September 30, 1999
[GRAPHIC OMITTED] BT Mutual Funds
Lifecycle Long Range Fund
Lifecycle Mid Range Fund
Lifecycle Short Range Fund
Semi-Annual Report
TRUST: BT INVESTMENT FUNDS
INVESTMENT ADVISOR: BANKERS TRUST COMPANY
<PAGE>
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Lifecycle Funds
Table of Contents
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Letter to Shareholders ...................................... 3
Lifecycle Funds
Statements of Assets and Liabilities ..................... 9
Statements of Operations .................................10
Statements of Changes in Net Assets ......................11
Financial Highlights .....................................13
Notes to Financial Statements ............................16
Asset Management Portfolios
Schedules of Portfolio Investments .......................18
Statements of Assets and Liabilities .....................27
Statements of Operations .................................28
Statements of Changes in Net Assets ......................29
Financial Highlights .....................................30
Notes to Financial Statements ............................31
Proxy Results ...............................................35
--------------------------
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 invest-
ment risks, including possible loss of principal amount invested.
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2
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Lifecycle Funds
Letter to Shareholders
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We are pleased to present you with this semi-annual report for the 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
Evidence of global economic healing--from Asia, to Europe, to Japan, which first
began early in 1999, became overwhelming during the Funds' semi-annual period.
o On the whole, this rebound in global growth, led by the U.S. economic
locomotive, had a beneficial impact on world financial markets.
Such proliferating signs of economic revival were particularly visible in the
emerging markets that had been battered by last year's economic and financial
turmoil
o The turnaround in the Japanese economy was perhaps most dramatic. Real GDP
increased at more than a 4% annual rate in Japan in the first half of 1999
after contracting sharply in 1998.
o Europe's economic fortunes began to improve as well, with increasing signs of
firming consumer confidence and a clear upturn in the industrial sector. The
rebound here primarily reflects the lagged effects of substantial monetary
easing, an end to fiscal tightening, and the recovery of export markets to
Asia.
U.S. Equities
Overall, the past six months witnessed a continuation of significant volatility
in the U.S. equity markets.
o The spectacular performance of the U.S. economy continued, with growth
remaining brisk and inflation well contained. A few imbalances, however, began
to emerge. Specifically:
- some signs of strain in the production process developed as a result of
tight labor markets and the rebound in global growth and commodity prices
- the U.S. continued to consume beyond its means, as reflected in an ever
growing current account deficit
- to prevent these imbalances from igniting inflation, the Federal Reserve
Board raised interest rates a total of 0.50% in two subsequent moves in June
and August, reversing two-thirds of the rate cuts it enacted during the
global turmoil of the third calendar quarter of 1998.
o Given the higher interest rates as well as potential Y2K concerns, the long
bull run in U.S. equity markets seems to have paused for much of the
semi-annual period, with most major indices basically moving sideways. For
example:
- Large cap stocks, as measured by the S&P 500 Index, produced a 6-month
return as of September 30, 1999 of just 0.36%.
- Midcap stocks, as measured by the S&P 400 Mid Cap Index, and small cap
stocks, as measured by the Russell 2000 Index, outperformed their larger cap
brethren in a reversal from last fiscal year, but still produced
single-digit returns. Midcap and small cap stocks produced returns of 4.57%
and 8.25%, respectively, over the same semi-annual period.
U.S. Bonds
In reaction to the Federal Reserve Board officially raising interest rates twice
over the summer of 1999 for a total of 0.50%, U.S. interest rates increased even
more dramatically over the semi-annual period.
o Yields on the 5-year U.S. Treasury, for example, increased by approximately
0.66% during the six months ended September 30, 1999.
o Municipal yields moved higher as well, though these securities moved within a
narrower band.
o Yields on corporate, mortgage-backed, and asset-backed securities rose the
most of the fixed income sectors. Yield spreads on these sectors widened
significantly due primarily to higher interest rates, heavy issuance, and
concerns over prepayment volatility in the mortgage market, credit
implications for corporate bonds of increased inflation and the possible
effect on earnings, and a potential lack of liquidity at year end caused by
Y2K fears.
International Markets
Most of the world's developed equity markets, with the exception of Japan, were
volatile throughout the six months but ended the period virtually flat to where
they began in April 1999. Most of the emerging markets rebounded notably from
the previous year's battering.
o Signs of stronger economic growth in Europe seem to have stopped the
relentless decline of the Euro. At the same time, such growth pushed up
European interest rates, partly on concerns that the European Central Bank
would begin to reverse its accommodative monetary stance. In fact, the Bank of
England, in a surprise move, began the process of monetary tightening by
hiking rates by 0.25%. These rate concerns weighed somewhat on European
equities during the semi-annual period.
o In Japan, the infusion of liquidity by its government, some minor signs of a
revival in private demand, and a continued zero interest policy by the Bank of
Japan sparked a rather strong rally in Japanese equities.
International bond markets, like U.S. bonds, were generally lower in price in
the six months ended September 30, 1999. This was primarily due to concerns of
continued strong global growth, global inflation as reflected by significantly
higher commodity prices, and either actual interest rate hikes or the
anticipation of future interest rate hikes.
Cash
The U.S. dollar came under some pressure, as the improved climate overseas made
investors relatively less eager to finance the U.S.' burgeoning current account
deficit. Because of the economic turnaround in Japan, the U.S. dollar also
weakened substantially versus some of the oil-based currencies and the yen.
3
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Lifecycle Funds
Letter to Shareholders
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INVESTMENT REVIEW
The Lifecycle Long Range and Mid Range Funds each closely tracked their
respective benchmarks and the Lifecycle Short Range underperformed its benchmark
for the semi-annual period ended September 30, 1999. Each underperformed its
category average. This relative performance was due primarily to the Funds'
overweighting in equities, which were lackluster. Nevertheless, our model's
assessment of a wide variety of factors supported an equity market overweighting
during the semi-annual period, supported by favorable economic, fundamental and
sentiment factors. The model also dictated an underweight position in the bond
market, as supported by unfavorable valuations and by interest rate measures.
o The Lifecycle Long Range Fund's asset weightings were 47% in equities, 9% in
bonds, and 44% in cash and other short-term instruments as of September 30,
1999.
o The Lifecycle Mid Range Fund's asset weightings were 28% in equities, 17% in
bonds, and 55% in cash and other short-term instruments as of September 30,
1999.
o The Lifecycle Short Range Fund's asset weightings were 19% in equities, 29% in
bonds, and 52% in cash and other short-term instruments as of September 30,
1999.
MANAGER OUTLOOK
Despite a 0.50% increase in the fed funds rate, we believe the U.S. economy
still has substantial momentum with financial fundamentals remaining quite
strong for the near term. We further believe that it will take somewhat higher
interest rates to tone down the economy's vibrancy. We suspect that interest
rates, prodded by one more tightening by the Federal Reserve Board, may rise
modestly further into the year 2000. While the risk of economic overheating
remains, this interest rate outlook, along with burgeoning signs of inflation,
may lead to a slowed U.S. economy early next year.
A gradual cooling in U.S. economic activity is unlikely, in our view, to
jeopardize the recoveries in other parts of the world.
o Prospects continue to brighten in Euroland, despite ongoing structural
problems. There is considerable monetary easing still in the pipeline; the
fiscal belt tightening associated with the Maastricht Treaty seems to be over;
and the drag from the Asian crisis is dissipating.
o In Japan, the cumulative effects of massive fiscal stimulus and bank reform
have finally started to revive the economy, and although the outlook remains
uncertain here, we believe that Japan has at least bottomed.
o Overall, it appears that global growth should continue accelerating into the
year 2000 and gradually become less dependent on contributions from the U.S.
This rebalancing of global growth should eventually help redress the widening
current account disparities among the U.S., Europe, and Asia.
Given this outlook, we intend to continue the rather defensive strategy we began
toward the end of the Funds' semi-annual period. That is, to reduce the Funds'
overweighting in equities to a more neutral weighting and to keep the portfolios
neutral to underweight in bonds. We also intend to increase the portfolios' cash
holdings until many of the current
<TABLE>
<CAPTION>
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Periods ended September 30, 1999 Cumulative Total Returns Average Annual Total Returns
-----------------------------------------------------------------------------------------------------------------------------------
Past 6 Past 1 Past 3 Past 5 Since Past 1 Past 3 Past 5 Since
months year years years inception year years years inception
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<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Lifecycle Long Range Fund/1 0.43% 14.55% 62.01% 118.43% 111.82% 14.55% 17.45% 16.91% 13.64%
(inception 11/16/93)
Asset Allocation Index--Long Range/2 0.46% 15.18% 59.16% 119.25% 121.06% 15.18% 16.75% 17.00% 14.57%
Lipper Flexible Portfolio Average/3 1.06% 15.45% 46.53% 100.09% 103.15% 15.45% 13.40% 14.56% 12.58%
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Lifecycle Mid Range Fund/1 0.71% 9.31% 48.32% 87.68% 78.56% 9.31% 14.04% 13.42% 10.22%
(inception 10/14/93)
Asset Allocation Index--Mid Range/2 0.60% 10.13% 43.99% 86.78% 86.24% 10.13% 12.92% 13.31% 11.08%
Lipper Flexible Portfolio Average/3 1.06% 15.45% 46.53% 100.09% 100.18% 15.45% 13.40% 14.56% 12.10%
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Lifecycle Short Range Fund/1 0.10% 3.37% 33.64% 59.40% 52.72% 3.37% 10.15% 9.77% 7.37%
(inception 10/15/93)
Asset Allocation Index--Short Range/2 0.72% 5.20% 29.81% 58.47% 57.44% 5.20% 9.09% 9.64% 7.97%
Lipper Income Average/3 0.88% 7.67% 34.55% 81.53% 78.18% 7.67% 10.31% 12.47% 10.08%
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</TABLE>
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/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. 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.
2/ Indices are unmanaged, and investments cannot be made in an index.
3/ Lipper figures represent the average of the total returns reported by all of
the mutual funds designated by Lipper, Inc. as falling into the respective
categories indicated. These figures do not reflect sales charges.
4
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Lifecycle Funds
Letter to Shareholders
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concerns about interest rates, Federal Reserve Board policy, economic growth,
inflation, and other economic and political uncertainties become a bit more
clear.
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 Lifecycle Funds and look forward to
continuing to serve your investment needs in the years ahead.
/s/ Robert Wang
Robert Wang
Portfolio Manager of the
Lifecycle Funds
September 30, 1999
5
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Lifecycle Long Range Fund
Letter to Shareholders
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Diversification of Portfolio Investments
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By Asset Class as of September 30, 1999
(percentages are based on Net Assets)
Stocks 47%
Bonds 9%
Short Term Investment 44%
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
--------------------------------------------
Cisco Systems, Inc.
--------------------------------------------
Pfizer, Inc.
--------------------------------------------
General Electric Co.
--------------------------------------------
Wal-Mart Stores, Inc
--------------------------------------------
Merck & Co., Inc.
--------------------------------------------
--------------------------------------------
Five Largest Fixed Income Securities
--------------------------------------------
U.S. Treasury Note, 6.875%, 5/15/06
--------------------------------------------
FNMA, 7.50%, 9/1/21
--------------------------------------------
FNMA, 6.50%, 4/1/23
--------------------------------------------
U.S. Treasury Bond, 8.125%, 8/15/19
--------------------------------------------
GNMA, 7.50%, 9/1/21
--------------------------------------------
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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.
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Performance Comparison
--------------------------------------------------------------------------------
<TABLE>
<S> <C> <C> <C>
Comparison of Change in Value Lifecycle Long Asset Allocation Index-- S&P 500
of a $10,000 Investment in the Range Fund - $21,182 Long Range/1 - $22,106 Index - $31,342
Lifecycle Long Range Fund, the -------------------- ------------------------ ---------------
Asset Allocation Index-Long Nov-93 10000 Nov-93 10000 Nov-93 10000
Range and the S&P 500 Index Mar-94 9680 Mar-94 9789 Mar-94 9737
since November 30, 1993. Sep-94 9698 Sep-94 10082 Sep-94 10256
Mar-95 10319 Mar-95 10843 Mar-95 11253
-------------------------------------- Sep-95 11479 Sep-95 12256 Sep-95 13308
Total Return for the Periods Mar-96 12321 Mar-96 13180 Mar-96 14867
Ended September 30, 1999/3 Sep-96 13074 Sep-96 13889 Sep-96 16014
One Five Since Mar-97 14032 Mar-97 14908 Mar-97 17813
Year Year 11/16/93/1 Sep-97 16686 Sep-97 17432 Sep-97 22490
14.55% 16.91%/2 13.64%/2 Mar-98 18759 Mar-98 19400 Mar-98 26363
Sep-98 18492 Sep-98 19192 Sep-98 24524
1/ The Fund's inception date. Mar-99 21092 Mar-99 21296 Mar-99 31229
2/ Annualized. Sep-99 21182 Sep-99 22106 Sep-99 31342
3/ Unaudited.
Past performance is not indicative of future performance. The S&P 500 Index is an
Investment return and principal value indicator of general market performance. Indices are unmanaged and investments
will fluctuate so that shares, when may not be made in an index. Performance figures assume the reinvestment of
redeemed, may be worth more or less dividends and capital gain distributions.
than their original cost.
--------------------------------------
</TABLE>
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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
6
<PAGE>
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Lifecycle Mid Range Fund
Letter to Shareholders
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----------------------------------------
Diversification of Portfolio Investments
----------------------------------------
By Asset Class as of September 30, 1999
(percentages are based on Net Assets)
Bonds 17%
Stocks 28%
Short Term Investment 55%
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
--------------------------------------------
Cisco Systems, Inc.
--------------------------------------------
Pfizer, Inc.
--------------------------------------------
General Electric Co.
--------------------------------------------
Merck & Co., Inc.
--------------------------------------------
Wal-Mart Stores, Inc.
--------------------------------------------
--------------------------------------------
Five Largest Fixed Income Securities
--------------------------------------------
FHLB, 5.125%, 4/17/01
--------------------------------------------
GNMA, 7.50%, 9/1/21
--------------------------------------------
U.S. Treasury Bond, 8.125%, 8/15/19
--------------------------------------------
FNMA, 6.50%, 4/1/23
--------------------------------------------
U.S. Treasury Bond, 5.50%, 5/15/09
--------------------------------------------
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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
--------------------------------------------------------------------------------
<TABLE>
<S> <C> <C> <C>
Comparison of Change in Lifecycle Mid Asset Allocation Index-- S&P 500
Value of a $10,000 Investment Range Fund - $17,856 Mid Range/1 - $18,624 Index - $31,043
in the Lifecycle Mid Range -------------------- ----------------------- ---------------
Fund, the Asset Allocation Oct-93 10000 Oct-93 10000 Oct-93 10000
Index-Mid Range and the S&P Mar-94 9503 Mar-94 9766 Mar-94 9644
500 Index since October 31, Sep-94 9515 Sep-94 9971 Sep-94 10158
1993. Mar-95 10002 Mar-95 10611 Mar-95 11145
Sep-95 10876 Sep-95 11724 Sep-95 13180
-------------------------------------- Mar-96 11466 Mar-96 12396 Mar-96 14724
Total Return for the Periods Sep-96 12040 Sep-96 12934 Sep-96 15861
Ended September 30, 1999/3 Mar-97 12746 Mar-97 13658 Mar-97 17642
One Five Since Sep-97 14662 Sep-97 15388 Sep-97 22275
Year Year 10/14/93/1 Mar-98 16101 Mar-98 16705 Mar-98 26111
9.31% 13.42%/2 10.22%/2 Sep-98 16336 Sep-98 16912 Sep-98 24290
Mar-99 17731 Mar-99 18512 Mar-99 30932
1/ The Fund's inception date. Sep-99 17856 Sep-99 18624 Sep-99 31043
2/ Annualized.
3/ Unaudited. 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
Investment return and principal value may not be made in an index. Performance figures assume the reinvestment of
will fluctuate so that shares, when dividends and capital gain distributions.
redeemed, may be worth more or less
than their original cost.
--------------------------------------
</TABLE>
----------
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
7
<PAGE>
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Lifecycle Short Range Fund
Letter to Shareholders
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----------------------------------------
Diversification of Portfolio Investments
----------------------------------------
By Asset Class as of September 30, 1999
(percentages are based on Net Assets)
Bonds 29%
Stocks 19%
Short Term Investment 52%
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
--------------------------------------------
Cisco Systems, Inc.
--------------------------------------------
Pfizer, Inc.
--------------------------------------------
General Electric Co.
--------------------------------------------
Merck & Co.
--------------------------------------------
American International Group, Inc.
--------------------------------------------
--------------------------------------------
Five Largest Fixed Income Securities
--------------------------------------------
FHLB , 5.125%, 4/17/01
--------------------------------------------
FNMA, 6.50%, 4/1/23
--------------------------------------------
U.S. Treasury Bond, 8.125%, 8/15/19
--------------------------------------------
U.S. Treasury Note, 5.25%, 5/15/04
--------------------------------------------
U.S. Treasury Note, 6.875%, 5/15/06
--------------------------------------------
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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
--------------------------------------------------------------------------------
<TABLE>
<S> <C> <C> <C>
Comparison of Change in Value Lifecycle Short Asset Allocation Index-- S&P 500
of a $10,000 Investment in Range Fund - $15,272 Short Range/1 - $15,744 Index - $31,043
the Lifecycle Short Range -------------------- ------------------------ ---------------
Fund, the Asset Allocation Oct-93 10000 Oct-93 10000 Oct-93 10000
Index-Short Range and the Mar-94 9654 Mar-94 9818 Mar-94 9644
S&P 500 Index since October Sep-94 9580 Sep-94 9935 Sep-94 10158
31, 1993. Mar-95 9951 Mar-95 10461 Mar-95 11145
Sep-95 10635 Sep-95 11297 Sep-95 13180
------------------------------------- Mar-96 11014 Mar-96 11742 Mar-96 14724
Total Return for the Periods Sep-96 11427 Sep-96 12128 Sep-96 15861
Ended September 30, 19993 Mar-97 11929 Mar-97 12595 Mar-97 17642
One Five Since Sep-97 13236 Sep-97 13664 Sep-97 22275
Year Year 10/15/93/1 Mar-98 14158 Mar-98 14463 Mar-98 26111
3.37% 9.77%/2 7.37%/2 Sep-98 14775 Sep-98 14966 Sep-98 24290
Mar-99 15256 Mar-99 15631 Mar-99 30932
1/ The Fund's inception date. Sep-99 15272 Sep-99 15744 Sep-99 31043
2/ Annualized.
3/ Unaudited. 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
Investment return and principal may not be made in an index. Performance figures assume the reinvestment of
value will fluctuate so that shares, dividends and capital gain distributions.
when redeemed, may be worth more
or less than their original cost.
-------------------------------------
</TABLE>
----------
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
8
<PAGE>
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Lifecycle Funds
Statements of Assets and Liabilities September 30, 1999 (unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Long Range Mid Range Short Range
------------- ------------- -------------
<S> <C> <C> <C>
Assets
Investment in Portfolio, at Value/1 ...................................... $ 109,517,756 $ 66,777,105 $ 27,886,556
Receivable for Shares of Beneficial Interest Subscribed .................. 60,762,264 38,045,747 14,941,790
Prepaid Expenses and Other ............................................... 15,381 14,765 20,639
------------- ------------- -------------
Total Assets ................................................................ 170,295,401 104,837,617 42,848,985
------------- ------------- -------------
Liabilities
Due to Bankers Trust ..................................................... 49,958 27,858 6,115
Payable for Shares of Beneficial Interest Redeemed ....................... 40,933 -- --
Accrued Expenses and Other ............................................... 21,185 18,143 19,546
------------- ------------- -------------
Total Liabilities ........................................................... 112,076 46,001 25,661
------------- ------------- -------------
Net Assets .................................................................. $ 170,183,325 $ 104,791,616 $ 42,823,324
============= ============= =============
Composition of Net Assets
Paid-in Capital .......................................................... $ 160,693,100 $ 102,299,946 $ 43,548,997
Accumulated Undistributed/Distribution in Excess of
Net Investment Income ................................................. (2,717,614) 16,486 (55,417)
Accumulated Net Realized Loss from Investment,
Foreign Currency Transactions, Forward Foreign Currency Contracts
and Futures Contracts .................................................. (983,055) (2,296,622) (1,837,776)
Net Unrealized Appreciation on Investment, Foreign Currency,
Forward Foreign Currency Contracts and Futures Contracts ............... 13,190,894 4,771,806 1,167,520
------------- ------------- -------------
Net Assets .................................................................. $ 170,183,325 $ 104,791,616 $ 42,823,324
============= ============= =============
Net Asset Value, Offering and Redemption Price Per Share
(net assets divided by shares outstanding) ................................. $ 12.34 $ 10.54 $ 10.08
============= ============= =============
Shares Outstanding ($0.001 par value per share, unlimited number of
shares of beneficial interest authorized) ................................. 13,791,057 9,941,623 4,249,873
============= ============= =============
</TABLE>
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1/ Allocated from Asset Management Portfolio, Asset Management Portfolio II and
Asset Management Portfolio III, respectively.
See Notes to Financial Statements.
9
<PAGE>
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Lifecycle Funds
Statements of Operations For the six months ended September 30, 1999 (unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Long Range Mid Range Short Range
----------- ----------- -----------
<S> <C> <C> <C> <C>
Investment Income
Income, net/1 .................................................... $ 1,874,047 $ 1,283,129 $ 835,612
----------- ----------- -----------
Expenses
Administration and Services Fees ................................. 483,539 272,352 150,101
Professional Fees ................................................ 10,532 10,832 9,881
Trustees Fees .................................................... 2,231 2,231 1,995
Miscellaneous .................................................... 19,172 14,132 11,649
----------- ----------- -----------
Total Expenses ................................................... 515,474 299,547 173,626
Less Fees Waived/Expenses Reimbursed by Bankers Trust ............ (217,911) (131,945) (81,181)
----------- ----------- -----------
Net Expenses .................................................. 297,563 167,602 92,445
----------- ----------- -----------
Net Investment Income ............................................... 1,576,484 1,115,527 743,167
----------- ----------- -----------
Realized and Unrealized Gain (Loss) on Investments, Foreign
Currency Transactions, Forward Foreign Currency Contracts
and Futures Contracts
Net Realized Loss from:
Investment, Foreign Currency and Forward Foreign
Currency Transactions ...................................... (706,258) (610,881) (420,414)
Futures Contracts ............................................. (936,155) (346,280) (378,641)
Net Change in Unrealized Appreciation/Depreciation on:
Investment, Foreign Currency Forward Foreign
Currency Contracts and Futures Contracts ...................... 141,899 327,883 43,629
----------- ----------- -----------
Net Realized and Unrealized Loss on Investment, Foreign
Currency, Forward Foreign Currency Contracts
and Futures Contracts ............................................. (1,500,514) (629,278) (755,426)
----------- ----------- -----------
Net Increase (Decrease) in Net Assets from Operations ............... $ 75,970 $ 486,249 $ (12,259)
=========== =========== ===========
</TABLE>
----------
1/ Allocated from Asset Management Portfolio, Asset Management Portfolio II and
Asset Management Portfolio III, respectively.
See Notes to Financial Statements.
10
<PAGE>
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Lifecycle Funds
Statements of Changes in Net Assets
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Long Range
--------------------------------------
For the six For the
months ended year ended
September 30, 1999/1 March 31, 1999
-------------------- ---------------
<S> <C> <C>
Increase (Decrease) in Net Assets from:
Operations
Net Investment Income ...................................................... $ 1,576,484 $ 3,529,713
Net Realized Gain (Loss) from Investment, Foreign Currency,
Forward Foreign Currency and Futures Transactions ...................... (1,642,413) 6,409,726
Net Change in Unrealized Appreciation/Depreciation on Investment,
Foreign Currency, Forward Foreign Currency Contracts and
Futures Contracts ........................................................ 141,899 5,325,283
------------- -------------
Net Increase in Net Assets from Operations .................................... 75,970 15,264,722
------------- -------------
Distributions to Shareholders
Net Investment Income ...................................................... (2,016,093) (3,834,208)
Net Realized Gain .......................................................... (1,361,842) (26,078,487)
Distributions in Excess of Net Realized Gain ............................... -- (2,757,601)
------------- -------------
Total Distributions ........................................................... (3,377,935) (32,670,296)
------------- -------------
Capital Transactions in Shares of Beneficial Interest
Proceeds from Sales of Shares .............................................. 55,497,000 56,216,194
Dividend Reinvestments ..................................................... 3,400,660 55,176,469
Cost of Shares Redeemed .................................................... (18,962,360) (99,238,072)
------------- -------------
Net Increase from Capital Transactions in Shares of Beneficial Interest ....... 39,935,300 12,154,591
------------- -------------
Total Increase (Decrease) in Net Assets ....................................... 36,633,335 (5,250,983)
Net Assets
Beginning of Period ........................................................... 133,549,990 138,800,973
------------- -------------
End of Period (Including overdistributed net investment
income of $2,717,614 and $2,278,005, respectively.) ........................ $ 170,183,325 $ 133,549,990
============= =============
<CAPTION>
Mid Range
--------------------------------------
For the six For the
months ended year ended
September 30, 1999/1 March 31, 1999
-------------------- ---------------
<S> <C> <C>
Increase (Decrease) in Net Assets from:
Operations
Net Investment Income ...................................................... $ 1,115,527 $ 2,403,852
Net Realized Gain (Loss) from Investment, Foreign Currency,
Forward Foreign Currency and Futures Transactions ........................ (957,161) 3,365,054
Net Change in Unrealized Appreciation/Depreciation on
Investment,
Foreign Currency, Forward Foreign Currency Contracts and
Futures Contracts ........................................................ 327,883 2,598,491
------------- -------------
Net Increase in Net Assets from Operations .................................... 486,249 8,367,397
------------- -------------
Distributions to Shareholders
Net Investment Income ...................................................... (1,048,609) (2,844,361)
Net Realized Gain .......................................................... (113,858) (15,354,490)
Distributions in Excess of Net Realized Gain ............................... -- (1,199,818)
------------- -------------
Total Distributions ........................................................... (1,162,467) (19,398,669)
------------- -------------
Capital Transactions in Shares of Beneficial Interest
Proceeds from Sales of Shares .............................................. 45,901,011 55,734,996
Dividend Reinvestments ..................................................... 1,162,409 19,395,860
Cost of Shares Redeemed .................................................... (19,151,176) (81,647,087)
------------- -------------
Net Increase (Decrease) from Capital Transactions in Shares of
Beneficial Interest .......................................................... 27,912,244 (6,516,231)
------------- -------------
Total Increase (Decrease) in Net Assets ....................................... 27,236,026 (17,547,503)
Net Assets
Beginning of Period ........................................................... 77,555,590 95,103,093
------------- -------------
End of Period (Including undistributed (overdistributed) net investment
income of $16,486 and ($50,432), respectively.) ............................ $ 104,791,616 $ 77,555,590
============= =============
</TABLE>
----------
1/ Unaudited.
See Notes to Financial Statements.
11
<PAGE>
--------------------------------------------------------------------------------
Lifecycle Funds
Statements of Changes in Net Assets
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Short Range
--------------------------------------
For the six For the
months ended year ended
September 30, 1999/1 March 31, 1999
-------------------- ---------------
<S> <C> <C>
Increase (Decrease) in Net Assets from:
Operations
Net Investment Income ...................................................... $ 743,167 $ 2,035,546
Net Realized Gain (Loss) from Investment, Foreign Currency,
Forward Foreign Currency and Futures Transactions ........................ (799,055) 1,786,567
Net Change in Unrealized Appreciation/Depreciation on Investment,
Foreign Currency, Forward Foreign Currency Contracts and
Futures Contracts ........................................................ 43,629 551,175
------------- -------------
Net Increase (Decrease) in Net Assets from Operations ......................... (12,259) 4,373,288
------------- -------------
Distributions to Shareholders
Net Investment Income ...................................................... (714,364) (2,232,481)
Net Realized Gain .......................................................... -- (4,126,631)
Distributions in Excess of Net Realized Gains .............................. -- (1,192,597)
------------- -------------
Total Distributions ........................................................... (714,364) (7,551,709)
------------- -------------
Capital Transactions in Shares of Beneficial Interest
Proceeds from Sales of Shares .............................................. 20,447,245 56,474,812
Dividend Reinvestments ..................................................... 712,924 7,344,373
Cost of Shares Redeemed .................................................... (22,142,020) (65,516,562)
------------- -------------
Net Decrease from Capital Transactions in Shares of
Beneficial Interest .......................................................... (981,851) (1,697,377)
------------- -------------
Total Decrease in Net Assets .................................................. (1,708,474) (4,875,798)
Net Assets
Beginning of Period ........................................................... 44,531,798 49,407,596
------------- -------------
End of Period (Including overdistributed net investment
income of $55,417 and $84,219, respectively.) ............................... $ 42,823,324 $ 44,531,798
============= =============
</TABLE>
----------
1/ Unaudited.
See Notes to Financial Statements.
12
<PAGE>
--------------------------------------------------------------------------------
Lifecycle 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 Lifecycle Long Range Fund.
<TABLE>
<CAPTION>
Long Range
For the six -------------------------------------------------------
months ended For the years ended March 31,
September 30, -------------------------------------------------------
1999/1 1999 1998 1997 1996 1995
------------- -------- -------- ------- ------- --------
<S> <C> <C> <C> <C> <C> <C>
Per Share Operating Performance:
Net Asset Value, Beginning of Year ........ $ 12.57 $ 14.57 $ 11.96 $ 11.32 $ 10.07 $ 9.68
-------- -------- -------- ------- ------- -------
Income from Investment Operations
Net Investment Income .................. 0.18 0.43 0.32 0.35 0.37 0.30
Net Realized and Unrealized Gain (Loss)
on Investments, Foreign Currency
Transactions, Forward Foreign
Currency Contracts and Futures
Contracts ............................ (0.12) 1.27 3.57 1.18 1.54 0.32
-------- -------- -------- ------- ------- -------
Total from Investment Operations .......... 0.06 1.70 3.89 1.53 1.91 0.62
-------- -------- -------- ------- ------- -------
Distributions to Shareholders
Net Investment Income .................. (0.17) (0.47) (0.33) (0.39) (0.38) (0.23)
Distributions in Excess of Net
Investment Income ................... -- (0.25) -- -- -- --
Net Realized Gains ..................... (0.12) (2.98) (0.95) (0.50) (0.28) --
-------- -------- -------- ------- ------- -------
Total Distributions ....................... (0.29) (3.70) (1.28) (0.89) (0.66) (0.23)
-------- -------- -------- ------- ------- -------
Net Asset Value, End of Year .............. $ 12.34 $ 12.57 $ 14.57 $ 11.96 $ 11.32 $ 10.07
======== ======== ======== ======= ======= =======
Total Investment Return ................... 0.43% 12.44% 33.69% 13.88% 19.41% 6.60%
Supplemental Data and Ratios:
Net Assets, End of Period (000s omitted) $170,183 $133,550 $138,801 $78,291 $56,012 $13,366
Ratios to Average Net Assets:
Net Investment Income ............... 2.10%/2 2.51% 2.57% 2.73% 3.58% 3.41%
Expenses, Including Expenses of the
Asset Management Portfolio ........ 1.00%/2 1.00% 1.00% 1.00% 1.00% 1.00%
Decrease Reflected in Above Expense
Ratio Due to Fees Waived/Expenses
Reimbursed by Bankers Trust ....... 0.45%/2 0.44% 0.45% 0.48% 0.60% 0.91%
</TABLE>
----------
1/ Unaudited.
2/ Annualized.
See Notes to Financial Statements.
13
<PAGE>
--------------------------------------------------------------------------------
Lifecycle 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 Lifecycle Mid Range Fund.
<TABLE>
<CAPTION>
Mid Range
For the six -------------------------------------------------------
months ended For the years ended March 31,
September 30, -------------------------------------------------------
1999/1 1999 1998 1997 1996 1995
------------- -------- -------- ------- ------- --------
<S> <C> <C> <C> <C> <C> <C>
Per Share Operating Performance:
Net Asset Value, Beginning of Year ........ $ 10.60 $ 12.32 $ 10.80 $ 10.48 $ 9.61 $ 9.45
-------- ------- ------- ------- ------- -------
Income from Investment Operations
Net Investment Income .................. 0.13 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 ............................ (0.05) 0.84 2.36 0.72 0.96 0.11
-------- ------- ------- ------- ------- -------
Total from Investment Operations .......... 0.08 1.16 2.73 1.14 1.37 0.48
-------- ------- ------- ------- ------- -------
Distributions to Shareholders
Net Investment Income .................. (0.12) (0.38) (0.37) (0.44) (0.44) (0.32)
Distributions in Excess of Net
Realized Gain ....................... -- (0.18) -- -- -- --
Net Realized Gains ..................... (0.02) (2.32) (0.84) (0.38) (0.06)
-------- ------- ------- ------- ------- -------
Total Distributions ....................... (0.14) (2.88) (1.21) (0.82) (0.50) (0.32)
-------- ------- ------- ------- ------- -------
Net Asset Value, End of Year .............. $ 10.54 $ 10.60 $ 12.32 $ 10.80 $ 10.48 $ 9.61
======== ======= ======= ======= ======= =======
Total Investment Return ................... 0.71% 10.12% 26.33% 11.16% 14.65% 5.24%
Supplemental Data and Ratios:
Net Assets, End of Period (000s omitted) $104,792 $77,556 $95,103 $61,867 $51,466 $25,733
Ratios to Average Net Assets:
Net Investment Income ............... 2.64%/2 2.75% 3.31% 3.48% 4.15% 4.01%
Expenses, Including Expenses of the
Asset Management Portfolio II ..... 1.00%/2 1.00% 1.00% 1.00% 1.00% 1.00%
Decrease Reflected in Above Expense
Ratio Due to Fees Waived/Expenses
Reimbursed by Bankers Trust ......... 0.51%/2 0.51% 0.48% 0.55% 0.58% 0.76%
</TABLE>
----------
1/ Unaudited.
2/ Annualized.
See Notes to Financial Statements.
14
<PAGE>
--------------------------------------------------------------------------------
Lifecycle 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 Lifecycle Short Range Fund.
<TABLE>
<CAPTION>
Short Range
For the six -------------------------------------------------------
months ended For the years ended March 31,
September 30, -------------------------------------------------------
1999/1 1999 1998 1997 1996 1995
------------- -------- -------- ------- ------- --------
<S> <C> <C> <C> <C> <C> <C>
Per Share Operating Performance:
Net Asset Value, Beginning of Year ........ $ 10.23 $ 10.82 $ 10.31 $ 10.03 $ 9.50 $ 9.60
------- ------- ------- ------- ------- -------
Income from Investment Operations
Net Investment Income .................. 0.17 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 .................... (0.16) 0.43 1.39 0.34 0.54 (0.13)
------- ------- ------- ------- ------- -------
Total from Investment Operations .......... 0.01 0.83 1.83 0.82 0.99 0.28
------- ------- ------- ------- ------- -------
Distributions to Shareholders
Net Investment Income .................. (0.16) (0.44) (0.46) (0.54) (0.46) (0.37)
Distributions in Excess of Net
Realized Gains ...................... -- (0.22) -- -- -- (0.01)
Net Realized Gains ..................... -- (0.76) (0.86) -- -- (0.01)
------- ------- ------- ------- ------- -------
Total Distributions ....................... (0.16) (1.42) (1.32) (0.54) (0.46) (0.38)
------- ------- ------- ------- ------- -------
Net Asset Value, End of Year .............. $ 10.08 $ 10.23 $ 10.82 $ 10.31 $ 10.03 $ 9.50
======= ======= ======= ======= ======= =======
Total Investment Return ................... 0.10% 7.76% 18.68% 8.32% 10.67% 3.08%
Supplemental Data and Ratios:
Net Assets, End of Period (000s omitted) $42,823 $44,532 $49,408 $32,552 $28,899 $21,137
Ratios to Average Net Assets:
Net Investment Income ............... 3.22%/2 3.52% 4.06% 4.24% 4.64% 4.47%
Expenses, Including Expenses of
the Asset Management Portfolio III 1.00%/2 1.00% 1.00% 1.00% 1.00% 1.00%
Decrease Reflected in Above Expense
Ratio Due to Fees Waived/Expenses
Reimbursed by Bankers Trust ....... 0.56%/2 0.55% 0.58% 0.65% 0.65% 0.82%
</TABLE>
----------
1/ Unaudited.
2/ Annualized.
See Notes to Financial Statements.
15
<PAGE>
--------------------------------------------------------------------------------
Lifecycle Funds
Notes to Financial Statements (unaudited)
--------------------------------------------------------------------------------
Note 1--Organization and Significant Accounting Policies
A. Organization
BT Investment Funds (the "Trust") is registered under the Investment Company Act
of 1940 (the "Act"), as amended, as an open-end management investment company.
The Trust was organized on July 21,1986, as a business trust under the laws of
the Commonwealth of Massachusetts. The 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 began operations on the
following dates:
Began Operations
------------------------
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 seeks to achieve their
investment objectives by investing substantially all of their assets in the
Asset Management Portfolio, Asset Management Portfolio II and Asset Management
Portfolio Ill (each a "Portfolio" and collectively, the "Portfolios"),
respectively. The Portfolios are open-end management investment companies
registered under the Act. The value of the 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 24% 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.
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 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.
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.
ICC Distributors, Inc. provides distribution services to the Fund.
Bankers Trust was a wholly owned subsidiary of Bankers Trust Corporation ("BT
Corp."). On June 4, 1999, BT Corp. was acquired by Deutsche Bank AG ("Deutsche
Bank"). As a result of the transaction, Bankers Trust became an indirect
wholly-owned subsidiary of Deutsche Bank.
16
<PAGE>
--------------------------------------------------------------------------------
Lifecycle Funds
Notes to Financial Statements (unaudited)
--------------------------------------------------------------------------------
Note 3--Shares of Beneficial Interest
At September 30, 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 six months ended September 30, 1999
-----------------------------------------------------------------------------------------------
Long Range Mid Range Short Range
--------------------------- --------------------------- ---------------------------
Shares Amount Shares Amount Shares Amount
---------- ------------ ---------- ------------ ---------- ------------
<S> <C> <C> <C> <C> <C> <C>
Sold .............. 4,382,259 $ 55,497,000 4,295,325 $ 45,901,011 1,985,346 $ 20,447,245
Reinvested ........ 273,677 3,400,660 110,118 1,162,409 70,620 712,924
Redeemed .......... (1,485,978) (18,962,360) (1,781,150) (19,151,176) (2,157,985) (22,142,020
---------- ------------ ---------- ------------ ---------- ------------
Increase/(Decrease) 3,169,958 $ 39,935,300 2,624,293 $ 27,912,244 (102,019) $ (981,851)
========== ============ ========== ============ ========== ============
<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)
========== ============ ========== ============ ========== ============
</TABLE>
17
<PAGE>
--------------------------------------------------------------------------------
Asset Management Portfolio
Schedule of Portfolio Investments September 30, 1999 (unaudited)
--------------------------------------------------------------------------------
Shares Description Value
------ ----------- -----
Common Stocks - 46.9%
Aerospace - 0.1%
18,900 Boeing Co. ........................................ $ 805,612
2,352 Raytheon Co. - Class A ............................ 114,083
-----------
919,695
-----------
Airlines - 0.3%
30,700 AMR Corp./1 ...................................... 1,673,150
14,600 Delta Air Lines, Inc. ............................. 708,100
-----------
2,381,250
-----------
Auto Related - 0.9%
19,069 DaimlerChrysler AG/1 .............................. 1,324,156
57,000 Dana Corp. ........................................ 2,116,125
27,747 Delphi Automotive Systems ......................... 445,686
39,700 General Motors Corp. .............................. 2,498,619
-----------
6,384,586
-----------
Banks - 2.7%
117,965 BankAmerica Corp. ................................. 6,569,187
118,000 BankBoston Corp. .................................. 5,118,250
99,800 Chase Manhattan Corp. ............................. 7,522,425
-----------
19,209,862
-----------
Beverages - 1.0%
40,000 Coca-Cola Co. ..................................... 1,922,500
29,500 Coca-Cola Enterprises, Inc. ....................... 665,594
137,000 PepsiCo, Inc. ..................................... 4,144,250
14,800 Seagram Company Ltd. .............................. 673,400
-----------
7,405,744
-----------
Chemicals and Toxic Waste - 1.3%
20,600 Air Products and Chemicals, Inc. .................... 598,687
88,400 Du Pont (E.I.) de Nemours & Co. ..................... 5,381,350
90,800 Monsanto Co. ........................................ 3,240,425
18,200 Solutia, Inc. ....................................... 325,325
-----------
9,545,787
-----------
Computer Services - 2.8%
69,900 Cendant Corp.1 ...................................... 1,240,725
252,350 Cisco Systems, Inc.1 ................................ 17,301,747
43,800 Seagate Technology, Inc.1 ........................... 1,349,587
-----------
19,892,059
-----------
Computer Software - 1.9%
24,500 BMC Software, Inc.1 ................................. 1,753,281
59,375 Computer Associates International, Inc. ............. 3,636,719
61,100 Microsoft Corp.1 .................................... 5,533,369
57,437 Oracle Corp.1 ....................................... 2,613,383
-----------
13,536,752
-----------
Diversified - 2.0%
123,500 AlliedSignal, Inc. .................................. 7,402,281
30,300 SuperValu, Inc. ..................................... 660,919
23,000 Textron, Inc. ....................................... 1,779,625
77,800 United Technologies Corp. ........................... 4,614,512
-----------
14,457,337
-----------
Drugs - 3.3%
49,000 Lilly (Eli) & Co. ................................... 3,136,000
126,000 Merck & Co., Inc. ................................... 8,166,375
337,200 Pfizer, Inc. ........................................ 12,118,125
-----------
23,420,500
-----------
Shares Description Value
------ ----------- -----
Electrical Equipment - 2.1%
52,000 Emerson Electric Co. ................................ $ 3,285,750
99,100 General Electric Co. ................................ 11,749,544
-----------
15,035,294
-----------
Electronics - 2.6%
55,300 Analog Devices, Inc.1 ............................... 2,834,125
98,800 Intel Corp. ......................................... 7,342,075
25,700 LSI Logic Corp.1 .................................... 1,323,550
41,300 Motorola, Inc. ...................................... 3,634,400
49,400 Xilinx, Inc.1 ....................................... 3,237,244
-----------
18,371,394
-----------
Entertainment - 0.2%
58,181 Disney (Walt) Co. ................................... 1,505,433
-----------
Financial Services - 2.5%
64,300 Associates First Capital Corp. - Class A ........... 2,314,800
132,598 Citigroup ........................................... 5,834,312
44,200 First Data Corp. .................................... 1,939,275
77,400 Freddie Mac ......................................... 4,024,800
63,500 MBNA Corp. .......................................... 1,448,594
21,900 Merrill Lynch & Co., Inc. ........................... 1,471,406
23,400 T. Rowe Price Associates, Inc. ...................... 642,037
-----------
17,675,224
-----------
Foods - 1.2%
95,700 Bestfoods ........................................... 4,641,450
11,925 Corn Products International, Inc. ................... 362,967
127,900 Sara Lee Corp. ...................................... 2,997,656
13,730 Tricon Global Restaurants, Inc.1..................... 562,072
-----------
8,564,145
-----------
Healthcare - 1.2%
18,100 Abbott Laboratories ................................. 665,175
83,300 Johnson & Johnson ................................... 7,653,187
-----------
8,318,362
-----------
Hospital Supplies and Healthcare - 1.1%
39,500 Baxter International, Inc. .......................... 2,379,875
42,600 Becton Dickinson & Co. .............................. 1,195,462
44,628 Tyco International Ltd. ............................. 4,607,841
-----------
8,183,178
-----------
Hotel/Motel - 0.5%
93,500 Marriott International, Inc. ........................ 3,056,281
11,675 Sodexho Marriott Services, Inc./1 ................... 198,475
----------
3,254,756
----------
Household Products - 1.2%
46,800 Clorox Co. ........................................... 1,790,100
70,300 Procter & Gamble Co. ................................. 6,590,625
----------
8,380,725
----------
Insurance - 1.4%
85,593 American International Group, Inc. ................... 7,441,241
51 Berkshire Hathaway, Inc. - Class A/1 ................. 2,805,000
3 Berkshire Hathaway, Inc. - Class B/1 ................. 5,526
----------
10,251,767
----------
Metals - 0.1%
21,500 Alcan Aluminium Ltd. ................................. 671,875
23,200 Freeport-McMoRan Copper & Gold, Inc. - Class B ....... 361,050
----------
1,032,925
----------
See Notes to Financial Statements.
18
<PAGE>
--------------------------------------------------------------------------------
Asset Management Portfolio
Schedule of Portfolio Investments September 30, 1999 (unaudited)
--------------------------------------------------------------------------------
Shares Description Value
------ ----------- -----
Office Equipment and Computers - 1.7%
41,100 Hewlett-Packard Co. ................................... $ 3,781,200
56,800 International Business Machines Corp. ................. 6,894,100
34,200 Xerox Corp. ........................................... 1,434,262
----------
12,109,562
----------
Oil - Domestic - 0.9%
6,200 Atlantic Richfield Co. ................................ 549,475
18,227 Burlington Resources, Inc. ............................ 669,842
58,700 ENSCO International, Inc. ............................. 1,060,269
28,900 Noble Drilling Corp.1 ................................. 632,187
15,400 Phillips Petroleum Co. ................................ 750,750
66,000 Unocal Corp. .......................................... 2,446,125
----------
6,108,648
----------
Oil - International - 2.3%
12,413 BP Amoco PLC ADR ...................................... 1,375,516
12,500 Chevron Corp. ......................................... 1,109,375
45,000 Exxon Corp. ........................................... 3,417,187
16,300 Mobil Corp. ........................................... 1,642,225
70,500 Royal Dutch Petroleum Co. ............................. 4,163,906
73,100 Texaco, Inc. .......................................... 4,614,437
----------
16,322,646
----------
Oil Equipment and Services - 0.3%
27,300 Apache Corp. .......................................... 1,179,019
14,200 Schlumberger Ltd. ..................................... 884,838
----------
2,063,857
----------
Paper and Forest Products - 0.4%
31,600 Champion International Corp. .......................... 1,623,450
31,100 International Paper Co. ............................... 1,494,744
----------
3,118,194
----------
Printing and Publishing - 0.7%
95,700 McGraw-Hill Companies, Inc. ........................... 4,629,488
----------
Railroads - 0.3%
69,700 Burlington Northern Santa Fe .......................... 1,916,750
----------
Retail - 2.9%
121,840 Dollar General Corp. .................................. 3,761,829
33,500 Federated Department Stores, Inc.1 .................... 1,463,531
9,971 Jones Apparel Group, Inc.1 ............................ 286,666
66,400 Lowe's Companies, Inc. ................................ 3,237,000
56,800 Tiffany & Co. ......................................... 3,404,450
172,000 Wal-Mart Stores, Inc. ................................. 8,180,750
----------
20,334,226
----------
Telecommunications - 2.6%
131,700 AT&T Corp. ............................................ 5,728,950
126,200 Comcast Corp. - Class A ............................... 5,032,225
76,799 MCI WorldCom, Inc.1 ................................... 5,519,928
33,800 Sprint Corp. .......................................... 1,833,650
7,850 Sprint PCS Group1 ..................................... 585,316
----------
18,700,069
----------
Shares Description Value
------ ----------- -----
Tobacco - 0.6%
117,300 Philip Morris Companies, Inc. ......................... $ 4,010,194
------------
Utility - Electric - 0.9%
18,200 American Electric Power Co. ........................... 621,075
12,800 Dominion Resources, Inc. .............................. 577,600
23,100 FirstEnergy Corp. ..................................... 589,050
32,700 FPL Group, Inc. ....................................... 1,647,263
39,100 PG&E Corp. ............................................ 1,011,713
17,700 Public Service Enterprise Group, Inc. ................. 683,663
36,400 Texas Utilities Co. ................................... 1,358,175
------------
6,488,539
------------
Utility - Gas, Natural Gas - 0.4%
49,400 Consolidated Natural Gas Co. .......................... 3,081,325
------------
Utility - Telephone - 2.5%
21,100 Ameritech Corp. ....................................... 1,417,656
16,600 Bell Atlantic Corp. ................................... 1,117,388
38,300 BellSouth Corp. ....................................... 1,723,500
90,815 Global Crossing Ltd.1 ................................. 2,406,598
87,600 GTE Corp. ............................................. 6,734,250
52,112 Lucent Technologies, Inc. ............................. 3,380,766
23,400 SBC Communications, Inc. .............................. 1,194,863
------------
17,975,021
------------
Total Common Stocks (Cost $268,370,233) ...................... 334,585,294
------------
Principal
Amount Non-Convertible Corporate Debt - 2.3%
---------
Financial Services - 1.5%
$ 370,000 Abbey National, PLC, 6.69%, 10/17/05 .............. 360,447
640,000 Associates Corp., 5.75%, 11/1/03 .................. 618,422
400,000 BankBoston Corp., 6.38%, 8/11/00 .................. 400,772
1,450,000 Ford Motor Credit Co., 6.55%, 9/10/02 ............. 21,444,554
320,000 Ford Motor Credit Co., 5.80%, 1/12/09 ............. 291,197
300,000 General Electric Capital Corp., 8.85%, 3/1/07 ..... 334,127
600,000 Great Western Financial, 6.375%, 7/1/00 ........... 601,652
820,000 Inter-American Development Bank, 5.125%, 2/5/04 ... 778,524
180,000 International Bank of Reconstruction
and Development, 8.875%, 3/1/26 .................. 223,777
1,375,000 KFW International Finance, 8.20%, 6/1/06 .......... 1,456,516
880,000 NationsBank, 7.00%, 9/15/01 ....................... 888,103
695,000 Pepsi Bottling Holdings, 5.375%, 2/17/04 .......... 659,075
330,000 Progressive Corp., 6.625%, 3/1/29 ................. 285,219
560,000 Salomon Smith Barney, 6.625%, 11/15/03 ............ 555,052
850,000 Salomon, Inc., 7.50%, 2/1/03 ...................... 868,859
500,000 U.S. Bank NA Minnesota, 6.30%, 7/15/08 ............ 465,705
413,000 Washington Mutual, 7.25%, 8/15/05 ................. 411,732
------------
10,643,733
------------
See Notes to Financial Statements.
19
<PAGE>
--------------------------------------------------------------------------------
Asset Management Portfolio
Schedule of Portfolio Investments September 30, 1999 (unaudited)
--------------------------------------------------------------------------------
Principal
Amount Description Value
------ ----------- -----
Industrial - 0.5%
$ 300,000 Computer Science, 6.25%, 3/15/09 ................. $ 283,675
510,000 Diageo Captial PLC, 6.125%, 8/15/05 .............. 490,965
260,000 Ford Motor Co., 6.625%, 10/1/28 .................. 232,033
310,000 IBM Corp., 6.50%, 1/15/28 ........................ 283,847
300,000 Illinois Tool Works, 5.75%, 3/1/09 ............... 275,840
220,000 Lucent Technologies Inc., 5.50%, 11/15/08 ........ 200,341
190,000 Markel Capital Trust, 8.71%, 1/1/46 .............. 170,767
420,000 Mutual Life Insurance, 11.25%, 8/15/24/b ......... 543,532
260,000 Prologis Trust, 6.25%, 4/15/04 ................... 250,262
820,000 Walt Disney Co., 5.125%, 12/15/03 ................ 777,536
------------
3,508,798
------------
Utility - 0.3%
150,000 AT&T Corp., 5.625%, 3/15/04 ...................... 143,953
760,000 Columbus Southern Power, 6.51%, 2/1/08 ........... 720,196
830,000 Consolidated Edison, 6.45%, 12/1/07 .............. 800,452
35,000 Idaho Power Co., 8.00%, 3/15/04 .................. 36,729
410,000 National Rural Utilities, 5.00%, 10/1/02 ......... 394,734
140,000 Potomac Edison, 8.00%, 6/1/24 .................... 141,724
430,000 U.S. West Communications, 5.625%, 11/15/08 ....... 381,894
------------
2,619,682
------------
Total Non-Convertible Corporate Debt
(Cost $17,551,817) ........................................... 16,772,213
----------
Foreign Debt - 0.2%
470,000 Kingdom of Sweden, 12.00%, 2/1/10 ................. 657,375
270,000 Korea, (Republic of), 8.875%, 4/15/08 ............. 279,010
550,000 Manitoba, (Province of), 6.125%, 1/19/04 .......... 539,913
95,000 New Zealand Government, 10.625%, 11/15/05 ......... 113,820
415,000 Quebec, (Province of), 5.75%, 2/15/09 ............. 379,833
------------
Total Foreign Debt (Cost $2,070,339).......................... 1,969,951
------------
U.S. GOVERNMENT AND AGENCIES - 3.6%
3,100,000 FHLB, 5.125%, 9/15/03 ............................. 2,972,621
2,120,000 FNMA, 5.625%, 3/15/01 ............................. 2,111,046
150,000 FNMA, 6.35%, 11/23/01 ............................. 149,438
325,000 FNMA, 8.625%, 11/10/04 ............................ 326,022
690,000 FNMA, 5.75%, 2/15/08 .............................. 651,278
700,000 FNMA, 6.00%, 4/1/08 ............................... 673,309
1,400,000 FNMA, 7.00%, 9/1/21 ............................... 1,376,368
7,500,000 FNMA, 7.50%, 9/1/21 ............................... 7,525,740
6,200,000 FNMA, 6.50%, 4/1/23 ............................... 5,948,094
3,900,000 GNMA, 7.50%, 9/1/21 ............................... 3,913,385
------------
Total U.S. Government and Agencies
(Cost $25,770,724) ........................................... 25,647,301
------------
Shares/
Principal
Amount Description Value
------ ----------- -----
U.S. Treasury Securities - 3.0%
$4,830,000 U.S. Treasury Bond, 8.125%, 8/15/19................ $ 5,717,494
825,000 U.S. Treasury Bond, 5.25%, 11/15/28................ 715,173
2,010,000 U.S. Treasury Bond, 5.25%, 2/15/29 ................ 1,759,543
840,000 U.S. Treasury Note, 5.875%, 11/30/01 .............. 843,676
1,200,000 U.S. Treasury Note, 6.625%, 3/31/02 ............... 1,225,409
260,000 U.S. Treasury Note, 6.25%, 8/31/02 ................ 263,452
2,030,000 U.S. Treasury Note, 5.375%, 6/30/03 ............... 2,000,821
90,000 U.S. Treasury Note, 7.25%, 8/15/04 ................ 95,091
205,000 U.S. Treasury Note, 5.875%, 11/15/05 .............. 203,719
7,250,000 U.S. Treasury Note, 6.875%, 5/15/06 ............... 7,567,188
810,000 U.S. Treasury Note, 6.50%, 10/15/06 ............... 828,352
------------
Total U.S. Treasury Securities
(Cost $22,207,928) ............................................ 21,219,918
------------
Short Term Instruments - 44.4%
Mutual Fund - 9.1%
64,755,088 Institutional Cash Management Fund ................ 64,755,088
------------
U.S. Treasury Securities - 35.3%c
$35,000,000 U.S. Treasury Bill 4.58%, 10/7/99 ................. 34,974,905
35,000,000 U.S. Treasury Bill, 4.05%, 10/11/99 ............... 34,944,385
35,000,000 U.S. Treasury Bill, 4.39%, 11/12/99 ............... 34,819,505
70,000,000 U.S. Treasury Bill, 4.655%, 11/18/99 .............. 69,582,800
6,400,000 U.S. Treasury Bill, 4.55%, 12/2/99/a .............. 6,349,850
2,175,000 U.S. Treasury Bill, 4.75%, 12/2/99/a .............. 2,157,957
35,000,000 U.S. Treasury Bill, 4.28%, 12/9/99 ................ 34,693,435
35,000,000 U.S. Treasury Bill, 4.315%, 1/6/00 ................ 34,557,705
------------
252,080,542
------------
Total Short Term Instruments
(Cost $316,854,033) ........................................... 316,835,630
------------
Total Investments (Cost $652,825,074) .................. 100.4% 717,030,307
Liabilities in Excess of Other Assets .................. (0.4)% (3,038,791)
------ ------------
Net Assets ............................................. 100.0% $713,991,516
====== ============
-----------
1 Non-income producing security
a Held as collateral by broker for Futures Contracts
b 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.
c 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
See Notes to Financial Statements.
20
<PAGE>
--------------------------------------------------------------------------------
Asset Management Portfolio II
Schedule of Portfolio Investments September 30, 1999 (unaudited)
--------------------------------------------------------------------------------
Shares Description Value
------ ----------- -----
Common Stocks - 27.9%
Aerospace - 0.1%
1,700 Boeing Co. ............................................ $ 72,462
200 Raytheon Co. - Class A ................................ 9,700
------------
82,162
------------
Airlines - 0.2%
2,800 AMR Corp.1 ............................................ 152,600
1,300 Delta Air Lines, Inc. ................................ 63,050
------------
215,650
------------
Auto Related - 0.5%
1,632 DaimlerChrysler AG1 ................................... 113,381
4,800 Dana Corp. ............................................ 178,200
2,376 Delphi Automotive Systems ............................. 38,164
3,400 General Motors Corp. .................................. 213,987
------------
543,732
------------
Banks - 1.6%
10,121 BankAmerica Corp. ..................................... 563,629
10,300 BankBoston Corp. ..................................... 446,762
8,500 Chase Manhattan Corp. ................................. 640,687
------------
1,651,078
------------
Beverages - 0.6%
3,400 Coca-Cola Co. ......................................... 163,412
2,700 Coca-Cola Enterprises, Inc. ........................... 60,919
11,800 PepsiCo, Inc. ......................................... 356,950
1,400 Seagram Company Ltd. .................................. 63,700
------------
644,981
------------
Chemicals and Toxic Waste - 0.8%
1,800 Air Products and Chemicals, Inc. ...................... 52,312
7,500 Du Pont (E.I.) de Nemours & Co. ....................... 456,562
7,800 Monsanto Co. .......................................... 278,362
1,600 Solutia, Inc. ......................................... 28,600
------------
815,836
------------
Computer Services - 1.6%
6,100 Cendant Corp./1 ....................................... 108,275
21,550 Cisco Systems, Inc./1 ................................. 1,477,522
3,800 Seagate Technology, Inc./1 ............................ 117,087
------------
1,702,884
------------
Computer Software - 1.2%
2,300 BMC Software, Inc./1................................... 164,594
5,150 Computer Associates International, Inc. ............... 315,437
6,000 Microsoft Corp./1 ..................................... 543,375
5,000 Oracle Corp./1 ........................................ 227,500
------------
1,250,906
------------
Diversified - 1.2%
10,600 AlliedSignal, Inc. .................................... 635,337
2,800 SuperValu, Inc. ....................................... 61,075
2,200 Textron, Inc. ......................................... 170,225
6,800 United Technologies Corp. ............................. 403,325
------------
1,269,962
------------
Drugs - 1.9%
4,100 Lilly (Eli) & Co. ..................................... 262,400
10,800 Merck & Co., Inc. ..................................... 699,975
28,800 Pfizer, Inc. .......................................... 1,035,000
------------
1,997,375
------------
Shares Description Value
------ ----------- -----
Electrical Equipment - 1.2%
4,500 Emerson Electric Co. .................................. $ 284,344
8,500 General Electric Co. .................................. 1,007,781
------------
1,292,125
------------
Electronics - 1.5%
4,700 Analog Devices, Inc./1 ................................ 240,875
8,600 Intel Corp. ........................................... 639,087
2,200 LSI Logic Corp./1 ..................................... 113,300
3,600 Motorola, Inc. ........................................ 316,800
4,300 Xilinx, Inc./1 ........................................ 281,784
------------
1,591,846
------------
Entertainment - 0.1%
5,000 Disney (Walt) Co. ..................................... 129,375
------------
Financial Services - 1.5%
5,300 Associates First Capital Corp. - Class A .............. 190,800
11,625 Citigroup ............................................. 511,500
3,700 First Data Corp. ...................................... 162,337
6,700 Freddie Mac ........................................... 348,400
5,650 MBNA Corp.............................................. 128,891
2,000 Merrill Lynch & Co., Inc. ............................. 134,375
2,200 T. Rowe Price Associates, Inc. ........................ 60,362
------------
1,536,665
------------
Foods - 0.7%
8,100 Bestfoods ............................................. 392,850
1,025 Corn Products International, Inc. ..................... 31,198
11,000 Sara Lee Corp. ........................................ 257,812
1,120 Tricon Global Restaurants, Inc./1 ..................... 45,850
------------
727,710
------------
Healthcare - 0.7%
1,700 Abbott Laboratories ................................... 62,475
7,100 Johnson & Johnson ..................................... 652,313
------------
714,788
------------
Hospital Supplies and Healthcare - 0.7%
3,400 Baxter International, Inc. ............................ 204,850
3,700 Becton Dickinson & Co. ................................ 103,831
3,839 Tyco International Ltd. ............................... 396,377
------------
705,058
------------
Hotel/Motel - 0.3%
8,000 Marriott International, Inc. .......................... 261,500
1,000 Sodexho Marriott Services, Inc./1...................... 17,000
------------
278,500
------------
Household Products - 0.7%
4,400 Clorox Co. ............................................ 168,300
6,000 Procter & Gamble Co. .................................. 562,500
------------
730,800
------------
Insurance - 0.9%
7,406 American International Group, Inc. .................... 643,859
6 Berkshire Hathaway, Inc. - Class A1 ................... 330,000
9 Berkshire Hathaway, Inc. - Class B1 ................... 16,578
------------
990,437
------------
See Notes to Financial Statements.
21
<PAGE>
--------------------------------------------------------------------------------
Asset Management Portfolio II
Schedule of Portfolio Investments September 30, 1999 (unaudited)
--------------------------------------------------------------------------------
Shares Description Value
------ ----------- -----
Metals - 0.1%
1,800 Alcan Aluminium Ltd. .................................. $ 56,250
2,000 Freeport-McMoRan Copper & Gold, Inc. - Class B ........ 31,125
------------
87,375
------------
Office Equipment and Computers - 1.0%
3,600 Hewlett-Packard Co. ................................... 331,200
5,400 International Business Machines Corp. ................. 655,425
2,900 Xerox Corp. ........................................... 121,619
------------
1,108,244
------------
Oil - Domestic - 0.5%
500 Atlantic Richfield Co. ................................ 44,313
1,700 Burlington Resources, Inc. ............................ 62,475
5,100 ENSCO International, Inc. ............................. 92,119
2,500 Noble Drilling Corp./1 ............................... 54,688
1,400 Phillips Petroleum Co. ................................ 68,250
5,600 Unocal Corp. .......................................... 207,550
------------
529,395
------------
Oil - International - 1.4%
1,123 BP Amoco PLC ADR ..................................... 124,442
1,200 Chevron Corp. ......................................... 106,500
3,900 Exxon Corp. ........................................... 296,156
1,500 Mobil Corp. ........................................... 151,125
6,600 Royal Dutch Petroleum Co. ............................. 389,813
6,300 Texaco, Inc. .......................................... 397,688
------------
1,465,724
------------
Oil Equipment and Services - 0.2%
2,300 Apache Corp. .......................................... 99,331
1,300 Schlumberger Ltd. ..................................... 81,006
------------
180,337
------------
Paper and Forest Products - 0.3%
2,700 Champion International Corp. .......................... 138,713
2,600 International Paper Co. ............................... 124,963
------------
263,676
------------
Printing and Publishing - 0.4%
8,100 McGraw-Hill Companies, Inc. ........................... 391,838
------------
Railroads - 0.2%
6,000 Burlington Northern Santa Fe .......................... 165,000
------------
Retail - 1.7%
10,375 Dollar General Corp. .................................. 320,328
2,900 Federated Department Stores, Inc./1 ................... 126,694
851 Jones Apparel Group, Inc./1 ........................... 24,468
5,600 Lowe's Companies, Inc. ................................ 273,000
5,000 Tiffany & Co. ......................................... 299,688
14,600 Wal-Mart Stores, Inc. ................................. 694,413
------------
1,738,591
------------
Shares Description Value
------ ----------- -----
Telecommunications - 1.8%
11,400 AT&T Corp. ............................................ $ 495,900
11,000 Comcast Corp. - Class A ............................... 438,625
7,790 Global Crossing Ltd./1 ................................ 206,435
6,560 MCI WorldCom, Inc./1 .................................. 471,500
3,200 Sprint Corp. .......................................... 173,600
950 Sprint PCS Group/1 ................................... 70,834
------------
1,856,894
------------
Tobacco - 0.3%
10,200 Philip Morris Companies, Inc........................... 348,713
------------
Utility - Electric - 0.5%
1,700 American Electric Power Co............................. 58,013
1,200 Dominion Resources, Inc. .............................. 54,150
2,000 FirstEnergy Corp. ..................................... 51,000
2,800 FPL Group, Inc. ....................................... 141,050
3,300 PG&E Corp. ............................................ 85,388
1,700 Public Service Enterprise Group, Inc. ................. 65,663
3,200 Texas Utilities Co..................................... 119,400
------------
574,664
------------
Utility - Gas, Natural Gas - 0.2%
4,200 Consolidated Natural Gas Co. .......................... 261,975
------------
Utility - Telephone - 1.3%
2,000 Ameritech Corp. ....................................... 134,375
1,500 Bell Atlantic Corp. ................................... 100,969
3,200 BellSouth Corp. ....................................... 144,000
7,600 GTE Corp............................................... 584,250
4,600 Lucent Technologies, Inc. ............................. 298,425
2,200 SBC Communications, Inc. .............................. 112,338
------------
1,374,357
------------
Total Common Stocks (Cost $24,005,840)........................ 29,218,653
------------
Principal
Amount NON-CONVERTIBLE CORPORATE DEBT - 4.0%
--------
Financial Services - 2.1%
$100,000 Abbey National, PLC, 6.69%, 10/17/05 ................. 97,418
189,000 Associates Corp., 5.75%, 11/1/03 ..................... 182,628
125,000 BankBoston Corp., 6.38%, 8/11/00 ................... 125,241
187,000 Bayerische Landesbank, 6.17%, 2/1/06 ................. 180,428
55,000 Ford Motor Credit Co., 6.55%, 9/10/02 ................ 54,793
90,000 Ford Motor Credit Co., 5.80%, 1/12/09 ................ 81,899
80,000 General Electric Capital Corp., 8.85%, 3/1/07 ........ 89,100
85,000 GMAC, 8.625%, 1/18/01 ................................ 87,566
240,000 Inter-American Development Bank, 5.125%, 2/5/04....... 227,861
50,000 International Bank of Reconstruction
and Development, 8.875%, 3/1/26 .................... 62,160
55,000 KFW International Finance, 8.20%, 6/1/06 ............. 58,261
200,000 Pepsi Bottling Holdings, 5.375%, 2/17/04 ............. 189,662
100,000 Progressive Corp., 6.625%, 3/1/29 .................... 86,430
165,000 Salomon Smith Barney, 6.625%, 11/15/03 .............. 163,542
230,000 Salomon, Inc., 7.50%, 2/1/03 ........................ 235,103
150,000 U.S. Bank NA Minnesota, 6.30%, 7/15/08................ 139,711
122,000 Washington Mutual, 7.25%, 8/15/05..................... 121,625
------------
2,183,428
------------
See Notes to Financial Statements.
22
<PAGE>
--------------------------------------------------------------------------------
Asset Management Portfolio II
Schedule of Portfolio Investments September 30, 1999 (unaudited)
--------------------------------------------------------------------------------
Principal
Amount Description Value
------ ----------- -----
Industrial - 1.0%
$ 80,000 Computer Science, 6.25%, 3/15/09 ..................... $ 75,647
150,000 Diageo Captial PLC, 6.125%, 8/15/05 .................. 144,401
70,000 Ford Motor Co., 6.625%, 10/1/28 ...................... 62,471
90,000 IBM Corp., 6.50%, 1/15/28 ............................ 82,407
90,000 Illinois Tool Works, 5.75%, 3/1/09 ................... 82,752
160,000 Lucent Technologies, Inc. 5.50%, 11/15/08 ............ 145,702
55,000 Markel Capital Trust, 8.71%, 1/1/46 .................. 49,433
120,000 Mutual Life Insurance, 11.25%, 8/15/24/b ............. 155,295
80,000 Prologis Trust, 6.25%, 4/15/04 ....................... 77,004
210,000 Walt Disney Co., 5.125%, 12/15/03 .................... 199,125
------------
1,074,237
------------
Utility - 0.9%
50,000 AT&T Corp., 5.625%, 3/15/04........................... 47,984
225,000 Columbus Southern Power, 6.51%, 2/1/08 ............... 213,216
245,000 Consolidated Edison, 6.45%, 12/1/07 .................. 236,278
45,000 Idaho Power Co., 8.00%, 3/15/04 ...................... 47,223
120,000 National Rural Utilities, 5.00%, 10/1/02 ............. 115,532
60,000 Potomac Edison, 8.00%, 6/1/24 ........................ 60,739
290,000 U.S. West Communications, 5.625%, 11/15/08 ........... 257,556
------------
978,528
------------
Total Non-Convertible Corporate Debt
(Cost $4,467,366) ............................................. 4,236,193
------------
ASSET-BACKED SECURITIES - 0.1%
150,000 American Express Master Trust, 5.375%, 7/15/01 ...... 148,972
------------
Total Asset-Backed Securities (Cost $147,750) ................. 148,972
------------
FOREIGN DEBT - 0.8%
150,000 Kingdom of Sweden, 12.00%, 2/1/10 ................... 209,800
80,000 Korea, (Republic of), 8.875%, 4/15/08 ............... 82,670
165,000 Manitoba, (Province of), 6.125%, 1/19/04 ............ 161,974
65,000 New Zealand Government, 10.625%, 11/15/05 ........... 77,877
125,000 New Zealand Government, 8.75%, 12/15/06 ............. 139,972
120,000 Quebec, (Province of), 5.75%, 2/15/09 ............... 109,831
------------
Total Foreign Debt (Cost $808,892) ........................... 782,124
------------
U.S. GOVERNMENT AND AGENCIES - 7.3%
2,640,000 FHLB, 5.125%, 4/17/01 .............................. 2,604,525
200,000 FNMA, 5.75%, 2/15/08 ............................... 188,776
400,000 FNMA, 6.00%, 4/1/08 ................................ 384,748
800,000 FNMA, 7.00%, 9/1/21 ................................ 786,496
1,500,000 FNMA, 6.50%, 4/1/23 ................................ 1,439,055
2,200,000 GNMA, 7.50%, 9/1/21 ................................ 2,207,550
------------
Total U.S. Government and Agencies
(Cost $7,642,397) ............................................. 7,611,150
------------
Shares/
Principal
Amount Description Value
------ ----------- -----
U.S. TREASURY SECURITIES - 6.3%
1,150,000 U.S. Treasury Bond, 5.50%, 5/15/09 ................. $ 1,112,266
1,685,000 U.S. Treasury Bond, 8.125%, 8/15/19 ................ 1,994,612
260,000 U.S. Treasury Bond, 5.25%, 11/15/28 ................ 225,388
410,000 U.S. Treasury Bond, 5.25%, 2/15/29 ................ 358,912
180,000 U.S. Treasury Note, 5.875%, 11/30/01 ............... 180,788
510,000 U.S. Treasury Note, 6.625%, 3/31/02 ................ 520,799
75,000 U.S. Treasury Note, 6.25%, 8/31/02 ................. 75,996
680,000 U.S. Treasury Note, 5.375%, 6/30/03 ................ 670,226
90,000 U.S. Treasury Note, 7.25%, 8/15/04 ................. 95,091
125,000 U.S. Treasury Note, 5.875%, 11/15/05 ............... 124,219
530,000 U.S. Treasury Note, 6.875%, 5/15/06 ................ 553,188
240,000 U.S. Treasury Note, 6.50%, 10/15/06 ................ 245,438
490,000 U.S. Treasury Note, 6.125%, 8/15/07 ................ 490,611
------------
Total U.S. Treasury Securities (Cost $7,010,511).............. 6,647,534
------------
Short Term Instruments - 55.0%
Mutual Fund - 39.9%
41,773,225 Institutional Cash Management Fund ................. 41,773,225
------------
U.S. Treasury Securities - 15.1%/c
$3,000,000 U.S. Treasury Bill, 4.58%, 10/7/99 ................. 2,997,849
3,000,000 U.S. Treasury Bill, 4.30%, 10/14/99 ................ 2,995,233
3,000,000 U.S. Treasury Bill, 4.49%, 11/12/99 ................ 2,984,529
6,000,000 U.S. Treasury Bill, 4.655%, 11/18/99 ............... 5,964,240
685,000 U.S. Treasury Bill, 4.55%, 12/2/99/a ............... 679,632
225,000 U.S. Treasury Bill, 4.75%, 12/2/99/a ............... 223,237
------------
15,844,720
------------
Total Short Term Instruments
(Cost $57,615,695) ............................................ 57,617,945
------------
Total Investments (Cost $101,698,451)................... 101.4% 106,262,571
Liabilities in Excess of Other Assets .................. (1.4)% (1,439,703)
------ ------------
Net Assets ............................................. 100.0% $104,822,868
====== ============
----------
1/ Non-income producing security
a/ Held as collateral by broker for Futures Contracts
b/ 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.
c/ 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
See Notes to Financial Statements.
23
<PAGE>
--------------------------------------------------------------------------------
Asset Management Portfolio III
Schedule of Portfolio Investments September 30, 1999 (unaudited)
--------------------------------------------------------------------------------
Share Description Value
------ ----------- -----
COMMON STOCKS - 18.7%
Aerospace - 0.1%
400 Boeing Co. .......................................... $ 17,050
100 Raytheon Co. - Class A .............................. 4,850
--------
21,900
--------
Airlines - 0.1%
800 AMR Corp.1 .......................................... 43,600
400 Delta Air Lines, Inc. ............................... 19,400
--------
63,000
--------
Auto Related - 0.3%
498 DaimlerChrysler AG1 ................................. 34,635
1,200 Dana Corp. .......................................... 44,550
559 Delphi Automotive Systems ........................... 8,979
800 General Motors Corp. ................................ 50,350
--------
138,514
--------
Banks - 1.1%
2,715 BankAmerica Corp. ................................... 151,238
2,800 BankBoston Corp. .................................... 121,450
2,400 Chase Manhattan Corp. ............................... 180,900
--------
453,588
--------
Beverages - 0.4%
800 Coca-Cola Co. ....................................... 38,450
900 Coca-Cola Enterprises, Inc. ......................... 20,306
3,000 PepsiCo, Inc. ....................................... 90,750
400 Seagram Company Ltd. ................................ 18,200
--------
167,706
--------
Chemicals and Toxic Waste - 0.5%
600 Air Products and Chemicals, Inc. .................... 17,437
2,000 Du Pont (E.I.) de Nemours & Co. ..................... 121,750
2,200 Monsanto Co. ........................................ 78,512
440 Solutia, Inc. ....................................... 7,865
--------
225,564
--------
Computer Services - 1.0%
1,600 Cendant Corp.1 ...................................... 28,400
5,400 Cisco Systems, Inc.1 ................................ 370,237
1,000 Seagate Technology, Inc.1 ........................... 30,812
--------
429,449
--------
Computer Software - 0.9%
800 BMC Software, Inc.1 ................................. 57,250
1,450 Computer Associates International, Inc. ............. 88,812
1,600 Microsoft Corp.1 .................................... 144,900
1,800 Oracle Corp.1 ....................................... 81,900
--------
372,862
--------
Diversified - 0.8%
3,000 AlliedSignal, Inc. .................................. 179,812
800 SuperValu, Inc. ..................................... 17,450
600 Textron, Inc. ....................................... 46,425
1,800 United Technologies Corp. ........................... 106,762
--------
350,449
--------
Drugs - 1.3%
1,200 Lilly (Eli) & Co. ................................... 76,800
3,000 Merck & Co., Inc. ................................... 194,437
7,800 Pfizer, Inc. ........................................ 280,312
--------
551,549
--------
Electrical Equipment - 0.8%
1,400 Emerson Electric Co. ................................ 88,462
2,300 General Electric Co. ................................ 272,694
--------
361,156
--------
Share Description Value
------ ----------- -----
Electronics - 1.1%
1,200 Analog Devices, Inc.1 ............................... $ 61,500
2,400 Intel Corp. ......................................... 178,350
600 LSI Logic Corp.1 .................................... 30,900
1,000 Motorola, Inc. ...................................... 88,000
1,400 Xilinx, Inc.1 ....................................... 91,744
--------
450,494
--------
Entertainment - 0.1%
1,572 Disney (Walt) Co. ................................... 40,675
--------
Financial Services - 1.0%
1,800 Associates First Capital Corp. - Class A ............ 64,800
3,000 Citigroup ........................................... 132,000
900 First Data Corp. .................................... 39,487
1,800 Freddie Mac ......................................... 93,600
1,405 MBNA Corp. .......................................... 32,063
600 Merrill Lynch & Co., Inc. ........................... 40,312
600 T. Rowe Price Associates, Inc. ...................... 16,462
--------
418,724
--------
Foods - 0.4%
2,200 Bestfoods ........................................... 106,700
300 Corn Products International, Inc. ................... 9,131
2,600 Sara Lee Corp. ...................................... 60,937
300 Tricon Global Restaurants, Inc./1 ................... 12,281
--------
189,049
--------
Healthcare - 0.4%
600 Abbott Laboratories ................................. 22,050
1,800 Johnson & Johnson ................................... 165,375
--------
187,425
--------
Hospital Supplies and Healthcare - 0.4%
900 Baxter International, Inc. .......................... 54,225
1,000 Becton Dickinson & Co. .............................. 28,062
1,064 Tyco International Ltd. ............................. 109,858
--------
192,145
--------
Hotel/Motel - 0.2%
2,000 Marriott International, Inc. ........................ 65,375
250 Sodexho Marriott Services, Inc./1 ................... 4,250
--------
69,625
--------
Household Products - 0.5%
1,200 Clorox Co. .......................................... 45,900
1,600 Procter & Gamble Co. ................................ 150,000
--------
195,900
--------
Insurance - 0.6%
2,156 American International Group, Inc. .................. 187,437
1 Berkshire Hathaway, Inc. - Class A/1 ................ 55,000
12 Berkshire Hathaway, Inc. - Class B/1 ................ 22,104
--------
264,541
--------
Metals - 0.1%
600 Alcan Aluminium Ltd. ................................ 18,750
700 Freeport-McMoRan Copper & Gold, Inc. - Class B ...... 10,894
--------
29,644
--------
Office Equipment and Computers - 0.7%
1,000 Hewlett-Packard Co. ................................. 92,000
1,200 International Business Machines Corp. ............... 145,650
1,000 Xerox Corp. ......................................... 41,938
--------
279,588
--------
See Notes to Financial Statements.
24
<PAGE>
--------------------------------------------------------------------------------
Asset Management Portfolio III
Schedule of Portfolio Investments September 30, 1999 (unaudited)
--------------------------------------------------------------------------------
Shares Description Value
------ ----------- -----
Oil - Domestic - 0.4%
200 Atlantic Richfield Co. ............................. $ 17,725
500 Burlington Resources, Inc. ......................... 18,375
1,600 ENSCO International, Inc. .......................... 28,900
800 Noble Drilling Corp.1 .............................. 17,500
400 Phillips Petroleum Co. ............................. 19,500
1,400 Unocal Corp. ....................................... 51,888
----------
153,888
----------
Oil - International - 1.0%
397 BP Amoco PLC ADR ................................... 43,993
400 Chevron Corp. ...................................... 35,500
1,200 Exxon Corp. ........................................ 91,125
400 Mobil Corp. ........................................ 40,300
1,600 Royal Dutch Petroleum Co. .......................... 94,500
1,800 Texaco, Inc. ....................................... 113,625
----------
419,043
----------
Oil Equipment and Services - 0.1%
800 Apache Corp. ....................................... 34,550
400 Schlumberger Ltd. .................................. 24,925
----------
59,475
----------
Paper and Forest Products - 0.2%
900 Champion International Corp. ....................... 46,238
900 International Paper Co. ............................ 43,256
----------
89,494
----------
Printing and Publishing - 0.2%
2,200 McGraw-Hill Companies, Inc. ........................ 106,425
----------
Railroads - 0.1%
1,500 Burlington Northern Santa Fe ....................... 41,250
----------
Retail - 1.1%
2,377 Dollar General Corp. ............................... 73,390
800 Federated Department Stores, Inc.1 ................. 34,950
300 Jones Apparel Group, Inc.1 ......................... 8,625
1,800 Lowe's Companies, Inc. ............................. 87,750
1,600 Tiffany & Co. ...................................... 95,900
3,600 Wal-Mart Stores, Inc. .............................. 171,225
----------
471,840
----------
Telecommunications - 1.1%
2,850 AT&T Corp. ......................................... 123,975
2,600 Comcast Corp. - Class A ............................ 103,675
2,050 Global Crossing Ltd.1 .............................. 54,325
1,616 MCI WorldCom, Inc.1 ................................ 116,177
1,000 Sprint Corp. ....................................... 54,250
250 Sprint PCS Group1 .................................. 18,641
----------
471,043
----------
Tobacco - 0.2%
2,700 Philip Morris Companies, Inc. ...................... 92,306
----------
Utility - Electric - 0.4%
600 American Electric Power Co. ........................ 20,475
400 Dominion Resources, Inc. ........................... 18,050
700 FirstEnergy Corp. .................................. 17,850
900 FPL Group, Inc. .................................... 45,338
800 PG&E Corp. ......................................... 20,700
500 Public Service Enterprise Group, Inc. .............. 19,313
700 Texas Utilities Co. ................................ 26,119
----------
167,845
----------
Utility - Gas, Natural Gas - 0.1%
1,000 Consolidated Natural Gas Co. ....................... 62,375
----------
Shares Description Value
------ ----------- -----
Utility - Telephone - 1.0%
600 Ameritech Corp. .................................... $ 40,313
600 Bell Atlantic Corp. ................................ 40,388
1,200 BellSouth Corp. .................................... 54,000
2,100 GTE Corp. .......................................... 161,438
1,600 Lucent Technologies, Inc. .......................... 103,800
800 SBC Communications, Inc. ........................... 40,850
----------
440,789
----------
Total Common Stocks (Cost $6,570,635) ............................ 8,029,320
----------
Principal
Amount NON-CONVERTIBLE CORPORATE DEBT - 7.3%
--------- Financial Services - 3.8%
$ 80,000 Abbey National, PLC, 6.69%, 10/17/05 .................. 77,935
136,000 Associates Corp., 5.75%, 11/1/03 ...................... 131,415
90,000 BankBoston Corp., 6.38%, 8/11/00 ...................... 90,174
138,000 Bayerische Landesbank, 6.17%, 2/1/06 .................. 133,150
60,000 Computer Science, 6.25%, 3/15/09 ...................... 56,735
150,000 Ford Motor Credit Co., 6.55%, 9/10/02 ................. 149,437
70,000 Ford Motor Credit Co., 5.80%, 1/12/09 ................. 63,699
60,000 General Electric Capital Corp., 8.85%, 3/1/07 ......... 66,825
180,000 Inter-American Development Bank, 5.125%, 2/5/04 ....... 170,896
35,000 International Bank of Reconstruction and
Development, 8.875%, 3/1/26 ......................... 43,512
120,000 KFW International Finance, 8.20%, 6/1/06 .............. 127,114
150,000 Pepsi Bottling Holdings, 5.375%, 2/17/04 ............. 142,247
70,000 Progressive Corp., 6.625%, 3/1/29 .................... 60,501
120,000 Salomon Smith Barney, 6.625%, 11/15/03 ............... 118,940
100,000 U.S. Bank NA Minnesota, 6.30%, 7/15/08 ............... 93,141
88,000 Washington Mutual, 7.25%, 8/15/05 ..................... 87,730
----------
1,613,451
----------
Industrial - 1.6%
120,000 Diageo Captial PLC, 6.125%, 8/15/05 ................... 115,521
50,000 Ford Motor Co., 6.625%, 10/1/28 ....................... 44,622
60,000 IBM Corp., 6.50%, 1/15/28.............................. 54,938
70,000 Illinois Tool Works, 5.75%, 3/1/09 .................... 64,363
50,000 Lucent Technologies, Inc., 5.50%, 11/15/08 ............ 45,532
40,000 Markel Capital Trust, 8.71%, 1/1/46 ................... 35,951
90,000 Mutual Life Insurance, 11.25%, 8/15/24/b .............. 116,471
50,000 Prologis Trust, 6.25%, 4/15/04 ........................ 48,127
170,000 Walt Disney Co., 5.125%, 12/15/03 ..................... 161,197
----------
686,722
----------
Utility - 1.9%
40,000 AT&T Corp., 5.625%, 3/15/'04 .......................... 38,388
165,000 Columbus Southern Power, 6.51%, 2/1/08 ................ 156,358
180,000 Consolidated Edison, 6.45%, 12/1/07 ................... 173,592
50,000 Idaho Power Co., 8.00%, 3/15/04 ....................... 52,470
100,000 National Rural Utilities, 5.00%, 10/1/02 .............. 96,277
75,000 Potomac Edison, 8.00%, 6/1/24 ......................... 75,924
230,000 U.S. West Communications, 5.625%, 11/15/08 ............ 204,269
----------
797,278
----------
Total Non-Convertible Corporate Debt
(Cost $3,266,115)................................................. 3,097,451
----------
See Notes to Financila Statements.
25
<PAGE>
--------------------------------------------------------------------------------
Asset Management Portfolio II
Schedule of Portfolio Investments September 30, 1999 (unaudited)
--------------------------------------------------------------------------------
Principal
Amount Description Value
------ ----------- -----
ASSET - BACKED SECURITIES - 0.3%
$ 110,000 American Express Master Trust, 5.375%,
7/15/01 .............................................. $ 109,246
------------
Total Asset-Backed Securities (Cost $108,350)..................... 109,246
------------
FOREIGN DEBT - 1.1%
100,000 Kingdom of Sweden, 12.00%, 2/1/10 .................... 139,867
60,000 Korea, (Republic of), 8.875%, 4/15/08 ................ 62,002
110,000 Manitoba, (Province of), 6.125%, 1/19/04 ............. 107,983
80,000 New Zealand Government, 10.625%, 11/15/05 ............ 95,848
90,000 Quebec, (Province of), 5.75%, 2/15/09 ................ 82,373
------------
Total Foreign Debt (Cost $510,518) ............................... 488,073
------------
U.S. GOVERNMENT AND AGENCIES - 11.8%
1,610,000 FHLB, 5.125%, 4/17/01 ................................ 1,588,366
150,000 FNMA, 5.75%, 2/15/08 ................................. 141,582
400,000 FNMA, 6.00%, 4/1/08 .................................. 384,748
600,000 FNMA, 7.00%, 9/1/21 .................................. 589,872
400,000 FNMA, 7.50%, 9/1/21 .................................. 401,373
1,300,000 FNMA, 6.50%, 4/1/23 .................................. 1,247,181
700,000 GNMA, 7.50%, 9/1/21 .................................. 702,402
------------
Total U.S. Government and Agencies
(Cost $5,076,078) ................................................ 5,055,524
------------
U.S. TREASURY SECURITIES - 12.8%
1,050,000 U.S. Treasury Bond, 8.125%, 8/15/19 .................. 1,242,934
165,000 U.S. Treasury Bond, 5.25%, 11/15/28 .................. 143,035
470,000 U.S. Treasury Bond, 5.25%, 2/15/29 ................... 411,435
170,000 U.S. Treasury Note, 5.875%, 11/30/01 ................. 170,744
420,000 U.S. Treasury Note, 6.625%, 3/31/02 .................. 428,893
50,000 U.S. Treasury Note, 6.25%, 8/31/02 ................... 50,664
480,000 U.S. Treasury Note, 5.375%, 6/30/03 .................. 473,101
1,180,000 U.S. Treasury Note, 5.25%, 5/15/04 ................... 1,153,450
50,000 U.S. Treasury Note, 7.25%, 8/15/04 ................... 52,816
55,000 U.S. Treasury Note, 5.875%, 11/15/05 ................. 54,656
660,000 U.S. Treasury Note, 6.875%, 5/15/06 .................. 688,875
170,000 U.S. Treasury Note, 6.50%, 10/15/06 .................. 173,852
470,000 U.S. Treasury Note, 5.50%, 5/15/09 ................... 454,578
------------
Total U.S. Treasury Securities (Cost $5,721,348).................. 5,499,033
------------
Principal
Amount Description Value
------ ----------- -----
Short Term Instruments - 52.2%
Mutual Fund - 16.1%
6,880,188 Institutional Cash Management Fund, .................. 6,880,188
------------
U.S. Treasury Securities - 36.1%/c
$3,000,000 U.S. Treasury Bill, 4.58%, 10/7/99 ................... $ 2,997,849
3,000,000 U.S. Treasury Bill, 4.05%, 10/14/99 .................. 2,995,233
3,000,000 U.S. Treasury Bill, 4.39%, 11/12/99 .................. 2,984,529
6,000,000 U.S. Treasury Bill, 4.655%, 11/18/99 ................. 5,964,240
275,000 U.S. Treasury Bill, 4.73%, 12/2/99/a ................. 272,845
235,000 U.S. Treasury Bill, 4.75%, 12/2/99/a ................. 233,159
------------
15,447,855
------------
Total Short Term Instruments
(Cost $22,327,407) .............................................. 22,328,043
------------
Total Investments (Cost $43,580,451) ..................... 104.2% 44,606,690
Liabilities in Excess of Other Assets .................... (4.2)% (1,778,331)
----- ------------
Net Assets ............................................... 100.0% $42,828,359
===== ============
----------
1 Non-income producing security
a Held as collateral by broker for Futures Contracts
b 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.
c 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
See Notes to Financial Statements.
26
<PAGE>
--------------------------------------------------------------------------------
Asset Management Portfolios
Statements of Assets and Liabilities September 30, 1999 (unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Asset Asset Asset
Management Management II Management III
------------ -------------- --------------
<S> <C> <C> <C>
Assets
Investments, at Value/1 ................................................... $717,030,307 $106,262,571 $44,606,690
Cash/2 .................................................................... 15,978,587 3,240,968 1,450,277
Variation Margin Receivable (Domestic) .................................... 530,823 -- --
Interest Receivable ....................................................... 856,710 249,469 211,406
Dividends Receivable ...................................................... 666,690 202,842 40,257
------------ ------------ ------------
Total Assets ................................................................. 735,063,117 109,955,850 46,308,630
------------ ------------ ------------
Liabilities
Due to Bankers Trust ...................................................... 351,753 45,405 18,818
Payable for Securities Purchased .......................................... 19,435,160 4,819,316 3,326,487
Accrued Expenses and Other ................................................ 29,589 68,864 25,343
Depreciation on Forward Currency Exchange Contracts ....................... 20,310 2,347 1,250
Variation Margin Payable (Domestic) ....................................... -- 57,163 34,825
Variation Margin Payable (Foreign) ........................................ 1,234,789 139,887 73,548
------------ ------------ ------------
Total Liabilities ............................................................ 21,071,601 5,132,982 3,480,271
------------ ------------ ------------
Net Assets ................................................................... $713,991,516 $104,822,868 $ 42,828,359
============ ============ ============
Composition of Net Assets
Paid-in Capital ........................................................... $651,792,877 $100,051,061 $ 41,660,837
Net Unrealized Appreciation on Investments, Foreign Currency,
Forward Foreign Currency Contracts and Futures Contracts ................ 62,198,639 4,771,807 1,167,522
------------ ------------ ------------
Net Assets ................................................................... $713,991,516 $104,822,868 $ 42,828,359
============ ============ ============
</TABLE>
---------
1 Cost of $652,825,074, $101,698,451, and $43,580,451, respectively.
2 Includes foreign cash of $15,978,587, $3,240,968, and $1,450,277, with a cost
of $15,296,430, $3,103,403, and $1,437,006, respectively.
See Notes to Financial Statements.
27
<PAGE>
--------------------------------------------------------------------------------
Asset Management Portfolios
Statements of Operations For the six months ended September 30, 1999 (unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Asset Asset Asset
Management Management II Management III
------------ ------------- ---------------
<S> <C> <C> <C>
Investment Income
Dividends/1 ......................................................... $ 3,894,733 $ 716,746 $ 288,098
Interest ............................................................ 7,313,467 817,888 686,130
------------ ------------ ------------
Total Investment Income ............................................. 11,208,200 1,534,634 974,228
------------ ------------ ------------
Expenses
Advisory Fees ....................................................... 2,344,101 272,464 150,167
Administration and Services Fees .................................... 360,631 41,918 23,103
Professional Fees ................................................... 20,518 18,851 12,810
Trustees Fees ....................................................... 1,957 2,357 1,931
Miscellaneous ....................................................... 1,052 1,052 824
------------ ------------ ------------
Total Expenses ...................................................... 2,728,259 336,642 188,835
Less Fees Waived/Expenses Reimbursed
by Bankers Trust ................................................... (564,473) (85,136) (50,218)
------------ ------------ ------------
Net Expenses ..................................................... 2,163,786 251,506 138,617
------------ ------------ ------------
Net Investment Income .................................................. 9,044,414 1,283,128 835,611
------------ ------------ ------------
Realized and Unrealized Gain (Loss) on Investments,
Foreign Currency Transactions, Forward Foreign Currency
Contracts and Futures Contracts
Net Realized Loss from:
Investments, Foreign Currency and Forward Foreign
Currency Transactions .......................................... (3,574,625) (610,882) (420,414)
Futures Transactions ............................................. (4,813,623) (346,280) (378,641)
Net Change in Unrealized Appreciation/Depreciation on:
Investments, Foreign Currency, Forward Foreign
Currency Contracts and Futures Contracts ......................... 3,702,470 327,884 43,629
------------ ------------ ------------
Net Realized and Unrealized Loss on Investments, Foreign
Currency, Forward Foreign Currency Contracts
and Future Contracts ................................................ (4,685,778) (629,278) (755,426)
------------ ------------ ------------
Net Increase in Net Assets from Operations ............................. $ 4,358,636 653,850 $ 80,185
============ ============ ============
</TABLE>
------------
1 Net of foreign withholding tax of $38,244, $2,753 and $752, respectively.
See Notes to Financial Statements.
28
<PAGE>
--------------------------------------------------------------------------------
Asset Management Portfolios
Statements of Changes in Net Assets
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Asset Management
--------------------------------------------
For the six months ended For the year ended
September 30, 19991 March 31, 1999
------------------- --------------
<S> <C> <C>
Increase (Decrease) in Net Assets from:
Operations
Net Investment Income ........................................................... $ 9,044,414 $ 19,717,061
Net Realized Gain (Loss) from Investments, Foreign Currency,
Forward Foreign Currency and Futures Transactions ............................. (8,388,248) 30,887,338
Net Change in Unrealized Appreciation/Depreciation on
Investments, Foreign Currency, Forward Foreign Currency Contracts
and Futures Contracts ......................................................... 3,702,470 29,150,269
------------- -------------
Net Increase in Net Assets from Operations ......................................... 4,358,636 79,754,668
------------- -------------
Capital Transactions
Proceeds from Capital Invested .................................................. 127,467,369 419,617,422
Value of Capital Withdrawn ...................................................... (121,961,986) (444,617,015)
------------- -------------
Net Increase (Decrease) in Net Assets from Capital Transactions .................... 5,505,383 (24,999,593)
------------- -------------
Total Increase in Net Assets ....................................................... 9,864,019 54,755,075
Net Assets
Beginning of Period ................................................................ 704,127,497 649,372,422
------------- -------------
End of Period ...................................................................... $ 713,991,516 $ 704,127,497
============= =============
</TABLE>
<TABLE>
<CAPTION>
Asset Management II
--------------------------------------------
For the six months ended For the year ended
September 30, 19991 March 31, 1999
------------------------ ------------------
<S> <C> <C>
Increase (Decrease) in Net Assets from:
Operations
Net Investment Income ........................................................... $ 1,283,128 $ 2,753,269
Net Realized Gain (Loss) from Investments, Foreign Currency,
Forward Foreign Currency and Futures Transactions ............................. (957,162) 3,365,055
Net Change in Unrealized Appreciation/Depreciation on
Investments, Foreign Currency, Forward Foreign Currency
Contracts and Futures Contracts ............................................. 327,884 2,598,490
------------- -------------
Net Increase in Net Assets from Operations ......................................... 653,850 8,716,814
------------- -------------
Capital Transactions
Proceeds from Capital Invested .................................................. 45,787,022 75,687,875
Value of Capital Withdrawn ...................................................... (19,356,664) (101,737,559)
------------- -------------
Net Increase (Decrease) in Net Assets from Capital Transactions .................... 26,430,358 (26,049,684)
------------- -------------
Total Increase (Decrease) in Net Assets ............................................ 27,084,208 (17,332,870)
Net Assets
Beginning of Period ................................................................ 77,738,660 95,071,530
------------- -------------
End of Period ...................................................................... $ 104,822,868 $ 77,738,660
============= =============
</TABLE>
<TABLE>
<CAPTION>
Asset Management III
----------------------------------------------
For the six months ended For the year ended
September 30, 19991 March 31, 1999
------------------------ ------------------
<S> <C> <C>
Increase (Decrease) in Net Assets from:
Operations
Net Investment Income ........................................................... $ 835,611 $ 2,263,408
Net Realized Gain (Loss) from Investments, Foreign Currency,
Forward Foreign Currency and Futures Transactions ............................. (799,055) 1,786,567
Net Change in Unrealized Appreciation/Depreciation on Investments,
Foreign Currency, Forward Foreign Currency Contracts and Futures Contracts .... 43,629 551,176
------------ ------------
Net Increase in Net Assets from Operations ......................................... 80,185 4,601,151
------------ ------------
Capital Transactions
Proceeds from Capital Invested .................................................. 21,145,414 63,588,410
Value of Capital Withdrawn ...................................................... (22,895,279) (73,090,682)
------------ ------------
Net Decrease in Net Assets from Capital Transactions ............................... (1,749,865) (9,502,272)
------------ ------------
Total Decrease in Net Assets ....................................................... (1,669,680) (4,901,121)
Net Assets
Beginning of Period ................................................................ 44,498,039 49,399,160
------------ ------------
End of Period ...................................................................... $ 2,828,359 $ 44,498,039
============ ============
</TABLE>
---------
1/Unaudited.
See Notes to Financial Statements.
29
<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 six -------------------------------------------------------------
months ended For the years ended March 31,
September 30, -------------------------------------------------------------
1999/1 1999 1998 1997 1996 1995
----------- ----------- ------------ ----------- --------- ---------
<S> <C> <C> <C> <C> <C> <C>
Supplemental Data and Ratios:
Net Assets, End of Period (000s omitted) ... $ 713,992 $ 704,127 $ 649,372 $ 348,539 $240,142 $ 96,529
Ratios to Average Net Assets:
Net Investment Income ................... 2.49%/2 2.91% 2.97% 3.12% 3.99% 3.78%
Expenses ................................ 0.60%/2 0.60% 0.60% 0.60% 0.60% 0.60%
Decrease Reflected in Above Expense
Ratio Due to Fees Waived/Expenses
Reimbursed by Bankers Trust ........... 0.16%/2 0.16% 0.16% 0.16% 0.17% 0.19%
Portfolio Turnover Rate .................... 32% 109% 199% 137% 154% 92%
</TABLE>
<TABLE>
<CAPTION>
Asset Management Portfolio II
For the six -------------------------------------------------------------
months ended For the years ended March 31,
September 30, -------------------------------------------------------------
1999/1 1999 1998 1997 1996 1995
----------- ----------- ------------ ----------- --------- ---------
<S> <C> <C> <C> <C> <C> <C>
Supplemental Data and Ratios:
Net Assets, End of Period (000s omitted) ....... $ 104,823 $ 77,739 $ 95,072 $ 61,776 $ 51,400
$ 25,604
Ratios to Average Net Assets:
Net Investment Income ....................... 3.03%/2 3.15% 3.71% 3.87% 4.55% 4.41%
Expenses .................................... 0.60%/2 0.60% 0.60% 0.60% 0.60% 0.60%
Decrease Reflected in Above Expense
Ratio Due to Fees Waived/Expenses
Reimbursed by Bankers Trust ............... 0.20%/2 0.21% 0.18% 0.20% 0.20% 0.27%
Portfolio Turnover Rate ........................ 67% 202% 275% 209% 208% 105%
</TABLE>
<TABLE>
<CAPTION>
Asset Management Portfolio III
For the six -------------------------------------------------------------
months ended For the years ended March 31,
September 30, -------------------------------------------------------------
1999/1 1999 1998 1997 1996 1995
----------- ----------- ------------ ----------- --------- ---------
<S> <C> <C> <C> <C> <C> <C>
Supplemental Data and Ratios:
Net Assets, End of Period (000s omitted) ........ $ 42,828 $ 44,498 $ 49,399 $ 32,542 $ 28,869
$ 21,202
Ratios to Average Net Assets:
Net Investment Income ........................ 3.62%/2 3.97% 4.45% 4.64% 5.04% 4.87%
Expenses ..................................... 0.60%/2 0.60% 0.60% 0.60% 0.60% 0.60%
Decrease Reflected in Above Expense
Ratio Due to Fees Waived/Expenses
Reimbursed by Bankers Trust ................ 0.22%/2 0.23% 0.21% 0.23% 0.22% 0.30%
Portfolio Turnover Rate ......................... 108% 344% 389% 307% 221% 111%
</TABLE>
--------
1 Unaudited.
2 Annualized.
See Notes to Financial Statements.
30
<PAGE>
--------------------------------------------------------------------------------
Asset Management Portfolios
Notes to Financial Statements (unaudited)
--------------------------------------------------------------------------------
Note 1--Organization and Significant Accounting Policies
A. Organization
The Asset Management Portfolio, Asset Management Portfolio II and Asset
Management Portfolio III (each a "Portfolio," and collectively, the
"Portfolios") are registered under the Investment Company Act of 1940 ("the
Act"), as amended, as open-end management investment companies. The Portfolios
were organized and began operations as follows:
Organization Began
Portfolio Date 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. 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.
E. Foreign Currency Transactions
The books and records of the Asset Management Portfolio, Asset Management
Portfolio II and Asset Management Portfolio III are maintained in U.S. dollars.
All assets and liabilities initially expressed in foreign currencies are
converted into U.S. dollars at prevailing exchange rates. Purchases and sales of
investment securities, dividend and interest income, and certain expenses are
translated at the rates of exchange prevailing on the respective dates of such
transactions.
F. Forward Foreign Currency Contracts
Each Portfolio may enter into forward foreign currency contracts for the purpose
of settling specific purchases or sales of securities denominated in a foreign
currency or with respect to the Portfolio's investments. The net U.S. dollar
value of foreign currency underlying all contractual commitments held by the
Portfolio and the resulting unrealized appreciation or depreciation are
determined using prevailing exchange rates. With respect to forward foreign
currency contracts, losses in excess of amounts recognized in the Statement of
Operations may arise due to changes in the value of the foreign currency or if
the counterparty does not perform under the contract.
G. Option Contracts
Each Portfolio may enter into option contracts. Upon the purchase of a put
option or a call option by a Portfolio, the premium paid is recorded as an
investment, and marked-to-market daily to reflect the current market value. When
a purchased option expires, the Portfolio will realize a loss in the amount of
the cost of the option. When the Portfolio enters into a closing sale
transaction, the Portfolio will realize a gain or loss depending on whether the
sale proceeds from the closing sale transaction are greater or less than the
cost of the option. When the Portfolio exercises a put option, it realizes a
gain or loss from the sale of the underlying security and the proceeds from such
sale will be decreased by the premium originally paid. When the Portfolio
exercises a call option, the cost of the security which the Portfolio purchases
upon exercise will be increased by the premium originally paid.
H. Futures Contracts
Each Portfolio may enter into financial futures contracts which are contracts to
buy a standard quantity of securities at a specified price on a future date.
Each Portfolio is required to make initial margin deposits either in cash or
securities in an amount equal to a certain percentage of the contract amount.
31
<PAGE>
--------------------------------------------------------------------------------
Asset Management Portfolios
Notes to Financial Statements (unaudited)
--------------------------------------------------------------------------------
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.
I. Federal Income Taxes
Each Portfolio is considered a partnership under the Internal Revenue Code.
Therefore, no federal income tax provision is necessary.
J. Other
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions that
affect the reported amounts in the financial statements. Actual results could
differ from those estimates.
Note 2 -- Fees and Transactions with Affiliates
The Portfolios have entered into an Administration and Services Agreement with
Bankers Trust Company ("Bankers Trust"). Under this 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 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 its fees 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 Institutional Cash Management Fund ("the Fund"), an
open-end management investment company managed by Bankers Trust Company ("the
Company"). The Fund is offered as a cash management option to the Trust and
other accounts managed by the Company. At September 30, 1999, the Asset
Management, Asset Management II, and Asset Management III Portfolios had
dividend income receivable from the Fund in the amounts of $274,055, $163,473,
and $31,273, respectively. Additionally, distributions from the Fund to the
Portfolio as of September 30, 1999 are included in dividend income and
summarized as follows:
$ 1,430,931 Asset Management
$ 502,026 Asset Management II
$ 227,634 Asset Management III
The following summarizes the purchase and sales of the Institutional Cash
Management Fund for each respective portfolio during the past period.
Purchases Sales
-------- ----
Asset Management $60,965,759 $57,100,734
Asset Management II 40,598,974 14,785,819
Asset Management III 14,222,648 19,180,732
At September 30, 1999 the Portfolios were participants with other affiliated
entities in a revolving credit facility in the amount of $150,000,000, which
expires April 29, 2000. A commitment fee of .10% per annum on the average daily
amount of the available commitment is payable on a quarterly basis and
apportioned equally among all participants. No amounts were drawn down or
outstanding under the credit facility for the six months ended September 30,
1999.
Bankers Trust was a wholly owned subsidiary of Bankers Trust Corporation ("BT
Corp."). On June 4, 1999, BT Corp. was acquired by Deutsche Bank AG ("Deutsche
Bank"). As a result of the transaction, Bankers Trust became an indirect
wholly-owned subsidiary of Deutsche Bank.
Note 3--Purchases and Sales of Investment Securities
The aggregate cost of purchases and proceeds from sales of investments, other
than short-term obligations, for the six months ended September 30, 1999, were
as follows:
Portfolio Purchases Sales
Asset Management .......... $152,283,874 $129,202,015
Asset Management II ....... 34,336,695 33,135,420
Asset Management III ...... 24,743,623 23,926,584
For federal income tax purposes, the tax basis of investments held at September
30, 1999, were as follows:
Portfolio Cost-Tax Basis
Asset Management ...................... $652,825,074
Asset Management II ................... 101,698,451
Asset Management III .................. 43,580,451
The aggregate gross unrealized appreciation and depreciation for all investments
as of September 30, 1999, were as follows:
Portfolio Appreciation Depreciation
Asset Management .......... $80,415,426 $16,210,193
Asset Management II ....... 6,997,286 2,433,166
Asset Management III ...... 1,926,324 900,085
32
<PAGE>
--------------------------------------------------------------------------------
Asset Management Portfolios
Notes to Financial Statements (unaudited)
--------------------------------------------------------------------------------
Note 4--Futures Contracts
A summary of obligations under these financial instruments at September 30, 1999
is as follows:
Asset Management Portfolio
--------------------------
<TABLE>
<CAPTION>
Unrealized
Appreciation/
Type of Futures Expiration Contracts Position Market Value (Depreciation)
----------------------- ---------------- --------- -------- ------------- --------------
<S> <C> <C> <C> <C> <C>
S&P 500 December 31, 1999 20 Long 6,491,000 386,000
U.S. Treasury Note Futures December 31, 1999 907 Long 99,883,375 (378,789)
Milan Stock Exchange December 31, 1999 87 Long 15,736,612 (387,388)
Dax Index December 31, 1999 232 Long 31,851,602 (1,961,713)
Australian Ordinary December 31, 1999 255 Long 11,990,557 (133,663)
----------------------- -------- ------------ --------------
Total 1,501 $165,953,146 $ (2,475,553)
----- ======== ============ ==============
</TABLE>
Asset Management II Portfolio
-----------------------------
<TABLE>
<CAPTION>
Unrealized
Appreciation/
Type of Futures Expiration Contracts Position Market Value (Depreciation)
----------------------- ---------------- --------- -------- ------------- --------------
<S> <C> <C> <C> <C> <C>
S&P 500 December 31, 1999 18 Short $ (5,841,900) $ 347,400
U.S. Treasury Note Futures December 31, 1999 52 Long 5,726,500 22,478
Milan Stock Exchange December 31, 1999 10 Long 1,808,806 (44,527)
Dax Index December 31, 1999 26 Long 3,569,576 (219,847)
Australian Ordinary December 31, 1999 29 Long 1,363,632 (15,201)
----------------------- -------- ------------ ------------
Total 135 $ 6,626,614 $ 90,303
----- ======== ============ ============
</TABLE>
Asset Management III Portfolio
------------------------------
<TABLE>
<CAPTION>
Unrealized
Appreciation/
Type of Futures Expiration Contracts Position Market Value (Depreciation)
----------------------- ---------------- --------- -------- -------------- --------------
<S> <C> <C> <C> <C> <C>
S&P 500 December 31, 1999 11 Short $ (3,570,050) $ 212,300
U.S. Treasury Note Futures December 31, 1999 32 Long 3,524,000 13,742
Milan Stock Exchange December 31, 1999 5 Long 904,403 (22,260)
Dax Index December 31, 1999 14 Long 1,922,079 (118,383)
Australian Ordinary December 31, 1999 16 Long 752,349 (8,387)
----------------------- -------- ------------ ------------
Total 78 $ 3,532,781 $ 77,012
----- ======== ============ ============
</TABLE>
At September 30, 1999, the Portfolios have segregated sufficient securities to
cover margin requirements on open futures contracts.
33
<PAGE>
--------------------------------------------------------------------------------
Asset Management Portfolios
Notes to Financial Statements (unaudited)
--------------------------------------------------------------------------------
Note 5--Open Forward Foreign Currency Contracts
A summary of obligations under these financial instruments at September 30, 1999
is as follows:
Asset Management Portfolio
--------------------------
<TABLE>
<CAPTION>
Net Unrealized
Contracts to Deliver In Exchange For Settlement Date Value (US$) Depreciation (US$)
----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Purchases
----------------------------------------------------------------------------------------------------------------
Euro Dollar 26,038,000 U.S. Dollars $27,847,641 10/07/1999 27,867,951 $(20,310)
----------------------------------------------------------------------------------------------------------------
Total Net Unrealized Depreciation $(20,310)
----------------------------------------------------------------------------------------------------------------
</TABLE>
Asset Management II Portfolio
-----------------------------
<TABLE>
<CAPTION>
Net Unrealized
Contracts to Deliver In Exchange For Settlement Date Value (US$) Depreciation (US$)
----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Purchases
----------------------------------------------------------------------------------------------------------------
Euro Dollar 2,934,000 U.S. Dollars $3,137,913 10/07/1999 3,140,260 $ (2,347)
----------------------------------------------------------------------------------------------------------------
Total Net Unrealized Depreciation $ (2,347)
----------------------------------------------------------------------------------------------------------------
</TABLE>
Asset Management III Portfolio
------------------------------
<TABLE>
<CAPTION>
Net Unrealized
Contracts to Deliver In Exchange For Settlement Date Value (US$) Depreciation (US$)
----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Purchases
----------------------------------------------------------------------------------------------------------------
Euro Dollar 1,603,000 U.S. Dollars $1,714,409 10/07/1999 1,715,659 $ (1,250)
----------------------------------------------------------------------------------------------------------------
Total Net Unrealized Depreciation $ (1,250)
----------------------------------------------------------------------------------------------------------------
</TABLE>
34
<PAGE>
--------------------------------------------------------------------------------
Investment Lifecycle Long Range Fund
Proxy Results (unaudited)
--------------------------------------------------------------------------------
For the year ended September 30, 1999, the Bankers Trust Funds shareholders
voted on the following proposals at the annual meeting of shareholders on
October 8, 1999 or as adjourned. The description of each proposal and number of
shares voted are as follows:
1. To elect the Bankers Trust Funds Board of Trustees.
Shares Shares Voted
Voted Withheld
For Authority
-------- ------------
Messr Biggar 8,941,690 315
Messr Dill 8,941,690 315
Messr Hale 8,941,690 315
Messr Langton 8,941,690 315
Messr Saunders 8,941,690 315
Messr Van Benschoten 8,941,690 315
Dr. Gruber 8,941,690 315
Dr. Herring 8,941,690 315
2. To approve the New Investment Advisory Agreement with Bankers Trust Company.
For Against Abstain
--------- ------- --------
8,940,674 218 1,113
3. To approve the New Investment Advisory Agreement with Morgan Grenfell, Inc.
For Against Abstain
--------- ------- --------
8,940,447 218 1,340
4. To approve the New Investment Sub-advisory Agreement with Bankers Trust
Company.
For Against Abstain
--------- ------- --------
8,940,447 445 1,113
5. To ratify the selection of PricewaterhouseCoopers LLP as the independent
accountants of the Fund and its corresponding Portfolio.
For Against Abstain
--------- ------- --------
8,941,149 226 630
35
<PAGE>
--------------------------------------------------------------------------------
Investment Lifecycle Mid Range Fund
Proxy Results (unaudited)
--------------------------------------------------------------------------------
For the year ended September 30, 1999, the Bankers Trust Funds shareholders
voted on the following proposals at the annual meeting of shareholders on
October 8, 1999 or as adjourned. The description of each proposal and number of
shares voted are as follows:
1. To elect the Bankers Trust Funds Board of Trustees.
Shares Shares Voted
Voted Withheld
For Authority
-------- ------------
Messr Biggar 4,344,757 --
Messr Dill 4,344,757 --
Messr Hale 4,344,757 --
Messr Langton 4,344,757 --
Messr Saunders 4,344,757 --
Messr Van Benschoten 4,344,757 --
Dr. Gruber 4,344,757 --
Dr. Herring 4,344,757 --
2. To approve the New Investment Advisory Agreement with Bankers Trust Company.
For Against Abstain
-------- ------- --------
4,344,757 -- --
3. To approve the New Investment Advisory Agreement with Morgan Grenfell, Inc.
For Against Abstain
-------- ------- --------
4,344,757 -- --
4. To approve the New Investment Sub-advisory Agreement with Bankers Trust
Company.
For Against Abstain
-------- ------- --------
4,344,757 -- --
5. To ratify the selection of PricewaterhouseCoopers LLP as the independent
accountants of the Fund and its corresponding Portfolio.
For Against Abstain
-------- ------- --------
4,344,757 -- --
36
<PAGE>
--------------------------------------------------------------------------------
Investment Lifecycle Short Range Fund
Proxy Results (unaudited)
--------------------------------------------------------------------------------
For the year ended September 30, 1999, the Bankers Trust Funds shareholders
voted on the following proposals at the annual meeting of shareholders on
October 8, 1999 or as adjourned. The description of each proposal and number of
shares voted are as follows:
1. To elect the Bankers Trust Funds Board of Trustees.
Shares Shares Voted
Voted Withheld
For Authority
-------- ------------
Messr Biggar 2,566,462 6,444
Messr Dill 2,566,462 6,444
Messr Hale 2,566,462 6,444
Messr Langton 2,566,462 6,444
Messr Saunders 2,566,462 6,444
Messr Van Benschoten 2,566,462 6,444
Dr. Gruber 2,566,462 6,444
Dr. Herring 2,566,462 6,444
2. To approve the New Investment Advisory Agreement with Bankers Trust Company.
For Against Abstain
-------- ------- -------
2,557,501 9,070 6,335
3. To approve the New Investment Advisory Agreement with Morgan Grenfell, Inc.
For Against Abstain
-------- ------- -------
2,550,611 9,070 13,225
4. To approve the New Investment Sub-advisory Agreement with Bankers Trust
Company.
For Against Abstain
-------- ------- -------
2,549,451 9,070 14,385
5. To ratify the selection of PricewaterhouseCoopers LLP as the independent
accountants of the Fund and its corresponding Portfolio.
For Against Abstain
-------- ------- -------
2,564,238 533 8,135
37
<PAGE>
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<PAGE>
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<PAGE>
[GRAPHIC OMITTED] Bankers Trust
Architects ov Value
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 Fund Mid Range CUSIP #055922835
Lifecycle Short Range Fund Short Range CUSIP #055922827
BT Investment Funds COMBLIFESA (9/99)
Distributed by:
ICC Distributors, Inc.
Two Portland Square
Portland, ME 04101
