o BT INVESTMENT FUNDS o
LIFECYCLE LONG RANGE FUND
LIFECYCLE MID RANGE FUND
LIFECYCLE SHORT RANGE FUND
SEMI-ANNUAL REPORT
------------------
SEPTEMBER o 1998
<PAGE>
BT Investment Funds
Table of Contents
Letter to Shareholders 3
BT Investment Funds
Statements of Assets and Liabilities 9
Statements of Operations 10
Statements of Changes in Net Assets 11
Financial Highlights 13
Notes to Financial Statements 16
Asset Management Portfolios
Schedule of Portfolio Investments 18
Statements of Assets and Liabilities 27
Statements of Operations 28
Statements of Changes in Net Assets 29
Financial Highlights 30
Notes to Financial Statements 31
---------------
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 semi-annual report for the BT Investment
Lifecycle Long Range, Mid Range, and Short Range Funds (the "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.
MARKET ACTIVITY
U.S. Markets
Interest rates fell over the Funds' semi-annual period, declining for several
reasons:
o The U.S. government generated a $70 billion budget surplus, eliminating the
deficit for the first time in almost 30 years.
o The crisis in Asian equity markets led to concerns about whether U.S. economic
growth would slow, whether inflation would stay benign, and whether
deflationary forces would be felt.
o Based on well-publicized financial troubles in key countries, such as Russia
and Japan, global economies seemed more interwoven than ever--and more
uncertain than ever.
o Anticipation was high that the Federal Reserve Board would have to ease its
official monetary policy.
In fact, the Federal Reserve Board did lower the fed funds rate by 25 basis
points on September 29th, bringing it to 5.25%.
Global economic turmoil created a flight to quality that supported a U.S. bond
market rally, but also generated significant volatility within the equity
markets.
o The low inflation trend has been exceptionally supportive of lower bond yields
in the U.S. for the past two years, aided by declining commodity prices, modest
wage growth, strong productivity gains, and a vigilant central bank.
o Equity investors tended to turn their focus away from smaller, growth-oriented
stocks and toward large cap names and more value-oriented stocks.
U.S. Equities
Equities in general were on a roller coaster, as concerns roiling the markets
during the previous six months only heightened during this semi-annual period.
o Large cap stocks, even with a -6.97% return from the S&P 500 Index for the six
months, led the U.S. equity market, as investor sentiment kept an overwhelming
premium on the liquidity and perceived safety of blue-chip, growth-oriented
industry leaders. Midcap stocks, as measured by the S&P 400 MidCap Index,
returned -16.09%, and small cap stocks, as measured by the Russell 2000 Index,
were impacted the most, suffering a -23.87% return.
o Following a robust rally in the preceding quarter, renewed fears of a Federal
Reserve Board interest rate increase drove the market lower during the second
calendar quarter.
o The volatility of the third calendar quarter was highlighted by several
factors:
- Russia's financial collapse and fresh concerns of contagion to Latin America
from Asia's ongoing financial crisis were added to investors' list of
troublesome events.
- There was renewed focus on slowing growth in U.S. corporate earnings and in
the overall economy, as widely reported problems in high technology and
basic industries spread to major global consumer companies, such as Coca
Cola and Gillette.
- News of major U.S. and European financial institutions' direct exposure to
emerging markets and their secondary exposure to hedge funds that
aggressively place leverage bets abroad began to spread.
In all, investor sentiment, punctuated by fear and uncertainty, kept larger caps
in the lead through July. In August, the larger caps finally succumbed to the
negative sentiment, bringing all of the market sectors down with them. This
ultimately set the market up for a short-term relief rally in September.
U.S. Bonds
The U.S. bond market rallied during the semi-annual period, continuing the
bullish trend in place since early 1997 and trading up even further as investors
sought a haven of safety from the worldwide economic uncertainty. Overall, the
yield curve flattened.
o U.S. Treasuries were the primary beneficiaries of the high-volume flight to
quality, benefiting from both foreign investors and domestic equity investors
seeking relative stability. Municipal bonds rallied as well, though not quite
to the same extent.
o Yield spreads on corporate and asset-backed securities continued to widen with
investor concerns about the negative domestic credit implications of the
financial crisis in foreign markets.
o The mortgage-backed sector also lagged duration-matched Treasuries, as the
expectation of high prepayments was renewed.
International Markets
Most of the world's developed equity markets enjoyed a record-setting pace
through mid-July, but emerging market uncertainties spoiled this trend for the
remainder of the third calendar quarter. Market watchers initially viewed the
sell-off as an over-reaction to localized events, but in time it became
increasingly apparent that the G7 nations would not be immune to such contagion.
Although no single event led to the massive correction experienced this summer,
several bonfires contributed in a significant way. These included:
o Russian political, financial and economic turmoil
o Japanese indecisiveness regarding methods for stimulating its economy and
dealing with bankrupt financial institutions
o global bank exposure to foundering hedge funds
o weaker U.S. corporate earnings amidst high price/earnings multiples
o moves toward impeachment proceedings against President Clinton
o potential for foreign loan defaults in Brazil and the potential devaluation of
its currency, the real, and
o election jitters in Germany.
Furthermore, world markets were disappointed that the U.S. Federal Reserve Board
reduced its key discount rate by only 0.25% at the end of September. Although
the Fed's behavior in recent years has been to move in such increments, market
pundits had expected a half percent move in recognition of the rapidly weakening
economic outlook both at home and abroad.
International bond markets were also impacted by most of the same factors
mentioned above, punctuated toward the end of the period by Russia defaulting on
its domestic debt only weeks after entering into a new International Monetary
Fund (IMF)-assisted bailout.
Cash
The U.S. dollar had been rather irrepressible for most of the semi-annual
period, standing strong versus most currencies, including the Japanese yen, the
German mark, and the British pound. Toward the end of the third calendar
quarter, even the U.S. dollar temporarily joined the ranks of dramatically
plunging assets, adding further confusion to the already volatile financial
markets. In part, recent softBT Investment Funds Letter to Shareholdersness in
the "greenback" may reflect the growing realization that the
3
<PAGE>
BT Investment Funds
Letter to Shareholders
U.S. will ultimately be the effective guardian of the world's financial system
by heading up bailout efforts of emerging economies and leading the way on
interest rate cuts.
INVESTMENT REVIEW
The Funds each outperformed its Lipper category average for the semi-annual
period ended September 30, 1998. The Lifecycle Short Range and Lifecycle Mid
Range Funds also outperformed their benchmarks, and the Lifecycle Long Range,
underperformed its benchmark by just 0.35%.
Given the financial markets' volatility in a very difficult environment, the
Funds remained relatively close to their benchmark weightings in U.S. stocks and
either neutral or overweight in the rallying U.S. bond sector. The U.S. equity
portion of the Funds' portfolios did not match S&P 500 Index performance in the
semi-annual period, nor did the fixed income portion of the Funds' portfolios
match the Salomon Broad Investment Grade (BIG) Index# in the six month period.
While our decision to invest in international securities in general also
detracted from relative performance, superior country selection added value
enough to offset the negative impact. This, along with our decision to
overweight international bonds late in the third calendar quarter helped
performance sufficiently to bring each Fund either above or close to matching
its benchmark. Individual security selection in all asset classes also remained
strong.
o The Lifecycle Long Range Fund's asset weightings were 48% in U.S.
equities, 32% in U.S. bonds, 9% in international bonds, 4% in international
equities, and 7% in cash and other short-term instruments as of September 30,
1998.
o The Lifecycle Mid Range Fund's asset weightings were 33% in U.S. equities,
47% in U.S. bonds, 10% in international bonds, 4% in international equities,
and 6% in cash and other short-term instruments as of September 30, 1998.
o The Lifecycle Short Range Fund's asset weightings were 12% in U.S.
equities, 51% in U.S. bonds, 9% in international bonds, 3% in international
equities, and 25% in cash and other short-term instruments as of September
30, 1998.
MANAGER OUTLOOK
Despite the unsettled state of the financial markets and widespread global
problems, we still expect respectable growth in both Western Europe and North
America next year--about 2% or a bit more. In the U.S., this moderate growth
scenario is actually ideal from the Federal Reserve Board's point of view, given
the super-heated labor market. If the weaker tone in the U.S. currency
continues, growth prospects would be boosted in the U.S.
Concerns over credit quality will undoubtedly continue to weigh heavily on
investment decisions. In this context, the desire for liquidity and perceived
safety will probably keep short-term rates on government securities low relative
to the stance of monetary policy. While we see the Fed and other major central
banks alert to the possible need for easier policy, we expect further moves on
official interest rates, but incremental and modest ones through year end. High
quality government bonds likely will remain in demand, while lower-rated
borrowers will probably have to continue to pay significant risk premia. More
stringent borrowing requirements will, in turn, tend to slow economy activity
and to pinch profits. In the U.S., equities already have had to contend with a
squeeze on corporate profit mar-
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------
Periods ended September 30, 1998 Cumulative Total Returns Average Annual Total Returns
- --------------------------------------------------------------------------------------------------------------
Past 6 Past 1 Past 3 Since Past 1 Past 3 Since
months year years inception year years inception
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
BT Investment Lifecycle Long Range Fund* -1.42% 10.83% 61.09% 84.92% 10.82% 17.23% 13.45%
(inception 11/16/93)
Asset Allocation Index--Long Range** -1.07% 10.10% 56.60% 91.92% 10.10% 16.13% 14.44%
Lipper Flexible Portfolio Average*** -6.79% 2.20% 43.89% 74.82% 2.20% 12.76% 12.02%
- --------------------------------------------------------------------------------------------------------------
BT Investment Lifecycle Mid Range Fund* 1.46% 11.42% 50.20% 63.36% 11.42% 14.52% 10.40%
(inception 10/14/93)
Asset Allocation Index--Mid Range** 1.24% 9.90% 44.24% 69.12% 9.90% 12.99% 11.28%
Lipper Flexible Portfolio Average*** -6.79% 2.20% 43.89% 72.47% 2.20% 12.76% 11.50%
- --------------------------------------------------------------------------------------------------------------
BT Investment Lifecycle Short Range Fund* 4.35% 11.61% 38.92% 47.75% 11.61% 11.58% 8.19%
(inception 10/15/93)
Asset Allocation Index--Short Range** 3.48% 9.53% 32.47% 49.66% 9.53% 9.83% 8.55%
Lipper Income Average*** -4.17% 2.92% 38.74% 63.93% 2.92% 11.46% 10.47%
</TABLE>
- ----------
* Performance quoted represents past performance. Investment return and
principal value will fluctuate, so that an investor's shares, when redeemed,
may be worth more or less than their original cost.
** The Asset Allocation index is comprised of the following indices:S&P 500,
Salomon Broad Investment Grade Bond, T-Bill 3-month. Indices 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.
4
<PAGE>
BT Investment Funds
Letter to Shareholders
gins borne of accelerating labor costs. The profit picture is likely to worsen
as economic growth slows somewhat in 1999.
Internationally, we believe the unprecedented volatility of not only emerging
markets but their mature counterparts as well points to a need to pare risk and
to revisit the fundamental facts that can contribute to outperformance. We
continue to believe that economic and monetary union will be a driver for
European strength; Japan is unlikely to effect a long-lasting resolution to its
economic quagmire; and caution is still the word for emerging markets, including
Asia ex-Japan, particularly in the global credit crunch scenario.
Although we expect future periods of volatility in the markets while global
economic events run their course, there have been several developments in the
last few weeks that indicate an improving investment outlook. These include
easing of monetary policy yet again by the U.S. Federal Reserve Board, some
progress on Japanese bank reform, and a slight reversal of the recent credit
crunch.
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 Lifecycle Funds and look
forward to continuing to serve your investment needs in the years ahead.
/s/ Philip Green
________________
Philip Green
Portfolio Manager of the
Lifecycle Funds
September 30, 1998
5
<PAGE>
BT Investment Lifecycle Long Range Fund
Letter to Shareholders
Diversification of Portfolio Investments
By Asset Class as of September 30, 1998
(percentages are based on market value)
[Pie Chart Appears Here - See Plot Points Below]
Stocks 52%
Short Term Instruments 7%
Bonds 41%
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.
Merck & Co., Inc.
General Electric Co.
Cisco Systems, Inc.
Johnson & Johnson
Five Largest Fixed Income Securities
FNMA TBA, 7.50%, 9/01/21
US Treasury Note, 5.625%, 5/15/08
FNMA TBA, 6.50%, 4/01/23
GNMA TBA, 7.50%, 9/01/21
FHLB, 5.125%, 9/15/03
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 September 30, 1998
One year Since 11/16/93*
10.38% 13.45%**
* 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 S&P 500
Long Range Fund Index--Long Range+ Index
----------------------- ------------------ -------
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
Jun-98 18,492 19,192 24,524
Sep-98 18,492 19,192 24,524
Past performance is not indicative of future performance. The S&P 500 Index is
an indicator of general market performance. Indices are 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
6
<PAGE>
BT Investment Lifecycle Mid Range Fund
Letter to Shareholders
Diversification of Portfolio Investments
By Asset Class as of September 30, 1998
(percentages are based on market value)
[Pie Chart Appears Here - See Plot Points Below]
Stocks 37%
Short Term Instruments 6%
Bonds 57%
Five Largest Common Stock Holdings
Pfizer, Inc.
Merck & Co., Inc.
General Electric Co.
Cisco Systems, Inc.
Johnson & Johnson
Five Largest Fixed Income Securities
GNMA TBA, 7.50%, 9/01/21
US Treasury Note, 5.625%, 5/15/08
FNMA,6.50%, 4/01/23
FHLB, 5.125%, 9/15/03
US Treasury Bond, 5.50%, 8/15/28
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.
Objective
Seeks long term capital growth, current income and growth of income consistent
with reasonable investment risk.
Investment Instruments
Primarily common stocks, corporate and government issued intermediate- to
long-term bonds, various government agency issued asset-backed securities, and
all types of domestic and foreign securities and money market instruments.
Performance Comparison
Comparison of Change in
Value of a $10,000 Investment
in the BT Investment
Lifecycle Mid Range Fund,
the Asset Allocation Index-
Mid Range and the S&P 500
Index since October 31, 1993.
- --------------------------------------
Total Return for the Period
Ended September 30, 1998
One year Since 10/14/93*
11.42% 10.40%**
* 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 S&P 500
Mid Range Fund Index--Mid Range+ Index
----------------------- ----------------- -------
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
Jun-98 16,336 16,912 24,290
Sep-98 16,336 16,912 24,290
Past performance is not indicative of future performance. The S&P 500 Index is
an indicator of general market performance. Indices are 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
7
<PAGE>
BT Investment Lifecycle Short Range Fund
Letter to Shareholders
Diversification of Portfolio Investments
By Asset Class as of September 30, 1998
(percentages are based on market value)
[Pie Chart Appears Here - See Plot Points Below]
Stocks 15%
Short Term Instruments 25%
Bonds 60%
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.
Merck & Co., Inc.
General Electric Co.
Cisco Systems, Inc.
BankAmerica Corp.
Five Largest Fixed Income Securities
FNMA,6.50%, 4/01/23
US Treasury Note, 5.625%, 5/15/08
FNMA, 5.625%, 3/15/01
US Treasury Bond, 5.50%, 8/15/28
FNMA TBA, 7.00%, 9/01/21
Objective
Seeks high income over the long term consistent with conservation of capital.
Investment Instruments
Primarily common stocks, corporate and government issued intermediate- to
long-term bonds, various government agency issued asset-backed securities, and
all types of domestic and foreign securities and money market instruments.
Performance Comparison
Comparison of Change in
Value of a $10,000 Investment
in the BT Investment
Lifecycle Short Range Fund,
the Asset Allocation Index-
Short Range and the S&P 500
Index since October 31, 1993.
- -------------------------------------
Total Return for the Period
Ended September 30, 1998
One Year Since 10/15/93*
11.61% 8.19%**
* 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 S&P 500
Short Range Fund Index--Short Range+ Index
----------------------- ------------------- -------
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
Jun-98 14,775 14,966 24,290
Sep-98 14,775 14,966 24,290
Past performance is not indicative of future performance. The S&P 500 Index is
an indicator of general market performance. Indices are 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
8
<PAGE>
BT Investment Funds
Statements of Assets and Liabilities September 30, 1998 (unaudited)
<TABLE>
<CAPTION>
Long Range Mid Range Short Range
------------ ----------- -----------
<S> <C> <C> <C>
Assets
Investment in Portfolio, at Value* $129,637,812 $84,103,016 $57,316,425
Receivable for Shares of Beneficial Interest Subscribed 173,524 211,184 231,415
Prepaid Expenses and Other 8,306 8,499 3,847
------------ ----------- -----------
Total Assets 129,819,642 84,322,699 57,551,687
------------ ----------- -----------
Liabilities
Due to Bankers Trust 41,634 26,143 16,776
Payable for Shares of Beneficial Interest Redeemed 7,308,566 5,489,969 1,571,635
Accrued Expenses and Other 19,537 12,196 12,252
------------ ----------- -----------
Total Liabilities 7,369,737 5,528,308 1,600,663
------------ ----------- -----------
Net Assets $122,449,905 $78,794,391 $55,951,024
============ =========== ===========
Composition of Net Assets
Paid-in Capital $ 96,418,820 $64,419,490 $51,421,379
Undistributed Net Investment Income 268,897 358,663 278,133
Undistributed Net Realized Gain from Investments,
Foreign Currency Transactions, Forward Foreign Currency Contracts
and Futures Contracts 25,026,827 14,949,696 3,794,327
Net Unrealized Appreciation (Depreciation) on:
Investments, Foreign Currency, and Forward Foreign Currency
Contracts 2,484,300 82,873 1,097,368
Futures Contracts (1,748,939) (1,016,331) (640,183)
------------ ----------- -----------
Net Assets $122,449,905 $78,794,391 $55,951,024
============ =========== ===========
Net Asset Value, Offering and Redemption Price Per Share (net assets
divided by shares outstanding) $ 14.16 $ 12.31 $ 11.09
============ =========== ===========
Shares Outstanding ($0.001 par value per share, unlimited number of
shares of beneficial interest authorized) 8,647,771 6,401,970 5,045,994
============ =========== ===========
</TABLE>
- ----------
* Allocated from Asset Management Portfolio, Asset Management Portfolio II
and Asset Management Portfolio III, respectively.
See Notes to Financial Statements on Pages 16 and 17
9
<PAGE>
BT Investment Funds
Statements of Operations For the six month period ended September 30, 1998
(unaudited)
<TABLE>
<CAPTION>
Long Range Mid Range Short Range
<S> <C> <C> <C>
Investment Income
Income, net* $ 2,263,332 $ 1,532,067 $1,126,450
----------- ----------- ----------
Expenses
Administration and Services Fees 484,587 297,408 176,110
Professional Fees 7,566 881 881
Trustees Fees 1,405 1,155 1,451
Miscellaneous 4,614 5,263 4,819
----------- ----------- ----------
Total Expenses 498,172 304,707 183,261
Less Expenses Absorbed by Bankers Trust (199,965) (121,687) (74,885)
----------- ----------- ----------
Net Expenses 298,207 183,020 108,376
----------- ----------- ----------
Net Investment Income 1,965,125 1,349,047 1,018,074
----------- ----------- ----------
Realized and Unrealized Gain (Loss) on Investments, Foreign Currency
Transactions, Forward Foreign Currency Contracts and Futures Contracts
Net Realized Gain (Loss) from:
Investments, Foreign Currency Transactions and Forward Foreign
Currency Contracts 373,473 271,418 251,558
Futures Contracts 2,863,711 2,688,850 1,202,705
Net Change in Unrealized Appreciation/Depreciation on:
Investments, Foreign Currency Transactions and Forward Foreign
Currency Contracts (4,235,695) (1,064,399) 877,585
Futures Contracts (2,752,656) (1,714,490) (993,116)
----------- ----------- ----------
Net Realized and Unrealized Gain (Loss) on Investments, Foreign
Currency Transactions, Forward Foreign Currency Contracts
and Futures Contracts (3,751,167) 181,379 1,338,732
----------- ----------- ----------
Net Increase (Decrease) in Net Assets from Operations $(1,786,042) $ 1,530,426 $2,356,806
=========== =========== ==========
</TABLE>
- ----------
* Allocated from Asset Management Portfolio, Asset Management Portfolio II
and Asset Management Portfolio III, respectively.
See Notes to Financial Statements on Pages 16 and 17
10
<PAGE>
BT Investment Funds
Statements of Changes in Net Assets
<TABLE>
<CAPTION>
Long Range
-------------------------------------
For the For the
six months ended year ended
September 30, 1998+ March 31, 1998
------------------- --------------
<S> <C> <C>
Increase (Decrease) in Net Assets from:
Operations
Net Investment Income $ 1,965,125 $ 2,771,153
Net Realized Gain from Investments, Foreign Currency Transactions, Forward
Foreign Currency Contracts and Futures Contracts 3,237,184 22,301,816
Net Change in Unrealized Appreciation/Depreciation on Investments,
Foreign Currency Transactions, Forward Foreign Currency Contracts and
Futures Contracts (6,988,351) 5,919,462
------------ ------------
Net Increase (Decrease) in Net Assets from Operations (1,786,042) 30,992,431
------------ ------------
Distributions to Shareholders
Net Investment Income (2,000,723) (2,687,805)
Net Realized Gain from Investment Transactions -- (7,578,208)
------------ ------------
Total Distributions (2,000,723) (10,266,013)
------------ ------------
Capital Transactions in Shares of Beneficial Interest
Proceeds from Sales of Shares 50,519,411 50,397,372
Dividend Reinvestments 2,013,222 10,265,694
Cost of Shares Redeemed (65,096,936) (20,879,846)
------------ ------------
Net Increase (Decrease) from Capital Transactions in Shares of Beneficial Interest (12,564,303) 39,783,220
------------ ------------
Total Increase (Decrease) in Net Assets (16,351,068) 60,509,638
Net Assets
Beginning of Period 138,800,973 78,291,335
------------ ------------
End of Period (includes undistributed net investment income of $268,897 and $304,495,
respectively) $122,449,905 $138,800,973
============ ============
</TABLE>
<TABLE>
<CAPTION>
Mid Range
-------------------------------------
For the For the
six months ended year ended
September 30, 1998+ March 31, 1998
------------------- --------------
<S> <C> <C>
Increase (Decrease) in Net Assets from:
Operations
Net Investment Income $ 1,349,047 $ 2,627,618
Net Realized Gain from Investments, Foreign Currency Transactions,
Forward Foreign Currency Contracts and Futures Contracts 2,960,268 14,607,347
Net Change in Unrealized Appreciation/Depreciation on Investments,
Foreign Currency Transactions, Forward Foreign Currency Contracts and
Futures Contracts (2,778,889) 1,032,026
------------ ------------
Net Increase in Net Assets from Operations 1,530,426 18,266,991
------------ ------------
Distributions to Shareholders
Net Investment Income (1,354,685) (2,559,223)
Net Realized Gain from Investment Transactions -- (5,705,614)
------------ ------------
Total Distributions (1,354,685) (8,264,837)
------------ ------------
Capital Transactions in Shares of Beneficial Interest
Proceeds from Sales of Shares 18,634,481 26,695,260
Dividend Reinvestments 1,353,207 8,264,111
Cost of Shares Redeemed (36,472,131) (11,724,934)
------------ ------------
Net Increase (Decrease) from Capital Transactions in Shares of Beneficial Interest (16,484,443) 23,234,437
------------ ------------
Total Increase (Decrease) in Net Assets (16,308,702) 33,236,591
Net Assets
Beginning of Period 95,103,093 61,866,502
------------ ------------
End of Period (includes undistributed net investment income of $358,663 and $364,301,
respectively) $ 78,794,391 $ 95,103,093
============ ============
</TABLE>
- ----------
+ Unaudited
See Notes to Financial Statements on Pages 16 and 17
11
<PAGE>
BT Investment Funds
Statements of Changes in Net Assets
<TABLE>
<CAPTION>
Short Range
-------------------------------------
For the For the
six months ended year ended
September 30, 1998+ March 31, 1998
------------------- --------------
<S> <C> <C>
Increase (Decrease) in Net Assets from:
Operations
Net Investment Income $ 1,018,074 $ 1,591,572
Net Realized Gain from Investments, Foreign Currency Transactions,
Forward Foreign Currency Contracts and Futures Contracts 1,454,263 4,102,263
Net Change in Unrealized Appreciation/Depreciation on Investments, Foreign
Currency Transactions, Forward Foreign Currency Contracts and
Futures Contracts (115,531) 976,474
------------ ------------
Net Increase in Net Assets from Operations 2,356,806 6,670,309
------------ ------------
Distributions to Shareholders
Net Investment Income (998,390) (1,605,565)
Net Realization Gain from Investment Transactions -- (3,088,812)
------------ ------------
Total Distributions (998,390) (4,694,377)
------------ ------------
Capital Transactions in Shares of Beneficial Interest
Proceeds from Sales of Shares 22,106,158 18,129,387
Dividend Reinvestments 972,375 4,694,376
Cost of Shares Redeemed (17,893,521) (7,943,616)
------------ ------------
Net Increase from Capital Transactions in Shares of Beneficial Interest 5,185,012 14,880,147
------------ ------------
Total Increase in Net Assets 6,543,428 16,856,079
Net Assets
Beginning of Period 49,407,596 32,551,517
------------ ------------
End of Period (includes undistributed net investment income of $278,133 and $258,449,
respectively) $ 55,951,024 $ 49,407,596
============ ============
</TABLE>
- -----------
+ Unaudited
See Notes to Financial Statements on Pages 16 and 17
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 Long Range Fund.
<TABLE>
<CAPTION>
Long Range
-----------------------------------------------------------------------
For the period
For the six November 16, 1993
months ended For the years ended March 31, (Commencement
September 30, ----------------------------------- of Operations) to
1998+ 1998 1997 1996 1995 March 31, 1994
------------- ------ ------ ------ ------ -----------------
<S> <C> <C> <C> <C> <C> <C>
Per Share Operating Performance:
Net Asset Value, Beginning of Period $ 14.57 $ 11.96 $11.32 $10.07 $ 9.68 $10.00
-------- -------- ------ ------ ------ ------
Income from Investment Operations
Net Investment Income 0.21 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 (0.41) 3.57 1.18 1.54 0.32 (0.34)
-------- -------- ------ ------ ------ ------
Total from Investment Operations (0.20) 3.89 1.53 1.91 0.62 (0.32)
-------- -------- ------ ------ ------ ------
Distributions to Shareholders
Net Investment Income (0.21) (0.33) (0.39) (0.38) (0.23) --
Net Realized Gain from Investment Transactions -- (0.95) (0.50) (0.28) -- --
-------- -------- ------ ------ ------ ------
Total Distributions (0.21) (1.28) (0.89) (0.66) (0.23) --
-------- -------- ------ ------ ------ ------
Net Asset Value, End of Period $ 14.16 $ 14.57 $11.96 $11.32 $10.07 $ 9.68
======== ======== ====== ====== ====== ======
Total Investment Return (1.42)% 33.69% 13.88% 19.41% 6.60% (8.42)%*
Supplemental Data and Ratios:
Net Assets, End of Period (000s omitted) $ 122,450 $ 138,801 $78,291 $56,012 $13,366 $ 5,203
Ratios to Average Net Assets:
Net Investment Income 2.64%* 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% 1.00%*
Decrease Reflected in Above Expense
Ratio Due to Absorption of Expenses
by Bankers Trust 0.42%* 0.45% 0.48% 0.60% 0.91% 6.00%*
</TABLE>
- ----------
* Annualized
+ Unaudited
See Notes to Financial Statements on Pages 16 and 17
13
<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
indicated for the Lifecycle Mid Range Fund.
<TABLE>
<CAPTION>
Mid Range
-----------------------------------------------------------------------
For the period
For the six October 14, 1998
months ended For the years ended March 31, (Commencement
September 30, ------------------------------------- of Operations) to
1998+ 1998 1997 1996 1995 March 31, 1994
------------- ------ ------ ------ ------ -----------------
<S> <C> <C> <C> <C> <C> <C>
Per Share Operating Performance:
Net Asset Value, Beginning of Period $12.32 $10.80 $10.48 $ 9.61 $ 9.45 $ 10.00
------- ------ ------ ------ ------ -------
Income from Investment Operations
Net Investment Income 0.20 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 (0.02) 2.36 0.72 0.96 0.11 (0.60)
------- ------ ------ ------ ------ -------
Total from Investment Operations 0.18 2.73 1.14 1.37 0.48 (0.49)
------- ------ ------ ------ ------ -------
Distributions to Shareholders
Net Investment Income (0.19) (0.37) (0.44) (0.44) (0.32) (0.06)
Net Realized Gain from Investment Transactions -- (0.84) (0.38) (0.06) -- --
------- ------ ------ ------ ------ -------
Total Distributions (0.19) (1.21) (0.82) (0.50) (0.32) (0.06)
------- ------ ------ ------ ------ -------
Net Asset Value, End of Period $12.31 $12.32 $10.80 $10.48 $ 9.61 $ 9.45
======= ====== ====== ====== ====== =======
Total Investment Return 1.46% 26.33% 11.16% 14.65% 5.24% (10.48)%*
Supplemental Data and Ratios:
Net Assets, End of Period (000s omitted) $78,794 $95,103 $61,867 $51,466 $25,733 $ 19,170
Ratios to Average Net Assets:
Net Investment Income 2.95%* 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% 1.00%*
Decrease Reflected in Above Expense
Ratio Due to Absorption of Expenses
by Bankers Trust 0.43%* 0.48% 0.55% 0.58% 0.76% 1.10%*
</TABLE>
- ----------
* Annualized
+ Unaudited
See Notes to Financial Statements on Pages 16 and 17
14
<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 six October 15, 1993
months ended For the years ended March 31, (Commencement
September 30, ----------------------------------- of Operations) to
1998+ 1998 1997 1996 1995 March 31, 1994
------------- ------ ------ ------ ------ -----------------
<S> <C> <C> <C> <C> <C> <C>
Per Share Operating Performance:
Net Asset Value, Beginning of Period $10.82 $10.31 $10.03 $ 9.50 $ 9.60 $10.00
------ ------ ------ ------ ------ ------
Income from Investment Operations
Net Investment Income 0.20 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 0.27 1.39 0.34 0.54 (0.13) (0.47)
------ ------ ------ ------ ------ ------
Total from Investment Operations 0.47 1.83 0.82 0.99 0.28 (0.34)
------ ------ ------ ------ ------ ------
Distributions to Shareholders
Net Investment Income (0.20) (0.46) (0.54) (0.46) (0.37) (0.06)
Net Realized Gain from Investment
Transactions -- (0.86) -- -- (0.01) --
------ ------ ------ ------ ------ ------
Total Distributions (0.20) (1.32) (0.54) (0.46) (0.38) (0.06)
------ ------ ------ ------ ------ ------
Net Asset Value, End of Period $11.09 $10.82 $10.31 $10.03 $ 9.50 $ 9.60
====== ====== ====== ====== ====== ======
Total Investment Return 4.35% 18.68% 8.32% 10.67% 3.08% (7.39)%*
Supplemental Data and Ratios:
Net Assets, End of Period (000s omitted) $55,951 $49,408 $35,552 $28,899 $21,137 $17,582
Ratios to Average Net Assets:
Net Investment Income 3.79%* 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% 1.00%*
Decrease Reflected in Above Expense
Ratio Due to Absorption of Expenses
by Bankers Trust 0.45%* 0.58% 0.65% 0.65% 0.82% 1.12%*
</TABLE>
- ----------
* Annualized
+ Unaudited
See Notes to Financial Statements on Pages 16 and 17
15
<PAGE>
BT Investment Funds
Notes to Financial Statements (unaudited)
Note 1--Organization and Significant Accounting Policies
A. Organization
BT Investment Funds (the "Trust") is registered under the Investment Company Act
of 1940 (the "Act"), as amended, as an open-end management investment company.
The Trust was organized on July 21,1986, as a business trust under the laws of
the Commonwealth of Massachusetts. The BT Investment 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 September 30, 1998, the Long Range Fund's investment was
approximately 20% 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
Assets and Liabilities, are contained elsewhere in this report and should be
read in conjunction with these financial statements.
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. Distributions
It is each Fund's policy to declare and distribute dividends quarterly to
shareholders from net investment income. Dividends payable to shareholders are
recorded by each Fund on the ex-dividend date. Distributions of net realized
short-term and long-term capital gains, if any, will be made annually to the
extent they are not offset by any capital loss carryforwards.
D. Federal Income Taxes
It is each Fund's policy to comply with the requirements of the Internal Revenue
Code applicable to regulated investment companies and distribute substantially
all of its taxable income to shareholders. Therefore, no federal income tax
provision is required.
Each of the Funds may periodically make reclassifications among certain of its
capital accounts as a result of differences in the characterization and
allocation of certain income and capital gains distributions determined annually
in accordance with federal tax regulations which may differ from generally
accepted accounting principles.
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.
The Trust has entered into a distribution agreement with ICC Distributors, Inc.
("ICC") under which ICC will serve as distributor for shares sold on behalf of
the Funds.
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.
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 among 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 six-month period ended September 30, 1998.
16
<PAGE>
BT Investment Funds
Notes to Financial Statements (continued) (unaudited)
Note 3--Shares of Beneficial Interest
At September 30, 1998, there were an unlimited number of shares of beneficial
interest authorized. Transactions in shares of beneficial interest were as
follows:
<TABLE>
<CAPTION>
For the six-month period ended September 30, 1998*
----------------------------------------------------------------------------------
Long Range Mid Range Short Range
-------------------------- ------------------------- -------------------------
Shares Amount Shares Amount Shares Amount
---------- ------------ ---------- ------------ ---------- ------------
<S> <C> <C> <C> <C> <C> <C>
Sold 3,424,929 $ 50,519,411 1,493,769 $ 18,634,481 2,013,887 $ 22,106,158
Reinvested 140,038 2,013,222 108,283 1,353,207 87,825 972,375
Redeemed (4,442,058) (65,096,936) (2,922,286) (36,472,131) (1,622,794) (17,893,521)
---------- ------------ ---------- ------------ ---------- ------------
Increase/(Decrease) (877,091) $(12,564,303) (1,320,234) $(16,484,443) 478,918 $ 5,185,012
========== ============ ========== ============ ========== ============
</TABLE>
<TABLE>
<CAPTION>
For the year ended March 31, 1997
----------------------------------------------------------------------------------
Long Range Mid Range Short Range
-------------------------- ------------------------- -------------------------
Shares Amount Shares Amount Shares Amount
---------- ------------ ---------- ------------ ---------- ------------
<S> <C> <C> <C> <C> <C> <C>
Sold 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
========== ============ ========= ============ ========= ===========
</TABLE>
- ----------
* Unaudited
17
<PAGE>
Asset Management Portfolio
Schedule of Portfolio Investments September 30, 1998 (unaudited)
Shares Description Value
------ ----------- -----
COMMON STOCKS - 36.99%
Aerospace - 0.11%
17,600 Boeing Co. $ 603,900
2,352 Raytheon Co. - Class A 121,874
------------
725,774
------------
Airlines - 0.34%
28,600 AMR Corp. * 1,585,513
6,800 Delta Air Lines, Inc. 661,300
------------
2,246,813
------------
Auto Related - 0.82%
28,500 Chrysler Corp. 1,364,437
53,000 Dana Corp. 1,977,562
36,900 General Motors Corp. 2,017,968
------------
5,359,967
------------
Banks - 2.18%
97,000 BankAmerica Corp. 5,832,125
109,800 Bank of Boston Corp. 3,623,400
92,800 Chase Manhattan Corp. 4,013,600
7,700 Citicorp 715,618
------------
14,184,743
------------
Beverages - 1.07%
37,200 Coca-Cola Co. 2,143,650
27,400 Coca-Cola Enterprises, Inc. 691,850
127,400 PepsiCo, Inc. 3,750,338
13,800 Seagram Company Ltd. 395,887
------------
6,981,725
------------
Chemicals and Toxic Waste - 1.59%
19,200 Air Products and Chemicals, Inc. 571,200
82,200 Du Pont (E.I.) de Nemours & Co. 4,613,475
84,500 Monsanto Co. 4,763,687
16,900 Solutia, Inc. 381,306
------------
10,329,668
------------
Computer Services - 1.39%
65,000 Cendant Corp. * 755,625
78,250 Cisco Systems, Inc. * 7,255,242
40,700 Seagate Technology, Inc. * 1,020,043
------------
9,030,910
------------
Computer Software - 1.16%
22,800 BMC Software, Inc. * 1,369,425
55,275 Computer Associates International, Inc. 2,045,175
28,400 Microsoft Corp. * 3,125,775
35,625 Oracle Corp. * 1,037,578
------------
7,577,953
------------
Diversified - 1.35%
114,900 AlliedSignal, Inc. 4,064,587
28,200 SUPERVALU, Inc. 657,412
21,400 Textron, Inc. 1,297,375
36,200 United Technologies Corp. 2,767,038
------------
8,786,412
------------
Drugs - 3.42%
45,600 Lilly (Eli) & Co. 3,571,050
58,600 Merck & Co., Inc. 7,592,362
104,600 Pfizer, Inc. 11,081,062
------------
22,244,474
------------
Shares Description Value
------ ----------- -----
Electrical Equipment - 1.59%
48,400 Emerson Electric Co. $ 3,012,900
92,200 General Electric Co 7,335,662
------------
10,348,562
------------
Electronics - 1.15%
51,400 Analog Devices, Inc. * 825,612
46,000 Intel Corp. 3,944,500
23,900 LSI Logic Corp. * 301,737
38,400 Motorola, Inc. 1,639,200
23,000 Xilinx, Inc. * 805,000
------------
7,516,049
------------
Entertainment - 0.21%
54,081 Disney (Walt) Co. 1,368,925
------------
Environmental Control - 0.11%
47,000 U.S. Filter Corp. * 752,000
------------
Financial Services - 1.78%
29,900 Associates First Capital Corp. - Class A 1,950,975
72,000 Freddie Mac 3,559,500
41,100 First Data Corp. 965,850
39,400 MBNA Corp. 1,127,825
20,400 Merrill Lynch & Co., Inc. 966,450
21,800 T Rowe Price Associates 640,375
62,949 Travelers Group, Inc. 2,360,588
------------
11,571,563
------------
Foods - 1.33%
89,000 Bestfoods 4,310,938
11,125 Corn Products International, Inc. * 280,906
59,500 Sara Lee Corp. 3,213,000
10,875 Sodexho Marriott Services, Inc. 326,250
12,730 Tricon Global Restaurants, Inc. * 496,470
------------
8,627,564
------------
Healthcare - 1.04%
16,800 Abbott Laboratories 729,750
77,500 Johnson & Johnson 6,064,375
------------
6,794,125
------------
Hospital Supplies and Healthcare - 0.94%
36,700 Baxter International, Inc. 2,183,650
39,600 Becton, Dickinson & Company 1,628,550
54,600 U. S. Surgical Corp. 2,276,138
------------
6,088,338
------------
Hotel/Motel - 0.32%
87,000 Marriott International, Inc. * 2,077,125
------------
Household Products - 0.99%
21,800 Clorox Co. 1,798,500
65,400 Procter & Gamble Co. 4,639,313
------------
6,437,813
------------
Insurance - 1.21%
63,675 American International Group, Inc. 4,902,975
14,600 General Re Corp. 2,963,800
------------
7,866,775
------------
See Notes to Financial Statements on Pages 31 through 34
18
<PAGE>
Asset Management Portfolio
Schedule of Portfolio Investments September 30, 1998 (unaudited)
Shares Description Value
------ ----------- -----
Metals - 0.11%
20,000 Alcan Aluminum Co. Ltd. $ 468,750
21,600 Freeport-McMoRan Copper & Gold, Inc.-
Class B 256,500
------------
725,250
------------
Office Equipment and Computers - 1.04%
38,200 Hewlett-Packard Co. 2,022,213
26,400 International Business Machines Corp. 3,379,200
15,900 Xerox Corp. 1,347,525
------------
6,748,938
------------
Oil Equipment and Services - 0.21%
25,400 Apache Corp. 681,038
13,200 Schlumberger Ltd. 664,125
------------
1,345,163
------------
Oil - Domestic - 0.75%
5,800 Atlantic Richfield Co. 411,438
16,927 Burlington Resources, Inc. 632,647
54,600 ENSCO International, Inc. 590,363
26,900 Noble Drilling Corp. * 396,775
14,300 Phillips Petroleum Co. 645,288
61,400 Unocal Corp. 2,225,750
------------
4,902,261
------------
Oil - International - 2.06%
17,400 Amoco Corp. 937,425
11,600 Chevron Corp. 975,125
41,900 Exxon Corp. 2,940,856
15,200 Mobil Corp. 1,154,250
65,600 Royal Dutch Petroleum Co. 3,124,200
68,000 Texaco, Inc. 4,262,750
------------
13,394,606
------------
Paper and Forest Products - 0.35%
29,400 Champion International Corp. 920,588
28,900 International Paper Co. 1,347,463
------------
2,268,051
------------
Printing and Publishing - 0.54%
44,500 McGraw-Hill Companies, Inc. 3,526,625
------------
Railroads - 0.32%
64,800 Burlington Northern Santa Fe 2,073,600
------------
Retail - 1.60%
72,538 Dollar General Corp. 1,931,324
31,200 Federated Department Stores, Inc. * 1,134,900
61,800 Lowe's Companies, Inc. 1,966,013
18,500 Nine West Group, Inc. * 176,907
26,400 Tiffany & Co. 828,300
80,000 Wal-Mart Stores, Inc. 4,370,000
------------
10,407,444
------------
Telecommunications - 1.87%
81,700 AT&T Corp. 4,774,344
58,700 Comcast Corp. - Class A 2,755,231
71,400 MCI WorldCom, Inc. 3,489,668
15,700 Sprint Corp. 1,130,400
------------
12,149,643
------------
Shares Description Value
------ ----------- -----
Tobacco - 0.77%
109,100 Philip Morris Companies, Inc. $ 5,025,419
------------
Utility - Electric - 1.16%
16,900 American Electric Power Co. 824,931
11,900 Dominion Resources, Inc. 531,038
21,500 FirstEnergy Corp. 667,844
30,400 FPL Group, Inc. 2,118,500
36,400 PG&E Corp. 1,162,525
16,500 Public Service Enterprise Group, Inc. 648,656
33,900 Texas Utilities Co. 1,578,469
------------
7,531,963
------------
Utility - Gas, Natural Gas - 0.38%
46,000 Consolidated Natural Gas Co. 2,507,000
------------
Utility - Telephone - 1.73%
19,600 Ameritech Corp. 928,550
15,400 Bell Atlantic Corp. 745,938
17,800 BellSouth Corp. 1,339,450
41,200 Frontier Corp. 1,127,850
81,500 GTE Corp. 4,482,500
24,256 Lucent Technologies, Inc. 1,675,180
218,000 SBC Communications, Inc. 968,738
------------
11,268,206
------------
Total Common Stocks (Cost $246,624,781) 240,791,447
------------
Principal
Amount
- ---------
CORPORATE DEBT NON-CONVERTIBLE - 2.15%
Financial Services - 1.29%
$ 400,000 BankBoston Corp., 6.38%, 8/11/00 409,648
510,000 Chrysler Financial Corp., 6.11%, 7/28/99 513,749
1,450,000 Ford Motor Credit Co., 6.55%, 11/8/00 1,512,088
600,000 Great Western Financial Corp.,
6.375%,7/01/00 610,175
940,000 IBM Credit Corp, 5.875%, 8/25/99 946,289
1,375,000 KFW International Finance, 8.20%, 6/01/06 1,630,545
675,000 Meditrust, 7.114%, 8/15/04 (c) (d) 630,254
880,000 NationsBank, 7.00%, 9/15/01 919,975
315,000 PaineWebber Group, Inc., 6.65%, 4/13/10 328,213
850,000 Salomon, Inc., 7.50%, 2/01/03 909,733
------------
8,410,669
------------
Foreign Industrial - 0.04%
269,000 Celulosa Arauco y Constitu,
6.75%, 12/15/03 242,520
------------
Industrial - 0.43%
290,000 Diageo Capital plc, 6.125%, 8/15/05 305,813
20,000 Federated Department Stores, Inc.,
6.79%, 7/15/27 21,129
260,000 Ford Motor Company, 6.625%, 10/01/28 262,560
310,000 IBM Corp, 6.50%, 1/15/28 324,928
635,000 Markel Capital Trust, 8.71%, 1/01/46 700,015
420,000 Mutual Life Insurance Co., 0.00%,
8/15/24 (b) (c) 623,213
535,000 Texas Instruments, Inc., 6.75%, 7/15/99 541,559
------------
2,779,217
------------
See Notes to Financial Statements on Pages 31 through 34
19
<PAGE>
Asset Management Portfolio
Schedule of Portfolio Investments September 30, 1998 (unaudited)
Principal
Amount Description Value
------ ----------- -----
Utility - 0.39%
$ 400,000 Ameritech Capital Funding Corp.,
6.55%, 01/15/28 $ 404,500
35,000 Idaho Power Co., 8.00%, 3/15/04 39,616
760,000 Columbus Southern Power,
6.51%, 2/01/08 803,782
830,000 Consolidated Edison, 6.45%, 12/01/07 901,397
140,000 Potomac Edison Co., 8.00%, 6/01/24 157,633
210,000 U.S. West Capital Funding,
6.375%, 7/15/08 220,987
------------
2,527,915
------------
Total Corporate Debt Non-Convertible (Cost $13,660,876) 13,960,321
------------
ASSET-BACKED SECURITY - 0.04%
215,000 Standard Credit Card Master Trust,
6.55%, 10/07/05 (Cost $214,876) 230,187
------------
FOREIGN DEBT - 0.06%
210,000 Guangdong International, 8.75%,
10/24/16 (c) (d) 108,473
125,000 Manitoba, (Province of), 6.125%, 1/19/04 131,005
95,000 New Zealand Government,
10.625%, 11/15/05 126,236
------------
Total Foreign Debt (Cost $429,342) 365,714
------------
U.S. GOVERNMENT AND AGENCIES - 4.13%
3,100,000 FHLB, 5.125%, 9/15/03 3,155,715
2,120,000 FNMA, 5.625%, 3/15/01 2,171,007
150,000 FNMA, 6.35%, 11/23/01 152,437
325,000 FNMA TBA, 8.625%, 11/10/04 338,409
690,000 FNMA TBA, 5.750%, 2/15/08 731,239
700,000 FNMA TBA, 6.00%, 4/01/08 707,438
1,400,000 FNMA TBA, 7.00%, 9/01/21 1,437,625
7,300,000 FNMA TBA, 7.50%, 9/01/21 7,826,660
6,200,000 FNMA TBA, 6.50%, 4/01/23 6,304,625
3,900,000 GNMA TBA 7.50% 9/01/21 4,040,844
------------
Total U.S. Government and Agencies (Cost $26,360,044) 26,865,999
------------
Shares/
Principal
Amount Description Value
------ ----------- -----
U.S. TREASURY SECURITIES - 3.46%
$1,590,000 U.S. Treasury Bond, 8.125%, 8/15/19 $ 2,178,542
1,050,000 U.S. Treasury Bond, 7.625%, 11/15/22 1,397,814
570,000 U.S. Treasury Bond, 6.125%, 11/15/27 657,280
2,740,000 U.S. Treasury Bond, 5.5%, 8/15/28 2,962,204
840,000 U.S. Treasury Note, 5.875%, 11/30/01 876,621
260,000 U.S. Treasury Note, 6.25%, 8/31/02 277,388
2,420,000 U.S. Treasury Note, 5.750%, 4/30/03 2,561,804
1,665,000 U.S. Treasury Note, 5.25%, 8/15/03 1,739,539
70,000 U.S. Treasury Note, 7.25%, 8/15/04 80,347
820,000 U.S. Treasury Note, 7.00%, 7/15/06 955,813
1,200,000 U.S. Treasury Note, 5.5%, 2/15/08 1,298,252
6,888,000 U.S. Treasury Note, 5.625%, 5/15/08 7,534,826
------------
Total U.S. Treasury Securities (Cost $21,461,344) 22,520,430
------------
SHORT TERM INSTRUMENT - 61.33%
Mutual Fund - 7.63%
49,621,311 BT Institutional Cash Management Fund 49,621,312
------------
U.S. Government and Agency - 53.70% (a)
50,000,000 U.S. Treasury Bill, 5.005%, 10/01/98 50,000,000
9,830,000 U.S. Treasury Bill, 4.98%, 11/05/98 9,784,031
35,000,000 U.S. Treasury Bill, 5.16%, 11/19/98 34,763,711
43,065,000 U.S. Treasury Bill, 5.11%, 12/03/98 42,765,052
50,000,000 U.S. Treasury Bill, 4.43%, 12/31/98 49,470,000
50,000,000 U.S. Treasury Bill, 5.01%, 01/07/99 49,422,900
30,000,000 U.S. Treasury Bill, 5.015%, 1/28/99 29,570,610
50,000,000 U.S. Treasury Bill, 4.965%, 02/04/99 49,231,750
35,000,000 U.S. Treasury Bill, 4.94%, 2/11/99 34,442,695
------------
349,450,749
------------
Total Short Term Instruments (Cost $398,657,135) 399,072,061
------------
Total Investments (Cost $707,408,398) 108.16% $703,806,159
Liabilities in Excess of Other Assets (8.16)% (53,069,918)
------- ------------
Net Assets 100.00% $650,736,241
======= ============
* Non-income producing security
(a) Held as collateral for Futures Contracts
(b) Step-up Bond. On 8/15/99 this security will begin accruing interest at a
rate of 11.25% from then until maturity.
(c) 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.
(d) Illiquid Security
The following abbreviations are used in the portfolio description:
FHLB -- Federal Home Loan Bank
FNMA -- Federal National Mortgage Association
GNMA -- Government National Mortgage Association
TBA -- To be announced
See Notes to Financial Statements on Pages 31 through 34
20
Asset Management Portfolio II
Schedule of Portfolio Investments September 30, 1998 (unaudited)
Shares Description Value
------ ----------- -----
COMMON STOCKS - 32.27%
Aerospace - 0.10%
2,000 Boeing Co. $ 68,625
300 Raytheon Co. - Class A 15,544
-----------
84,169
-----------
Airlines - 0.32%
3,400 AMR Corp. * 188,487
800 Delta Air Lines, Inc. 77,800
-----------
266,287
-----------
Auto Related - 0.70%
3,100 Chrysler Corp. 148,412
5,800 Dana Corp. 216,412
4,100 General Motors Corp. 224,219
-----------
589,043
-----------
Banks - 1.88%
10,800 BankAmerica Corp. 649,350
12,400 BankBoston Corp. 409,200
10,200 Chase Manhattan Corp. 441,150
900 Citicorp 83,644
-----------
1,583,344
-----------
Beverages - 0.94%
4,100 Coca-Cola Co. 236,262
3,300 Coca-Cola Enterprises, Inc. 83,325
14,200 PepsiCo, Inc. 418,012
1,700 Seagram Company Ltd. 48,769
-----------
786,368
-----------
Chemicals and Toxic Waste - 1.36%
2,200 Air Products and Chemicals, Inc. 65,450
9,000 Du Pont (E.I.) de Nemours & Co. 505,125
9,400 Monsanto Co. 529,925
1,900 Solutia, Inc. 42,869
-----------
1,143,369
-----------
Computer Services - 1.19%
7,300 Cendant Corp. * 84,862
12,975 Cisco Systems, Inc. * 802,017
4,600 Seagate Technology, Inc. * 115,287
-----------
1,002,166
-----------
Computer Software - 1.08%
2,800 BMC Software, Inc. * 168,175
6,250 Computer Associates International, Inc. 231,250
3,600 Microsoft Corp. * 396,225
4,000 Oracle Corp. * 116,500
-----------
912,150
-----------
Diversified - 1.19%
12,800 AlliedSignal, Inc. 452,800
3,400 SUPERVALU, Inc. 79,262
2,600 Textron, Inc. 157,625
4,100 United Technologies Corp. 313,394
-----------
1,003,081
-----------
Drugs - 2.93%
5,000 Lilly (Eli) & Co. 391,562
6,500 Merck & Co., Inc. 842,156
11,600 Pfizer, Inc. 1,228,875
-----------
2,462,593
-----------
Shares Description Value
------ ----------- -----
Electrical Equipment - 1.36%
5,400 Emerson Electric Co. $ 336,150
10,200 General Electric Co. 811,537
-----------
1,147,687
-----------
Electronics - 1.01%
5,700 Analog Devices, Inc. * 91,556
5,200 Intel Corp. 445,900
2,700 LSI Logic Corp. * 34,088
4,300 Motorola, Inc. 183,556
2,600 Xilinx, Inc. * 91,000
-----------
846,100
-----------
Entertainment - 0.18%
6,000 Disney (Walt) Co. 151,875
-----------
Environmental Control - 0.10%
5,300 U.S. Filter Corp. * 84,800
-----------
Financial Services - 1.54%
3,200 Associates First Capital Corp. - Class A 208,800
8,100 Freddie Mac 400,444
4,400 First Data Corp. 103,400
4,500 MBNA Corp. 128,812
2,400 Merrill Lynch & Co., Inc. 113,700
2,600 T Rowe Price Associates 76,375
7,100 Travelers Group, Inc. 266,250
-----------
1,297,781
-----------
Foods - 1.13%
9,800 Bestfoods 474,687
1,225 Corn Products International, Inc. * 30,931
6,600 Sara Lee Corp. 356,400
1,200 Sodexho Marriott Services, Inc. 36,000
1,420 Tricon Global Restaurants, Inc. * 55,380
-----------
953,398
-----------
Healthcare - 0.90%
2,000 Abbott Laboratories 86,875
8,600 Johnson & Johnson 672,950
-----------
759,825
-----------
Hospital Supplies and Healthcare - 0.81%
4,100 Baxter International, Inc. 243,950
4,400 Becton, Dickinson & Company 180,950
6,100 U. S. Surgical Corp. 254,294
-----------
679,194
-----------
Hotel/Motel - 0.27%
9,600 Marriott International, Inc. * 229,200
-----------
Household Products - 0.86%
2,600 Clorox Co. 214,500
7,200 Procter & Gamble Co. 510,750
-----------
725,250
-----------
Insurance - 1.09%
7,125 American International Group, Inc. 548,625
1,800 General Re Corp. 365,400
-----------
914,025
-----------
See Notes to Financial Statements on Pages 31 through 34
21
<PAGE>
Asset Management Portfolio II
Schedule of Portfolio Investments September 30, 1998 (unaudited)
Shares Description Value
------ ----------- -----
Metals - 0.10%
2,200 Alcan Aluminum Co. Ltd. $ 51,562
2,400 Freeport-McMoRan Copper & Gold, Inc. -
Class B 28,500
-----------
80,062
-----------
Office Equipment and Computers - 0.93%
4,300 Hewlett-Packard Co. 227,631
3,200 International Business Machines Corp. 409,600
1,700 Xerox Corp. 144,075
-----------
781,306
-----------
Oil Equipment and Services - 0.19%
2,800 Apache Corp. 75,075
1,600 Schlumberger Ltd. 80,500
-----------
155,575
-----------
Oil - Domestic - 0.66%
600 Atlantic Richfield Co. 42,563
2,000 Burlington Resources, Inc. 74,750
6,200 ENSCO International, Inc. 67,038
3,000 Noble Drilling Corp. * 44,250
1,700 Phillips Petroleum Co. 76,713
6,800 Unocal Corp. 246,500
-----------
551,814
-----------
Oil - International - 1.83%
2,000 Amoco Corp. 107,750
1,400 Chevron Corp. 117,688
4,600 Exxon Corp. 322,863
1,800 Mobil Corp. 136,688
8,000 Royal Dutch Petroleum Co. 381,000
7,600 Texaco, Inc. 476,425
-----------
1,542,414
-----------
Paper and Forest Products - 0.29%
3,200 Champion International Corp. 100,200
3,100 International Paper Co. 144,538
-----------
244,738
-----------
Printing and Publishing - 0.46%
4,900 McGraw-Hill Companies, Inc. 388,325
-----------
Railroads - 0.27%
7,200 Burlington Northern Santa Fe 230,400
-----------
Retail - 1.43%
10,000 Dollar General Corp. 266,250
3,500 Federated Department Stores, Inc. * 127,313
6,800 Lowe's Companies, Inc. 216,325
2,100 Nine West Group, Inc. * 20,081
3,000 Tiffany & Co. 94,125
8,800 Wal-Mart Stores, Inc. 480,700
-----------
1,204,794
-----------
Telecommunications - 1.63%
9,100 AT&T Corp. 531,781
6,600 Comcast Corp. - Class A 309,788
7,961 MCI WorldCom, Inc. 389,092
1,900 Sprint Corp. 136,800
-----------
1,367,461
-----------
Shares Description Value
------ ----------- -----
Tobacco - 0.67%
12,300 Philip Morris Companies, Inc. $ 566,569
-----------
Utility - Electric - 1.02%
2,000 American Electric Power Co. 97,625
1,400 Dominion Resources, Inc. 62,475
2,400 FirstEnergy Corp. 74,550
3,400 FPL Group, Inc. 236,938
4,000 PG&E Corp. 127,750
2,000 Public Service Enterprise Group, Inc. 78,625
3,800 Texas Utilities Co. 176,938
-----------
854,901
-----------
Utility - Gas, Natural Gas - 0.33%
5,100 Consolidated Natural Gas Co. 277,950
-----------
Utility - Telephone - 1.52%
2,400 Ameritech Corp. 113,700
1,800 Bell Atlantic Corp. 87,187
1,900 BellSouth Corp. 142,975
4,600 Frontier Corp. 125,925
9,100 GTE Corp. 500,500
2,800 Lucent Technologies, Inc. 193,375
2,600 SBC Communications, Inc. 115,538
-----------
1,279,200
-----------
Total Common Stocks (Cost $28,976,068) 27,147,214
-----------
Principal
Amount
- ---------
CORPORATE DEBT NON-CONVERTIBLE - 3.92%
Financial Services - 1.92%
$120,000 Ameritech Capital Funding Corp., 6.55%,
1/15/28 121,350
125,000 BankBoston Corp., 6.38%, 8/11/00 128,015
187,000 Bayerische Landesbank, 6.17%, 2/01/06 194,946
150,000 Chrysler Financial Corp., 6.11%, 7/28/99 151,103
55,000 Ford Motor Credit Co., 6.55%,9/10/02 57,355
85,000 GMAC, 8.625%, 1/18/01 91,041
280,000 IBM Credit Corp, 5.875%, 8/25/99 281,873
40,000 International Bank for Reconstruction and
Development, 8.875%, 3/01/26 57,681
55,000 KFW International Finance, 8.20%, 6/01/06 65,222
200,000 Meditrust, 7.114%, 8/15/04 (c) (d) 186,742
30,000 Painewebber Group, Inc., 6.65%, 4/13/10 31,258
230,000 Salomon Inc., 7.50%, 2/01/03 246,163
-----------
1,612,749
-----------
Foreign Industrial - 0.09%
86,000 Celulosa Arauco y Constitu, 6.75%, 12/15/03 77,534
-----------
Industrial - 1.09%
80,000 Diageo Capital plc, 6.125%, 8/15/05 84,362
80,000 Federated Department Stores, Inc., 6.79%,
7/15/27 84,514
70,000 Ford Motor Company, 6.625%, 10/01/28 70,689
90,000 IBM Corp, 6.5%, 1/15/28 94,334
185,000 Markel Capital Trust, 8.71%, 1/01/46 203,941
120,000 Mutual Life Insurance Co., 0.00%,
8/15/24 (b) (c) 178,061
200,000 Texas Instruments, Inc., 6.75%, 7/15/99 202,452
-----------
918,353
-----------
See Notes to Financial Statements on Pages 31 through 34
22
<PAGE>
Asset Management Portfolio II
Schedule of Portfolio Investments September 30, 1998 (unaudited)
Principal
Amount Description Value
------ ----------- -----
Utility - 0.82%
$ 245,000 Consolidated Edison, 6.45%, 12/01/07 $ 266,075
225,000 Columbus Southern Power, 6.51%,
2/01/08 237,962
45,000 Idaho Power Co., 8.00%, 3/15/04 50,935
60,000 Potomac Edison Co., 8.00%, 6/01/24 67,557
60,000 U.S.West Capital Funding, Inc, 6.375%,
7/15/08 63,139
-----------
685,668
-----------
Total Corporate Debt Non-Convertible (Cost $3,177,988) 3,294,304
-----------
ASSET-BACKED SECURITIES - 0.35%
150,000 American Express Master Trust, 5.375%,
7/15/01 150,904
130,000 Standard Credit Card Master Trust, 6.55%,
10/07/05 139,183
-----------
Total Asset-Backed Securities (Cost $276,523) 290,087
-----------
FOREIGN DEBT - 0.48%
60,000 Guangdong International, 8.75%,
10/24/16 (c) (d) 30,992
125,000 Manitoba (Province of), 6.125%, 1/19/04 131,005
125,000 New Zealand Government, 8.75%,
12/15/06 154,476
65,000 New Zealand Government, 10.625%,
11/15/05 86,372
-----------
Total Foreign Debt (Cost $397,277) 402,845
-----------
U.S. GOVERNMENT AND AGENCIES - 8.35%
950,000 FHLB, 5.125%, 9/15/03 967,074
600,000 FNMA, 5.625%, 3/15/01 614,436
50,000 FNMA, 6.35%, 11/23/01 50,813
140,000 FNMA, 8.625%, 11/10/04 145,776
200,000 FNMA, 5.75%, 2/15/08 211,953
400,000 FNMA TBA, 6.00%, 4/01/08 404,250
800,000 FNMA TBA, 7.00%, 9/01/21 821,500
1,500,000 FNMA, 6.50%, 4/01/23 1,525,313
2,200,000 GNMA TBA, 7.50%, 9/01/21 2,281,125
-----------
Total U.S. Government and Agencies (Cost $6,949,681) 7,022,240
-----------
Principal
Amount Description Value
------ ----------- -----
U.S. TREASURY SECURITIES - 8.46%
$ 570,000 U.S. Treasury Bond, 8.125%, 8/15/19 $ 780,987
350,000 U.S. Treasury Bond, 7.625%, 11/15/22 465,938
170,000 U.S. Treasury Bond, 6.125%, 11/15/27 196,031
870,000 U.S. Treasury Bond, 5.50%, 8/15/28 940,554
180,000 U.S. Treasury Note, 5.875%,11/30/01 187,847
75,000 U.S. Treasury Note, 6.25%, 8/31/02 80,016
510,000 U.S. Treasury Note, 6.625%, 3/31/02 546,897
600,000 U.S. Treasury Note, 5.75%, 4/30/03 635,158
480,000 U.S. Treasury Note, 5.25%, 8/15/03 501,487
20,000 U.S. Treasury Note, 7.25%, 8/15/04 22,956
240,000 U.S. Treasury Note, 7.00%, 7/15/06 279,750
260,000 U.S. Treasury Note, 5.50%, 2/15/08 281,288
2,012,000 U.S. Treasury Note, 5.625%, 5/15/08 2,200,939
-----------
Total U.S. Treasury Securities (Cost $6,790,684) 7,119,848
-----------
SHORT TERM INSTRUMENTS - 47.70%
Mutual Fund - 14.50%
12,197,740 BT Institutional Cash Management Fund 12,197,740
-----------
U.S. Government and Agency - 33.20% (a)
10,000,000 U.S. Treasury Bill, 5.005%, 10/01/98 10,000,000
875,000 U.S. Treasury Bill, 4.98%, 11/05/98 870,908
3,500,000 U.S. Treasury Bill, 5.16%, 11/19/98 3,476,371
4,565,000 U.S. Treasury Bill, 5.11%, 12/03/98 4,533,205
3,500,000 U.S. Treasury Bill, 5.01%, 1/07/99 3,459,603
2,175,000 U.S. Treasury Bill, 5.015%, 1/28/99 2,143,869
3,500,000 U.S. Treasury Bill, 4.965%, 2/04/98 3,446,223
-----------
27,930,179
-----------
Total Short Term Instruments (Cost $39,992,219) 40,127,919
-----------
Total Investments (Cost $86,560,440) 101.53% $85,404,457
Liabilities in Excess of Other Assets (1.53)% (1,288,007)
------- -----------
Net Assets 100.00% $84,116,450
======= ===========
* Non-income producing security
(a) Held as collateral for Futures Contracts
(b) Step-up Bond. On 8/15/99 this security will begin accruing interest at a
rate of 11.25% from then until maturity.
(c) 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.
(d) Illiquid Security
The following abbreviations are used in the portfolio description:
FHLB -- Federal Home Loan Bank
FNMA -- Federal National Mortgage Association
GNMA -- Government National Mortgage Association
TBA -- To be announced
See Notes to Financial Statements on Pages 31 through 34
23
<PAGE>
Asset Management Portfolio III
Schedule of Portfolio Investments September 30, 1998 (unaudited)
Shares Description Value
------ ----------- -----
COMMON STOCKS - 10.86%
Aerospace - 0.03%
400 Boeing Co. $ 13,725
100 Raytheon Co. - Class A 5,181
-----------
18,906
-----------
Airlines - 0.11%
800 AMR Corp. * 44,350
200 Delta Air Lines, Inc. 19,450
-----------
63,800
-----------
Auto Related - 0.22%
800 Chrysler Corp. 38,300
1,200 Dana Corp. 44,775
800 General Motors Corp. 43,750
-----------
126,825
-----------
Banks - 0.63%
2,400 BankAmerica Corp. 144,300
2,800 BankBoston Corp. 92,400
2,400 Chase Manhattan Corp. 103,800
200 Citicorp 18,588
-----------
359,088
-----------
Beverages - 0.29%
800 Coca-Cola Co. 46,100
900 Coca-Cola Enterprises, Inc. 22,725
3,000 PepsiCo, Inc. 88,312
400 Seagram Company, Ltd. 11,475
-----------
168,612
-----------
Chemicals and Toxic Waste - 0.46%
600 Air Products and Chemicals, Inc. 17,850
2,000 Du Pont (E.I.) de Nemours & Co. 112,250
2,200 Monsanto Co. 124,025
440 Solutia, Inc. 9,928
-----------
264,053
-----------
Computer Services - 0.37%
1,600 Cendant Corp. * 18,600
1,800 Cisco Systems, Inc. * 166,894
1,000 Seagate Technology, Inc. * 25,063
-----------
210,557
-----------
Computer Software - 0.39%
800 BMC Software, Inc. * 48,050
1,450 Computer Associates International, Inc. 53,650
800 Microsoft Corp. * 88,050
1,200 Oracle Corp. * 34,950
-----------
224,700
-----------
Diversified - 0.40%
3,000 AlliedSignal, Inc. 106,125
800 SUPERVALU, Inc. 18,650
600 Textron, Inc. 36,375
900 United Technologies Corp. 68,794
-----------
229,944
-----------
Shares Description Value
------ ----------- -----
Drugs - 0.98%
1,200 Lilly (Eli) & Co. $ 93,975
1,500 Merck & Co., Inc. 194,344
2,600 Pfizer, Inc. 275,438
-----------
563,757
-----------
Electrical Equipment - 0.47%
1,400 Emerson Electric Co. 87,150
2,300 General Electric Co. 182,994
-----------
270,144
-----------
Electronics - 0.34%
1,200 Analog Devices, Inc. * 19,275
1,200 Intel Corp. 102,900
600 LSI Logic Corp. * 7,575
1,000 Motorola, Inc. 42,687
700 Xilinx, Inc. * 24,500
-----------
196,937
-----------
Entertainment - 0.07%
1,572 Disney (Walt) Co. 39,791
-----------
Environmental Control - 0.03%
1,200 U.S. Filter Corp. * 19,200
-----------
Financial Services - 0.52%
900 Associates First Capital Corp. - Class A 58,725
1,800 Freddie Mac 88,988
900 First Data Corp. 21,150
937 MBNA Corp. 26,822
600 Merrill Lynch & Co., Inc. 28,425
600 T Rowe Price Associates 17,625
1,500 Travelers Group, Inc. 56,250
-----------
297,985
-----------
Foods - 0.36%
2,200 Bestfoods 106,562
300 Corn Products International, Inc. * 7,575
1,300 Sara Lee Corp. 70,200
250 Sodexho Marriott Services, Inc. 7,500
300 Tricon Global Restaurants, Inc. * 11,700
-----------
203,537
-----------
Healthcare - 0.29%
600 Abbott Laboratories 26,063
1,800 Johnson & Johnson 140,850
-----------
166,913
-----------
Hospital Supplies and Healthcare - 0.27%
900 Baxter International, Inc. 53,550
1,000 Becton, Dickinson & Company 41,125
1,400 U. S. Surgical Corp. 58,363
-----------
153,038
-----------
Hotel/Motel - 0.08%
2,000 Marriott International, Inc. * 47,750
-----------
Household Products - 0.29%
600 Clorox Co. 49,500
1,600 Procter & Gamble Co. 113,500
-----------
163,000
-----------
See Notes to Financial Statements on Pages 31 through 34
24
<PAGE>
Asset Management Portfolio III
Schedule of Portfolio Investments September 30, 1998 (unaudited)
Shares Description Value
------ ----------- -----
Insurance - 0.37%
1,725 American International Group, Inc. $ 132,825
400 General Re Corp. 81,200
-----------
214,025
-----------
Metals - 0.04%
600 Alcan Aluminum Co. Ltd. 14,063
700 Freeport-McMoRan Copper & Gold, Inc. -
Class B 8,312
-----------
22,375
-----------
Office Equipment and Computers - 0.30%
1,000 Hewlett-Packard Co. 52,937
600 International Business Machines Corp. 76,800
500 Xerox Corp. 42,375
-----------
172,112
-----------
Oil Equipment and Services - 0.07%
800 Apache Corp. 21,450
400 Schlumberger Ltd. 20,125
-----------
41,575
-----------
Oil - Domestic - 0.23%
200 Atlantic Richfield Co. 14,188
500 Burlington Resources, Inc. 18,687
1,600 ENSCO International, Inc. 17,300
800 Noble Drilling Corp. * 11,800
400 Phillips Petroleum Co. 18,050
1,400 Unocal Corp. 50,750
-----------
130,775
-----------
Oil - International - 0.65%
600 Amoco Corp. 32,325
400 Chevron Corp. 33,625
1,200 Exxon Corp. 84,225
400 Mobil Corp. 30,375
1,600 Royal Dutch Petroleum Co. 76,200
1,800 Texaco, Inc. 112,837
-----------
369,587
-----------
Paper and Forest Products - 0.12%
900 Champion International Corp. 28,181
900 International Paper Co. 41,962
-----------
70,143
-----------
Printing and Publishing - 0.15%
1,100 McGraw-Hill Companies, Inc. 87,175
-----------
Railroads - 0.08%
1,500 Burlington Northern Santa Fe 48,000
-----------
Retail - 0.47%
1,522 Dollar General Corp. 50,654
800 Federated Department Stores, Inc. * 29,100
1,800 Lowe's Companies, Inc. 57,262
600 Nine West Group, Inc. * 5,737
800 Tiffany & Co. 25,100
1,800 Wal-Mart Stores, Inc. 98,325
-----------
266,178
-----------
Shares Description Value
------ ----------- -----
Telecommunications - 0.50%
1,900 AT&T Corp. $ 111,031
1,300 Comcast Corp .- Class A 61,019
1,617 MCI WorldCom, Inc. 79,034
500 Sprint Corp. 36,000
-----------
287,084
-----------
Tobacco - 0.22%
2,700 Philip Morris Companies, Inc. 124,369
-----------
Utility - Electric - 0.37%
600 American Electric Power Co. 29,288
400 Dominion Resources, Inc. 17,850
700 FirstEnergy Corp. 21,744
900 FPL Group, Inc. 62,719
800 PG&E Corp. 25,550
500 Public Service Enterprise Group, Inc. 19,656
700 Texas Utilities Co. 32,594
-----------
209,401
-----------
Utility - Gas, Natural Gas - 0.10%
1,000 Consolidated Natural Gas Co. 54,500
-----------
Utility - Telephone - 0.59%
600 Ameritech Corp. 28,425
600 Bell Atlantic Corp. 29,062
600 BellSouth Corp. 45,150
1,000 Frontier Corp. 27,375
2,100 GTE Corp. 115,500
800 Lucent Technologies, Inc. 55,250
800 SBC Communications, Inc. 35,550
-----------
336,312
-----------
Total Common Stocks (Cost $6,608,490) 6,222,148
-----------
Principal
Amount
------
CORPORATE DEBT NON-CONVERTIBLE - 4.67%
Financial Services - 2.33%
$ 80,000 Ameritech Capital Funding Corp., 6.55%,
1/15/28 80,900
90,000 BankBoston Corp., 6.38%, 8/11/00 92,171
138,000 Bayerische Landesbank, 6.17%, 2/01/06 143,864
120,000 Chrysler Financial Corp., 6.11%, 7/28/99 120,882
150,000 Ford Motor Credit Co., 6.55%,9/10/02 156,423
200,000 IBM Credit Corp, 5.875%, 8/25/99 201,338
25,000 International Bank for Reconstruction and
Development, 8.875%, 3/01/26 36,050
120,000 KFW International Finance, 8.20%, 6/01/06 142,302
150,000 Meditrust, 7.114%, 8/15/04 (c) (d) 140,056
200,000 Society National Bank, 7.85%, 11/01/02 217,882
-----------
1,331,868
-----------
Foreign Industrial - 0.10%
62,000 Celulosa Arauco y Constitu, 6.75%,
12/15/03 55,897
-----------
See Notes to Financial Statements on Pages 31 through 34
25
<PAGE>
Asset Management Portfolio III
Schedule of Portfolio Investments September 30, 1998 (unaudited)
Principal
Amount Description Value
------ ----------- -----
Industrial - 1.26%
$ 60,000 Diageo Capital plc, 6.125%, 8/15/05 $ 63,272
65,000 Dillard Department Stores, 7.15%, 2/01/07 69,915
45,000 Federated Department Stores, Inc.,
6.79%, 7/15/27 47,539
50,000 Ford Motor Company, 6.625%, 10/01/28 50,492
60,000 IBM Corp., 6.50%, 1/15/28 62,889
135,000 Markel Capital Trust, 8.71%, 1/01/46 148,822
90,000 Mutual Life Insurance Co., 0.00%,
8/15/24 (b) (c) 133,546
145,000 Texas Instruments, Inc., 6.75%, 7/15/99 146,778
-----------
723,253
-----------
Utility - 0.98%
165,000 Columbus Southern Power, 6.51%, 2/01/08 174,505
180,000 Consolidated Edison, 6.45%, 12/01/07 195,484
50,000 Idaho Power Co., 8.00%, 3/15/04 56,595
75,000 Potomac Edison Co., 8.00%, 6/01/24 84,447
50,000 U.S.West Capital Funding, Inc, 6.375%,
7/15/08 52,616
-----------
563,647
-----------
Total Corporate Debt Non-Convertible (Cost $2,569,817) 2,674,665
-----------
ASSET-BACKED SECURITIES - 0.30%
110,000 American Express Master Trust, 5.375%,
7/15/01 110,663
60,000 Standard Credit Card Master Trust,
6.55%, 10/07/05 64,238
-----------
Total Asset-Backed Securities (Cost $167,471) 174,901
-----------
FOREIGN DEBT - 0.23%
45,000 Guangdong International, 8.75%,
10/24/16 (c) (d) 23,244
80,000 New Zealand Government, 10.625%,
11/15/05 106,304
-----------
Total Foreign Debt (Cost $138,935) 129,548
-----------
U.S. GOVERNMENT AND AGENCIES - 8.52%
250,000 FHLB, 5.125%, 9/15/03 254,493
1,010,000 FNMA, 5.625%, 3/15/01 1,034,301
80,000 FNMA, 6.35%, 11/23/01 81,300
180,000 FNMA, 8.625%, 11/10/04 187,427
150,000 FNMA, 5.75%, 2/15/08 158,965
400,000 FNMA TBA, 6.00%, 4/01/08 404,250
600,000 FNMA TBA, 7.00%, 9/01/21 616,125
400,000 FNMA, 7.50%, 9/01/21 412,875
1,300,000 FNMA, 6.50%, 4/01/23 1,321,937
400,000 GNMA TBA, 7.50%, 9/01/21 414,750
-----------
Total U.S. Government and Agencies (Cost $4,834,281) 4,886,423
-----------
Principal
Amount Description Value
------ ----------- -----
U.S. TREASURY SECURITIES - 7.91%
$ 350,000 U.S. Treasury Bond, 8.125%, 8/15/19 $ 479,553
170,000 U.S. Treasury Bond, 7.625%, 11/15/22 226,313
130,000 U.S. Treasury Bond, 6.125%, 11/15/27 149,906
620,000 U.S. Treasury Bond, 5.50%, 8/15/28 670,280
170,000 U.S. Treasury Note, 5.875%,11/30/01 177,411
220,000 U.S. Treasury Note, 6.625%, 3/31/02 235,916
50,000 U.S. Treasury Note, 6.25%, 8/31/02 53,344
560,000 U.S. Treasury Note, 5.75%, 4/30/03 592,814
385,000 U.S. Treasury Note, 5.25%, 8/15/03 402,236
10,000 U.S. Treasury Note, 7.25%, 8/15/04 11,459
170,000 U.S. Treasury Note, 7.00%, 7/15/06 198,156
210,000 U.S. Treasury Note, 5.50%, 2/15/08 227,194
1,014,000 U.S. Treasury Note, 5.625%,5/15/08 1,109,221
-----------
Total U.S. Treasury Securities (Cost $4,347,344) 4,533,803
-----------
SHORT TERM INSTRUMENTS - 78.60%
Mutual Fund - 24.96%
14,303,592 BT Institutional Cash Management Fund 14,303,593
-----------
U.S. Government and Agency - 53.64% (a)
5,000,000 U.S. Treasury Bill, 5.005%, 10/01/98 5,000,000
520,000 U.S. Treasury Bill, 4.98%, 11/05/98 517,568
2,500,000 U.S. Treasury Bill, 5.16%, 11/19/98 2,483,122
3,375,000 U.S. Treasury Bill, 5.15%, 12/03/98 3,351,314
5,000,000 U.S. Treasury Bill, 4.43%, 12/31/98 4,947,000
2,500,000 U.S. Treasury Bill, 5.01%, 1/07/99 2,471,145
3,165,000 U.S. Treasury Bill, 5.015%, 1/28/99 3,119,699
2,500,000 U.S. Treasury Bill, 4.965%, 2/04/99 2,461,588
6,500,000 U.S. Treasury Bill, 4.94%, 2/11/99 6,396,501
-----------
30,747,937
-----------
Total Short Term Instruments (Cost $45,017,836) 45,051,530
-----------
Total Investments (Cost $63,684,174) 111.09% 63,673,018
Liabilities in Excess of Other Assets (11.09)% (6,356,579)
------ -----------
Net Assets 100.00% $57,316,439
====== ===========
* Non-income producing security
(a) Held as collateral for Futures Contracts
(b) Step-up Bond. On 8/15/99 this security will begin accruing interest at a
rate of 11.25% from then until maturity.
(c) 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.
(d) Illiquid Security
The following abbreviations are used in the portfolio description:
FHLB -- Federal Home Loan Bank
FNMA -- Federal National Mortgage Association
GNMA -- Government National Mortgage Association
TBA -- To be announced
See Notes to Financial Statements on Pages 31 through 34
26
<PAGE>
Asset Management Portfolios
Statements of Assets and Liabilities September 30, 1998 (unaudited)
<TABLE>
<CAPTION>
Asset Asset Asset
Management Management II Management III
------------- ------------- --------------
<S><C>
Assets
Investments, at Value* $ 703,806,159 $ 85,404,457 $ 63,673,018
Cash** 18,463,144 3,495,239 1,758,561
Receivable for Securities Sold 16,835,644 4,416,931 2,962,627
Variation Margin Receivable -- 140,381 23,698
Interest Receivable 754,718 248,743 126,903
Forward Currency Exchange Contracts, net 193,347 42,346 28,072
Dividends Receivable and Other 302,475 34,395 67,612
------------- ------------- -------------
Total Assets 740,355,487 93,782,492 68,640,491
------------- ------------- -------------
Liabilities
Due to Bankers Trust 324,625 41,713 27,584
Payable for Securities Purchased 87,128,725 9,617,841 11,290,004
Accrued Expenses and Other 7,617 6,488 6,464
Variation Margin Payable 2,158,279 -- --
------------- ------------- -------------
Total Liabilities 89,619,246 9,666,042 11,324,052
------------- ------------- -------------
Net Assets $ 650,736,241 $ 84,116,450 $ 57,316,439
============= ============= =============
Composition of Net Assets
Paid-in Capital $ 655,865,354 $ 85,036,476 $ 56,859,253
Net Unrealized Appreciation (Depreciation) on Investments
and Futures Contracts (5,129,113) (920,026) 457,186
------------- ------------- -------------
Net Assets $ 650,736,241 $ 84,116,450 $ 57,316,439
============= ============= =============
</TABLE>
- --------------
* Cost of $707,408,398, $86,560,440, and $45,017,836, respectively.
** Includes foreign cash of $18,458,797, $3,538,703, and $1,753,967, with a cost
of $17,870,527, $3,419,835, and $1,700,513 respectively.
See Notes to Financial Statements on Pages 31 through 34
27
<PAGE>
Asset Management Portfolios
Statements of Operations For the six month period ended September 30, 1998
(unaudited)
<TABLE>
<CAPTION>
Asset Asset Asset
Management Management II Management III
------------- ------------- --------------
<S><C>
Investment Income
Dividends* $ 1,902,292 $ 214,884 $ 49,376
Interest 10,429,871 1,591,881 1,239,757
------------- ------------ ------------
Total Investment Income 12,332,163 1,806,765 1,289,133
------------- ------------ ------------
Expenses
Advisory Fees 2,204,729 297,602 176,240
Administration and Services Fees 339,189 45,785 27,114
Professional Fees 5,127 1,353 4,043
Trustees Fees 1,121 1,121 1,122
Miscellaneous 3,321 4,977 1,887
------------- ------------ ------------
Total Expenses 2,553,487 350,838 210,406
Less Expenses Absorbed by Bankers Trust 518,352) (76,128) (47,723)
------------- ------------ ------------
Net Expenses 2,035,135 274,710 162,683
------------- ------------ ------------
Net Investment Income 10,297,028 1,532,055 1,126,450
------------- ------------ ------------
Realized and Unrealized Gain (Loss) on Investments,
Foreign Currency Transactions, Forward Foreign Currency
Contracts and Futures Contracts
Net Realized Gain from:
Investments, Forward Foreign Currency Contracts and Foreign
Currency Transactions 1,877,506 271,419 251,558
Futures Contracts 12,776,790 2,688,850 1,202,706
Net Change in Unrealized Appreciation/Depreciation on:
Investments, Forward Foreign Currency Contracts and Foreign
Currency Transactions (32,166,522) (2,955,574) (502,345)
Futures Contracts (2,308,491) 190,115 386,814
------------- ------------ ------------
Net Realized and Unrealized Gain (Loss) on Investments,
Foreign Currency Transactions, Forward Foreign
Currency Contracts and Future Contracts (19,820,717) 194,810 1,338,733
------------- ------------ ------------
Net Increase (Decrease) in Net Assets from Operations $ (9,523,689) $ 1,726,865 $ 2,465,183
============= ============ ============
</TABLE>
- --------------
* Net of foreign withholding tax of $8,576, $1,040 and $239, respectively
See Notes to Financial Statements on Pages 31 through 34
28
<PAGE>
Asset Management Portfolios
Statements of Changes in Net Assets
<TABLE>
<CAPTION>
Asset Management
--------------------------------------------
For the six months ended For the year ended
September 30, 1998+ March 31, 1998
------------------- --------------
<S><C>
Increase (Decrease) in Net Assets from:
Operations
Net Investment Income $ 10,297,028 $ 13,974,2600
Net Realized Gain from Investments, Foreign Currency Transactions,
Forward Foreign Currency Contracts and Futures Contracts 14,654,296 101,389,267
Net Change in Unrealized Appreciation/Depreciation on Investments, Foreign
Currency Transactions, Forward Foreign Currency Contracts and Futures Contracts (34,475,013) 21,903,331
------------- -------------
Net Increase (Decrease) in Net Assets from Operations (9,523,689) 137,266,858
------------- -------------
Capital Transactions
Proceeds from Capital Invested 179,164,242 305,009,400
Value of Capital Withdrawn (168,276,734) (141,442,529)
------------- -------------
Net Increase (Decrease) in Net Assets from Capital Transactions 10,887,508 163,566,871
------------- -------------
Total Increase in Net Assets 1,363,819 300,833,729
Net Assets
Beginning of Period 649,372,422 348,538,693
------------- -------------
End of Period $ 650,736,241 $ 649,372,422
============= =============
</TABLE>
<TABLE>
<CAPTION>
Asset Management II
--------------------------------------------
For the six months ended For the year ended
September 30, 1998+ March 31, 1998
------------------- --------------
<S><C>
Increase (Decrease) in Net Assets from:
Operations
Net Investment Income $ 1,532,055 $ 2,944,682
Net Realized Gain from Investments, Foreign Currency Transactions and
Futures Contracts 2,960,269 14,607,350
Net Change in Unrealized Appreciation/Depreciation on Investments, Foreign
Currency Transactions, Forward Foreign Currency Contracts and Futures
Contracts (2,765,459) 1,032,028
------------- -------------
Net Increase in Net Assets from Operations 1,726,865 18,584,060
------------- -------------
Capital Transactions
Proceeds from Capital Invested 19,849,639 34,992,651
Value of Capital Withdrawn (32,531,584) (20,281,108)
------------- -------------
Net Increase (Decrease) in Net Assets from Capital Transactions (12,681,945) 14,711,543
------------- -------------
Total Increase (Decrease) in Net Assets (10,955,080) 33,295,603
Net Assets
Beginning of Period 95,071,530 61,775,927
------------- -------------
End of Period $ 84,116,450 $ 95,071,530
============= =============
</TABLE>
<TABLE>
<CAPTION>
Asset Management III
--------------------------------------------
For the six months ended For the year ended
September 30, 1998+ March 31, 1998
------------------- --------------
<S><C>
Increase (Decrease) in Net Assets from:
Operations
Net Investment Income $ 1,126,450 $ 1,748,553
Net Realized Gain from Investments, Foreign Currency Transactions, Forward
Foreign Currency Contracts and Futures Contracts 1,454,264 4,102,263
Net Change in Unrealized Appreciation/Depreciation on Investments, Foreign
Currency Transactions, Forward Foreign Currency Contracts and Futures
Contracts (115,531) 976,474
------------- -------------
Net Increase in Net Assets from Operations 2,465,183 6,827,290
------------- -------------
Capital Transactions
Proceeds from Capital Invested 22,786,713 22,821,438
Value of Capital Withdrawn (17,334,617) (12,791,104)
------------- -------------
Net Increase in Net Assets from Capital Transactions 5,452,096 10,030,334
------------- -------------
Total Increase in Net Assets 7,917,279 16,857,624
Net Assets
Beginning of Period 49,399,160 32,541,536
------------- -------------
End of Period $ 57,316,439 $ 49,399,160
============= =============
</TABLE>
- --------------
+ Unaudited
See Notes to Financial Statements on Pages 31 through 34
29
<PAGE>
Asset Management Portfolios
Financial Highlights
Contained below are selected ratios to average net assets and other supplemental
data for each period indicated for the Asset Management Portfolios.
<TABLE>
<CAPTION>
Asset Management Portfolio
-----------------------------------------------------------------------------------
For the period
For the September 16, 1993
six months For the years ended March 31, (Commencement
ended ----------------------------------------------- of Operations) to
Sept. 30, 1998+ 1998 1997 1996 1995 March 31, 1994
--------------- ------------ ----------- ---------- ---------- -----------------
<S><C>
Supplemental Data and Ratios:
Net Assets, End of Period (000s omitted) $ 651,069 $ 649,372 $348,539 $ 240,142 $ 96,529 $ 36,283
Ratios to Average Net Assets:
Net Investment Income 3.03%* 2.97% 3.12% 3.999% 3.78% 2.83%*
Expenses 0.60%* 0.60% 0.60% 0.60% 0.60% 0.60%*
Decrease Reflected in Above Expense Ratio Due
to Absorption of Expenses by Bankers Trust 0.15%* 0.16% 0.16% 0.17% 0.19% 0.33%*
Portfolio Turnover Rate 57% 199% 137% 154% 92% 56%
</TABLE>
<TABLE>
<CAPTION>
Asset Management Portfolio II
-----------------------------------------------------------------------------------
For the period
For the October 14, 1993
six months For the years ended March 31, (Commencement
ended ----------------------------------------------- of Operations) to
Sept. 30, 1998+ 1998 1997 1996 1995 March 31, 1994
--------------- ------------ ----------- ---------- ---------- -----------------
<S><C>
Supplemental Data and Ratios:
Net Assets, End of Period (000s omitted) $ 84,116 $ 95,072 $ 61,776 $ 51,400 $ 25,604 $ 19,175
Ratios to Average Net Assets:
Net Investment Income 3.36%* 3.71% 3.87% 4.55% 4.41% 3.17%*
Expenses 0.60%* 0.60% 0.60% 0.60% 0.60% 0.60%*
Decrease Reflected in Above Expense Ratio Due
to Absorption of Expenses by Bankers Trust 0.17%* 0.18% 0.20% 0.20% 0.27% 0.48%*
Portfolio Turnover Rate 111% 275% 209% 208% 105% 79%
</TABLE>
<TABLE>
<CAPTION>
Asset Management Portfolio III
-----------------------------------------------------------------------------------
For the period
For the October 15, 1993
six months For the years ended March 31, (Commencement
ended ----------------------------------------------- of Operations) to
Sept. 30, 1998+ 1998 1997 1996 1995 March 31, 1994
--------------- ------------ ----------- ---------- ---------- -----------------
<S><C>
Supplemental Data and Ratios:
Net Assets, End of Period (000s omitted) $ 57,316 $ 49,399 $ 32,542 $ 28,869 $ 21,202 $ 17,586
Ratios to Average Net Assets:
Net Investment Income 4.15%* 4.45% 4.64% 5.04% 4.87% 3.51%*
Expenses 0.60%* 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%* 0.21% 0.23% 0.22% 0.30% 0.49%*
Portfolio Turnover Rate 180% 389% 307% 221% 111% 84%
</TABLE>
- --------------
+ Unaudited
* Annualized
See Notes to Financial Statements on Pages 31 through 34
30
<PAGE>
Asset Management Portfolios
Notes to Financial Statements (unaudited)
Note 1--Organization and Significant Accounting Policies
A. Organization
The Asset Management Portfolio, Asset Management Portfolio II and Asset
Management Portfolio III (each a "Portfolio," and collectively, the
"Portfolios") are registered under the Investment Company Act of 1940 ("the
Act"), as amended, as open-end management investment companies. The Portfolios
were organized and commenced operations as follows:
Organization Commencement
Portfolio Date of Operations
- -------------------- ---------------- ------------------
Asset Management June 9, 1992 September 16, 1993
Asset Management II October 28, 1992 October 14, 1993
Asset Management III October 28, 1992 October 15, 1993
The Declaration of Trust permits the Board of Trustees (the "Trustees") to issue
beneficial interests in the Portfolios.
B. Security Valuation
The Portfolios' investments listed or traded on National Stock Exchanges or
other domestic or foreign exchanges are valued based on the closing price of the
security traded on that exchange prior to the time when the Portfolio assets are
valued. Short-term debt securities are valued at market value until such time as
they reach a remaining maturity of 60 days, whereupon they are 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 make initial margin deposits either in cash or
securities in an amount equal to a certain percentage of the contract amount.
Variation margin 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
Each Portfolio is considered a partnership under the Internal Revenue Code.
Therefore, no federal income tax provision is necessary.
31
<PAGE>
Asset Management Portfolios
Notes to Financial Statements (continued) (unaudited)
J. Other
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions that
affect the reported amounts in the financial statements. 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.
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.
Bankers Trust has voluntarily undertaken to waive and reimburse expenses of each
Portfolio, to the extent necessary, to limit all expenses to .60% of the average
daily net assets of each Portfolio.
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 September 30, 1998, the Asset
Management, Asset Management II, and Asset Management III Portfolios had
interest income receivable from the Fund in the amounts of $7,325, $1,801, and
$2,111, respectively. Additionally, distributions from the Fund to the Trust as
of September 30, 1998 are included in income and summarized as follows:
$ 1,171,804 Asset Management
$ 416,058 Asset Management II
$ 241,840 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 among 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 six-month period ended September 30,
1998.
Note 3--Purchases and Sales of Investment Securities
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 six-month
period ended September 30, 1998, were as follows:
Portfolio Purchases Sales
- --------- --------- -----
Asset Management $182,244,647 $182,608,493
Asset Management II 51,507,512 51,402,432
Asset Management III 35,433,862 36,818,050
For federal income tax purposes, the tax basis of investments held at September
30, 1998, were as follows:
Portfolio Cost-Tax Basis
- --------- --------------
Asset Management $709,753,900
Asset Management II 86,898,412
Asset Management III 63,778,200
The aggregate gross unrealized appreciation and depreciation for all investments
as of September 30, 1998, were as follows:
Portfolio Appreciation Depreciation
- --------- ------------ ------------
Asset Management $22,373,557 $(25,975,796)
Asset Management II 2,512,473 (3,668,456)
Asset Management III 802,190 (813,346)
32
<PAGE>
Asset Management Portfolios
Notes to Financial Statements (continued) (unaudited)
Note 4--Futures Contracts
A summary of obligations under these financial instruments at September 30, 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 December 1998 378 Long $ 96,957,000 $(2,683,800)
US Treasury Note Futures December 1998 1,349 Long 163,819,187 9,580,007
CAC 40 Year Futures December 1998 856 Long 24,666,000 (929,176)
German Bond Futures December 1998 99 Long 16,979,048 405,302
Gilt Futures December 1998 36 Long 7,085,623 263,176
Japanese Bond Futures December 1998 33 Long 33,545,974 996,197
French Bond Futures December 1998 54 Long 5,328,357 131,679
- ------------------------ ------- ------------ -----------
Total 2,805 $348,381,189 $ 7,763,385
======= ============ ===========
</TABLE>
<TABLE>
<CAPTION>
Asset Management II Portfolio
-----------------------------
Unrealized
Appreciation
Type of Futures Expiration Contracts Position Market Value (Depreciation)
- ------------------------ ------------- --------- -------- ------------ --------------
<S><C>
S&P 500 December 1998 6 Long $ 1,539,000 $ (47,250)
US Treasury Futures December 1998 176 Long 21,373,000 1,249,875
CAC 40 Year Futures December 1998 95 Long 2,737,465 (103,541)
German Bond Futures December 1998 18 Long 3,087,100 73,593
Gilt Futures December 1998 3 Long 590,469 21,977
Japanese Bond Futures December 1998 4 Long 4,070,278 120,443
French Bond Futures December 1998 15 Long 1,480,099 36,568
- ------------------------ ------- ------------ -----------
Total 317 $ 34,877,411 $ 1,351,665
======= ============ ===========
</TABLE>
<TABLE>
<CAPTION>
Asset Management III Portfolio
------------------------------
Unrealized
Appreciation
Type of Futures Expiration Contracts Position Market Value (Depreciation)
- ------------------------ ------------- --------- -------- ------------ --------------
<S><C>
S&P 500 December 1998 6 Long $ 1,539,000 $ (42,600)
US Treasury Futures December 1998 157 Long 19,065,688 1,070,367
CAC 40 Year Futures December 1998 63 Long 1,815,371 (68,663)
German Bond Futures December 1998 12 Long 2,058,066 48,957
Gilt Futures December 1998 2 Long 393,646 14,648
Japanese Bond Futures December 1998 3 Long 3,049,634 90,561
French Bond Futures December 1998 10 Long 986,733 24,373
- ------------------------ ------- ------------ -----------
Total 253 $ 28,908,138 $ 1,137,643
======= ============ ===========
</TABLE>
At September 30, 1998, the Portfolios have segregated sufficient securities
to cover margin requirements on open futures contracts.
33
<PAGE>
Asset Management Portfolios
Notes to Financial Statements (continued) (unaudited)
Note 5--Open Forward Foreign Currency Contracts
A summary of obligations under these financial instruments at September 30, 1998
is as follows:
<TABLE>
<CAPTION>
Asset Management Portfolio
--------------------------
Net Unrealized
Contracts to Deliver In Exchange For Settlement Date Value (US$) Appreciation (US$)
- -----------------------------------------------------------------------------------------------------------------
<S><C>
Purchases
- -----------------------------------------------------------------------------------------------------------------
German Deutschemark 2,878,000 U.S. Dollars $ 1,649,047 10/6/98 $1,725,730 $ 76,682
British Pound 3,517,000 U.S. Dollars 5,867,587 10/6/98 5,973,976 106,389
Japanese Yen 284,935,000 U.S. Dollars 2,076,090 10/6/98 2,086,366 10,276
- -----------------------------------------------------------------------------------------------------------------
Total Net Unrealized Appreciation $ 193,347
- -----------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Asset Management II Portfolio
-----------------------------
Net Unrealized
Contracts to Deliver In Exchange For Settlement Date Value (US$) Appreciation (US$)
- -----------------------------------------------------------------------------------------------------------------
<S><C>
Purchases
- -----------------------------------------------------------------------------------------------------------------
German Deutschemark 822,000 U.S. Dollars $ 470,992 10/6/98 $ 492,894 $ 21,902
British Pound 297,000 U.S. Dollars 495,500 10/6/98 504,484 8,984
Japanese Yen 39,428,000 U.S. Dollars 287,280 10/6/98 288,702 1,422
French Franc 1,262,000 U.S. Dollars 215,448 10/6/98 225,486 10,038
- -----------------------------------------------------------------------------------------------------------------
Total Net Unrealized Appreciation $ 42,346
- -----------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Asset Management III Portfolio
------------------------------
Net Unrealized
Contracts to Deliver In Exchange For Settlement Date Value (US$) Appreciation (US$)
- -----------------------------------------------------------------------------------------------------------------
<S><C>
Purchases
- -----------------------------------------------------------------------------------------------------------------
German Deutschemark 545,000 U.S. Dollars $ 312,276 10/6/98 $ 326,797 $ 14,521
British Pound 197,000 U.S. Dollars 328,665 10/6/98 334,624 5,959
Japanese Yen 26,132,000 U.S. Dollars 190,403 10/6/98 191,345 942
French Franc 836,000 U.S. Dollars 142,722 10/6/98 149,371 6,649
- -----------------------------------------------------------------------------------------------------------------
Total Net Unrealized Appreciation $ 28,072
- -----------------------------------------------------------------------------------------------------------------
</TABLE>
34
<PAGE>
This page intentionally left blank.
<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
ICC DISTRIBUTORS, INC.
P.O. Box 7558
Portland, ME 04112-9892
Custodian and Transfer Agent
BANKERS TRUST COMPANY
130 Liberty Street
New York, NY 10006
Independent Accountants
PRICEWATERHOUSECOOPERS LLP
250 West Pratt Street
Baltimore, MD 21201
Counsel
WILLKIE FARR & GALLAGHER
787 7th Avenue
New York, NY 10019
-------------------
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 report must be preceded or accompanied by a current
prospectus for the Fund.
-------------------
BT Lifecycle Funds CUSIP #055922827
055922835
055922843
COMBLIFE 100 (9/98)
