<PAGE>
- BT PYRAMID MUTUAL FUNDS -
------------------------------
BT INSTITUTIONAL ASSET
MANAGEMENT FUND
------------------------------
SEMI-ANNUAL REPORT
--------------------
SEPTEMBER-1997
<PAGE>
- --------------------------------------------------------------------------------
BT INSTITUTIONAL ASSET MANAGEMENT FUND
TABLE OF CONTENTS
- --------------------------------------------------------------------------------
Letter to Shareholders . . . . . . . . . . . . . . . . . . . . . . . . . . .3
BT Institutional Asset Management Fund
Statement of Assets and Liabilities. . . . . . . . . . . . . . . . . . . .6
Statement of Operations. . . . . . . . . . . . . . . . . . . . . . . . . .6
Statement of Changes in Net Assets . . . . . . . . . . . . . . . . . . . .7
Financial Highlights . . . . . . . . . . . . . . . . . . . . . . . . . . .8
Notes to Financial Statements. . . . . . . . . . . . . . . . . . . . . . .9
Asset Management Portfolio
Schedule of Portfolio Investments. . . . . . . . . . . . . . . . . . . . 10
Statement of Assets and Liabilities. . . . . . . . . . . . . . . . . . . 13
Statement of Operations. . . . . . . . . . . . . . . . . . . . . . . . . 13
Statement of Changes in Net Assets . . . . . . . . . . . . . . . . . . . 14
Financial Highlights . . . . . . . . . . . . . . . . . . . . . . . . . . 14
Notes to Financial Statements. . . . . . . . . . . . . . . . . . . . . . 15
2
<PAGE>
- --------------------------------------------------------------------------------
BT INSTITUTIONAL ASSET MANAGEMENT FUND
LETTER TO SHAREHOLDERS
- --------------------------------------------------------------------------------
We are pleased to present you with this semi-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 19.25% for the semi-annual period ended September 30, 1997*,
as compared to 16.93% for the Asset Allocation Index-Long Range**, 26.26% for
the S&P 500 Index**, and 7.05% for the Salomon Broad Investment Grade (BIG)
Index**. The Lipper Flexible Portfolio Average+ had a return of 17.99% for the
same period. Since its inception on September 16, 1993, the Fund delivered a
total return of 69.13% cumulatively, or 13.90% annualized, as of September 30,
1997. The Fund returned 28.13% for the year ended September 30, 1997.
MARKET ACTIVITY
U.S. MARKETS
Economic growth in the first quarter of the Fund's fiscal year was a strong
3.6%, and then it slowed in the next quarter to an estimated 2.8%. The
inflation picture, which was already quite benign, improved even further. In
fact, talk of potential deflation even appeared on the scene. Given this
scenario, the Federal Reserve Board opted to maintain its tight monetary policy
during these months, holding its target for the federal funds rate at 5.5%. We
believe this suggests that any further tightening will occur only after
inflationary pressures become more evident.
- --------------------------------------------------------------------------------
OBJECTIVE
Seeks a high total return with reduced risk over the long term by allocating
investments among stocks, bonds and short-term instruments.
- --------------------------------------------------------------------------------
Strong economic growth combined with a lack of inflation proved to be positive
for both the equity and bond markets, although there was a short-lived
correction in each during the period, as questions were raised concerning the
possibility of emerging inflation.
U.S. EQUITIES
After a correction of approximately 10% between early March and mid-April, the
S&P 500 Index rebounded and advanced by a huge 17.4% for the second calendar
quarter. The combination of impressive gains in corporate profits, despite the
absence of pricing power, along with the lack of evident inflation supported the
market's rise to record levels. The Dow Jones Industrial Average broke the 8000
mark on July 17, and the S&P 500 Index moved to a record level on August 4. The
Index fell back for the rest of August, swung back once more and almost
recovered to a new peak at the end of September. Even with that impressive
performance, smaller stocks, as represented by the Russell 2000 Index, recovered
from its March/April bear market even more strongly. For the period from May
through September 1997, small cap stocks outperformed both the midcap and large
cap segments of the market and broke records virtually every day in September.
- --------------------------------------------------------------------------------
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.
- --------------------------------------------------------------------------------
U.S. BONDS
The bond market, too, was strong during this semi-annual period overall.
- --------------------------------------------------------------------------------
FIVE LARGEST COMMON STOCK HOLDINGS
- --------------------------------------------------------------------------------
Bank America Corp.
- --------------------------------------------------------------------------------
Pfizer, Inc.
- --------------------------------------------------------------------------------
General Electric Co.
- --------------------------------------------------------------------------------
Merck & Co.
- --------------------------------------------------------------------------------
Chase Manhattan Corp.
- --------------------------------------------------------------------------------
The U.S. Treasury market rallied through most of both quarters, with yields
closing 0.60% to 0.80% below opening levels. Continued benign inflation and
controlled economic growth, put the market's expectations of Federal Reserve
Board activity on hold and supported the rally in the second calendar
quarter. In the next quarter, the economy continued to grow at a reasonably
good rate, while inflation remained muted--a now familiar combination.
However, a stronger-than-expected employment release in early August,
combined with the digestion of the $38 billion Treasury Refunding,
interrupted the rally mid-quarter, and the bond market trended irregularly
higher before rates resumed their fall at the end of the quarter.
- --------------------------------------------------------------------------------
FIVE LARGEST FIXED INCOME SECURITIES
- --------------------------------------------------------------------------------
FNMA 7.500% 9/01/21
- --------------------------------------------------------------------------------
U.S. Treasury Notes 5.875% 9/30/02
- --------------------------------------------------------------------------------
U.S. Treasury Bonds 7.625% 11/15/22
- --------------------------------------------------------------------------------
U.S. Treasury Notes 6.000% 8/15/00
- --------------------------------------------------------------------------------
Ford Motor Credit 6.250% 11/08/00
- --------------------------------------------------------------------------------
INTERNATIONAL MARKETS
Most of the world's developed equity markets came roaring back in September,
shaking off summer doldrums and returning to their record-setting pace set
through most of the past twelve months amidst a backdrop of sustainable economic
growth and historically low inflation. So, too, international bonds lagged the
U.S. by only 0.29% in the second calendar quarter, as domestic issues in several
major markets at least partially offset the positive tone provided by the U.S.
And in the third calendar quarter, international bonds pre-
- ----------------
* Performance quoted represents past performance and is not indicative of
future results. 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. The S&P
500 Index emphasizes large capitalization stocks. The Salomon Broad
Investment Grade Index covers an all-inclusive universe of institutionally-
traded U.S. Treasury, agency, mortgage and corporate securities.
+ 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
<PAGE>
- --------------------------------------------------------------------------------
BT INSTITUTIONAL ASSET MANAGEMENT FUND
LETTER TO SHAREHOLDERS
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
DIVERSIFICATION OF PORTFOLIO INVESTMENTS
- --------------------------------------------------------------------------------
By Asset Class as of September 30, 1997
(percentages are based on market value)
[CHART]
Stocks 70%
Bonds 30%
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.
cisely matched the performance of the U.S. fixed income market. With U.S.
Federal Reserve Board policymakers on hold for the time being and renewed
confidence that European economic and monetary convergence will occur, a
supportive environment for both bond and stock markets remains in place.
More specifically, Europe as a whole did not beat the surging U.S. market in the
six months ended September 30, 1997. However, several of the individual
European equity markets did outperform the S&P 500 Index, even in dollar terms,
in spite of the strength of the U.S. dollar; these included Finland, Italy, and
Spain. Strong bond market performances came from several of these same
peripheral European nations, as the market came to accept that these economies
will most likely participate in the first round of European Monetary Union in
1999.
The Japanese stock market continued its pattern of offering great promise and
profound disappointment. The Nikkei skyrocketed to its year high in the second
calendar quarter, as unexpectedly strong fiscal year 1996 earnings buoyed the
market. And then in the third calendar quarter, Japan was the poorest
performing major EAFE market. Several equity markets elsewhere in Asia also saw
precipitous falls, as the Thai currency crisis set off in July sent the region
into a tailspin from which it has yet to recover. This currency crisis also
sent several of the Southeast Asian debt markets reeling. Japanese bond returns
lagged the other international markets on a fully-hedged basis.
Canada continued its strong performance both in stocks and bonds, reflecting its
growing, low inflation economy. Although the Bank of Canada has indicated that
further interest rate moves may be necessary to contain inflationary pressure,
fundamentals remain quite positive.
CASH
The U.S. dollar was strong versus most currencies, including the yen, the German
mark, and the British pound, during the semi-annual period. Strong domestic
economic growth, controlled inflation, and the Federal Reserve Board on hold,
along with high volatility in Asia and Latin America, added to the relative
attractiveness of the U.S. currency.
INVESTMENT REVIEW
The Fund outperformed both the Asset Allocation Index-Long Range benchmark and
its Lipper category average. This strong relative performance was due primarily
to superior asset allocation.
Supported by the "new paradigm" of strong real growth and low inflation, as well
as by strong stock market momentum, low long-term interest rates, and a
relatively modest term premium, the Fund remained overweighted in U.S. stocks
for the semi-annual period. As U.S. equities were the leading market for the
six months, such an allocation was the primary reason for the Fund's strong
performance. Even though this sector did not match S&P performance, the Fund's
portfolio remained a top quartile performer, and individual security selection
remained strong.
An underweight position in the U.S. bond market was supported by weak momentum
and increases in commodity prices, which, in turn, suggests inflationary
pressures. The Fund's U.S. bond portfolio beat the Salomon Broad Investment
Grade (BIG) Index in the second calendar quarter and lagged it in the third
calendar quarter, to end the six months even versus the benchmark. Corporate
and mortgage issue selection accounted for both the relative out- and
underperformance.
The Fund's underweight position in U.S. bonds was used to fund a neutral
position in the international bond markets. International stock and bond market
exposure provided diversification of risk, but did not make a substantial
contribution to return during this period, although light investment in
international equity markets, most consistently in Germany, helped performance.
International bond market focus continued to be in Canada, France, and Japan*.
As of September 30, 1997, the Fund's asset weightings were 65% in U.S. equities,
20% in U.S. bonds, 10% in international bonds, 5% in international equities, and
0% in cash.
MANAGER OUTLOOK
Strong underlying fundamentals in the consumer sector, continued capital
investment, and increased government spending are all expected to keep the U.S.
economy on a relatively upward course, at least into the new year. At some
point, we still anticipate that this relatively fast pace of economic growth
will generate some inflationary pressures. Rising wage rates in response to the
tight labor market conditions are bound to put some pressure on profit margins,
force prices higher, or both. As inflation picks up, interest rates are
expected to follow, although not to the degree feared earlier.
- -------------------
* Foreign investing involves special risks, including currency risk,
increased volatility of foreign securities, and differences in auditing and
other financial standards.
4
<PAGE>
- --------------------------------------------------------------------------------
BT INSTITUTIONAL ASSET MANAGEMENT FUND
LETTER TO SHAREHOLDERS
- --------------------------------------------------------------------------------
For the near term, then, the Fund remains overweight in U.S. stocks and
underweight in U.S. bonds. We believe that a continual slowing of corporate
profits growth, as the economy slows and as margins are crimped, heighten the
possibility of correction in equity prices, as do the high current valuations.
Any correction, though, is anticipated to be brief and mild, followed by renewed
strength. As for the U.S. bond market, we believe a cautious stance is still
warranted for now, although the long-term fundamentals for bonds are still
favorable.
We believe Continental European markets continue to offer the best prospects
both for international equities and bonds. In equities, France and the
periphery nations should benefit the most, as European unification will reward
companies that have taken the crucial steps required to be successful in the
increasingly competitive marketplace. With Japanese bonds at record low levels
and convergence being fully discounted in all but the shortest of maturities
across peripheral Europe, we believe the largest potential for gains in the
coming months appear to be in the intermediate sector of core European markets
such as Germany.
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
September 30, 1997
- --------------------------------------------------------------------------------
PERFORMANCE COMPARISON
- --------------------------------------------------------------------------------
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 September 30, 1997
Six Months Since 9/16/93*
19.25% 13.90%**
* The Fund's inception date.
** Annualized.
Investment return and principal value may fluctuate so that shares, when
redeemed, may be worth more or less than their original cost.
- --------------------------------------------------------------------------------
[GRAPH]
<TABLE>
<CAPTION>
BT Institutional Asset Allocation Index--
Asset Management Fund - $16,915 Long Range+ - $17,518 S&P 500 Index - $22,735
------------------------------- ------------------------- ------------------------
<S> <C> <C> <C>
Sep-93 10000 10000 10000
Dec-93 10084 10136 10232
Mar-94 9671 9833 9844
Jun-94 9535 9832 9885
Sep-94 9717 10128 10369
Dec-94 9759 10174 10367
Mar-95 10361 10872 11376
Jun-95 11047 11599 12462
Sep-95 11539 12173 13453
Dec-95 12056 12682 14263
Mar-96 12409 13067 15028
Jun-96 12793 13756 15703
Sep-96 13201 14111 16188
Dec-96 14012 14990 17537
Mar-97 14183 15241 18007
Jun-97 15858 16606 21153
Sep-97 16915 17518 22735
</TABLE>
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
<PAGE>
- -------------------------------------------------------------------------------
BT INSTITUTIONAL ASSET MANAGEMENT FUND
STATEMENT OF ASSETS AND LIABILITIES SEPTEMBER 30, 1997 (UNAUDITED)
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
<S> <C>
ASSETS
Investment in Asset Management Portfolio, at Value . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 359,387,173
Receivable for Shares of Beneficial Interest Subscribed. . . . . . . . . . . . . . . . . . . . . . . . . . 246,981
Due from Bankers Trust . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,303
Prepaid Expenses and Other . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7,702
------------
Total Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 359,647,159
------------
LIABILITIES
Payable for Shares of Beneficial Interest Redeemed . . . . . . . . . . . . . . . . . . . . . . . . . . . . 241,011
Accrued Expenses and Other . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 33,558
------------
Total Liabilities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 274,569
------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 359,372,590
------------
------------
COMPOSITION OF NET ASSETS
Paid-in Capital. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 281,793,247
Undistributed Net Investment Income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 45,131
Undistributed Net Realized Gain from Investments, Foreign Currencies, Forward Foreign Currency and
Futures Transactions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 31,656,626
Net Unrealized Appreciation on:
Investments, Foreign Currencies and Forward Foreign Currency Contracts . . . . . . . . . . . . . . . . . 43,914,234
Futures Contracts. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,963,352
------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 359,372,590
------------
------------
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE (net assets divided by shares outstanding). . . . . $ 14.17
------------
------------
SHARES OUTSTANDING ($0.001 par value per share, unlimited number of shares of beneficial interest
authorized) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25,363,692
------------
------------
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------
STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED SEPTEMBER 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
<S> <C>
INVESTMENT INCOME
Income Allocated from Asset Management Portfolio, net. . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 4,722,194
------------
EXPENSES
Administration and Services Fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 238,460
Printing and Shareholder Reports . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13,506
Registration Fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,070
Professional Fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,065
Trustees Fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,962
Miscellaneous. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,884
------------
Total Expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 269,947
Less Expenses Absorbed by Bankers Trust. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (269,947)
------------
Net Expenses. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . --
------------
NET INVESTMENT INCOME. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,722,194
------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FOREIGN CURRENCIES, FORWARD FOREIGN CURRENCY AND
FUTURES CONTRACTS
Net Realized Gain (Loss) from:
Investment, Foreign Currency and Forward Foreign Currency Transactions. . . . . . . . . . . . . . . . . (513,853)
Futures Transactions. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9,188,075
Net Change in Unrealized Appreciation on:
Investment, Foreign Currency and Forward Foreign Currency Contracts . . . . . . . . . . . . . . . . . . 36,582,018
Futures Contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,657,258
------------
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS, FOREIGN CURRENCIES, FORWARD FOREIGN CURRENCY AND
FUTURES CONTRACTS. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 48,913,498
------------
NET INCREASE IN NET ASSETS FROM OPERATIONS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 53,635,692
------------
------------
</TABLE>
See Notes to Financial Statements on Page 9
6
<PAGE>
- --------------------------------------------------------------------------------
BT INSTITUTIONAL ASSET MANAGEMENT FUND
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE FOR THE
SIX MONTHS ENDED YEAR ENDED
SEPTEMBER 30, 1997+ MARCH 31, 1997
------------------ ------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS
Net Investment Income. . . . . . . . . . . . . . . . . . . . . . . . . . . . $4,722,194 $6,937,157
Net Realized Gain from Investments, Foreign Currencies, Forward Foreign
Currency and Futures Transactions . . . . . . . . . . . . . . . . . . . . 8,674,222 22,524,906
Net Change in Unrealized Appreciation (Depreciation) on Investments, Foreign
Currencies, Forward Foreign Currency and Futures Contracts . . . . . . . . 40,239,276 (1,720,429)
------------ ------------
Net Increase in Net Assets from Operations . . . . . . . . . . . . . . . . . . 53,635,692 27,741,634
------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income. . . . . . . . . . . . . . . . . . . . . . . . . . . . (4,717,277) (8,414,757)
Net Realized Gain from Investment Transactions . . . . . . . . . . . . . . . -- (6,468,985)
------------ ------------
Total Distributions. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (4,717,277) (14,883,742)
------------ ------------
CAPITAL TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST
Proceeds from Sales of Shares. . . . . . . . . . . . . . . . . . . . . . . . 71,293,842 125,920,140
Dividend Reinvestments . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,717,277 14,881,177
Cost of Shares Redeemed. . . . . . . . . . . . . . . . . . . . . . . . . . . (35,871,565) (67,111,229)
------------ ------------
Net Increase from Capital Transactions in Shares of Beneficial Interest. . . . 40,139,554 73,690,088
------------ ------------
TOTAL INCREASE IN NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . 89,057,969 86,547,980
NET ASSETS
Beginning of Period. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 270,314,621 183,766,641
------------ ------------
End of Period (including undistributed net investment income of $45,131 and
$532,250, respectively) . . . . . . . . . . . . . . . . . . . . . . . . . . $359,372,590 $270,314,621
------------ ------------
------------ ------------
</TABLE>
- --------------------
+ Unaudited
See Notes to Financial Statements on Page 9
7
<PAGE>
- --------------------------------------------------------------------------------
BT INSTITUTIONAL ASSET MANAGEMENT FUND
FINANCIAL HIGHLIGHTS
- -------------------------------------------------------------------------------
Contained below are selected data for a share outstanding, total investment
return, other supplemental data and ratios to average n et assets for the
periods indicated for the BT Institutional Asset Management Fund.
<TABLE>
<CAPTION>
FOR THE PERIOD
FOR THE YEAR ENDED SEPTEMBER 16, 1993
FOR THE MARCH 31, (COMMENCEMENT
SIX MONTHS ENDED --------------------------- OF OPERATIONS) TO
SEPTEMBER 30,1997+ 1997 1996 1995 MARCH 31, 1994
------------------ ------- ----- ----- ------------------
<S> <C> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE, BEGINNING OF PERIOD . . . . . . . . . . . $12.05 $11.25 $9.99 $9.61 $10.00
------ ------ ----- ----- ------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income . . . . . . . . . . . . . . . . . 0.17 0.38 0.41 0.36 0.11
Net Realized and Unrealized Gain (Loss) on Investments,
Foreign Currencies, Forward Foreign Currency and
Futures Contracts. . . . . . . . . . . . . . . . . . 2.14 1.19 1.52 0.30 (0.44)
------ ------ ----- ----- ------
Total Income (Loss) from Investment Operations . . . . . . 2.31 1.57 1.93 0.66 (0.33)
------ ------ ----- ----- ------
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income . . . . . . . . . . . . . . . . . (0.19) (0.45) (0.42) (0.28) (0.06)
Net Realized Gain from Investment Transactions. . . . . -- (0.32) (0.25) -- --
------ ------ ----- ----- ------
Total Distributions. . . . . . . . . . . . . . . . . . . . (0.19) (0.77) (0.67) (0.28) (0.06)
------ ------ ----- ----- ------
NET ASSET VALUE, END OF PERIOD . . . . . . . . . . . . . . $14.17 $12.05 $11.25 $9.99 $9.61
------ ------ ----- ----- ------
------ ------ ----- ----- ------
TOTAL INVESTMENT RETURN. . . . . . . . . . . . . . . . . . 19.25% 14.31% 19.77% 7.13% (6.06)%*
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period (000s omitted). . . . . . . . $359,373 $270,315 $183,767 $83,201 $75,021
Ratios to Average Net Assets:
Net Investment Income . . . . . . . . . . . . . . . . 2.97%* 3.12% 3.99% 3.78% 2.83%*
Expenses, including Expenses of the Asset
Management 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. . . . . . . 0.33%* 0.36% 0.39% 0.43% 0.73%*
</TABLE>
- ------------------
+ Unaudited
* Annualized
See Notes to Financial Statements on Page 9
8
<PAGE>
- --------------------------------------------------------------------------------
BT INSTITUTIONAL ASSET MANAGEMENT FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
NOTE 1--ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
A. ORGANIZATION
BT Pyramid Mutual Funds (the "Trust") is registered under the Investment
Company Act of 1940 (the "Act"), as amended, as an open-end management
investment company. The Trust was organized on February 28, 1992, as a
business trust under the laws of the Commonwealth of Massachusetts. The BT
Institutional Asset Management Fund (the "Fund") is one of the funds offered
to investors by the Trust. The Fund commenced operations and began offering
shares of beneficial interest on September 16, 1993. The Fund invests
substantially all of its assets in the Asset Management Portfolio (the
"Portfolio"). The Portfolio is an open-end management investment company
registered under the Act. The Fund seeks to achieve its investment objective
by investing all of its investable assets in the Portfolio. The value of such
investment in the Portfolio reflects the Fund's proportionate interest in the
net assets of the Portfolio. At September 30, 1997, the Fund's investment was
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, 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.
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 taxable income to shareholders. Therefore, no federal income tax
provision is required.
E. OTHER
The Trust accounts separately for the assets, liabilities and operations of the
Fund. Expenses directly attributable to the Fund are charged to that Fund, while
expenses which are attributable to all of the Trust's funds are allocated among
them.
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions that
affect the reported amounts in the financial statements.
NOTE 2--FEES AND TRANSACTIONS WITH AFFILIATES
The Fund has entered into an Administration and Services Agreement with Bankers
Trust Company ("Bankers Trust"). Under this Administration and Services
Agreement, Bankers Trust provides administrative, custody, transfer agency and
shareholder services to the Fund in return for a fee computed daily and paid
monthly at an annual rate of 0.15 of 1% of the Fund's average daily net assets.
For the six months ended September 30, 1997, this fee aggregated $238,460.
Under the Distribution Agreement with the Trust, pursuant to Rule 12b-1 of the
Act, Edgewood may seek reimbursement, at an annual rate not exceeding 0.20 of 1%
of the Fund's average daily net assets, for expenses incurred in connection with
any activities primarily intended to result in the sale of the Fund's shares.
For the six months ended September 30, 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 six months ended September 30, 1997, expenses of the Fund
have been reduced by $269,947.
Certain trustees and officers of the Fund are also directors, officers and/or
employees of Edgewood. None of the trustees so affiliated received compensation
for services as trustees of the Fund. Similarly, none of the Fund's officers
received compensation from the Fund.
NOTE 3--SHARES OF BENEFICIAL INTEREST
At September 30, 1997, there were an unlimited number of shares of beneficial
interest authorized. Transactions in shares of beneficial interest were as
follows:
<TABLE>
<CAPTION>
FOR THE FOR THE
SIX MONTHS ENDED YEAR ENDED
SEPTEMBER 30, 1997 (UNAUDITED) MARCH 31, 1997
--------------------------------- --------------------------------
SHARES AMOUNT SHARES AMOUNT
----------- ------------ ---------- -----------
<S> <C> <C> <C> <C>
Sold 5,268,955 $ 71,293,842 10,490,486 $125,920,140
Reinvested 340,594 4,717,277 1,255,355 14,881,177
Redeemed (2,672,274) (35,871,565) (5,647,355) (67,111,229)
Net Increase 2,937,275 $ 40,139,554 6,098,486 $ 73,690,088
</TABLE>
9
<PAGE>
- --------------------------------------------------------------------------------
ASSET MANAGEMENT PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS SEPTEMBER 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES DESCRIPTION VALUE
------ ----------- -----
<S> <C> <C>
COMMON STOCKS - 49.62%
AEROSPACE - 0.21%
17,600 Boeing Co. . . . . . . . . . . . . . . . . . . . . . . $ 958,100
-----------
AIRLINES - 0.48%
14,300 AMR Corp. (a) . . . . . . . . . . . . . . . . . . . . . 1,582,831
6,800 Delta Air Lines, Inc. . . . . . . . . . . . . . . . . . 640,475
-----------
2,223,306
-----------
AUTO RELATED - 1.32%
28,500 Chrysler Corp.. . . . . . . . . . . . . . . . . . . . . 1,049,156
53,000 Dana Corp.. . . . . . . . . . . . . . . . . . . . . . . 2,616,875
36,900 General Motors Corp.. . . . . . . . . . . . . . . . . . 2,469,994
-----------
6,136,025
-----------
BANKS - 3.97%
97,000 BankAmerica Corp. . . . . . . . . . . . . . . . . . . . 7,111,312
54,900 BankBoston Corp.. . . . . . . . . . . . . . . . . . . . 4,855,219
46,400 Chase Manhattan Corp. . . . . . . . . . . . . . . . . . 5,475,200
7,700 Citicorp . . . . . . . . . . . . . . . . . . . . . . . 1,031,319
-----------
18,473,050
-----------
BEVERAGES - 1.86%
37,200 Coca-Cola Co. . . . . . . . . . . . . . . . . . . . . . 2,266,875
27,300 Coca-Cola Enterprises, Inc. . . . . . . . . . . . . . . 735,394
127,300 PepsiCo, Inc. . . . . . . . . . . . . . . . . . . . . . 5,163,606
13,800 Seagram Company Ltd.. . . . . . . . . . . . . . . . . . 486,450
-----------
8,652,325
-----------
CHEMICALS AND TOXIC WASTE - 2.04%
9,600 Air Products & Chemical, Inc. . . . . . . . . . . . . . 796,200
82,200 Du Pont (E.I.) de Nemours & Co. . . . . . . . . . . . . 5,060,437
84,500 Monsanto Co.. . . . . . . . . . . . . . . . . . . . . . 3,295,500
16,900 Solutia, Inc. (a) . . . . . . . . . . . . . . . . . . . 338,000
-----------
9,490,137
-----------
COMPUTER SERVICES - 1.56%
52,100 Cisco Systems, Inc. (a) . . . . . . . . . . . . . . . . 3,806,556
65,000 CUC International, Inc. (a) . . . . . . . . . . . . . . 2,015,000
40,700 Seagate Technology, Inc. (a). . . . . . . . . . . . . . 1,470,287
-----------
7,291,843
-----------
COMPUTER SOFTWARE - 1.41%
11,400 BMC Software, Inc. (a). . . . . . . . . . . . . . . . . 738,150
36,850 Computer Associates International, Inc. . . . . . . . . 2,646,291
14,200 Microsoft Corp. (a) . . . . . . . . . . . . . . . . . . 1,878,837
35,625 Oracle Corp. (a). . . . . . . . . . . . . . . . . . . . 1,298,086
-----------
6,561,364
-----------
DATA PROCESSING SERVICES - 0.33%
41,100 First Data Corp.. . . . . . . . . . . . . . . . . . . . 1,543,819
-----------
DIVERSIFIED - 2.09%
114,800 AlliedSignal, Inc.. . . . . . . . . . . . . . . . . . . 4,879,000
14,100 Supervalu, Inc. . . . . . . . . . . . . . . . . . . . . 553,425
21,400 Textron, Inc. . . . . . . . . . . . . . . . . . . . . . 1,391,000
36,200 United Technologies Corp. . . . . . . . . . . . . . . . 2,932,200
-----------
9,755,625
-----------
DRUGS - 3.20%
22,800 Lilly (Eli) & Co. . . . . . . . . . . . . . . . . . . . 2,751,675
58,600 Merck & Co., Inc. . . . . . . . . . . . . . . . . . . . 5,856,337
104,600 Pfizer, Inc.. . . . . . . . . . . . . . . . . . . . . . 6,282,538
-----------
14,890,550
-----------
<CAPTION>
SHARES DESCRIPTION VALUE
------ ----------- -----
<S> <C> <C>
ELECTRICAL EQUIPMENT - 1.95%
48,400 Emerson Electric Co.. . . . . . . . . . . . . . . . . . $2,789,050
92,200 General Electric Co.. . . . . . . . . . . . . . . . . . 6,275,362
-----------
9,064,412
-----------
ELECTRONICS - 1.70%
51,400 Analog Devices, Inc. (a). . . . . . . . . . . . . . . . 1,721,900
46,000 Intel Corp. . . . . . . . . . . . . . . . . . . . . . . 4,246,375
23,900 LSI Logic Corp. (a) . . . . . . . . . . . . . . . . . . 767,788
23,000 Xilinx, Inc. (a). . . . . . . . . . . . . . . . . . . . 1,164,375
-----------
7,900,438
-----------
ENTERTAINMENT - 0.31%
18,027 Disney (Walt) Co. . . . . . . . . . . . . . . . . . . . 1,453,427
-----------
ENVIRONMENTAL CONTROL - 0.43%
47,000 U.S. Filter Corp. (a) . . . . . . . . . . . . . . . . . 2,023,938
-----------
FINANCIAL SERVICES - 2.27%
29,800 Associates First Capital Corp.-Cl. A. . . . . . . . . . 1,855,050
71,900 Federal Home Loan Mortgage Corp.. . . . . . . . . . . . 2,534,475
26,200 MBNA Corp.. . . . . . . . . . . . . . . . . . . . . . . 1,061,100
20,400 Merrill Lynch & Co., Inc. . . . . . . . . . . . . . . . 1,513,425
10,900 Price (T. Rowe) Associates, Inc.. . . . . . . . . . . . 733,025
41,966 Travelers Group, Inc. . . . . . . . . . . . . . . . . . 2,864,180
-----------
10,561,255
-----------
FOODS - 1.54%
44,500 CPC International, Inc. . . . . . . . . . . . . . . . . 4,121,813
59,500 Sara Lee Corp.. . . . . . . . . . . . . . . . . . . . . 3,064,250
-----------
7,186,063
-----------
HEALTHCARE DIVERSIFIED - 1.07%
8,400 Abbott Laboratories Co. . . . . . . . . . . . . . . . . 537,075
77,400 Johnson & Johnson Co. . . . . . . . . . . . . . . . . . 4,460,175
-----------
4,997,250
-----------
HOSPITAL SUPPLIES AND HEALTHCARE - 0.96%
36,700 Baxter International Inc. . . . . . . . . . . . . . . . 1,917,575
19,800 Becton, Dickinson & Co. . . . . . . . . . . . . . . . . 947,925
54,600 U.S. Surgical Corp. . . . . . . . . . . . . . . . . . . 1,593,638
-----------
4,459,138
-----------
HOTEL/MOTEL - 0.66%
43,500 Marriott International, Inc.. . . . . . . . . . . . . . 3,091,219
HOUSEHOLD PRODUCTS - 1.32%
21,800 Clorox Co.. . . . . . . . . . . . . . . . . . . . . . . 1,615,925
65,400 Procter & Gamble Co.. . . . . . . . . . . . . . . . . . 4,516,688
-----------
6,132,613
-----------
INSURANCE - 1.56%
42,450 American International Group, Inc.. . . . . . . . . . . 4,380,309
14,600 General Re Corp.. . . . . . . . . . . . . . . . . . . . 2,898,100
-----------
7,278,409
-----------
METALS - 0.28%
20,000 Alcan Aluminium Ltd.. . . . . . . . . . . . . . . . . . 695,000
21,600 Freeport-McMoRan Copper & Gold, Inc.-Cl. B. . . . . . . 622,350
-----------
1,317,350
-----------
OFFICE EQUIPMENT AND COMPUTERS - 1.46%
38,200 Hewlett-Packard Co. . . . . . . . . . . . . . . . . . . 2,657,288
26,400 International Business Machines Corp. . . . . . . . . . 2,796,750
</TABLE>
See Notes to Financial Statements on Pages 15 and 16
10
<PAGE>
- --------------------------------------------------------------------------------
ASSET MANAGEMENT PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS SEPTEMBER 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES DESCRIPTION VALUE
------ ----------- -----
<S> <C> <C>
15,900 Xerox Corp. . . . . . . . . . . . . . . . . . . . . . . $1,338,581
-----------
6,792,619
-----------
OIL-DOMESTIC - 1.67%
5,800 Atlantic Richfield Co.. . . . . . . . . . . . . . . . . 495,537
54,600 ENSCO International, Inc. . . . . . . . . . . . . . . . 2,153,288
11,100 Louisiana Land & Exploration Co.. . . . . . . . . . . . 869,269
26,900 Noble Drilling Corp. (a). . . . . . . . . . . . . . . . 867,525
14,300 Phillips Petroleum Co.. . . . . . . . . . . . . . . . . 738,237
61,300 Unocal Corp.. . . . . . . . . . . . . . . . . . . . . . 2,651,225
-----------
7,775,081
-----------
OIL EQUIPMENT AND SERVICES - 0.47%
25,300 Apache Corp.. . . . . . . . . . . . . . . . . . . . . . 1,084,738
13,200 Schlumberger Ltd. . . . . . . . . . . . . . . . . . . . 1,111,275
-----------
2,196,013
-----------
OIL-INTERNATIONAL - 2.88%
8,700 Amoco Corp. . . . . . . . . . . . . . . . . . . . . . . 838,462
11,600 Chevron Corp. . . . . . . . . . . . . . . . . . . . . . 964,975
41,800 Exxon Corp. . . . . . . . . . . . . . . . . . . . . . . 2,677,813
15,200 Mobil Corp. . . . . . . . . . . . . . . . . . . . . . . 1,124,800
65,600 Royal Dutch Petroleum Co. . . . . . . . . . . . . . . . 3,640,800
68,000 Texaco, Inc.. . . . . . . . . . . . . . . . . . . . . . 4,177,750
-----------
13,424,600
-----------
PAPER AND FOREST PRODUCTS - 0.72%
29,300 Champion International Corp.. . . . . . . . . . . . . . 1,785,469
28,800 International Paper Co. . . . . . . . . . . . . . . . . 1,585,800
-----------
3,371,269
-----------
PRINTING AND PUBLISHING - 0.65%
44,500 McGraw-Hill Companies, Inc. . . . . . . . . . . . . . . 3,012,094
-----------
RAILROADS - 0.45%
21,600 Burlington Northern Santa Fe Corp.. . . . . . . . . . . 2,087,100
-----------
RETAIL - 2.00%
58,031 Dollar General Corp.. . . . . . . . . . . . . . . . . . 1,976,689
31,200 Federated Department Stores, Inc. (a) . . . . . . . . . 1,345,500
30,800 Lowe's Companies, Inc.. . . . . . . . . . . . . . . . . 1,197,350
18,500 Nine West Group, Inc. (a) . . . . . . . . . . . . . . . 727,281
26,400 Tiffany & Co. . . . . . . . . . . . . . . . . . . . . . 1,122,000
79,900 Wal-Mart Stores, Inc. . . . . . . . . . . . . . . . . . 2,926,337
-----------
9,295,157
-----------
TELECOMMUNICATIONS - 2.22%
81,700 AT&T Corp.. . . . . . . . . . . . . . . . . . . . . . . 3,620,331
58,700 Comcast Corp.-Cl. A . . . . . . . . . . . . . . . . . . 1,511,525
57,300 MCI Communications Corp.. . . . . . . . . . . . . . . . 1,683,187
38,400 Motorola, Inc.. . . . . . . . . . . . . . . . . . . . . 2,760,000
15,700 Sprint Corp.. . . . . . . . . . . . . . . . . . . . . . 785,000
-----------
10,360,043
-----------
TOBACCO - 0.97%
109,100 Philip Morris Companies, Inc. . . . . . . . . . . . . . 4,534,469
-----------
UTILITY-ELECTRIC - 1.24%
16,900 American Electric Power Co. . . . . . . . . . . . . . . 768,950
11,900 Dominion Resources, Inc.. . . . . . . . . . . . . . . . 450,712
30,400 FPL Group, Inc. . . . . . . . . . . . . . . . . . . . . 1,558,000
21,500 Ohio Edison Co. . . . . . . . . . . . . . . . . . . . . 503,906
36,400 PG&E Corp.. . . . . . . . . . . . . . . . . . . . . . . 844,025
<CAPTION>
SHARES DESCRIPTION VALUE
------ ----------- -----
<S> <C> <C>
16,500 Public Service Enterprise Group, Inc. . . . . . . . . . $424,875
33,800 Texas Utilities Co. . . . . . . . . . . . . . . . . . . 1,216,800
-----------
5,767,268
-----------
UTILITY-GAS, NATURAL GAS - 0.57%
46,000 Consolidated Natural Gas Co.. . . . . . . . . . . . . . 2,676,625
-----------
UTILITY-TELEPHONE - 1.80%
9,800 Ameritech Corp. . . . . . . . . . . . . . . . . . . . . 651,700
7,700 Bell Atlantic Corp. . . . . . . . . . . . . . . . . . . 619,369
17,800 BellSouth Corp. . . . . . . . . . . . . . . . . . . . . 823,250
41,200 Frontier Corp.. . . . . . . . . . . . . . . . . . . . . 947,600
81,500 GTE Corp. . . . . . . . . . . . . . . . . . . . . . . . 3,698,063
12,128 Lucent Technologies, Inc. . . . . . . . . . . . . . . . 986,916
10,900 SBC Communications, Inc.. . . . . . . . . . . . . . . . 668,987
-----------
8,395,885
-----------
TOTAL COMMON STOCKS (Cost $175,261,084). . . . . . . . . . . . . . . . . . 231,129,879
-----------
PRINCIPAL
AMOUNT
---------
CORPORATE DEBT NON-CONVERTIBLE - 4.95%
FINANCIAL SERVICES - 3.42%
$195,000 Bank Negara Indonesia, 7.625%, 2/15/07. . . . . . . . . 189,119
400,000 Bank of Boston Corp., 6.38%, 8/11/00. . . . . . . . . . 400,352
500,000 Bayerische Landesbank, 6.17%, 2/01/06 . . . . . . . . . 491,030
510,000 Chrysler Financial Corp., 6.11%, 7/28/99. . . . . . . . 510,490
500,000 Dao Heng Bank Ltd., 7.75%, 1/24/07 (c). . . . . . . . . 514,248
850,000 Dean Witter, Discover & Co., 6.875%, 3/01/03. . . . . . 863,646
600,000 Felcor Suites, 7.625%, 10/01/07 . . . . . . . . . . . . 595,254
2,400,000 Ford Motor Credit Co., 6.25%, 11/8/00 . . . . . . . . . 2,401,862
600,000 Great Western Financial Corp., 6.375%, 7/01/00. . . . . 601,489
940,000 IBM Credit Corp, 5.875%, 8/25/99. . . . . . . . . . . . 935,657
475,000 International Bank Reconstruction &
Development, 8.875%, 3/01/26 . . . . . . . . . . . . . 594,943
1,375,000 KFW International Finance, 8.20%, 6/01/06 . . . . . . . 1,529,147
600,000 Lehman Brothers Holdings-Ser. E, 6.30%,
8/11/99 . . . . . . . . . . . . . . . . . . . . . . . 601,494
675,000 Meditrust, 7.114%, 8/15/04. . . . . . . . . . . . . . . 679,413
880,000 NationsBank Corp., 7.00%, 9/15/01 . . . . . . . . . . . 900,878
765,000 Paine Webber Group, Inc., 9.25%, 12/15/01 . . . . . . . 839,189
400,000 Spieker Properties Inc., 7.50%, 10/01/07. . . . . . . . 395,320
215,000 Standard Credit Card Master Trust, 6.55%,
10/07/05 . . . . . . . . . . . . . . . . . . . . . . . 216,006
735,000 St. George Bank Ltd., 7.15%, 6/18/07 (c). . . . . . . . 743,426
930,000 Vesta Capital Trust I, 8.525%, 1/15/27. . . . . . . . . 1,008,022
930,000 Wharf International Finance Ltd., 7.625%,
3/13/07 . . . . . . . . . . . . . . . . . . . . . . . 941,461
-----------
15,952,446
-----------
FOREIGN INDUSTRIAL - 0.19%
19,000 Celulosa Arauco y Constitucion, 6.75%, 12/15/03 . . . . 18,884
850,000 Celulosa Arauco y Constitucion, 6.95%, 9/15/05. . . . . 851,190
-----------
870,074
-----------
INDUSTRIAL - 1.30%
300,000 Allied Waste North America, 10.25%, 12/01/06. . . . . . 329,250
215,000 Auburn Hills Trust, 12.00%, 5/01/20 . . . . . . . . . . 334,656
400,000 Banknorth Capital Trust I-Ser. 144A, 10.52%,
5/01/27 . . . . . . . . . . . . . . . . . . . . . . . 421,551
270,000 Empress River Casino Finance, 10.75%, 4/01/02 . . . . . 292,950
20,000 Federated Department Stores, Inc., 8.50%,
6/15/03 . . . . . . . . . . . . . . . . . . . . . . . 21,644
380,000 Laidlaw, Inc., 6.65%, 10/01/04. . . . . . . . . . . . . 377,416
</TABLE>
See Notes to Financial Statements on Pages 15 and 16
11
<PAGE>
- --------------------------------------------------------------------------------
ASSET MANAGEMENT PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS SEPTEMBER 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal
Amount Description Value
---------- ------------ ---------
<S> <C> <C>
$430,000 Loewen Group International, Inc.-Ser. 4,
8.25%, 10/15/03. . . . . . . . . . . . . . . . . . . . $450,910
290,000 Marriott International, Series A, 6.75%,
12/15/03 . . . . . . . . . . . . . . . . . . . . . . . 289,751
145,000 Marriott International, Series B, 7.875%,
4/15/05 . . . . . . . . . . . . . . . . . . . . . . . 153,810
800,000 Merck & Co., 5.76%, 5/03/37 . . . . . . . . . . . . . . 819,203
415,000 Mutual Life Insurance Co., 11.25%, 8/15/24 (c). . . . . 479,784
520,000 Tenet Healthcare Corp., 8.625%, 12/01/03. . . . . . . . 550,142
485,000 Tenet Healthcare Corp., 9.625%, 9/01/02 . . . . . . . . 532,288
535,000 Texas Instruments, Inc., 6.75%, 7/15/99 . . . . . . . . 542,254
422,000 Worldcom, Inc., 9.375%, 1/15/04 . . . . . . . . . . . . 449,360
-----------
6,044,969
-----------
UTILITY - 0.04%
35,000 Idaho Power Co., 8.00%, 3/15/04 . . . . . . . . . . . . 37,550
140,000 Potomac Edison Co., 8.00%, 6/01/24. . . . . . . . . . . 146,535
-----------
184,085
-----------
TOTAL CORPORATE DEBT NON-CONVERTIBLE (Cost $22,599,664) . . . . . . . . 23,051,574
-----------
FOREIGN DEBT - 0.59%
260,000 Greater Beijing, 9.50%, 6/15/07 (c) . . . . . . . . . . 259,350
125,000 Manitoba, 6.125%, 1/19/04 . . . . . . . . . . . . . . . 123,141
735,000 New Zealand Government, 8.75%, 12/15/06 . . . . . . . . 854,146
95,000 New Zealand Government, 10.625%, 11/15/05 . . . . . . . 120,160
400,000 Quebec Province, 7.22%, 7/22/36 . . . . . . . . . . . . 428,040
950,000 Republic of Lithuania, 7.125%, 7/22/02 (c). . . . . . . 951,957
-----------
TOTAL FOREIGN DEBT (Cost $2,683,103) . . . . . . . . . . . . . . . . . . . 2,736,794
-----------
Shares
--------
PREFERRED STOCKS - 0.31%
FINANCIAL SERVICES - 0.24%
480 Home Ownership Funding Corp.. . . . . . . . . . . . . . 465,600
705 Home Ownership Funding Corp. II . . . . . . . . . . . . 685,613
-----------
1,151,213
-----------
MISCELLANEOUS - 0.07%
314 1585 Broadway Corp. . . . . . . . . . . . . . . . . . . 318,710
-----------
TOTAL PREFERRED STOCKS (Cost $1,498,961) . . . . . . . . . . . . . . . . . 1,469,923
-----------
<CAPTION>
Principal
Amount
----------
<S> <C> <C>
U.S. GOVERNMENT AND AGENCY - 3.55%
432,722 FGHLMC, 6.50%, 4/01/11. . . . . . . . . . . . . . . . . 430,288
100,453 FGHLMC, 9.50%, 2/01/25. . . . . . . . . . . . . . . . . 107,693
325,000 FNMA, 8.625%, 11/10/04. . . . . . . . . . . . . . . . . 337,066
458,841 FNMA, 6.00%, 12/01/08 . . . . . . . . . . . . . . . . . 449,743
162,534 FNMA, 6.00%, 1/01/09. . . . . . . . . . . . . . . . . . 158,673
15,438 FNMA, 6.00%, 1/01/09. . . . . . . . . . . . . . . . . . 15,072
326,146 FNMA, 6.00%, 1/01/09. . . . . . . . . . . . . . . . . . 319,942
547,354 FNMA, 7.00%, 8/01/10. . . . . . . . . . . . . . . . . . 553,627
9,700,000 FNMA, 7.50%, 9/01/21. . . . . . . . . . . . . . . . . . 9,872,786
383,975 FNMA, 6.50%, 10/01/23 . . . . . . . . . . . . . . . . . 374,256
800,000 FNMA, 8.50%, 7/01/25. . . . . . . . . . . . . . . . . . 836,250
150,000 FNMA, Global Bond, 6.35%, 11/23/01. . . . . . . . . . . 149,930
700,000 FNMA TBA, 7.00%, 9/01/21. . . . . . . . . . . . . . . . 698,032
Principal
Amount Description Value
--------- ------------ -----------
<S> <C> <C>
$280,116 GNMA, 7.00%, 9/15/23. . . . . . . . . . . . . . . . . . $280,379
572,800 GNMA, 8.50%, 10/20/24 . . . . . . . . . . . . . . . . . 595,712
957,357 GNMA, 7.00%, 3/15/26. . . . . . . . . . . . . . . . . . 958,255
372,992 GNMA, 8.00%, 7/15/25. . . . . . . . . . . . . . . . . . 385,931
-----------
TOTAL U.S. GOVERNMENT & AGENCY (Cost $16,377,912). . . . . . . . . . . . . 16,523,635
-----------
U.S. TREASURY SECURITIES - 4.15%
2,980,000 U.S. Treasury Bonds, 7.625%, 11/15/22 . . . . . . . . . 3,397,203
1,570,000 U.S. Treasury Notes, 6.00%, 9/30/98 . . . . . . . . . . 1,575,395
1,320,000 U.S. Treasury Notes, 5.875%, 8/31/99. . . . . . . . . . 1,321,236
3,290,000 U.S. Treasury Notes, 6.00%, 8/15/00 . . . . . . . . . . 3,301,305
2,140,000 U.S. Treasury Notes, 5.625%, 11/30/00 . . . . . . . . . 2,121,609
265,000 U.S. Treasury Notes, 6.625%, 6/30/01. . . . . . . . . . 270,673
4,270,000 U.S. Treasury Notes, 5.875%, 9/30/02. . . . . . . . . . 4,247,310
550,000 U.S. Treasury Notes, 7.00%, 7/15/06 . . . . . . . . . . 579,989
1,660,000 U.S. Treasury Notes, 6.125%, 8/15/07. . . . . . . . . . 1,661,040
855,000 U.S. Treasury Notes, 6.375%, 8/15/27. . . . . . . . . . 851,389
-----------
TOTAL U.S. TREASURY SECURITIES (Cost $19,181,076). . . . . . . . . . . . . 19,327,149
SHORT TERM INSTRUMENTS - 37.71%
MUTUAL FUNDS - 6.00%
27,942,445 BT Institutional Cash Management Fund . . . . . . . . . 27,942,445
-----------
REPURCHASE AGREEMENT - 4.68%
21,803,690 Sanwa Bank, dated 9/30/97, 6.02%, principal
and interest in the amount of $21,807,336,
due 10/01/97 (collateralized by U.S.
Treasury Notes, par value of $20,794,000,
7.00%, due 7/15/06, value of $22,108,252). . . . . . . 21,803,690
-----------
U.S. TREASURY BILLS - 27.03%
128,005,000 4.07% to 5.07% maturing 10/02/97 to
2/05/98 (d). . . . . . . . . . . . . . . . . . . . . . 125,887,792
-----------
TOTAL SHORT TERM INSTRUMENTS (Cost $175,612,884) . . . . . . . . . . . . . 175,633,927
-----------
TOTAL INVESTMENTS (Cost $413,214,684). . . . . . . . . . . . . . . 100.88% 469,872,881
------- ------------
Liabilities in Excess of Other Assets. . . . . . . . . . . . . . . (0.88)% (4,110,350)
-------- -----------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . .. 100.00% $465,762,531
-------- -----------
-------- -----------
</TABLE>
- ---------------------
(a) Non-income producing security
(b) The following abbreviations are used in the portfolio description:
FGHLMC -- Federal Gold 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 $2,989,797 for futures contracts.
See Notes to Financial Statements on Pages 15 and 16
12
<PAGE>
- --------------------------------------------------------------------------------
ASSET MANAGEMENT PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES SEPTEMBER 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments, at Value (Cost of $413,214,684, including Repurchase Agreement amounting to $21,803,690). $ 469,872,881
Cash*. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7,436,781
Receivable for Securities Sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,464,140
Dividends, Interest Receivable and Other . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,173,859
Net Unrealized Appreciation on Forward Currency Contracts. . . . . . . . . . . . . . . . . . . . . . . 713,780
TOTAL ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 482,661,441
--------------
LIABILITIES
Payable for Securities Purchased . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16,443,982
Due to Bankers Trust . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 217,194
Variation Margin Payable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 229,756
Accrued Expenses and Other . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7,978
TOTAL LIABILITIES. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16,898,910
--------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 465,762,531
--------------
--------------
COMPOSITION OF NET ASSETS
Paid-in Capital. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 405,858,636
Net Unrealized Appreciation on:
Investments, Foreign Currency and Forward Foreign Currency Contracts . . . . . . . . . . . . . . . . 57,400,651
Futures Contracts. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,503,244
--------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 465,762,531
--------------
--------------
</TABLE>
* Includes foreign currency of $6,670,695 with a value of $6,699,369.
STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED SEPTEMBER 30, 1997 (UNAUDITED)
- -------------------------------------------------------------------------------
<TABLE>
<S> <C>
INVESTMENT INCOME
Dividends (net of foreign withholding tax of $15,155). . . . . . . . . . . . . . . . . . . . . . . . . $ 1,818,976
Interest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,570,504
--------------
Total Investment Income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7,389,480
--------------
EXPENSES
Advisory Fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,345,804
Administration and Services Fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 207,047
Professional Fees and Other. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11,616
Trustees Fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,103
--------------
Total Expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,565,570
Less Expenses Absorbed by Bankers Trust. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (323,289)
Net Expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,242,281
--------------
NET INVESTMENT INCOME. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,147,199
--------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FOREIGN CURRENCIES, FORWARD FOREIGN CURRENCY
AND FUTURES CONTRACTS
Net Realized Gain (Loss) from:
Investment, Foreign Currency and Forward Foreign Currency Transactions . . . . . . . . . . . . . . . (672,721)
Futures Transactions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11,953,197
Net Change in Unrealized Appreciation on:
Investments, Foreign Currency and Forward Foreign Currency Contracts . . . . . . . . . . . . . . . . 47,650,354
Futures Contracts. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,810,972
--------------
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS, FOREIGN CURRENCIES, FORWARD FOREIGN CURRENCY
AND FUTURES CONTRACTS. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 63,741,802
NET INCREASE IN NET ASSETS FROM OPERATIONS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 69,889,001
--------------
--------------
</TABLE>
See Notes to Financial Statements on Pages 15 and 16
13
<PAGE>
- --------------------------------------------------------------------------------
ASSET MANAGEMENT PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE FOR THE
SIX MONTHS ENDED YEAR ENDED
SEPTEMBER 30, 1997+ MARCH 31, 1997
------------------ --------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS
Net Investment Income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $6,147,199 $9,037,347
Net Realized Gain from Investments, Foreign Currencies, Forward Foreign Currency
and Futures Transactions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11,280,476 29,068,603
Net Change in Unrealized Appreciation (Depreciation) on Investments, Foreign
Currencies, Forward Foreign Currency and Futures Contracts . . . . . . . . . . . . . . . 52,461,326 (1,730,893)
-------------- ------------
Net Increase in Net Assets from Operations . . . . . . . . . . . . . . . . . . . . . . . . 69,889,001 36,375,057
-------------- ------------
CAPITAL TRANSACTIONS
Proceeds from Capital Invested . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 101,721,405 166,792,562
Value of Capital Withdrawn . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (54,386,568) (94,771,334)
-------------- ------------
Net Increase in Net Assets from Capital Transactions . . . . . . . . . . . . . . . . . . . 47,334,837 72,021,228
-------------- ------------
Total Increase in Net Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 117,223,838 108,396,285
NET ASSETS
Beginning of Period. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 348,538,693 240,142,408
-------------- ------------
End of Period. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $465,762,531 $348,538,693
-------------- ------------
-------------- ------------
</TABLE>
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
Contained below are selected ratios to average net assets and other supplemental
data for the periods indicated for the Asset Management Portfolio.
<TABLE>
<CAPTION>
FOR THE PERIOD
FOR THE YEAR ENDED SEPTEMBER 16, 1993
FOR THE MARCH 31, (COMMENCEMENT
SIX MONTHS ENDED ------------------------------ OF OPERATIONS) TO
SEPTEMBER 30, 1997+ 1997 1996 1995 MARCH 31, 1994
------------------ -------- -------- ------- -------------------
<S> <C> <C> <C> <C> <C>
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period (000s omitted) . . . . . . $465,763 $348,539 $240,142 $96,529 $36,283
Ratios to Average Net Assets:
Net Investment Income . . . . . . . . . . . . . . . 2.97%* 3.12% 3.99% 3.78% 2.83%*
Expenses. . . . . . . . . . . . . . . . . . . . . . 0.60%* 0.60% 0.60% 0.60% 0.60%*
Decrease Reflected in Above Expense Ratio Due to
Absorption of Expenses by Bankers Trust . . . . . 0.16%* 0.16% 0.17% 0.19% 0.33%*
Portfolio Turnover Rate . . . . . . . . . . . . . . 70% 137% 154% 92% 56%
Average Commission Paid Per Share** . . . . . . . . 0.0563 0.0466
- --------------
</TABLE>
+ Unaudited
* 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 15 and 16
14
<PAGE>
- --------------------------------------------------------------------------------
ASSET MANAGEMENT PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
NOTE--1 ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
A. ORGANIZATION
The Asset Management Portfolio (the "Portfolio") is registered under the
Investment Company Act of 1940 (the "Act"), as amended, as an open-end
management investment company. The Portfolio was organized on June 9, 1992 as an
unincorporated trust under the laws of New York and commenced operations on
September 16, 1993. The Declaration of Trust permits the Board of Trustees (the
"Trustees") to issue beneficial interests in the Portfolio.
B. SECURITY VALUATION
The Portfolio's investments listed or traded on National Stock Exchanges or
other domestic or foreign exchanges are valued based on the closing price of
a security traded on that exchange prior to the time when the Portfolio
assets are valued. Short-term obligations with remaining maturities of 60
days or less are valued at amortized cost. Other short-term debt securities
are valued on a mark-to-market basis until such time as they reach a
remaining maturity of 60 days, whereupon they will be valued at amortized
cost using their value on the 61st day. All other securities and other assets
are valued at their fair value as determined in good faith under procedures
established by and under the general supervision of the Trustees.
C. SECURITY TRANSACTIONS AND INVESTMENT INCOME
Security transactions are accounted for on a trade date basis. Dividend income,
less foreign taxes withheld, if any, is recorded on the ex-dividend date or upon
receipt of ex-dividend notification in the case of certain foreign securities.
Interest income is recorded on the accrual basis and includes amortization of
premium and accretion of discount on investments. Realized gains and losses from
securities transactions are recorded on the identified cost basis.
All of the net investment income and realized and unrealized gains and losses
from the security and foreign currency transactions of the Portfolio are
allocated pro rata among the investors in the Portfolio at the time of such
determination.
D. REPURCHASE AGREEMENTS
The Portfolio may enter into repurchase agreements with financial institutions
deemed to be creditworthy by the Portfolio's Investment Advisers, subject to the
seller's agreement to repurchase such securities at a mutually agreed upon
price. Securities purchased subject to repurchase agreements are deposited with
the Portfolio's custodian, and, pursuant to the terms of the repurchase
agreement, must have an aggregate market value greater than or equal to the
repurchase price plus accrued interest at all times. If the value of the
underlying securities falls below the value of the repurchase price plus accrued
interest, the Portfolio will require the seller to deposit additional collateral
by the next business day. If the request for additional collateral is not met,
or the seller defaults on its repurchase obligation, the Portfolio maintains the
right to sell the underlying securities at market value and may claim any
resulting loss against the seller. 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.
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
15
<PAGE>
- --------------------------------------------------------------------------------
ASSET MANAGEMENT PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
the Portfolio in return for a fee computed daily and paid monthly at an annual
rate of 0.10 of 1% of the Portfolio's average daily net assets. For the six
months ended September 30, 1997, this fee aggregated $207,047.
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 September 30,
1997, this fee aggregated $1,345,804.
Bankers Trust has voluntarily undertaken to waive and reimburse expenses of the
Portfolio, to the extent necessary, to limit all expenses to 0.60 of 1% of the
average daily net assets of the Portfolio. For the six months ended September
30, 1997, expenses of the Portfolio have been reduced by $323,289.
Certain trustees and officers of the Portfolio are also directors, officers
and/or employees of Edgewood and/or Signature. None of the trustees so
affiliated received compensation for services as trustees of the Portfolio.
Similarly, none of the Portfolio's officers received compensation from the
Portfolio.
For the six months ended September 30, 1997, the Portfolio paid brokerage
commissions of $15,372.
NOTE 3--PURCHASES AND SALES OF INVESTMENT SECURITIES
The aggregate cost of purchases and proceeds from sales of investments, other
than short-term obligations, for the six months ended September 30, 1997 was
$194,789,800 and $194,876,973, respectively. For Federal income tax purposes,
the tax basis of investments held at September 30, 1997 was $413,489,825. The
aggregate gross unrealized appreciation for all investments was $58,278,514 and
the aggregate gross unrealized depreciation for all investments was $1,895,458.
- --------------------------------------------------------------------------------
NOTE 4--FUTURES CONTRACTS
A summary of obligations under these financial instruments at September 30, 1997
is as follows:
<TABLE>
<CAPTION>
Unrealized
Type of Futures Expiration Contracts Position Market Value Appreciation
- ---------------------------------- -------------- --------- --------- ------------- ------------
<S> <C> <C> <C> <C> <C>
S&P 500 December 1997 137 Long $ 65,383,250 $ 1,078,875
French 10 Year Bond Futures December 1997 113 Long 9,520,070 91,540
US Treasury Futures December 1997 251 Long 27,641,375 298,062
Japanese Bond Futures December 1997 25 Long 26,714,576 360,124
Australian 10 Year Bond Futures December 1997 127 Long 81,121,285 375,298
DAX December 1997 99 Long 23,498,809 299,345
------------- ------------
Total 752 $ 233,879,365 $ 2,503,244
--- ------------- ------------
--- ------------- ------------
</TABLE>
At September 30, 1997, the Portfolio segregated sufficient securities to cover
margin requirements on open futures contracts.
- --------------------------------------------------------------------------------
NOTE 5--OPEN FORWARD FOREIGN CURRENCY CONTRACTS
As of September 30, 1997, the Portfolio had the following open forward foreign
currency contracts outstanding:
<TABLE>
<CAPTION>
Net Unrealized
Contracts To Deliver In Exchange For Settlement Date Value (USD) Appreciation (USD)
- ----------------------------------------- -------------------- --------------- ----------- ------------------
Sales
- -----------------------------------------
<S> <C> <C> <C> <C> <C> <C>
DEM 24,922,000 USD 13,755,381 10/6/97 $14,157,010 $ 401,629
FRF 59,648,000 USD 9,777,159 10/6/97 10,089,310 312,151
- ----------------------------------------- ----------
Total $ 713,780
----------
----------
</TABLE>
16
<PAGE>
This page intentionally left blank.
17
<PAGE>
This page intentionally left blank.
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.
---------------
