[Deutsche Asset Management logo omitted]
Mutual Fund
Annual Report
March 31, 2000
[Graphic Omitted]
BT Investment Lifecycle Long Range Fund
BT Investment Lifecycle Mid Range Fund
BT Investment Lifecycle Short Range Fund
[Deutsche Bank Group logo omitted]
<PAGE>
Lifecycle Funds
-------------------------------------------------------------------------------
TABLE OF CONTENTS
LETTER TO SHAREHOLDERS .................................................. 3
LIFECYCLE FUNDS
Statements of Assets and Liabilities ................................. 12
Statements of Operations ............................................. 13
Statements of Changes in Net Assets .................................. 14
Financial Highlights ................................................. 17
Notes to Financial Statements ........................................ 20
Report of Independent Accountants .................................... 22
Tax Information ...................................................... 22
ASSET MANAGEMENT PORTFOLIOS
Schedule of Portfolio Investments .................................... 23
Statements of Assets and Liabilities ................................. 50
Statements of Operations ............................................. 51
Statements of Changes in Net Assets .................................. 52
Financial Highlights ................................................. 55
Notes to Financial Statements ........................................ 56
Report of Independent Accountants .................................... 61
--------------------------
The Fund is not insured by the FDIC and is not a deposit,
obligation of or guaranteed by Deutsche Bank. The Fund is
subject to investment risks, including possible loss of
principal amount invested.
--------------------------
--------------------------------------------------------------------------------
2
<PAGE>
Lifecycle Funds
--------------------------------------------------------------------------------
LETTER TO SHAREHOLDERS
We are pleased to present you with this annual report for the BT Investment
Lifecycle Long Range Fund, Mid Range Fund, 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 Fund's operations and a listing of the
Portfolios' holdings.
MARKET ACTIVITY
Volatility remained high in the world's financial markets during the annual
period due largely to global fears of rising inflation and interest rates in the
U.S. Developments can be divided into two distinctly different periods -- pre-
and post-millennium.
oEquity indices, for example, for the U.S., Japan, the United Kingdom, Germany
and France all finished 1999 at twelve-month highs after a dramatic December
rally, only to fall into low single-digit or negative territory in the first
quarter of the year 2000.
oConversely, U.S. fixed income yields increased in reaction to the Federal
Reserve Board's three interest rate hikes in 1999, causing negative returns.
Then, in the first quarter of 2000, even with two more rate hikes by the Fed,
long-term Treasury yields rallied primarily reflecting the dramatic shrinkage
in supply.
oHeadline inflation in the U.S. picked up, but this largely was due to a spike
in oil prices. Underlying measures of inflation stayed tame, as increases in
labor compensation continued to fail to outstrip productivity gains, despite
drum-tight labor markets.
U.S. EQUITIES
U.S. equity markets gyrated wildly over the fiscal period, with investor
sentiment toward technology issues experiencing especially sharp fluctuations. o
The S&P 500 Index appreciated in excess of 20% for a record 5th consecutive year
in 1999. Never before in recorded history have U.S. stocks achieved this total
return level more than two years in a row.
-A combination of strong domestic economic growth and impressive corporate
earnings gains-with minimal inflation-positively influenced the market and
also combined to drive equity valuations to historically high levels despite a
rising interest rate environment.
-The S&P 500 Index was bolstered primarily by a technology sector-driven rally
in the fourth quarter of 1999.
-The Russell 2000 Index, which measures small cap equities, outperformed the
S&P 500 Index on an annual basis for the first time in five years, as
investors sought the lower valuations of small cap growth stocks.
oOnce the new year began, we witnessed sharp corrections in all segments of the
equity market except for technology and utility stocks.
-The equity markets as a whole experienced their worst January since 1990 and
the fourth worst since 1947. February was not much better.
-The investor preference shift toward smaller and mid capitalization names
continued into the early months of the year 2000.
-Market volatility intensified in March on fears of further interest rate
increases by the Federal Reserve Board as well as valuation concerns in the
technology and biotechnology areas.
-Still, the overall U.S. stock market, as measured by the Wilshire 5000 Total
Market Index, continued to gain ground in the first quarter of 2000, and is
still about 20% above its year-ago levels, suggesting that households have
plenty of equity wealth left to fuel consumption.
U.S. BONDS
Following the two interest rate hikes over the summer of 1999 for a total of
0.50%, the Federal Reserve Board raised rates three more times -- on November
16, February 2 and March 21 -- for a total of another 0.75%. Overall for the
fiscal year, this caused U.S. fixed income yields to increase.
oYields on corporate, mortgage-backed and asset-backed securities continued to
rise and as of March 31, 2000 had fully reversed the declines seen during the
global crisis of 1997/98.
oTreasury yields increased by a range of 0.30% to 1.50% over the twelve month
period depending on yield curve positioning. However, Treasury yields actually
decreased by 0.40% to 0.65% at the longer end of the curve during the first
quarter of 2000. This rally was primarily due to the perceived scarcity value
of these securities. The U.S. Treasury had announced their decision during the
quarter to reduce the number of auctions held and to institute a buyback
program, whereby the U.S. Treasury would buy back its own 30-year issues with
budget surplus monies.
oMunicipal yields moved in tandem with U.S. Treasuries, though these securities
moved within a narrower band.
INTERNATIONAL MARKETS
Most of the world's developed equity markets followed the same path as the U.S.
equity market, reaching new highs in 1999 and suffering declines in the first
quarter of 2000.
oFor example, 15 of the 20 MSCI EAFE Index markets posted gains for the annual
period ended December 31,
--------------------------------------------------------------------------------
3
<PAGE>
Lifecycle Funds
--------------------------------------------------------------------------------
LETTER TO SHAREHOLDERS
1999 in U.S. dollar terms, and twelve had double-digit returns. The major story
of 1999 was the rather significant market rotations in the EAFE markets, as
Asian and Pacific Rim markets outpaced European markets. The three biggest
influences on international equity market performance were the stunning reversal
of the Japanese equity market, the introduction of the Euro, and the global
markets' focus on U.S. Federal Reserve Board interest rate policy.
oFor the first three months of the year 2000, Europe was up only 0.14%, Japan
was up only 0.90%, and the Pacific ex-Japan was down 6.52%. Still, economic
growth continued to improve globally, and recent exponential growth of the
technology industry continued to impact equity investments worldwide.
Primarily due to increases in interest rates by the U.S. Federal Reserve Board
as well as by the European Central Bank, international bond yields were
generally higher.
CASH
The U.S. dollar strengthened over the annual period against most of the world's
major currencies.
<TABLE>
<CAPTION>
CUMULATIVE TOTAL RETURNS AVERAGE ANNUAL TOTAL RETURNS
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Periods ended Past 1 Past 3 Past 5 Since Past 1 Past 3 Past 5 Since
March 31, 2000 year years years inception year years years inception
BT Investment Lifecycle
Long Range Fund(1)
(inception 11/16/93) 13.46% 70.55% 131.91% 139.30% 13.46% 19.48% 18.32% 14.68%
Asset Allocation Index--
Long Range(2)
(since 11/30/93) 11.09% 63.98% 125.46% 144.46% 11.09% 17.92% 17.66% 15.16%
Lipper Flexible Portfolio
Average(3)
(since 11/30/93) 14.76% 58.93% 116.49% 133.42% 14.76% 16.42% 16.43% 14.02%
-----------------------------------------------------------------------------------------------------------------
BT Investment Lifecycle
Mid Range Fund(1)
(inception 10/14/93) 9.80% 52.74% 94.65% 94.68% 9.80% 15.17% 14.25% 10.86%
Asset Allocation Index--
Mid Range(2)
(since 10/31/93) 8.20% 46.66% 88.77% 100.31% 8.20% 13.61% 13.55% 11.43%
Lipper Flexible Portfolio
Average(3)
(since 10/31/93) 14.76% 58.93% 116.49% 129.94% 14.76% 16.42% 16.43% 13.56%
-----------------------------------------------------------------------------------------------------------------
BT Investment Lifecycle
Short Range Fund(1)
(inception 10/15/93) 5.76% 35.26% 62.14% 61.36% 5.76% 10.59% 10.15% 7.69%
Asset Allocation Index--
Short Range(2)
(since 10/31/93) 5.28% 30.66% 57.32% 64.57% 5.28% 9.32% 9.49% 8.07%
Lipper Income Average(3)
(since 10/31/93) 6.60% 34.25% 79.77% 85.80% 6.60% 10.19% 12.23% 9.90%
<FN>
1PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS. Investment return and
principal value will fluctuate, so that an investor's shares, when redeemed,
may be worth more or less than their original cost.Performance figures assume
reinvestment of dividends and capital gain distributions. 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.
2Indices are unmanaged, and investments cannot be made in an index. Asset
Allocation Index-Long Range is comprised of 55% of the S&P 500 Index, 35% of
the Salomon Broad Investment Grade Bond Index, and 10% of the T-Bill 3-Month
Index. Asset Allocation Index-Mid Range is comprised of 35% of the S&P 500
Index, 45% of the Salomon Broad Investment Grade Bond Index, and 20% of the
T-Bill 3-Month Index. Asset Allocation Index-Short Range is comprised of 15% of
the S&P 500 Index, 55% of the Salomon Broad Investment Grade Bond Index, and
30% of the T-Bill 3-Month Index. The S&P 500 Index is an index of common stock
in industry, transportation, and financial and public utility companies. The
Salomon Broad Investment Grade Index covers an all inclusive universe of
institutionally traded U.S.Treasury, Agency, Mortgage and Corporate securities.
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.
</FN>
</TABLE>
--------------------------------------------------------------------------------
4
<PAGE>
Lifecycle Funds
--------------------------------------------------------------------------------
LETTER TO SHAREHOLDERS
INVESTMENT REVIEW
All three Lifecycle Funds outperformed their respective benchmarks for the
annual period ended March 31, 2000, and each underperformed its category
average. This relative performance was due primarily to the Funds' overweighting
of equities, underweighting of U.S. fixed income and overweighting of our cash
position as compared to the benchmark allocation throughout the twelve months.
Our model's assessment of a wide variety of factors supported the Funds'
allocation.
The drivers behind the equity overweighting, and within that the overweighting
of foreign equities and underweighting of U.S. equities, were a combination of
three fundamental variables. Namely, these were dividend yield, the trend in
global long-term interest rates, and commodity price changes, which together had
a negative effect on domestic equity expected returns and a positive effect on
expected returns for almost all international equity markets we forecast.
The bond position was underweighted on the basis of both expected inflation
measures and the trend in global long-term interest rates. Rising commodity
prices negatively affected the bond market and contributed to our decision to
underweight this asset class, but higher oil prices in particular positively
impacted international equity markets.
oBT Investment Lifecycle Long Range Fund's asset weightings were 48% in
equities, 31% in bonds, and 21% in cash and other short-term instruments as of
March 31, 2000.
oBT Investment Lifecycle Mid Range Fund's asset weightings were 33% in
equities, 44% in bonds, and 23% in cash and other short-term instruments as of
March 31, 2000.
oBT Investment Lifecycle Short Range Fund's asset weightings were 14% in
equities, 52% in bonds, and 34% in cash and other short-term instruments as of
March 31, 2000.
MANAGER OUTLOOK
GOING FORWARD, THE OUTLOOK FOR U.S. FINANCIAL MARKETS HINGES MOST CRUCIALLY ON
HOW THE INEVITABLE REBALANCING OF SUPPLY AND DEMAND IN THE U.S. ECONOMY WILL
ULTIMATELY PLAY OUT. We believe that it is going to take some combination of
higher interest rates and softer equity markets to cool demand. Our view is that
the Federal Reserve Board will likely raise interest rates another 0.50%. This,
along with rather flat equity markets over the balance of the year, should
succeed in slowing demand growth by late this year or early in 2001 to a rate
at, or slightly below, the economy's supply potential. Such a "soft landing"
would ease pressures on resources, keep inflation from picking up too much, and
gradually turn around the widening current account deficit.
PROVIDED THE COOLING IN U.S. GROWTH IS MODEST AND ORDERLY, THE REST OF THE WORLD
SHOULD TAKE IT IN STRIDE.
oIn Europe, we believe the opportunities created by Economic Monetary Union
will continue to ripple through the various participating nations' economies.
oFollowing Japan's best annual stock market performance since 1986 this past
year, global investors, still underweight in this market, may continue to
provide positive price pressure in 2000, as Japan continues to seek to control
costs, improve productivity, and increase the viability of its banks.
oOutside of Australia and New Zealand, the rest of developed Asia may, in our
view, increasingly look to the U.S. in the months ahead, both as a market for
its exports as well as an economic bellwether, especially given the strong
links between their currencies and the dollar.
THE KEY RISK TO THIS RATHER POSITIVE OUTLOOK IS THAT U.S. DOMESTIC DEMAND FAILS
TO MODERATE IN A SMOOTH, TIMELY FASHION. Instead, it keeps galloping ahead,
exacerbating the supply/demand imbalance, stretching domestic resources even
more and further increasing the economy's reliance on foreign production.
Inflation pressures would presumably mount, and foreign investors might grow
wary of their burgeoning claims on U.S. assets. As a result, the ultimate
adjustment in U.S. financial markets needed to restore equilibrium would be much
more severe, and could possibly imperil the U.S. expansion, with potentially
serious repercussions for the rest of the world.
Given this outlook, we believe the Funds' disciplined, model-driven investment
strategy and top holdings in the global equity markets' supporting pillar,
namely the technology sector, position the portfolios well. 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/SIGNATURE ROBERT WANG
Robert Wang
Portfolio Manager of the
LIFECYCLE FUNDS
March 31, 2000
--------------------------------------------------------------------------------
5
<PAGE>
BT Investment Lifecycle Long Range Fund
--------------------------------------------------------------------------------
LETTER TO SHAREHOLDERS
PORTFOLIO DIVERSIFICATION
By Asset Class as of March 31, 2000
(percentages are based on market value of total investments)
[graph omitted]
plot points as follows:
Stocks Bond Short Term Instruments
48 31 21
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
(percentages are based on market value of total investments)
Microsoft Corp. ................................ 2.03%
Cisco Systems .................................. 1.93
General Electric ............................... 1.86
Intel Corp. .................................... 1.60
Exxon Mobil Corp. .............................. 0.99
FIVE LARGEST FIXEDINCOMESECURITIES
(percentages are based on market value of total investments)
U.S. Treasury Bond, 8.125%, 8/15/19 ............ 2.43%
FHLMC Gold, 7.00%, 6/1/09 ...................... 1.64
U.S. Treasury Note, 6.625%, 3/31/02 ............ 1.54
Citibank Credit Card Master Trust,
6.65%, 11/15/06 ............................. 1.19
U.S. Treasury Bond, 8.75%, 5/15/17 ............. 1.08
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.
--------------------------------------------------------------------------------
6
<PAGE>
BT Investment Lifecycle Long Range Fund
--------------------------------------------------------------------------------
PERFORMANCE COMPARISON
[graph omitted]
plot points as follows:
LIFECYCLE ASSET ALLOCATION INDEX
LONG RANGE FUND - $ LONG RANGE - $ S&P 500 INDEX - $
Nov-93 10000 10000 10000
Mar-94 9680 9789 9737
Sep-94 9698 10082 10256
Mar-95 10319 10843 11253
Sep-95 11479 12256 13308
Mar-96 12321 13180 14867
Sep-96 13074 13889 16014
Mar-97 14032 14908 17813
Sep-97 16686 17432 22490
Mar-98 18759 19400 26363
Sep-98 18492 19192 24524
Mar-99 21092 21296 31229
Sep-99 21182 22106 31342
Mar-00 23930 24446 36479
Average Annual Total Return for the Periods Ended March 31, 2000
One Year 13.46% Five Year 18.32% Since 11/16/93(1) 14.68%
(1) The Fund's inception date.
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS. Investment return and
principal value will fluctuate so that shares, when redeemed, may be worth more
or less than their original cost. The S&P 500 Index is an indicator of general
market performance. Indices are unmanaged and investments may not be made in an
index. Performance figures assume the reinvestment of dividends and capital gain
distributions. During the period, the Fund waived certain fees and expenses.
Benchmark returns are for the period beginning November 30, 1993.
--------------------------------------------------------------------------------
7
<PAGE>
BT Investment Lifecycle Mid Range Fund
--------------------------------------------------------------------------------
LETTER TO SHAREHOLDERS
PORTFOLIO DIVERSIFICATION
By Asset Class as of March 31, 2000
(percentages are based on market value of total investments)
[graph omitted]
plot points as follows:
Stocks Bonds Short Term Instruments
33 44 23
This chart shows the Fund's investment exposure to different asset classes (i.e.
stocks, bonds and short term instruments) based on the risk characteristics of
the asset class rather than the actual instrument. For example, the Fund may buy
or sell a futures contract to increase or decrease the Fund's exposure to the
stock market.
FIVE LARGEST COMMON STOCK HOLDINGS
(percentages are based on market value of total investments)
Microsoft Corp. ................................ 1.40%
Cisco Systems .................................. 1.33
General Electric ............................... 1.28
Intel Corp. .................................... 1.11
Exxon Mobil Corp. .............................. 0.69
FIVE LARGEST FIXEDINCOMESECURITIES
(percentages are based on market value of total investments)
U.S. Treasury Bond, 8.125%, 8/15/19 ............ 4.72%
FHLMC, 6.50%, 7/1/29 ........................... 2.65
FHLMC Gold, 7.00%, 6/1/09 ...................... 2.28
U.S. Treasury Note, 6.625%, 3/31/02 ............ 2.05
Citibank Credit Card Master Trust,
6.65%, 11/15/06 ............................. 1.85
OBJECTIVE
Seeks 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.
--------------------------------------------------------------------------------
8
<PAGE>
BT Investment Lifecycle Mid Range Fund
--------------------------------------------------------------------------------
PERFORMANCE COMPARISON
[graph omitted]
plot points as follows:
LIFECYCLE ASSET ALLOCATION INDEX
MID RANGE FUND - $ MID RANGE - $ S&P 500 INDEX - $
Oct-93 10000 10000 10000
Mar-94 9503 9766 9644
Sep-94 9515 9971 10158
Mar-95 10002 10611 11145
Sep-95 10876 11724 13180
Mar-96 11466 12396 14724
Sep-96 12040 12934 15861
Mar-97 12746 13658 17642
Sep-97 14662 15388 22275
Mar-98 16101 16705 26111
Sep-98 16336 16912 24290
Mar-99 17731 18512 30932
Sep-99 17856 18624 31043
Mar-00 19468 20031 36479
Average Annual Total Return for the Periods Ended March 31, 2000
One Year 9.80% Five Year 14.25% Since 10/14/93(1) 10.86%
--------------------------------------------------------------------------------
1 The Fund's inception date.
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS. Investment return and
principal value will fluctuate so that shares, when redeemed, may be worth more
or less than their original cost. The S&P 500 Index is an indicator of general
market performance. Indices are unmanaged and investments may not be made in an
index. Performance figures assume the reinvestment of dividends and capital gain
distributions. During the period, the Fund waived certain fees and expenses.
Benchmark returns are for the period beginning October 31, 1993.
--------------------------------------------------------------------------------
9
<PAGE>
BT Investment Lifecycle Short Range Fund
--------------------------------------------------------------------------------
LETTER TO SHAREHOLDERS
PORTFOLIO DIVERSIFICATION
By Asset Class as of March 31, 2000
(percentages are based on market value of total investments)
[graph omitted]
plot points as follows:
Stocks Bonds Short Term Instruments
14 52 34
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
(percentages are based on market value of total investments)
Microsoft Corp. ................................ 0.58%
Cisco Systems .................................. 0.55
General Electric ............................... 0.50
Intel Corp. .................................... 0.43
Exxon Mobil Corp. .............................. 0.27
FIVE LARGEST FIXEDINCOMESECURITIES
(percentages are based on market value of total investments)
U.S. Treasury Bond, 8.125%, 8/15/19 ............ 5.27%
U.S. Treasury Note, 6.625%, 3/31/02 ............ 4.48
FHLMC Gold, 7.00%, 6/1/09 ...................... 2.96
FGLMC, 6.50%, 7/21/29 .......................... 2.54
Citibank Credit Card Master Trust,
6.65%, 11/15/06 ............................. 2.30
OBJECTIVE
Seeks high current income 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.
--------------------------------------------------------------------------------
10
<PAGE>
BT Investment Lifecycle Short Range Fund
--------------------------------------------------------------------------------
PERFORMANCE COMPARISON
[graph omitted]
plot points as follows:
LIFECYCLE ASSET ALLOCATION INDEX
SHORT RANGE FUND - $ SHORT RANGE - $ S&P 500 INDEX - $
Oct-93 10000 10000 10000
Mar-94 9654 9818 9644
Sep-94 9580 9935 10158
Mar-95 9951 10461 11145
Sep-95 10635 11297 13180
Mar-96 11014 11742 14724
Sep-96 11427 12128 15861
Mar-97 11929 12595 17642
Sep-97 13236 13664 22275
Mar-98 14158 14463 26111
Sep-98 14775 14966 24290
Mar-99 15256 15631 30932
Sep-99 15272 15744 31043
Mar-00 16136 16457 36479
Average Annual Total Return for the Periods Ended March 31, 2000
One Year 5.76% Five Year 10.15% Since 10/15/93(1) 7.69%
--------------------------------------------------------------------------------
(1) The Fund's inception date.
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS. Investment return and
principal value will fluctuate so that shares, when redeemed, may be worth more
or less than their original cost. The S&P 500 Index is an indicator of general
market performance. Indices are unmanaged and investments may not be made in an
index. Performance figures assume the reinvestment of dividends and capital gain
distributions. During the period, the Fund waived certain fees and expenses.
Benchmark returns are for the period beginning October 31, 1993.
--------------------------------------------------------------------------------
11
<PAGE>
Lifecycle Funds
--------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES
<TABLE>
<CAPTION>
AS OF MARCH 31, 2000
LONG RANGE MID RANGE SHORT RANGE
<S> <C> <C> <C>
ASSETS
Investment in Portfolio, at Value(1) ........................ $166,977,145 $98,827,825 $37,691,520
Receivable for Shares of Beneficial Interest Subscribed ..... 226,252 71,198 60,864
Due from Bankers Trust ...................................... -- -- 20,857
Prepaid Expenses and Other .................................. 8,300 6,713 7,072
------------ ----------- -----------
Total Assets ................................................... 167,211,697 98,905,736 37,780,313
------------ ----------- -----------
LIABILITIES
Due to Bankers Trust ........................................ 85,158 18,221 --
Payable for Shares of Beneficial Interest Redeemed .......... 204,358 255,779 58,366
Accrued Expenses and Other .................................. 26,670 21,670 27,107
------------ ----------- -----------
Total Liabilities .............................................. 316,186 295,670 85,473
------------ ----------- -----------
NET ASSETS ..................................................... $166,895,511 $98,610,066 $37,694,840
============ =========== ===========
COMPOSITION OF NET ASSETS
Paid-in Capital ............................................. $138,769,184 $88,170,710 $36,745,110
Undistributed (Distribution in Excess of)
Net Investment Income ..................................... 168,779 75,012 (163,914)
Accumulated Net Realized Gain from Investment,
Foreign Currency, Forward Foreign Currency and
Futures Contracts ......................................... 16,136,002 5,322,779 553,192
Net Unrealized Appreciation on Investment, Foreign
Currency, Forward Foreign Currency and
Futures Contracts ......................................... 11,821,546 5,041,565 560,452
------------ ----------- -----------
NET ASSETS ..................................................... $166,895,511 $98,610,066 $37,694,840
============ =========== ===========
SHARES OUTSTANDING ($0.001 par value per share,
unlimited number of shares of beneficial interest authorized) . 12,039,430 8,663,476 3,575,539
============ =========== ===========
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE
(net assets divided by shares outstanding) ................... $ 13.86 $ 11.38 $ 10.54
============ =========== ===========
<FN>
--------------------------------------------------------------------------------
1 Allocated from Asset Management Portfolio, Asset Management Portfolio II and
Asset Management Portfolio III, respectively.
</FN>
</TABLE>
See Notes to Financial Statements.
--------------------------------------------------------------------------------
12
<PAGE>
Lifecycle Funds
--------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS
<TABLE>
<CAPTION>
FOR THE YEAR ENDED MARCH 31, 2000
LONG RANGE MID RANGE SHORT RANGE
<S> <C> <C> <C>
INVESTMENT INCOME
Income, net(1) ............................................ $ 4,352,561 $3,213,534 $1,730,723
----------- ---------- ----------
EXPENSES
Administration and Services Fees .......................... 1,045,789 608,081 280,784
Professional Fees ......................................... 29,863 25,363 33,762
Registration Fees ......................................... 25,825 23,251 15,677
Printing and Shareholder Reports .......................... 18,034 12,168 17,870
Trustees Fees ............................................. 4,912 4,462 4,489
Miscellaneous ............................................. 4,781 4,280 4,244
----------- ---------- ----------
Total Expenses ............................................... 1,129,204 677,605 356,826
Less: Fee Waivers or Expense Reimbursements .................. (485,641) (303,402) (182,459)
----------- ---------- ----------
Net Expenses ................................................. 643,563 374,203 174,367
----------- ---------- ----------
NET INVESTMENT INCOME ........................................ 3,708,998 2,839,331 1,556,356
----------- ---------- ----------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS,
FOREIGN CURRENCIES, FORWARD FOREIGN CURRENCY
AND FUTURES CONTRACTS
Net Realized Gain (Loss) from:
Investment Transactions ................................ 13,258,295 2,478,330 569,274
Foreign Currency Transactions .......................... (1,026,068) (697,516) 26,210
Forward Foreign Currency Transactions .................. (389,865) (223,635) (373,280)
Futures Transactions ................................... 6,538,992 4,443,118 933,269
Net Change in Unrealized Appreciation/Depreciation on
Investment, Foreign Currency, Forward Foreign
Currency and Futures Contracts ...................... (1,227,450) 597,643 (563,439)
----------- ---------- ----------
NET REALIZED AND UNREALIZED GAIN ON INVESTMENT, FOREIGN
CURRENCIES, FORWARD FOREIGN CURRENCY AND
FUTURES CONTRACTS ......................................... 17,153,904 6,597,940 592,034
----------- ---------- ----------
NET INCREASE IN NET ASSETS FROM OPERATIONS ................... $20,862,902 $9,437,271 $2,148,390
=========== ========== ==========
<FN>
-------------------------------------------------------------------------------------------------------------
1 Allocated from Asset Management Portfolio, Asset Management Portfolio II and
Asset Management Portfolio III, respectively.
</FN>
</TABLE>
--------------------------------------------------------------------------------
See Notes to Financial Statements.
13
<PAGE>
Lifecycle Funds
--------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
LONG RANGE
FOR THE YEARS ENDED MARCH 31,
2000 1999
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS
Net Investment Income ................................................ $ 3,708,998 $ 3,529,713
Net Realized Gain from Investment, Foreign Currencies,
Forward Foreign Currency and Futures Transactions ................. 18,381,354 6,409,726
Net Change in Unrealized Appreciation/Depreciation on Investment,
Foreign Currencies, Forward Foreign Currency and
Futures Contracts ................................................. (1,227,450) 5,325,283
----------- -----------
Net Increase in Net Assets from Operations .............................. 20,862,902 15,264,722
----------- -----------
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income ................................................ (2,891,082) (3,834,208)
Net Realized Gain from Investment Transactions ....................... (1,362,641) (26,078,487)
Distributions in Excess of Net Realized Gain -- (2,757,601)
----------- -----------
Total Distributions ..................................................... (4,253,723) (32,670,296)
----------- -----------
CAPITAL TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST
Proceeds from Sales of Shares ........................................ 78,743,860 56,216,194
Dividend Reinvestments ............................................... 4,276,820 55,176,469
Cost of Shares Redeemed .............................................. (66,284,338) (99,238,072)
----------- -----------
Net Increase from Capital Transactions in Shares of Beneficial Interest . 16,736,342 12,154,591
----------- -----------
TOTAL INCREASE (DECREASE) IN NET ASSETS ................................. 33,345,521 (5,250,983)
NET ASSETS
Beginning of Year .................................................... 133,549,990 138,800,973
----------- -----------
End of Year (Including undistributed (distributions in excess of) net
investment income of $168,779 and ($2,278,005), respectively.) .... $166,895,511 $133,549,990
============ ============
</TABLE>
See Notes to Financial Statements.
--------------------------------------------------------------------------------
14
<PAGE>
Lifecycle Funds
--------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
MID RANGE
FOR THE YEARS ENDED MARCH 31,
2000 1999
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS
Net Investment Income ................................................ $ 2,839,331 $ 2,403,852
Net Realized Gain from Investment, Foreign Currencies,
Forward Foreign Currency and Futures Transactions .................. 6,000,297 3,365,054
Net Change in Unrealized Appreciation/Depreciation on Investment,
Foreign Currencies, Forward Foreign Currency and
Futures Contracts .................................................. 597,643 2,598,491
------------ ------------
Net Increase in Net Assets from Operations .............................. 9,437,271 8,367,397
------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income ................................................ (2,051,848) (2,844,361)
Net Realized Gain from Investment Transactions ....................... (113,956) (15,354,490)
Distributions in Excess of Net Realized Gain ......................... -- (1,199,818)
------------ ------------
Total Distributions ..................................................... (2,165,804) (19,398,669)
------------ ------------
CAPITAL TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST
Proceeds from Sales of Shares ........................................ 60,000,418 55,734,996
Dividend Reinvestments ............................................... 2,165,597 19,395,860
Cost of Shares Redeemed .............................................. (48,383,006) (81,647,087)
------------ ------------
Net Increase (Decrease) from Capital Transactions in Shares of
Beneficial Interest .................................................. 13,783,009 (6,516,231)
------------ ------------
TOTAL INCREASE (DECREASE) IN NET ASSETS ................................. 21,054,476 (17,547,503)
NET ASSETS
Beginning of Year .................................................... 77,555,590 95,103,093
------------ ------------
End of Year (Including undistributed (distributions in excess of) net
investment income of $75,012 and ($50,432), respectively.) ......... $ 98,610,066 $ 77,555,590
============ ============
</TABLE>
See Notes to Financial Statements.
--------------------------------------------------------------------------------
15
<PAGE>
Lifecycle Funds
--------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
SHORT RANGE
FOR THE YEARS ENDED MARCH 31,
2000 1999
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS
Net Investment Income ................................................ $ 1,556,356 $ 2,035,546
Net Realized Gain from Investment, Foreign Currencies,
Forward Foreign Currency and Futures Transactions .................. 1,155,473 1,786,567
Net Change in Unrealized Appreciation/Depreciation on Investment,
Foreign Currencies, Forward Foreign Currency and
Futures Contracts .................................................. (563,439) 551,175
------------ ------------
Net Increase in Net Assets from Operations .............................. 2,148,390 4,373,288
------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income ................................................ (1,068,583) (2,232,481)
Net Realized Gain from Investment Transactions ....................... -- (4,126,631)
Distributions in Excess of Net Realized Gain ......................... -- (1,192,597)
------------ ------------
Total Distributions ..................................................... (1,068,583) (7,551,709)
------------ ------------
CAPITAL TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST
Proceeds from Sales of Shares ........................................ 29,264,331 56,474,812
Dividend Reinvestments ............................................... 1,065,845 7,344,373
Cost of Shares Redeemed .............................................. (38,246,941) (65,516,562)
------------ ------------
Net Decrease from Capital Transactions in Shares of
Beneficial Interest .................................................. (7,916,765) (1,697,377)
------------ ------------
TOTAL DECREASE IN NET ASSETS ............................................ (6,836,958) (4,875,798)
NET ASSETS
Beginning of Year .................................................... 44,531,798 49,407,596
------------ ------------
End of Year (Including distributions in excess of net investment income
of $163,914 and $84,219, respectively.) ............................ $ 37,694,840 $ 44,531,798
============ ============
</TABLE>
See Notes to Financial Statements.
--------------------------------------------------------------------------------
16
<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 BT Investment Lifecycle Long Range Fund. LONG RANGE
<TABLE>
<CAPTION>
FOR THE YEARS ENDED MARCH 31,
2000 1999 1998 1997 1996
<S> <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
------ ------ ------ ------ ------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income .............................. 0.33 0.43 0.32 0.35 0.37
Net Realized and Unrealized Gain
on Investments, Foreign Currencies,
Forward Foreign Currency and
Futures Transactions ............................ 1.32 1.27 3.57 1.18 1.54
------ ------ ------ ------ ------
Total from Investment Operations ...................... 1.65 1.70 3.89 1.53 1.91
------ ------ ------ ------ ------
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income .............................. (0.24) (0.47) (0.33) (0.39) (0.38)
Net Realized Gain from Investment Transactions ..... (0.12) (2.98) (0.95) (0.50) (0.28)
Distributions in Excess of Net Investment Income ... -- (0.25) -- -- --
------ ------ ------ ------ ------
Total Distributions ................................... (0.36) (3.70) (1.28) (0.89) (0.66)
------ ------ ------ ------ ------
NET ASSET VALUE, END OF YEAR .......................... $13.86 $12.57 $14.57 $11.96 $11.32
====== ====== ====== ====== ======
TOTAL INVESTMENT RETURN ............................... 13.46% 12.44% 33.69% 13.88% 19.41%
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Year (000s omitted) ................$166,896 $133,550 $138,801 $78,291 $56,012
Ratios to Average Net Assets:
Net Investment Income .............................. 2.30% 2.51% 2.57% 2.73% 3.58%
Expenses After Waivers, Including Expenses of the
Asset Management Portfolio ....................... 1.00% 1.00% 1.00% 1.00% 1.00%
Expenses Before Waivers, Including Expenses of the
Asset Management Portfolio ....................... 1.46% 1.44% 1.45% 1.48% 1.60%
</TABLE>
See Notes to Financial Statements.
--------------------------------------------------------------------------------
17
<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 BTInvestment Lifecycle Mid Range Fund.
<TABLE>
<CAPTION>
MID RANGE
FOR THE YEARS ENDED MARCH 31,
2000 1999 1998 1997 1996
<S> <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
------ ------ ------ ------ ------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income ................................... 0.32 0.32 0.37 0.42 0.41
Net Realized and Unrealized Gain
on Investments, Foreign Currencies,
Forward Foreign Currency and
Futures Transactions .................................. 0.71 0.84 2.36 0.72 0.96
------ ------ ------ ------ ------
Total from Investment Operations ........................... 1.03 1.16 2.73 1.14 1.37
------ ------ ------ ------ ------
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income ................................... (0.23) (0.38) (0.37) (0.44) (0.44)
Net Realized Gain from Investment Transactions .......... (0.02) (2.32) (0.84) (0.38) (0.06)
Distributions in Excess of Net Realized Gain ............ -- (0.18) -- -- --
------ ------ ------ ------ ------
Total Distributions ........................................ (0.25) (2.88) (1.21) (0.82) (0.50)
------ ------ ------ ------ ------
NET ASSET VALUE, END OF YEAR ............................... $11.38 $10.60 $12.32 $10.80 $10.48
====== ====== ====== ====== ======
TOTAL INVESTMENT RETURN .................................... 9.80% 10.12% 26.33% 11.16% 14.65%
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Year (000s omitted) ..................... $98,610 $77,556 $95,103 $61,867 $51,466
Ratios to Average Net Assets:
Net Investment Income ................................... 3.03% 2.75% 3.31% 3.48% 4.15%
Expenses After Waivers, Including Expenses of the
Asset Management Portfolio II ......................... 1.00% 1.00% 1.00% 1.00% 1.00%
Expenses Before Waivers, Including Expenses of the
Asset Management Portfolio II ......................... 1.51% 1.51% 1.48% 1.55% 1.58%
</TABLE>
See Notes to Financial Statements.
--------------------------------------------------------------------------------
18
<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 BT Investment Lifecycle Short Range Fund.
<TABLE>
<CAPTION>
SHORT RANGE
FOR THE YEARS ENDED MARCH 31,
2000 1999 1998 1997 1996
<S> <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
------ ------ ------ ------ ------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income ................................ 0.39 0.40 0.44 0.48 0.45
Net Realized and Unrealized Gain
on Investments, Foreign Currencies,
Forward Foreign Currency and
Futures Transactions ............................... 0.18 0.43 1.39 0.34 0.54
------ ------ ------ ------ ------
Total from Investment Operations ........................ 0.57 0.83 1.83 0.82 0.99
------ ------ ------ ------ ------
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income ................................ (0.26) (0.44) (0.46) (0.54) (0.46)
Net Realized Gain from Investment Transactions ....... -- (0.76) (0.86) -- --
Distributions in Excess of Net Realized Gains ........ -- (0.22) -- -- --
------ ------ ------ ------ ------
Total Distributions ..................................... (0.26) (1.42) (1.32) (0.54) (0.46)
------ ------ ------ ------ ------
NET ASSET VALUE, END OF YEAR ............................ $10.54 $10.23 $10.82 $10.31 $10.03
====== ====== ====== ====== ======
TOTAL INVESTMENT RETURN ................................. 5.76% 7.76% 18.68% 8.32% 10.67%
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Year (000s omitted) .................. $37,695 $44,532 $49,408 $32,552 $28,899
Ratios to Average Net Assets:
Net Investment Income ................................ 3.61% 3.52% 4.06% 4.24% 4.64%
Expenses After Waivers, Including Expenses of the
Asset Management Portfolio III ..................... 1.00% 1.00% 1.00% 1.00% 1.00%
Expenses Before Waivers, Including Expenses of the
Asset Management Portfolio III ..................... 1.67% 1.55% 1.58% 1.65% 1.65%
</TABLE>
See Notes to Financial Statements.
--------------------------------------------------------------------------------
19
<PAGE>
Lifecycle Funds
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
NOTE 1--ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
A. ORGANIZATION
BT Investment Funds (the "Trust") is registered under the Investment Company Act
of 1940 (the "Act"), as amended, as an open-end management investment company.
The Trust was organized on July 21, 1986, as a business trust under the laws of
the Commonwealth of Massachusetts. BT Investment Lifecycle Long Range Fund, BT
Investment Mid Range Fund and BT Investment 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
Long Range, Mid Range and Short Range seek 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 III (each a "Portfolio" and collectively, the "Portfolios"),
respectively. Asset Management Portfolios II and III are part of BT Investment
Portfolios. The Portfolios are open-end management investment companies
registered under the Act. The value of each Fund's investment in the Portfolios
reflects each Fund's proportionate interest in the net assets of that Portfolio.
At March 31, 2000, Long Range's investment was approximately 23% of the Asset
Management Portfolio, Mid Range's investment was 100% of the Asset Management
Portfolio II and the Short Range's investment was 100% of the Asset Management
Portfolio III.
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 Financial Statements, 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, earned by the Funds are 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 substantially
all of its taxable income to shareholders. Therefore, no federal income tax
provision is required. Each of the Funds may periodically make reclassifications
among certain of its capital accounts as a result of the differences in the
characterization and allocation of certain income and capital gains
distributions determined annually in accordance with federal tax regulations
which may differ from generally accepted accounting principles. Short Range has
deferred a post-October currency loss of $176,293 to the next year.
F. OTHER
The Trust accounts separately for the assets, liabilities and operations of each
of the funds. Expenses directly attributable to each fund are charged to that
fund, while expenses which are attributable to the Trust are allocated among the
funds in the Trust.
The preparation of financial statements in conformity with accounting principles
generally accepted in the United States 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"), an indirect wholly owned subsidiary of
Deutsche Bank A.G. Under this agreement, Bankers Trust provides administrative,
custody, transfer agency and shareholder services to each of the Funds in return
for a fee computed daily and paid monthly at an annual rate of .65% of each
Fund's average daily net assets.
--------------------------------------------------------------------------------
20
<PAGE>
Lifecycle Funds
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
Bankers Trust has contractually agreed to waive its fees through July 31, 2001,
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 Funds.
NOTE 3--SHARES OF BENEFICIAL INTEREST
At March 31, 2000, there were an unlimited number of shares of beneficial
interest authorized. Transactions in shares of beneficial interest were as
follows:
<TABLE>
<CAPTION>
FOR THE YEAR ENDED MARCH 31, 2000
----------------------------------------------------------------------------
LONG RANGE MID RANGE SHORT RANGE
------------------------ ------------------------ ------------------------
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
---------- ------------ ---------- ------------ ---------- ------------
<S> <C> <C> <C> <C> <C> <C>
Sold ............................... 6,139,806 $ 78,743,860 5,573,793 $ 60,000,418 2,834,249 $ 29,264,331
Reinvested ......................... 337,481 4,276,820 199,229 2,165,597 104,072 1,065,845
Redeemed ........................... (5,058,956) (66,284,338) (4,426,876) (48,383,006) (3,714,674) (38,246,941)
---------- ------------ ---------- ------------ ---------- ------------
Net Increase/(Decrease) ............ 1,418,331 $ 16,736,342 1,346,146 $ 13,783,009 (776,353) $ (7,916,765)
========== ============ ========== ============ ========== ============
FOR THE YEAR ENDED MARCH 31, 1999
----------------------------------------------------------------------------
LONG RANGE MID RANGE SHORT RANGE
------------------------ ------------------------ ------------------------
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
---------- ------------ ---------- ------------ ---------- ------------
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)
---------- ------------ ---------- ------------ ---------- ------------
Net Increase/(Decrease) ............ 1,096,237 $ 12,154,591 (404,874) $ (6,516,231) (215,184) $ (1,697,377)
========== ============ ========== ============ ========== ============
</TABLE>
NOTE 4--SUBSEQUENT EVENT
On July 31, 2000, the funds will change their names as follows:
OLD NAME NEW NAME
------------------------------------------ ------------------------
BT Investment Lifecycle Long Range Fund Lifecycle Long Range
BT Investment Lifecycle Mid Range Fund Lifecycle Mid Range
BT Investment Lifecycle Short Range Fund Lifecycle Short Range
--------------------------------------------------------------------------------
21
<PAGE>
Lifecycle Funds
--------------------------------------------------------------------------------
REPORT OF INDEPENDENT ACCOUNTANTS
To the Trustees of BT Investment Funds and the Shareholders of the BT Investment
Lifecycle Long Range Fund, BT Investment Lifecycle Mid Range Fund, and BT
Investment Lifecycle Short Range Fund:
In our opinion, the accompanying statements of assets and liabilities and the
related statements of operations and of changes in net assets and the financial
highlights present fairly, in all material respects, the financial position of
the BT Investment Lifecycle Long Range Fund, BT Investment Lifecycle Mid Range
Fund and BT Investment Lifecycle Short Range Fund (three of the Funds comprising
BT Investment Funds, hereafter referred to as the "Funds") at March 31, 2000,
and the results of each of their operations, the changes in each of their net
assets and the financial highlights for each of the fiscal periods presented, in
conformity with accounting principles generally accepted in the United States.
These financial statements and financial highlights (hereafter referred to as
"financial statements") are the responsibility of the Funds' management; our
responsibility is to express an opinion on these financial statements based on
our audits. We conducted our audits of these financial statements in accordance
with auditing standards generally accepted in the United States, which require
that we plan and perform the audit to obtain reasonable assurance about whether
the financial statements are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures in
the financial statements, assessing the accounting principles used and
significant estimates made by management, and evaluating the overall financial
statement presentation. We believe that our audits, which included confirmation
of securities at March 31, 2000 by correspondence with the transfer agent,
provide a reasonable basis for the opinion expressed above.
PricewaterhouseCoopers LLP
Baltimore, Maryland
May 5, 2000
--------------------------------------------------------------------------------
TAX INFORMATION (Unaudited) For the Tax Year Ended March 31, 2000
We are providing this information as required by the Internal Revenue Code. The
amounts may differ from those elsewhere in this report because of differences
between tax and financial reporting requirements.
Long Range and Mid Range distributions to shareholders included $915,137 and
$113,858, respectively, from long-term capital gains, all of which is taxable at
the 20% capital gains rate.
Of ordinary distributions made by Long Range, Mid Range and Short Range during
the fiscal year ended March 31, 2000, 28.90%, 18.57% and 8.60%, respectively,
qualifies for the dividends received deduction available to corporate
shareholders.
Of the net investment income distributions made by Long Range, Mid Range and
Short Range, during the fiscal year ended March 31, 2000, 49.90%, 35.64% and
50.89%, respectively, have been derived from investments in U.S. Government and
Agency Obligations. All or a portion of the distributions from this income may
be exempt from taxation at the state level. Consult your tax advisor for state
specific information.
--------------------------------------------------------------------------------
22
<PAGE>
Asset Management Portfolio
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 2000
SHARES DESCRIPTION VALUE
COMMON STOCKS - 46.6%
ADVERTISING - 0.1%
8,600 Clear Channel Communications,
Inc. 1...................... $ 593,937
4,300 Omnicom Group, Inc. .......... 401,781
-----------
995,718
-----------
AEROSPACE - 0.5%
21,490 Boeing Co. ................... 815,277
4,700 Conexant Systems ............. 333,700
24,400 Cordant Technologies ......... 1,380,125
7,200 General Dynamics Corp. ....... 358,200
10,400 Lockheed Martin Corp. ........ 212,550
1,100 Northrop Grumman Corp. ....... 58,231
1 Raytheon Co. - Class A ....... 4
7,100 Raytheon Co. - Class B ....... 126,025
4,300 Rockwell International Corp. . 179,794
-----------
3,463,906
-----------
AIRLINES - 0.1%
5,000 AMR Corp.1 ................... 159,375
5,300 Delta Air Lines, Inc. ........ 282,225
13,100 Southwest Airlines Co. ....... 272,644
1,500 US Airways Group, Inc. 1...... 41,719
-----------
755,963
-----------
APPAREL, TEXTILES - 0.1%
4,900 Liz Claiborne, Inc. .......... 224,481
6,000 Nike, Inc. ................... 237,750
8,900 Reebok International Ltd. 1... 82,325
3,600 Springs Industries, Inc. -
Class A .................... 136,800
2,200 V.F. Corp. ................... 52,937
-----------
734,293
-----------
AUTO RELATED - 0.6%
3,100 Autozone, Inc. 1 ............. 86,025
1 DaimlerChrysler AG 1 ......... 49
6,200 Dana Corp. ................... 174,762
20,000 Delphi Automotive Systems .... 320,000
33,300 Ford Motor Co. ............... 1,529,719
17,800 General Motors Corp. ......... 1,474,062
3,600 Genuine Parts Co. ............ 85,950
4,600 Paccar, Inc. ................. 230,000
2,000 Parker-Hannifin Corp. ........ 82,625
4,900 Timken Co. ................... 79,625
-----------
4,062,817
-----------
BANKS - 1.8%
10,300 Amsouth Bancorp .............. 153,856
18,100 Bank of New York Co., Inc. ... 752,281
25,900 Bank One Corp. ............... 890,312
42,300 Bank of America Corp. ........ 2,218,117
5,400 BB&T Corp. ................... 151,537
20,800 Chase Manhattan Corp. ........ 1,813,500
SHARES DESCRIPTION VALUE
7,300 Fifth Third Bancorp .......... 459,900
21,100 First Union Corp. ............ 785,975
15,500 Fleet Boston Financial Corp. . 565,750
3,000 Golden West Financial Corp. .. 93,562
5,500 Huntington Bancshares, Inc. .. 123,062
11,700 KeyCorp ...................... 222,300
12,000 Mellon Financial Corp. ....... 354,000
5,200 Morgan, (J.P.) & Co., Inc. ... 685,100
15,600 National City Corp. .......... 321,750
5,000 Northern Trust Corp. ......... 337,812
3,000 Southtrust Corp. ............. 76,312
3,700 Summit Bancorp ............... 97,125
7,600 Suntrust Banks, Inc. ......... 438,900
18,400 U.S. Bancorp ................. 402,500
5,700 Union Planters Corp. ......... 175,631
4,600 Wachovia Corp. ............... 310,787
6,000 Washington Mutual, Inc. ...... 159,000
41,600 Wells Fargo Co. .............. 1,703,000
-----------
13,292,069
-----------
BEVERAGES - 0.8%
11,400 Anheuser Busch Cos., Inc. .... 709,650
1,100 Brown-Forman Corp. - Class B . 59,881
63,500 Coca-Cola Co. ................ 2,980,531
14,400 Coca-Cola Enterprises, Inc. .. 310,500
36,800 PepsiCo, Inc. ................ 1,271,900
12,100 Seagram Co. Ltd. ............. 719,950
-----------
6,052,412
-----------
BUILDING & CONSTRUCTION - 0.8%
900 Armstrong World Industries,
Inc. ....................... 16,087
1,300 Centex Corp. ................. 30,956
1,800 Crane Co. .................... 42,412
59,200 Home Depot, Inc. ............. 3,818,400
1,000 Kaufman & Broad Home Corp. ... 21,437
11,700 Masco Corp. .................. 239,850
1,400 Owens Corning ................ 27,125
7,300 Stanley Works ................ 192,537
1,800 Vulcan Materials Co. ......... 82,462
-----------
4,471,266
-----------
BUILDING-FOREST PRODUCTS - 0.1%
4,300 Boise Cascade Corp. .......... 149,425
3,300 Georgia-Pacific Corp. ........ 130,556
1,600 Johnson Controls, Inc. ....... 86,500
2,800 Louisiana-Pacific Corp. ...... 38,850
4,000 Potlatch Corp. ............... 172,000
1,600 Weyerhaeuser Co. ............. 91,200
-----------
668,531
-----------
CHEMICALS & TOXIC WASTE - 0.5%
4,600 Air Products and Chemicals, Inc. 130,812
28,700 Du Pont (E.I.) de Nemours & Co. 1,517,512
See Notes to Financial Statements.
--------------------------------------------------------------------------------
23
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Asset Management Portfolio
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 2000
SHARES DESCRIPTION VALUE
1,500 Eastman Chemical Co. $ 68,250
2,000 FMC Corp. 1 .................. 113,000
400 Great Lakes Chemical Corp. ... 13,600
2,800 Hercules, Inc. ............... 45,150
12,500 Monsanto Co. ................. 643,750
4,000 PPG Industries, Inc. ......... 209,250
4,900 Rohm & Haas Co. .............. 218,662
15,200 Union Carbide Corp. .......... 886,350
1,900 W.R. Grace & Co. 1 ........... 24,106
-----------
3,870,442
-----------
CLIENT-SERVER COMPUTING - 0.2%
4,300 Adaptec, Inc. 1 .............. 166,087
5,300 Citrix Systems, Inc. 1 ....... 351,125
12,200 Compuware Corp. 1 ............ 256,962
3,800 Lexmark International Group,
Inc. -
Class A .................... 401,850
9,500 Peoplesoft, Inc. 1 ........... 190,000
-----------
1,366,024
-----------
COMPUTER - 2.0%
4,900 Apple Computer, Inc. 1 ....... 665,481
43,300 Compaq Computer Corp. ........ 1,152,863
67,400 Dell Computer Corp. 1 ........ 3,635,387
9,100 Gateway, Inc. 1 .............. 482,300
25,780 Hewlett-Packard Co. .......... 3,417,461
47,600 International Business
Machines Corp. ............. 5,616,800
-----------
14,970,292
-----------
COMPUTER SERVICES - 2.9%
9,700 3Com Corp. 1 ................. 539,562
15,400 Automatic Data Processing, Inc. 743,050
6,400 Cabletron Systems, Inc. 1 .... 187,600
25,200 Cendant Corp. 1 .............. 466,200
3,700 Ceridian Corp. 1 ............. 70,994
178,500 Cisco Systems, Inc. 1 ........ 13,800,281
5,000 Computer Sciences Corp. 1 .... 395,625
11,700 Electronic Data Systems Corp. 750,994
26,900 EMC Corp. 1 .................. 3,362,500
3,400 NCR Corp. 1 .................. 136,425
9,200 Parametric Technology Corp. 1. 193,775
6,600 Seagate Technology, Inc. 1 ... 397,650
11,500 Silicon Graphics, Inc. 1 ..... 121,469
-----------
21,166,125
-----------
COMPUTER SOFTWARE - 3.4%
2,700 Adobe Systems, Inc. .......... 300,544
7,800 BMC Software, Inc. 1 ......... 385,125
13,500 Computer Associates
International, Inc. ........ 799,031
SHARES DESCRIPTION VALUE
136,180 Microsoft Corp.1 ............. 14,469,125
8,300 Network Appliance, Inc. 1 .... 686,825
75,800 Oracle Corp. 1 ............... 5,917,137
14,200 Yahoo!, Inc. 1 ............... 2,433,525
-----------
24,991,312
-----------
CONTAINERS - 0.1%
6,200 Crown Cork & Seal Co., Inc. .. 99,200
4,000 Owens-Illinois, Inc. 1 ....... 67,500
3,400 Sealed Air Corp. 1............ 184,662
3,200 Temple Inland, Inc. .......... 159,400
-----------
510,762
-----------
COSMETICS & TOILETRIES - 0.1%
1,200 Alberto-Culver Co. - Class B . 28,575
26,500 Gillette Co. ................. 998,719
1,700 International Flavors &
Fragrances, Inc. ........... 59,606
-----------
1,086,900
-----------
DIVERSIFIED - 0.4%
2,500 Allegheny Technologies ....... 50,156
2,100 Loews Corp. .................. 105,000
11,700 Minnesota Mining &
Manufacturing Co. .......... 1,036,181
9,500 Pall Corp. ................... 213,156
3,000 Praxair, Inc. ................ 124,875
9,200 SuperValu, Inc. .............. 174,225
1 Teledyne Technologies 1 ...... 25
5,300 Textron, Inc. ................ 322,637
14,200 United Technologies Corp. .... 897,262
-----------
2,923,517
-----------
DRUGS - 2.4%
30,500 American Home Products Corp. . 1,635,562
4,300 Biogen, Inc. 1 ............... 300,462
50,900 Bristol-Myers Squibb Co. ..... 2,939,475
25,800 Lilly (Eli) & Co. ............ 1,625,400
61,300 Merck & Co., Inc. ............ 3,808,262
86,500 Pfizer, Inc. ................. 3,162,656
33,700 Schering-Plough Corp. ........ 1,238,475
26,900 Warner-Lambert Co. ........... 2,622,750
-----------
17,333,042
-----------
ELECTRICAL EQUIPMENT - 2.0%
10,600 Emerson Electric Co. ......... 560,475
85,300 General Electric Co. ......... 13,237,494
500 ITT Industries ............... 15,531
17,400 Solectron Corp. 1 ............ 697,087
1,600 W.W. Grainger, Inc. .......... 86,800
-----------
14,597,387
-----------
See Notes to Financial Statements.
--------------------------------------------------------------------------------
24
<PAGE>
Asset Management Portfolio
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 2000
SHARES DESCRIPTION VALUE
ELECTRONICS - 3.9%
5,300 Advanced Micro Devices, Inc. 1 $ 302,431
10,700 Analog Devices, Inc. 1 ....... 862,019
20,276 Applied Materials, Inc. 1 .... 1,911,013
86,300 Intel Corp. .................. 11,386,206
5,500 KLA-Tencor Corp. 1 ........... 463,375
8,800 LSI Logic Corp. 1 ............ 639,100
8,800 Micron Technology, Inc. 1 .... 1,108,800
18,200 Motorola, Inc. ............... 2,591,225
6,200 National Semiconductor Corp. 1 375,875
36,730 Nortel Networks Corp. ........ 4,627,980
6,400 Scientific-Atlanta, Inc. ..... 406,000
20,910 Texas Instruments, Inc. ...... 3,345,600
4,200 Thermo Electron Corp. 1 ...... 85,575
9,200 Xilinx, Inc. 1 ............... 761,875
-----------
28,867,074
-----------
ENTERTAINMENT - 0.3%
52,500 Disney (Walt) Co. ............ 2,172,187
-----------
ENVIRONMENTAL CONTROL - 0.0%
4,800 Allied Waste Industries, Inc.1 31,500
16,100 Waste Management, Inc. ....... 220,369
-----------
251,869
-----------
FINANCIAL SERVICES - 2.6%
12,200 American Express Co. ......... 1,817,037
14,000 Associates First Capital Corp.
Class A .................... 300,125
2,200 Bear Stearns Cos., Inc. ...... 100,375
4,200 Capital One Financial Corp. .. 201,337
10,700 Charles Schwab Corp. ......... 607,894
3,100 Cincinnati Financial Corp. ... 116,637
89,800 Citigroup .................... 5,326,262
2,000 Countrywide Credit Industries,
Inc. ....................... 54,500
25,400 Fannie Mae ................... 1,433,512
10,100 First Data Corp. ............. 446,925
24,900 Firstar Corp. ................ 571,144
5,300 Franklin Resources, Inc. ..... 177,219
12,800 Freddie Mac .................. 565,600
4,300 Hartford Financial Services Group,
Inc. ....................... 226,825
11,200 Household International, Inc. 417,900
5,000 Lehman Brothers, Inc. ........ 485,000
20,400 MBNA Corp. ................... 520,200
11,000 Merrill Lynch & Co., Inc. .... 1,155,000
30,700 Morgan Stanley Dean Witter
Discover & Co. ............. 2,503,969
7,100 Paine Webber Group, Inc. ..... 312,400
6,700 PNC Bank Corp. ............... 301,919
5,000 Regions Financial Corp. ...... 114,062
2,700 SLM Holding Corp. ............ 89,944
3,700 State Street Corp. ........... 358,437
SHARES DESCRIPTION VALUE
7,300 Synovus Financial Corp. ...... 137,787
6,800 T. Rowe Price Associates, Inc. 268,600
2,800 U.S. Trust Corp. ............. 529,200
-----------
19,139,810
-----------
FOOD SERVICES & LODGING - 0.2%
11,900 Darden Restaurants, Inc. ..... 211,969
34,100 McDonald's Corp. ............. 1,280,881
3,300 Tricon Global Restaurants,
Inc. 1 ..................... 102,506
3,100 Wendy's International, Inc. .. 62,581
-----------
1,657,937
-----------
FOODS - 0.5%
15,700 Archer-Daniels-Midland Co. ... 162,887
6,500 Bestfoods .................... 304,281
8,800 Campbell Soup Co. ............ 270,600
15,600 ConAgra, Inc. ................ 282,750
6,700 General Mills, Inc. .......... 242,456
8,200 H.J. Heinz Co. ............... 285,975
6,700 Kellogg Co. .................. 171,687
7,500 Nabisco Group Holdings ....... 90,000
2,900 Quaker Oats Co. .............. 175,812
12,600 Ralston Purina Group ......... 344,925
23,600 Sara Lee Corp. ............... 424,800
7,500 Sysco Corp. .................. 267,656
11,400 Unilever NV .................. 548,625
2,600 Wrigley (Wm.), Jr. Co. ....... 199,712
-----------
3,772,166
-----------
HEALTHCARE - 1.1%
34,900 Abbott Laboratories .......... 1,228,044
2,800 Allergan, Inc. ............... 140,000
900 Bausch & Lomb, Inc. .......... 46,969
6,600 Biomet, Inc. ................. 240,075
10,800 Boston Scientific Corp. 1 .... 230,175
3,400 C.R. Bard, Inc. .............. 131,537
6,000 Cardinal Health, Inc. ........ 275,250
14,300 Columbia/HCA Healthcare Corp. 361,969
7,100 Guidant Corp.1 ............... 417,569
21,300 HEALTHSOUTH Corp. 1 .......... 118,481
12,600 Humana, Inc. 1 ............... 92,137
36,700 Johnson & Johnson ............ 2,571,294
9,700 Manor Care1 .................. 130,950
27,500 Medtronic, Inc. .............. 1,414,531
4,400 St. Jude Medical, Inc. 1 ..... 113,575
11,500 Tenet Healthcare Corp. 1 ..... 264,500
3,800 United Healthcare Corp. ...... 226,575
800 Wellpoint Health Networks 1 .. 55,900
-----------
8,059,531
-----------
See Notes to Financial Statements.
--------------------------------------------------------------------------------
25
<PAGE>
Asset Management Portfolio
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 2000
SHARES DESCRIPTION VALUE
HOSPITAL SUPPLIES & HEALTHCARE - 0.4%
6,900 Baxter International, Inc. ... $ 432,544
4,900 Becton Dickinson & Co. ....... 128,931
1,000 Mallinckrodt Group, Inc. ..... 28,750
43,000 Tyco International Ltd. ...... 2,144,625
-----------
2,734,850
-----------
HOTEL/MOTEL - 0.0%
9,600 Hilton Hotels Corp. .......... 74,403
5,000 Marriott International, Inc. . 157,500
-----------
231,903
-----------
HOUSEHOLD FURNISHINGS - 0.0%
6,100 Maytag Corp. ................. 202,062
1,300 Whirlpool Corp. .............. 76,212
-----------
278,274
-----------
HOUSEHOLD PRODUCTS - 0.4%
2,400 Avery Dennison Corp. ......... 146,550
5,000 Clorox Co. ................... 162,500
14,400 Colgate-Palmolive Co. ........ 811,800
34,200 Procter & Gamble Co. ......... 1,923,750
1,500 Tupperware Corp. ............. 23,719
-----------
3,068,319
-----------
INSURANCE - 1.1%
2,700 Aetna, Inc. .................. 150,356
5,900 Aflac, Inc. .................. 268,819
11,200 Allstate Corp. ............... 266,700
5,500 American General Corp. ....... 308,687
41,100 American International Group,
Inc. ....................... 4,500,450
4,100 Chubb Corp. .................. 277,006
4,300 CIGNA Corp. .................. 325,725
8,500 Conseco, Inc. ................ 97,219
4,500 Jefferson-Pilot Corp. ........ 299,531
4,000 Lincoln National Corp. ....... 134,000
6,500 Marsh and McLennan ........... 717,031
1,800 MBIA, Inc. ................... 93,713
5,300 MGIC Investment Corp. ........ 231,213
1,300 Providian Financial Corp. .... 112,613
5,500 Safeco ....................... 146,094
5,000 St. Paul Cos., Inc. .......... 170,625
3,000 Torchmark Corp. .............. 69,375
6,200 Unumprovident Corp. .......... 105,400
-----------
8,274,557
-----------
LEISURE RELATED - 0.6%
1,300 American Greetings Corp. -
Class A .................... 23,725
7,500 Brunswick Corp. .............. 142,031
11,200 Carnival Corp. - Class A ..... 277,900
3,500 Harley-Davidson, Inc. ........ 277,812
6,100 Harrah's Entertainment, Inc. 1 113,231
11,400 Hasbro, Inc. ................. 188,100
SHARES DESCRIPTION VALUE
47,230 Jostens, Inc. ................ 1,151,231
11,100 Mattel, Inc. ................. 115,856
110,800 Mirage Resorts, Inc. 1 ....... 2,146,750
3,619 Sabre Group Holdings, Inc. ... 133,677
-----------
4,570,313
-----------
LIFE ON THE NET - 0.6%
59,600 America Online, Inc. 1 ....... 4,008,100
-----------
LIFE SCIENCES REVOLUTION - 0.1%
4,900 PE Corp. - PE Biosystems Group 472,850
-----------
MACHINERY - 0.3%
1,300 Black & Decker Corp. ......... 48,831
3,800 Briggs & Stratton Corp. ...... 156,275
11,400 Caterpillar, Inc. ............ 449,588
4,800 Deere & Co. .................. 182,400
8,200 Dover Corp. .................. 392,575
7,200 Illinois Tool Works, Inc. .... 397,800
500 Millipore Corp. .............. 28,219
3,700 Navistar International Corp. 1 148,463
600 Snap-On Tools Corp. .......... 15,713
2,400 TRW, Inc. .................... 140,400
-----------
1,960,264
-----------
MANAGING THE INFORMATION AGE - 0.1%
7,965 Veritas Software Corp. 1 ....... 1,043,415
-----------
MANUFACTURING - 0.2%
1,100 Cooper Industries, Inc. ........ 38,500
2,800 Danaher Corp. .................. 142,800
19,700 Honeywell International, Inc. .. 1,037,944
-----------
1,219,244
-----------
MEDIA - 0.2%
24,900 CBS Corp. 1 ................... 1,409,963
-----------
MEDICAL BIOTECHNOLOGY - 0.2%
27,400 Amgen, Inc. 1 ................. 1,681,675
-----------
METALS - 0.3%
9,000 Alcan Aluminum Ltd. ........... 304,875
900 Alcoa, Inc. ................... 63,225
3,400 Engelhard Corp. ............... 51,425
7,900 Freeport-McMoRan Copper &
Gold, Inc. - Class B ........ 95,294
6,800 Homestake Mining Co. .......... 40,800
8,100 Inco, Ltd. .................... 148,331
3,400 Newmont Mining Corp. .......... 76,288
2,500 Nucor Corp. ................... 125,000
1,200 Phelps Dodge Corp. ............ 57,000
8,600 Placer Dome, Inc. ............. 69,875
10,900 Reynolds Metals Co. ........... 728,938
1,400 USX - U.S. Steel Group ........ 35,000
11,300 Worthington Industries, Inc. .. 139,838
-----------
1,935,889
-----------
See Notes to Financial Statements.
--------------------------------------------------------------------------------
26
<PAGE>
Asset Management Portfolio
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 2000
SHARES DESCRIPTION VALUE
METALS & MINING - 0.0%
10,200 Barrick Gold Corp. ............ $ 160,013
-----------
MOVE TO OUTSOURCING - 0.1%
8,900 Paychex, Inc. ................. 466,138
3,000 Quintiles Transnational Corp. 1 51,188
-----------
517,326
-----------
NEW CONSUMER - 0.1%
14,600 Staples, Inc. 1 ............... 292,000
8,100 TJX Cos., Inc. ................ 179,719
-----------
471,719
-----------
NEW HEALTH CARE PARADIGM - 0.0%
5,900 McKesson Hboc, Inc. ........... 123,900
2,200 Watson Pharmaceuticals 1 ...... 87,313
-----------
211,213
-----------
OFFICE EQUIPMENT & COMPUTERS - 0.7%
1,000 Autodesk, Inc. ................ 45,500
3,800 Ikon Office Solutions, Inc. ... 23,513
10,400 Novell, Inc. 1 ................ 297,700
6,200 Pitney Bowes, Inc. ............ 277,063
41,200 Sun Microsystems, Inc. 1 ...... 3,860,569
9,900 Unisys Corp. 1 ................ 252,450
11,800 Xerox Corp. ................... 306,800
-----------
5,063,595
-----------
OIL - DOMESTIC - 0.2%
7,900 Atlantic Richfield Co. ........ 671,500
4,400 Burlington Resources, Inc. .... 162,800
4,300 Pactiv Corp. 1 ................ 37,625
5,800 Phillips Petroleum Co. ........ 268,250
6,400 Union Pacific Resources Group, Inc. 92,800
4,900 Unocal Corp. .................. 145,775
-----------
1,378,750
-----------
OIL - INTERNATIONAL - 1.8%
18,200 Chevron Corp. ................ 1,682,363
15,800 Conoco, Inc. - Class B ....... 404,875
90,800 Exxon Mobil Corp. ............ 7,065,375
55,100 Royal Dutch Petroleum Co. .... 3,171,694
13,300 Texaco, Inc. ................. 713,213
2,400 Tosco Corp. .................. 73,050
-----------
13,110,570
-----------
OIL EQUIPMENT & SERVICES - 0.2%
1,900 Apache Corp. ................. 94,525
13,700 Schlumberger Ltd. ............ 1,048,050
4,301 Transocean Sedco ............. 220,693
-----------
1,363,268
-----------
SHARES DESCRIPTION VALUE
OIL SERVICE - DOMESTIC - 0.1%
800 Fluor Corp. .................. 24,800
10,500 Halliburton Co. .............. 430,500
3,800 USX Marathon Group ........... 99,038
-----------
554,338
-----------
PAPER - 0.2%
4,600 Fort James Corp. ............. 101,200
13,500 Kimberly Clark Corp. ......... 756,000
1,300 Mead Corp. ................... 45,419
4,125 Molex, Inc. .................. 242,344
6,700 Westvaco Corp. ............... 223,613
-----------
1,368,576
-----------
PAPER & FOREST PRODUCTS - 0.1%
1,800 Champion International Corp. . 95,850
12,800 International Paper Co. ...... 547,200
1,900 Willamette Industries, Inc. .. 76,238
-----------
719,288
-----------
PETROLEUM PRODUCTS - 0.1%
172 Arch Coal, Inc. .............. 1,206
700 Ashland, Inc. ................ 23,406
7,500 Baker Hughes, Inc. ........... 226,875
10,400 Williams Cos., Inc. .......... 456,950
-----------
708,437
-----------
PETROLEUM RELATED - 0.1%
4,600 Amerada Hess Corp. ........... 297,275
1,700 Kerr-McGee Corp. ............. 98,175
12,300 Occidental Petroleum Corp. ... 255,225
5,000 Rowan Cos., Inc. 1 ........... 147,188
1,400 Sunoco, Inc. ................. 38,325
-----------
836,188
-----------
PHARMACEUTICALS - 0.1%
2,300 ALZA Corp. 1 ................. 86,394
12,400 Pharmacia & Upjohn, Inc. ..... 734,700
-----------
821,094
-----------
PHOTO EQUIPMENT & SUPPLIES - 0.1%
10,100 Eastman Kodak Co. ............ 548,556
-----------
PRINTING & PUBLISHING - 0.7%
1,100 Deluxe Corp. ................. 29,150
2,700 Donnelley (R.R.) & Sons Co. .. 56,531
1,800 Dow Jones & Co., Inc. ........ 129,263
6,600 Gannett Co., Inc. ............ 464,475
4,000 Knight-Ridder, Inc. .......... 203,750
7,400 McGraw-Hill Cos., Inc. ....... 336,700
3,700 New York Times Co. - Class A . 158,869
32,900 Time Warner, Inc. ............ 3,290,000
1,000 Times Mirror Co. - Class A ... 92,938
5,000 Tribune Co. .................. 182,813
-----------
4,944,489
-----------
See Notes to Financial Statements.
--------------------------------------------------------------------------------
27
<PAGE>
Asset Management Portfolio
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 2000
SHARES DESCRIPTION VALUE
PROFESSIONAL SERVICES - 0.1%
1,900 Ecolab, Inc. ................. $ 69,706
4,700 H & R Block, Inc. ............ 210,325
800 Harcourt General, Inc. ....... 29,800
6,500 Interpublic Group of Cos., Inc. 307,125
3,200 National Service Industries, Inc. 67,400
2,600 Perkinelmer, Inc. ............ 172,900
7,100 Service Corp. International .. 21,300
-----------
878,556
-----------
RAILROADS - 0.1%
10,600 Burlington Northern Santa Fe . 234,525
9,700 CSX Corp. .................... 227,950
2,400 Kansas City Southern
Industries,Inc. ............ 206,250
9,900 Norfolk Southern Corp. ....... 142,313
5,800 Union Pacific Corp. .......... 226,925
-----------
1,037,963
-----------
RE-ENERGIZING AMERICA - 0.0%
4,000 Young & Rubicam .............. 188,000
-----------
REAL ESTATE - 0.0%
8,100 Pulte Corp. .................. 169,088
-----------
RETAIL - 2.5%
3,500 Albertson's, Inc. ............ 108,500
5,000 Bed, Bath & Beyond, Inc. 1 ... 196,875
6,400 Best Buy, Inc. 1 ............. 550,400
4,100 Circuit City Stores, Inc. .... 249,588
11,800 Consolidated Stores Corp. 1 .. 134,225
12,900 Costco Wholesale Corp. 1 ..... 678,056
4,400 CVS Corp. .................... 165,275
2,800 Dillard Department Stores,
Inc. - Class A ............. 46,025
6,401 Dollar General Corp. ......... 172,018
7,300 Federated Department Stores,
Inc. 1 ..................... 304,776
21,500 Gap, Inc. .................... 1,070,969
4,400 Great Atlantic & Pacific
Tea Co. .................... 85,800
40,500 Hannaford Brothers, Co. ...... 2,986,875
6,600 J.C. Penney Co., Inc. ........ 98,175
12,800 Kmart Corp. 1 ................ 124,000
5,800 Kohls Corp. 1 ................ 594,500
21,700 Kroger Co. 1 ................. 381,107
8,200 Limited, Inc. ................ 345,425
5,100 Longs Drug Stores, Inc. ...... 116,025
5,100 Lowe's Cos., Inc. ............ 297,713
6,900 May Department Stores Co. .... 196,650
5,800 Nordstrom, Inc. .............. 171,100
6,700 Rite Aid Corp. ............... 36,850
12,700 Safeway, Inc. 1 .............. 574,675
13,600 Sears, Roebuck & Co. ......... 419,900
4,300 Sherwin-Williams Co. ......... 94,331
4,300 Tandy Corp. .................. 218,225
10,900 Target Corp. ................. 814,775
SHARES DESCRIPTION VALUE
11,400 Toys `R' Us, Inc. 1 .......... 168,863
114,800 Wal-Mart Stores, Inc. ........ 6,371,400
24,800 Walgreen Co. ................. 638,600
3,800 Winn Dixie Stores, Inc. ...... 73,863
-----------
18,485,559
-----------
STEEL - 0.0%
17,700 Bethlehem Steel 1 ............ 106,200
-----------
STORES OF VALUE - 0.4%
5,000 Leggett & Platt, Inc. ........ 107,500
8,600 Office Depot, Inc. 1 ......... 99,438
110,000 U.S. Foodservice, Inc. 1 ..... 2,832,500
-----------
3,039,438
-----------
TELECOMMUNICATIONS - 3.3%
9,100 ADC Telecommunications, Inc. 1 490,263
7,400 Alltel Corp. ................. 466,663
7,100 Andrew Corp. 1 ............... 162,413
70,700 AT&T Corp. ................... 3,976,875
2,700 Centurytel, Inc. ............. 100,238
25,400 Comcast Corp. - Class A ...... 1,101,725
2,100 Comverse Technology 1 ........ 396,900
4,025 Corning, Inc. ................ 780,850
13,800 Global Crossing Ltd. 1 ....... 564,937
1,300 IPC Communications 1 ......... 267,800
59,000 MCI WorldCom, Inc. 1 ......... 2,673,438
29,700 MediaOne Group 1 ............. 2,405,700
2,700 Netoptix Corp. ............... 463,725
10,300 Nextel Communications, Inc. -
Class A 1 .................. 1,526,975
2,600 Ortel Corp. .................. 487,988
19,460 Qualcomm, Inc. 1 ............. 2,905,622
39,100 Sprint Corp. ................. 2,463,300
21,700 Sprint PCS Group 1 ........... 1,417,281
11,600 Tellabs, Inc. 1 .............. 730,619
13,300 Viacom, Inc. - Class B 1 ..... 701,575
-----------
24,084,887
-----------
THE UBIQUITOUS SEMICONDUCTOR - 0.1%
5,780 Linear Technology Corp. ...... 317,900
6,000 Teradyne, Inc. 1 ............. 493,500
-----------
811,400
-----------
TIRE & RUBBER - 0.0%
1,900 Cooper Tire & Rubber Co. ..... 23,869
1,900 Goodrich (B.F.) Co. .......... 54,506
-----------
78,375
-----------
TOBACCO - 0.2%
3,300 Fortune Brands, Inc. ......... 82,500
60,000 Philip Morris Cos., Inc. ..... 1,267,500
8,700 UST, Inc. .................... 135,938
-----------
1,485,938
-----------
See Notes to Financial Statements.
--------------------------------------------------------------------------------
28
<PAGE>
Asset Management Portfolio
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 2000
SHARES DESCRIPTION VALUE
TRUCKING, SHIPPING - 0.1%
9,500 Fedex Corp. .................. $ 370,500
1,700 Ryder Systems, Inc. .......... 38,569
-----------
409,069
-----------
UTILITY - ELECTRIC - 0.8%
6,000 AES Corp.1 ................... 472,500
2,400 Ameren Corp. ................. 74,250
4,000 American Electric Power Co. .. 119,250
3,400 Carolina Power & Light Co. ... 110,288
4,900 Central & South West Corp. ... 83,606
3,200 Cinergy Corp. ................ 68,800
6,000 CMS Energy ................... 108,750
7,800 Consolidated Edison, Inc. .... 226,200
5,300 Constellation Energy Group,
Inc. ....................... 168,938
5,200 Dominion Resource ............ 199,875
5,100 DTE Energy Co. ............... 147,900
8,800 Duke Power Co. ............... 462,000
12,100 Edison International, Inc. ... 200,406
10,000 Entergy Corp. ................ 201,875
10,100 FirstEnergy Corp. ............ 208,313
5,300 Florida Progress Corp. ....... 243,138
5,800 FPL Group, Inc. .............. 267,163
2,000 GPU, Inc. .................... 54,750
4,900 Niagara Mohawk Power Corp. 1 . 66,150
1,800 New Century Energies, Inc. ... 54,112
4,000 Northern States Power Co. .... 79,500
7,500 PECO Energy .................. 276,563
12,000 PG&E Corp. ................... 252,000
1,000 Pinnacle West Capital Corp. .. 28,188
5,900 PPL Corp. .................... 123,531
7,200 Public Service Enterprise
Group, Inc. ................ 213,300
6,500 Reliant Energy ............... 152,345
19,400 Southern Co. ................. 421,950
6,100 Texas Utilities Co. .......... 181,094
6,800 Unicom Corp. ................. 248,200
4,100 United Water Resources, Inc. . 142,475
-----------
5,657,410
-----------
UTILITY - GAS, NATURAL GAS - 0.3%
7,900 Coastal Corp. ................ 363,400
1,600 Columbia Energy Group ........ 94,800
4,900 El Paso Energy Corp. ......... 197,838
18,000 Enron Corp. .................. 1,347,750
2,700 NICOR, Inc. .................. 88,931
2,700 ONEOK, Inc. .................. 67,500
2,500 People's Energy Corp. ........ 68,594
5,349 Sempra Energy ................ 89,596
-----------
2,318,409
-----------
UTILITY - TELEPHONE - 2.1%
39,400 Bell Atlantic Corp. .......... 2,408,325
47,800 BellSouth Corp. .............. 2,246,600
24,500 GTE Corp. .................... 1,739,500
PRINCIPAL
AMOUNT/
SHARES DESCRIPTION VALUE
73,330 Lucent Technologies, Inc. .... $ 4,454,798
90,800 SBC Communications, Inc. ..... 3,813,600
14,800 U.S. West, Inc. .............. 1,074,850
-----------
15,737,673
-----------
TOTAL COMMON STOCKS
(Cost $280,078,577) ................... 341,388,353
-----------
NON-CONVERTIBLE CORPORATE
DEBT - 6.1%
AEROSPACE - 0.5%
$3,940,000 Raytheon Co., 5.70%, 11/1/03 . 3,685,464
-----------
BANKS - 1.5%
3,890,000 FleetBoston Financial Corp.,
8.625%, 1/15/07 ............ 4,067,645
2,945,000 First Union Capital II,
7.95%, 11/15/29 ............ 2,831,888
1,480,000 First Union National,
6.50%, 12/1/28 ............. 1,202,496
710,000 PNC Funding Corp.,
6.125%, 2/15/09 ............ 634,813
1,855,000 Republic New York,
9.70%, 2/1/09 .............. 2,076,105
-----------
10,812,947
-----------
FINANCIAL SERVICES - 2.0%
4,200,000 Allstate Corp., 7.20%, 12/1/09 4,024,776
3,725,000 Bear Stearns Co., 7.625%,
12/7/09 .................... 3,635,492
635,000 Farmers Insurance Exchange,
8.625%, 5/1/24b ............ 649,659
Ford Motor Credit,
1,450,000 6.55%, 9/10/02 ............. 1,424,642
1,234,000 7.375%, 10/28/09 ........... 1,210,961
3,850,000 Frank Russell Co., 5.625%,
1/15/09 .................... 3,362,860
-----------
14,308,390
-----------
INDUSTRIAL - 1.2%
5,340,000 Air 2 US, 8.027%, 10/1/19 b .. 5,346,595
Archstone Communities,
390,000 6.37%, 10/15/01 ............ 381,087
1,165,000 7.00%, 10/29/01 ............ 1,148,275
2,000,000 ERAC USA Finance Co.,
6.95%, 3/1/04b ............. 1,943,772
260,000 Prologis Trust, 6.70%, 4/15/04 247,657
-----------
9,067,386
-----------
UTILITY - ELECTRIC - 0.9%
3,575,000 Enogex, Inc., 8.125%, 1/15/10 3,611,394
3,050,000 Nstar, 8.00%, 2/15/10 ........ 3,131,295
140,000 Potomac Edison, 8.00%, 6/1/24 138,189
-----------
6,880,878
-----------
TOTAL NON-CONVERTIBLE CORPORATE DEBT
(Cost $45,257,907) .................... 44,755,065
-----------
See Notes to Financial Statements.
--------------------------------------------------------------------------------
29
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SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 2000
PRINCIPAL
AMOUNT DESCRIPTION VALUE
ASSET-BACKED SECURITIES - 7.1%
$ 8,695,000 Citibank Credit Card Master
Trust I, 6.65%, 11/15/06 ... $ 8,490,015
Conseco Finance,
3,830,000 7.80%, 5/15/20 ............. 3,863,532
5,030,000 7.60%, 12/15/29 ............ 5,021,575
3,140,000 Felco Funding II, 7.72%,
12/15/05 b ................. 3,147,850
Green Point Manufactured Housing,
5,060,000 6.01%, 8/15/15 ............. 4,908,023
4,880,000 7.33%, 8/15/20 ............. 4,826,686
4,320,000 Household Automotive Trust IV,
7.48%, 12/18/06 ............ 4,369,529
3,735,000 Key Auto Finance, 5.83%,
1/15/07 .................... 3,632,568
MBNA Master Credit Card Trust,
5,500,000 6.60%, 11/15/04 ............ 5,448,163
5,100,000 7.00%, 2/15/12 ............. 5,025,260
3,600,000 Union Acceptance Corp.,
5.64%, 5/8/06 .............. 3,472,326
-----------
TOTAL ASSET-BACKED SECURITIES
(Cost $52,052,028) .................... 52,205,527
-----------
COLLATERALIZED MORTGAGE OBLIGATIONS - 2.8%
7,589,849 Bear Stearns Commercial Mortgage
Securities, 7.64%, 2/15/09 . 7,659,758
5,520,000 Chase Mortgage Finance Corp.,
6.75%, 10/25/28 ............ 5,122,456
Norwest Asset Securities Corp.,
2,880,000 6.50%, 3/26/29 ............. 2,616,350
5,130,000 7.25%, 12/25/29 ............ 4,973,766
-----------
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(Cost $20,250,352) .................... 20,372,330
-----------
PRINCIPAL
AMOUNT DESCRIPTION VALUE
FOREIGN DEBT - 0.1%
470,000 Kingdom of Sweden,
12.00%, 2/1/10 ............. 637,114
95,000 New Zealand Government,
10.625%, 11/15/05 .......... 111,477
-----------
TOTAL FOREIGN DEBT
(Cost $795,889) ....................... 748,591
-----------
MUNICIPAL BONDS - 3.4%
830,000 Connecticut State Development
Authority Revenue,
8.375%, 10/15/04 ........... 852,829
2,595,000 Delaware River Port Authority
PA &NJ, Series A,
7.27%, 1/1/07 .............. 2,582,323
1,560,000 Greater Kentucky Housing
Assistance Corp.Mortgage
Revenue, 7.20%, 2/1/06 ..... 1,536,542
5,340,000 Harrisburg, PA Housing Corp.
Mortgage Revenue, 10.00%,
7/15/24 ...................... 5,668,074
3,155,000 Lansing, MI Board Water &
Light Water Supply, Series B,
7.30%, 7/1/06 .............. 3,144,305
Multnomah County OR,
2,120,000 7.20%, 6/1/10 .............. 2,076,472
2,360,000 7.25%, 6/1/11 .............. 2,315,554
2,435,000 Ross County, OH Water Co.,Inc.
Water Revenue, 8.25%, 8/1/25 2,531,718
2,515,000 Suburban Hospital Healthcare
System,Inc.,
7.865%, 2/15/27 ............ 2,619,951
1,455,000 Wyandotte County, KN,
8.50%, 12/1/05 ............. 1,436,817
-----------
TOTAL MUNICIPAL BONDS
(Cost $24,776,370) .................... 24,764,585
-----------
See Notes to Financial Statements.
--------------------------------------------------------------------------------
30
<PAGE>
Asset Management Portfolio
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 2000
PRINCIPAL
AMOUNT DESCRIPTION VALUE
U.S. GOVERNMENT AND AGENCIES - 5.5%
$4,240,346 FGLMC, 6.50%, 4/1/29 ......... $ 3,982,918
2,357,935 FHLMC Pool #40465,
6.50%, 10/1/07 ............. 2,292,159
11,846,887 FHLMC, 7.00%, 6/1/09 ......... 11,670,784
5,160,000 FHLMC, 7.00%, 1/15/11 ........ 5,002,633
5,194,444 FHLMC, 6.00%, 3/15/29 ........ 4,814,704
3,990,000 FNMA Pool #382140, 7.03%,
1/25/07 .................... 3,935,378
1,887,496 FNMA Pool #323194, 6.361%,
7/1/08 ..................... 1,788,033
5,388,483 FNMA Pool #190750, 7.00%,
3/1/09 ..................... 5,308,026
1,917,300 FNMA Pool #381706, 6.26%,
6/1/09 ..................... 1,791,070
-----------
TOTAL U.S. GOVERNMENT AND AGENCIES
(Cost $41,113,639) .................... 40,585,705
-----------
U.S. TREASURY SECURITIES - 5.7%
6,110,000 U.S. Treasury Bond, 8.75%,
5/15/17 ................... 7,721,513
14,260,000 U.S. Treasury Bond, 8.125%,
8/15/19 ................... 17,334,813
10,999,000 U.S. Treasury Note, 6.625%,
3/31/02 ................... 11,019,623
3,105,000 U.S. Treasury Note, 7.875%,
11/15/04 .................. 3,289,359
2,060,000 U.S. Treasury Note, 6.00%,
8/15/09 ................... 2,034,250
-----------
TOTAL U.S. TREASURY SECURITIES
(Cost $40,300,131) 41,399,558
-----------
PRINCIPAL
AMOUNT DESCRIPTION VALUE
SHORT-TERM INSTRUMENTS - 20.2%
MUTUAL FUND - 16.6%
122,065,472 Institutional Cash Management
Fund ....................... 122,065,472
------------
U.S. TREASURY SECURITIES - 3.6%
$ 130,000 U.S. Treasury Bill, 4.71%,
4/6/00a ................... 129,943
6,200,000 U.S. Treasury Bill, 5.04%,
4/6/00a ................... 6,197,303
9,495,000 U.S. Treasury Bill, 5.10%,
4/6/00a ................... 9,490,870
150,000 U.S. Treasury Bill, 5.16%,
4/6/00a ................... 149,935
260,000 U.S. Treasury Bill, 5.36%,
4/6/00a ................... 259,887
10,000,000 U.S. Treasury Bill, 5.77%,
6/22/00 ................... 9,874,000
------------
26,101,938
------------
TOTAL SHORT-TERM INSTRUMENTS
(Cost $148,167,578) ................... 148,167,410
------------
TOTAL INVESTMENTS
(Cost $652,792,471) .......... 97.5% $714,387,124
OTHER ASSETS IN EXCESS OF
LIABILITIES ................... 2.5 18,630,211
----- ------------
NET ASSETS ...................... 100.0% $733,017,335
===== ============
--------------------------------------------------------------------------------
(1)Non-income producing security for the year ended March 31, 2000.
(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 institutions.
The following abbreviations are used in the portfolio description:
FNMA -- Federal National Mortgage Association
FGLMC -- Federal Government Loan Mortgage Corporation
FHLMC -- Federal Home Loan Mortgage Corporation
See Notes to Financial Statements.
--------------------------------------------------------------------------------
31
<PAGE>
Asset Management Portfolio II
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 2000
SHARES DESCRIPTION VALUE
COMMON STOCKS - 32.0%
ADVERTISING - 0.1%
750 Clear Channel Communications,
Inc. 1 ...................... $ 51,797
419 Omnicom Group, Inc. ........... 39,150
----------
90,947
----------
AEROSPACE - 0.3%
2,069 Boeing Co. .................... 78,493
471 Conexant Systems .............. 33,441
2,200 Cordant Technologies .......... 124,438
711 General Dynamics Corp. ........ 35,372
917 Lockheed Martin Corp. ......... 18,741
106 Northrop Grumman Corp. ........ 5,611
699 Raytheon Co. - Class B ........ 12,407
411 Rockwell International Corp. .. 17,185
----------
325,688
----------
AIRLINES - 0.1%
496 AMR Corp. 1 ................... 15,810
529 Delta Air Lines, Inc. ......... 28,169
1,195 Southwest Airlines Co. ........ 24,871
151 US Airways Group, Inc. 1 ...... 4,200
----------
73,050
----------
APPAREL, TEXTILES - 0.1%
489 Liz Claiborne, Inc. ........... 22,402
596 Nike, Inc. .................... 23,616
776 Reebok International Ltd. 1 ... 7,178
352 Springs Industries, Inc. -
Class A ..................... 13,376
218 V.F. Corp. .................... 5,246
----------
71,818
----------
AUTO RELATED - 0.4%
304 Autozone, Inc. 1 .............. 8,436
1 DaimlerChrysler AG 1 .......... 56
618 Dana Corp. .................... 17,420
1,873 Delphi Automotive Systems ..... 29,968
3,085 Ford Motor Co. ................ 141,717
1,653 General Motors Corp. .......... 136,889
352 Genuine Parts Co. ............. 8,404
462 Paccar, Inc. .................. 23,100
201 Parker-Hannifin Corp. ......... 8,304
481 Timken Co. .................... 7,816
----------
382,110
----------
BANKS - 1.3%
908 Amsouth Bancorp ............... 13,563
1,686 Bank of New York Co., Inc. .... 70,074
2,357 Bank One Corp. ................ 81,022
3,883 Bank of America Corp. ......... 203,629
535 BB&T Corp. .................... 15,013
1,949 Chase Manhattan Corp. ......... 169,928
725 Fifth Third Bancorp ........... 45,675
1,976 First Union Corp. ............. 73,606
SHARES DESCRIPTION VALUE
1,430 Fleet Boston Financial Corp. .. 52,195
292 Golden West Financial Corp. ... 9,107
548 Huntington Bancshares, Inc. ... 12,261
1,049 KeyCorp ....................... 19,931
1,083 Mellon Financial Corp. ........ 31,948
420 Morgan, (J.P.) & Co., Inc. .... 55,335
1,437 National City Corp. ........... 29,638
505 Northern Trust Corp. .......... 34,119
297 Southtrust Corp. .............. 7,555
364 Summit Bancorp ................ 9,555
752 Suntrust Banks, Inc. .......... 43,428
1,716 U.S. Bancorp .................. 37,538
565 Union Planters Corp. .......... 17,409
460 Wachovia Corp. ................ 31,079
599 Washington Mutual, Inc. ....... 15,873
3,906 Wells Fargo Co. ............... 159,902
----------
1,239,383
----------
BEVERAGES - 0.6%
1,021 Anheuser Busch Cos., Inc. ..... 63,557
107 Brown-Forman Corp. - Class B .. 5,825
5,861 Coca-Cola Co. ................. 275,101
1,325 Coca-Cola Enterprises, Inc. ... 28,570
3,432 PepsiCo, Inc. ................. 118,618
1,093 Seagram Co. Ltd. .............. 65,033
----------
556,704
----------
BUILDING & CONSTRUCTION - 0.4%
84 Armstrong World Industries, Inc. 1,501
130 Centex Corp. .................. 3,096
172 Crane Co. ..................... 4,053
5,440 Home Depot, Inc. .............. 350,880
96 Kaufman & Broad Home Corp. .... 2,058
1,049 Masco Corp. ................... 21,504
138 Owens Corning ................. 2,674
728 Stanley Works ................. 19,201
170 Vulcan Materials Co. .......... 7,788
----------
412,755
----------
BUILDING - FOREST PRODUCTS - 0.1%
416 Boise Cascade Corp. ........... 14,456
318 Georgia-Pacific Corp. ......... 12,581
158 Johnson Controls, Inc. ........ 8,542
273 Louisiana-Pacific Corp. ....... 3,788
385 Potlatch Corp. ................ 16,555
158 Weyerhaeuser Co. .............. 9,006
----------
64,928
----------
CHEMICALS & TOXIC WASTE - 0.4%
461 Air Products and Chemicals, Inc. 13,110
2,628 Du Pont (E.I.) de Nemours & Co. 138,955
143 Eastman Chemical Co. .......... 6,506
201 FMC Corp. 1 ................... 11,356
See Notes to Financial Statements.
--------------------------------------------------------------------------------
32
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Asset Management Portfolio II
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 2000
SHARES DESCRIPTION VALUE
45 Great Lakes Chemical Corp. .... $ 1,530
273 Hercules, Inc. ................ 4,402
1,128 Monsanto Co. .................. 58,092
385 PPG Industries, Inc. .......... 20,140
481 Rohm & Haas Co. ............... 21,465
1,401 Union Carbide Corp. ........... 81,696
187 W.R. Grace & Co. 1 ............ 2,373
----------
359,625
----------
CLIENT-SERVER COMPUTING - 0.1%
414 Adaptec, Inc. 1 ............... 15,991
525 Citrix Systems, Inc. 1 ........ 34,781
1,099 Compuware Corp. 1 ............. 23,148
380 Lexmark International Group, Inc. -
Class A ..................... 40,185
839 Peoplesoft, Inc. 1 ............ 16,780
----------
130,885
----------
COMPUTER - 1.4%
389 Apple Computer, Inc. 1 ........ 52,831
3,973 Compaq Computer Corp. ......... 105,781
6,257 Dell Computer Corp. 1 ......... 337,487
798 Gateway, Inc. 1 ............... 42,294
2,340 Hewlett-Packard Co. ........... 310,196
4,396 International Business Machines
Corp. ....................... 518,728
----------
1,367,317
----------
COMPUTER SERVICES - 2.0%
860 3Com Corp. 1 .................. 47,837
1,423 Automatic Data Processing, Inc. 68,660
630 Cabletron Systems, Inc. 1 ..... 18,467
2,291 Cendant Corp. 1 ............... 42,383
364 Ceridian Corp. 1 .............. 6,984
16,518 Cisco Systems, Inc. 1 ......... 1,277,048
499 Computer Sciences Corp. 1 ..... 39,483
1,054 Electronic Data Systems Corp. . 67,654
2,458 EMC Corp. 1 ................... 307,250
330 NCR Corp. 1 ................... 13,241
805 Parametric Technology Corp. 1 . 16,955
658 Seagate Technology, Inc. 1 .... 39,644
1,037 Silicon Graphics, Inc. 1 ...... 10,953
----------
1,956,559
----------
COMPUTER SOFTWARE - 2.3%
266 Adobe Systems, Inc. ........... 29,609
767 BMC Software, Inc. 1 .......... 37,871
1,229 Computer Associates International,
Inc. ........................ 72,741
12,639 Microsoft Corp. 1 ............. 1,342,894
728 Network Appliance, Inc. 1 ..... 60,242
6,983 Oracle Corp. 1 ................ 545,110
1,312 Yahoo!, Inc. 1 ................ 224,844
----------
2,313,311
----------
SHARES DESCRIPTION VALUE
CONTAINERS - 0.1%
613 Crown Cork & Seal Co., Inc. ... 9,808
393 Owens-Illinois, Inc. 1 ........ 6,632
330 Sealed Air Corp. 1 ............ 17,923
309 Temple Inland, Inc. ........... 15,392
----------
49,755
----------
COSMETICS & TOILETRIES - 0.1%
120 Alberto-Culver Co. - Class B .. 2,857
2,410 Gillette Co. .................. 90,827
163 International Flavors &
Fragrances, Inc. ............ 5,715
----------
99,399
----------
DIVERSIFIED - 0.3%
244 Allegheny Technologies ........ 4,895
203 Loews Corp. ................... 10,150
1,049 Minnesota Mining & Manufacturing
Co. ......................... 92,902
839 Pall Corp. .................... 18,825
297 Praxair, Inc. ................. 12,363
812 SuperValu, Inc. ............... 15,377
529 Textron, Inc. ................. 32,203
1,299 United Technologies Corp. ..... 82,081
----------
268,796
----------
DRUGS - 1.6%
2,805 American Home Products Corp. .. 150,418
434 Biogen, Inc. 1 ................ 30,326
4,724 Bristol-Myers Squibb Co. ...... 272,811
2,345 Lilly (Eli) & Co. ............. 147,735
5,651 Merck & Co., Inc. ............. 351,068
8,036 Pfizer, Inc. .................. 293,816
3,136 Schering-Plough Corp. ......... 115,248
2,453 Warner-Lambert Co. ............ 239,167
----------
1,600,589
----------
ELECTRICAL EQUIPMENT - 1.4%
948 Emerson Electric Co. .......... 50,125
7,917 General Electric Co. .......... 1,228,619
50 ITT Industries ................ 1,553
1,606 Solectron Corp. 1 ............. 64,340
158 W.W. Grainger, Inc. ........... 8,571
----------
1,353,208
----------
ELECTRONICS - 2.7%
525 Advanced Micro Devices, Inc. 1 29,958
971 Analog Devices, Inc. 1 ........ 78,226
1,864 Applied Materials, Inc. 1 ..... 175,705
8,026 Intel Corp. ................... 1,058,930
541 KLA-Tencor Corp. 1 ............ 45,579
764 LSI Logic Corp. 1 ............. 55,485
766 Micron Technology, Inc. 1 ..... 96,516
1,699 Motorola, Inc. ................ 241,895
See Notes to Financial Statements.
--------------------------------------------------------------------------------
33
<PAGE>
Asset Management Portfolio II
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 2000
SHARES DESCRIPTION VALUE
616 National Semiconductor Corp. 1. $ 37,345
3,424 Nortel Networks Corp. ......... 431,386
618 Scientific-Atlanta, Inc. ...... 39,204
1,861 Texas Instruments, Inc. ....... 297,760
409 Thermo Electron Corp. 1 ....... 8,333
805 Xilinx, Inc. 1 ................ 66,664
----------
2,662,986
----------
ENTERTAINMENT - 0.2%
4,886 Disney (Walt) Co. ............. 202,158
----------
ENVIRONMENTAL CONTROL - 0.0%
471 Allied Waste Industries, Inc.1 3,091
1,494 Waste Management, Inc. ........ 20,449
----------
23,540
----------
FINANCIAL SERVICES - 1.8%
1,104 American Express Co. .......... 164,427
1,281 Associates First Capital Corp. -
Class A ..................... 27,461
216 Bear Stearns Cos., Inc. ....... 9,855
408 Capital One Financial Corp. ... 19,558
956 Charles Schwab Corp. .......... 54,313
304 Cincinnati Financial Corp. .... 11,438
8,359 Citigroup ..................... 495,793
198 Countrywide Credit Industries, Inc. 5,395
2,312 Fannie Mae .................... 130,483
896 First Data Corp. .............. 39,648
2,362 Firstar Corp. ................. 54,178
529 Franklin Resources, Inc. ...... 17,688
1,157 Freddie Mac ................... 51,125
436 Hartford Financial Services
Group, Inc. ................. 22,999
999 Household International, Inc. . 37,275
494 Lehman Brothers, Inc. ......... 47,918
1,911 MBNA Corp. .................... 48,730
980 Merrill Lynch & Co., Inc. ..... 102,900
2,834 Morgan Stanley Dean Witter
Discover & Co. .............. 231,148
697 Paine Webber Group, Inc. ...... 30,668
666 PNC Bank Corp. ................ 30,012
505 Regions Financial Corp. ....... 11,520
261 SLM Holding Corp. ............. 8,695
364 State Street Corp. ............ 35,263
723 Synovus Financial Corp. ....... 13,647
676 T. Rowe Price Associates, Inc. 26,702
180 U.S. Trust Corp. .............. 34,020
----------
1,762,859
----------
FOOD SERVICES & LODGING - 0.1%
1,068 Darden Restaurants, Inc. ...... 19,024
3,162 McDonald's Corp. .............. 118,773
320 Tricon Global Restaurants, Inc.1 9,940
304 Wendy's International, Inc. ... 6,137
----------
153,874
----------
SHARES DESCRIPTION VALUE
FOODS - 0.3%
1,451 Archer-Daniels-Midland Co. .... 15,054
639 Bestfoods ..................... 29,913
764 Campbell Soup Co. ............. 23,493
1,444 ConAgra, Inc. ................. 26,173
668 General Mills, Inc. ........... 24,173
816 H.J. Heinz Co. ................ 28,458
666 Kellogg Co. ................... 17,066
742 Nabisco Group Holdings ........ 8,904
283 Quaker Oats Co. ............... 17,157
1,133 Ralston Purina Group .......... 31,016
2,235 Sara Lee Corp. ................ 40,230
740 Sysco Corp. ................... 26,409
1,026 Unilever NV ................... 49,376
249 Wrigley (Wm.), Jr. Co. ........ 19,126
----------
356,548
----------
HEALTHCARE - 0.8%
3,245 Abbott Laboratories ........... 114,183
273 Allergan, Inc. ................ 13,650
86 Bausch & Lomb, Inc. ........... 4,488
651 Biomet, Inc. .................. 23,680
963 Boston Scientific Corp. 1 ..... 20,524
333 C.R. Bard, Inc. ............... 12,883
601 Cardinal Health, Inc. ......... 27,571
1,310 Columbia/HCA Healthcare Corp. . 33,159
702 Guidant Corp. 1 ............... 41,286
2,000 HEALTHSOUTH Corp. 1 ........... 11,125
1,140 Humana, Inc.1 ................. 8,336
3,414 Johnson & Johnson ............. 239,193
853 Manor Care1 ................... 11,516
2,506 Medtronic, Inc. ............... 128,902
443 St. Jude Medical, Inc. 1 ...... 11,435
1,033 Tenet Healthcare Corp. 1 ...... 23,759
374 United Healthcare Corp. ....... 22,300
81 Wellpoint Health Networks 1 ... 5,660
----------
753,650
----------
HOSPITAL SUPPLIES & HEALTHCARE - 0.2%
684 Baxter International, Inc. .... 42,878
484 Becton Dickinson & Co. ........ 12,735
98 Mallinckrodt Group, Inc. ...... 2,817
3,950 Tyco International Ltd. ....... 197,006
----------
255,436
----------
HOTEL/MOTEL - 0.0%
842 Hilton Hotels Corp. ........... 6,525
501 Marriott International, Inc. .. 15,782
----------
22,307
----------
See Notes to Financial Statements.
--------------------------------------------------------------------------------
34
<PAGE>
Asset Management Portfolio II
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 2000
SHARES DESCRIPTION VALUE
HOUSEHOLD FURNISHINGS - 0.0%
606 Maytag Corp. .................. $ 20,074
130 Whirlpool Corp. ............... 7,621
----------
27,695
----------
HOUSEHOLD PRODUCTS - 0.3%
237 Avery Dennison Corp. .......... 14,472
491 Clorox Co. .................... 15,958
1,327 Colgate-Palmolive Co. ......... 74,810
3,131 Procter & Gamble Co. .......... 176,119
146 Tupperware Corp. .............. 2,309
----------
283,668
----------
INSURANCE - 0.8%
266 Aetna, Inc. ................... 14,813
591 Aflac, Inc. ................... 26,927
997 Allstate Corp. ................ 23,741
546 American General Corp. ........ 30,644
3,756 American International Group, Inc. 411,282
395 Chubb Corp. ................... 26,687
429 CIGNA Corp. ................... 32,497
743 Conseco, Inc. ................. 8,498
448 Jefferson-Pilot Corp. ......... 29,820
385 Lincoln National Corp. ........ 12,898
542 Marsh and McLennan ............ 59,789
172 MBIA, Inc. .................... 8,955
525 MGIC Investment Corp. ......... 22,903
130 Providian Financial Corp. ..... 11,261
544 Safeco ........................ 14,450
500 St. Paul Cos., Inc. ........... 17,063
292 Torchmark Corp. ............... 6,753
613 Unumprovident Corp. ........... 10,421
----------
769,402
----------
LIFE ON THE NET - 0.4%
5,490 America Online, Inc. 1 ........ 369,202
----------
LEISURE RELATED - 0.4%
130 American Greetings Corp. - Class A 2,373
747 Brunswick Corp. ............... 14,146
1,011 Carnival Corp. - Class A ...... 25,085
335 Harley-Davidson, Inc. ......... 26,591
603 Harrah's Entertainment, Inc. 1. 11,193
1,028 Hasbro, Inc. .................. 16,962
4,220 Jostens, Inc. ................. 102,863
989 Mattel, Inc. .................. 10,323
9,994 Mirage Resorts, Inc. 1 ........ 193,634
370 Sabre Group Holdings, Inc. .... 13,667
----------
416,837
----------
LIFE SCIENCES REVOLUTION - 0.0%
484 Pe Corp. - Pe Biosystems Group 46,706
-----------
SHARES DESCRIPTION VALUE
MACHINERY - 0.2%
127 Black & Decker Corp. .......... 4,770
371 Briggs & Stratton Corp. ....... 15,257
1,026 Caterpillar, Inc. ............. 40,463
476 Deere & Co. ................... 18,088
814 Dover Corp. ................... 38,970
713 Illinois Tool Works, Inc. ..... 39,393
47 Millipore Corp. ............... 2,653
359 Navistar International Corp. 1 14,405
65 Snap-On Tools Corp. ........... 1,702
234 TRW, Inc. ..................... 13,689
----------
189,390
----------
MANAGING THE INFORMATION AGE - 0.1%
730 Veritas Software Corp. 1 ...... 95,630
----------
MANUFACTURING - 0.1%
101 Cooper Industries, Inc. ....... 3,535
280 Danaher Corp. ................. 14,280
1,837 Honeywell International, Inc. . 96,787
----------
114,602
----------
MEDIA - 0.1%
2,359 CBS Corp. 1 ................... 133,578
----------
MEDICAL BIOTECHNOLOGY - 0.2%
2,501 Amgen, Inc. 1 ................. 153,499
----------
METALS - 0.2%
791 Alcan Aluminium Ltd. .......... 26,795
84 Alcoa, Inc. ................... 5,901
328 Engelhard Corp. ............... 4,961
775 Freeport-McMoRan Copper & Gold,
Inc. - Class B .............. 9,348
673 Homestake Mining Co. .......... 4,038
795 Inco, Ltd. .................... 14,558
325 Newmont Mining Corp. .......... 7,292
239 Nucor Corp. ................... 11,950
120 Phelps Dodge Corp. ............ 5,700
745 Placer Dome, Inc. ............. 6,053
971 Reynolds Metals Co. ........... 64,936
141 USX - U.S. Steel Group ........ 3,525
1,016 Worthington Industries, Inc. .. 12,573
----------
177,630
----------
METALS & MINING - 0.0%
903 Barrick Gold Corp. ............ 14,166
----------
MOVE TO OUTSOURCING - 0.0%
771 Paychex, Inc. ................. 40,381
295 Quintiles Transnational Corp. 1 5,033
----------
45,414
----------
See Notes to Financial Statements.
--------------------------------------------------------------------------------
35
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Asset Management Portfolio II
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 2000
SHARES DESCRIPTION VALUE
NEW CONSUMER - 0.0%
1,349 Staples, Inc. 1 ............... $ 26,980
795 TJX Cos., Inc. ................ 17,639
----------
44,619
----------
NEW HEALTH CARE PARADIGM - 0.0%
587 McKesson Hboc, Inc. ........... 12,327
218 Watson Pharmaceuticals 1 ...... 8,652
----------
20,979
----------
OFFICE EQUIPMENT & COMPUTERS - 0.5%
93 Autodesk, Inc. ................ 4,232
374 Ikon Office Solutions, Inc. ... 2,314
930 Novell, Inc. 1 ................ 26,621
618 Pitney Bowes, Inc. ............ 27,617
3,766 Sun Microsystems, Inc. 1 ...... 352,886
880 Unisys Corp. 1 ................ 22,440
1,059 Xerox Corp. ................... 27,534
----------
463,644
----------
OIL - DOMESTIC - 0.1%
678 Atlantic Richfield Co. ........ 57,630
438 Burlington Resources, Inc. .... 16,206
434 Pactiv Corp. 1 ................ 3,798
572 Phillips Petroleum Co. ........ 26,455
635 Union Pacific Resources Group, Inc. 9,208
489 Unocal Corp. .................. 14,548
----------
127,845
----------
OIL - INTERNATIONAL - 1.2%
1,694 Chevron Corp. ................. 156,589
1,461 Conoco, Inc. - Class B ........ 37,438
8,455 Exxon Mobil Corp. ............. 657,905
5,130 Royal Dutch Petroleum Co. ..... 295,296
1,216 Texaco, Inc. .................. 65,208
234 Tosco Corp. ................... 7,122
----------
1,219,558
----------
OIL EQUIPMENT & SERVICES - 0.1%
193 Apache Corp. .................. 9,602
1,255 Schlumberger Ltd. ............. 96,008
428 Transocean Sedco .............. 21,982
----------
127,592
----------
OIL SERVICE - DOMESTIC - 0.1%
76 Fluor Corp. ................... 2,356
935 Halliburton Co. ............... 38,335
371 USX Marathon Group ............ 9,669
----------
50,360
----------
PAPER - 0.1%
455 Fort James Corp. .............. 10,010
1,241 Kimberly Clark Corp. .......... 69,496
SHARES DESCRIPTION VALUE
127 Mead Corp. .................... 4,437
405 Molex, Inc. ................... 23,764
666 Westvaco Corp. ................ 22,228
----------
129,935
----------
PAPER & FOREST PRODUCTS - 0.1%
177 Champion International Corp. .. 9,425
1,162 International Paper Co. ....... 49,676
184 Willamette Industries, Inc. ... 7,383
----------
66,484
----------
PETROLEUM PRODUCTS - 0.1%
17 Arch Coal, Inc. ............... 121
70 Ashland, Inc. ................. 2,341
747 Baker Hughes, Inc. ............ 22,597
922 Williams Cos., Inc. ........... 40,510
----------
65,569
----------
PETROLEUM RELATED - 0.1%
460 Amerada Hess Corp. ............ 29,728
166 Kerr-McGee Corp. .............. 9,587
1,109 Occidental Petroleum Corp. .... 23,012
505 Rowan Cos., Inc. 1 ............ 14,866
136 Sunoco, Inc. .................. 3,723
----------
80,916
----------
PHARMACEUTICALS - 0.1%
223 ALZA Corp.1 ................... 8,376
1,122 Pharmacia & Upjohn, Inc. ...... 66,479
----------
74,855
----------
PHOTO EQUIPMENT & SUPPLIES - 0.0%
891 Eastman Kodak Co. ............. 48,392
----------
PRINTING & PUBLISHING - 0.5%
101 Deluxe Corp. .................. 2,677
268 Donnelley (R.R.) & Sons Co. ... 5,611
172 Dow Jones & Co., Inc. ......... 12,352
653 Gannett Co., Inc. ............. 45,955
388 Knight-Ridder, Inc. ........... 19,764
738 McGraw-Hill Cos., Inc. ........ 33,579
359 New York Times Co. - Class A .. 15,415
3,054 Time Warner, Inc. ............. 305,400
91 Times Mirror Co. - Class A .... 8,457
500 Tribune Co. ................... 18,281
----------
467,491
----------
PROFESSIONAL SERVICES - 0.1%
184 Ecolab, Inc. .................. 6,751
465 H & R Block, Inc. ............. 20,809
81 Harcourt General, Inc. ........ 3,017
642 Interpublic Group of Cos., Inc. 30,335
309 National Service Industries, Inc. 6,508
See Notes to Financial Statements.
--------------------------------------------------------------------------------
36
<PAGE>
Asset Management Portfolio II
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 2000
SHARES DESCRIPTION VALUE
249 Perkinelmer, Inc. ............. $ 16,559
697 Service Corp. International ... 2,091
----------
86,070
----------
RAILROADS - 0.1%
949 Burlington Northern Santa Fe .. 20,997
862 CSX Corp. ..................... 20,257
232 Kansas City Southern Industries,
Inc. ........................ 19,938
875 Norfolk Southern Corp. ........ 12,578
577 Union Pacific Corp. ........... 22,575
----------
96,345
----------
RE-ENERGIZING AMERICA - 0.0%
388 Young & Rubicam ............... 18,236
----------
REAL ESTATE - 0.0%
795 Pulte Corp. ................... 16,596
----------
RETAIL - 1.7%
345 Albertson's, Inc. ............. 10,695
500 Bed, Bath & Beyond, Inc. 1 .... 19,688
635 Best Buy, Inc.1 ............... 54,610
403 Circuit City Stores, Inc. ..... 24,533
1,064 Consolidated Stores Corp. 1 ... 12,103
1,169 Costco Wholesale Corp. 1 ...... 61,446
440 CVS Corp. ..................... 16,528
280 Dillard Department Stores, Inc. -
Class A .................... 4,603
632 Dollar General Corp. .......... 16,985
716 Federated Department Stores,
Inc. 1 ...................... 29,893
2,017 Gap, Inc. ..................... 100,472
440 Great Atlantic & Pacific Tea Co. 8,580
3,600 Hannaford Brothers, Co. ....... 265,500
661 J.C. Penney Co., Inc. ......... 9,834
1,164 Kmart Corp. 1 ................. 11,276
482 Kohls Corp. 1 ................. 49,405
2,035 Kroger Co. 1 .................. 35,740
812 Limited, Inc. ................. 34,206
515 Longs Drug Stores, Inc. ....... 11,716
507 Lowe's Cos., Inc. ............. 29,596
682 May Department Stores Co. ..... 19,437
570 Nordstrom, Inc. ............... 16,815
666 Rite Aid Corp. ................ 3,663
1,143 Safeway, Inc. 1 ............... 51,721
1,246 Sears, Roebuck & Co. .......... 38,470
421 Sherwin-Williams Co. .......... 9,236
411 Tandy Corp. ................... 20,858
973 Target Corp. .................. 72,732
1,028 Toys `R' Us, Inc. 1 ........... 15,227
10,630 Wal-Mart Stores, Inc. ......... 589,965
2,349 Walgreen Co. .................. 60,487
376 Winn Dixie Stores, Inc. ....... 7,309
----------
1,713,329
----------
SHARES DESCRIPTION VALUE
STEEL - 0.0%
1,645 Bethlehem Steel 1 ............. 9,870
----------
STORES OF VALUE - 0.3%
505 Leggett & Platt, Inc. ......... 10,858
750 Office Depot, Inc. 1 .......... 8,672
9,900 U.S. Foodservice, Inc. 1 ...... 254,925
----------
274,455
----------
TELECOMMUNICATIONS - 2.2%
803 ADC Telecommunications, Inc. 1 43,262
733 Alltel Corp. .................. 46,225
699 Andrew Corp. 1 ................ 15,990
6,575 AT&T Corp. .................... 369,844
261 Centurytel, Inc. .............. 9,690
2,307 Comcast Corp. - Class A ....... 100,066
213 Comverse Technology 1 ......... 40,257
308 Corning, Inc. ................. 59,752
1,269 Global Crossing Ltd. 1 ........ 51,949
133 IPC Communications 1 .......... 27,398
5,425 MCI WorldCom, Inc. 1 .......... 245,820
2,723 MediaOne Group 1 .............. 220,563
263 Netoptix Corp. ................ 45,170
911 Nextel Communications, Inc. -
Class A 1 ................... 135,056
168 Ortel Corp. ................... 31,532
1,826 Qualcomm, Inc. 1 .............. 272,645
3,647 Sprint Corp. .................. 229,761
2,035 Sprint PCS Group 1 ............ 132,911
1,039 Tellabs, Inc. 1 ............... 65,441
1,219 Viacom, Inc. - Class B 1 ...... 64,302
----------
2,207,634
----------
THE UBIQUITOUS SEMICONDUCTOR - 0.1%
525 Linear Technology Corp. ....... 28,875
496 Teradyne, Inc. 1 .............. 40,796
----------
69,671
----------
TIRE & RUBBER - 0.0%
194 Cooper Tire & Rubber Co. ...... 2,437
187 Goodrich (B.F.) Co. ........... 5,365
----------
7,802
----------
TOBACCO - 0.1%
318 Fortune Brands, Inc. .......... 7,950
5,531 Philip Morris Cos., Inc. ...... 116,842
753 UST, Inc. ..................... 11,766
----------
136,558
----------
TRUCKING, SHIPPING - 0.0%
831 Fedex Corp. ................... 32,409
166 Ryder Systems, Inc. ........... 3,766
----------
36,175
----------
See Notes to Financial Statements.
--------------------------------------------------------------------------------
37
<PAGE>
Asset Management Portfolio II
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 2000
SHARES DESCRIPTION VALUE
UTILITY - ELECTRIC - 0.6%
598 AES Corp. 1 ................... $ 47,093
229 Ameren Corp. .................. 7,085
385 American Electric Power Co. ... 11,478
325 Carolina Power & Light Co. .... 10,542
486 Central & South West Corp. .... 8,292
309 Cinergy Corp. ................. 6,644
593 CMS Energy .................... 10,748
771 Consolidated Edison, Inc. ..... 22,359
529 Constellation Energy Group, Inc. 16,862
521 Dominion Resource ............. 20,026
515 DTE Energy Co. ................ 14,935
766 Duke Power Co. ................ 40,215
1,097 Edison International, Inc. .... 18,169
889 Entergy Corp. ................. 17,947
893 FirstEnergy Corp. ............. 18,418
531 Florida Progress Corp. ........ 24,360
572 FPL Group, Inc. ............... 26,348
197 GPU, Inc. ..................... 5,393
175 New Century Energies, Inc. .... 5,261
481 Niagara Mohawk Power Corp. 1 .. 6,494
393 Northern States Power Co. ..... 7,811
747 PECO Energy ................... 27,546
1,085 PG&E Corp. .................... 22,785
98 Pinnacle West Capital Corp. ... 2,762
587 PPL Corp. ..................... 12,290
709 Public Service Enterprise Group,
Inc. ........................ 21,004
644 Reliant Energy ................ 15,094
1,816 Southern Co. .................. 39,498
603 Texas Utilities Co. ........... 17,902
673 Unicom Corp. .................. 24,565
400 United Water Resources, Inc. .. 13,900
----------
543,826
----------
UTILITY - GAS, NATURAL GAS - 0.2%
783 Coastal Corp. ................. 36,018
152 Columbia Energy Group ......... 9,006
484 El Paso Energy Corp. .......... 19,542
1,671 Enron Corp. ................... 125,116
261 NICOR, Inc. ................... 8,597
266 ONEOK, Inc. ................... 6,650
244 People's Energy Corp. ......... 6,695
528 Sempra Energy ................. 8,844
----------
220,468
----------
PRINCIPAL
AMOUNT/
SHARES DESCRIPTION VALUE
UTILITY - TELEPHONE - 1.5%
3,696 Bell Atlantic Corp. ........... 225,918
4,418 BellSouth Corp. ............... 207,646
2,318 GTE Corp. ..................... 164,578
6,843 Lucent Technologies, Inc. ..... 415,712
8,457 SBC Communications, Inc. ...... 355,194
1,361 U.S. West, Inc. ............... 98,843
----------
1,467,891
----------
TOTAL COMMON STOCKS
(Cost $25,448,098) ..................... 31,640,769
----------
NON-CONVERTIBLE CORPORATE
DEBT - 7.3%
AEROSPACE - 0.7%
$ 720,000 Raytheon Co., 5.70%, 11/1/03 .. 673,486
----------
BANKS - 1.9%
535,000 First Union Capital II,
7.95%, 11/15/29 ............. 514,452
265,000 First Union National,
6.50%, 12/1/28 .............. 215,312
745,000 FleetBoston Financial Corp.,
8.625%, 1/15/07 ............. 779,022
335,000 Republic New York,
9.70%, 2/1/09 ............... 374,930
----------
1,883,716
----------
FINANCIAL SERVICES - 2.5%
775,000 Allstate Corp., 7.20%, 12/1/09 742,667
150,000 American Express Master Trust,
5.375%, 7/15/01 ............. 149,168
725,000 Bear Stearns Co., 7.625%, 12/7/09 707,579
150,000 Farmers Insurance Exchange,
8.625%, 5/1/24b ............. 153,463
55,000 Ford Motor Credit Co.,
6.55%, 9/10/02 .............. 54,038
725,000 Frank Russell Co., 5.625%,
1/15/09 ..................... 633,266
----------
2,440,181
----------
INDUSTRIAL - 1.4%
1,050,000 Air 2 US, 8.027%, 10/1/19b .... 1,051,297
Archstone Communities,
75,000 6.37%, 10/15/01 ............. 73,286
225,000 7.00%, 10/29/01 ............. 221,770
80,000 Prologis Trust, 6.70%, 4/15/04 76,202
----------
1,422,555
----------
See Notes to Financial Statements.
--------------------------------------------------------------------------------
38
<PAGE>
Asset Management Portfolio II
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 2000
PRINCIPAL
AMOUNT DESCRIPTION VALUE
UTILITY - ELECTRIC - 0.8%
$ 675,000 Enogex Inc., 8.125%, 1/15/10 .. $ 681,872
60,000 Potomac Edison, 8.00%, 6/1/24 . 59,224
----------
741,096
----------
TOTAL NON-CONVERTIBLE CORPORATE DEBT
(Cost $7,265,260) ...................... 7,161,034
----------
ASSET-BACKED SECURITIES - 10.4%
680,000 American Express Master Trust,
7.85%, 8/15/05 .............. 695,337
740,000 Americredit Automobile Receivables
Trust, 5.88%, 12/12/05 ...... 720,719
1,815,000 Citibank Credit Card Master
Trust I, 6.65%, 11/15/06 .... 1,772,211
Conseco Finance,
690,000 7.80%, 5/15/20 .............. 696,041
890,000 7.60%, 12/15/29 ............. 888,509
560,000 Felco Funding II, 7.72%,
12/15/05b ................... 561,400
Green Point Manufactured Housing,
980,000 6.01%, 8/15/15 .............. 950,566
890,000 7.33%, 8/15/20 .............. 880,277
715,000 Key Auto Finance, 5.83%, 1/15/07 695,391
MBNA Master Credit Card Trust,
1,000,000 6.60%, 11/15/04 ............. 990,575
805,000 7.00%, 2/15/12 .............. 793,203
690,000 Union Acceptance Corp.,
5.64%, 5/8/06 ............... 665,529
----------
TOTAL ASSET-BACKED SECURITIES
(Cost $10,295,677) ..................... 10,309,758
----------
COLLATERALIZED MORTGAGE OBLIGATIONS - 3.6%
1,200,232 Bear Stearns Commercial Mortgage
Securities, 7.64%, 2/15/09 .. 1,211,287
990,000 Chase Mortgage Finance Corp.,
6.75%, 10/25/28 ............. 918,701
Norwest Asset Securities Corp.,
540,000 6.50%, 3/26/29 .............. 490,566
980,000 7.25%, 12/25/29 ............. 950,154
----------
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(Cost $3,549,562) ...................... 3,570,708
----------
FOREIGN DEBT - 0.4%
150,000 Kingdom of Sweden,
12.00%, 2/1/10 .............. 203,334
New Zealand Government,
65,000 10.625%, 11/15/05 ........... 76,273
125,000 8.75%, 12/15/06 ............. 137,829
----------
TOTAL FOREIGN DEBT
(Cost $432,033) ........................ 417,436
----------
PRINCIPAL
AMOUNT DESCRIPTION VALUE
MUNICIPAL BONDS - 5.0%
500,000 Delaware River Port Authority PA&NJ,
7.27%, 1/1/07 ............... 497,558
1,025,000 Harrisburg, PA Housing Corp.
Mortgage Revenue, 10.00%,
7/15/24 ..................... 1,087,973
535,000 Hillsborough County, FLFuel Tax
Revenue, 6.00%, 12/1/11 ..... 476,311
605,000 Lansing, MI BoardWater &Light
Water Supply, Series B,
7.30%, 7/1/06 ............... 602,949
Multnomah County, OR,
385,000 7.20%, 6/1/10 ............... 377,095
430,000 7.25%, 6/1/11 ............... 421,902
445,000 Ross County, OHWater Co., Inc.
Water Revenue, 8.25%, 8/1/25 462,675
480,000 Suburban Hospital Healthcare
Systems, Inc., 7.865%, 2/15/27 500,030
610,000 Virginia State Housing Development
Authority, Series A, 6.51%,
5/1/19 ...................... 543,351
----------
TOTAL MUNICIPAL BONDS
(Cost $4,949,626) 4,969,844
----------
U.S. GOVERNMENT AND AGENCIES - 9.4%
959,354 FGLMC, 6.50%, 4/1/29 .......... 901,113
2,698,294 FGLMC, 6.50%, 7/1/29 .......... 2,534,482
2,215,732 FHLMC, 7.00%, 6/1/09 .......... 2,182,795
919,946 FHLMC, 6.00%, 3/15/29 ......... 852,694
765,000 FNMA, Pool #382140, 7.03%, 1/25/07 754,527
710,875 FNMA, Pool #323194, 6.361%, 7/1/08 673,415
968,787 FNMA, Pool #190750, 7.00%, 3/1/09 954,321
402,688 FNMA, Pool #303981, 7.00%, 10/1/09 396,675
----------
TOTAL U.S. GOVERNMENT AND AGENCIES
(Cost $9,393,675) ...................... 9,250,022
----------
U.S. TREASURY SECURITIES - 6.8%
3,717,000 U.S. Treasury Bond, 8.125%,
8/15/19 .................... 4,518,478
1,961,000 U.S. Treasury Note, 6.625%,
3/31/02 .................... 1,964,677
10,000 U.S. Treasury Note, 6.00%,
8/15/09 .................... 9,875
239,000 U.S. Treasury Note, 7.875%,
11/15/04 ................... 253,191
----------
TOTAL U.S. TREASURY SECURITIES
(Cost $6,561,765) ...................... 6,746,221
----------
See Notes to Financial Statements.
--------------------------------------------------------------------------------
39
<PAGE>
Asset Management Portfolio II
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 2000
PRINCIPAL
AMOUNT/
SHARES DESCRIPTION VALUE
SHORT-TERM INSTRUMENTS - 22.1%
MUTUAL FUND - 10.8%
10,615,241 Institutional Cash Management
Fund ........................ $10,615,241
-----------
U.S. TREASURY SECURITIES - 11.3%
$ 210,000 U.S. Treasury Bill, 5.04%,
4/6/00a .................... 209,909
600,000 U.S. Treasury Bill, 5.05%,
4/6/00a .................... 599,739
1,490,000 U.S. Treasury Bill, 5.10%,
4/6/00a .................... 1,489,352
9,000,000 U.S. Treasury Bill, 5.77%,
6/22/00 .................... 8,886,600
-----------
11,185,600
-----------
TOTAL SHORT-TERM INSTRUMENTS
(Cost $21,799,566) ..................... 21,800,841
-----------
TOTAL INVESTMENTS
(Cost $89,695,802) ............. 97.0% $95,866,633
OTHER ASSETS IN EXCESS OF LIABILITIES 3.0 2,961,209
----- -----------
NET ASSETS ........................ 100.0% $98,827,842
===== ===========
--------------------------------------------------------------------------------
(1)Non-income producing security for the year ended March 31, 2000.
(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 institutions.
The following abbreviations are used in the portfolio description:
FNMA -- Federal National Mortgage Association
FGLMC -- Federal Government Loan Mortgage Corporation
FHLMC -- Federal Home Loan Mortgage Corporation
See Notes to Financial Statements.
--------------------------------------------------------------------------------
40
<PAGE>
Asset Management Portfolio III
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 2000
SHARES DESCRIPTION VALUE
COMMON STOCKS - 13.2%
ADVERTISING - 0.1%
138 Clear Channel Communications,
Inc. 1 ..................... $ 9,531
68 Omnicom Group, Inc. .......... 6,354
----------
15,885
----------
AEROSPACE - 0.1%
345 Boeing Co. ................... 13,088
77 Conexant Systems ............. 5,467
300 Cordant Technologies ......... 16,969
116 General Dynamics Corp. ....... 5,771
165 Lockheed Martin Corp. ........ 3,372
17 Northrop Grumman Corp. ....... 900
114 Raytheon Co. - Class B ....... 2,023
67 Rockwell International Corp. . 2,801
----------
50,391
----------
AIRLINES - 0.0%
81 AMR Corp. 1 .................. 2,582
86 Delta Air Lines, Inc. ........ 4,579
210 Southwest Airlines Co. ....... 4,371
25 US Airways Group, Inc. 1 ..... 695
----------
12,227
----------
APPAREL, TEXTILES - 0.0%
79 Liz Claiborne, Inc. .......... 3,619
97 Nike, Inc. ................... 3,844
142 Reebok International Ltd. 1 .. 1,313
57 Springs Industries, Inc. - Class A 2,166
35 V.F. Corp. ................... 842
----------
11,784
----------
AUTO RELATED - 0.2%
49 Autozone, Inc. 1 ............. 1,360
100 Dana Corp. ................... 2,819
320 Delphi Automotive Systems .... 5,120
534 Ford Motor Co. ............... 24,531
285 General Motors Corp. ......... 23,602
57 Genuine Parts Co. ............ 1,361
75 Paccar, Inc. ................. 3,750
33 Parker-Hannifin Corp. ........ 1,363
78 Timken Co. ................... 1,267
----------
65,173
----------
BANKS - 0.5%
164 Amsouth Bancorp .............. 2,450
290 Bank of New York Co., Inc. ... 12,053
415 Bank One Corp. ............... 14,266
580 Bank of America Corp. ........ 30,405
87 BB&T Corp. ................... 2,441
233 Chase Manhattan Corp. ........ 20,315
118 Fifth Third Bancorp .......... 7,434
337 First Union Corp. ............ 12,553
SHARES DESCRIPTION VALUE
249 Fleet Boston Financial Corp. . 9,088
47 Golden West Financial Corp. .. 1,466
89 Huntington Bancshares, Inc. .. 1,991
187 KeyCorp ...................... 3,553
192 Mellon Financial Corp. ....... 5,664
84 Morgan, (J.P.) & Co., Inc. ... 11,067
250 National City Corp. .......... 5,156
82 Northern Trust Corp. ......... 5,540
48 Southtrust Corp. ............. 1,221
59 Summit Bancorp ............... 1,549
122 Suntrust Banks, Inc. ......... 7,045
295 U.S. Bancorp ................. 6,453
92 Union Planters Corp. ......... 2,835
75 Wachovia Corp. ............... 5,067
97 Washington Mutual, Inc. ...... 2,570
567 Wells Fargo Co. .............. 23,212
----------
195,394
----------
BEVERAGES - 0.3%
182 Anheuser Busch Cos., Inc. .... 11,329
18 Brown-Forman Corp. - Class B . 980
917 Coca-Cola Co. ................ 43,042
231 Coca-Cola Enterprises, Inc. .. 4,981
490 PepsiCo, Inc. ................ 16,936
194 Seagram Co. Ltd. ............. 11,543
----------
88,811
----------
BUILDING & CONSTRUCTION - 0.2%
14 Armstrong World Industries, Inc. 250
21 Centex Corp. ................. 500
28 Crane Co. .................... 660
849 Home Depot, Inc. ............. 54,760
16 Kaufman & Broad Home Corp. ... 343
187 Masco Corp. .................. 3,833
23 Owens Corning ................ 446
118 Stanley Works ................ 3,112
28 Vulcan Materials Co. ......... 1,283
----------
65,187
----------
BUILDING - FOREST PRODUCTS - 0.0%
68 Boise Cascade Corp. .......... 2,363
52 Georgia-Pacific Corp. ........ 2,057
26 Johnson Controls, Inc. ....... 1,406
44 Louisiana-Pacific Corp. ...... 610
63 Potlatch Corp. ............... 2,709
26 Weyerhaeuser Co. ............. 1,482
----------
10,627
----------
CHEMICALS & TOXIC WASTE - 0.2%
75 Air Products and Chemicals, Inc. 2,133
459 Du Pont (E.I.) de Nemours & Co. 24,270
See Notes to Financial Statements.
--------------------------------------------------------------------------------
41
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Asset Management Portfolio III
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 2000
SHARES DESCRIPTION VALUE
23 Eastman Chemical Co. ......... $ 1,046
33 FMC Corp. 1 .................. 1,864
7 Great Lakes Chemical Corp. ... 238
44 Hercules, Inc. ............... 709
200 Monsanto Co. ................. 10,300
63 PPG Industries, Inc. ......... 3,296
78 Rohm & Haas Co. .............. 3,481
244 Union Carbide Corp. .......... 14,228
30 W.R. Grace & Co. 1 ........... 381
----------
61,946
----------
CLIENT-SERVER COMPUTING - 0.1%
67 Adaptec, Inc. 1 .............. 2,588
85 Citrix Systems, Inc. 1 ....... 5,631
195 Compuware Corp. 1 ............ 4,107
62 Lexmark International Group,
Inc. - Class A ............. 6,556
152 Peoplesoft, Inc. 1 ........... 3,040
----------
21,922
----------
COMPUTER - 0.6%
79 Apple Computer, Inc. 1 ....... 10,729
594 Compaq Computer Corp. ........ 15,815
981 Dell Computer Corp. 1 ........ 52,913
146 Gateway, Inc. 1 .............. 7,738
315 Hewlett-Packard Co. .......... 41,757
663 International Business Machines
Corp. ...................... 78,234
----------
207,186
----------
COMPUTER SERVICES - 0.8%
156 3Com Corp. 1 ................. 8,677
247 Automatic Data Processing, Inc. 11,918
102 Cabletron Systems, Inc. 1 .... 2,990
404 Cendant Corp. 1 .............. 7,474
59 Ceridian Corp. 1 ............. 1,132
2,562 Cisco Systems, Inc. 1 ........ 198,075
81 Computer Sciences Corp. 1 .... 6,409
187 Electronic Data Systems Corp. 12,003
332 EMC Corp. 1 .................. 41,500
54 NCR Corp. 1 .................. 2,167
147 Parametric Technology Corp. 1 3,096
107 Seagate Technology, Inc. 1 ... 6,447
185 Silicon Graphics, Inc. 1 ..... 1,954
----------
303,842
----------
COMPUTER SOFTWARE - 1.0%
43 Adobe Systems, Inc. .......... 4,786
124 BMC Software, Inc. 1 ......... 6,122
216 Computer Associates International,
Inc. ....................... 12,784
1,983 Microsoft Corp. 1 ............ 210,694
SHARES DESCRIPTION VALUE
134 Network Appliance, Inc. 1 .... 11,088
1,115 Oracle Corp. 1 ............... 87,040
129 Yahoo!, Inc. 1 ............... 22,107
----------
354,621
----------
CONTAINERS - 0.0%
100 Crown Cork & Seal Co., Inc. .. 1,600
64 Owens-Illinois, Inc. 1 ....... 1,080
54 Sealed Air Corp. 1 ........... 2,933
50 Temple Inland, Inc. .......... 2,491
----------
8,104
----------
COSMETICS & TOILETRIES - 0.0%
19 Alberto-Culver Co. - Class B . 452
424 Gillette Co. ................. 15,979
26 International Flavors & Fragrances,
Inc. ....................... 912
----------
17,343
----------
DIVERSIFIED - 0.1%
40 Allegheny Technologies ....... 802
33 Loews Corp. .................. 1,650
187 Minnesota Mining & Manufacturing
Co. ........................ 16,561
152 Pall Corp. ................... 3,410
48 Praxair, Inc. ................ 1,998
148 SuperValu, Inc. .............. 2,803
86 Textron, Inc. ................ 5,235
227 United Technologies Corp. .... 14,344
----------
46,803
----------
DRUGS - 0.7%
488 American Home Products Corp. . 26,169
70 Biogen, Inc. 1 ............... 4,891
716 Bristol-Myers Squibb Co. ..... 41,349
413 Lilly (Eli) & Co. ............ 26,019
883 Merck & Co., Inc. ............ 54,856
1,286 Pfizer, Inc. ................. 47,019
442 Schering-Plough Corp. ........ 16,243
331 Warner-Lambert Co. ........... 32,272
----------
248,818
----------
ELECTRICAL EQUIPMENT - 0.6%
170 Emerson Electric Co. ......... 8,989
1,167 General Electric Co. ......... 181,104
8 ITT Industries ............... 248
276 Solectron Corp. 1 ............ 11,057
26 W.W. Grainger, Inc. .......... 1,410
----------
202,808
----------
See Notes to Financial Statements.
--------------------------------------------------------------------------------
42
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Asset Management Portfolio III
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 2000
SHARES DESCRIPTION VALUE
ELECTRONICS - 1.0%
85 Advanced Micro Devices, Inc. 1 $ 4,850
172 Analog Devices, Inc. 1 ....... 13,857
194 Applied Materials, Inc. 1 .... 18,296
1,185 Intel Corp. .................. 156,346
88 KLA-Tencor Corp. 1 ........... 7,414
140 LSI Logic Corp. 1 ............ 10,167
141 Micron Technology, Inc. 1 .... 17,766
192 Motorola, Inc. ............... 27,336
100 National Semiconductor Corp. 1 6,062
481 Nortel Networks Corp. ........ 60,568
100 Scientific-Atlanta, Inc. ..... 6,344
236 Texas Instruments, Inc. ...... 37,760
67 Thermo Electron Corp. 1 ...... 1,365
147 Xilinx, Inc. 1 ............... 12,173
----------
380,304
----------
ENTERTAINMENT - 0.1%
742 Disney (Walt) Co. ............ 30,700
----------
ENVIRONMENTAL CONTROL - 0.0%
77 Allied Waste Industries, Inc.1 505
259 Waste Management, Inc. ....... 3,545
----------
4,050
----------
FINANCIAL SERVICES - 0.7%
96 American Express Co. ......... 14,298
224 Associates First Capital Corp. -
Class A .................... 4,802
35 Bear Stearns Cos., Inc. ...... 1,597
66 Capital One Financial Corp. .. 3,164
172 Charles Schwab Corp. ......... 9,772
49 Cincinnati Financial Corp. ... 1,844
1,339 Citigroup .................... 79,419
32 Countrywide Credit Industries, Inc. 872
408 Fannie Mae ................... 23,026
162 First Data Corp. ............. 7,168
400 Firstar Corp. ................ 9,175
86 Franklin Resources, Inc. ..... 2,876
204 Freddie Mac .................. 9,014
71 Hartford Financial Services Group,
Inc. ....................... 3,745
179 Household International, Inc. 6,679
80 Lehman Brothers, Inc. ........ 7,760
327 MBNA Corp. ................... 8,338
175 Merrill Lynch & Co., Inc. .... 18,375
393 Morgan Stanley Dean Witter
Discover & Co. ............. 32,054
113 Paine Webber Group, Inc. ..... 4,972
108 PNC Bank Corp. ............... 4,867
82 Regions Financial Corp. ...... 1,871
42 SLM Holding Corp. ............ 1,399
SHARES DESCRIPTION VALUE
59 State Street Corp. ........... 5,716
117 Synovus Financial Corp. ...... 2,208
110 T. Rowe Price Associates, Inc. 4,345
46 U.S. Trust Corp. ............. 8,694
----------
278,050
----------
FOOD SERVICES & LODGING - 0.1%
190 Darden Restaurants, Inc. ..... 3,384
446 McDonald's Corp. ............. 16,753
49 Wendy's International, Inc. .. 989
----------
21,126
----------
FOODS - 0.2%
252 Archer-Daniels-Midland Co. ... 2,614
104 Bestfoods .................... 4,868
140 Campbell Soup Co. ............ 4,305
251 ConAgra, Inc. ................ 4,549
109 General Mills, Inc. .......... 3,944
133 H.J. Heinz Co. ............... 4,638
108 Kellogg Co. .................. 2,767
121 Nabisco Group Holdings ....... 1,452
46 Quaker Oats Co. .............. 2,789
200 Ralston Purina Group ......... 5,475
379 Sara Lee Corp. ............... 6,822
120 Sysco Corp. .................. 4,282
52 Tricon Global Restaurants, Inc.1 1,615
183 Unilever NV .................. 8,807
40 Wrigley (Wm.), Jr. Co. ....... 3,072
----------
61,999
----------
HEALTHCARE - 0.3%
460 Abbott Laboratories .......... 16,186
44 Allergan, Inc. ............... 2,200
14 Bausch & Lomb, Inc. .......... 731
106 Biomet, Inc. ................. 3,856
173 Boston Scientific Corp. 1 .... 3,687
54 C.R. Bard, Inc. .............. 2,089
98 Cardinal Health, Inc. ........ 4,496
229 Columbia/HCA Healthcare Corp. 5,797
114 Guidant Corp. 1 .............. 6,705
341 HEALTHSOUTH Corp. 1 .......... 1,897
201 Humana, Inc. 1 ............... 1,470
487 Johnson & Johnson ............ 34,120
155 Manor Care1 .................. 2,092
439 Medtronic, Inc. .............. 22,581
72 St. Jude Medical, Inc. 1 ..... 1,858
184 Tenet Healthcare Corp. 1 ..... 4,232
61 United Healthcare Corp. ...... 3,637
13 Wellpoint Health Networks 1 .. 908
----------
118,542
----------
See Notes to Financial Statements.
--------------------------------------------------------------------------------
43
<PAGE>
Asset Management Portfolio III
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 2000
SHARES DESCRIPTION VALUE
HOSPITAL SUPPLIES & HEALTHCARE - 0.1%
111 Baxter International, Inc. ... $ 6,958
79 Becton Dickinson & Co. ....... 2,079
16 Mallinckrodt Group, Inc. ..... 460
590 Tyco International Ltd. ...... 29,426
----------
38,923
----------
HOTEL/MOTEL - 0.0%
153 Hilton Hotels Corp. .......... 1,186
81 Marriott International, Inc. . 2,551
----------
3,737
----------
HOUSEHOLD FURNISHINGS - 0.0%
98 Maytag Corp. ................. 3,246
21 Whirlpool Corp. .............. 1,231
----------
4,477
----------
HOUSEHOLD PRODUCTS - 0.1%
39 Avery Dennison Corp. ......... 2,381
80 Clorox Co. ................... 2,600
232 Colgate-Palmolive Co. ........ 13,079
441 Procter & Gamble Co. ......... 24,806
24 Tupperware Corp. ............. 379
----------
43,245
----------
INSURANCE - 0.3%
43 Aetna, Inc. .................. 2,395
96 Aflac, Inc. .................. 4,374
178 Allstate Corp. ............... 4,239
89 American General Corp. ....... 4,995
559 American International Group, Inc. 61,210
64 Chubb Corp. .................. 4,324
70 CIGNA Corp. .................. 5,302
137 Conseco, Inc. ................ 1,567
73 Jefferson-Pilot Corp. ........ 4,859
63 Lincoln National Corp. ....... 2,111
104 Marsh and McLennan ........... 11,473
28 MBIA, Inc. ................... 1,458
85 MGIC Investment Corp. ........ 3,708
21 Providian Financial Corp. .... 1,819
88 Safeco ....................... 2,338
81 St. Paul Cos., Inc. .......... 2,764
47 Torchmark Corp. .............. 1,087
100 Unumprovident Corp. .......... 1,700
----------
121,723
----------
SHARES DESCRIPTION VALUE
LEISURE RELATED - 0.2%
21 American Greetings Corp. - Class A 383
121 Brunswick Corp. .............. 2,291
180 Carnival Corp. - Class A ..... 4,466
54 Harley-Davidson, Inc. ........ 4,286
98 Harrah's Entertainment, Inc. 1 1,819
183 Hasbro, Inc. ................. 3,020
630 Jostens, Inc. ................ 15,356
177 Mattel, Inc. ................. 1,847
1,678 Mirage Resorts, Inc. 1 ....... 32,511
58 Sabre Group Holdings, Inc. ... 2,142
----------
68,121
----------
LIFE ON THE NET - 0.2%
857 America Online, Inc. 1 ....... 57,633
----------
LIFE SCIENCES REVOLUTION - 0.0%
79 Pe Corp. - Pe Biosystems Group 7,624
----------
MACHINERY - 0.1%
21 Black & Decker Corp. ......... 789
60 Briggs & Stratton Corp. ...... 2,468
183 Caterpillar, Inc. ............ 7,217
77 Deere & Co. .................. 2,926
132 Dover Corp. .................. 6,320
116 Illinois Tool Works, Inc. .... 6,409
8 Millipore Corp. .............. 452
58 Navistar International Corp. 1 2,327
11 Snap-On Tools Corp. .......... 288
38 TRW, Inc. .................... 2,223
----------
31,419
----------
MANAGING THE INFORMATION AGE - 0.0%
115 Veritas Software Corp. 1 ..... 15,065
----------
MANUFACTURING - 0.1%
16 Cooper Industries, Inc. ...... 560
46 Danaher Corp. ................ 2,346
315 Honeywell International, Inc. 16,597
----------
19,503
----------
MEDIA - 0.1%
399 CBS Corp. 1 .................. 22,593
----------
MEDICAL BIOTECHNOLOGY - 0.1%
439 Amgen, Inc. 1 ................ 26,944
----------
See Notes to Financial Statements.
--------------------------------------------------------------------------------
44
<PAGE>
Asset Management Portfolio III
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 2000
SHARES DESCRIPTION VALUE
METALS - 0.1%
145 Alcan Aluminium Ltd. ......... $ 4,912
14 Alcoa, Inc. .................. 984
53 Engelhard Corp. .............. 802
126 Freeport-McMoRan Copper & Gold,
Inc. - Class B ............. 1,520
109 Homestake Mining Co. ......... 654
129 Inco, Ltd. ................... 2,362
53 Newmont Mining Corp. ......... 1,189
39 Nucor Corp. .................. 1,950
19 Phelps Dodge Corp. ........... 903
137 Placer Dome, Inc. ............ 1,113
174 Reynolds Metals Co. .......... 11,636
23 USX - U.S. Steel Group ....... 575
181 Worthington Industries, Inc. . 2,240
----------
30,840
----------
METALS & MINING - 0.0%
163 Barrick Gold Corp. ........... 2,557
----------
MOVE TO OUTSOURCING - 0.0%
142 Paychex, Inc. ................ 7,437
32 Quintiles Transnational Corp. 1 546
----------
7,983
----------
NEW CONSUMER - 0.0%
235 Staples, Inc. 1 .............. 4,700
129 TJX Cos., Inc. ............... 2,862
----------
7,562
----------
NEW HEALTH CARE PARADIGM - 0.0%
95 McKesson Hboc, Inc. .......... 1,995
35 Watson Pharmaceuticals 1 ..... 1,389
----------
3,384
----------
OFFICE EQUIPMENT & COMPUTERS - 0.2%
15 Autodesk, Inc. ............... 683
61 Ikon Office Solutions, Inc. .. 377
167 Novell, Inc. 1 ............... 4,780
100 Pitney Bowes, Inc. ........... 4,469
560 Sun Microsystems, Inc. 1 ..... 52,474
159 Unisys Corp. 1 ............... 4,055
188 Xerox Corp. .................. 4,888
----------
71,726
----------
OIL - DOMESTIC - 0.1%
126 Atlantic Richfield Co. ....... 10,710
71 Burlington Resources, Inc. ... 2,627
70 Pactiv Corp. 1 ............... 613
93 Phillips Petroleum Co. ....... 4,301
103 Union Pacific Resources Group, Inc. 1,494
79 Unocal Corp. ................. 2,350
----------
22,095
----------
SHARES DESCRIPTION VALUE
OIL - INTERNATIONAL - 0.5%
291 Chevron Corp. ................ 26,899
254 Conoco, Inc. - Class B ....... 6,509
1,255 Exxon Mobil Corp. ............ 97,655
782 Royal Dutch Petroleum Co. .... 45,014
214 Texaco, Inc. ................. 11,476
38 Tosco Corp. .................. 1,157
----------
188,710
----------
OIL EQUIPMENT & SERVICES - 0.1%
31 Apache Corp. ................. 1,542
220 Schlumberger Ltd. ............ 16,830
70 Transocean Sedco ............. 3,596
----------
21,968
----------
OIL SERVICE - DOMESTIC - 0.0%
12 Fluor Corp. .................. 372
168 Halliburton Co. .............. 6,888
60 USX Marathon Group ........... 1,564
----------
8,824
----------
PAPER - 0.1%
74 Fort James Corp. ............. 1,628
218 Kimberly Clark Corp. ......... 12,208
21 Mead Corp. ................... 734
66 Molex, Inc. .................. 3,878
108 Westvaco Corp. ............... 3,605
----------
22,053
----------
PAPER & FOREST PRODUCTS - 0.0%
29 Champion International Corp. . 1,544
205 International Paper Co. ...... 8,764
30 Willamette Industries, Inc. .. 1,204
----------
11,512
----------
PETROLEUM PRODUCTS - 0.0%
3 Arch Coal, Inc. .............. 19
11 Ashland, Inc. ................ 368
121 Baker Hughes, Inc. ........... 3,660
166 Williams Cos., Inc. .......... 7,294
----------
11,341
----------
PETROLEUM RELATED - 0.0%
75 Amerada Hess Corp. ........... 4,847
27 Kerr-McGee Corp. ............. 1,559
196 Occidental Petroleum Corp. ... 4,067
82 Rowan Cos., Inc. 1 ........... 2,414
22 Sunoco, Inc. ................. 602
----------
13,489
----------
PHARMACEUTICALS - 0.0%
36 ALZA Corp. 1 ................. 1,352
198 Pharmacia & Upjohn, Inc. ..... 11,732
----------
13,084
----------
See Notes to Financial Statements.
--------------------------------------------------------------------------------
45
<PAGE>
Asset Management Portfolio III
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 2000
SHARES DESCRIPTION VALUE
PHOTO EQUIPMENT & SUPPLIES - 0.0%
161 Eastman Kodak Co. ............. $ 8,744
----------
PRINTING & PUBLISHING - 0.2%
16 Deluxe Corp. .................. 424
44 Donnelley (R.R.) & Sons Co. ... 921
28 Dow Jones & Co., Inc. ......... 2,011
106 Gannett Co., Inc. ............. 7,460
63 Knight-Ridder, Inc. ........... 3,209
120 McGraw-Hill Cos., Inc. ........ 5,460
58 New York Times Co. - Class A .. 2,490
429 Time Warner, Inc. ............. 42,900
15 Times Mirror Co. - Class A .... 1,394
81 Tribune Co. ................... 2,962
----------
69,231
----------
PROFESSIONAL SERVICES - 0.0%
30 Ecolab, Inc. .................. 1,101
75 H & R Block, Inc. ............. 3,356
13 Harcourt General, Inc. ........ 484
104 Interpublic Group of Cos., Inc. 4,914
50 National Service Industries, Inc. 1,053
40 Perkinelmer, Inc. ............. 2,660
113 Service Corp. International ... 339
----------
13,907
----------
RAILROADS - 0.0%
170 Burlington Northern Santa Fe .. 3,761
156 CSX Corp. ..................... 3,666
38 Kansas City Southern Industries,
Inc. ........................ 3,266
158 Norfolk Southern Corp. ........ 2,271
94 Union Pacific Corp. ........... 3,678
----------
16,642
----------
RE-ENERGIZING AMERICA - 0.0%
63 Young & Rubicam ............... 2,961
----------
REAL ESTATE - 0.0%
129 Pulte Corp. ................... 2,693
----------
RETAIL - 0.8%
56 Albertson's, Inc. ............. 1,736
81 Bed, Bath & Beyond, Inc. 1 .... 3,189
103 Best Buy, Inc. 1 .............. 8,858
65 Circuit City Stores, Inc. ..... 3,957
189 Consolidated Stores Corp. 1 ... 2,150
206 Costco Wholesale Corp. 1 ...... 10,828
72 CVS Corp. ..................... 2,705
46 Dillard Department Stores, Inc.
Class A ..................... 756
103 Dollar General Corp. .......... 2,768
116 Federated Department Stores,
Inc. 1 ...................... 4,843
344 Gap, Inc. ..................... 17,136
72 Great Atlantic & Pacific Tea Co. 1,404
700 Hannaford Brothers, Co. ....... 51,625
SHARES DESCRIPTION VALUE
107 J.C. Penney Co., Inc. ......... 1,592
205 Kmart Corp. 1 ................. 1,986
95 Kohls Corp. 1 ................. 9,738
347 Kroger Co. 1 .................. 6,094
132 Limited, Inc. ................. 5,561
84 Longs Drug Stores, Inc. ....... 1,911
82 Lowe's Cos., Inc. ............. 4,787
111 May Department Stores Co. ..... 3,164
93 Nordstrom, Inc. ............... 2,744
108 Rite Aid Corp. ................ 594
202 Safeway, Inc. 1 ............... 9,141
219 Sears, Roebuck & Co. .......... 6,762
68 Sherwin-Williams Co. .......... 1,492
67 Tandy Corp. ................... 3,400
174 Target Corp. .................. 13,007
183 Toys `R' Us, Inc. 1 ........... 2,711
1,640 Wal-Mart Stores, Inc. ......... 91,020
398 Walgreen Co. .................. 10,249
61 Winn Dixie Stores, Inc. ....... 1,186
----------
289,094
----------
STEEL - 0.0%
284 Bethlehem Steel 1 ............. 1,704
----------
STORES OF VALUE - 0.1%
82 Leggett & Platt, Inc. ......... 1,763
138 Office Depot, Inc. 1 .......... 1,596
1,700 U.S. Foodservice, Inc. 1 ...... 43,775
----------
47,134
----------
TELECOMMUNICATIONS - 0.9%
147 ADC Telecommunications, Inc. 1. 7,920
119 Alltel Corp. .................. 7,504
114 Andrew Corp. 1 ................ 2,608
1,033 AT&T Corp. .................... 58,106
42 Centurytel, Inc. .............. 1,559
407 Comcast Corp. - Class A ....... 17,654
35 Comverse Technology 1 ......... 6,615
65 Corning, Inc. ................. 12,610
222 Global Crossing Ltd. 1 ........ 9,088
22 IPC Communications 1 .......... 4,532
845 MCI WorldCom, Inc. 1 .......... 38,292
375 MediaOne Group 1 .............. 30,375
43 Netoptix Corp. ................ 7,385
164 Nextel Communications, Inc. -
Class A 1 ................... 24,313
44 Ortel Corp. ................... 8,258
211 Qualcomm, Inc. 1 .............. 31,505
525 Sprint Corp. .................. 33,075
347 Sprint PCS Group 1 ............ 22,663
185 Tellabs, Inc. 1 ............... 11,652
214 Viacom, Inc. - Class B 1 ...... 11,289
----------
347,003
----------
See Notes to Financial Statements.
--------------------------------------------------------------------------------
46
<PAGE>
Asset Management Portfolio III
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 2000
SHARES DESCRIPTION VALUE
THE UBIQUITOUS SEMICONDUCTOR - 0.0%
80 Linear Technology Corp. ....... $ 4,400
97 Teradyne, Inc. 1 .............. 7,978
----------
12,378
----------
TIRE & RUBBER - 0.0%
32 Cooper Tire & Rubber Co. ...... 402
30 Goodrich (B.F.) Co. ........... 861
----------
1,263
----------
TOBACCO - 0.1%
52 Fortune Brands, Inc. .......... 1,300
863 Philip Morris Cos., Inc. ...... 18,231
138 UST, Inc. ..................... 2,156
----------
21,687
----------
TRUCKING, SHIPPING - 0.0%
151 Fedex Corp. ................... 5,889
27 Ryder Systems, Inc. ........... 613
----------
6,502
----------
UTILITY - ELECTRIC - 0.3%
97 AES Corp. 1 ................... 7,639
37 Ameren Corp. .................. 1,145
63 American Electric Power Co. ... 1,878
53 Carolina Power & Light Co. .... 1,719
79 Central & South West Corp. .... 1,348
50 Cinergy Corp. ................. 1,075
96 CMS Energy .................... 1,740
125 Consolidated Edison, Inc. ..... 3,625
86 Constellation Energy Group, Inc. 2,741
85 Dominion Resource ............. 3,267
84 DTE Energy Co. ................ 2,436
141 Duke Power Co. ................ 7,403
194 Edison International, Inc. .... 3,213
161 Entergy Corp. ................. 3,250
161 FirstEnergy Corp. ............. 3,321
86 Florida Progress Corp. ........ 3,945
93 FPL Group, Inc. ............... 4,284
32 GPU, Inc. ..................... 876
28 New Century Energies, Inc. .... 842
78 Niagara Mohawk Power Corp. 1 .. 1,053
64 Northern States Power Co. ..... 1,272
121 PECO Energy ................... 4,462
193 PG&E Corp. .................... 4,053
16 Pinnacle West Capital Corp. ... 451
95 PPL Corp. ..................... 1,989
115 Public Service Enterprise Group,
Inc. ........................ 3,407
105 Reliant Energy ................ 2,461
311 Southern Co. .................. 6,764
98 Texas Utilities Co. ........... 2,909
109 Unicom Corp. .................. 3,979
100 United Water Resources, Inc. .. 3,475
----------
92,022
----------
PRINCIPAL
AMOUNT/
SHARES DESCRIPTION VALUE
UTILITY - GAS, NATURAL GAS - 0.1%
127 Coastal Corp. ................. 5,842
25 Columbia Energy Group ......... 1,481
79 El Paso Energy Corp. .......... 3,190
288 Enron Corp. ................... 21,564
42 NICOR, Inc. ................... 1,383
43 ONEOK, Inc. ................... 1,075
40 People's Energy Corp. ......... 1,098
85 Sempra Energy ................. 1,424
----------
37,057
----------
UTILITY - TELEPHONE - 0.6%
533 Bell Atlantic Corp. ........... 32,580
666 BellSouth Corp. ............... 31,302
293 GTE Corp. ..................... 20,803
1,077 Lucent Technologies, Inc. ..... 65,428
1,355 SBC Communications, Inc. ...... 56,910
237 U.S. West, Inc. ............... 17,212
----------
224,235
----------
TOTAL COMMON STOCKS
(Cost $4,059,766) ...................... 4,976,035
----------
NON-CONVERTIBLE CORPORATE
DEBT - 9.9%
AEROSPACE - 0.9%
$ 350,000 Raytheon Co., 5.70%, 11/1/03 .. 327,389
----------
BANKS - 2.4%
255,000 First Union Capital II,
7.95%, 11/15/29 ............. 245,206
130,000 First Union National, 6.50%,
12/1/28 ..................... 105,625
365,000 FleetBoston Financial Corp.,
8.625%, 1/15/07 ............. 381,668
165,000 Republic New York, 9.70%,
2/1/09 ...................... 184,667
----------
917,166
----------
FINANCIAL SERVICES - 3.7%
400,000 Allstate Corp., 7.20%, 12/1/09 383,312
110,000 American Express Master Trust,
5.375%, 7/15/01 ............. 109,390
350,000 Bear Stearns Co., 7.625%,
12/7/09 ..................... 341,590
115,000 Farmers Insurance Exchange,
8.625%, 5/1/24b ............. 117,655
150,000 Ford Motor Credit Co., 6.55%,
9/10/02 ..................... 147,377
350,000 Frank Russell Co., 5.625%,
1/15/09 ..................... 305,715
----------
1,405,039
----------
See Notes to Financial Statements.
--------------------------------------------------------------------------------
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<PAGE>
Asset Management Portfolio III
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 2000
PRINCIPAL
AMOUNT DESCRIPTION VALUE
INDUSTRIAL - 1.8%
$ 500,000 Air 2 US, 8.027%, 10/1/19 b ... $ 500,618
Archstone Communities,
35,000 6.37%, 10/15/01 ............. 34,200
110,000 7.00%, 10/29/01 ............. 108,421
50,000 Prologis Trust, 6.70%, 4/15/04 47,626
----------
690,865
----------
UTILITY - ELECTRIC - 1.1%
325,000 Enogex, Inc., 8.125%, 1/15/10 . 328,309
75,000 Potomac Edison, 8.00%, 6/1/24 . 74,030
----------
402,339
----------
TOTAL NON-CONVERTIBLE CORPORATE DEBT
(Cost $3,798,710) 3,742,798
----------
ASSET-BACKED SECURITIES - 11.0%
320,000 American Express Master Trust,
7.85%, 8/15/05 .............. 327,218
370,000 Americredit Automobile Receivables
Trust ,5.88%, 12/12/05 ...... 360,360
855,000 Citibank Credit Card Master
Trust I, 6.65%, 11/15/06 .... 834,843
Conseco Finance,
320,000 7.80%, 5/15/20 .............. 322,802
430,000 7.60%, 12/15/29 ............. 429,280
250,000 Felco Funding II, 7.72%, 12/15/05b 250,625
Green Point Manufactured Housing,
480,000 6.01%, 8/15/15 .............. 465,583
430,000 7.33%, 8/15/20 .............. 425,302
350,000 Key Auto Finance, 5.83%, 1/15/07 340,401
65,000 MBNA Master Credit Card Trust,
7.00%, 2/15/12 .............. 64,047
341,000 Union Acceptance Corp.,
5.64%, 5/8/06 ............... 328,906
----------
TOTAL ASSET-BACKED SECURITIES
(Cost $4,143,409) ...................... 4,149,367
----------
PRINCIPAL
AMOUNT DESCRIPTION VALUE
COLLATERALIZED MORTGAGE OBLIGATIONS - 3.9%
348,615 Bear Stearns Commercial Mortgage
Securities, 7.64%, 2/15/09 .. 351,826
450,000 Chase Mortgage Finance Corp.,
6.75%, 10/25/28 ............. 417,592
Norwest Asset Securities Corp.,
250,000 6.50%, 3/26/29 .............. 227,114
480,000 7.25%, 12/25/29 ............. 465,382
----------
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(Cost $1,453,265) ...................... 1,461,914
----------
FOREIGN DEBT - 0.6%
100,000 Kingdom of Sweden,
12.00%, 2/1/10 .............. 135,556
80,000 New Zealand Government,
10.625%, 11/15/05 ........... 93,875
----------
TOTAL FOREIGN DEBT
(Cost $240,745) ........................ 229,431
----------
MUNICIPAL BONDS - 6.4%
245,000 Delaware RIver Port Authority
PA&NJ, 7.27%, 1/1/07 ........ 243,803
505,000 Harrisburg, PA Housing Corp.
Mortgage Revenue, 10.00%,
7/15/24 ..................... 536,026
260,000 Hillsborough County, FLFuel Tax
Revenue, 6.00%, 12/1/11 ..... 231,478
295,000 Lansing, MI Board Water & Light
Water Supply, Series B,
7.30%, 7/1/06 ............... 294,000
Multnomah County, OR,
185,000 7.20%, 6/1/10 ............... 181,202
210,000 7.25%, 6/1/11 ............... 206,045
215,000 Ross County, OH Water Co., Inc.
Water Revenue, 8.25%, 8/1/25 223,540
235,000 Suburban Hospital Healthcare
Systems, Inc., 7.865%, 2/15/27 244,807
290,000 Virginia State Housing
Development Authority,
Series A, 6.51%, 5/1/19 ..... 258,315
----------
TOTAL MUNICIPAL BONDS
(Cost $2,409,779) ...................... 2,419,216
----------
See Notes to Financial Statements.
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SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 2000
PRINCIPAL
AMOUNT DESCRIPTION VALUE
U.S. GOVERNMENT AND AGENCIES - 8.2%
$ 978,920 FGLMC, 6.50%, 7/1/29 .......... $ 919,491
1,090,251 FHLMC, 7.00%, 6/1/09 .......... 1,074,044
418,157 FHLMC, 6.00%, 3/15/29 ......... 387,588
375,000 FNMA Pool #382140, 7.03%,
1/25/07 ..................... 369,866
343,181 FNMA Pool #323194, 6.361%,
7/1/08 ...................... 325,097
----------
TOTAL U.S. GOVERNMENT AND AGENCIES
(Cost $3,127,011) ...................... 3,076,086
----------
U.S. TREASURY SECURITIES - 11.3%
1,571,000 U.S. Treasury Bond, 8.125%,
8/15/19 ..................... 1,909,747
1,620,000 U.S. Treasury Note, 6.625%,
3/31/02 ..................... 1,623,038
115,000 U.S. Treasury Note, 6.00%,
8/15/09 ..................... 113,563
568,000 U.S. Treasury Note, 7.875%,
11/15/04 .................... 601,725
----------
TOTAL U.S. TREASURY SECURITIES
(Cost $4,148,568) ...................... 4,248,073
----------
PRINCIPAL
AMOUNT/
SHARES DESCRIPTION VALUE
SHORT-TERM INSTRUMENTS - 31.7%
MUTUAL FUND - 14.2%
5,345,960 Institutional Cash Management
Fund ....................... $ 5,345,960
----------
U.S. TREASURY SECURITIES - 17.5%c
$ 100,000 U.S. Treasury Bill, 5.05%,
4/6/00 a .................... 99,957
500,000 U.S. Treasury Bill, 5.10%,
4/6/00 a .................... 499,783
70,000 U.S. Treasury Bill, 5.13%,
4/6/00 a .................... 69,970
20,000 U.S. Treasury Bill, 5.30%,
4/6/00 a .................... 19,991
10,000 U.S. Treasury Bill, 5.34%,
4/6/00 a .................... 9,996
6,000,000 U.S. Treasury Bill, 5.77%,
6/22/00 ..................... 5,924,400
----------
6,624,097
----------
TOTAL SHORT-TERM INSTRUMENTS
(Cost $11,969,196) ..................... 11,970,057
----------
TOTAL INVESTMENTS
(Cost $35,350,449) ............. 96.2% $36,272,977
OTHER ASSETS IN EXCESS OF
LIABILITIES ..................... 3.8 1,418,557
----- -----------
NET ASSETS ........................ 100.0% $37,691,534
===== ===========
--------------------------------------------------------------------------------
(1)Non-income producing security for the year ended March 31, 2000.
(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 institutions.
The following abbreviations are used in the portfolio description:
FNMA -- Federal National Mortgage Association
FGLMC -- Federal Government Loan Mortgage Corporation
FHLMC -- Federal Home Loan Mortgage Corporation
See Notes to Financial Statements.
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STATEMENTS OF ASSETS AND LIABILITIES March 31, 2000
<TABLE>
<CAPTION>
AS OF MARCH 31, 2000
ASSET MANAGEMENT
I II III
<S> <C> <C> <C>
ASSETS
Investments, at Value1 ...................................... $714,387,124 $ 95,866,633 $36,272,977
Foreign Cash2 ............................................... 20,395,217 2,973,099 1,246,834
Receivable for Securities Sold .............................. 6,589,620 629,304 289,591
Dividend and Interest Receivable ............................ 3,776,079 643,210 318,944
Unrealized Appreciation on Forward Currency
Exchange Contracts ....................................... 3,225 8,973 7,379
------------ ------------ -----------
Total Assets ................................................... 745,151,265 100,121,219 38,135,725
------------ ------------ -----------
LIABILITIES
Due to Bankers Trust ........................................ 406,620 48,806 7,700
Payable for Securities Purchased ............................ 7,278,819 620,087 241,450
Accrued Expenses and Other .................................. 21,384 48,268 18,304
Unrealized Depreciation on Forward Currency
Exchange Contracts ....................................... 743,473 83,985 19,758
Variation Margin Payable (Domestic) ......................... 221,575 71,016 27,653
Variation Margin Payable (Foreign) .......................... 3,462,059 421,215 129,326
------------ ------------ -----------
Total Liabilities .............................................. 12,133,930 1,293,377 444,191
------------ ------------ -----------
NET ASSETS ..................................................... $733,017,335 $ 98,827,842 $37,691,534
============ ============ ===========
COMPOSITION OF NET ASSETS
Paid-in Capital ............................................. $676,020,210 $ 93,786,277 $37,131,080
Net Unrealized Appreciation on Investments, Foreign Currencies,
Forward Foreign Currency and Futures Contracts ............ 56,997,125 5,041,565 560,454
------------ ------------ -----------
NET ASSETS ..................................................... $733,017,335 $ 98,827,842 $37,691,534
============ ============ ===========
--------------------------------------------------------------------------------
<FN>
1 Cost of $652,792,471, $89,695,802, and $35,350,449, respectively.
2 Foreign cash has a cost basis of $20,500,812, $2,998,226, and $1,250,176,
respectively.
</FN>
</TABLE>
See Notes to Financial Statements.
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--------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS
<TABLE>
<CAPTION>
FOR THE YEAR ENDED MARCH 31, 2000
ASSET MANAGEMENT
I II III
<S> <C> <C> <C>
INVESTMENT INCOME
Dividends(1) ................................................ $ 7,751,110 $1,230,078 $ 455,466
Interest .................................................... 16,017,075 2,545,026 1,534,536
----------- ---------- ----------
Total Investment Income ..................................... 23,768,185 3,775,104 1,990,002
----------- ---------- ----------
EXPENSES
Advisory Fees ............................................... 4,697,424 608,367 280,885
Administration and Services Fees ............................ 722,681 93,595 43,213
Professional Fees ........................................... 41,036 34,702 32,620
Trustees Fees ............................................... 4,964 5,714 5,161
Miscellaneous ............................................... 5,894 3,258 5,433
----------- ---------- ----------
Total Expenses ................................................. 5,471,999 745,636 367,312
Less: Fee Waivers or Expense Reimbursements .................... (1,135,915) (184,067) (108,034)
----------- ---------- ----------
Net Expenses ................................................... 4,336,084 561,569 259,278
----------- ---------- ----------
NET INVESTMENT INCOME .......................................... 19,432,101 3,213,535 1,730,724
----------- ---------- ----------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS,
FOREIGN CURRENCIES, FORWARD FOREIGN CURRENCY
AND FUTURES CONTRACTS
Net Realized Gain (Loss) from:
Investment Transactions .................................. 54,998,092 2,478,330 569,275
Foreign Currency Transactions ............................ (4,527,195) (697,516) 26,210
Forward Foreign Currency Transactions .................... (1,828,841) (223,635) (373,280)
Futures Transactions ..................................... 26,691,042 4,443,119 933,270
Net Change in Unrealized Appreciation/Depreciation on
Investments, Foreign Currencies, Forward Foreign
Currency and Futures Contracts ......................... (1,499,042) 597,641 (563,440)
----------- ---------- ----------
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS, FOREIGN
CURRENCIES, FORWARD FOREIGN CURRENCY AND
FUTURES CONTRACTS ........................................... 73,834,056 6,597,939 592,035
----------- ---------- ----------
NET INCREASE IN NET ASSETS FROM OPERATIONS ..................... $93,266,157 $9,811,474 $2,322,759
=========== ========== ==========
--------------------------------------------------------------------------------
<FN>
1 Net of foreign withholding tax of $39,485, $3,377 and $663, respectively.
</FN>
</TABLE>
See Notes to Financial Statements.
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STATEMENTS OF CHANGES IN NET ASSETS
ASSET MANAGEMENT
<TABLE>
<CAPTION>
FOR THE YEARS ENDED MARCH 31,
2000 1999
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS
Net Investment Income .................................................. $ 19,432,101 $ 19,717,061
Net Realized Gain from Investments, Foreign Currencies,
Forward Foreign Currency and Futures Transactions ................... 75,333,098 30,887,338
Net Change in Unrealized Appreciation/Depreciation on Investments, Foreign
Currencies, Forward Foreign Currency and Futures Contracts .......... (1,499,042) 29,150,269
------------- -------------
Net Increase in Net Assets from Operations ................................ 93,266,157 79,754,668
------------- -------------
CAPITAL TRANSACTIONS
Proceeds from Capital Invested ......................................... 204,062,057 419,617,422
Value of Capital Withdrawn ............................................. (268,438,376) (444,617,015)
------------- -------------
Net Decrease in Net Assets from Capital Transactions ...................... (64,376,319) (24,999,593)
------------- -------------
TOTAL INCREASE IN NET ASSETS .............................................. 28,889,838 54,755,075
NET ASSETS
Beginning of Year ...................................................... 704,127,497 649,372,422
------------- -------------
End of Year ............................................................ $ 733,017,335 $ 704,127,497
============= =============
</TABLE>
See Notes to Financial Statements.
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--------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
ASSET MANAGEMENT II
<TABLE>
<CAPTION>
FOR THE YEARS ENDED MARCH 31,
2000 1999
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS
Net Investment Income .................................................. $ 3,213,535 $ 2,753,269
Net Realized Gain from Investments, Foreign Currencies,
Forward Foreign Currency and Futures Transactions .................... 6,000,298 3,365,055
Net Change in Unrealized Appreciation/Depreciation on Investments,
Foreign Currencies, Forward Foreign Currency and Futures Contracts ... 597,641 2,598,490
------------ -------------
Net Increase in Net Assets from Operations ................................ 9,811,474 8,716,814
------------ -------------
CAPITAL TRANSACTIONS
Proceeds from Capital Invested ......................................... 55,724,885 75,687,875
Value of Capital Withdrawn ............................................. (44,447,177) (101,737,559)
------------ -------------
Net Increase (Decrease) in Net Assets from Capital Transactions ........... 11,277,708 (26,049,684)
------------ -------------
TOTAL INCREASE (DECREASE) IN NET ASSETS ................................... 21,089,182 (17,332,870)
NET ASSETS
Beginning of Year ...................................................... 77,738,660 95,071,530
------------ -------------
End of Year ............................................................ $ 98,827,842 $ 77,738,660
============ =============
</TABLE>
See Notes to Financial Statements.
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--------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
ASSET MANAGEMENT III
<TABLE>
<CAPTION>
FOR THE YEARS ENDED MARCH 31,
2000 1999
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS
Net Investment Income .................................................. $ 1,730,724 $ 2,263,408
Net Realized Gain from Investments, Foreign Currencies, Forward
Foreign Currency and Futures Transactions ............................ 1,155,475 1,786,567
Net Change in Unrealized Appreciation/Depreciation on Investments,
Foreign Currencies, Forward Foreign Currency and Futures Contracts ........ (563,440) 551,176
------------ ------------
Net Increase in Net Assets from Operations ................................ 2,322,759 4,601,151
------------ ------------
CAPITAL TRANSACTIONS
Proceeds from Capital Invested ......................................... 29,758,416 63,588,410
Value of Capital Withdrawn ............................................. (38,887,680) (73,090,682)
------------ ------------
Net Decrease in Net Assets from Capital Transactions ...................... (9,129,264) (9,502,272)
------------ ------------
TOTAL DECREASE IN NET ASSETS .............................................. (6,806,505) (4,901,121)
NET ASSETS
Beginning of Year ...................................................... 44,498,039 49,399,160
------------ ------------
End of Year ............................................................ $ 37,691,534 $ 44,498,039
============ ============
</TABLE>
See Notes to Financial Statements.
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--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
Contained below are selected supplemental data and ratios to average net assets
for the periods indicated for the Asset Management Portfolios.
<TABLE>
<CAPTION>
ASSET MANAGEMENT PORTFOLIO
FOR THE YEARS ENDED MARCH 31,
2000 1999 1998 1997 1996
<S> <C> <C> <C> <C> <C>
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Year (000s omitted) ................... $733,017 $704,127 $649,372 $348,539 $240,142
Ratios to Average Net Assets:
Net Investment Income ................................. 2.69% 2.91% 2.97% 3.12% 3.99%
Expenses After Waivers ................................ 0.60% 0.60% 0.60% 0.60% 0.60%
Expenses Before Waivers ............................... 0.76% 0.76% 0.76% 0.76% 0.77%
Portfolio Turnover Rate .................................. 222% 109% 199% 137% 154%
</TABLE>
<TABLE>
<CAPTION>
ASSET MANAGEMENT PORTFOLIO II
FOR THE YEARS ENDED MARCH 31,
2000 1999 1998 1997 1996
<S> <C> <C> <C> <C> <C>
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Year (000s omitted) ................... $98,828 $77,739 $95,072 $61,776 $51,400
Ratios to Average Net Assets:
Net Investment Income ................................. 3.43% 3.15% 3.71% 3.87% 4.55%
Expenses After Waivers ................................ 0.60% 0.60% 0.60% 0.60% 0.60%
Expenses Before Waivers ............................... 0.79% 0.81% 0.78% 0.80% 0.80%
Portfolio Turnover Rate .................................. 273% 202% 275% 209% 208%
</TABLE>
<TABLE>
<CAPTION>
ASSET MANAGEMENT PORTFOLIO III
FOR THE YEARS ENDED MARCH 31,
2000 1999 1998 1997 1996
<S> <C> <C> <C> <C> <C>
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Year (000s omitted) ................... $37,692 $44,498 $49,399 $32,542 $28,869
Ratios to Average Net Assets:
Net Investment Income ................................. 4.02% 3.97% 4.45% 4.64% 5.04%
Expenses After Waivers ................................ 0.60% 0.60% 0.60% 0.60% 0.60%
Expenses Before Waivers ............................... 0.85% 0.83% 0.81% 0.83% 0.82%
Portfolio Turnover Rate .................................. 354% 344% 389% 307% 221%
</TABLE>
See Notes to Financial Statements.
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55
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--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
NOTE 1--ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
A. ORGANIZATION
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. Asset Management Portfolios II and III
are part of BT Investment Portfolios.The Portfolios were organized and began
operations as follows:
ORGANIZATION BEGAN
PORTFOLIO DATE OPERATIONS
--------- ------------- ---------------
Asset Management June 9, 1992 November 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 closing price.
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 accretion of 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. This risk is in addition to the risk of decline in the
value of the 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 Statements 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
--------------------------------------------------------------------------------
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<PAGE>
Asset Management Portfolios
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
greater or less than the cost of the option. When the Portfolio exercises a put
option, it realizes a gain or loss from the sale of the underlying security and
the proceeds from such sale will be decreased by the premium originally paid.
When the Portfolio exercises a call option, the cost of the security which the
Portfolio purchases upon exercise will be increased by the premium originally
paid.
H. FUTURES CONTRACTS
Each Portfolio may enter into financial futures contracts, which are contracts
to buy a standard quantity of securities at a specified price on a future date.
Each Portfolio is required to deposit either in cash or securities an amount
equal to a certain percentage of the contract amount. Variation margin payments
are made or received by the Portfolio each day, depending 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 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 accounting principles
generally accepted in the United States 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"), an indirect wholly owned subsidiary of
Deutsche Bank A.G. 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 a fee computed daily and paid
monthly at an annual rate of .65% of each Portfolios' average daily net assets.
Bankers Trust has contractually agreed to waive its fees through July 31, 2001
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 Portfolios may invest in the Institutional Cash Management Fund (the "Cash
Management Fund"), an open-end management investment company managed by Bankers
Trust. The Cash Management Fund is offered as a cash management option to the
Portfolio and other accounts managed by Bankers Trust. At March 31, 2000, the
Asset Management, Asset Management II, and Asset Management III Portfolios had
dividend income receivable from the Fund in the amounts of $330,657, $41,255,
and $18,734, respectively. Additionally, distributions from the Cash Management
Fund to the Portfolio as of March 31, 2000 are included in dividend income and
summarized as follows:
$3,337,345 Asset Management
$ 840,080 Asset Management II
$ 361,069 Asset Management III
The following summarizes the purchase and sales of the Institutional Cash
Management Fund for each respective portfolio during the year ended March 31,
2000.
PORTFOLIO PURCHASES SALES
Asset Management $296,831,614 $235,656,205
Asset Management II 68,271,766 73,616,595
Asset Management III 39,043,022 45,535,334
At March 31, 2000, 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 on the average daily amount of the
available commitment is payable on a quarterly basis and
--------------------------------------------------------------------------------
57
<PAGE>
Asset Management Portfolios
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
apportioned among all participants, based on net assets. No amounts were drawn
down or outstanding for these Portfolios under the credit facility for the year
ended March 31, 2000. Subsequent to March 31, 2000, the revolving credit
facility was renewed and increased to $200,000,000, which expires April 27,
2001.
NOTE 3--PURCHASES AND SALES OF INVESTMENT SECURITIES
The aggregate cost of purchases and proceeds from sales of investments, other
than short-term obligations, for the year ended March 31, 2000, were as follows:
PORTFOLIO PURCHASES SALES
Asset Management .... $1,184,370,725 $1,047,124,300
Asset Management II . 186,747,677 164,201,833
Asset Management III 87,127,045 84,886,594
For federal income tax purposes, the tax basis of investments held at March 31,
2000, were as follows:
PORTFOLIO COST-TAX BASIS
Asset Management .... $657,116,566
Asset Management II . 90,391,567
Asset Management III 35,645,877
The aggregate gross unrealized appreciation and depreciation for all investments
as of March 31, 2000, were as follows:
PORTFOLIO APPRECIATION DEPRECIATION
Asset Management .... $80,908,466 $23,637,908
Asset Management II . 8,158,547 2,683,481
Asset Management III 1,339,820 712,720
--------------------------------------------------------------------------------
58
<PAGE>
Asset Management Portfolios
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
NOTE 4--FUTURES CONTRACTS
A summary of obligations under these financial instruments at March 31, 2000 is
as follows:
<TABLE>
<CAPTION>
ASSET MANAGEMENT PORTFOLIO
--------------------------------------------------------------------------------------------------------------------
UNREALIZED
APPRECIATION/
TYPE OF FUTURES EXPIRATION CONTRACTS POSITION MARKET VALUE (DEPRECIATION)
----------------------- ----------------- --------- -------- -------------- --------------
<S> <C> <C> <C> <C> <C>
S&P 500 Index Futures June 16, 2000 (179) Short $(67,809,675) $(4,343,211)
S&P 500 Index Futures June 16, 2000 123 Long 46,595,475 3,775,391
U.S. Treasury Note Futures June 22, 2000 (690) Short (67,673,820) (2,237,098)
Milan Stock Exchange Futures June 19, 2000 151 Long 33,370,030 (1,937,126)
DAX Index Futures June 16, 2000 179 Long 32,514,532 (720,349)
TokyoPrice Index Futures June 14, 2000 108 Long 17,950,868 729,079
Toronto Stock Exchange
60 Index Futures June 16, 2000 215 Long 17,135,962 971,557
---------------------------- ------- -------------- --------------
Total (93) $ 12,083,372 $(3,761,757)
======= ============== ==============
</TABLE>
<TABLE>
<CAPTION>
ASSET MANAGEMENT PORTFOLIO II
--------------------------------------------------------------------------------------------------------------------
UNREALIZED
APPRECIATION/
TYPE OF FUTURES EXPIRATION CONTRACTS POSITION MARKET VALUE (DEPRECIATION)
----------------------- ----------------- --------- -------- -------------- --------------
<S> <C> <C> <C> <C> <C>
S&P 500 Index Futures June 16, 2000 (29) Short $(10,985,925) $ (959,349)
S&P 500 Index Futures June 16, 2000 11 Long 4,167,075 331,126
U.S. Treasury Note Futures June 22, 2000 (81) Short (7,944,328) (322,587)
Milan Stock Exchange Futures June 19, 2000 18 Long 3,977,892 (236,294)
DAX Index Futures June 16, 2000 21 Long 3,814,561 (84,510)
TokyoPrice Index Futures June 14, 2000 13 Long 2,160,753 87,760
Toronto Stock Exchange
60 Index Futures June 16, 2000 34 Long 2,709,873 153,642
---------------------------- ----- ------------ -----------
Total (13) $ (2,100,099) $(1,030,212)
===== ============ ===========
</TABLE>
<TABLE>
<CAPTION>
ASSET MANAGEMENT PORTFOLIO III
--------------------------------------------------------------------------------------------------------------------
UNREALIZED
APPRECIATION/
TYPE OF FUTURES EXPIRATION CONTRACTS POSITION MARKET VALUE (DEPRECIATION)
----------------------- ----------------- --------- -------- -------------- --------------
<S> <C> <C> <C> <C> <C>
S&P 500 Index Futures June 16, 2000 (11) Short $(4,167,075) $(363,891)
S&P 500 Index Futures June 16, 2000 2 Long 757,650 61,123
U.S. Treasury Note Futures June 22, 2000 (13) Short (1,275,014) (51,774)
Milan Stock Exchange Futures June 19, 2000 4 Long 883,976 (52,553)
DAX Index Futures June 16, 2000 7 Long 1,271,520 (28,170)
TokyoPrice Index Futures June 14, 2000 4 Long 664,847 26,852
Toronto Stock Exchange
60 Index Futures June 16, 2000 13 Long 1,036,128 58,745
Mini S&P 500 Index Futures June 16, 2000 1 Long 75,765 3,032
---------------------------- ---- ----------- ---------
Total 7 $ (752,203) $(346,636)
========= =========== =========
</TABLE>
At March 31, 2000, the Portfolios have sufficient securities to cover margin
requirements on open futures contracts.
--------------------------------------------------------------------------------
59
<PAGE>
Asset Management Portfolios
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
NOTE 5--OPEN FORWARD FOREIGN CURRENCY CONTRACTS
A summary of obligations under these financial instruments at March 31, 2000 is
as follows:
<TABLE>
<CAPTION>
ASSET MANAGEMENT PORTFOLIO
---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
NET UNREALIZED
APPRECIATION/
CONTRACTS TO DELIVER IN EXCHANGE FOR SETTLEMENT DATE VALUE (US$) DEPRECIATION (US$)
---------------------------------------------------------------------------------------------------------------------------
Purchases
---------------------------------------------------------------------------------------------------------------------------
Euro Dollar 52,734,000 U.S. Dollars $51,150,261 4/6/2000 $50,410,013 $(740,248)
---------------------------------------------------------------------------------------------------------------------------
Total Net Unrealized Depreciation $(740,248)
---------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
ASSET MANAGEMENT PORTFOLIO II
-----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
UNREALIZED
APPRECIATION/
CONTRACTS TO DELIVER IN EXCHANGE FOR SETTLEMENT DATE VALUE (US$) DEPRECIATION (US$)
-----------------------------------------------------------------------------------------------------------------
Purchases
-----------------------------------------------------------------------------------------------------------------
Euro Dollar 6,189,000 U.S. Dollars $6,000,236 4/6/2000 $5,916,251 $(83,985)
-----------------------------------------------------------------------------------------------------------------
Japanese Yen 23,006,000 U.S. Dollars $ 214,973 4/6/2000 223,946 8,973
Total Unrealized Depreciation $(75,012)
-----------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
ASSET MANAGEMENT PORTFOLIO III
-----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
UNREALIZED
APPRECIATION/
CONTRACTS TO DELIVER IN EXCHANGE FOR SETTLEMENT DATE VALUE (US$) DEPRECIATION (US$)
-----------------------------------------------------------------------------------------------------------------
Purchases
-----------------------------------------------------------------------------------------------------------------
Euro Dollar 1,456,000 U.S. Dollars $1,411,592 4/6/2000 $1,391,834 $(19,758)
-----------------------------------------------------------------------------------------------------------------
Japanese Yen 18,919,000 U.S. Dollars $ 176,783 4/6/2000 184,162 7,379
Total Unrealized Depreciation $(12,379)
-----------------------------------------------------------------------------------------------------------------
</TABLE>
--------------------------------------------------------------------------------
60
<PAGE>
Asset Management Portfolios
--------------------------------------------------------------------------------
REPORT OF INDEPENDENT ACCOUNTANTS
To the Trustees and Holders of Beneficial
Interest of the Asset Management Portfolios:
In our opinion, the accompanying statements of assets and liabilities, including
the portfolios of investments, and the related statements of operations and of
changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of the Asset Management Portfolio,
Asset Management Portfolio II and Asset Management Portfolio III (hereafter
referred to as the "Portfolios") at March 31, 2000, and the results of each of
their operations, the changes in each of their net assets and the financial
highlights for each of the fiscal periods presented, in conformity with
accounting principles generally accepted in the United States. These financial
statements and financial highlights (hereafter referred to as "financial
statements") are the responsibility of the Portfolios' management; our
responsibility is to express an opinion on these financial statements based on
our audits. We conducted our audits of these financial statements in accordance
with auditing standards generally accepted in the United States, which require
that we plan and perform the audit to obtain reasonable assurance about whether
the financial statements are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures in
the financial statements, assessing the accounting principles used and
significant estimates made by management, and evaluating the overall financial
statement presentation. We believe that our audits, which included confirmation
of securities at March 31, 2000 by correspondence with the custodian and
brokers, provide a reasonable basis for the opinion expressed above.
PricewaterhouseCoopers LLP
Baltimore, Maryland
May 5, 2000
--------------------------------------------------------------------------------
61
<PAGE>
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<PAGE>
<PAGE>
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:
DEUTSCHE ASSET MANAGEMENT SERVICE CENTER
P.O. BOX 219210
KANSAS CITY, MO 64121-9210
or call our toll-free number: 1-800-730-1313
This report must be preceded or accompanied by a current prospectus for the
Fund.
BT Investment Lifecycle Long Range Fund Long Range CUSIP #055922843
BT Investment Lifecycle Mid Range Fund Mid Range CUSIP #055922835
BT Investment Lifecycle Short Range Fund Short Range CUSIP #055922827
BT INVESTMENT FUNDS COMBLIFEANN (3/00)
Distributed by:
ICC Distributors, Inc.
