Deutsche Asset Management
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Mutual Fund
Semi-Annual Report
June 30, 2000
Quantitative Equity
Formerly a BT Mutual Fund
A Member of the
Deutsche Bank Group
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Quantitative Equity
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TABLE OF CONTENTS
LETTER TO SHAREHOLDERS ......................... 3
QUANTITATIVE EQUITY
Statement of Assets and Liabilities .......... 8
Statement of Operations ...................... 9
Statements of Changes in Net Assets .......... 10
Financial Highlights ......................... 11
Notes to Financial Statements ................ 13
QUANTITATIVE EQUITY PORTFOLIO
Schedule of Investments ...................... 15
Statement of Assets and Liabilities .......... 16
Statement of Operations ...................... 17
Statement of Changes in Net Assets ........... 18
Financial Highlights ......................... 19
Notes to Financial Statements ................ 20
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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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Quantitative Equity
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LETTER TO SHAREHOLDERS
We are pleased to present you with this semi-annual report for Quantitative
Equity (the "Fund"), providing a review of the markets, the portfolio, and our
outlook. Included are a complete financial summary of the Fund's operations and
a listing of the portfolio's holdings.
With the acquisition of Bankers Trust by Deutsche Bank, the name of your Fund
has changed to Quantitative Equity. However, the Fund's investment objectives,
policies and strategies, as well as its portfolio manager, remain the same.
MARKET ACTIVITY
THE S&P 500 INDEX TURNED IN VIRTUALLY FLAT PERFORMANCE FOR THE FIRST SIX MONTHS
OF 2000, WITH A SEMI-ANNUAL RETURN OF -0.42%.
o Equity markets struggled, weighed down at first by fears of economic
overheating and higher interest rates and then by concerns about profit growth
in a slowing economic environment.
o The market remained extremely narrow throughout. On a sector basis, only four
-- energy, health care, technology, and utilities -- bettered the Index's
semi-annual return. Energy and utilities were obvious defensive sectors
favored during the prolonged Federal Reserve Board watch. Healthcare was the
best performing sector during the six months.
o As has been the case for the past several years, large-capitalization
growth-oriented stocks outperformed their value counterparts for the
semi-annual period.
o Large cap stocks underperformed small and mid cap stocks.
DURING THE FIRST QUARTER, THE S&P 500 INDEX GAINED 2.29%, BUT VOLATILITY WAS
HIGH.
o At the lowest point of the quarter, on February 25, the Index was down 8% from
the beginning of the year. In March, the Index rose 9.78%, registering the
highest monthly gain in nine years.
o The technology sector dominated the Index, although within the sector, the
disparity in returns was significant. Intel Corp. and Cisco were the top
positive contributors to the Index on a capitalization basis, while Microsoft,
Lucent Technologies, Yahoo! and America Online were among the top negative
contributors on a capitalization basis. One third of the stocks in this sector
had a negative return.
PORTFOLIO DIVERSIFICATION
By Asset Class as of June 30, 2000
(percentages are based on market value of total investments in the Portfolio)
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EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
Short-term Instrument 8%
Other 13%
U.S. Treasury Bills 23%
S&P 500 Depository Receipts 2%
Stocks 54%
o Utilities and financials had strong results. Weaker performing sectors
included basic materials, consumer cyclicals and consumer staples.
o The quarter saw high turnover in the Index as 9 companies were replaced and 19
changed the number of their outstanding shares.
THE S&P 500 INDEX POSTED A -2.66% DECLINE FOR THE SECOND QUARTER OF 2000, AS
VIRTUALLY ALL MAJOR U.S. EQUITY INDICES WERE DOWN DRAMATICALLY DUE BOTH TO THE
NASDAQ COMPOSITE CORRECTION THAT BEGAN IN MARCH AND CARRIED INTO APRIL AND TO
THE MORE AGGRESSIVE TIGHTENING POLICY BY THE FEDERAL RESERVE BOARD IN MAY.
o The market recovered somewhat in late April, roller-coasted downward further
through May, and finally found its footing in June when the Fed held interest
rates steady.
o Healthcare was the best performing S&P sector for the quarter. Other top
performing sectors included utilities and consumer staples. Technology,
communication services, consumer cyclicals, and basic materials were the
weakest sectors.
o Best performing stocks included Nabisco Group, St. Jude Medical, and Reebok
International. Citrix Systems, Novell, and QUALCOMM were the worst stock
performers.
o Again, the quarter saw high turnover in the Index as 9 companies were replaced
and 19 changed the number of their outstanding shares.
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LETTER TO SHAREHOLDERS
THE MERGER MARKET CONTINUED TO BE A MAJOR FORCE IN THE FINANCIAL LANDSCAPE
DURING THE FIRST HALF OF 2000, DESPITE BEING DEALT SEVERAL SETBACKS BY RISING
INTEREST RATES, FALLING STOCK PRICES AND EMPOWERED REGULATORS.
o The volume of recorded U.S. merger and acquisition activity rose to more than
$894 billion in the first six months of 2000, compared to $853 billion in the
first half of 1999.
o This increase can largely be attributed to the proposed acquisition of Time
Warner, Inc. by America Online, Inc. for an announced $182 billion. The actual
number of transactions in the first half of 2000 slipped somewhat from the
year earlier period from over 5,660 deals to just over 5,000.
o Nearly one-third of this semi-annual merger volume was comprised of
consolidations in the telecommunications, motion picture production and
distribution, and food and kindred products sectors.
INVESTMENT REVIEW
THE FUND SEEKS A TOTAL RETURN GREATER THAN THAT OF THE S&P 500 INDEX BY
FOLLOWING A QUANTITATIVE STRATEGY THAT INTEGRATES AN EXPOSURE TO THE S&P 500
INDEX WITH INVESTMENTS IN THE STOCKS OF ACQUISITION TARGETS4. To track the S&P
500 Index, the Fund invests in derivatives and common stocks of S&P 500
companies. To seek returns in excess of the S&P 500 Index, the Fund buys shares
of companies that are acquisition targets based on specific events that trigger
a merger arbitrage opportunity. The goal is to capture the difference between
the target's post-bid share price and the target's expected fixed payout. These
investments are made based on our own proprietary quantitative models. These
shares are sold when the acquisition is consummated or the transaction is
abandoned.
CUMULATIVE AVERAGE ANNUAL
TOTAL RETURNS TOTAL RETURNS
Periods ended Past 6 Past 1 Since Past 1 Since
June 30, 2000 months year inception year inception
Quantitative Equity
Investment Shares 1
(inception 3/31/99) 0.25% 9.13% 24.30% 9.13% 18.99%
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S&P 500 Index 2 (0.42)% 7.24% 14.80% 7.24% 11.68%
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Lipper Multi Cap Core
Average 3 2.53% 11.54% 21.86% 11.54% 16.96%
Quantitative Equity
Institutional Shares 1
(inception 12/31/99) 0.25% -- 0.25% -- --
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S&P 500 Index 2 (0.42)% -- (0.42)% -- --
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Lipper Multi Cap Core
Average 3 2.53% -- 2.53% -- --
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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. Performance figures assume
the reinvestment of dividend and capital gain distributions. During the period
the Fund waived certain fees and expenses. Had these fees and expenses not
been waived, the Fund's return would have been lower.
2 "S&P 500(R)" is a trademark of The McGraw-Hill Companies, Inc. and has been
licensed for use by the Fund's investment advisor. S&P 500 is an unmanaged
index of common stocks in industry, transportation, and financial and public
utility companies. 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 TheFund may invest in
derivatives that may be more volatile and less liquid than traditional
securities and theFund 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, theFund may realize losses or a lower
return than expected.
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LETTER TO SHAREHOLDERS
DURING A CHALLENGING SIX MONTH PERIOD, THE FUND OUTPERFORMED THE S&P 500 INDEX
BY A MARGIN OF 0.67%. The Fund's performance was primarily fueled by the
numerous deals closed. The following is a list of merger deals that the Fund
invested in during the six months ended June 30, 2000, all of which were
completed successfully.
CLOSED DEALS FROM
JANUARY 1, 2000 -- JUNE 30, 2000
CompUSA, Inc.
Cordant Technology
Hussmann International, Inc.
Jostens, Inc.
Mirage Resorts, Inc.
Pittway Corp.
Rexall Sundown, Inc.
Shorewood Packaging
Sterling Commerce
TJ International, Inc.
U.S. Foodservice
THE FUND MAINTAINED ITS STRICT CRITERIA IN ITS DISCIPLINED MERGER ARBITRAGE
INVESTMENT APPROACH. For example, the Fund:
o purchases only the stock of an announced target company
o invests only in merger deals that are generally made with financing of at
least 50% cash
o usually invests in acquisition targets with a minimum market capitalization of
$500 million, although shares of smaller companies may be purchased.
MANAGER OUTLOOK
Going forward, we continue to view the most likely outcome for the U.S. economy
to be a "soft landing." That is, we still expect that a combination of higher
interest rates relative to a year ago, moderating equity markets, and higher oil
prices may bring demand more in line with the economy's supply potential by late
2000/early 2001, thus keeping inflation pressures from becoming too entrenched.
Though encouraged by recent hints of cooling demand, we remain unconvinced that
a sufficient, long-lasting economic slowdown will occur without some further
tightening by the Federal Reserve Board after a few months' pause and a longer
period of consolidation in the equity markets. Moreover, while higher oil prices
should help slow demand by cutting into consumer purchasing power, they might
also feed into underlying inflation by boosting wage demands. Even if the
economy slows gracefully, the backdrop of slower profit growth and higher
inflation will likely be less favorable for equities than the fundamentals we've
seen for the last few years.
As of June 30, 2000, the Fund had invested in 12 still-open merger deals. These
are Hannaford Brothers, United Water Resources, American National Can Group,
Verio, Inc., Policy Management Systems, Central Newspapers, Primark Corp., Best
Foods, International Home Foods, Lilly Industries, Nabisco Group, and Nabisco
Holdings. We believe that the environment for mergers remains strong and that
the Fund's opportunities to seek risk-adjusted returns will continue.
We appreciate your ongoing support of Quantitative Equity and look forward to
serving your investment needs in the years ahead.
/S/ SIGNATURE MANISH KESHIVE
Manish Keshive
Portfolio Manager of the
QUANTITATIVE EQUITY PORTFOLIO
June 30, 2000
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Quantitative Equity
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PERFORMANCE COMPARISON
QUANTITATIVE EQUITY -- INVESTMENT CLASS AND S&P 500 INDEX
GROWTH OF A $10,000 INVESTMENT (SINCE MARCH 31, 1999)
[GRAPHIC OMITTED]
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
Quantitative Equity -- Investment Class S&P 500 Index
3/31/99 10,000 10,000
4/30/99 10,710 10,387
5/31/99 10,640 10,142
6/30/99 11,390 10,705
7/31/99 11,050 10,371
8/31/99 10,930 10,320
9/30/99 10,680 10,037
10/31/99 11,500 10,673
11/30/99 11,700 10,891
12/31/99 12,399 11,531
1/31/00 11,745 10,952
2/29/00 11,581 10,745
3/31/00 12,768 11,796
4/30/00 12,440 11,441
5/31/00 12,236 11,206
6/30/00 12,430 11,483
Average Annual Total Return for the Periods Ended June 30, 2000
1 Year 9.13% Since 3/31/99 1 18.99%
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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 shares, when redeemed, may be worth more
or less than their original cost. Performance figures assume the reinvestment of
dividend and capital gain distributions. During the period, the Fund waived
certain fees and expenses.
The S&P 500 is an unmanaged index of common stocks in industry, transportation,
and financial and public utility companies.
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Quantitative Equity
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PERFORMANCE COMPARISON
QUANTITATIVE EQUITY -- INSTITUTIONAL CLASS AND S&P 500 INDEX
GROWTH OF A $10,000 INVESTMENT (SINCE MARCH 31, 1999)
[GRAPHIC OMITTED]
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
Quantitative Equity -- Institutional Class S&P 500 Index
12/31/99 10,000 10,000
1/31/00 9,472 9,498
2/29/00 9,332 9,318
3/31/00 10,289 10,230
4/30/00 10,033 9,922
5/31/00 9,868 9,719
6/30/00 10,025 9,959
Total Return for the Period Ended June 30, 2000
Since 12/31/99 1 0.25%
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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 shares, when redeemed, may be worth more
or less than their original cost. Performance figures assume the reinvestment of
dividend and capital gain distributions. During the period, the Fund waived
certain fees and expenses.
The S&P 500 is an unmanaged index of common stocks in industry, transportation,
and financial and public utility companies.
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Quantitative Equity
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STATEMENT OF ASSETS AND LIABILITIES (Unaudited)
JUNE 30, 2000
ASSETS
Investment in Quantitative Equity Portfolio, at Value ....... $ 2,754,415
Receivable for Shares of Beneficial Interest Subscribed ..... 4,920
Prepaid Expenses and Other .................................. 26,715
-----------
Total Assets ................................................... 2,786,050
-----------
LIABILITIES
Due to Bankers Trust ........................................ 28,407
Payable for Shares ofBeneficial Interest Redeemed ........... 600
-----------
Total Liabilities .............................................. 29,007
-----------
NET ASSETS ..................................................... $ 2,757,043
-----------
-----------
COMPOSITION OF NET ASSETS
Paid-in Capital ............................................. $ 2,544,070
Undistributed Net Investment Income ......................... 38,026
Accumulated Net Realized Gain from Investment and
Futures Transactions .................................... 239,990
Net Unrealized Depreciation on Investments and
Futures Contracts ....................................... (65,043)
-----------
NET ASSETS ..................................................... $ 2,757,043
===========
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE
(net assets divided by shares outstanding)
Investment Class 1 .......................................... $ 12.14
===========
Institutional Class 2 ....................................... $ 12.15
===========
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1 Net asset value, redemption price and offering price per share based on net
assets of $2,483,080 and 204,462 shares of beneficial interest outstanding;
$0.001 par value, unlimited number of shares of beneficial interest
authorized.
2 Net asset value, redemption price and offering price per share based on net
assets of $273,963 and 22,551 shares of beneficial interest outstanding;
$0.001 par value, unlimited number of shares of beneficial interest
authorized. The Institutional Class began operations on December 31, 1999.
See Notes to Financial Statements.
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Quantitative Equity
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STATEMENT OF OPERATIONS (Unaudited)
FOR THE SIX
MONTHS ENDED
JUNE 30, 2000
INVESTMENT INCOME
Income Allocated from Quantitative Equity Portfolio ............ $ 39,022
---------
EXPENSES
Professional Fees ........................................... 14,068
Printing and Shareholder Reports ............................ 8,690
Trustees Fees ............................................... 2,407
Administration and Services Fees--
Investment Class .......................................... 727
Institutional Class ....................................... 1,195
Registration Fees ........................................... 299
Miscellaneous ............................................... 2,058
---------
Total Expenses ................................................. 29,444
Less: Fee Waivers or Expense Reimbursements:
Investment Class .......................................... (10,832)
Institutional Class ....................................... (16,087)
---------
Net Expenses ................................................... 2,525
---------
NET INVESTMENT INCOME .......................................... 36,497
---------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT
AND FUTURES CONTRACTS
Net Realized Gain from Investment Transactions .............. 49,373
Net Realized Gain from Futures Contracts .................... 48,198
Net Change in Unrealized Appreciation/Depreciation
on Investments and Futures Contracts ...................... (186,475)
---------
NET REALIZED AND UNREALIZED LOSS ON INVESTMENTS
AND FUTURES CONTRACTS ....................................... (88,904)
---------
NET DECREASE IN NET ASSETS FROM OPERATIONS ..................... $ (52,407)
=========
See Notes to Financial Statements.
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STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
FOR THE PERIOD
FOR THE SIX MARCH 31, 1999 1
MONTHS ENDED THROUGH
JUNE 30, 2000 3 DEC. 31, 1999
<S> <C> <C>
INCREASE IN NET ASSETS FROM:
OPERATIONS
Net Investment Income ......................................... $ 36,497 $ 31,233
Net Realized Gain from Investment and Futures Transactions .... 97,571 186,359
Net Change in Unrealized Appreciation/Depreciation on
Investments and Futures Contracts ........................... (186,475) 121,432
----------- -----------
Net Increase (Decrease) in Net Assets from Operations ............ (52,407) 339,024
----------- -----------
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income
Investment Class ............................................ -- (29,704)
Institutional Class ......................................... -- --
Net Realized Gain from Investment and Futures Transactions
Investment Class ............................................ -- (43,940)
Institutional Class ......................................... -- --
----------- -----------
Total Distributions .............................................. -- (73,644)
----------- -----------
CAPITAL TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST
Net Increase (Decrease) Resulting from Investment ClassShares . (729,013) 3,038,058
Net Increase Resulting from Institutional Class Shares2 ....... 225,025 10,000
----------- -----------
Net Increase (Decrease) in Net Assets from Capital Transactions in
Shares of Beneficial Interest ................................. (503,988) 3,048,058
----------- -----------
TOTAL INCREASE (DECREASE) IN NET ASSETS .......................... (556,395) 3,313,438
NET ASSETS
Beginning of Period ........................................... 3,313,438 --
----------- -----------
End of Period (including undistributed net investment
income of $38,026 and $1,529, respectively) ................. $ 2,757,043 $ 3,313,438
=========== ===========
<FN>
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1 Commencement of operations.
2 The Institutional Class began operations on December 31, 1999.
3 Unaudited.
</FN>
</TABLE>
See Notes to Financial Statements.
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FINANCIAL HIGHLIGHTS
Contained below are selected data for a share outstanding, total investment
return, ratios to average net assets and other supplemental data for the periods
indicated for Quantitative Equity InvestmentClass.
<TABLE>
<CAPTION>
INVESTMENT CLASS FOR THE FOR THE PERIOD
SIX MONTHS MARCH 31, 1999 1
ENDED THROUGH
JUNE 30, 2000 3 DEC. 31, 1999
<S> <C> <C>
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE, BEGINNING OF PERIOD ................................... $12.12 $10.00
------ ------
Income from Investment Operations
Net Investment Income ............................................... 0.07 0.11
Net Realized and Unrealized Gain (Loss) on Investments and
Futures Contracts ................................................. (0.05) 2.29
------ ------
Total from Investment Operations ....................................... 0.02 2.40
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income ............................................... -- (0.11)
Net Realized Gain from Investment and Futures Transactions .......... -- (0.17)
------ ------
TOTAL DISTRIBUTIONS .................................................... -- (0.28)
------ ------
NET ASSET VALUE, END OF PERIOD ......................................... $12.14 $12.12
====== ======
TOTAL INVESTMENT RETURN ................................................ 0.25% 23.99%
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period (000s omitted) ............................ $2,483 $3,303
Ratios to Average Net Assets:
Net Investment Income ............................................. 1.40%2 2.39%2
Expenses After Waivers, Including Expenses of the Quantitative
Equity Portfolio ............................................... 0.90%2 0.90%2
Expenses Before Waivers, Including Expenses of the Quantitative
Equity Portfolio ............................................... 4.06%2 11.84%2
<FN>
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1 Commencement of operations.
2 Annualized.
3 Unaudited.
</FN>
</TABLE>
See Notes to Financial Statements.
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FINANCIAL HIGHLIGHTS (Unaudited)
Contained below are selected data for a share outstanding, total investment
return, ratios to average net assets and other supplemental data for the periods
indicated for Quantitative Equity Institutional Class.
INSTITUTIONAL CLASS 1
FOR THE
SIX MONTHS ENDED
JUNE 30, 2000
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE, BEGINNING OF PERIOD ................................. $12.12
------
Income from Investment Operations
Net Investment Income ............................................. 0.18 2
Net Realized and Unrealized Loss on Investments and
Futures Contracts ............................................... (0.15)
------
Total from Investment Operations ..................................... 0.03
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income ............................................. --
Net Realized Gain from Investments and Futures Transactions ....... --
------
Total Distributions .................................................. --
------
NET ASSET VALUE, END OF PERIOD ....................................... $12.15
======
TOTAL INVESTMENT RETURN .............................................. 0.25%
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period (000s omitted) .......................... $ 274
Ratios to Average Net Assets:
Net Investment Income ........................................... 1.58%3
Expenses After Waivers, Including Expenses of the Quantitative
Equity Portfolio ............................................. 0.75%3
Expenses Before Waivers, Including Expenses of the Quantitative
Equity Portfolio ............................................. 3.91%3
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1 The Institutional Class commenced operations on December 31, 1999. Therefore,
no financial highlights were presented for that one day period because of
their immateriality.
2 Calculated based on the average shares outstanding method.
3 Annualized.
See Notes to Financial Statements.
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NOTES TO FINANCIAL STATEMENTS (Unaudited)
NOTE 1 -- ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
A. ORGANIZATION
BTInvestment 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 February 28, 1992, as a business trust under the laws
of the Commonwealth of Massachusetts. Quantitative Equity (the "Fund") is one of
the funds offered to investors by the Trust. The Fund began operations and
offering shares of beneficial interest on March 31, 1999.
The Fund offers two classes of shares to investors: the Investment Class and the
Institutional Class. The Investment Class began operations and offering shares
of beneficial interest on March 31, 1999. The Institutional Class began
operations and offering shares of beneficial interest on December 31, 1999. Both
classes of shares have identical rights to earnings, assets, and voting
privileges, except that each class has its own expenses and exclusive voting
rights with respect to matters affecting it.
The Fund seeks to achieve its investment objective by investing all of its
investable assets in the Quantitative Equity Portfolio, a part of BTInvestment
Portfolios (the "Portfolio"). The Portfolio is an open-end management investment
company registered under the Act. The value of the Fund's investment in the
Portfolio reflects the Fund's proportionate interest in the net assets of the
Portfolio, which was approximately 100% at June 30, 2000.
The financial statements of the Portfolio, including a list of assets held, are
contained elsewhere in this report and should be read in conjunction with the
Fund's financial statements.
B. VALUATION OF SECURITIES
Valuation of securities by the Portfolio is discussed in Note 1B of the
Portfolio's Notes to Financial Statements, which are included elsewhere in this
report.
C. INVESTMENT INCOME
The Fund earns income, net of expenses, daily on its investment in the
Portfolio. All of the net investment income and realized and unrealized gains
and losses from the securities transactions of the Portfolio are allocated pro
rata among the investors in the Portfolio at the time of such determination. Net
investment income is allocated daily to each class of shares based upon its
relative proportion of net assets.
D. DISTRIBUTIONS
It is the Fund's policy to declare and distribute dividends annually to
shareholders from net investment income. Dividends and distributions payable to
shareholders are recorded by the Fund on the ex-dividend date. Distributions of
net realized short-term and long-term capital gains, if any, earned by the Fund
are made at least annually to the extent they exceed capital loss carryforwards.
E. FEDERAL INCOME TAXES
It is the 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.
The Fund may periodically make reclassifications among certain of its capital
accounts as a result of the differences in the characterization and allocation
of certain income and capital gains distributions determined annually in
accordance with federal tax regulations which may differ from generally accepted
accounting principles.
F. OTHER
The Trust accounts separately for the assets, liabilities, and operations of
each of its funds and each of its classes. Expenses directly attributable to
each fund or class are charged to that fund or class, while expenses that are
attributable to the Trust or the Fund are allocated among the funds in the Trust
or the classes in the Fund, respectively.
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NOTES TO FINANCIAL STATEMENTS (Unaudited)
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.
NOTE 2 -- FEES AND TRANSACTIONS WITH AFFILIATES
The Fund has entered into an Administration and Services Agreement with Bankers
Trust Company ("Bankers Trust"), an indirect wholly owned subsidiary of Deutsche
Bank A.G. Under this agreement, Bankers Trust provides administrative, custody,
transfer agency and shareholder services to the Fund in return for a fee
computed daily and paid monthly at an annual rate of .55% of the Fund's average
daily net assets.
Bankers Trust has contractually agreed to waive its fees and reimburse expenses
of each Class of Shares through April 30, 2001, to the extent necessary, to
limit all expenses as follows:Investment Class shares to .30% of the average
daily net assets of the Class, excluding expenses of the Portfolio and .90% of
the average daily net assets of the Class, including expenses of the Portfolio;
Institutional Class shares to .15% of the average daily net assets of the Class,
excluding expenses of the Portfolio, and .75% of the average daily net assets of
the Class, including expenses of the Portfolio.
ICC Distributors, Inc. provides distribution services to the Fund.
NOTE 3 -- SHARES OF BENEFICIAL INTEREST
At June 30, 2000, there were an unlimited number of shares of beneficial
interest authorized. Transactions in shares of beneficial interest were as
follows:
INVESTMENT CLASS
----------------------------------------------------
FOR THE PERIOD
FOR THE SIX MARCH 31, 1999 1
MONTHS ENDED THROUGH
JUNE 30, 2000 3 DECEMBER 31, 1999
----------------------- ----------------------
Shares Amount Shares Amount
-------- ----------- ------- -----------
Sold 163,678 $ 2,037,126 289,284 $3,223,188
Reinvested -- 6 6,140 73,644
Redeemed (231,691) (2,766,145) (22,949) (258,774)
-------- ----------- ------- ----------
Net Increase
(Decrease) (68,013) $( 729,013) 272,475 $3,038,058
======== =========== ======= ==========
INSTITUTIONAL CLASS
----------------------------------------------------
FOR THE PERIOD
FOR THE SIX MARCH 31, 1999 2
MONTHS ENDED THROUGH
JUNE 30, 2000 3 DECEMBER 31, 1999
----------------------- ----------------------
Shares Amount Shares Amount
-------- ----------- ------- -----------
Sold 195,440 $ 2,350,025 825 $10,000
Reinvested -- -- -- --
Redeemed (173,714) (2,125,000) -- --
-------- ----------- ------- -------
Net Increase 21,726 $ 225,025 825 $10,000
======== =========== ======= =======
--------------------------------------------------------------------------------
1 Commencement of operations.
2 The Institutional Class began operations on December 31, 1999.
3 Unaudited.
NOTE 4 -- FUND REORGANIZATION
On January 1, 2000, the Fund's structure was changed from a stand-alone
structure to a master-feeder structure. This change in structure was approved by
shareholders at a special meeting held on October 8, 1999.
NOTE 5 -- FUND NAME CHANGE
On April 30, 2000, the Fund changed its name from BT Quantitative Equity Fund
to Quantitative Equity.
--------------------------------------------------------------------------------
14
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Quantitative Equity Portfolio
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS June 30, 2000 (Unaudited)
SHARES SECURITY VALUE
COMMON STOCK -- 53.8%
CHEMICALS -- 3.9%
3,600 Lilly Industries, Inc. --
Class A ................... $ 108,225
-----------
CLIENT-SERVER COMPUTING-- 9.1%
4,500 Verio Inc.1 ................. 249,680
-----------
COMMERCIAL SERVICES-- 8.3%
6,100 Primark Corp.1 .............. 227,225
-----------
COMPUTER SOFTWARE-- 2.7%
4,900 Policy Management Systems 1 . 75,337
-----------
CONTAINERS -- 6.1%
10,000 American National Can Group . 168,750
-----------
FOODS -- 16.2%
3,000 Bestfoods ................... 207,750
2,300 International Home Foods,
Inc.1 ..................... 48,156
4,100 Nabisco Group Holdings ...... 106,344
1,600 Nabisco Holdings Corp. --
Class A ................... 84,000
-----------
446,250
-----------
HOTEL/MOTEL -- 0.0%
1 Hilton Hotels Corp. ......... 7
-----------
MEDIA -- 3.0%
1,300 Central Newspapers, Inc. --
Class A ................... 82,225
-----------
PAPER -- 0.0%
-- International Paper Co. ..... 4
-----------
RETAIL -- FOOD -- 2.6%
1,000 Hannaford Brothers, Co. ..... 71,875
-----------
UTILITY -- 1.9%
1,500 United Water Resources, Inc. 52,313
-----------
TOTAL COMMON STOCK
(Cost $1,493,098) .................... 1,481,891
-----------
SHARES/
PRINCIPAL
AMOUNT SECURITY VALUE
UNIT INVESTMENT TRUSTS -- 2.1%
400 S&P 500 Depositary Receipt .. $ 58,113
-----------
TOTAL UNIT INVESTMENT TRUSTS
(Cost $59,346) ....................... 58,113
-----------
U.S. TREASURY BILL -- 23.2%
$650,000 5.67%, 10/5/002 ........... 640,309
-----------
TOTAL U.S. TREASURY BILL
(Cost $640,377) ...................... 640,309
-----------
SHORT-TERM
INSTRUMENT -- 8.3%
227,559 Cash Management
Institutional .............. 227,559
-----------
TOTAL SHORT-TERM INSTRUMENT
(Cost $227,559) ...................... 227,559
-----------
TOTAL INVESTMENTS
(Cost $2,420,380) ............. 87.4% $2,407,872
OTHER ASSETS IN EXCESS
OF LIABILITIES ................ 12.6 346,543
----- ----------
NET ASSETS ....................... 100.0% $2,754,415
===== ==========
--------------------------------------------------------------------------------
1 Non-income producing security.
2 Held as collateral for futures contracts.
See Notes to Financial Statements.
--------------------------------------------------------------------------------
15
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Quantitative Equity Portfolio
--------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES (Unaudited)
JUNE 30, 2000
ASSETS
Investments at Value (Cost $2,420,380) ................... $ 2,407,872
Receivable for Securities Sold ........................... 374,074
Due from Bankers Trust ................................... 43,912
Receivable for Variation Margin .......................... 18,685
Dividends Receivable ..................................... 1,677
Prepaid Expenses and Other ............................... 134
-----------
Total Assets ................................................ 2,846,354
-----------
LIABILITIES
Payable for Securities Purchased ......................... 82,251
Accrued Expenses and Other ............................... 9,688
-----------
Total Liabilities ........................................... 91,939
-----------
NET ASSETS .................................................. $ 2,754,415
===========
COMPOSITION OF NET ASSETS
Paid-in Capital .......................................... $ 2,826,083
Net Unrealized Depreciation on Investments and
Futures Contracts ..................................... (71,668)
-----------
NET ASSETS .................................................. $ 2,754,415
===========
See Notes to Financial Statements.
--------------------------------------------------------------------------------
16
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Quantitative Equity Portfolio
--------------------------------------------------------------------------------
STATEMENT OF OPERATIONS (Unaudited)
FOR THE SIX
MONTHS ENDED
JUNE 30, 2000
INVESTMENT INCOME
Dividends ....................................................... $ 4,671
Interest ........................................................ 41,581
---------
Total Investment Income ......................................... 46,252
---------
EXPENSES
Advisory Fees ................................................ 6,025
Professional Fees ............................................ 9,285
Trustees Fees ................................................ 1,613
Administration and Services Fees ............................. 602
Miscellaneous ................................................ 815
---------
Total Expenses .................................................. 18,340
Less: Fee Waivers or Expense Reimbursements ..................... (11,110)
---------
Net Expenses .................................................... 7,230
---------
NET INVESTMENT INCOME ........................................... 39,022
---------
REALIZED AND UNREALIZED GAIN ON INVESTMENTS AND FUTURES
CONTRACTS
Net Realized Gain from Investment Transactions ............... 56,997
Net Realized Gain from Futures Contracts ..................... 48,198
Net Change in Unrealized Appreciation/Depreciation on
Investments and Futures Contracts .......................... (193,100)
---------
NET REALIZED AND UNREALIZED LOSS ON INVESTMENTS AND
FUTURES CONTRACTS ............................................ (87,905)
---------
NET DECREASE IN NET ASSETS FROM OPERATIONS ...................... $ (48,883)
=========
See Notes to Financial Statements.
--------------------------------------------------------------------------------
17
<PAGE>
Quantitative Equity Portfolio
--------------------------------------------------------------------------------
STATEMENT OF CHANGES IN NET ASSETS
FOR THE SIX
MONTHS ENDED
JUNE 30, 2000 1
INCREASE IN NET ASSETS FROM:
OPERATIONS
Net Investment Income ....................................... $ 39,022
Net Realized Gain from Investment and Futures Transactions .. 105,195
Net Change in Unrealized Appreciation/Depreciation on
Investments and Futures Contracts ......................... (193,100)
-----------
Net Increase in Net Assets from Operations ..................... (48,883)
-----------
CAPITAL TRANSACTIONS
Proceeds from Capital Invested .............................. 4,387,157
Value of CapitalWithdrawn ................................... (4,891,145)
-----------
Net Increase in Net Assets from Capital Transactions ........... (503,988)
-----------
TOTAL INCREASE IN NET ASSETS ................................... (552,871)
NET ASSETS
Beginning of Period ......................................... 3,307,286
-----------
End of Period ............................................... $ 2,754,415
===========
--------------------------------------------------------------------------------
1 Unaudited.
See Notes to Financial Statements.
--------------------------------------------------------------------------------
18
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Quantitative Equity Portfolio
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
Contained below are selected supplemental data and ratios to average net assets
for the periods indicated for the Quantitative Equity Portfolio.
FOR THE FOR THE PERIOD
SIX MONTHS MARCH 31, 1999 1
ENDED THROUGH
JUNE 30, 2000 3 DEC. 31, 1999
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period (000s omitted) ... $2,754 $3,303
Ratios to Average Net Assets:
Net Investment Income .................... 3.24%2 2.39%2
Expenses After Waivers ................... 0.60%2 0.90%2
Expenses Before Waivers .................. 1.52%2 11.84%2
Portfolio Turnover Rate .................. 463% 409%
--------------------------------------------------------------------------------
1 Commencement of operations.
2 Annualized.
3 Unaudited.
See Notes to Financial Statements.
--------------------------------------------------------------------------------
19
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Quantitative Equity Portfolio
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
NOTE 1 -- ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
A. ORGANIZATION
The Quantitative Equity Portfolio, a series of BT Investment Portfolios, (the
"Portfolio") is registered under the Investment Company Act of 1940 (the "Act"),
as amended, as an open-end management investment company. BT Investment
Portfolios was organized on February 28, 1992, as a business trust under the
laws of the Commonwealth of Massachusetts. The Declaration of Trust permits the
Board of Trustees (the "Trustees") to issue shares of beneficial interest in the
Portfolio.
B. VALUATION OF SECURITIES
The Portfolio's investments are valued each business day by an independent
pricing service approved by the Trustees. Securities traded on National Stock
Exchanges or other domestic or foreign exchanges are valued based on their
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
is recorded on the ex-dividend date. Interest income is recorded on the accrual
basis and includes amortization of premium and discount on investments. 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 the Portfolio are
allocated pro rata among the investors in the Portfolio at the time of such
determination.
D. FUTURES CONTRACTS
The Portfolio enters into financial futures contracts, which are contracts to
buy a standard quantity of securities at a specified price on a future date. The
Portfolio is required to deposit either in cash or securities an amount equal to
a certain percentage of the contract amount. Variation margin payments are made
or received by the Portfolio each day, depending on the daily fluctuations in
the value of the underlying security, and are recorded for financial statement
purposes as unrealized gains or losses by the Portfolio. The Portfolio's
investment in financial futures contracts is designed to closely replicate the
benchmark index used by the Portfolio.
Futures contracts are valued at the settlement price established each day by the
board of trade or exchange on which they are traded.
E. FEDERAL INCOME TAXES
The Portfolio is considered a partnership under the Internal Revenue Code.
Therefore, no federal income tax provision is required.
F. 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 Portfolio has entered into an Administration and Services Agreement with
Bankers Trust Company ("Bankers Trust"), an indirect wholly owned subsidiary of
Deutsche Bank A.G. Under this agreement, Bankers Trust provides administrative,
custody, transfer agency and shareholder services to the Portfolio in return for
a fee computed daily and paid monthly at an annual rate of .05% of the
Portfolio's average daily net assets.
The Portfolio has entered into an Advisory Agreement with Bankers Trust. Under
this agreement, the Portfolio pays Bankers Trust a fee computed daily and paid
monthly at an annual rate of .50% of the Portfolio's average daily net assets.
Bankers Trust has contractually agreed to waive its fees and reimburse expenses
of the Portfolio through April 30, 2001, to the extent necessary, to limit all
expenses to .60% of the average daily net assets of the Portfolio.
--------------------------------------------------------------------------------
20
<PAGE>
Quantitative Equity Portfolio
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
The Portfolio 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 Portfolio and other
accounts managed by Bankers Trust. Distributions from Cash Management to the
Portfolio for the period ended June 30, 2000, amounted to $8,823 and are
included in dividend income.
At June 30, 2000, the Portfolio was a participant 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
this fund under the credit facility for the six months ended June 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 period ended June 30, 2000 were $4,122,474
and $1,742,309, respectively.
For federal income tax purposes, the tax basis of investments held at June 30,
2000 was $2,420,380. The aggregate gross unrealized appreciation was $6,403, and
the aggregate gross unrealized depreciation for all investments was $(18,911) as
of June 30, 2000.
NOTE 4 -- FUTURES CONTRACTS
A summary of obligations under these financial instruments at June 30, 2000 is
as follows:
Market Unrealized
Type of Future Expiration Contracts Position Value Depreciation
-------------- ---------- --------- -------- -------- ------------
S&P 500 Index September
Futures 2000 6 Long $2,202,150 $(50,532)
S&P 500 Index September
Mini Futures 2000 7 Long $ 513,835 $ (8,628)
The use of futures contracts involves elements of market risk and risks in
excess of the amount recognized in the Statement of Assets and Liabilities. The
"market value" presented above represents the Portfolio's total exposure in such
contracts whereas only the net unrealized appreciation is reflected in the
Portfolio's net assets. Risks inherent in the use of futures contracts include
1) adverse changes in the value of such instruments, 2) an imperfect correlation
between the price of the contracts and the underlying index and 3) the
possibility of an illiquid secondary market.
At June 30, 2000, the Portfolio segregated securities with a value of
approximately $640,309 to cover margin requirements on open futures contracts.
--------------------------------------------------------------------------------
21
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<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.
Quantitative Equity -- Investment Class CUSIP #055922652
Quantitative Equity -- Institutional Class CUSIP #055922645
QEQSA (06/00)
Distributed by:
ICC Distributors, Inc.
