<PAGE> 1
BT INSTITUTIONAL
Asset Management Fund
Semi-Annual Report
September 30, 1995
<PAGE> 2
BT INSTITUTIONAL ASSET MANAGEMENT FUND 1
------------------------------------------------------
TABLE OF CONTENTS
===============================================================================
<TABLE>
<S> <C>
INTRODUCTION FROM PRESIDENT . . . . . . . . . . . . . . . . 2
LETTER TO SHAREHOLDERS FROM INVESTMENT ADVISER . . . . . . 3
BT INSTITUTIONAL ASSET MANAGEMENT FUND
Statement of Assets and Liabilities . . . . . . . . . . 6
Statement of Operations . . . . . . . . . . . . . . . . 7
Statement of Changes in Net Assets . . . . . . . . . . 8
Financial Highlights . . . . . . . . . . . . . . . . . 9
ASSET MANAGEMENT PORTFOLIO
Statement of Assets and Liabilities . . . . . . . . . . 10
Statement of Operations . . . . . . . . . . . . . . . . 11
Statement of Changes in Net Assets . . . . . . . . . . 12
Financial Highlights . . . . . . . . . . . . . . . . . 13
Schedule of Portfolio Investments . . . . . . . . . . . 14
BT INSTITUTIONAL ASSET MANAGEMENT FUND
Notes to Financial Statements . . . . . . . . . . . . . 20
ASSET MANAGEMENT PORTFOLIO
Notes to Financial Statements . . . . . . . . . . . . . 22
</TABLE>
For shareholder account information and current price and yield quotations,
shareholders may call their relationship manager or servicing agent.
Prospectuses containing more extensive information regarding the BT
Institutional Asset Management Fund may be obtained by calling or writing to
Investors Fiduciary Trust Company or Signature Broker-Dealer Services, Inc.,
the primary Servicing Agent and Distributor, respectively, of BT Pyramid Funds:
BT PYRAMID MUTUAL FUNDS
INVESTORS FIDUCIARY TRUST COMPANY
127 WEST 10TH STREET
KANSAS CITY, MO 64105
(800) 422-6577
BT PYRAMID MUTUAL FUNDS
SIGNATURE BROKER-DEALER SERVICES, INC.
6 ST. JAMES AVENUE
BOSTON, MA 02116
(800) 545-1074
You may write to the BT Institutional Asset Management Fund at the following
address:
BT PYRAMID MUTUAL FUNDS
6 ST. JAMES AVENUE
BOSTON, MA 02116
<PAGE> 3
BT INSTITUTIONAL ASSET MANAGEMENT FUND 2
------------------------------------------------------
INTRODUCTION FROM PRESIDENT
===============================================================================
November, 1995
Dear Shareholders:
We are pleased to present your Semi-Annual Report for the BT
Institutional Asset Management Fund. This Report provides you with an
investment overview as well as a financial summary of the Fund's operations
for the six months ended September 30, 1995. We have also included a Letter
from the Investment Adviser, detailing the factors that affected the Fund's
performance and a performance chart which illustrates your Fund's return
versus a relevant financial index. Also presented in your Report is a pie
chart displaying diversification of assets exposures, financial statements,
financial highlights and a listing of the Portfolio's holdings.
Looking ahead, we will continue to closely observe the economic conditions
and how they affect the financial markets.
We appreciate your ongoing support of the BT Institutional Asset
Management Fund and look forward to continuing to serve your investment
needs.
Philip W. Coolidge
President
<PAGE> 4
BT INSTITUTIONAL ASSET MANAGEMENT FUND 3
------------------------------------------------------
LETTER TO SHAREHOLDERS FROM INVESTMENT ADVISER
===============================================================================
The BT Institutional Asset Management Fund returned 11.38% for the
semi-annual period ended September 30, 1995, as compared to 18.25% for the
S&P 500 Index and 8.14% for the Salomon Broad Investment Grade (BIG) Bond
Index. The Lipper Flexible Portfolio Average had a return of 13.24% for the
same period. Since its inception on September 16, 1993, the Fund was up
15.38%.
Stocks posted very strong returns during this period, and there was a
short-lived bond market rally in July, when the Federal Reserve Board
lowered interest rates. However, interest rates displayed significant
volatility after that and they quickly rose, as the market's perception
of the economy shifted from an expectation of slowing to one of modest
growth. This shift also resulted, toward the end of the six-month period,
with a decided move within the equities market toward defensive and
interest rate sensitive sectors. Consumer staples, utilities and financials
led, with cyclicals, such as materials, technology, consumer cyclicals and
capital goods at the bottom of the performance rankings. Clearly, the
market believes that profit growth will be difficult after the gains of the
last three years and that economic growth will not be strong enough to
maintain profitability for many sectors.
The Fund lagged its benchmark for two primary reasons. First, the Fund
maintained a slightly conservative asset allocation, in which it was
underexposed to stocks in favor of cash, for most of the period. Thus, it
did not fully benefit from the equity market's strong performance. Second,
the Fund was overweighted in certain sectors of the stock market that
underperformed the equity market averages. Our focus in the equity markets
is on earnings growth, and both the allocation and the security selection
of the Fund reflect its objective of providing a diversified investment
vehicle while limiting downside risk. By the end of the period, we
increased the Fund's exposure to equities, and as of September 30, 1995,
the Fund was extremely close to its benchmark, with asset weightings of 54%
in stocks, 35% in bonds, and 11% in cash.
Looking ahead, we expect to keep the Fund's allocation very close to its
benchmark weighting, especially given the current uncertainty about
economic growth, Federal Reserve Board policy, and market valuations.
<PAGE> 5
BT INSTITUTIONAL ASSET MANAGEMENT FUND 4
------------------------------------------------------
LETTER TO SHAREHOLDERS FROM INVESTMENT ADVISER
===============================================================================
The following graph illustrates the Fund's return versus the S&P 500 Index
and Asset Allocation Index-Long Range since September 30, 1993, assuming a
$10,000 initial investment:
===============================================================================
COMPARISON OF
CHANGE IN VALUE OF A
$10,000 INVESTMENT [FIGURE 1]
IN BT INSTITUTIONAL
ASSET MANAGEMENT
FUND, S&P 500 INDEX
AND **ASSET ALLOCATION
INDEX-LONG RANGE
<TABLE>
<CAPTION>
Index Fund Asset
<S> <C> <C> <C>
9/30/93 10000 10000 10000
12/31/93 10232 10084 10098
3/31/94 9844 9671 9852
6/30/94 9885 9535 9842
9/30/94 10369 9717 10060
12/31/94 10367 9759 10104
3/31/95 11376 10361 10709
6/30/95 12462 11047 11396
9/30/95 13453 11539 12331
</TABLE>
<TABLE>
<CAPTION>
TOTAL RETURN
ENDED SEPTEMBER 30, 1995
One Year Since 9/16/93*
<S> <C>
18.75% 15.38%
</TABLE>
* The Fund's inception date
Investment return and principal value
may fluctuate so that shares,
when redeemed, may be worth more
or less than their original cost.
**Asset Allocation Index-Long Range is comprised of the following:
55% S&P 500 Index
35% Salomon Broad Investment Grade Bond Index
10% T-Bill 3 Month Index
===============================================================================
ABOUT THE PHILIP GREEN
PORTFOLIO MANAGER Vice President
Senior Portfolio Manager
- Manages Tactical Asset Allocation portfolios.
Monitors individual strategy and aggregate
portfolio risk exposures
- Ten years of investment experience at Bankers Trust
in a diverse range of assignments all relating to
the asset allocation process. Managed global asset
allocation portfolios for the last year. Prior to
this, spent five years managing currency overlay
portfolios and four years managing dynamic hedging
and option replication portfolios in the U.S. stock
and bond markets.
- Joined Bankers Trust in 1985
- B.S.E. -- Wharton School of Business
M.B.A. -- New York University
<PAGE> 6
BT INSTITUTIONAL ASSET MANAGEMENT FUND 5
------------------------------------------------------
===============================================================================
OBJECTIVE Seeks to provide high total return with
reduced risk over the long-term by allocating
investments among 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.
- -------------------------------------------------------------------------------
FIVE LARGEST COMMON General Electric
STOCK HOLDINGS Royal Dutch Petroleum
Procter & Gamble
Merck & Co.
PECO Energy
- -------------------------------------------------------------------------------
FIVE LARGEST FIXED U.S. Treasury Notes (11/30/[email protected]%)
INCOME SECURITIES U.S. Treasury Notes (8/31/[email protected]%)
U.S. Treasury Bond (8/15/[email protected]%)
GNMA (7/15/[email protected]%)
U.S. Treasury Notes (8/15/[email protected]%)
===============================================================================
DIVERSIFICATION BY ASSETS This diversification pie chart shows the Fund's
EXPOSURES AS OF investment exposure to the different asset
SEPTEMBER 30, 1995 classes (i.e. stocks, bonds and cash) based on
(unaudited) the risk characteristics of the asset class,
rather than the actual instrument. For example,
the Fund may buy or sell a futures contract to
increase or decrease the Fund's exposure to the
stock market.
Stocks 54%
Bonds 35%
Cash 11%
[FIGURE 2]
<PAGE> 7
BT INSTITUTIONAL ASSET MANAGEMENT FUND 6
------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
===============================================================================================================
September 30, 1995 (unaudited)
- ---------------------------------------------------------------------------------------------------------------
<S> <C>
ASSETS
- ---------------------------------------------------------------------------------------------------------------
Investment in Asset Management Portfolio, at Value $133,446,539
- ---------------------------------------------------------------------------------------------------------------
Receivable for Shares of Beneficial Interest Sold 443,427
- ---------------------------------------------------------------------------------------------------------------
Prepaid Expenses 6,660
- ---------------------------------------------------------------------------------------------------------------
Total Assets 133,896,626
- ---------------------------------------------------------------------------------------------------------------
LIABILITIES
- ---------------------------------------------------------------------------------------------------------------
Due to Bankers Trust 6,924
- ---------------------------------------------------------------------------------------------------------------
Payable for Shares of Beneficial Interest Redeemed 121,453
- ---------------------------------------------------------------------------------------------------------------
Accrued Expenses and Accounts Payable 24,321
- ---------------------------------------------------------------------------------------------------------------
Total Liabilities 152,698
- ---------------------------------------------------------------------------------------------------------------
NET ASSETS (Applicable to 12,256,929 Outstanding Shares of $0.001 Par Value
Per Share, Unlimited Number of Shares of Beneficial Interest Authorized) $133,743,928
===============================================================================================================
NET ASSET VALUE, Subscription and Redemption Price Per Share
($133,743,928/12,256,929 Shares) $ 10.91
===============================================================================================================
COMPOSITION OF NET ASSETS
- ---------------------------------------------------------------------------------------------------------------
Shares of Beneficial Interest, at Par $ 12,257
- ---------------------------------------------------------------------------------------------------------------
Paid-in Capital 122,625,308
- ---------------------------------------------------------------------------------------------------------------
Undistributed Net Investment Income 1,390,860
- ---------------------------------------------------------------------------------------------------------------
Undistributed Net Realized Gain from Securities and Futures Transactions 2,376,117
- ---------------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Securities 6,475,725
- ---------------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Futures Contracts 863,661
===============================================================================================================
NET ASSETS, SEPTEMBER 30, 1995 $133,743,928
===============================================================================================================
</TABLE>
See Notes to Financial Statements on Pages 20 and 21
<PAGE> 8
BT INSTITUTIONAL ASSET MANAGEMENT FUND 7
------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
===============================================================================================================
For the six months ended September 30, 1995 (unaudited)
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C>
INVESTMENT INCOME
- ---------------------------------------------------------------------------------------------------------------
Income Allocated from Asset Management Portfolio, net $ 2,377,959
- ---------------------------------------------------------------------------------------------------------------
EXPENSES
- ---------------------------------------------------------------------------------------------------------------
Administration and Services Fee $ 80,542
- ---------------------------------------------------------------------------------------------------------------
Shareholders Reports 11,489
- ---------------------------------------------------------------------------------------------------------------
Registration Fees 10,388
- ---------------------------------------------------------------------------------------------------------------
Trustees Fees 2,594
- ---------------------------------------------------------------------------------------------------------------
Professional Fees 2,494
- ---------------------------------------------------------------------------------------------------------------
Insurance 443
- ---------------------------------------------------------------------------------------------------------------
Total Expenses 107,950
- ---------------------------------------------------------------------------------------------------------------
Less: Expenses Absorbed by Bankers Trust (107,950) -
- ---------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 2,377,959
- ---------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON SECURITIES AND FUTURES
- ---------------------------------------------------------------------------------------------------------------
Net Realized Gain from Securities Transactions 1,619,186
- ---------------------------------------------------------------------------------------------------------------
Net Realized Gain from Futures Transactions 1,410,036
- ---------------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Securities 5,050,131
- ---------------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Futures Contracts 683,034
- ---------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN ON SECURITIES AND FUTURES 8,762,387
- ---------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $11,140,346
===============================================================================================================
</TABLE>
See Notes to Financial Statements on Pages 20 and 21
<PAGE> 9
BT INSTITUTIONAL ASSET MANAGEMENT FUND 8
------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENT OF CHANGES IN NET ASSETS
===============================================================================================================
For the
six months ended For the
September 30, 1995 year ended
(unaudited) March 31, 1995
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
- ---------------------------------------------------------------------------------------------------------------
FROM OPERATIONS
- ---------------------------------------------------------------------------------------------------------------
Net Investment Income $ 2,377,959 $ 2,941,027
- ---------------------------------------------------------------------------------------------------------------
Net Realized Gain (Loss) from Securities and Futures Transactions 3,029,222 (121,701)
- ---------------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Securities and Futures Contracts 5,733,165 2,615,908
- ---------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Operations 11,140,346 5,435,234
- ---------------------------------------------------------------------------------------------------------------
FROM DIVIDENDS
- ---------------------------------------------------------------------------------------------------------------
Net Investment Income (1,827,251) (2,330,521)
- ---------------------------------------------------------------------------------------------------------------
Net (Decrease) in Net Assets from Dividends (1,827,251) (2,330,521)
- ---------------------------------------------------------------------------------------------------------------
FROM TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST
- ---------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Transactions in
Shares of Beneficial Interest 41,230,077 5,075,429
- ---------------------------------------------------------------------------------------------------------------
TOTAL INCREASE IN NET ASSETS 50,543,172 8,180,142
===============================================================================================================
NET ASSETS
- ---------------------------------------------------------------------------------------------------------------
Beginning of Period 83,200,756 75,020,614
- ---------------------------------------------------------------------------------------------------------------
End of Period (including Undistributed Net Investment Income of $1,390,860
and $840,152 for September 1995 and March 1995, respectively) $133,743,928 $83,200,756
===============================================================================================================
</TABLE>
See Notes to Financial Statements on Pages 20 and 21
<PAGE> 10
BT INSTITUTIONAL ASSET MANAGEMENT FUND 9
------------------------------------------------------
FINANCIAL HIGHLIGHTS
===============================================================================
Contained below are selected data for a share outstanding, total investment
return, ratios to average net assets and other supplemental data for each of
the periods indicated for the BT Institutional Asset Management Fund.
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------
For the period
For the September 16, 1993
six months ended For the (Commencement
September 30, 1995 year ended of Operations) to
(unaudited) March 31, 1995 March 31, 1994
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
SELECTED PER SHARE DATA
Net Asset Value, Beginning of Period $ 9.99 $ 9.61 $10.00
------- ------ ------
Income from Investment Operations
Net Investment Income 0.21 0.36 0.11
Net Realized and Unrealized Gain (Loss)
on Securities and Futures 0.91 0.30 (0.44)
------- ------ ------
Total from Investment Operations 1.12 0.66 (0.33)
------- ------ ------
Less Dividends and Distributions
Dividends from Net Investment Income (0.20) (0.28) (0.06)
Distributions from Net Realized Gain from Securities
and Futures Transactions - - (0.00)+
------- ------ ------
Total Dividends and Distributions (0.20) (0.28) (0.06)
======= ====== ======
Net Asset Value, End of Period $ 10.91 $ 9.99 $ 9.61
======= ====== ======
TOTAL INVESTMENT RETURN 11.38% 7.13% (6.06%)*
RATIOS AND SUPPLEMENTAL DATA
Ratio of Net Investment Income to Average Net Assets 4.43%* 3.78% 2.83%*
Ratio of Expenses to Average Net Assets, Including
Expenses of the Asset Management Portfolio 0.60%* 0.60% 0.60%*
Decrease Reflected in Above Expense Ratio Due to Absorption
of Expenses by Bankers Trust 0.36%* 0.43% 0.73%*
Net Assets, End of Period (000's omitted) $133,744 $83,201 $75,021
</TABLE>
*Annualized
+Less than $0.01 per share
See Notes to Financial Statements on Pages 20 and 21
<PAGE> 11
ASSET MANAGEMENT PORTFOLIO 10
------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
===============================================================================================================
September 30, 1995 (unaudited)
- ---------------------------------------------------------------------------------------------------------------
<S> <C>
ASSETS
- ---------------------------------------------------------------------------------------------------------------
Investments, at Value (Cost $161,898,856, including Repurchase Agreement
amounting to $33,060,340) $169,979,969
- ---------------------------------------------------------------------------------------------------------------
Cash 42,914
- ---------------------------------------------------------------------------------------------------------------
Receivable for Securities Sold 2,838,282
- ---------------------------------------------------------------------------------------------------------------
Dividends and Interest Receivable 638,968
- ---------------------------------------------------------------------------------------------------------------
Prepaid Expenses 189
- ---------------------------------------------------------------------------------------------------------------
Variation Margin Receivable 47,500
- ---------------------------------------------------------------------------------------------------------------
Total Assets 173,547,822
- ---------------------------------------------------------------------------------------------------------------
LIABILITIES
- ---------------------------------------------------------------------------------------------------------------
Due to Bankers Trust 78,995
- ---------------------------------------------------------------------------------------------------------------
Payable for Securities Purchased 4,203,132
- ---------------------------------------------------------------------------------------------------------------
Accrued Expenses and Accounts Payable 13,375
- ---------------------------------------------------------------------------------------------------------------
Total Liabilities 4,295,502
- ---------------------------------------------------------------------------------------------------------------
NET ASSETS $169,252,320
===============================================================================================================
COMPOSITION OF NET ASSETS
- ---------------------------------------------------------------------------------------------------------------
Paid-in Capital $160,086,761
- ---------------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Securities 8,081,113
- ---------------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Futures Contracts 1,084,446
- ---------------------------------------------------------------------------------------------------------------
NET ASSETS, SEPTEMBER 30, 1995 $169,252,320
===============================================================================================================
</TABLE>
See Notes to Financial Statements on Pages 22 and 23
<PAGE> 12
ASSET MANAGEMENT PORTFOLIO 11
------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
===============================================================================================================
For the six months ended September 30, 1995 (unaudited)
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C>
INVESTMENT INCOME
- ---------------------------------------------------------------------------------------------------------------
Dividends $ 753,329
- ---------------------------------------------------------------------------------------------------------------
Interest 2,664,172
- ---------------------------------------------------------------------------------------------------------------
Total Investment Income $ 3,417,501
- ---------------------------------------------------------------------------------------------------------------
EXPENSES
- ---------------------------------------------------------------------------------------------------------------
Advisory Fee 442,103
- ---------------------------------------------------------------------------------------------------------------
Administration and Services Fee 68,016
- ---------------------------------------------------------------------------------------------------------------
Professional Fees 6,733
- ---------------------------------------------------------------------------------------------------------------
Insurance 1,332
- ---------------------------------------------------------------------------------------------------------------
Trustees Fees 757
- ---------------------------------------------------------------------------------------------------------------
Total Expenses 518,941
- ---------------------------------------------------------------------------------------------------------------
Less:Expenses Absorbed by Bankers Trust (110,846) 408,095
- ---------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 3,009,406
- ---------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON SECURITIES AND FUTURES
- ---------------------------------------------------------------------------------------------------------------
Net Realized Gain from SecuritiesTransactions 2,059,702
- ---------------------------------------------------------------------------------------------------------------
Net Realized Gain from Futures Contracts 1,778,455
- ---------------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Securities 6,377,993
- ---------------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Futures Contracts 875,921
- ---------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN ON SECURITIES AND FUTURES 11,092,071
- ---------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $14,101,477
===============================================================================================================
</TABLE>
See Notes to Financial Statements on Pages 22 and 23
<PAGE> 13
ASSET MANAGEMENT PORTFOLIO 12
------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENT OF CHANGES IN NET ASSETS
===============================================================================================================
For the
six months ended For the
September 30, 1995 year ended
(unaudited) March 31, 1995
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
- ---------------------------------------------------------------------------------------------------------------
FROM OPERATIONS
- ---------------------------------------------------------------------------------------------------------------
Net Investment Income $ 3,009,406 $ 3,350,844
- ---------------------------------------------------------------------------------------------------------------
Net Realized Gain (Loss) from Securities and Futures Transactions 3,838,157 (85,052)
- ---------------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Securities and Futures Contracts 7,253,914 3,010,076
- ---------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Operations 14,101,477 6,275,868
- ---------------------------------------------------------------------------------------------------------------
FROM CAPITAL TRANSACTIONS
- ---------------------------------------------------------------------------------------------------------------
Proceeds from Capital Invested 84,519,923 77,053,606
- ---------------------------------------------------------------------------------------------------------------
Value of Capital Withdrawn (25,897,844) (23,083,892)
- ---------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Capital Transactions 58,622,079 53,969,714
- ---------------------------------------------------------------------------------------------------------------
TOTAL INCREASE IN NET ASSETS 72,723,556 60,245,582
===============================================================================================================
NET ASSETS
- ---------------------------------------------------------------------------------------------------------------
Beginning of Period 96,528,764 36,283,182
- ---------------------------------------------------------------------------------------------------------------
End of Period $169,252,320 $96,528,764
===============================================================================================================
</TABLE>
See Notes to Financial Statements on Pages 22 and 23
<PAGE> 14
ASSET MANAGEMENT PORTFOLIO 13
------------------------------------------------------
FINANCIAL HIGHLIGHTS
===============================================================================
Contained below are selected ratios and supplemental data for each of the
periods indicated for the Asset Management Portfolio.
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------
For the period
For the September 16, 1993
six months ended For the (Commencement
September 30, 1995 year ended of Operations) to
(unaudited) March 31, 1995 March 31, 1994
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
RATIOS AND SUPPLEMENTAL DATA
Ratio of Net Investment Income to Average Net Assets 4.42%* 3.78% 2.83%*
Ratio of Expenses to Average Net Assets 0.60%* 0.60% 0.60%*
Decrease Reflected in Above Ratio of Expenses to Average
Net Assets Due to Absorption of Expenses by Bankers Trust 0.16%* 0.19% 0.33%*
Portfolio Turnover Rate 48% 92% 56%
Net Assets, End of Period (000's omitted) $169,252 $96,529 $36,283
</TABLE>
* Annualized
See Notes to Financial Statements on Pages 22 and 23
<PAGE> 15
ASSET MANAGEMENT PORTFOLIO 14
------------------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
===============================================================================
September 30, 1995 (unaudited)
SHARES DESCRIPTION VALUE
=================================================================
<S> <C> <C>
COMMON STOCKS - 33.95%
- -----------------------------------------------------------------
AEROSPACE - 0.12%
- -----------------------------------------------------------------
3,000 Lockheed Martin $ 201,375
=================================================================
AIRLINES - 0.39%
- -----------------------------------------------------------------
4,600 AMR (a) 331,775
- -----------------------------------------------------------------
4,700 Delta Air Lines 325,475
- -----------------------------------------------------------------
657,250
=================================================================
AUTO RELATED - 2.26%
- -----------------------------------------------------------------
14,200 Chrysler 752,600
- -----------------------------------------------------------------
25,400 Dana 733,425
- -----------------------------------------------------------------
19,900 Ford Motor 619,387
- -----------------------------------------------------------------
24,600 General Motors 1,153,125
- -----------------------------------------------------------------
6,600 General Motors, Cl E 300,300
- -----------------------------------------------------------------
5,700 PACCAR 266,475
- -----------------------------------------------------------------
3,825,312
=================================================================
AVIATION SERVICES - 0.37%
- -----------------------------------------------------------------
26,800 Ogden 629,800
=================================================================
BANKS - 0.71%
- -----------------------------------------------------------------
1,400 BankAmerica 83,825
- -----------------------------------------------------------------
4,200 BayBanks 318,675
- -----------------------------------------------------------------
2,500 Citicorp 176,875
- -----------------------------------------------------------------
6,200 First Interstate Bancorp 624,650
- -----------------------------------------------------------------
1,204,025
=================================================================
BEVERAGES - 0.90%
- -----------------------------------------------------------------
7,100 Coca Cola 489,900
- -----------------------------------------------------------------
20,200 Pepsico 1,030,200
- -----------------------------------------------------------------
1,520,100
=================================================================
BROADCASTING - 0.09%
=================================================================
2,000 Clear Channel
Communications (a) 151,500
=================================================================
BUILDING & CONSTRUCTION - 0.16%
- -----------------------------------------------------------------
9,100 Centex 263,900
=================================================================
BUILDING FOREST PRODUCTS - 0.13%
- -----------------------------------------------------------------
2,000 Champion International 107,750
- -----------------------------------------------------------------
9,000 Kaufman & Broad Home 113,625
- -----------------------------------------------------------------
221,375
=================================================================
CHEMICALS - 0.83%
- -----------------------------------------------------------------
3,400 Air Products & Chemical 177,225
- -----------------------------------------------------------------
11,900 Du Pont (E.I.) De Nemours 818,125
- -----------------------------------------------------------------
4,100 Monsanto 413,075
- -----------------------------------------------------------------
1,408,425
=================================================================
COMPUTER - 0.01%
- -----------------------------------------------------------------
300 Bay Networks (a) 16,012
=================================================================
COMPUTER SOFTWARE - 0.99%
- -----------------------------------------------------------------
4,100 Cisco Systems (a) 282,900
- -----------------------------------------------------------------
6,050 Computer Associates International 255,613
- -----------------------------------------------------------------
1,700 Informix (a) 55,250
- -----------------------------------------------------------------
10,700 Microsoft (a) 968,350
- -----------------------------------------------------------------
3,000 Oracle Systems (a) 115,125
- -----------------------------------------------------------------
1,677,238
=================================================================
CONTAINERS - 0.40%
- -----------------------------------------------------------------
12,600 Temple-Inland 670,950
=================================================================
DIVERSIFIED - 0.56%
- -----------------------------------------------------------------
14,000 Textron 955,500
=================================================================
DRUGS - 1.69%
- -----------------------------------------------------------------
24,500 Merck & Co. 1,372,000
- -----------------------------------------------------------------
16,600 Pfizer 886,025
- -----------------------------------------------------------------
11,600 Schering-Plough 597,400
- -----------------------------------------------------------------
2,855,425
=================================================================
</TABLE>
See Notes to Financial Statements on Pages 22 and 23
<PAGE> 16
ASSET MANAGEMENT PORTFOLIO 15
------------------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
===============================================================================
September 30, 1995 (unaudited)
SHARES DESCRIPTION VALUE
=================================================================
<S> <C> <C>
ELECTRICAL EQUIPMENT - 2.38%
- -----------------------------------------------------------------
4,500 Duracell International $ 201,937
- -----------------------------------------------------------------
42,000 General Electric 2,677,500
- -----------------------------------------------------------------
2,300 General Instrument (a) 69,000
- -----------------------------------------------------------------
12,000 Hewlett-Packard 1,000,500
- -----------------------------------------------------------------
2,000 Linear Technology 83,000
- -----------------------------------------------------------------
4,031,937
=================================================================
ELECTRONICS - 1.63%
- -----------------------------------------------------------------
7,900 AlliedSignal 348,587
- -----------------------------------------------------------------
5,500 AMP 211,750
- -----------------------------------------------------------------
7,100 Intel 426,887
- -----------------------------------------------------------------
14,900 Motorola 1,137,988
- -----------------------------------------------------------------
9,800 Teradyne (a) 352,800
- -----------------------------------------------------------------
3,600 Texas Instruments 287,550
- -----------------------------------------------------------------
2,765,562
=================================================================
FINANCIAL SERVICES - 1.14%
- -----------------------------------------------------------------
1,600 Federal National Mortgage Assoc. 165,600
- -----------------------------------------------------------------
10,000 First Data 620,000
- -----------------------------------------------------------------
4,500 Household International 279,000
- -----------------------------------------------------------------
5,500 MBNA 228,937
- -----------------------------------------------------------------
11,900 Travelers Group 632,188
- -----------------------------------------------------------------
1,925,725
=================================================================
FOOD SERVICES & LODGING - 0.36%
- -----------------------------------------------------------------
15,900 McDonald's 608,175
=================================================================
FOODS - 0.88%
- -----------------------------------------------------------------
9,000 CPC International 594,000
- -----------------------------------------------------------------
3,000 Hershey Foods 193,125
- -----------------------------------------------------------------
1,800 Premark International 91,575
- -----------------------------------------------------------------
20,600 Sara Lee 612,850
- -----------------------------------------------------------------
1,491,550
=================================================================
HEALTH CARE DIVERSIFIED - 0.64%
- -----------------------------------------------------------------
22,800 Abbott Laboratories 971,850
- -----------------------------------------------------------------
2,200 Columbia/HCA Healthcare 106,975
- -----------------------------------------------------------------
1,078,825
=================================================================
HOSPITAL SUPPLIES & SERVICES - 1.04%
- -----------------------------------------------------------------
17,000 Johnson &Johnson 1,260,125
- -----------------------------------------------------------------
3,200 St. Jude Medical 202,400
- -----------------------------------------------------------------
6,000 United Healthcare 293,250
- -----------------------------------------------------------------
1,755,775
=================================================================
HOTELS & MOTELS - 0.12%
- -----------------------------------------------------------------
5,300 Marriott International 198,087
=================================================================
HOUSEHOLD PRODUCTS - 1.13%
- -----------------------------------------------------------------
4,500 Clorox 321,188
- -----------------------------------------------------------------
20,600 Procter & Gamble 1,586,200
- -----------------------------------------------------------------
1,907,388
=================================================================
INSURANCE - 1.05%
- -----------------------------------------------------------------
13,050 American International Group 1,109,250
- -----------------------------------------------------------------
4,400 General Re 664,400
- -----------------------------------------------------------------
1,773,650
=================================================================
LEISURE RELATED - 0.84%
- -----------------------------------------------------------------
16,500 Disney (Walt) 946,688
- -----------------------------------------------------------------
6,000 Harcourt General 251,250
- -----------------------------------------------------------------
10,400 Outboard Marine 223,600
- -----------------------------------------------------------------
1,421,538
=================================================================
MACHINERY - AGRICULTURE - 0.29%
- -----------------------------------------------------------------
6,100 Deere & Co. 496,388
=================================================================
</TABLE>
See Notes to Financial Statements on Pages 22 and 23
<PAGE> 17
ASSET MANAGEMENT PORTFOLIO 16
------------------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
===============================================================================
September 30, 1995 (unaudited)
SHARES DESCRIPTION VALUE
=================================================================
<S> <C> <C>
MACHINERY - OTHER - 0.14%
- -----------------------------------------------------------------
6,000 Dover $ 229,500
=================================================================
MANUFACTURING - 0.12%
- -----------------------------------------------------------------
5,600 Millipore 210,000
=================================================================
METALS - 0.21%
- -----------------------------------------------------------------
6,200 Alcan Aluminum Ltd. 200,725
- -----------------------------------------------------------------
5,100 Asarco 160,650
- -----------------------------------------------------------------
361,375
=================================================================
OFFICE EQUIPMENT - 0.66%
- -----------------------------------------------------------------
8,100 International Business Machines 764,437
- -----------------------------------------------------------------
1,100 Sun Microsystems (a) 69,300
- -----------------------------------------------------------------
12,500 Unisys (a) 98,438
- -----------------------------------------------------------------
1,400 Xerox 188,125
- -----------------------------------------------------------------
1,120,300
=================================================================
OIL DOMESTIC - 0.46%
- -----------------------------------------------------------------
17,000 Tenneco 786,250
=================================================================
OIL INTERNATIONAL - 1.79%
- -----------------------------------------------------------------
8,600 Exxon 621,350
- -----------------------------------------------------------------
13,100 Royal Dutch Petroleum 1,608,025
- -----------------------------------------------------------------
12,500 Texaco 807,813
- -----------------------------------------------------------------
3,037,188
=================================================================
OIL SUPPLIES & CONSTRUCTION - 0.38%
- -----------------------------------------------------------------
9,900 Schlumberger Ltd. 645,975
=================================================================
PAPER - 0.16%
- -----------------------------------------------------------------
6,400 International Paper 268,800
=================================================================
PETROLEUM RELATED - 0.85%
- -----------------------------------------------------------------
17,100 Ashland Oil 570,713
- -----------------------------------------------------------------
8,000 Atlantic Richfield 859,000
- -----------------------------------------------------------------
1,429,713
=================================================================
PHOTOGRAPHY & OPTICAL - 0.04%
- -----------------------------------------------------------------
1,100 Eastman Kodak 65,175
=================================================================
PRINTING & PUBLISHING - 0.40%
- -----------------------------------------------------------------
3,000 McGraw-Hill 245,250
- -----------------------------------------------------------------
10,800 Time Warner 429,300
- -----------------------------------------------------------------
674,550
=================================================================
RAILROADS - 0.34%
- -----------------------------------------------------------------
8,300 Conrail 570,625
=================================================================
REAL ESTATE - 0.15%
- -----------------------------------------------------------------
9,200 Pulte 261,050
=================================================================
RETAIL - 1.17%
- -----------------------------------------------------------------
12,100 Dayton Hudson 918,087
- -----------------------------------------------------------------
23,300 Fleming 559,200
- -----------------------------------------------------------------
20,300 Wal-Mart Stores 504,963
- -----------------------------------------------------------------
1,982,250
=================================================================
TELECOMMUNICATIONS - 1.22%
- -----------------------------------------------------------------
17,600 AT&T 1,157,200
- -----------------------------------------------------------------
4,000 Capital Cities/ABC 470,500
- -----------------------------------------------------------------
22,200 Comcast, Cl A 444,000
- -----------------------------------------------------------------
2,071,700
=================================================================
TOBACCO - 0.93%
- -----------------------------------------------------------------
28,400 American Brands 1,199,900
- -----------------------------------------------------------------
4,400 Philip Morris 367,400
- -----------------------------------------------------------------
1,567,300
=================================================================
TRUCKING - SHIPPING - 0.34%
- -----------------------------------------------------------------
22,700 Ryder System 576,013
=================================================================
UTILITY - ELECTRIC - 2.82%
- -----------------------------------------------------------------
3,600 American Electric Power 130,950
- -----------------------------------------------------------------
31,600 Detroit Edison 1,019,100
- -----------------------------------------------------------------
</TABLE>
See Notes to Financial Statements on Pages 22 and 23
<PAGE> 18
ASSET MANAGEMENT PORTFOLIO 17
------------------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
===============================================================================
September 30, 1995 (unaudited)
SHARES DESCRIPTION VALUE
=================================================================
<S> <C>
26,100 Houston Industries $ 1,151,662
- -----------------------------------------------------------------
26,400 Pacific Gas &Electric 788,700
- -----------------------------------------------------------------
45,300 Peco Energy 1,296,713
- -----------------------------------------------------------------
21,900 SCE 388,725
- -----------------------------------------------------------------
4,775,850
=================================================================
UTILITY - NATURAL GAS - 0.54%
- -----------------------------------------------------------------
20,200 ONEOK 469,650
- -----------------------------------------------------------------
16,100 Panhandle Eastern 438,725
- -----------------------------------------------------------------
908,375
=================================================================
UTILITY - TELEPHONE - 0.12%
- -----------------------------------------------------------------
3,300 Bell Atlantic 202,537
=================================================================
TOTAL COMMON STOCKS
(Cost $50,066,756) $57,457,313
=================================================================
PREFERRED STOCK
NON-CONVERTIBLE - 0.00%
- -----------------------------------------------------------------
DIVERSIFIED - 0.00%
- -----------------------------------------------------------------
146 Teledyne (Cost $1,678) $ 2,026
=================================================================
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT CORPORATE DEBENTURES - 2.39%
- -----------------------------------------------------------------
<S> <C>
BANKS - 0.67%
- -----------------------------------------------------------------
$ 220,000 Citicorp, 8.00%, 2/1/03 $ 235,356
- -----------------------------------------------------------------
275,000 Dresdner Bank, 6.625%, 9/15/05 273,698
- -----------------------------------------------------------------
100,000 Fleet/Norstar Group, 7.65%, 3/1/97 101,598
- -----------------------------------------------------------------
425,000 International Bank Reconstruction
& Development, 8.875%, 3/1/26 521,479
- -----------------------------------------------------------------
1,132,131
=================================================================
FINANCIAL SERVICES - 0.73%
- -----------------------------------------------------------------
150,000 Dean Witter Discover, 6.875%, 3/1/03 151,086
- -----------------------------------------------------------------
105,000 Goldman Sachs, 6.3125%, 2/23/98 (b)(e) 105,058
- -----------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT DESCRIPTION VALUE
=================================================================
<S> <C>
$ 195,000 KFW International Finance,
8.20%, 6/1/06 $ 216,076
- -----------------------------------------------------------------
190,000 PaineWebber Group,
9.25%, 12/15/01 209,738
- -----------------------------------------------------------------
155,000 Swedish Export Credit,
9.875%, 3/15/38 170,951
- -----------------------------------------------------------------
380,000 Washington Mutual Savings Bank,
7.25%, 8/15/05 385,949
- -----------------------------------------------------------------
1,238,858
=================================================================
INDUSTRIAL - 0.19%
- -----------------------------------------------------------------
220,000 Auburn Hills Trust, 12.00%, 5/1/20 323,245
=================================================================
OIL INTERNATIONAL - 0.05%
- -----------------------------------------------------------------
85,000 BHP Finance USA, 7.875%, 12/1/02 90,050
=================================================================
RETAIL - 0.25%
- -----------------------------------------------------------------
260,000 J.C. Penney, 6.50%, 6/15/02 258,620
- -----------------------------------------------------------------
150,000 May Department Stores,
8.375%, 8/1/24 161,056
- -----------------------------------------------------------------
419,676
=================================================================
UTILITY - ELECTRIC - 0.38%
- -----------------------------------------------------------------
240,000 Delmarva Power & Light,
7.71%, 6/1/25 244,411
- -----------------------------------------------------------------
35,000 Idaho Power, 8.00%, 3/15/04 37,530
- -----------------------------------------------------------------
140,000 Potomac Edison, 8.00%, 6/1/24 145,601
- -----------------------------------------------------------------
195,000 Virginia Electric & Power,
8.625%, 10/1/24 216,828
- -----------------------------------------------------------------
644,370
=================================================================
UTILITY - NATURAL GAS - 0.12%
- -----------------------------------------------------------------
175,000 KN Energy, 9.625%, 8/1/21 200,558
=================================================================
TOTAL CORPORATE DEBENTURES
(Cost $3,935,646) $4,048,888
=================================================================
</TABLE>
See Notes to Financial Statements on Pages 22 and 23
<PAGE> 19
ASSET MANAGEMENT PORTFOLIO 18
------------------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
===============================================================================
September 30, 1995 (unaudited)
PRINCIPAL
AMOUNT DESCRIPTION VALUE
=================================================================
<S> <C> <C>
CORPORATE DEBENTURES
FOREIGN - 0.15%
- -----------------------------------------------------------------
GERMANY - 0.15%
- -----------------------------------------------------------------
$ 260,000 Norddeutsche Landesbank,
6.875%, 3/10/03 (Cost $249,053) $ 260,813
=================================================================
ASSET-BACKED SECURITIES - 9.52%
- -----------------------------------------------------------------
CORPORATE - 0.32%
- -----------------------------------------------------------------
Standard Credit Card:
- -----------------------------------------------------------------
$ 140,000 8.25%, 11/7/03 $ 151,547
- -----------------------------------------------------------------
375,000 7.25%, 4/7/06 388,452
- -----------------------------------------------------------------
539,999
=================================================================
U.S. GOVERNMENT & AGENCIES - 9.20%
- -----------------------------------------------------------------
FGHLMC: (d)
- -----------------------------------------------------------------
41,215 8.50%, 12/1/24 42,680
- -----------------------------------------------------------------
29,422 8.50%, 1/1/25 30,452
- -----------------------------------------------------------------
790,178 8.50%, 2/1/25 818,269
- -----------------------------------------------------------------
197,671 9.50%, 2/1/25 208,972
- -----------------------------------------------------------------
FHLMC: (d)
- -----------------------------------------------------------------
335,000 6.93%, 9/5/00 338,008
- -----------------------------------------------------------------
222,531 8.50%, 3/1/23 232,009
- -----------------------------------------------------------------
631,201 8.50%, 3/1/25) 653,880
- -----------------------------------------------------------------
FNMA: (d)
- -----------------------------------------------------------------
274,673 6.00%, 1/1/01 270,520
- -----------------------------------------------------------------
325,000 8.625%, 11/10/04 348,927
- -----------------------------------------------------------------
628,088 7.00%, 9/1/07 630,443
- -----------------------------------------------------------------
419,896 6.50%, 9/1/08 414,122
- -----------------------------------------------------------------
643,697 6.00%, 1/1/09 624,816
- -----------------------------------------------------------------
173,033 7.00%, 5/1/09 173,682
- -----------------------------------------------------------------
379,003 7.00%, 6/1/09 380,425
- -----------------------------------------------------------------
390,674 8.00%, 4/1/10 401,656
- -----------------------------------------------------------------
1,016,471 7.00%, 8/1/10 1,019,420
- -----------------------------------------------------------------
507,742 7.00%, 9/1/10 509,169
- -----------------------------------------------------------------
1,500,000 7.50%, 9/1/21 1,510,310
- -----------------------------------------------------------------
177,580 7.50%, 8/1/23 178,800
- -----------------------------------------------------------------
440,876 6.50%, 10/1/23 425,169
- -----------------------------------------------------------------
1,333,412 8.00%, 5/1/25 1,365,078
- -----------------------------------------------------------------
1,105,978 8.00%, 7/1/25 1,130,862
- -----------------------------------------------------------------
GNMA: (d)
- -----------------------------------------------------------------
352,979 7.00%, 9/15/23 349,007
- -----------------------------------------------------------------
982,862 8.50%, 10/20/24 1,018,791
- -----------------------------------------------------------------
2,420,816 8.00%, 7/15/25 2,488,865
- -----------------------------------------------------------------
15,564,332
=================================================================
TOTAL ASSET-BACKED SECURITIES
(Cost $16,011,558) $16,104,331
=================================================================
GOVERNMENTS FOREIGN - 0.43%
- -----------------------------------------------------------------
CANADA - 0.07%
- -----------------------------------------------------------------
$ 125,000 Manitoba, 6.125%, 1/19/04 $ 121,006
=================================================================
ITALY - 0.05%
- -----------------------------------------------------------------
95,000 Republic of Italy, 6.875%, 9/27/23 86,806
=================================================================
NEW ZEALAND - 0.31%
- -----------------------------------------------------------------
445,000 New Zealand Government,
8.75%, 12/15/06 522,536
=================================================================
TOTAL GOVERNMENTS FOREIGN
(Cost $711,094) $ 730,348
=================================================================
LONG-TERM U.S. TREASURY
SECURITIES - 11.76%
- -----------------------------------------------------------------
U.S. TREASURY BONDS - 2.72%
- -----------------------------------------------------------------
$ 1,573,000 8.125%, 8/15/19 $ 1,846,800
- -----------------------------------------------------------------
</TABLE>
See Notes to Financial Statements on Pages 22 and 23
<PAGE> 20
ASSET MANAGEMENT PORTFOLIO 19
------------------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
===============================================================================
September 30, 1995 (unaudited)
PRINCIPAL
AMOUNT DESCRIPTION VALUE
=================================================================
<S> <C>
$ 2,565,000 7.25%, 8/15/22 $ 2,757,374
- -----------------------------------------------------------------
4,604,174
=================================================================
U.S. TREASURY NOTES - 9.04%
- -----------------------------------------------------------------
1,000,000 6.00%, 6/30/96 1,001,716
- -----------------------------------------------------------------
2,095,000 7.50%, 12/31/96 2,137,227
- -----------------------------------------------------------------
5,610,000 5.125%, 11/30/98 5,479,413
- -----------------------------------------------------------------
50,000 6.125%, 7/31/00 50,203
- -----------------------------------------------------------------
3,250,000 6.25%, 8/31/00 3,281,480
- -----------------------------------------------------------------
820,000 8.50%, 11/15/00 907,381
- -----------------------------------------------------------------
2,284,000 7.25%, 8/15/04 2,441,738
- -----------------------------------------------------------------
15,299,158
=================================================================
TOTAL LONG-TERM U.S. TREASURY SECURITIES
(Cost $19,462,176) $ 19,903,332
=================================================================
SHORT-TERM INVESTMENTS - 42.23%
- -----------------------------------------------------------------
U.S. TREASURY BILLS - 22.70%
- -----------------------------------------------------------------
$ 1,490,000 5.37%, 10/12/95 (c) $ 1,487,582
- -----------------------------------------------------------------
35,000,000 5.42%, 12/21/95 34,590,115
- -----------------------------------------------------------------
2,400,000 5.76%, 4/4/96 2,334,881
- -----------------------------------------------------------------
38,412,578
=================================================================
REPURCHASE AGREEMENT - 19.53%
- -----------------------------------------------------------------
33,060,340 Repurchase Agreement with Sanwa
Bank, Dated 9/29/95, 6.25%,
Principal and Interest in the
Amount of $33,071,819, Due 10/02/95,
(Collateralized by U.S. Treasury
Bonds, Par Value of $31,014,000,
7.25%, Due 5/15/04, Value of
$33,950,638) 33,060,340
=================================================================
</TABLE>
<TABLE>
<CAPTION>
DESCRIPTION VALUE
=================================================================
<S> <C> <C>
TOTAL SHORT-TERM INVESTMENTS
(Cost $71,460,895) $ 71,472,918
=================================================================
TOTAL INVESTMENTS
(Cost $161,898,856) 100.43% $169,979,969
- -----------------------------------------------------------------
Liabilities in Excess of Other Assets (0.43) (727,649)
- -----------------------------------------------------------------
NET ASSETS 100.00% $169,252,320
=================================================================
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF
FUTURES NET UNREALIZED
CONTRACTS FUTURE CONTRACTS APPRECIATION
- -----------------------------------------------------------------
<S> <C> <C>
114 S&P 500 December 1995 Long
Futures (Market Value $33,527,400) $ 970,821
- -----------------------------------------------------------------
152 U.S. Treasury December 1995 Long
Futures (Market Value $16,758,000) 113,625
- -----------------------------------------------------------------
$ 1,084,446
=================================================================
</TABLE>
(a) Non-Income Producing Security
(b) Quarterly Floating Rate Note
(c) Held as Collateral for Futures Contracts
(d) The following abbreviations are used in the portfolio descriptions:
FGHLMC - Federal Gold Home Loan Mortgage Corporation
FHLMC - Federal Home Loan Mortgage Corporation
FNMA - Federal National Mortgage Association
GNMA - Government National Mortgage Association
(e) Security exempt from registration under Rule 144A of the Securities Act of
1933. This security may be resold in transactions exempt from registration,
normally to qualified institutional buyers. At the period end, the value of
this security amounted to $105,058 or 0.06% of net assets.
See Notes to Financial Statements on Pages 22 and 23
<PAGE> 21
BT INSTITUTIONAL ASSET MANAGEMENT FUND 20
------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (unaudited)
===============================================================================
NOTE 1 - ORGANIZATION AND SIGNIFICANT
ACCOUNTING POLICIES
A. Organization
BT Pyramid Mutual 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. The BT Institutional
Asset Management Fund (the "Fund") is one of the funds offered to investors by
the Trust. The Fund commenced operations and began offering shares of
beneficial interest on September 16, 1993. The Fund invests substantially all
of its assets in the Asset Management Portfolio (the "Portfolio"). The
Portfolio is an open-end management investment company registered under the
Act. The Fund seeks to achieve its investment objective by investing all of its
investable assets in the Portfolio. The value of such investment in the
Portfolio reflects the Fund's proportionate interest in the net assets of the
Portfolio. At September 30, 1995, the Fund's investment was approximately 79%
of the Portfolio.
The financial statements of the Portfolio, including the Schedule of Portfolio
Investments, are contained elsewhere in this report.
B. 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 security transactions of the Portfolio are allocated pro
rata among the investors in the Portfolio at the time of such determination.
C. Dividends
It is the Fund's policy to declare and distribute dividends quarterly to
shareholders from net investment income. Dividends 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 will be made
annually to the extent they are not offset by any capital loss carryforwards.
The Fund may periodically make reclassifications among certain of its capital
accounts as a result of the timing and characterization of certain income and
capital gains distributions determined annually in accordance with federal tax
regulations which may differ from generally accepted accounting principles.
D. 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 to distribute all of its
taxable income to shareholders. Therefore, no federal income tax provision is
required.
E. Other
The Trust accounts separately for the assets, liabilities, and operations of
the Fund. Expenses directly attributable to the Fund are charged to that Fund,
while expenses which are attributable to all of the Trust's funds are allocated
among them.
<PAGE> 22
BT INSTITUTIONAL ASSET MANAGEMENT FUND 21
------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (unaudited)
===============================================================================
NOTE 2 - FEES AND TRANSACTIONS WITH AFFILIATES
The Fund has entered into an Administration and Services Agreement with Bankers
Trust Company ("Bankers Trust"). Under this Administration and Services
Agreement, Bankers Trust provides administrative, custody, transfer agency and
shareholder services to the Fund in return for a fee computed daily and paid
monthly at an annual rate of 0.15 of 1% of the Fund's average daily net assets.
For the six months ended September 30, 1995, this fee aggregated $80,542.
The Trust has entered into a Distribution Agreement with Signature
Broker-Dealer Services, Inc. ("Signature"). Under the Distribution Agreement
with the Trust, pursuant to Rule 12b-1 under the 1940 Act, Signature may seek
reimbursement, at an annual rate not exceeding 0.20 of 1% of the Fund's average
daily net assets, for expenses incurred in connection with any activities
primarily intended to result in the sale of the Fund's shares. For the six
months ended September 30, 1995, there were no reimbursable expenses incurred
under this agreement.
Bankers Trust has voluntarily undertaken to waive and reimburse expenses of the
Fund, to the extent necessary, to limit all expenses to 0.00 of 1% of the
average daily net assets of the Fund, excluding expenses of the Portfolio and
0.60 of 1% of the average daily net assets of the Fund, including expenses of
the Portfolio. For the six months ended September 30, 1995, expenses of the
Fund have been reduced $107,950.
The Fund is subject to such limitations as may from time to time be imposed by
the Blue Sky laws of states in which the Fund sells its shares. Currently, the
most restrictive jurisdiction imposes expense limitations of 2.5% of the first
$30,000,000 of the average daily net assets, 2.0% of the next $70,000,000, and
1.5% of any excess over $100,000,000.
Certain trustees and officers of the Fund are also directors, officers and/or
employees of Signature. None of the trustees so affiliated received
compensation for services as trustee of the Fund. Similarly, none of the Fund's
officers received compensation from the Fund.
NOTE 3 - SHARES OF BENEFICIAL INTEREST
At September 30, 1995, 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 For the
September 30, 1995 year ended
(unaudited) March 31, 1995
------------------------- --------------------------
Shares Amount Shares Amount
---------- ----------- ---------- -----------
<S> <C> <C> <C> <C>
Sold 5,601,365 $58,815,568 2,584,771 $24,794,119
Reinvested 178,529 1,824,921 247,419 2,327,674
Redeemed (1,851,207) (19,410,412) (2,310,008) (22,046,364)
---------- ----------- ---------- -----------
Net Increase 3,928,687 $41,230,077 522,182 $ 5,075,429
========== =========== ========== ===========
</TABLE>
<PAGE> 23
ASSET MANAGEMENT PORTFOLIO 22
------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (unaudited)
===============================================================================
NOTE 1 - ORGANIZATION AND SIGNIFICANT
ACCOUNTING POLICIES
A. Organization
The Asset Management Portfolio (the "Portfolio") is registered under the
Investment Company Act of 1940 (the "Act"), as amended, as an open-end
management investment company. The Portfolio was organized on June 9, 1992 as
an unincorporated trust under the laws of New York and commenced operations on
September 16, 1993. The Declaration of Trust permits the Board of Trustees (the
"Trustees") to issue beneficial interests in the Portfolio.
B. Security Valuation
The Portfolio's investments are valued each business day by an independent
pricing service (the "Service") approved by the Trustees. Securities traded on
national exchanges or traded in the NASDAQ National Market System are valued at
the last sales prices reported at the close of business each day.
Over-the-counter securities not included in the NASDAQ National Market System
and listed securities for which no sale was reported are valued at the mean of
the bid and asked prices. Short-term obligations with remaining maturities of
60 days or less are valued at amortized cost which with accrued interest
approximates value. Securities for which quotations are not available are
stated at fair value as determined by the Trustees.
C. Security Transactions and Interest Income
Security transactions are accounted for on a trade date basis (date the order
to buy or sell is executed). 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.
The Portfolio may enter into repurchase agreements with financial institutions
deemed to be creditworthy by the Portfolio's Investment Adviser, subject to the
seller's agreement to repurchase such securities at a mutually agreed upon
price. Securities purchased subject to repurchase agreements are deposited with
the Portfolio's custodian, and pursuant to the terms of the repurchase
agreement must have an aggregate market value greater than or equal to the
repurchase price plus accrued interest at all times. If the value of the
underlying securities falls below the value of the repurchase price plus
accrued interest, the Portfolio will require the seller to deposit additional
collateral by the next business day. If the request for additional collateral
is not met, or the seller defaults on its repurchase obligation, the Portfolio
maintains the right to sell the underlying securities at market value and may
claim any resulting loss against the seller.
All of the net investment income and realized and unrealized gains and losses
from the security transactions of the Portfolio are allocated pro rata among
the investors in the Portfolio at the time of such determination.
D. Federal Income Taxes
It is the Portfolio's policy to comply with the requirements of the Internal
Revenue Code applicable to it. Therefore, no federal income tax provision is
required.
<PAGE> 24
ASSET MANAGEMENT PORTFOLIO 23
------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (unaudited)
===============================================================================
NOTE 2 - FEES AND TRANSACTIONS WITH AFFILIATES
The Portfolio has entered into an Administration and Services Agreement with
Bankers Trust Company ("Bankers Trust"). Under this Administration and Services
Agreement, Bankers Trust provides administrative, custody, transfer agency and
shareholder services to the Portfolio in return for a fee computed daily and
paid monthly at an annual rate of 0.10 of 1% of the Portfolio's average daily
net assets. For the six months ended September 30, 1995, this fee aggregated
$68,016.
The Portfolio has entered into an Advisory Agreement with Bankers Trust. Under
this Advisory Agreement, Bankers Trust manages the Portfolio in accordance with
the Portfolio's investment objective and stated investment policies in return
for a fee computed daily and paid monthly at an annual rate of 0.65 of 1% of
the Portfolio's average daily net assets. For the six months ended September
30, 1995, this fee aggregated $442,103.
Bankers Trust has voluntarily undertaken to waive and reimburse expenses of the
Portfolio, to the extent nec-essary, to limit all expenses to 0.60 of 1% of the
average daily net assets of the Portfolio. For the six months ended September
30, 1995, expenses of the Portfolio have been reduced $110,846.
Certain trustees and officers of the Portfolio are also directors, officers
and/or employees of Signature. None of the trustees so affiliated received
compensation for services as trustee of the Portfolio. Similarly, none of the
Portfolio's officers received compensation from the Portfolio.
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, 1995, were
$58,067,782 and $40,012,378 respectively. The aggregate gross unrealized
appreciation for all investments was $8,589,840 and the aggregate gross
unrealized depreciation for all investments was $508,727.
The Portfolio may enter into financial futures contracts as an investment
technique designed to hedge against anticipated future change in general market
prices which otherwise might either adversely affect the value of securities
held by the Portfolio or adversely affect the prices of securities which are
intended to be purchased at a later date for the Portfolio. Investments in
financial futures require initial margin deposits which consist of cash or cash
equivalents equal to approximately 5% to 10% of the contract amount. During the
period the financial futures are open, changes in the value of the contracts
are recognized by "mark to market" on a daily basis to reflect the market value
of the contracts at the close of each day's trading. Accordingly, variation
margin payments are made or received to reflect daily unrealized gains or
losses. When the contracts are closed, the Portfolio recognizes a realized gain
or loss. The use of futures contracts involves elements of market risk in
excess of amounts recognized in the statement of assets and liabilities.
