<PAGE>
- BT PYRAMID MUTUAL FUNDS -
BT INSTITUTIONAL ASSET
MANAGEMENT FUND
ANNUAL REPORT
--------------------
MARCH-1997
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BT INSTITUTIONAL ASSET MANAGEMENT FUND
TABLE OF CONTENTS
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LETTER TO SHAREHOLDERS . . . . . . . . . . . . . . . . . . . . .3
BT INSTITUTIONAL ASSET MANAGEMENT FUND
Statement of Assets and Liabilities . . . . . . . . . . . .6
Statement of Operations . . . . . . . . . . . . . . . . . .6
Statement of Changes in Net Assets. . . . . . . . . . . . .7
Financial Highlights. . . . . . . . . . . . . . . . . . . .8
Notes to Financial Statements . . . . . . . . . . . . . . .9
Report of Independent Accountants . . . . . . . . . . . . 10
ASSET MANAGEMENT PORTFOLIO
Schedule of Portfolio Investments . . . . . . . . . . . . 11
Statement of Assets and Liabilities . . . . . . . . . . . 14
Statement of Operations . . . . . . . . . . . . . . . . . 14
Statement of Changes in Net Assets. . . . . . . . . . . . 15
Financial Highlights. . . . . . . . . . . . . . . . . . . 15
Notes to Financial Statements . . . . . . . . . . . . . . 16
Report of Independent Accountants . . . . . . . . . . . . 18
2
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BT INSTITUTIONAL ASSET MANAGEMENT FUND
LETTER TO SHAREHOLDERS
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We are pleased to present you with this annual report for the BT Institutional
Asset Management Fund (the "Fund"), providing a review of the markets, the
portfolio and our outlook as well as a complete financial summary of the Fund's
operations and a listing of the Portfolio's holdings.
The Fund returned 14.31% for the fiscal year ended March 31, 1997*, as compared
to 13.14% for the Asset Allocation Index-Long Range**, 19.83% for the S&P 500
Index**, and 4.90% for the Salomon Broad Investment Grade (BIG) Index**. The
Lipper Flexible Portfolio Average+ had a return of 10.13% for the same period.
Since its inception on September 16, 1993, the Fund is up 41.83% cumulatively,
or 10.38% annualized.
MARKET ACTIVITY
U.S. MARKETS
The Fund's fiscal year began with real GDP accelerating to a 4.20% pace,
dramatically slowing in the next quarter to 2.1%, and then picking up again to a
3.8% annual growth rate in the fourth calendar quarter of 1996. In the first
quarter of 1997, real GDP was in excess of 3%, a pace well above what most
experts agree to be a noninflationary growth course.
Still, the actual inflation picture remained quite benign. Producer prices
declined, and consumer prices advanced at a slightly lower pace than seen last
year. In spite of this good news, fears of future pressures failed to be
alleviated, and the financial markets were nervous. Clearly, this was
exacerbated by Federal Reserve Board Chairman Alan Greenspan's comments
regarding "irrational exuberance" over market valuations and the possibility of
a "preemptive strike" with a tightening of monetary policy. After many months
of speculation and for the first time since January 1996, the Federal Reserve
Board did raise the Fed Funds rate by 0.25% on March 25, 1997, to 5.50%.
OBJECTIVE
Seeks to provide a high total return with reduced long-term risk by
investing primarily in a diversified portfolio of stocks of U.S. and
foreign companies, high-quality bonds and cash.
U.S. EQUITIES
The stock market was characterized by tremendous volatility during this annual
period. Still, the economic environment proved to be a generally favorable one
for the equity markets, with the various indices continuing to reach new highs.
The market reacted particularly positively to the November election results,
which, at the time, seemed to promise cooperation between the Republican
Congress and the Democratic administration. Corporate sales continued to grow,
but profits were squeezed, as companies were unable to pass on increased wage
costs to consumers. The only real glitches were in July, when there was a 2.92%
fall in the Dow Jones Industrial average in just one day, in December, when Mr.
Greenspan first started making public comments, and in March, following the
Federal Reserve Board's official interest rate hike. Each of these downturns
was very short-lived. The equity market was led by the large cap companies
during this annual period.
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 STOCK HOLDINGS
Merck & Co., Inc.
BankAmerica Corp.
General Electric Co.
Philip Morris Companies, Inc.
Pfizer, Inc.
U.S. BONDS
The bond market, too, was volatile. The fourth calendar quarter was
particularly strong, as short-term rates held steady and long-term rates drifted
lower. However, the rapid pace of economic growth of the last two quarters
pushed interest rates and bond yields higher. Overall, the focus in the U.S.
bond market over the Fund's annual period was on the threat of inflation, and it
has been a virtually continuous plague on the performance of the fixed income
markets. This potential threat was made even more real by the Federal Reserve
Board rate increase in late March.
FIVE LARGEST FIXED INCOME SECURITIES
US Treasury Notes 5.875%, 2/15/00
FNMA 7.00%, 9/01/21
US Treasury Notes 6.625%, 3/31/02
US Treasury Bond 6.50%, 11/15/26
US Treasury Notes 7.50%, 2/15/05
INTERNATIONAL MARKETS
In core Europe, short-term interest rates remained low and fairly steady, as
most economies continued to recover from recent recessions. This backdrop
provided support for both European bonds and equities to outperform their U.S.
counterparts on a currency hedged basis. Japan had mixed performance in its
bonds and equities, as concerns about economic recovery and mounting credit
problems for the nation's financial institutions pulled the markets in different
directions. The central bank of Canada lowered its short-term interest rates by
2.0% this year, leading the Canadian bond market to outperform the U.S. bond
market. The lower rates did not push the Canadian equity markets any higher
than those in the U.S., however, as they performed similarly to the S&P 500.
- -------------------------
* Performance quoted represents past performance. Investment return and
principal value will fluctuate, so that an investor's shares, when
redeemed, may be worth more or less than their original cost.
** Indexes are unmanaged, and investments cannot be made in an index.
+ Lipper figures represent the average of the total returns reported by all
of the mutual funds designated by Lipper Analytical Sevices, Inc. as
falling into the respective categories indicated. These figures do not
reflect sales charges.
3
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BT INSTITUTIONAL ASSET MANAGEMENT FUND
LETTER TO SHAREHOLDERS
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DIVERSIFICATION OF PORTFOLIO INVESTMENTS
BY ASSET CLASS AS OF MARCH 31, 1997
(PERCENTAGES ARE BASED ON MARKET VALUE)
[CHART]
Stocks 68% Bonds 32%
This diversification pie chart shows the Fund's investment exposure to different
asset classes (i.e. stocks, bonds and cash) based on the risk characteristics of
the asset class rather than the actual instrument. For example, the Fund may buy
or sell a futures contract to increase or decrease the Fund's exposure to the
stock market.
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CASH
The U.S. dollar had a strong year versus most currencies. It appreciated
substantially, as strong domestic economic growth and fears of higher U.S.
interest rates made the dollar look relatively attractive versus the yen and
most European currencies.
INVESTMENT REVIEW
The Fund's strong relative performance was due primarily to above-average asset
allocation. More specifically, the Fund remained overweighted in U.S. stocks
for the annual period, supported by low interest rates, low inflation, and
fundamental indicators, such as favorable valuation measures. Although this
position hurt performance in July 1996 and March 1997, U.S. equities were a
leading market for the twelve months. Thus, such an allocation was the primary
reason for the Fund's relative outperformance. Even though this sector did not
match S&P performance, individual security selection here did add value to the
Fund.
The Fund also benefited from its underweighted position in the U.S. bond market,
an allocation supported by weak momentum, upward sloping of the yield curve,
which, in turn, indicated rising interest rates, and a Salomon Broad Investment
Grade (BIG) Bond Index that returned less than Treasury bills for the year.
Incremental return was generated by corporate and mortgage-backed issue
selection.
International stock and bond market exposure provided diversification of risk
but did not contribute to the Fund's returns during this period. Though higher
than it was six months earlier, the Fund's investment in international equities
remained light. Its international bond market position continued to be
overweighted, with the focus on Canada, France, and Japan.*
As of March 31, 1997, the Fund's asset weightings were 65% in U.S. equities, 20%
in U.S. bonds, 12% in international bonds, 3% in international equities, and 0%
in cash.
MANAGER OUTLOOK
As the U.S. economy embarks on its seventh year of expansion, the imbalances
that normally precede a recession are still not evident. Should the economy
continue at its recent pace, however, the developing upward pressures on labor
costs would likely generate higher inflation and a strong upward move in
interest rates. This move, in turn, would probably lay the groundwork for an
ensuing downturn in business activity. To some extent, the current higher
interest rates should also temper overall real economic growth going forward and
create a slower economic growth path by summer. This would be a more positive
environment for both the stock and bond markets.
The Fund remains overweighted in U.S. stocks and underweighted in U.S. bonds.
Favorable earnings reports and the forecasted continuation of a sustainable
economic expansion are anticipated to offset some of the downward pressures on
equities in the near term. Plus, we believe a cautious stance is warranted for
the U.S. bond market for the near term, until we see what future action the
Federal Reserve Board may take and what effect their previous action will have.
We believe the international markets are still well behind the U.S. in terms of
an economic cycle, even with their recovery out of recession over the past year.
Their economies, for the most part, are just beginning to show signs of moderate
growth. However, low interest rates and favorable foreign exchange rates should
propel the growth scenario over the next six months or so. At that point, their
equity markets may well be poised to outperform the U.S. once again. Stronger
economic markets may also cause foreign central banks to begin to raise
short-term interest rates in the second half of 1997. If such a move is made,
foreign bonds may become relatively unattractive compared to U.S. bonds. This
international outlook combined with the possibility of the Federal Reserve Board
maintaining a tightened monetary policy for the near term may also make foreign
currencies look more attractive than the U.S. dollar later in 1997.
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.
/s/ Phil Green
Phil Green
Portfolio Manager of the
BT INSTITUTIONAL ASSET MANAGEMENT FUND
March 31, 1997
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* Foreign investing involves special risks, including currency risk,
increased volatility of foreign securities, and differences in auditing
and other financial standards.
4
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BT INSTITUTIONAL ASSET MANAGEMENT FUND
PERFORMANCE COMPARISON
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COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT IN THE BT INSTITUTIONAL
ASSET MANAGEMENT FUND, THE ASSET ALLOCATION INDEX-LONG RANGE AND THE S&P 500
INDEX AS OF SEPTEMBER 30, 1993
Total Return for the Period
Ended March 31, 1997
One Year Since 9/16/93*
14.31% 41.83%
* 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.
[GRAPH]
Past performance is not indicative of future performance. The S&P 500 Index is
unmanaged, and investments may not be made in an index.
- --------------------------
+ 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
5
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BT INSTITUTIONAL ASSET MANAGEMENT FUND
STATEMENT OF ASSETS AND LIABILITIES MARCH 31, 1997
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<TABLE>
<CAPTION>
<S> <C>
ASSETS
Investment in Asset Management Portfolio, at Value . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 270,496,347
Receivable for Shares of Beneficial Interest Subscribed. . . . . . . . . . . . . . . . . . . . . . . . . . . . 955,615
Due from Bankers Trust . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 49,896
Prepaid Expenses and Other . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9,906
----------------
Total Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 271,511,764
----------------
LIABILITIES
Payable for Shares of Beneficial Interest Redeemed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,152,317
Accrued Expenses and Other . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 44,826
----------------
Total Liabilities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,197,143
----------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 270,314,621
----------------
----------------
COMPOSITION OF NET ASSETS
Paid-in Capital. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 242,808,107
Undistributed Net Investment Income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 532,250
Undistributed Net Realized Gain from Investments, Foreign Currencies and Futures Transactions. . . . . . . . . 21,335,954
Net Unrealized Appreciation (Depreciation) on:
Investments and Foreign Currency Contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7,332,216
Futures Contracts. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (1,693,906)
----------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 270,314,621
----------------
----------------
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE (net assets divided by shares outstanding). . . . . . . $ 12.05
----------------
----------------
SHARES OUTSTANDING ($0.001 par value per share, unlimited number of shares of beneficial interest authorized). . 22,426,417
----------------
----------------
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STATEMENT OF OPERATIONS FOR THE YEAR ENDED MARCH 31, 1997
- ------------------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
Income Allocated from Asset Management Portfolio, net. . . . . . . . . . . . . . . . . . . . . . . . . . . $ 6,937,157
----------------
EXPENSES
Administration and Services Fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 333,419
Printing and Shareholder Reports . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 37,692
Registration Fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 48,709
Professional Fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11,843
Trustees Fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7,286
Miscellaneous. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,013
----------------
Total Expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 442,962
Less Expenses Absorbed by Bankers Trust. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (442,962)
----------------
Net Expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . --
----------------
NET INVESTMENT INCOME. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,937,157
----------------
REALIZED AND UNREALIZED GAIN ON INVESTMENTS, FOREIGN CURRENCIES AND FUTURES CONTRACTS
Net Realized Gain from:
Investment and Foreign Currency Transactions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14,448,180
Futures Transactions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8,076,726
Net Change in Unrealized Depreciation on:
Investment and Foreign Currency Contracts. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (32,280)
Futures Contracts. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (1,688,149)
----------------
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS, FOREIGN CURRENCIES AND FUTURES CONTRACTS. . . . . . . . . . 20,804,477
----------------
NET INCREASE IN NET ASSETS FROM OPERATIONS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 27,741,634
----------------
----------------
</TABLE>
See Notes to Financial Statements on Page 9
6
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BT INSTITUTIONAL ASSET MANAGEMENT FUND
STATEMENT OF CHANGES IN NET ASSETS
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<TABLE>
<CAPTION>
FOR THE FOR THE
YEAR ENDED YEAR ENDED
MARCH 31, 1997 MARCH 31, 1996
-------------- --------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS
Net Investment Income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 6,937,157 $ 5,268,703
Net Realized Gain from Investments, Foreign Currencies and Futures Transactions. . . . . 22,524,906 11,009,413
Net Change in Unrealized Appreciation (Depreciation) on Investments, Foreign
Currencies and Futures Contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . (1,720,429) 5,752,518
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Net Increase in Net Assets from Operations . . . . . . . . . . . . . . . . . . . . . . . 27,741,634 22,030,634
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DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (8,414,757) (4,651,019)
Net Realized Gain from Investment Transactions . . . . . . . . . . . . . . . . . . . . . (6,468,985) (3,369,846)
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Total Distributions. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (14,883,742) (8,020,865)
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CAPITAL TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST
Proceeds from Sales of Shares. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 125,920,140 123,325,563
Dividend Reinvestments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14,881,177 8,013,895
Cost of Shares Redeemed. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (67,111,229) (44,783,342)
-------------- ------------
Net Increase from Capital Transactions in Shares of Beneficial Interest. . . . . . . . . 73,690,088 86,556,116
-------------- ------------
TOTAL INCREASE IN NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 86,547,980 100,565,885
NET ASSETS
Beginning of Year. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 183,766,641 83,200,756
-------------- ------------
End of Year (including undistributed net investment income of $532,250 and $1,517,814,
respectively). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 270,314,621 $183,766,641
-------------- ------------
-------------- ------------
</TABLE>
See Notes to Financial Statements on Page 9
7
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BT INSTITUTIONAL ASSET MANAGEMENT FUND
FINANCIAL HIGHLIGHTS
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Contained below are selected data for a share outstanding, total investment
return, other supplemental data and ratios to average net assets for the periods
indicated for the BT Institutional Asset Management Fund.
<TABLE>
<CAPTION>
FOR THE PERIOD
FOR THE YEAR ENDED SEPTEMBER 16, 1993
MARCH 31, (COMMENCEMENT
-------------------------------------- OF OPERATIONS) TO
1997 1996 1995 MARCH 31, 1994
-------- -------- -------- ------------------
<S> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE, BEGINNING OF PERIOD . . . . . . . . . . . . . . . . $ 11.25 $ 9.99 $ 9.61 $ 10.00
-------- -------- -------- --------
Income from Investment Operations
Net Investment Income . . . . . . . . . . . . . . . . . . . . . . 0.38 0.41 0.36 0.11
Net Realized and Unrealized Gain (Loss) on Investments,
Foreign Currencies and Futures Contracts . . . . . . . . . . . . 1.19 1.52 0.30 (0.44)
-------- -------- -------- --------
Total Income (Loss) from Investment Operations . . . . . . . . . . . 1.57 1.93 0.66 (0.33)
-------- -------- -------- --------
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income . . . . . . . . . . . . . . . . . . . . . (0.45) (0.42) (0.28) (0.06)
Net Realized Gain from Investment Transactions . . . . . . . . . . (0.32) (0.25) -- --
-------- -------- -------- --------
Total Distributions . . . . . . . . . . . . . . . . . . . . . . (0.77) (0.67) (0.28) (0.06)
-------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD . . . . . . . . . . . . . . . . . . . $12.05 $11.25 $9.99 $9.61
-------- -------- -------- --------
-------- -------- -------- --------
TOTAL INVESTMENT RETURN . . . . . . . . . . . . . . . . . . . . . . 14.31% 19.77% 7.13% (6.06)%*
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period (000s omitted) . . . . . . . . . . . . . $270,315 $183,767 $ 83,201 $75,021
Ratios to Average Net Assets:
Net Investment Income . . . . . . . . . . . . . . . . . . . . 3.12% 3.99% 3.78% 2.83%*
Expenses, including Expenses of the Asset
Management Portfolio . . . . . . . . . . . . . . . . . . . 0.60% 0.60% 0.60% 0.60%*
Decrease Reflected in Above Expense Ratio Due to
Absorption of Expenses by Bankers Trust. . . . . . . . . . . . 0.36% 0.39% 0.43% 0.73%*
</TABLE>
- -----------------------
* Annualized
See Notes to Financial Statements on Page 9
8
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BT INSTITUTIONAL ASSET MANAGEMENT FUND
NOTES TO FINANCIAL STATEMENTS
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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, 1997,
the Fund's investment was 77.61% 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 BT
Institutional Asset Management 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, 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.
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, 1997, $612,374 of undistributed net realized gain was
reclassified to undistributed net investment income, $1,034,077 of undistributed
net realized gain was reclassified to paid-in capital and $120,338 of
undistributed net investment income was reclassified to paid-in capital by the
Institutional Asset Management Fund.
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 distribute
substantially all of its tax able income to shareholders. Therefore, no
federal income tax provision is required.
E. OTHER
The Trust accounts separately for the assets, liabilities and operations of the
Fund. Expenses directly attributable to the Fund are charged to that Fund, while
expenses which are attributable to all of the Trust's funds are allocated among
them.
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions that
affect the reported amounts in the financial statements.
NOTE 2--FEES AND TRANSACTIONS WITH AFFILIATES
The Fund has entered into an Administration and Services Agreement with Bankers
Trust Company ("Bankers Trust"). Under this Administration and Services
Agreement, Bankers Trust provides administrative, custody, transfer agency and
shareholder services to the Fund in return for a fee computed daily and paid
monthly at an annual rate of 0.15 of 1% of the Fund's average daily net assets.
For the year ended March 31, 1997, this fee aggregated $333,419.
On September 30, 1996, the Trust entered into a Distribution Agreement with
Edgewood Services, Inc. ("Edgewood"). Prior to September 30, Signature
Broker-Dealer Services, Inc. ("Signature") was the Trust's distributor. Under
the Distribution Agreement with the Trust, pursuant to Rule 12b-1 of the 1940
Act, Edgewood, and previously Signature, may seek reimbursement, at an annual
rate not exceeding 0.20 of 1% of the Fund's average daily net assets, for
expenses incurred in connection with any activities primarily intended to result
in the sale of the Fund's shares. For the year ended March 31, 1997, 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, 1997, expenses of the Fund have been
reduced by $442,962.
Certain trustees and officers of the Fund are also directors, officers and/or
employees of Edgewood and/or Signature. None of the trustees so affiliated
received compensation for services as trustees of the Fund. Similarly, none of
the Fund's officers received compensation from the Fund.
NOTE 3--SHARES OF BENEFICIAL INTEREST
At March 31, 1997, there were an unlimited number of shares of beneficial
interest authorized. Transactions in shares of beneficial interest were as
follows:
FOR THE FOR THE
YEAR ENDED YEAR ENDED
MARCH 31, 1997 MARCH 31, 1996
-------------------------- --------------------------
SHARES AMOUNT SHARES AMOUNT
------------ ------------ ------------ ------------
Sold 10,490,486 $125,920,140 11,405,629 $123,325,563
Reinvested 1,255,355 14,881,177 745,268 8,013,895
Redeemed (5,647,355) (67,111,229) (4,151,208) (44,783,342)
---------- ------------ ---------- ------------
Net Increase 6,098,486 $ 73,690,088 7,999,689 $ 86,556,116
---------- ------------ ---------- ------------
---------- ------------ ---------- ------------
- -----------------------------------------
FEDERAL TAX INFORMATION (UNAUDITED)
26.63% of the net investment income dividends paid by the BT Institutional Asset
Management Fund during the tax year ended March 31, 1997, qualified for the
Dividends Received Deduction. The Fund paid a long-term capital gain dividend of
$0.1445 during the tax year ended March 31, 1997.
9
<PAGE>
- --------------------------------------------------------------------------------
BT INSTITUTIONAL ASSET MANAGEMENT FUND
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 BT Pyramid
Mutual Funds) as of March 31, 1997, 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
three 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, 1997,
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,
1997, 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.
Coopers & Lybrand L.L.P.
Kansas City, Missouri
May 2, 1997
10
<PAGE>
- --------------------------------------------------------------------------------
ASSET MANAGEMENT PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS MARCH 31, 1997
- --------------------------------------------------------------------------------
Shares Description Value
- ------ ----------- -----
COMMON STOCKS - 53.50%
Aerospace - 0.36%
12,800 Boeing Co. . . . . . . . . . . . . . . . . . . . . . $ 1,262,400
------------
AIRLINES - 0.50%
14,300 AMR Corp. (a). . . . . . . . . . . . . . . . . . . . 1,179,750
6,800 Delta Air Lines, Inc.. . . . . . . . . . . . . . . . 572,050
------------
1,751,800
------------
AUTO RELATED - 1.33%
28,500 Chrysler Corp. . . . . . . . . . . . . . . . . . . . 855,000
53,000 Dana Corp. . . . . . . . . . . . . . . . . . . . . . 1,742,375
36,900 General Motors Corp. . . . . . . . . . . . . . . . . 2,043,337
------------
4,640,712
------------
BANKS - 3.94%
54,900 Bank of Boston Corp. . . . . . . . . . . . . . . . . 3,678,300
48,500 BankAmerica Corp.. . . . . . . . . . . . . . . . . . 4,886,375
46,400 Chase Manhattan Corp.. . . . . . . . . . . . . . . . 4,344,200
7,700 Citicorp Co. . . . . . . . . . . . . . . . . . . . . 833,525
------------
13,742,400
------------
BEVERAGES - 2.09%
37,200 Coca-Cola Co.. . . . . . . . . . . . . . . . . . . . 2,078,550
9,100 Coca-Cola Enterprises, Inc.. . . . . . . . . . . . . 522,113
127,300 PepsiCo, Inc.. . . . . . . . . . . . . . . . . . . . 4,153,162
13,800 Seagram Ltd. . . . . . . . . . . . . . . . . . . . . 527,850
------------
7,281,675
------------
CHEMICALS AND TOXIC WASTE - 2.36%
9,600 Air Products & Chemical Corp.. . . . . . . . . . . . 651,600
41,100 Du Pont (E.I.) de Nemours & Co.. . . . . . . . . . . 4,356,600
84,500 Monsanto Co. . . . . . . . . . . . . . . . . . . . . 3,232,125
------------
8,240,325
------------
COMPUTER SERVICES - 1.35%
52,100 Cisco Systems, Inc. (a). . . . . . . . . . . . . . . 2,507,312
39,600 CUC International, Inc. (a). . . . . . . . . . . . . 891,000
13,000 EMC Corp. (a). . . . . . . . . . . . . . . . . . . . 461,500
18,600 Seagate Technology Co. (a) . . . . . . . . . . . . . 834,675
------------
4,694,487
------------
COMPUTER SOFTWARE - 1.34%
11,400 BMC Software, Inc. (a) . . . . . . . . . . . . . . . 525,825
27,750 Computer Associates International, Inc.. . . . . . . 1,078,781
28,600 Informix Corp. . . . . . . . . . . . . . . . . . . . 432,575
14,200 Microsoft Corp. (a). . . . . . . . . . . . . . . . . 1,301,963
34,350 Oracle Corp. (a) . . . . . . . . . . . . . . . . . . 1,324,622
------------
4,663,766
------------
DATA PROCESSING SERVICES - 0.40%
41,100 First Data Corp. . . . . . . . . . . . . . . . . . . 1,392,262
------------
Diversified - 2.40%
57,400 AlliedSignal, Inc. . . . . . . . . . . . . . . . . . 4,089,750
14,100 Supervalu, Inc.. . . . . . . . . . . . . . . . . . . 419,475
10,700 Textron, Inc.. . . . . . . . . . . . . . . . . . . . 1,123,500
36,200 United Technologies Corp.. . . . . . . . . . . . . . 2,724,050
------------
8,356,775
------------
Shares Description Value
- ------ ----------- -----
DRUGS - 3.22%
22,800 Lilly (Eli) & Co.. . . . . . . . . . . . . . . . . . $ 1,875,300
58,600 Merck & Co., Inc.. . . . . . . . . . . . . . . . . . 4,937,050
52,300 Pfizer, Inc. . . . . . . . . . . . . . . . . . . . . 4,399,738
------------
11,212,088
------------
ELECTRICAL EQUIPMENT - 1.94%
48,400 Emerson Electric Co. . . . . . . . . . . . . . . . . 2,178,000
46,100 General Electric Co. . . . . . . . . . . . . . . . . 4,575,425
------------
6,753,425
------------
ELECTRONICS - 1.57%
51,400 Analog Devices, Inc. (a) . . . . . . . . . . . . . . 1,156,500
23,000 Intel Corp.. . . . . . . . . . . . . . . . . . . . . 3,199,875
23,000 Xilinx, Inc. (a) . . . . . . . . . . . . . . . . . . 1,121,250
------------
5,477,625
------------
ENTERTAINMENT - 0.38%
18,027 Disney (Walt) Co.. . . . . . . . . . . . . . . . . . 1,315,971
------------
ENVIRONMENT CONTROL - 0.32%
36,500 U.S. Filter Corp. (a). . . . . . . . . . . . . . . . 1,126,938
------------
FINANCIAL SERVICES - 2.08%
29,800 Associates First Capital Corp.-Cl. A . . . . . . . . 1,281,400
71,900 Federal Home Loan Mortgage Corp. . . . . . . . . . . 1,959,275
37,500 Glendale Federal Bank FSB Co. (a). . . . . . . . . . 862,500
26,200 MBNA Corp. . . . . . . . . . . . . . . . . . . . . . 730,325
10,900 Price (T. Rowe) Associates, Inc. . . . . . . . . . . 404,663
41,966 Travelers Group, Inc.. . . . . . . . . . . . . . . . 2,009,122
------------
7,247,285
------------
FOODS - 1.74%
44,500 CPC International, Inc.. . . . . . . . . . . . . . . 3,649,000
59,500 Sara Lee Corp. . . . . . . . . . . . . . . . . . . . 2,409,750
------------
6,058,750
------------
HEALTHCARE DIVERSIFIED - 1.31%
8,400 Abbott Laboratories Co.. . . . . . . . . . . . . . . 471,450
77,400 Johnson & Johnson Co.. . . . . . . . . . . . . . . . 4,092,525
------------
4,563,975
------------
HOSPITAL SUPPLIES AND HEALTHCARE - 1.18%
36,700 Baxter International, Inc. . . . . . . . . . . . . . 1,582,688
19,800 Becton, Dickinson & Company. . . . . . . . . . . . . 891,000
6,400 PacifiCare Health Systems, Inc.-Cl. B. . . . . . . . 552,000
35,200 U.S. Surgical Corp.. . . . . . . . . . . . . . . . . 1,073,600
------------
4,099,288
------------
HOTEL/MOTEL - 0.62%
43,500 Marriott International, Inc. . . . . . . . . . . . . 2,164,125
------------
HOUSEHOLD PRODUCTS - 1.51%
10,900 Clorox Co. . . . . . . . . . . . . . . . . . . . . . 1,222,163
32,700 Procter & Gamble Co. . . . . . . . . . . . . . . . . 3,760,500
8,500 Tupperware Corp. . . . . . . . . . . . . . . . . . . 284,750
------------
5,267,413
------------
INSURANCE - 1.62%
28,300 American International Group, Inc. . . . . . . . . . 3,321,713
14,600 General Re Corp. . . . . . . . . . . . . . . . . . . 2,306,800
------------
5,628,513
------------
See Notes to Financial Statements on Pages 16 and 17
11
<PAGE>
- --------------------------------------------------------------------------------
ASSET MANAGEMENT PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS MARCH 31, 1997
- --------------------------------------------------------------------------------
Shares Description Value
- ------ ----------- -----
METALS - 0.38%
20,000 Alcan Aluminium Co. Ltd. . . . . . . . . . . . . . . $ 677,500
21,600 Freeport-McMoRan Copper & Gold, Inc.-Cl. B . . . . . 656,100
------------
1,333,600
------------
OFFICE EQUIPMENT AND COMPUTERS - 1.62%
54,900 Hewlett-Packard Co.. . . . . . . . . . . . . . . . . 2,923,425
13,200 IBM Corp.. . . . . . . . . . . . . . . . . . . . . . 1,813,350
15,900 Xerox Corp.. . . . . . . . . . . . . . . . . . . . . 904,312
------------
5,641,087
------------
OIL-DOMESTIC - 1.62%
2,900 Atlantic Richfield Co. . . . . . . . . . . . . . . . 391,500
27,300 ENSCO International, Inc. (a). . . . . . . . . . . . 1,344,525
11,100 Louisiana Land & Exploration Co. . . . . . . . . . . 525,862
26,900 Noble Drilling Corp. (a) . . . . . . . . . . . . . . 464,025
14,300 Phillips Petroleum Co. . . . . . . . . . . . . . . . 584,513
61,300 Unocal Corp. . . . . . . . . . . . . . . . . . . . . 2,337,063
------------
5,647,488
------------
OIL EQUIPMENT AND SERVICES - 0.45%
25,300 Apache Corp. . . . . . . . . . . . . . . . . . . . . 847,550
6,600 Schlumberger Ltd.. . . . . . . . . . . . . . . . . . 707,850
------------
1,555,400
------------
OIL-INTERNATIONAL - 3.27%
8,700 Amoco Corp.. . . . . . . . . . . . . . . . . . . . . 753,637
11,600 Chevron Corp.. . . . . . . . . . . . . . . . . . . . 807,650
20,900 Exxon Corp.. . . . . . . . . . . . . . . . . . . . . 2,251,975
7,600 Mobil Corp.. . . . . . . . . . . . . . . . . . . . . 992,750
16,400 Royal Dutch Petroleum Co.. . . . . . . . . . . . . . 2,870,000
34,000 Texaco, Inc. . . . . . . . . . . . . . . . . . . . . 3,723,000
------------
11,399,012
------------
PAPER AND FOREST PRODUCTS - 0.70%
29,300 Champion International Corp. . . . . . . . . . . . . 1,333,150
28,800 International Paper Co.. . . . . . . . . . . . . . . 1,119,600
------------
2,452,750
------------
PRINTING AND PUBLISHING - 0.65%
44,500 McGraw-Hill Companies, Inc.. . . . . . . . . . . . . 2,275,062
------------
RAILROADS - 0.46%
21,600 Burlington Northern Santa Fe Corp. . . . . . . . . . 1,598,400
------------
RETAIL - 2.30%
46,425 Dollar General Corp. . . . . . . . . . . . . . . . . 1,450,781
30,800 Lowe's Companies, Inc. . . . . . . . . . . . . . . . 1,151,150
18,500 Nine West Group, Inc. (a). . . . . . . . . . . . . . 827,875
68,100 Staples, Inc. (a). . . . . . . . . . . . . . . . . . 1,370,512
26,400 Tiffany & Co.. . . . . . . . . . . . . . . . . . . . 1,003,200
79,900 Wal-Mart Stores, Inc.. . . . . . . . . . . . . . . . 2,227,213
------------
8,030,731
------------
TELECOMMUNICATIONS - 2.83%
81,700 AT&T Corp. . . . . . . . . . . . . . . . . . . . . . 2,839,075
58,700 Comcast Corp.-Cl. A. . . . . . . . . . . . . . . . . 990,562
57,300 MCI Communications Corp. . . . . . . . . . . . . . . 2,041,313
54,000 Motorola, Inc. . . . . . . . . . . . . . . . . . . . 3,260,250
15,700 Sprint Corp. . . . . . . . . . . . . . . . . . . . . 714,350
------------
9,845,550
------------
Shares Description Value
- ------ ----------- -----
TOBACCO - 1.29%
39,400 Philip Morris Companies, Inc.. . . . . . . . . . . . $ 4,496,525
-------------
UTILITY-ELECTRIC - 1.54%
16,900 American Electric Power Co.. . . . . . . . . . . . . 697,125
11,900 Dominion Resources, Inc. . . . . . . . . . . . . . . 432,862
30,400 FPL Group, Inc.. . . . . . . . . . . . . . . . . . . 1,341,400
21,500 Ohio Edison Co.. . . . . . . . . . . . . . . . . . . 454,188
36,400 Pacific Gas & Electric Corp. . . . . . . . . . . . . 855,400
16,500 Public Service Enterprise Corp.. . . . . . . . . . . 433,125
33,800 Texas Utilities Co.. . . . . . . . . . . . . . . . . 1,157,650
-------------
5,371,750
-------------
UTILITY-GAS, NATURAL GAS - 0.66%
46,000 Consolidated Natural Gas Co. . . . . . . . . . . . . 2,317,250
-------------
UTILITY-TELEPHONE - 2.17%
9,800 Ameritech Corp.. . . . . . . . . . . . . . . . . . . 602,700
7,700 Bell Atlantic Corp.. . . . . . . . . . . . . . . . . 468,737
17,800 BellSouth Corp . . . . . . . . . . . . . . . . . . . 752,050
41,200 Frontier Corp. . . . . . . . . . . . . . . . . . . . 736,450
81,500 GTE Corp.. . . . . . . . . . . . . . . . . . . . . . 3,799,937
12,128 Lucent Technologies, Inc.. . . . . . . . . . . . . . 639,752
10,900 SBC Communications, Inc. . . . . . . . . . . . . . . 573,613
-------------
7,573,239
-------------
TOTAL COMMON STOCKS (Cost $175,839,456). . . . . . . . . . . . . 186,479,842
-------------
Principal
Amount
- ---------
CORPORATE DEBT-NON CONVERTIBLE - 2.98%
FINANCIAL SERVICES - 1.62%
$240,000 Bangkok Bank Public Co., 8.375%, 1/15/27 (c) . . . . 230,464
500,000 Bayerische Landesbank, 6.17%, 2/01/06. . . . . . . . 464,807
400,000 China International Trust, 9.00%, 10/15/06 . . . . . 424,119
300,000 Ford Motor Credit Co., 6.25%, 11/8/00. . . . . . . . 293,274
600,000 Great Western Financial Corp., 6.375%, 7/01/00 . . . 588,226
215,000 International Bank Reconstruction &
Development, 8.875%, 3/01/26 . . . . . . . . . . . 248,763
450,000 Jackson National Life Insurance Co., 8.15%,
3/15/27 (c). . . . . . . . . . . . . . . . . . . . 441,828
195,000 KFW International Finance, 8.20%, 6/01/06. . . . . . 206,519
700,000 Lehman Brothers, Inc., 7.25%, 4/15/03. . . . . . . . 691,450
415,000 Mutual Life Insurance Co., 11.25%, 8/15/24 (c) . . . 403,521
625,000 News America Holdings, 7.43%, 10/01/26 . . . . . . . 623,317
765,000 Paine Webber Group, Inc., 9.25%, 12/15/01. . . . . . 823,594
215,000 Standard Credit Card Master Trust, 6.55%,
10/07/05 . . . . . . . . . . . . . . . . . . . . . 205,428
-------------
5,645,310
-------------
FOREIGN INDUSTRIAL - 0.17%
19,000 Celulosa Arauco y Constitucion, 6.75%, 12/15/03. . . 18,038
610,000 Celulosa Arauco y Constitucion, 7.00%, 12/15/07. . . 574,507
-------------
592,545
-------------
INDUSTRIAL - 1.01%
215,000 Auburn Hills Trust, 12.00%, 5/01/20. . . . . . . . . 314,008
475,000 Brunswick Corp., 8.125%, 4/01/97 . . . . . . . . . . 475,000
270,000 Empress River Casino Finance, 10.75%,
4/01/02. . . . . . . . . . . . . . . . . . . . . . 285,525
50,000 Federated Department Stores, Inc., 8.50%
6/15/03. . . . . . . . . . . . . . . . . . . . . . 51,299
See Notes to Financial Statements on Pages 16 and 17
12
<PAGE>
- --------------------------------------------------------------------------------
ASSET MANAGEMENT PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS MARCH 31, 1997
- --------------------------------------------------------------------------------
Principal
Amount Description Value
- --------- ----------- -----
$490,000 Laidlaw, Inc., 7.70%, 8/15/02. . . . . . . . . . . . $ 497,644
430,000 Loewen Group, Inc., 8.25%, 10/15/03. . . . . . . . . 431,048
290,000 Marriott International, Inc.,Series A, 6.75%,
12/15/03 . . . . . . . . . . . . . . . . . . . . . . 278,111
145,000 Marriott International, Inc., Series B, 7.875%,
4/15/05. . . . . . . . . . . . . . . . . . . . . . . 146,244
485,000 Tenet Healthcare Corp., 9.625%, 9/01/02. . . . . . . 517,738
535,000 Texas Instruments, Inc., 6.75%, 7/15/99. . . . . . . 535,606
------------
3,532,223
------------
UTILITY - 0.18%
35,000 Idaho Power Co., 8.00%, 3/15/04. . . . . . . . . . . 36,254
440,000 Occidental Petroleum Corp., 9.50%, 7/15/97 . . . . . 444,624
140,000 Potomac Edison Co., 8.00%, 6/01/24 . . . . . . . . . 138,022
------------
618,900
------------
TOTAL CORPORATE DEBT NON-CONVERTIBLE (Cost $10,506,602). . . . . 10,388,978
------------
FOREIGN DEBT - 0.41%
Sovereign Debt - 0.41%
125,000 Manitoba, 6.125%, 1/19/04. . . . . . . . . . . . . . 118,188
265,000 New Zealand Government, 8.75%, 12/15/06 . . . . . . 291,912
95,000 New Zealand Government, 10.625%, 11/15/05. . . . . . 116,157
520,000 Poland Discount Bond, 6.437%, 10/27/24 . . . . . . . 508,950
400,000 Quebec Province, 7.22%, 7/22/36. . . . . . . . . . . 405,922
------------
TOTAL FOREIGN DEBT (Cost $1,438,355) . . . . . . . . . . . . . . 1,441,129
------------
Shares
- ------
PREFERRED STOCK - 0.48%
FINANCIAL SERVICES - 0.33%
480 Home Ownership Funding Corp. (c) . . . . . . . . . . 457,920
705 Home Ownership Funding Corp. II (c). . . . . . . . . 674,341
------------
1,132,261
------------
MISCELLANEOUS - 0.15%
314 1585 Broadway Corp. (c). . . . . . . . . . . . . . . 302,402
240 Marquette Real Estate Funding Corp. (c). . . . . . . 230,285
------------
532,687
------------
TOTAL PREFERRED STOCK (Cost $1,738,740). . . . . . . . . . . . . 1,664,948
------------
Principal
Amount
- ---------
U.S. GOVERNMENT AND AGENCY - 3.93%
$464,331 FGHLMC, 6.50%, 4/01/11 (b) . . . . . . . . . . . . . 447,644
111,125 FGHLMC, 9.50%, 2/01/25 (b) . . . . . . . . . . . . . 118,866
93,841 FGHLMC, 7.50%, 9/01/25 (b) . . . . . . . . . . . . . 92,589
253,443 FNMA, 6.00%, 1/01/01 (b) . . . . . . . . . . . . . . 247,832
150,000 FNMA, Global Bond, 6.35%, 11/23/01 (b) . . . . . . . 146,321
325,000 FNMA, 8.625%, 11/10/04 (b) . . . . . . . . . . . . . 334,796
463,851 FNMA, 7.00%, 9/01/07 (b) . . . . . . . . . . . . . . 456,169
500,000 FNMA TBA, 6.00%, 4/01/08 (b) . . . . . . . . . . . . 470,469
384,477 FNMA, 6.50%, 9/01/08 (b) . . . . . . . . . . . . . . 370,179
175,287 FNMA, 6.00%, 1/01/09 (b) . . . . . . . . . . . . . . 164,934
345,913 FNMA, 6.00%, 1/01/09 (b) . . . . . . . . . . . . . . 329,863
15,968 FNMA, 6.00%, 1/01/09 (b) . . . . . . . . . . . . . . 15,025
273,932 FNMA, 8.00%, 4/01/10 (b) . . . . . . . . . . . . . . 279,392
616,614 FNMA, 7.00%, 8/01/10 (b) . . . . . . . . . . . . . . 608,888
7,300,000 FNMA TBA, 7.00%, 9/01/21 (b) . . . . . . . . . . . . 6,985,246
387,850 FNMA, 6.50%, 10/01/23 (b). . . . . . . . . . . . . . 360,824
282,042 GNMA, 7.00%, 9/15/23 (b) . . . . . . . . . . . . . . 269,176
Principal
Amount Description Value
- --------- ----------- -----
$647,611 GNMA, 8.50%, 10/20/24 (b). . . . . . . . . . . . . . $660,159
389,389 GNMA, 8.00%, 7/15/25 (b) . . . . . . . . . . . . . . 391,701
980,646 GNMA, 7.00%, 3/15/26 (b) . . . . . . . . . . . . . . 935,912
------------
TOTAL U.S. GOVERNMENT AND AGENCY (Cost $13,951,373). . . . . . . 13,685,985
------------
U.S. TREASURY SECURITIES - 9.45%
265,000 U.S. Treasury Bonds, 6.625%, 6/30/01. . . . . . . . 263,758
460,000 U.S. Treasury Bonds, 6.375%, 9/30/01. . . . . . . . 453,170
735,000 U.S. Treasury Bonds, 6.875%, 5/15/06. . . . . . . . 730,866
195,000 U.S. Treasury Bonds, 8.125%, 8/15/19. . . . . . . . 214,013
960,000 U.S. Treasury Bonds, 7.25%, 8/15/22 . . . . . . . . 960,900
4,720,000 U.S. Treasury Bonds, 6.50%, 11/15/26. . . . . . . . 4,343,877
2,130,000 U.S. Treasury Notes, 6.25%, 6/30/98 . . . . . . . . 2,131,334
1,570,000 U.S. Treasury Notes, 6.00%, 9/30/98 . . . . . . . . 1,563,369
3,550,000 U.S. Treasury Notes, 6.375%, 5/15/99. . . . . . . . 3,542,780
10,110,000 U.S. Treasury Notes, 5.875%, 2/15/00. . . . . . . . 9,923,635
5,100,000 U.S. Treasury Notes, 6.625%, 3/31/02. . . . . . . . 5,069,738
3,620,000 U.S. Treasury Notes, 7.50%, 2/15/05 . . . . . . . . 3,746,130
------------
TOTAL U.S. TREASURY SECURITIES (Cost $33,364,355). . . . . . . . 32,943,570
------------
SHORT TERM INSTRUMENTS - 30.80%
REPURCHASE AGREEMENT - 14.38%
50,120,646 Sanwa Bank, dated 3/31/97, 6.30%, principal
and interest in the amount of $50,129,417
due 4/01/97 (collateralized by U.S. Treasury
Notes, par value of $51,926,000, 5.63%, due
11/30/00, value of $50,157,271). . . . . . . . . . . 50,120,646
------------
U.S. TREASURY BILLS - 16.42%
57,240,000 4.91% to 5.06%, maturing 4/03/97 to 5/29/97 (d). . . 57,215,857
------------
TOTAL SHORT TERM INSTRUMENTS (Cost $107,336,744) . . . . . . . . 107,336,503
------------
TOTAL INVESTMENTS (Cost $344,175,625). . . . . . . 101.55% 353,940,955
LIABILITIES IN EXCESS OF OTHER ASSETS. . . . . . . (1.55)% (5,402,262)
---------- ------------
NET ASSETS . . . . . . . . . . . . . . . . . . . 100.00% $348,538,693
---------- ------------
---------- ------------
- -----------------------
(a) Non-income producing security
(b) 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
TBA -- To be announced
(c) Securities exempt from registration under Rule 144A of the Securities Act
of 1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers.
(d) Includes collateral with value of $2,230,860 for futures contracts.
See Notes to Financial Statements on Pages 16 and 17
13
<PAGE>
- --------------------------------------------------------------------------------
ASSET MANAGEMENT PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES MARCH 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
<S> <C>
ASSETS
Investments, at Value (Cost of $344,175,625, including Repurchase Agreement amounting to $50,120,646). . . . . $ 353,940,955
Cash*. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,028,954
Receivable for Securities Sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,035,290
Dividends and Interest Receivable. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,067,903
Prepaid Expenses and Other . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 995
---------------
Total Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 364,074,097
---------------
LIABILITIES
Due to Bankers Trust . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 174,808
Payable for Securities Purchased . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14,290,906
Variation Margin Payable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,048,407
Accrued Expenses and Other . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21,283
---------------
Total Liabilities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15,535,404
---------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 348,538,693
---------------
---------------
COMPOSITION OF NET ASSETS
Paid-in Capital. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 341,096,124
Net Unrealized Appreciation (Depreciation) on:
Investment and Foreign Currency Transactions. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9,750,297
Futures Contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (2,307,728)
---------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 348,538,693
---------------
---------------
- ---------------
* Includes foreign currency of $2,360,173 with a value of $2,345,140.
<CAPTION>
- --------------------------------------------------------------------------------
STATEMENT OF OPERATIONS FOR THE YEAR ENDED MARCH 31, 1997
- --------------------------------------------------------------------------------
<S> <C>
INVESTMENT INCOME
Dividends (net of foreign withholding tax of $13,800). . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 2,943,047
Interest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7,832,156
---------------
Total Investment Income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10,775,203
---------------
EXPENSES
Advisory Fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,882,677
Administration and Services Fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 289,643
Professional Fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23,070
Trustees Fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,169
Miscellaneous. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,405
---------------
Total Expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,199,964
Less Expenses Absorbed by Bankers Trust. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (462,108)
---------------
Net Expenses. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,737,856
---------------
NET INVESTMENT INCOME. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9,037,347
---------------
REALIZED AND UNREALIZED GAIN ON INVESTMENTS, FOREIGN CURRENCIES AND FUTURES CONTRACTS
Net Realized Gain from:
Investment and Foreign Currency Transactions. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18,608,370
Futures Transactions. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10,460,233
Net Change in Unrealized Appreciation (Depreciation) on:
Investments and Foreign Currency Contracts. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 561,364
Futures Contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (2,292,257)
---------------
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS, FOREIGN CURRENCIES AND FUTURES CONTRACTS. . . . . . . . . . . . 27,337,710
---------------
NET INCREASE IN NET ASSETS FROM OPERATIONS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 36,375,057
---------------
---------------
</TABLE>
See Notes to Financial Statements on Pages 16 and 17
14
<PAGE>
- --------------------------------------------------------------------------------
ASSET MANAGEMENT PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
For the For the
year ended year ended
March 31, 1997 March 31, 1996
-------------- --------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS
Net Investment Income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 9,037,347 $ 6,712,317
Net Realized Gain from Investments, Foreign Currencies and Futures Transactions. . . . . 29,068,603 14,006,189
Net Change in Unrealized Appreciation (Depreciation) on Investments, Foreign
Currencies and Futures Contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . (1,730,893) 7,261,817
-------------- --------------
Net Increase in Net Assets from Operations . . . . . . . . . . . . . . . . . . . . . . . . 36,375,057 27,980,323
-------------- --------------
CAPITAL TRANSACTIONS
Proceeds from Capital Invested . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 166,792,562 170,133,182
Value of Capital Withdrawn . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (94,771,334) (54,499,861)
-------------- --------------
Net Increase in Net Assets from Capital Transactions . . . . . . . . . . . . . . . . . . . 72,021,228 115,633,321
-------------- --------------
TOTAL INCREASE IN NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 108,396,285 143,613,644
NET ASSETS
Beginning of Year. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 240,142,408 96,528,764
-------------- --------------
End of Year. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 348,538,693 $ 240,142,408
-------------- --------------
-------------- --------------
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
Contained below are selected ratios to average net assets and other supplemental
data for the periods indicated for the Asset Management Portfolio.
<CAPTION>
FOR THE PERIOD
FOR THE YEAR ENDED SEPTEMBER 16, 1993
MARCH 31, (COMMENCEMENT
----------------------------------- OF OPERATIONS) TO
1997 1996 1995 MARCH 31, 1994
---------- ---------- ---------- ---------------------
<S> <C> <C> <C> <C>
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period (000s omitted) . . . . . $348,539 $240,142 $96,529 $36,283
Ratios to Average Net Assets:
Net Investment Income. . . . . . . . . . . . . . 3.12% 3.99% 3.78% 2.83%*
Expenses . . . . . . . . . . . . . . . . . . . . 0.60% 0.60% 0.60% 0.60%*
Decrease Reflected in Above Expense Ratio Due to
Absorption of Expenses by Bankers Trust. . . . 0.16% 0.17% 0.19% 0.33%*
Portfolio Turnover Rate. . . . . . . . . . . . . . . 137% 154% 92% 56%
Average Commission Paid Per Share+ . . . . . . . . . 0.0466
</TABLE>
- ----------------
* Annualized
+ For fiscal years beginning on or after September 1, 1995, the Portfolio is
required to disclose its average commission rate per share for security
trades on which commissions are charged.
See Notes to Financial Statements on Pages 16 and 17
15
<PAGE>
- --------------------------------------------------------------------------------
ASSET MANAGEMENT PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
NOTE--1 ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
A. ORGANIZATION
The Asset Management Portfolio (the "Portfolio") is registered under the
Investment Company Act of 1940 (the "Act"), as amended, as an open-end
management investment company. The Portfolio was organized on June 9, 1992 as an
unincorporated trust under the laws of New York and commenced operations on
September 16, 1993. The Declaration of Trust permits the Board of Trustees (the
"Trustees") to issue beneficial interests in the Portfolio.
B. SECURITY VALUATION
The Portfolio's investments listed or traded on National Stock Exchanges or
other domestic or foreign exchanges are valued based on the closing price of a
security traded on that exchange prior to the time when the Portfolio assets are
valued. Short-term obligations with remaining maturities of 60 days or less are
valued at amortized cost. Other short-term debt securities are valued on a
mark-to-market basis until such time as they reach a remaining maturity of 60
days, whereupon they will be valued at amortized cost using their value on the
61st day. All other securities and other assets are valued at their fair value
as determined in good faith under procedures established by and under the
general supervision of the Trustees.
C. SECURITY TRANSACTIONS AND INVESTMENT INCOME
Security transactions are accounted for on a trade date basis. Dividend income,
less foreign taxes withheld, if any, is recorded on the ex-dividend date or upon
receipt of ex-dividend notification in the case of certain foreign securities.
Interest income is recorded on the accrual basis and includes amortization of
premium and accretion of discount on investments. Realized gains and losses from
securities transactions are recorded on the identified cost basis.
All of the net investment income and realized and unrealized gains and losses
from the security and foreign currency transactions of the Portfolio are
allocated pro rata among the investors in the Portfolio at the time of such
determination.
D. REPURCHASE AGREEMENTS
The Portfolio may enter into repurchase agreements with financial institutions
deemed to be creditworthy by the Portfolio's Investment Advisers, subject to the
seller's agreement to repurchase such securities at a mutually agreed upon
price. Securities purchased subject to repurchase agreements are deposited with
the Portfolio's custodian, and, pursuant to the terms of the repurchase
agreement, must have an aggregate market value greater than or equal to the
repurchase price plus accrued interest at all times. If the value of the
underlying securities falls below the value of the repurchase price plus accrued
interest, the Portfolio will require the seller to deposit additional collateral
by the next business day. If the request for additional collateral is not met,
or the seller defaults on its repurchase obligation, the Portfolio maintains the
right to sell the underlying securities at market value and may claim any
resulting loss against the seller. However, in the event of default or
bankruptcy by the seller, realization and/or retention of the collateral may be
subject to legal proceedings.
E. FOREIGN CURRENCY TRANSACTIONS
The books and records of the Asset Management Portfolio are maintained in U.S.
dollars. All assets and liabilities initially expressed in foreign currencies
are converted into U.S. dollars at prevailing exchange rates. Purchases and
sales of investment securities, dividend and interest income and certain
expenses are translated at the rates of exchange prevailing on the respective
dates of such transactions.
F. FORWARD FOREIGN CURRENCY CONTRACTS
The Portfolio may enter into forward foreign currency contracts for the purpose
of settling specific purchases or sales of securities denominated in a foreign
currency or with respect to the Portfolio's investments. The net U.S. dollar
value of foreign currency underlying all contractual commitments held by the
Portfolio and the resulting unrealized appreciation or depreciation are
determined using prevailing exchange rates. With respect to forward foreign
currency contracts, losses in excess of amounts recognized in the Statement of
Assets and Liabilities may arise due to changes in the value of the foreign
currency or if the counterparty does not perform under the contract.
G. OPTION CONTRACTS
The Portfolio may enter into option contracts. Upon the purchase of a put option
or a call option by the Portfolio, the premium paid is recorded as an
investment, valued at mark-to-market daily to reflect the current market value.
When a purchased option expires, the Portfolio will realize a loss in the amount
of the cost of the option. When the Portfolio enters into a closing sale
transaction, the Portfolio will realize a gain or loss depending on whether the
sale proceeds from the closing sale transaction are greater or less than the
cost of the option. When the Portfolio exercises a put option, it realizes a
gain or loss from the sale of the underlying security and the proceeds from such
sale will be decreased by the premium originally paid. When the Portfolio
exercises a call option, the cost of the security which the Portfolio purchases
upon exercise will be increased by the premium originally paid.
H. FUTURES CONTRACTS
The Portfolio may enter into financial futures contracts which are contracts to
buy a standard quantity of securities at a specified price on a future date. The
Portfolio is required to deposit either in cash or securities an amount equal to
a certain percentage of the contract amount. Subsequent payments are made or
received by the Portfolio each day, dependent on the daily fluctuations in the
value of the underlying security, and are recorded for financial statement
purposes as unrealized gains or losses by the Portfolio.
Futures contracts are valued at the settlement price established each day by the
board of trade or exchange on which they are traded.
I. FEDERAL INCOME TAXES
It is the Portfolio's policy to comply with the requirements of the Internal
Revenue Code. Therefore, no federal income tax provision is required.
J. OTHER
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions that
affect the reported amounts in the financial statements.
16
<PAGE>
- --------------------------------------------------------------------------------
ASSET MANAGEMENT PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
NOTE 2--FEES AND TRANSACTIONS WITH AFFILIATES
The Portfolio has entered into an Administration and Services Agreement with
Bankers Trust Company ("Bankers Trust"). Under this Administration and Services
Agreement, Bankers Trust provides administrative, custody, transfer agency and
shareholder services to the Portfolio in return for a fee computed daily and
paid monthly at an annual rate of 0.10 of 1% of the Portfolio's average daily
net assets. For the year ended March 31, 1997, this fee aggregated $289,643.
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 year ended March 31, 1997, this
fee aggregated $1,882,677.
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, 1997,
expenses of the Portfolio have been reduced by $462,108.
On September 30, 1996, the Trust entered into a Distribution Agreement with
Edgewood Services, Inc. ("Edgewood"). Prior to September 30, Signature
Broker-Dealer Services, Inc. ("Signature") was the Trust's distributor.
Certain trustees and officers of the Portfolio are also directors, officers
and/or employees of Edgewood and/or Signature. None of the trustees so
affiliated received compensation for services as trustees of the Portfolio.
Similarly, none of the Portfolio's officers received compensation from the
Portfolio.
For the year ended March 31, 1997, the Portfolio paid brokerage commissions of
$193,354.
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, 1997 was $338,539,944
and $267,916,709, respectively. For Federal income tax purposes, the tax basis
of investments held at March 31, 1997 was $344,514,483. The aggregate gross
unrealized appreciation was $14,835,386 and the aggregate gross unrealized
depreciation for all investments was $5,408,914.
- --------------------------------------------------------------------------------
NOTE 4--FUTURES CONTRACTS
A summary of obligations under these financial instruments at March 31, 1997 is
as follows:
<TABLE>
<CAPTION>
Unrealized
Appreciation
Type of Futures Expiration Contracts Position Market Value (Depreciation)
- ------------------------------- ------------ ----------- ---------- -------------------- --------------------
<S> <C> <C> <C> <C> <C>
S&P 500 June 1997 111 Long $ 42,069,000 $ (2,102,400)
French 10 Year Bond Futures June 1997 87 Long 9,898,536 (88,806)
CAC 40 Year Futures April 1997 67 Long 6,319,028 115,412
US Treasury Futures June 1997 15 Long 1,582,500 (33,594)
Japanese Bond Futures June 1997 17 Long 17,335,223 143,154
Toronto 35 Index Futures June 1997 41 Long 8,764,783 (265,518)
Australian 10 Year Bond Futures June 1997 160 Long 91,567,267 (76,944)
JPN Yen Futures June 1997 6 Short (613,350) 6,605
Canadian $ Futures June 1997 5 Short (362,950) 5,513
French Franc Futures June 1997 11 Short (979,550) (11,802)
Australian $ Futures June 1997 9 Short (707,040) 652
- ------------------------------- ----------- -------------- -------------
Total 529 $ 174,873,447 $ (2,307,728)
- ------------------------------- ----------- -------------- -------------
- ------------------------------- ----------- -------------- -------------
</TABLE>
At March 31, 1997, the Portfolio segregated sufficient securities to cover
margin requirements on open futures contracts.
17
<PAGE>
- --------------------------------------------------------------------------------
ASSET MANAGEMENT PORTFOLIO
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, including
the schedule of portfolio investments, of the Asset Management Portfolio as of
March 31, 1997, 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 three 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,
1997, 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, 1997, 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.
Coopers & Lybrand L.L.P.
Kansas City, Missouri
May 2, 1997
18
<PAGE>
This page intentionally left blank.
19
<PAGE>
BT PYRAMID MUTUAL FUNDS
BT INSTITUTIONAL ASSET MANAGEMENT FUND
INVESTMENT ADVISER OF THE PORTFOLIO AND ADMINISTRATOR
BANKERS TRUST COMPANY
130 Liberty Street
New York, NY 10006
DISTRIBUTOR
EDGEWOOD SERVICES, INC.
Clearing Operations
P.O. Box 897
Pittsburgh, PA 15230-0897
CUSTODIAN AND TRANSFER AGENT
BANKERS TRUST COMPANY
130 Liberty Street
New York, NY 10006
INDEPENDENT ACCOUNTANTS
COOPERS & LYBRAND L.L.P
1100 Main Street, Suite 900
Kansas City, MO 64105
COUNSEL
WILLKIE FARR & GALLAGHER
153 East 53rd Street
New York, NY 10022
--------------------
For information on how to invest, shareholder account information and
current price and yield information, please contact your relationship
manager or the BT Mutual Fund Service Center at (800) 368-4031.
--------------------
