<PAGE> 1
BT INSTITUTIONAL
ASSET
MANAGEMENT
FUND
ANNUAL REPORT
MARCH 31, 1995
<PAGE> 2
BT INSTITUTIONAL ASSET MANAGEMENT FUND 1
------------------------------------------------------------------
<TABLE>
<S> <C>
TABLE OF CONTENTS
- ------------------------------------------------------------------
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
Report of Independent Accountants ............... 22
ASSET MANAGEMENT PORTFOLIO
Notes to Financial Statements.................... 23
Report of Independent Accountants................ 25
</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
- --------------------------------------------------------------------------------
May, 1995
Dear Shareholders:
We are pleased to present your 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 year ended March 31,
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
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LETTER TO SHAREHOLDERS FROM INVESTMENT ADVISER
- --------------------------------------------------------------------------------
The BT Institutional Asset Management Fund returned 7.13% for the year ended
March 31, 1995, as compared to 10.79% for the Asset Allocation Index-Long
Range. Since its inception on September 16, 1993, the Fund was up 3.60%.
Throughout most of the spring and early summer, after the Federal Reserve Board
had begun its series of interest rate hikes, the Fund was conservatively
positioned, reducing its bond holdings and retaining a lower-than-normal
exposure to stocks. The negative market environment was made worse by the
dollar's decline against the yen. The Fund's underweighting in bonds helped
performance during the late summer and early fall, as long-term interest rates
continued to push up towards 8%. However, the Fund remained underweighted in
stocks at this time and did not fully benefit from the rally which occurred in
late summer.
By the end of 1994, stock returns were moderately positive, bond returns were
nearly flat and cash returns led all other asset classes. In this environment,
the Fund outperformed its benchmark, since the Fund was strongly overweighted
in its allocation to cash.
After a weak record on stock selection for most of this period, the Fund made a
number of improvements in the first three months of 1995, including
strengthening its risk management policies, increasing its focus on
international opportunities, and moving away from its cash retreat and more
strongly into the stock and bond sectors. During these months, the Fund
benefitted from strong rallies in both the stock and bond markets, which easily
outperformed cash. Stock selection improved as well. Overweighted positions in
Viacom, Coca Cola and Teledyne helped the Fund's performance. As of March 31,
1995, the Fund was close to its benchmark with weighting of 50% in stocks, 34%
in bonds, and 16% in cash, a posture which does not take large risks relative
to the benchmark.
Looking ahead, we intend to continue to strengthen our stock selection record,
and we also expect to begin making selective investments in international
stocks and bonds. These investments are intended to help diversify the Fund and
capture attractive return opportunities.
<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
IN BT INSTITUTIONAL
ASSET MANAGEMENT
FUND, S&P 500 INDEX
AND **ASSET ALLOCATION
INDEX-LONG RANGE
<TABLE>
<CAPTION>
BT INSTITUTIONAL ASSET
ASSET ALLOCATION
S & P 500 MANAGEMENT INDEX-
INDEX FUND LONG RANGE**
<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 10368 9717 10057
12/31/94 10367 9759 10099
3/31/95 11376 10361 10704
</TABLE>
**Asset Allocation Index-Long Range is comprised of the
following:
55% S&P 500 Index
35% Salomon Broad Investment Grade Bond Index
10% Salomon U.S. Dollar T-Bill Index
<TABLE>
<CAPTION>
TOTAL RETURN
ENDED MARCH 31, 1995
<S> <C>
One Year Since 9/16/93*
7.13% 3.60%
</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.
<TABLE>
<S> <C>
- -----------------------------------------------------------------------------------------
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.
- Author of numerous investment articles
- Joined Bankers Trust in 1985
- B.S.E.--Wharton School of Business
M.B.A.--New York University
</TABLE>
<PAGE> 6
BT INSTITUTIONAL ASSET MANAGEMENT FUND 5
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<TABLE>
<S> <C>
- ------------------------------------------------------------------------------------------------------------------------------
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 Royal Dutch Petroleum
STOCK HOLDINGS Bell Atlantic PECO Energy
American Brands
- ------------------------------------------------------------------------------------------------------------------------------
FIVE LARGEST FIXED U.S. Treasury Notes U.S. Treasury Bonds
INCOME SECURITIES (11/30/[email protected]%) (8/15/[email protected]%)
U.S. Treasury Notes FNMA (9/1/[email protected]%)
(8/15/[email protected]%)
U.S. Treasury Notes
(12/31/[email protected]%)
- ------------------------------------------------------------------------------------------------------------------------------
DIVERSIFICATION BY ASSETS This diversification table* shows the Fund's investment exposure to the different
EXPOSURES asset classes (i.e. stocks, bonds and cash) based on the risk characteristics of the
AS OF MARCH 31, 1995 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.
</TABLE>
[GRAPH]
Stocks - 50%
Bonds - 34%
Cash - 16%
* The table reflects the same information as the pie chart shown in the Fund's
report.
<PAGE> 7
BT INSTITUTIONAL ASSET MANAGEMENT FUND 6
------------------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
- -------------------------------------------------------------------------------------------------------------
March 31, 1995
- -------------------------------------------------------------------------------------------------------------
<S> <C>
ASSETS
Investment in Asset Management Portfolio, at Value $83,327,972
- -------------------------------------------------------------------------------------------------------------
Receivable for Shares of Beneficial Interest Sold 23,435
- -------------------------------------------------------------------------------------------------------------
Deferred Organizational Expenses 12,473
- -------------------------------------------------------------------------------------------------------------
Prepaid Expenses 8,857
- -------------------------------------------------------------------------------------------------------------
Total Assets 83,372,737
- -------------------------------------------------------------------------------------------------------------
LIABILITIES
- -------------------------------------------------------------------------------------------------------------
Due to Bankers Trust 11,786
- -------------------------------------------------------------------------------------------------------------
Payable for Shares of Beneficial Interest Redeemed 123,433
- -------------------------------------------------------------------------------------------------------------
Accrued Expenses and Accounts Payable 36,762
- -------------------------------------------------------------------------------------------------------------
Total Liabilities 171,981
- -------------------------------------------------------------------------------------------------------------
NET ASSETS (Applicable to 8,328,242 Outstanding Shares of $0.001 Par Value
Per Share, Unlimited Number of Shares of Beneficial Interest Authorized) $83,200,756
- -------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, Subscription and Redemption Price Per Share
($83,200,756/8,328,242 Shares) $ 9.99
- -------------------------------------------------------------------------------------------------------------
COMPOSITION OF NET ASSETS
- -------------------------------------------------------------------------------------------------------------
Shares of Beneficial Interest, at Par $ 8,328
- -------------------------------------------------------------------------------------------------------------
Paid-in Capital 81,399,160
- -------------------------------------------------------------------------------------------------------------
Undistributed Net Investment Income 840,152
- -------------------------------------------------------------------------------------------------------------
Accumulated Net Realized (Loss) from Securities and Futures Transactions (653,105)
- -------------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Securities 1,425,594
- -------------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Futures Contracts 180,627
- -------------------------------------------------------------------------------------------------------------
NET ASSETS, MARCH 31, 1995 $83,200,756
- -------------------------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements on Pages 20 and 21
<PAGE> 8
BT INSTITUTIONAL ASSET MANAGEMENT FUND 7
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<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
- -------------------------------------------------------------------------------------------------------------
For the year ended March 31, 1995
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
INVESTMENT INCOME
- -------------------------------------------------------------------------------------------------------------
Income Allocated from Asset Management Portfolio, net $2,941,027
- -------------------------------------------------------------------------------------------------------------
EXPENSES
- -------------------------------------------------------------------------------------------------------------
Administration and Services Fee $ 116,829
- -------------------------------------------------------------------------------------------------------------
Shareholders Reports 27,904
- -------------------------------------------------------------------------------------------------------------
Registration Fees 24,533
- -------------------------------------------------------------------------------------------------------------
Professional Fees 9,281
- -------------------------------------------------------------------------------------------------------------
Trustees Fees 4,356
- -------------------------------------------------------------------------------------------------------------
Amortization of Organizational Expenses 3,599
- -------------------------------------------------------------------------------------------------------------
Insurance 996
- -------------------------------------------------------------------------------------------------------------
Miscellaneous 1,518
- -------------------------------------------------------------------------------------------------------------
Total Expenses 189,016
- -------------------------------------------------------------------------------------------------------------
Less: Expenses Absorbed by Bankers Trust (189,016) --
- -------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 2,941,027
- -------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON SECURITIES
- -------------------------------------------------------------------------------------------------------------
Net Realized Gain from Securities Transactions 780,775
- -------------------------------------------------------------------------------------------------------------
Net Realized (Loss) from Futures Transactions (902,476)
- -------------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Securities 2,382,617
- -------------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Futures Contracts 233,291
- -------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN ON SECURITIES 2,494,207
- -------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $5,435,234
- -------------------------------------------------------------------------------------------------------------
</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 period
September 16, 1993
For the (Commencement
year ended of Operations)
March 31, 1995 to March 31, 1994
- ------------------------------------------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
- ------------------------------------------------------------------------------------------------------------
FROM OPERATIONS
- ------------------------------------------------------------------------------------------------------------
Net Investment Income $ 2,941,027 $ 401,349
- ------------------------------------------------------------------------------------------------------------
Net Realized (Loss) from Securities and Futures
Transactions (121,701) (528,883)
- ------------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation (Depreciation) on Securities
and Futures Contracts 2,615,908 (1,009,687)
- ------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets from Operations 5,435,234 (1,137,221)
- ------------------------------------------------------------------------------------------------------------
FROM DIVIDENDS AND DISTRIBUTIONS
- ------------------------------------------------------------------------------------------------------------
Net Investment Income (2,330,521) (171,703)
- ------------------------------------------------------------------------------------------------------------
Net Realized Gain from Securities Transactions -- (2,521)
- ------------------------------------------------------------------------------------------------------------
Net (Decrease) in Net Assets
from Dividends and Distributions (2,330,521) (174,224)
- ------------------------------------------------------------------------------------------------------------
FROM TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST
- ------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Transactions in
Shares of Beneficial Interest 5,075,429 76,332,059
- ------------------------------------------------------------------------------------------------------------
TOTAL INCREASE IN NET ASSETS 8,180,142 75,020,614
- ------------------------------------------------------------------------------------------------------------
NET ASSETS
- ------------------------------------------------------------------------------------------------------------
Beginning of Period 75,020,614 --
- ------------------------------------------------------------------------------------------------------------
End of Period (including Undistributed Net Investment
Income of $840,152 and $229,646 for 1995 and
1994, respectively) $83,200,756 $75,020,614
- ------------------------------------------------------------------------------------------------------------
</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
September 16, 1993
For the (Commencement
year ended of Operations) to
March 31, 1995 March 31, 1994
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C>
SELECTED PER SHARE DATA
Net Asset Value, Beginning of Period $ 9.61 $ 10.00
------- -------
Income from Investment Operations
Net Investment Income 0.36 0.11
Net Realized and Unrealized Gain (Loss) on
Securities and Futures 0.30 (0.44)
------- -------
Total from Investment Operations 0.66 (0.33)
------- -------
Less Dividends and Distributions
Dividends from Net Investment Income (0.28) (0.06)
Distributions from Net Realized Gain from Securities
and Futures Transactions -- (0.00)+
------- -------
Total Dividends and Distributions (0.28) (0.06)
------- -------
Net Asset Value, End of Period $ 9.99 $ 9.61
======= =======
TOTAL INVESTMENT RETURN 7.13% (6.06)%*
RATIOS AND SUPPLEMENTAL DATA
Ratio of Net Investment Income to
Average Net Assets 3.78% 2.83%*
Ratio of Expenses to Average Net Assets, Including
Expenses of the Asset Management Portfolio 0.60% 0.60%*
Decrease Reflected in Above Expense Ratio Due to Absorption
of Expenses by Bankers Trust 0.43% 0.73%*
Net Assets, End of Period (000's omitted) $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
- --------------------------------------------------------------------------------------------------------------
March 31, 1995
- --------------------------------------------------------------------------------------------------------------
<S> <C>
ASSETS
- --------------------------------------------------------------------------------------------------------------
Investments, at Value (Cost $99,989,525, including Repurchase Agreement
amounting to $12,405,686) $101,692,645
- --------------------------------------------------------------------------------------------------------------
Cash 19,295
- --------------------------------------------------------------------------------------------------------------
Dividends and Interest Receivable 462,486
- --------------------------------------------------------------------------------------------------------------
Deferred Organizational Expenses 12,473
- --------------------------------------------------------------------------------------------------------------
Prepaid Expenses 1,521
- --------------------------------------------------------------------------------------------------------------
Total Assets 102,188,420
- --------------------------------------------------------------------------------------------------------------
LIABILITIES
- --------------------------------------------------------------------------------------------------------------
Due to Bankers Trust 38,073
- --------------------------------------------------------------------------------------------------------------
Payable for Securities Purchased 5,570,952
- --------------------------------------------------------------------------------------------------------------
Accrued Expenses and Accounts Payable 33,881
- --------------------------------------------------------------------------------------------------------------
Variation Margin Payable 16,750
- --------------------------------------------------------------------------------------------------------------
Total Liabilities 5,659,656
- --------------------------------------------------------------------------------------------------------------
NET ASSETS $ 96,528,764
- --------------------------------------------------------------------------------------------------------------
COMPOSITION OF NET ASSETS
- --------------------------------------------------------------------------------------------------------------
Paid-in Capital $ 94,617,119
- --------------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Securities 1,703,120
- --------------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Futures Contracts 208,525
- --------------------------------------------------------------------------------------------------------------
NET ASSETS, MARCH 31, 1995 $ 96,528,764
- --------------------------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements on Pages 23 and 24
<PAGE> 12
ASSET MANAGEMENT PORTFOLIO 11
------------------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
- -------------------------------------------------------------------------------------------------------
For the year ended March 31, 1995
<S> <C> <C>
INVESTMENT INCOME
- -------------------------------------------------------------------------------------------------------
Dividends $1,249,032
- -------------------------------------------------------------------------------------------------------
Interest 2,633,639
- -------------------------------------------------------------------------------------------------------
Total Investment Income $ 3,882,671
- -------------------------------------------------------------------------------------------------------
EXPENSES
- -------------------------------------------------------------------------------------------------------
Advisory Fee 576,146
- -------------------------------------------------------------------------------------------------------
Administration and Services Fee 88,638
- -------------------------------------------------------------------------------------------------------
Professional Fees 26,913
- -------------------------------------------------------------------------------------------------------
Amortization of Organizational Expenses 3,599
- -------------------------------------------------------------------------------------------------------
Insurance 2,977
- -------------------------------------------------------------------------------------------------------
Trustees Fees 1,212
- -------------------------------------------------------------------------------------------------------
Miscellaneous 1,501
- -------------------------------------------------------------------------------------------------------
Total Expenses 700,986
- -------------------------------------------------------------------------------------------------------
Less: Expenses Absorbed by Bankers Trust (169,159) 531,827
- -------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 3,350,844
- -------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON SECURITIES
- -------------------------------------------------------------------------------------------------------
Net Realized Gain from Securities Transactions 917,457
- -------------------------------------------------------------------------------------------------------
Net Realized (Loss) from Futures Contracts (1,002,509)
- -------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Securities 2,739,593
- -------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Futures Contracts 270,483
- -------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN ON SECURITIES 2,925,024
- -------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $ 6,275,868
- -------------------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements on Pages 23 and 24
<PAGE> 13
ASSET MANAGEMENT PORTFOLIO 12
------------------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENT OF CHANGES IN NET ASSETS
- -------------------------------------------------------------------------------------------------------
For the period
September 16, 1993
For the (Commencement
year ended of Operations) to
March 31, 1995 March 31, 1994
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
- -------------------------------------------------------------------------------------------------------
FROM OPERATIONS
- -------------------------------------------------------------------------------------------------------
Net Investment Income $ 3,350,844 $ 411,692
- -------------------------------------------------------------------------------------------------------
Net Realized (Loss) from Securities and
Futures Transactions (85,052) (603,349)
- -------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation (Depreciation) on Securities
and Futures Contracts 3,010,076 (1,098,431)
- -------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
from Operations 6,275,868 (1,290,088)
- -------------------------------------------------------------------------------------------------------
FROM CAPITAL TRANSACTIONS
- -------------------------------------------------------------------------------------------------------
Proceeds from Capital Invested 77,053,606 42,486,038
- -------------------------------------------------------------------------------------------------------
Value of Capital Withdrawn (23,083,892) (4,912,768)
- -------------------------------------------------------------------------------------------------------
Net Increase in Net Assets from
Capital Transactions 53,969,714 37,573,270
- -------------------------------------------------------------------------------------------------------
TOTAL INCREASE IN NET ASSETS 60,245,582 36,283,182
- -------------------------------------------------------------------------------------------------------
NET ASSETS
- -------------------------------------------------------------------------------------------------------
Beginning of Period 36,283,182 --
- -------------------------------------------------------------------------------------------------------
End of Period $ 96,528,764 $36,283,182
- -------------------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements on Pages 23 and 24
<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
September 16, 1993
For the (Commencement
year ended of Operations) to
March 31, 1995 March 31, 1994
- -------------------------------------------------------------------------------------------------------
<S> <C> <C>
RATIOS AND SUPPLEMENTAL DATA
Ratio of Net Investment Income to Average Net Assets 3.78% 2.83%*
Ratio of Expenses to Average Net Assets 0.60% 0.60%*
Decrease Reflected in Above Ratio of Expenses to Average Net Assets
Due to Absorption of Expenses by Bankers Trust 0.19% 0.33%*
Portfolio Turnover Rate 92% 56%
Net Assets, End of Period (000's omitted) $96,529 $36,283
</TABLE>
* Annualized
See Notes to Financial Statements on Pages 23 and 24
<PAGE> 15
ASSET MANAGEMENT PORTFOLIO 14
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<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
- -------------------------------------------------------------------------
March 31, 1995
SHARES DESCRIPTION VALUE
- -------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS - 47.81%
- -------------------------------------------------------------------------
AEROSPACE - 0.28%
- -------------------------------------------------------------------------
3,700 Raytheon $ 269,638
- -------------------------------------------------------------------------
AIRLINES - 0.66%
- -------------------------------------------------------------------------
3,000 AMR (a) 194,250
- -------------------------------------------------------------------------
7,000 Delta Air Lines 439,250
- -------------------------------------------------------------------------
633,500
- -------------------------------------------------------------------------
AUTO RELATED - 3.27%
- -------------------------------------------------------------------------
7,500 Chrysler 314,063
- -------------------------------------------------------------------------
15,100 Dana 385,050
- -------------------------------------------------------------------------
36,400 Ford Motor 982,800
- -------------------------------------------------------------------------
19,500 General Motors 862,875
- -------------------------------------------------------------------------
3,000 General Motors, Cl E 116,625
- -------------------------------------------------------------------------
7,400 PACCAR 314,500
- -------------------------------------------------------------------------
12,300 SPX 178,350
- -------------------------------------------------------------------------
3,154,263
- -------------------------------------------------------------------------
AVIATION SERVICES - 0.56%
- -------------------------------------------------------------------------
26,800 Ogden 539,350
- -------------------------------------------------------------------------
BANKS - 0.66%
- -------------------------------------------------------------------------
2,400 Bank America 115,800
- -------------------------------------------------------------------------
2,500 Citicorp 106,250
- -------------------------------------------------------------------------
2,000 First Interstate Bancorp 158,000
- -------------------------------------------------------------------------
3,000 National Bancorp of Alaska 149,250
- -------------------------------------------------------------------------
2,100 Suntrust Banks 112,350
- -------------------------------------------------------------------------
641,650
- -------------------------------------------------------------------------
BEVERAGES - 1.09%
- -------------------------------------------------------------------------
11,100 Coca Cola 627,150
- -------------------------------------------------------------------------
10,800 PepsiCo 421,200
- -------------------------------------------------------------------------
1,048,350
- -------------------------------------------------------------------------
BROADCASTING - 0.12%
- -------------------------------------------------------------------------
2,000 Clear Channel Communications (a) 119,000
- -------------------------------------------------------------------------
BUILDING & CONSTRUCTION - 0.23%
- -------------------------------------------------------------------------
9,100 Centex 219,537
- -------------------------------------------------------------------------
BUILDING - FOREST PRODUCTS - 0.11%
- -------------------------------------------------------------------------
9,000 Kaufman & Broad Home 106,875
- -------------------------------------------------------------------------
CHEMICALS - 0.63%
- -------------------------------------------------------------------------
10,100 Du Pont (E.I.) De Nemours 611,050
- -------------------------------------------------------------------------
COMPUTER SERVICES - 0.20%
- -------------------------------------------------------------------------
3,100 Automatic Data Processing 195,300
- -------------------------------------------------------------------------
COMPUTER SOFTWARE - 1.03%
- -------------------------------------------------------------------------
2,900 Computer Associates International 172,187
- -------------------------------------------------------------------------
9,900 Microsoft (a) 704,137
- -------------------------------------------------------------------------
3,700 Oracle Systems (a) 115,625
- -------------------------------------------------------------------------
991,949
- -------------------------------------------------------------------------
CONTAINERS - 0.12%
- -------------------------------------------------------------------------
3,000 Avery Dennison 119,625
- -------------------------------------------------------------------------
COSMETICS - 0.64%
- -------------------------------------------------------------------------
7,600 Gillette 620,350
- -------------------------------------------------------------------------
DRUGS - 2.44%
- -------------------------------------------------------------------------
1,800 Bristol Myers Squibb 113,400
- -------------------------------------------------------------------------
18,400 Merck & Co 784,300
- -------------------------------------------------------------------------
7,300 Pfizer 625,975
- -------------------------------------------------------------------------
4,000 Schering-Plough 297,500
- -------------------------------------------------------------------------
4,000 Smithkline Beecham 150,000
- -------------------------------------------------------------------------
4,900 Warner-Lambert 383,425
- -------------------------------------------------------------------------
2,354,600
- -------------------------------------------------------------------------
ELECTRICAL EQUIPMENT - 3.21%
- -------------------------------------------------------------------------
4,600 Belden 101,200
- -------------------------------------------------------------------------
42,000 General Electric 2,273,250
- -------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements on Pages 23 and 24
<PAGE> 16
ASSET MANAGEMENT PORTFOLIO 15
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<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
- -------------------------------------------------------------------------
March 31, 1995
SHARES DESCRIPTION VALUE
- -------------------------------------------------------------------------
<S> <C> <C>
6,000 Hewlett-Packard $ 722,250
- -------------------------------------------------------------------------
3,096,700
- -------------------------------------------------------------------------
ELECTRONICS - 1.15%
- -------------------------------------------------------------------------
1,500 AMP 54,000
- -------------------------------------------------------------------------
2,900 Intel 246,137
- -------------------------------------------------------------------------
14,900 Motorola 813,913
- -------------------------------------------------------------------------
1,114,050
- -------------------------------------------------------------------------
FINANCIAL SERVICES - 0.72%
- -------------------------------------------------------------------------
1,900 Federal National Mortgage 154,612
- -------------------------------------------------------------------------
10,000 First Data 518,750
- -------------------------------------------------------------------------
700 Fleet Financial Group 22,663
- -------------------------------------------------------------------------
696,025
- -------------------------------------------------------------------------
FOOD SERVICES & LODGING - 0.31%
- -------------------------------------------------------------------------
8,700 McDonald's 296,887
- -------------------------------------------------------------------------
FOODS - 0.93%
- -------------------------------------------------------------------------
7,000 Campbell Soup 338,625
- -------------------------------------------------------------------------
2,300 CPC International 124,487
- -------------------------------------------------------------------------
10,700 Sara Lee 279,538
- -------------------------------------------------------------------------
1,200 Unilever N.V., ADR 157,500
- -------------------------------------------------------------------------
900,150
- -------------------------------------------------------------------------
HEALTH CARE DIVERSIFIED - 0.52%
- -------------------------------------------------------------------------
8,000 Abbott Laboratories 285,000
- -------------------------------------------------------------------------
5,100 Columbia/HCA Health Care 219,300
- -------------------------------------------------------------------------
504,300
- -------------------------------------------------------------------------
HOSPITAL SUPPLIES & SERVICES - 1.52%
- -------------------------------------------------------------------------
3,900 Allergan 115,050
- -------------------------------------------------------------------------
3,400 Becton, Dickinson & Co. 184,450
- -------------------------------------------------------------------------
6,800 Biomet (a) 114,750
- -------------------------------------------------------------------------
12,700 Johnson & Johnson 755,650
- -------------------------------------------------------------------------
4,700 Sun Healthcare Group (a) 119,850
- -------------------------------------------------------------------------
3,700 United Healthcare 172,975
- -------------------------------------------------------------------------
1,462,725
- -------------------------------------------------------------------------
INSURANCE - 0.97%
- -------------------------------------------------------------------------
6,100 American International Group 635,925
- -------------------------------------------------------------------------
2,300 General Re 303,600
- -------------------------------------------------------------------------
939,525
- -------------------------------------------------------------------------
LEISURE RELATED - 1.18%
- -------------------------------------------------------------------------
16,500 Disney (Walt) 880,687
- -------------------------------------------------------------------------
12,400 Outboard Marine 260,400
- -------------------------------------------------------------------------
1,141,087
- -------------------------------------------------------------------------
MACHINERY - AGRICULTURE - 0.64%
- -------------------------------------------------------------------------
7,600 Deere & Co 617,500
- -------------------------------------------------------------------------
MACHINERY - OTHER - 1.09%
- -------------------------------------------------------------------------
18,600 Textron 1,053,225
- -------------------------------------------------------------------------
METALS - 0.12%
- -------------------------------------------------------------------------
4,300 Alcan Aluminium Ltd. 114,487
- -------------------------------------------------------------------------
OFFICE EQUIPMENT - 1.04%
- -------------------------------------------------------------------------
6,800 Cray Research (a) 124,950
- -------------------------------------------------------------------------
7,700 International Business Machines 630,437
- -------------------------------------------------------------------------
12,500 Unisys (a) 115,625
- -------------------------------------------------------------------------
1,100 Xerox 129,113
- -------------------------------------------------------------------------
1,000,125
- -------------------------------------------------------------------------
OIL DOMESTIC - 0.97%
- -------------------------------------------------------------------------
5,500 Enron Oil & Gas 135,437
- -------------------------------------------------------------------------
17,000 Tenneco 801,125
- -------------------------------------------------------------------------
936,562
- -------------------------------------------------------------------------
OIL INTERNATIONAL - 2.55%
- -------------------------------------------------------------------------
9,900 Exxon 660,825
- -------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements on Pages 23 and 24
<PAGE> 17
ASSET MANAGEMENT PORTFOLIO 16
------------------------------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
- -------------------------------------------------------------------------
March 31, 1995
SHARES DESCRIPTION VALUE
- -------------------------------------------------------------------------
<S> <C> <C>
6,900 Mobil $ 639,112
- -------------------------------------------------------------------------
9,700 Royal Dutch Petroleum 1,164,000
- -------------------------------------------------------------------------
2,463,937
- -------------------------------------------------------------------------
OIL SUPPLIES & CONSTRUCTION - 0.35%
- -------------------------------------------------------------------------
5,700 Schlumberger Ltd. 339,863
- -------------------------------------------------------------------------
PAPER - 0.50%
- -------------------------------------------------------------------------
1,500 International Paper 112,687
- -------------------------------------------------------------------------
4,100 Scott Paper 366,438
- -------------------------------------------------------------------------
479,125
- -------------------------------------------------------------------------
PETROLEUM RELATED - 1.15%
- -------------------------------------------------------------------------
3,400 Amoco 216,325
- -------------------------------------------------------------------------
17,100 Ashland Oil 609,188
- -------------------------------------------------------------------------
2,500 Atlantic Richfield 287,500
- -------------------------------------------------------------------------
1,113,013
- -------------------------------------------------------------------------
PHARMACEUTICALS - 0.12%
- -------------------------------------------------------------------------
4,600 Marion Merrell Dow 113,850
- -------------------------------------------------------------------------
PHOTOGRAPHY & OPTICAL - 0.21%
- -------------------------------------------------------------------------
3,900 Eastman Kodak 207,188
- -------------------------------------------------------------------------
PRINTING & PUBLISHING - 0.47%
- -------------------------------------------------------------------------
2,300 Gannett 122,763
- -------------------------------------------------------------------------
8,700 Time Warner 328,425
- -------------------------------------------------------------------------
451,188
- -------------------------------------------------------------------------
REAL ESTATE - 0.22%
- -------------------------------------------------------------------------
9,200 Pulte 216,200
- -------------------------------------------------------------------------
RETAIL - 2.52%
- -------------------------------------------------------------------------
12,100 Dayton Hudson 865,150
- -------------------------------------------------------------------------
24,500 Fleming 554,313
- -------------------------------------------------------------------------
6,300 May Department Stores 233,100
- -------------------------------------------------------------------------
3,500 Pep Boys-Manny Moe & Jack 108,500
- -------------------------------------------------------------------------
26,200 Wal-Mart Stores 668,100
- -------------------------------------------------------------------------
2,429,163
- -------------------------------------------------------------------------
RETAIL - FOOD - 0.12%
- -------------------------------------------------------------------------
3,200 Safeway (a) 111,200
- -------------------------------------------------------------------------
SOAPS & TOILETRIES - 1.04%
- -------------------------------------------------------------------------
1,700 Colgate-Palmolive 112,200
- -------------------------------------------------------------------------
13,400 Procter & Gamble 887,750
- -------------------------------------------------------------------------
999,950
- -------------------------------------------------------------------------
TELECOMMUNICATIONS - 1.74%
- -------------------------------------------------------------------------
3,000 Andrew (a) 122,250
- -------------------------------------------------------------------------
17,600 AT&T 910,800
- -------------------------------------------------------------------------
3,300 Capital Cities/ABC 291,225
- -------------------------------------------------------------------------
7,300 Telecommunication Cl A (a) 153,300
- -------------------------------------------------------------------------
4,500 Viacom, Cl B (a) 201,375
- -------------------------------------------------------------------------
1,678,950
- -------------------------------------------------------------------------
TIRE & RUBBER - 0.55%
- -------------------------------------------------------------------------
14,500 Goodyear Tire & Rubber 532,875
- -------------------------------------------------------------------------
TOBACCO - 1.64%
- -------------------------------------------------------------------------
29,700 American Brands 1,165,725
- -------------------------------------------------------------------------
4,900 Phillip Morris 319,725
- -------------------------------------------------------------------------
3,100 UST 98,425
- -------------------------------------------------------------------------
1,583,875
- -------------------------------------------------------------------------
TRUCKING - SHIPPING - 0.81%
- -------------------------------------------------------------------------
8,800 Consolidated Freightways 234,300
- -------------------------------------------------------------------------
22,700 Ryder System 544,800
- -------------------------------------------------------------------------
779,100
- -------------------------------------------------------------------------
UTILITY - ELECTRIC - 4.79%
- -------------------------------------------------------------------------
26,700 Central & Southwest 647,475
- -------------------------------------------------------------------------
30,300 Detroit Edison 829,462
- -------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements on Pages 23 and 24
<PAGE> 18
ASSET MANAGEMENT PORTFOLIO 17
------------------------------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
- -------------------------------------------------------------------------
March 31, 1995
SHARES DESCRIPTION VALUE
- -------------------------------------------------------------------------
<S> <C>
27,800 Houston Industries $ 1,059,875
- -------------------------------------------------------------------------
26,400 Pacific Gas & Electric 656,700
- -------------------------------------------------------------------------
43,300 PECO Energy 1,087,913
- -------------------------------------------------------------------------
21,900 SCE 342,188
- -------------------------------------------------------------------------
4,623,613
- -------------------------------------------------------------------------
UTILITY - NATURAL GAS - 1.24%
- -------------------------------------------------------------------------
22,700 ONEOK 428,463
- -------------------------------------------------------------------------
16,100 Panhandle Eastern 370,300
- -------------------------------------------------------------------------
15,900 People's Energy 397,500
- -------------------------------------------------------------------------
1,196,263
- -------------------------------------------------------------------------
UTILITY - TELEPHONE - 1.38%
- -------------------------------------------------------------------------
23,400 Bell Atlantic 1,234,350
- -------------------------------------------------------------------------
2,500 Telephone & Data System 98,750
- -------------------------------------------------------------------------
1,333,100
- -------------------------------------------------------------------------
TOTAL COMMON STOCKS
(Cost $44,137,780) $46,150,838
- -------------------------------------------------------------------------
PREFERRED STOCK
NON-CONVERTIBLE - 0.00%
- -------------------------------------------------------------------------
DIVERSIFIED - 0.00%
- -------------------------------------------------------------------------
146 Teledyne (Cost $1,678) $ 2,172
- -------------------------------------------------------------------------
<CAPTION>
PRINCIPAL
AMOUNT DESCRIPTION VALUE
- -------------------------------------------------------------------------
<S> <C> <C>
CORPORATE DEBENTURES - 2.67%
- -------------------------------------------------------------------------
BANKS - 0.67%
- -------------------------------------------------------------------------
Citicorp:
- -------------------------------------------------------------------------
$110,000 9.50%, 2/1/02 $ 119,539
- -------------------------------------------------------------------------
35,000 8.625%, 12/1/02 36,156
- -------------------------------------------------------------------------
100,000 Fleet/Norstar Group, 7.65%, 3/1/97 100,321
- -------------------------------------------------------------------------
160,000 International Bank Reconstruction
& Development, 9.75%, 1/23/16 187,600
- -------------------------------------------------------------------------
220,000 Westdeutsche LB - NY, 6.75%, 6/15/05 205,541
- -------------------------------------------------------------------------
649,157
- -------------------------------------------------------------------------
BEVERAGES - 0.10%
- -------------------------------------------------------------------------
100,000 Anheuser Busch, 7.375%, 7/1/23 92,546
- -------------------------------------------------------------------------
FINANCIAL SERVICES - 0.79%
- -------------------------------------------------------------------------
150,000 Dean Witter Discover, 6.875%, 3/1/03 140,896
- -------------------------------------------------------------------------
105,000 Goldman Sachs, 6.625%, 2/23/98 (b)(f) 104,932
- -------------------------------------------------------------------------
195,000 KFW International Finance,
8.20%, 6/1/06 202,486
- -------------------------------------------------------------------------
200,000 Pacific Mutual Life, 7.90%, 12/30/23 (f) 178,834
- -------------------------------------------------------------------------
120,000 Swedish Export Credit,
9.875%, 3/15/38 130,540
- -------------------------------------------------------------------------
757,688
- -------------------------------------------------------------------------
INSURANCE - 0.19%
- -------------------------------------------------------------------------
215,000 New York Life, 7.50%, 12/15/23 (f) 186,330
- -------------------------------------------------------------------------
OIL INTERNATIONAL - 0.09%
- -------------------------------------------------------------------------
85,000 BHP Finance USA, 7.875%, 12/1/02 84,914
- -------------------------------------------------------------------------
PAPER - 0.04%
- -------------------------------------------------------------------------
40,000 Westvaco, 8.30%, 8/1/22 39,435
- -------------------------------------------------------------------------
PHARMACEUTICALS - 0.06%
- -------------------------------------------------------------------------
70,000 Schering-Plough, 0.00% 12/2/96 (c) 62,346
- -------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements on Pages 23 and 24
<PAGE> 19
ASSET MANAGEMENT PORTFOLIO 18
------------------------------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
- -------------------------------------------------------------------------
March 31, 1995
PRINCIPAL
AMOUNT DESCRIPTION VALUE
- -------------------------------------------------------------------------
<S> <C>
RETAIL - 0.15%
- -------------------------------------------------------------------------
$ 150,000 May Department Stores,
8.375%, 8/1/24 $ 148,687
- -------------------------------------------------------------------------
UTILITY - ELECTRIC - 0.39%
- -------------------------------------------------------------------------
35,000 Idaho Power, 8.00%, 3/15/04 35,265
- -------------------------------------------------------------------------
140,000 Potomac Edison, 8.00%, 6/1/24 135,072
- -------------------------------------------------------------------------
195,000 Virginia Electric & Power,
8.625%, 10/1/24 201,033
- -------------------------------------------------------------------------
371,370
- -------------------------------------------------------------------------
UTILITY - NATURAL GAS - 0.19%
- -------------------------------------------------------------------------
175,000 KN Energy, 9.625%, 8/1/21 187,233
- -------------------------------------------------------------------------
TOTAL CORPORATE DEBENTURES
(Cost $2,590,437) $ 2,579,706
- -------------------------------------------------------------------------
ASSET-BACKED SECURITIES - 9.56%
- -------------------------------------------------------------------------
CORPORATE - 0.22%
- -------------------------------------------------------------------------
Standard Credit Card Master Trust:
- -------------------------------------------------------------------------
$ 140,000 8.25%, 11/7/03 $ 144,599
- -------------------------------------------------------------------------
75,000 7.25%, 4/7/06 72,079
- -------------------------------------------------------------------------
216,678
- -------------------------------------------------------------------------
U.S. GOVERNMENT & AGENCIES - 9.34%
- -------------------------------------------------------------------------
FGHLMC: (e)
- -------------------------------------------------------------------------
242,855 8.50%, 3/1/23 248,633
- -------------------------------------------------------------------------
700,000 8.50%, 3/1/25 707,879
- -------------------------------------------------------------------------
211,220 FHLMC 9.50%, 2/1/25 (e) 220,461
- -------------------------------------------------------------------------
FNMA: (e)
- -------------------------------------------------------------------------
299,286 6.00%, 1/1/01 288,392
- -------------------------------------------------------------------------
325,000 8.625%, 11/10/04 336,324
- -------------------------------------------------------------------------
676,354 7.00%, 9/1/07 657,332
- -------------------------------------------------------------------------
430,354 6.50%, 9/1/08 408,836
- -------------------------------------------------------------------------
669,001 6.00%, 1/1/09 623,055
- -------------------------------------------------------------------------
176,773 7.00%, 5/1/09 171,801
- -------------------------------------------------------------------------
452,405 7.00%, 6/1/09 439,681
- -------------------------------------------------------------------------
428,696 8.00%, 4/1/10 431,504
- -------------------------------------------------------------------------
1,175,000 8.00%, 9/1/21 1,163,624
- -------------------------------------------------------------------------
185,272 7.50%, 8/1/23 179,251
- -------------------------------------------------------------------------
443,312 6.50%, 10/1/23 404,802
- -------------------------------------------------------------------------
180,903 8.00%, 5/1/24 179,151
- -------------------------------------------------------------------------
1,196,186 8.00%, 6/1/24 1,184,604
- -------------------------------------------------------------------------
GNMA: (e)
- -------------------------------------------------------------------------
369,036 7.00%, 9/15/23 345,396
- -------------------------------------------------------------------------
1,015,883 8.50%, 10/20/24 1,023,825
- -------------------------------------------------------------------------
9,014,551
- -------------------------------------------------------------------------
TOTAL ASSET-BACKED SECURITIES
(Cost $9,416,472) $ 9,231,229
- -------------------------------------------------------------------------
GOVERNMENTS FOREIGN - 0.37%
- -------------------------------------------------------------------------
CANADA - 0.21%
- -------------------------------------------------------------------------
$ 125,000 Manitoba 6.125%, 1/19/04 $ 112,202
- -------------------------------------------------------------------------
105,000 Quebec Province 7.125%, 2/9/24 88,655
- -------------------------------------------------------------------------
200,857
- -------------------------------------------------------------------------
NEW ZEALAND - 0.16%
- -------------------------------------------------------------------------
145,000 New Zealand Government
8.75%, 12/15/06 155,411
- -------------------------------------------------------------------------
TOTAL GOVERNMENTS FOREIGN
(Cost $360,871) $ 356,268
- -------------------------------------------------------------------------
LONG-TERM TREASURY
SECURITIES - 14.20%
- -------------------------------------------------------------------------
UNITED STATES TREASURY BONDS - 2.03%
- -------------------------------------------------------------------------
$ 1,717,000 8.125%, 8/15/19 $ 1,820,556
- -------------------------------------------------------------------------
140,000 7.25%, 8/15/22 135,843
- -------------------------------------------------------------------------
1,956,399
- -------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements on Pages 23 and 24
<PAGE> 20
ASSET MANAGEMENT PORTFOLIO 19
------------------------------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
- -------------------------------------------------------------------------
March 31, 1995
PRINCIPAL
AMOUNT DESCRIPTION VALUE
- -------------------------------------------------------------------------
<S> <C>
UNITED STATES TREASURY NOTES - 12.17%
- -------------------------------------------------------------------------
$ 2,000,000 7.50%, 12/31/96 $ 2,024,680
- -------------------------------------------------------------------------
5,515,000 5.125%, 11/30/98 5,184,983
- -------------------------------------------------------------------------
4,534,000 7.25%, 8/15/04 4,538,248
- -------------------------------------------------------------------------
11,747,911
- -------------------------------------------------------------------------
TOTAL LONG-TERM TREASURY SECURITIES
(Cost $13,815,380) $ 13,704,310
- -------------------------------------------------------------------------
SHORT-TERM INVESTMENTS - 30.74%
- -------------------------------------------------------------------------
UNITED STATES TREASURY BILLS - 17.89%
- -------------------------------------------------------------------------
$11,000,000 5.62%, 4/13/95 $ 10,979,283
- -------------------------------------------------------------------------
160,000 5.75%, 6/1/95 (d) 158,513
- -------------------------------------------------------------------------
6,300,000 5.83%, 9/21/95 6,124,640
- -------------------------------------------------------------------------
17,262,436
- -------------------------------------------------------------------------
REPURCHASE AGREEMENT - 12.85%
- -------------------------------------------------------------------------
12,405,686 Repurchase agreement with
Sanwa Bank, Dated 3/31/95, 5.90%,
Principal and Interest in the Amount
of $12,411,785 Due 4/3/95,
(Collateralized by U.S. Treasury
Bonds, Par Value of $12,276,000,
6.875%, Due 10/31/96, Value of
$12,658,735) 12,405,686
- -------------------------------------------------------------------------
TOTAL SHORT-TERM INVESTMENTS
(Cost $29,666,907) $ 29,668,122
- -------------------------------------------------------------------------
TOTAL INVESTMENTS
(Cost $99,989,525) 105.35% $101,692,645
- -------------------------------------------------------------------------
Liabilities in Excess of Other (5.35%) (5,163,881)
- -------------------------------------------------------------------------
NET ASSETS 100.00% $ 96,528,764
- -------------------------------------------------------------------------
<CAPTION>
NUMBER OF NET UNREALIZED
FUTURES APPRECIATION/
CONTRACTS DESCRIPTION (DEPRECIATION)
- -------------------------------------------------------------------------
<C> <S> <C>
FUTURES CONTRACTS
- -------------------------------------------------------------------------
8 S&P 500 June 1995 Long Futures
(Market Value $2,017,600) $ 155,400
- -------------------------------------------------------------------------
45 U.S. Treasury June 1995 Long Futures
(Market Value $4,675,781) 50,625
- -------------------------------------------------------------------------
40 U.S. Treasury September 1995
Short Futures
(Market Value $4,137,500) 2,500
- -------------------------------------------------------------------------
$ 208,525
- -------------------------------------------------------------------------
</TABLE>
(a) Non-Income Producing Securities
(b) Quarterly Floating Rate Note
(c) Purchased at Deep Discount
(d) Held as Collateral for Futures Contracts
(e) 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
(f) Securities exempt from registration under Rule 144A of the
Securities Act of 1933. These securities may be resold in
transactions exempt from registration, normally to qualified
institutional buyers. At the period end, the value of these
securities amounted to $470,096 or 0.49% of net assets.
See Notes to Financial Statements on Pages 23 and 24
<PAGE> 21
BT INSTITUTIONAL ASSET MANAGEMENT FUND 20
------------------------------------------------------------------
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 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 March 31, 1995, the Fund's investment was approximately 86% 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. Organizational Expenses
Costs incurred by the Fund in connection with its organization and initial
registration are being amortized over a five year period on a straight-line
basis.
D. 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, which is the same as the
declaration 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.
E. Federal Income Taxes
It is the Fund's policy to comply with the requirements of the Internal Revenue
Code applicable to regulated investment companies and to distribute all of its
taxable income to shareholders. Therefore, no federal income tax provision is
required.
F. 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
- --------------------------------------------------------------------------------
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 year ended March 31, 1995, this fee aggregated $116,829.
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 year
ended March 31, 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 year ended March 31, 1995, expenses of the Fund have
been reduced $189,016.
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 March 31, 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
September 16, 1993
For the (Commencement of
year ended Operations) to
March 31, 1995 March 31, 1994
--------------- --------------
Shares Amount Shares Amount
---------- ----------- --------- -----------
<S> <C> <C> <C> <C>
Sold 2,584,771 $24,794,119 8,177,032 $80,041,875
Reinvested 247,419 2,327,674 17,319 174,220
Redeemed (2,310,008) (22,046,364) (388,291) (3,884,036)
---------- ----------- --------- -----------
Net Increase 522,182 $ 5,075,429 7,806,060 $76,332,059
---------- ----------- --------- -----------
</TABLE>
NOTE 4 - CAPITAL LOSS CARRYFORWARD
At March 31, 1995, accumulated net realized capital loss carryforwards
available as a reduction against future net realized capital gains aggregated
$341,168 which expire in 2002.
<PAGE> 23
BT INSTITUTIONAL ASSET MANAGEMENT FUND 22
------------------------------------------------------------------
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
Institutional Asset Management Fund (one of the funds comprising the BT Pyramid
Mutual Funds) as of March 31, 1995, and the related statement of operations for
the year then ended, the statement of changes in net assets, and the financial
highlights for the year then ended and for the period September 16, 1993
(commencement of operations) to March 31, 1994. 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
March 31, 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 Institutional Asset Management Fund of BT Pyramid Mutual Funds as of March
31, 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
April 27, 1995
<PAGE> 24
ASSET MANAGEMENT PORTFOLIO 23
------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
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 un-realized 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. Organizational Expenses
Costs incurred by the Portfolio in connection with its organization and initial
registration are being amortized over a five year period on a straight-line
basis.
E. 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> 25
ASSET MANAGEMENT PORTFOLIO 24
------------------------------------------------------------------
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 year ended March 31, 1995, this fee aggregated $88,638.
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 year ended March 31, 1995,
this fee aggregated $576,146.
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 year ended March 31, 1995,
expenses of the Portfolio have been reduced $169,159.
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 year ended March 31, 1995, were
$71,305,141 and $56,522,481, respectively. For federal income tax purposes, the
tax basis of investments held at March 31, 1995 was $100,120,467. The aggregate
gross unrealized appreciation for all investments was $2,701,835 and the
aggregate gross unrealized depreciation for all investments was $1,129,657.
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.
<PAGE> 26
ASSET MANAGEMENT PORTFOLIO 25
------------------------------------------------------------------
REPORT OF INDEPENDENT ACCOUNTANTS
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To the Trustees and Holders of Beneficial Interest of the Asset Management
Portfolio:
We have audited the accompanying statement of assets and liabilities of the
Asset Management Portfolio, including the schedule of portfolio investments, as
of March 31, 1995, and the related statement of operations for the year then
ended, the statement of changes in net assets, and the financial highlights for
the year then ended and for the period September 16, 1993 (commencement of
operations) to March 31, 1994. 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
March 31, 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
Asset Management Portfolio as of March 31, 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
April 27, 1995
