MARCH 31, 1999
BT Mutual Funds
Lifecycle Long Range Fund
Lifecycle Mid Range Fund
Lifecycle Short Range Fund
Annual Report
TRUST: BT INVESTMENT FUNDS
INVESTMENT ADVISOR: BANKERS TRUST COMPANY
<PAGE>
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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
Report of Independent Accountants ....................................... 18
Asset Management Portfolios
Schedules of Portfolio Investments ...................................... 19
Statements of Assets and Liabilities .................................... 28
Statements of Operations ................................................ 29
Statements of Changes in Net Assets ..................................... 30
Financial Highlights .................................................... 31
Notes to Financial Statements ........................................... 32
Report of Independent Accountants ....................................... 36
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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.
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2
<PAGE>
- --------------------------------------------------------------------------------
Investment Funds
Letter to Shareholders
- --------------------------------------------------------------------------------
We are pleased to present you with this annual report for the BT Investment
Lifecycle Long Range, Mid Range, and Short Range Funds (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
Economic and financial market performance ran on parallel tracks in the
industrial countries for most of the Funds' fiscal year.
o In the U.S., an exuberant, low-inflation economy, an easier monetary policy,
and a safe-haven status in a sea of global turmoil helped spark rallies in
Treasury securities and a fourth consecutive year of double-digit gains in
major stock indices.
o U.S. Treasuries outperformed other fixed income sectors for the year, but
they suffered in the first quarter of 1999, as concerns over international
turmoil lessened and investor demand for the higher yields offered by other
fixed income sectors increased.
o The Euro-zone also turned in a fine economic performance for the year. Growth
was solid and inflation continued to edge lower, prompting declines in
interest rates and substantial rallies in equity markets. Optimism about the
advent of the single currency buttressed European financial markets.
o Bringing up the rear of the world's advanced economies once again was Japan,
as the nation showed no sign of breaking out of its slump in a meaningful
way.
U.S. Equities
Overall, the fiscal year witnessed a continuation of significant volatility, but
at the same time U.S. equity markets in general were strong. Concerns over both
foreign and domestic economies kept investor preference toward the liquidity and
perceived safety of large-capitalization stocks.
o Large cap stocks, as measured by the S&P 500 Index, produced a one year
return of 18.46%, leading the U.S. equity market. Midcap and small cap stocks
rallied in the second half of the fiscal year, but impacted by global
economic turmoil in the third calendar quarter of 1998, returned 0.45% and
-16.26% for the twelve months ended March 31, 1999, respectively.
o The third calendar quarter was highlighted by several factors which combined
to cause all U.S. equity markets to tumble:
- Russia's financial collapse
- a weakening economic outlook in Latin America
- ongoing economic woes in Asia
- the collapse of a high profile hedge fund
- lower corporate profits and expectations of slower growth in the U.S.
o Fears of global recession and financial market instability prompted three
quick interest rate cuts of 0.25% each by the Federal Reserve Board beginning
in late September. This demonstrated commitment to maintain global financial
stability--along with a lack of panic among small market investors after the
summer plunge--was all the markets needed to spark a powerful rally that
fueled the strongest fourth quarter returns in some twenty years for most of
the major U.S. large cap equity indices. The quarter was led by the
technology sector in general and internet-related stocks in particular.
o Equity markets continued to rally in the first quarter of 1999, buoyed by
strength in economic growth, consumer spending, and fourth quarter earnings
reports as well as by low inflation and interest rates. Many companies,
especially in the technology arena, expressed upbeat outlooks.
U.S. Bonds
The U.S. bond market rallied, 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. However, the year was split between the U.S.
Treasury rally in the first half and the "spread sectors" rally in the second.
o For the first six months of the annual period:
- U.S. Treasuries were the primary beneficiary 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.
- Yield spreads on corporate and asset-backed securities widened with
investor concerns about the negative domestic credit implications of the
financial crisis in foreign markets. The mortgage-backed sector lagged, as
the expectation of high prepayments was renewed.
o In the six months ending March 31, 1999:
- Yield spreads in the corporate, mortgage, and asset-backed sectors
tightened substantially with the return of liquidity to the fixed income
markets and volatility seemed to decline with the unwinding of the global
crisis environment. This relative outperformance made what are known as
the "spread sectors" even more attractive.
- These very same factors led to a U.S. Treasury market performance of
-0.15% for the fourth calendar quarter of 1998, its first negative
performance since the first quarter of 1997. The U.S. Treasury Index was
dragged down even further in the first quarter of 1999, with the birth of
the Euro currency, Brazilian devaluation, and in the U.S., heavy merger
activity and booming debt origination.
- Municipal bond yields moderately increased, demonstrating less volatility
than other fixed income sectors primarily because they are less impacted
by overseas turmoil.
International Markets
Most of the world's developed equity markets enjoyed a record-setting pace
through mid-July, but emerging market uncertainties and many of the same factors
that led to third calendar quarter troubles for the U.S. equity markets spoiled
this trend. In the second half of the fiscal year, world equity markets in
general rebounded sharply from the summer's painful sell-off, as several events
combined to improve investor sentiment.
o Unexpected rate reductions by the U.S. Federal Reserve Board relieved
emerging market tensions.
o Congressional approval of International Monetary Fund (IMF) rescue funds for
Brazil was seen as helpful in restoring confidence.
o Initial pessimism that Japan would endure a deep and prolonged recession took
the Nikkei Index to 13 year lows. But even there, the subsequent flow of
restructuring announcements by Japanese corporations combined with bank
capital injections led foreign investors to return to Japan despite anemic
economic conditions.
3
<PAGE>
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Investment Funds
Letter to Shareholders
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o Emerging markets as a whole reversed their sharp losses of the previous
half-year, staging a broad recovery as a result of a more favorable interest
rate environment and evidence that economic conditions have bottomed,
particularly in Asia.
International bond markets were impacted by most of the same factors as the U.S.
and international equity markets. During the third calendar quarter of 1998,
these markets were shaken by Russia defaulting on its domestic debt only weeks
after entering into a new IMF-assisted bailout. In response to signs of a global
economic slowdown, central banks around the world eased monetary policy to
stimulate credit expansion, triggering an extensive bond rally in the last
months of 1998. However, European interest rates backed up in the first quarter
of 1999, as a result of the same happening in the U.S.
Cash
The U.S. dollar was rather irrepressible for most of the first half of the
fiscal year, standing strong versus most currencies, including the Japanese yen,
the German deutschemark, 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 the fourth calendar quarter, the U.S. dollar continued to
weaken--sharply against the Japanese yen and moderately against the German
deutschemark. Reasons included:
o perceptions that the U.S. has the burden of bailing out global financial
markets, especially Latin America
o the announcement of an aggressive stimulus package to push Japan out of
recession
o the anticipation of a strong euro, the European economic and monetary union
(EMU) common currency
o political instability surrounding the Clinton impeachment proceedings.
As 1999 began, the U.S. dollar was steadily strong against the euro and volatile
against the yen.
INVESTMENT REVIEW
The Lifecycle Funds each outperformed its category average for the annual period
ended March 31, 1999. This strong relative performance was due primarily to
superior asset allocation. While the Funds each slightly underperformed its
respective benchmark, investment management fees accounted for the small
difference. Adjusting for this factor, the Funds would have slightly
outperformed their benchmark returns.
<TABLE>
<CAPTION>
Periods ended March 31, 1999 Cumulative Total Returns Average Annual Total Returns
- -------------------------------------------------------------------------------------------------------------------------------
Past 1 Past 3 Past 5 Since Past 1 Past 3 Past 5 Since
year years years inception year years years inception
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
BT Investment Lifecycle Long Range Fund(1) 12.44% 71.18% 117.89% 110.92% 12.44% 19.62% 16.85% 14.91%
(inception 11/16/93)
Asset Allocation Index--Long Range(2) 13.42% 63.81% 118.26% 112.96% 13.42% 18.63% 17.59% 15.52%
Lipper Flexible Portfolio Average(3) 6.20% 52.47% 104.18% 101.91% 6.20% 14.88% 14.99% 13.73%
- -------------------------------------------------------------------------------------------------------------------------------
BT Investment Lifecycle Mid Range Fund(1) 10.12% 54.63% 86.58% 77.31% 10.12% 15.64% 13.28% 11.06%
(inception 10/14/93)
Asset Allocation Index--Mid Range(2) 10.82% 49.33% 89.55% 85.12% 10.82% 14.30% 13.64% 12.04%
Lipper Flexible Portfolio Average(3) 6.20% 52.47% 104.18% 102.16% 6.20% 14.88% 14.99% 13.31%
- -------------------------------------------------------------------------------------------------------------------------------
BT Investment Lifecycle Short Range Fund(1) 7.76% 38.52% 58.02% 52.56% 7.76% 11.47% 9.58% 8.05%
(inception 10/15/93)
Asset Allocation Index--Short Range(2) 8.07% 33.12% 59.21% 56.31% 8.07% 10.00% 9.75% 8.60%
Lipper Income Average(3) 2.48% 39.37% 86.33% 78.81% 2.48% 11.57% 13.00% 11.14%
- -------------------------------------------------------------------------------------------------------------------------------
</TABLE>
The Funds started the fiscal year with a higher allocation to U.S. equities than
their benchmark weightings and conversely a lower than benchmark allocation to
U.S. bonds. This served the Funds well for the second calendar quarter of 1998,
as stock performance bettered bonds by about 1%. Over the summer, we reduced the
Funds' allocation to U.S. stocks somewhat in favor of European stock markets
like France and Germany. After the correction in global equity markets toward
the end of the third calendar quarter, the Funds shifted out of European stocks
and again overweighted U.S. equities. Throughout, the Funds maintained an
underweight allocation to U.S. bonds, while investing internationally in
government bonds from Japan, France and Germany.
Though the U.S. equity portion of the Funds' portfolios did not match S&P 500
Index performance for the fiscal year, it did manage to beat the performance of
broader indices like the Russell 3000 Index. The fixed income portion of the
Funds' portfolios closely tracked the Salomon Broad Investment Grade (BIG)
Index(4) for the fiscal year. Overall, individual stock selection detracted from
relative performance while asset allocation and country selection decisions had
a positive impact on the Funds' returns.
o The Lifecycle Long Range Fund's asset weightings were 56% in equities, 39%
in bonds, and 5% in cash and other short-term instruments as of March 31,
1999.
- ----------
(1) 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.
(2) Indices are unmanaged, and investments cannot be made in an index. During
the period the Fund waived certain fees and expenses. Had these fees and
expenses not been waived, the Fund's return would have been lower.
(3) 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.
(4) The Salomon Broad Investment Grade Index covers an all-inclusive universe of
institutionally-traded U.S. Treasury, agency, mortgage and corporate
securities.
4
<PAGE>
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Investment Funds
Letter to Shareholders
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o The Lifecycle Mid Range Fund's asset weightings were 37% in equities, 54% in
bonds and 9% in cash and other short-term instruments as of March 31, 1999.
o The Lifecycle Short Range Fund's asset weightings were 17% in equities, 60%
in bonds and 23% in cash and other short-term instruments as of March 31,
1999.
MANAGER OUTLOOK
We believe the U.S. economic juggernaut, combining solid growth with low
inflation, should continue unabated and remains a key sustaining element for the
global economic environment. By skirting the typical inflationary ambush points
as the economic expansion matures, the U.S. not only has created unusual
domestic prosperity, but it also has helped a number of nations overseas to
regain some of their equilibrium, though growth outside the U.S. remains quite
mediocre. We are optimistic about continued U.S. economic strength and its
favorable affect on the international markets, as the proverbial rising tide
does finally appear to be lifting all ships.
o The strongest labor market in 30 years, higher personal incomes, and brimming
confidence levels keep the U.S. appetite for imports at a fevered pitch.
o Ironically, the U.S. economy has benefited, too, from the prior slump in Asia
and sluggishness in Europe. Ample spare capacity overseas has acted as a
safety valve, keeping a lid on global prices and allowing the U.S. economy to
grow briskly without sparking inflationary pressures.
o Tame inflation is the primary factor keeping the Federal Reserve Board from
raising interest rates and preserving the bullish sentiment in U.S. financial
markets. Also, over the past three years, the growth of productivity has
roughly doubled to 2% a year, and some are greeting this news as the
beginning of a long-term trend which will permanently quicken the rate of
improvement of living standards while temporarily helping hold down
inflation.
Aggressive monetary easing by the European Central Bank has heightened hopes
that the soggy pattern of economic activity in Europe during late 1998 and early
this year will pick up soon. There seems to be significant monetary easing built
into the pipeline at this point, as many of the peripheral countries in the EMU
lowered interest rates dramatically to meet the January 1 target for monetary
union. In addition, the Bank of England has been dropping rates forcefully for
some months now. We expect the European policy-makers to meet with reasonably
good success as they try to breathe a little more vitality into the region. So
far, however, the European expansion remains listless, especially in Germany.
Japan's economic travails have been more dramatic and prolonged than Europe's,
of course, but the recent rally in its stock market and liberal doses of
government spending and monetary easing are triggering forecasts of an upturn.
However, we still believe that Japan's GDP will not break into positive
territory this fiscal year. The wobbly labor market gives off alarming signals
to wary Japanese consumers. Unemployment, already at record levels, is likely to
rise further as corporations restructure, streamline, and adjust to the rigors
of global competition and a lackluster domestic marketplace. We anticipate that
a lift-off in consumer and business sentiment will be required to place the
economy on a self-sustaining recovery track.
Given this outlook, we intend to keep the Funds' portfolios overweighted in U.S.
equities for the foreseeable future. It is hard to be bearish on U.S. stocks
despite their high valuations, because the U.S. economy is itself a formidable
growth machine that continues to help companies generate relatively high levels
of revenue and profits. Rising labor costs and limited pricing power are
chipping away at profit margins, but this has been a gradual process, and labor
costs are still relatively restrained. It probably will require some fairly
dramatic event, such as a monetary tightening, to dampen the spirits of the U.S.
stock market, and we believe the Federal Reserve Board is not going to undertake
such a move until it has definitive evidence that inflation has returned. For
now, steady monetary policy is likely to keep U.S. interest rates moving in a
narrow range. In Europe, recent monetary measures should, in our opinion, speed
up the rate of economic activity and give a lift to equity markets in the
region. We remain skeptical about the recently more favorable economic outlook
in Japan, and we believe the equity market there may get a little uneasy if
growth does not pick up soon.
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
March 31, 1999
5
<PAGE>
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Investment Lifecycle Long Range Fund
Letter to Shareholders
- --------------------------------------------------------------------------------
Diversification of Portfolio Investments
By Asset Class as of March 31, 1999
(percentages are based on Net Assets)
The printed document contains a pie chart depicting the following percentages:
Stocks 56%
Bonds 39%
Short Term Instruments 5%
This 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.
Cisco Systems, Inc.
General Electric Co.
Merck &Co., Inc.
BankAmerica Corp.
Five Largest Fixed Income Securities
FNMA TBA, 7.5%, 9/1/21
U.S. Treasury Bond, 8.125%, 8/15/19
FNMA TBA, 6.5%, 4/1/23
U.S. Treasury Note, 4.75%, 11/15/08
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 Periods
Ended March 31, 1999
One Three Five Since
Year Year Year 11/16/93*
12.44% 19.62%** 16.85%** 14.91%**
* 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.
- -----------------------------------
- ----------
(1) 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
BT Investment Lifecycle Long Range Fund - $21,092
Asset Allocation Index - Long Range Fund - $21,296
S&P 500 Index - $31,229
The printed document contains a line graph depicting the following plot points:
<TABLE>
<CAPTION>
Nov-93 Mar-94 Sep-94 Mar-95 Sep-95 Mar-96 Sep-96 Mar-97 Sep-97 Mar-98 Sep-98 Mar-99
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
10000 9680 9698 10319 11479 12321 13074 14032 16686 18759 18492 21092
10000 9789 10082 10843 12256 13180 13889 14908 17432 19400 19192 21296
10000 9737 10256 11253 13308 14867 16014 17813 22490 26363 24524 31229
</TABLE>
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. Performance figures assume the
reinvestment of dividends and capital gain distributions.
6
<PAGE>
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Investment Lifecycle Mid Range Fund
Letter to Shareholders
- --------------------------------------------------------------------------------
Diversification of Portfolio Investments
By Asset Class as of March 31, 1999
(percentages are based on Net Assets)
The printed document contains a pie chart depicting the following percentages:
Bonds 54%
Stocks 37%
Short Term Instruments 9%
This 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.
Cisco Systems, Inc.
General Electric Co.
Merck &Co., Inc.
BankAmerica Corp.
Five Largest Fixed Income Securities
U.S. Treasury Bond, 8.125%, 8/15/19
FNMA TBA, 7.5%, 9/1/21
FNMA, 6.5%, 4/1/23
FHLB, 5.125%, 9/15/03
FNMA TBA, 7%, 9/1/21
- --------------------------------------------------------------------------------
Objective
Seeks long term capital growth, current income and growth of income consistent
with reasonable investment risk.
Investment Instruments
Primarily common stocks, corporate and government issued intermediate- to
long-term bonds, various government agency issued asset-backed securities, and
all types of domestic and foreign securities and money market instruments.
- --------------------------------------------------------------------------------
Performance Comparison
- --------------------------------------------------------------------------------
Comparison of Change in
Value of a $10,000
Investment in the BT
Investment Lifecycle Mid
Range Fund, the Asset
Allocation Index-Mid
Range and the S&P 500
Index since October 31,
1993.
- -----------------------------------
Total Return for the Periods
Ended March 31, 1999
One Three Five Since
Year Year Year 10/14/93*
10.12% 15.64%** 13.28%** 11.06%**
* 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.
- -----------------------------------
- ----------
(1) 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
BT Investment Lifecycle Mid Range Fund - $17,731
Asset Allocation Index - Mid Range(1) $18,512
S&P 500 Index - $30,932
The printed document contains a line graph depicting the following plot points:
<TABLE>
<CAPTION>
Oct-93 Mar-94 Sep-94 Mar-95 Sep-95 Mar-96 Sep-96 Mar-97 Sep-97 Mar-98 Sep-98 Mar-99
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
10000 9503 9515 10002 10876 11466 12040 12746 14662 16101 16336 17731
10000 9766 9971 10611 11724 12396 12934 13658 15388 16705 16912 18512
10000 9644 10158 11145 13180 14724 15861 17642 22275 26111 24290 30932
</TABLE>
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. Performance figures assume the
reinvestment of dividends and capital gain distributions.
7
<PAGE>
- --------------------------------------------------------------------------------
Investment Lifecycle Short Range Fund
Letter to Shareholders
- --------------------------------------------------------------------------------
Diversification of Portfolio Investments
By Asset Class as of March 31, 1999
(percentages are based on Net Assets)
The printed document contains a pie chart depicting the following
percentages:
Stocks 17%
Bonds 60%
Short Term Instruments 23%
This 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.
Cisco Systems, Inc.
General Electric Co.
Merck &Co.
American International Group, Inc.
Five Largest Fixed Income Securities
U.S. Treasury Bond, 8.125%, 8/15/19
FNMA TBA, 6.5%, 4/1/23
FNMA TBA, 5.625%, 3/15/01
FNMA TBA, 7%, 9/1/21
U.S. Treasury Note, 4.75%, 11/15/08
- --------------------------------------------------------------------------------
Objective
Seeks high income over the long term consistent with conservation of capital.
Investment Instruments
Primarily common stocks, corporate and government issued intermediate- to
long-term bonds, various government agency issued asset-backed securities, and
all types of domestic and foreign securities and money market instruments.
- --------------------------------------------------------------------------------
Performance Comparison
- --------------------------------------------------------------------------------
Comparison of Change in Value of a $10,000 Investment in the BT Investment
Lifecycle Short Range Fund, the Asset Allocation Index-Short Range and the S&P
500 Index since October 31, 1993.
Total Return for the Periods Ended March 31, 1999
One Three Five Since
Year Year Year 10/15/93*
7.76% 11.47%** 9.58%** 8.05%**
* 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.
- ----------
(1) 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
The printed document contains a line graph depicting the following
plot points:
BT Investment Asset
Lifecycle Allocation
Short Range Index -- S&P 500
Fund Short Range(1) Index
------------- -------------- -------
Oct-93 10000 10000 10000
Mar-94 9654 9818 9644
Sep-94 9580 9935 10158
Mar-95 9951 10461 11145
Sep-95 10635 11297 13180
Mar-96 11014 11742 14724
Sep-96 11427 12128 15861
Mar-97 11929 12595 17642
Sep-97 13236 13664 22275
Mar-98 14158 14463 26111
Sep-98 14775 14966 24290
Mar-99 15256 15631 30932
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. Performance figures assume the
reinvestment of dividends and capital gain distributions.
8
<PAGE>
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------
Investment Funds
Statements of Assets and Liabilities March 31, 1999
- ---------------------------------------------------------------------------------------------------------------------
Long Range Mid Range Short Range
------------- ------------ -------------
<S> <C> <C> <C>
Assets
Investment in Portfolio, at Value(1) $ 133,500,596 $ 77,738,644 $ 44,498,025
Receivable for Shares of Beneficial Interest Subscribed 160,445 35,338 136,113
Prepaid Expenses and Other 13,501 13,013 8,506
------------- ------------ ------------
Total Assets 133,674,542 77,786,995 44,642,644
------------- ------------ ------------
Liabilities
Due to Bankers Trust 34,401 10,634 2,266
Payable for Shares of Beneficial Interest Redeemed 65,811 196,466 84,441
Accrued Expenses and Other 24,340 24,305 24,139
------------- ------------ ------------
Total Liabilities 124,552 231,405 110,846
------------- ------------ ------------
Net Assets $ 133,549,990 $ 77,555,590 $ 44,531,798
============= ============ ============
Composition of Net Assets
Paid-in Capital $ 120,757,800 $ 74,387,702 $ 44,530,848
Distribution in Excess of Net Investment Income (2,278,005) (50,432) (84,219)
Accumulated Net Realized Gain (Loss) from Investment,
Foreign Currency Transactions, Forward Foreign
Currency Contracts and Futures Contracts 2,021,200 (1,225,602) (1,038,722)
Net Unrealized Appreciation on Investment, Foreign Currency,
Forward Foreign Currency Contracts and Futures Contracts 13,048,995 4,443,922 1,123,891
------------- ------------ ------------
Net Assets $ 133,549,990 $ 77,555,590 $ 44,531,798
============= ============ ============
Net Asset Value, Offering and Redemption Price Per Share
(net assets divided by shares outstanding) $ 12.57 $ 10.60 $ 10.23
============= ============ ============
Shares Outstanding ($0.001 par value per share,
unlimited number of shares of beneficial interest authorized) 10,621,099 7,317,330 4,351,892
============= ============ ============
</TABLE>
- ---------
(1) Allocated from Asset Management Portfolio, Asset Management Portfolio II
and Asset Management Portfolio III, respectively.
See Notes to Financial Statements.
9
<PAGE>
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
Investment Funds
Statements of Operations For the year ended March 31, 1999
- -------------------------------------------------------------------------------------------------------------
Long Range Mid Range Short Range
------------ ----------- -----------
<S> <C> <C> <C>
Investment Income
Income, net(1) $ 4,089,127 $ 2,753,269 $ 2,263,408
------------ ----------- -----------
Expenses
Administration and Services Fees 909,047 567,803 370,272
Professional Fees 20,749 18,864 18,724
Trustees Fees 4,533 4,748 4,935
Miscellaneous 17,935 20,377 19,665
------------ ----------- -----------
Total Expenses 952,264 611,792 413,596
Less Expenses absorbed by Bankers Trust (392,850) (262,375) (185,734)
------------ ----------- -----------
Net Expenses 559,414 349,417 227,862
------------ ----------- -----------
Net Investment Income 3,529,713 2,403,852 2,035,546
------------ ----------- -----------
Realized and Unrealized Gain on Investments, Foreign
Currency Transactions, Forward Foreign Currency Contracts
and Futures Contracts
Net Realized Gain from:
Investment, Foreign Currency and Forward Foreign
Currency Transactions 489,154 1,374,903 201,045
Futures Contracts 5,920,572 1,990,151 1,585,522
Net Change in Unrealized Appreciation/Depreciation on:
Investment, Foreign Currency Forward Foreign
Currency Contracts and Futures Contracts 5,325,283 2,598,491 551,175
------------ ----------- -----------
Net Realized and Unrealized Gain on Investment, Foreign
Currency, Forward Foreign Currency Contracts
and Futures Contracts 11,735,009 5,963,545 2,337,742
------------ ----------- -----------
Net Increase in Net Assets from Operations $ 15,264,722 $ 8,367,397 $ 4,373,288
============ =========== ===========
</TABLE>
- ----------
(1) Allocated from Asset Management Portfolio, Asset Management Portfolio II
and Asset Management Portfolio III, respectively.
See Notes to Financial Statements.
10
<PAGE>
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
Investment Funds
Statements of Changes in Net Assets
- -------------------------------------------------------------------------------------------------------------
Long Range
---------------------------------
For the For the
year ended year ended
March 31, 1999 March 31, 1998
-------------- --------------
<S> <C> <C>
Increase (Decrease) in Net Assets from:
Operations
Net Investment Income $ 3,529,713 $ 2,771,153
Net Realized Gain from Investment, Foreign Currency,
Forward Foreign Currency and Futures Transactions 6,409,726 22,301,816
Net Change in Unrealized Appreciation/Depreciation on Investment,
Foreign Currency, Forward Foreign Currency Contracts and
Futures Contracts 5,325,283 5,919,462
------------ ------------
Net Increase in Net Assets from Operations 15,264,722 30,992,431
------------ ------------
Distributions to Shareholders
Net Investment Income (3,834,208) (2,687,805)
Distributions in Excess of Net Investment Income (2,757,601) --
Net Realized Gain (26,078,487) (7,578,208)
------------ ------------
Total Distributions (32,670,296) (10,266,013)
------------ ------------
Capital Transactions in Shares of Beneficial Interest
Proceeds from Sales of Shares 56,216,194 50,397,372
Dividend Reinvestments 55,176,469 10,265,694
Cost of Shares Redeemed (99,238,072) (20,879,846)
------------ ------------
Net Increase from Capital Transactions in Shares of Beneficial Interest 12,154,591 39,783,220
------------ ------------
Total Increase (Decrease) in Net Assets (5,250,983) 60,509,638
Net Assets
Beginning of Year 138,800,973 78,291,335
------------ ------------
End of Year (Including (overdistributed)/undistributed net investment
income of ($2,278,005) and $304,495, respectively.) $133,549,990 $138,800,973
============ ============
<CAPTION>
Mid Range
---------------------------------
For the For the
year ended year ended
March 31, 1999 March 31, 1998
-------------- --------------
<S> <C> <C>
Increase (Decrease) in Net Assets from:
Operations
Net Investment Income $ 2,403,852 $ 2,627,618
Net Realized Gain from Investment, Foreign Currency,
Forward Foreign Currency and Futures Transactions 3,365,054 14,607,347
Net Change in Unrealized Appreciation/Depreciation on Investment,
Foreign Currency, Forward Foreign Currency Contracts and
Futures Contracts 2,598,491 1,032,026
------------ ------------
Net Increase in Net Assets from Operations 8,367,397 18,266,991
------------ ------------
Distributions to Shareholders
Net Investment Income (2,844,361) (2,559,223)
Net Realized Gain (15,354,490) (5,705,614)
Distributions in Excess of Net Realized Gain (1,199,818) --
------------ ------------
Total Distributions (19,398,669) (8,264,837)
------------ ------------
Capital Transactions in Shares of Beneficial Interest
Proceeds from Sales of Shares 55,734,996 26,695,260
Dividend Reinvestments 19,395,860 8,264,111
Cost of Shares Redeemed (81,647,087) (11,724,934)
------------ ------------
Net Increase (Decrease) from Capital Transactions in Shares of
Beneficial Interest (6,516,231) 23,234,437
------------ ------------
Total Increase (Decrease) in Net Assets (17,547,503) 33,236,591
Net Assets
Beginning of Year 95,103,093 61,866,502
------------ ------------
End of Year (Including (overdistributed)/undistributed net investment
income of ($50,432) and $364,301, respectively.) $ 77,555,590 $ 95,103,093
============ ============
</TABLE>
See Notes to Financial Statements.
11
<PAGE>
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------
Investment Funds
Statements of Changes in Net Assets
- -------------------------------------------------------------------------------------------------------------
Short Range
--------------------------------
For the For the
year ended year ended
March 31, 1999 March 31, 1998
-------------- --------------
<S> <C> <C>
Increase (Decrease) in Net Assets from:
Operations
Net Investment Income $2,035,546 $ 1,591,572
Net Realized Gain from Investment, Foreign Currency,
Forward Foreign Currency and Futures Transactions 1,786,567 4,102,263
Net Change in Unrealized Appreciation/Depreciation on Investment,
Foreign Currency, Forward Foreign Currency Contracts and
Futures Contracts 551,175 976,474
----------- -----------
Net Increase in Net Assets from Operations 4,373,288 6,670,309
----------- -----------
Distributions to Shareholders
Net Investment Income (2,232,481) (1,605,565)
Net Realized Gain (4,126,631) (3,088,812)
Distributions in Excess of Net Realized Gains (1,192,597) --
----------- -----------
Total Distributions (7,551,709) (4,694,377)
----------- -----------
Capital Transactions in Shares of Beneficial Interest
Proceeds from Sales of Shares 56,474,812 18,129,387
Dividend Reinvestments 7,344,373 4,694,376
Cost of Shares Redeemed (65,516,562) (7,943,616)
----------- -----------
Net Increase (Decrease) from Capital Transactions in Shares of
Beneficial Interest (1,697,377) 14,880,147
----------- -----------
Total Increase (Decrease) in Net Assets (4,875,798) 16,856,079
Net Assets
Beginning of Year 49,407,596 32,551,517
----------- -----------
End of Year (Including (overdistributed)/undistributed net
investment income of ($84,219) and $258,449, respectively.) $44,531,798 $49,407,596
=========== ===========
</TABLE>
See Notes to Financial Statements.
12
<PAGE>
- --------------------------------------------------------------------------------
Investment Funds
Financial Highlights
- --------------------------------------------------------------------------------
Contained below are selected data for a share outstanding, total investment
return, ratios to average net assets and other supplemental data for each of the
years indicated for the BT Investment Lifecycle Long Range Fund.
<TABLE>
<CAPTION>
Long Range
-------------------------------------------------------------
For the years ended March 31,
-------------------------------------------------------------
1999 1998 1997 1996 1995
-------- -------- ------- ------- -------
<S> <C> <C> <C> <C> <C>
Per Share Operating Performance:
Net Asset Value, Beginning of Year $ 14.57 $ 11.96 $ 11.32 $ 10.07 $ 9.68
-------- -------- ------- ------- -------
Income from Investment Operations
Net Investment Income 0.43 0.32 0.35 0.37 0.30
Net Realized and Unrealized Gain on
Investments, Foreign Currency Transactions,
Forward Foreign Currency Contracts and
Futures Contracts 1.27 3.57 1.18 1.54 0.32
-------- -------- ------- ------- -------
Total from Investment Operations 1.70 3.89 1.53 1.91 0.62
-------- -------- ------- ------- -------
Distributions to Shareholders
Net Investment Income (0.47) (0.33) (0.39) (0.38) (0.23)
Distributions in Excess of Net Investment Income (0.25) -- -- -- --
Net Realized Gains (2.98) (0.95) (0.50) --
-------- -------- ------- ------- -------
Total Distributions (3.70) (1.28) (0.89) (0.66) (0.23)
-------- -------- ------- ------- -------
Net Asset Value, End of Year $ 12.57 $ 14.57 $ 11.96 $ 11.32 $ 10.07
======== ======== ======= ======= =======
Total Investment Return 12.44% 33.69% 13.88% 19.41% 6.60%
Supplemental Data and Ratios:
Net Assets, End of Year (000s omitted) $133,550 $138,801 $78,291 $56,012 $13,366
Ratios to Average Net Assets:
Net Investment Income 2.51% 2.57% 2.73% 3.58% 3.41%
Expenses, Including Expenses of the Asset
Management Portfolio 1.00% 1.00% 1.00% 1.00% 1.00%
Decrease Reflected in Above Expense
Ratio Due to Absorption of Expenses by Bankers Trust 0.44% 0.45% 0.48% 0.60% 0.91%
</TABLE>
See Notes to Financial Statements.
13
<PAGE>
- --------------------------------------------------------------------------------
Investment Funds
Financial Highlights
- --------------------------------------------------------------------------------
Contained below are selected data for a share outstanding, total investment
return, ratios to average net assets and other supplemental data for each of the
years indicated for the BT Investment Lifecycle Mid Range Fund.
<TABLE>
<CAPTION>
Mid Range
-----------------------------------------------------------
For the years ended March 31,
-----------------------------------------------------------
1999 1998 1997 1996 1995
------- ------- ------- ------ -------
<S> <C> <C> <C> <C> <C>
Per Share Operating Performance:
Net Asset Value, Beginning of Year $ 12.32 $ 10.80 $ 10.48 $ 9.61 $ 9.45
------- ------- ------- ------ -------
Income from Investment Operations
Net Investment Income 0.32 0.37 0.42 0.41 0.37
Net Realized and Unrealized Gain on
Investments, Foreign Currency Transactions,
Forward Foreign Currency Contracts and
Futures Contracts 0.84 2.36 0.72 0.96 0.11
------- ------- ------- ------ -------
Total from Investment Operations 1.16 2.73 1.14 1.37 0.48
------- ------- ------- ------ -------
Distributions to Shareholders
Net Investment Income (0.38) (0.37) (0.44) (0.44) (0.32)
Net Realized Gains (2.32) (0.84) (0.38) --
Distributions in Excess of Net Realized Gain (0.18) -- -- -- --
------- ------- ------- ------ -------
Total Distributions (2.88) (1.21) (0.82) (0.50) (0.32)
------- ------- ------- ------ -------
Net Asset Value, End of Year $ 10.60 $ 12.32 $ 10.80 $ 10.48 $ 9.61
======= ======= ======= ====== =======
Total Investment Return 10.12% 26.33% 11.16% 14.65% 5.24%
Supplemental Data and Ratios:
Net Assets, End of Year (000s omitted) $77,556 $95,103 $61,867 $51,466 $25,733
Ratios to Average Net Assets:
Net Investment Income 2.75% 3.31% 3.48% 4.15% 4.01%
Expenses, Including Expenses of the Asset
Management Portfolio II 1.00% 1.00% 1.00% 1.00% 1.00%
Decrease Reflected in Above Expense
Ratio Due to Absorption of Expenses by Bankers Trust 0.51% 0.48% 0.55% 0.58% 0.76%
</TABLE>
See Notes to Financial Statements.
14
<PAGE>
- --------------------------------------------------------------------------------
Investment Funds
Financial Highlights
- --------------------------------------------------------------------------------
Contained below are selected data for a share outstanding, total investment
return, ratios to average net assets and other supplemental data for each of the
years indicated for the BT Investment Lifecycle Short Range Fund.
<TABLE>
<CAPTION>
Short Range
-----------------------------------------------------------
For the years ended March 31,
-----------------------------------------------------------
1999 1998 1997 1996 1995
------- ------- ------- ------ -------
<S> <C> <C> <C> <C> <C>
Per Share Operating Performance:
Net Asset Value, Beginning of Year $ 10.82 $ 10.31 $ 10.03 $ 9.50 $ 9.60
------- ------- ------- ------- -------
Income from Investment Operations
Net Investment Income 0.40 0.44 0.48 0.45 0.41
Net Realized and Unrealized Gain (Loss) on
Investments, Foreign Currency Transactions,
Forward Foreign Currency Contracts and
Futures Contracts 0.43 1.39 0.34 0.54 (0.13)
------- ------- ------- ------- -------
Total from Investment Operations 0.83 1.83 0.82 0.99 0.28
------- ------- ------- ------- -------
Distributions to Shareholders
Net Investment Income (0.44) (0.46) (0.54) (0.46) (0.37)
Net Realized Gains (0.76) (0.86) -- -- (0.01)
Distributions in Excess of Net Realized Gains (0.22) -- -- -- (0.01)
------- ------- ------- ------- -------
Total Distributions (1.42) (1.32) (0.54) (0.46) (0.38)
------- ------- ------- ------- -------
Net Asset Value, End of Year $ 10.23 $ 10.82 $ 10.31 $ 10.03 $ 9.50
------- ------- ------- ------- -------
Total Investment Return 7.76% 18.68% 8.32% 10.67% 3.08%
Supplemental Data and Ratios:
Net Assets, End of Year (000s omitted) $44,532 $49,408 $32,552 $28,899 $21,137
Ratios to Average Net Assets:
Net Investment Income 3.52% 4.06% 4.24% 4.64% 4.47%
Expenses, Including Expenses of the Asset
Management Portfolio III 1.00% 1.00% 1.00% 1.00% 1.00%
Decrease Reflected in Above Expense
Ratio Due to Absorption of Expenses
by Bankers Trust 0.55% 0.58% 0.65% 0.65% 0.82%
</TABLE>
See Notes to Financial Statements.
15
<PAGE>
- --------------------------------------------------------------------------------
Investment Funds
Notes to Financial Statements
- --------------------------------------------------------------------------------
Note 1--Organization and Significant Accounting Policies
A. Organization
BT Investment Funds (the "Trust") is registered under the Investment Company Act
of 1940 (the "Act"), as amended, as an open-end management investment company.
The Trust was organized on July 21,1986, as a business trust under the laws of
the Commonwealth of Massachusetts. The BT Investment Lifecycle Long Range Fund,
Mid Range Fund and Short Range Fund (each a "Fund", and collectively, the
"Funds") are three of the funds offered to investors by the Trust. The Funds
commenced operations and began offering shares of beneficial interest on the
following dates:
Commencement of
Operations and Issuance
Fund of Beneficial Interest
----- -----------------------
Long Range November 16, 1993
Mid Range October 14, 1993
Short Range October 15, 1993
The Long Range Fund, Mid Range Fund and Short Range Fund invest substantially
all of their investable assets in the Asset Management Portfolio, Asset
Management Portfolio II and Asset Management Portfolio Ill (each a "Portfolio"
and collectively, the "Portfolios"), respectively. The Portfolios are open-end
management investment companies registered under the Act. The Funds seek to
achieve their investment objectives by investing all of their investable assets
in the respective Portfolios. The value of such investment in the Portfolios
reflects each Fund's proportionate interest in the net assets of that Portfolio.
At March 31, 1999, the Long Range Fund's investment was approximately 19% 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 a list of
investments held, are contained elsewhere in this report and should be read in
conjunction with the Funds' financial statements.
B. Security Valuation
Valuation of securities by the Portfolio is discussed in Note 1B of the
Portfolios' Notes to FinancialStatements which are included elsewhere in this
report.
C. 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.
D. 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 exceed capital loss carryforwards.
E. 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 its 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 the differences in the characterization and
allocation of certain income and capital gain distributions determined annually
in accordance with federal tax regulations which may differ from generally
accepted accounting principles. The Long Range Fund, Mid Range Fund and Short
Range Fund have deferred post October currency losses of $2,754,278, $59,918 and
$91,710, respectively, and post October capital losses of $0, $1,186,219 and
$1,016,070, respectively, to next year.
F. Other
The Trust accounts separately for the assets, liabilities and operations of each
of the Funds. Expenses directly attributable to each Fund are charged to that
Fund, while expenses which are attributable to all of the Trust's funds are
allocated among them. Investment transactions are accounted for on a trade date
basis. Realized gains and losses are determined on the basis of identified cost.
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, 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.
ICC Distributors, Inc., a member of the Forum Group of Companies, provides
distribution services to the Fund.
Bankers Trust has voluntarily undertaken to waive its fees 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.
Bankers Trust Company is a wholly owned subsidiary of Bankers Trust Corporation.
On November 30, 1998, Bankers Trust Corporation entered into an Agreement and
Plan of Merger with Deutsche Bank AG under which Bankers Trust Corporation would
merge with and into a subsidiary of Deutsche Bank AG. Deutsche Bank AG is a
major global banking institution that is engaged in a wide range of financial
services, including investment management, mutual funds, retail and commercial
banking, investment banking and insurance. The transaction is contingent upon
various regula-
16
<PAGE>
- --------------------------------------------------------------------------------
Investment Funds
Notes to Financial Statements
- --------------------------------------------------------------------------------
tory approvals, and continuation of the Fund's advisory relationship with
Bankers Trust thereafter is subject to the approval of Fund shareholders. If the
transaction is approved and completed, Deutsche Bank AG, as Bankers Trust's new
parent company, will control its operations as investment adviser. Bankers Trust
believes that, under this new arrangement, the services provided to the Fund
will be maintained at their current level.
Note 3--Shares of Beneficial Interest
At March 31, 1999, there were an unlimited number of shares of beneficial
interest authorized. Transactions in shares of beneficial interest were as
follows:
<TABLE>
<CAPTION>
For the year ended March 31, 1999
------------------------------------------------------------------------------------------
Long Range Mid Range Short Range
--------------------------- --------------------------- ---------------------------
Shares Amount Shares Amount Shares Amount
---------- ------------ ---------- ------------ ---------- ------------
<S> <C> <C> <C> <C> <C> <C>
Sold 4,020,162 $ 56,216,194 4,930,477 $ 55,734,996 5,240,975 $ 56,474,812
Reinvested 4,158,962 55,176,469 1,778,085 19,395,860 699,312 7,344,373
Redeemed (7,082,887) (99,238,072) (7,113,436) (81,647,087) (6,155,471) (65,516,562)
---------- ------------ ---------- ------------ ---------- ------------
Increase/(Decrease) 1,096,237 $ 12,154,591 (404,874) $ (6,516,231) (215,184) $ (1,697,377)
========== ============ ========== ============ ========== ============
<CAPTION>
For the year ended March 31, 1998
------------------------------------------------------------------------------------------
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>
17
<PAGE>
- --------------------------------------------------------------------------------
Investment Funds
Report of Independent Accountants
- --------------------------------------------------------------------------------
To the Trustees of BT Investment Funds and the
Shareholders of the Lifecycle Long Range Fund,
Lifecycle Mid Range Fund, and Lifecycle Short Range Fund:
In our opinion, the accompanying statements of assets and liabilities and the
related statements of operations and of changes in net assets and the financial
highlights present fairly, in all material respects, the financial position of
the Lifecycle Long Range Fund, Lifecycle Mid Range Fund and Lifecycle Short
Range Fund (three of the Funds comprising BTInvestment Funds, hereafter referred
to as the "Funds") at March 31, 1999, and the results of their operations, the
changes in their net assets and the financial highlights for each of the fiscal
periods presented, in conformity with generally accepted accounting principles.
These financial statements and financial highlights (hereafter referred to as
"financial statements") are the responsibility of the Funds' management; our
responsibility is to express an opinion on these financial statements based on
our audits. We conducted our audits of these financial statements in accordance
with generally accepted auditing standards which require that we plan and
perform the audit to obtain reasonable assurance about whether the financial
statements are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements, assessing the accounting principles used and significant estimates
made by management, and evaluating the overall financial statement presentation.
We believe that our audits, which included confirmation of securities at March
31, 1999 by correspondence with the transfer agent, provide a reasonable basis
for the opinion expressed above.
PricewaterhouseCoopers LLP
Baltimore, Maryland
May 18, 1999
- --------------------------------------------------------------------------------
Tax Information (unaudited) For the Tax Year Ended March 31, 1999
- --------------------------------------------------------------------------------
We are providing this information as required by the Internal Revenue Code. The
amounts may differ from those elsewhere in this report because of differences
between tax and financial reporting requirements.
The Lifecycle Long Range Fund, Mid Range Fund and Short Range Fund's
distributions to shareholders included $19,515,109, $10,648,741 and $3,011,700,
respectively, from long-term capital gains, all of which was subject to the 20%
capital gains rate.
Of ordinary distributions made by the Lifecycle Long Range Fund, Mid Range Fund
and Short Range Fund during the year ended March 31, 1999, 6.92%, 4.74% and
2.12%, respectively, qualifies for the dividends received deduction available to
corporate shareholders.
Of ordinary distributions made by the Lifecycle Long Range Fund, Mid Range Fund
and Short Range Fund, during the year ended March 31, 1999, 2.05%, 4.4% and
6.5%, respectively, have been derived from investments in U.S. Government and
Agency Obligations. All or a portion of the distributions from this income may
be exempt from taxation at the state level. Consult your tax advisor for state
specific information.
Note: 1999 calendar year percentages will be distributed under separate cover in
January 2000.
18
<PAGE>
- --------------------------------------------------------------------------------
Asset Management Portfolio
Schedule of Portfolio Investments March 31, 1999
- --------------------------------------------------------------------------------
Shares Description Value
------ ----------- -----
COMMON STOCKS - 43.9%
Aerospace - 0.1%
17,600 Boeing Co. .................................... $ 600,600
2,352 Raytheon Co. - Class A ........................ 135,841
-----------
736,441
-----------
Airlines - 0.4%
28,600 AMR Corp.(1) .................................. 1,674,887
13,600 Delta Air Lines, Inc. ......................... 945,200
-----------
2,620,087
-----------
Auto Related - 1.0%
17,769 DaimlerChrysler AG(1) ......................... 1,529,309
53,000 Dana Corp. .................................... 2,014,000
36,900 General Motors Corp. .......................... 3,205,687
-----------
6,748,996
-----------
Banks - 2.8%
109,765 BankAmerica Corp. ............................. 7,752,167
109,800 BankBoston Corp. .............................. 4,755,712
92,800 Chase Manhattan Corp. ......................... 7,545,800
-----------
20,053,679
-----------
Beverages - 1.2%
37,200 Coca-Cola Co. ................................. 2,283,150
27,400 Coca-Cola Enterprises, Inc. ................... 828,850
127,400 PepsiCo, Inc. ................................. 4,992,487
13,800 Seagram Company Ltd. .......................... 690,000
-----------
8,794,487
-----------
Chemicals and Toxic Waste - 1.4%
19,200 Air Products and Chemicals, Inc. .............. 657,600
82,200 Du Pont (E.I.) de Nemours & Co. ............... 4,772,737
84,500 Monsanto Co. .................................. 3,881,719
16,900 Solutia, Inc. ................................. 293,637
-----------
9,605,693
-----------
Computer Services - 2.1%
65,000 Cendant Corp.(1) .............................. 1,023,750
117,375 Cisco Systems, Inc.(1) ........................ 12,859,898
40,700 Seagate Technology, Inc. ...................... 11,203,194
-----------
15,086,842
-----------
Computer Software - 1.3%
22,800 BMC Software, Inc.(1) ............................ 845,025
55,275 Computer Associates International, Inc. .......... 1,965,717
56,800 Microsoft Corp.(1) ............................... 5,090,700
53,437 Oracle Corp.(1) .................................. 1,409,401
----------
9,310,843
----------
Diversified - 1.8%
114,900 AlliedSignal, Inc. ............................... 5,651,644
28,200 SUPERVALU, Inc. .................................. 581,625
21,400 Textron, Inc. .................................... 1,655,825
36,200 United Technologies Corp. ........................ 4,902,837
----------
12,791,931
----------
Drugs - 3.9%
45,600 Lilly (Eli) & Co. ................................ 3,870,300
117,200 Merck & Co., Inc. ................................ 9,397,975
104,600 Pfizer, Inc. ..................................... 14,513,250
----------
27,781,525
----------
Electrical Equipment - 1.8%
48,400 Emerson Electric Co. ............................. 2,562,175
92,200 General Electric Co. ............................. 10,199,625
----------
12,761,800
----------
Shares Description Value
------ ----------- -----
Electronics - 1.8%
51,400 Analog Devices, Inc.(1) .......................... 1,529,150
46,000 Intel Corp. ...................................... 5,479,750
23,900 LSI Logic Corp.(1) ............................... 745,381
38,400 Motorola, Inc. ................................... 2,812,800
46,000 Xilinx, Inc.(1) .................................. 1,865,875
----------
12,432,956
----------
Entertainment - 0.2%
54,081 Disney (Walt) Co. ................................ 1,683,271
----------
Environmental Control - 0.2%
47,000 U.S. Filter Corp.(1) ............................. 1,439,375
----------
Financial Services - 2.5%
59,800 Associates First Capital Corp. - Class A ......... 2,691,000
82,199 Citigroup ........................................ 5,250,461
41,100 First Data Corp. ................................. 1,757,025
72,000 Freddie Mac ...................................... 4,113,000
59,100 MBNA Corp. ....................................... 1,411,012
20,400 Merrill Lynch & Co., Inc. ........................ 1,804,125
21,800 T. Rowe Price Associates, Inc. ................... 749,375
----------
17,775,998
----------
Foods - 1.2%
89,000 Bestfoods ...................................... 4,183,000
11,125 Corn Products International, Inc. .............. 266,305
119,000 Sara Lee Corp. ................................. 2,945,250
12,730 Tricon Global Restaurants, Inc.(1) ............. 894,282
----------
8,288,837
----------
Healthcare - 1.1%
16,800 Abbott Laboratories ............................ 786,450
77,500 Johnson & Johnson .............................. 7,260,781
----------
8,047,231
----------
Hospital Supplies and Healthcare - 1.0%
36,700 Baxter International, Inc. ..................... 2,422,200
39,600 Becton Dickinson & Co. ......................... 1,517,175
41,496 Tyco International Ltd. ........................ 2,977,338
----------
6,916,713
----------
Hotel/Motel - 0.5%
87,000 Marriott International, Inc. ................... 2,925,375
10,875 Sodexho Marriott Services, Inc.(1) ............. 239,930
----------
3,165,305
----------
Household Products - 1.3%
21,800 Clorox Co. ..................................... 2,554,687
65,400 Procter & Gamble Co. ........................... 6,405,113
----------
8,959,800
----------
Insurance - 1.6%
63,675 American International Group, Inc. ............. 7,680,797
51 Berkshire Hathaway, Inc. - Class A(1)........... 3,641,400
3 Berkshire Hathaway, Inc. - Class B(1)........... 7,053
----------
11,329,250
----------
Metals - 0.1%
20,000 Alcan Aluminum Ltd. ............................ 516,250
21,600 Freeport-McMoRan Copper & Gold, Inc. ...........
Class B ........................................ 234,900
----------
751,150
----------
Office Equipment and Computers - 1.3%
38,200 Hewlett-Packard Co. ............................ 2,590,438
26,400 International Business Machines Corp. .......... 4,679,400
31,800 Xerox Corp. .................................... 1,697,325
----------
8,967,163
----------
See Notes to Financial Statements.
19
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- --------------------------------------------------------------------------------
Asset Management Portfolio
Schedule of Portfolio Investments March 31, 1999
- --------------------------------------------------------------------------------
Shares Description Value
------ ----------- -----
Oil - Domestic - 0.8%
5,800 Atlantic Richfield Co. ....................... $ 423,400
16,927 Burlington Resources, Inc. ................... 676,022
54,600 ENSCO International, Inc. .................... 726,863
26,900 Noble Drilling Corp.(1) ...................... 465,706
14,300 Phillips Petroleum Co. ....................... 675,675
61,400 Unocal Corp. ................................. 2,260,288
------------
5,227,954
------------
Oil - International - 2.0%
11,518 BP Amoco Plc ADR ............................. 1,162,679
11,600 Chevron Corp. ................................ 1,025,875
41,900 Exxon Corp. .................................. 2,956,569
15,200 Mobil Corp. .................................. 1,337,600
65,600 Royal Dutch Petroleum Co. .................... 3,411,200
68,000 Texaco, Inc. ................................. 3,859,000
------------
13,752,923
------------
Oil Equipment and Services - 0.2%
25,400 Apache Corp. ................................. 661,988
13,200 Schlumberger Ltd. ............................ 794,475
------------
1,456,463
------------
Paper and Forest Products - 0.4%
29,400 Champion International Corp., ................ 1,207,238
28,900 International Paper Co. ...................... 1,219,219
------------
2,426,457
------------
Printing and Publishing - 0.7%
89,000 McGraw-Hill Companies, Inc. .................. 4,850,500
------------
Railroads - 0.3%
64,800 Burlington Northern Santa Fe ................. 2,130,300
------------
Retail - 2.5%
90,672 Dollar General Corp. ......................... 3,082,865
31,200 Federated Department Stores, Inc.(1) ......... 1,251,900
61,800 Lowe's Companies, Inc. ....................... 3,738,900
18,500 Nine West Group, Inc.(1) ..................... 456,719
26,400 Tiffany & Co. ................................ 1,973,400
80,000 Wal-Mart Stores, Inc. ........................ 7,375,000
------------
17,878,784
------------
Telecommunications - 2.6%
81,700 AT&T Corp. ................................... 6,520,681
58,700 Comcast Corp. - Class A ...................... 3,694,431
71,399 MCI WorldCom, Inc.(1) ........................ 6,323,274
15,700 Sprint Corp. ................................. 1,540,563
7,850 Sprint PCS Group(1) .......................... 347,853
------------
18,426,802
------------
Tobacco - 0.6%
109,100 Philip Morris Companies, Inc. ................ 3,838,956
------------
Utility - Electric - 0.9%
16,900 American Electric Power Co. .................. 670,719
11,900 Dominion Resources, Inc. ..................... 439,556
21,500 FirstEnergy Corp. ............................ 600,656
30,400 FPL Group, Inc. .............................. 1,618,800
36,400 PG&E Corp. ................................... 1,130,675
16,500 Public Service Enterprise Group, Inc. ........ 630,094
33,900 Texas Utilities Co. .......................... 1,413,206
------------
6,503,706
------------
Utility - Gas, Natural Gas - 0.3%
46,000 Consolidated Natural Gas Co. ................. 2,239,625
------------
Shares Description Value
------ ----------- -----
Utility - Telephone - 2.0%
19,600 Ameritech Corp. .............................. $ 1,134,350
15,400 Bell Atlantic Corp. .......................... 795,988
35,600 BellSouth Corp. .............................. 1,426,225
41,200 Frontier Corp. ............................... 2,137,250
81,500 GTE Corp. .................................... 4,930,750
24,256 Lucent Technologies, Inc. .................... 2,613,584
21,800 SBC Communications, Inc. ..................... 1,027,325
------------
14,065,472
------------
Total Common Stocks (Cost $246,626,517) ....................... 308,847,315
------------
Principal
Amount
---------
NON-CONVERTIBLE CORPORATE DEBT - 3.0%
Financial Services - 1.9%
$ 370,000 Abbey National Plc, 6.69%, 10/17/05 ................ 377,743
640,000 Associates Corp., 5.75%, 11/01/03 .................. 635,866
390,000 Bankamerica Corp., 5.875%, 2/15/09 ................. 377,689
400,000 BankBoston Corp., 6.38%, 8/11/00 ................... 403,900
510,000 Chrysler Financial Corp., 6.11%, 7/28/99 ........... 511,499
1,450,000 Ford Motor Credit Co., 6.55%, 9/10/02 .............. 1,481,968
320,000 Ford Motor Credit Co., 5.80%, 1/12/09 .............. 308,755
300,000 General Electric Capital Corp., 8.85%, 3/01/07 ..... 353,355
600,000 Great Western Financial, 6.375%, 7/01/00 ........... 605,518
590,000 Household Finance, 5.875%, 2/01/09 ................. 566,961
940,000 IBM Credit Corp., 5.875%, 8/25/99 .................. 942,745
820,000 Inter-American Development Bank, 5.125%, 2/05/04 ... 799,188
180,000 International Bank of Reconstruction and
Development, 8.875%, 3/01/26 ....................... 241,564
1,375,000 KFW International Finance, 8.20%, 6/01/06 .......... 1,539,373
880,000 NationsBank, 7.00%, 9/15/01 ........................ 905,045
695,000 Pepsi Bottling Holdings, 5.375%, 2/17/04 ........... 682,760
330,000 Progressive Corp., 6.625%, 3/01/29 ................. 316,325
560,000 Salomon Smith Barney, 6.625%, 11/15/03 ............. 572,277
850,000 Travelers Group, Inc., 7.50%, 2/01/03 .............. 891,287
413,000 Washington Mutual, 7.25%, 8/15/05 .................. 429,663
-----------
12,943,481
-----------
Industrial - 0.6%
300,000 Computer Science, 6.25%, 3/15/09 ................... 302,098
280,000 Corning Inc., 6.85%, 3/01/29 ....................... 278,855
510,000 Diageo Capital Plc, 6.125%, 8/15/05 ................ 514,729
260,000 Ford Motor Co., 6.625%, 10/01/28 ................... 252,106
310,000 IBM Corp., 6.50%, 1/15/28 .......................... 303,093
300,000 Illinois Tool Works, 5.75%, 3/01/09 ................ 296,592
220,000 Lucent Technologies, Inc., 5.50%, 11/15/08 ......... 212,269
190,000 Markel Capital Trust, 8.71%, 1/01/46 ............... 180,121
420,000 Mutual Life Insurance Co., 0.00%, 8/15/24 (b)(c) ... 589,071
535,000 Texas Instruments, Inc., 6.75%, 7/15/99 ............ 537,439
820,000 Walt Disney Co., 5.125%, 12/15/03 .................. 801,312
-----------
4,267,685
-----------
See Notes to Financial Statements.
20
<PAGE>
- --------------------------------------------------------------------------------
Asset Management Portfolio
Schedule of Portfolio Investments March 31, 1999
- --------------------------------------------------------------------------------
Principal
Amount Description Value
--------- ----------- -----
Utility - 0.5%
$ 400,000 Ameritech Capital Funding Corp., 6.55%, 1/15/28 .... $ 394,094
150,000 AT&T Corp., 5.625%, 3/15/04 ........................ 149,453
210,000 AT&T Corp., 6.50%, 3/15/29 ......................... 206,322
760,000 Columbus Southern Power, 6.51%, 2/01/08 ............ 760,839
830,000 Consolidated Edison, 6.45%, 12/01/07 ............... 851,771
35,000 Idaho Power Co., 8.00%, 3/15/04 .................... 38,090
410,000 National Rural Utilities, 5.00%, 10/01/02 .......... 402,468
140,000 Potomac Edison, 8.00%, 6/01/24 ..................... 146,911
430,000 US West Communications, 5.625%, 11/15/08 ........... 419,653
-----------
3,369,601
-----------
Total Non-Convertible Corporate Debt
(Cost $20,639,055) ............................................. 20,580,767
-----------
ASSET-BACKED SECURITIES - 0.1%
215,000 Standard Credit Card Master Trust,
6.55%, 10/07/05 (Cost $214,883) .................... 222,356
-----------
FOREIGN DEBT - 0.2%
470,000 Kingdom of Sweden, 12.00%, 2/01/10 ................. 696,822
550,000 Manitoba, (Province of), 6.12%, 1/19/04 ............ 559,477
95,000 New Zealand Government, 10.625%, 11/15/05 .......... 119,879
415,000 Quebec, (Province of), 5.75%, 2/15/09 .............. 402,426
-----------
Total Foreign Debt (Cost $1,784,606) ............... 1,778,604
-----------
U.S. GOVERNMENT AND AGENCIES - 3.7%
3,100,000 FHLB, 5.125%, 9/15/03 .............................. 3,049,625
2,120,000 FNMA, 5.625%, 3/15/01 .............................. 2,136,239
150,000 FNMA, 6.35%, 11/23/01 .............................. 150,726
325,000 FNMA, 8.625%, 11/10/04 ............................. 332,016
690,000 FNMA, 5.75%, 2/15/08 ............................... 687,141
700,000 FNMA, TBA, 6.00%, 4/01/08 .......................... 694,313
1,400,000 FNMA, TBA, 7.00%, 9/01/21 .......................... 1,418,813
9,400,000 FNMA, TBA, 7.50%, 9/01/21 .......................... 9,654,406
6,200,000 FNMA, TBA, 6.50%, 4/01/23 .......................... 6,169,000
2,000,000 GNMA, TBA, 7.50%, 9/01/21 .......................... 2,060,000
-----------
Total U.S. Government and Agencies
(Cost $26,386,204) ............................................. 26,352,279
-----------
U.S. TREASURY SECURITIES - 2.5%
5,080,000 U.S. Treasury Bond, 8.125%, 8/15/19 .................. 6,396,838
310,000 U.S. Treasury Bond, 5.25%, 2/15/29 ................... 293,046
840,000 U.S. Treasury Note, 5.875%, 11/30/01 ................. 856,145
260,000 U.S. Treasury Note, 6.25%, 8/31/02 ................... 268,611
960,000 U.S. Treasury Note, 5.375%, 6/30/03 .................. 966,000
860,000 U.S. Treasury Note, 4.75%, 2/15/04 ................... 846,833
90,000 U.S. Treasury Note, 7.25%, 8/15/04 ................... 98,269
810,000 U.S. Treasury Note, 6.50%, 10/15/06 .................. 862,901
2,140,000 U.S. Treasury Note, 6.125%, 8/15/07 .................. 2,240,302
1,655,000 U.S. Treasury Note, 5.50%, 2/15/08 ................... 1,673,619
270,000 U.S. Treasury Note, 5.625%, 5/15/08 .................. 274,852
3,229,000 U.S. Treasury Note, 4.75%, 11/15/08 .................. 3,110,431
----------
Total U.S. Treasury Securities (Cost $18,480,485) ................. 17,887,847
----------
Shares/
Principal
Amount Description Value
--------- ----------- -----
SHORT TERM INSTRUMENTS - 51.9%
Mutual Fund - 8.6%
60,890,063 BT Institutional Cash Management Fund ........ $ 60,890,063
------------
U.S. Treasury Securities - 43.3% (d)
$ 35,000,000 U.S. Treasury Bill, 4.51%, 4/01/99 ........... 35,000,000
20,000,000 U.S. Treasury Bill, 4.37%, 4/08/99 ........... 19,981,920
15,000,000 U.S. Treasury Bill, 4.09%, 4/15/99 ........... 14,971,890
20,000,000 U.S. Treasury Bill, 4.38%, 4/15/99 ........... 19,962,520
35,000,000 U.S. Treasury Bill, 4.38%, 5/06/99 ........... 34,848,240
1,200,000 U.S. Treasury Bill, 4.36%, 5/20/99 (a) ....... 1,192,781
6,300,000 U.S. Treasury Bill, 4.40%, 5/20/99 (a) ....... 6,262,099
510,000 U.S. Treasury Bill, 4.50%, 5/20/99 (a) ....... 506,932
35,000,000 U.S. Treasury Bill, 4.38%, 6/17/99 ........... 34,672,855
35,000,000 U.S. Treasury Bill, 4.39%, 7/15/99 ........... 34,565,125
35,000,000 U.S. Treasury Bill, 4.41%, 8/12/99 ........... 34,433,630
35,000,000 U.S. Treasury Bill, 4.56%, 9/02/99 ........... 34,344,205
35,000,000 U.S. Treasury Bill, 4.05%, 10/11/99 .......... 34,162,508
------------
304,904,705
------------
Total Short Term Instruments (Cost $365,779,043) .............. 365,794,768
------------
Total Investments (Cost $679,910,793) ... 105.3% 741,463,936
Liabilities in excess of other assets ... (5.3)% (37,336,439)
----- ------------
Net Assets .............................. 100.0% $704,127,497
===== ============
- ----------
(1) Non-income producing security
(a) Held as collateral by broker for Futures Contracts
(b) Step 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) Designated as collateral for futures contracts.
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.
21
<PAGE>
- --------------------------------------------------------------------------------
Asset Management Portfolio II
Schedule of Portfolio Investments March 31, 1999
- --------------------------------------------------------------------------------
Shares Description Value
------ ----------- -----
COMMON STOCKS - 37.3%
Aerospace - 0.1%
1,700 Boeing Co. ................................... $ 58,012
200 Raytheon Co. - Class A ....................... 11,550
---------
69,562
---------
Airlines - 0.3%
2,800 AMR Corp.(1).................................. 163,975
1,300 Delta Air Lines, Inc. ........................ 90,350
---------
254,325
---------
Auto Related - 0.8%
1,632 Daimlerchrysler AG(1)......................... 140,527
4,800 Dana Corp. ................................... 182,400
3,400 General Motors Corp. ......................... 295,375
---------
618,302
---------
Banks - 2.4%
10,121 BankAmerica Corp. ............................ 714,815
10,300 BankBoston Corp. ............................. 446,119
8,500 Chase Manhattan Corp. ........................ 691,156
---------
1,852,090
---------
Beverages - 1.1%
3,400 Coca-Cola Co. ................................ 208,675
2,700 Coca-Cola Enterprises, Inc. .................. 81,675
11,800 PepsiCo, Inc. ................................ 462,412
1,400 Seagram Company Ltd. ......................... 70,000
---------
822,762
---------
Chemicals and Toxic Waste - 1.1%
1,800 Air Products and Chemicals, Inc. ............. 61,650
7,500 Du Pont (E.I.) de Nemours & Co. .............. 435,469
7,800 Monsanto Co. ................................. 358,312
1,600 Solutia, Inc. ................................ 27,800
---------
883,231
---------
Computer Services - 1.8%
6,100 Cendant Corp.(1) ............................... 96,075
10,775 Cisco Systems, Inc.(1) ......................... 1,180,536
3,800 Seagate Technology, Inc.(1) .................... 112,337
---------
1,388,948
---------
Computer Software - 1.2%
2,300 BMC Software, Inc.(1) .......................... 85,244
5,150 Computer Associates International, Inc. ........ 183,147
6,000 Microsoft Corp.(1) ............................. 537,750
5,000 Oracle Corp.(1) ................................ 131,875
---------
938,016
---------
Diversified - 1.6%
10,600 AlliedSignal, Inc. ............................. 521,387
2,800 SUPERVALU, Inc. ................................ 57,750
2,200 Textron, Inc. .................................. 170,225
3,400 United Technologies Corp. ...................... 460,487
---------
1,209,849
---------
Drugs - 3.3%
4,100 Lilly (Eli) & Co. .............................. 347,987
10,800 Merck & Co., Inc. .............................. 866,025
9,600 Pfizer, Inc. ................................... 1,332,000
---------
2,546,012
---------
Shares Description Value
------ ----------- -----
Electrical Equipment - 1.5%
4,500 Emerson Electric Co. ........................... $ 238,219
8,500 General Electric Co. ........................... 940,312
---------
1,178,531
---------
Electronics - 1.5%
4,700 Analog Devices, Inc.(1) ........................ 139,825
4,300 Intel Corp. .................................... 512,237
2,200 LSI Logic Corporation(1) ....................... 68,612
3,600 Motorola, Inc. ................................. 263,700
4,300 Xilinx, Inc.(1) ................................ 174,419
---------
1,158,793
---------
Entertainment - 0.2%
5,000 Disney (Walt) Co. .............................. 155,625
---------
Environmental Control - 0.2%
4,400 U.S. Filter Corp.(1) ........................... 134,750
---------
Financial Services - 2.1%
5,300 Associates First Capital Corp. - Class A ....... 238,500
7,750 Citigroup ...................................... 495,031
3,700 First Data Corp. ............................... 158,175
6,700 Freddie Mac .................................... 382,737
5,650 MBNA Corp. ..................................... 134,894
2,000 Merrill Lynch & Co., Inc. ...................... 176,875
2,200 T. Rowe Price Associates, Inc. ................. 75,625
---------
1,661,837
---------
Foods - 1.0%
8,100 Bestfoods ..................................... 380,700
1,025 Corn Products International, Inc. ............. 24,536
11,000 Sara Lee Corp. ................................ 272,250
1,120 Tricon Global Restaurants, Inc.(1) ............ 78,680
---------
756,166
---------
Healthcare - 1.0%
1,700 Abbott Laboratories ........................... 79,581
7,100 Johnson & Johnson ............................. 665,181
---------
744,762
---------
Hospital Supplies and Healthcare - 0.8%
3,400 Baxter International, Inc. .................... 224,400
3,700 Becton Dickinson & Co. ........................ 141,756
3,836 Tyco International Ltd. ....................... 275,233
---------
641,389
---------
Hotel/Motel - 0.4%
8,000 Marriott International, Inc. .................. 269,000
1,000 Sodexho Marriott Services, Inc.(1) ............ 22,062
---------
291,062
---------
Household Products - 1.1%
2,200 Clorox Co. .................................... 257,812
6,000 Procter & Gamble Co. .......................... 587,625
---------
845,437
---------
Insurance - 1.5%
5,925 American International Group, Inc. ............ 714,703
6 Berkshire Hathaway, Inc. - Class A(1) ......... 428,400
9 Berkshire Hathaway, Inc. - Class B(1) ......... 21,159
---------
1,164,262
---------
See Notes to Financial Statements.
22
<PAGE>
- --------------------------------------------------------------------------------
Asset Management Portfolio II
Schedule of Portfolio Investments March 31, 1999
- --------------------------------------------------------------------------------
Shares Description Value
------ ----------- -----
Metals - 0.1%
1,800 Alcan Aluminum Ltd. ................................ $ 46,462
2,000 Freeport-McMoRan Copper & Gold, Inc. - Class B ..... 21,750
---------
68,212
---------
Office Equipment and Computers - 1.1%
3,600 Hewlett-Packard Co. ................................ 244,125
2,700 International Business Machines Corp. .............. 478,575
2,900 Xerox Corp. ........................................ 154,788
---------
877,488
---------
Oil - Domestic - 0.6%
500 Atlantic Richfield Co. ............................. 36,500
1,700 Burlington Resources, Inc. ......................... 67,894
5,100 ENSCO International, Inc. .......................... 67,894
2,500 Noble Drilling Corp.(1) ............................ 43,281
1,400 Phillips Petroleum Co. ............................. 66,150
5,600 Unocal Corp. ....................................... 206,150
---------
487,869
---------
Oil - International - 1.7%
1,124 BP Amoco Plc ADR ................................... 113,454
1,200 Chevron Corp. ...................................... 106,125
3,900 Exxon Corp. ........................................ 275,194
1,500 Mobil Corp. ........................................ 132,000
6,600 Royal Dutch Petroleum Co. .......................... 343,200
6,300 Texaco, Inc. ....................................... 357,525
---------
1,327,498
---------
Oil Equipment and Services - 0.2%
2,300 Apache Corp. ....................................... 59,944
1,300 Schlumberger Ltd. .................................. 78,244
---------
138,188
---------
Paper and Forest Products - 0.3%
2,700 Champion International Corp. ....................... 110,869
2,600 International Paper Co. ............................ 109,688
---------
220,557
---------
Printing and Publishing - 0.6%
8,100 McGraw-Hill Companies, Inc. ........................ 441,450
-----------
Railroads - 0.2%
6,000 Burlington Northern Santa Fe ....................... 197,250
-----------
Retail - 2.1%
8,300 Dollar General Corp. ............................... 282,200
2,900 Federated Department Stores, Inc.(1)................ 116,363
5,600 Lowe's Companies, Inc. ............................. 338,800
1,700 Nine West Group, Inc.(1)............................ 41,969
2,500 Tiffany & Co. ...................................... 186,875
7,300 Wal-Mart Stores, Inc. .............................. 672,969
-----------
1,639,176
-----------
Telecommunications - 2.2%
7,600 AT&T Corp. ......................................... 606,575
5,500 Comcast Corp. - Class A ............................ 346,156
6,560 MCI WorldCom, Inc.(1) .............................. 580,970
1,600 Sprint Corp. ....................................... 157,000
950 Sprint PCS Group(1) ................................ 42,097
-----------
1,732,798
-----------
Tobacco - 0.4%
10,200 Philip Morris Companies, Inc. ...................... 358,913
-----------
Shares Description Value
------ ----------- -----
Utility - Electric - 0.8%
1,700 American Electric Power Co. ........................ $ 67,469
1,200 Dominion Resources, Inc. ........................... 44,325
2,000 FirstEnergy Corp. .................................. 55,875
2,800 FPL Group, Inc. .................................... 149,100
3,300 PG&E Corp. ......................................... 102,506
1,700 Public Service Enterprise Group, Inc. .............. 64,919
3,200 Texas Utilities Co. ................................ 133,400
-----------
617,594
-----------
Utility - Gas, Natural Gas - 0.3%
4,200 Consolidated Natural Gas Co. ....................... 204,488
-----------
Utility - Telephone - 1.7%
2,000 Ameritech Corp. .................................... 115,750
1,500 Bell Atlantic Corp. ................................ 77,531
3,200 BellSouth Corp. .................................... 128,200
3,800 Frontier Corp. ..................................... 197,125
7,600 GTE Corp. .......................................... 459,800
2,300 Lucent Technologies, Inc. .......................... 247,825
2,200 SBC Communications, Inc. ........................... 103,675
-----------
1,329,906
-----------
Total Common Stocks (Cost $24,147,385) ........................... 28,957,098
-----------
Principal
Amount
- ---------
NON-CONVERTIBLE CORPORATE DEBT - 7.0%
Financial Services - 3.7%
$100,000 Abbey National Plc, 6.69%, 10/17/05 ................ 102,093
189,000 Associates Corp., 5.75%, 11/01/03 .................. 187,779
120,000 Bankamerica Corp., 5.875%, 2/15/09 ................. 116,212
125,000 BankBoston Corp., 6.38%, 8/11/00 ................... 126,219
187,000 Bayerische Landesbank, 6.17%, 2/01/06 .............. 188,345
150,000 Chrysler Financial Corp., 6.11%, 7/28/99 ........... 150,441
55,000 Ford Motor Credit Co., 6.55%, 9/10/02 .............. 56,213
90,000 Ford Motor Credit Co., 5.80%, 1/12/09 .............. 86,837
80,000 General Electric Capital Corp., 8.85%, 3/01/07 ..... 94,228
85,000 GMAC, 8.62%, 1/18/01 ............................... 89,372
170,000 Household Finance, 5.875%, 2/01/09 ................. 163,362
280,000 IBM Credit Corp., 5.875%, 8/25/99 .................. 280,818
240,000 Inter-American Development Bank, 5.125%, 2/05/04 ... 233,909
50,000 International Bank of Reconstruction
and Development, 8.875%, 3/01/26 ................. 67,101
55,000 KFW International Finance, 8.20%, 6/01/06 .......... 61,575
200,000 Pepsi Bottling Holdings, 5.375%, 2/17/04 ........... 196,478
100,000 Progressive Corp., 6.625%, 3/01/29 ................. 95,856
165,000 Salomon Smith Barney, 6.625%, 11/15/03 ............. 168,617
230,000 Travelers Group, Inc., 7.50%, 2/01/03 .............. 241,172
122,000 Washington Mutual, 7.25%, 8/15/05 .................. 126,922
---------
2,833,549
---------
Industrial - 1.7%
80,000 Computer Science, 6.25%, 3/15/09 ................... 80,559
80,000 Corning, Inc., 6.85%, 3/01/29 ...................... 79,673
150,000 Diageo Capital PLC, 6.125%, 8/15/05 ................ 151,391
70,000 Ford Motor Co., 6.625%, 10/01/28 ................... 67,875
90,000 IBM Corp., 6.50%, 1/15/28 .......................... 87,995
90,000 Illinois Tool Works, 5.75%, 3/01/09 ................ 88,978
160,000 Lucent Technologies, Inc., 5.50%, 11/15/08 ......... 154,378
See Notes to Financial Statements.
23
<PAGE>
- --------------------------------------------------------------------------------
Asset Management Portfolio II
Schedule of Portfolio Investments March 31, 1999
- --------------------------------------------------------------------------------
Principal
Amount Description Value
------ ----------- -----
$ 55,000 Markel Capital Trust, 8.71%, 1/01/46 ................. $ 52,140
120,000 Mutual Life Insurance, 0.00%, 8/15/24 (b)(c) ......... 168,306
200,000 Texas Instruments, Inc., 6.75%, 7/15/99 .............. 200,912
210,000 Walt Disney Co., 5.12%, 12/15/03 ..................... 205,214
----------
1,337,421
----------
Utility - 1.6%
120,000 Ameritech Capital Funding Corp., 6.55%, 1/15/28 ...... 118,228
50,000 AT&T Corp., 5.625%, 3/15/04 .......................... 49,818
70,000 AT&T Corp., 6.50%, 3/15/29 ........................... 68,774
225,000 Columbus Southern Power, 6.51%, 2/01/08 .............. 225,248
245,000 Consolidated Edison, 6.45%, 12/01/07 ................. 251,426
45,000 Idaho Power Co., 8.00%, 3/15/04 ...................... 48,973
120,000 National Rural Utilities, 5.00%, 10/01/02 ............ 117,795
60,000 Potomac Edison, 8.00%, 6/01/24 ....................... 62,962
290,000 US West Communications, 5.625%, 11/15/08 ............. 283,022
----------
1,226,246
----------
Total Non-Convertible Corporate Debt
(Cost $5,422,389) ............................................... 5,397,216
----------
ASSET-BACKED SECURITIES - 0.3%
150,000 American Express Master Trust, 5.375%, 7/15/01 ....... 150,037
130,000 Standard Credit Card Master Trust, 6.55%, 10/07/05 ... 134,448
----------
Total Asset-Backed Securities (Cost $277,098) ..................... 284,485
----------
FOREIGN DEBT - 0.9%
150,000 Kingdom of Sweden, 12.00%, 2/01/10 ................... 222,390
165,000 Manitoba, (Province of), 6.12%, 1/19/04 .............. 167,843
125,000 New Zealand Government, 8.75%, 12/15/06 .............. 147,230
65,000 New Zealand Government, 10.625%, 11/15/05 ............ 82,022
120,000 Quebec, (Province of), 5.75%, 2/15/09 ................ 116,364
----------
Total Foreign Debt (Cost $725,446) ................................ 735,849
----------
U.S. GOVERNMENT AND AGENCIES - 8.8%
950,000 FHLB, 5.125%, 9/15/03 ................................ 934,563
600,000 FNMA, 5.625%, 3/15/01 ................................ 604,596
50,000 FNMA, 6.35%, 11/23/01 ................................ 50,242
200,000 FNMA, 5.75%, 2/15/08 ................................. 199,171
400,000 FNMA, Tba, 6.00%, 4/01/08 ............................ 396,750
800,000 FNMA, Tba, 7.00%, 9/01/21 ............................ 810,750
800,000 FNMA, Tba, 7.00%, 9/01/21 ............................ 810,750
1,600,000 FNMA, Tba, 7.50%, 9/01/21 ............................ 1,644,499
1,500,000 FNMA, Tba, 6.50%, 4/01/23 ............................ 1,492,500
600,000 GNMA, 7.50%, 9/01/21 ................................. 618,000
----------
Total U.S. Government and Agencies
(Cost $6,898,531) ............................................... 6,894,093
----------
Shares/
Principal
Amount Description Value
------ ----------- -----
U.S. TREASURY SECURITIES - 7.1%
$ 1,760,000 U.S. Treasury Bond, 8.125%, 8/15/19 ................ $ 2,216,227
90,000 U.S. Treasury Bond, 5.25%, 2/15/29 ................. 85,078
180,000 U.S. Treasury Note, 5.875%, 11/30/01 ............... 183,460
510,000 U.S. Treasury Note, 6.625%, 3/31/02 ................ 530,879
75,000 U.S. Treasury Note, 6.25%, 8/31/02 ................. 77,484
270,000 U.S. Treasury Note, 5.375%, 6/30/03 ................ 271,688
220,000 U.S. Treasury Note, 4.75%, 2/15/04 ................. 216,632
90,000 U.S. Treasury Note, 7.25%, 8/15/04 ................. 98,269
240,000 U.S. Treasury Note, 6.50%, 10/15/06 ................ 255,674
490,000 U.S. Treasury Note, 6.125%, 8/15/07 ................ 512,966
396,000 U.S. Treasury Note, 5.50%, 2/15/08 ................. 400,455
673,000 U.S. Treasury Note, 4.75%, 11/15/08 ................ 648,287
-----------
Total U.S. Treasury Securities (Cost $5,676,953) ................. 5,497,099
-----------
SHORT TERM INSTRUMENTS - 40.5%
Mutual Fund - 20.6%
15,960,069 BT Institutional Cash Management Fund .............. 15,960,070
-----------
U.S. Treasury Securities - 19.9% (d)
$ 3,000,000 U.S. Treasury Bill, 4.09%, 4/15/99 ................. 2,994,378
3,000,000 U.S. Treasury Bill, 4.25%, 4/22/99 ................. 2,991,654
3,000,000 U.S. Treasury Bill, 4.38%, 5/06/99 ................. 2,986,992
3,000,000 U.S. Treasury Bill, 4.49%, 5/13/99 ................. 2,984,424
575,000 U.S. Treasury Bill, 4.30%, 5/20/99 (a) ............. 571,541
3,000,000 U.S. Treasury Bill, 4.38%, 6/17/99 ................. 2,971,959
-----------
15,500,948
-----------
Total Short Term Instruments
(Cost 31,462,125) .............................................. 31,461,018
-----------
Total Investments (Cost $74,609,927) ........... 101.9% 79,226,858
Liabilities in Excess of Other Assets .......... (1.9)% (1,488,198)
----- ------------
Net Assets ..................................... 100.0% $ 77,738,660
===== ============
- --------------
(1) Non-income producing security
(a) Held as collateral by broker for Futures Contracts
(b) Step 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) Designated as collateral for futures contracts
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.
24
<PAGE>
- --------------------------------------------------------------------------------
Asset Management Portfolio III
Schedule of Portfolio Investments March 31, 1999
- --------------------------------------------------------------------------------
Shares Description Value
------ ----------- -----
COMMON STOCKS - 17.8%
Aerospace - 0.1%
400 Boeing Co. ..................................... $ 13,650
100 Raytheon Co. - Class A ......................... 5,775
--------
19,425
--------
Airlines - 0.1%
800 AMR Corp.(1).................................... 46,850
400 Delta Air Lines, Inc. .......................... 27,800
--------
74,650
--------
Auto Related - 0.4%
498 DaimlerChrysler AG(1) .......................... 42,928
1,200 Dana Corp. ..................................... 45,600
800 General Motors Corp. ........................... 69,500
--------
158,028
--------
Banks - 1.1%
2,715 BankAmerica Corp. .............................. 191,806
2,800 BankBoston Corp. ............................... 121,275
2,400 Chase Manhattan Corp. .......................... 195,150
--------
508,231
--------
Beverages - 0.5%
800 Coca-Cola Co. .................................. 49,100
900 Coca-Cola Enterprises, Inc. .................... 27,225
3,000 PepsiCo, Inc. .................................. 117,562
400 Seagram Company Ltd. ........................... 20,000
--------
213,887
--------
Chemicals and Toxic Waste - 0.6%
600 Air Products and Chemicals, Inc. ............... 20,550
2,000 Du Pont (E.I.) de Nemours & Co. ................ 116,125
2,200 Monsanto Co. ................................... 101,062
440 Solutia, Inc. .................................. 7,645
--------
245,382
--------
Computer Services - 0.8%
1,600 Cendant Corp.(1) ............................... 25,200
2,700 Cisco Systems, Inc.(1) ......................... 295,819
1,000 Seagate Technology, Inc.(1) .................... 29,562
--------
350,581
--------
Computer Software - 0.6%
800 BMC Software, Inc.(1) .......................... 29,650
1,450 Computer Associates International, Inc. ........ 51,566
1,600 Microsoft Corp.(1) ............................. 143,400
1,800 Oracle Corp.(1) ................................ 47,475
--------
272,091
--------
Diversified - 0.7%
3,000 AlliedSignal, Inc. ............................. 147,562
800 SUPERVALU, Inc. ................................ 16,500
600 Textron, Inc. .................................. 46,425
900 United Technologies Corp. ...................... 121,894
--------
332,381
--------
Drugs - 1.6%
1,200 Lilly (Eli) & Co. .............................. 101,850
3,000 Merck & Co., Inc. .............................. 240,562
2,600 Pfizer, Inc. ................................... 360,750
--------
703,162
--------
Shares Description Value
------ ----------- -----
Electrical Equipment - 0.7%
1,400 Emerson Electric Co. ........................... $ 74,112
2,300 General Electric Co. ........................... 254,437
-------
328,549
-------
Electronics - 0.7%
1,200 Analog Devices, Inc.(1) ........................ 35,700
1,200 Intel Corp. .................................... 142,950
600 LSI Logic Corp.(1) ............................. 18,712
1,000 Motorola, Inc. ................................. 73,250
1,400 Xilinx, Inc.(1) ................................ 56,787
-------
327,399
-------
Entertainment - 0.1%
1,572 Disney (Walt) Co. .............................. 48,928
-------
Environmental Control - 0.1%
1,200 U.S. Filter Corp.(1) ........................... 36,750
-------
Financial Services - 1.0%
1,800 Associates First Capital Corp. - Class A ....... 81,000
2,000 Citigroup ...................................... 127,750
900 First Data Corp. ............................... 38,475
1,800 Freddie Mac .................................... 102,825
1,405 MBNA Corp. ..................................... 33,556
600 Merrill Lynch & Co., Inc. 53,062
600 T. Rowe Price Associates, Inc. ................. 20,625
-------
457,293
-------
Foods - 0.4%
2,200 Bestfoods ...................................... 103,400
300 Corn Products International, Inc. .............. 7,181
2,600 Sara Lee Corp. ................................. 64,350
300 Tricon Global Restaurants, Inc.(1) ............. 21,075
-------
196,006
-------
Healthcare - 0.4%
600 Abbott Laboratories ............................ 28,087
1,800 Johnson & Johnson .............................. 168,637
-------
196,724
-------
Hospital Supplies and Healthcare - 0.4%
900 Baxter International, Inc. ..................... 59,400
1,000 Becton Dickinson & Co. ......................... 38,312
1,064 Tyco International Ltd. ........................ 76,342
-------
174,054
-------
Hotel/Motel - 0.2%
2,000 Marriott International, Inc. ................... 67,250
250 Sodexho Marriott Services, Inc.(1) ............... 5,516
-------
72,766
-------
Household Products - 0.5%
600 Clorox Co. ..................................... 70,312
1,600 Procter & Gamble Co. ........................... 156,700
-------
227,012
-------
Insurance - 0.7%
1,725 American International Group, Inc. ............. 208,078
1 Berkshire Hathaway, Inc. - Class A(1) .......... 71,400
12 Berkshire Hathaway, Inc. - Class B (1) ......... 28,212
-------
307,690
-------
See Notes to Financial Statements.
25
<PAGE>
- --------------------------------------------------------------------------------
Asset Management Portfolio III
Schedule of Portfolio Investments March 31, 1999
- --------------------------------------------------------------------------------
Shares Description Value
------ ----------- -----
Metals - 0.1%
600 Alcan Aluminum Ltd. .................................. $ 15,488
700 Freeport-McMoRan Copper & Gold, Inc. - Class B ....... 7,613
--------
23,101
--------
Office Equipment and Computers - 0.5%
1,000 Hewlett-Packard Co. .................................. 67,813
600 International Business Machines Corp. ................ 106,350
1,000 Xerox Corp. .......................................... 53,375
--------
227,538
--------
Oil - Domestic - 0.3%
200 Atlantic Richfield Co. ............................... 14,600
500 Burlington Resources, Inc. ........................... 19,969
1,600 ENSCO International, Inc. ............................ 21,300
800 Noble Drilling Corp.(1)............................... 13,850
400 Phillips Petroleum Co. ............................... 18,900
1,400 Unocal Corp. ......................................... 51,538
--------
140,157
--------
Oil - International - 0.9%
397 BP Amoco Plc ADR ..................................... 40,092
400 Chevron Corp. ........................................ 35,375
1,200 Exxon Corp. .......................................... 84,675
400 Mobil Corp. .......................................... 35,200
1,600 Royal Dutch Petroleum Co. ............................ 83,200
1,800 Texaco, Inc. ......................................... 102,150
--------
380,692
--------
Oil Equipment and Services - 0.1%
800 Apache Corp. ......................................... 20,850
400 Schlumberger Ltd. .................................... 24,075
--------
44,925
--------
Paper and Forest Products - 0.2%
900 Champion International Corp. ......................... 36,956
900 International Paper Co. .............................. 37,969
--------
74,925
--------
Printing and Publishing - 0.3%
2,200 McGraw-Hill Companies, Inc. .......................... 119,900
--------
Railroads - 0.1%
1,500 Burlington Northern Santa Fe ......................... 49,313
--------
Retail - 1.0%
1,902 Dollar General Corp. ................................. 64,685
800 Federated Department Stores, Inc.(1).................. 32,100
1,800 Lowe's Companies, Inc. ............................... 108,900
600 Nine West Group, Inc.(1).............................. 14,813
800 Tiffany & Co. ........................................ 59,800
1,800 Wal-Mart Stores, Inc. ................................ 165,938
--------
446,236
--------
Telecommunications - 1.0%
1,900 AT&T Corp. ..................................... 151,644
1,300 Comcast Corp. - Class A ........................ 81,819
1,616 MCI WorldCom, Inc.(1)........................... 143,150
500 Sprint Corp. ................................... 49,063
250 Sprint PCS Group(1)............................. 11,078
----------
436,754
----------
Tobacco - 0.2%
2,700 Philip Morris Companies, Inc. .................. 95,006
----------
Shares Description Value
------ ----------- -----
Utility - Electric - 0.4%
600 American Electric Power Co. .................... $ 23,813
400 Dominion Resources, Inc. ....................... 14,775
700 FirstEnergy Corp. .............................. 19,556
900 FPL Group, Inc. ................................ 47,925
800 PG&E Corp. ..................................... 24,850
500 Public Service Enterprise Group, Inc. .......... 19,094
700 Texas Utilities Co. ............................ 29,181
----------
179,194
----------
Utility - Gas, Natural Gas - 0.1%
1,000 Consolidated Natural Gas Co. ................... 48,688
----------
Utility - Telephone - 0.9%
600 Ameritech Corp. ................................ 34,725
600 Bell Atlantic Corp. ............................ 31,013
1,200 BellSouth Corp. ................................ 48,075
1,000 Frontier Corp. ................................. 51,875
2,100 GTE Corp. ...................................... 127,050
800 Lucent Technologies, Inc. ...................... 86,200
800 SBC Communications, Inc. ....................... 37,700
----------
416,638
----------
Total Common Stocks (Cost $6,608,464) ....................... 7,934,056
----------
Principal
Amount
- ---------
NON-CONVERTIBLE CORPORATE DEBT - 8.9%
Financial Services - 4.7%
$ 80,000 Abbey National Plc, 6.69%, 10/17/05 .............. 81,674
136,000 Associates Corp., 5.75%, 11/01/03 ................ 135,121
80,000 BankAmerica Corp., 5.87%, 2/15/09 ................ 77,475
90,000 BankBoston Corp., 6.38%, 8/11/00 ................. 90,878
138,000 Bayerische Landesbank, 6.17%, 2/01/06 ............ 138,993
120,000 Chrysler Financial Corp., 6.11%, 7/28/99 ......... 120,353
60,000 Computer Science, 6.25%, 3/15/09 ................. 60,420
150,000 Ford Motor Credit Co., 6.55%, 9/10/02 ............ 153,307
70,000 Ford Motor Credit Co., 5.80%, 1/12/09 ............ 67,540
60,000 General Electric Capital Corp.,
8.85%, 3/01/07 ................................. 70,671
120,000 Household Finance, 5.87%, 2/01/09 ................ 115,314
200,000 IBM Credit Corp., 5.87%, 8/25/99 ................. 200,584
180,000 Inter-American Development Bank,
5.12%, 2/05/04 ................................. 175,432
35,000 International Bank of Reconstruction
and Development, 8.87%, 3/01/26 .................. 46,971
120,000 KFW International Finance, 8.20%, 6/01/06 ........ 134,345
150,000 Pepsi Bottling Holdings, 5.37%, 2/17/04 .......... 147,358
70,000 Progressive Corp., 6.62%, 3/01/29 ................ 67,099
120,000 Salomon Smith Barney, 6.62%, 11/15/03 ............ 122,631
88,000 Washington Mutual, 7.25%, 8/15/05 ................ 91,550
----------
2,097,716
----------
Industrial - 2.0%
60,000 Corning, 6.85%, 3/01/29 .......................... 59,755
120,000 Diageo Capital Plc, 6.12%, 8/15/05 ............... 121,113
50,000 Ford Motor Co., 6.62%, 10/01/28 .................. 48,482
60,000 IBM Corp., 6.50%, 1/15/28 ........................ 58,663
See Notes to Financial Statements.
26
<PAGE>
- --------------------------------------------------------------------------------
Asset Management Portfolio III
Schedule of Portfolio Investments March 31, 1999
- --------------------------------------------------------------------------------
Principal
Amount Description Value
------ ----------- -----
$ 70,000 Illinois Tool Works, 5.75%, 3/01/09 ............... $ 69,205
50,000 Lucent Technologies, Inc., 5.50%, 11/15/08 ........ 48,243
40,000 Markel Capital Trust, 8.71%, 1/01/46 .............. 37,920
90,000 Mutual Life Insurance, 0.00%, 8/15/24 (b)(c) ...... 126,230
145,000 Texas Instruments, Inc., 6.75%, 7/15/99 ........... 145,661
170,000 Walt Disney Co., 5.12%, 12/15/03 .................. 166,126
---------
881,398
---------
Utility - 2.2%
80,000 Ameritech Capital Funding Corp., 6.55%, 1/15/28 ... 78,819
40,000 AT&T Corp, 5.62%, 3/15/04 ......................... 39,854
40,000 AT&T Corp, 6.50%, 3/15/29 ......................... 39,299
165,000 Columbus Southern Power, 6.51%, 2/1/08 ............ 165,182
180,000 Consolidated Edison, 6.45%, 12/1/07 ............... 184,721
50,000 Idaho Power Co., 8.00%, 3/15/04 ................... 54,414
100,000 National Rural Utilities, 5.00%, 10/1/02 .......... 98,163
75,000 Potomac Edison, 8.00%, 6/1/24 ..................... 78,702
230,000 US West Communications, 5.62%, 11/15/08 ........... 224,466
--------
963,620
---------
Total Non-Convertible Corporate Debt
(Cost $3,957,123) ................................................ 3,942,734
---------
ASSET-BACKED SECURITIES - 0.4%
110,000 American Express Master Trust, 5.375%, 7/15/01 ..... 110,027
60,000 Standard Credit Card Master Trust, 6.55%, 10/07/05 . 62,053
-----------
Total Asset Backed Securities
(Cost $167,890) .................................................. 172,080
-----------
FOREIGN DEBT - 1.0%
100,000 Kingdom of Sweden, 12.00%, 2/01/10 ................. 148,260
110,000 Manitoba, (Province of), 6.12%, 1/19/04 ............ 111,895
80,000 New Zealand Government, 10.62%, 11/15/05 ........... 100,950
90,000 Quebec, (Province of), 5.75%, 2/15/09 .............. 87,273
-----------
Total Foreign Debt (Cost $447,779) ................................ 448,378
-----------
U.S. GOVERNMENT AND AGENCIES - 11.4%
250,000 FHLB, 5.125%, 9/15/03 .............................. 245,938
1,010,000 FNMA, 5.625%, 3/15/01 .............................. 1,017,737
80,000 FNMA, 6.35%, 11/23/01 .............................. 80,387
180,000 FNMA, 8.62%, 11/10/04 .............................. 183,886
150,000 FNMA, 5.75%, 2/15/08 ............................... 149,378
400,000 FNMA, TBA, 6.00%, 4/1/08 ........................... 396,750
600,000 FNMA, TBA, 7.00%, 9/1/21 ........................... 608,063
300,000 FNMA, TBA, 7.50%, 9/1/21 ........................... 308,344
400,000 FNMA, TBA, 7.50%, 9/1/21 ........................... 410,750
1,300,000 FNMA, TBA, 6.50%, 4/1/23 ........................... 1,293,500
400,000 GNMA, TBA, 7.50%, 9/1/21 ........................... 412,000
-----------
Total U.S. Government and Agencies
(Cost $5,103,695) ............................................... 5,106,733
-----------
Shares/
Principal
Amount Description Value
------ ----------- -----
U.S. TREASURY SECURITIES - 9.6%
$ 1,100,000 U.S. Treasury Bond, 8.125%, 8/15/19 ............... $ 1,385,142
90,000 U.S. Treasury Bond, 5.25%, 2/15/29 ................ 85,078
170,000 U.S. Treasury Note, 5.875%, 11/30/01 .............. 173,267
420,000 U.S. Treasury Note, 6.62%, 3/31/02 ................ 437,195
50,000 U.S. Treasury Note, 6.25%, 8/31/02 ................ 51,656
180,000 U.S. Treasury Note, 5.37%, 6/30/03 ................ 181,125
140,000 U.S. Treasury Note, 4.75%, 2/15/04 ................ 137,857
50,000 U.S. Treasury Note, 7.25%, 8/15/04 ................ 54,578
170,000 U.S. Treasury Note, 6.50%, 10/15/06 ............... 181,103
460,000 U.S. Treasury Note, 6.12%, 8/15/07 ................ 481,560
527,000 U.S. Treasury Note, 5.50%, 2/15/08 ................ 532,929
575,000 U.S. Treasury Note, 4.75%, 11/15/08 ............... 553,886
50,000 U.S. Treasury Note, 5.25%, 11/15/28 ............... 46,633
-----------
Total U.S. Treasury Securities (Cost $4,391,520) ................. 4,255,376
-----------
SHORT TERM INSTRUMENTS - 54.6%
Mutual Fund - 26.6%
11,838,272 BT Institutional Cash Management Fund ............. 11,838,272
-----------
U.S. Treasury Securities - 28.0% (d)
$ 660,000 U.S. Treasury Bill, 4.40%, 5/20/99 (a) ............ 656,029
15,000 U.S. Treasury Bill, 4.43%, 5/20/99 (a) ............ 14,910
3,000,000 U.S. Treasury Bill, 4.39%, 7/15/99 ................ 2,962,725
3,000,000 U.S. Treasury Bill, 4.41%, 8/12/99 ................ 2,951,454
3,000,000 U.S. Treasury Bill, 4.56%, 9/2/99 ................. 2,943,789
3,000,000 U.S. Treasury Bill, 4.05%, 10/14/99 ............... 2,928,624
-----------
12,457,531
-----------
Total Short Term Instruments
(Cost $24,290,604) ............................................. 24,295,803
-----------
Total Investments (Cost $44,967,075) ........... 103.7% 46,155,160
Liabilities in Excess of Other Assets .......... (3.7)% (1,657,121)
----- ------------
Net Assets ..................................... 100.0% $ 44,498,039
===== ============
- -----------
(1) Non-income producing security
(a) Held as collateral by broker for Futures Contracts
(b) Step 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) Designated as collateral for futures contracts
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.
27
<PAGE>
- --------------------------------------------------------------------------------
Asset Management Portfolios
Statements of Assets and Liabilities For the year ended March 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Asset Asset Asset
Management Management II Management III
------------- ------------- --------------
<S> <C> <C> <C>
Assets
Investments, at Value(1) .................................... $741,463,936 $ 79,226,858 $ 46,155,160
Cash(2) ..................................................... 17,431,807 3,286,949 1,592,424
Receivable for Securities Sold .............................. 16,544,921 2,837,996 2,815,288
Variation Margin Receivable (Foreign) ....................... 375,159 47,949 25,964
Interest Receivable ......................................... 714,283 170,550 148,811
Dividends Receivable ........................................ 579,236 87,494 65,670
------------ ------------ ------------
Total Assets .................................................. 777,109,342 85,657,796 50,803,317
------------ ------------ ------------
Liabilities
Due to Bankers Trust ........................................ 333,035 10,057 2,176
Payable for Securities Purchased ............................ 70,727,955 7,809,740 6,255,595
Accrued Expenses and Other .................................. 22,162 58,634 21,734
Depreciation on Forward Currency Exchange Contracts ......... 52,793 9,486 7,492
Variation Margin Payable (Domestic) ......................... 1,845,900 31,219 18,281
------------ ------------ ------------
Total Liabilities ............................................. 72,981,845 7,919,136 6,305,278
------------ ------------ ------------
Net Assets .................................................... $704,127,497 $ 77,738,660 $ 44,498,039
============ ============ ============
Composition of Net Assets
Paid-in Capital ............................................. $645,631,328 $ 73,294,737 $ 43,374,146
Net Unrealized Appreciation on Investments, Foreign Currency,
Forward Foreign Currency Contracts and Futures Contracts .. 58,496,169 4,443,923 1,123,893
------------ ------------ ------------
Net Assets .................................................... $704,127,497 $ 77,738,660 $ 44,498,039
============ ============ ============
</TABLE>
- ---------------
(1) Cost of $679,910,793, $74,609,927, and $44,967,075, respectively.
(2) Includes foreign cash of $17,135,322, $3,286,949, and $1,593,022, with a
cost of $17,842,171, $3,404,982, and $1,613,654, respectively.
See Notes to Financial Statements.
28
<PAGE>
- --------------------------------------------------------------------------------
Asset Management Portfolios
Statements of Operations For the year ended March 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Asset Asset Asset
Management Management II Management III
---------- ------------- --------------
<S> <C> <C> <C>
Investment Income
Dividends(1) ......................................... $ 6,184,636 $ 1,174,398 $ 703,598
Interest ............................................. 17,592,859 2,103,555 1,901,898
------------ ------------ ------------
Total Investment Income .............................. 23,777,495 3,277,953 2,605,496
------------ ------------ ------------
Expenses
Advisory Fees ........................................ 4,398,804 568,410 370,595
Administration and Services Fees ..................... 676,739 87,448 57,015
Professional Fees .................................... 39,811 37,089 38,783
Trustees Fees ........................................ 4,085 3,750 4,143
Miscellaneous ........................................ 4,597 10,353 2,706
------------ ------------ ------------
Total Expenses ....................................... 5,124,036 707,050 473,242
Less Expenses absorbed by Bankers Trust .............. (1,063,602) (182,366) (131,154)
------------ ------------ ------------
Net Expenses ....................................... 4,060,434 524,684 342,088
------------ ------------ ------------
Net Investment Income .................................. 19,717,061 2,753,269 2,263,408
------------ ------------ ------------
Realized and Unrealized Gain on Investments,
Foreign Currency Transactions, Forward Foreign Currency
Contracts and Futures Contracts
Net Realized Gain from:
Investments, Foreign Currency and Forward Foreign
Currency Transactions ............................ 2,480,716 1,374,904 201,045
Futures Transactions ............................... 28,406,622 1,990,151 1,585,522
Net Change in Unrealized Appreciation on:
Investments, Foreign Currency, Forward Foreign
Currency Contracts and Futures Contracts ........... 29,150,269 2,598,490 551,176
------------ ------------ ------------
Net Realized and Unrealized Gain on Investments, Foreign
Currency, Forward Foreign Currency Contracts
and Future Contracts ................................. 60,037,607 5,963,545 2,337,743
------------ ------------ ------------
Net Increase in Net Assets from Operations ............. $ 79,754,668 $ 8,716,814 $ 4,601,151
============ ============ ============
</TABLE>
- -------------
(1) Net of foreign withholding tax of $9,026, $1,090 and $252, respectively.
See Notes to Financial Statements.
29
<PAGE>
- --------------------------------------------------------------------------------
Asset Management Portfolios
Statements of Changes in Net Assets
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Asset Management
---------------------------------------
For the year ended For the year ended
March 31, 1999 March 31, 1998
---------------- ------------------
<S> <C> <C>
Increase (Decrease) in Net Assets from:
Operations
Net Investment Income .................................................... $ 19,717,061 $ 13,974,260
Net Realized Gain from Investments, Foreign Currency,
Forward Foreign Currency and Futures Transactions ....................... 30,887,338 101,389,267
Net Change in Unrealized Appreciation/Depreciation on Investments, Foreign
Currency, Forward Foreign Currency Contracts and Futures Contracts ...... 29,150,269 21,903,331
------------- -------------
Net Increase in Net Assets from Operations ................................. 79,754,668 137,266,858
------------- -------------
Capital Transactions
Proceeds from Capital Invested ........................................... 419,617,422 305,009,400
Value of Capital Withdrawn ............................................... (444,617,015) (141,442,529)
------------- -------------
Net Increase (Decrease) in Net Assets from Capital Transactions ............ (24,999,593) 163,566,871
------------- -------------
Total Increase in Net Assets ............................................... 54,755,075 300,833,729
Net Assets
Beginning of Year .......................................................... 649,372,422 348,538,693
------------- -------------
End of Year ................................................................ $ 704,127,497 $ 649,372,422
============= =============
<CAPTION>
Asset Management II
---------------------------------------
For the year ended For the year ended
March 31, 1999 March 31, 1998
---------------- ------------------
<S> <C> <C>
Increase (Decrease) in Net Assets from:
Operations
Net Investment Income .................................................... $ 2,753,269 $ 2,944,682
Net Realized Gain from Investments, Foreign Currency,
Forward Foreign Currency and Futures Transactions ....................... 3,365,055 14,607,350
Net Change in Unrealized Appreciation/Depreciation on Investments, Foreign
Currency, Forward Foreign Currency Contracts and Futures Contracts ...... 2,598,490 1,032,028
------------- -------------
Net Increase in Net Assets from Operations ................................. 8,716,814 18,584,060
------------- -------------
Capital Transactions
Proceeds from Capital Invested ........................................... 75,687,875 34,992,651
Value of Capital Withdrawn ............................................... (101,737,559) (20,281,108)
------------- -------------
Net Increase (Decrease) in Net Assets from Capital Transactions ............ (26,049,684) 14,711,543
------------- -------------
Total Increase (Decrease) in Net Assets .................................... (17,332,870) 33,295,603
Net Assets
Beginning of Year .......................................................... 95,071,530 61,775,927
------------- -------------
End of Year ................................................................ $ 77,738,660 $ 95,071,530
============= =============
<CAPTION>
Asset Management III
---------------------------------------
For the year ended For the year ended
March 31, 1999 March 31, 1998
---------------- ------------------
<S> <C> <C>
Increase (Decrease) in Net Assets from:
Operations
Net Investment Income .................................................... $ 2,263,408 $ 1,748,553
Net Realized Gain from Investments, Foreign Currency, Forward
Foreign Currency and Futures Transactions ............................... 1,786,567 4,102,263
Net Change in Unrealized Appreciation/Depreciation on Investments, Foreign
Currency, Forward Foreign Currency Contracts and Futures Contracts ...... 551,176 976,474
------------- -------------
Net Increase in Net Assets from Operations ................................. 4,601,151 6,827,290
------------- -------------
Capital Transactions
Proceeds from Capital Invested ........................................... 63,588,410 22,821,438
Value of Capital Withdrawn ............................................... (73,090,682) (12,791,104)
------------- -------------
Net Increase (Decrease) in Net Assets from Capital Transactions ............ (9,502,272) 10,030,334
------------- -------------
Total Increase (Decrease) in Net Assets .................................... (4,901,121) 16,857,624
Net Assets
Beginning of Year .......................................................... 49,399,160 32,541,536
------------- -------------
End of Year ................................................................ $ 44,498,039 $ 49,399,160
============= =============
</TABLE>
See Notes to Financial Statements.
30
<PAGE>
- --------------------------------------------------------------------------------
Asset Management Portfolios
Financial Highlights
- --------------------------------------------------------------------------------
Contained below are selected supplemental data and ratios to average net assets
for the periods indicated for the Asset Management Portfolios.
<TABLE>
<CAPTION>
Asset Management Portfolio
----------------------------------------------------------------------
For the years ended March 31,
----------------------------------------------------------------------
1999 1998 1997 1996 1995
----------- ----------- ----------- ----------- ----------
<S> <C> <C> <C> <C> <C>
Supplemental Data and Ratios:
Net Assets, End of Year (000s omitted) ........ $ 704,127 $ 649,372 $ 348,539 $ 240,142 $ 96,529
Ratios to Average Net Assets:
Net Investment Income ....................... 2.91% 2.97% 3.12% 3.99% 3.78%
Expenses .................................... 0.60% 0.60% 0.60% 0.60% 0.60%
Decrease Reflected in Above Expense Ratio Due
to Absorption of Expenses by Bankers Trust . 0.16% 0.16% 0.16% 0.17% 0.19%
Portfolio Turnover Rate ....................... 109% 199% 137% 154% 92%
<CAPTION>
Asset Management Portfolio II
----------------------------------------------------------------------
For the years ended March 31,
----------------------------------------------------------------------
1999 1998 1997 1996 1995
----------- ----------- ----------- ----------- ----------
<S> <C> <C> <C> <C> <C>
Supplemental Data and Ratios:
Net Assets, End of Year (000s omitted) ........ $ 77,739 $ 95,072 $ 61,776 $ 51,400 $ 25,604
Ratios to Average Net Assets:
Net Investment Income ....................... 3.15% 3.71% 3.87% 4.55% 4.41%
Expenses .................................... 0.60% 0.60% 0.60% 0.60% 0.60%
Decrease Reflected in Above Expense Ratio Due
to Absorption of Expenses by Bankers Trust . 0.21% 0.18% 0.20% 0.20% 0.27%
Portfolio Turnover Rate ....................... 202% 275% 209% 208% 105%
<CAPTION>
Asset Management Portfolio III
----------------------------------------------------------------------
For the years ended March 31,
----------------------------------------------------------------------
1999 1998 1997 1996 1995
----------- ----------- ----------- ----------- ----------
<S> <C> <C> <C> <C> <C>
Supplemental Data and Ratios:
Net Assets, End of Year (000s omitted) ........ $ 44,498 $ 49,399 $ 32,542 $ 28,869 $ 21,202
Ratios to Average Net Assets:
Net Investment Income ....................... 3.97% 4.45% 4.64% 5.04% 4.87%
Expenses .................................... 0.60% 0.60% 0.60% 0.60% 0.60%
Decrease Reflected in Above Expense Ratio Due
to Absorption of Expenses by Bankers Trust . 0.23% 0.21% 0.23% 0.22% 0.30%
Portfolio Turnover Rate ....................... 344% 389% 307% 221% 111%
</TABLE>
31
<PAGE>
- --------------------------------------------------------------------------------
Asset Management Portfolios
Notes to Financial Statements
- --------------------------------------------------------------------------------
Note 1--Organization and Significant Accounting Policies
A. Organization
The Asset Management Portfolio, Asset Management Portfolio II and Asset
Management Portfolio III (each a "Portfolio," and collectively, the
"Portfolios") are registered under the Investment Company Act of 1940 ("the
Act"), as amended, as open-end management investment companies. The Portfolios
were organized and commenced operations as follows:
Organization Commencement
Portfolio Date of Operations
- --------- ------------ -------------
Asset Management June 9, 1992 September 16, 1993
Asset Management II October 28, 1992 October 14, 1993
Asset Management III October 28, 1992 October 15, 1993
The Declaration of Trust permits the Board of Trustees (the "Trustees") to issue
beneficial interests in the Portfolios.
B. Security Valuation
The Portfolios' investments listed or traded on National Stock Exchanges or
other domestic or foreign exchanges are valued based on the closing price of the
security traded on that exchange prior to the time when the Portfolio assets are
valued. Short-term 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 Adviser,
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. TBA Purchase Commitments
The Portfolio may enter into "TBA" (to be announced) purchase commitments to
purchase securities for a fixed price at a future date, typically not exceeding
45 days. TBA purchase commitments may be considered securities in themselves,
and involve a risk of loss if the value of the security to be purchased declines
prior to settlement date, which risk is in addition to the risk of decline in
the value of a Portfolio's other assets. Unsettled TBA purchase commitments are
valued at the current market value of the underlying securities, according to
the procedures described under "Security Valuation" above.
F. 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.
G. 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.
H. 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
32
<PAGE>
- --------------------------------------------------------------------------------
Asset Management Portfolios
Notes to Financial Statements
- --------------------------------------------------------------------------------
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.
I. 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 do involve certain risks. These risks could include a lack of
correlation between the futures contract and the corresponding securities
market, a potential lack of liquidity in the secondary market and incorrect
assessments of market trends which may result in poorer overall performance than
if a futures contract had not been entered into.
Futures contracts are valued at the settlement price established each day by the
board of trade or exchange on which they are traded.
J. Federal Income Taxes
Each Portfolio is considered a partnership under the Internal Revenue Code.
Therefore, no federal income tax provision is necessary.
K. 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 March 31, 1999, the Asset Management,
Asset Management II, and Asset Management III Portfolios had dividend income
receivable from the Fund in the amounts of $231,181, $49,953, and $57,214,
respectively. Additionally, distributions from the Fund to the Trust as of March
31, 1999 are included in dividend income and summarized as follows:
$2,334,055 Asset Management
$ 744,135 Asset Management II
$ 603,941 Asset Management III
The following summarizes the purchase and sales of the cash management fund for
each respective portfolio during the past period.
Purchases Sales
-------- ----
Asset Management $240,793,597 $217,628,184
Asset Management II $65,675,723 68,233,529
Asset Management III 354,311,756 329,774,253
The Portfolios are participants with other affiliated entities in a revolving
credit facility and a discretionary demand line of credit facility (collectively
the "credit facilities") in the amounts of $50,000,000 and $100,000,000,
respectively, which expires March 31, 1999. 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 year ended March 31, 1999.
Bankers Trust Company is a wholly owned subsidiary of Bankers Trust Corporation.
On November 30, 1998, Bankers Trust Corporation entered into an Agreement and
Plan of Merger with Deutsche Bank AG under which Bankers Trust Corporation would
merge with and into a subsidiary of Deutsche Bank AG. Deutsche Bank AG is a
major global banking institution that is engaged in a wide range of financial
services, including investment management, mutual funds, retail and commercial
banking, investment banking and insurance. The transaction is contingent upon
various regulatory approvals, and continuation of the Fund's advisory
relationship with Bankers Trust thereafter is subject to the approval of Fund
shareholders. If the transaction is approved and completed, Deutsche Bank AG, as
Bankers Trust's new parent company, will control its operations as investment
adviser. Bankers Trust believes that, under this new arrangement, the services
provided to the Fund will be maintained at their current level.
33
<PAGE>
- --------------------------------------------------------------------------------
Asset Management Portfolios
Notes to Financial Statements
- --------------------------------------------------------------------------------
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 year ended
March 31, 1999, were as follows:
Portfolio Purchases Sales
Asset Management ........ $372,813,880 $367,672,297
Asset Management II ..... 97,378,458 101,704,840
Asset Management III .... 70,305,415 69,629,158
For federal income tax purposes, the tax basis of investments held at March 31,
1999, were as follows:
Portfolio Cost-Tax Basis
Asset Management .......... $682,462,475
Asset Management II ....... 74,936,162
Asset Management III ...... 45,104,375
The aggregate gross unrealized appreciation and depreciation for all investments
as of March 31, 1999, were as follows:
Portfolio Appreciation Depreciation
Asset Management ........ $73,174,390 $14,172,929
Asset Management II ..... 6,289,194 1,998,499
Asset Management III .... 1,744,145 693,360
Note 4--Futures Contracts
A summary of obligations under these financial instruments at March 31, 1999 is
as follows:
<TABLE>
<CAPTION>
Asset Management Portfolio
--------------------------
Unrealized
Appreciation/
Type of Futures Expiration Contracts Position Market Value (Depreciation)
- ------------------ ----------- ------------ --------- ------------ --------------
<S> <C> <C> <C> <C> <C>
S&P 500 June 30, 1999 279 Long $ 90,207,675 $ (1,644,286)
U.S. Treasury Note Futures June 30, 1999 1,008 Long 115,605,000 (1,777,923)
French Bond Futures June 30, 1999 211 Long 21,648,377 203,749
German Bond Futures June 30, 1999 240 Long 29,505,015 286,049
Japanese Bond Futures June 30, 1999 33 Long 36,842,770 678,245
Gilt Futures June 30, 1999 55 Long 10,404,662 (45,228)
- ------------------ ------ ------------ ------------
Total 1,826 $304,213,499 $ (2,299,394)
====== ============ ============
<CAPTION>
Asset Management II Portfolio
-----------------------------
Unrealized
Appreciation/
Type of Futures Expiration Contracts Position Market Value (Depreciation)
- ------------------ ----------- ------------ --------- ------------ --------------
<S> <C> <C> <C> <C> <C>
U.S. Treasury Note Futures June 30, 1999 111 Long $12,730,313 $ (195,783)
French Bond Futures March 31, 1999 37 Long 3,796,161 35,737
Japanese Bond Futures June 30, 1999 4 Long 4,465,790 82,534
Euro Bond Futures June 30, 1999 27 Long 3,319,314 31,763
- ------------------ ------ ----------- -----------
Total 179 $24,311,578 $ (45,749)
====== =========== ===========
<CAPTION>
Asset Management III Portfolio
------------------------------
Unrealized
Appreciation/
Type of Futures Expiration Contracts Position Market Value (Depreciation)
- ------------------ ----------- ------------ --------- ------------ --------------
<S> <C> <C> <C> <C> <C>
U.S. Treasury Note Futures June 30, 1999 65 Long $7,454,688 $ (114,648)
Euro Bond Futures June 30, 1999 15 Long 1,844,063 17,874
French Bond Futures June 30, 1999 20 Long 2,051,979 19,304
Japanese Bond Futures June 30, 1999 2 Long 2,232,895 41,267
- ------------------ ------ ----------- -----------
Total 102 $13,583,625 $ (36,203)
====== =========== ===========
</TABLE>
At March 31, 1999, the Portfolios have segregated sufficient securities to cover
margin requirements on open futures contracts.
34
<PAGE>
- --------------------------------------------------------------------------------
Asset Management Portfolios
Notes to Financial Statements
- --------------------------------------------------------------------------------
Note 5--Open Forward Foreign Currency Contracts
A summary of obligations under these financial instruments at March 31, 1999 is
as follows:
<TABLE>
<CAPTION>
Asset Management Portfolio
--------------------------
Net Unrealized
Contracts to Deliver In Exchange For Settlement Date Value (US$) Depreciation (US$)
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Purchases
- ---------------------------------------------------------------------------------------------------------------------------------
Euro Dollar 2,116,000 U.S. Dollars $ 2,314,608 04/09/1999 $ 2,279,143 $(35,465)
British Pound 5,738,000 U.S. Dollars 9,265,263 04/09/1999 9,247,935 (17,328)
- ---------------------------------------------------------------------------------------------------------------------------------
Total Net Unrealized Depreciation $(52,793)
- ---------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Asset Management II Portfolio
-----------------------------
Net Unrealized
Contracts to Deliver In Exchange For Settlement Date Value (US$) Depreciation (US$)
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Purchases
- ---------------------------------------------------------------------------------------------------------------------------------
Euro Dollar 566,000 U.S. Dollars $ 619,124 04/09/1999 $ 609,638 $(9,486)
- ---------------------------------------------------------------------------------------------------------------------------------
Total Net Unrealized Depreciation $(9,486)
- ---------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Asset Management III Portfolio
------------------------------
Net Unrealized
Contracts to Deliver In Exchange For Settlement Date Value (US$) Depreciation (US$)
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Purchases
- ---------------------------------------------------------------------------------------------------------------------------------
Euro Dollar 447,000 U.S. Dollars $ 488,955 04/09/1999 $ 481,464 $(7,492)
- ---------------------------------------------------------------------------------------------------------------------------------
Total Net Unrealized Depreciation $(7,942)
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
Note 6--Subsequent Event
Subsequent to year end, the portfolios entered into a $100,000,000 364-day
senior unsecured committed revolving credit facility ("the facility") with two
lenders. The borrowings shall bear interest at a rate based on the Federal Funds
rate. A commitment fee is charged on the unused portion of the facility. The
facility replaces the revolving credit facility described in footnote 2.
35
<PAGE>
- --------------------------------------------------------------------------------
Asset Management Portfolios
Report of Independent Accountants
- --------------------------------------------------------------------------------
To the Trustees and Holders of Beneficial Interest of the Asset Management
Portfolios:
In our opinion, the accompanying statement of assets and liabilities and the
related statements of operations and of changes in net assets and the financial
highlights present fairly, in all material respects, the financial position of
the Asset Management Portfolio, Asset Management Portfolio II and Asset
Management Portfolio III (three of the Portfolios comprising BTInvestment
Portfolios, hereafter referred to as the "Portfolios") at March 31, 1999, and
the results of its operations, the changes in its net assets and the financial
highlights for each of the fiscal periods presented, in conformity with
generally accepted accounting principles. These financial statements and
financial highlights (hereafter referred to as "financial statements") are the
responsibility of the Portfolios' management; our responsibility is to express
an opinion on these financial statements based on our audits. We conducted our
audits of these financial statements in accordance with generally accepted
auditing standards which require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements, assessing the
accounting principles used and significant estimates made by management, and
evaluating the overall financial statement presentation. We believe that our
audits, which included confirmation of securities at March 31, 1999 by
correspondence with the custodian and brokers, provide a reasonable basis for
the opinion expressed above.
PricewaterhouseCoopers LLP
Baltimore, Maryland
May 18, 1999
36
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<PAGE>
Investment Advisor and Administrator of the Portfolio
BANKERS TRUST COMPANY
130 Liberty Street
New York, NY 10006
Distributor
ICC DISTRIBUTORS, INC.
Two Portland Square
Portland, ME 04101
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
[LOGO Bankers Trust]
[For information on how to invest, shareholder account information and current
price and yield information, please contact your relationship manager or write
to us at: BT Service Center
P.O. Box 419210
Kansas City, MO 64141-6210
or call our toll-free number: 1-800-730-1313
This report must be preceded or accompanied by a current prospectus for the
Fund.]
Lifecycle Long Range Fund Long Range CUSIP #055922843
Lifecycle Mid Range Range Fund Mid Range CUSIP #055922835
Lifecycle Short Range Fund Short Range CUSIP #055922827
BT Investment Funds COMB LIFE ANN (3/99)
Distributed by:
ICC Distributors, Inc.
Two Portland Square
Portland, ME 04101
