<PAGE>
- BT PYRAMID MUTUAL FUNDS -
BT INSTITUTIONAL ASSET
MANAGEMENT FUND
SEMI-ANNUAL REPORT
-------------------------------------------------------------
S E P T E M B E R - 1 9 9 6
<PAGE>
- --------------------------------------------------------------------------------
BT INSTITUTIONAL ASSET MANAGEMENT FUND
TABLE OF CONTENTS
- ----------------------------------------------------------------------
<TABLE>
<S> <C>
LETTER TO SHAREHOLDERS.................................................... 3
BT INSTITUTIONAL ASSET MANAGEMENT FUND
Statement of Assets and Liabilities................................... 6
Statement of Operations............................................... 6
Statement of Changes in Net Assets.................................... 7
Financial Highlights.................................................. 8
Notes to Financial Statements......................................... 9
ASSET MANAGEMENT PORTFOLIO
Schedule of Portfolio Investments..................................... 10
Statement of Assets and Liabilities................................... 14
Statement of Operations............................................... 14
Statement of Changes in Net Assets.................................... 15
Financial Highlights.................................................. 15
Notes to Financial Statements......................................... 16
</TABLE>
2
<PAGE>
- --------------------------------------------------------------------------------
BT INSTITUTIONAL ASSET MANAGEMENT FUND SEMI-ANNUAL REPORT
LETTER TO SHAREHOLDERS
- --------------------------------------------------------------------------------
We are pleased to present you with this semi-annual report for the BT
Institutional Asset Management Fund, providing a review of the markets, the
portfolio, and our outlook as well as a complete financial summary of the Fund's
operations and a listing of the Portfolio's holdings.
The Fund returned 6.39% for the semi-annual period ended September 30, 1996, as
compared to 5.33% for the Asset Allocation Index-Long Range, 7.72% for the S&P
500 Index, and 2.36% for the Salomon Broad Investment Grade (BIG) Bond Index.
The Lipper Flexible Portfolio Average had a return of 4.80% for the same period.
Since its inception on September 16, 1993, the Fund is up 32.00% cumulatively.
MARKET ACTIVITY
U.S. EQUITIES The Fund's fiscal year began with real GDP accelerating to a
4.20% pace, as compared to a 2.00% growth rate in the first calendar quarter. As
the economy continued its above growth trend, and wage increases showed signs of
strengthening, fears of inflation began to heat up. However, little evidence of
pricing pressures actually materialized. Corporate profits continued to be
healthy, though growing at a slower rate. This realization contributed in large
part to the June-July correction in equity prices. As the next quarter began,
economic growth clearly slowed, inflation remained low, and corporate earnings
stayed on their rising trend. The resulting strong September market more than
offset the summer correction.
U.S. BONDS The Federal Reserve Board left the Fed Funds rate untouched at 5.25%
since January 1996. Still, the focus in the U.S. bond market was on the threat
of inflation, as the economy continued to expand over the last six months.
During the second calendar quarter, the bond market suffered from increased
concerns over inflation, prospects of the Federal Reserve tightening monetary
policy, and a recognition of the fiscal authorities' inability to produce a
credible long-term budget plan to contain government spending. The bond market
continued to be volatile in the next quarter, although September was an
especially strong month, as inflation news remained quite positive.
INTERNATIONAL MARKETS In response to continuing below-target economic growth,
most foreign central banks
continued to lower their short-term interest rates over the last six months.
Major rate cuts took place in Canada, France, Germany, and Australia. These
moves by central bank policy makers spurred impressive rallies in all major
non-U.S. bond markets, with each substantially outperforming the U.S. bond
market. Foreign equity markets also performed well during the past six months,
though they still have some ground to make up versus the U.S. equity market.
INVESTMENT REVIEW
The Fund's strong relative performance was due primarily to superior asset
allocation and specific stock selection. More specifically, the Fund remained
overweighted in U.S. stocks during the semi-annual period, supported by low
interest rates, low inflation, and strong corporate earnings. Except during the
June-July equity correction, this position contributed most significantly to the
Fund's outperformance. Also a positive contributor was the equity portfolio's
growth tilt, as growth stocks outperformed value stocks during this period.
Individual stock selection was particularly strong here as well.
Based on the risk we perceived in the U.S. bond market's volatility, we
underweighted U.S. bonds for the six month period and favored international
bonds instead. Still, the Fund's U.S. bond performance was slightly ahead of the
Salomon Broad Investment Grade (BIG) Index for the first half of the fiscal
year. Incremental return was generated by corporate issue selection and an
overweight position in the mortgage sector.
The overweighting of foreign bonds proved to be a beneficial strategy, as most
foreign economies were still below desired growth targets, thus forcing central
banks to maintain their accommodating monetary policy positions. The Fund's main
focus was in the Canadian, French, and Japanese bond markets; each one
outperformed U.S. bonds. The Fund's foreign equity position for the past six
months ranged from mostly flat to slightly overweight.
As of September 30, 1996, the Fund's asset weightings were 62% in U.S. equities,
23% in U.S. bonds, 15% in international bonds, and 0% in cash.
3
<PAGE>
- --------------------------------------------------------------------------------
BT INSTITUTIONAL ASSET MANAGEMENT FUND SEMI-ANNUAL REPORT
LETTER TO SHAREHOLDERS
- --------------------------------------------------------------------------------
MANAGER OUTLOOK
In the U.S., economic signals remain ambiguous. While consumption seems to be
waning, the housing sector continues to exhibit resilience in the face of higher
interest rates. Inflation remains subdued, but with the unemployment rate very
low, wage pressures may be imminent. The Federal Reserve Board appears to be on
hold until inflation manifests itself more clearly. We do believe that an
eventual Fed tightening of short-term interest rates is likely after the
elections in November, when consumer price pressures may emerge. Given the
potential upward pressure on interest rates, then, we continue to underweight
U.S. bonds in favor of the U.S. stock market.
The equity market could also come under the pressure of rising interest rates,
but we see the continued increase in corporate earnings, still-reasonable
valuations, and ongoing flows of retirement money into equity mutual funds as
likely to help push the stock market higher. We believe this growth will
probably be at a slower pace than seen in the last six months.
The international markets may be reaching a crest in terms of economic weakness,
thus bringing to an end the cycle of interest rate reductions. As some of the
previous rate reductions take effect, however, we may see an improvement in the
international economies overall and in particular, in Germany, France, and
Japan. These economies' pickup should have a positive effect on corporate
activity, and thus an improved earnings theme may emerge. In this scenario, we
see foreign equity markets continuing to perform well for the next six months
and even becoming more attractive than international bonds. Additionally, as
corporate earnings growth may have reached its peak in the U.S., international
equity markets will again appear to present an attractive opportunity.
We will, of course, continue to closely observe economic conditions and how they
affect the financial markets, as we seek to provide high total return with
reduced risk over the long term.
* * *
We value your ongoing support of the BT Institutional Asset Management Fund and
look forward to continuing to serve your investment needs in the years ahead.
Howard Mason
Scott A. Stickler
Jason L. Wolin
Jose M. Quintana, Ph.D.
Karen Keller
PORTFOLIO MANAGERS OF THE BT INSTITUTIONAL
ASSET MANAGEMENT FUND
September 30, 1996
4
<PAGE>
- --------------------------------------------------------------------------------
BT INSTITUTIONAL ASSET MANAGEMENT FUND
LETTER TO SHAREHOLDERS
- --------------------------------------------------------------------------------
The following graph illustrates the Fund's return versus the Asset Allocation
Index-Long Range Index and the S&P 500 since September 30, 1993, assuming a
$10,000 initial investment.
- --------------------------------------------------------------------------------
COMPARISON OF CHANGE IN
VALUE OF A $10,000
INVESTMENT IN THE BT
INSTITUTIONAL ASSET
MANAGEMENT FUND, THE ASSET
ALLOCATION INDEX-LONG RANGE
AND THE S&P 500 INDEX
TOTAL RETURN ENDED
SEPTEMBER 30, 1996
Six Months Since 9/16/93*
6.39 % 32.00%
* 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.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
BT INSTITUTIONAL ASSET MANAGEMENT ASSET ALLOCATION INDEX - LONG
FUND RANGE**
<S> <C> <C>
09/30/93 $ 10,000 $ 10,000
12/31/93 $ 10,084 $ 10,136
3/31/94 $ 9,671 $ 9,833
6/30/94 $ 9,535 $ 9,632
09/30/94 $ 9,717 $ 10,128
12/31/94 $ 9,759 $ 10,174
03/31/95 $ 10,361 $ 10,872
06/30/95 $ 11,047 $ 11,599
09/30/95 $ 11,539 $ 12,173
12/31/95 $ 12,056 $ 12,682
03/31/96 $ 12,409 $ 13,067
06/30/96 $ 12,793 $ 13,756
09/30/96 $ 13,201 $ 14,111
Past performance is not indicative of future
performance
<CAPTION>
S&P 500 INDEX
<S> <C>
09/30/93 $ 10,000
12/31/93 $ 10,232
3/31/94 $ 9,644
6/30/94 $ 9,685
09/30/94 $ 10,369
12/31/94 $ 10,367
03/31/95 $ 11,376
06/30/95 $ 12,462
09/30/95 $ 13,453
12/31/95 $ 14,263
03/31/96 $ 15,028
06/30/96 $ 15,703
09/30/96 $ 16,188
Past performance is not indicative of future
performance
</TABLE>
**Asset Allocation Index-Long Range is comprised of the following:
55% S&P 500 Index
35% Salomon Broad Investment Grade Bond Index
10% T-Bill 3-Month Index
<TABLE>
<S> <C> <C>
- ------------------------------------------------------------------------------------------------------
OBJECTIVE Seeks to provide a high total return with reduced long-term risk by
investing primarily in a diversified portfolio of stocks of U.S. and foreign
companies, high-quality bonds and cash.
- ------------------------------------------------------------------------------------------------------
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 Johnson & Johnson Bank America Corp.
STOCK HOLDINGS Monsanto Co. General Electric
Pfizer Inc.
- ------------------------------------------------------------------------------------------------------
FIVE LARGEST FIXED US T-Notes (5/99 @ 6.375%) US T-Bond (5/06 @ 6.875%)
INCOME SECURITIES US T-Notes (6/98 @ 6.250%) US T-Notes (6/01 @ 6.625%)
US T-Bond (8/22 @ 7.25%)
- ------------------------------------------------------------------------------------------------------
DIVERSIFICATION AS OF This diversification pie chart shows the Fund's investment exposure to the
SEPTEMBER 30, 1996 different asset classes (i.e. stocks, bonds and cash) based on the risk
(UNAUDITED) characteristics of the asset class, rather than the actual instrument. For
example, the Fund may buy or sell a futures contract to increase or decrease
the Fund's exposure to the stock market.
</TABLE>
5
<PAGE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
Bonds 38%
Stocks 62%
</TABLE>
6
<PAGE>
- --------------------------------------------------------------------------------
BT INSTITUTIONAL ASSET MANAGEMENT FUND
STATEMENT OF ASSETS AND LIABILITIES SEPTEMBER 30, 1996 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investment in Asset Management Portfolio, at Value........... $205,325,923
Receivable for Shares of Beneficial Interest Subscribed...... 175,625
Prepaid Expenses and Other................................... 8,166
------------
Total Assets..................................................... 205,509,714
------------
LIABILITIES
Due to Bankers Trust......................................... 19,511
Payable for Shares of Beneficial Interest Redeemed........... 105,849
Accrued Expenses and Other................................... 30,482
------------
Total Liabilities................................................ 155,842
------------
NET ASSETS ($0.001 par value per share, unlimited number of
shares of beneficial interest authorized)...................... $205,353,872
------------
------------
COMPOSITION OF NET ASSETS
Paid-in-Capital.............................................. $180,722,687
Accumulated Net Investment Income............................ 1,626,069
Accumulated Net Realized Gain from Investments, Foreign
Currencies and Futures Contracts............................ 9,620,829
Net Unrealized Appreciation on:
Investment and Foreign Currency Transactions............... 12,629,869
Futures Contracts.......................................... 754,418
------------
NET ASSETS, SEPTEMBER 30, 1996................................... $205,353,872
------------
------------
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE (net
assets divided by shares outstanding).......................... $ 11.78
------------
------------
SHARES OUTSTANDING............................................... 17,436,461
------------
------------
</TABLE>
STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED SEPTEMBER 30, 1996 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
INVESTMENT INCOME
Income Allocated from Asset Management Portfolio, net........ $ 3,117,746
-----------
EXPENSES
Administration and Services.................................. 144,302
Shareholder Reports.......................................... 11,239
Registration................................................. 18,890
Professional................................................. 6,222
Trustees..................................................... 3,394
Miscellaneous................................................ 1,149
-----------
Total Expenses............................................... 185,196
Less: Expenses Absorbed by Bankers Trust..................... (185,196)
-----------
Net Expenses..................................................... --
-----------
NET INVESTMENT INCOME............................................ 3,117,746
-----------
REALIZED AND UNREALIZED GAIN FROM INVESTMENTS, FOREIGN
CURRENCIES, AND FUTURES CONTRACTS
Net Realized Gain from:
Investment and Foreign Currency Transactions................. 1,807,745
Futures Contracts............................................ 886,600
Net Change in Unrealized Appreciation on:
Investment and Foreign Currency Transactions................. 5,265,373
Futures Contracts............................................ 760,175
-----------
NET REALIZED AND UNREALIZED GAIN FROM INVESTMENTS, FOREIGN
CURRENCIES AND FUTURES CONTRACTS............................... 8,719,893
-----------
NET INCREASE IN NET ASSETS FROM OPERATIONS....................... $11,837,639
-----------
-----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS ON PAGE 9
6
<PAGE>
- --------------------------------------------------------------------------------
BT INSTITUTIONAL ASSET MANAGEMENT FUND
STATEMENT OF CHANGES IN NET ASSETS
- ----------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE SIX
MONTHS ENDED FOR THE
SEPTEMBER 30, 1996 YEAR ENDED
(UNAUDITED) MARCH 31, 1996
------------------ --------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS
Net Investment Income.................... $ 3,117,746 $ 5,268,703
Net Realized Gain from Investments,
Foreign Currencies and Futures
Contracts.............................. 2,694,345 11,009,413
Net Change in Unrealized Appreciation on
Investments, Foreign Currencies and
Futures Contracts...................... 6,025,548 5,752,518
------------------ --------------
Net Increase in Net Assets from Operations... 11,837,639 22,030,634
------------------ --------------
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income.................... (3,009,491) (4,651,019)
Net Realized Gain from Investment
Transactions........................... -- (3,369,846)
------------------ --------------
Total Distributions.......................... (3,009,491) (8,020,865)
------------------ --------------
CAPITAL TRANSACTIONS IN SHARES OF BENEFICIAL
INTEREST
Proceeds from Sales of Shares............ 39,672,508 123,325,563
Dividend Reinvestments................... 3,006,926 8,013,895
Cost of Shares Redeemed.................. (29,920,351) (44,783,342)
------------------ --------------
Net Increase from Capital Transactions in
Shares of Beneficial Interest............... 12,759,083 86,556,116
------------------ --------------
TOTAL INCREASE IN NET ASSETS................. 21,587,231 100,565,885
NET ASSETS
Beginning of Period.......................... 183,766,641 83,200,756
------------------ --------------
End of Period (including undistributed net
investment income of $1,626,069 and
$1,517,814, respectively)................... $205,353,872 $183,766,641
------------------ --------------
------------------ --------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS ON PAGE 9
7
<PAGE>
- --------------------------------------------------------------------------------
BT INSTITUTIONAL ASSET MANAGEMENT FUND
FINANCIAL HIGHLIGHTS
- ----------------------------------------------------------------------
Contained below are selected data for a share outstanding, total investment
return, ratios to average net assets and other supplemental data for each of the
periods indicated for the BT Institutional Asset Management Fund.
<TABLE>
<CAPTION>
FOR THE PERIOD
FOR THE SIX SEPTEMBER 16,
MONTHS ENDED FOR THE YEAR ENDED 1993
SEPTEMBER 30, MARCH 31, (COMMENCEMENT OF
1996 -------------------- OPERATIONS) TO
(UNAUDITED) 1996 1995 MARCH 31, 1994
----------------- --------- --------- -----------------
<S> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE, BEGINNING OF PERIOD.................. $ 11.25 $ 9.99 $ 9.61 $ 10.00
-------- --------- --------- -------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income............................. 0.18 0.41 0.36 0.11
Net Realized and Unrealized Gain (Loss) on
Investments, Foreign Currencies and Futures
Contracts....................................... 0.53 1.52 0.30 (0.44)
-------- --------- --------- -------
Total from Investment Operations...................... 0.71 1.93 0.66 (0.33)
-------- --------- --------- -------
DISTRIBUTIONS TO SHAREHOLDERS FROM
Net Investment Income............................. (0.18) (0.42) (0.28) (0.06)
Net Realized Gain from Investment Transactions.... -- (0.25) -- (0.00)
-------- --------- --------- -------
Total Distributions................................... (0.18) (0.67) (0.28) (0.06)
-------- --------- --------- -------
NET ASSET VALUE, END OF PERIOD........................ $ 11.78 $ 11.25 $ 9.99 $ 9.61
-------- --------- --------- -------
-------- --------- --------- -------
Total Investment Return............................... 6.39% 19.77% 7.13% (6.06%)*
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period (000's omitted)......... $ 205,354 $ 183,767 $ 83,201 $ 75,021
Ratios to Average Net Assets:
Net Investment Income........................... 3.25%* 3.99% 3.78% 2.83%*
Expenses, including Expenses of the Asset
Management Portfolio.......................... 0.60%* 0.60% 0.60% 0.60%*
Decrease Reflected in Above Expense Ratio Due to
Absorption of Expenses by Bankers Trust....... 0.35%* 0.39% 0.43% 0.73%*
</TABLE>
- ------------------
* Annualized
SEE NOTES TO FINANCIAL STATEMENTS ON PAGE 9
8
<PAGE>
- --------------------------------------------------------------------------------
BT INSTITUTIONAL ASSET MANAGEMENT FUND
NOTES TO FINANCIAL STATEMENTS (unaudited)
- ----------------------------------------------------------------------
NOTE 1 -- ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
A. ORGANIZATION
BT Pyramid Mutual Funds ("the Trust") is registered under the Investment Company
Act of 1940 ("the Act"), as amended, as an open-end management investment
company. The Trust was organized on February 28, 1992, as a business trust under
the laws of the Commonwealth of Massachusetts. The BT Institutional Asset
Management Fund (the "Fund") is one of the funds offered to investors by the
Trust. The Fund commenced operations and began offering shares of beneficial
interest on September 16, 1993. The Fund invests substantially all of its assets
in the Asset Management Portfolio (the "Portfolio"). The Portfolio is an open-
end management investment company registered under the Act. The Fund seeks to
achieve its investment objective by investing all of its investable assets in
the Portfolio. The value of such investment in the Portfolio reflects the Fund's
proportionate interest in the net assets of the Portfolio. At September 30,
1996, the Fund's investment was approximately 76% of the Portfolio.
The financial statements of the Portfolio, including the Schedule of Portfolio
Investments, are contained elsewhere in this report.
B. INVESTMENT INCOME
The Fund earns income, net of expenses, daily on its investment in the
Portfolio. All of the net investment income and realized and unrealized gains
and losses from the security transactions of the Portfolio are allocated pro
rata among the investors in the Portfolio at the time of such determination.
C. DIVIDENDS
It is the Fund's policy to declare and distribute dividends quarterly to
shareholders from net investment income. Dividends payable to shareholders are
recorded by the Fund on the ex-dividend date. Distributions of net realized
short-term and long-term capital gains, if any, earned by the Fund will be made
annually to the extent they are not offset by any capital loss carryforwards.
D. FEDERAL INCOME TAXES
It is the Fund's policy to comply with the requirements of the Internal Revenue
Code. 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.
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions that
affect the reported amounts in the 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 six months ended September 30, 1996, this fee aggregated $144,302.
On September 30, 1996, the Trust entered into a Distribution Agreement with
Edgewood Services, Inc. ("Edgewood"). Prior to September 30, Signature
Broker-Dealer Services, Inc. ("Signature") was the Trust's distributor. Under
the Distribution Agreement with the Trust, pursuant to Rule 12b-1 of the 1940
Act, Edgewood, and previously Signature may seek reimbursement, at an annual
rate not exceeding 0.20 of 1% of the Fund's average daily net assets, for
expenses incurred in connection with any activities primarily intended to result
in the sale of the Fund's shares. For the six months ended September 30, 1996,
there were no reimbursable expenses incurred under this agreement.
Bankers Trust has voluntarily undertaken to waive and reimburse expenses of the
Fund, to the extent necessary, to limit all expenses to 0.00 of 1% of the
average daily net assets of the Fund, excluding expenses of the Portfolio and
0.60 of 1% of the average daily net assets of the Fund, including expenses of
the Portfolio. For the six months ended September 30, 1996, expenses of the Fund
have been reduced by $185,196.
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 imposed expense limitations of 2.50% of the first
$30,000,000 of the average daily net assets, 2.00% of the next $70,000,000, and
1.50% of any excess over $100,000,000.
Certain trustees and officers of the Fund are also directors, officers and/or
employees of Edgewood and/or Signature. None of the trustees so affiliated
received compensation for services as trustees of the Fund. Similarly, none of
the Fund's officers received compensation from the Fund.
NOTE 3 -- SHARES OF BENEFICIAL INTEREST
At September 30, 1996, there were an unlimited number of shares of beneficial
interest authorized. Transactions in shares of beneficial interest were as
follows:
<TABLE>
<CAPTION>
FOR THE SIX MONTHS ENDED FOR THE YEAR ENDED MARCH
SEPTEMBER 30, 1996 31, 1996
------------------------ ------------------------
SHARES AMOUNT SHARES AMOUNT
---------- ------------ ---------- ------------
<S> <C> <C> <C> <C>
Sold..................... 3,490,402 $ 39,672,508 11,405,629 $123,325,563
Reinvested............... 264,217 3,006,926 745,268 8,013,895
Redeemed................. (2,646,089) (29,920,351) (4,151,208) (44,783,342)
---------- ------------ ---------- ------------
Net Increase............. 1,108,530 $ 12,759,083 7,999,689 $ 86,556,116
---------- ------------ ---------- ------------
---------- ------------ ---------- ------------
</TABLE>
9
<PAGE>
- --------------------------------------------------------------------------------
ASSET MANAGEMENT PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS SEPTEMBER 30, 1996 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- ----------- ---------------------------------------- -------------
<C> <S> <C>
COMMON STOCKS - 50.78%
AEROSPACE - 0.67%
10,200 Boeing Co............................... $ 963,900
7,000 United Technologies Corp................ 840,875
-------------
1,804,775
-------------
AIRLINES - 0.48%
11,300 AMR Corp. (a)........................... 899,763
5,400 Delta Air Lines Inc..................... 388,800
-------------
1,288,563
-------------
AUTO RELATED - 1.23%
22,600 Chrysler Corp........................... 646,925
41,900 Dana Corp............................... 1,267,475
29,300 General Motors Corp..................... 1,406,400
-------------
3,320,800
-------------
BANKS - 3.75%
42,900 BankAmerica Corp........................ 3,523,163
53,900 Bank of Boston Corp..................... 3,119,463
36,800 Chase Manhattan Corporation............. 2,948,600
6,100 Citicorp................................ 552,812
-------------
10,144,038
-------------
BEVERAGES - 1.88%
29,500 Coca-Cola Co............................ 1,500,813
7,200 Coca-Cola Enterprise, Inc............... 325,800
100,800 PepsiCo, Inc............................ 2,847,600
10,900 Seagram, Co. Ltd........................ 407,387
-------------
5,081,600
-------------
CHEMICALS & TOXIC WASTE - 2.54%
7,600 Air Products & Chemical Corp............ 442,700
24,300 Du Pont (E.I.) de Nemours & Co.......... 2,144,475
105,000 Monsanto Co............................. 3,832,500
7,900 Sigma-Aldrich........................... 450,300
-------------
6,869,975
-------------
COMPUTER SERVICES - 1.32%
16,700 3Com Corp (a)........................... 1,003,044
41,300 Cisco Systems Inc. (a).................. 2,563,181
-------------
3,566,225
-------------
COMPUTER SOFTWARE - 1.67%
4,500 BMC Software Inc. (a)................... 357,750
39,750 Computer Associates International
Inc.................................... 2,375,063
22,700 Informix Corp. (a)...................... 632,763
27,250 Oracle Corp. (a)........................ 1,159,828
-------------
4,525,404
-------------
DATA PROCESSING SERVICES - 0.72%
16,300 First Data Corp......................... 1,330,487
40,900 Medaphis Corp. (a)...................... 613,500
-------------
1,943,987
-------------
DIVERSIFIED - 1.72%
45,500 AlliedSignal Inc........................ 2,997,312
11,200 Supervalu Inc........................... 308,000
15,900 Textron, Inc............................ 1,351,500
-------------
4,656,812
-------------
DRUGS - 2.52%
46,400 Merck & Co.............................. 3,265,400
44,900 Pfizer, Inc............................. 3,552,712
-------------
6,818,112
-------------
<CAPTION>
SHARES SECURITY VALUE
- ----------- ---------------------------------------- -------------
<C> <S> <C>
ELECTRICAL EQUIPMENT - 1.70%
9,600 Emerson Electric Co..................... $ 865,200
36,500 General Electric Co..................... 3,321,500
5,100 General Signal Corp..................... 224,400
2,800 Grainger (W.W.) Inc..................... 196,700
-------------
4,607,800
-------------
ELECTRONICS - 1.01%
12,300 Altera Corp. (a)........................ 622,687
11,500 Intel Corp.............................. 1,097,531
45,100 KLA Instruments Corp. (a)............... 1,014,750
-------------
2,734,968
-------------
ENTERTAINMENT - 0.34%
14,327 Disney (Walt) Co. ...................... 907,974
-------------
FINANCIAL SERVICES - 1.87%
23,600 Associates First Capital Corp........... 967,600
14,300 Federal Home Loan Mortgage Corp......... 1,399,613
30,400 MBNA Corp............................... 1,056,400
6,400 Merrill Lynch & Co. Inc................. 420,000
24,900 Travelers Group Inc..................... 1,223,212
-------------
5,066,825
-------------
FOODS - 1.60%
35,200 CPC International Inc................... 2,635,600
47,100 Sara Lee Corp........................... 1,683,825
-------------
4,319,425
-------------
HEALTHCARE - 0.12%
6,700 Abbott Laboratories..................... 329,975
-------------
HOSPITAL SUPPLIES/SERVICES - 2.67%
20,100 Baxter International Inc................ 939,675
76,000 Johnson & Johnson....................... 3,895,000
14,000 PacifiCare Health Systems, Cl. B (a).... 1,211,000
27,900 US Surgical Corp........................ 1,185,750
-------------
7,231,425
-------------
HOTEL/MOTEL - 0.70%
34,400 Marriott International Inc.............. 1,896,300
-------------
HOUSEHOLD PRODUCTS - 1.49%
8,600 Clorox Co............................... 824,525
29,600 Procter & Gamble Co..................... 2,886,000
6,800 Tupperware Corporation.................. 333,200
-------------
4,043,725
-------------
INSURANCE - 1.44%
22,400 American International Group Inc........ 2,256,800
11,600 General Re Corp......................... 1,644,300
-------------
3,901,100
-------------
METALS - 0.37%
15,800 Alcan Aluminium Ltd..................... 474,000
17,100 Freeport-McMoRan Copper & Gold, Cl. B... 534,375
-------------
1,008,375
-------------
OFFICE EQUIPMENT &
COMPUTERS - 1.15%
23,400 Hewlett-Packard Co...................... 1,140,750
10,500 International Business Machines Corp.... 1,307,250
12,600 Xerox Corp.............................. 675,675
-------------
3,123,675
-------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS ON PAGES 16 AND 17
10
<PAGE>
- --------------------------------------------------------------------------------
ASSET MANAGEMENT PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS SEPTEMBER 30, 1996 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- ----------- ---------------------------------------- -------------
<C> <S> <C>
OIL DOMESTIC - 1.36%
2,300 Atlantic Richfield Co................... $ 293,250
21,700 ENSCO International, Inc. (a)........... 705,250
8,800 Louisiana Land & Exploration Co......... 463,100
11,300 Phillips Petroleum Co................... 483,075
48,600 Unocal Corp............................. 1,749,600
-------------
3,694,275
-------------
OIL EQUIPMENT & SERVICES - 0.69%
20,000 Apache Corp............................. 595,000
11,100 Schlumberger Ltd........................ 937,950
5,500 Western Atlas, Inc. (a)................. 342,375
-------------
1,875,325
-------------
OIL INTERNATIONAL - 2.90%
6,900 Amoco Corp.............................. 486,450
9,200 Chevron Corp............................ 576,150
16,600 Exxon Corp.............................. 1,381,950
6,000 Mobil Corp.............................. 694,500
13,000 Royal Dutch Petroleum Co................ 2,029,625
29,200 Texaco Inc.............................. 2,686,400
-------------
7,855,075
-------------
PAPER & FOREST PRODUCTS - 0.75%
23,100 Champion International Corp............. 1,059,712
22,900 International Paper Co.................. 973,250
-------------
2,032,962
-------------
PHARMACEUTICALS - 0.27%
17,600 Pharmacia & Upjohn Inc.................. 726,000
-------------
PRINTING & PUBLISHING - 0.55%
35,200 McGraw-Hill Companies Inc............... 1,500,400
-------------
RAILROADS - 0.74%
23,700 Burlington Northern Santa Fe............ 1,999,687
-------------
RETAIL - 2.90%
24,800 Gap Inc................................. 716,100
33,500 Lowe's Cos. Inc......................... 1,369,312
8,600 Oakley, Inc. (a)........................ 365,500
54,000 Staples, Inc. (a)....................... 1,198,125
20,900 Tiffany & Company....................... 836,000
63,200 Wal-Mart Stores Inc..................... 1,666,900
29,400 Dollar General Corp..................... 915,075
14,600 Nine West Group, Inc. (a)............... 792,050
-------------
7,859,062
-------------
TELECOMMUNICATIONS - 2.00%
46,500 Comcast, Cl. A.......................... 714,938
26,000 DSC Communications Corp. (a)............ 650,000
45,400 MCI Communications Corp................. 1,163,375
28,100 Motorola, Inc........................... 1,450,663
22,300 Newbridge Networks Corp. (a)............ 1,421,625
-------------
5,400,601
-------------
TOBACCO - 0.63%
18,900 Philip Morris Cos. Inc.................. 1,696,275
-------------
<CAPTION>
SHARES SECURITY VALUE
- ----------- ---------------------------------------- -------------
<C> <S> <C>
UTILITY ELECTRIC - 1.59%
13,400 American Electric Power Co.............. $ 544,375
9,400 Dominion Resources Inc.................. 354,850
24,100 FPL Group Inc........................... 1,042,325
17,000 Ohio Edison Co.......................... 329,375
28,800 Pacific Gas & Electric.................. 626,400
13,100 Public Service Enterprise Corp.......... 350,425
26,800 Texas Utilities Co...................... 1,061,950
-------------
4,309,700
-------------
UTILITY GAS, NATURAL GAS - 0.72%
36,400 Consolidated Natural Gas Co............. 1,951,950
-------------
UTILITY TELEPHONE - 2.72%
29,400 AT&T Corp............................... 1,536,150
7,800 Ameritech Corp.......................... 410,475
6,100 Bell Atlantic Corp...................... 365,238
14,100 BellSouth Corp.......................... 521,700
32,700 Frontier Corp........................... 870,638
64,500 GTE Corp................................ 2,483,250
6,100 NYNEX Corp.............................. 265,350
8,600 SBC Communications Inc.................. 413,875
12,400 Sprint Corp............................. 482,050
-------------
7,348,726
-------------
TOTAL COMMON STOCKS (Cost $121,140,900)............... $ 137,441,896
-------------
<CAPTION>
PRINCIPAL
AMOUNT
- -----------
<C> <S> <C>
CORPORATE DEBT NON-CONVERTIBLE - 2.75%
BANKS - 0.38%
$ 500,000 Bayerische L/B, 6.17%, 2/1/06........... 466,008
100,000 Fleet/Norstar Financial Group, Inc.,
7.65%, 3/1/97.......................... 100,691
215,000 International Bank Reconstruction &
Development, 8.875%, 3/1/26............ 253,599
215,000 Standard Credit Card Master Trust,
6.55%, 10/7/05......................... 206,932
-------------
1,027,230
-------------
FINANCIAL SERVICES - 0.54%
300,000 Ford Motor Credit, 6.125%, 11/8/00...... 293,808
600,000 Great Western Financial Corp., 6.375%,
7/1/00................................. 591,766
195,000 KFW International Finance, Inc., 8.20%,
6/1/06................................. 208,244
340,000 Paine Webber Group, Inc., 9.25%,
12/15/01............................... 369,334
-------------
1,463,152
-------------
HOTEL/MOTEL - 0.16%
435,000 Marriott International, 7.875%,
4/15/05................................ 444,580
-------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS ON PAGES 16 AND 17
11
<PAGE>
- --------------------------------------------------------------------------------
ASSET MANAGEMENT PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS SEPTEMBER 30, 1996 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY VALUE
- ----------- ---------------------------------------- -------------
<C> <S> <C>
INDUSTRIAL - 1.16%
$ 215,000 Auburn Hills Trust, 12.00%, 5/1/20...... $ 310,660
475,000 Brunswick Corp., 8.125%, 4/1/97......... 480,162
19,000 Celulosa Arauco y Constitucion S.A.,
6.75%, 12/15/03........................ 18,185
610,000 Celulosa Arauco y Constitucion S.A.,
7.00%, 12/15/07........................ 576,931
490,000 Laidlaw, Inc., 7.70%, 8/15/02........... 503,332
415,000 Mutual Life Ins. Co-NY, 11.25%, 8/15/24
(c).................................... 383,381
450,000 News America Holdings, Inc., 7.75%,
2/1/24................................. 422,551
460,000 News America Holdings, Inc., 7.43%,
10/1/26................................ 458,717
-------------
3,153,919
-------------
OFFICE EQUIPMENT &
COMPUTERS - 0.20%
535,000 Texas Instruments, Inc., 6.75%,
7/15/99................................ 537,405
-------------
OIL-DOMESTIC - 0.17%
440,000 Occidental Petroleum Corp., 9.50%,
7/15/97................................ 451,467
-------------
UTILITY-ELECTRIC - 0.07%
35,000 Idaho Power Co., 8.00%, 3/15/04......... 36,745
140,000 Potomac Edison Co., 8.00%, 6/1/24....... 139,777
-------------
176,522
-------------
UTILITY-GAS, NATURAL GAS - 0.07%
175,000 KN Energy, Inc., 9.625%, 8/1/21......... 193,203
-------------
TOTAL CORPORATE DEBT NON-CONVERTIBLE
(Cost $7,439,818).................................... $ 7,447,478
-------------
CORPORATE DEBT CONVERTIBLE - FOREIGN -
0.08%
220,000 Nordeutsche L/B Girozen, 6.875%, 3/10/03
(Cost $211,708)........................ 218,763
-------------
U.S. GOVERNMENT & AGENCY - 6.03%
479,740 FGHLMC, 6.50%, 4/1/11 (b)............... 465,498
906,444 FGHLMC, 6.50%, 1/1/26 (b)............... 853,474
47,135 FGHLMC, 6.50%, 4/1/26 (b)............... 44,380
541,934 FGHLMC, 6.50%, 5/1/26 (b)............... 510,265
335,000 FHLMC, 6.93%, 9/5/00 (b)................ 332,767
126,111 FHLMC, 9.50%, 2/1/25 (b)................ 134,655
96,994 FHLMC, 7.50%, 9/1/25 (b)................ 96,092
257,690 FNMA, 6.00%, 1/1/01 (b)................. 252,634
325,000 FNMA, 8.625%, 11/10/04 (b).............. 338,845
499,438 FNMA, 7.00%, 9/1/07 (b)................. 494,131
396,936 FNMA, 6.50%, 9/1/08 (b)................. 384,904
376,231 FNMA, 6.00%, 1/1/09 (b)................. 361,769
17,507 FNMA, 6.00%, 1/1/09 (b)................. 16,610
185,824 FNMA, 6.00%, 1/1/09 (b)................. 176,301
294,041 FNMA, 8.00%, 4/1/10 (b)................. 300,633
647,843 FNMA, 7.00%, 8/1/10 (b)................. 642,259
1,454,162 FNMA, 6.50%, 3/1/11 (b)................. 1,410,084
400,000 FNMA TBA, 7.00%, 9/1/21 (b)............. 386,375
416,948 FNMA, 6.50%, 10/1/23 (b)................ 392,061
1,104,487 FNMA, 8.00%, 5/1/25 (b)................. 1,115,877
935,043 FNMA, 8.00%, 7/1/25 (b)................. 944,964
<CAPTION>
PRINCIPAL
AMOUNT SECURITY VALUE
- ----------- ---------------------------------------- -------------
<C> <S> <C>
$ 415,458 FNMA, 8.00%, 11/1/25 (b)................ $ 419,742
403,434 FNMA, 8.00%, 5/1/26 (b)................. 407,595
382,278 FNMA, 8.00%, 6/1/26 (b)................. 386,221
296,200 FNMA, 8.00%, 7/1/26 (b)................. 299,254
1,299,716 FNMA, 8.00%, 7/1/26 (b)................. 1,313,120
530,255 FNMA, 8.00%, 8/1/26 (b)................. 535,724
494,613 FNMA, 8.00%, 8/1/26 (b)................. 499,713
400,000 FNMA ARM TBA, 6.058%, 10/1/26 (b)....... 395,500
307,300 GNMA, 7.00%, 9/15/23 (b)................ 296,257
719,728 GNMA, 8.50%, 10/20/24 (b)............... 736,821
408,318 GNMA, 8.00%, 7/15/25 (b)................ 412,912
985,792 GNMA 7.00%, 3/15/26 (b)................. 950,366
-------------
TOTAL U.S. GOVERNMENT & AGENCY
(Cost $16,348,945)................................... $ 16,307,803
-------------
FOREIGN DEBT - 0.64%
GOVERNMENT - 0.60%
95,000 New Zealand Government, 10.625%,
11/15/05............................... 118,125
265,000 New Zealand Government 8.75%,
12/15/06............................... 298,156
520,000 Poland Discount Bond.................... 496,600
400,000 Province of Quebec, 7.22%, 7/22/36...... 409,014
310,000 Quebec Province, 7.125%, 2/9/24......... 284,785
-------------
1,606,680
-------------
INDUSTRIAL - 0.04%
125,000 Manitoba, 6.125%, 1/19/04............... 119,079
-------------
TOTAL FOREIGN DEBT (Cost $1,717,622).................. $ 1,725,759
-------------
U.S. TREASURY
SECURITIES - 7.42%
3,920,000 U.S. Treasury Notes, 6.25%, 6/30/98..... 3,931,627
6,020,000 U.S. Treasury Notes, 6.375%, 5/15/99.... 6,038,820
2,335,000 U.S. Treasury Notes, 6.625%, 6/30/01.... 2,349,950
1,530,000 U.S. Treasury Bonds, 6.375%, 9/30/01.... 1,524,627
2,360,000 U.S. Treasury Bonds, 6.875%, 5/15/06.... 2,388,025
2,755,000 U.S. Treasury Bonds, 7.25%, 8/15/22..... 2,810,960
1,187,000 U.S. Treasury Bonds, 6.00%, 2/15/26..... 1,044,188
-------------
TOTAL U.S. TREASURY SECURITIES
(Cost $20,009,619)................................... $ 20,088,197
-------------
SHORT TERM
INSTRUMENTS - 31.14%
U.S. TREASURY BILLS - 15.26%
40,000,000 5.03%, 10/17/96......................... 39,907,911
60,000 5.08%, 11/07/96......................... 59,695
310,000 5.14%, 11/07/96......................... 308,407
30,000 5.00%, 12/05/96......................... 29,734
1,015,000 5.27%, 12/19/96......................... 1,004,197
-------------
41,309,944
-------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS ON PAGES 16 AND 17
12
<PAGE>
- --------------------------------------------------------------------------------
ASSET MANAGEMENT PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS SEPTEMBER 30, 1996 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY VALUE
- ----------- ---------------------------------------- -------------
<C> <S> <C>
REPURCHASE AGREEMENT - 15.88%
$42,967,676 Sanwa Bank, Dated 9/30/96 5.55%
principal and interest in the amount of
$42,974,300 due 10/1/96,
(collateralized by U.S. Treasury Notes,
par value of $630,000; 8.25% due
7/15/98, value of $652,838, U.S.
Treasury Bonds, par value $34,286,000
10.75% due 5/15/03, value of
$41,807,663)........................... $ 42,967,676
-------------
TOTAL SHORT TERM INSTRUMENTS (Cost $84,277,058)....... $ 84,277,620
-------------
TOTAL INVESTMENTS (Cost $251,145,670) 98.84%.......... $ 267,507,516
Other Assets Less Liabilities - 1.16%................. 3,147,311
-------------
NET ASSETS - 100.00%.................................. $ 270,654,827
-------------
-------------
</TABLE>
- ------------------
(a) Non-Income Producing Securities
(b) The following abbreviations are used in the portfolio description.
<TABLE>
<S> <C> <C>
ARM - Adjustable-Rate Mortgage
FGHLMC - Federal Gold Home Loan Mortgage Corporation
FHLMC - Federal Home Loan Mortgage Corporation
FNMA - Federal National Mortgage Association
GNMA - Government National Mortgage Association
TBA - To be announced
</TABLE>
(c) 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.
SEE NOTES TO FINANCIAL STATEMENTS ON PAGES 16 AND 17
13
<PAGE>
- --------------------------------------------------------------------------------
ASSET MANAGEMENT PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES SEPTEMBER 30, 1996 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments, at Value (Cost of $251,145,670 including
Repurchase Agreements amounting to $42,967,676).............. $ 267,507,516
Cash+........................................................ 2,270,014
Receivable for Securities Sold............................... 1,584,109
Dividends and Interest Receivable............................ 900,442
Variation Margin Receivable.................................. 202,326
Prepaid Expenses and Other................................... 185
--------------
Total Assets..................................................... 272,464,592
--------------
LIABILITIES
Due to Bankers Trust......................................... 151,293
Payable for Securities Purchased............................. 1,643,309
Accrued Expenses and Other................................... 15,163
--------------
Total Liabilities................................................ 1,809,765
--------------
NET ASSETS....................................................... $ 270,654,827
--------------
--------------
COMPOSITION OF NET ASSETS
Paid-in-Capital.............................................. $ 253,494,757
Net Unrealized Appreciation on:
Investments and Foreign Currency Transactions.............. 16,338,891
Futures Contracts.......................................... 821,179
--------------
NET ASSETS, SEPTEMBER 30, 1996................................... $ 270,654,827
--------------
--------------
</TABLE>
- ----------------
+ Includes foreign currency of $1,887,547 with a value of $1,864,592.
STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED SEPTEMBER 30, 1996 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
INVESTMENT INCOME
Dividends (net of foreign withholding taxes of $12,714)...... $ 1,363,930
Interest..................................................... 3,500,719
--------------
Total Investment Income.......................................... 4,864,649
--------------
EXPENSES
Advisory..................................................... 823,352
Administration and Services.................................. 126,670
Professional................................................. 9,251
Trustees..................................................... 1,186
Miscellaneous................................................ 1,877
--------------
Total Expenses............................................... 962,336
Less: Expenses Absorbed by Bankers Trust..................... (202,319)
--------------
Net Expenses..................................................... 760,017
--------------
NET INVESTMENT INCOME............................................ 4,104,632
--------------
REALIZED AND UNREALIZED GAIN ON INVESTMENTS, FOREIGN CURRENCIES,
AND FUTURES CONTRACTS
Net Realized Gain on:
Investment and Foreign Currency Transactions................. 2,386,724
Futures Contracts............................................ 1,169,894
Net Change in Unrealized Appreciation on:
Investment and Foreign Currency Transactions................. 7,149,958
Futures Contracts............................................ 836,650
--------------
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS, FOREIGN
CURRENCIES, AND FUTURES CONTRACTS................................ 11,543,226
--------------
NET INCREASE IN NET ASSETS FROM OPERATIONS....................... $ 15,647,858
--------------
--------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS ON PAGES 16 AND 17
14
<PAGE>
- --------------------------------------------------------------------------------
ASSET MANAGEMENT PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
- ----------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE SIX
MONTHS ENDED
SEPTEMBER 30, FOR THE YEAR
1996 ENDED
(UNAUDITED) MARCH 31, 1996
------------- -----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS
Net Investment Income.................... $ 4,104,632 $ 6,712,317
Net Realized Gain from Investments,
Foreign Currencies and Futures
Contracts.............................. 3,556,618 14,006,189
Net Change in Unrealized Appreciation on
Investments, Foreign Currencies and
Futures Contracts...................... 7,986,608 7,261,817
------------- -----------------
Net Increase in Net Assets from Operations... 15,647,858 27,980,323
------------- -----------------
CAPITAL TRANSACTIONS
Proceeds from Capital Invested........... 52,986,835 170,133,182
Value of Capital Withdrawn............... (38,122,274) (54,499,861)
------------- -----------------
Net Increase in Net Assets from Capital
Transactions............................... 14,864,561 115,633,321
------------- -----------------
TOTAL INCREASE IN NET ASSETS................. 30,512,419 143,613,644
NET ASSETS
Beginning of Period.......................... 240,142,408 96,528,764
------------- -----------------
End of Period................................ $270,654,827 $240,142,408
------------- -----------------
------------- -----------------
</TABLE>
FINANCIAL HIGHLIGHTS
- ----------------------------------------------------------------------
Contained below are selected ratios to average net assets and other supplemental
data for the periods indicated for the Asset Management Portfolio.
<TABLE>
<CAPTION>
FOR THE
PERIOD
SEPTEMBER
16, 1993
FOR THE SIX (COMMENCEMENT
MONTHS OF
ENDED FOR THE YEAR ENDED MARCH OPERATIONS)
SEPTEMBER 31, TO
30, 1996 ------------------------- MARCH 31,
(UNAUDITED) 1996 1995 1994
----------- ----------- ----------- -----------
<S> <C> <C> <C> <C>
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period (000's
omitted)............................... $ 270,655 $ 240,142 $ 96,529 $ 36,283
----------- ----------- ----------- -----------
Ratios to Average Net Assets:
Net Investment Income................ 3.25%* 3.99% 3.78% 2.83%*
Expenses............................. 0.60%* 0.60% 0.60% 0.60%*
Decrease Reflected in Above Expense
Ratio Due to Absorption of Expenses
by Bankers Trust................... 0.17%* 0.17% 0.19% 0.33%*
Portfolio Turnover Rate...................... 71% 154% 92% 56%
Average Commissions paid per share**......... 0.054
</TABLE>
- ----------------
* Annualized
** For fiscal years beginning on or after September 1, 1995, a Fund is required
to disclose its average commission rate per share for security trades on
which commissions are charged.
SEE NOTES TO FINANCIAL STATEMENTS ON PAGES 16 AND 17
15
<PAGE>
- --------------------------------------------------------------------------------
ASSET MANAGEMENT PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (unaudited)
- ----------------------------------------------------------------------
NOTE 1 -- ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
A. ORGANIZATION
The Asset Management Portfolio (the "Portfolio") is registered under the
Investment Company Act of 1940 ("the Act"), as amended, as an open-end
management investment company. The Portfolio was organized on June 9, 1992 as an
unincorporated trust under the laws of New York, and commenced operations on
September 16, 1993. The Declaration of Trust permits the Board of Trustees (the
"Trustees") to issue beneficial interests in the Portfolio.
B. SECURITY VALUATION
The Portfolio's investments listed or traded on National Stock Exchanges or
other domestic or foreign exchanges are valued based on the closing price of a
security traded on that exchange prior to the time when the Portfolio assets are
valued. Short-term obligations with remaining maturities of 60 days or less are
valued at amortized cost. Other short-term debt securities are valued on a
mark-to-market basis until such time as they reach a remaining maturity of 60
days, whereupon they will be valued at amortized cost using their value on the
61st day. All other securities and other assets are valued at their fair value
as determined in good faith under procedures established by and under the
general supervision of the Trustees.
C. SECURITY TRANSACTIONS AND INVESTMENT INCOME
Security transactions are accounted for on a trade date basis. Dividend income,
less foreign taxes withheld, if any, is recorded on the ex-dividend date or upon
receipt of ex-dividend notification in the case of certain foreign securities.
Interest income is recorded on the accrual basis and includes amortization of
premium and accretion of discount on investments. 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 and foreign currency transactions of the Portfolio are
allocated pro rata among the investors in the Portfolio at the time of such
determination.
D. REPURCHASE AGREEMENTS
The Portfolio may enter into repurchase agreements with financial institutions
deemed to be creditworthy by the Portfolio's Investment Advisers, 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.
E. FOREIGN CURRENCY TRANSACTIONS
The books and records of the Asset Management Portfolio is maintained in U.S.
dollars. All assets and liabilities initially expressed in foreign currencies
are converted into U.S. dollars at prevailing exchange rates. Purchases and
sales of investment securities, dividend and interest income, and certain
expenses are translated at the rates of exchange prevailing on the respective
dates of such transactions.
F. FORWARD FOREIGN CURRENCY CONTRACTS
The Portfolio may enter into forward foreign currency contracts for the purpose
of settling specific purchases or sales of securities denominated in a foreign
currency or with respect to the Portfolios' investments. The net U.S. dollar
value of foreign currency underlying all contractual commitments held by the
Portfolios and the resulting unrealized appreciation or depreciation are
determined using prevailing exchange rates. With respect to forward foreign
currency contracts, losses in excess of amounts recognized in the Statement of
Assets and Liabilities may arise due to changes in the value of the foreign
currency or if the counterparty does not perform under the contract.
G. OPTION CONTRACTS
The Portfolio may enter into option contracts. Upon the purchase of a put option
or a call option by the Portfolio, the premium paid is recorded as an
investment, the value of which is marked-to-market daily to reflect the current
market value. When a purchased option expires, the Portfolio will realize a loss
in the amount of the cost of the option. When the Portfolio enters into a
closing sale transaction, the Portfolio will realize a gain or loss depending on
whether the sale proceeds from the closing sale transaction are greater or less
than the cost of the option. When the Portfolio exercises a put option, it
realizes a gain or loss from the sale of the underlying security and the
proceeds from such sale will be decreased by the premium originally paid. When
the Portfolio exercises a call option, the cost of the security which the
Portfolio purchases upon exercise will be increased by the premium originally
paid.
H. FUTURES CONTRACTS
The Portfolio may enter into financial futures contracts which are contracts to
buy a standard quantity of securities at a specified price on a future date. The
Portfolio is required to deposit either in cash or securities an amount equal to
a certain percentage of the contract amount. Subsequent payments are made or
received by the Portfolio each day, dependent on the daily fluctuations in the
value of the underlying security, and are recorded for financial statement
purposes as unrealized gains or losses by the Portfolio.
Futures contracts are valued at the settlement price established each day by the
board of trade or exchange on which they are traded.
I. FEDERAL INCOME TAXES
It is the Portfolio's policy to comply with the requirements of the Internal
Revenue Code. Therefore, no federal income tax provision is required.
J. OTHER
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions that
affect the reported amounts in the 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 six months ended September 30, 1996, this fee aggregated
$126,670.
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
16
<PAGE>
- ----------------------------------------------------------------------
ASSET MANAGEMENT PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (unaudited) (Continued)
- --------------------------------------------------------------------------------
1% of the Portfolio's average daily net assets. For the six months ended
September 30, 1996, this fee aggregated $823,352.
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 six months ended September
30, 1996, expenses of the Portfolio have been reduced by $202,319.
On September 30, 1996, the Trust entered into a Distribution Agreement with
Edgewood Services, Inc. ("Edgewood"). Prior to September 30, Signature
Broker-Dealer Services, Inc. ("Signature") was the Trust's Distributor.
Certain trustees and officers of the Portfolio are also directors, officers
and/or employees of Edgewood and/or Signature. None of the trustees so
affiliated received compensation for services as trustees of the Portfolio.
Similarly, none of the Portfolio's officers received compensation from the
Portfolio.
For the six months ended September 30, 1996, the Portfolio paid brokerage
commissions of $108,875.
NOTE 3 -- PURCHASES AND SALES OF INVESTMENT SECURITIES
The aggregate cost of purchases and proceeds from sales of investments, other
than short-term obligations, for the six months ended September 30, 1996 were
$139,992,529 and $122,235,286 respectively. For Federal income tax purposes, the
tax basis of investments held at September 30, 1996 was $251,617,624. The
aggregate gross unrealized appreciation was $19,072,778 and the aggregate gross
unrealized depreciation for all investments was $3,182,886.
NOTE 4 -- FUTURES CONTRACTS
A summary of obligations under these financial instruments at September 30, 1996
are as follows:
<TABLE>
<CAPTION>
UNREALIZED
MARKET APPRECIATION/
TYPE OF FUTURE EXPIRATION CONTRACTS POSITION VALUE (DEPRECIATION)
- ------------------------------ ------------- ----------- -------- ----------- --------------
<S> <C> <C> <C> <C> <C>
S&P 500....................... December 1996 89 Long $30,767,300 $ 50,300
French 10 Year Bond Futures... December 1996 105 Long 12,690,364 202,134
Canadian Government Bond...... December 1996 76 Long 6,227,944 146,706
TYZ US 10 Year Note Futures... December 1996 110 Long 11,800,937 183,050
JYZ Japan Yen Futures......... December 1996 4 Long 453,800 6,620
Japanese Bond Futures......... December 1996 12 Long 13,168,695 156,753
Australian 10 Year Bond
Futures....................... December 1996 40 Long 23,750,831 75,394
CDZ C$ Futures................ December 1996 2 Short 147,320 (855)
FRZ French Franc Futures...... December 1996 5 Short 486,500 (288)
ADZ A$ Futures................ December 1996 2 Short 157,780 1,365
--- ----------- --------------
Total......................... 445 $99,651,471 $821,179
--- ----------- --------------
--- ----------- --------------
</TABLE>
17
<PAGE>
BT PYRAMID MUTUAL FUNDS
INSTITUTIONAL ASSET MANAGEMENT FUND
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 Edgewood
Services Inc., the primary Servicing
Agent and Distributor, respectively,
of BT Pyramid Funds:
BT PYRAMID MUTUAL FUNDS
DST
210 West 10th Street
Kansas City, MO 64105
BT PYRAMID MUTUAL FUNDS
Edgewood Services, Inc.
Clearing Operations
P.O. Box 897
Pittsburgh, PA, 15230-0897
You may write to the BT Institutional
Asset Management Fund
at the following address:
BT PYRAMID MUTUAL FUNDS
Clearing Operations
P.O. Box 897
Pittsburgh, PA, 15230-0897
STA482100
