100%
of the Asset Management Portfolio II and the Short Range Fund's investment was
100% of the Asset Management Portfolio Ill.
The financial statements of each of the Portfolios, including the Statement of
Net Assets, 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. The Long Range Fund reclassified $2,107,212 of paid-in capital to
undistributed net realized gain. Additionally, for the year ended March 31,
1998, $96,396 of undistributed net realized gain was reclassified to
undistributed net investment income by the Short Range Fund.
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. Actual results could
differ from those estimates.
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 .65% of each Fund's average daily net assets.
For the year ended March 31, 1998, these fees aggregated $699,739, $515,229 and
$255,093 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"). Under the Distribution Agreement with the
Trust, pursuant to Rule 12b-1 of the 1940 Act, Edgewood may seek reimbursement,
at an annual rate not exceeding .20% 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, 1998,
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 .40% of the average
daily net assets of each Fund, excluding expenses of the respective Portfolios
and 1.00% of the average daily net assets of each Fund, including expenses of
the respective Portfolios. For the year ended March 31, 1998, expenses of the
Long Range Fund, Mid Range Fund and Short Range Fund have been reduced by
$314,048, $243,184 and $142,675, respectively.
Certain officers of the Funds are also directors, officers and/or employees of
Edgewood. None of the officers so affiliated received compensation from the
Funds.
The Trust is a participant with other affiliated entities in a revolving credit
facility ("the revolver") and a discretionary demand line of credit facility
collectively ("the credit facilities") in the amounts of $50,000,000 and
$100,000,000, respectively. A commitment fee of .07% per annum on the average
daily amount of the available commitment is payable on a calendar quarter basis
and apportioned equally amongst all participants. Amounts borrowed under the
credit facilities will bear interest at a rate per annum equal to the Federal
Funds Rate plus .45%. No amounts were drawn down or outstanding under the credit
facilities as of and for the year ended March 31, 1998.
14
<PAGE>
BT Investment Funds
Notes to Financial Statements
Note 3--Shares of Beneficial Interest
At March 31, 1998, 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, 1998
---------------------------------------------------------------------
Long Range Mid Range Short Range
------------------ ----------------- -----------------
Shares Amount Shares Amount Shares Amount
------ ------ ------ ------ ------ ------
<S><C>
Sold 3,788,806 $ 50,397,372 2,274,374 $26,695,260 1,697,739 $ 18,129,387
Reinvested 766,800 10,265,694 711,292 8,264,111 448,659 4,694,376
Redeemed (1,578,278) (20,879,846) (991,588) (11,724,934) (737,866) (7,943,616)
---------- ------------ --------- ----------- --------- ------------
Increase 2,977,328 $ 39,783,220 1,994,078 $23,234,437 1,408,532 $ 14,880,147
========== ============ ========= =========== ========= ============
<CAPTION>
For the year ended March 31, 1997
---------------------------------------------------------------------
Long Range Mid Range Short Range
------------------ ----------------- -----------------
Shares Amount Shares Amount Shares Amount
------ ------ ------ ------ ------ ------
<S><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
========== ============ ========= =========== ========= ============
</TABLE>
Federal Tax Information (unaudited)
13.01% of the ordinary income dividends paid by the Lifecycle Long Range Fund
during the tax year ended March 31, 1998, qualified for the Dividends Received
Deduction. The Fund paid a long-term capital gain dividend of $0.6453 during the
tax year ended March 31, 1998. This dividend was classified as 20% capital gain.
7.48% of the ordinary income dividends paid by the Lifecycle Mid Range Fund
during the tax year ended March 31, 1998, qualified for the Dividends Received
Deduction. The Fund paid a long-term capital gain dividend of $0.4946 during the
tax year ended March 31, 1998. This dividend was classified as 28% capital gain.
2.94% of the ordinary income dividends paid by the Lifecycle Short Range Fund
during the tax year ended March 31, 1998, qualified for the Dividends Received
Deduction. The Fund paid a long-term capital gain dividend of $0.47940 during
the tax year ended March 31, 1998. This dividend was classified as 28% capital
gain.
Note: 1998 calendar year percentages will be distributed under separate cover in
January 1999.
15
<PAGE>
BT Investment Funds
Report of Independent Accountants
To the Trustees of BT Investment Funds and the Shareholders of the Lifecycle
Long Range Fund, Lifecycle Mid Range Fund, and Lifecycle Short Range Fund:
We have audited the accompanying statements of assets and liabilities of the
Lifecycle Long Range Fund, Lifecycle Mid Range Fund and Lifecycle Short Range
Fund (the "Funds") (three of the Funds comprising BT Investment Funds) as of
March 31, 1998, and the related statements of operations for the year then
ended, the statements of changes in net assets for each of the two years in the
period then ended, and the financial highlights for each of the four 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 Lifecycle Long Range Fund, Lifecycle Mid Range Fund and Lifecycle
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, 1998, 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, 1998, 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 11, 1998
16
<PAGE>
Asset Management Portfolio
Statement of Net Assets March 31, 1998
Shares Description Value
- ------ ----------- -----
COMMON STOCKS - 41.36%
Aerospace - 0.16%
17,600 Boeing Co. $ 917,400
2,352 Raytheon Co.-Cl. A 133,783
-----------
1,051,183
-----------
Airlines - 0.44%
14,300 AMR Corp. (a) 2,047,581
6,800 Delta Air Lines, Inc. 804,100
-----------
2,851,681
-----------
Auto Related - 1.04%
28,500 Chrysler Corp. 1,184,531
53,000 Dana Corp. 3,083,938
36,900 General Motors Corp. 2,488,443
-----------
6,756,912
-----------
Banks - 3.30%
97,000 BankAmerica Corp. 8,014,625
54,900 BankBoston Corp. 6,052,725
46,400 Chase Manhattan Corp. 6,258,200
7,700 Citicorp 1,093,400
-----------
21,418,950
-----------
Beverages - 1.52%
37,200 Coca-Cola Co. 2,880,675
27,400 Coca-Cola Enterprises, Inc. 1,005,238
127,400 PepsiCo, Inc. 5,438,387
13,800 Seagram Company Ltd. 526,988
-----------
9,851,288
-----------
Chemicals and Toxic Waste - 1.74%
9,600 Air Products & Chemical Inc. 795,600
82,200 Du Pont (E.I.) de Nemours & Co. 5,589,600
84,500 Monsanto Co. 4,394,000
16,900 Solutia, Inc. 502,775
-----------
11,281,975
-----------
Computer Services - 1.38%
65,000 Cendant Corp. (a) 2,575,625
78,250 Cisco Systems, Inc. (a) 5,350,344
40,700 Seagate Technology Inc. (a) 1,027,675
-----------
8,953,644
-----------
Computer Software - 1.20%
11,400 BMC Software, Inc. (a) 955,463
55,275 Computer Associates International, Inc. 3,192,131
28,400 Microsoft Corp. (a) 2,541,800
35,625 Oracle Corp. (a) 1,124,414
-----------
7,813,808
-----------
Diversified - 1.61%
114,900 AlliedSignal, Inc. 4,825,800
14,100 SUPERVALU, Inc. 657,412
21,400 Textron, Inc. 1,647,800
36,200 United Technologies Corp. 3,341,713
-----------
10,472,725
-----------
Drugs - 3.18%
45,600 Lilly (Eli) & Co. 2,718,900
58,600 Merck & Co., Inc. 7,522,775
104,600 Pfizer, Inc. 10,427,313
-----------
20,668,988
-----------
Shares Description Value
- ------ ----------- -----
Electrical Equipment - 1.71%
48,400 Emerson Electric Co. $ 3,155,075
92,200 General Electric Co. 7,946,488
-----------
11,101,563
-----------
Electronics - 1.40%
51,400 Analog Devices, Inc. (a) 1,709,050
46,000 Intel Corp. 3,590,875
23,900 LSI Logic Corp. (a) 603,475
38,400 Motorola, Inc. 2,328,000
23,000 Xilinx, Inc. (a) 861,063
-----------
9,092,463
-----------
Entertainment - 0.30%
18,027 Disney (Walt) Co. 1,924,382
-----------
Environment Control - 0.25%
47,000 U.S. Filter Corp. (a) 1,650,875
-----------
Financial Services - 2.27%
29,900 Associates First Capital Corp.-Cl. A 2,362,100
72,000 Federal Home Loan Mortgage Corp. 3,415,500
41,100 First Data Corp. 1,335,750
39,400 MBNA Corp. 1,411,013
20,400 Merrill Lynch & Co., Inc. 1,693,200
10,900 T. Rowe Price Associates 767,087
62,949 Travelers Group, Inc. 3,776,940
-----------
14,761,590
-----------
Foods - 1.53%
44,500 Bestfoods 5,200,937
11,125 Corn Products International, Inc. (a) 399,109
59,500 Sara Lee Corp. 3,666,688
10,875 Sodexho Marriott Service 288,867
12,730 Tricon Global Restaurants, Inc. (a) 382,696
-----------
9,938,297
-----------
Healthcare - 0.97%
8,400 Abbott Laboratories 632,625
77,500 Johnson & Johnson 5,681,719
-----------
6,314,344
-----------
Hospital Supplies and Healthcare - 0.80%
36,700 Baxter International Inc. 2,023,088
19,800 Becton, Dickinson & Co. 1,347,637
54,600 U.S. Surgical Corp. 1,801,800
-----------
5,172,525
-----------
Hotel/Motel - 0.49%
43,500 Marriott International, Inc. (a) 1,617,656
43,500 Marriott International, Inc.-Cl. A (a) 1,557,844
-----------
3,175,500
-----------
Household Products - 1.14%
21,800 Clorox Co. 1,867,988
65,400 Procter & Gamble Co. 5,518,125
-----------
7,386,113
-----------
Insurance - 1.32%
42,450 American International Group, Inc. 5,346,047
14,600 General Re Corp. 3,221,125
-----------
8,567,172
-----------
See Notes to Financial Statements on Pages 29 through 32
17
<PAGE>
Asset Management Portfolio
Statement of Net Assets March 31, 1998
Shares Description Value
- ------ ----------- -----
Metals - 0.16%
20,000 Alcan Aluminium Ltd. $ 625,000
21,600 Freeport-McMoRan Copper & Gold, Inc.-Cl. B 430,650
------------
1,055,650
------------
Office Equipment and Computers - 1.05%
38,200 Hewlett-Packard Co. 2,420,925
26,400 International Business Machines Corp. 2,742,300
15,900 Xerox Corp. 1,692,356
------------
6,855,581
------------
Oil Equipment and Services - 0.30%
25,400 Apache Corp. 933,450
13,200 Schlumberger Ltd. 999,900
------------
1,933,350
------------
Oil-Domestic - 1.03%
5,800 Atlantic Richfield Co. 456,025
16,927 Burlington Resources, Inc. 811,438
54,600 ENSCO International, Inc. 1,515,150
26,900 Noble Drilling Corp. (a) 822,131
14,300 Phillips Petroleum Co. 714,106
61,400 Unocal Corp. 2,375,413
------------
6,694,263
------------
Oil-International - 2.08%
8,700 Amoco Corp. 751,463
11,600 Chevron Corp. 931,625
41,900 Exxon Corp. 2,833,487
15,200 Mobil Corp. 1,164,700
65,600 Royal Dutch Petroleum Co. 3,726,900
68,000 Texaco, Inc. 4,097,000
------------
13,505,175
------------
Paper and Forest Products - 0.45%
29,400 Champion International Corp. 1,596,788
28,900 International Paper Co. 1,352,881
------------
2,949,669
------------
Printing and Publishing - 0.52%
44,500 McGraw-Hill Companies, Inc. 3,384,781
------------
Railroads - 0.35%
21,600 Burlington Northern Santa Fe 2,246,400
------------
Retail - 1.91%
72,539 Dollar General Corp. 2,806,343
31,200 Federated Department Stores, Inc. (a) 1,616,550
30,900 Lowe's Companies, Inc. 2,168,793
18,500 Nine West Group, Inc. (a) 455,563
26,400 Tiffany & Co. 1,285,350
80,000 Wal-Mart Stores, Inc. 4,065,000
------------
12,397,599
------------
Telecommunications - 1.75%
81,700 AT&T Corp. 5,361,563
58,700 Comcast Corp.-Cl. A 2,072,843
57,400 MCI Communications Corp. 2,841,300
15,700 Sprint Corp. 1,062,694
------------
11,338,400
------------
Shares Description Value
- ------ ----------- -----
Tobacco - 0.70%
109,100 Philip Morris Companies, Inc. $ 4,548,106
------------
Utility-Electric - 1.10%
16,900 American Electric Power Co. 849,225
11,900 Dominion Resources, Inc. 499,800
21,500 FirstEnergy Corp. 662,469
30,400 FPL Group, Inc. 1,953,200
36,400 PG&E Corp. 1,201,200
16,500 Public Service Enterprise Group, Inc. 624,937
33,900 Texas Utilities Co. 1,332,694
------------
7,123,525
------------
Utility-Gas, Natural Gas - 0.41%
46,000 Consolidated Natural Gas Co. 2,653,625
------------
Utility-Telephone - 1.80%
19,600 Ameritech Corp. 968,975
7,700 Bell Atlantic Corp. 789,250
17,800 BellSouth Corp. 1,202,613
41,200 Frontier Corp. 1,341,575
81,500 GTE Corp. 4,879,813
12,128 Lucent Technologies, Inc. 1,550,867
21,800 SBC Communications, Inc. 951,025
------------
11,684,118
------------
Total Common Stocks (Cost $246,624,793) 268,576,220
------------
Principal
Amount
- ---------
CORPORATE DEBT-NON CONVERTIBLE - 3.53%
Financial Services - 1.84%
$ 400,000 BankBoston Corp., 6.38%, 8/11/00 403,368
510,000 Chrysler Financial Corp., 6.11%, 7/28/99 511,571
400,000 CP Limited Partnership, 6.92%, 12/10/04 400,558
2,400,000 Ford Motor Credit Co., 6.25%, 11/08/00 2,415,625
600,000 Great Westem Financial Corp., 6.375%,
7/01/00 603,369
940,000 IBM Credit Corp, 5.875%, 8/25/99 941,814
1,375,000 KFW International Finance, 8.20%, 6/01/06 1,558,909
600,000 Lehman Brothers Holdings-Ser. E, 6.30%,
8/11/99 602,058
675,000 Meditrust, 7.114%, 8/15/04 (d) 671,858
880,000 NationsBank Corp., 7.00%, 9/15/01 904,721
765,000 Paine Webber Group, Inc., 9.25%, 12/15/01 835,345
850,000 Salomon, Inc., 7.50%, 2/01/03 890,420
930,000 Vesta Capital Trust I, 8.525%, 1/15/27 (d) 1,030,435
225,000 Wharf International Finance Ltd., 7.625%,
3/13/07 199,193
------------
11,969,244
------------
Foreign Industrial - 0.05%
19,000 Celulosa Arauco y Constitu, 6.75%, 12/15/03 18,655
320,000 Celulosa Arauco y Constitu, 6.95%, 9/15/05 312,917
------------
331,572
------------
Industrial - 1.61%
300,000 Allied Waste North America, 10.25%,
12/01/06 335,250
335,000 Avalon Properties, Inc., 6.875%, 12/15/07 335,281
760,000 Columbus Southern Power, 6.51%, 2/01/08 757,568
95,000 Conmed Corp., 9.00%, 3/15/08 (d) 96,900
See Notes to Financial Statements on Pages 29 through 32
18
<PAGE>
Asset Management Portfolio
Statement of Net Assets March 31, 1998
Principal
Amount Description Value
- --------- ----------- -----
$ 830,000 Consolidated Edison, 6.45%, 12/01/07 $ 836,611
470,000 Dime Capital Trust, 9.33%, 5/06/27 531,322
270,000 Empress River Casino Finance, 10.75%,
4/01/02 294,300
555,000 Federated Department Stores, Inc., 7.00%,
2/15/28 550,655
20,000 Federated Department Stores, Inc., 8.50%,
6/15/03 21,864
530,000 First Industrial LP, 7.00%, 12/01/06 535,297
190,000 Hutchison Whampoa Finance, 6.988%,
8/01/37 (d) 180,025
625,000 Laidlaw, Inc., 6.65%, 10/01/04 630,953
430,000 Loewen Group International, Inc.-Ser. 4, 8.25%,
10/15/03 457,323
290,000 Marriott International, Series A, 6.75%,
12/15/03 295,457
125,000 Marriott International, Series B, 7.875%,
4/15/05 135,330
800,000 Merck & Co., 5.76%, 5/03/37 821,918
530,000 Mutual Life Insurance Co., 0.00%, 8/15/24 (c)(d) 688,997
750,000 News America, Inc., 6.625%, 1/09/08 (d) 737,925
330,000 Revlon Consumer Products, 8.625%, 2/01/08 (d) 334,950
215,000 Standard Credit Card Master Trust, 6.55%,
10/07/05 219,537
520,000 Tenet Healthcare Corp., 8.625%, 12/01/03 553,829
485,000 Tenet Healthcare Corp., 9.625%, 9/01/02 526,226
535,000 Texas Instruments, Inc., 6.75%, 7/15/99 540,703
------------
10,418,221
------------
Utility - 0.03%
35,000 Idaho Power Co., 8.00%, 3/15/04 38,008
140,000 Potomac Edison Co., 8.00%, 6/01/24 150,183
------------
188,191
------------
Total Corporate Debt Non-Convertible (Cost $22,438,726) 22,907,228
------------
FOREIGN DEBT - 0.33%
210,000 Guangdong International, 8.75%, 10/24/16(d) 192,750
125,000 Manitoba, 6.125%, 1/19/04 125,250
365,000 National Australia Bank, 6.60%, 12/10/07 366,482
995,000 New Zealand Government, 8.75%, 12/15/06 1,165,682
95,000 New Zealand Government, 10.625%, 11/15/05 121,067
250,000 Tenaga Nasional Berhad, 7.50%, 11/01/25 (d) 194,256
------------
Total Foreign Debt (Cost $2,117,202) 2,165,487
------------
U.S. GOVERNMENT AND AGENCIES - 2.68%
700,000 FNMA TBA, 6.00%, 4/01/08 689,938
2,500,000 FNMA TBA, 6.50%, 4/01/23 2,475,000
1,400,000 FNMA TBA, 7.00%, 9/01/21 1,415,313
7,500,000 FNMA TBA, 7.50%, 9/01/21 7,694,534
690,000 FNMA, 5.75%, 2/15/08 682,316
325,000 FNMA, 8.625%, 11/10/04 334,258
150,000 FNMA, Global Bond, 6.35%, 11/23/01 150,633
3,900,000 GNMA TBA, 7.50%, 9/01/21 4,003,596
------------
Total U.S. Government and Agencies (Cost $17,417,355) 17,445,588
------------
Shares/
Principal
Amount Description Value
- --------- ----------- -----
U.S. TREASURY SECURITIES - 2.98%
$ 1,050,000 U.S. Treasury Bond, 7.625%, 11/15/22 $ 1,263,939
1,300,000 U.S. Treasury Bond, 8.125%, 8/15/19 1,626,823
2,890,000 U.S. Treasury Note, 5.375%, 2/15/01 2,873,285
2,685,000 U.S. Treasury Note, 5.50%, 2/15/08 2,652,689
2,020,000 U.S. Treasury Note, 7.00%, 7/15/06 2,183,491
460,000 U.S. Treasury Note, 5.50%, 2/28/03 457,339
910,000 U.S. Treasury Note, 5.75%, 9/30/99 912,136
840,000 U.S. Treasury Note, 5.875%, 11/30/01 845,776
2,810,000 U.S. Treasury Note, 6.125%, 11/15/27 2,882,010
260,000 U.S. Treasury Note, 6.25%, 8/31/02 265,727
3,190,000 U.S. Treasury Note, 6.625%, 3/31/02 3,296,662
70,000 U.S. Treasury Note, 7.25%, 8/15/04 75,731
------------
Total U.S. Treasury Securities (Cost $19,408,830) 19,335,608
------------
SHORT TERM INSTRUMENTS - 48.65%
Mutual Fund - 5.59%
36,330,332 BT Institutional Cash Management Fund 36,330,332
------------
Repurchase Agreement - 6.43%
41,746,461 Open Repurchase agreement with 41,746,461
Goldman Sachs dated 3/31/98, 5.85%, ------------
principal and interest in the amount of
41,753,247, due 4/01/98 (collateralized by
U.S. Treasury Bonds, par value of
$34,820,000, coupon rate of 10.75%,
due 2/15/03, value of $42,712,303).
U.S. Government and Agency - 36.63% (b)
30,000,000 U.S. Treasury Bill, 5.07%, 8/20/98 29,400,750
8,840,000 U.S. Treasury Bill, 5.15%, 4/30/98 8,803,111
50,000,000 U.S. Treasury Bill, 5.25%, 4/02/98 49,993,014
20,000,000 U.S. Treasury Bill, 5.26%, 4/23/98 19,935,711
130,000,000 U.S. Treasury Bill, 5.35%, 4/16/98 129,710,208
------------
237,842,794
------------
Total Short Term Instruments (Cost $315,930,688) 315,919,587
------------
Total Investments (Cost $623,937,594) 99.53% 646,349,718
Other Assets in Excess of Liabilities 0.47% 3,022,704
------ ------------
Net Assets 100.00% $649,372,422
====== ============
- ------------
(a) Non-income producing security
(b) Held as collateral for Futures Contracts
(c) Step-up Bond Security. On 8/15/99 this security will begin accruing interest
at a rate of 11.25% from then until maturity.
(d) Security exempt from registration under rule 144A of the Securities Act of
1933. This security may be resold in transactions exempt from registration,
normally to qualified institutional buyers.
The following abbreviations are used in the portfolio description:
FNMA -- Federal National Mortgage Association
GNMA -- Government National Mortgage Association
TBA -- To be announced
See Notes to Financial Statements on Pages 29 through 32
19
<PAGE>
Asset Management Portfolio II
Statement of Net Assets March 31, 1998
Shares Description Value
------ ----------- -----
COMMON STOCKS - 31.77%
Aerospace - 0.13%
2,000 Boeing Co. $ 104,250
300 Raytheon Co.-CI. A 17,062
------------
121,312
------------
Airlines - 0.36%
1,700 AMR Corp. (a) 243,419
800 Delta Air Lines, Inc. 94,600
------------
338,019
------------
Auto Related - 0.78%
3,100 Chrysler Corp. 128,844
5,800 Dana Corp. 337,488
4,100 General Motors Corp. 276,494
------------
742,826
------------
Banks - 2.52%
10,800 Bank America Corp. 892,350
6,200 BankBoston Corp. 683,550
5,100 Chase Manhattan Corp. 687,863
900 Citicorp 127,800
------------
2,391,563
------------
Beverages - 1.17%
4,100 Coca-Cola Co. 317,494
3,300 Coca-Cola Enterprises, Inc. 121,069
14,200 PepsiCo, Inc. 606,163
1,700 Seagram Company Ltd. 64,918
------------
1,109,644
------------
Chemicals and Toxic Waste - 1.31%
1,100 Air Products & Chemicals, Inc. 91,163
9,000 Du Pont (E.I.) de Nemours & Co. 612,000
9,400 Monsanto Co. 488,800
1,900 Solutia, Inc. 56,525
------------
1,248,488
------------
Computer Services - 1.05%
7,300 Cendant Corp. (a) 289,263
8,650 Cisco Systems, Inc. (a) 591,443
4,600 Seagate Technology, Inc. (a) 116,150
------------
996,856
------------
Computer Software - 0.97%
1,400 BMC Software, Inc. (a) 117,338
6,250 Computer Associates International, Inc. 360,937
3,600 Microsoft Corp. (a) 322,200
4,000 Oracle Corp. (a) 126,250
------------
926,725
------------
Diversified - 1.26%
12,800 AlliedSignal, Inc. 537,600
1,700 SUPERVALU, Inc. 79,263
2,600 Textron, Inc. 200,200
4,100 United Technologies Corp. 378,481
------------
1,195,544
------------
Drugs - 2.41%
5,000 Lilly (Eli) & Co. 298,125
6,500 Merck & Co., Inc. 834,438
11,600 Pfizer, Inc. 1,156,375
------------
2,288,938
------------
Shares Description Value
------ ----------- -----
Electrical Equipment - 1.29%
5,400 Emerson Electric Co. $ 352,013
10,200 General Electric Co. 879,112
------------
1,231,125
------------
Electronics - 1.07%
5,700 Analog Devices, Inc. (a) 189,525
5,200 Intel Corp. 405,925
2,700 LSI Logic Corp. (a) 68,175
4,300 Motorola, Inc. 260,688
2,600 Xilinx, Inc. (a) 97,337
------------
1,021,650
------------
Entertainment - 0.22%
2,000 Disney (Walt) Co. 213,500
------------
Environmental Control - 0.20%
5,300 U.S. Filter Corp. (a) 186,163
------------
Financial Services - 1.74%
3,200 Associates First Capital Corp.-Cl. A 252,800
8,100 Federal Home Loan Mortgage Corp. 384,244
4,400 First Data Corp. 143,000
4,500 MBNA Corp. 161,156
2,400 Merrill Lynch & Co., Inc. 199,200
1,300 T. Rowe Price Associates 91,488
7,100 Travelers Group, Inc. 426,000
------------
1,657,888
------------
Foods - 1.15%
4,900 Bestfoods 572,688
1,225 Corn Products International, Inc. (a) 43,947
6,600 Sara Lee Corp. 406,725
1,200 Sodexho Marriott Services, Inc. 31,875
1,420 Tricon Global Restaurants, Inc. (a) 42,688
------------
1,097,923
------------
Healthcare - 0.74%
1,000 Abbott Laboratories 75,313
8,600 Johnson & Johnson 630,487
------------
705,800
------------
Hospital Supplies and Healthcare - 0.61%
4,100 Baxter International, Inc. 226,013
2,200 Becton, Dickinson & Company 149,737
6,100 U.S. Surgical Corp. 201,300
------------
577,050
------------
Hotel/Motel - 0.37%
4,800 Marriott International, Inc. (a) 178,500
4,800 Marriott International, Inc.-CI. A (a) 171,900
------------
350,400
------------
Household Products - 0.87%
2,600 Clorox Co. 222,788
7,200 Procter & Gamble Co. 607,500
------------
830,288
------------
Insurance - 1.05%
4,750 American International Group, Inc. 598,203
1,800 General Re Corp. 397,125
------------
995,328
------------
See Notes to Financial Statements on Pages 29 through 32
20
<PAGE>
Asset Management Portfolio II
Statement of Net Assets March 31, 1998
Shares Description Value
------ ----------- -----
Metals - 0.12%
2,200 Alcan Aluminium Co. Ltd. $ 68,750
2,400 Freeport-McMoRan Copper & Gold, Inc.-Cl. B 47,850
------------
116,600
------------
Office Equipment and Computers - 0.83%
4,300 Hewlett-Packard Co. 272,513
3,200 International Business Machines Corp. 332,400
1,700 Xerox Corp. 180,943
------------
785,856
------------
Oil Equipment and Services - 0.24%
2,800 Apache Corp. 102,900
1,600 Schlumberger Ltd. 121,200
224,100
------------
Oil-Domestic - 0.79%
600 Atlantic Richfield Co. 47,175
2,000 Burlington Resources, Inc. 95,875
6,200 ENSCO International, Inc. 172,050
3,000 Noble Drilling Corp. (a) 91,688
1,700 Phillips Petroleum Co. 84,894
6,800 Unocal Corp. 263,074
------------
754,756
------------
Oil-International - 1.64%
1,000 Amoco Corp. 86,375
1,400 Chevron Corp. 112,438
4,600 Exxon Corp. 311,075
1,800 Mobil Corp. 137,925
8,000 Royal Dutch Petroleum Co. 454,500
7,600 Texaco, Inc. 457,900
------------
1,560,213
------------
Paper and Forest Products - 0.34%
3,200 Champion International Corp. 173,800
3,100 International Paper Co. 145,119
------------
318,919
------------
Printing and Publishing - 0.39%
4,900 McGraw-Hill Companies, Inc. 372,706
------------
Railroads - 0.26%
2,400 Burlington Northern Santa Fe 249,600
------------
Retail - 1.45%
8,000 Dollar General Corp. 309,500
3,500 Federated Department Stores, Inc. (a) 181,344
3,400 Lowe's Companies, Inc. 238,638
2,100 Nine West Group, Inc. (a) 51,711
3,000 Tiffany & Co. 146,063
8,800 Wal-Mart Stores, Inc. 447,150
------------
1,374,406
------------
Telecommunications - 1.34%
9,100 AT&T Corp. 597,188
6,600 Comcast Corp.-Cl. A 233,063
6,400 MCI Communications Corp. 316,800
1,900 Sprint Corp. 128,605
------------
1,275,656
------------
Tobacco - 0.54%
12,300 Philip Morris Companies, Inc. 512,756
------------
Shares Description Value
------ ----------- -----
Utility-Electric - 0.85%
2,000 American Electric Power Co. $ 100,500
1,400 Dominion Resources, Inc. 58,800
2,400 FirstEnergy Corp. 73,950
3,400 FPL Group, Inc. 218,450
4,000 PG&E Corp. 132,000
2,000 Public Service Enterprise Group, Inc. 75,750
3,800 Texas Utilities Co. 149,388
------------
808,838
------------
Utility-Gas, Natural Gas - 0.31%
5,100 Consolidated Natural Gas Co. 294,206
------------
Utility-Telephone - 1.40%
2,400 Ameritech Corp. 118,650
900 Bell Atlantic Corp. 92,250
1,900 BellSouth Corp. 128,369
4,600 Frontier Corp. 149,788
9,100 GTE Corp. 544,863
1,400 Lucent Technologies, Inc. 179,020
2,600 SBC Communications, Inc. 113,425
------------
1,326,365
------------
Total Common Stocks (Cost $28,976,067) 30,202,007
------------
Principal
Amount
- ---------
CORPORATE DEBT NON-CONVERTIBLE - 6.43%
Financial Services - 2.57%
$ 125,000 BankBoston Corp., 6.38%, 8/11/00 126,053
187,000 Bayerische Landesbank, 6.17%, 2/01/06 186,668
150,000 Chrysler Financial Corp., 6.11%, 7/28/99 150,462
120,000 CP Limited Partnership, 6.92%, 12/10/04 120,167
90,000 Ford Motor Credit Co., 6.25%, 11/8/00 90,586
85,000 GMAC, 8.625%, 1/18/01 90,361
280,000 IBM Credit Corp, 5.875%, 8/25/99 280,540
40,000 International Bank Reconstruction &
Development, 8.875%, 3/01/26 53,696
55,000 KFW International Finance, 8.20%, 6/01/06 62,356
175,000 Lehman Brothers Holdings-Ser. E, 6.30%,
8/11/99 175,600
200,000 Meditrust, 7.114%, 8/15/04 (d) 199,069
280,000 PaineWebber Group, Inc., 9.25%, 12/15/01 305,747
230,000 Salomon, Inc., 7.50%, 2/01/03 240,937
275,000 Vesta Capital Trust I, 8.525%, 1/15/27 (d) 304,699
65,000 Wharf International Finance Ltd., 7.625%,
3/13/07 57,545
------------
2,444,486
------------
Foreign Industrial - 0.12%
26,000 Celulosa Arauco y Constitu, 6.75%, 12/15/03 25,528
90,000 Celulosa Arauco y Constitu, 6.95%, 9/15/05 88,008
------------
113,536
------------
Industrial - 3.62%
85,000 Allied Waste North America, 10.25%,
12/01/06 94,988
150,000 American Express Master Trust, 5.375%,
7/15/01 148,212
100,000 Avalon Properties, Inc., 6.875%, 12/15/07 100,084
225,000 Columbus Southern Power, 6.51%, 2/01/08 224,280
25,000 Conmed Corp., 9.00%, 3/15/08 (d) 25,500
245,000 Consolidated Edison, 6.45%, 12/01/07 246,951
140,000 Dime Capital Trust, 9.33%, 5/06/27 158,266
See Notes to Financial Statements on Pages 29 through 32
21
<PAGE>
Asset Management Portfolio II
Statement of Net Assets March 31, 1998
Principal
Amount Description Value
- --------- ----------- -----
$ 100,000 Empress River Casino Finance, 10.75%,
4/01/02 $ 109,000
165,000 Federated Department Stores, Inc., 7.00%,
2/15/28 163,708
80,000 Federated Department Stores, Inc., 8.50%,
6/15/03 87,458
155,000 First Industrial LP, 7.00%, 12/01/06 156,549
185,000 Laidlaw, Inc., 6.65%, 10/01/04 186,762
170,000 Loewen Group International, Inc.-Ser. 4, 8.25%,
10/15/03 180,802
150,000 Marriott International, Series C, 7.125%,
6/01/07 156,496
85,000 Marriott International, Series A, 6.75%,
12/15/03 86,600
40,000 Marriott International, Series B, 7.875%,
4/15/05 43,306
200,000 Merck & Co., 5.76%, 5/03/37 205,479
85,000 Mutual Life Insurance Co., 0.00%,
8/15/24 (c) (d) 110,500
220,000 News America, Inc., 6.625%, 1/09/08 (d) 216,458
90,000 Revlon Consumer Products, 8.625%,
2/01/08 (d) 91,350
130,000 Standard Credit Card MasterTrust, 6.55%,
10/07/05 132,743
95,000 Tenet Healthcare Corp., 8.625%, 12/01/03 101,180
200,000 Tenet Healthcare Corp., 9.625%, 9/01/02 217,000
200,000 Texas Instruments, Inc., 6.75%, 7/15/99 202,132
------------
3,445,804
------------
Utility - 0.12%
45,000 Idaho Power Co., 8.00%, 3/15/04 48,868
60,000 Potomac Edison Co., 8.00%, 6/01/24 64,364
------------
113,232
------------
Total Corporate Debt Non-Convertible (Cost $6,008,796) 6,117,058
------------
FOREIGN DEBT - 0.55%
60,000 Guangdong International, 8.75%,
10/24/16 (d) 55,071
125,000 Manitoba, 6.125%, 1/19/04 125,250
110,000 National Australia Bank, 6.60%, 12/10/07 110,447
125,000 New Zealand Government, 8.75%, 12/15/06 146,443
65,000 NEW ZEALAND GOVERNMENT, 10.625%, 11/15/05 82,835
------------
Total Foreign Debt (Cost $509,206) 520,046
------------
U.S GOVERNMENT AND AGENCIES - 4.99%
400,000 FNMA TBA, 6.00%, 4/01/08 394,250
900,000 FNMA TBA, 6.50%, 4/01/23 891,000
800,000 FNMA TBA, 7.00%, 9/01/21 808,750
200,000 FNMA, 5.75%, 2/15/08 197,773
140,000 FNMA, 8.625%, 11/10/04 143,988
50,000 FNMA, Global Bond, 6.35%, 11/23/01 50,211
2,200,000 GNMA TBA, 7.50%, 9/01/21 2,258,439
------------
Total U.S Government and Agencies (Cost $4,741,180) 4,744,411
------------
Shares/
Principal
Amount Description Value
- --------- ----------- -----
U.S. TREASURY SECURITIES - 6.22%
$ 350,000 U.S. Treasury Bond, 7.625%, 11/15/22 $ 421,313
410,000 U.S. Treasury Bond, 8.125%, 8/15/19 513,075
655,000 U.S. Treasury Note, 7.00%, 7/15/06 707,605
840,000 U.S. Treasury Note, 5.375%, 2/15/01 835,142
675,000 U.S. Treasury Note, 5.50%, 2/15/08 666,877
60,000 U.S. Treasury Note, 5.875%, 8/31/99 60,225
170,000 U.S. Treasury Note, 5.75%, 9/30/99 170,399
180,000 U.S. Treasury Note, 5.875%, 11/30/01 181,238
985,000 U.S. Treasury Note, 6.125%, 11/15/27 1,010,242
75,000 U.S. Treasury Note, 6.25%, 8/31/02 76,652
1,210,000 U.S. Treasury Note, 6.625%, 3/31/02 1,250,458
20,000 U.S. Treasury Note, 7.25%, 8/15/04 21,636
------------
Total U.S. Treasury Securities (Cost $5,932,520) 5,914,862
------------
SHORT TERM INSTRUMENTS - 51.21%
Mutual Fund - 18.67%
17,751,281 BT Institutional Cash Management Fund 17,751,281
------------
Repurchase Agreement - 2.97%
2,824,916 Open Repurchase Agreement with 2,824,916
Goldman Sachs, dated 3/31/98, 5.85%, ------------
principal and interest in the amount of
$2,825,375, due 4/01/98 (collateralized by
U.S. Treasury Notes, par value of $2,865,000,
coupon rate of 5.75%, due 8/15/03,
value of $3,024,138).
U.S. Government and Agency - 29.57% (b)
2,000,000 U.S. Treasury Bill, 5.07%, 8/20/98 1,960,050
1,195,000 U.S. Treasury Bill, 5.15%, 4/30/98 1,189,998
10,000,000 U.S. Treasury Bill, 5.25%, 4/02/98 9,998,603
5,000,000 U.S. Treasury Bill, 5.26%, 4/23/98 4,983,928
10,000,000 U.S. Treasury Bill, 5.35%, 4/16/98 9,977,708
------------
28,110,287
------------
Total Short Term Instruments (Cost $48,687,228) 48,686,484
------------
Total Investments (Cost $94,854,997) 101.17% 96,184,868
Liabilities in Excess of Other Assets (1.17)% (1,113,338)
------ ------------
Net Assets 100.00% $95,071,530
====== ============
- ---------
(a) Non-income producing security
(b) Held as collateral for Futures Contracts
(c) Step up bond security. On 8/15/99 this security will begin accruing interest
at a rate of 11.25% from then until maturity.
(d) Security exempt from registration under rule 144A of the Securities Act of
1933. This security may be resold in transactions exempt from registration,
normally to qualified institutional buyers.
The following abbreviations are used in the portfolio description:
FNMA -- Federal National Mortgage Association
GNMA -- Government National Mortgage Association
TBA -- To be announced
See Notes to Financial Statements on Pages 29 through 32
22
<PAGE>
Asset Management Portfolio III
Statement of Net Assets March 31, 1998
Shares Description Value
------ ----------- -----
COMMON STOCKS - 14.02%
Aerospace - 0.05%
400 Boeing Co. $ 20,850
100 Raytheon Co.-CI. A 5,688
-----------
26,538
-----------
Airlines - 0.16%
400 AMR Corp. (a) 57,275
200 Delta Air Lines, Inc. 23,650
-----------
80,925
-----------
Auto Related - 0.32%
800 Chrysler Corp. 33,250
1,200 Dana Corp. 69,825
800 General Motors Corp. 53,950
-----------
157,025
-----------
Banks - 1.10%
2,400 Bank America Corp. 198,300
1,400 BankBoston Corp. 154,350
1,200 Chase Manhattan Corp. 161,850
200 Citicorp 28,400
-----------
542,900
-----------
Beverages - 0.48%
800 Coca-Cola Co. 61,950
900 Coca-Cola Enterprises, Inc. 33,019
3,000 PepsiCo, Inc. 128,063
400 Seagram Company Ltd. 15,274
-----------
238,306
-----------
Chemicals and Toxic Waste - 0.58%
300 Air Products & Chemical, Inc. 24,863
2,000 Du Pont (E.I.) de Nemours & Co. 136,000
2,200 Monsanto Co. 114,400
440 Solutia, Inc. 13,090
-----------
288,353
-----------
Computer Services - 0.43%
1,600 Cendant Corp. (a) 63,400
1,800 Cisco Systems, Inc. (a) 123,075
1,000 Seagate Technology, Inc. (a) 25,250
-----------
211,725
-----------
Computer Software - 0.46%
400 BMC Software, Inc. (a) 33,525
1,450 Computer Associates International, Inc. 83,738
800 Microsoft Corp. (a) 71,600
1,200 Oracle Corp. (a) 37,875
-----------
226,738
-----------
Diversified - 0.55%
3,000 AlliedSignal, Inc. 126,000
400 SUPERVALU, Inc. 18,650
600 Textron, Inc. 46,200
900 United Technologies Corp. 83,081
-----------
273,931
-----------
Drugs - 1.06%
1,200 Lilly (Eli) & Co. 71,550
1,500 Merck & Co., Inc. 192,563
2,600 Pfizer, Inc. 259,187
-----------
523,300
-----------
Shares Description Value
------ ----------- -----
Electrical Equipment - 0.59%
1,400 Emerson Electric Co. $ 91,263
2,300 General Electric Co. 198,231
-----------
289,494
-----------
Electronics - 0.48%
1,200 Analog Devices, Inc. (a) 39,900
1,200 Intel Corp. 93,675
600 LSI Logic Corp. (a) 15,150
1,000 Motorola, Inc. 60,625
700 Xilinx, Inc. (a) 26,206
-----------
235,556
-----------
Entertainment - 0.11%
524 Disney (Walt) Co. 55,937
-----------
Environmental Control - 0.09%
1,200 U.S. Filter Corp. (a) 42,150
-----------
Financial Services - 0.77%
900 Associates First Capital Corp.-Cl. A 71,100
1,800 Federal Home Loan Mortgage Corp. 85,388
900 First Data Corp. 29,250
937 MBNA Corp. 33,556
600 Merrill Lynch & Co., Inc. 49,800
300 T. Rowe Price Associates 21,112
1,500 Travelers Group, Inc. 90,000
-----------
380,206
-----------
Foods - 0.48%
1,100 Bestfoods 128,563
300 Corn Products International, Inc. (a) 10,763
1,300 Sara Lee Corp. 80,113
250 Sodexho Marriott Services, Inc. 6,641
300 Tricon Global Restaurants, Inc. (a) 9,017
-----------
235,097
-----------
Healthcare - 0.31%
300 Abbott Laboratories 22,594
1,800 Johnson & Johnson 131,962
-----------
154,556
-----------
Hospital Supplies and Healthcare - 0.26%
900 Baxter International, Inc. 49,613
500 Becton, Dickinson & Company 34,031
1,400 U.S. Surgical Corp. 46,200
-----------
129,844
-----------
Hotel/Motel - 0.15%
1,000 Marriott International, Inc. (a) 37,188
1,000 Marriott International, Inc.-CI. A (a) 35,812
-----------
73,000
-----------
Household Products - 0.38%
600 Clorox Co. 51,413
1,600 Procter & Gamble Co. 135,000
-----------
186,413
-----------
Insurance - 0.47%
1,150 American International Group, Inc. 144,828
400 General Re Corp. 88,250
-----------
233,078
-----------
See Notes to Financial Statements on Pages 29 through 32
23
<PAGE>
Asset Management Portfolio III
Statement of Net Assets March 31, 1998
Shares Description Value
------ ----------- -----
Metals - 0.07%
600 Alcan Aluminium Ltd. $ 18,750
700 Freeport-McMoRan Copper & Gold, Inc.-Cl. B 13,956
-----------
32,706
-----------
Office Equipment and Computers - 0.36%
1,000 Hewlett-Packard Co. 63,375
600 International Business Machines Corp. 62,325
500 Xerox Corp. 53,219
-----------
178,919
-----------
Oil Equipment & Services - 0.12%
800 Apache Corp. 29,400
400 Schlumberger Ltd. 30,300
-----------
59,700
-----------
Oil-Domestic - 0.37%
200 Atlantic Richfield Co. 15,725
500 Burlington Resources, Inc. 23,969
1,600 ENSCO International, Inc. 44,400
800 Noble Drilling Corp. (a) 24,450
400 Phillips Petroleum Co. 19,975
1,400 Unocal Corp. 54,162
-----------
182,681
-----------
Oil-International - 0.75%
300 Amoco Corp. 25,913
400 Chevron Corp. 32,125
1,200 Exxon Corp. 81,150
400 Mobil Corp. 30,650
1,600 Royal Dutch Petroleum Co. 90,900
1,800 Texaco, Inc. 108,450
-----------
369,188
-----------
Paper and Forest Products - 0.18%
900 Champion International Corp. 48,881
900 International Paper Co. 42,132
-----------
91,013
-----------
Printing and Publishing - 0.17%
1,100 McGraw-Hill Companies, Inc. 83,669
-----------
Railroads - 0.11%
500 Burlington Northern Santa Fe 52,000
-----------
Retail - 0.62%
1,523 Dollar General Corp. 58,902
800 Federated Department Stores, Inc. (a) 41,450
900 Lowe's Companies, Inc. 63,169
600 Nine West Group, Inc. (a) 14,775
800 Tiffany & Co. 38,950
1,800 Wal-Mart Stores, Inc. 91,462
-----------
308,708
-----------
Telecommunications - 0.54%
1,900 AT&T Corp. 124,688
1,300 Comcast Corp.-Cl. A 45,906
1,300 MCI Communications Corp. 64,350
500 Sprint Corp. 33,844
-----------
268,788
-----------
Shares Description Value
------ ----------- -----
Tobacco - 0.23%
2,700 Philip Morris Companies, Inc. $ 112,556
-----------
Utility-Electric - 0.40%
600 American Electric Power Co. 30,150
400 Dominion Resources, Inc. 16,800
700 FirstEnergy Corp. 21,569
900 FPL Group, Inc. 57,825
800 PG&E Corp. 26,400
500 Public Service Enterprise Group, Inc. 18,938
700 Texas Utilities Co. 27,518
-----------
199,200
-----------
Utility-Gas, Natural Gas - 0.12%
1,000 Consolidated Natural Gas Co. 57,685
-----------
Utility-Telephone - 0.70%
600 Ameritech Corp. 29,663
300 Bell Atlantic Corp. 30,750
600 BellSouth Corp. 40,538
1,000 Frontier Corp. 32,563
2,100 GTE Corp. 125,736
400 Lucent Technologies, Inc. 51,150
800 SBC Communications, Inc. 34,900
-----------
345,300
-----------
Total Common Stocks (Cost $6,608,496) 6,927,185
-----------
Principal
Amount
- ---------
CORPORATE DEBT NON-CONVERTIBLE - 9.88%
Financial Services - 4.39%
$ 110,000 American Express Master Trust, 5.375%,
7/15/01 108,689
90,000 BankBoston Corp., 6.38%, 8/11/00 90,758
138,000 Bayerische Landesbank, 6.17%, 2/01/06 137,755
120,000 Chrysler Financial Corp., 6.11%, 7/28/99 120,370
90,000 CP Limited Partnership, 6.92%, 12/10/04 90,126
250,000 Ford Motor Credit Co., 6.25%, 11/8/00 251,628
200,000 IBM Credit Corp, 5.875%, 8/25/99 200,386
25,000 International Bank Reconstruction &
Development, 8.875%, 3/01/26 33,560
120,000 KFW International Finance, 8.20%, 6/01/06 136,050
125,000 Lehman Brothers Holdings-Ser. E, 6.30%,
8/11/99 125,429
150,000 Meditrust, 7.114%, 8/15/04 (d) 149,302
225,000 Paine Webber Group, Inc., 9.25%, 12/15/01 245,690
200,000 Society National Bank, 7.85%, 11/01/02 213,397
200,000 Vesta Capital Trust I, 8.525%, 1/15/27 (d) 221,599
50,000 Wharf International Finance Ltd., 7.625%,
3/13/07 44,262
-----------
2,169,001
-----------
Foreign Industrial - 0.16%
17,000 Celulosa Arauco Constitu, 6.75%, 12/15/03 16,692
65,000 Celulosa Arauco Constitu, 6.95%,
9/15/05 63,561
-----------
80,253
-----------
See Notes to Financial Statements on Pages 29 through 32
24
<PAGE>
Asset Management Portfolio III
Statement of Net Assets March 31, 1998
Principal
Amount Description Value
- --------- ----------- -----
Industrial - 5.06%
$ 65,000 Allied Waste North America, 10.25%, 12/01/06 $ 72,638
70,000 Avalon Properties, Inc., 6.875%, 12/15/07 70,059
165,000 Columbus Southern Power, 6.51%, 2/01/08 164,472
20,000 Conmed Corp., 9.00%, 3/15/08 (d) 20,400
180,000 Consolidated Edison, 6.45%, 12/01/07 181,434
65,000 Dillard Department Stores, 7.15%, 2/01/07 68,607
100,000 Dime Capital Trust, 9.33%, 5/06/27 113,047
80,000 Empress River Casino Finance, 10.75%,
4/01/02 87,200
120,000 Federated Department Stores, Inc., 7.00%,
2/15/28 119,061
45,000 Federated Department Stores, Inc., 8.50%,
6/15/03 49,195
115,000 First Industrial LP, 7.00%, 12/01/06 116,149
145,000 Laidlaw, Inc., 6.65%, 10/01/04 146,381
130,000 Loewen Group International, Inc.-Ser. 4, 8.25%,
10/15/03 138,261
100,000 Marriott International, Series C, 7.125%,
6/1/07 104,331
65,000 Marriott International, Series A, 6.75%,
12/15/03 66,223
30,000 Marriott International, Series B, 7.875%,
4/15/05 32,479
200,000 Merck & Co., 5.76%, 5/03/37 205,479
60,000 Mutual Life Insurance Co., 0.00%,
8/15/24 (c) (d) 78,000
160,000 News America, Inc., 6.625%, 1/09/08 (d) 157,424
60,000 Revlon Consumer Products, 8.625%,
2/01/08 (d) 60,900
60,000 Standard Credit Card MasterTrust, 6.55%,
10/07/05 61,266
80,000 Tenet Healthcare Corp., 8.625%, 12/01/03 85,204
140,000 Tenet Healthcare Corp., 9.625%, 9/01/02 151,900
145,000 Texas Instruments, Inc., 6.75%, 7/15/99 146,545
-----------
2,496,655
-----------
Utility - 0.27%
50,000 Idaho Power Co., 8.00%, 3/15/04 54,297
75,000 Potomac Edison Co., 8.00%, 6/01/24 80,455
-----------
134,752
-----------
Total Corporate Debt Non-Convertible (Cost $4,785,248) 4,880,661
-----------
FOREIGN DEBT - .60%
45,000 Guangdong International, 8.75%,
10/24/16 (d) 41,303
80,000 National Australia Bank, 6.60%, 12/10/07 80,325
60,000 New Zealand Government, 8.75%, 12/15/06 70,292
80,000 New Zealand Government, 10.625%, 11/15/05 101,952
-----------
Total Foreign Debt (Cost $289,868) 293,872
-----------
U.S GOVERNMENT AND AGENCIES - 6.55%
400,000 FNMA TBA, 6.00%, 4/01/98 394,250
700,000 FNMA TBA, 6.50%, 4/01/23 693,000
600,000 FNMA TBA, 7.00%, 9/01/21 606,563
400,000 FNMA TBA, 7.50%, 9/01/21 410,375
150,000 FNMA, 5.75%, 2/15/08 148,330
180,000 FNMA, 8.625%, 11/10/04 185,128
80,000 FNMA, Global Bond, 6.35%, 11/23/01 80,337
700,000 GNMA TBA, 7.50%, 9/01/21 718,594
-----------
Total U.S Government and Agencies (Cost $3,230,804) 3,236,577
-----------
Shares/
Principal
Amount Description Value
- --------- ----------- -----
U.S. TREASURY SECURITIES - 9.86%
$ 170,000 U.S. Treasury Bond, 7.625%, 11/15/22 $ 204,638
260,000 U.S. Treasury Bond, 8.125%, 8/15/19 325,365
295,000 U.S. Treasury Note, 7.00%, 7/15/06 318,692
1,160,000 U.S. Treasury Note, 5.375%, 2/15/01 1,153,291
670,000 U.S. Treasury Note, 5.50%, 2/15/08 661,937
420,000 U.S. Treasury Note, 5.875%, 8/31/99 421,573
60,000 U.S. Treasury Note, 5.75%, 9/30/99 60,141
170,000 U.S. Treasury Note, 5.875%, 11/30/01 171,169
620,000 U.S. Treasury Note, 6.125%, 11/15/27 635,888
50,000 U.S. Treasury Note, 6.25%, 8/31/02 51,101
830,000 U.S. Treasury Note, 6.625%, 3/31/02 857,753
10,000 U.S. Treasury Note, 7.25%, 8/15/04 10,819
-----------
Total U.S. Treasury Securities (Cost $4,886,586) 4,872,367
-----------
SHORT TERM INSTRUMENTS - 61.48%
Mutual Fund - 16.98%
8,390,106 BT Institutional Cash Management Fund 8,390,106
-----------
Repurchase Agreement - 6.16%
3,042,193 Open Repurchase Agreement with 3,042,193
Goldman Sachs, dated 3/31/98, 5.85%, -----------
principal and interest in the amount of
$3,042,687, due 4/01/98 (collateralized by
U.S. Treasury Notes, par value of $2,160,000,
coupon rate of 13.75%, due 8/15/04,
value of $3,113,424)
U.S. Government and Agency - 38.34% (b)
3,000,000 U.S. Treasury Bill, 5.07%, 8/20/98 2,940,075
530,000 U.S. Treasury Bill, 5.15%, 4/30/98 527,788
3,000,000 U.S. Treasury Bill, 5.25%, 4/02/98 2,999,581
2,500,000 U.S. Treasury Bill, 5.26%, 4/23/98 2,491,964
10,000,000 U.S. Treasury Bill, 5.35%, 4/16/98 9,977,708
-----------
18,937,116
-----------
Total Short Term Instruments (Cost $30,370,531) 30,369,415
-----------
Total Investments (Cost $50,171,533) 102.39% 50,580,077
Liabilities in Excess of Other Assets (2.39)% (1,180,917)
------ -----------
Net Assets 100.00% $49,399,160
====== ===========
- ---------
(a) Non-income producing security
(b) Held as collateral for Futures Contracts
(c) Step up bond security. On 8/15/99 this security will begin accruing interest
at the rate of 11.25% from then until maturity.
(d) Security exempt from registration under Rule 144A of the Securities Act of
1933. This security may be resold in transactions exempt from registration,
normally to qualified institutional buyers.
The following abbreviations are used in the portfolio description:
FNMA -- Federal National Mortgage Association
GNMA -- Government National Mortgage Association
TBA -- To be announced
See Notes to Financial Statements on Pages 29 through 32
25
<PAGE>
Asset Management Portfolios
Statements of Operations For the year ended March 31, 1998
<TABLE>
<CAPTION>
Asset Asset Asset
Management Management II Management III
---------- ------------- --------------
<S><C>
Investment Income
Dividends* $ 3,593,003 $ 403,805 $ 92,780
Interest 13,202,469 3,017,100 1,891,616
------------- ------------- --------------
16,795,472 3,420,905 1,984,396
------------- ------------- --------------
Expenses
Advisory Fees 3,056,313 515,908 255,498
Administration and Services Fees 470,202 79,370 39,307
Professional Fees and Other 24,367 19,723 22,063
Trustees Fees 2,200 2,200 2,200
------------- ------------- --------------
Total Expenses 3,553,082 617,201 319,068
Less Expenses Absorbed by Bankers Trust (731,870) (140,978) (83,225)
------------- ------------- --------------
Net Expenses 2,821,212 476,223 235,843
------------- ------------- --------------
Net Investment Income 13,974,260 2,944,682 1,748,553
------------- ------------- --------------
Realized and Unrealized Gain (Loss) on Investments,
Foreign Currency, Forward Foreign Currency Contracts and
Futures Contracts
Net Realized Gain from:
Investments, Forward Foreign Currency Contracts and Foreign
Currency Transactions 70,908,602 9,781,156 2,029,910
Futures Contracts 30,480,665 4,826,194 2,072,353
Net Change in Unrealized Appreciation/Depreciation on:
Investments, Forward Foreign Currency Contracts and
Foreign Currency Transactions 10,992,220 (306,183) 404,830
Futures Contracts 10,911,111 1,338,211 571,644
------------- ------------- --------------
Net Realized and Unrealized Gain on Investments, Foreign Currency
Transactions, Forward Foreign Currency Contracts and
Futures Contracts 123,292,598 15,639,378 5,078,737
------------- ------------- --------------
Net Increase in Net Assets from Operations $ 137,266,858 $ 18,584,060 $ 6,827,290
============= ============= ==============
</TABLE>
- ----------
* Net of foreign withholding tax of $16,738, $2,118 and $443, respectively.
See Notes to Financial Statements on Pages 29 through 32
26
<PAGE>
Asset Management Portfolios
Statements of Changes in Net Assets
<TABLE>
<CAPTION>
Asset Management
--------------------------------------
For the year ended For the year ended
March 31, 1998 March 31, 1997
------------------ ------------------
<S><C>
Increase (Decrease) in Net Assets from:
Operations
Net Investment Income $ 13,974,260 $ 9,037,347
Net Realized Gain from Investments, Foreign Currency Transactions,
Forward Foreign Currency Contracts and Futures Contracts 101,389,267 29,068,603
Net Change in Unrealized Appreciation/Depreciation on Investments, Foreign
Currency Transactions, Forward Foreign Currency Contracts and Futures Contracts 21,903,331 (1,730,893)
-------------- ---------------
Net Increase in Net Assets from Operations 137,266,858 36,375,057
-------------- ---------------
Capital Transactions
Proceeds from Capital Invested 305,009,400 166,792,562
Value of Capital Withdrawn (141,442,529) (94,771,334)
-------------- ---------------
Net Increase in Net Assets from Capital Transactions 163,566,871 72,021,228
-------------- ---------------
Total Increase in Net Assets 300,833,729 108,396,285
Net Assets
Beginning of Period 348,538,693 240,142,408
-------------- ---------------
End of Period $ 649,372,422 $ 348,538,693
============== ===============
<CAPTION>
Asset Management II
--------------------------------------
For the year ended For the year ended
March 31, 1998 March 31, 1997
------------------ ------------------
<S><C>
Increase (Decrease) in Net Assets from:
Operations
Net Investment Income $ 2,944,682 $ 2,215,078
Net Realized Gain from Investments, Foreign Currency Transactions and
Futures Contracts 14,607,350 4,207,235
Net Change in Unrealized Appreciation/Depreciation on Investments, Foreign
Currency Transactions, Forward Foreign Currency Contracts and Futures Contracts 1,032,028 (257,947)
-------------- ---------------
Net Increase in Net Assets from Operations 18,584,060 6,164,366
-------------- ---------------
Capital Transactions
Proceeds from Capital Invested 34,992,651 15,936,234
Value of Capital Withdrawn (20,281,108) (11,724,221)
-------------- ---------------
Net Increase in Net Assets from Capital Transactions 14,711,543 4,212,013
-------------- ---------------
Total Increase in Net Assets 33,295,603 10,376,379
Net Assets
Beginning of Period 61,775,927 51,399,548
-------------- ---------------
End of Period $ 95,071,530 $ 61,775,927
============== ===============
<CAPTION>
Asset Management III
--------------------------------------
For the year ended For the year ended
March 31, 1998 March 31, 1997
------------------ ------------------
<S><C>
Increase (Decrease) in Net Assets from:
Operations
Net Investment Income $ 1,748,553 $ 1,435,870
Net Realized Gain from Investments, Foreign Currency Transactions, Forward
Foreign Currency Contracts and Futures Contracts 4,102,263 1,896,802
Net Change in Unrealized Appreciation/Depreciation on Investments, Foreign
Currency Transactions, Forward Foreign Currency Contracts and Futures Contracts 976,474 (778,720)
-------------- ---------------
Net Increase in Net Assets from Operations 6,827,290 2,553,952
-------------- ---------------
Capital Transactions
Proceeds from Capital Invested 22,821,438 7,831,235
Value of Capital Withdrawn (12,791,104) (6,712,316)
-------------- ---------------
Net Increase in Net Assets from Capital Transactions 10,030,334 1,118,919
-------------- ---------------
Total Increase in Net Assets 16,857,624 3,672,871
Net Assets
Beginning of Period 32,541,536 28,868,665
-------------- ---------------
End of Period $ 49,399,160 $ 32,541,536
============== ===============
</TABLE>
See Notes to Financial Statements on Pages 29 through 32
27
<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
For the years ended September 16, 1993
March 31, (Commencement
------------------------------------ of Operations) to
1998 1997 1996 1995 March 31, 1994
---- ---- ---- ---- ------------------
<S><C>
Supplemental Data and Ratios:
Net Assets, End of Period (000s omitted) $ 649,372 $348,539 $ 240,142 $ 96,529 $36,283
Ratios to Average Net Assets:
Net Investment Income 2.97% 3.12% 3.99% 3.78% 2.83%*
Expenses 0.60% 0.60% 0.60% 0.60% 0.60%*
Decrease Reflected in Above Expense Ratio Due
to Absorption of Expenses by Bankers Trust 0.16% 0.16% 0.17% 0.19% 0.33%*
Portfolio Turnover Rate 199% 137% 154% 92% 56%
Average Commissions Paid per Share** $ 0.0307 $ 0.0466
<CAPTION>
Asset Management Portfolio II
--------------------------------------------------------
For the period
For the years ended October 14, 1993
March 31, (Commencement
------------------------------------ of Operations) to
1998 1997 1996 1995 March 31, 1994
---- ---- ---- ---- -----------------
<S><C>
Supplemental Data and Ratios:
Net Assets, End of Period (000s omitted) $ 95,072 $ 61,776 $ 51,400 $ 25,604 $19,175
Ratios to Average Net Assets:
Net Investment Income 3.71% 3.87% 4.55% 4.41% 3.17%*
Expenses 0.60% 0.60% 0.60% 0.60% 0.60%*
Decrease Reflected in Above Expense Ratio Due
to Absorption of Expenses by Bankers Trust 0.18% 0.20% 0.20% 0.27% 0.48%*
Portfolio Turnover Rate 275% 209% 208% 105% 79%
Average Commissions Paid per Share** $ 0.0301 $ 0.0476
<CAPTION>
Asset Management Portfolio III
--------------------------------------------------------
For the period
For the years ended October 15, 1993
March 31, (Commencement
------------------------------------ of Operations) to
1998 1997 1996 1995 March 31, 1994
---- ---- ---- ---- -----------------
<S><C>
Supplemental Data and Ratios:
Net Assets, End of Period (000s omitted) $ 49,399 $ 32,542 $ 28,869 $ 21,202 $17,586
Ratios to Average Net Assets:
Net Investment Income 4.45% 4.64% 5.04% 4.87% 3.51%*
Expenses 0.60% 0.60% 0.60% 0.60% 0.60%*
Decrease Reflected in Above Expense Ratio Due
to Absorption of Expenses by Bankers Trust 0.21% 0.23% 0.22% 0.30% 0.49%*
Portfolio Turnover Rate 389% 307% 221% 111% 84%
Average Commissions Paid per Share** $ 0.0298 $ 0.0419
</TABLE>
- --------------
* Annualized
** For fiscal years beginning on or after September 1, 1995, the portfolio is
required to disclose its average commission rate per share for security
trades on which commissions are charged.
See Notes to Financial Statements on Pages 29 through 32
28
<PAGE>
Asset Management Portfolios
Notes to Financial Statements
Note 1--Organization and Significant Accounting Policies
A. Organization
The Asset Management Portfolio, Asset Management Portfolio IIand 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. Expenses are recorded as incurred. 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
Operations 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, and marked-to-market daily to reflect the current market value. When
a purchased option expires, the Portfolio will realize a loss in the amount of
the cost of the option. When the Portfolio enters into a closing sale
transaction, the Portfolio will realize a gain or loss depending on whether the
sale proceeds from the closing sale transaction are greater or less than the
cost of the option. When the Portfolio exercises a put option, it realizes a
gain or loss from the sale of the underlying security and the proceeds from such
sale will be decreased by the premium originally paid. When the Portfolio
exercises a call option, the cost of the security which the Portfolio purchases
upon exercise will be increased by the premium originally paid.
H. Futures Contracts
Each Portfolio 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.
29
<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. Actual results could
differ from those estimates.
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 .10% of the Portfolios' average
daily net assets. At March 31, 1998, amounts owed under the Administration and
Services Agreement amounted to $42,467, $6,098, and $3,044, net of waived
expenses of $10,994, $1,878, and $1,100 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 Portfolios pay Bankers Trust an advisory fee
computed daily and paid monthly at an annual rate of .65% of each Portfolios'
average daily net assets. At March 31, 1998, amounts owed under the advisory
agreement amounted to $276,035, $39,639, $19,788, net of waived expenses of
$71,470, $12,209, and $7,151 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 the
average daily net assets of each Portfolio. For the year ended March 31, 1998,
expenses of the Asset Management Portfolio, the Asset Management Portfolio II
and Asset Management Portfolio Ill have been reduced by $731,870, $140,978 and
$83,225, respectively.
On September 30, 1996, the Trust entered into a Distribution Agreement with
Edgewood Services, Inc. ("Edgewood").
Certain officers of the Portfolios are also directors, officers and/or employees
of Edgewood. None of the officers so affiliated received compensation for
services as officers of the Portfolios.
The Trust may invest in the BT Institutional Cash Management Fund ("the Fund"),
an open-end management investment company managed by Bankers Trust Company ("the
Company"). The Fund is offered as a cash management option to the Trust and
other accounts managed by the Company. At March 31, 1998, the Asset Management,
Asset Management II, and Asset Management IIIPortfolios had interest income
receivable from the Fund in the amounts of $153,566, $75,360, and $35,283,
respectively. Additionally, distributions from the Fund to the Trust as of March
31, 1998 are included in interest income and summarized as follows:
$1,449,948 Asset Management
$ 664,492 Asset Management II
$ 325,132 Asset Management III
The Portfolios are participants with other affiliated entities in a revolving
credit facility ("the revolver") and a discretionary demand line of credit
facility collectively ("the credit facilities") in the amounts of $50,000,000
and $100,000,000, respectively. A commitment fee of .07% per annum on the
average daily amount of the available commitment is payable on a calendar
quarter basis, and apportioned equally amongst all participants. Amounts
borrowed under the credit facilities will bear interest at a rate per annum
equal to the Federal Funds Rate plus .45%. No amounts were drawn down or
outstanding under the credit facilities as of and for the year ended March 31,
1998.
Note 3--Purchases and Sales of Investment Securities
At March 31, 1998 amounts owed for securities purchased were $16,499,398,
$4,466,015, and $2,896,927 for the Asset Management, Asset Management II, and
Asset Management III, Portfolios, respectively. The aggregate cost of purchases
and proceeds from sales of investments, other than short-term obligations, for
the year ended March 31, 1998, were as follows:
Portfolio Purchases Sales
- --------- --------- -----
Asset Management $571,095,543 $573,551,175
Asset Management II 116,870,191 117,104,205
Asset Management III 75,041,214 76,241,238
For federal income tax purposes, the tax basis of investments held at March 31,
1998, were as follows:
Portfolio Cost-Tax Basis
- --------- --------------
Asset Management $626,283,095
Asset Management II 95,192,969
Asset Management III 50,265,559
The aggregate gross unrealized appreciation and depreciation for all investments
as of March 31, 1998, were as follows:
Portfolio Appreciation Depreciation
- --------- ------------ ------------
Asset Management $21,268,479 $1,201,856
Asset Management II 1,313,905 322,006
Asset Management III 398,907 84,389
30
<PAGE>
Asset Management Portfolios
Notes to Financial Statements
Note 4--Futures Contracts
A summary of obligations under these financial instruments at March 31, 1998 is
as follows:
<TABLE>
<CAPTION>
Asset Management Portfolio
--------------------------
Unrealized
Appreciation
Type of Futures Expiration Contracts Position Market Value (Depreciation)
- --------------- ---------- --------- -------- ------------ --------------
<S><C>
S&P 500 June 1998 442 Long $ 122,710,250 $ 5,881,390
S&P 500 September 1998 100 Short 28,060,000 (1,008,100)
CAC 40 Year Futures June 1998 256 Long 31,841,228 2,936,943
US Treasury Futures June 1998 805 Long 90,461,875 (567,322)
US Long Bond 20 Year June 1998 100 Short 12,025,000 (31,850)
US Long Bond 20 Year September 1998 100 Long 11,996,875 32,993
Dax Index Future June 1998 90 Long 24,898,644 1,137,132
Japanese Bond Futures June 1998 30 Long 29,325,324 146,152
FTSE 100 Index June 1998 55 Long 1,960,191 76,045
- --------------- ----- ------------- --------------
Total 1,978 $ 353,279,387 $ 8,603,383
===== ============= ==============
<CAPTION>
Asset Management II Portfolio
-----------------------------
Unrealized
Appreciation
Type of Futures Expiration Contracts Position Market Value (Depreciation)
- --------------- ---------- --------- -------- ------------ --------------
<S><C>
S&P 500 June 1998 126 Long $ 34,980,750 $ 1,360,547
S&P 500 September 1998 100 Short 28,060,000 (1,008,100)
CAC 40 Year Futures June 1998 40 Long 4,975,192 458,890
US Treasury Futures June 1998 171 Long 19,216,125 (172,893)
US Long Bond 20 Year September 1998 100 Long 11,996,875 32,994
US Long Bond 20 Year June 1998 100 Short 12,025,000 (31,850)
Dax Index Future June 1998 17 Long 4,703,077 214,791
Japanese Bond Futures June 1998 5 Long 4,887,554 24,478
- --------------- ----- ------------- --------------
Total 659 $ 120,844,573 $ 878,857
===== ============= ==============
<CAPTION>
Asset Management III Portfolio
------------------------------
Unrealized
Appreciation
Type of Futures Expiration Contracts Position Market Value (Depreciation)
- --------------- ---------- --------- -------- ------------ --------------
<S><C>
S&P 500 June 1998 430 Long $ 119,378,750 $ 2,504,031
S&P 500 September 1998 420 Short 117,852,000 (2,439,020)
CAC 40 Year Futures June 1998 20 Long 2,487,596 229,446
US Treasury Futures June 1998 93 Long 10,450,875 (77,604)
US Long Bond 20 Year September 1998 100 Long 11,996,875 32,994
US Long Bond 20 Year June 1998 100 Short 12,025,000 (31,850)
Dax Index Future June 1998 9 Long 2,489,864 113,714
Japanese Bond Futures June 1998 2 Long 1,955,022 9,771
- --------------- ----- ------------- --------------
Total 1,174 $ 278,635,982 $ 341,482
===== ============= ==============
</TABLE>
At March 31, 1998, the Portfolios have segregated sufficient securities to cover
margin requirements on open futures contracts.
31
<PAGE>
Asset Management Portfolios
Notes to Financial Statements
Note 5--Open Forward Foreign Currency Contracts
A summary of obligations under these financial instruments at March 31, 1998 is
as follows:
<TABLE>
<CAPTION>
Asset Management Portfolio
-------------------------- Net Unrealized
Appreciation
Contracts to Deliver In Exchange For Settlement Date Value (US$) (Depreciation)(US$)
- -------------------------------------------------------------------------------------------------------------------
Purchases
- -------------------------------------------------------------------------------------------------------------------
<S><C>
German Deutschemark 13,515,000 U.S. Dollars $ 7,489,609 4/6/98 $ 7,313,312 $ (176,297)
French Franc 174,571,000 U.S. Dollars 28,853,995 4/6/98 28,206,657 (647,338)
British Pound 3,249,000 U.S. Dollars 5,357,601 4/6/98 5,428,104 70,503
Japanese Yen 1,394,485,000 U.S. Dollars 11,124,731 4/6/98 10,471,465 (653,266)
- -------------------------------------------------------------------------------------------------------------------
Total Net Unrealized Depreciation $ (1,406,398)
- -------------------------------------------------------------------------------------------------------------------
<CAPTION>
Asset Management II Portfolio
----------------------------- Net Unrealized
Appreciation
Contracts to Deliver In Exchange For Settlement Date Value (US$) (Depreciation)(US$)
- -------------------------------------------------------------------------------------------------------------------
Purchases
- -------------------------------------------------------------------------------------------------------------------
<S><C>
German Deutschemark 322,000 U.S. Dollars $ 178,443 4/6/98 $ 174,242 $ (4,201)
French Franc 27,026,000 U.S. Dollars 4,466,996 4/6/98 4,366,780 (100,216)
Japanese Yen 440,716,000 U.S. Dollars 3,515,884 4/6/98 3,309,424 (206,460)
- -------------------------------------------------------------------------------------------------------------------
Total Net Unrealized Depreciation $ (310,877)
- -------------------------------------------------------------------------------------------------------------------
<CAPTION>
Asset Management III Portfolio
------------------------------ Net Unrealized
Appreciation
Contracts to Deliver In Exchange For Settlement Date Value (US$) (Depreciation)(US$)
- -------------------------------------------------------------------------------------------------------------------
Purchases
- -------------------------------------------------------------------------------------------------------------------
<S><C>
German Deutschemark 814,000 U.S. Dollars $ 451,094 4/6/98 $ 440,476 $ (10,618)
French Franc 13,804,000 U.S. Dollars 2,281,596 4/6/98 2,230,409 (51,187)
Japanese Yen 188,537,000 U.S. Dollars 1,504,085 4/6/98 1,415,762 (88,323)
- -------------------------------------------------------------------------------------------------------------------
Total Net Unrealized Depreciation $ (150,128)
- -------------------------------------------------------------------------------------------------------------------
</TABLE>
Note 6--Net Assets
At March 31, 1998 net assets consisted of:
<TABLE>
<CAPTION>
Asset Management Asset Management II Asset Management III
---------------- ------------------- --------------------
<S><C>
Paid-in Capital $620,026,522 $93,226,097 $48,826,443
Net Unrealized Appreciation on Investments,
Futures, Foreign Currency Transactions and
Forward Foreign Currency Contracts 29,345,900 1,845,433 572,717
------------ ----------- -----------
$649,372,422 $95,071,530 $49,399,160
------------ ----------- -----------
</TABLE>
32
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 statements of net assets of the Asset
Management Portfolio, Asset Management Portfolio II and Asset Management
Portfolio III (the "Portfolios") as of March 31, 1998, and the related
statements of operations for the year then ended, the statements of changes in
net assets for each of the two years in the period then ended, and the financial
highlights for each of the four 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, 1998, 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, 1998, 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 11, 1998
33
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34
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35
<PAGE>
BT INVESTMENT FUNDS
LIFECYCLE LONG RANGE FUND
LIFECYCLE MID RANGE FUND
LIFECYCLE SHORT RANGE FUND
Investment Advisor and Administrator of the Portfolio
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. This must be preceded or
accompanied by a current prospectus for the Funds.
-------------------------------
COMBLIFE 200 (5/98)
