September 30 1999
[GRAPHIC OMITTED] BT Mutual Funds
BT Institutional Asset
Management Fund
Semi-Annual Report
TRUST: BT PYRAMID MUTUAL FUNDS
INVESTMENT ADVISOR: BANKERS TRUST COMPANY
<PAGE>
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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 .....................7
Statement of Operations .................................7
Statements of Changes in Net Assets .....................8
Financial Highlights ....................................9
Notes to Financial Statements ..........................10
Asset Management Portfolio
Schedule of Portfolio Investments .......................11
Statement of Assets and Liabilities .....................14
Statement of Operations .................................14
Statements of Changes in Net Assets .....................15
Financial Highlights ....................................15
Notes to Financial Statements ...........................16
Proxy Results .............................................19
------------------
The Fund is not insured by the FDIC and is not a deposit,
obligation of or guaranteed by Bankers Trust Company. The Fund
is subject to investment risks, including possible loss of
principal amount invested.
------------------
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 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.
MARKET ACTIVITY
Evidence of global economic healing--from Asia, to Europe, to Japan, which first
began early in 1999, became overwhelming during the Fund's semi-annual period.
o On the whole, this rebound in global growth, led by the U.S. economic
locomotive, had a beneficial impact on world financial markets.
o Such proliferating signs of economic revival were particularly visible in the
emerging markets that had been battered by last year's economic and financial
turmoil.
o The turnaround in the Japanese economy was perhaps most dramatic. Real GDP
increased at more than a 4% annual rate in Japan in the first half of 1999
after contracting sharply in 1998.
o Europe's economic fortunes began to improve as well, with increasing signs of
firming consumer confidence and a clear upturn in the industrial sector. The
rebound here primarily reflects the lagged effects of substantial monetary
easing, an end to fiscal tightening, and the recovery of export markets to
Asia.
U.S. Equities
Overall, the past six months witnessed a continuation of significant volatility
in the U.S. equity markets.
o The spectacular performance of the U.S. economy continued, with growth
remaining brisk and inflation well contained. A few imbalances, however,
began to emerge.
Specifically:
-- some signs of strain in the production process developed as a result of
tight labor markets and the rebound in global growth and commodity prices
-- the U.S. continued to consume beyond its means, as reflected in an ever
growing current account deficit
-- to prevent these imbalances from igniting inflation, the Federal Reserve
Board raised interest rates a total of 0.50% in two subsequent moves in
June and August, reversing two-thirds of the rate cuts it enacted during
the global turmoil of the third calendar quarter of 1998.
o Given the higher interest rates as well as potential Y2K concerns, the long
bull run in U.S. equity markets seems to have paused for much of the
semi-annual period, with most major indices basically moving sideways. For
example:
-- Large cap stocks, as measured by the S&P 500 Index, produced a 6-month
return as of September 30, 1999 of just 0.36%.
-- Midcap stocks, as measured by the S&P 400 Mid Cap Index, and small cap
stocks, as measured by the Russell 2000 Index, outperformed their larger
cap brethren in a reversal from last fiscal year, but still produced
single-digit returns. Midcap and small cap stocks produced returns of 4.57%
and 8.25%, respectively, over the same semi-annual period.
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Five Largest Common Stock Holdings
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Cisco systems, Inc.
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Pftzer, Inc.
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General Electric co.
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Wal-Mart Stores, Inc.
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Merck & Co., Inc.
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U.S. Bonds
In reaction to the Federal Reserve Board officially raising interest rates twice
over the summer of 1999 for a total of 0.50%, U.S. interest rates increased even
more dramatically over the semi-annual period.
o Yields on the 5-year U.S. Treasury, for example, increased by approximately
0.66% during the six months ended September 30, 1999.
o Municipal yields moved higher as well, though these securities moved within a
narrower band.
o Yields on corporate, mortgage-backed, and asset-backed securities rose the
most of the fixed income sectors. Yield spreads on these sectors widened
significantly due primarily to higher interest rates, heavy issuance, and
concerns over prepayment volatility in the mortgage market, credit
implications for corporate bonds of increased inflation and the possible
effect on earnings, and a potential lack of liquidity at year end caused by
Y2K fears.
International Markets
Most of the world's developed equity markets, with the exception of Japan, were
volatile throughout the six months but ended the period virtually flat to where
they began in April 1999. Most of the emerging markets rebounded notably from
the previous year's battering.
o Signs of stronger economic growth in Europe seem to have stopped the
relentless decline of the Euro. At the same time, such growth pushed up
European interest rates, partly on concerns that the European Central Bank
would begin to reverse its accommodative monetary stance. In fact, the Bank of
England, in a surprise move, began the process of monetary tightening by
hiking rates by 0.25%. These rate concerns weighed somewhat on European
equities during the semi-annual period.
o In Japan, the infusion of liquidity by its government, some minor signs of a
revival in private demand, and a continued zero interest policy by the Bank of
Japan sparked a rather strong rally in Japanese equities.
International bond markets, like U.S. bonds, were generally lower in price in
the six months ended September 30, 1999. This was primarily due to concerns of
continued strong global growth, global inflation as reflected by significantly
higher commodity prices, and either actual interest rate hikes or the
anticipation of future interest rate hikes.
3
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BT Institutional Asset Management Fund
Letter to Shareholders
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Cash
The U.S. dollar came under some pressure, as the improved climate overseas made
investors relatively less eager to finance the U.S.' burgeoning current account
deficit. Because of the economic turnaround in Japan, the U.S. dollar also
weakened substantially versus some of the oil-based currencies and the yen.
INVESTMENT REVIEW
The Fund slightly outperformed its benchmark and underperformed its category
average for the semi-annual period ended September 30, 1999. This relative
performance was due primarily to the Portfolio's overweighting in equities,
which were lackluster. Nevertheless, our model's assessment of a wide variety of
factors supported an equity market overweighting during the semi-annual period,
supported by favorable economic, fundamental and sentiment factors. The model
also dictated an underweight position in the bond market, as supported by
unfavorable valuations and by interest rate measures. As of September 30, 1999,
the Fund's asset weightings were 47% in equities, 9% in bonds, and 44% in cash
and other short-term instruments.
MANAGER OUTLOOK
Despite a 0.50% increase in the fed funds rate, we believe the U.S. economy
still has substantial momentum with financial fundamentals remaining quite
strong for the near term. We further believe that it will take somewhat higher
interest rates to tone down the economy's vibrancy. We suspect that interest
rates, prodded by one more tightening by the Federal Reserve Board, may rise
modestly further into the year 2000. While the risk of economic overheating
remains, this interest rate outlook, along with burgeoning signs of inflation,
may lead to a slowed U.S. economy early next year.
A gradual cooling in U.S. economic activity is unlikely, in our view, to
jeopardize the recoveries in other parts of the world.
o Prospects continue to brighten in Euroland, despite ongoing structural
problems. There is considerable monetary easing still in the pipeline; the
fiscal belt tightening associated with the Maastricht Treaty seems to be over;
and the drag from the Asian crisis is dissipating.
o In Japan, the cumulative effects of massive fiscal stimulus and bank reform
have finally started to revive the economy, and although the outlook remains
uncertain here, we believe that Japan has at least bottomed.
o Overall, it appears that global growth should continue accelerating into the
year 2000 and gradually become less dependent on contributions from the U.S.
This rebalancing of global growth should eventually help redress the widening
current account disparities among the U.S., Europe, and Asia.
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Five Largest Fixed Income Securities
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U.S. Treasury Note, 6.875%, 5/15/06
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FNMA, 7.50%, 9/1/21
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FNMA, 6.50%, 4/1/23
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U.S. Treasury Bond, 8.125%, 8/15/19
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GNMA, 7.50%, 9/1/21
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<TABLE>
<CAPTION>
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Periods ended September 30, 1999 Cumulative Total Returns Average Annual Total Returns
- -------------------------------- --------------------------------------------- -------------------------------------
Past 6 Past 1 Past 3 Past 5 Since Past 1 Past 3 Past 5 Since
months year years years inception year years years inception
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<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
BT Institutional Asset
Management Fund1
(inception 9/16/93) 0.60% 15.01% 63.85% 122.59% 116.28% 15.01% 17.89% 17.36% 13.63%
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Asset Allocation Index--
Long Range/2 0.46% 15.18% 59.16% 119.25% 122.14% 15.18% 16.75% 17.00% 14.23%
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S&P 500 Index/2 0.36% 27.80% 95.73% 205.59% 216.86% 27.80% 25.09% 25.03% 21.19%
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Salomon Broad Investment
Grade (BIG) Index/2,3 (0.21)% (0.26)% 21.96% 45.98% 41.30% (0.26)% 6.84% 7.86% 5.93%
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Lipper Flexible Portfolio
Average/4 1.06% 15.45% 46.53% 100.09% 102.66% 15.45% 13.40% 14.56% 12.16%
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</TABLE>
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1/ 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. During the period the
Fund waived certain fees and expenses. Had these fees and expenses not been
waived, the Fund's return would have been lower.
2/ Indices are unmanaged, and investments cannot be made in an index. The S&P
500 is an index of common stocks in industry, transportation, and financial
and public utility companies. Total return for the Fund assumes reinvestment
of dividends and distributions.
3/ The Salomon Broad Investment Grade Index covers an all-inclusive universe of
institutionally-traded U.S. Treasury, agency, mortgage and corporate
securities.
4/ Lipper figures represent the average of the total returns reported by all of
the mutual funds designated by Lipper, Inc. as falling into the respective
categories indicated. These figures do not reflect sales charges.
4
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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 September 30, 1999
(percentages are based on Net Assets)
Stocks 47%
Short Term
[GRAPHIC OMITTED] Instruments
44%
Bonds 9%
This pie chart shows the Fund's investment exposure to different asset classes
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.
Given this outlook, we intend to continue the rather defensive strategy we began
toward the end of the Fund's semi-annual period. That is, to reduce the Fund's
overweighting in equities to a more neutral weighting and to keep the portfolio
neutral to underweight in bonds. We also intend to increase the portfolio's cash
holdings until many of the current concerns about interest rates, Federal
Reserve Board policy, economic growth, inflation, and other economic and
political uncertainties become a bit more clear.
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/ Robert Wang
Robert Wang
Portfolio Manager of the
BT Institutional Asset Management Portfolio
September 30, 1999
5
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#BT Institutional Asset Management Fund
<TABLE>
<CAPTION>
Performance Comparison
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<S> <C> <C> <C>
Comparison of Change in Value BT Institutional Asset Asset Allocation Index-- S&P 500
of a $10,000 Investment in the Management Fund - $21,628 Mid Range/1 - $22,214 Index - $31,686
BT Institutional Asset ------------------------- ------------------------- ---------------
Management Fund, the Asset Sep-93 10000 Sep-93 10000 Sep-93 10000
Allocation Index-Long Range and Mar-94 9672 Mar-94 9837 Mar-94 9844
the S&P 500 Index since Sep-94 9718 Sep-94 10132 Sep-94 10369
September 30, 1993 Mar-95 10361 Mar-95 10896 Mar-95 11377
Sep-95 11540 Sep-95 12316 Sep-95 13454
- ----------------------------------- Mar-96 12409 Mar-96 13245 Mar-96 15030
Total Return for the Period Sep-96 13202 Sep-96 13957 Sep-96 16190
Ended September 30, 19993 Mar-97 14185 Mar-97 14981 Mar-97 18009
Sep-97 16915 Sep-97 17518 Sep-97 22737
1 Year 5 Year Since 9/16/93/1 Mar-98 19053 Mar-98 19496 Mar-98 26652
15.01% 17.36%/2 13.63%/2 Sep-98 18805 Sep-98 19192 Sep-98 24792
Mar-99 21498 Mar-99 21360 Mar-99 31572
1/ The Fund's inception date. Sep-99 21628 Sep-99 22214 Sep-99 31686
2/ Annualized.
3/ Unaudited. Past performance is not indicative of future performance. The S&P 500 Index is
unmanaged, and investments may not be made in an index. Performance figures
Investment return and principal assume the reinvestment of dividends and capital gain distributions.
value will fluctuate so that shares,
when redeemed, may be worth
more or less than their original
cost.
</TABLE>
- -----------------------------------
1/ 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
6
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#BT Institutional Asset Management Fund
Statement of Assets and Liabilities September 30, 1999 (unaudited)
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Assets
Investment in Portfolio, at Value ......................... $ 317,010,623
Receivable for Shares of Beneficial Interest Subscribed ... 226,700,653
Due from Bankers Trust .................................... 11,114
Prepaid Expenses and Other ................................ 24,139
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Total Assets ................................................. 543,746,529
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Liabilities
Payable for Shares of Beneficial Interest Redeemed ........ 249,367
Accrued Expenses and Other ................................ 19,224
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Total Liabilities ............................................ 268,591
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Net Assets ................................................... $ 543,477,938
=============
Composition of Net Assets
Paid-in Capital ........................................... $ 507,894,789
Distribution in Excess of Net Investment Income ........... (9,266,614)
Undistributed Net Realized Loss from Investments,
Foreign Currency Transactions, Forward Foreign
Currency Contracts and Futures Contracts ................ (4,157,956)
Net Unrealized Appreciation on:
Investments, Forward Foreign Currency, Forward Foreign
Currency Contracts and Futures Contracts ................ 49,007,719
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Net Assets ................................................... $ 543,477,938
=============
Net Asset Value, Offering and Redemption Price Per Share
(net assets divided by shares outstanding) ................. $ 12.86
=============
Shares Outstanding ($0.001 par value per share, unlimited
number of shares of beneficial interest authorized) ........ 42,261,778
=============
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Statement of Operations For the six months ended September 30, 1999 (unaudited)
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<TABLE>
<S> <C>
Investment Income
Income Allocated from Asset Management Portfolio, net ........................... $ 7,170,359
-----------
Expenses
Administration and Services Fees ............................................. 429,026
Professional Fees ............................................................ 8,824
Trustees Fees ................................................................ 6,776
Miscellaneous ................................................................ 8,862
-----------
Total Expenses ............................................................... 453,488
Less Fees Waived/Expenses Reimbursed by Bankers Trust ........................ (453,488)
-----------
Net Expenses .............................................................. 0
-----------
Net Investment Income ........................................................... 7,170,359
-----------
Realized and Unrealized Gain (Loss)on Investments, Foreign Currency Transactions,
Forward Foreign Currency Contracts, and Futures Contracts
Net Realized Loss from:
Investment, Foreign Currency, Forward Foreign Currency, Transactions and
Futures Contracts ......................................................... (6,745,832)
Net Change in Unrealized Appreciation/Depreciation on:
Investment, Foreign Currency Forward Foreign Currency
Contracts and Futures Contracts ......................................... 3,560,577
-----------
Net Realized and Unrealized Loss on Investment, Foreign Currency,
Forward Foreign Currency Contracts and Futures Contracts ..................... (3,185,255)
-----------
Net Increase in Net Assets from Operations ...................................... $ 3,985,104
===========
</TABLE>
See Notes to Financial Statements.
7
<PAGE>
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BT Institutional Asset Management Fund
Statements of Changes in Net Assets
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<TABLE>
<CAPTION>
For the six For the
months ended year ended
September 30, 1999/1 March 31, 1999
-------------------- --------------
<S> <C> <C>
Increase (Decrease) in Net Assets from:
Operations
Net Investment Income ................................................... $ 7,170,359 $ 15,627,927
Net Realized Gain (Loss) from Investment, Foreign Currency,
Forward Foreign Currency and Futures Transactions .................... (6,745,832) 24,477,603
Net Change in Unrealized Appreciation/Depreciation on Investment, Foreign
Currency, Forward Foreign Currency Contracts and Futures Contracts ... 3,560,577 23,824,973
------------- -------------
Net Increase in Net Assets from Operations ................................. 3,985,104 63,930,503
------------- -------------
Distributions to Shareholders
Net Investment Income ................................................... (8,570,199) (16,476,947)
Distributions in Excess of Investment Income ............................ -- (9,837,496)
Net Realized Gain ....................................................... (5,627,181) (86,420,823)
------------- -------------
Total Distributions ........................................................ (14,197,380) (112,735,266)
------------- -------------
Capital Transactions
Proceeds from Sales of Shares ........................................... 56,339,405 194,100,376
Dividend Reinvestments .................................................. 14,194,099 112,725,716
Cost of Shares Redeemed ................................................. (86,963,649) (184,698,805)
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Net Increase (Decrease) from Capital Transactions in
Shares of Beneficial Interest ............................................ (16,430,145) 122,127,287
------------- -------------
Total Increase (Decrease) in Net Assets .................................... (26,642,421) 73,322,524
Net Assets
Beginning of Period ........................................................ 570,120,359 496,797,835
------------- -------------
End of Period (including overdistributed net investment income
of $9,266,614 and $7,866,774, respectively) .............................. $ 543,477,938 $ 570,120,359
============= =============
</TABLE>
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1/ Unaudited.
See Notes to Financial Statements.
8
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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 each period
indicated for the Institutional Asset Management Fund.
<TABLE>
<CAPTION>
For the six
months ended For the years ended March 31,
September 30, ------------------------------------------
19991 1999 1998 1997 1996 1995
--------- -------- --------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
Per Share Operating Performance:
Net Asset Value, Beginning of Period ............ $13.11 $14.50 $12.05 $11.25 $ 9.99 $ 9.61
------ ------ ------ ------ ------ ------
Income from Investment Operations
Net Investment Income ........................ 0.16 0.47 0.37 0.38 0.41 0.36
Net Realized and Unrealized Gain (Loss) on
Investment, Foreign Currency, Forward
Foreign Currency Contracts and Futures
Contracts ................................... (0.08) 1.29 3.60 1.19 1.52 0.30
------ ------ ------ ------ ------ ------
Total from Investment Operations ................ 0.08 1.76 3.97 1.57 1.93 0.66
------ ------ ------ ------ ------ ------
Distributions to Shareholders
Net Investment Income ........................ (0.20) (0.45) (0.37) (0.45) (0.42) (0.28)
Distributions in Excess of Net Investment
Income ...................................... (0.27) -- -- -- --
Net Realized Gain ............................ (0.13) (2.43) (1.15) (0.32) (0.25) --
------ ------ ------ ------ ------ ------
Total Distributions ............................. (0.33) (3.15) (1.52) (0.77) (0.67) (0.28)
------ ------ ------ ------ ------ ------
Net Asset Value, End of Period .................. $12.86 $13.11 $14.50 $12.05 $11.25 $ 9.99
====== ====== ====== ====== ====== ======
Total Investment Return ......................... 0.60% 12.83% 34.34% 14.31% 19.77% 7.13%
Supplemental Data and Ratios:
Net Assets, End of Period (000s omitted)...... $543,478 $570,120 $496,798 $270,315 $183,767 $83,201
Ratios to Average Net Assets:
Net Investment Income ..................... 2.50%/2 2.89% 2.97% 3.12% 3.99% 3.78%
Expenses, Including Expenses of the Asset
Management Portfolio .................... .60%/2 0.60% 0.60% 0.60% 0.60% 0.60%
Decrease Reflected in Above Expense Ratio
Due to Fees Waived/Expenses Reimbursed
by Bankers Trust ........................ .32%/2 0.33% 0.32% 0.36% 0.39% 0.43%
</TABLE>
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1/ Unaudited.
2/ Annualized.
See Notes to Financial Statements.
9
<PAGE>
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BT Institutional Asset Management Fund
Notes to Financial Statements (unaudited)
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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 began operations on September 16, 1993. The Fund seeks to
achieve its investment objective by investing substantially all of its
investable assets in the Asset Management Portfolio (the "Portfolio"). The
Portfolio is an open-end management investment company registered under the Act.
The value of the investment in the Portfolio reflects the Fund's proportionate
interest in the net assets of the Portfolio. At September 30 1999, the Fund's
investment was approximately 76% of the Portfolio.
The financial statements of the Portfolio, including a list of assets held, are
contained elsewhere in this report and should be read in conjunction with the
Fund's financial statements.
B. Security Valuation
Valuation of securities by the Portfolio is discussed in Note 1B of the
Portfolio's Notes to FinancialStatements which are included elsewhere in this
report.
C. Investment Income
The Fund earns income, net of expenses, daily on its investment in the 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.
D. Distributions
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.
E. Federal Income Taxes
It is the Fund's policy to comply with the requirements of the Internal Revenue
Code applicable to regulated investment companies and distribute substantially
all of its taxable income to shareholders. Therefore, no federal income tax
provision is required. The Fund may periodically make reclassifications among
certain of its capital accounts as a result of differences in the
characterization and allocation of certain income and capital gains
distributions determined annually in accordance with federal tax regulations
which may differ from generally accepted accounting principles.
F. Other
The Trust accounts separately for the assets, liabilities and operations of each
fund. Expenses directly attributable to a fund are charged to that fund, while
expenses which are attributable to all of the Trust's funds are allocated among
them. Investment transactions are accounted for on the trade date basis.
Realized gains and losses are determined on the identified cost basis.
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. Actual results could
differ from those estimates.
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, transfer agency and
shareholder services to the Fund in return for a fee computed daily and paid
monthly at an annual rate of .15% of the Fund's average daily net assets.
Bankers Trust has voluntarily undertaken to waive its fees and reimburse
expenses, to the extent necessary, to eliminate all expenses of the Fund,
excluding expenses of the Portfolio, and to limit all expenses to .60% of the
average daily net assets of the Fund, including expenses of the Portfolio.
ICC Distributors, Inc. provides distribution services to the Fund.
Bankers Trust was a wholly owned subsidiary of Bankers Trust Corporation ("BT
Corp."). On June 4, 1999, BT Corp. was acquired by Deutsche Bank AG ("Deutsche
Bank"). As a result of the transaction, Bankers Trust became an indirect
wholly-owned subsidiary of Deutsche Bank.
Note 3--Shares of Beneficial Interest
At September 30, 1999, there were an unlimited number of shares of beneficial
interest authorized. Transactions in shares of beneficial interest were as
follows:
For the six For the
months ended year ended
September 30, 19991 March 31, 1999
------------------- --------------
Shares Amount Shares Amount
------ ------ ------ ------
Sold 4,228,856 $ 56,339,405 13,679,814 $ 194,100,376
Reinvested 1,095,934 14,194,099 8,703,633 112,725,716
Redeemed (6,550,307) (86,963,649) (13,167,083) (184,698,805)
---------- ------------- ----------- -------------
Net Increase
(Decrease) (1,225,517) $ (16,430,145) 9,216,364 $ 122,127,287
========== ============= =========== =============
- ---------
1/ Unaudited.
10
<PAGE>
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Asset Management Portfolio
Schedule of Portfolio Investments September 30, 1999 (unaudited)
- --------------------------------------------------------------------------------
Shares Description Value
- ------ ----------- -----
Common Stocks - 46.9%
Aerospace - 0.1%
18,900 Boeing Co. ................................. $ 805,612
2,352 Raytheon Co. - Class A ..................... 114,083
-------------
919,695
-------------
Airlines - 0.3%
30,700 AMR Corp.1 ................................. 1,673,150
14,600 Delta Air Lines, Inc. ..................... 708,100
-------------
2,381,250
-------------
Auto Related - 0.9%
19,069 DaimlerChrysler AG1 ....................... 1,324,156
57,000 Dana Corp. ................................ 2,116,125
27,747 Delphi Automotive Systems ................. 445,686
39,700 General Motors Corp. ...................... 2,498,619
-------------
6,384,586
-------------
Banks - 2.7%
117,965 BankAmerica Corp. ......................... 6,569,187
118,000 BankBoston Corp. .......................... 5,118,250
99,800 Chase Manhattan Corp. ..................... 7,522,425
-------------
19,209,862
-------------
Beverages - 1.0%
40,000 Coca-Cola Co. ............................. 1,922,500
29,500 Coca-Cola Enterprises, Inc. ............... 665,594
137,000 PepsiCo, Inc. ............................. 4,144,250
14,800 Seagram Company Ltd. ...................... 673,400
-------------
7,405,744
-------------
Chemicals and Toxic Waste - 1.3%
20,600 Air Products and Chemicals, Inc. .......... 598,687
88,400 Du Pont (E.I.) de Nemours & Co. ........... 5,381,350
90,800 Monsanto Co. .............................. 3,240,425
18,200 Solutia, Inc. ............................. 325,325
-------------
9,545,787
-------------
Computer Services - 2.8%
69,900 Cendant Corp.1 ............................ 1,240,725
252,350 Cisco Systems, Inc./1 ..................... 17,301,747
43,800 Seagate Technology, Inc./1 ................ 1,349,587
-------------
19,892,059
-------------
Computer Software - 1.9%
24,500 BMC Software, Inc./1 ...................... 1,753,281
59,375 Computer Associates International, Inc. ... 3,636,719
61,100 Microsoft Corp./1 ......................... 5,533,369
57,437 Oracle Corp./1 ............................ 2,613,383
-------------
13,536,752
-------------
Diversified - 2.0%
123,500 AlliedSignal, Inc. ........................ 7,402,281
30,300 SuperValu, Inc. ........................... 660,919
23,000 Textron, Inc. ............................. 1,779,625
77,800 United Technologies Corp. ................. 4,614,512
-------------
14,457,337
-------------
Drugs - 3.3%
49,000 Lilly (Eli) & Co. ......................... 3,136,000
126,000 Merck & Co., Inc. ......................... 8,166,375
337,200 Pfizer, Inc. .............................. 12,118,125
-------------
23,420,500
-------------
<PAGE>
Shares Description Value
- ------ ----------- -----
Electrical Equipment - 2.1%
52,000 Emerson Electric Co. ...................... $ 3,285,750
99,100 General Electric Co. ...................... 11,749,544
-------------
15,035,294
-------------
Electronics - 2.6%
55,300 Analog Devices, Inc.1 ..................... 2,834,125
98,800 Intel Corp. ............................... 7,342,075
25,700 LSI Logic Corp.1 .......................... 1,323,550
41,300 Motorola, Inc. ............................ 3,634,400
49,400 Xilinx, Inc.1 ............................. 3,237,244
-------------
18,371,394
-------------
Entertainment - 0.2%
58,181 Disney (Walt) Co. ........................ 1,505,433
-------------
Financial Services - 2.5%
64,300 Associates First Capital Corp.-Class A ... 2,314,800
132,598 Citigroup ................................ 5,834,312
44,200 First Data Corp. ......................... 1,939,275
77,400 Freddie Mac .............................. 4,024,800
63,500 MBNA Corp. ............................... 1,448,594
21,900 Merrill Lynch & Co., Inc. ................ 1,471,406
23,400 T. Rowe Price Associates, Inc. ........... 642,037
-------------
17,675,224
-------------
Foods - 1.2%
95,700 Bestfoods ................................ 4,641,450
11,925 Corn Products International, Inc. ........ 362,967
127,900 Sara Lee Corp. ........................... 2,997,656
13,730 Tricon Global Restaurants, Inc.1 ......... 562,072
-------------
8,564,145
-------------
Healthcare - 1.2%
18,100 Abbott Laboratories ...................... 665,175
83,300 Johnson & Johnson ........................ 7,653,187
-------------
8,318,362
-------------
Hospital Supplies and Healthcare - 1.1%
39,500 Baxter International, Inc. ............... 2,379,875
42,600 Becton Dickinson & Co. ................... 1,195,462
44,628 Tyco International Ltd. .................. 4,607,841
-------------
8,183,178
-------------
Hotel/Motel - 0.5%
93,500 Marriott International, Inc. ............. 3,056,281
11,675 Sodexho Marriott Services, Inc./1 ........ 198,475
-------------
3,254,756
-------------
Household Products - 1.2%
46,800 Clorox Co. ............................... 1,790,100
70,300 Procter & Gamble Co. ..................... 6,590,625
-------------
8,380,725
-------------
Insurance - 1.4%
85,593 American International Group, Inc. ....... 7,441,241
51 Berkshire Hathaway, Inc. - Class A1 ...... 2,805,000
3 Berkshire Hathaway, Inc. - Class B1 ...... 5,526
-------------
10,251,767
-------------
Metals - 0.1%
21,500 Alcan Aluminium Ltd. ..................... 671,875
23,200 Freeport-McMoRan Copper & Gold,
Inc. - Class B .......................... 361,050
-------------
1,032,925
-------------
See Notes to Financial Statements.
11
<PAGE>
- --------------------------------------------------------------------------------
Asset Management Portfolio
Schedule of Portfolio Investments September 30, 1999 (unaudited)
- --------------------------------------------------------------------------------
Shares Description Value
- ------ ----------- -----
Office Equipment and Computers - 1.7%
41,100 Hewlett-Packard Co. ....................... $ 3,781,200
56,800 International Business Machines Corp. ..... 6,894,100
34,200 Xerox Corp. ............................... 1,434,262
-------------
12,109,562
-------------
Oil - Domestic - 0.9%
6,200 Atlantic Richfield Co. .................... 549,475
18,227 Burlington Resources, Inc. ................ 669,842
58,700 ENSCO International, Inc. ................. 1,060,269
28,900 Noble Drilling Corp./1 .................... 632,187
15,400 Phillips Petroleum Co. .................... 750,750
66,000 Unocal Corp. .............................. 2,446,125
-------------
6,108,648
-------------
Oil - International - 2.3%
12,413 BP Amoco PLC ADR .......................... 1,375,516
12,500 Chevron Corp. ............................. 1,109,375
45,000 Exxon Corp. ............................... 3,417,187
16,300 Mobil Corp. ............................... 1,642,225
70,500 Royal Dutch Petroleum Co. ................. 4,163,906
73,100 Texaco, Inc. .............................. 4,614,437
-------------
16,322,646
-------------
Oil Equipment and Services - 0.3%
27,300 Apache Corp. .............................. 1,179,019
14,200 Schlumberger Ltd. ......................... 884,838
-------------
2,063,857
-------------
Paper and Forest Products - 0.4%
31,600 Champion International Corp. .............. 1,623,450
31,100 International Paper Co. ................... 1,494,744
-------------
3,118,194
-------------
Printing and Publishing - 0.7%
95,700 McGraw-Hill Companies, Inc. ............... 4,629,488
-------------
Railroads - 0.3%
69,700 Burlington Northern Santa Fe .............. 1,916,750
-------------
Retail - 2.9%
121,840 Dollar General Corp. ...................... 3,761,829
33,500 Federated Department Stores, Inc./1 ....... 1,463,531
9,971 Jones Apparel Group, Inc./1 ............... 286,666
66,400 Lowe's Companies, Inc. .................... 3,237,000
56,800 Tiffany & Co. ............................. 3,404,450
172,000 Wal-Mart Stores, Inc. ..................... 8,180,750
-------------
20,334,226
-------------
Telecommunications - 2.6%
131,700 AT&T Corp. ................................ 5,728,950
126,200 Comcast Corp. - Class A ................... 5,032,225
76,799 MCI WorldCom, Inc./1 ...................... 5,519,928
33,800 Sprint Corp. .............................. 1,833,650
7,850 Sprint PCS Group1 ......................... 585,316
-------------
18,700,069
-------------
<PAGE>
Shares Description Value
- ------ ----------- -----
Tobacco - 0.6%
117,300 Philip Morris Companies, Inc. ............. $ 4,010,194
-------------
Utility - Electric - 0.9%
18,200 American Electric Power Co. ............... 621,075
12,800 Dominion Resources, Inc. .................. 577,600
23,100 FirstEnergy Corp. ......................... 589,050
32,700 FPL Group, Inc. ........................... 1,647,263
39,100 PG&E Corp. ................................ 1,011,713
17,700 Public Service Enterprise Group, Inc. ..... 683,663
36,400 Texas Utilities Co. ....................... 1,358,175
-------------
6,488,539
-------------
Utility - Gas, Natural Gas - 0.4%
49,400 Consolidated Natural Gas Co. .............. 3,081,325
-------------
Utility - Telephone - 2.5%
21,100 Ameritech Corp. ........................... 1,417,656
16,600 Bell Atlantic Corp. ....................... 1,117,388
38,300 BellSouth Corp. ........................... 1,723,500
90,815 Global Crossing Ltd./1 .................... 2,406,598
87,600 GTE Corp. ................................. 6,734,250
52,112 Lucent Technologies, Inc. ................. 3,380,766
23,400 SBC Communications, Inc. .................. 1,194,863
-------------
17,975,021
-------------
Total Common Stocks (Cost $268,370,233) ............. 334,585,294
-------------
Principal
Amount Non-Convertible Corporate Debt - 2.3%
- ----------- Financial Services - 1.5%
$ 370,000 Abbey National, PLC, 6.69%,
10/17/05 .............................. 360,447
640,000 Associates Corp., 5.75%, 11/1/03 ....... 618,422
400,000 BankBoston Corp., 6.38%, 8/11/00 ....... 400,772
1,450,000 Ford Motor Credit Co., 6.55%, 9/10/02 .. 1,444,554
320,000 Ford Motor Credit Co., 5.80%, 1/12/09 .. 291,197
300,000 General Electric Capital Corp.,
8.85%, 3/1/07 ......................... 334,127
600,000 Great Western Financial, 6.375%, 7/1/00 601,652
820,000 Inter-American Development Bank,
5.125%, 2/5/04 ........................ 778,524
180,000 International Bank of Reconstruction
and Development, 8.875%, 3/1/26 ....... 223,777
1,375,000 KFW International Finance, 8.20%,
6/1/06 ................................ 1,456,516
880,000 NationsBank, 7.00%, 9/15/01 ............ 888,103
695,000 Pepsi Bottling Holdings, 5.375%, 2/17/04 659,075
330,000 Progressive Corp., 6.625%, 3/1/29 ...... 285,219
560,000 Salomon Smith Barney, 6.625%, 11/15/03 . 555,052
850,000 Salomon, Inc., 7.50%, 2/1/03 ........... 868,859
500,000 U.S. Bank NA Minnesota, 6.30%,7/15/08 .. 465,705
413,000 Washington Mutual, 7.25%, 8/15/05 ...... 411,732
-------------
10,643,733
-------------
See Notes to Financial Statements.
12
<PAGE>
- --------------------------------------------------------------------------------
Asset Management Portfolio
Schedule of Portfolio Investments September 30, 1999 (unaudited)
- --------------------------------------------------------------------------------
Principal
Amount Description Value
- ----------- ----------- -----
Industrial - 0.5%
$ 300,000 Computer Science, 6.25%, 3/15/09 ........ $ 283,675
510,000 Diageo Captial PLC, 6.125%, 8/15/05 ..... 490,965
260,000 Ford Motor Co., 6.625%, 10/1/28 ......... 232,033
310,000 IBM Corp., 6.50%, 1/15/28 ............... 283,847
300,000 Illinois Tool Works, 5.75%, 3/1/09 ...... 275,840
220,000 Lucent Technologies Inc., 5.50%,
11/15/08 ............................... 200,341
190,000 Markel Capital Trust, 8.71%, 1/1/46 ..... 170,767
420,000 Mutual Life Insurance, 11.25%, 8/15/24/b. 543,532
260,000 Prologis Trust, 6.25%, 4/15/04 .......... 250,262
820,000 Walt Disney Co., 5.125%, 12/15/03 ....... 777,536
-------------
3,508,798
-------------
Utility - 0.3%
150,000 AT&T Corp., 5.625%, 3/15/04 ............. 143,953
760,000 Columbus Southern Power, 6.51%,
2/1/08 ................................. 720,196
830,000 Consolidated Edison, 6.45%, 12/1/07 ..... 800,452
35,000 Idaho Power Co., 8.00%, 3/15/04 ......... 36,729
410,000 National Rural Utilities, 5.00%,
10/1/02 ................................ 394,734
140,000 Potomac Edison, 8.00%, 6/1/24 ........... 141,724
430,000 U.S. West Communications, 5.625%,
11/15/08 ............................... 381,894
-------------
2,619,682
-------------
Total Non-Convertible Corporate Debt
(Cost $17,551,817) .................................... 16,772,213
-------------
Foreign Debt - 0.2%
470,000 Kingdom of Sweden, 12.00%, 2/1/10 ......... 657,375
270,000 Korea, (Republic of), 8.875%, 4/15/08 ..... 279,010
550,000 Manitoba, (Province of), 6.125%,
1/19/04 .................................. 539,913
95,000 New Zealand Government, 10.625%,
11/15/05 ................................. 113,820
415,000 Quebec, (Province of), 5.75%, 2/15/09 ..... 379,833
-------------
Total Foreign Debt (Cost $2,070,339) .................. 1,969,951
-------------
U.S. Government and Agencies - 3.6%
3,100,000 FHLB, 5.125%, 9/15/03 ..................... 2,972,621
2,120,000 FNMA, 5.625%, 3/15/01 ..................... 2,111,046
150,000 FNMA, 6.35%, 11/23/01 ..................... 149,438
325,000 FNMA, 8.625%, 11/10/04 .................... 326,022
690,000 FNMA, 5.75%, 2/15/08 ...................... 651,278
700,000 FNMA, 6.00%, 4/1/08 ....................... 673,309
1,400,000 FNMA, 7.00%, 9/1/21 ....................... 1,376,368
7,500,000 FNMA, 7.50%, 9/1/21 ....................... 7,525,740
6,200,000 FNMA, 6.50%, 4/1/23 ....................... 5,948,094
3,900,000 GNMA, 7.50%, 9/1/21 ....................... 3,913,385
-------------
Total U.S. Government and Agencies
(Cost $25,770,724) .................................... 25,647,301
-------------
<PAGE>
Shares/
Principal
Amount Description Value
- ----------- ----------- -----
U.S. Treasury Securities - 3.0%
$4,830,000 U.S. Treasury Bond, 8.125%, 8/15/19 ..... $ 5,717,494
825,000 U.S. Treasury Bond, 5.25%, 11/15/28 ..... 715,173
2,010,000 U.S. Treasury Bond, 5.25%, 2/15/29 ...... 1,759,543
840,000 U.S. Treasury Note, 5.875%, 11/30/01 .... 843,676
1,200,000 U.S. Treasury Note, 6.625%, 3/31/02 ..... 1,225,409
260,000 U.S. Treasury Note, 6.25%, 8/31/02 ...... 263,452
2,030,000 U.S. Treasury Note, 5.375%, 6/30/03 ..... 2,000,821
90,000 U.S. Treasury Note, 7.25%, 8/15/04 ...... 95,091
205,000 U.S. Treasury Note, 5.875%, 11/15/05 .... 203,719
7,250,000 U.S. Treasury Note, 6.875%, 5/15/06 ..... 7,567,188
810,000 U.S. Treasury Note, 6.50%, 10/15/06 ..... 828,352
-------------
Total U.S. Treasury Securities
(Cost $22,207,928) .................................... 21,219,918
-------------
Short Term Instruments - 44.4%
Mutual Fund - 9.1%
64,755,088 Institutional Cash Management Fund ...... 64,755,088
-------------
U.S. Treasury Securities - 35.3%/c
$35,000,000 U.S. Treasury Bill 4.58%, 10/7/99 ....... 34,974,905
35,000,000 U.S. Treasury Bill, 4.05%, 10/11/99 ..... 34,944,385
35,000,000 U.S. Treasury Bill, 4.39%, 11/12/99 ..... 34,819,505
70,000,000 U.S. Treasury Bill, 4.655%, 11/18/99 .... 69,582,800
6,400,000 U.S. Treasury Bill, 4.55%, 12/2/99/a .... 6,349,850
2,175,000 U.S. Treasury Bill, 4.75%, 12/2/99/a .... 2,157,957
35,000,000 U.S. Treasury Bill, 4.28%, 12/9/99 ...... 34,693,435
35,000,000 U.S. Treasury Bill, 4.315%, 1/6/00 ...... 34,557,705
-------------
252,080,542
-------------
Total Short Term Instruments
(Cost $316,854,033) ................................... 316,835,630
-------------
Total Investments (Cost $652,825,074) ..... 100.4% 717,030,307
Liabilities in Excess of Other Assets ..... (0.4)% (3,038,791)
------ -------------
Net Assets ................................ 100.0% $ 713,991,516
===== =============
- ------------
1/ Non-income producing security
a/ Held as collateral by broker for Futures Contracts
b/ Security exempt from registration under Rule 144a of the Securities Act of
1933. This security may be resold in transactions exempt from registration,
normally to qualified institutional buyers.
c/ Designated as collateral for futures contracts
The following abbreviations are used in the portfolio description:
FHLB -- Federal Home Loan Bank
FNMA -- Federal National Mortgage Association
GNMA -- Government National Mortgage Association
See Notes to Financial Statements.
13
<PAGE>
- --------------------------------------------------------------------------------
Asset Management Portfolio
Statement of Assets and Liabilities September 30, 1999 (unaudited)
- --------------------------------------------------------------------------------
Assets
Investments, at Value/1 ..................................... $717,030,307
Cash/2 ...................................................... 15,978,587
Variation Margin Receivable (Domestic) ...................... 530,823
Interest Receivable ......................................... 856,710
Dividends Receivable ........................................ 666,690
------------
Total Assets ................................................... 735,063,117
------------
Liabilities
Due to Bankers Trust ........................................ 351,753
Payable for Securities Purchased ............................ 19,435,160
Accrued Expenses and Other .................................. 29,589
Depreciation on Forward Currency Exchange Contracts ......... 20,310
Variation Margin Payable (Domestic) ......................... --
Variation Margin Payable (Foreign) .......................... 1,234,789
------------
Total Liabilities .............................................. 21,071,601
------------
Net Assets ..................................................... $713,991,516
============
Composition of Net Assets
Paid-in Capital ............................................. $651,792,877
Net Unrealized Appreciation on Investments, Foreign Currency,
Forward Foreign Currency Contracts and Futures Contracts .. 62,198,639
------------
Net Assets ..................................................... $713,991,516
============
- ----------
1 Cost of $652,825,074.
2 Includes foreign cash of $15,978,587, with a cost of $15,296,430.
- --------------------------------------------------------------------------------
Statement of Operations For the six months ended September 30, 1999 (unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
Investment Income
Dividends/1 ........................................................................................ $ 3,894,733
Interest ........................................................................................... 7,313,467
------------
Total Investment Income ............................................................................ 11,208,200
------------
Expenses
Advisory Fees ...................................................................................... 2,344,101
Administration and Services Fees ................................................................... 360,631
Professional Fees .................................................................................. 20,518
Trustees Fees ...................................................................................... 1,957
Miscellaneous ...................................................................................... 1,052
------------
Total Expenses ..................................................................................... 2,728,259
Less Fees Waived/Expenses Reimbursed by Bankers Trust .............................................. (564,473)
------------
Net Expenses .................................................................................... 2,163,786
------------
Net Investment Income ................................................................................. 9,044,414
------------
Realized and Unrealized Gain (Loss) on Investments, Foreign Currency Transactions,
Forward Foreign Currency
Contracts and Futures Contracts
Net Realized Loss from:
Investments, Foreign Currency and Forward Foreign Currency Transactions ......................... (3,574,625)
Futures Transactions ............................................................................ (4,813,623)
Net Change in Unrealized Appreciation/Depreciation on:
Investments, Foreign Currency Contracts, Forward Foreign Currency Contracts and Futures Contracts
3,702,470
------------
Net Realized and Unrealized Loss on Investments, Foreign Currency,
Forward Foreign Currency Contracts and Futures Contracts ........................................... (4,685,778)
------------
Net Increase in Assets from Operations ................................................................ $ 4,358,636
------------
</TABLE>
- -----------
1 Net of foreign withholding tax of $38,244.
See Notes to Financial Statements.
14
<PAGE>
- --------------------------------------------------------------------------------
Asset Management Portfolio
Statements of Changes in Net Assets
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
For the six months ended For the year ended
September 30, 19991 March 31, 1999
------------------------ ------------------
<S> <C> <C>
Increase (Decrease) in Net Assets from:
Operations
Net Investment Income ............................................ $ 9,044,414 $ 19,717,061
Net Realized Gain (Loss) from Investments, Foreign Currency,
Forward Foreign Currency and Futures Transactions, ............. (8,388,248) 30,887,338
Net Change in Unrealized Appreciation/Depreciation on Investments,
Foreign Currency, Forward Foreign Currency Contracts
and Futures Contracts .......................................... 3,702,470 29,150,269
------------- -------------
Net Increase in Net Assets from Operations .......................... 4,358,636 79,754,668
------------- -------------
Capital Transactions
Proceeds from Capital Invested ................................... 127,467,369 419,617,422
Value of Capital Withdrawn ....................................... (121,961,986) (444,617,015)
------------- -------------
Net Increase (Decrease) in Net Assets from Capital Transactions ..... 5,505,383 (24,999,593)
------------- -------------
Total Increase in Net Assets ........................................ 9,864,019 54,755,075
Net Assets
Beginning of Period ................................................. 704,127,497 649,372,422
------------- -------------
End of Period ....................................................... $ 713,991,516 $ 704,127,497
============= =============
</TABLE>
- --------------------------------------------------------------------------------
Financial Highlights
- --------------------------------------------------------------------------------
Contained below are selected ratios to average net
assets and other supplemental data for period indicated for the Asset
Management Portfolio.
<TABLE>
<CAPTION>
For the six
months ended For the years ended March 31,
September 30, --------------------------------------------------------
19991 1999 1998 1997 1996 1995
---------- --------- ---------- ---------- --------- --------
<S> <C> <C> <C> <C> <C> <C>
Supplemental Data and Ratios:
Net Assets, End of Period (000s omitted).. $713,992 $704,127 $649,372 $348,539 $240,142 $96,529
Ratios to Average Net Assets:
Net Investment Income ................. 2.49%/2 2.91% 2.97% 3.12% 3.99% 3.78%
Expenses .............................. 0.60%/2 0.60% 0.60% 0.60% 0.60% 0.60%
Decrease Reflected in Above Expense ...
Ratio Due to Fees Waived/Expenses ...
Reimbursed by Bankers Trust ......... 0.16%/2 0.16% 0.16% 0.16% 0.17% 0.19%
Portfolio Turnover Rate .................. 32% 109% 199% 137% 154% 92%
</TABLE>
- -----------
1/ Unaudited.
2/ Annualized.
See Notes to Financial Statements.
15
<PAGE>
- --------------------------------------------------------------------------------
Asset Management Portfolio
Notes to Financial Statements (unaudited)
- --------------------------------------------------------------------------------
Note 1--Organization and Significant Accounting Policies
A. Organization
The Asset Management Portfolio (the "Portfolio") is registered under the
Investment Company Act of 1940 ("the Act"), as amended, as open-end management
investment company. The Portfolio was organized on June 9, 1992 and began
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 the
security traded on that exchange prior to the time when the Portfolio assets are
valued. Short-term debt securities are valued at market value until such time as
they reach a remaining maturity of 60 days, whereupon they are 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 Interest 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 discount on investments. Expenses are recorded as incurred. 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. TBA Purchase Commitments
The Portfolio may enter into "TBA" (to be announced) purchase commitments to
purchase securities for a fixed price at a future date, typically not exceeding
45 days. TBA purchase commitments may be considered securities in themselves,
and involve a risk of loss if the value of the security to be purchased declines
prior to settlement date, which risk is in addition to the risk of decline in
the value of a Portfolio's other assets. Unsettled TBA purchase commitments are
valued at the current market value of the underlying securities, according to
the procedures described under "Security Valuation" above.
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
Operations 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 a Portfolio, the premium paid is recorded as an investment,
and marked-to-market daily to reflect the current market value. When a purchased
option expires, the Portfolio will realize a loss in the amount of the cost of
the option. When the Portfolio enters into a closing sale transaction, the
Portfolio will realize a gain or loss depending on whether the sale proceeds
from the closing sale transaction are greater or less than the cost of the
option. When the Portfolio exercises a put option, it realizes a gain or loss
from the sale of the underlying security and the proceeds from such sale will be
decreased by the premium originally paid. When the Portfolio exercises a call
option, the cost of the security which the Portfolio purchases upon exercise
will be increased by the premium originally paid.
H. Futures Contracts
The Portfolio may enter into financial futures contracts which are contracts to
buy a standard quantity of securities at a specified price on a future date. The
Portfolio is required to make initial margin deposits either in cash or
securities in an amount equal to a certain percentage of the contract amount.
Variation margin 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 do involve certain risks. These risks could include a lack of
correlation between the futures contract and the corresponding securities
market, a potential lack of liquidity in the secondary market and incorrect
assessments of market trends which may result in poorer overall performance than
if a futures contract had not been entered into.
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
The Portfolio is considered a Partnership under the Internal Revenue Code.
Therefore, no federal income tax provision is necessary.
16
<PAGE>
- --------------------------------------------------------------------------------
Asset Management Portfolio
Notes to Financial Statements (unaudited)
- --------------------------------------------------------------------------------
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. Actual results could
differ from those estimates.
Note 2 -- Fees and Transactions with Affiliates
The Portfolio 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 .10% of the Portfolio's average daily net
assets.
The Portfolio 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 .65% of the Portfolio's average
daily net assets.
Bankers Trust has voluntarily undertaken to waive its fees and reimburse
expenses of the Portfolio, to the extent necessary, to limit all expenses to
.60% of the average daily net assets of the Portfolio.
The Trust may invest in the Institutional Cash Management Fund ("the Fund"), an
open-end management investment company managed by Bankers Trust Company ("the
Company"). The Fund is offered as a cash management option to the Trust and
other accounts managed by the Company. At September 30, 1999, the Asset
Management Portfolio had dividend income receivable from the Fund in the amount
of $274,055. Additionally, distributions from the Fund to the Trust as of
September 30, 1999 amounted to $1,430,931 and are included in dividend income.
The following summarizes the purchase and sales of the Institutional Cash
Management Fund for the Asset Management Portfolio during the six month period
ended September 30, 1999.
Purchases Sales
-------- ----
$60,965,759 $57,100,734
At September 30, 1999, the Portfolio was a participant with other affiliated
entities in a revolving credit facility in the amount of $150,000,000, which
expires April 29, 2000. A commitment fee of .10% per annum on the average daily
amount of the available commitment is payable on a quarterly basis and
apportioned equally among all participants. No amounts were drawn down or
outstanding under the credit facility as of and for the six months ended
September 30, 1999.
Bankers Trust was a wholly owned subsidiary of Bankers Trust Corporation ("BT
Corp."). On June 4, 1999, BT Corp. was acquired by Deutsche Bank AG ("Deutsche
Bank"). As a result of the transaction, Bankers Trust became an indirect
wholly-owned subsidiary of Deutsche Bank.
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, 1999, were
$152,283,874 and $129,202,015 respectively.
The tax basis of investments held at September 30, 1999, was $652,825,074. The
aggregate gross unrealized appreciation for all investments was $80,415,426 and
the aggregate gross unrealized depreciation for all investments was $16,210,193.
17
<PAGE>
- --------------------------------------------------------------------------------
Asset Management Portfolio
Notes to Financial Statements (unaudited)
- --------------------------------------------------------------------------------
Note 4--Futures Contracts
A summary of obligations under these financial instruments at September 30, 1999
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 December 31, 1999 20 Long 6,491,000 386,000
U.S. Treasury Note Futures December 31, 1999 907 Long 99,883,375 (378,789)
Milan Stock Exchange December 31, 1999 87 Long 15,736,612 (387,388)
Dax Index December 31, 1999 232 Long 31,851,602 (1,961,713)
Australian Ordinary December 31, 1999 255 Long 11,990,557 (133,663)
- ----------------------- ------ ------------ -----------
Total 1,501 $165,953,146 $(2,475,553)
===== ============ ===========
</TABLE>
Note 5--Open Forward Foreign Currency Contracts
A summary of obligations under these financial instruments at September 30, 1999
is as follows:
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C>
Contracts to Deliver In Exchange For Settlement Date Value (US$) Depreciation (US$)
- -------------------------------------------------------------------------------------------------------------
Purchases
- -------------------------------------------------------------------------------------------------------------
Euro Dollar 26,038,000 U.S. Dollars $27,847,641 10/07/1999 $27,867,951 $(20,310)
- -------------------------------------------------------------------------------------------------------------
Total Net Unrealized Depreciation $(20,310)
- -------------------------------------------------------------------------------------------------------------
</TABLE>
18
<PAGE>
- --------------------------------------------------------------------------------
BT Institutional Asset Management Fund
Proxy Results (unaudited)
- --------------------------------------------------------------------------------
For the year ended September 30, 1999, the Bankers Trust Funds shareholders
voted on the following proposals at the annual meeting of shareholders on
October 8, 1999 or as adjourned. The description of each proposal and number of
shares voted are as follows:
1. To elect the Bankers Trust Funds Board of Trustees.
Shares Shares Voted
Voted Withheld
For Authority
---------- -----------
Messr Biggar 37,522,917 --
Messr Dill 37,522,917 --
Messr Hale 37,522,917 --
Messr Langton 37,522,917 --
Messr Saunders 37,522,917 --
Messr Van Benschoten 37,522,917 --
Dr. Gruber 37,522,917 --
Dr. Herring 37,522,917 --
2. To approve the New Investment Advisory Agreement with Bankers Trust Company.
For Against Abstain
-------- ------- --------
37,522,917 -- --
3. To approve the New Investment Advisory Agreement with Morgan Grenfell, Inc.
For Against Abstain
-------- ------- --------
37,522,917 -- --
4. To approve the New Investment Sub-advisory Agreement with Bankers Trust
Company.
For Against Abstain
-------- ------- --------
37,522,917 -- --
5. To ratify the selection of PricewaterhouseCoopers LLP as the independent
accountants of the Fund and its corresponding Portfolio.
For Against Abstain
-------- ------- --------
37,522,917 -- --
19
<PAGE>
[Graphic Omitted] Bankers Trust
Architects of Value
For information on how to invest, shareholder account information and current
price and yield information, please contact your relationship manager or write
to us at: BT Service Center
P.O. Box 419210
Kansas City, MO 64141-6210
or call our toll-free number: 1-800-730-1313
This report must be preceded or accompanied by a current prospectus for the
Fund.
BT Institutional Asset Management Fund CUSIP #055847404
BT Pyramid Mutual Funds 482SA (9/99)
Distributed by:
ICC Distributors, Inc.
Two Portland Square
Portland, ME 04101
