Deutsche Asset Management
Mutual Fund
Semi-Annual Report
September 30, 2000
Investment Class
Lifecycle Long Range
Formerly BTInvestment Lifecycle Long Range Fund
Lifecycle Mid Range
Formerly BTInvestment Lifecycle Mid Range Fund
Lifecycle Short Range
Formerly BTInvestment Lifecycle Short Range Fund
A Member of the
Deutsche Bank Group [logo omitted]
<PAGE>
Lifecycle Funds
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TABLE OF CONTENTS
LETTER TO SHAREHOLDERS 3
LIFECYCLE FUNDS
Statements of Assets and Liabilities 14
Statements of Operations 15
Statements of Changes in Net Assets 16
Financial Highlights 19
Notes to Financial Statements 22
ASSET MANAGEMENT PORTFOLIOS
Schedules of Portfolio Investments 24
Statements of Assets and Liabilities 46
Statements of Operations 47
Statements of Changes in Net Assets 48
Financial Highlights 51
Notes to Financial Statements 52
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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.
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2
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Lifecycle Funds
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LETTER TO SHAREHOLDERS
We are pleased to present you with this semi-annual report for the Lifecycle
Long Range -- Investment Class, Mid Range -Investment Class, and Short Range --
Investment Class (the "Funds"), providing a review of the markets, the
Portfolios, and our outlook as well as a complete financial summary of the
Funds' operations and a listing of the Portfolios' holdings.
MARKET ACTIVITY
Signs emerged over the semi-annual period that global economic growth was
moderating from its super-charged pace of late 1999 and early 2000. Most would
agree that some slowing in the rate of economic growth was desirable, if not
inevitable, in places where resources are stretched and where overheating was of
real concern -- most notably in the US. However, in areas that still have
substantial slack in their economies, such as continental Europe, many of the
emerging nations, and especially Japan, these signs of moderation were less
welcome.
o One of the major contributing factors to this global slowdown was the lagging
effects of the monetary tightenings initiated by major central banks,
including the Federal Reserve Board, the European Central Bank, and the Bank
of Japan, during the second half of 1999 and the first months of 2000.
o Another was the flattening of global equity markets, which gradually
diminished the "wealth effect" boost to individual consumption.
o Third was rising energy prices, which cut into consumers' purchasing power
throughout most of the major industrialized nations.
US EQUITIES
After five years of spectacular gains, the broad US equity markets were flat or
slightly down for the six months ended September 30, 2000. o At first, market
worries centered on the risks of economic overheating and rising interest rates.
In fact, arguing that the pace of the economy could not be indefinitely
supported by labor force growth and thus may rekindle inflation, the Federal
Reserve Board followed its five interest rate hikes from the summer of 1999,
through March 2000, with yet another on May 16.
-- The dramatic correction in the NASDAQ Composite that began in March and
April and the Justice Department's ruling in the Microsoft antitrust case
also impacted the major US equity indices.
-- The S&P 500 Index fell almost 10% from March 24 through May 23. But the
large cap stock market finally found its footing in June when it seemed
that the Federal Reserve Board could be induced to delay additional
interest rate hikes based on signs of a slowing economy.
o More recently, concerns have shifted to the implications for corporate
earnings of slowing economic growth, rising energy prices, and an
appreciating dollar. With such concerns persistent, volatility remained high
through the end of the third calendar quarter.
US BONDS
The US fixed income markets continued to be dominated by the policies of the
Federal Reserve Board.
o During most of the second calendar quarter, the US fixed income markets
remained under pressure from signs of excessive demand growth and Federal
Reserve Board tightening.
-- The Federal Reserve Board's rate hike of 0.50% in May, brought the
cumulative rise in interest rates since June 1999 to 1.75%, leaving the
targeted federal funds rate at 6.50%.
-- Yield curves generally flattened in this tightening environment,
especially in the US Treasury market, where reductions in debt supply
actually pushed long-term yields down.
o Beginning in early summer, US fixed income markets rallied, as evidence of
moderating US economic growth eased inflation concerns and moved the Federal
Reserve Board to the sidelines.
-- Yield curves steepened on the perception of an end to Federal Reserve
Board tightening.
-- Long-term US Treasury yields moved up a bit, as investors weighed both the
possibility of a post-election easing of fiscal policy and the impact that
higher energy prices may have on underlying inflation.
INTERNATIONAL MARKETS
For most of the semi-annual period, the world equity markets were volatile, with
a focus on the US Federal Reserve Board's, the European Central Bank's, and the
Bank of England's tightening policy for interest rates.
o Other factors included mixed signals about the health of the Japanese economy
and higher oil prices that remain a major source of inflation concern for
central bankers.
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3
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Lifecycle Funds
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LETTER TO SHAREHOLDERS
o In sharp contrast to 1999, technology proved to be one of the worst
performing sectors during these months, and world equity markets were
buffeted by NASDAQ Composite volatility.
o As the possibility of a "soft landing" in the US decreased the chances of
further Federal Reserve Board rate hikes, which investors had feared could
induce a global economic slowdown, the world equity markets recovered a bit.
o Regionally, the European equities markets outpaced Asian and Pacific Rim
markets.
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<TABLE>
<CAPTION>
CUMULATIVE AVERAGE ANNUAL
TOTAL RETURNS TOTAL RETURNS
Periods ended Past 6 Past 1 Past 3 Past 5 Since Past 1 Past 3 Past 5 Since
September 30, 2000 months year years years inception year years years inception
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<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
LIFECYCLE LONG RANGE --
INVESTMENT CLASS1
(INCEPTION 11/16/93) (1.55)% 11.22% 41.20% 105.24% 135.59% 11.22% 12.19% 15.47% 13.28%
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Asset Allocation Index --
Long Range2 0.03% 10.62% 40.29% 99.53% 144.65%4 10.62% 11.95% 14.82% 13.98%4
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Lipper Flexible Portfolio
Average3 (0.27)% 12.78% 33.61% 88.17% 131.09%4 12.78% 9.97% 13.26% 12.72%4
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LIFECYCLE MID RANGE --
INVESTMENT CLASS1
(INCEPTION 10/14/93) 0.20% 9.25% 33.05% 79.36% 95.07% 9.25% 9.99% 12.39% 10.07%
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Asset Allocation Index --
Mid Range2 1.54% 9.20% 32.18% 73.48% 103.47%4 9.20% 9.75% 11.65% 10.81%4
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Lipper Flexible Portfolio
Average3 (0.27)% 12.78% 33.61% 88.17% 127.79%4 12.78% 9.97% 13.26% 12.32%4
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LIFECYCLE SHORT RANGE --
INVESTMENT CLASS1
(INCEPTION 10/15/93) 1.74% 7.49% 24.01% 54.36% 64.16% 7.49% 7.44% 9.07% 7.38%
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Asset Allocation Index --
Short Range2 3.03% 7.70% 24.10% 50.10% 69.66%4 7.70% 7.46% 8.46% 7.94%4
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Lipper Income Average3 3.14% 8.84% 20.78% 66.20% 93.02%4 8.84% 6.44% 10.52% 9.77%4
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<FN>
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1 PAST 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.These figures assume
reinvestment of dividend and capital gain distributions. Performance would
have been lower during the specified periods if certain fees and expenses
had not been waived by the Fund. The Fund may invest in derivatives that may
be more volatile and less liquid than traditional securities and the Fund
could suffer losses on its derivative positions. Mergers and acquisition
transactions may be renegotiated, terminated, or delayed and in the event
that these transactions fail to close or close at a less than expected price
per share, the Fund may realize losses or a lower return than expected.
2 The 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
90-Day T-Bill 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 90-Day T-Bill 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 90-Day T-Bill Index. The S&P 500 Index is
an unmanaged index used to portray the pattern of common stock movement of
500 large companies. The Salomon Broad Investment Grade Bond Index is an
unmanaged index which covers an all inclusive universe of institutionally
traded USTreasury, Agency, Mortgage and Corporate securities. Index returns
do not reflect expenses, which have been deducted from the Fund's return.
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 category
indicated.These figures do not reflect sales charges.
4 Benchmark returns are for the period beginning November 30, 1993, for the
LifecycleLong Range -- Investment Class and October 30, 1993, for the
Lifecycle Mid Range -- InvestmentClass and Lifecycle Short Range --
InvestmentClass.
</FN>
</TABLE>
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4
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Lifecycle Funds
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LETTER TO SHAREHOLDERS
Primarily due to increases in interest rates by the US Federal Reserve Board as
well as by the European Central Bank, international bond yields, with the
exception of the UK, were generally higher. As in the US, the UK yield curve
flattened and long-term rates were slightly lower.
CASH
The US dollar climbed higher against most major currencies over the semi-annual
period, pushing the euro to all-time lows. Late in the period, joint central
bank intervention seems to have arrested, but not reversed, the euro's decline.
o Early in the period, the dollar's strength primarily reflected the pace of US
economic growth, which exceeded that of most other major nations.
o More recently, the dollar remained firm despite evidence of moderating US
growth, partly because activity abroad has also cooled but even more so
because investors around the world continued to view US investment
opportunities in a favorable light.
INVESTMENT REVIEW
All three Lifecycle Funds underperformed their respective benchmarks and only
the Lifecycle Mid Range outperformed its category average for the semi-annual
period ended September 30, 2000. This relative performance was due primarily to
each Fund's overweighting of equities, underweighting of US fixed income and
exposure to the euro currency. Our model's assessment of a wide variety of
factors supported each Fund's allocation.
The drivers behind the equity overweighting, and within that the overweighting
of foreign equities, particularly of European markets, and underweighting of US
equities, were a combination of three fundamental variables. Namely, these were
low inflationary pressures, strong global growth, and sensitivity to the global
cost of capital. With global economic growth slowing, we began to reduce the
Funds' equity position toward the end of the period.
The US bond position was underweighted to neutral on the basis of relatively low
yields and sensitivity to the cost of capital. We made no allocations to
international bonds in the Portfolios during the semi-annual period. The Funds
were slightly overweighted in the euro during the second calendar quarter and
held a more neutral position during the third quarter. The primary driver behind
the currency position was the level and global trend in interest rates. o The
Lifecycle Long Range's asset weightings were 53% in equities, 35% in bonds, and
12% in cash and other short-term instruments as of September 30, 2000.
o The Lifecycle Mid Range's asset weightings were 33% in equities, 43% in
bonds, and 24% in cash and other short-term instruments as of September 30,
2000.
o The Lifecycle Short Range's asset weightings were 14% in equities, 53% in
bonds, and 33% in cash and other short-term instruments as of September 30,
2000.
MANAGER OUTLOOK
GOING FORWARD, WE EXPECT GLOBAL ECONOMIC GROWTH TO CONTINUE INTO 2001, ALTHOUGH
AT A LESS EXUBERANT PACE THAN EARLIER IN 2000.
o We believe the lagging effects of higher interest rates, higher energy
prices, and softer equities markets will continue to exert some restraints.
o We also expect a more balanced economic growth profile around the world, with
less contribution from the US and more from Europe and Asia, as these
international regions increasingly use up their slack and exploit the same
information technologies that have fueled US growth over the past several
years. Such narrowing growth differential should gradually help rebalance
current account positions, narrowing the deficit in the US and the surpluses
in Europe and Asia.
o Of course, the possibility of a more pronounced economic slowing can not be
ruled out, especially if energy prices surge further and/or equity markets
correct significantly, thereby undercutting investor confidence.
THE MODERATION IN ECONOMIC GROWTH SHOULD, IN OUR VIEW, HELP KEEP INFLATION
PRESSURES BROADLY IN CHECK.
o At the same time, the risk of some inflation increase in the US, where
resources are so stretched, is still palpable.
o Energy prices pose another risk to the inflation picture, both
internationally and in the US, where they may impact especially strongly if
they stay high long enough to begin feeding into inflation expectations and
wage demands.
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5
<PAGE>
Lifecycle Funds
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LETTER TO SHAREHOLDERS
BASED ON THIS ECONOMIC OUTLOOK, OUR VIEW FOR THE FINANCIAL MARKETS IS SHIFTING
ACCORDINGLY.
o US equities may have to contend with a less favorable
growth/inflation/corporate profits mix than the virtual nirvana that had
prevailed in recent years. We believe that earnings growth has peaked and may
moderate into 2001.
o The backdrop for US fixed income markets is more favorable. We agree with the
consensus outlook that the Federal Reserve Board is nearing the end of its
tightening bias. Further, the supply/demand picture for bonds is
constructive.
o In Europe, inflationary concerns center around the weak euro, accelerating
economic growth, and buoyant money supply. Yet pricing pressures have been
remarkably dormant, and there seems to be ample spare capacity in both the
goods and labor markets. At the same time, we believe more tightening is
required by the European Central Bank over the next twelve months as is a
stronger euro in a supportive role. Key positives for Europe include strong
economic growth, falling unemployment, tax cuts, and further prospects for
corporate consolidation across the continent. We are more cautious in our
outlook for the Asian equity markets, as Japan in particular continues to
suffer from new bankruptcies and a weak financial framework.
Staying disciplined to the Funds' model-driven investment strategy, we intend to
reduce the Portfolios' strong overweighting in equities, increase slightly the
positions in bonds, and move out of the euro. 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
September 30, 2000
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6
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[THIS PAGE INTENTIONALLY LEFT BLANK]
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Lifecycle Long Range-- Investment Class
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LETTER TO SHAREHOLDERS
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PORTFOLIO DIVERSIFICATION
By Asset Class as of September 30, 2000
(percentages are based on market value of total investments in the Portfolio)
[pie chart omitted]
plot points as follows:
Short Term Instruments Bonds Stocks
12% 13% 53%
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This chart shows Lifecycle Long Range's investment exposure to different asset
classes (i.e. stocks, bonds and short term instruments). 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 in the Portfolio)
General Electric 2.26%
Cisco Systems 1.57
Microsoft Corp. 1.26
Exxon Mobil Corp. 1.26
Intel Corp. 1.13
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
FIVE LARGEST FIXED INCOME SECURITIES
(percentages are based on market value of total investments in the Portfolio)
US Treasury Bond, 8.125%, 8/15/19 2.85%
FHLMC Gold, 7.00%, 6/1/09 1.70
International Paper Co., 8.00%, 7/8/03 1.11
Chemical Master Credit Card Trust,
5.98%, 9/15/08 1.10
US Treasury Note, 6.625%, 3/31/02 0.97
--------------------------------------------------------------------------------
OBJECTIVE
Seeks high total return with reduced risk over the long term by investing in
stocks, bonds and short term instruments.
INVESTMENT INSTRUMENTS
Primarily common stocks, corporate and government issued intermediate- to
long-term bonds, various government agency issued asset-backed securities, and
all types of domestic and foreign securities and money market instruments.
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8
<PAGE>
Lifecycle Long Range -- Investment Class
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PERFORMANCE COMPARISON
LIFECYCLE LONG RANGE -- INVESTMENT CLASS,
ASSET ALLOCATION INDEX -- LONG RANGE AND THE S&P 500 INDEX
GROWTH OF A $10,000 INVESTMENT (SINCE NOVEMBER 16, 1993)1
[line graph omitted]
plot points as follows:
Lifecycle Long Asset Allocation S&P 500 Index
Range Fund Index--Long Range
11/16/93 9930 10000 10000
3/94 9680 9789 9738
9/94 9698 10081 10256
3/95 10319 10843 11253
9/95 11479 12261 13306
3/96 12321 13185 14864
9/96 13075 13894 16010
3/97 14031 14913 17810
9/97 16686 17439 22489
3/98 18759 19410 26363
9/98 18492 19200 24522
3/99 21092 22015 31229
9/99 21182 22117 31345
3/00 23930 24458 36837
9/00 23559 24465 35513
Average Annual Total Return for the Periods Ended September 30, 2000
One Year 11.22% Five Year 15.47% Since 11/16/931 13.28%
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1 The Fund's inception date.
PAST 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. These figures assume the
reinvestment of dividend and capital gain distributions. Performance would have
been lower during the specified periods if certain fees and expenses had not
been waived by the Fund.
The Asset Allocation Index -- Long Range is calculated using the performance of
three indices representative of stocks, bonds and cash(stocks: S&P 500; bonds:
Salomon Broad Investment Grade Bond Index; cash: 90-Day T-Bill Index weighted by
their corresponding proportion of the Fund's neutral position (stocks: 55%;
bonds: 35%; cash: 10%). These results are summed to produce the aggregate
benchmark.
The S&P 500 Index is an unmanaged index used to portray the pattern of common
stock movement of 500 large companies.
Benchmark returns are for the period beginning November 30, 1993.
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9
<PAGE>
Lifecycle Mid Range-- Investment Class
--------------------------------------------------------------------------------
LETTER TO SHAREHOLDERS
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PORTFOLIO DIVERSIFICATION
By Asset Class as of September 30, 2000
(percentages are based on market value of total investments in the Portfolio)
[pie chart omitted]
plot points as follows:
Short Term Instruments Stocks Bonds
24% 33% 43%
This chart shows Lifecycle Mid Range's investment exposure to different asset
classes (i.e. stocks, bonds and short term instruments). 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 in the Portfolio)
General Electric 1.45%
Cisco Systems 1.01
Microsoft Corp. 0.81
Exxon Mobil Corp. 0.80
Intel Corp. 0.72
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
FIVE LARGEST FIXED INCOME SECURITIES
(percentages are based on market value of total investments in the Portfolio)
US Treasury Bond, 8.125%, 8/15/19 3.27%
US Treasury Note, 6.625%, 3/31/02 2.91
FHLMC Gold, 7.00%, 6/1/09 2.28
FGLMC TBA, 6.50%, 7/1/29 1.32
Harrisburg, PA Housing Corp.,
10.00%, 7/15/24 1.24
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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.
--------------------------------------------------------------------------------
10
<PAGE>
Lifecycle Mid Range -- Investment Class
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PERFORMANCE COMPARISON
LIFECYCLE MID RANGE -- INVESTMENT CLASS,
ASSET ALLOCATION INDEX -- MID RANGE AND THE S&P 500 INDEX
GROWTH OF A $10,000 INVESTMENT (SINCE OCTOBER 14, 1993)1
[line graph omitted]
plot points as follows:
Lifecycle Mid Asset Allocation S&P 500 Index
Range Fund Index--Mid Range
10/14/93 9920 10000 10000
3/94 9503 9765 9645
9/94 9514 9969 10158
3/95 10001 10611 11146
9/95 10876 11729 13180
3/96 11466 12400 14723
9/96 12039 12938 15858
3/97 12746 13662 17641
9/97 14662 15393 22275
3/98 16101 16712 26112
9/98 16336 16918 24289
3/99 17731 18520 30932
9/99 17856 18632 31047
3/00 19468 20039 36487
9/00 19507 20347 35176
Average Annual Total Return for the Periods Ended September 30, 2000
One Year 9.25% Five Year 12.39% Since 10/14/931 10.07%
--------------------------------------------------------------------------------
1 The Fund's inception date.
PAST 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. These figures assume the
reinvestment of dividend and capital gain distributions. Performance would have
been lower during the specified periods if certain fees and expenses had not
been waived by the Fund.
The Asset Allocation Index -- Mid Range is calculated using the performance of
three indices representative of stocks, bonds and cash (stocks: S&P 500; bonds:
Salomon Broad Investment Grade Bond Index; cash: 90-Day T-Bill Index weighted by
their corresponding proportion of the Fund's neutral position (stocks: 35%;
bonds: 45%; cash: 20%). These results are summed to produce the aggregate
benchmark.
The S&P 500 Index is an unmanaged index used to portray the pattern of common
stock movement of 500 large companies.
Benchmark returns are for the period beginning October 31, 1993.
--------------------------------------------------------------------------------
11
<PAGE>
Lifecycle Short Range-- Investment Class
--------------------------------------------------------------------------------
LETTER TO SHAREHOLDERS
--------------------------------------------------------------------------------
PORTFOLIO DIVERSIFICATION
By Asset Class as of September 30, 2000
(percentages are based on market value of total investments in the Portfolio)
[pie chart omitted]
plot points as follows:
Stocks Short Term Instruments Bonds
14% 33% 53%
--------------------------------------------------------------------------------
This chart shows Lifecycle Short Range's investment exposure to different asset
classes (i.e. stocks, bonds and short term instruments). 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 in the Portfolio)
General Electric 0.62%
Cisco Systems 0.43
Exxon Mobil Corp. 0.35
Microsoft Corp. 0.35
Intel Corp. 0.31
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
FIVE LARGEST FIXED INCOME SECURITIES
(percentages are based on market value of total investments in the Portfolio)
FHLMC Gold, 7.00%, 6/1/09 3.77%
US Treasury Bond, 8.125%, 8/15/19 3.71
US Treasury Note, 6.625%, 3/31/02 2.53
Harrisburg, PA Housing Corp.,
10.00%, 7/15/24 2.06
Air 2 US, 8.027%, 10/1/19 1.97
--------------------------------------------------------------------------------
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.
--------------------------------------------------------------------------------
12
<PAGE>
Lifecycle Short Range-- Investment Class
--------------------------------------------------------------------------------
PERFORMANCE COMPARISON
LIFECYCLE SHORT RANGE -- INVESTMENT CLASS,
ASSET ALLOCATION INDEX -- SHORT RANGE AND THE S&P 500 INDEX
GROWTH OF A $10,000 INVESTMENT (SINCE OCTOBER 15, 1993)1
[line graph omitted]
plot points as follows:
Lifecycle Short Asset Allocation S&P 500 Index
Range Fund Index--Short Range
10/15/93 9940 10000 10000
3/94 9655 9818 9645
9/94 9581 9934 10158
3/95 9952 10463 11146
9/95 10635 11303 13180
3/96 11014 11748 14723
9/96 11428 12134 15858
3/97 11930 12601 17641
9/97 13237 13671 22275
3/98 14158 14472 26112
9/98 14775 14975 24289
3/99 15256 15640 30932
9/99 15272 15754 31047
3/00 16136 16467 36487
9/00 16416 16966 35176
Average Annual Total Return for the Periods Ended September 30, 2000
One Year 7.49% Five Year 9.07% Since 10/15/931 7.38%
--------------------------------------------------------------------------------
1 The Fund's inception date.
PAST 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. These figures assume the
reinvestment of dividend and capital gain distributions. Performance would have
been lower during the specified periods if certain fees and expenses had not
been waived by the Fund. The Asset Allocation Index -- Short Range is calculated
using the performance of three indices representative of stocks, bonds and cash
(stocks: S&P 500; bonds: Salomon Broad Investment Grade Bond Index; cash: 90-Day
T-Bill Index weighted by their corresponding proportion of the Fund's neutral
position (stocks: 15%; bonds: 55%; cash: 30%). These results are summed to
produce the aggregate benchmark. The S&P 500 Index is an unmanaged index used to
portray the pattern of common stock movement of 500 large companies.
Benchmark returns are for the period beginning October 31, 1993.
--------------------------------------------------------------------------------
13
<PAGE>
Lifecycle Funds
--------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SEPTEMBER 30, 2000
LIFECYCLE LIFECYCLE LIFECYCLE
LONG RANGE -- MID RANGE -- SHORT RANGE --
INVESTMENT CLASS INVESTMENT CLASS INVESTMENT CLASS
--------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
ASSETS
Investment in Portfolio, at Value1 $150,870,120 $90,919,013 $27,413,971
Receivable for Shares of Beneficial
Interest Subscribed 652,744 571,794 222,008
Prepaid Expenses and Other 9,001 7,715 8,934
------------ ----------- -----------
Total Assets 151,531,865 91,498,522 27,644,913
------------ ----------- -----------
LIABILITIES
Income Dividend Payable 494,817 513,223 209,729
Due to Bankers Trust 46,144 24,219 3,932
Payable for Shares of Beneficial
Interest Redeemed 1,039,589 122,857 148,261
Accrued Expenses and Other 22,699 17,807 20,849
------------ ----------- -----------
Total Liabilities 1,603,249 678,106 382,771
------------ ----------- -----------
NET ASSETS $149,928,616 $90,820,416 $27,262,142
============ =========== ===========
COMPOSITION OF NET ASSETS
Paid-in Capital $142,225,366 $87,205,301 $26,942,325
Undistributed (Distributions in Excess of)
Net Investment Income 875,245 534,879 (1,541)
Accumulated Net Realized Loss from
Investment, Foreign Currency,
Forward Foreign Currency and
Futures Transactions (582,122) (1,055,848) (147,882)
Net Unrealized Appreciation on
Investments, Foreign Currencies and
Forward Foreign Currency and
Futures Contracts 7,410,127 4,136,084 469,240
------------ ----------- -----------
NET ASSETS $149,928,616 $90,820,416 $27,262,142
============ =========== ===========
SHARES OUTSTANDING ($0.001 par value per
share, unlimited number of shares of
beneficial interest authorized) 12,338,584 8,596,016 2,628,727
============ =========== ===========
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE
PER SHARE (net assets divided by
shares outstanding) $ 12.15 $ 10.57 $ 10.37
============ =========== ===========
<FN>
--------------------------------------------------------------------------------
1 Allocated from Asset Management Portfolio, Asset Management Portfolio II and
Asset Management Portfolio III, respectively.
</FN>
</TABLE>
See Notes to Financial Statements.
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14
<PAGE>
Lifecycle Funds
--------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE SIX MONTHS ENDED SEPTEMBER 30, 2000
LIFECYCLE LIFECYCLE LIFECYCLE
LONG RANGE -- MID RANGE -- SHORT RANGE --
INVESTMENT CLASS INVESTMENT CLASS INVESTMENT CLASS
------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
INVESTMENT INCOME
Income, Net1 $ 2,587,409 $ 2,076,843 $ 852,299
----------- ----------- ---------
EXPENSES
Administration and Services Fees 513,389 306,222 105,076
Professional Fees 10,532 10,532 6,881
Printing and Shareholder Reports 6,017 6,017 8,851
Registration Fees 5,261 4,906 3,477
Trustees Fees 3,604 3,599 3,430
Miscellaneous 1,440 1,090 1,029
----------- ----------- ---------
Total Expenses 540,243 332,366 128,744
Less: Fee Waivers or Expense
Reimbursements (222,909) (143,922) (64,803)
----------- ----------- ---------
Net Expenses 317,334 188,444 63,941
----------- ----------- ---------
NET INVESTMENT INCOME 2,270,075 1,888,399 788,358
----------- ----------- ---------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS,
FOREIGN CURRENCIES AND FORWARD FOREIGN CURRENCY AND
FUTURES CONTRACTS
Net Realized Gain (Loss) from:
Investment Transactions 2,024,700 906,340 364,578
Foreign Currency Transactions (1,383,529) (635,066) (132,827)
Forward Foreign Currency Transactions -- 543 1,570
Futures Transactions (970,792) (1,149,818) (379,388)
Net Change in Unrealized Appreciation/
Depreciation on Investments, Foreign
Currencies and Forward Foreign Currency
and Futures Contracts (4,411,419) (914,249) (91,212)
----------- ----------- ---------
NET REALIZED AND UNREALIZED LOSS ON
INVESTMENTS, FOREIGN CURRENCIES AND
FORWARD FOREIGN CURRENCY
AND FUTURES CONTRACTS (4,741,040) (1,792,250) (237,279)
----------- ----------- ---------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS $(2,470,965) $ 96,149 $ 551,079
============ =========== =========
</TABLE>
--------------------------------------------------------------------------------
1 Allocated from Asset Management Portfolio, Asset Management Portfolio II and
Asset Management Portfolio III, respectively.
See Notes to Financial Statements.
--------------------------------------------------------------------------------
15
<PAGE>
Lifecycle Funds
--------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFECYCLE LONGRANGE -- INVESTMENT CLASS FOR THE SIX FOR THE
MONTHS ENDED YEAR ENDED
SEPTEMBER 30, MARCH 31,
20001 2000
-------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS
Net Investment Income $ 2,270,075 $ 3,708,998
Net Realized Gain (Loss) from Investment, Foreign
Currency, Forward Foreign Currency and
Futures Transactions (329,621) 18,381,354
Net Change in Unrealized Appreciation/Depreciation
on Investments, Foreign Currencies and Forward
Foreign Currency and Futures Contracts (4,411,419) (1,227,450)
------------ ------------
Net Increase (Decrease) in Net Assets from Operations (2,470,965) 20,862,902
------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income (1,563,609) (2,891,082)
Net Realized Gain from Investment Transactions (16,388,503) (1,362,641)
------------ ------------
Total Distributions (17,952,112) (4,253,723)
------------ ------------
CAPITAL TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST
Proceeds from Sales of Shares 15,844,485 78,743,860
Dividend Reinvestments 16,842,880 4,276,820
Cost of Shares Redeemed (29,231,183) (66,284,338)
------------ ------------
Net Increase from Capital Transactions in Shares of
Beneficial Interest 3,456,182 16,736,342
------------ ------------
TOTAL INCREASE (DECREASE) IN NET ASSETS (16,966,895) 33,345,521
NET ASSETS
Beginning of Period 166,895,511 133,549,990
------------ ------------
End of Period (Including undistributed net investment
income of $875,245 and $168,779, respectively) $149,928,616 $166,895,511
============ ============
<FN>
--------------------------------------------------------------------------------
1 Unaudited.
</FN>
</TABLE>
See Notes to Financial Statements.
--------------------------------------------------------------------------------
16
<PAGE>
Lifecycle Funds
--------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFECYCLE MIDRANGE -- INVESTMENT CLASS FOR THE SIX FOR THE
MONTHS ENDED YEAR ENDED
SEPTEMBER 30, MARCH 31,
20001 2000
--------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS
Net Investment Income $ 1,888,399 $ 2,839,331
Net Realized Gain (Loss) from Investment, Foreign
Currency, Forward Foreign Currency and Futures
Transactions (886,769) 6,000,297
Net Change in Unrealized Appreciation/Depreciation on
Investments, Foreign Currencies and Forward Foreign
Currency and Futures Contracts (905,481) 597,643
------------ ------------
Net Increase in Net Assets from Operations 96,149 9,437,271
------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income (1,428,532) (2,051,848)
Net Realized Gain from Investment Transactions (5,491,858) (113,956)
------------ ------------
Total Distributions (6,920,390) (2,165,804)
------------ ------------
CAPITAL TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST
Proceeds from Sales of Shares 12,786,691 60,000,418
Dividend Reinvestments 6,679,610 2,165,597
Cost of Shares Redeemed (20,431,710) (48,383,006)
------------ ------------
Net Increase (Decrease) from Capital Transactions in
Shares of Beneficial Interest (965,409) 13,783,009
------------ ------------
TOTAL INCREASE (DECREASE) IN NET ASSETS (7,789,650) 21,054,476
NET ASSETS
Beginning of Period 98,610,066 77,555,590
------------ ------------
End of Period (Including undistributed net investment
income of $534,879 and $75,012, respectively) $ 90,820,416 $ 98,610,066
============ ============
<FN>
--------------------------------------------------------------------------------
1 Unaudited.
</FN>
</TABLE>
See Notes to Financial Statements.
--------------------------------------------------------------------------------
17
<PAGE>
Lifecycle Funds
--------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFECYCLE SHORT RANGE -- INVESTMENT CLASS FOR THE SIX FOR THE
MONTHS ENDED YEAR ENDED
SEPTEMBER 30, MARCH 31,
20001 2000
-----------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS
Net Investment Income $ 788,358 $ 1,556,356
Net Realized Gain (Loss) from Investment, Foreign
Currency, Forward Foreign Currency and
Futures Transactions (146,067) 1,155,473
Net Change in Unrealized Appreciation/Depreciation on
Investments, Foreign Currencies and Forward Foreign
Currency and Futures Contracts (91,212) (563,439)
------------ ------------
Net Increase in Net Assets from Operations 551,079 2,148,390
------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income (625,985) (1,068,583)
Net Realized Gain from Investment Transactions (555,007) --
------------ ------------
Total Distributions (1,180,992) (1,068,583)
------------ ------------
CAPITAL TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST
Proceeds from Sales of Shares 5,796,645 29,264,331
Dividend Reinvestments 745,899 1,065,845
Cost of Shares Redeemed (16,345,329) (38,246,941)
------------ ------------
Net Decrease from Capital Transactions in Shares of
Beneficial Interest (9,802,785) (7,916,765)
------------ ------------
TOTAL DECREASE IN NET ASSETS (10,432,698) (6,836,958)
NET ASSETS
Beginning of Period 37,694,840 44,531,798
------------ ------------
End of Period (Including distributions in excess of net
investment income of $1,540 and $163,914,
respectively.) $ 27,262,142 $ 37,694,840
============ ============
<FN>
--------------------------------------------------------------------------------
1 Unaudited.
</FN>
</TABLE>
See Notes to Financial Statements.
--------------------------------------------------------------------------------
18
<PAGE>
Lifecycle Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFECYCLE LONG RANGE -- FOR THE SIX
INVESTMENT CLASS MONTHS ENDED FOR THE YEARS ENDED MARCH 31,
SEPTEMBER 30, 20001 2000 1999 1998 1997 1996
----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE,
BEGINNING OF PERIOD $ 13.86 $ 12.57 $ 14.57 $ 11.96 $ 11.32 $ 10.07
-------- -------- -------- -------- ------- -------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.19 0.33 0.43 0.32 0.35 0.37
Net Realized and Unrealized Gain
(Loss) on Investments, Foreign
Currencies and Forward
Foreign Currency and Futures
Contracts (0.44) 1.32 1.27 3.57 1.18 1.54
-------- -------- -------- -------- ------- -------
Total from Investment Operations (0.25) 1.65 1.70 3.89 1.53 1.91
-------- -------- -------- -------- ------- -------
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income (0.13) (0.24) (0.47) (0.33) (0.39) (0.38)
Net Realized Gain from
Investment Transactions (1.33) (0.12) (2.98) (0.95) (0.50) (0.28)
Distributions in Excess of Net
Investment Income -- -- (0.25) -- -- --
-------- -------- -------- -------- ------- -------
Total Distributions (1.46) (0.36) (3.70) (1.28) (0.89) (0.66)
-------- -------- -------- -------- ------- -------
NET ASSET VALUE, END OF PERIOD $ 12.15 $ 13.86 $ 12.57 $ 14.57 $ 11.96 $ 11.32
======== ======== ======== ======== ======= =======
TOTAL INVESTMENT RETURN (1.55)% 13.46% 12.44% 33.69% 13.88% 19.41%
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period
(000s omitted) $149,929 $166,896 $133,550 $138,801 $78,291 $56,012
Ratios to Average Net Assets:
Net Investment Income 2.87%2 2.30% 2.51% 2.57% 2.73% 3.58%
Expenses After Waivers,
Including Expenses of the
Asset Management Portfolio 1.00%2 1.00% 1.00% 1.00% 1.00% 1.00%
Expenses Before Waivers,
Including Expenses of the
Asset Management Portfolio 1.44%2 1.46% 1.44% 1.45% 1.48% 1.60%
<FN>
--------------------------------------------------------------------------------
1 Unaudited.
2 Annualized.
</FN>
</TABLE>
See Notes to Financial Statements.
--------------------------------------------------------------------------------
19
<PAGE>
Lifecycle Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFECYCLE MID RANGE -- FOR THE SIX
INVESTMENT CLASS MONTHS ENDED FOR THE YEARS ENDED MARCH 31,
SEPTEMBER 30, 20001 2000 1999 1998 1997 1996
---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE,
BEGINNING OF PERIOD $ 11.38 $ 10.60 $ 12.32 $ 10.80 $ 10.48 $ 9.61
------- ------- ------- ------- ------- -------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.22 0.32 0.32 0.37 0.42 0.41
Net Realized and Unrealized Gain
(Loss) on Investments, Foreign
Currencies and Forward
Foreign Currency and
Futures Contracts (0.21) 0.71 0.84 2.36 0.72 0.96
------- ------- ------- ------- ------- -------
Total from Investment Operations 0.01 1.03 1.16 2.73 1.14 1.37
------- ------- ------- ------- ------- -------
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income (0.18) (0.23) (0.38) (0.37) (0.44) (0.44)
Net Realized Gain from
Investment Transactions (0.64) (0.02) (2.32) (0.84) (0.38) (0.06)
Distributions in Excess of Net
Realized Gain -- -- (0.18) -- -- --
------- ------- ------- ------- ------- -------
Total Distributions (0.82) (0.25) (2.88) (1.21) (0.82) (0.50)
------- ------- ------- ------- ------- -------
NET ASSET VALUE, END OF PERIOD $ 10.57 $ 11.38 $ 10.60 $ 12.32 $ 10.80 $ 10.48
======= ======= ======= ======= ======= =======
TOTAL INVESTMENT RETURN 0.20% 9.80% 10.12% 26.33% 11.16% 14.65%
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period
(000s omitted) $90,820 $98,610 $77,556 $95,103 $61,867 $51,466
Ratios to Average Net Assets:
Net Investment Income 4.00%2 3.03% 2.75% 3.31% 3.48% 4.15%
Expenses After Waivers,
Including Expenses of the
Asset Management PortfolioII 1.00%2 1.00% 1.00% 1.00% 1.00% 1.00%
Expenses Before Waivers,
Including Expenses of the
Asset Management Portfolio II 1.52%2 1.51% 1.51% 1.48% 1.55% 1.58%
<FN>
--------------------------------------------------------------------------------
1 Unaudited.
2 Annualized.
</FN>
</TABLE>
See Notes to Financial Statements.
--------------------------------------------------------------------------------
20
<PAGE>
Lifecycle Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFECYCLE SHORT RANGE -- FOR THE SIX
INVESTMENT CLASS MONTHS ENDED FOR THE YEARS ENDED MARCH 31,
SEPTEMBER 30, 20001 2000 1999 1998 1997 1996
--------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE,
BEGINNING OF PERIOD $ 10.54 $ 10.23 $ 10.82 $ 10.31 $ 10.03 $ 9.50
------- ------- ------- ------- ------- -------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.25 0.39 0.40 0.44 0.48 0.45
Net Realized and Unrealized Gain
(Loss) on Investments, Foreign
Currencies and Forward
Foreign Currency and
Futures Contracts (0.06) 0.18 0.43 1.39 0.34 0.54
------- ------- ------- ------- ------- -------
Total from Investment Operations 0.19 0.57 0.83 1.83 0.82 0.99
------- ------- ------- ------- ------- -------
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income (0.20) (0.26) (0.44) (0.46) (0.54) (0.46)
Net Realized Gain from
Investment Transactions (0.16) -- (0.76) (0.86) -- --
Distributions in Excess of Net
Realized Gains -- -- (0.22) -- -- --
------- ------- ------- ------- ------- -------
Total Distributions (0.36) (0.26) (1.42) (1.32) (0.54) (0.46)
------- ------- ------- ------- ------- -------
NET ASSET VALUE, END OF PERIOD $ 10.37 $ 10.54 $ 10.23 $ 10.82 $ 10.31 $ 10.03
======= ======= ======= ======= ======= =======
TOTAL INVESTMENT RETURN 1.74% 5.76% 7.76% 18.68% 8.32% 10.67%
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period
(000s omitted) $27,262 $37,695 $44,532 $49,408 $32,552 $28,899
Ratios to Average Net Assets:
Net Investment Income 4.88%2 3.61% 3.52% 4.06% 4.24% 4.64%
Expenses After Waivers,
Including Expenses of the
Asset Management Portfolio III 1.00%2 1.00% 1.00% 1.00% 1.00% 1.00%
Expenses Before Waivers,
Including Expenses of the
Asset Management Portfolio III 1.70%2 1.67% 1.55% 1.58% 1.65% 1.65%
<FN>
--------------------------------------------------------------------------------
1 Unaudited.
2 Annualized.
</FN>
</TABLE>
See Notes to Financial Statements.
--------------------------------------------------------------------------------
21
<PAGE>
Lifecycle Funds
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (Unaudited)
NOTE 1 -- ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
A. ORGANIZATION
BT Investment Funds (the "Trust") is registered under the Investment Company Act
of 1940 (the "Act"), as amended, as an open-end management investment company.
The Trust was organized on July 21, 1986, as a business trust under the laws of
the Commonwealth of Massachusetts. Lifecycle Long Range -- Investment Class
(Long Range), Lifecycle Mid Range -- Investment Class (Mid Range) and Lifecycle
Short Range -- Investment Class (Short Range) (each a "Fund", and collectively,
the "Funds") are three of the funds offered to investors by the Trust. The Funds
began operations and offering shares of beneficial interest on the following
dates:
COMMENCEMENT OF
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 September 30, 2000, Long Range's investment was 24% 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. VALUATION OF SECURITIES
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 securities 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 accounting principles generally accepted in the United
States. 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.
G. ESTIMATES
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.
--------------------------------------------------------------------------------
22
<PAGE>
Lifecycle Funds
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
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 AG. Under this agreement, Bankers Trust provides administrative,
custody and shareholder services to each of the Funds. The Trust has entered
into an agreement with Investment Company Capital Corp., an indirectly owned
subsidiary of Deutsche Bank AG, to provide transfer agency services to the
Trust. These services are provided in return for a fee computed daily and paid
monthly at an annual rate of .65% of each Fund's average daily net assets.
Bankers Trust has contractually agreed to waive its fees and reimburse expenses
of each Fund through July 31, 2001, 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 September 30, 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 SIX MONTHS ENDED SEPTEMBER 30, 2000
------------------------------------------------------------------------------
LONG RANGE MID RANGE SHORT RANGE
------------------------ ------------------------ -------------------------
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
---------- ------------ ---------- ------------ ---------- ------------
<S> <C> <C> <C> <C> <C> <C>
Sold 1,222,397 $ 15,844,485 1,169,286 $ 12,786,691 553,838 $ 5,796,645
Reinvested 1,371,384 16,842,880 630,838 6,679,610 72,207 745,899
Redeemed (2,294,627) (29,231,183) (1,867,584) (20,431,710) (1,572,857) (16,345,329)
---------- ------------ ---------- ------------ ---------- ------------
Net Increase/(Decrease) 299,154 $ 3,456,182 (67,460) $ (965,409) (946,812) $ (9,802,785)
========== ============ ========== ============ ========== ============
</TABLE>
<TABLE>
<CAPTION>
FOR THE YEAR ENDED MARCH 30, 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)
========== ============ ========== ============ ========== ============
</TABLE>
NOTE 4 -- CHANGE IN NAME
On July 31, 2000, the funds changed their names as follows:
<TABLE>
<CAPTION>
OLD NAME NEW NAME
------------------------------------------- ----------------------------------------
<S> <C>
BT Investment Lifecycle Long Range Fund Lifecycle Long Range -- Investment Class
BT Investment Lifecycle Mid Range Fund Lifecycle Mid Range -- Investment Class
BT Investment Lifecycle Short Range Fund Lifecycle Short Range -- Investment Class
</TABLE>
--------------------------------------------------------------------------------
23
<PAGE>
Asset Management Portfolio
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS September 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
SHARES SECURITY VALUE
--------------------------------------------------------------------------------
INVESTMENTS IN UNAFFILIATED ISSUERS
COMMON STOCKS -- 52.6%
AEROSPACE -- 0.0%
3,300 Rockwell International Corp. $ 99,825
-----------
APPAREL TEXTILES -- 0.0%
3,800 Springs Industries, Inc.--
Class A 107,112
-----------
BASIC MATERIALS -- 1.6%
4,800 Air Products and Chemicals, Inc. 172,800
4,100 Alcan Aluminum Ltd. 118,644
21,500 Alcoa, Inc. 544,219
2,100 Allegheny Technologies 38,062
15,885 Archer-Daniels-Midland Co. 137,008
9,800 Barrick Gold Corp. 149,450
24,600 Bethlehem Steel 73,800
4,200 Boise Cascade Corp. 111,562
18,900 Du Pont (E.I.) de Nemours & Co. 783,169
6,000 Eastman Chemical Co. 221,625
3,200 Engelhard Corp. 52,000
2,200 FMC Corp. 147,537
5,000 Freeport-McMoRan Copper &
Gold, Inc.-- Class B 44,062
3,700 Georgia-Pacific Corp. 86,950
1,000 Great Lakes Chemical Corp. 29,312
2,700 Hercules, Inc. 38,137
6,500 Homestake Mining Co. 33,719
4,400 Inco Ltd. 70,950
4,700 International Flavors &
Fragrances, Inc. 85,775
2,601 International Paper Co. 74,616
116,100 Lilly Industries, Inc.-- Class A 3,424,950
2,500 Louisiana-Pacific Corp. 22,969
2,000 Mead Corp. 46,750
4,100 Newmont Mining Corp. 69,700
800 Nucor Corp. 24,100
4,200 Pactiv Corp. 46,987
1,000 Phelps Dodge Corp. 41,750
8,200 Placer Dome, Inc. 77,387
2,300 Potlatch Corp. 72,737
3,200 PPG Industries, Inc. 127,000
3,200 Praxair, Inc. 119,600
3,900 Rohm & Haas Co. 113,344
700 Sigma Aldrich Corp. 23,100
22,300 Southdown, Inc. 1,588,875
3,100 Temple Inland, Inc. 117,412
13,900 Union Carbide Corp. 524,725
6,500 USX-- US Steel Group 98,719
1,400 Vulcan Materials Co. 56,262
1,800 W.R. Grace & Co. 12,375
900 Westvaco Corp. 24,019
4,500 Weyerhaeuser Co. 181,687
1,100 Willamette Industries, Inc. 30,800
7,400 Worthington Industries, Inc. 69,375
-----------
9,928,020
CAPITAL GOODS -- 4.0%
4,600 Allied Waste Industries, Inc. 42,262
5,300 American Power Conversion Corp.1 101,694
2,000 Avery Dennison Corp. 92,750
21,600 Boeing Co. 1,360,800
3,500 Briggs & Stratton Corp. 132,344
1,000 Caterpillar, Inc. 33,750
900 Cooper Industries, Inc. 31,725
1,500 Crane Co. 34,312
8,900 Crown Cork & Seal Co., Inc. 95,119
3,900 Cummins Engine Co., Inc. 116,756
2,800 Danaher Corp. 139,300
4,500 Deere & Co. 149,625
4,300 Dover Corp. 201,831
1,100 Eaton Corp. 67,787
9,900 Emerson Electric Co. 663,300
600 Fluor Corp. 18,000
6,400 General Dynamics Corp. 402,000
243,900 General Electric Co. 14,069,981
1,200 Goodrich (B.F.) Co. 47,025
12,400 Honeywell International, Inc. 441,750
2,500 Illinois Tool Works, Inc. 139,687
2,900 Ingersoll-Rand Co. 98,237
800 ITT Industries 25,950
1,200 Johnson Controls, Inc. 63,825
9,400 Lockheed Martin Corp. 309,824
500 Millipore Corp. 24,219
9,300 Minnesota Mining &
Manufacturing Co. 847,462
3,900 Molex, Inc. 212,306
3,800 National Service Industries, Inc. 74,337
4,000 Navistar International Corp. 119,750
1,300 Northrop Grumman Corp. 118,137
3,800 Owens-Illinois, Inc. 35,150
3,600 Paccar, Inc. 133,425
3,100 Pall Corp. 61,806
1,600 Parker-Hannifin Corp. 54,000
4,600 Sanmina Corp.1 430,675
4,000 Sealed Air Corp. 181,000
16,800 Solectron Corp. 774,900
1 Teledyne Technologies 29
4,900 Textron, Inc. 226,012
4,000 Thermo Electron Corp. 104,000
1,600 Timken Co. 21,900
40,900 Tyco International Ltd. 2,121,687
11,000 United Technologies Corp. 761,750
15,600 Waste Management, Inc. 272,025
-----------
25,454,204
-----------
CHEMICAL -- SPECIALTY -- 0.2%
24,900 Bush Boake Allen, Inc.1 1,190,531
-----------
See Notes to Financial Statements.
--------------------------------------------------------------------------------
24
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SCHEDULE OF PORTFOLIO INVESTMENTS September 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
SHARES SECURITY VALUE
--------------------------------------------------------------------------------
COMMUNICATION SERVICES -- 2.9%
2,500 Alltel Corp. $ 130,469
85,300 AT&T Corp. 2,505,687
45,300 BellSouth Corp. 1,823,325
25,200 Global Crossing Ltd. 783,963
20,800 Nextel Communications, Inc.--
Class A 972,400
40,200 Qwest Communications
International, Inc.1 1,932,112
82,900 SBC Communications, Inc. 4,145,000
12,400 Sprint Corp. 363,475
25,800 Sprint PCS Group 904,612
61,100 Verizon Communications 2,959,531
71,000 Worldcom, Inc.1 2,156,625
-----------
18,677,199
-----------
COMPUTER SOFTWARE -- 0.4%
207,900 Mynd Corp.1 2,806,650
380 Synavant1 2,541
-----------
2,809,191
-----------
CONSUMER CYCLICALS -- 3.4%
1,500 American Greetings Corp. -- Class A 26,250
800 Armstrong Holdings 1 9,550
7,000 Autozone, Inc. 158,812
10,700 Bed, Bath & Beyond, Inc. 260,980
6,200 Best Buy, Inc. 394,475
1,300 Black & Decker Corp. 44,444
2,200 Brunswick Corp. 40,150
4,000 Carnival Corp.-- Class A 98,500
17,900 Cendant Corp. 194,662
300 Centex Corp. 9,637
200 Circuit City Stores, Inc. 4,600
12,600 Consolidated Stores Corp. 170,100
5,600 Convergys Corp.1 217,700
8,100 Cooper Tire & Rubber Co. 81,506
13,600 Costco Wholesale Corp. 475,150
3,700 Dana Corp. 79,550
13,900 Delphi Automotive Systems 210,237
2,800 Dillard Department Stores, Inc. --
Class A 29,750
8,200 Dollar General Corp. 137,350
1,600 Dow Jones & Co., Inc. 96,800
2,800 Dun & Bradstreet Corp. 96,425
8,600 Federated Department Stores, Inc. 224,675
50,493 Ford Motor Co New 1,278,104
5,800 Gannett Co., Inc. 307,400
20,900 Gap, Inc. 420,612
14,600 General Motors Corp. 949,000
7,200 Genuine Parts Co. 137,250
3,900 Goodyear Tire & Rubber Co. 70,200
4,300 Harcourt General, Inc. 253,700
6,500 Harley-Davidson, Inc. 311,187
6,100 Harrah's Entertainment, Inc. 167,750
4,300 Hasbro, Inc. 49,181
9,200 Hilton Hotels Corp. 106,375
56,400 Home Depot, Inc. 2,992,725
7,600 IMS Health, Inc. 157,700
6,600 Interpublic Group of Cos., Inc. 224,812
6,400 J.C. Penney Co., Inc. 75,600
4,000 Kaufman & Broad Home Corp. 107,750
11,900 Kmart Corp. 71,400
4,500 Knight-Ridder, Inc. 228,656
9,500 Kohls Corp. 548,031
4,900 Leggett & Platt, Inc. 77,481
14,200 Limited, Inc. 313,287
300 Liz Claiborne, Inc. 11,550
4,500 Lowe's Cos., Inc. 201,937
4,900 Marriott International, Inc. 178,544
11,200 Masco Corp. 208,600
10,600 Mattel, Inc. 118,587
7,400 May Department Stores Co. 151,700
4,200 McGraw-Hill Cos., Inc. 266,962
3,000 New York Times Co.-- Class A 117,937
6,600 Newell Rubbermaid, Inc. 150,563
100 Nike, Inc. 4,006
3,400 Nordstrom, Inc. 52,912
18,700 Office Depot, Inc. 146,094
3,900 Omnicom Group, Inc. 284,456
5,600 Pulte Corp. 184,800
4,000 Radioshack Corp. 258,500
8,600 Reebok International Ltd. 161,787
500 Russell Corp. 7,937
10,500 Sears, Roebuck & Co. 340,410
4,100 Sherwin-Williams Co. 87,637
1,500 Snap-On Tools Corp. 35,344
2,200 Stanley Works 50,737
11,800 Staples, Inc. 167,412
22,600 Target Corp. 579,125
7,500 Tiffany & Co. 289,219
10,600 Toys `R' Us, Inc. 172,250
6,200 Tribune Co. 270,475
2,000 TRW, Inc. 81,250
2,300 V.F. Corp. 56,781
3,200 Visteon Corp 48,400
109,500 Wal-Mart Stores, Inc. 5,269,687
800 Whirlpool Corp. 31,100
-----------
21,896,203
-----------
CONSUMER STAPLES -- 6.7%
100 Alberto-Culver Co. -- Class B 2,881
21,100 Anheuser Busch Cos., Inc. 892,794
5,000 Avon Products, Inc. 204,375
See Notes to Financial Statements.
--------------------------------------------------------------------------------
25
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SCHEDULE OF PORTFOLIO INVESTMENTS September 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
SHARES SECURITY VALUE
--------------------------------------------------------------------------------
58,700 Bestfoods $ 4,270,425
800 Brown-Forman Corp.-- Class B 43,800
6,400 Cardinal Health, Inc. 564,400
17,000 Clear Channel Communications, Inc. 960,500
4,700 Clorox Co. 185,944
60,400 Coca-Cola Co. 3,329,550
10,600 Coca-Cola Enterprises, Inc. 168,937
13,400 Colgate-Palmolive Co. 632,480
26,000 Comcast Corp.-- Class A 1,064,375
12,200 ConAgra, Inc. 244,762
8,800 CVS Corp. 407,550
11,000 Darden Restaurants, Inc. 228,937
50,200 Disney (Walt) Co. 1,920,150
1 Energizer Hldngs1 24
111,500 Fort James Corp. 3,407,719
3,800 Fortune Brands, Inc. 100,700
5,900 General Mills, Inc. 209,450
17,200 Gillette Co. 531,050
7,700 H.J. Heinz Co. 285,381
12,500 Kimberly Clark Corp. 697,656
20,400 Kroger Co. 460,275
1,100 Longs Drug Stores, Inc. 21,037
23,800 McDonald's Corp. 718,462
5,700 McKesson HBOC, Inc. 174,206
84,300 Nabisco Group Holdings 2,402,550
66,950 Nabisco Holdings Corp.-- Class A 3,598,562
34,500 PepsiCo, Inc. 1,587,000
54,300 Philip Morris Cos., Inc. 1,598,456
28,400 Procter & Gamble Co. 1,902,800
2,800 Quaker Oats Co. 221,550
7,500 Ralston Purina Group 177,656
14,200 Safeway, Inc. 662,962
21,500 Sara Lee Corp. 436,719
10,000 Seagram Co. Ltd. 574,375
6,800 Starbucks Corp.1 272,425
3,300 SuperValu, Inc. 49,706
7,200 Sysco Corp. 333,450
41,800 Time Warner, Inc. 3,270,850
3,800 Tricon Global Restaurants, Inc. 116,375
4,900 Tupperware Corp. 88,200
9,000 Unilever NV 434,250
4,300 UST, Inc. 98,362
38,801 Viacom, Inc.-- Class B 2,269,858
23,500 Walgreen Co. 891,531
2,800 Wendy's International, Inc. 56,175
3,500 Winn Dixie Stores, Inc. 50,312
2,200 Wrigley (Wm.), Jr. Co. 164,725
-----------
42,986,669
-----------
ENERGY -- 2.8%
1,500 Amerada Hess Corp. 100,406
8,400 Anadarko Petroleum Corp. 558,264
2,500 Apache Corp. 147,812
500 Ashland, Inc. 16,844
7,300 Baker Hughes, Inc. 271,012
4,100 Burlington Resources, Inc. 150,931
15,600 Chevron Corp. 1,329,900
13,900 Conoco, Inc.-- Class B 374,431
2,200 Devon Energy Corp. 132,330
87,800 Exxon Mobil Corp. 7,825,175
10,100 Halliburton Co. 494,269
4,700 Kerr-McGee Corp. 311,375
11,600 Occidental Petroleum Corp. 253,025
8,700 Phillips Petroleum Co. 545,925
4,900 Rowan Cos., Inc. 142,100
52,300 Royal Dutch Petroleum Co. 3,134,731
13,700 Schlumberger Ltd. 1,127,681
800 Sunoco, Inc. 21,550
8,400 Texaco, Inc. 441,000
2,500 Tosco Corp. 77,969
4,700 Transocean Sedco 272,775
4,800 Unocal Corp. 170,100
7,800 USX Marathon Group 221,325
-----------
18,120,930
-----------
FINANCIALS -- 7.4%
5,800 Aflac, Inc. 371,562
17,000 Allstate Corp. 590,750
34,400 American Express Co. 2,089,800
5,700 American General Corp. 444,600
58,100 American International Group, Inc. 5,559,444
9,400 Amsouth Bancorp 117,500
5,500 AON Corp. 215,875
36,200 Associates First Capital Corp. --
Class A 1,375,600
42,300 Bank of America Corp. 2,215,462
17,400 Bank of New York Co., Inc. 975,487
21,200 Bank One Corp. 818,850
2,100 Banks United Corp.-- Class A 106,444
8,500 BB&T Corp. 256,062
2,300 Bear Stearns Cos., Inc. 144,900
4,300 Capital One Financial Corp. 301,269
33,400 Charles Schwab Corp. 1,185,700
5,355 Charter One Financial, Inc. 130,528
7,900 Chase Manhattan Corp. 364,881
3,900 Chubb Corp. 308,587
3,400 CIGNA Corp. 354,960
3,100 Cincinnati Financial Corp. 110,050
6,200 CIT Group, Inc.-- Class A 108,500
99,466 Citigroup 5,377,381
3,300 Comerica, Inc. 192,844
8,200 Conseco, Inc. 62,525
2,000 Countrywide Credit Industries, Inc. 75,500
1,900 Equifax, Inc. 51,181
See Notes to Financial Statements.
--------------------------------------------------------------------------------
26
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SCHEDULE OF PORTFOLIO INVESTMENTS September 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
SHARES SECURITY VALUE
--------------------------------------------------------------------------------
24,100 Fannie Mae $ 1,723,150
10,400 Fifth Third Bancorp 560,300
24,300 First Union Corp. 782,156
23,700 Firstar Corp. 530,288
21,500 Fleet Boston Financial Corp. 838,500
5,200 Franklin Resources, Inc. 231,036
11,400 Freddie Mac 616,313
2,900 Golden West Financial Corp. 155,513
5,100 Hartford Financial Services
Group, Inc. 371,981
10,700 Household International, Inc. 605,888
15,200 Huntington Bancshares, Inc. 223,250
1,800 Jefferson-Pilot Corp. 122,175
13,100 KeyCorp 331,594
4,000 Lehman Brothers, Inc. 591,000
4,100 Lincoln National Corp. 197,313
2,000 Loews Corp. 166,750
6,400 Marsh and McLennan 849,600
1,700 MBIA, Inc. 120,913
20,000 MBNA Corp. 770,000
10,900 Mellon Financial Corp. 505,488
21,900 Merrill Lynch & Co., Inc. 1,445,400
2,100 MGIC Investment Corp. 128,363
10,900 Morgan (J.P.) & Co., Inc. 1,780,788
27,300 Morgan Stanley Dean Witter
Discover & Co. 2,496,244
17,900 National City Corp. 396,038
4,900 Northern Trust Corp. 435,488
2,100 Old Kent Financial Corp. 60,769
3,100 Paine Webber Group, Inc. 211,188
6,600 PNC Bank Corp. 429,000
3,200 Providian Financial Corp. 406,400
8,100 Regions Financial Corp. 183,769
5,400 Safeco 147,150
4,600 St. Paul Cos., Inc. 226,838
3,500 State Street Corp. 455,000
4,700 Stilwell Financial Inc. 204,450
6,700 Summit Bancorp 231,150
6,500 Suntrust Banks, Inc. 323,781
7,100 Synovus Financial Corp. 150,431
2,200 T. Rowe Price Associates, Inc. 103,263
1,700 Torchmark Corp. 47,281
18,600 US Bancorp 423,150
5,200 Union Planters Corp. 171,925
2,600 USA Education 125,288
4,200 Wachovia Corp. 238,088
9,600 Washington Mutual, Inc. 382,200
40,100 Wells Fargo Co. 1,842,094
-----------
47,244,986
-----------
HEALTH CARE -- 5.6%
31,600 Abbott Laboratories 1,502,975
2,800 Aetna, Inc. 162,575
2,600 Allergan, Inc. 219,538
4,600 ALZA Corp. 397,900
31,400 American Home Products Corp. 1,776,063
26,700 Amgen, Inc. 1,864,411
600 Bausch & Lomb, Inc. 23,363
6,800 Baxter International, Inc. 542,725
5,800 Becton Dickinson & Co. 153,338
5,400 Biogen, Inc. 329,400
7,700 Biomet, Inc. 269,500
10,000 Boston Scientific Corp. 164,375
47,900 Bristol-Myers Squibb Co. 2,736,288
300 C.R. Bard, Inc. 12,675
8,800 Guidant Corp. 622,050
12,300 HCA Healthcare Co 456,638
22,700 HEALTHSOUTH Corp. 184,438
13,700 Humana, Inc. 147,275
34,000 Johnson & Johnson 3,193,875
27,500 Lilly (Eli) & Co. 2,230,938
5,000 Mallinckrodt Group, Inc. 228,125
9,100 Manor Care 142,756
6,200 Medimmune Inc.1 478,950
29,100 Medtronic, Inc. 1,507,744
56,300 Merck & Co., Inc. 4,190,831
4,800 PE Corp. -- PE Biosystems Group 559,200
155,000 Pfizer, Inc. 6,965,313
31,600 Pharmacia Corp. 1,901,925
8,400 Quintiles Transnational Corp. 133,875
35,300 Schering-Plough Corp. 1,641,450
4,000 St. Jude Medical, Inc. 204,000
10,500 Tenet Healthcare Corp. 381,938
3,500 Unitedhealth Group, Inc. 345,625
4,000 Watson Pharmaceuticals 259,500
2,500 Wellpoint Health Networks 240,000
-----------
36,171,572
-----------
INSURANCE -- 0.0%
4,500 Unumprovident Corp. 122,625
-----------
MEDICAL SUPPLIES -- 0.2%
65,500 Acuson Corp.1 1,490,125
-----------
PRINTING & PUBLISHING -- 0.0%
1,700 Deluxe Corp. 34,531
3,000 Donnelley (R.R.) & Sons Co. 73,688
-----------
108,219
-----------
PROFESSIONAL SERVICES -- 0.0%
2,000 Ecolab, Inc. 72,125
-----------
REAL ESTATE -- 0.4%
53,800 Urban Shopping Centers, Inc. 2,555,500
-----------
TECHNOLOGY -- 14.8%
2,500 Adaptec, Inc. 50,000
22,600 ADC Telecommunications, Inc. 607,728
See Notes to Financial Statements.
--------------------------------------------------------------------------------
27
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SCHEDULE OF PORTFOLIO INVESTMENTS September 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
SHARES SECURITY VALUE
--------------------------------------------------------------------------------
2,600 Adobe Systems, Inc. $ 403,650
11,400 Advanced Micro Devices, Inc. 269,325
10,300 Agilent Technologies1 504,056
5,100 Alteon Websystems, Inc. 552,792
12,400 Altera Corp.1 592,100
45,300 America Online, Inc. 2,434,875
10,200 Analog Devices, Inc. 842,138
4,800 Andrew Corp. 125,700
9,500 Apple Computer, Inc. 244,625
21,100 Applied Materials, Inc. 1,251,494
1,000 Autodesk, Inc. 25,375
15,000 Automatic Data Processing, Inc. 1,003,125
6,000 BMC Software, Inc. 114,750
6,100 Broadcom Corp.-- Class A1 1,486,875
6,900 Cabletron Systems, Inc. 202,688
6,400 Ceridian Corp. 179,600
177,200 Cisco Systems, Inc. 9,790,300
4,600 Citrix Systems, Inc. 92,288
7,600 Cobalt Networks, Inc.1 439,850
40,700 Compaq Computer Corp. 1,122,506
12,300 Computer Associates
International, Inc. 309,806
5,500 Computer Sciences Corp. 408,375
9,000 Compuware Corp. 75,375
4,700 Comverse Technology 507,600
7,800 Conexant Systems 326,625
7,700 Corning, Inc. 2,286,900
65,900 Dell Computer Corp. 2,030,544
6,700 Eastman Kodak Co. 273,863
5,500 Electronic Data Systems Corp. 228,250
54,800 EMC Corp. 5,432,050
9,100 First Data Corp. 355,469
9,400 Gateway, Inc. 439,450
26,200 Hewlett-Packard Co. 2,541,400
169,300 Intel Corp. 7,036,531
43,200 International Business
Machines Corp. 4,860,000
13,200 JDS Uniphase Corp.1 1,249,875
6,100 KLA-Tencor Corp. 251,244
3,200 Lexmark International Group, Inc. --
Class A 120,000
7,000 Linear Technology Corp. 453,250
9,900 LSI Logic Corp. 289,575
79,801 Lucent Technologies, Inc. 2,438,918
8,200 Maxim Integrated Products, Inc.1 659,588
2,600 Mercury Interactive Corp.1 407,550
15,800 Micron Technology, Inc. 726,800
130,000 Microsoft Corp. 7,832,500
53,100 Motorola, Inc. 1,500,075
8,100 National Semiconductor Corp. 326,025
4,700 NCR Corp. 177,719
8,500 Network Appliance, Inc. 1,082,688
63,800 Nortel Networks Corp. 3,800,088
8,300 Novell, Inc. 82,481
4,800 Novellus Systems, Inc.1 223,500
71,400 Oracle Corp. 5,622,750
13,100 Palm, Inc. 693,481
12,700 Parametric Technology Corp. 138,906
11,300 Paychex, Inc. 593,250
10,000 Peoplesoft, Inc. 279,375
2,000 Perkinelmer, Inc. 208,750
1,100 Polaroid Corp. 14,781
19,600 Qualcomm, Inc. 1,396,500
5,200 Sabre Group Holdings, Inc. 150,475
4,300 Sapient Corp.1 174,956
6,000 Scientific-Atlanta, Inc. 381,750
3,175 SDL, Inc. 977,900
14,500 Seagate Technology, Inc. 1,000,500
11,200 SIEBL Systems, Inc.1 1,246,700
36,700 Sun Microsystems, Inc. 4,284,725
600 Tektronix, Inc. 46,088
10,100 Tellabs, Inc. 482,275
6,600 Teradyne, Inc. 231,000
41,930 Texas Instruments, Inc. 1,978,572
7,600 Unisys Corp. 85,500
7,650 Veritas Software Corp. 1,086,300
700 W.W. Grainger, Inc. 18,419
16,400 Xerox Corp. 247,025
9,300 Xilinx, Inc. 796,313
14,300 Yahoo!, Inc. 1,301,300
-----------
94,507,545
-----------
TRANSPORTATION -- 0.3%
6,400 AMR Corp. 209,200
9,500 Burlington Northern Santa Fe 204,844
5,400 CSX Corp. 117,788
4,500 Delta Air Lines, Inc. 199,688
9,400 Fedex Corp. 416,796
9,500 Norfolk Southern Corp. 138,938
5,400 Ryder Systems, Inc. 99,563
18,700 Southwest Airlines Co. 453,475
5,000 Union Pacific Corp. 194,375
3,800 US Airways Group, Inc. 115,663
-----------
2,150,330
-----------
UTILITIES -- 1.9%
12,600 AES Corp. 863,100
7,100 Ameren Corp. 297,313
6,900 American Electric Power Co. 269,963
7,700 C P & L Energy 320,994
2,700 Cinergy Corp. 89,269
5,100 CMS Energy 137,381
4,800 Coastal Corp. 355,800
1,300 Columbia Energy Group 92,300
3,700 Consolidated Edison, Inc. 126,263
5,200 Constellation Energy Group, Inc. 258,700
See Notes to Financial Statements.
--------------------------------------------------------------------------------
28
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SCHEDULE OF PORTFOLIO INVESTMENTS September 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
PRINCIPAL
AMOUNT/
SHARES SECURITY VALUE
--------------------------------------------------------------------------------
7,100 Dominion Resources, Inc. $ 412,244
5,100 DTE Energy Co. 195,075
8,600 Duke Power Co. 737,450
12,000 Edison International, Inc. 231,750
8,200 El Paso Energy Corp. 505,325
17,800 Enron Corp. 1,559,725
8,500 Entergy Corp. 316,625
8,800 FirstEnergy Corp. 237,050
5,300 Florida Progress Corp. 280,569
3,800 FPL Group, Inc. 249,850
1,800 GPU, Inc. 58,388
4,900 Keyspan Energy Corp. 196,613
4,100 Niagara Mohawk Power Corp. 64,575
2,600 NICOR, Inc. 94,088
6,800 PECO Energy 411,825
2,700 People's Energy Corp. 90,113
11,500 PG&E Corp. 278,156
1,300 Pinnacle West Capital Corp. 66,138
5,900 PPL Corp. 246,325
5,400 Public Service Enterprise
Group, Inc. 241,313
9,400 Reliant Energy 437,100
8,000 Sempra Energy 166,500
18,200 Southern Co. 590,363
10,500 TXU Corp. 416,063
3,700 Unicom Corp. 207,894
14,600 Williams Cos., Inc. 616,850
6,900 Xcel Energy 189,750
-----------
11,908,800
-----------
TOTAL COMMON STOCKS
(Cost $296,111,350) 337,601,711
-----------
NON-CONVERTIBLE CORPORATE
DEBT -- 10.5%
AEROSPACE -- 0.6%
$3,940,000 Raytheon Co.,
5.70%, 11/1/03 3,786,427
-----------
BANKS -- 2.2%
2,745,000 Barclays Bank Plc,
8.55%, 6/15/49 2,763,370
4,310,000 First Union Capital II,
7.95%, 11/15/29 3,869,867
3,890,000 FleetBoston Financial Corp.,
8.625%, 1/15/07 4,143,616
3,850,000 Frank Russell Co.,
5.625%, 1/15/09 3,441,484
-----------
14,218,337
-----------
FINANCIALS -- 0.7%
635,000 Farmers Insurance Exchange,
8.625%, 5/1/24 624,636
1,450,000 Ford Motor Credit Corp.,
6.70%, 7/16/04 1,421,518
2,350,000 Paine Webber Group, Inc.,
7.875%, 2/15/03 2,396,314
-----------
4,442,468
-----------
INDUSTRIAL -- 3.4%
5,339,822 Air 2 US,
8.027%, 10/1/19 5,427,368
Archstone Communities:
390,000 6.37%, 10/15/01 386,341
1,165,000 7.00%, 10/29/01 1,161,121
2,000,000 ERAC USA Finance Co.,
6.95%, 3/1/04 1,965,292
3,095,000 Erac USA Finance Co.,
8.25%, 5/1/05 3,165,916
6,740,000 International Paper Co.,
8.00%, 7/8/03 6,876,128
260,000 Prologis Trust,
6.70%, 4/15/04 251,810
2,840,000 Telefonica Europe BV,
7.75%, 9/15/10 2,862,172
-----------
22,096,148
-----------
INSURANCE -- 0.6%
3,610,000 AXA Financial, Inc.,
7.75%, 8/1/10 3,678,590
-----------
TELECOMMUNICATIONS -- 1.6%
3,000,000 Koninklijke KPN NV,
8.00%, 10/1/10 3,013,308
3,675,000 Qwest Capital Funding,
7.90%, 8/15/10 3,753,726
3,595,000 Worldcom, Inc.,
8.00%, 5/15/06 3,725,901
-----------
10,492,935
-----------
UTILITY -- ELECTRIC -- 1.4%
2,875,000 Eastern Energy Ltd.,
7.25%, 12/1/16 2,698,604
3,125,000 Enogex, Inc.,
8.125%, 1/15/10 3,159,047
3,050,000 Nstar,
8.00%, 2/15/10 3,076,688
140,000 Potomac Edison,
8.00%, 6/1/24 136,524
-----------
9,070,863
-----------
TOTAL NON-CONVERTIBLE CORPORATE DEBT
(Cost $67,219,852) 67,785,768
-----------
See Notes to Financial Statements.
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29
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SCHEDULE OF PORTFOLIO INVESTMENTS September 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
PRINCIPAL
AMOUNT SECURITY VALUE
--------------------------------------------------------------------------------
ASSET-BACKED SECURITIES -- 7.5%
$7,080,000 Chemical Master Credit Card Trust I,
5.98%, 9/15/08 $ 6,834,076
5,360,000 Citibank Credit Card Master Trust I,
5.875%, 3/10/11 4,983,433
Conseco Finance:
3,830,000 7.80%, 5/15/20 3,900,836
5,030,000 7.60%, 12/15/29 5,119,559
2,375,000 11.06%, 12/1/31 2,416,764
3,140,000 Felco Funding II, 7.72%, 12/15/05b 3,212,236
Green Point Manufactured Housing:
5,060,000 6.01%, 8/15/15 4,944,303
4,880,000 7.33%, 8/15/20 4,868,849
1,155,000 Household Automotive Trust,
6.65%, 4/17/06 1,154,775
4,320,000 Household Automotive Trust IV,
7.48%, 12/18/06 4,410,871
1,080,000 MBNA Master Credit Card Trust,
7.00%, 2/15/12 1,084,574
3,600,000 Union Acceptance Corp.,
5.64%, 5/8/06 3,527,838
1,505,000 WFS Financial Owner Trust,
7.41%, 9/20/07 1,533,543
-----------
TOTAL ASSET-BACKED SECURITIES
(Cost $47,204,528) 47,991,657
-----------
COLLATERALIZED MORTGAGE
OBLIGATIONS -- 2.3%
5,520,000 Chase Mortgage Finance Corp.,
6.75%, 10/25/28 5,196,178
4,387,701 GE Capital Mortgage Services, Inc.,
7.00%, 11/25/07 4,334,939
5,130,000 Norwest Asset Securities Corp.,
7.25%, 12/25/29 5,062,874
-----------
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(Cost $14,282,036) 14,593,991
-----------
FOREIGN DEBT -- 0.3%
470,000 Kingdom of Sweden,
12.00%, 2/1/10 629,097
95,000 New Zealand Government,
10.625%, 11/15/05 109,970
1,170,000 United Mexican States,
9.75%, 4/6/05 1,240,785
-----------
TOTAL FOREIGN DEBT
(Cost $2,008,721) 1,979,852
-----------
MUNICIPAL BONDS -- 3.2%
830,000 Connecticut State Development
Authority Revenue,
8.375%, 10/15/04 853,265
2,595,000 Delaware River Port Authority PA & NJ,
Series A,
7.27%, 1/1/07 2,623,078
525,000 El Cajon, California Redevelopment
Agency,
7.60%, 10/1/20 517,149
1,475,000 Greater Kentucky Housing Assistance
Corp. Mortgage Revenue,
7.20%, 2/1/06 1,465,663
5,340,000 Harrisburg, PA Housing Corp.
Mortgage Revenue,
10.00%, 7/15/24 5,616,078
3,155,000 Lansing, MI Board Water & Light
Water Supply, Series B,
7.30%, 7/1/06 3,216,617
1,545,000 NJ Economic Development Authority,
7.425%, 2/15/29 1,521,037
2,435,000 Ross County, OH Water Co., Inc.
Water Revenue,
8.25%, 8/1/25 2,480,754
855,000 Suburban Hospital Healthcare
Systems, Inc.,
7.865%, 2/15/27 854,932
1,455,000 Wyandotte County, KN,
8.50%, 12/1/05 1,453,952
-----------
TOTAL MUNICIPAL BONDS
(Cost $20,593,793) 20,602,525
-----------
US GOVERNMENT & AGENCIES -- 6.6%
FGLMC:
4,920,000 6.50%, 11/1/08 4,724,738
2,687,124 6.50%, 4/1/29 2,584,967
FHLMC:
10,527,941 7.00%, 6/1/09 10,565,084
5,160,000 7.00%, 1/15/11 4,999,558
4,919,054 6.00%, 3/15/29 4,624,083
2,099,554 FHLMC Pool #40465,
6.50%, 10/1/07 2,083,292
4,869,458 FNMA Pool #190750,
7.00%, 3/1/09 4,883,517
1,875,870 FNMA Pool #323194,
6.361%, 7/1/08 1,833,081
1,908,948 FNMA Pool #381706,
6.26%, 6/1/09 1,833,118
3,990,000 FNMA Pool #382140,
7.03%, 1/25/07 4,005,451
-----------
TOTAL US GOVERNMENT & AGENCIES
(Cost $41,976,543) 42,136,889
-----------
See Notes to Financial Statements.
--------------------------------------------------------------------------------
30
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--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS September 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
PRINCIPAL
AMOUNT SECURITY VALUE
--------------------------------------------------------------------------------
US TREASURY SECURITIES -- 5.1%
US Treasury Bonds:
$14,542,000 8.125%, 8/15/19 $ 17,759,418
3,515,000 6.125%, 8/15/29 3,590,794
US Treasury Notes:
6,019,000 6.625%, 3/31/02 6,064,143
2,080,000 6.75%, 5/15/05 2,155,400
3,259,000 6.125%, 8/15/07 3,294,647
------------
TOTAL US TREASURY SECURITIES
(Cost $32,390,357) 32,864,402
------------
TOTAL INVESTMENTS IN UNAFFILIATED ISSUERS
(Cost $521,787,180) 565,556,795
------------
SHORT-TERM INSTRUMENTS -- 9.1%
US TREASURY SECURITIES -- 2.1%
13,275,000 US Treasury Billa,
5.945%, 10/19/00 13,238,826
------------
INVESTMENTS IN AFFILIATED
INVESTMENT COMPANIES
MUTUAL FUND -- 7.0%
45,061,575 Cash Management Institutional 45,061,575
------------
TOTAL SHORT-TERM INSTRUMENTS
(Cost $58,297,163) 58,300,401
------------
TOTAL INVESTMENTS
(Cost $580,084,343) 97.2% $623,857,196
OTHER ASSETS IN EXCESS OF
LIABILITIES 2.8 17,960,755
----- ------------
NET ASSETS 100.0% $641,817,951
===== ============
--------------------------------------------------------------------------------
1 Non-income producing security.
a Held as collateral by broker for futures contracts.
b Security exempt from registration under Rule 144A of the Securities Act of
1933. This security may be resold in transactions exempt from registration,
normally to qualified 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
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SCHEDULE OF PORTFOLIO INVESTMENTS September 30, 2000
--------------------------------------------------------------------------------
SHARES SECURITY VALUE
--------------------------------------------------------------------------------
INVESTMENTS IN UNAFFILIATED ISSUERS
COMMON STOCKS -- 33.1%
AEROSPACE -- 0.0%
300 Rockwell International Corp. $ 9,075
----------
APPAREL TEXTILES -- 0.0%
300 Springs Industries, Inc.-- Class A 8,456
----------
BANKS -- 0.0%
800 BB&T Corp. 24,100
----------
BASIC MATERIALS -- 1.0%
400 Air Products and Chemicals, Inc. 14,400
400 Alcan Aluminum Ltd. 11,575
1,900 Alcoa, Inc. 48,094
200 Allegheny Technologies 3,625
1,365 Archer-Daniels-Midland Co. 11,773
900 Barrick Gold Corp. 13,725
2,200 Bethlehem Steel 6,600
400 Boise Cascade Corp. 10,625
1,700 Du Pont (E.I.) de Nemours & Co. 70,444
500 Eastman Chemical Co. 18,469
300 Engelhard Corp. 4,875
200 FMC Corp. 13,412
400 Freeport-McMoRan Copper &
Gold, Inc.-- Class B 3,525
300 Georgia-Pacific Corp. 7,050
100 Great Lakes Chemical Corp. 2,931
200 Hercules, Inc. 2,825
600 Homestake Mining Co. 3,112
400 Inco Ltd. 6,450
400 International Flavors &
Fragrances, Inc. 7,300
200 International Paper Co. 5,737
10,300 Lilly Industries, Inc.-- Class A 303,850
200 Louisiana-Pacific Corp. 1,837
200 Mead Corp. 4,675
400 Newmont Mining Corp. 6,800
100 Nucor Corp. 3,012
400 Pactiv Corp. 4,475
100 Phelps Dodge Corp. 4,175
700 Placer Dome, Inc. 6,606
200 Potlatch Corp. 6,325
300 PPG Industries, Inc. 11,906
300 Praxair, Inc. 11,212
300 Rohm & Haas Co. 8,719
100 Sigma Aldrich Corp. 3,300
2000 Southdown, Inc. 142,500
300 Temple Inland, Inc. 11,362
1,200 Union Carbide Corp. 45,300
600 USX-- US Steel Group 9,112
100 Vulcan Materials Co. 4,019
200 W.R. Grace & Co. 1,375
100 Westvaco Corp. 2,669
400 Weyerhaeuser Co. 16,150
100 Willamette Industries, Inc. 2,800
700 Worthington Industries, Inc. 6,562
----------
885,288
----------
CAPITAL GOODS -- 2.5%
400 Allied Waste Industries, Inc. 3,675
500 American Power Conversion Corp.1 9,594
200 Avery Dennison Corp. 9,275
1,900 Boeing Co. 119,700
100 Caterpillar, Inc. 3,375
101 Cooper Industries, Inc. 3,560
100 Crane Co. 2,287
800 Crown Cork & Seal Co., Inc. 8,550
300 Cummins Engine Co., Inc. 8,981
200 Danaher Corp. 9,950
400 Deere & Co. 13,300
400 Dover Corp. 18,775
100 Eaton Corp. 6,162
900 Emerson Electric Co. 60,300
100 Fluor Corp. 3,000
600 General Dynamics Corp. 37,687
21,800 General Electric Co. 1,257,587
100 Goodrich (B.F.) Co. 3,919
1,100 Honeywell International, Inc. 39,187
200 Illinois Tool Works, Inc. 11,175
300 Ingersoll-Rand Co. 10,162
100 ITT Industries 3,244
100 Johnson Controls, Inc. 5,319
800 Lockheed Martin Corp. 26,368
800 Minnesota Mining & Manufacturing Co. 72,900
300 Molex, Inc. 16,331
309 National Service Industries, Inc. 6,045
400 Navistar International Corp. 11,975
100 Northrop Grumman Corp. 9,087
300 Owens-Illinois, Inc. 2,775
300 Paccar, Inc. 11,119
300 Pall Corp. 5,981
100 Parker-Hannifin Corp. 3,375
400 Sanmina Corp. 37,450
400 Sealed Air Corp. 18,100
1,500 Solectron Corp. 69,187
400 Textron, Inc. 18,450
409 Thermo Electron Corp. 10,634
100 Timken Co. 1,369
3,600 Tyco International Ltd. 186,750
1,000 United Technologies Corp. 69,250
1,400 Waste Management, Inc. 24,412
----------
2,250,322
----------
CHEMICAL-- SPECIALTY-- 0.1%
2,200 Bush Boake Allen, Inc.1 105,187
----------
COMMUNICATION SERVICES-- 1.8%
200 Alltel Corp. 10,437
7,600 AT&T Corp. 223,250
See Notes to Financial Statements.
--------------------------------------------------------------------------------
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SCHEDULE OF PORTFOLIO INVESTMENTS September 30, 2000
--------------------------------------------------------------------------------
SHARES SECURITY VALUE
--------------------------------------------------------------------------------
4,000 BellSouth Corp. $ 161,000
2,300 Global Crossing Ltd. 71,300
1,900 Nextel Communications, Inc.-- Class A 88,825
3,600 Qwest Communications
International, Inc.1 173,025
7,400 SBC Communications, Inc. 370,000
1,100 Sprint Corp. 32,244
2,300 Sprint PCS Group 80,644
5,500 Verizon Communications 266,406
6,300 Worldcom, Inc.1 191,362
----------
1,668,493
----------
COMPUTER SOFTWARE-- 0.3%
18,300 Mynd Corp.1 247,050
35 Synavant1 234
----------
247,284
----------
CONSUMER CYCLICALS -- 2.1%
100 American Greetings Corp.-- Class A 1,750
100 Armstrong Holdings 1,194
600 Autozone, Inc. 13,612
1,000 Bed, Bath & Beyond, Inc. 24,391
600 Best Buy, Inc. 38,175
100 Black & Decker Corp. 3,419
200 Brunswick Corp. 3,650
400 Carnival Corp.-- Class A 9,850
1,600 Cendant Corp. 17,400
1,100 Consolidated Stores Corp. 14,850
500 Convergys Corp.1 19,437
694 Cooper Tire & Rubber Co. 6,983
1,200 Costco Wholesale Corp. 41,925
300 Dana Corp. 6,450
1,200 Delphi Automotive Systems 18,150
200 Dillard Department Stores, Inc. --
Class A 2,125
700 Dollar General Corp. 11,725
100 Dow Jones & Co., Inc. 6,050
300 Dun & Bradstreet Corp. 10,331
800 Federated Department Stores, Inc. 20,900
4,500 Ford Motor Co New 113,908
500 Gannett Co., Inc. 26,500
1,900 Gap, Inc. 38,237
1,300 General Motors Corp. 84,500
600 Genuine Parts Co. 11,437
300 Goodyear Tire & Rubber Co. 5,400
400 Harcourt General, Inc. 23,600
600 Harley-Davidson, Inc. 28,725
500 Harrah's Entertainment, Inc. 13,750
400 Hasbro, Inc. 4,575
800 Hilton Hotels Corp. 9,250
5,000 Home Depot, Inc. 265,312
700 IMS Health, Inc. 14,525
600 Interpublic Group of Cos., Inc. 20,437
600 J.C. Penney Co., Inc. 7,087
396 Kaufman & Broad Home Corp. 10,667
1,100 Kmart Corp. 6,600
400 Knight-Ridder, Inc. 20,325
800 Kohls Corp. 46,150
400 Leggett & Platt, Inc. 6,325
1,300 Limited, Inc. 28,681
400 Lowe's Cos., Inc. 17,950
400 Marriott International, Inc. 14,575
1,000 Masco Corp. 18,625
900 Mattel, Inc. 10,069
700 May Department Stores Co. 14,350
400 McGraw-Hill Cos., Inc. 25,425
300 New York Times Co.-- Class A 11,794
600 Newell Rubbermaid, Inc. 13,688
300 Nordstrom, Inc. 4,669
1,700 Office Depot, Inc. 13,281
300 Omnicom Group, Inc. 21,881
500 Pulte Corp. 16,500
400 Radioshack Corp. 25,850
800 Reebok International Ltd. 15,050
900 Sears, Roebuck & Co. 29,178
400 Sherwin-Williams Co. 8,550
200 Stanley Works 4,612
1,100 Staples, Inc. 15,606
2,000 Target Corp. 51,250
700 Tiffany & Co. 26,994
900 Toys `R' Us, Inc. 14,625
600 Tribune Co. 26,175
200 TRW, Inc. 8,125
200 V.F. Corp. 4,937
300 Visteon Corp 4,537
9,800 Wal-Mart Stores, Inc. 471,625
100 Whirlpool Corp. 3,887
----------
1,952,166
----------
CONSUMER STAPLES -- 4.2%
1,900 Anheuser Busch Cos., Inc. 80,394
400 Avon Products, Inc. 16,350
5,000 Bestfoods 363,750
107 Brown-Forman Corp. -- Class B 5,858
600 Cardinal Health, Inc. 52,912
1,500 Clear Channel Communications, Inc. 84,750
400 Clorox Co. 15,825
5,400 Coca-Cola Co. 297,675
900 Coca-Cola Enterprises, Inc. 14,344
1,200 Colgate-Palmolive Co. 56,640
2,300 Comcast Corp.-- Class A 94,156
1,100 ConAgra, Inc. 22,069
800 CVS Corp. 37,050
1,000 Darden Restaurants, Inc. 20,812
4,500 Disney (Walt) Co. 172,125
9,900 Fort James Corp. 302,569
300 Fortune Brands, Inc. 7,950
500 General Mills, Inc. 17,750
1,500 Gillette Co. 46,312
700 H.J. Heinz Co. 25,944
See Notes to Financial Statements.
--------------------------------------------------------------------------------
33
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--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS September 30, 2000
--------------------------------------------------------------------------------
SHARES SECURITY VALUE
--------------------------------------------------------------------------------
1,100 Kimberly Clark Corp. $ 61,394
1,800 Kroger Co. 40,612
100 Longs Drug Stores, Inc. 1,912
2,100 McDonald's Corp. 63,394
500 McKesson HBOC, Inc. 15,281
7,500 Nabisco Group Holdings 213,750
5,850 Nabisco Holdings Corp.-- Class A 314,437
3,100 PepsiCo, Inc. 142,600
4,800 Philip Morris Cos., Inc. 141,300
2,500 Procter & Gamble Co. 167,500
200 Quaker Oats Co. 15,825
700 Ralston Purina Group 16,581
1,300 Safeway, Inc. 60,694
1,900 Sara Lee Corp. 38,594
900 Seagram Co. Ltd. 51,694
600 Starbucks Corp.1 24,037
300 SuperValu, Inc. 4,519
600 Sysco Corp. 27,787
3,700 Time Warner, Inc. 289,525
300 Tricon Global Restaurants, Inc. 9,187
400 Tupperware Corp. 7,200
800 Unilever NV 38,600
400 UST, Inc. 9,150
3,500 Viacom, Inc.-- Class B 204,750
2,100 Walgreen Co. 79,669
200 Wendy's International, Inc. 4,012
300 Winn Dixie Stores, Inc. 4,312
200 Wrigley (Wm.), Jr. Co. 14,975
----------
3,798,526
----------
ENERGY -- 1.8%
100 Amerada Hess Corp. 6,694
700 Anadarko Petroleum Corp. 46,522
193 Apache Corp. 11,411
700 Baker Hughes, Inc. 25,987
400 Burlington Resources, Inc. 14,725
1,394 Chevron Corp. 118,838
1,200 Conoco, Inc.-- Class B 32,325
200 Devon Energy Corp. 12,030
7,800 Exxon Mobil Corp. 695,175
900 Halliburton Co. 44,044
400 Kerr-McGee Corp. 26,500
1,000 Occidental Petroleum Corp. 21,812
800 Phillips Petroleum Co. 50,200
400 Rowan Cos., Inc. 11,600
4,700 Royal Dutch Petroleum Co. 281,706
1,200 Schlumberger Ltd. 98,775
100 Sunoco, Inc. 2,694
700 Texaco, Inc. 36,750
200 Tosco Corp. 6,237
400 Transocean Sedco 23,450
400 Unocal Corp. 14,175
700 USX Marathon Group 19,862
----------
1,601,512
----------
FINANCIALS -- 4.7%
500 Aflac, Inc. 32,031
1,500 Allstate Corp. 52,125
3,100 American Express Co. 188,325
500 American General Corp. 39,000
5,200 American International Group, Inc. 497,575
800 Amsouth Bancorp 10,000
500 AON Corp. 19,625
3,200 Associates First Capital Corp. --
Class A 121,600
3,800 Bank of America Corp. 199,025
1,600 Bank of New York Co., Inc. 89,700
1,900 Bank One Corp. 73,387
200 Banks United Corp.-- Class A 10,137
200 Bear Stearns Cos., Inc. 12,600
408 Capital One Financial Corp. 28,585
3,000 Charles Schwab Corp. 106,500
500 Charter One Financial, Inc. 12,187
700 Chase Manhattan Corp. 32,331
300 Chubb Corp. 23,737
300 CIGNA Corp. 31,320
300 Cincinnati Financial Corp. 10,650
600 CIT Group, Inc.-- Class A 10,500
8,900 Citigroup 481,156
300 Comerica, Inc. 17,531
700 Conseco, Inc. 5,337
200 Countrywide Credit Industries, Inc. 7,550
200 Equifax, Inc. 5,387
2,200 Fannie Mae 157,300
900 Fifth Third Bancorp 48,488
2,200 First Union Corp. 70,813
2,100 Firstar Corp. 46,988
1,900 Fleet Boston Financial Corp. 74,100
500 Franklin Resources, Inc. 22,215
1,000 Freddie Mac 54,063
292 Golden West Financial Corp. 15,659
500 Hartford Financial Services
Group, Inc. 36,469
999 Household International, Inc. 56,568
1,400 Huntington Bancshares, Inc. 20,563
200 Jefferson-Pilot Corp. 13,575
1,200 KeyCorp 30,375
400 Lehman Brothers, Inc. 59,100
400 Lincoln National Corp. 19,250
200 Loews Corp. 16,675
600 Marsh and McLennan 79,650
200 MBIA, Inc. 14,225
1,800 MBNA Corp. 69,300
1,000 Mellon Financial Corp. 46,375
2,000 Merrill Lynch & Co., Inc. 132,000
200 MGIC Investment Corp. 12,225
1,000 Morgan (J.P.) & Co., Inc. 163,375
2,400 Morgan Stanley Dean Witter
Discover & Co. 219,450
See Notes to Financial Statements.
--------------------------------------------------------------------------------
34
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--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS September 30, 2000
--------------------------------------------------------------------------------
SHARES SECURITY VALUE
--------------------------------------------------------------------------------
1,600 National City Corp. $ 35,400
400 Northern Trust Corp. 35,550
200 Old Kent Financial Corp. 5,788
300 Paine Webber Group, Inc. 20,438
600 PNC Bank Corp. 39,000
300 Providian Financial Corp. 38,100
700 Regions Financial Corp. 15,881
500 Safeco 13,625
400 St. Paul Cos., Inc. 19,725
300 State Street Corp. 39,000
400 Stilwell Financial, Inc.1 17,400
600 Summit Bancorp 20,700
600 Suntrust Banks, Inc. 29,888
600 Synovus Financial Corp. 12,713
200 T. Rowe Price Associates, Inc. 9,388
200 Torchmark Corp. 5,563
1,700 US Bancorp 38,675
500 Union Planters Corp. 16,531
200 USA Education 9,638
400 Wachovia Corp. 22,675
900 Washington Mutual, Inc. 35,831
3,606 Wells Fargo Co. 165,651
----------
4,243,862
----------
HEALTH CARE -- 3.5%
2,800 Abbott Laboratories 133,175
200 Aetna, Inc. 11,613
200 Allergan, Inc. 16,888
400 ALZA Corp. 34,600
2,800 American Home Products Corp. 158,375
2,400 Amgen, Inc. 167,588
100 Bausch & Lomb, Inc. 3,894
600 Baxter International, Inc. 47,888
500 Becton Dickinson & Co. 13,219
500 Biogen, Inc. 30,500
700 Biomet, Inc. 24,500
900 Boston Scientific Corp. 14,794
4,300 Bristol-Myers Squibb Co. 245,638
800 Guidant Corp. 56,550
1,100 HCA Healthcare Co 40,838
2,000 HEALTHSOUTH Corp. 16,250
1,200 Humana, Inc. 12,900
3,000 Johnson & Johnson 281,813
2,500 Lilly (Eli) & Co. 202,813
400 Mallinckrodt Group, Inc. 18,250
800 Manor Care 12,550
600 Medimmune Inc.1 46,350
2,600 Medtronic, Inc. 134,713
5,000 Merck & Co., Inc. 372,188
400 PE Corp. -- PE Biosystems Group 46,600
13,813 Pfizer, Inc. 620,699
2,800 Pharmacia Corp. 168,525
700 Quintiles Transnational Corp. 11,156
3,100 Schering-Plough Corp. 144,150
400 St. Jude Medical, Inc. 20,400
900 Tenet Healthcare Corp. 32,738
300 Unitedhealth Group, Inc. 29,625
400 Watson Pharmaceuticals 25,950
200 Wellpoint Health Networks 19,200
----------
3,216,930
----------
INSURANCE -- 0.0%
400 Unumprovident Corp. 10,900
----------
MACHINERY -- 0.0%
300 Briggs & Stratton Corp. 11,344
100 Snap-On Tools Corp. 2,356
----------
13,700
----------
MEDICAL SUPPLIES -- 0.1%
5,900 Acuson Corp.1 134,225
----------
PRINTING & PUBLISHING -- 0.0%
200 Deluxe Corp. 4,063
300 Donnelley (R.R.) & Sons Co. 7,369
----------
11,432
----------
PROFESSIONAL SERVICES -- 0.0%
200 Ecolab, Inc. 7,213
----------
REAL ESTATE -- 0.3%
4,800 Urban Shopping Centers, Inc. 228,000
----------
TECHNOLOGY -- 9.3%
200 Adaptec, Inc. 4,000
2,000 ADC Telecommunications, Inc. 53,781
300 Adobe Systems, Inc. 46,575
1,000 Advanced Micro Devices, Inc. 23,625
900 Agilent Technologies1 44,044
500 Alteon Websystems, Inc. 54,195
1,100 Altera Corp.1 52,525
4,000 America Online, Inc. 215,000
900 Analog Devices, Inc. 74,306
400 Andrew Corp. 10,475
800 Apple Computer, Inc. 20,600
1,900 Applied Materials, Inc. 112,694
100 Autodesk, Inc. 2,538
1,300 Automatic Data Processing, Inc. 86,938
500 BMC Software, Inc. 9,563
600 Broadcom Corp.-- Class A1 146,250
600 Cabletron Systems, Inc. 17,625
600 Ceridian Corp. 16,838
15,800 Cisco Systems, Inc. 872,950
400 Citrix Systems, Inc. 8,025
700 Cobalt Networks, Inc.1 40,512
3,600 Compaq Computer Corp. 99,288
1,100 Computer Associates
International, Inc. 27,706
500 Computer Sciences Corp. 37,125
800 Compuware Corp. 6,700
See Notes to Financial Statements.
--------------------------------------------------------------------------------
35
<PAGE>
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--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS September 30, 2000
--------------------------------------------------------------------------------
SHARES SECURITY VALUE
--------------------------------------------------------------------------------
400 Comverse Technology $ 43,200
700 Conexant Systems 29,313
700 Corning, Inc. 207,900
5,900 Dell Computer Corp. 181,794
600 Eastman Kodak Co. 24,525
500 Electronic Data Systems Corp. 20,750
4,900 EMC Corp. 485,713
800 First Data Corp. 31,250
800 Gateway, Inc. 37,400
2,300 Hewlett-Packard Co. 223,100
15,100 Intel Corp. 627,594
3,900 International Business
Machines Corp. 438,750
1,200 JDS Uniphase Corp. 113,625
500 KLA-Tencor Corp. 20,594
300 Lexmark International Group, Inc. --
Class A 11,250
600 Linear Technology Corp. 38,850
900 LSI Logic Corp. 26,325
7,100 Lucent Technologies, Inc. 216,994
900 Maxim Integrated Products, Inc.1 72,394
200 Mercury Interactive Corp.1 31,350
1,400 Micron Technology, Inc. 64,400
11,600 Microsoft Corp. 698,900
4,700 Motorola, Inc. 132,775
700 National Semiconductor Corp. 28,175
400 NCR Corp. 15,125
800 Network Appliance, Inc. 101,900
5,700 Nortel Networks Corp. 339,506
700 Novell, Inc. 6,956
400 Novellus Systems, Inc.1 18,625
6,400 Oracle Corp. 504,000
1,200 Palm, Inc. 63,525
1,100 Parametric Technology Corp. 12,031
1,000 Paychex, Inc. 52,500
900 Peoplesoft, Inc. 25,144
200 Perkinelmer, Inc. 20,875
100 Polaroid Corp. 1,344
1,700 Qualcomm, Inc. 121,125
501 Sabre Group Holdings, Inc. 14,498
400 Sapient Corp.1 16,275
500 Scientific-Atlanta, Inc. 31,813
280 SDL, Inc. 86,240
1,300 Seagate Technology, Inc. 89,700
1,000 SIEBL Systems, Inc.1 111,313
3,300 Sun Microsystems, Inc. 385,275
100 Tektronix, Inc. 7,681
900 Tellabs, Inc. 42,975
600 Teradyne, Inc. 21,000
3,700 Texas Instruments, Inc. 174,594
700 Unisys Corp. 7,875
700 Veritas Software Corp. 99,400
100 W.W. Grainger, Inc. 2,631
1,500 Xerox Corp. 22,594
800 Xilinx, Inc. 68,500
1,300 Yahoo!, Inc. 118,300
----------
8,474,119
----------
TRANSPORTATION -- 0.2%
600 AMR Corp. 19,613
800 Burlington Northern Santa Fe 17,250
500 CSX Corp. 10,906
400 Delta Air Lines, Inc. 17,750
800 Fedex Corp. 35,472
800 Norfolk Southern Corp. 11,700
500 Ryder Systems, Inc. 9,219
1,700 Southwest Airlines Co. 41,225
400 Union Pacific Corp. 15,550
300 US Airways Group, Inc. 9,131
----------
187,816
----------
UTILITIES -- 1.2%
1,096 AES Corp. 75,076
600 Ameren Corp. 25,125
600 American Electric Power Co. 23,475
700 C P & L Energy 29,181
200 Cinergy Corp. 6,613
500 CMS Energy 13,469
400 Coastal Corp. 29,650
100 Columbia Energy Group 7,100
300 Consolidated Edison, Inc. 10,238
500 Constellation Energy Group, Inc. 24,875
600 Dominion Resources, Inc. 34,838
500 DTE Energy Co. 19,125
800 Duke Power Co. 68,600
1,100 Edison International, Inc. 21,244
700 El Paso Energy Corp. 43,138
1,600 Enron Corp. 140,200
800 Entergy Corp. 29,800
800 FirstEnergy Corp. 21,550
500 Florida Progress Corp. 26,469
300 FPL Group, Inc. 19,725
200 GPU, Inc. 6,488
400 Keyspan Energy Corp. 16,050
400 Niagara Mohawk Power Corp. 6,300
200 NICOR, Inc. 7,238
600 PECO Energy 36,338
200 People's Energy Corp. 6,675
1,000 PG&E Corp. 24,188
100 Pinnacle West Capital Corp. 5,088
500 PPL Corp. 20,875
500 Public Service Enterprise Group, Inc. 22,344
800 Reliant Energy 37,200
700 Sempra Energy 14,569
See Notes to Financial Statements.
--------------------------------------------------------------------------------
36
<PAGE>
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--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS September 30, 2000
--------------------------------------------------------------------------------
PRINCIPAL
AMOUNT/
SHARES SECURITY VALUE
--------------------------------------------------------------------------------
1,600 Southern Co. $ 51,900
900 TXU Corp. 35,663
300 Unicom Corp. 16,856
1,300 Williams Cos., Inc. 54,925
600 Xcel Energy 16,500
-----------
1,048,688
-----------
TOTAL COMMON STOCKS
(Cost $25,934,811) 30,127,294
-----------
NON-CONVERTIBLE CORPORATE
DEBT -- 13.0%
AEROSPACE -- 0.8%
$720,000 Raytheon Co.,
5.70%, 11/1/03 691,936
-----------
BANKS -- 2.2%
480,000 Barclays Bank Plc,
8.55%, 6/15/49 483,212
780,000 First Union Capital II,
7.95%, 11/15/29 700,347
745,000 FleetBoston Financial Corp.,
8.625%, 1/15/07 793,572
-----------
1,977,131
-----------
FINANCIALS -- 2.2%
150,000 Farmers Insurance Exchange,
8.625%, 5/1/24 147,552
65,000 Ford Motor Credit Co.,
6.70%, 7/16/04 63,723
725,000 Frank Russell Co.,
5.625%, 1/15/09 648,072
450,000 Paine Webber Group, Inc.,
7.875%, 2/15/03 458,869
670,000 Paine Webber Group,Inc.,
6.375%, 5/15/04 654,684
-----------
1,972,900
-----------
INDUSTRIAL -- 5.0%
1,049,965 Air 2 US,
8.027%, 10/1/19 1,067,179
Archstone Communities:
75,000 6.37%, 10/15/01 74,296
225,000 7.00%, 10/29/01 224,251
965,000 Erac USA Finance Co.,
8.25%, 5/1/05 987,111
1,005,000 International Paper Co.,
8.00%, 7/8/05 1,037,599
615,000 Merry Land & Investments Equity,
6.875%, 11/1/04 598,169
80,000 Prologis Trust,
6.70%, 4/15/04 77,480
515,000 Telefonica Europe BV,
7.75%, 9/15/10 519,021
-----------
4,585,106
-----------
INSURANCE -- 0.7%
670,000 AXA Financial, Inc.,
7.75%, 8/1/10 682,730
-----------
TELECOMMUNICATIONS -- 1.4%
645,000 Qwest Capital Funding,
7.90%, 8/15/10 658,817
640,000 Worldcom, Inc.,
8.00%, 5/15/06 663,304
-----------
1,322,121
-----------
UTILITY -- ELECTRIC -- 0.7%
560,000 Eastern Energy Ltd.,
6.75%, 12/1/06 544,940
60,000 Potomac Edison,
8.00%, 6/1/24 58,510
-----------
603,450
-----------
TOTAL NON-CONVERTIBLE CORPORATE DEBT
(Cost $11,722,617) 11,835,374
-----------
ASSET-BACKED SECURITIES -- 8.8%
740,000 Americredit Automobile
Receivables Trust,
5.88%, 12/12/05 730,132
560,000 Chemical Master Credit Card Trust I,
5.98%, 9/15/08 540,548
910,000 Citibank Credit Card Master Trust I,
5.875%, 3/10/11 846,068
520,000 CNH Equipment Trust, 7.34%, 2/15/07 526,256
Conseco Finance:
690,000 7.80%, 5/15/20 702,762
890,000 7.60%, 12/15/29 905,846
425,000 11.06%, 12/1/31 432,474
560,000 Felco Funding II, 7.72%, 12/15/05b 572,883
890,000 Green Point Manufactured Housing,
7.33%, 8/15/20 887,966
225,000 Household Automotive Trust,
6.65%, 4/17/06 224,956
670,000 Toyota Auto Receivables Owner Trust,
7.21%, 4/15/07 679,484
690,000 Union Acceptance Corp.,
5.64%, 5/8/06 676,169
285,000 WFS Financial Owner Trust,
7.41%, 9/20/07 290,405
-----------
TOTAL ASSET-BACKED SECURITIES
(Cost $7,908,724) 8,015,949
-----------
COLLATERALIZED MORTGAGE
OBLIGATIONS -- 3.0%
990,000 Chase Mortgage Finance Corp.,
6.75%, 10/25/28 931,923
791,225 GE Capital Mortgage Services, Inc.,
7.00%, 11/25/07 781,710
See Notes to Financial Statements.
--------------------------------------------------------------------------------
37
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Asset Management Portfolio II
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS September 30, 2000
--------------------------------------------------------------------------------
PRINCIPAL
AMOUNT/
SHARES SECURITY VALUE
--------------------------------------------------------------------------------
$980,000 Norwest Asset Securities Corp.,
7.25%, 12/25/29 $ 967,177
----------
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(Cost $2,623,914) 2,680,810
----------
FOREIGN DEBT -- 0.7%
150,000 Kingdom of Sweden,
12.00%, 2/1/10 200,776
New Zealand Government:
65,000 10.625%, 11/15/05 75,242
125,000 8.75%, 12/15/06 136,100
215,000 United Mexican States,
9.75%, 4/6/05 228,008
----------
TOTAL FOREIGN DEBT
(Cost $652,418) 640,126
----------
MUNICIPAL BONDS -- 4.6%
500,000 Delaware River Port Authority PA & NJ,
7.27%, 1/1/07 505,410
340,000 El Cajon, California Redevelopment
Agency,
7.70%, 10/1/30 336,556
1,025,000 Harrisburg PA Housing Corp.
Mortgage Revenue,
10.00%, 7/15/24 1,077,993
535,000 Hillsborough County FL Fuel Tax Revenue,
6.00%, 12/1/11 484,903
605,000 Lansing MI Board Water & Light Water
Supply Series B, 7.30%, 7/1/06 616,816
445,000 Ross County, OH Water Co., Inc.
Water Revenue,
8.25%, 8/1/25 453,362
175,000 Suburban Hospital Healthcare
Systems, Inc.,
7.865%, 2/15/27 174,986
610,000 Virginia State Housing Development
Authority Series A,
6.51%, 5/1/19 534,012
----------
TOTAL MUNICIPAL BONDS
(Cost $4,169,506) 4,184,038
----------
US GOVERNMENT & AGENCIES -- 9.0%
FGLMC:
900,000 6.50%, 11/1/08 864,281
680,983 6.50%, 4/1/29 655,094
1,191,514 6.50%, 7/1/29 1,146,216
FHLMC:
1,969,048 7.00%, 6/1/09 1,975,995
871,174 6.00%, 3/15/29 818,934
875,472 FNMA Pool #190750,
7.00%, 3/1/09 878,000
$360,618 FNMA Pool #303981,
7.00%, 10/1/09 361,660
706,496 FNMA Pool #323194,
6.361%, 7/1/08 690,381
765,000 FNMA Pool #382140,
7.03%, 1/25/07 767,962
----------
TOTAL US GOVERNMENT & AGENCIES
(Cost $8,117,816) 8,158,523
----------
US TREASURY SECURITIES -- 4.2%
US Treasury Bonds:
2,318,000 8.125%, 8/15/19 2,830,858
860,000 6.125%, 8/15/29 878,544
138,000 US Treasury Note,
6.625%, 3/31/02 139,035
----------
TOTAL US TREASURY SECURITIES
(Cost $3,711,605) 3,848,437
----------
TOTAL INVESTMENTS IN UNAFFILIATED ISSUERS
(Cost $64,841,411) 69,490,551
----------
SHORT-TERM INSTRUMENTS -- 17.7%
US TREASURY SECURITIES -- 9.4%
US Treasury Bills:
1,575,000 5.945%, 10/19/00a 1,570,708
55,000 6.04%, 10/19/00 54,480
7,000,000 5.945%, 12/14/00 6,916,040
----------
8,541,228
----------
INVESTMENTS IN AFFILIATED
INVESTMENT COMPANIES
MUTUAL FUND -- 8.3%
7,547,612 Cash Management Institutional 7,547,612
----------
TOTAL SHORT-TERM INSTRUMENTS
(Cost $16,089,085) 16,088,840
----------
TOTAL INVESTMENTS
(Cost $80,930,496) 94.1% $85,579,391
OTHER ASSETS IN EXCESS OF
LIABILITIES 5.9 5,339,622
----- -----------
NET ASSETS 100.0% $90,919,013
===== ===========
--------------------------------------------------------------------------------
1 Non-income producing security.
a Held as collateral by broker for futures contracts.
b Security exempt from registration under Rule 144A of the Securities Act of
1933. This security may be resold in transactions exempt from registration,
normally to qualified 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.
--------------------------------------------------------------------------------
38
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Asset Management Portfolio III
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS September 30, 2000
--------------------------------------------------------------------------------
SHARES SECURITY VALUE
--------------------------------------------------------------------------------
INVESTMENTS IN UNAFFILIATED ISSUERS
COMMON STOCKS -- 14.0%
AEROSPACE -- 0.0%
26 Raytheon Co.-- Class B $ 739
37 Rockwell International Corp. 1,119
--------
1,858
--------
APPAREL TEXTILES -- 0.0%
29 Springs Industries, Inc.-- Class A 817
--------
BANKS -- 0.0%
24 Banks United Corp.-- Class A 1,216
67 BB&T Corp. 2,018
--------
3,234
--------
BASIC MATERIALS -- 0.4%
47 Air Products and Chemicals, Inc. 1,692
62 Alcan Aluminum Ltd. 1,794
245 Alcoa, Inc. 6,202
24 Allegheny Technologies 435
2 Arch Coal, Inc. 20
181 Archer-Daniels-Midland Co. 1,561
112 Barrick Gold Corp. 1,708
14 Bemis Co., Inc. 450
195 Bethlehem Steel 585
50 Boise Cascade Corp. 1,328
216 Du Pont (E.I.) de Nemours & Co. 8,950
47 Eastman Chemical Co. 1,736
58 Engelhard Corp. 942
25 FMC Corp. 1,677
58 Freeport-McMoRan Copper &
Gold, Inc.-- Class B 511
39 Georgia-Pacific Corp. 916
5 Great Lakes Chemical Corp. 147
33 Hercules, Inc. 466
81 Homestake Mining Co. 420
51 Inco Ltd. 822
49 International Flavors & Fragrances, Inc. 894
30 International Paper Co. 861
1,500 Lilly Industries, Inc.-- Class A 44,250
28 Louisiana-Pacific Corp. 257
16 Mead Corp. 374
24 Newmont Mining Corp. 408
9 Nucor Corp. 271
52 Pactiv Corp. 582
30 Phelps Dodge Corp. 1,252
94 Placer Dome, Inc. 887
21 Potlatch Corp. 664
39 PPG Industries, Inc. 1,548
36 Praxair, Inc. 1,345
50 Rohm & Haas Co. 1,453
300 Southdown,Inc. 21,428
37 Temple Inland, Inc. 1,401
165 Union Carbide Corp. 6,229
58 USX-- US Steel Group 881
21 Vulcan Materials Co. 844
22 W.R. Grace & Co. 151
29 Westvaco Corp. 774
33 Weyerhaeuser Co. 1,332
22 Willamette Industries, Inc. 616
69 Worthington Industries, Inc. 647
--------
121,711
--------
CAPITAL GOODS -- 1.1%
57 Allied Waste Industries, Inc. 524
74 American Power Conversion Corp.1 1,420
29 Avery Dennison Corp. 1,345
249 Boeing Co. 15,687
39 Briggs & Stratton Corp. 1,475
11 Caterpillar, Inc. 371
12 Cooper Industries, Inc. 423
21 Crane Co. 480
74 Crown Cork & Seal Co., Inc. 791
32 Cummins Engine Co., Inc. 958
34 Danaher Corp. 1,691
57 Deere & Co. 1,895
45 Dover Corp. 2,112
11 Eaton Corp. 678
113 Emerson Electric Co. 7,571
9 Fluor Corp. 270
80 General Dynamics Corp. 5,025
2,789 General Electric Co. 160,890
14 Goodrich (B.F.) Co. 549
168 Honeywell International, Inc. 5,985
29 Illinois Tool Works, Inc. 1,620
12 Ingersoll-Rand Co. 406
6 ITT Industries 195
19 Johnson Controls, Inc. 1,011
96 Lockheed Martin Corp. 3,164
6 Millipore Corp. 291
112 Minnesota Mining & Manufacturing Co. 10,206
49 Molex, Inc. 2,667
37 National Service Industries, Inc. 724
43 Navistar International Corp. 1,287
20 Northrop Grumman Corp. 1,817
47 Owens-Illinois, Inc. 435
42 Paccar, Inc. 1,557
36 Pall Corp. 718
31 Parker-Hannifin Corp. 1,046
51 Sanmina Corp. 4,775
32 Sealed Air Corp. 1,448
190 Solectron Corp. 8,764
54 Textron, Inc. 2,491
50 Thermo Electron Corp. 1,300
18 Timken Co. 246
466 Tyco International Ltd. 24,174
133 United Technologies Corp. 9,210
178 Waste Management, Inc. 3,104
--------
292,796
--------
See Notes to Financial Statements.
--------------------------------------------------------------------------------
39
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Asset Management Portfolio III
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS September 30, 2000
--------------------------------------------------------------------------------
SHARES SECURITY VALUE
--------------------------------------------------------------------------------
CHEMICAL -- SPECIALTY -- 0.1%
300 Bush Boake Allen, Inc.1 $ 14,344
19 Sigma Aldrich Corp. 627
--------
14,971
--------
COMMUNICATION SERVICES -- 0.8%
29 Alltel Corp. 1,513
959 AT&T Corp. 28,171
523 BellSouth Corp. 21,051
28 Centurytel, Inc. 763
280 Global Crossing Ltd. 8,680
237 Nextel Communications, Inc.-- Class A 11,080
461 Qwest Communications International,
Inc.1 22,157
952 SBC Communications, Inc. 47,600
142 Sprint Corp. 4,162
275 Sprint PCS Group 9,642
697 Verizon Communications 33,761
809 Worldcom, Inc.1 24,573
--------
213,153
--------
COMPUTER SOFTWARE -- 0.1%
2,350 Mynd Corp.1 31,725
4 Synavant1 25
--------
31,750
--------
CONSUMER CYCLICALS -- 0.9%
17 American Greetings Corp.-- Class A 297
10 Armstrong Holdings 119
73 Autozone, Inc. 1,656
122 Bed, Bath & Beyond, Inc. 2,976
67 Best Buy, Inc. 4,263
15 Black & Decker Corp. 513
25 Brunswick Corp. 456
45 Carnival Corp.-- Class A 1,108
260 Cendant Corp. 2,827
16 Centex Corp. 514
3 Circuit City Stores, Inc. 69
144 Consolidated Stores Corp. 1,944
59 Convergys Corp.1 2,294
92 Cooper Tire & Rubber Co. 926
153 Costco Wholesale Corp. 5,345
70 Dana Corp. 1,505
159 Delphi Automotive Systems 2,405
34 Dillard Department Stores, Inc. --
Class A 361
93 Dollar General Corp. 1,558
21 Dow Jones & Co., Inc. 1,270
40 Dun & Bradstreet Corp. 1,377
60 Federated Department Stores, Inc. 1,567
553 Ford Motor Co. New 13,999
67 Gannett Co., Inc. 3,551
238 Gap, Inc. 4,790
167 General Motors Corp. 10,855
104 Genuine Parts Co. 1,982
44 Goodyear Tire & Rubber Co. 792
11 H & R Block, Inc. 408
38 Harcourt General, Inc. 2,242
80 Harley-Davidson, Inc. 3,830
70 Harrah's Entertainment, Inc. 1,925
89 Hasbro, Inc. 1,018
105 Hilton Hotels Corp. 1,214
647 Home Depot, Inc. 34,331
76 IMS Health, Inc. 1,577
69 Interpublic Group of Cos., Inc. 2,350
79 J.C. Penney Co., Inc. 933
45 Kaufman & Broad Home Corp. 1,212
246 Kmart Corp. 1,476
51 Knight-Ridder, Inc. 2,591
108 Kohls Corp. 6,230
30 Leggett & Platt, Inc. 474
170 Limited, Inc. 3,751
15 Liz Claiborne, Inc. 577
48 Lowe's Cos., Inc. 2,154
60 Marriott International, Inc. 2,186
103 Masco Corp. 1,918
121 Mattel, Inc. 1,354
82 May Department Stores Co. 1,681
55 McGraw-Hill Cos., Inc. 3,496
43 New York Times Co.-- Class A 1,690
76 Newell Rubbermaid, Inc. 1,734
1 Nike, Inc. 40
38 Nordstrom, Inc. 591
205 Office Depot, Inc. 1,602
44 Omnicom Group, Inc. 3,209
64 Pulte Corp. 2,112
34 Radioshack Corp. 2,197
98 Reebok International Ltd. 1,844
123 Sears, Roebuck & Co. 3,988
47 Sherwin-Williams Co. 1,005
8 Snap-On Tools Corp. 188
25 Stanley Works 577
133 Staples, Inc. 1,887
257 Target Corp. 6,586
68 Tiffany & Co. 2,622
97 Toys 'R' Us, Inc. 1,576
60 Tribune Co. 2,617
28 TRW, Inc. 1,137
12 V.F. Corp. 296
37 Visteon Corp 560
1,245 Wal-Mart Stores, Inc. 59,916
34 Whirlpool Corp. 1,322
--------
249,543
--------
See Notes to Financial Statements.
--------------------------------------------------------------------------------
40
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Asset Management Portfolio III
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS September 30, 2000
--------------------------------------------------------------------------------
SHARES SECURITY VALUE
--------------------------------------------------------------------------------
CONSUMER STAPLES -- 1.8%
14 Alberto-Culver Co.-- Class B $ 403
250 Anheuser Busch Cos., Inc. 10,578
57 Avon Products, Inc. 2,330
768 Bestfoods 55,872
13 Brown-Forman Corp.-- Class B 712
73 Cardinal Health, Inc. 6,438
194 Clear Channel Communications, Inc. 10,961
54 Clorox Co. 2,136
693 Coca-Cola Co. 38,202
121 Coca-Cola Enterprises, Inc. 1,928
157 Colgate-Palmolive Co. 7,410
301 Comcast Corp.-- Class A 12,322
140 ConAgra, Inc. 2,809
81 CVS Corp. 3,751
151 Darden Restaurants, Inc. 3,143
21 Deluxe Corp. 427
575 Disney (Walt) Co. 21,994
1,259 Fort James Corp. 38,478
27 Fortune Brands, Inc. 715
67 General Mills, Inc. 2,378
3 General Motors Corp. --
Class H (Hughes Electronics) 1 112
228 Gillette Co. 7,039
87 H.J. Heinz Co. 3,224
150 Kimberly Clark Corp. 8,372
271 Kroger Co. 6,114
12 Longs Drug Stores, Inc. 229
272 McDonald's Corp. 8,211
56 McKesson HBOC, Inc. 1,711
772 Nabisco Group Holdings 22,002
650 Nabisco Holdings Corp.-- Class A 34,937
396 PepsiCo, Inc. 18,216
597 Philip Morris Cos., Inc. 17,574
324 Procter & Gamble Co. 21,708
42 Quaker Oats Co. 3,323
86 Ralston Purina Group 2,037
154 Safeway, Inc. 7,190
261 Sara Lee Corp. 5,302
115 Seagram Co. Ltd. 6,605
74 Starbucks Corp.1 2,965
37 SuperValu, Inc. 557
89 Sysco Corp. 4,122
472 Time Warner, Inc. 36,934
39 Tricon Global Restaurants, Inc. 1,194
16 Tupperware Corp. 288
103 Unilever NV 4,970
50 UST, Inc. 1,144
441 Viacom, Inc.-- Class B 25,798
267 Walgreen Co. 10,129
32 Wendy's International, Inc. 642
88 Winn Dixie Stores, Inc. 1,265
30 Wrigley (Wm.), Jr. Co. 2,246
--------
489,147
--------
ENERGY -- 0.7%
17 Amerada Hess Corp. 1,138
86 Anadarko Petroleum Corp. 5,716
23 Apache Corp. 1,360
8 Ashland, Inc. 269
74 Baker Hughes, Inc. 2,747
53 Burlington Resources, Inc. 1,951
184 Chevron Corp. 15,686
178 Conoco, Inc.-- Class B 4,795
25 Devon Energy Corp. 1,504
1,003 Exxon Mobil Corp. 89,392
116 Halliburton Co. 5,677
44 Kerr-McGee Corp. 2,915
135 Occidental Petroleum Corp. 2,945
90 Phillips Petroleum Co. 5,647
44 Rowan Cos., Inc. 1,276
600 Royal Dutch Petroleum Co. 35,962
151 Schlumberger Ltd. 12,429
4 Sunoco, Inc. 108
96 Texaco, Inc. 5,040
28 Tosco Corp. 873
52 Transocean Sedco 3,048
59 Unocal Corp. 2,091
88 USX Marathon Group 2,497
--------
205,066
--------
FINANCIALS -- 1.9%
71 Aflac, Inc. 4,548
194 Allstate Corp. 6,741
393 American Express Co. 23,875
66 American General Corp. 5,148
660 American International Group, Inc. 63,154
146 Amsouth Bancorp 1,825
49 AON Corp. 1,923
413 Associates First Capital Corp. --
Class A 15,694
470 Bank of America Corp. 24,616
199 Bank of New York Co., Inc. 11,156
242 Bank One Corp. 9,347
26 Bear Stearns Cos., Inc. 1,638
49 Capital One Financial Corp. 3,433
371 Charles Schwab Corp. 13,170
78 Charter One Financial, Inc. 1,894
91 Chase Manhattan Corp. 4,203
47 Chubb Corp. 3,719
41 CIGNA Corp. 4,280
36 Cincinnati Financial Corp. 1,278
75 CIT Group, Inc.-- Class A 1,312
1,132 Citigroup 61,199
38 Comerica, Inc. 2,221
94 Conseco, Inc. 717
16 Countrywide Credit Industries, Inc. 604
277 Fannie Mae 19,806
121 Fifth Third Bancorp 6,519
See Notes to Financial Statements.
--------------------------------------------------------------------------------
41
<PAGE>
Asset Management Portfolio III
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS September 30, 2000
--------------------------------------------------------------------------------
SHARES SECURITY VALUE
--------------------------------------------------------------------------------
277 First Union Corp. $ 8,916
270 Firstar Corp. 6,041
247 Fleet Boston Financial Corp. 9,633
64 Franklin Resources, Inc. 2,844
129 Freddie Mac 6,974
35 Golden West Financial Corp. 1,877
53 Hartford Financial Services
Group, Inc. 3,866
123 Household International, Inc. 6,965
136 Huntington Bancshares, Inc. 1,998
20 Jefferson-Pilot Corp. 1,358
154 KeyCorp 3,898
45 Lehman Brothers, Inc. 6,649
39 Lincoln National Corp. 1,877
24 Loews Corp. 2,001
71 Marsh and McLennan 9,425
21 MBIA, Inc. 1,494
228 MBNA Corp. 8,778
127 Mellon Financial Corp. 5,890
242 Merrill Lynch & Co., Inc. 15,972
19 MGIC Investment Corp. 1,161
124 Morgan (J.P.) & Co., Inc. 20,259
316 Morgan Stanley Dean Witter
Discover & Co. 28,894
206 National City Corp. 4,558
61 Northern Trust Corp. 5,421
17 Old Kent Financial Corp. 492
36 Paine Webber Group, Inc. 2,453
72 PNC Bank Corp. 4,680
36 Providian Financial Corp. 4,572
92 Regions Financial Corp. 2,087
65 Safeco 1,771
47 St. Paul Cos., Inc. 2,318
44 State Street Corp. 5,720
63 Stilwell Financial Inc. 2,741
67 Summit Bancorp 2,312
75 Suntrust Banks, Inc. 3,736
87 Synovus Financial Corp. 1,843
34 T. Rowe Price Associates, Inc. 1,596
14 Torchmark Corp. 389
214 US Bancorp 4,869
38 Union Planters Corp. 1,256
30 USA Education 1,446
48 Wachovia Corp. 2,721
112 Washington Mutual, Inc. 4,459
454 Wells Fargo Co. 20,856
--------
533,086
--------
HEALTH CARE -- 1.5%
373 Abbott Laboratories 17,741
32 Aetna, Inc. 1,858
33 Allergan, Inc. 2,786
52 ALZA Corp. 4,498
361 American Home Products Corp. 20,419
298 Amgen, Inc. 20,809
10 Bausch & Lomb, Inc. 389
74 Baxter International, Inc. 5,906
59 Becton Dickinson & Co. 1,560
62 Biogen, Inc. 3,782
88 Biomet, Inc. 3,080
114 Boston Scientific Corp. 1,874
529 Bristol-Myers Squibb Co. 30,219
14 C.R. Bard, Inc. 592
103 Guidant Corp. 7,281
141 HCA Healthcare Co 5,235
234 HEALTHSOUTH Corp. 1,901
105 Humana, Inc. 1,129
390 Johnson & Johnson 36,636
315 Lilly (Eli) & Co. 25,554
43 Mallinckrodt Group, Inc. 1,962
104 Manor Care 1,632
69 Medimmune Inc.1 5,330
330 Medtronic, Inc. 17,098
646 Merck & Co., Inc. 48,087
52 PE Corp. -- PE Biosystems Group 6,058
1,759 Pfizer, Inc. 79,045
344 Pharmacia Corp. 20,705
96 Quintiles Transnational Corp. 1,530
406 Schering-Plough Corp. 18,879
38 St. Jude Medical, Inc. 1,938
119 Tenet Healthcare Corp. 4,329
40 Unitedhealth Group, Inc. 3,950
37 Watson Pharmaceuticals 2,400
18 Wellpoint Health Networks 1,728
--------
407,920
--------
INSURANCE -- 0.0%
67 Unumprovident Corp. 1,826
--------
MEDICAL SUPPLIES -- 0.1%
700 Acuson Corp.1 15,925
--------
REAL ESTATE -- 0.1%
600 Urban Shopping Centers, Inc. 28,500
--------
TECHNOLOGY -- 3.9%
29 Adaptec, Inc. 580
224 ADC Telecommunications, Inc. 6,024
32 Adobe Systems, Inc. 4,968
114 Advanced Micro Devices, Inc. 2,693
104 Agilent Technologies1 5,090
58 Alteon Websystems, Inc. 6,287
142 Altera Corp.1 6,781
517 America Online, Inc. 27,789
116 Analog Devices, Inc. 9,577
55 Andrew Corp. 1,440
114 Apple Computer, Inc. 2,936
238 Applied Materials, Inc. 14,116
11 Autodesk, Inc. 279
See Notes to Financial Statements.
--------------------------------------------------------------------------------
42
<PAGE>
Asset Management Portfolio III
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS September 30, 2000
--------------------------------------------------------------------------------
SHARES SECURITY VALUE
--------------------------------------------------------------------------------
170 Automatic Data Processing, Inc. $ 11,369
69 BMC Software, Inc. 1,320
67 Broadcom Corp.-- Class A1 16,331
79 Cabletron Systems, Inc. 2,321
73 Ceridian Corp. 2,049
2,030 Cisco Systems, Inc. 112,158
52 Citrix Systems, Inc. 1,043
100 Cobalt Networks, Inc.1 5,787
461 Compaq Computer Corp. 12,714
154 Computer Associates
International, Inc. 3,874
63 Computer Sciences Corp. 4,678
102 Compuware Corp. 854
52 Comverse Technology 5,616
89 Conexant Systems 3,727
88 Corning, Inc. 26,136
750 Dell Computer Corp. 23,109
64 Eastman Kodak Co. 2,616
63 Electronic Data Systems Corp. 2,615
627 EMC Corp. 62,151
107 First Data Corp. 4,180
108 Gateway, Inc. 5,049
294 Hewlett-Packard Co. 28,518
1,911 Intel Corp. 79,426
492 International Business Machines Corp. 55,350
151 JDS Uniphase Corp. 14,298
65 International Group, Inc.--
Class A 1,350
81 Linear Technology Corp. 5,245
112 LSI Logic Corp. 3,276
885 Lucent Technologies, Inc. 27,048
89 Maxim Integrated Products, Inc.1 7,159
30 Mercury Interactive Corp.1 4,703
167 Micron Technology, Inc. 7,682
1,483 Microsoft Corp. 89,351
598 Motorola, Inc. 16,894
92 National Semiconductor Corp. 3,703
52 NCR Corp. 1,966
99 Network Appliance, Inc. 12,610
726 Nortel Networks Corp. 43,242
94 Novell, Inc. 934
51 Novellus Systems, Inc.1 2,375
822 Oracle Corp. 64,733
150 Palm, Inc. 7,941
144 Parametric Technology Corp. 1,575
129 Paychex, Inc. 6,773
114 Peoplesoft, Inc. 3,185
23 Perkinelmer, Inc. 2,401
225 Qualcomm, Inc. 16,031
60 Sabre Group Holdings, Inc. 1,736
50 Sapient Corp.1 2,034
65 Scientific-Atlanta, Inc. 4,136
37 SDL, Inc. 11,396
179 Seagate Technology, Inc. 12,351
124 SIEBL Systems, Inc.1 13,803
412 Sun Microsystems, Inc. 48,101
7 Tektronix, Inc. 538
122 Tellabs, Inc. 5,826
64 Teradyne, Inc. 2,240
486 Texas Instruments, Inc. 22,933
106 Unisys Corp. 1,193
86 Veritas Software Corp. 12,212
19 W.W. Grainger, Inc. 500
187 Xerox Corp. 2,817
101 Xilinx, Inc. 8,648
161 Yahoo!, Inc. 14,651
--------
1,073,818
--------
TRANSPORTATION -- 0.1%
71 AMR Corp. 2,321
101 Burlington Northern Santa Fe 2,178
61 CSX Corp. 1,331
56 Delta Air Lines, Inc. 2,485
103 Fedex Corp. 4,567
109 Norfolk Southern Corp. 1,594
61 Ryder Systems, Inc. 1,125
190 Southwest Airlines Co. 4,608
57 Union Pacific Corp. 2,216
40 US Airways Group, Inc. 1,218
--------
23,643
--------
UTILITIES -- 0.5%
144 AES Corp. 9,864
66 Ameren Corp. 2,764
91 American Electric Power Co. 3,560
75 C P & L Energy 3,127
39 Cinergy Corp. 1,289
59 CMS Energy 1,589
61 Coastal Corp. 4,522
19 Columbia Energy Group 1,349
43 Consolidated Edison, Inc. 1,467
64 Constellation Energy Group, Inc. 3,184
79 Dominion Resources, Inc. 4,587
58 DTE Energy Co. 2,219
104 Duke Power Co. 8,918
136 Edison International, Inc. 2,627
84 El Paso Energy Corp. 5,177
198 Enron Corp. 17,350
110 Entergy Corp. 4,098
111 FirstEnergy Corp. 2,990
49 Florida Progress Corp. 2,594
50 FPL Group, Inc. 3,288
16 GPU, Inc. 519
56 Keyspan Energy Corp. 2,247
75 Niagara Mohawk Power Corp. 1,181
31 NICOR, Inc. 1,122
See Notes to Financial Statements.
--------------------------------------------------------------------------------
43
<PAGE>
Asset Management Portfolio III
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS September 30, 2000
--------------------------------------------------------------------------------
PRINCIPAL
AMOUNT/
SHARES SECURITY VALUE
--------------------------------------------------------------------------------
71 PECO Energy $ 4,300
31 People's Energy Corp. 1,035
131 PG&E Corp. 3,169
8 Pinnacle West Capital Corp. 407
67 PPL Corp. 2,797
61 Public Service Enterprise Group, Inc. 2,726
107 Reliant Energy 4,976
92 Sempra Energy 1,915
208 Southern Co. 6,747
107 TXU Corp. 4,240
36 Unicom Corp. 2,023
149 Williams Cos., Inc. 6,295
113 Xcel Energy 3,107
-----------
135,369
-----------
TOTAL COMMON STOCKS
(Cost $3,400,143) 3,844,133
-----------
NON-CONVERTIBLE CORPORATE
DEBT -- 18.0%
AEROSPACE -- 1.2%
$350,000 Raytheon Co.,
5.70%, 11/1/03 336,358
-----------
BANKS -- 3.3%
170,000 Barclays Bank Plc,
8.55%, 6/15/49 171,138
375,000 First Union Capital II,
7.95%, 11/15/29 336,705
365,000 FleetBoston Financial Corp.,
8.625%, 1/15/07 388,797
-----------
896,640
-----------
FINANCIALS -- 3.3%
125,000 Allstate Corp.,
7.20%, 12/1/09 121,823
115,000 Farmers Insurance Exchange,
8.625%, 5/1/24 113,123
165,000 Ford Motor Credit Co.,
6.70%, 7/16/04 161,759
350,000 Frank Russell Co.,
5.625%, 1/15/09 312,862
200,000 Paine Webber Group, Inc.,
7.875%, 2/15/03 203,942
-----------
913,509
-----------
INDUSTRIAL -- 7.6%
499,983 Air 2 US,
8.027%, 10/1/19 508,180
35,000 Archstone Communities:
6.37%, 10/15/01 34,672
110,000 7.00%, 10/29/01 109,634
435,000 Erac USA Finance Co.,
8.25%, 5/1/05 444,967
460,000 International Paper Co.,
8.00%, 7/8/05 474,921
285,000 Merry Land & Investments Equity,
6.875%, 11/1/04 277,200
50,000 Prologis Trust,
6.70%, 4/15/04 48,425
190,000 Telefonica Europe,
7.75%, 9/15/10 191,483
-----------
2,089,482
-----------
INSURANCE -- 0.7%
190,000 AXA Financial,
7.75%, 8/1/10 193,610
-----------
TELECOMMUNICATIONS -- 1.6%
200,000 Koninklijke KPN NV,
8.00%, 10/1/10 200,887
235,000 Qwest Capital Funding,
7.90%, 8/15/10 240,034
-----------
440,921
-----------
UTILITY -- ELECTRIC -- 0.3%
75,000 Potomac Edison,
8.00%, 6/1/24 73,138
-----------
TOTAL NON-CONVERTIBLE CORPORATE DEBT
(Cost $4,922,300) 4,943,658
-----------
ASSET-BACKED SECURITIES -- 11.8%
370,000 Americredit Automobile Receivables
Trust,
5.88%, 12/12/05 365,066
325,000 Chemical Master Credit Card Trust I,
5.98%, 9/15/08 313,711
190,000 CNHEquipment, 7.34%, 2/15/07 192,286
Conseco Finance:
320,000 7.80%, 5/15/20 325,918
430,000 7.60%, 12/15/29 437,656
195,000 11.06%, 12/1/31 198,429
250,000 Felco Funding II, 7.72%, 12/15/05b 255,751
430,000 Green Point Manufactured Housing,
7.33%, 8/15/20 429,017
110,000 Household Automotive Trust,
6.65%, 4/17/06 109,979
120,000 MBNA Master Credit Card Trust,
7.00%, 2/15/12 120,508
341,000 Union Acceptance Corp.,
5.64%, 5/8/06 334,165
140,000 WFS Financial Owner Trust,
7.41%, 9/20/07 142,655
-----------
TOTAL ASSET-BACKED SECURITIES
(Cost $3,167,697) 3,225,141
-----------
See Notes to Financial Statements.
--------------------------------------------------------------------------------
44
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Asset Management Portfolio III
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS September 30, 2000
--------------------------------------------------------------------------------
PRINCIPAL
AMOUNT/
SHARES SECURITY VALUE PRINCIPAL
--------------------------------------------------------------------------------
COLLATERALIZED MORTGAGE
OBLIGATIONS -- 3.3%
$450,000 Chase Mortgage Finance Corp.,
6.75%, 10/25/28 $ 423,601
480,000 Norwest Asset Securities Corp.,
7.25%, 12/25/29 473,719
-----------
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(Cost $878,036) 897,320
-----------
FOREIGN DEBT -- 0.8%
100,000 Kingdom of Sweden,
12.00%, 2/1/10 133,850
80,000 New Zealand Government,
10.625%, 11/15/05 92,606
-----------
TOTAL FOREIGN DEBT
(Cost $237,861) 226,456
-----------
MUNICIPAL BONDS -- 4.9%
$505,000 Harrisburg PA Housing Corp.
Mortgage Revenue,
10.00%, 7/15/24 $ 531,109
260,000 Hillsborough County FL Fuel Tax Revenue,
6.00%, 12/1/11 235,654
215,000 Ross County, OH Water Co., Inc.
Water Revenue,
8.25%, 8/1/25 219,040
95,000 Suburban Hospital Healthcare
Systems, Inc.,
7.865%, 2/15/27 94,992
290,000 Virginia State Housing Development
Authority, Series A,
6.51%, 5/1/19 253,875
-----------
TOTAL MUNICIPAL BONDS
(Cost $1,332,731) 1,334,670
-----------
US GOVERNMENT & AGENCIES -- 7.5%
FHLMC:
968,870 7.00%, 6/1/09 972,288
395,988 6.00%, 3/15/29 372,243
341,067 FNMA Pool #323194,
6.361%, 7/1/08 333,287
375,000 FNMA Pool #382140,
7.03%, 1/25/07 376,452
-----------
TOTAL US GOVERNMENT & AGENCIES
(Cost $2,047,257) 2,054,270
-----------
US TREASURY SECURITIES -- 6.2%
US Treasury Bonds:
783,000 8.125%, 8/15/19 956,239
335,000 6.125%, 8/15/29 342,224
US Treasury Notes:
318,000 6.625%, 3/31/02 322,112
66,000 6.125%, 8/15/07 66,722
-----------
TOTAL US TREASURY SECURITIES
(Cost $1,642,754) 1,687,297
-----------
TOTAL INVESTMENTS IN UNAFFILIATED ISSUERS
(Cost $17,628,779) 18,212,945
-----------
SHORT-TERM INSTRUMENTS -- 27.2%
US TREASURY SECURITIES -- 19.8%
US Treasury Bills:
$ 500,000 5.945%, 10/19/00a 498,638
5,000,000 5.945%, 12/14/00 4,939,470
-----------
5,438,108
-----------
INVESTMENTS IN AFFILIATED
INVESTMENT COMPANIES
MUTUAL FUND -- 7.4%
2,027,751 Cash Management Institutional 2,027,751
-----------
TOTAL SHORT-TERM INSTRUMENTS
(Cost $7,466,379) 7,465,859
-----------
TOTAL INVESTMENTS
(Cost $25,095,158) 93.7% $25,678,804
OTHER ASSETS IN EXCESS OF
LIABILITIES 6.3 1,735,182
----- -----------
NET ASSETS 100.0% $27,413,986
===== ===========
--------------------------------------------------------------------------------
1 Non-income producing security.
a Held as collateral by broker for futures contracts.
b Security exempt from registration under Rule 144A of the Securities Act of
1933. This security may be resold in transactions exempt from registration,
normally to qualified 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.
--------------------------------------------------------------------------------
45
<PAGE>
Asset Management Portfolios
--------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SEPTEMBER 30, 2000
ASSET MANAGEMENT
I II III
---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
ASSETS
Investments in Unaffiliated Issuers, at Value1 $578,795,621 $78,031,779 $23,651,053
Investments in Affiliated Investment Companies2
at Value 45,061,575 7,547,612 2,027,751
Foreign Cash3 19,274,334 2,654,374 833,756
Receivable for Securities Sold 13,207,904 4,292,689 1,171,737
Dividend and Interest Receivable 3,241,696 625,879 221,802
Unrealized Appreciation on Forward Currency
Exchange Contracts 348,186 47,734 16,705
Variation Margin Receivable (Domestic) -- 42,601 12,442
Variation Margin Receivable (Foreign) -- 15,245 1,771
Due from Bankers Trust -- -- 6,222
------------ ----------- -----------
Total Assets 659,929,316 93,257,913 27,943,239
------------ ----------- -----------
LIABILITIES
Due to Bankers Trust 312,834 34,819 --
Payable for Securities Purchased 17,658,393 2,269,424 497,524
Accrued Expenses and Other 28,036 32,603 31,306
Unrealized Depreciation on Forward Currency
Exchange Contracts 21,812 2,054 423
Variation Margin Payable (Domestic) 46,452 -- --
Variation Margin Payable (Foreign) 43,838 -- --
------------ ----------- -----------
Total Liabilities 18,111,365 2,338,900 529,253
------------ ----------- -----------
NET ASSETS $641,817,951 $90,919,013 $27,413,986
============ =========== ===========
COMPOSITION OF NET ASSETS
Paid-in Capital $602,639,001 $86,791,712 $26,944,744
Net Unrealized Appreciation on Investments,
Foreign Currencies and Forward Foreign Currency
and Futures Contracts 39,178,950 4,127,301 469,242
------------ ----------- -----------
NET ASSETS $641,817,951 $90,919,013 $27,413,986
============ =========== ===========
<FN>
--------------------------------------------------------------------------------
1 Cost of $535,022,768, $73,382,884 and $23,067,407, respectively.
2 Cost of $45,061,575, $7,547,612 and $2,027,751, respectively.
3 Foreign cash has a cost basis of $19,260,551, $2,735,757 and $872,523,
respectively.
</FN>
</TABLE>
See Notes to Financial Statements.
--------------------------------------------------------------------------------
46
<PAGE>
Asset Management Portfolios
--------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE SIX MONTHS ENDED SEPTEMBER 30, 2000
ASSET MANAGEMENT
I II III
---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
INVESTMENT INCOME
Dividends $ 3,464,982 $ 445,722 $ 121,045
Interest 9,595,778 1,916,861 828,359
------------ ----------- ---------
Total Investment Income 13,060,760 2,362,583 949,404
------------ ----------- ---------
EXPENSES
Advisory Fees 2,193,201 306,977 105,195
Administration and Services Fees 337,416 57,827 16,184
Professional Fees 20,518 14,851 17,357
Trustees Fees 3,347 4,757 3,158
Miscellaneous 6,248 1,961 5,170
------------ ----------- ---------
Total Expenses 2,560,730 386,373 147,064
Less: Fee Waivers or Expense Reimbursements (536,237) (100,633) (49,961)
------------ ----------- ---------
Net Expenses 2,024,493 285,740 97,103
------------ ----------- ---------
NET INVESTMENT INCOME 11,036,267 2,076,843 852,301
------------ ----------- ---------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS,
FOREIGN CURRENCIES AND FORWARD FOREIGN CURRENCY
AND FUTURES CONTRACTS
Net Realized Gain (Loss) from:
Investment Transactions 8,664,453 906,340 364,578
Foreign Currency Transactions (5,899,469) (635,066) (132,827)
Forward Foreign Currency Transactions -- 543 1,570
Futures Transactions (4,201,789) (1,149,819) (379,388)
Net Change in Unrealized Appreciation/Depreciation
on Investments, Foreign Currencies and Forward
Foreign Currency and Futures Contracts (17,818,175) (914,264) (91,212)
------------ ----------- ---------
NET REALIZED AND UNREALIZED LOSS ON INVESTMENTS,
FOREIGN CURRENCIES AND FORWARD FOREIGN
CURRENCY AND FUTURES CONTRACTS (19,254,980) (1,792,266) (237,279)
------------ ----------- ---------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS $ (8,218,713) $ 284,577 $ 615,022
============ =========== =========
</TABLE>
See Notes to Financial Statements.
--------------------------------------------------------------------------------
47
<PAGE>
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--------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ASSET MANAGEMENT FOR THE SIX FOR THE
MONTHS ENDED YEAR ENDED
SEPTEMBER 30, MARCH 31,
20001 2000
---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS
Net Investment Income $ 11,036,267 $ 19,432,101
Net Realized Gain (Loss) from Investment, Foreign Currency,
Forward Foreign Currency and Futures Transactions (1,436,805) 75,333,098
Net Change in Unrealized Appreciation/Depreciation on
Investments, Foreign Currencies and Forward Foreign
Currency and Futures Contracts (17,818,175) (1,499,042)
------------- -------------
Net Increase (Decrease) in Net Assets from Operations (8,218,713) 93,266,157
------------- -------------
CAPITAL TRANSACTIONS
Proceeds from Capital Invested 163,642,171 204,062,057
Value of Capital Withdrawn (246,622,842) (268,438,376)
------------- -------------
Net Decrease in Net Assets from Capital Transactions (82,980,671) (64,376,319)
------------- -------------
TOTAL INCREASE (DECREASE) IN NET ASSETS (91,199,384) 28,889,838
NET ASSETS
Beginning of Period 733,017,335 704,127,497
------------- -------------
End of Period $ 641,817,951 $ 733,017,335
============= =============
<FN>
--------------------------------------------------------------------------------
1 Unaudited.
</FN>
</TABLE>
See Notes to Financial Statements.
--------------------------------------------------------------------------------
48
<PAGE>
Asset Management Portfolios
--------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ASSET MANAGEMENT II FOR THE SIX FOR THE
MONTHS ENDED YEAR ENDED
SEPTEMBER 30, MARCH 31,
20001 2000
---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS
Net Investment Income $ 2,076,843 $ 3,213,535
Net Realized Gain (Loss) from Investment, Foreign Currency,
Forward Foreign Currency and Futures Transactions (878,002) 6,000,298
Net Change in Unrealized Appreciation/Depreciation on
Investments, Foreign Currencies and Forward Foreign
Currency and Futures Contracts (914,264) 597,641
------------ ------------
Net Increase in Net Assets from Operations 284,577 9,811,474
------------ ------------
CAPITAL TRANSACTIONS
Proceeds from Capital Invested 19,084,504 55,724,885
Value of Capital Withdrawn (27,277,910) (44,447,177)
------------ ------------
Net Increase (Decrease) in Net Assets from
Capital Transactions (8,193,406) 11,277,708
------------ ------------
TOTAL INCREASE (DECREASE) IN NET ASSETS (7,908,829) 21,089,182
NET ASSETS
Beginning of Period 98,827,842 77,738,660
------------ ------------
End of Period $ 90,919,013 $ 98,827,842
============ ============
<FN>
--------------------------------------------------------------------------------
1 Unaudited.
</FN>
</TABLE>
See Notes to Financial Statements.
--------------------------------------------------------------------------------
49
<PAGE>
Asset Management Portfolios
--------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ASSET MANAGEMENT III FOR THE SIX FOR THE
MONTHS ENDED YEAR ENDED
SEPTEMBER 30, MARCH 31,
20001 2000
---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS
Net Investment Income $ 852,301 $ 1,730,724
Net Realized Gain (Loss) from Investment, Foreign Currency,
Forward Foreign Currency and Futures Transactions (146,067) 1,155,475
Net Change in Unrealized Appreciation/Depreciation on
Investments, Foreign Currencies and Forward Foreign
Currency and Futures Contracts (91,212) (563,440)
------------ ------------
Net Increase in Net Assets from Operations 615,022 2,322,759
------------ ------------
CAPITAL TRANSACTIONS
Proceeds from Capital Invested 6,226,819 29,758,416
Value of Capital Withdrawn (17,119,389) (38,887,680)
------------ ------------
Net Decrease in Net Assets from Capital Transactions (10,892,570) (9,129,264)
------------ ------------
TOTAL DECREASE IN NET ASSETS (10,277,548) (6,806,505)
NET ASSETS
Beginning of Period 37,691,534 44,498,039
------------ ------------
End of Period $ 27,413,986 $ 37,691,534
============ ============
<FN>
--------------------------------------------------------------------------------
1 Unaudited.
</FN>
</TABLE>
See Notes to Financial Statements.
--------------------------------------------------------------------------------
50
<PAGE>
Asset Management Portfolios
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
--------------------------------------------------------------------------------
ASSET MANAGEMENT PORTFOLIO
<TABLE>
<CAPTION>
FOR THE SIX
MONTHS ENDED
SEPTEMBER 30, FOR THE YEARS ENDED MARCH 31,
20001 2000 1999 1998 1997 1996
---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period
(000s omitted) $641,818 $733,017 $704,127 $649,372 $348,539 $240,142
Ratios to Average Net Assets:
Net Investment Income 3.27%2 2.69% 2.91% 2.97% 3.12% 3.99%
Expenses After Waivers 0.60%2 0.60% 0.60% 0.60% 0.60% 0.60%
Expenses Before Waivers 0.76%2 0.76% 0.76% 0.76% 0.76% 0.77%
Portfolio Turnover Rate 62% 222% 109% 199% 137% 154%
</TABLE>
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ASSET MANAGEMENT PORTFOLIO II
FOR THE SIX
MONTHS ENDED
SEPTEMBER 30, FOR THE YEARS ENDED MARCH 31,
20001 2000 1999 1998 1997 1996
---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period
(000s omitted) $90,919 $98,828 $77,739 $95,072 $61,776 $51,400
Ratios to Average Net Assets:
Net Investment Income 4.39%2 3.43% 3.15% 3.71% 3.87% 4.55%
Expenses After Waivers 0.60%2 0.60% 0.60% 0.60% 0.60% 0.60%
Expenses Before Waivers 0.82%2 0.79% 0.81% 0.78% 0.80% 0.80%
Portfolio Turnover Rate 73% 273% 202% 275% 209% 208%
</TABLE>
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ASSET MANAGEMENT PORTFOLIO III
FOR THE SIX
MONTHS ENDED
SEPTEMBER 30, FOR THE YEARS ENDED MARCH 31,
20001 2000 1999 1998 1997 1996
---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period
(000s omitted) $27,414 $37,692 $44,498 $49,399 $32,542 $28,869
Ratios to Average Net Assets:
Net Investment Income 5.26%2 4.02% 3.97% 4.45% 4.64% 5.04%
Expenses After Waivers 0.60%2 0.60% 0.60% 0.60% 0.60% 0.60%
Expenses Before Waivers 0.91%2 0.85% 0.83% 0.81% 0.83% 0.82%
Portfolio Turnover Rate 68% 354% 344% 389% 307% 221%
<FN>
--------------------------------------------------------------------------------
1 Unaudited.
2 Annualized.
</FN>
</TABLE>
See Notes to Financial Statements.
--------------------------------------------------------------------------------
51
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Asset Management Portfolios
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (Unaudited)
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 COMMENCEMENT
PORTFOLIO DATE OF 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. VALUATION OF SECURITIES
Each Portfolio's 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. SECURITIES TRANSACTIONS AND INTEREST INCOME
Securities 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 securities and foreign currency transactions of each Portfolio are
allocated pro rata among the investors in each Portfolio at the time of such
determination.
D. TBA PURCHASE COMMITMENTS
Each 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 securities to be purchased
decline prior to settlement date. This risk is in addition to the risk of
decline in the value of each 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 "Valuation of Securities".
E. FOREIGN CURRENCY TRANSACTIONS
Each Portfolio's books and records are maintained in US dollars. All assets and
liabilities initially expressed in foreign currencies are converted into US
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 each Portfolio's investments. The net US dollar
value of foreign currency underlying all contractual commitments held by each
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.
--------------------------------------------------------------------------------
52
<PAGE>
Asset Management Portfolios
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (Unaudited)
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 a Portfolio enters into a closing sale transaction,
the Portfolio will realize a gain or loss depending on whether the sale proceeds
from the closing sale transaction are greater or less than the cost of the
option. When a 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 a 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 securities, 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 required.
J. ESTIMATES
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 AG. Under this agreement, Bankers Trust provides administrative
and custody to each of the Portfolios. These services are provided 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 and reimburse expenses
of each Portfolio through July 31, 2001, to the extent necessary, to limit all
expenses to .60% of the average daily net assets of each Portfolio.
The Portfolios may invest in Cash Management Institutional ("Cash Management"),
an open-end management investment company managed by Bankers Trust. Cash
Management is offered as a cash management option to the Portfolios and other
accounts managed by Bankers Trust. At September 30, 2000, the Asset Management,
Asset Management II, and Asset Management III Portfolios had dividend income
receivable from the Fund in the amounts of $277,979, $41,070 and $11,124,
respectively. Additionally, distributions from Cash Management to the Portfolios
as of September 30, 2000 are included in dividend income and summarized as
follows:
$1,549,201 Asset Management
$ 275,848 Asset Management II
$ 96,628 Asset Management III
--------------------------------------------------------------------------------
53
<PAGE>
Asset Management Portfolios
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (Unaudited)
The following summarizes the purchase and sales of Cash Management Institutional
for each portfolio during the six months ended September 30, 2000.
PORTFOLIO PURCHASES SALES
Asset Management $165,358,079 $242,361,976
Asset Management II 22,554,278 25,621,907
Asset Management III 11,146,141 14,464,350
The Portfolios are participants with other affiliated entities in a revolving
credit facility in the amount of $200,000,000, which expires April 27, 2001. A
commitment fee on the average daily amount of the available commitment is
payable on a quarterly basis and apportioned among all participants based on net
assets. No amounts were drawn down or outstanding for these Portfolios under the
credit facility for the six months ended September 30, 2000.
NOTE 3 -- PURCHASES AND SALES OF INVESTMENT SECURITIES
The aggregate cost of purchases and proceeds from sales of investments, other
than short-term obligations, for the six months ended September 30, 2000, were
as follows:
PORTFOLIO PURCHASES SALES
Asset Management $367,949,689 $348,375,800
Asset Management II 37,384,122 39,600,750
Asset Management III 14,864,765 20,704,301
For federal income tax purposes, the tax basis of investments held at September
30, 2000, were as follows:
PORTFOLIO COST-TAX BASIS
Asset Management $580,084,343
Asset Management II 80,930,496
Asset Management III 25,095,158
The aggregate gross unrealized appreciation and depreciation for all investments
as of September 30, 2000, were as follows:
PORTFOLIO APPRECIATION DEPRECIATION
Asset Management $69,494,142 $25,721,289
Asset Management II 7,005,457 2,356,562
Asset Management III 991,622 407,976
--------------------------------------------------------------------------------
54
<PAGE>
Asset Management Portfolios
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
NOTE 4 -- FUTURES CONTRACTS
A summary of obligations under these financial instruments at September 30, 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 December 15, 2000 1 Long $ 72,685 $ (3,834)
S&P 500 Index Futures December 15, 2000 6 Long 2,180,550 (120,040)
S&P 500 Index Futures December 15, 2000 106 Long 38,523,050 (2,120,708)
S&P 500 Index Futures December 15, 2000 (115) Short (41,793,875) 1,768,873
US Treasury Note Futures December 20, 2000 (662) Short (66,344,813) (106,417)
Milan Stock Exchange Futures December 16, 2000 155 Long 31,234,949 (1,981,372)
DAX Index Futures December 16, 2000 87 Long 13,188,237 (676,680)
CAC-40 Index Futures November 1, 2000 247 Long 13,710,021 (773,045)
Australian Ordinary Futures December 30, 2000 444 Long 19,980,166 (180,456)
Toronto Stock Exchange
60 Index Futures December 16, 2000 178 Long 14,779,681 (734,004)
---------------------------------------------------------------------------------------------------------------------------
Total 447 $ 25,530,651 $(4,927,683)
---------------------------------------------------------------------------------------------------------------------------
</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 December 15, 2000 2 Long $ 145,370 $ (7,667)
S&P 500 Index Futures December 15, 2000 10 Long 3,634,250 (200,067)
S&P 500 Index Futures December 15, 2000 (19) Short (6,905,075) 292,249
US Treasury Note Futures December 20, 2000 (57) Short (5,712,469) (9,163)
Milan Stock Exchange Futures December 16, 2000 18 Long 3,627,284 (230,095)
DAX Index Futures December 16, 2000 9 Long 1,364,300 (70,001)
CAC-40 Index Futures November 1, 2000 38 Long 2,109,234 (118,930)
SPI Futures December 30, 2000 93 Long 4,185,035 (37,798)
Toronto Stock Exchange
60 Index Futures December 16, 2000 25 Long 2,075,798 (103,090)
---------------------------------------------------------------------------------------------------------------------------
Total 119 $ 4,523,727 $(484,562)
---------------------------------------------------------------------------------------------------------------------------
</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 December 15, 2000 3 Long $ 218,055 $(11,500)
S&P 500 Index Futures December 15, 2000 1 Long 363,425 (20,007)
S&P 500 Index Futures December 15, 2000 (4) Short (1,453,700) 61,526
US Treasury Note Futures December 20, 2000 (10) Short (1,002,188) (1,608)
Milan Stock Exchange Futures December 16, 2000 3 Long 604,548 (38,349)
DAX Index Futures December 16, 2000 2 Long 303,178 (15,556)
CAC-40 Index Futures November 1, 2000 8 Long 444,049 (25,038)
SPI Futures December 30, 2000 20 Long 900,008 (8,129)
Toronto Stock Exchange
60 Index Futures December 16, 2000 8 Long 664,255 (32,989)
---------------------------------------------------------------------------------------------------------------------------
Total 31 $ 1,041,630 $(91,650)
---------------------------------------------------------------------------------------------------------------------------
</TABLE>
At September 30, 2000, the Portfolios have sufficient securities to cover margin
requirements on open futures contracts.
--------------------------------------------------------------------------------
55
<PAGE>
Asset Management Portfolios
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
NOTE 5 -- OPEN FORWARD FOREIGN CURRENCY CONTRACTS
A summary of obligations under these financial instruments at September 30, 2000
is as follows:
<TABLE>
<CAPTION>
ASSET MANAGEMENT PORTFOLIO
--------------------------
NET UNREALIZED
APPRECIATION/
CONTRACT DEPRECIATION
CONTRACTS TO DELIVER IN EXCHANGE FOR SETTLEMENT DATE VALUE (US$) (US$)
---------------------------------------------------------------------------------------------------------------------------
PURCHASES
---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Euro 36,429,000 US Dollars $32,077,556 10/6/2000 $32,145,787 $ 68,231
---------------------------------------------------------------------------------------------------------------------------
Total Unrealized Appreciation $ 68,231
---------------------------------------------------------------------------------------------------------------------------
SELLS
---------------------------------------------------------------------------------------------------------------------------
Australian Dollar (4,867,000) US Dollars $2,750,488 10/6/2000 $ (2,635,748) $114,740
Canadian Dollar (8,468,000) US Dollars 5,717,179 10/5/2000 (5,627,950) 89,229
Great Britain Pound (722,000) US Dollars 1,045,665 10/6/2000 (1,067,477) (21,812)
Japanese Yen (299,340,000) US Dollars 2,846,114 10/6/2000 (2,770,128) 75,986
---------------------------------------------------------------------------------------------------------------------------
Total Unrealized Appreciation/Depreciation$258,143
---------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
ASSET MANAGEMENT PORTFOLIO II
-----------------------------
NET UNREALIZED
APPRECIATION/
CONTRACT DEPRECIATION
CONTRACTS TO DELIVER IN EXCHANGE FOR SETTLEMENT DATE VALUE (US$) (US$)
---------------------------------------------------------------------------------------------------------------------------
PURCHASES
---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Euro 4,423,000 US Dollars $3,894,673 10/6/2000 $ 3,902,957 $ 8,284
---------------------------------------------------------------------------------------------------------------------------
Total Unrealized Depreciation $ 8,284
---------------------------------------------------------------------------------------------------------------------------
SELLS
---------------------------------------------------------------------------------------------------------------------------
Australian Dollar (685,000) US Dollars $387,114 10/6/2000 $ (370,965) $16,149
Canadian Dollar (1,196,000) US Dollars 807,481 10/5/2000 (794,878) 12,602
Great Britain Pound (68,000) US Dollars 98,484 10/6/2000 (100,538) (2,054)
Japanese Yen (42,146,000) US Dollars 400,723 10/6/2000 (390,024) 10,699
---------------------------------------------------------------------------------------------------------------------------
Total Unrealized Appreciation/Depreciation $37,396
---------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
ASSET MANAGEMENT PORTFOLIO III
------------------------------
NET UNREALIZED
APPRECIATION/
CONTRACT DEPRECIATION
CONTRACTS TO DELIVER IN EXCHANGE FOR SETTLEMENT DATE VALUE (US$) (US$)
---------------------------------------------------------------------------------------------------------------------------
PURCHASES
---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Euro 652,000 US Dollars $574,119 10/6/2000 $ 575,340 $ 1,221
---------------------------------------------------------------------------------------------------------------------------
Total Unrealized Depreciation $ 1,221
---------------------------------------------------------------------------------------------------------------------------
SELLS
---------------------------------------------------------------------------------------------------------------------------
Australian Dollar (280,000) US Dollars $158,236 10/6/2000 $ (151,635) $ 6,601
Canadian Dollar (421,000) US Dollars 284,239 10/5/2000 (279,802) 4,436
Great Britain Pound (14,000) US Dollars 20,276 10/6/2000 (20,699) (423)
Japanese Yen (17,519,000) US Dollars 166,570 10/6/2000 (162,123) 4,447
---------------------------------------------------------------------------------------------------------------------------
Total Unrealized Appreciation/Depreciation $15,061
---------------------------------------------------------------------------------------------------------------------------
</TABLE>
--------------------------------------------------------------------------------
56
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<PAGE>
[THIS PAGE INTENTIONALLY LEFT BLANK]
<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.
Deutsche Asset Management is the marketing name for the asset management
activities of Deutsche Bank AG, Deutsche Fund Management, Inc., Bankers Trust
Company, DB Alex. Brown LLC, Deutsche Asset Management, Inc., and Deutsche Asset
Management Investment Services Limited.
Lifecycle Long Range -- Investment Class
Long Range -- Investment Class CUSIP #055922843
Lifecycle Mid Range -- Investment Class
Mid Range -- Investment Class CUSIP #055922835
Lifecycle Short Range -- Investment Class
Short Range -- Investment ClassCUSIP #055922827
COMBLIFESA (09/00)
Distributed by:
ICC Distributors, Inc.
