<PAGE> 1
BT INVESTMENT
EQUITY
APPRECIATION
FUND
ANNUAL REPORT
SEPTEMBER 30, 1995
<PAGE> 2
BT INVESTMENT EQUITY APPRECIATION FUND 1
------------------------------------------------------------
TABLE OF CONTENTS
================================================================================
<TABLE>
<S> <C>
INTRODUCTION FROM PRESIDENT . . . . . . . . . . . . . . . . . . . . . . . . 2
LETTER TO SHAREHOLDERS FROM INVESTMENT ADVISER . . . . . . . . . . . . . . 3
BT INVESTMENT EQUITY APPRECIATION FUND
Statement of Assets and Liabilities . . . . . . . . . . . . . . . 6
Statement of Operations . . . . . . . . . . . . . . . . . . . . . 7
Statement of Changes in Net Assets . . . . . . . . . . . . . . . . 8
Financial Highlights . . . . . . . . . . . . . . . . . . . . . . . 9
CAPITAL APPRECIATION 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 INVESTMENT EQUITY APPRECIATION FUND
Notes to Financial Statements . . . . . . . . . . . . . . . . . 17
Report of Independent Accountants . . . . . . . . . . . . . . . 19
CAPITAL APPRECIATION PORTFOLIO
Notes to Financial Statements . . . . . . . . . . . . . . . . . 20
Report of Independent Accountants . . . . . . . . . . . . . . . 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 Investment
Equity Appreciation 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 Mutual 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 Investment Equity
Appreciation Fund at the following address:
BT PYRAMID MUTUAL FUNDS
6 ST. JAMES AVENUE
BOSTON, MA 02116
<PAGE> 3
BT INVESTMENT EQUITY APPRECIATION FUND 2
------------------------------------------------------------
INTRODUCTION FROM PRESIDENT
================================================================================
November, 1995
Dear Shareholders:
We are pleased to present your Annual Report for the BT Investment
Equity Appreciation Fund. This Report provides you with an investment
overview as well as a financial summary of the Fund's operations for
the period January 1, 1995 to 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
Portfolio investments, 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 Investment Equity
Appreciation Fund and look forward to continuing to serve your
investment needs.
Philip W. Coolidge
President
<PAGE> 4
BT INVESTMENT EQUITY APPRECIATION FUND 3
------------------------------------------------------------
LETTER TO SHAREHOLDERS FROM INVESTMENT ADVISER
================================================================================
For the year ended September 30, 1995, the BT Investment Equity
Appreciation Fund once again outperformed its benchmark and its
competitors impressively. The Fund's outstanding return of 43.70%
compares to 25.77% for the S&P Midcap 400 Index and 25.87% for the
Lipper Growth Average. Since its inception on October 12, 1993, the
Fund has returned 41.40%.
Please be informed that we have recently changed the Fund's fiscal
year-end, from December to September. The Fund's Semi-Annual Report
will be sent to you in May.
The primary factor contributing to the Fund's strong performance
continues to be its overweighted position in the technology sector,
which was the leading sector from January through June, and the
second-best performing sector in the third calendar quarter. While the
Fund continues to be overweighted there, we did decrease our
technology holdings just somewhat in September, diversifying into
sectors that were previously under-represented in the Fund, such as
consumer non-durables and retail. The Fund also benefitted from an
underweighting in weaker, lagging sectors, including the capital
spending, conglomerates and consumer cyclical sectors.
As anticipated in our last report to you, midcap stocks did outperform
the large company indices in the third quarter of 1995. However, in
September, this pattern reversed, with the S&P 500 outperforming the
midcap index, which in turn, outperformed the smaller company index.
Thus, to remain a leader in the midcap growth sector and to meet the
Fund's objective of capital growth over the long term, we will
continue our thematic approach to investing.
We will also continue, as always, to carry out intensive analysis in
each sector, focusing on individual companies that appear to offer
compelling valuations relative to their growth rates. Given the
uncertainty about the economy now, we remain especially interested in
companies with strong, consistent earnings and revenue growth
potential.
<PAGE> 5
BT INVESTMENT EQUITY APPRECIATION FUND 4
------------------------------------------------------------
LETTER TO SHAREHOLDERS FROM INVESTMENT ADVISER
================================================================================
The following graph illustrates the Fund's return versus the S&P
MidCap 400 Index since October 31, 1993, assuming a $10,000 initial
investment:
================================================================================
COMPARISON OF
CHANGE IN VALUE OF A
$10,000 INVESTMENT [FIGURE 1]
IN BT INVESTMENT
EQUITY APPRECIATION
FUND AND THE S&P
MIDCAP 400 INDEX
<TABLE>
<CAPTION>
BT Investment Equity App Fund 9/30/95
BT Investment S&P
Equity Appreciation Mid Cap 400
<S> <C> <C>
10/31/93 10,000 10,000
12/31/93 9,899 10,233
3/31/94 9,657 9,844
6/30/94 9,051 9,485
9/30/94 9,939 10,127
12/31/94 10,242 9,866
3/31/95 10,909 10,664
6/30/95 12,111 11,605
9/30/95 14,283 12,737
</TABLE>
<TABLE>
<CAPTION>
TOTAL RETURN
ENDED SEPTEMBER 30, 1995
One Year Since 10/12/93*
<S> <C>
43.70% 41.40%
</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.
================================================================================
ABOUT THE MARY LISANTI
PORTFOLIO MANAGER Managing Director
- Manager of the Capital Appreciation
Portfolio, Small Cap Portfolio and
separate aggressive growth accounts
- 16 years of investment experience as a
portfolio manager and analyst in Small/Mid
cap equities
- Joined Bankers Trust from Lieber &
Company/The Evergreen Funds, where
for three years she was Vice President of
Investments and a portfolio manager
working on their $800 million small and
mid-sized company fund
- Senior Vice President at Shearson Lehman
Brothers, headed the firm's emerging
growth stock investment strategy and
research effort; member of the Investment
Policy Committee
- Earned the #1 ranking in Institutional
Investor's All Star Research Team in 1989
(ranked #2 and #3 in 1987 and 1986,
respectively) for her work as a small
company stock analyst
- B.A.--Princeton University
- Member, New York Society of Security
Analysts and Financial Analyst Federation
<PAGE> 6
BT INVESTMENT EQUITY APPRECIATION FUND 5
------------------------------------------------------------
================================================================================
OBJECTIVE Seeks capital growth over the long-term
through investment in medium sized companies
that show growth potential. Current income
is a secondary goal.
- --------------------------------------------------------------------------------
INVESTMENT INSTRUMENTS Primarily common stocks of growth-oriented
domestic corporations and, to a lesser extent,
foreign corporations, but may invest in any
market sectors and companies of any size;
also, may take advantage of any investment
opportunity with attractive long-term
prospects.
- --------------------------------------------------------------------------------
TEN LARGEST STOCK HOLDINGS LSI Logic Maxim Integrated Products
Staples Parametric Technology
Xilinx Altera
Glenayre Technologies Paychex
Boston Scientific Teradyne
- --------------------------------------------------------------------------------
DIVERSIFICATION OF PORTFOLIO
INVESTMENTS BY THEME
as of September 30, 1995
(percentages are based on market value)
<TABLE>
<S> <C>
The Ubiquitous Semiconductor 13.66%
New Health Care Paradigm 10.89%
Managing the Information Age 10.31%
U.S. Treasury Bills 10.24%
Stores of Value 10.01%
Productivity Enhancement 9.17%
Other* 9.43%
America's Changing Leisure Time 5.75%
America's Industrial Renaissance 5.49%
Telecommunications 5.24%
Move to Outsourcing 5.02%
The Greying of America 4.79%
</TABLE>
[FIGURE 2]
* No one theme represents more than 4.00% of portfolio holdings.
<PAGE> 7
BT INVESTMENT EQUITY APPRECIATION FUND 6
-------------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
==================================================================================================================
September 30, 1995
- ------------------------------------------------------------------------------------------------------------------
<S> <C>
ASSETS
- ------------------------------------------------------------------------------------------------------------------
Investment in Capital Appreciation Portfolio, at Value $92,235,875
- ------------------------------------------------------------------------------------------------------------------
Receivable for Shares of Beneficial Interest Sold 98,777
- ------------------------------------------------------------------------------------------------------------------
Prepaid Expenses 4,247
- ------------------------------------------------------------------------------------------------------------------
Total Assets 92,338,899
- ------------------------------------------------------------------------------------------------------------------
LIABILITIES
- ------------------------------------------------------------------------------------------------------------------
Due to Bankers Trust 6,558
- ------------------------------------------------------------------------------------------------------------------
Payable for Shares of Beneficial Interest Redeemed 256,340
- ------------------------------------------------------------------------------------------------------------------
Accrued Expenses and Accounts Payable 43,199
- ------------------------------------------------------------------------------------------------------------------
Total Liabilities 306,097
- ------------------------------------------------------------------------------------------------------------------
NET ASSETS (Applicable to 6,509,857 Outstanding Shares of $0.001 Par Value
Per Share, Unlimited Number of Shares of Beneficial Interest Authorized) $92,032,802
==================================================================================================================
NET ASSET VALUE, Subscription and Redemption Price Per Share
($92,032,802/6,509,857 Shares) $ 14.14
==================================================================================================================
COMPOSITION OF NET ASSETS
- ------------------------------------------------------------------------------------------------------------------
Shares of Beneficial Interest, at Par $ 6,510
- ------------------------------------------------------------------------------------------------------------------
Paid-in Capital 71,778,925
- ------------------------------------------------------------------------------------------------------------------
Undistributed Net Realized Gain from Securities Transactions 3,690,522
- ------------------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Securities 16,556,845
- ------------------------------------------------------------------------------------------------------------------
NET ASSETS, SEPTEMBER 30, 1995 $92,032,802
==================================================================================================================
</TABLE>
See Notes to Financial Statements on Pages 17 and 18
<PAGE> 8
BT INVESTMENT EQUITY APPRECIATION FUND 7
------------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
==============================================================================================================
For the period January 1, 1995 to September 30, 1995
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C>
INVESTMENT INCOME
- --------------------------------------------------------------------------------------------------------------
Income Allocated from Capital Appreciation Portfolio, net $ 9,060
- --------------------------------------------------------------------------------------------------------------
EXPENSES
- --------------------------------------------------------------------------------------------------------------
Administration and Services Fee $155,327
- --------------------------------------------------------------------------------------------------------------
Registration Fees 28,830
- --------------------------------------------------------------------------------------------------------------
Shareholders Reports 21,102
- --------------------------------------------------------------------------------------------------------------
Professional Fees 2,776
- --------------------------------------------------------------------------------------------------------------
Trustees Fees 3,980
- --------------------------------------------------------------------------------------------------------------
Insurance 658
- --------------------------------------------------------------------------------------------------------------
Total Expenses 212,673
- --------------------------------------------------------------------------------------------------------------
Less: Expenses Absorbed by Bankers Trust (57,346) 155,327
- --------------------------------------------------------------------------------------------------------------
NET INVESTMENT (LOSS) (146,267)
- --------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON SECURITIES
- --------------------------------------------------------------------------------------------------------------
Net Realized Gain from Securities Transactions 6,369,448
- --------------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Securities 12,995,476
- --------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN ON SECURITIES 19,364,924
- --------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $19,218,657
==============================================================================================================
</TABLE>
See Notes to Financial Statements on Pages 17 and 18
<PAGE> 9
BT INVESTMENT EQUITY APPRECIATION FUND 8
------------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENT OF CHANGES IN NET ASSETS
===============================================================================================================
For the
For the period year ended
January 1, 1995 to December
September 30, 1995 31, 1994
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
- ---------------------------------------------------------------------------------------------------------------
FROM OPERATIONS
- ---------------------------------------------------------------------------------------------------------------
Net Investment (Loss) $ (146,267) $ (81,622)
- ---------------------------------------------------------------------------------------------------------------
Net Realized Gain (Loss) from Securities Transactions 6,369,448 (1,645,693)
- ---------------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Securities 12,995,476 2,911,094
- ---------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Operations 19,218,657 1,183,779
- ---------------------------------------------------------------------------------------------------------------
FROM TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST
- ---------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Transactions in Shares of
Beneficial Interest 42,841,190 9,324,648
- ---------------------------------------------------------------------------------------------------------------
TOTAL INCREASE IN NET ASSETS 62,059,847 10,508,427
===============================================================================================================
NET ASSETS
- ---------------------------------------------------------------------------------------------------------------
Beginning of Period 29,972,955 19,464,528
- ---------------------------------------------------------------------------------------------------------------
End of Period $92,032,802 $29,972,955
===============================================================================================================
</TABLE>
See Notes to Financial Statements on Pages 17 and 18
<PAGE> 10
BT INVESTMENT EQUITY APPRECIATION 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 Investment Equity Appreciation Fund.
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------------------
For the period
For the October 12, 1993
For the period year ended (Commencement
January 1, 1995 to December of Operations) to
September 30, 1995 31, 1994 December 31, 1993
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
SELECTED PER SHARE DATA
Net Asset Value, Beginning of Period $ 10.14 $ 9.80 $10.00
------- ------- ------
Income (Loss) from Investment Operations
Net Investment (Loss) (0.02) (0.03) (0.00)+
Net Realized and Unrealized Gain (Loss) on Securities 4.02 0.37 (0.20)
------- ------- ------
Total from Investment Operations 4.00 0.34 (0.20)
------- ------- ------
Net Asset Value, End of Period $ 14.14 $ 10.14 $ 9.80
======= ======= ======
TOTAL INVESTMENT RETURN 39.45% 3.47% (8.81)%*
RATIOS AND SUPPLEMENTAL DATA
Ratio of Net Investment (Loss) to Average Net Assets (0.38)%* (0.32)% (0.11)%*
Ratio of Expenses to Average Net Assets, Including
Expenses of the Capital Appreciation Portfolio 1.00%* 1.00% 1.00%*
Decrease Reflected in Above Expense Ratio Due to Absorption
of Expenses by Bankers Trust 0.33%* 0.46% 0.60%*
Net Assets, End of Period (000's omitted) $92,033 $29,973 $19,465
</TABLE>
* Annualized
+ Represents less than $0.01 per share
See Notes to Financial Statements on Pages 17 and 18
<PAGE> 11
CAPITAL APPRECIATION PORTFOLIO 10
--------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
===========================================================================================================================
September 30, 1995
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C>
ASSETS
- ---------------------------------------------------------------------------------------------------------------------------
Investments, at Value (Cost $112,010,157) $144,756,143
- ---------------------------------------------------------------------------------------------------------------------------
Cash 1,547,832
- ---------------------------------------------------------------------------------------------------------------------------
Receivable for Securities Sold 5,548,565
- ---------------------------------------------------------------------------------------------------------------------------
Dividends Receivable 14,960
- ---------------------------------------------------------------------------------------------------------------------------
Prepaid Expenses 175
- ---------------------------------------------------------------------------------------------------------------------------
Total Assets 151,867,675
- ---------------------------------------------------------------------------------------------------------------------------
LIABILITIES
- ---------------------------------------------------------------------------------------------------------------------------
Due to Bankers Trust 57,336
- ---------------------------------------------------------------------------------------------------------------------------
Payable for Securities Purchased 1,901,125
- ---------------------------------------------------------------------------------------------------------------------------
Accrued Expenses and Accounts Payable 21,325
- ---------------------------------------------------------------------------------------------------------------------------
Total Liabilities 1,979,786
- ---------------------------------------------------------------------------------------------------------------------------
NET ASSETS $149,887,889
===========================================================================================================================
COMPOSITION OF NET ASSETS
- ---------------------------------------------------------------------------------------------------------------------------
Paid-in Capital $117,141,903
- ---------------------------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Securities 32,745,986
- ---------------------------------------------------------------------------------------------------------------------------
NET ASSETS, SEPTEMBER 30, 1995 $149,887,889
===========================================================================================================================
</TABLE>
See Notes to Financial Statements on Pages 20 and 21
<PAGE> 12
CAPITAL APPRECIATION PORTFOLIO 11
--------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
===================================================================================================================================
For the period January 1, 1995 to September 30, 1995
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
INVESTMENT INCOME
- -----------------------------------------------------------------------------------------------------------------------------------
Dividends $ 108,821
- -----------------------------------------------------------------------------------------------------------------------------------
Interest 347,025
- -----------------------------------------------------------------------------------------------------------------------------------
Total Investment Income $ 455,846
- -----------------------------------------------------------------------------------------------------------------------------------
EXPENSES
- -----------------------------------------------------------------------------------------------------------------------------------
Advisory Fee 482,453
- -----------------------------------------------------------------------------------------------------------------------------------
Administration and Services Fee 74,224
- -----------------------------------------------------------------------------------------------------------------------------------
Professional Fees 16,299
- -----------------------------------------------------------------------------------------------------------------------------------
Insurance 2,000
- -----------------------------------------------------------------------------------------------------------------------------------
Trustees Fees 1,107
- -----------------------------------------------------------------------------------------------------------------------------------
Miscellaneous 965
- -----------------------------------------------------------------------------------------------------------------------------------
Total Expenses 577,048
- -----------------------------------------------------------------------------------------------------------------------------------
Less: Expenses Absorbed by Bankers Trust (131,702) 445,346
- -----------------------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 10,500
- -----------------------------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON SECURITIES
- -----------------------------------------------------------------------------------------------------------------------------------
Net Realized Gain from Securities Transactions 11,774,764
- -----------------------------------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Securities 23,909,639
- -----------------------------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN ON SECURITIES 35,684,403
- -----------------------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $35,694,903
===================================================================================================================================
</TABLE>
See Notes to Financial Statements on Pages 20 and 21
<PAGE> 13
CAPITAL APPRECIATION PORTFOLIO 12
--------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENT OF CHANGES IN NET ASSETS
===================================================================================================================================
For the
For the period year ended
January 1, 1995 to December
September 30, 1995 31, 1994
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
- -----------------------------------------------------------------------------------------------------------------------------------
FROM OPERATIONS
- -----------------------------------------------------------------------------------------------------------------------------------
Net Investment Income $ 10,500 $ 39,472
- -----------------------------------------------------------------------------------------------------------------------------------
Net Realized Gain (Loss) from Securities Transactions 11,774,764 (3,134,504)
- ------------------------------------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Securities 23,909,639 5,994,992
- -----------------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Operations 35,694,903 2,899,960
- -----------------------------------------------------------------------------------------------------------------------------------
FROM CAPITAL TRANSACTIONS
- -----------------------------------------------------------------------------------------------------------------------------------
Proceeds from Capital Invested 63,887,608 48,149,120
- -----------------------------------------------------------------------------------------------------------------------------------
Value of Capital Withdrawn (23,328,952) (14,490,487)
- -----------------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Capital Transactions 40,558,656 33,658,633
- -----------------------------------------------------------------------------------------------------------------------------------
TOTAL INCREASE IN NET ASSETS 76,253,559 36,558,593
===================================================================================================================================
NET ASSETS
- -----------------------------------------------------------------------------------------------------------------------------------
Beginning of Period 73,634,330 37,075,737
- -----------------------------------------------------------------------------------------------------------------------------------
End of Period $149,887,889 $ 73,634,330
===================================================================================================================================
</TABLE>
See Notes to Financial Statements on Pages 20 and 21
<PAGE> 14
CAPITAL APPRECIATION PORTFOLIO 13
--------------------------------------------------------
FINANCIAL HIGHLIGHTS
================================================================================
Contained below are selected ratios and supplemental data for each of the
periods indicated for the Capital Appreciation Portfolio.
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------------------
For the period
For the March 9, 1993
For the period year ended (Commencement
January 1, 1995 to December of Operations) to
September 30, 1995 31, 1994 December 31, 1993
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
RATIOS AND SUPPLEMENTAL DATA
Ratio of Net Investment Income to Average Net Assets 0.01%* 0.08% 0.38%*
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 0.18%* 0.23% 0.41%*
Portfolio Turnover Rate 125% 157% 137%
Net Assets, End of Period (000's omitted) $149,888 $73,634 $37,076
</TABLE>
* Annualized
See Notes to Financial Statements on Pages 20 and 21
<PAGE> 15
CAPITAL APPRECIATION PORTFOLIO 14
--------------------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
===============================================================================================================
September 30, 1995
SHARES DESCRIPTION VALUE
===============================================================================================================
<S> <C> <C>
COMMON STOCKS - 86.69%
- ---------------------------------------------------------------------------------------------------------------
AMERICA'S CHANGING LEISURETIME - 5.55%
- ---------------------------------------------------------------------------------------------------------------
16,800 Broderbund Software (a) $ 1,278,900
- ---------------------------------------------------------------------------------------------------------------
132,500 Darden Restaurants (a) 1,523,750
- ---------------------------------------------------------------------------------------------------------------
24,400 Davidson and Associates (a) 847,900
- ---------------------------------------------------------------------------------------------------------------
27,500 La Quinta Inns 770,000
- ---------------------------------------------------------------------------------------------------------------
33,700 Lone Star Steakhouse& Saloon (a) 1,381,700
- ---------------------------------------------------------------------------------------------------------------
15,000 New World Communications Group (a) 309,375
- ---------------------------------------------------------------------------------------------------------------
64,600 Renaissance Hotel Group N.V. (a) 1,146,650
- ---------------------------------------------------------------------------------------------------------------
37,100 Sinclair Broadcast Group (a) 1,066,625
- ---------------------------------------------------------------------------------------------------------------
8,324,900
===============================================================================================================
AMERICA'S INDUSTRIAL RENAISSANCE - 5.30%
- ---------------------------------------------------------------------------------------------------------------
49,200 American Standard (a) 1,451,400
- ---------------------------------------------------------------------------------------------------------------
35,700 Atlantic Southeast Airlines 834,487
- ---------------------------------------------------------------------------------------------------------------
51,450 Comair Holdings 1,363,425
- ---------------------------------------------------------------------------------------------------------------
49,700 Pall 1,155,525
- ---------------------------------------------------------------------------------------------------------------
9,900 Sealed Air (a) 545,737
- ---------------------------------------------------------------------------------------------------------------
25,700 Ultratech Stepper (a) 1,085,825
- ---------------------------------------------------------------------------------------------------------------
23,800 Vicor (a) 575,663
- ---------------------------------------------------------------------------------------------------------------
65,300 Westinghouse Air Brake (a) 938,688
- ---------------------------------------------------------------------------------------------------------------
7,950,750
===============================================================================================================
LIFE SCIENCES REVOLUTION - 3.04%
- ---------------------------------------------------------------------------------------------------------------
45,700 BioChem Pharma (a) 1,456,687
- ---------------------------------------------------------------------------------------------------------------
41,700 Idexx Laboratories (a) 1,553,325
- ---------------------------------------------------------------------------------------------------------------
28,400 Millipore 1,065,000
- ---------------------------------------------------------------------------------------------------------------
9,900 Sigma-Aldrich 480,150
- ---------------------------------------------------------------------------------------------------------------
4,555,162
===============================================================================================================
MANAGING THE INFORMATION AGE - 9.96%
- ---------------------------------------------------------------------------------------------------------------
24,600 3Com (a) 1,119,300
- ---------------------------------------------------------------------------------------------------------------
32,900 Adobe Systems 1,702,575
- ---------------------------------------------------------------------------------------------------------------
10,800 Ascend Communications (a) 864,000
- ---------------------------------------------------------------------------------------------------------------
23,700 Bay Networks (a) 1,264,987
- ---------------------------------------------------------------------------------------------------------------
24,200 Cascade Communications (a) 1,191,850
- ---------------------------------------------------------------------------------------------------------------
31,800 Ceridian (a) 1,411,125
- ---------------------------------------------------------------------------------------------------------------
55,600 Cheyenne Software (a) 1,112,000
- ---------------------------------------------------------------------------------------------------------------
16,200 FORE Systems (a) 599,400
- ---------------------------------------------------------------------------------------------------------------
33,400 Glenayre Technologies (a) 2,404,800
- ---------------------------------------------------------------------------------------------------------------
27,100 Madge Networks N.V. (a) 867,200
- ---------------------------------------------------------------------------------------------------------------
13,600 Policy Management Systems (a) 697,000
- ---------------------------------------------------------------------------------------------------------------
25,800 Symantec (a) 774,000
- ---------------------------------------------------------------------------------------------------------------
21,900 Tellabs (a) 922,538
- ---------------------------------------------------------------------------------------------------------------
14,930,775
===============================================================================================================
MOVE TO OUTSOURCING - 4.85%
- ---------------------------------------------------------------------------------------------------------------
27,600 Avnet 1,424,850
- ---------------------------------------------------------------------------------------------------------------
50,700 Lear Seating (a) 1,489,313
- ---------------------------------------------------------------------------------------------------------------
42,000 Paychex 1,942,500
- ---------------------------------------------------------------------------------------------------------------
28,100 Solectron (a) 1,109,950
- ---------------------------------------------------------------------------------------------------------------
66,500 USA Waste Services (a) 1,296,750
- ---------------------------------------------------------------------------------------------------------------
7,263,363
===============================================================================================================
NEW HEALTH CARE PARADIGM - 10.52%
- ---------------------------------------------------------------------------------------------------------------
38,700 American Oncology Resources (a) 1,664,100
- ---------------------------------------------------------------------------------------------------------------
25,000 Biogen (a) 1,500,000
- ---------------------------------------------------------------------------------------------------------------
14,000 CareLine (a) 131,250
- ---------------------------------------------------------------------------------------------------------------
21,000 Caremark International 451,500
- ---------------------------------------------------------------------------------------------------------------
35,200 Cerner (a) 1,205,600
- ---------------------------------------------------------------------------------------------------------------
22,900 HBO & Co 1,431,250
- ---------------------------------------------------------------------------------------------------------------
32,000 Healthsource (a) 1,540,000
- ---------------------------------------------------------------------------------------------------------------
23,800 Medtronic 1,279,250
- ---------------------------------------------------------------------------------------------------------------
26,100 Nellcor Puritan Bennett (a) 1,298,475
- ---------------------------------------------------------------------------------------------------------------
23,100 Oxford Health Plans (a) 1,680,525
- ---------------------------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements on Pages 20 and 21
<PAGE> 16
CAPITAL APPRECIATION PORTFOLIO 15
--------------------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
===============================================================================================================
September 30, 1995
SHARES DESCRIPTION VALUE
===============================================================================================================
<S> <C> <C>
39,900 PhyCor (a) $ 1,366,575
- ---------------------------------------------------------------------------------------------------------------
34,800 Sola International (a) 769,950
- ---------------------------------------------------------------------------------------------------------------
35,200 Watson Pharmaceuticals (a) 1,443,200
- ---------------------------------------------------------------------------------------------------------------
15,761,675
===============================================================================================================
PRODUCTIVITY ENHANCEMENT - 8.86%
- ---------------------------------------------------------------------------------------------------------------
28,250 Credence Systems (a) 1,024,062
- ---------------------------------------------------------------------------------------------------------------
36,000 Danka Business Systems - ADR 1,296,000
- ---------------------------------------------------------------------------------------------------------------
23,900 Diamond Multimedia Systems (a) 770,775
- ---------------------------------------------------------------------------------------------------------------
17,100 KLA Instruments (a) 1,372,275
- ---------------------------------------------------------------------------------------------------------------
18,400 Lam Research (a) 1,099,400
- ---------------------------------------------------------------------------------------------------------------
77,300 Mentor Graphics (a) 1,613,638
- ---------------------------------------------------------------------------------------------------------------
14,000 Novellus Systems (a) 980,000
- ---------------------------------------------------------------------------------------------------------------
36,000 Parametric Technology (a) 2,214,000
- ---------------------------------------------------------------------------------------------------------------
24,200 Tencor Instruments (a) 1,070,850
- ---------------------------------------------------------------------------------------------------------------
51,000 Teradyne (a) 1,836,000
- ---------------------------------------------------------------------------------------------------------------
13,277,000
===============================================================================================================
REDISTRIBUTION OF DEBT - 3.21%
- ---------------------------------------------------------------------------------------------------------------
23,900 Countrywide Credit Industries 561,650
- ---------------------------------------------------------------------------------------------------------------
24,400 Green Tree Financial 1,488,400
- ---------------------------------------------------------------------------------------------------------------
35,700 The Money Store 1,691,288
- ---------------------------------------------------------------------------------------------------------------
22,600 The PMI Group 1,070,675
- ---------------------------------------------------------------------------------------------------------------
4,812,013
===============================================================================================================
SPECIAL SITUATIONS - 2.85%
- ---------------------------------------------------------------------------------------------------------------
42,600 AVX (a) 1,427,100
- ---------------------------------------------------------------------------------------------------------------
30,500 Katz Media Group (a) 621,437
- ---------------------------------------------------------------------------------------------------------------
34,700 Softkey International (a) 1,535,475
- ---------------------------------------------------------------------------------------------------------------
21,400 Sybase (a) 687,475
- ---------------------------------------------------------------------------------------------------------------
4,271,487
===============================================================================================================
STORES OF VALUE - 9.67%
- ---------------------------------------------------------------------------------------------------------------
31,400 Barnes & Noble (a) 1,201,050
- ---------------------------------------------------------------------------------------------------------------
63,900 Borders Group (a) 1,094,287
- ---------------------------------------------------------------------------------------------------------------
40,500 Corporate Express (a) 987,187
- ---------------------------------------------------------------------------------------------------------------
29,000 General Nutrition (a) 1,319,500
- ---------------------------------------------------------------------------------------------------------------
37,200 Heilig-Myers 864,900
- ---------------------------------------------------------------------------------------------------------------
30,900 Nine West Group (a) 1,405,950
- ---------------------------------------------------------------------------------------------------------------
24,400 Oakley (a) 722,850
- ---------------------------------------------------------------------------------------------------------------
90,975 Staples (a) 2,570,044
- ---------------------------------------------------------------------------------------------------------------
30,100 Sunglass Hut International (a) 1,505,000
- ---------------------------------------------------------------------------------------------------------------
40,200 The Men's Wearhouse (a) 1,447,200
- ---------------------------------------------------------------------------------------------------------------
32,900 Tiffany & Co 1,377,688
- ---------------------------------------------------------------------------------------------------------------
14,495,656
===============================================================================================================
TELECOMMUNICATIONS - 5.06%
- ---------------------------------------------------------------------------------------------------------------
38,000 ADC Telecommunications (a) 1,729,000
- ---------------------------------------------------------------------------------------------------------------
30,000 Adtran (a) 1,042,500
- ---------------------------------------------------------------------------------------------------------------
19,100 Andrew (a) 1,167,487
- ---------------------------------------------------------------------------------------------------------------
25,400 DSC Communications (a) 1,504,950
- ---------------------------------------------------------------------------------------------------------------
16,900 LCI International (a) 663,325
- ---------------------------------------------------------------------------------------------------------------
34,000 National Data 913,750
- ---------------------------------------------------------------------------------------------------------------
16,300 Nera AS - ADS (a) 560,313
- ---------------------------------------------------------------------------------------------------------------
7,581,325
===============================================================================================================
THE GREYING OF AMERICA - 4.63%
- ---------------------------------------------------------------------------------------------------------------
54,200 Boston Scientific (a) 2,310,275
- ---------------------------------------------------------------------------------------------------------------
12,200 Cordis (a) 1,033,950
- ---------------------------------------------------------------------------------------------------------------
48,100 Guidant 1,406,925
- ---------------------------------------------------------------------------------------------------------------
15,400 Loewen Group 635,250
- ---------------------------------------------------------------------------------------------------------------
24,500 St. Jude Medical (a) 1,549,625
- ---------------------------------------------------------------------------------------------------------------
6,936,025
===============================================================================================================
THE UBIQUITOUS SEMICONDUCTOR - 13.19%
- ---------------------------------------------------------------------------------------------------------------
37,050 Alliance Semiconductor (a) 1,472,737
- ---------------------------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements on Pages 20 and 21
<PAGE> 17
CAPITAL APPRECIATION PORTFOLIO 16
--------------------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
===============================================================================================================
September 30, 1995
SHARES DESCRIPTION VALUE
===============================================================================================================
<S> <C>
34,300 Altera (a) $ 2,139,462
- ---------------------------------------------------------------------------------------------------------------
32,200 Analog Devices (a) 1,114,925
- ---------------------------------------------------------------------------------------------------------------
20,200 Atmel (a) 681,750
- ---------------------------------------------------------------------------------------------------------------
27,600 Cirrus Logic (a) 1,580,100
- ---------------------------------------------------------------------------------------------------------------
15,500 Cypress Semiconductor (a) 598,688
- ---------------------------------------------------------------------------------------------------------------
35,200 Linear Technology 1,460,800
- ---------------------------------------------------------------------------------------------------------------
52,200 LSI Logic (a) 3,014,550
- ---------------------------------------------------------------------------------------------------------------
30,600 Maxim Integrated Products (a) 2,264,400
- ---------------------------------------------------------------------------------------------------------------
35,600 Microchip Technology (a) 1,348,350
- ---------------------------------------------------------------------------------------------------------------
14,100 National Semiconductor (a) 389,513
- ---------------------------------------------------------------------------------------------------------------
29,400 Oak Technology (a) 1,234,800
- ---------------------------------------------------------------------------------------------------------------
51,300 Xilinx (a) 2,468,813
- ---------------------------------------------------------------------------------------------------------------
19,768,888
===============================================================================================================
TOTAL COMMON STOCKS
(Cost $97,184,102) $129,929,019
===============================================================================================================
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT DESCRIPTION VALUE
===============================================================================================================
<S> <C> <C>
U.S. TREASURY BILLS - 9.89%
- ---------------------------------------------------------------------------------------------------------------
$ 224,000 5.65%, 11/09/95 $ 222,719
- ---------------------------------------------------------------------------------------------------------------
205,000 5.69%, 11/16/95 203,609
- ---------------------------------------------------------------------------------------------------------------
1,154,000 5.35%, 12/07/95 1,142,872
- ---------------------------------------------------------------------------------------------------------------
8,768,000 5.28%, 12/14/95 8,673,235
- ---------------------------------------------------------------------------------------------------------------
2,404,000 5.33%, 1/18/96 2,367,075
- ---------------------------------------------------------------------------------------------------------------
2,255,000 5.46%, 1/25/96 2,217,614
===============================================================================================================
TOTAL U.S. TREASURY BILLS
(Cost $14,826,055) $ 14,827,124
- ---------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS
(Cost $112,010,157) 96.58% $144,756,143
- ---------------------------------------------------------------------------------------------------------------
Other Assets in Excess of Liabilities 3.42 5,131,746
- ---------------------------------------------------------------------------------------------------------------
NET ASSETS 100.00% $149,887,889
- ---------------------------------------------------------------------------------------------------------------
</TABLE>
(a) Non-Income Producing Security
See Notes to Financial Statements on Pages 20 and 21
<PAGE> 18
BT INVESTMENT EQUITY APPRECIATION FUND 17
------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
================================================================================
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 Investment
Equity Appreciation 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 October 12, 1993. The Fund invests substantially all of
its assets in the Capital Appreciation 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 62%
of the Portfolio.
The financial statements of the Portfolio, including the Schedule of Portfolio
Investments, are contained elsewhere in this report.
In fiscal year 1995, the Fund changed it's year end to September 30th.
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, if any. 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 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. For
the period January 1, 1995 to September 30, 1995, $146,267 of net investment
loss was reclassified to undistributed net realized gain from securities
transactions.
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> 19
BT INVESTMENT EQUITY APPRECIATION FUND 18
------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
================================================================================
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 0.40 of 1% of the Fund's average daily net assets.
For the period January 1, 1995 to September 30, 1995, this fee aggregated
$155,327.
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 period
January 1, 1995 to 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 0.40 of 1% of the
average daily net assets of the Fund, excluding expenses of the Portfolio and
1.00 of 1% of the average daily net assets of the Fund, including expenses of
the Portfolio. For the period January 1, 1995 to September 30, 1995, expenses
of the Fund have been reduced $57,346.
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 period For the
January 1, 1995 to year ended
September 30, 1995 December 31, 1994
----------------------------- -----------------------------
Shares Amount Shares Amount
--------- ----------- --------- -----------
<S> <C> <C> <C> <C>
Sold 4,288,109 $51,174,959 1,940,274 $18,809,244
Redeemed (733,661) (8,333,769) (971,437) (9,484,596)
--------- ----------- --------- -----------
Net Increase 3,554,448 $42,841,190 968,837 $ 9,324,648
========= =========== ========= ===========
</TABLE>
<PAGE> 20
BT INVESTMENT EQUITY APPRECIATION FUND 19
------------------------------------------------------------
REPORT OF INDEPENDENT ACCOUNTANTS
================================================================================
To the Trustees and Shareholders of
BT Pyramid Mutual Funds:
We have audited the accompanying statement of assets and liabilities of the BT
Investment Equity Appreciation Fund (one of the funds comprising BT Pyramid
Mutual Funds) as of September 30, 1995, and the related statement of operations
for the nine months then ended, the statements of changes in net assets for the
nine months ended September 30, 1995 and the year ended December 31, 1994, and
the financial highlights for the nine months ended September 30, 1995, for the
year ended December 31, 1994 and for the period October 12, 1993 (commencement
of operations) to December 31, 1993. These financial statements and financial
highlights are the responsibility of the Fund's management. Our responsibility
is to express an opinion on these financial statements and financial highlights
based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned as of
September 30, 1995 by correspondence with the custodian. An audit also
includes assessing the accounting principles used and significant estimates
made by management, as well as evaluating the overall financial statement
presentation. We believe that our audits provide a reasonable basis for our
opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of the
BT Investment Equity Appreciation Fund of BT Pyramid Mutual Funds as of
September 30, 1995, the results of its operations, the changes in its net
assets, and the financial highlights for the periods referred to above, in
conformity with generally accepted accounting principles.
/s/ COOPERS & LYBRAND L.L.P.
- ----------------------------
Kansas City, Missouri
November 14, 1995
<PAGE> 21
CAPITAL APPRECIATION PORTFOLIO 20
--------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
================================================================================
NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
A. Organization
The Capital Appreciation 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 October 28, 1992
as an unincorporated trust under the laws of New York and commenced operations
on March 9, 1993. The Declaration of Trust permits the Board of Trustees (the
"Trustees") to issue beneficial interests in the Portfolio.
In fiscal year 1995, the Portfolio changed it's year end to September 30th.
B. Security Valuation
The Portfolio's investments are valued each business day by an independent
pricing service (the "Service") approved by the Board of 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.
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 Board of Trustees.
C. Security Transactions and Investment 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.
All of the net investment income and realized and unrealized gains and losses
from the security transac-tions 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> 22
CAPITAL APPRECIATION PORTFOLIO 21
--------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
================================================================================
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 period January 1, 1995 to September 30, 1995, this fee
aggregated $74,224.
The Portfolio has entered into an Advisory Agreement with Bankers Trust. Under
this Advisory Agreement, the Portfolio pays Bankers Trust an advisory 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 period January 1, 1995 to
September 30, 1995, this fee aggregated $482,453.
Bankers Trust has voluntarily undertaken to waive and reimburse expenses of the
Portfolio, to the extent necessary, to limit all expenses to 0.60 of 1% of the
average daily net assets of the Portfolio. For the period January 1, 1995 to
September 30, 1995, expenses of the Portfolio have been reduced $131,702.
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 period January 1, 1995 to September 30,
1995, were $136,801,394 and $114,800,140, respectively. For federal income tax
purposes, the tax basis of investments held at September 30, 1995 was
$112,043,941. The aggregate gross unrealized appreciation for all investments
was $33,445,086 and the aggregate gross unrealized depreciation for all
investments was $732,884.
<PAGE> 23
CAPITAL APPRECIATION PORTFOLIO 22
--------------------------------------------------------
REPORT OF INDEPENDENT ACCOUNTANTS
================================================================================
To the Trustees and Holders of Beneficial Interest of the
Capital Appreciation Portfolio:
We have audited the accompanying statement of assets and liabilities of the
Capital Appreciation Portfolio, including the schedule of portfolio
investments, as of September 30, 1995, and the related statement of operations
for the nine months then ended, the statements of changes in net assets for the
nine months ended September 30, 1995 and the year ended December 31, 1994, and
the financial highlights for the nine months ended September 30, 1995, for the
year ended December 31, 1994 and for the period March 9, 1993 (commencement of
operations) to December 31, 1993. These financial statements and financial
highlights are the responsibility of the Portfolio's management. Our
responsibility is to express an opinion on these financial statements and
financial highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned as of
September 30, 1995 by correspondence with the custodian and brokers. An audit
also includes assessing the accounting principles used and significant
estimates made by management, as well as evaluating the overall financial
statement presentation. We believe that our audits provide a reasonable basis
for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of the
Capital Appreciation Portfolio as of September 30, 1995, the result of its
operations, the changes in its net assets and the financial highlights for the
periods referred to above, in conformity with generally accepted accounting
principles.
/s/ COOPERS & LYBRAND L.L.P.
- ----------------------------
Kansas City, Missouri
November 14, 1995
