BT PYRAMID MUTUAL FUNDS, N-30D, 1996-05-31

BT PYRAMID MUTUAL FUNDS
N-30D, 1996-05-31

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<PAGE> 1

-BT PYRAMID FUNDS-

BT INVESTMENT
EQUITY APPRECIATION FUND

S E M I - A N N U A L R E P O R T
---------------------------------------------------
MARCH - 1996
<PAGE> 2

- --------------------------------------------------------------------------------
BT Investment Equity Appreciation Fund
TABLE OF CONTENTS
- --------------------------------------------------------------------------------

<TABLE>
<S> <C>
LETTER TO SHAREHOLDERS.................................................................. 3
BT INVESTMENT EQUITY APPRECIATION FUND
Statement of Assets and Liabilities................................................. 6
Statement of Operations............................................................. 6
Statements of Changes in Net Assets................................................. 7
Financial Highlights................................................................ 7
Notes to Financial Statements....................................................... 8
CAPITAL APPRECIATION PORTFOLIO
Schedule of Portfolio Investments................................................... 9
Statement of Assets and Liabilities................................................. 11
Statement of Operations............................................................. 11
Statements of Changes in Net Assets................................................. 12
Financial Highlights................................................................ 12
Notes to Financial Statements....................................................... 13
</TABLE>

2
<PAGE> 3

- --------------------------------------------------------------------------------
BT Investment Equity Appreciation Fund
LETTER TO SHAREHOLDERS
- --------------------------------------------------------------------------------

We are pleased to present you with this newly-designed semi-annual report for
the BT Investment Equity Appreciation Fund, providing a more detailed review of
the markets, the portfolio, and our outlook -- all in an easier-to-read format.
Of course, we continue to include a complete financial summary of the Fund's
operations and a listing of the Portfolio's holdings.

The Equity Appreciation Fund's (the "Fund's") total return was down 0.15% for
the six months ended March 31, 1996, as compared to 7.67% for the S&P 400 Midcap
Index and 7.96% for the Lipper Midcap Growth Average. Since its inception on
October 12, 1993, the Fund has returned 41.19%.

MARKET ACTIVITY

In general, the past six months were a time of economic uncertainty and
confusion for the stock market. Signs of an economic slowdown, combined with the
Federal Reserve Board's decision not to lower interest rates further, raised
fears that the economy might be heading for a recession and that companies'
earnings growth would slow significantly, or possibly even decline year over
year. Fears that inflation would rise were also high. This uncertainty about the
future impacted middle capitalization companies more than larger capitalization
companies, and so the S&P Midcap Index lagged the S&P 500 index by more than 400
basis points during the semi-annual period. In the prior six months, mid cap
stocks had led large cap stocks by more than 100 basis points.

As we moved through the first quarter of the year, much of the uncertainty
dissipated, and this renewed confidence in the macroeconomic climate helped the
S&P Midcap Index outperform the S&P 500 again in March 1996.

Sector performance within the mid cap universe also reflected economic trends.
The top performing sectors were health care, energy and financial
services -- all sectors that were viewed as either benefiting from rising
inflation and slowing economic growth or sectors that were seen as relatively
insensitive to economic cycles. Those sectors that were seen as more influenced
by economic cycles, such as consumer staples, capital spending, and technology,
were among the worst performing sectors in the mid capitalization marketplace.

We primarily attribute the Fund's underperformance to the weakness in the
technology sector, which, in stark contrast to its leadership position for the
six months ended September 30, 1995, was the worst performing sector during the
last six months.

INVESTMENT REVIEW

The last six months were a period of much confusion with regard to the economic
outlook, the interest rate environment and earnings prospects. It was also a
period in which volatility was higher than it had been in some time. In this
kind of environment, the type of stocks the portfolio management team seeks for
the Fund were hurt more sharply than the general market indices. We look for
companies with strong and accelerating earnings, whose prospects are not yet
fully recognized by the stock market. The portfolio was also positioned to
reflect Bankers Trust's macroeconomic view that the slowdown in economic growth
would be temporary, that we would see a reacceleration after the first quarter
of 1996, and that interest rates would not decline significantly further. Thus,
we focused particularly on companies that would continue to show strong earnings
growth and could see some benefit from reacceleration in the economy. We used
the market's volatility to our investors' advantage in implementing this
strategy, particularly in the first quarter of 1996, using significant price
dips to accumulate or add to positions in companies, which we believe have
strong earnings prospects, in the belief that our shareholders would be well
rewarded by these purchases over the coming months.

The first quarter was also a period in which volatility was higher than normal.
The portfolio management team exploited that volatility to our investors
advantage by using periods of weakness to initiate or add to positions in
companies with strong future prospects whose stocks may be hurt temporarily by
the markets volatility. A good example of that strategy was our investment in
Cheyenne Software, which was made when the stock dropped sharply in the wake of
concerns over product transition issues. We believed that the market was being
too short term orientated in its concerns and that Cheyenne's product pipeline
was not only strong, it was quite unique in the industry. Shortly after we
initiated the position, Cheyenne received a takeover bid from MacAfee Associates
at close to 100% above the price at which we purchased the stock for the
portfolio.

The portfolio management team uses a very disciplined investment process in
managing the Fund. One of the tenets of this process is the use of themes.
Themes are secular trends which are occurring in the world irrespective of
economic cycles. The team attempts to identify these trends and find companies
which, in addition to being well managed and having strong fundamental growth
prospects, will be able to benefit significantly from these secular trends. We
also have a strict valuation sell discipline. During the fourth quarter of 1995,
we scaled back on many of those technology stocks that appeared to us to be
selling at price/earnings multiples that their growth rates did not justify,
particularly those tied to the personal computer and semiconductor industries.
We refocused our technology holdings towards those companies which we believed
would be major beneficiaries in the further deregulation of our communications
industry, increasing our commitment to such themes as "Telecommunications." We
also initiated several new technology-related themes: "Life on the Net" and
"Managing the Information Age," which seek to identify companies that are
integral to the use of the Internet and corporate intranets and companies that
can help individuals and corporations manage and leverage an increasingly
complex range of information services and tools.

Even though a lot of the technology companies were volatile over the last six
months, we remain overweight in this sector relative to our benchmark. We
believe that technology is becoming more pervasive and ubiquitous than ever and
that this is a secular trend, not a cyclical one. We view the slowdown we saw in
the last six months in the sector simply as a pause within a longer-term
uptrend. Technology is such a broad

3
<PAGE> 4

category that not every company in the sector will prosper. Historically, the
thematic approach we use, combined with our detailed fundamental analysis, has
been of great benefit to our shareholders in this volatile sector, particularly
when one looks over a longer time frame.

During the period, we increased our holdings in the energy sector, with a
particular focus on those companies that have dramatically lowered their cost
structures and should be able to continue to improve profitability even if oil
and gas prices were to go lower in the months ahead. We particularly favor those
energy companies with special niche technologies that should benefit from
increased exploration activity by the majors.

We have also selectively been increasing our exposure to certain consumer
stocks, because we believe the consumer is starting to spend again. The consumer
sector is going through a period of great secular change, as companies adjust to
the fact that consumer spending in the 1990s should be lower than consumer
spending in the 1980s due to the aging of the baby boomers. As with any secular
shift of this magnitude, certain companies are very well positioned to take
advantage of this shift, while others will be hurt by it. We have centered our
commitment to this sector around companies that can benefit from new consumer
buying patterns by offering exceptional value for the money, by having strong,
identifiable brand names with the consumers, or by exploiting our changing
leisure time patterns.

The Fund also remains overweight in the healthcare sector, with a focus around
those companies that benefit from the shift in delivery of healthcare services
and are focused on supplying services and products to an aging population.
During the period, a new healthcare theme, "Life Sciences Revolution," was begun
because we recognized that several factors are converging which we believe will
result in strong improvement in profits from many mid-sized biotechnology
companies, as they move from the development stage into the production stage
with their drugs.

For the one year ended March 31, 1996, the Fund outperformed both its benchmark
and its Lipper category average. As has been our investment management style, we
continue to use good fundamental research to identify companies with
consistently strong earnings and revenue growth, to use our thematic approach
and screening processes to help us identify unrecognized growth companies and/or
sectors, and finally, to use the volatility of the marketplace to our
shareholders' advantage by initiating or adding to positions on weakness.

LOOKING AHEAD

Bankers Trust is forecasting moderate growth in the economy, relatively stable
interest rates and relatively stable inflation (although somewhat higher than
last year's levels). We believe this environment is a very positive one for mid
cap companies, particularly for the type of companies in the Fund. We believe it
is possible that the outperformance of mid cap stocks relative to their larger
cap brethren seen in March may continue for the rest of the year, primarily due
to their relatively cheaper valuation and the prospect of stronger earnings
growth from this asset class. We still expect higher than normal volatility in
the market, particularly as we move closer to the election in November.

Our strategy in this environment continues to be focused on individual companies
with compelling growth characteristics. We will try to use market volatility to
our shareholders' advantage by purchasing strong companies whose stocks may have
been hurt by unrelated market volatility. In our opinion, the mid cap bias of
the Equity Appreciation Fund continues to offer shareholders some of the
outperformance potential that resides in the smaller cap end of the marketplace,
but with more liquidity and through companies that are themselves a bit more
mature than the typical small cap company.

We will, of course, continue monitoring economic conditions and how they affect
the financial markets, as we seek capital growth over the long term.

* * *

We value your ongoing support of the Equity Appreciation Fund and look forward
to continuing to serve your investment needs in the years ahead.

- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ABOUT THE MARY LISANTI
PORTFOLIO MANAGER MANAGING DIRECTOR
- Manager of the Capital Appreciation
Portfolio, Small Cap Portfolio and separate
aggressive growth accounts
- 16 years of investment experience as a
portfolio manager and analyst in Small/MidCap
equities
- Joined Bankers Trust from Lieber &
Company/The Evergreen Funds, where for three
years she was Vice President of Investments and
a portfolio manager working on their $800
million small and mid-sized company fund
- Senior Vice President at Shearson Lehman
Brothers, headed for firm's emerging growth
stock investment strategy and research effort;
member of the Investment Policy Committee
- Earned the #1 ranking in Institutional
Investor's All Star Research Team in 1989
(ranked #2 and #3 in 1987 and 1986,
respectively) for her work as a small company
stock analyst
- B.A.--Princeton University
- Member, New York Society of Security Analysts
and Financial Analyst Federation
</TABLE>

4
<PAGE> 5

The following graph illustrates the Fund's return versus the S&P MidCap 400
Index since October 31, 1993, assuming a $10,000 initial investment:
- --------------------------------------------------------------------------------
COMPARISON OF CHANGE
IN VALUE OF A $10,000
INVESTMENT IN THE BT
INVESTMENT EQUITY
APPRECIATION FUND AND
THE S&P MIDCAP 400
INDEX

<TABLE>
<CAPTION>
TOTAL RETURN
ENDED MARCH 31, 1996
One Year Since 10/12/93*
<S> <C>
30.73% 41.19%
</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>
<CAPTION>
Measurement Period BT Investment Equity
(Fiscal Year Covered) Appreciation Fund S&P MidCap 400 Index
<S> <C> <C>
10/31/93 10000 10000
12/31/93 9899 10233
3/31/94 9657 9844
6/30/94 9051 9485
9/30/94 9939 10127
12/31/94 10242 9866
3/31/95 10909 10664
6/30/95 12111 11605
9/30/95 14283 12737
12/31/95 14095 12919
3/31/96 14262 13715
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
OBJECTIVE Seeks capital growth over the long-term through
investment in medium sized companies that show
growth potential. Current income is a secondary
goal.
- -----------------------------------------------------------------------------------
Primarily common stocks of growth-oriented
domestic corporations and, to a lesser extent,
foreign corporations, but may invest in any
INVESTMENT INSTRUMENTS
market sectors and companies of any size; also,
may take advantage of any investment
opportunity with attractive long-term
prospects.
- -----------------------------------------------------------------------------------
TEN LARGEST STOCK HOLDINGS Green Tree Financial Corp.
Parametrics Technology Corp.
First USA Payment Tech Inc.
Staples Inc.
Danka Business Systems, ADR
U.S. Surgical Corp.
Elan Plc.
Nellcor Puritan Bennett Inc.
Newbridge Networks Co.
Healthsource Inc.
- -----------------------------------------------------------------------------------
<CAPTION>
DIVERSIFICATION OF PORTFOLIO
INVESTMENTS BY THEME
AS OF MARCH 31, 1996
(PERCENTAGES ARE BASED ON MARKET VALUES)
<S> <C>
U.S. Treasury Bills 9.93%
Move to Outsourcing 8.95%
New Consumer 8.49%
Stores of Value 7.53%
Life on the Net 5.97%
Telecommunications 5.85%
Managing the Information Age 5.73%
America's Changing Leisure Time 5.37%
New Health Care Paradigm 5.21%
Productivity Enhancement 4.70%
Life Sciences Revolution 4.48%
Interactive Media 4.43%
Client-Server Computing 4.11%
Other 19.25%
</TABLE>

* No one theme represents more than 4.00% of portfolio holdings.
- --------------------------------------------------------------------------------

5
<PAGE> 6

- --------------------------------------------------------------------------------
BT Investment Equity Appreciation Fund
STATEMENT OF ASSETS AND LIABILITIES March 31, 1996 (unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investment in Capital Appreciation Portfolio, at Value....................................................... $ 128,402,610
Receivable for Shares of Beneficial Interest Subscribed...................................................... 8,319
Prepaid Expenses and Other................................................................................... 12,887
-------------
Total Assets.................................................................................................... 128,423,816
-------------
LIABILITIES
Due to Bankers Trust......................................................................................... 37,368
Payable for Shares of Beneficial Interest Redeemed........................................................... 143,825
Accrued Expenses and Other................................................................................... 35,801
-------------
Total Liabilities............................................................................................... 216,994
-------------
NET ASSETS (0.001 Par Value Per Share, Unlimited Number of Shares of Beneficial Interest Authorized)............ $ 128,206,822
=============
SHARES OUTSTANDING.............................................................................................. 9,351,355
=============
NET ASSET VALUE AND REDEMPTION PRICE PER SHARE.................................................................. $ 13.71
=============
COMPOSITION OF NET ASSETS
Paid-in Capital.............................................................................................. $ 110,532,303
Accumulated Net Investment (Loss)............................................................................ (218,713)
Undistributed Net Realized Gain from Investment Transactions................................................. 11,820,253
Net Unrealized Appreciation on Investments................................................................... 6,072,979
-------------
NET ASSETS, MARCH 31, 1996...................................................................................... $ 128,206,822
=============
</TABLE>

STATEMENT OF OPERATIONS For the six months year ended March 31, 1996 (unaudited)
- --------------------------------------------------------------------------------

<TABLE>
<S> <C>
INVESTMENT INCOME
Income Allocated from Capital Appreciation Portfolio, net.................................................... $ (767)
-------------
EXPENSES
Administration and Services.................................................................................. 217,947
Registration................................................................................................. 23,539
Professional................................................................................................. 9,176
Shareholders Reports......................................................................................... 7,566
Trustees..................................................................................................... 4,322
Miscellaneous................................................................................................ 792
-------------
Total Expenses............................................................................................... 263,342
Less: Expenses Absorbed by Bankers Trust..................................................................... (45,396)
-------------
Net Expenses.................................................................................................... 217,946
-------------
NET INVESTMENT (LOSS)........................................................................................... (218,713)
-------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net Realized Gain from Investment Transactions............................................................... 11,104,663
Net Change in Unrealized Appreciation of Investments......................................................... (10,483,866)
-------------
NET GAIN ON INVESTMENTS......................................................................................... 620,797
-------------
NET INCREASE IN NET ASSETS FROM OPERATIONS...................................................................... $ 402,084
=============
</TABLE>

See Notes to Financial Statements on Page 8

6
<PAGE> 7

- --------------------------------------------------------------------------------
BT Investment Equity Appreciation Fund
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------

<TABLE>
<CAPTION>
FOR THE SIX
MONTHS ENDED FOR THE PERIOD
MARCH 31, 1996 JANUARY 1, 1995 TO
(UNAUDITED) SEPTEMBER 30, 1995
-------------- ------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS
Net Investment (Loss)............................................................... $ (218,713) $ (146,267)
Net Realized Gain from Investment Transactions...................................... 11,104,663 6,369,448
Net Unrealized Appreciation (Depreciation) on Investments........................... (10,483,866) 12,995,476
------------- ---------------
Net Increase in Net Assets from Operations............................................. 402,084 19,218,657
------------- ---------------
DISTRIBUTIONS TO SHAREHOLDERS
Net Realized Gain from Investment Transactions...................................... (2,974,932) --
------------- ---------------
TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST
Net Increase from Transactions in Shares of Beneficial Interest..................... 38,746,868 42,841,190
------------- ---------------
TOTAL INCREASE IN NET ASSETS........................................................... 36,174,020 62,059,847
NET ASSETS
Beginning of Period.................................................................... 92,032,802 29,972,955
------------- ---------------
End of Period.......................................................................... $128,206,822 $ 92,032,802
============= ===============
</TABLE>

FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------

Contained below are selected data for a share outstanding, total investment
return, ratios to average net assets and other supplemental data for each of the
periods indicated for the BT Investment Equity Appreciation Fund.

<TABLE>
<CAPTION>
FOR THE PERIOD
FOR THE SIX OCTOBER 12, 1993
MONTHS ENDED FOR THE PERIOD FOR THE YEAR (COMMENCEMENT OF
MARCH 31, 1996 JANUARY 1, 1995 TO ENDED DECEMBER OPERATIONS) TO
(UNAUDITED) SEPTEMBER 30, 1995 31, 1994 DECEMBER 31, 1993
-------------- ------------------ ----------------- -----------------
<S> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE, BEGINNING OF PERIOD........ $ 14.14 $ 10.14 $ 9.80 $ 10.00
----------- -------- ------- -------
INCOME (LOSS) FROM INVESTMENT OPERATIONS
Net Investment (Loss).................... (0.02) (0.02) (0.03) (0.00)+
Net Realized and Unrealized Gain (Loss)
on Investments......................... (0.03) 4.02 0.37 (0.20)
----------- -------- ------- -------
Total from Investment Operations............ (0.05) 4.00 0.34 (0.20)
----------- -------- ------- -------
DISTRIBUTIONS
Distribution from Net Realized Gain...... (0.38) -- -- --
----------- -------- ------- -------
NET ASSET VALUE, END OF PERIOD.............. $ 13.71 $ 14.14 $ 10.14 $ 9.80
=========== ======== ======= =======
TOTAL INVESTMENT RETURN..................... (0.15)% 39.45% 3.47% (8.81)%*
RATIOS AND SUPPLEMENTAL DATA:
Net Assets, End of Period (000's
omitted)............................... $128,207 $ 92,033 $29,973 $19,465
Ratios to Average Net Assets
Net Investment (Loss)................ (0.40)%* (0.38)%* (0.32)% (0.11)%*
Expenses, Including Expenses of the
Capital Appreciation Portfolio...... 1.00%* 1.00%* 1.00% 1.00%*
Decrease Reflected in Above Expense
Ratio Due to Absorption of Expenses
by Bankers Trust.................... 0.26%* 0.33%* 0.46% 0.60%*
</TABLE>

- ------------------
* Annualized
+ Less than 0.01 per share

See Notes to Financial Statements on Page 8

7
<PAGE> 8

- --------------------------------------------------------------------------------
BT Investment Equity Appreciation 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 Investment Equity
Appreciation Fund (the "Fund") is one of the funds offered to investors by the
Trust. The Fund commenced operations and began offering shares of beneficial
interest on October 12, 1993. The Fund invests substantially all of its assets
in the Capital Appreciation Portfolio (the "Portfolio"). The Portfolio is an
open-end management investment company registered under the Act. The Fund seeks
to achieve its investment objective by investing all of its investable assets in
the Portfolio. The value of such investment in the Portfolio reflects the Fund's
proportionate interest in the net assets of the Portfolio. At March 31, 1996,
the Fund's investment was approximately 67.8% 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 transactions of the Portfolio are allocated pro rata among
the investors in the Portfolio at the time of such determination.

C. Dividends
It is the Fund's policy to declare and distribute dividends quarterly to
shareholders from net investment income, if any. Dividends and distributions
payable to shareholders are recorded by the Fund on the ex-dividend date.
Distributions of net realized short-term and long-term capital gains, if any,
earned by the Fund will be made annually to the extent they are not offset by
any capital loss carryforwards.

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 0.40 of 1% of the Fund's average daily net assets.
For the six months ended March 31, 1996, this fee aggregated $217,947.

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 of the 1940 Act, Signature may seek reimbursement, at an
annual rate not exceeding 0.20 of 1% of the Fund's average daily net assets, for
expenses incurred in connection with any activities primarily intended to result
in the sale of the Fund's shares. For the six months ended March 31, 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 0.40 of 1% of the
average daily net assets of the Fund, excluding expenses of the Portfolio and
1.00 of 1% of the average daily net assets of the Fund, including expenses of
the Portfolio. For the six months ended March 31, 1996, expenses of the Fund
have been reduced by $45,396.

The Fund is subject to such limitations as may from time to time be imposed by
the Blue Sky laws of states in which of 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, 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 FOR THE PERIOD
ENDED MARCH 31, 1996 JANUARY 1, 1995 TO
(UNAUDITED) SEPTEMBER 30, 1995
--------------------------- ------------------------
SHARES AMOUNT SHARES AMOUNT
----------- ------------- --------- ------------
<S> <C> <C> <C> <C>
Sold............... 3,667,679 $ 50,085,998 4,288,109 $ 51,174,959
Reinvested......... 231,153 2,974,931 -- --
Redeemed........... (1,057,334) (14,314,061) (733,661) (8,333,769)
----------- ------------- --------- ------------
Net Increase
(Decrease)........ 2,841,498 $ 38,746,868 3,554,448 $ 42,841,190
----------- ------------- --------- ------------
</TABLE>

8
<PAGE> 9

- --------------------------------------------------------------------------------
Capital Appreciation Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 1996 (unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES DESCRIPTION VALUE
- ----------- ------------------------------------ -------------
<C> <S> <C>
COMMON STOCKS - 93.90%
AMERICA'S CHANGING LEISURE TIME -
5.60%
63,500 Applebees International Inc. ....... $ 1,587,500
44,800 Boston Chicken Inc.(a).............. 1,526,000
44,000 Harley-Davidson Inc. ............... 1,710,500
33,700 Hospitality Franchise Systems
Inc.(a)............................ 1,638,662
22,700 Lone Star Steakhouse & Saloon(a).... 868,275
36,300 Mirage Resorts Inc.(a).............. 1,592,663
72,300 Starbucks Corp.(a).................. 1,685,494
----------
10,609,094
----------
AMERICA'S INDUSTRIAL RENAISSANCE -
3.49%
33,200 Harman International Industries..... 1,245,000
30,100 Input/Output Inc.(a)................ 933,100
47,500 UCAR International Inc.(a).......... 1,846,563
33,800 Waters Corp.(a)..................... 819,650
29,400 Western Atlas Inc.(a)............... 1,764,000
----------
6,608,313
----------
CLIENT-SERVER COMPUTING - 4.28%
30,500 BAAN Company NV(a).................. 1,757,563
39,200 Cadence Design System Inc.(a)....... 1,729,700
33,500 Forte Software Inc.(a).............. 1,356,750
52,100 Informix Corp.(a)................... 1,374,137
56,100 Structural Dynamics Research(a)..... 1,893,375
----------
8,111,525
----------
FLOURISHING IN THE MANAGED CARE
ENVIRONMENT - 3.28%
33,300 Caremark International.............. 836,662
16,500 Healthcare Compare Corp.(a)......... 831,187
62,900 Healthsource Inc.(a)................ 2,437,375
24,100 Oxford Health Plans(a).............. 2,114,775
----------
6,219,999
----------
INTERACTIVE MEDIA - 4.62%
30,000 America Online Inc.(a).............. 1,680,000
32,300 Clear Channel Communications(a)..... 1,824,950
51,100 CUC International Inc.(a)........... 1,494,675
38,500 Infinity Broadcasting-Cl A(a)....... 1,669,938
11,300 Inso Corp.(a)....................... 521,212
87,400 Scientific-Atlanta Inc. ............ 1,551,350
----------
8,742,125
----------
LIFE ON THE NET - 6.22%
46,900 Cable Design Technologies(a)........ 1,723,575
16,500 FORE Systems(a)..................... 1,179,750
42,100 Macromedia Inc.(a).................. 1,799,775
26,500 McAfee Associates Inc.(a)........... 1,450,875
17,700 Shiva Corp.(a)...................... 1,606,275
11,900 U.S. Robotics Corp.(a).............. 1,538,075
36,800 Verifone Inc.(a).................... 1,545,600
18,100 Xylan Corp.(a)...................... 941,200
----------
11,785,125
----------

<CAPTION>
SHARES DESCRIPTION VALUE
- ----------- ------------------------------------ -------------
<C> <S> <C>
LIFE SCIENCES REVOLUTION - 4.67%
55,800 Centocor Inc.(a).................... $ 2,015,775
39,500 Elan Plc.(a)........................ 2,537,875
131,700 Nabi Inc.(a)........................ 1,736,794
78,200 U.S. Surgical Corp. ................ 2,561,050
----------
8,851,494
----------
MANAGING THE INFORMATION AGE - 5.97%
20,700 Ascend Communications Inc.(a)....... 1,115,213
25,250 Cascade Communications Corp.(a)..... 2,266,187
59,400 Cheyenne Software(a)................ 935,550
30,200 Electronics for Imaging(a).......... 1,313,700
78,400 First USA Paymentech Inc.(a)........ 2,763,600
48,000 Glenayre Technologies(a)............ 1,836,000
35,200 Sterling Commerce(a)................ 1,082,400
----------
11,312,650
----------
MOVE TO OUTSOURCING -- 9.34%
30,400 APAC Teleservices(a)................ 2,166,000
31,800 Atlantic Southeast Airlines......... 814,875
22,000 Boise Cascade Office Products(a).... 1,438,250
54,900 Comair Holdings Inc. ............... 1,907,775
67,000 Corporate Express(a)................ 2,211,000
61,600 Danka Business Systems-ADR.......... 2,602,600
25,600 Global Directmail(a)................ 892,800
54,250 Olsten Corp. ....................... 1,749,562
37,500 Paychex Inc. ....................... 2,193,750
30,700 Viking Office Products Inc.(a)...... 1,707,688
----------
17,684,300
----------
NEW CONSUMER - 8.85%
86,100 Ann Taylor Stores(a)................ 1,549,800
32,000 Blyth Industries(a)................. 1,064,000
15,700 Fila Holdings Spa................... 1,002,837
46,800 Gucci Group NV(a)................... 2,246,400
73,800 Gymboree Corp.(a)................... 1,928,025
20,500 Jones Apparel Group(a).............. 994,250
25,800 Liz Claiborne Inc. ................. 883,650
127,750 Staples Inc.(a)..................... 2,602,906
54,000 Sunglass Hut International(a)....... 1,788,750
35,300 Tommy Hilfiger Co.(a)............... 1,619,388
47,400 Williams-Sonoma(a).................. 1,078,350
----------
16,758,356
----------
NEW HEALTH CARE PARADIGM - 5.44%
29,500 Cardinal Health Inc. ............... 1,895,375
30,800 Express Scripts(a).................. 1,439,900
18,200 HBO & Co............................ 1,715,350
43,200 Healthsouth Corp.(a)................ 1,468,800
36,500 Omnicare Inc. ...................... 1,966,438
34,100 Universal Health Services(a)........ 1,811,563
----------
10,297,426
----------
OUR STRENGTHENING
FINANCIAL STRUCTURE - 0.75%
43,700 Vesta Insurance Group .............. 1,425,712
----------
</TABLE>

See Notes to Financial Statements on Page 13

9
<PAGE> 10

- --------------------------------------------------------------------------------
Capital Appreciation Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 1996 (unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES DESCRIPTION VALUE
- ----------- ------------------------------------ -------------
<C> <S> <C>
PRODUCTIVITY ENHANCEMENT - 4.90%
23,000 Applied Material(a)................. $ 802,125
24,900 Catalina Marketing Corp.(a)......... 1,945,312
34,200 Checkpoint Systems Inc.(a).......... 850,725
51,700 KLA Instruments Corp.(a)............ 1,169,712
72,600 Parametric Technology Corp.(a)...... 2,840,475
12,900 Sterling Software(a)................ 909,450
42,600 Tencor Instruments(a)............... 766,800
----------
9,284,599
----------
REDISTRIBUTION OF DEBT - 2.59%
85,600 Green Tree Financial Corp. ......... 2,942,500
70,500 The Money Store Inc. ............... 1,965,188
----------
4,907,688
----------
RE-ENERGIZING AMERICA - 3.45%
66,000 Baker Hughes Inc. .................. 1,930,500
57,300 BJ Services Co.(a).................. 1,919,550
80,100 Global Marine Inc. ................. 801,000
49,700 Tidewater Inc. ..................... 1,888,600
----------
6,539,650
----------
STORES OF VALUE - 7.85%
24,500 Baby Superstores(a)................. 1,114,750
37,400 Bed Bath & Beyond, Inc.(a).......... 1,972,850
62,100 Borders Group Inc.(a)............... 1,769,850
69,600 Consolidated Stores Corp.(a)........ 2,331,600
32,200 Dollar General Corp. ............... 933,800
55,600 The Men's Wearhouse Inc.(a)......... 1,751,400
48,900 Pep-Boys-Manny Moe & Jack........... 1,638,150
44,400 PetSmart Inc.(a).................... 1,609,500
93,600 Price/Costco Inc.(a)................ 1,755,000
----------
14,876,900
----------
TELECOMMUNICATIONS - 6.10%
21,200 ADC Telecommunications Inc.(a) ..... 731,400
40,100 Adtran Inc.(a)...................... 1,834,575
38,800 Andrew Corp.(a)..................... 1,484,100
36,000 Aspect Telecommunication(a)......... 1,647,000
60,500 Bay Networks Inc.(a)................ 1,860,375
44,800 Newbridge Networks Co.(a)........... 2,520,000
63,300 Premiere Technologies Inc.(a)....... 1,471,725
----------
11,549,175
----------

<CAPTION>
SHARES DESCRIPTION VALUE
- ----------- ------------------------------------ -------------
<C> <S> <C>
THE GREYING OF AMERICA - 4.08%
31,300 Boston Scientific Corp.(a).......... $ 1,439,800
34,800 Guidant Corp. ...................... 1,883,550
39,300 Nellcor Puritan Bennett Inc.(a)..... 2,525,025
55,300 Sofamor Danek Group(a).............. 1,873,288
----------
7,721,663
----------
THE UBIQUITOUS SEMICONDUCTOR - 2.42%
42,900 Altera Corp.(a) .................... 2,397,037
56,200 Atmel Corp.(a)...................... 1,433,100
24,300 Micron Technology Inc. ............. 762,413
----------
4,592,550
----------
TOTAL COMMON STOCKS
(Cost $161,284,241)............................. $ 177,878,344
----------
U.S. TREASURY BILL - 10.35%
PRINCIPAL
AMOUNT
- -----------
$19,825,000 5.15% 6/20/96 (Cost $19,607,773).... $ 19,606,925
----------
TOTAL INVESTMENTS
(Cost $180,892,014) - 104.25%................... $ 197,485,269
Liabilities in Excess of Other
Assets - (4.25)%................................ (8,058,355)
----------
NET ASSETS - 100.00%............................. $ 189,426,914
----------
</TABLE>

- ------------------
(a) Non-Income Producing Security

See Notes to Financial Statements on Page 13

10
<PAGE> 11

- --------------------------------------------------------------------------------
Capital Appreciation Portfolio
STATEMENT OF ASSETS AND LIABILITIES March 31, 1996 (unaudited)
- --------------------------------------------------------------------------------

<TABLE>
<S> <C>
ASSETS
Investments, at Value (Cost $180,892,014).................................................................... $ 197,485,269
Receivable for Securities Sold............................................................................... 3,669,701
Dividends Receivable......................................................................................... 6,319
Prepaid Expenses and Other................................................................................... 738
------------
Total Assets.................................................................................................... 201,162,027
------------
LIABILITIES
Due to Bankers Trust......................................................................................... 86,252
Due to Custodian............................................................................................. 3,952
Payable for Securities Purchased............................................................................. 11,628,216
Accrued Expenses and Other................................................................................... 16,693
------------
Total Liabilities............................................................................................... 11,735,113
------------
NET ASSETS...................................................................................................... $ 189,426,914
============
COMPOSITION OF NET ASSETS
Paid-in Capital.............................................................................................. $ 172,833,659
Net Unrealized Appreciation on Investments................................................................... 16,593,255
------------
NET ASSETS, MARCH 31, 1996...................................................................................... $ 189,426,914
============
</TABLE>

STATEMENT OF OPERATIONS For the six months ended March 31, 1996 (unaudited)
- --------------------------------------------------------------------------------

<TABLE>
<S> <C>
INVESTMENT INCOME
Dividends (Net of Foreign Withholding Taxes of $1,142)....................................................... $ 100,098
Interest..................................................................................................... 407,356
------------
Total Investment Income......................................................................................... 507,454
------------
EXPENSES
Advisory..................................................................................................... 546,623
Administration and Services.................................................................................. 84,096
Professional................................................................................................. 19,062
Trustees..................................................................................................... 1,532
Shareholders Reports......................................................................................... 925
Miscellaneous................................................................................................ 735
------------
Total Expenses............................................................................................... 652,973
Expenses Absorbed by Bankers Trust........................................................................... (148,398)
------------
Net Expenses.................................................................................................... 504,575
------------
NET INVESTMENT INCOME........................................................................................... 2,879
------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net Realized Gain on Investment Transactions................................................................. 16,902,854
Net Change in Unrealized (Appreciation) of Investments....................................................... (16,152,731)
------------
NET GAIN ON INVESTMENTS......................................................................................... 750,123
------------
NET INCREASE IN NET ASSETS FROM OPERATIONS...................................................................... $ 753,002
============
</TABLE>

See Notes to Financial Statements on Page 13

11
<PAGE> 12

- --------------------------------------------------------------------------------
Capital Appreciation Portfolio
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------

<TABLE>
<CAPTION>
FOR THE SIX
MONTHS ENDED FOR THE PERIOD
MARCH 31, 1996 JANUARY 1, 1995 TO
(UNAUDITED) SEPTEMBER 30, 1995
-------------- ------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS
Net Investment Income.............................................................. $ 2,879 $ 10,500
Net Realized Gain from Investments................................................. 16,902,854 11,774,764
Net Unrealized Appreciation (Depreciation) on Investments.......................... (16,152,731) 23,909,639
------------ ------------
Net Increase in Net Assets from Operations............................................ 753,002 35,694,903
------------ ------------
CAPITAL TRANSACTIONS
Proceeds from Capital Invested..................................................... 64,319,770 63,887,608
Value of Capital Withdrawn......................................................... (25,533,747) (23,328,952)
------------ ------------
Net Increase in Net Assets from Capital Transactions.................................. 38,786,023 40,558,656
------------ ------------
TOTAL INCREASE IN NET ASSETS.......................................................... 39,539,025 76,253,559
NET ASSETS
Beginning of Period................................................................... 149,887,889 73,634,330
------------ ------------
End of Period......................................................................... $189,426,914 $149,887,889
============ ============
</TABLE>

FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------

Contained below are selected ratios and supplemental data for each of the
periods indicated for the Capital Appreciation Portfolio.

<TABLE>
<CAPTION>
FOR THE PERIOD
FOR THE SIX MARCH 9, 1993
MONTHS ENDED FOR THE PERIOD (COMMENCEMENT OF
MARCH 31, 1996 JANUARY 1, 1995 TO FOR THE YEAR ENDED OPERATIONS) TO
(UNAUDITED) SEPTEMBER 30, 1995 DECEMBER 31, 1994 DECEMBER 31, 1993
--------------- ------------------- ------------------- -------------------
<S> <C> <C> <C> <C>
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (000's
omitted)......................... $ 189,427 $ 149,888 $73,634 $37,076
Ratios to Average Net Assets
Net Investment Income.......... 0.00%*+ 0.01%* 0.08% 0.38%*
Expenses....................... 0.60%* 0.60%* 0.60% 0.60%*
Decrease Reflected in Above
Expense Ratio Due to
Absorption of Expenses by
Bankers Trust................. 0.18%* 0.18%* 0.23% 0.41%*
Portfolio Turnover Rate............ 193% 125% 157% 137%
</TABLE>

- ------------------
* Annualized
+ Less than .001%

See Notes to Financial Statements on Page 13

12
<PAGE> 13

- --------------------------------------------------------------------------------
Capital Appreciation Portfolio
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------

NOTE 1 -- ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
A. Organization
The Capital Appreciation Portfolio (the "Portfolio") is registered under the
Investment Company Act of 1940 (the "Act"), as amended, as open-end management
investment company. The Portfolio was organized on October 28, 1992 as an
unincorporated trust under the laws of New York and commenced operations on
March 9, 1993. The Declaration of Trust permits the Board of Trustees (the
"Trustees") to issue beneficial interests in the Portfolio.

B. Security Valuation
The Portfolio's investments are valued each business day by an independent
pricing service (the "Service") approved by the Board of Trustees. Securities
traded on national exchanges or traded in the NASDAQ National Market System are
valued at the last sales prices reported at the close of business.
Over-the-counter securities not included in the NASDAQ National Market System
and listed securities for which no sale was reported are valued at the mean of
the bid and asked prices. Short-term obligations with remaining maturities of 60
days or less are valued at amortized cost which with accrued interest
approximates value. Securities for which quotations are not available are stated
at fair value as determined by the Board of Trustees.

C. Security Transactions and Investment Income
Security transactions are accounted for on a trade date basis (date the order to
buy or sell is executed). Dividend income is recorded on the ex-dividend date.
Interest income is recorded on the accrual basis and includes amortization of
premium and discount on investments. Realized gains and losses from securities
transactions are recorded on the identified cost basis.

All of the net investment income and realized and unrealized gains and losses
from the security transactions of the Portfolio are allocated pro rata among the
investors in the Portfolio at the time of such determination.

D. Federal Income Taxes
It is the Portfolio's policy to comply with the requirements of the Internal
Revenue Code. Therefore, no federal income tax provision is required.

E. 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 March 31, 1996, this fee aggregated
$84,096.

The Portfolio has entered into an Advisory Agreement with Bankers Trust. Under
this Advisory Agreement, the Portfolio pays Bankers Trust an advisory fee
computed daily and paid monthly at an annual rate of 0.65 of 1% of the
Portfolio's average daily net assets. For the six months ended March 31, 1996,
this fee aggregated $546,623.

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 March 31,
1996, expenses of the Portfolio have been reduced $148,398.

Certain trustees and officers of the Portfolio are also directors, officers
and/or employees of Signature. None of the trustees so affiliated received
compensation for services as trustee of the Portfolio. Similarly, none of the
Portfolio's officers received compensation from the Portfolio.

NOTE 3 -- PURCHASES AND SALES OF INVESTMENT SECURITIES
The aggregate cost of purchases and proceeds from sales of investments, other
than short-term obligations, for the six months ended March 31, 1996, were
$347,308,647 and $300,112,811, respectively. For federal income tax purposes,
the tax basis of investments held at March 31, 1996 was $182,110,912. The
aggregate gross unrealized appreciation for all investments was $19,322,137 and
the aggregate gross unrealized depreciation for all investments was $3,947,780.

13
<PAGE> 14

[This page intentionally left blank]
<PAGE> 15

[This page intentionally left blank]
<PAGE> 16

BT PYRAMID FUNDS
EQUITY APPRECIATION 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 Investment
Equity Appreciation Fund may be obtained by calling or writing to Investors
Fiduciary Trust Company or Signature Broker-Dealer Services, Inc., the primary
Servicing Agent and Distributor, respectively, of BT Pyramid Funds:

BT PYRAMID FUNDS
Investors Fiduciary Trust Company
127 West 10th Street
Kansas City, MO 64105
(800) 730-1313

BT PYRAMID FUNDS
Signature Broker-Dealer Services, Inc.
6 St. James Avenue
Boston, MA 02116
(800) 545-1074

You may write to the BT Investment Equity Appreciation Fund
at the following address:
BT PYRAMID FUNDS
6 St. James Avenue
Boston, MA 02116
<PAGE> 17

-BT PYRAMID FUNDS-

BT INVESTMENT
LIMITED TERM
U.S. GOVERNMENT
SECURITIES FUND

SEMI-ANNUAL REPORT
- --------------------------------------------------------------------------------
MARCH - 1996
<PAGE> 18

- --------------------------------------------------------------------------------
BT Investment Limited Term U.S. Government Securities Fund
TABLE OF CONTENTS
- --------------------------------------------------------------------------------

<TABLE>
<S> <C>
LETTER TO SHAREHOLDERS.................................................................. 3
BT INVESTMENT LIMITED TERM U.S. GOVERNMENT SECURITIES FUND
Statement of Assets and Liabilities................................................. 5
Statement of Operations............................................................. 5
Statements of Changes in Net Assets................................................. 6
Financial Highlights................................................................ 6
Notes to Financial Statements....................................................... 7
SHORT/INTERMEDIATE U.S. GOVERNMENT SECURITIES PORTFOLIO
Schedule of Portfolio Investments................................................... 8
Statement of Assets and Liabilities................................................. 9
Statement of Operations............................................................. 9
Statements of Changes in Net Assets................................................. 10
Financial Highlights................................................................ 10
Notes to Financial Statements....................................................... 11
</TABLE>

2
<PAGE> 19

- --------------------------------------------------------------------------------
BT Investment Limited Term U.S. Government Securities Fund
LETTER TO SHAREHOLDERS
- --------------------------------------------------------------------------------

We are pleased to present you with this newly-designed semi-annual report for
the BT Investment Limited Term U.S. Government Securities Fund, providing a more
detailed review of the markets, the portfolio, and our outlook -- all in an
easier-to-read format. Of course, we continue to include a complete financial
summary of the Fund's operations and a listing of the Portfolio's holdings.

The Limited Term U.S. Government Securities Fund (the "Fund") returned 2.64% for
the six months ended March 31, 1996, as compared to 2.85% for the Lehman 1-3
Year Government Index and 2.46% for the Lipper Short U.S. Government Funds
Average. Since its inception on August 24, 1992, the Fund is up 17.76%.

Because this is the first report after the change in the Fund's fiscal year-end
from December to September and you were sent a report for the twelve months
ended December 31, 1995, the following semi-annual review will actually cover
activities only for the one quarter since then. Thus, please note that for the
quarter ended March 31, 1996, the Fund had a return of 0.33% versus 0.38% for
the Lehman 1-3 Year Government Index and 0.14% for the Lipper Short U.S.
Government Funds Average.

MARKET ACTIVITY

In contrast to the strong rally of 1995, the first quarter of 1996 saw rates
increase dramatically in the bond market, primarily due to stronger than
expected economic indicators in general and the early February 1996 report
indicating higher than anticipated employment figures in particular. Other
factors also contributed to the market decline, including the introduction of
political uncertainty during the early weeks of the Republican primaries, a
breakdown in balanced budget negotiations within the U.S. government, and a
stronger supply than demand of securities. It is interesting to note that the
market reversed even with yet another cut in interest rates by the Federal
Reserve Board at the end of January 1996.

With this seeming end to the bond market rally, long-term bond yields increased
most sharply, as the yields on 10-year U.S. Treasury Notes rose by 0.75%. The
yield curve steepened, as yields on 2-year U.S. Treasury Notes rose by just
0.60%.

INVESTMENT REVIEW

The change in yields on the 2-year U.S. Treasuries moved somewhat faster than we
had anticipated, and so the Fund underperformed its benchmark slightly. Still,
we did shift the portfolio's duration from longer than the Index to shorter than
the Index in midquarter, and we were able to capture substantial gains from this
position as the market traded off most considerably through February and March
1996. As of March 31, 1996 the Fund had a duration of 1.5 years as compared to
1.75 years for the Index.

While we decreased our holdings of 5-year U.S. Treasuries in favor of 2-year
U.S. Treasuries, the Fund still remains overweighted in U.S. Treasury
securities. As of March 31, 1996 the Fund was allocated 85.0% to U.S. Treasury
Notes, 12.2% to repurchase agreement, and 2.8% to U.S. Government Agency.

LOOKING AHEAD

Our outlook is for a steadily growing economy with low to moderate inflation.
Despite this overall positive backdrop, we expect the fixed income markets to
continue to experience comparatively high volatility, as new economic data is
released in the months ahead and fears of inflation start creeping back. Our
concern is that the Federal Reserve Board may begin tightening its monetary
policy, tweaking interest rates higher. Thus, as a defensive move, we continue
to maintain our shorter duration as compared to the Index for the near term.

We will, of course, continue monitoring economic conditions and how they affect
the financial markets, as we seek to provide high levels of current income with
the preservation of capital.

* * *

We value your ongoing support of the BT Investment Limited Term U.S. Government
Securities Fund and look forward to continuing to serve your investment needs in
the years ahead.

3
<PAGE> 20

The following graph illustrates the Fund's return versus the Lehman 1-3 Year
Government Index from August 31, 1992 to March 31, 1996, assuming a $10,000
initial investment:
- --------------------------------------------------------------------------------
COMPARISON OF CHANGE
IN VALUE OF A $10,000
INVESTMENT IN THE BT
INVESTMENT LIMITED
TERM U.S. GOVERNMENT
SECURITIES FUND AND
THE LEHMAN 1-3 YEAR
GOVERNMENT INDEX

<TABLE>
<S> <C>
TOTAL RETURN
ENDED MARCH 31, 1996
One Year Since 8/24/92*
7.16% 17.76%
* 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>

<TABLE>
<CAPTION>
BT Investment Lim-
ited Term U.S. Gov-
Measurement Period ernment Securities Lehman 1 - 3 Year
(Fiscal Year Covered) Fund Gove rnment Index
<S> <C> <C>
8/31/92 10000 10000
9/30/92 10111 10094
12/31/92 10044 10115
3/31/93 10310 10333
6/30/93 10404 10448
9/30/93 10613 10592
12/31/93 10666 10659
3/31/94 10597 10607
6/30/94 10614 10607
9/30/94 10630 10714
12/31/94 10659 10714
3/31/95 10958 11070
6/30/95 11307 11421
9/30/95 11440 11591
12/31/95 11704 11876
3/31/96 11742 11921
</TABLE>

[GRAPH]
- --------------------------------------------------------------------------------

<TABLE>
<S> <C> <C>
OBJECTIVE Seeks high level of current income with the preservation of capital.
- ------------------------------------------------------------------------------------------------------------------
INVESTMENT INSTRUMENTS Direct obligations issued or guaranteed by the U.S. Government, or its agencies and
instrumentalities, including repurchase agreements collateralized by U.S. Government
obligations. The average weighted maturity of securities will range from two to five
years.
- ------------------------------------------------------------------------------------------------------------------
DIVERSIFICATION OF PORTFOLIO
INVESTMENTS BY ASSET TYPE
as of March 31, 1996 (unaudited)
(percentages are based on market value)
</TABLE>

2.8% U.S. Government Agency
12.2% Repurchase Agreement
85.0% U.S. Treasury Notes

[PIE CHART]
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ABOUT THE LOU HUDSON
PORTFOLIO MANAGER VICE PRESIDENT
- Thirty-three years of investment experience
- Specializes in short-intermediate fixed
income securities
- BA-City College of New York

<CAPTION>
ABOUT THE

<CAPTION>
PORTFOLIO MANAGER
</TABLE>

<PAGE> 21

- --------------------------------------------------------------------------------
BT Investment Limited Term U.S. Government Securities Fund
STATEMENT OF ASSETS AND LIABILITIES March 31, 1996 (unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investment in Short/Intermediate U.S. Government Securities Portfolio, at Value................................ $29,877,952
Receivable for Shares of Beneficial Interest Subscribed........................................................ 779
Deferred Organizational Expenses............................................................................... 5,029
Prepaid Expenses............................................................................................... 14,875
Due from Bankers Trust......................................................................................... 32,292
---------
Total Assets...................................................................................................... 29,930,927
---------
LIABILITIES
Dividends Payable.............................................................................................. 586
Accrued Expenses and Other..................................................................................... 38,453
---------
Total Liabilities................................................................................................. 39,039
---------
NET ASSETS ($0.001 Par Value Per Share, Unlimited Number of Shares of Beneficial Interest Authorized)............. $29,891,888
=========
SHARES OUTSTANDING................................................................................................ 3,029,425
=========
NET ASSET VALUE AND REDEMPTION PRICE PER SHARE.................................................................... $ 9.87
=========
COMPOSITION OF NET ASSETS
Paid-in Capital................................................................................................ $29,892,264
Undistributed Net Realized Gain from Investment Transactions................................................... 105,002
Net Unrealized Depreciation on Investments..................................................................... (105,378)
---------
NET ASSETS, MARCH 31, 1996........................................................................................ $29,891,888
=========
</TABLE>

STATEMENT OF OPERATIONS For the Period January 1, 1996 to March 31, 1996
(unaudited)
- --------------------------------------------------------------------------------

<TABLE>
<S> <C>
INVESTMENT INCOME
Income Allocated from Short/Intermediate U.S. Government Securities Portfolio, net.............................. $ 413,102
----------
EXPENSES
Administration and Services..................................................................................... 23,430
Registration.................................................................................................... 18,047
Shareholders Reports............................................................................................ 7,119
Professional.................................................................................................... 1,873
Trustees........................................................................................................ 1,668
Amortization of Organization Expenses........................................................................... 897
Miscellaneous................................................................................................... 250
----------
Total Expenses.................................................................................................. 53,284
Less: Expenses Absorbed by Bankers Trust........................................................................ (29,854)
----------
Net Expenses................................................................................................ 23,430
----------
NET INVESTMENT INCOME.............................................................................................. 389,672
----------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net Realized Gain from Investment Transactions.................................................................. 79,378
Net Change in Unrealized Depreciation of Investments............................................................ (348,442)
----------
NET LOSS ON INVESTMENTS............................................................................................ (269,064)
----------
NET INCREASE IN NET ASSETS FROM OPERATIONS......................................................................... $ 120,608
===========
</TABLE>

See Notes to Financial Statements on Page 7

5
<PAGE> 22

- --------------------------------------------------------------------------------
BT Investment Limited Term U.S. Government Securities Fund
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------

<TABLE>
<CAPTION>
**FOR THE
PERIOD JANUARY
1, 1996 TO FOR THE YEAR
MARCH 31, 1996 ENDED DECEMBER
(UNAUDITED) 31, 1995
--------------- -----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net Investment Income................................................................ $ 389,672 $ 1,766,090
Net Realized Gain from Investment Transactions....................................... 79,378 463,090
Net Unrealized Appreciation (Depreciation) on Investments............................ (348,442) 628,130
--------------- -----------------
Net Increase in Net Assets from Operations.............................................. 120,608 2,857,310
--------------- -----------------
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income................................................................ (389,672) (1,766,090)
--------------- -----------------
TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST
Net Increase (Decrease) from Transactions in Shares of Beneficial Interest........... 291,060 (2,523,359)
--------------- -----------------
TOTAL INCREASE (DECREASE) IN NET ASSETS................................................. 21,996 (1,432,139)
NET ASSETS
Beginning of Period..................................................................... 29,869,892 31,302,031
--------------- -----------------
End of Period........................................................................... $29,891,888 $29,869,892
=============== ================
</TABLE>

FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------

<TABLE>
<CAPTION>
**FOR THE
PERIOD
JANUARY 1, FOR THE PERIOD
1996 FOR THE YEAR AUGUST 24, 1992
TO MARCH 31, ENDED DECEMBER 31, (COMMENCEMENT
1996 ------------------------------ OF OPERATIONS) TO
(UNAUDITED) 1995 1994 1993 DECEMBER 31, 1992
-------------- -------------- -------------- -------------- -----------------
<S> <C> <C> <C> <C> <C>
PER SHARE OPERATING
PERFORMANCE:
NET ASSET VALUE, BEGINNING
OF PERIOD.................. $ 9.96 $ 9.61 $ 10.06 $ 9.93 $ 10.00
------- ------- ------- ------ ------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income.... 0.12 0.57 0.44 0.41 0.14
Net Realized and
Unrealized Gain (Loss)
on Investment
Transactions........... (0.09) 0.35 (0.45) 0.20 (0.07)
------- ------- ------- ------ ------
Total from Investment
Operations................. 0.03 0.92 (0.01) 0.61 0.07
------- ------- ------- ------ ------
DISTRIBUTIONS TO
SHAREHOLDERS
Net Investment Income.... (0.12) (0.57) (0.44) (0.41) (0.14)
Net Realized Gain from
Investment
Transactions........... -- -- -- (0.07) --
------- ------- ------- ------ ------
Total Distributions......... (0.12) (0.57) (0.44) (0.48) (0.14)
------- ------- ------- ------ ------
NET ASSET VALUE, END OF
PERIOD..................... $ 9.87 $ 9.96 $ 9.61 $ 10.06 $ 9.93
=========== ========= ========= ======= ============
TOTAL INVESTMENT RETURN..... 0.33% 9.81% (0.08)% 6.21% 2.02%*
RATIOS AND SUPPLEMENTAL
DATA:
Net Assets, End of Period
(000's omitted)............ $ 29,892 $ 29,870 $ 31,302 $ 3,462 $ 3,188
Ratios to Average Net Assets
Net Investment Income.... 4.99%* 5.81% 4.69% 4.35% 4.08%*
Expenses, including
Expenses of the Short
Intermediate U.S.
Government Securities
Portfolio.............. 0.60%* 0.60% 0.60% 0.60% 0.60%*
Decrease Reflected in
Above Expense Ratio Due
to Absorption of
Expenses by Bankers
Trust.................. 0.42%* 0.24% 0.34% 1.43% 5.60%*
</TABLE>

- ------------------
* Annualized
** On February 9, 1996, the Board of Trustees approved the change of the fiscal
year end from December 31 to September 30.

See Notes to Financial Statements on Page 7

6
<PAGE> 23

- --------------------------------------------------------------------------------
BT Investment Limited Term U.S. Government Securities 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 Investment Limited Term
U.S. Government Securities 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 August 24, 1992. The Fund invests substantially all of
its assets in the Short/Intermediate U.S. Government Securities 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, 1996, the Fund's investment was
approximately 55% of the Portfolio.

The financial statements of the Portfolio, including the Schedule of Portfolio
Investments, are contained elsewhere in this report.

During fiscal year of 1996, the Fund changed its year-end to September 30th.

B. Investment Income
The Fund earns interest 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 evenly over a period of sixty months.

D. Dividends
The Fund declares dividends daily from net investment income and pays these
dividends monthly. 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, will be made
annually to the extent they are not offset by any capital loss carryforwards.

E. Federal Income Taxes
It is the Fund's policy to comply with the requirements of the Internal Revenue
Code applicable to regulated investment companies and 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 the Fund, while
expenses which are attributable to all of the Trust's funds are allocated among
them.

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 0.30 of 1% of the Fund's average daily net assets.
For the period January 1, 1996 to March 31, 1996, this fee aggregated $23,430.

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 of the 1940 Act, Signature may seek reimbursement, at an
annual rate not exceeding 0.20 of 1% of the Fund's average daily net assets, for
expenses incurred in connection with any activities primarily intended to result
in the sale of the Fund's shares. For the period January 1, 1996 to March 31,
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 0.30 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 period January 1, 1996 to March 31, 1996, expenses of the
Fund have been reduced by $29,854.

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.

NOTE 3 -- SHARES OF BENEFICIAL INTEREST
At March 31, 1996, there were an unlimited number of shares of beneficial
interest authorized. Transactions in shares of beneficial interest were as
follows:

FOR THE PERIOD
JANUARY 1, 1996
TO MARCH 31, 1996 FOR THE YEAR ENDED
(UNAUDITED) DECEMBER 31, 1995
---------------------- -------------------------
SHARES AMOUNT SHARES AMOUNT
-------- ----------- ---------- ------------
<S> <C> <C> <C> <C>
Sold................................... 431,946 $ 4,295,538 1,207,729 $ 11,921,648
Reinvested............................. 39,085 387,923 178,335 1,754,361
Redeemed............................... (441,895) (4,392,401) (1,643,080) (16,199,368)
-------- ----------- ---------- ------------
Net Increase (Decrease)................ 29,136 $ 291,060 (257,016) $ (2,523,359)
======== ========== ======== ============
</TABLE>

7
<PAGE> 24

- --------------------------------------------------------------------------------
Short/Intermediate U.S. Government Securities Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 1996 (unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT DESCRIPTION VALUE
- ------------ ------------------------------------ ------------
<S> <C>
U.S. GOVERNMENT & AGENCY OBLIGATIONS
- 86.74%
U.S. TREASURY NOTES - 83.99%
$ 1,500,000 7.50%, 12/31/96..................... $ 1,522,974
7,000,000 5.875%, 7/31/97..................... 7,020,764
5,150,000 5.375%, 11/30/97.................... 5,120,214
8,090,000 5.25%, 12/31/97..................... 8,024,279
9,970,000 5.00%, 1/31/98...................... 9,838,378
860,000 5.125%, 2/28/98..................... 850,058
10,000,000 5.50%, 11/15/98..................... 9,901,563
2,600,000 5.00%, 2/15/99...................... 2,539,462
1,000,000 7.125%, 9/30/99..................... 1,035,002
---------
45,852,694
---------
U.S. GOVERNMENT AGENCY - 2.75%
1,500,000 Tennessee Valley Authority, 6.00%,
1/15/97............................ 1,502,104
---------
TOTAL U.S. GOVERNMENT & AGENCY OBLIGATIONS
(Cost $47,837,408)................................. 47,354,798
---------

<CAPTION>
PRINCIPAL
AMOUNT DESCRIPTION VALUE
- ------------ ------------------------------------ ------------
<S> <C>
SHORT-TERM INVESTMENT - 12.10%
REPURCHASE AGREEMENT - 12.10%
$ 6,606,801 Repurchase Agreement with Sanwa
Bank, Dated 3/29/96, 5.35%,
Principal and Interest in the
Amount of $6,609,747, due 4/1/96,
Collateralized by U.S. Treasury
Notes, par value of $6,550,000,
5.75%, due 9/30/97 (Value of
$6,716,043) (Cost $6,606,801) $ 6,606,801
---------
TOTAL INVESTMENTS
(Cost $54,444,209) - 98.84%........................ 53,961,599
Other Assets less Liabilities - 1.16%.............. 634,429
---------
NET ASSETS - 100.00%............................... $ 54,596,028
=========
</TABLE>

See Notes to Financial Statements on Page 11

8
<PAGE> 25

- --------------------------------------------------------------------------------
Short/Intermediate U.S. Government Securities Portfolio
STATEMENT OF ASSETS AND LIABILITIES March 31, 1996 (unaudited)
- --------------------------------------------------------------------------------

<TABLE>
<S> <C>
ASSETS
Investments, at Value (Cost $54,444,209, including Repurchase Agreement amounting to $6,606,801).............. $ 53,961,599
Interest Receivable........................................................................................... 651,916
Prepaid Expenses and Other.................................................................................... 23,465
------------
Total Assets..................................................................................................... 54,636,980
------------
LIABILITIES
Due to Bankers Trust.......................................................................................... 5,423
Accrued Expenses and Other.................................................................................... 35,529
------------
Total Liabilities................................................................................................ 40,952
------------
NET ASSETS....................................................................................................... $ 54,596,028
============
COMPOSITION OF NET ASSETS
Paid-in Capital............................................................................................... 55,078,638
Net Unrealized Depreciation on Investments.................................................................... (482,610)
------------
NET ASSETS, MARCH 31, 1996....................................................................................... $ 54,596,028
============
</TABLE>

STATEMENT OF OPERATIONS For the Period January 1, 1996 to March 31, 1996
(unaudited)
- --------------------------------------------------------------------------------

<TABLE>
<S> <C>
INVESTMENT INCOME
Interest........................................................................................................ $ 804,008
---------
EXPENSES
Advisory........................................................................................................ 36,037
Administration and Services..................................................................................... 7,207
Professional.................................................................................................... 4,613
Trustees........................................................................................................ 721
Miscellaneous................................................................................................... 407
---------
Total Expenses.................................................................................................. 48,985
Expenses Absorbed by Bankers Trust.............................................................................. (5,741)
---------
Net Expenses................................................................................................ 43,244
---------
NET INVESTMENT INCOME.............................................................................................. 760,764
---------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net Realized Gain on Investment Transactions.................................................................... 141,989
Net Change in Unrealized Depreciation of Investments............................................................ (656,897)
---------
NET LOSS ON INVESTMENTS............................................................................................ (514,908)
---------
NET INCREASE IN NET ASSETS FROM OPERATIONS......................................................................... $ 245,856
=========
</TABLE>

See Notes to Financial Statements on Page 11

9
<PAGE> 26

- --------------------------------------------------------------------------------
Short/Intermediate U.S. Government Securities Portfolio
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------

<TABLE>
<CAPTION>
FOR THE PERIOD
JANUARY 1, 1996 FOR THE YEAR
TO MARCH 31, 1996 ENDED
(UNAUDITED) DECEMBER 31, 1995
----------------- -----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net Investment Income.............................................................. $ 760,764 $ 3,185,902
Net Realized Gain from Investment Transactions..................................... 141,989 834,099
Net Unrealized Appreciation (Depreciation) on Investments.......................... (656,897) 965,227
----------------- -----------------
Net Increase in Net Assets from Operations............................................ 245,856 4,985,228
----------------- -----------------
CAPITAL TRANSACTIONS
Proceeds from Capital Invested..................................................... 7,389,831 24,442,594
Value of Capital Withdrawn......................................................... (8,217,572) (21,520,447)
----------------- -----------------
Net Increase (Decrease) in Net Assets from Capital Transactions....................... (827,741) 2,922,147
----------------- -----------------
TOTAL INCREASE (DECREASE) IN NET ASSETS............................................... (581,885) 7,907,375
NET ASSETS
Beginning of Period................................................................... 55,177,913 47,270,538
----------------- -----------------
End of Period......................................................................... $54,596,028 $ 55,177,913
================= =================
</TABLE>

FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------

Contained below are selected ratios and supplemental data for each of the
periods indicated for the Short/Intermediate U.S. Government Securities
Portfolio.
<TABLE>
<CAPTION>
FOR THE PERIOD FOR THE YEAR
JANUARY 1, 1996 ENDED DECEMBER 31,
TO MARCH 31, 1996 ---------------------------------------
(UNAUDITED) 1995 1994
----------------- ----------------- -----------------
<S> <C> <C> <C>
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (000's omitted).................... $54,596 $ 55,178 $ 47,271
Ratios to Average Net Assets
Net Investment Income..................................... 5.28%* 6.09% 4.91%
Expenses.................................................. 0.30%* 0.30% 0.30%
Decrease Reflected in Above Expense Ratio Due to
Absorption of Expenses by Bankers Trust................. 0.04%* 0.05% 0.09%
Portfolio Turnover Rate...................................... 107% 246% 202%

<CAPTION>
FOR THE PERIOD
AUGUST 24, 1992
FOR THE YEAR (COMMENCEMENT
ENDED DECEMBER 31, OF OPERATIONS) TO
1993 DECEMBER 31, 1992
----------------- -----------------
<S> <C> <C>
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (000's omitted).................... $ 17,729 $ 4,999
Ratios to Average Net Assets
Net Investment Income..................................... 4.25% 4.36%*
Expenses.................................................. 0.30% 0.30%*
Decrease Reflected in Above Expense Ratio Due to
Absorption of Expenses by Bankers Trust................. 0.25% 1.41%*
Portfolio Turnover Rate...................................... 267% 75%
</TABLE>

- ------------------
* Annualized

See Notes to Financial Statements on Page 11

10
<PAGE> 27

- --------------------------------------------------------------------------------
Short/Intermediate U.S. Government Securities Portfolio
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------

NOTE 1 -- ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
A. Organization
The Short/Intermediate U.S. Government Securities 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
December 11, 1991, as an unincorporated trust under the laws of New York and
commenced operations on August 24, 1992. The Declaration of Trust permits the
Board of Trustees (the "Trustees") to issue beneficial interests in the
Portfolio.

In fiscal 1996, the Portfolio changed its year end to September 30th.

B. Security Valuation
The Portfolio's investments are carried at fair market value as determined by an
independent pricing service at the end of each business day. Short-term
obligations with remaining maturities of 60 days or less, are valued at
amortized cost which with accrued interest approximates value. Securities for
which quotations are not available are stated at fair value as determined by the
Board of Trustees.

C. Security Transactions and Interest Income
Security transactions are accounted for on a trade date basis. Interest income
is recorded on the accrual basis and includes amortization of premium and
discount on investments. Realized gains and losses from security 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 and the Portfolio's agreement to resell 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.

D. 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.

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 0.05 of 1% of the Portfolio's average daily
net assets. For the period January 1, 1996 to March 31, 1996, this fee
aggregated $7,207.

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 0.25 of 1% of the
Portfolio's average daily net assets. For the period January 1, 1996 to March
31, 1996, this fee aggregated $36,037.

Bankers Trust has voluntarily undertaken to waive and reimburse expenses of the
Portfolio, to the extent necessary, to limit all expenses to 0.30 of 1% of the
average daily net assets of the Portfolio. For the period January 1, 1996 to
March 31, 1996, expenses of the Portfolio have been reduced by $5,741.

NOTE 3 -- PURCHASES AND SALES OF INVESTMENT SECURITIES
The aggregate cost of purchases and proceeds from sales of investments of
long-term U.S. Government obligations, for the period January 1, 1996 to March
31, 1996, were $52,793,732 and $52,181,449, respectively. For federal income tax
purposes, the tax basis of investments held at March 31, 1996 was $54,518,013.
The aggregate gross unrealized appreciation for all investments was $9,636 and
the aggregate gross unrealized depreciation for all investments was $566,050.

11
<PAGE> 28

BT PYRAMID FUNDS
BT INVESTMENT LIMITED
TERM U.S. GOVERNMENT
SECURITIES 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 Investment
Limited Term U.S. Government Securities Fund may be obtained by calling or
writing to Investors Fiduciary Trust Company or Signature Broker-Dealer
Services, Inc., the primary Servicing Agent and Distributor, respectively, of BT
Pyramid Mutual Funds:

BT PYRAMID MUTUAL FUNDS
Investors Fiduciary Trust Company
127 West 10th Street
Kansas City, MO 64105
(800) 730-1313

BT PYRAMID MUTUAL FUNDS
Signature Broker-Dealer Services, Inc.
6 St. James Avenue
Boston, MA 02116
(800) 545-1074

You may write to the BT Investment Limited Term
U.S. Government Securities Fund at the following address:
BT PYRAMID MUTUAL FUNDS
6 St. James Avenue
Boston, MA 02116
<PAGE> 29

- BT PYRAMID FUNDS-

-------------------------------------------------------------------------

INSTITUTIONAL ASSET
MANAGEMENT FUND

-------------------------------------------------------------------------

ANNUAL REPORT
-------------
MARCH - 1996
<PAGE> 30

- --------------------------------------------------------------------------------
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
Statements of Changes in Net Assets................................................. 7
Financial Highlights................................................................ 7
Notes to Financial Statements....................................................... 8
Report of Independent Accountants................................................... 9
ASSET MANAGEMENT PORTFOLIO
Schedule of Portfolio Investments................................................... 10
Statement of Assets and Liabilities................................................. 14
Statement of Operations............................................................. 14
Statements of Changes in Net Assets................................................. 15
Financial Highlights................................................................ 15
Notes to Financial Statements....................................................... 16
Report of Independent Accountants................................................... 17
</TABLE>

2
<PAGE> 31

- --------------------------------------------------------------------------------
BT Institutional Asset Management Fund
LETTER TO SHAREHOLDERS
- --------------------------------------------------------------------------------

We are pleased to present you with this newly-designed annual report for the BT
Institutional Asset Management Fund, providing a more detailed review of the
markets, the portfolio, and our outlook -- all in an easier-to-read format. Of
course, we continue to include a complete financial summary of the Fund's
operations and a listing of the Portfolio's holdings.

The Fund returned 19.77% for the year ended March 31, 1996, as compared to
22.00% for the Asset Allocation Index-Long Range, 32.10% for the S&P 500 Index,
and 10.86% for the Salomon Broad Investment Grade (BIG) Bond Index. The Lipper
Flexible Portfolio Average had a return of 21.20% for the same period. Since its
inception on September 16, 1993, the Fund is up 24.08%.

In general, the last nine months of 1995 were difficult for asset allocators.
However, in the first quarter of 1996, we achieved strong returns, as we made
strategic moves based on dramatically rising interest rates and economic data
that suggested stronger growth in the U.S. and as we began to take advantage of
opportunities in the international equity and bond markets.

MARKET ACTIVITY

U.S. EQUITIES Concerns about whether the economy was headed for a "hard" or
"soft" landing created what we believed to be a high degree of risk in the U.S.
equity market in the first half of the Fund's fiscal year. After the Federal
Reserve Board lowered interest rates in July and the economy posted a weak
growth number in August, that risk factor seemed less severe and the soft
economic landing seemed confirmed. Though not without interruption to be sure,
the S&P 500 continued to march higher in 1996, bolstered by still-favorable
earnings, the prospects of rising economic activity, and huge in-flows of
retirement funds.

U.S. BONDS After the Federal Reserve Board last raised rates in February 1995,
the favorable economic environment in general and the positive inflation picture
in particular finally convinced the Fed to shift from a tightening to an easing
mode on July 6, 1995. The Fed lowered rates again on December 19, 1995, and once
more at the end of January 1996. So, while there was, in fact, a strong bond
market rally, there was also a great deal of volatility. Early data in 1996
began to reveal a somewhat stronger economy than the consensus was anticipating,
and this evidence has kept some upward pressure on bond yields and downward
pressure on bond prices.

INTERNATIONAL MARKETS The European economy, in general, is lagging the U.S. in
terms of the economic cycle of recovery. Thus, the counterparts to the U.S.'
Federal Reserve Board, including the Bundesbank and the Banque de France, are in
an interest-rate easing mode. We believe this is positive for both stock and
bond investments in Europe. In Japan, we see the recent rise in bond yields as a
good buying opportunity, especially since the nation's economy has not yet fully
recovered and interest rates there should remain low in the near term.

INVESTMENT REVIEW

The Fund's improving performance as the fiscal year progressed was primarily due
to changes we made in asset allocation as market conditions warranted a move
from a more defensive position to taking advantage of some decisive returns and
added value opportunities.

More specifically, we remained underweighted in U.S. stocks in the first quarter
of the Fund's fiscal year based on concerns about the economy and then moved to
a neutral position by August 1995 as uncertainty abated. During this slow period
in the economy, value stocks, which usually perform better during periods of
strong economic expansion, uncharacteristically outperformed growth stocks. The
portfolio was tilted toward growth stocks. This, along with stock selection, did
detract from performance for the year. However, as we became more positive on
equities, we shifted to an overweighting in this asset class from November 1995
through March 1996, and overall, U.S. equities were a major positive contributor
to the Fund's performance.

The Fund's U.S. bond performance was right in line with the Salomon BIG Index
for the fiscal year. Based on the risk we perceived in the bond market's
volatility, we underweighted bonds in the Fund's first fiscal quarter and then
moved to a neutral posture through January 1996. With stronger economic growth
than anticipated, we believe the bond market rally is likely over. Thus we
gradually moved, in the Fund's fourth quarter, to an underweighted position in
the U.S. fixed income market in favor of the international markets.

International investments were introduced to the portfolio on February 12, 1996
to provide investment diversification, reduce risk, and create opportunities for
added return during periods when the U.S. markets are not performing. In fact,
the French and Canadian bond markets performed better than the U.S. bond market
during the quarter, and the Fund's international investments, including those in
German equities and Japanese bonds, did add value over the benchmark for the
period. At the same time, it is important to note that the Fund's focus remains
on the U.S. markets.

As of March 31, 1996, the Fund's asset weightings were 64% in U.S. equities, 20%
in U.S. bonds, 14% in international bonds, and 1% in international equities.
Having moved away from the defensive position held for most of the first half of
the Fund's fiscal year, 1% of the Fund's assets were in cash as of March 31,
1996.

LOOKING AHEAD

In the U.S., our outlook for the next year is one of moderate to above average
economic growth. For one, the economy should start feeling the effects of the
three Federal Reserve Board easings made between July 1995 and January 1996. We
believe that no further action will be taken by the Fed, at least for a while.
And second, given that this is an election year, it is likely that the President
will try to maintain positive economic

3
<PAGE> 32

- --------------------------------------------------------------------------------
BT Institutional Asset Management Fund
LETTER TO SHAREHOLDERS (CONTINUED)
- --------------------------------------------------------------------------------

conditions. Thus, we believe that stocks should outperform bonds, and we have
positioned the Funds to take advantage of this scenario. The portfolio remains
tilted toward growth stocks and underweighted in U.S. bonds.

Our outlook for Europe is one of below average economic growth and prospects of
interest rate reductions. The anticipation of this stimulus should cause stock
and bond markets to react positively, and so we look for some good European
investment opportunities throughout the year. In Japan, the economy seems to be
recovering moderately. As a result, corporate earnings and investor sentiment
are improving. However, the strength and sustainability of a recovery are still
uncertain, and so the Bank of Japan will likely maintain its current monetary
policy. This should be positive for stocks and selectively positive for Japanese
bonds.

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.

- --------------------------------------------------------------------------------
<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
- Eleven 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 two years. Prior to this, spent
five years managing currency overlay
portfolios and four years managing dynamic
hedging and option replication portfolios in
the U.S. stock and bond markets.
- Joined Bankers Trust in 1985
- B.S.E. -- Wharton School of Business
M.B.A. -- New York University
</TABLE>

FEDERAL TAX INFORMATION (UNAUDITED)
- --------------------------------------------------------------------------------

27.96% of the net investment income dividends paid by the BT Investment Asset
Management Fund during the year ended March 31, 1996 qualified for the Dividends
Received Deduction.

The fund paid a long-term capital gain dividend of $0.1277 during the tax year
ended March 31, 1996.

NOTE: 1996 CALENDAR YEAR DIVIDEND RECEIVED DEDUCTION PERCENTAGES WILL BE
DISTRIBUTED UNDER SEPARATE COVER IN JANUARY 1997.

- --------------------------------------------------------------------------------

4
<PAGE> 33
- --------------------------------------------------------------------------------
BT Institutional Asset Management Fund

LETTER TO SHAREHOLDERS
- --------------------------------------------------------------------------------

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

TOTAL RETURN
ENDED MARCH 31, 1996

One Year Since 9/16/93*
19.77% 24.08%

* 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.

[CHART]

<TABLE>
<CAPTION>
Measurement Period BT Institutional Asset Allocation In-
(Fiscal Year Covered) Asset Management Fund S&P 500 Index dex-Long Range**
<S> <C> <C> <C>
9/30/93 10000 10000 10000
12/31/93 10084 10232 10136
3/31/94 9671 9844 9833
6/30/94 9535 9885 9832
9/30/94 9717 10369 10128
12/31/94 9759 10367 10174
3/31/95 10361 11376 10872
6/30/95 11047 12462 11599
9/30/95 11539 13453 12173
12/31/95 12056 14263 12682
3/31/96 12409 15028 13067
</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 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 Monsanto Co. American International Group Inc.
STOCK HOLDINGS General Electric Johnson & Johnson
Merck & Co.
- ------------------------------------------------------------------------------------------------------------------
FIVE LARGEST FIXED U.S. Treasury Notes (11/15/98, 5.50%) U.S. Treasury Notes (11/30/97, 5.375%)
INCOME SECURITIES U.S. Treasury Notes (8/15/22, 7.25%) U.S. Treasury Notes (10/31/00, 5.75%)
U.S. Treasury Notes (1/31/98, 5.00%)
- ------------------------------------------------------------------------------------------------------------------
DIVERSIFICATION BY ASSETS This diversification pie chart shows the Fund's investment exposure to the different
EXPOSURES AS OF asset classes (i.e. stocks, bonds and cash) based on the risk characteristics of the
MARCH 31, 1996 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>

[CHART]

<TABLE>
<S> <C>
Stocks 65%
Bonds 34%
Cash 1%
</TABLE>

5
<PAGE> 34

- --------------------------------------------------------------------------------
BT Institutional Asset Management Fund
STATEMENT OF ASSETS AND LIABILITIES March 31, 1996
- --------------------------------------------------------------------------------

<TABLE>
<S> <C>
ASSETS
Investment in Asset Management Portfolio, at Value............................................................ $184,240,009
Receivable for Shares of Beneficial Interest Subscribed....................................................... 52,730
Prepaid Expenses.............................................................................................. 11,827
Due from Bankers Trust........................................................................................ 4,428
-----------
Total Assets..................................................................................................... 184,308,994
-----------
LIABILITIES
Payable for Shares of Beneficial Interest Redeemed............................................................ 486,896
Accrued Expenses and Other.................................................................................... 55,457
-----------
Total Liabilities................................................................................................ 542,353
-----------
NET ASSETS($0.001 Par Value Per Share, Unlimited Number of Shares of Beneficial Interest Authorized)............. $183,766,641
===========
SHARES OUTSTANDING............................................................................................... 16,327,931
===========
NET ASSET VALUE AND REDEMPTION PRICE PER SHARE (Net Assets/Shares Outstanding)................................... $ 11.25
===========
COMPOSITION OF NET ASSETS
Paid-in Capital............................................................................................... $167,963,604
Undistributed Net Investment Income........................................................................... 1,517,814
Undistributed Net Realized Gain from Investments, Foreign Transactions and Futures Transactions............... 6,926,484
Net Unrealized Appreciation on Investments.................................................................... 7,364,496
Net Unrealized Depreciation on Futures Contracts.............................................................. (5,757)
-----------
NET ASSETS, MARCH 31, 1996....................................................................................... $183,766,641
===========
</TABLE>

STATEMENT OF OPERATIONS For the Year Ended March 31, 1996
- --------------------------------------------------------------------------------

<TABLE>
<S> <C>
INVESTMENT INCOME
Income Allocated from Asset Management Portfolio, net......................................................... $ 5,268,703
------------
EXPENSES
Administration and Services................................................................................... 197,633
Shareholders Reports.......................................................................................... 25,299
Registration.................................................................................................. 44,493
Professional.................................................................................................. 9,710
Trustees...................................................................................................... 6,916
Insurance..................................................................................................... 862
Miscellaneous................................................................................................. 556
------------
Total Expenses................................................................................................ 285,469
Less: Expenses Absorbed by Bankers Trust...................................................................... (285,469)
------------
Net Expenses.............................................................................................. --
------------
NET INVESTMENT INCOME............................................................................................ 5,268,703
------------
REALIZED AND UNREALIZED GAIN ON INVESTMENTS, FOREIGN CURRENCY AND FUTURES TRANSACTIONS
Net Realized Gain from:
Investments and Foreign Currency Transactions................................................................. 6,055,913
Futures Transactions.......................................................................................... 4,953,500
------------
11,009,413
------------
Net Change in Unrealized Appreciation (Depreciation) of:
Investments................................................................................................... 5,938,902
Futures Contracts............................................................................................. (186,384)
------------
5,752,518
------------
NET GAIN ON INVESTMENTS, FOREIGN CURRENCY AND FUTURES CONTRACTS.................................................. 16,761,931
------------
NET INCREASE IN NET ASSETS FROM OPERATIONS....................................................................... $ 22,030,634
=============
</TABLE>

See Notes to Financial Statements on Pages 8 - 9

6
<PAGE> 35

- --------------------------------------------------------------------------------
BT Institutional Asset Management Fund
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------

<TABLE>
<CAPTION>
FOR THE YEAR ENDED MARCH 31,
------------------------------
1996 1995
------------- ------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net Investment Income.......................................................................... $ 5,268,703 $ 2,941,027
Net Realized Gain (Loss) from Investments, Foreign Currency and Futures Transactions........... 11,009,413 (121,701)
Net Unrealized Appreciation on Investments and Futures Contracts............................... 5,752,518 2,615,908
------------- ------------
Net Increase in Net Assets from Operations........................................................ 22,030,634 5,435,234
------------- ------------
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income.......................................................................... (4,651,019) (2,330,521)
Net Realized Gain from Investment Transactions................................................. (3,369,846) --
------------- ------------
Total Distributions............................................................................... (8,020,865) (2,330,521)
------------- ------------
TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST
Net Increase from Transactions in Shares of Beneficial Interest................................ 86,556,116 5,075,429
------------- ------------
TOTAL INCREASE IN NET ASSETS...................................................................... 100,565,885 8,180,142
NET ASSETS
Beginning of Year................................................................................. 83,200,756 75,020,614
------------- ------------
End of Year (including Undistributed Net Investment Income of $1,517,814 for 1996 and $840,152 for
1995)............................................................................................ $ 183,766,641 $ 83,200,756
=============== =============
</TABLE>

FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------

<TABLE>
<CAPTION>
FOR THE PERIOD
FOR THE YEAR ENDED SEPTEMBER 16, 1993
MARCH 31, (COMMENCEMENT
----------------------------- OF OPERATIONS) TO
1996 1995 MARCH 31, 1994
--------- -------- ------------------
<S> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE, BEGINNING OF PERIOD................................ $ 9.99 $ 9.61 $ 10.00
--------- -------- -------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income............................................ 0.41 0.36 0.11
Net Realized and Unrealized Gain (Loss) on Investments and
Futures........................................................ 1.52 0.30 (0.44)
--------- -------- -------
Total from Investment Operations.................................... 1.93 0.66 (0.33)
--------- -------- -------
DISTRIBUTIONS
Dividends from Net Investment Income............................. (0.42) (0.28) (0.06)
Distribution from Net Realized Gain.............................. (0.25) -- (0.00)+
--------- -------- -------
Total Distributions................................................. (0.67) (0.28) (0.06)
--------- -------- -------
NET ASSET VALUE, END OF PERIOD...................................... $ 11.25 $ 9.99 $ 9.61
========== ========= ========
TOTAL INVESTMENT RETURN............................................. 19.77% 7.13% (6.06%)*
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period (000's omitted)........................ $ 183,767 $ 83,201 $ 75,021
Ratios to Average Net Assets
Net Investment Income........................................ 3.99% 3.78% 2.83%*
Expenses, including Expenses of the Asset Management
Portfolio................................................... 0.60% 0.60% 0.60%*
Decrease Reflected in Above Expense Ratio Due to Absorption
of Expenses by Bankers Trust................................ 0.39% 0.43% 0.73%*
</TABLE>

- ------------------
* Annualized
+ Less than 0.01 per share.

See Notes to Financial Statements on Pages 8 - 9

7
<PAGE> 36

- --------------------------------------------------------------------------------
BT Institutional Asset Management Fund
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, 1996,
the Fund's investment was approximately 77% 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. On
March 29, 1996, the fund declared a dividend of $0.0868 per share amounting to
$1,417,264 which was payable on April 1,1996.

The Fund may periodically make reclassifications among certain of its capital
accounts as a result of the timing and characterization of certain income and
capital gains distributions determined annually in accordance with federal tax
regulations which may differ from generally accepted accounting principles. For
the year ended March 31, 1996, $59,978 of net realized short-term capital gain
was reclassified to undistributed net investment income.

D. Federal Income Taxes
It is the Fund's policy to comply with the requirements of the Internal Revenue
Code applicable to regulated investment companies and to distribute all of its
taxable income to shareholders. Therefore, no federal income tax provision is
required.

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, 1996, this fee aggregated $197,633.

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, 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 year ended March 31, 1996, expenses of the Fund have been
reduced by $285,469.

8
<PAGE> 37

- --------------------------------------------------------------------------------
BT Institutional Asset Management Fund
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------

NOTE 3 -- SHARES OF BENEFICIAL INTEREST
At March 31, 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 YEAR ENDED FOR THE YEAR ENDED
MARCH 31, 1996 MARCH 31, 1995
----------------------------- -----------------------------
SHARES AMOUNT SHARES AMOUNT
----------- ------------- ----------- -------------
<S> <C> <C> <C> <C>
Sold............................................................ 11,405,629 $ 123,325,563 2,584,771 $ 24,794,119
Reinvested...................................................... 745,268 8,013,895 247,419 2,327,674
Redeemed........................................................ (4,151,208) (44,783,342) (2,310,008) (22,046,364)
----------- ------------- ----------- -------------
Net Increase.................................................... 7,999,689 $ 86,556,116 522,182 $ 5,075,429
----------- ------------- ----------- -------------
</TABLE>

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, 1996, and the related statement of operations for
the year then ended, the statement of changes in net assets for each of the two
years in the period then ended, and the financial highlights for each of the two
years in the period 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, 1996 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,
1996, 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.

Kansas City, Missouri
May 3, 1996

9
<PAGE> 38

- --------------------------------------------------------------------------------
Asset Management Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- ------------ ----------------------------------- -------------
<C> <S> <C>
COMMON STOCKS - 43.82%
AEROSPACE - 0.96%
21,700 Boeing Co. ........................ $ 1,879,763
2,500 Lockheed Martin Corp. ............. 189,688
4,100 Rockwell International Corp. ...... 241,388
----------
2,310,839
----------
AIRLINES - 1.16%
31,100 AMR Corporation(a)................. 2,783,450
----------
AUTO RELATED - 2.14%
23,400 Chrysler Corp. .................... 1,456,650
47,700 Dana Corp. ........................ 1,591,987
11,900 Ford Motor Co. .................... 409,063
31,600 General Motors Corp. .............. 1,682,700
----------
5,140,400
----------
BANKS - 1.34%
21,900 BankAmerica Corporation............ 1,697,250
10,600 BayBanks Inc. ..................... 1,139,500
4,700 Citicorp........................... 376,000
----------
3,212,750
----------
BEVERAGES - 1.05%
40,000 PepsiCo Inc. ...................... 2,530,000
----------
BUILDING - FOREST PRODUCTS - 0.34%
18,300 Champion International Corp. ...... 828,075
----------
CHEMICALS - 2.35%
6,000 Air Products & Chemical Corp. ..... 327,750
19,300 Du Pont (E.I.) de Nemours
Company........................... 1,601,900
10,400 IMC Global Inc. ................... 379,600
21,700 Monsanto Co. ...................... 3,330,950
----------
5,640,200
----------
CLIENT SERVER COMPUTING - 0.27%
20,900 Bay Networks(a).................... 642,675
----------
COMPUTER SERVICES - 1.06%
44,700 General Motors, Cl E............... 2,547,900
----------
COMPUTER SOFTWARE - 1.41%
29,400 Cisco Systems(a)................... 1,363,425
28,400 Computer Associates International
Inc. ............................. 2,034,150
----------
3,397,575
----------
DIVERSIFIED - 0.18%
5,500 Textron Inc. ...................... 440,000
----------

<CAPTION>
SHARES SECURITY VALUE
- ------------ ----------------------------------- -------------
<C> <S> <C>
DRUGS - 2.70%
47,700 Merck & Co. ....................... $ 2,969,325
40,200 Pfizer, Inc. ...................... 2,693,400
14,100 Schering-Plough Corp. ............. 819,563
----------
6,482,288
----------
ELECTRICAL EQUIPMENT - 1.71%
41,500 General Electric................... 3,231,813
9,300 Hewlett-Packard.................... 874,200
----------
4,106,013
----------
ELECTRONICS - 1.40%
36,000 Allied-Signal Inc. ................ 2,128,500
9,100 Intel Corp. ....................... 517,562
14,300 Texas Instruments.................. 727,512
----------
3,373,574
----------
FINANCIAL SERVICES - 3.59%
26,100 Federal Home Loan Mortgage......... 2,225,025
12,200 Federal National Mortgage.......... 388,875
19,600 First Data......................... 1,381,800
18,900 Household International............ 1,271,025
45,600 MBNA Corp. ........................ 1,350,900
12,800 Merrill Lynch & Co., Inc. ......... 777,600
6,700 Price (T. Rowe) Associates......... 355,100
13,200 Travelers Group Inc. .............. 871,200
----------
8,621,525
----------
FOODS - 2.12%
36,400 CPC International.................. 2,525,250
21,800 Premark International Inc. ........ 1,169,025
42,900 Sara Lee Corp. .................... 1,399,612
----------
5,093,887
----------
HEALTH CARE DIVERSIFIED - 0.09%
5,400 Abbott Laboratories................ 220,050
----------
HOSPITAL SUPPLIES/SERVICES - 1.79%
16,000 Baxter International Inc. ......... 724,000
30,200 Johnson & Johnson.................. 2,785,950
9,200 PacifiCare Health Systems,
Cl. B(a).......................... 784,300
----------
4,294,250
----------
HOTEL/MOTEL - 0.82%
41,500 Marriott International Inc. ....... 1,971,250
----------
HOUSEHOLD PRODUCTS - 1.55%
20,300 Clorox Co. ........................ 1,748,337
23,300 Procter & Gamble................... 1,974,675
----------
3,723,012
----------
INSURANCE - 1.99%
31,100 American International Group
Inc............................... 2,911,738
12,800 General Re Corp. .................. 1,865,600
----------
4,777,338
----------
</TABLE>

See Notes to Financial Statements on Pages 16 - 17

10
<PAGE> 39

- --------------------------------------------------------------------------------
Asset Management Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- ------------ ----------------------------------- -------------
<C> <S> <C>
LEISURE RELATED - 0.37%
3,900 Harcourt General Inc. ............. $ 176,963
11,227 Walt Disney Co. ................... 717,124
----------
894,087
----------
MANUFACTURING - 0.70%
43,700 Millipore Corp. ................... 1,671,525
----------
METALS - 0.58%
43,500 Alcan Aluminium Ltd. .............. 1,402,875
----------
METALS & MINING - 0.08%
3,200 Potash of Saskatchewan............. 200,000
----------
OFFICE EQUIPMENT - 0.69%
6,600 International Business Machines
Corp. ............................ 733,425
7,300 Xerox Corp. ....................... 916,150
----------
1,649,575
----------
OIL EQUIPMENT & SERVICES - 0.29%
8,700 Schlumberger Ltd. ................. 688,388
----------
OIL - DOMESTIC - 0.78%
7,300 Chevron Corp. ..................... 409,712
43,900 Unocal Corp. ...................... 1,465,163
----------
1,874,875
----------
OIL - INTERNATIONAL - 2.81%
20,500 Exxon Corp. ....................... 1,673,312
15,800 Mobil.............................. 1,830,825
10,300 Royal Dutch Petroleum Co. - ADR.... 1,454,875
20,800 Texaco Inc. ....................... 1,788,800
----------
6,747,812
----------
PAPER - 0.30%
18,200 International Paper................ 716,625
----------
PETROLEUM RELATED - 0.25%
5,500 Amoco Corp. ....................... 397,375
1,800 Atlantic Richfield................. 214,200
----------
611,575
----------
PHARMACEUTICALS - 0.24%
14,100 Pharmacia & Upjohn Inc. ........... 562,238
----------
PRINTING & PUBLISHING - 0.51%
14,000 McGraw-Hill Cos. Inc. ............. 1,214,500
----------
PRODUCTIVITY ENHANCEMENT - 0.06%
8,500 Teradyne Inc.(a)................... 142,375
----------
PROFESSIONAL SERVICES - 0.12%
7,900 H & R Block........................ 285,387
----------

<CAPTION>
SHARES SECURITY VALUE
- ------------ ----------------------------------- -------------
<C> <S> <C>
RAILROADS - 1.01%
29,400 Burlington Northern Santa Fe....... $ 2,414,475
----------
RETAIL - 0.75%
20,800 Rite Aid........................... 642,200
50,100 Wal-Mart Stores Inc. .............. 1,158,562
----------
1,800,762
----------
TELECOMMUNICATIONS - 2.04%
3,333 360 Communications Co.(a).......... 79,575
6,100 Ameritech Corp. ................... 332,450
23,400 AT&T Corporation................... 1,433,250
57,500 Comcast Corp. Spcl Cl. A........... 1,017,031
14,100 Frontier Corp. .................... 444,150
23,600 GTE Corp. ......................... 1,035,450
10,500 MCI Communications................. 317,625
4,700 NYNEX Corp. ....................... 234,413
----------
4,893,944
----------
TOBACCO - 0.46%
12,600 Philip Morris...................... 1,105,650
----------
UTILITY - ELECTRIC - 0.64%
10,800 American Electric Power............ 450,900
9,000 FPL Group.......................... 407,250
7,400 Southern Co. ...................... 176,675
12,100 Texas Utilities Co. ............... 500,637
----------
1,535,462
----------
UTILITY - NATURAL GAS - 0.52%
28,500 Consolidated Natural Gas........... 1,239,750
----------
UTILITY - TELEPHONE - 0.60%
4,800 Bell Atlantic Corp. ............... 296,400
11,000 BellSouth Corp. ................... 407,000
6,700 SBC Communications Inc. ........... 352,587
10,000 Sprint Corp. ...................... 380,000
----------
1,435,987
----------
TOTAL COMMON STOCKS
(Cost $95,149,189)............................... $ 105,224,918
----------
<CAPTION>
PRINCIPAL
AMOUNT
- ------------
<C> <S> <C>
CORPORATE DEBT
NON-CONVERTIBLE - 5.20%
BANKS - 0.81%
$ 250,000 Bayriesche L/B, 6.375%, 10/15/05... 243,136
275,000 Dresdner Bank - New York, 6.625%,
9/15/05........................... 270,335
480,000 First Bank N.A., 6.25%, 8/15/05.... 448,953
</TABLE>

See Notes to Financial Statements on Pages 16 - 17

11
<PAGE> 40

- --------------------------------------------------------------------------------
Asset Management Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY VALUE
- ------------ ----------------------------------- -------------
<C> <S> <C>
$ 100,000 Fleet/Norstar Group, 7.65%,
3/1/97............................ $ 101,523
425,000 International Bank Reconstruction &
Development, 8.875%, 3/1/26....... 513,247
385,000 Standard Credit Card Master Trust,
6.55%, 10/07/05................... 376,965
----------
1,954,159
----------
FINANCIAL SERVICES - 1.90%
925,000 BHP Finance USA, 6.42%, 3/01/26.... 905,681
1,000,000 Dean Witter Discover, 6.50%,
11/01/05.......................... 965,057
225,000 Dean Witter Discover, 6.875%,
3/01/03........................... 225,148
470,000 Ford Motor Credit, 6.250%,
11/08/00.......................... 463,823
105,000 Goldman Sachs, 5.6445%,
2/23/98(b)(d)..................... 105,389
600,000 Great Western Financial, 6.375%,
7/01/00........................... 596,807
320,000 ITT Hartford, 6.375%, 11/01/02..... 311,062
195,000 KFW International Finance, 8.20%,
6/01/06........................... 212,834
225,000 Paine Webber Group, 8.25%,
5/01/02........................... 237,803
340,000 Paine Webber Group, 9.25%,
12/15/01.......................... 376,532
155,000 Swedish Export Credit, 9.875%,
3/15/38........................... 169,737
----------
4,569,873
----------
INDUSTRIAL - 1.68%
750,000 Auburn Hills Trust, 12.00%,
5/01/20........................... 1,101,705
475,000 Brunswick, 8.125%, 4/01/97......... 484,786
475,000 Carter Holt Harvey, 7.625%,
4/15/02........................... 492,512
840,000 Celulosa Arauco Y Constitucion
S.A., 6.75%, 12/15/03............. 803,525
490,000 Laidlaw, 7.70%, 8/15/02............ 508,529
600,000 News America Holdings, 8.50%,
2/15/05........................... 646,378
----------
4,037,435
----------
OIL - DOMESTIC - 0.19%
440,000 Occidental Petroleum, 9.50%,
7/15/97........................... 458,747
----------
OIL - INTERNATIONAL - 0.04%
85,000 BHP Finance USA, 7.875%,
12/01/02.......................... 89,262
----------
RETAIL - 0.07%
150,000 May Department Stores, 8.375%,
8/01/24........................... 160,752
----------

<CAPTION>
PRINCIPAL
AMOUNT SECURITY VALUE
- ------------ ----------------------------------- -------------
<C> <S> <C>
UTILITY - ELECTRIC - 0.42%
$ 35,000 Idaho Power, 8.00%, 3/15/04........ $ 37,129
140,000 Potomac Edison, 8.00%, 6/01/24..... 141,153
625,000 Southern California Edison, 6.50%,
6/01/01........................... 619,696
195,000 Virginia Electric & Power, 8.625%,
10/01/24.......................... 209,196
----------
1,007,174
----------
UTILITY - NATURAL GAS - 0.09%
175,000 KN Energy, 9.625%, 8/01/21......... 205,079
----------
TOTAL CORPORATE DEBT NON-CONVERTIBLE
(Cost $12,688,929)............................... $ 12,482,481
----------
CORPORATE DEBT CONVERTIBLE -
FOREIGN - 0.36%
GERMANY - 0.36%
635,000 Landbank Hessen-Thueringen, 6.25%,
11/10/08.......................... 592,137
260,000 Nordeutsche L/B Girozen, 6.875%,
3/10/03........................... 261,138
----------
853,275
----------
TOTAL CORPORATE DEBT CONVERTIBLE - FOREIGN
(Cost $838,967).................................. $ 853,275
----------
U.S. GOVERNMENT & AGENCY - 8.31%
155,036 FGHLMC, 9.5%, 2/01/25(c)........... 165,394
8,700,298 FHLMC, 6.93% to 7.50%, maturing
9/05/00 to 9/01/25(c)............. 8,692,903
7,297,781 FNMA, 6.00% to 8.625%, maturing
1/01/01 to 7/01/25(c)............. 7,280,987
2,569,083 GNMA, 7.00% to 8.50%, maturing
9/15/23 to 3/15/26(c)............. 2,575,979
1,145,000 Tennessee Valley Authority, 8.25%,
4/15/42........................... 1,237,998
----------
TOTAL U.S. GOVERNMENT & AGENCY
(Cost $20,203,996)............................... $ 19,953,261
----------
FOREIGN DEBT - 0.61%
FOREIGN GOVERNMENTS - 0.56%
95,000 New Zealand Government, 10.625%,
11/15/05.......................... 121,109
445,000 New Zealand Government, 8.75%,
12/15/06.......................... 513,814
460,000 Province of Quebec, 6.50%,
1/17/06........................... 441,743
290,000 Quebec Province, 7.125%, 2/09/24... 268,537
----------
1,345,203
----------
</TABLE>

See Notes to Financial Statements on Pages 16 - 17

12
<PAGE> 41

<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY VALUE
- ------------ ----------------------------------- -------------
<C> <S> <C>
INDUSTRIAL - 0.05%
$ 125,000 Manitoba, 6.125%, 1/19/04.......... $ 120,451
-----------
TOTAL FOREIGN DEBT
(Cost $1,486,177)................................ $ 1,465,654
-----------
U.S. TREASURY SECURITIES - 6.69%
3,698,000 U.S. Treasury Bonds, 7.25% to
8.125%, maturing 8/15/19 to
8/15/22........................... 3,938,547
12,255,000 U.S. Treasury Notes, 5.00% to
6.125%, maturing 11/30/97 to
2/28/01........................... 12,128,331
-----------
16,066,878
-----------
TOTAL U.S. TREASURY SECURITIES
(Cost $16,492,037)............................... $ 17,532,532
-----------
SHORT TERM INSTRUMENTS - 34.71%
U.S. TREASURY BILLS - 17.55%
42,310,000 4.95% to 5.225%, maturing 5/16/96
to 6/27/96........................ 42,156,678
-----------
REPURCHASE AGREEMENT - 17.16%
41,208,272 Sanwa Bank, Dated 3/29/96 5.35%
principal and interest in the
amount of $41,226,644, due 4/1/96,
(collateralized by U.S. Treasury
Notes, par value of $12,281,000,
5.875%, due 7/31/97, value of
$12,315,540, U.S. Treasury Notes,
par value of $28,976,000, 5.625%,
due 10/31/97 value of
$28,994,110)...................... 41,208,272
-----------
TOTAL SHORT TERM INSTRUMENTS
(Cost $83,364,950)............................... $ 83,364,950
-----------
TOTAL INVESTMENTS
(Cost $230,224,245) - 99.70%..................... $ 239,411,417
Other Assets Less Liabilities - 0.30%............. 730,991
-----------
NET ASSETS - 100.00%.............................. $ 240,142,408
===========
</TABLE>

- ------------------
(a) Non-Income Producing Securities
(b) Quarterly Floating Rate Note
(c) The following abbreviations are used in the portfolio description.
FGHLMC - Federal Gold Home Loan Mortgage Corporation
FHLMC - Federal Home Loan Mortgage Corporation
FNMA - Federal National Mortgage Association
GNMA - Government National Mortgage Association
(d) 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 $105,389 or 0.04% of net
assets.

See Notes to Financial Statements on Pages 16 - 17

13
<PAGE> 42

- --------------------------------------------------------------------------------
Asset Management Portfolio
STATEMENT OF ASSETS AND LIABILITIES March 31, 1996
- --------------------------------------------------------------------------------

<TABLE>
<S> <C>
ASSETS
Investments, at Value (Cost $230,224,245, including Repurchase Agreement amounting to 41,208,272)............ $ 239,411,417
Cash+........................................................................................................ 1,497,483
Dividends and Interest Receivable............................................................................ 917,912
Prepaid Expenses and Other Assets............................................................................ 3,023
-------------
Total Assets.................................................................................................... 241,829,835
-------------
LIABILITIES
Due to Bankers Trust......................................................................................... 119,492
Payable for Securities Purchased............................................................................. 1,179,696
Accrued Expenses and Accounts Payable........................................................................ 24,487
Variation Margin Payable..................................................................................... 363,752
-------------
Total Liabilities............................................................................................... 1,687,427
-------------
NET ASSETS...................................................................................................... $ 240,142,408
=============
COMPOSITION OF NET ASSETS
Paid-in Capital.............................................................................................. $ 230,968,946
Net Unrealized Appreciation on Investments and Foreign Currency Translation.................................. 9,188,933
Net Unrealized Depreciation on Futures Contracts............................................................. (15,471)
-------------
NET ASSETS, MARCH 31, 1996...................................................................................... $ 240,142,408
=============
</TABLE>

- ------------------
+ Includes foreign currency of $1,493,961 with a value of $1,495,722.

STATEMENT OF OPERATIONS For the Year Ended March 31, 1996
- --------------------------------------------------------------------------------

<TABLE>
<S> <C>
INVESTMENT INCOME
Dividends (Net of foreign withholding tax of $11,337)..................................................... $ 1,673,515
Interest.................................................................................................. 6,047,253
-----------
Total Investment Income............................................................................... 7,720,768
-----------
EXPENSES
Advisory.................................................................................................. 1,092,488
Administration and Services............................................................................... 168,075
Professional.............................................................................................. 20,671
Insurance................................................................................................. 2,149
Trustees.................................................................................................. 2,288
Miscellaneous............................................................................................. 1,980
-----------
Total Expenses............................................................................................ 1,287,651
Expenses Absorbed by Bankers Trust........................................................................ (279,200)
-----------
Net Expenses.......................................................................................... 1,008,451
-----------
NET INVESTMENT INCOME........................................................................................ 6,712,317
-----------
REALIZED AND UNREALIZED GAIN ON INVESTMENTS, FOREIGN CURRENCY TRANSACTIONS, AND FUTURES CONTRACTS
Net Realized Gain on:
Investments and Foreign Currency Transactions............................................................. 7,730,647
Futures Contracts......................................................................................... 6,275,542
-----------
14,006,189
Net Change in Unrealized Appreciation (Depreciation) of:
Investments and Foreign Currency Translations............................................................. 7,485,813
Futures Contracts......................................................................................... (223,996)
-----------
7,261,817
NET GAIN ON INVESTMENTS, FOREIGN CURRENCIES, AND FUTURES..................................................... 21,268,006
-----------
NET INCREASE IN NET ASSETS FROM OPERATIONS................................................................... $ 27,980,323
===========
</TABLE>

See Notes to Financial Statements on Pages 16 - 17

14
<PAGE> 43

- --------------------------------------------------------------------------------
Asset Management Portfolio
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------

<TABLE>
<CAPTION>
FOR THE
YEAR ENDED MARCH 31,
-------------------------------
1996 1995
------------- -------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net Investment Income...................................................................... $ 6,712,317 $ 3,350,844
Net Realized Gain (Loss) from Investments, Foreign Currency and Futures Transactions....... 14,006,189 (85,052)
Net Unrealized Appreciation on Securities, Foreign Translations and Futures Contracts...... 7,261,817 3,010,076
------------- -------------
Net Increase in Net Assets from Operations.................................................... 27,980,323 6,275,868
------------- -------------
CAPITAL TRANSACTIONS
Proceeds from Capital Invested............................................................. 170,133,182 77,053,606
Value of Capital Withdrawn................................................................. (54,499,861) (23,083,892)
------------- -------------
Net Increase in Net Assets from Capital Transactions.......................................... 115,633,321 53,969,714
------------- -------------
TOTAL INCREASE IN NET ASSETS.................................................................. 143,613,644 60,245,582
NET ASSETS
Beginning of Year............................................................................. 96,528,764 36,283,182
------------- -------------
End of Year................................................................................... $ 240,142,408 $ 96,528,764
=============== ===============
</TABLE>

FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------

Contained below are selected ratios and supplemental data for each of the
periods indicated for the Asset Management Portfolio.

<TABLE>
<CAPTION>
FOR THE PERIOD
FOR THE SEPTEMBER 16, 1993
YEAR ENDED MARCH 31, (COMMENCEMENT OF
--------------------- OPERATIONS) TO
1996 1995 MARCH 31, 1994
--------------------- --------------------- -------------------
<S> <C> <C> <C>
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period (000's omitted).......... $ 240,142 $ 96,529 $36,283
Ratios to Average Net Assets
Net Investment Income.......................... 3.99% 3.78% 2.83%*
Expenses....................................... 0.60% 0.60% 0.60%*
Decrease Reflected in Above Expense Ratio Due
to Absorption of Expenses by Bankers Trust.... 0.17% 0.19% 0.33%*
Portfolio Turnover Rate............................ 154% 92% 56%
</TABLE>

- ------------------
* Annualized

See Notes to Financial Statements on Pages 16 - 17

15
<PAGE> 44

- --------------------------------------------------------------------------------
Asset Management Portfolio
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.

D. Federal Income Taxes
It is the Portfolio's policy to comply with the requirements of the Internal
Revenue Code applicable to it. Therefore, no federal income tax provision is
required.

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, 1996, this fee aggregated $168,075.

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, 1996, this
fee aggregated $1,092,488.

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 by $279,200.

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, 1996, were
$236,481,467 and $167,614,159, respectively. For federal income tax purposes,
the tax basis of investments held at March 31, 1996 was $230,420,441. The
aggregate gross unrealized appreciation for all investments was $11,369,454 and
the aggregate gross unrealized depreciation for all investments was $2,378,478.

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.

16
<PAGE> 45

- --------------------------------------------------------------------------------
Asset Management Portfolio
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------

NOTE 4 -- FUTURES CONTRACTS
A summary of obligations under these financial instruments at March 31, 1996 is
as follows:
<TABLE>
<CAPTION>
UNREALIZED
APPRECIATION/
TYPE OF FUTURE EXPIRATION CONTRACTS POSITION (DEPRECIATION)
- ----------------------------------------------------------------- ---------- --------- -------- --------------
<S> <C> <C> <C> <C>
S&P 500.......................................................... June 1996 154 Long $ 15,450
US Treasury...................................................... June 1996 75 Long (178,031)
French Government Bond........................................... June 1996 96 Long (13,258)
German Bond...................................................... June 1996 67 Long (103,176)
Canadian Government Bond......................................... June 1996 118 Long (159,605)
DAX Index........................................................ June 1996 14 Long 46,623
CDM C$ Future.................................................... June 1996 2 Short (1,280)
DMM D-Mark....................................................... June 1996 6 Short 1,650
FRM French Franc................................................. June 1996 5 Short (2,500)
TYU US Treasury Futures.......................................... June 1996 126 Short 378,656
------------
$ (15,471)
============
</TABLE>

At March 31, 1996, the Portfolio has segregated sufficient securities to cover
margin requirements on open futures contracts.

REPORT OF INDEPENDENT ACCOUNTANTS
- --------------------------------------------------------------------------------

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, 1996, and the related statement of operations for the year then
ended, the statement of changes in net assets for each of the two years in the
period then ended, and the financial highlights for each of the two years in the
period 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, 1996 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, 1996, 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.

Kansas City, Missouri
May 3, 1996

17
<PAGE> 46

BT PYRAMID
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 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) 730-1313

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