Deutsche Asset Management
[graphic omitted]
Mutual Fund
Semi-Annual Report
September 30, 2000
Premier Class
Asset Management
Formerly BT Institutional Asset Management Fund
A Member of the
Deutsche Bank Group
[graphic omitted]
<PAGE>
Asset Management -- Premier Class
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TABLE OF CONTENTS
LETTER TO SHAREHOLDERS ..................................... 3
ASSET MANAGEMENT -- PREMIER CLASS
Statement of Assets and Liabilities ..................... 8
Statement of Operations ................................. 9
Statements of Changes in Net Assets ..................... 10
Financial Highlights .................................... 11
Notes to Financial Statements ........................... 12
ASSET MANAGEMENT PORTFOLIO
Schedule of Portfolio Investments ....................... 14
Statement of Assets and Liabilities ..................... 22
Statement of Operations ................................. 23
Statements of Changes in Net Assets ..................... 24
Financial Highlights .................................... 25
Notes to Financial Statements ........................... 26
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The Fund is not insured by the FDIC and is not a deposit,
obligation of or guaranteed by Deutsche Bank. The Fund is
subject to investment risks, including possible loss of
principal amount invested.
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2
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Asset Management -- Premier Class
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LETTER TO SHAREHOLDERS
We are pleased to present you with this semi-annual report for Asset Management
-- Premier Class (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
Signs emerged over the semi-annual period that global economic growth was
moderating from its super-charged pace of late 1999 and early 2000. Most would
agree that some slowing in the rate of economic growth was desirable, if not
inevitable, in places where resources are stretched and where overheating was of
real concern, most notably in the US. However, in areas that still have
substantial slack in their economies, such as continental Europe, many of the
emerging nations, and especially Japan, these signs of moderation were less
welcome.
o One of the major contributing factors to this global slowdown was the lagging
effects of the monetary tightenings initiated by major central banks,
including the Federal Reserve Board, the European Central Bank, and the Bank
of Japan, during the second half of 1999 and the first months of 2000.
o Another was the flattening of global equity markets, which gradually
diminished the "wealth effect" boost to individual consumption.
o Third was rising energy prices, which cut into consumers' purchasing power
throughout most of the major industrialized nations.
US EQUITIES
After five years of spectacular gains, the broad US equities markets were flat
or slightly down for the six months ended September 30, 2000.
o At first, market worries centered on the risks of economic overheating and
rising interest rates. In fact, arguing that the pace of the economy could not
be indefinitely supported by labor force growth and thus may rekindle
inflation, the Federal Reserve Board followed its five interest rate hikes
from the summer of 1999 through March 2000 with yet another on May 16.
-- The dramatic correction in the NASDAQ Composite that began in March and
April and the Justice Department's ruling in the Microsoft antitrust case
also impacted the major US equities indices.
-- The S&P 500 Index fell almost 10% from March 24 through May 23. But the
large cap stock market finally found its footing in June when it seemed
that the Fed could be induced to delay additional interest rate hikes based
on signs of a slowing economy.
o More recently, concerns have shifted to the implications for corporate
earnings of slowing economic growth, rising energy prices, and an appreciating
dollar. With such concerns persistent, volatility remained high through the
end of the third calendar quarter.
US BONDS
The US fixed income markets continued to be dominated by the policies of the
Federal Reserve Board.
o During most of the second calendar quarter, the US fixed income markets
remained under pressure from signs of excessive demand growth and Fed
tightening.
-- The Fed's rate hike of 0.50% in May, brought the cumulative rise in
interest rates since June 1999 to 1.75%, leaving the targeted federal funds
rate at 6.50%. -- Yield curves generally flattened in this tightening
environment, especially in the US Treasury market, where reductions in debt
supply actually pushed long-term yields down.
o Beginning in early summer, US fixed income markets rallied, as evidence of
moderating US economic growth eased inflation concerns and moved the Federal
Reserve Board to the sidelines.
-- Yield curves steepened on the perception of an end to Fed tightening.
-- Long-term US Treasury yields moved up a bit, as investors weighed both the
possibility of a post-election easing of fiscal policy and the impact that
higher energy prices may have on underlying inflation.
INTERNATIONAL MARKETS
For most of the semi-annual period, the world equities markets were volatile,
with a focus on the US Federal Reserve Board's, the European Central Bank's, and
the Bank of England's tightening policy for interest rates.
o Other factors included mixed signals about the health of the Japanese economy
and higher oil prices that
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3
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Asset Management -- Premier Class
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LETTER TO SHAREHOLDERS
remain a major source of inflation concern for central bankers.
o In sharp contrast to 1999, technology proved to be one of the worst performing
sectors during these months, and world equities markets were buffeted by
NASDAQ Composite volatility.
o As the possibility of a "soft landing" in the US decreased the chances of
further Federal Reserve Board rate hikes, which investors had feared could
induce a global economic slowdown, the world equity markets recovered a bit.
o Regionally, the European equities markets outpaced Asian and Pacific Rim
markets.
Primarily due to increases in interest rates by the US Federal Reserve Board as
well as by the European Central Bank, international bond yields, with the
exception of the UK, were generally higher. As in the US, the UK yield curve
flattened and long-term rates were slightly lower.
CASH
The US dollar climbed higher against most major currencies over the semi-annual
period, pushing the euro to all-time lows. Late in the period, joint central
bank intervention seems to have arrested, but not reversed, the euro's decline.
o Early in the period, the dollar's strength primarily reflected the pace of US
economic growth, which exceeded that of most other major nations.
o More recently, the dollar remained firm despite evidence of moderating US
growth, partly because activity abroad has also cooled but even more so
because investors around the world continued to view US investment
opportunities in a favorable light.
INVESTMENT REVIEW
The Fund underperformed its primary benchmark, the Asset Allocation Index --
Long Range and category average for the semi-annual period ended September 30,
2000. This relative performance was due primarily to the
<TABLE>
<CAPTION>
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CUMULATIVE AVERAGE ANNUAL
TOTAL RETURNS TOTAL RETURNS
Periods ended Past 6 Past 1 Past 3 Past 5 Since Past 1 Past 3 Past 5 Since
September 30, 2000 months year years years inception year years years inception
--------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Asset Management --
Premier1 Class
(inception 9/16/93) (1.27)% 11.71% 42.85% 109.39% 141.61% 11.71% 12.62% 15.93% 13.35%
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Asset Allocation
Index-- Long Range2 0.03% 10.62% 40.29% 99.53% 145.80%4 10.62% 11.95% 14.82% 13.70%4
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S&P 500 Index2 (3.60)% 13.28% 57.88% 166.82% 258.95%4 13.28% 16.44% 21.69% 20.03%4
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Salomon Broad
Investment Grade
Bond Index2 4.80% 6.92% 18.87% 36.85% 51.09%4 6.92% 5.93% 6.48% 6.07%4
--------------------------------------------------------------------------------------------------------------------------
Lipper Flexible
Portfolio Average3 (0.27)% 12.78% 33.61% 88.17% 130.68%4 12.78% 9.97% 13.26% 12.36%4
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<FN>
1 PAST PERFORMANCE 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. These figures assume
reinvestment of dividend and capital gain distributions. Performance would
have been lower during the specified periods if certain fees and expenses had
not been waived by the Fund. The Fund may invest in derivatives that may be
more volatile and less liquid than traditional securities and the Fund could
suffer losses on its derivative positions Mergers and acquisition
transactions may be renegotiated, terminated, or delayed and in the event
that these transactions fail to close or close at a less than expected price
per share, the Fund may realize losses or a lower return than expected.
2 The Asset Allocation Index -- Long Range is comprised of 55% to the S&P 500
Index, 35% of the Salomon Broad Investment Grade Bond Index, and 10% of the
90-Day T-Bill Index. The S&P 500 is an unmanaged index used to portray the
pattern of common stock movement of 500 large companies. The Salomon Broad
Investment Grade Bond Index is an unmanaged index which covers an
all-inclusive universe of institutionally-traded US Treasury, agency,
mortgage and corporate securities. Index returns do not reflect expenses,
which have been deducted from the Fund's return.
3 Lipper figures represent the average of the total returns reported by all of
the mutual funds designated by Lipper Inc. as falling into the category
indicated. These figures do not reflect sales charges.
4 Benchmark returns are for the period beginning September 30, 1993.
</FN>
</TABLE>
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Asset Management -- Premier Class
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LETTER TO SHAREHOLDERS
Fund's overweighting of equities, underweighting of US fixed income and exposure
to the euro currency. Our model's assessment of a wide variety of factors
supported the Fund's allocation.
The drivers behind the equities overweighting, and within that the overweighting
of foreign equities, particularly of European markets, and underweighting of US
equities, were a combination of three fundamental variables. Namely, these were
low inflationary pressures, strong global growth, and sensitivity to the global
cost of capital. With global economic growth slowing, we began to reduce the
Fund's equities position toward the end of the period.
The US bond position was underweighted to neutral on the basis of relatively low
yields and sensitivity to the cost of capital. We held less than 1% in
international bonds in the Portfolio during the semi-annual period. The Fund was
slightly overweighted in the euro during the second calendar quarter and held a
more neutral position during the third quarter. The primary driver behind the
currency position was the level and global trend in interest rates.
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FIVE LARGEST COMMON STOCK HOLDINGS
(percentages are based on market value of total investments in the Portfolio)
--------------------------------------------------------------------------------
General Electric .............................. 2.26%
Cisco Systems ................................. 1.57
Microsoft Corp. ............................... 1.26
Exxon Mobil Corp. ............................. 1.26
Intel Corp. ................................... 1.13
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FIVE LARGEST FIXED INCOME SECURITIES
(percentages are based on market value of total investments in the Portfolio)
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US Treasury Bond, 8.125%, 8/15/19 ............. 2.85%
FHLMC Gold, 7.00%, 6/1/09 ...................... 1.70
International Paper Co., 8.00%, 7/8/03 ........ 1.11
Chemical Master Credit Card Trust,
5.98%, 9/15/08 ............................. 1.10
US Treasury Note, 6.625%, 3/31/02 ............. 0.97
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PORTFOLIO DIVERSIFICATION
By Asset Class as of September 30, 2000
(percentages are based on market value of total investments in the Portfolio)
--------------------------------------------------------------------------------
[pie chart omitted]
STOCKS 53%
BONDS 35%
SHORT TERM INSTRUMENTS 12%
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As of September 30, 2000, the Fund's asset weightings were 53% in equities, 35%
in bonds, and 12% in cash and other short-term instruments.
MANAGER OUTLOOK
GOING FORWARD, WE EXPECT GLOBAL ECONOMIC GROWTH TO CONTINUE INTO 2001, ALTHOUGH
AT A LESS EXUBERANT PACE THAN EARLIER IN 2000.
o We believe the lagging effects of higher interest rates, higher energy prices,
and softer equities markets will continue to exert some restraints.
o We also expect a more balanced economic growth profile around the world, with
less contribution from the US and more from Europe and Asia, as these
international regions increasingly use up their slack and exploit the same
information technologies that have fueled US growth over the past several
years. Such narrowing growth differential should gradually help rebalance
current account positions, narrowing the deficit in the US and the surpluses
in Europe and Asia.
o Of course, the possibility of a more pronounced economic slowing can not be
ruled out, especially if energy prices surge further and/or equities markets
correct significantly, thereby undercutting investor confidence.
THE MODERATION IN ECONOMIC GROWTH SHOULD, IN OUR VIEW, HELP KEEP INFLATION
PRESSURES BROADLY IN CHECK. o At the same time, the risk of some inflation
increase in the US, where resources are so stretched, is still palpable.
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Asset Management -- Premier Class
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LETTER TO SHAREHOLDERS
o Energy prices pose another risk to the inflation picture, both internationally
and in the US, where they may impact especially strongly if they stay high
long enough to begin feeding into inflation expectations and wage demands.
BASED ON THIS ECONOMIC OUTLOOK, OUR VIEW FOR THE FINANCIAL MARKETS IS SHIFTING
ACCORDINGLY.
o US equities may have to contend with a less favorable
growth/inflation/corporate profits mix than the virtual nirvana that had
prevailed in recent years. We believe that earnings growth has peaked and may
moderate into 2001.
o The backdrop for US fixed income markets is more favorable. We agree with the
consensus outlook that the Federal Reserve Board is nearing the end of its
tightening bias. Further, the supply/demand picture for bonds is constructive.
o In Europe, inflationary concerns center around the weak euro, accelerating
economic growth, and buoyant money supply. Yet pricing pressures have been
remarkably dormant, and there seems to be ample spare capacity in both the
goods and labor markets. At the same time, we believe more tightening is
required by the European Central Bank over the next twelve months as is a
stronger euro in a supportive role. Key positives for Europe include strong
economic growth, falling unemployment, tax cuts, and further prospects for
corporate consolidation across the continent. We are more cautious in our
outlook for the Asian equities markets, as Japan in particular continues to
suffer from new bankruptcies and a weak financial framework.
Staying disciplined to the Fund's model-driven investment strategy, we intend to
reduce the Portfolio's strong overweighting in equities, increase slightly the
position in bonds, and move out of the euro. 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 Asset Management and look forward to continuing
to serve your investment needs in the years ahead.
/S/SIGNATURE ROBERT WANG
Robert Wang
Portfolio Manager of the
ASSET MANAGEMENT PORTFOLIO
September 30, 2000
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6
<PAGE>
Asset Management -- Premier Class
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PERFORMANCE COMPARISON
ASSET MANAGEMENT -- PREMIER CLASS,
ASSET ALLOCATION INDEX -- LONG RANGE AND S&P 500 INDEX
GROWTH OF A $10,000 INVESTMENT (SINCE SEPTEMBER 16, 1993)1
[graphic omitted]
plot points as follows:
<TABLE>
<CAPTION>
BT Institutional Asset Management Fund S&P 500 Index Asset Allocation Index--Long Range
<S> <C> <C> <C>
9/93 10000 10000 10000
3/94 9670 9845 9835
9/94 9716 10368 10129
3/95 10360 11376 10894
9/95 11538 13452 12319
3/96 12408 15027 13247
9/96 13200 16187 13959
3/97 14183 18006 14983
9/97 16913 22736 17521
3/98 19053 26653 19501
9/98 18805 24792 19290
3/99 21498 31573 22118
9/99 21628 31690 22221
3/00 24472 37242 24573
9/00 24161 35904 24580
</TABLE>
Average Annual Total Return for the Periods Ended September 30, 2000
One Year 11.71% Five Year 15.93% Since 9/16/931 13.35%
--------------------------------------------------------------------------------
1 The Fund's inception date.
PAST PERFORMANCE 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. These figures assume the
reinvestment of dividend and capital gain distributions. Performance would have
been lower during the specified periods if certain fees and expenses had not
been waived by the Fund. The Asset Allocation Index -- Long Range is calculated
using the performance of three indices representative of stocks, bonds and cash
(stocks:S&P 500; bonds:Salmon Broad Investment Grade Bond Index; cash: 90-day
T-Bill Index) weighted by their corresponding proportion of the Fund's neutral
position (stocks: 55%; bonds: 35%; cash: 10%). These results are summed to
produce the aggregate benchmark.
The S&P 500 Index is an unmanaged index used to portray the pattern of common
stock movement of 500 large companies.
The Salomon Broad Investment Grade Bond Index is an unmanaged index which covers
an all-inclusive universe of institutionally-traded US Treasury, agency,
mortgage and corporate securities. Benchmark returns are for the period
beginning September 30, 1993.
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7
<PAGE>
Asset Management -- Premier Class
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STATEMENT OF ASSETS AND LIABILITIES (Unaudited)
SEPTEMBER 30, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
<S> <C>
ASSETS
Investment in Asset Management Portfolio, at Value ................... $490,947,583
Receivable for Shares of Beneficial Interest Subscribed .............. 2,759,034
Due from Bankers Trust ............................................... 6,614
Prepaid Expenses and Other ........................................... 10,890
------------
Total Assets ............................................................ 493,724,121
------------
LIABILITIES
Income Dividend Payable .............................................. 2,336,661
Payable for Shares of Beneficial Interest Redeemed ................... 3,342,789
Accrued Expenses and Other ........................................... 31,874
------------
Total Liabilities ....................................................... 5,711,324
------------
NET ASSETS .............................................................. $488,012,797
============
COMPOSITION OF NET ASSETS
Paid-in Capital ...................................................... $455,634,943
Undistributed Net Investment Income .................................. 2,596,214
Accumulated Net Realized Loss from Investment, Foreign Currency,
Forward Foreign Currency and Futures Transactions .................. (1,987,165)
Net Unrealized Appreciation on Investments, Foreign Currencies and
Forward Foreign Currency and Futures Contracts ..................... 31,768,805
------------
NET ASSETS .............................................................. $488,012,797
============
SHARES OUTSTANDING ($0.001 par value per share, unlimited number of shares
of beneficial interest authorized) ................................... 38,897,354
============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE
(net assets divided by shares outstanding) ........................... $ 12.55
============
</TABLE>
See Notes to Financial Statements.
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8
<PAGE>
Asset Management -- Premier Class
--------------------------------------------------------------------------------
STATEMENT OF OPERATIONS (Unaudited)
--------------------------------------------------------------------------------
FOR THE SIX
MONTHS ENDED
SEPTEMBER 30, 2000
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<TABLE>
<CAPTION>
<S> <C>
INVESTMENT INCOME
Income Allocated from Asset Management Portfolio, net ................. $ 8,448,854
-------------
EXPENSES
Administration and Services Fees ...................................... 386,917
Printing and Shareholder Reports ...................................... 16,265
Professional Fees ..................................................... 8,824
Registration Fees ..................................................... 7,040
Trustees Fees ......................................................... 6,776
Miscellaneous ......................................................... 915
-------------
Total Expenses ........................................................... 426,737
Less: Fee Waivers or Expense Reimbursements .............................. (426,737)
-------------
Net Expenses ............................................................. --
-------------
NET INVESTMENT INCOME .................................................... 8,448,854
-------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FOREIGN CURRENCIES AND
FORWARD FOREIGN CURRENCY AND FUTURES CONTRACTS
Net Realized Gain (Loss) from:
Investment Transactions .............................................. 6,639,751
Foreign Currency Transactions ........................................ (4,515,938)
Futures Transactions ................................................. (3,230,996)
Net Change in Unrealized Appreciation/Depreciation on Investments,
Foreign Currencies and Forward Foreign Currency and Futures Contracts (13,406,751)
-------------
NET REALIZED AND UNREALIZED LOSS ON INVESTMENTS, FOREIGN CURRENCIES AND
FORWARD FOREIGN CURRENCY AND FUTURES CONTRACTS ......................... (14,513,934)
-------------
NET DECREASE IN NET ASSETS FROM OPERATIONS ................................ $ (6,065,080)
=============
</TABLE>
See Notes to Financial Statements.
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9
<PAGE>
Asset Management -- Premier Class
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STATEMENTS OF CHANGES IN NET ASSETS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE SIX FOR THE
MONTHS ENDED YEAR ENDED
SEPTEMBER 30, MARCH 31,
20001 2000
------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS
Net Investment Income ............................................... $ 8,448,854 $ 15,079,529
Net Realized Gain (Loss) from Investment, Foreign
Currency, Forward Foreign Currency
and Futures Transactions .......................................... (1,107,183) 56,951,724
Net Change in Unrealized Appreciation/Depreciation on
Investments, Foreign Currencies and Forward Foreign
Currency and Futures Contracts .................................... (13,406,751) (271,586)
------------ -------------
Net Increase (Decrease) in Net Assets from Operations .................. (6,065,080) 71,759,667
------------ -------------
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income ............................................... (6,424,109) (12,881,836)
Net Realized Gain from Investment Transactions ...................... (57,224,283) (5,627,182)
------------ -------------
Total Distributions .................................................... (63,648,392) (18,509,018)
------------ -------------
CAPITAL TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST
Proceeds from Sales of Shares ....................................... 69,486,635 110,823,410
Dividend Reinvestments .............................................. 62,095,349 18,209,107
Cost of Shares Redeemed ............................................. (85,859,703) (240,399,537)
------------ -------------
Net Increase (Decrease) from Capital Transactions
in Shares of Beneficial Interest .................................... 45,722,281 (111,367,020)
------------ -------------
TOTAL DECREASE IN NET ASSETS ........................................... (23,991,191) (58,116,371)
NET ASSETS
Beginning of Period ................................................. 512,003,988 570,120,359
------------ -------------
End of Period (including undistributed
net investment income of $2,596,214 and
$571,469, respectively.) .......................................... $488,012,797 $ 512,003,988
============ =============
<FN>
--------------------------------------------------------------------------------
1 Unaudited.
</FN>
</TABLE>
See Notes to Financial Statements.
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10
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Asset Management -- Premier Class
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FINANCIAL HIGHLIGHTS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE SIX
MONTHS ENDED FOR THE YEARS ENDED MARCH 31,
SEPTEMBER 30, 2000 2000 1999 1998 1997 1996
--------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE,
BEGINNING OF PERIOD .................... $ 14.44 $ 13.11 $ 14.50 $ 12.05 $ 11.25 $ 9.99
-------- -------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income .................. 0.22 0.33 0.47 0.37 0.38 0.41
Net Realized and Unrealized
Gain (Loss) on Investments,
Foreign Currencies, Forward
Foreign Currency and
Futures Transactions ................. (0.40) 1.44 1.29 3.60 1.19 1.52
-------- -------- -------- -------- -------- --------
Total from Investment Operations .......... (0.18) 1.77 1.76 3.97 1.57 1.93
-------- -------- -------- -------- -------- --------
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income .................. (0.17) (0.31) (0.45) (0.37) (0.45) (0.42)
In Excess of Net Investment
Income ............................... -- -- (0.27) -- -- --
Net Realized Gain from
Investment Transactions .............. (1.54) (0.13) (2.43) (1.15) (0.32) (0.25)
-------- -------- -------- -------- -------- --------
Total Distributions ....................... (1.71) (0.44) (3.15) (1.52) (0.77) (0.67)
-------- -------- -------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD ............ $ 12.55 $ 14.44 $ 13.11 $ 14.50 $ 12.05 $ 11.25
======== ======== ======== ======== ======== ========
TOTAL INVESTMENT RETURN (1.27)% 13.83% 12.83% 34.34% 14.31% 19.77%
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period
(000s omitted) ....................... $488,013 $512,004 $570,120 $496,798 $270,315 $183,767
Ratios to Average Net Assets:
Net Investment Income ................ 3.28%2 2.69% 2.89% 2.97% 3.12% 3.99%
Expenses After Waivers,
Including Expenses of the
Asset Management
Portfolio ......................... 0.60%2 0.60% 0.60% 0.60% 0.60% 0.60%
Expenses Before Waivers,
Including Expenses of the
Asset Management
Portfolio ......................... 0.93%2 0.93% 0.93% 0.92% 0.96% 0.99%
<FN>
--------------------------------------------------------------------------------
1 Unaudited.
2 Annualized.
</FN>
</TABLE>
See Notes to Financial Statements.
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11
<PAGE>
Asset Management -- Premier Class
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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 Asset Management -- Premier
Class (the "Fund") is one of the funds offered to investors by the Trust. The
Fund began operations and offering shares of beneficial interest 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, 2000, 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. VALUATION OF SECURITIES
Valuation of securities by the Portfolio is discussed in Note 1B of the
Portfolio's Notes to Financial Statements, which are included elsewhere in this
report.
C. 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 securities 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. Distributions of net realized
short-term and long-term capital gains, if any earned by the Fund are made
annually to the extent they exceed 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 the 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 accounting principles generally accepted in the United
States.
F. OTHER
The Trust accounts separately for the assets, liabilities and operations of each
of its funds. Expenses directly attributable to a fund are charged to that fund,
while expenses which are attributable to the Trust are allocated among the funds
in the Trust.
G. ESTIMATES
The preparation of financial statements in conformity with accounting principles
generally accepted in the United States 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"), an indirect wholly owned subsidiary of Deutsche
BankAG. Under this agreement, Bankers Trust provides administrative, custody and
shareholder services to the Fund. The Trust has entered into an agreement with
Investment Company Capital Corp., an indirectly owned subsidiary of Deutsche
Bank AG, to provide transfer agency services to theTrust. These services are
provided 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 contractually agreed to waive its fees and reimburse expenses
of the Fund through April 30, 2001, 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.
--------------------------------------------------------------------------------
12
<PAGE>
Asset Management -- Premier Class
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (Unaudited)
ICC Distributors, Inc. provides distribution services to the Fund.
NOTE 3 -- SHARES OF BENEFICIAL INTEREST
At September 30, 2000, there were an unlimited number of shares of beneficial
interest authorized. Transactions in shares of beneficial interest were as
follows:
FOR THE SIX MONTHS ENDED FOR THE YEAR ENDED
SEPTEMBER 30, 2000 MARCH 31, 2000
--------------------------- -----------------------------
SHARES AMOUNT SHARES AMOUNT
---------- ------------ ----------- -------------
Sold 5,068,339 $ 69,486,635 8,150,028 $ 110,823,410
Reinvested 4,884,772 62,095,349 1,376,456 18,209,107
Redeemed (6,518,242) (85,859,703) (17,551,294) (240,399,537)
---------- ------------ ----------- -------------
Net Increase
(Decrease) 3,434,869 $ 45,722,281 (8,024,810) $(111,367,020)
========== ============ =========== =============
NOTE 4 -- CHANGE IN NAME
On July 31, 2000, the Fund changed its name from BT Institutional Asset
Management Fund to Asset Management -- Premier Class.
--------------------------------------------------------------------------------
13
<PAGE>
Asset Management Portfolio
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS September 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
SHARES SECURITY VALUE
--------------------------------------------------------------------------------
INVESTMENTS IN UNAFFILIATED ISSUERS
COMMON STOCKS -- 52.6%
AEROSPACE -- 0.0%
3,300 Rockwell International Corp. ................. $ 99,825
-----------
APPAREL TEXTILES -- 0.0%
3,800 Springs Industries, Inc.-- Class A ........... 107,112
-----------
BASIC MATERIALS -- 1.6%
4,800 Air Products and Chemicals, Inc. ............. 172,800
4,100 Alcan Aluminum Ltd. .......................... 118,644
21,500 Alcoa, Inc. .................................. 544,219
2,100 Allegheny Technologies ....................... 38,062
15,885 Archer-Daniels-Midland Co. ................... 137,008
9,800 Barrick Gold Corp. ........................... 149,450
24,600 Bethlehem Steel .............................. 73,800
4,200 Boise Cascade Corp. .......................... 111,562
18,900 Du Pont (E.I.) de Nemours & Co. .............. 783,169
6,000 Eastman Chemical Co. ......................... 221,625
3,200 Engelhard Corp. .............................. 52,000
2,200 FMC Corp. .................................... 147,537
5,000 Freeport-McMoRan Copper &
Gold, Inc. -- Class B ...................... 44,062
3,700 Georgia-Pacific Corp. ........................ 86,950
1,000 Great Lakes Chemical Corp. ................... 29,312
2,700 Hercules, Inc. ............................... 38,137
6,500 Homestake Mining Co. ......................... 33,719
4,400 Inco Ltd. .................................... 70,950
4,700 International Flavors & Fragrances, Inc. ..... 85,775
2,601 International Paper Co. ...................... 74,616
116,100 Lilly Industries, Inc. -- Class A ............ 3,424,950
2,500 Louisiana-Pacific Corp. ...................... 22,969
2,000 Mead Corp. ................................... 46,750
4,100 Newmont Mining Corp. ......................... 69,700
800 Nucor Corp. .................................. 24,100
4,200 Pactiv Corp. ................................. 46,987
1,000 Phelps Dodge Corp. ........................... 41,750
8,200 Placer Dome, Inc. ............................ 77,387
2,300 Potlatch Corp. ............................... 72,737
3,200 PPG Industries, Inc. ......................... 127,000
3,200 Praxair, Inc. ................................ 119,600
3,900 Rohm & Haas Co. .............................. 113,344
700 Sigma Aldrich Corp. .......................... 23,100
22,300 Southdown, Inc. .............................. 1,588,875
3,100 Temple Inland, Inc. .......................... 117,412
13,900 Union Carbide Corp. .......................... 524,725
6,500 USX-- US Steel Group ......................... 98,719
1,400 Vulcan Materials Co. ......................... 56,262
1,800 W.R. Grace & Co. ............................. 12,375
900 Westvaco Corp. ............................... 24,019
4,500 Weyerhaeuser Co. ............................. 181,687
1,100 Willamette Industries, Inc. .................. 30,800
7,400 Worthington Industries, Inc. ................. 69,375
-----------
9,928,020
-----------
CAPITAL GOODS -- 4.0%
4,600 Allied Waste Industries, Inc. ................ 42,262
5,300 American Power Conversion Corp.1 ............. 101,694
2,000 Avery Dennison Corp. ......................... 92,750
21,600 Boeing Co. ................................... 1,360,800
3,500 Briggs & Stratton Corp. ...................... 132,344
1,000 Caterpillar, Inc. ............................ 33,750
900 Cooper Industries, Inc. ...................... 31,725
1,500 Crane Co. .................................... 34,312
8,900 Crown Cork & Seal Co., Inc. .................. 95,119
3,900 Cummins Engine Co., Inc. ..................... 116,756
2,800 Danaher Corp. ................................ 139,300
4,500 Deere & Co. .................................. 149,625
4,300 Dover Corp. .................................. 201,831
1,100 Eaton Corp. .................................. 67,787
9,900 Emerson Electric Co. ......................... 663,300
600 Fluor Corp. .................................. 18,000
6,400 General Dynamics Corp. ....................... 402,000
243,900 General Electric Co. ......................... 14,069,981
1,200 Goodrich (B.F.) Co. .......................... 47,025
12,400 Honeywell International, Inc. ................ 441,750
2,500 Illinois Tool Works, Inc. .................... 139,687
2,900 Ingersoll-Rand Co. ........................... 98,237
800 ITT Industries ............................... 25,950
1,200 Johnson Controls, Inc. ....................... 63,825
9,400 Lockheed Martin Corp. ........................ 309,824
500 Millipore Corp. .............................. 24,219
9,300 Minnesota Mining &
Manufacturing Co. .......................... 847,462
3,900 Molex, Inc. .................................. 212,306
3,800 National Service Industries, Inc. ............ 74,337
4,000 Navistar International Corp. ................. 119,750
1,300 Northrop Grumman Corp. ....................... 118,137
3,800 Owens-Illinois, Inc. ......................... 35,150
3,600 Paccar, Inc. ................................. 133,425
3,100 Pall Corp. ................................... 61,806
1,600 Parker-Hannifin Corp. ........................ 54,000
4,600 Sanmina Corp.1 ............................... 430,675
4,000 Sealed Air Corp. ............................. 181,000
16,800 Solectron Corp. .............................. 774,900
1 Teledyne Technologies ........................ 29
4,900 Textron, Inc. ................................ 226,012
4,000 Thermo Electron Corp. ........................ 104,000
1,600 Timken Co. ................................... 21,900
40,900 Tyco International Ltd. ...................... 2,121,687
11,000 United Technologies Corp. .................... 761,750
15,600 Waste Management, Inc. ....................... 272,025
-----------
25,454,204
-----------
CHEMICAL -- SPECIALTY -- 0.2%
24,900 Bush Boake Allen, Inc.1 1,190,531
-----------
See Notes to Financial Statements.
--------------------------------------------------------------------------------
14
<PAGE>
Asset Management Portfolio
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS September 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
SHARES SECURITY VALUE
--------------------------------------------------------------------------------
COMMUNICATION SERVICES -- 2.9%
2,500 Alltel Corp. ................................. $ 130,469
85,300 AT&T Corp. ................................... 2,505,687
45,300 BellSouth Corp. .............................. 1,823,325
25,200 Global Crossing Ltd. ......................... 783,963
20,800 Nextel Communications, Inc. --
Class A .................................... 972,400
40,200 Qwest Communications
International, Inc.1 ....................... 1,932,112
82,900 SBC Communications, Inc. ..................... 4,145,000
12,400 Sprint Corp. ................................. 363,475
25,800 Sprint PCS Group ............................. 904,612
61,100 Verizon Communications ....................... 2,959,531
71,000 Worldcom, Inc.1 .............................. 2,156,625
-----------
18,677,199
-----------
COMPUTER SOFTWARE-- 0.4%
207,900 Mynd Corp.1 .................................. 2,806,650
380 Synavant1 .................................... 2,541
-----------
2,809,191
-----------
CONSUMER CYCLICALS -- 3.4%
1,500 American Greetings Corp.-- Class A ........... 26,250
800 Armstrong Holdings 1 ......................... 9,550
7,000 Autozone, Inc. ............................... 158,812
10,700 Bed, Bath & Beyond, Inc. ..................... 260,980
6,200 Best Buy, Inc. ............................... 394,475
1,300 Black & Decker Corp. ......................... 44,444
2,200 Brunswick Corp. .............................. 40,150
4,000 Carnival Corp.-- Class A ..................... 98,500
17,900 Cendant Corp. ................................ 194,662
300 Centex Corp. ................................. 9,637
200 Circuit City Stores, Inc. .................... 4,600
12,600 Consolidated Stores Corp. .................... 170,100
5,600 Convergys Corp.1 ............................. 217,700
8,100 Cooper Tire & Rubber Co. ..................... 81,506
13,600 Costco Wholesale Corp. ....................... 475,150
3,700 Dana Corp. ................................... 79,550
13,900 Delphi Automotive Systems .................... 210,237
2,800 Dillard Department Stores, Inc. --
Class A .................................... 29,750
8,200 Dollar General Corp. ......................... 137,350
1,600 Dow Jones & Co., Inc. ........................ 96,800
2,800 Dun & Bradstreet Corp. ....................... 96,425
8,600 Federated Department Stores, Inc. ............ 224,675
50,493 Ford Motor Co New ............................ 1,278,104
5,800 Gannett Co., Inc. ............................ 307,400
20,900 Gap, Inc. .................................... 420,612
14,600 General Motors Corp. ......................... 949,000
7,200 Genuine Parts Co. ............................ 137,250
3,900 Goodyear Tire & Rubber Co. ................... 70,200
4,300 Harcourt General, Inc. ....................... 253,700
6,500 Harley-Davidson, Inc. ........................ 311,187
6,100 Harrah's Entertainment, Inc. ................. 167,750
4,300 Hasbro, Inc. ................................. 49,181
9,200 Hilton Hotels Corp. .......................... 106,375
56,400 Home Depot, Inc. ............................. 2,992,725
7,600 IMS Health, Inc. ............................. 157,700
6,600 Interpublic Group of Cos., Inc. .............. 224,812
6,400 J.C. Penney Co., Inc. ........................ 75,600
4,000 Kaufman & Broad Home Corp. ................... 107,750
11,900 Kmart Corp. .................................. 71,400
4,500 Knight-Ridder, Inc. .......................... 228,656
9,500 Kohls Corp. .................................. 548,031
4,900 Leggett & Platt, Inc. ........................ 77,481
14,200 Limited, Inc. ................................ 313,287
300 Liz Claiborne, Inc. .......................... 11,550
4,500 Lowe's Cos., Inc. ............................ 201,937
4,900 Marriott International, Inc. ................. 178,544
11,200 Masco Corp. .................................. 208,600
10,600 Mattel, Inc. ................................. 118,587
7,400 May Department Stores Co. .................... 151,700
4,200 McGraw-Hill Cos., Inc. ....................... 266,962
3,000 New York Times Co.-- Class A ................. 117,937
6,600 Newell Rubbermaid, Inc. ...................... 150,563
100 Nike, Inc. ................................... 4,006
3,400 Nordstrom, Inc. .............................. 52,912
18,700 Office Depot, Inc. ........................... 146,094
3,900 Omnicom Group, Inc. .......................... 284,456
5,600 Pulte Corp. .................................. 184,800
4,000 Radioshack Corp. ............................. 258,500
8,600 Reebok International Ltd. .................... 161,787
500 Russell Corp. ................................ 7,937
10,500 Sears, Roebuck & Co. ......................... 340,410
4,100 Sherwin-Williams Co. ......................... 87,637
1,500 Snap-On Tools Corp. .......................... 35,344
2,200 Stanley Works ................................ 50,737
11,800 Staples, Inc. ................................ 167,412
22,600 Target Corp. ................................. 579,125
7,500 Tiffany & Co. ................................ 289,219
10,600 Toys `R' Us, Inc. ............................ 172,250
6,200 Tribune Co. .................................. 270,475
2,000 TRW, Inc. .................................... 81,250
2,300 V.F. Corp. ................................... 56,781
3,200 Visteon Corp ................................. 48,400
109,500 Wal-Mart Stores, Inc. ........................ 5,269,687
800 Whirlpool Corp. .............................. 31,100
-----------
21,896,203
-----------
CONSUMER STAPLES -- 6.7%
100 Alberto-Culver Co. -- Class B ................. 2,881
21,100 Anheuser Busch Cos., Inc. ..................... 892,794
5,000 Avon Products, Inc. ........................... 204,375
See Notes to Financial Statements.
--------------------------------------------------------------------------------
15
<PAGE>
Asset Management Portfolio
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS September 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
SHARES SECURITY VALUE
--------------------------------------------------------------------------------
58,700 Bestfoods ..................................... $ 4,270,425
800 Brown-Forman Corp.-- Class B .................. 43,800
6,400 Cardinal Health, Inc. ......................... 564,400
17,000 Clear Channel Communications, Inc. ............ 960,500
4,700 Clorox Co. .................................... 185,944
60,400 Coca-Cola Co. ................................. 3,329,550
10,600 Coca-Cola Enterprises, Inc. ................... 168,937
13,400 Colgate-Palmolive Co. ......................... 632,480
26,000 Comcast Corp.-- Class A ....................... 1,064,375
12,200 ConAgra, Inc. ................................. 244,762
8,800 CVS Corp. ..................................... 407,550
11,000 Darden Restaurants, Inc. ...................... 228,937
50,200 Disney (Walt) Co. ............................. 1,920,150
1 Energizer Hldngs1 ............................. 24
111,500 Fort James Corp. .............................. 3,407,719
3,800 Fortune Brands, Inc. .......................... 100,700
5,900 General Mills, Inc. ........................... 209,450
17,200 Gillette Co. .................................. 531,050
7,700 H.J. Heinz Co. ................................ 285,381
12,500 Kimberly Clark Corp. .......................... 697,656
20,400 Kroger Co. .................................... 460,275
1,100 Longs Drug Stores, Inc. ....................... 21,037
23,800 McDonald's Corp. .............................. 718,462
5,700 McKesson HBOC, Inc. ........................... 174,206
84,300 Nabisco Group Holdings ........................ 2,402,550
66,950 Nabisco Holdings Corp.-- Class A .............. 3,598,562
34,500 PepsiCo, Inc. ................................. 1,587,000
54,300 Philip Morris Cos., Inc. ...................... 1,598,456
28,400 Procter & Gamble Co. .......................... 1,902,800
2,800 Quaker Oats Co. ............................... 221,550
7,500 Ralston Purina Group .......................... 177,656
14,200 Safeway, Inc. ................................. 662,962
21,500 Sara Lee Corp. ................................ 436,719
10,000 Seagram Co. Ltd. .............................. 574,375
6,800 Starbucks Corp.1 .............................. 272,425
3,300 SuperValu, Inc. ............................... 49,706
7,200 Sysco Corp. ................................... 333,450
41,800 Time Warner, Inc. ............................. 3,270,850
3,800 Tricon Global Restaurants, Inc. ............... 116,375
4,900 Tupperware Corp. .............................. 88,200
9,000 Unilever NV ................................... 434,250
4,300 UST, Inc. ..................................... 98,362
38,801 Viacom, Inc.-- Class B ........................ 2,269,858
23,500 Walgreen Co. .................................. 891,531
2,800 Wendy's International, Inc. ................... 56,175
3,500 Winn Dixie Stores, Inc. ....................... 50,312
2,200 Wrigley (Wm.), Jr. Co. ........................ 164,725
-----------
42,986,669
-----------
ENERGY -- 2.8%
1,500 Amerada Hess Corp. ............................. 100,406
8,400 Anadarko Petroleum Corp. 558,264
2,500 Apache Corp. ................................... 147,812
500 Ashland, Inc. .................................. 16,844
7,300 Baker Hughes, Inc. ............................. 271,012
4,100 Burlington Resources, Inc. ..................... 150,931
15,600 Chevron Corp. .................................. 1,329,900
13,900 Conoco, Inc.-- Class B ......................... 374,431
2,200 Devon Energy Corp. ............................. 132,330
87,800 Exxon Mobil Corp. .............................. 7,825,175
10,100 Halliburton Co. ................................ 494,269
4,700 Kerr-McGee Corp. ............................... 311,375
11,600 Occidental Petroleum Corp. ..................... 253,025
8,700 Phillips Petroleum Co. ......................... 545,925
4,900 Rowan Cos., Inc. ............................... 142,100
52,300 Royal Dutch Petroleum Co. ...................... 3,134,731
13,700 Schlumberger Ltd. .............................. 1,127,681
800 Sunoco, Inc. ................................... 21,550
8,400 Texaco, Inc. ................................... 441,000
2,500 Tosco Corp. .................................... 77,969
4,700 Transocean Sedco ............................... 272,775
4,800 Unocal Corp. ................................... 170,100
7,800 USX Marathon Group ............................. 221,325
-----------
18,120,930
-----------
FINANCIALS -- 7.4%
5,800 Aflac, Inc. .................................... 371,562
17,000 Allstate Corp. ................................. 590,750
34,400 American Express Co. ........................... 2,089,800
5,700 American General Corp. ......................... 444,600
58,100 American International Group, Inc. ............. 5,559,444
9,400 Amsouth Bancorp ................................ 117,500
5,500 AON Corp. ...................................... 215,875
36,200 Associates First Capital Corp. --
Class A ...................................... 1,375,600
42,300 Bank of America Corp. .......................... 2,215,462
17,400 Bank of New York Co., Inc. ..................... 975,487
21,200 Bank One Corp. ................................. 818,850
2,100 Banks United Corp.-- Class A ................... 106,444
8,500 BB&T Corp. ..................................... 256,062
2,300 Bear Stearns Cos., Inc. ........................ 144,900
4,300 Capital One Financial Corp. .................... 301,269
33,400 Charles Schwab Corp. ........................... 1,185,700
5,355 Charter One Financial, Inc. .................... 130,528
7,900 Chase Manhattan Corp. .......................... 364,881
3,900 Chubb Corp. .................................... 308,587
3,400 CIGNA Corp. .................................... 354,960
3,100 Cincinnati Financial Corp. ..................... 110,050
6,200 CIT Group, Inc.-- Class A ...................... 108,500
99,466 Citigroup ...................................... 5,377,381
3,300 Comerica, Inc. ................................. 192,844
8,200 Conseco, Inc. .................................. 62,525
2,000 Countrywide Credit Industries, Inc. ............ 75,500
1,900 Equifax, Inc. .................................. 51,181
See Notes to Financial Statements.
--------------------------------------------------------------------------------
16
<PAGE>
Asset Management Portfolio
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS September 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
SHARES SECURITY VALUE
--------------------------------------------------------------------------------
24,100 Fannie Mae ................................... $ 1,723,150
10,400 Fifth Third Bancorp .......................... 560,300
24,300 First Union Corp. ............................ 782,156
23,700 Firstar Corp. ................................ 530,288
21,500 Fleet Boston Financial Corp. ................. 838,500
5,200 Franklin Resources, Inc. ..................... 231,036
11,400 Freddie Mac .................................. 616,313
2,900 Golden West Financial Corp. .................. 155,513
5,100 Hartford Financial Services Group, Inc. ...... 371,981
10,700 Household International, Inc. ................ 605,888
15,200 Huntington Bancshares, Inc. .................. 223,250
1,800 Jefferson-Pilot Corp. ........................ 122,175
13,100 KeyCorp ...................................... 331,594
4,000 Lehman Brothers, Inc. ........................ 591,000
4,100 Lincoln National Corp. ....................... 197,313
2,000 Loews Corp. .................................. 166,750
6,400 Marsh and McLennan ........................... 849,600
1,700 MBIA, Inc. ................................... 120,913
20,000 MBNA Corp. ................................... 770,000
10,900 Mellon Financial Corp. ....................... 505,488
21,900 Merrill Lynch & Co., Inc. .................... 1,445,400
2,100 MGIC Investment Corp. ........................ 128,363
10,900 Morgan (J.P.) & Co., Inc. .................... 1,780,788
27,300 Morgan Stanley Dean Witter
Discover & Co. ............................. 2,496,244
17,900 National City Corp. .......................... 396,038
4,900 Northern Trust Corp. ......................... 435,488
2,100 Old Kent Financial Corp. ..................... 60,769
3,100 Paine Webber Group, Inc. ..................... 211,188
6,600 PNC Bank Corp. ............................... 429,000
3,200 Providian Financial Corp. .................... 406,400
8,100 Regions Financial Corp. ...................... 183,769
5,400 Safeco ....................................... 147,150
4,600 St. Paul Cos., Inc. .......................... 226,838
3,500 State Street Corp. ........................... 455,000
4,700 Stilwell Financial Inc. ...................... 204,450
6,700 Summit Bancorp ............................... 231,150
6,500 Suntrust Banks, Inc. ......................... 323,781
7,100 Synovus Financial Corp. ...................... 150,431
2,200 T. Rowe Price Associates, Inc. ............... 103,263
1,700 Torchmark Corp. .............................. 47,281
18,600 US Bancorp ................................... 423,150
5,200 Union Planters Corp. ......................... 171,925
2,600 USA Education ................................ 125,288
4,200 Wachovia Corp. ............................... 238,088
9,600 Washington Mutual, Inc. ...................... 382,200
40,100 Wells Fargo Co. .............................. 1,842,094
-----------
47,244,986
-----------
HEALTH CARE -- 5.6%
31,600 Abbott Laboratories ........................... 1,502,975
2,800 Aetna, Inc. ................................... 162,575
2,600 Allergan, Inc. ................................ 219,538
4,600 ALZA Corp. .................................... 397,900
31,400 American Home Products Corp. .................. 1,776,063
26,700 Amgen, Inc. ................................... 1,864,411
600 Bausch & Lomb, Inc. ........................... 23,363
6,800 Baxter International, Inc. .................... 542,725
5,800 Becton Dickinson & Co. ........................ 153,338
5,400 Biogen, Inc. .................................. 329,400
7,700 Biomet, Inc. .................................. 269,500
10,000 Boston Scientific Corp. ....................... 164,375
47,900 Bristol-Myers Squibb Co. ...................... 2,736,288
300 C.R. Bard, Inc. ............................... 12,675
8,800 Guidant Corp. ................................. 622,050
12,300 HCA Healthcare Co ............................. 456,638
22,700 HEALTHSOUTH Corp. ............................. 184,438
13,700 Humana, Inc. .................................. 147,275
34,000 Johnson & Johnson ............................. 3,193,875
27,500 Lilly (Eli) & Co. ............................. 2,230,938
5,000 Mallinckrodt Group, Inc. ...................... 228,125
9,100 Manor Care .................................... 142,756
6,200 Medimmune Inc.1 ............................... 478,950
29,100 Medtronic, Inc. ............................... 1,507,744
56,300 Merck & Co., Inc. ............................. 4,190,831
4,800 PE Corp. -- PE Biosystems Group ............... 559,200
155,000 Pfizer, Inc. .................................. 6,965,313
31,600 Pharmacia Corp. ............................... 1,901,925
8,400 Quintiles Transnational Corp. ................. 133,875
35,300 Schering-Plough Corp. ......................... 1,641,450
4,000 St. Jude Medical, Inc. ........................ 204,000
10,500 Tenet Healthcare Corp. ........................ 381,938
3,500 Unitedhealth Group, Inc. ...................... 345,625
4,000 Watson Pharmaceuticals ........................ 259,500
2,500 Wellpoint Health Networks ..................... 240,000
-----------
36,171,572
-----------
INSURANCE -- 0.0%
4,500 Unumprovident Corp. ........................... 122,625
-----------
MEDICAL SUPPLIES -- 0.2%
65,500 Acuson Corp.1 ................................ 1,490,125
-----------
PRINTING & PUBLISHING-- 0.0%
1,700 Deluxe Corp. ................................. 34,531
3,000 Donnelley (R.R.) & Sons Co. .................. 73,688
-----------
108,219
-----------
PROFESSIONAL SERVICES -- 0.0%
2,000 Ecolab, Inc. ................................. 72,125
-----------
REAL ESTATE -- 0.4%
53,800 Urban Shopping Centers, Inc. ................. 2,555,500
-----------
TECHNOLOGY -- 14.8%
2,500 Adaptec, Inc. ................................ 50,000
22,600 ADC Telecommunications, Inc. ................. 607,728
See Notes to Financial Statements.
--------------------------------------------------------------------------------
17
<PAGE>
Asset Management Portfolio
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS September 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
SHARES SECURITY VALUE
--------------------------------------------------------------------------------
2,600 Adobe Systems, Inc. ............................ $ 403,650
11,400 Advanced Micro Devices, Inc. ................... 269,325
10,300 Agilent Technologies1 .......................... 504,056
5,100 Alteon Websystems, Inc. ........................ 552,792
12,400 Altera Corp.1 .................................. 592,100
45,300 America Online, Inc. ........................... 2,434,875
10,200 Analog Devices, Inc. ........................... 842,138
4,800 Andrew Corp. ................................... 125,700
9,500 Apple Computer, Inc. ........................... 244,625
21,100 Applied Materials, Inc. ........................ 1,251,494
1,000 Autodesk, Inc. ................................. 25,375
15,000 Automatic Data Processing, Inc. ................ 1,003,125
6,000 BMC Software, Inc. ............................. 114,750
6,100 Broadcom Corp.-- Class A1 ...................... 1,486,875
6,900 Cabletron Systems, Inc. ........................ 202,688
6,400 Ceridian Corp. ................................. 179,600
177,200 Cisco Systems, Inc. ............................ 9,790,300
4,600 Citrix Systems, Inc. ........................... 92,288
7,600 Cobalt Networks, Inc.1 ......................... 439,850
40,700 Compaq Computer Corp. .......................... 1,122,506
12,300 Computer Associates International, Inc. ........ 309,806
5,500 Computer Sciences Corp. ........................ 408,375
9,000 Compuware Corp. ................................ 75,375
4,700 Comverse Technology ............................ 507,600
7,800 Conexant Systems ............................... 326,625
7,700 Corning, Inc. .................................. 2,286,900
65,900 Dell Computer Corp. ............................ 2,030,544
6,700 Eastman Kodak Co. .............................. 273,863
5,500 Electronic Data Systems Corp. .................. 228,250
54,800 EMC Corp. ...................................... 5,432,050
9,100 First Data Corp. ............................... 355,469
9,400 Gateway, Inc. .................................. 439,450
26,200 Hewlett-Packard Co. ............................ 2,541,400
169,300 Intel Corp. .................................... 7,036,531
43,200 International Business Machines Corp. .......... 4,860,000
13,200 JDS Uniphase Corp.1 ............................ 1,249,875
6,100 KLA-Tencor Corp. ............................... 251,244
3,200 Lexmark International Group, Inc. --
Class A ...................................... 120,000
7,000 Linear Technology Corp. ........................ 453,250
9,900 LSI Logic Corp. ................................ 289,575
79,801 Lucent Technologies, Inc. ...................... 2,438,918
8,200 Maxim Integrated Products, Inc.1 ............... 659,588
2,600 Mercury Interactive Corp.1 ..................... 407,550
15,800 Micron Technology, Inc. ........................ 726,800
130,000 Microsoft Corp. ................................ 7,832,500
53,100 Motorola, Inc. ................................. 1,500,075
8,100 National Semiconductor Corp. ................... 326,025
4,700 NCR Corp. ...................................... 177,719
8,500 Network Appliance, Inc. ........................ 1,082,688
63,800 Nortel Networks Corp. .......................... 3,800,088
8,300 Novell, Inc. ................................... 82,481
4,800 Novellus Systems, Inc.1 ........................ 223,500
71,400 Oracle Corp. ................................... 5,622,750
13,100 Palm, Inc. ..................................... 693,481
12,700 Parametric Technology Corp. .................... 138,906
11,300 Paychex, Inc. .................................. 593,250
10,000 Peoplesoft, Inc. ............................... 279,375
2,000 Perkinelmer, Inc. .............................. 208,750
1,100 Polaroid Corp. ................................. 14,781
19,600 Qualcomm, Inc. ................................. 1,396,500
5,200 Sabre Group Holdings, Inc. ..................... 150,475
4,300 Sapient Corp.1 ................................. 174,956
6,000 Scientific-Atlanta, Inc. ....................... 381,750
3,175 SDL, Inc. ...................................... 977,900
14,500 Seagate Technology, Inc. ....................... 1,000,500
11,200 SIEBL Systems, Inc.1 ........................... 1,246,700
36,700 Sun Microsystems, Inc. ......................... 4,284,725
600 Tektronix, Inc. ................................ 46,088
10,100 Tellabs, Inc. .................................. 482,275
6,600 Teradyne, Inc. ................................. 231,000
41,930 Texas Instruments, Inc. ........................ 1,978,572
7,600 Unisys Corp. ................................... 85,500
7,650 Veritas Software Corp. ......................... 1,086,300
700 W.W. Grainger, Inc. ............................ 18,419
16,400 Xerox Corp. .................................... 247,025
9,300 Xilinx, Inc. ................................... 796,313
14,300 Yahoo!, Inc. ................................... 1,301,300
-----------
94,507,545
-----------
TRANSPORTATION -- 0.3%
6,400 AMR Corp. ...................................... 209,200
9,500 Burlington Northern Santa Fe ................... 204,844
5,400 CSX Corp. ...................................... 117,788
4,500 Delta Air Lines, Inc. .......................... 199,688
9,400 Fedex Corp. .................................... 416,796
9,500 Norfolk Southern Corp. ......................... 138,938
5,400 Ryder Systems, Inc. ............................ 99,563
18,700 Southwest Airlines Co. ......................... 453,475
5,000 Union Pacific Corp. ............................ 194,375
3,800 US Airways Group, Inc. ......................... 115,663
-----------
2,150,330
-----------
UTILITIES -- 1.9%
12,600 AES Corp. ...................................... 863,100
7,100 Ameren Corp. ................................... 297,313
6,900 American Electric Power Co. .................... 269,963
7,700 C P & L Energy ................................. 320,994
2,700 Cinergy Corp. .................................. 89,269
5,100 CMS Energy ..................................... 137,381
4,800 Coastal Corp. .................................. 355,800
1,300 Columbia Energy Group .......................... 92,300
3,700 Consolidated Edison, Inc. ...................... 126,263
5,200 Constellation Energy Group, Inc. ............... 258,700
See Notes to Financial Statements.
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SCHEDULE OF PORTFOLIO INVESTMENTS September 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
PRINCIPAL
AMOUNT/
SHARES SECURITY VALUE
--------------------------------------------------------------------------------
7,100 Dominion Resources, Inc. ....................... $ 412,244
5,100 DTE Energy Co. ................................. 195,075
8,600 Duke Power Co. ................................. 737,450
12,000 Edison International, Inc. ..................... 231,750
8,200 El Paso Energy Corp. ........................... 505,325
17,800 Enron Corp. .................................... 1,559,725
8,500 Entergy Corp. .................................. 316,625
8,800 FirstEnergy Corp. .............................. 237,050
5,300 Florida Progress Corp. ......................... 280,569
3,800 FPL Group, Inc. ................................ 249,850
1,800 GPU, Inc. ...................................... 58,388
4,900 Keyspan Energy Corp. ........................... 196,613
4,100 Niagara Mohawk Power Corp. ..................... 64,575
2,600 NICOR, Inc. .................................... 94,088
6,800 PECO Energy .................................... 411,825
2,700 People's Energy Corp. .......................... 90,113
11,500 PG&E Corp. ..................................... 278,156
1,300 Pinnacle West Capital Corp. .................... 66,138
5,900 PPL Corp. ...................................... 246,325
5,400 Public Service Enterprise Group, Inc. .......... 241,313
9,400 Reliant Energy ................................. 437,100
8,000 Sempra Energy .................................. 166,500
18,200 Southern Co. ................................... 590,363
10,500 TXU Corp. ...................................... 416,063
3,700 Unicom Corp. ................................... 207,894
14,600 Williams Cos., Inc. ............................ 616,850
6,900 Xcel Energy .................................... 189,750
-----------
11,908,800
-----------
TOTAL COMMON STOCKS
(Cost $296,111,350) ...................................337,601,711
-----------
NON-CONVERTIBLE CORPORATE
DEBT -- 10.5%
AEROSPACE -- 0.6%
$3,940,000 Raytheon Co.,
5.70%, 11/1/03 ............................... 3,786,427
-----------
BANKS -- 2.2%
2,745,000 Barclays Bank Plc,
8.55%, 6/15/49 ............................... 2,763,370
4,310,000 First Union Capital II,
7.95%, 11/15/29 .............................. 3,869,867
3,890,000 FleetBoston Financial Corp.,
8.625%, 1/15/07 .............................. 4,143,616
3,850,000 Frank Russell Co.,
5.625%, 1/15/09 .............................. 3,441,484
-----------
14,218,337
-----------
FINANCIALS -- 0.7%
635,000 Farmers Insurance Exchange,
8.625%, 5/1/24 ............................... 624,636
1,450,000 Ford Motor Credit Corp.,
6.70%, 7/16/04 ............................... 1,421,518
2,350,000 Paine Webber Group, Inc.,
7.875%, 2/15/03 ............................. 2,396,314
-----------
4,442,468
-----------
INDUSTRIAL -- 3.4%
5,339,822 Air 2 US,
8.027%, 10/1/19 5,427,368 Archstone Communities:
390,000 6.37%, 10/15/01 ............................. 386,341
1,165,000 7.00%, 10/29/01 ............................. 1,161,121
2,000,000 ERAC USA Finance Co.,
6.95%, 3/1/04 ............................... 1,965,292
3,095,000 Erac USA Finance Co.,
8.25%, 5/1/05 ............................... 3,165,916
6,740,000 International Paper Co.,
8.00%, 7/8/03 ............................... 6,876,128
260,000 Prologis Trust,
6.70%, 4/15/04 .............................. 251,810
2,840,000 Telefonica Europe BV,
7.75%, 9/15/10 .............................. 2,862,172
-----------
........................................................ 22,096,148
-----------
INSURANCE -- 0.6%
3,610,000 AXA Financial, Inc.,
7.75%, 8/1/10 ............................... 3,678,590
-----------
TELECOMMUNICATIONS -- 1.6%
3,000,000 Koninklijke KPN NV,
8.00%, 10/1/10 .............................. 3,013,308
3,675,000 Qwest Capital Funding,
7.90%, 8/15/10 .............................. 3,753,726
3,595,000 Worldcom, Inc.,
8.00%, 5/15/06 .............................. 3,725,901
-----------
10,492,935
-----------
UTILITY -- ELECTRIC -- 1.4%
2,875,000 Eastern Energy Ltd.,
7.25%, 12/1/16 ............................. 2,698,604
3,125,000 Enogex, Inc.,
8.125%, 1/15/10 ............................ 3,159,047
3,050,000 Nstar,
8.00%, 2/15/10 ............................. 3,076,688
140,000 Potomac Edison,
8.00%, 6/1/24 .............................. 136,524
-----------
9,070,863
-----------
TOTAL NON-CONVERTIBLE CORPORATE DEBT
(Cost $67,219,852) .................................. 67,785,768
-----------
See Notes to Financial Statements.
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SCHEDULE OF PORTFOLIO INVESTMENTS September 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
PRINCIPAL
AMOUNT SECURITY VALUE
--------------------------------------------------------------------------------
ASSET-BACKED SECURITIES -- 7.5%
$7,080,000 Chemical Master Credit Card Trust I,
5.98%, 9/15/08 .............................. $ 6,834,076
5,360,000 Citibank Credit Card Master Trust I,
5.875%, 3/10/11 ............................. 4,983,433
Conseco Finance:
3,830,000 7.80%, 5/15/20 .............................. 3,900,836
5,030,000 7.60%, 12/15/29 ............................. 5,119,559
2,375,000 11.06%, 12/1/31 ............................. 2,416,764
3,140,000 Felco Funding II, 7.72%, 12/15/05b ............ 3,212,236
Green Point Manufactured Housing:
5,060,000 6.01%, 8/15/15 .............................. 4,944,303
4,880,000 7.33%, 8/15/20 .............................. 4,868,849
1,155,000 Household Automotive Trust,
6.65%, 4/17/06 .............................. 1,154,775
4,320,000 Household Automotive Trust IV,
7.48%, 12/18/06 ............................. 4,410,871
1,080,000 MBNA Master Credit Card Trust,
7.00%, 2/15/12 .............................. 1,084,574
3,600,000 Union Acceptance Corp.,
5.64%, 5/8/06 ............................... 3,527,838
1,505,000 WFS Financial Owner Trust,
7.41%, 9/20/07 .............................. 1,533,543
-----------
TOTAL ASSET-BACKED SECURITIES
(Cost $47,204,528) ................................... 47,991,657
-----------
COLLATERALIZED MORTGAGE
OBLIGATIONS -- 2.3%
5,520,000 Chase Mortgage Finance Corp.,
6.75%, 10/25/28 ............................. 5,196,178
4,387,701 GE Capital Mortgage Services, Inc.,
7.00%, 11/25/07 ............................. 4,334,939
5,130,000 Norwest Asset Securities Corp.,
7.25%, 12/25/29 ............................. 5,062,874
-----------
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(Cost $14,282,036) ................................... 14,593,991
-----------
FOREIGN DEBT -- 0.3%
470,000 Kingdom of Sweden,
12.00%, 2/1/10 .............................. 629,097
95,000 New Zealand Government,
10.625%, 11/15/05 ........................... 109,970
1,170,000 United Mexican States,
9.75%, 4/6/05 ............................... 1,240,785
-----------
TOTAL FOREIGN DEBT
(Cost $2,008,721) .................................... 1,979,852
-----------
MUNICIPAL BONDS -- 3.2%
$ 830,000 Connecticut State Development
Authority Revenue,
8.375%, 10/15/04 ............................ $ 853,265
2,595,000 Delaware River Port Authority PA & NJ,
Series A,
7.27%, 1/1/07 ............................... 2,623,078
525,000 El Cajon, California Redevelopment
Agency,
7.60%, 10/1/20 .............................. 517,149
1,475,000 Greater Kentucky Housing Assistance
Corp. Mortgage Revenue,
7.20%, 2/1/06 ............................... 1,465,663
5,340,000 Harrisburg, PA Housing Corp.
Mortgage Revenue,
10.00%, 7/15/24 ............................. 5,616,078
3,155,000 Lansing, MI Board Water &
Light Water Supply,
Series B, 7.30%, 7/1/06 ..................... 3,216,617
1,545,000 NJ Economic Development Authority,
7.425%, 2/15/29 ............................. 1,521,037
2,435,000 Ross County, OH Water Co., Inc.
Water Revenue,
8.25%, 8/1/25 ............................... 2,480,754
855,000 Suburban Hospital Healthcare
Systems, Inc.,
7.865%, 2/15/27 ............................. 854,932
1,455,000 Wyandotte County, KN,
8.50%, 12/1/05 .............................. 1,453,952
-----------
TOTAL MUNICIPAL BONDS
(Cost $20,593,793) ................................... 20,602,525
-----------
US GOVERNMENT & AGENCIES -- 6.6%
FGLMC:
4,920,000 6.50%, 11/1/08 .............................. 4,724,738
2,687,124 6.50%, 4/1/29 ............................... 2,584,967
FHLMC:
10,527,941 7.00%, 6/1/09 ................................ 10,565,084
5,160,000 7.00%, 1/15/11 .............................. 4,999,558
4,919,054 6.00%, 3/15/29 .............................. 4,624,083
2,099,554 FHLMC Pool #40465,
6.50%, 10/1/07 .............................. 2,083,292
4,869,458 FNMA Pool #190750,
7.00%, 3/1/09 ............................... 4,883,517
1,875,870 FNMA Pool #323194,
6.361%, 7/1/08 .............................. 1,833,081
1,908,948 FNMA Pool #381706,
6.26%, 6/1/09 ............................... 1,833,118
3,990,000 FNMA Pool #382140,
7.03%, 1/25/07 .............................. 4,005,451
-----------
TOTAL US GOVERNMENT & AGENCIES
(Cost $41,976,543) ................................... 42,136,889
-----------
See Notes to Financial Statements.
--------------------------------------------------------------------------------
20
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Asset Management Portfolio
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS September 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
PRINCIPAL
AMOUNT SECURITY VALUE
--------------------------------------------------------------------------------
US TREASURY SECURITIES -- 5.1%
US Treasury Bonds:
$14,542,000 8.125%, 8/15/19 ........................... $ 17,759,418
3,515,000 6.125%, 8/15/29 ........................... 3,590,794
US Treasury Notes:
6,019,000 6.625%, 3/31/02 ........................... 6,064,143
2,080,000 6.75%, 5/15/05 ............................ 2,155,400
3,259,000 6.125%, 8/15/07 ........................... 3,294,647
------------
TOTAL US TREASURY SECURITIES
(Cost $32,390,357) ................................. 32,864,402
------------
TOTAL INVESTMENTS IN UNAFFILIATED ISSUERS
(Cost $521,787,180) ................................ 565,556,795
------------
SHORT-TERM INSTRUMENTS -- 9.1%
US TREASURY SECURITIES -- 2.1%
13,275,000 US Treasury Billa,
5.945%, 10/19/00 .......................... 13,238,826
------------
INVESTMENTS IN AFFILIATED
INVESTMENT COMPANIES
MUTUAL FUND -- 7.0%
45,061,575 Cash Management Institutional ............. $ 45,061,575
------------
TOTAL SHORT-TERM INSTRUMENTS
(Cost $58,297,163) ................................. 58,300,401
------------
TOTAL INVESTMENTS
(Cost $580,084,343) ........................ 97.2% $623,857,196
OTHER ASSETS IN EXCESS OF LIABILITIES ......... 2.8 17,960,755
---- ------------
NET ASSETS .................................... 100.0% $641,817,951
===== ============
--------------------------------------------------------------------------------
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 institutions.
The following abbreviations are used in the portfolio description:
FNMA -- Federal National Mortgage Association
FGLMC -- Federal Government Loan Mortgage Corporation
FHLMC -- Federal Home Loan Mortgage Corporation
See Notes to Financial Statements.
--------------------------------------------------------------------------------
21
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Asset Management Portfolio
--------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES (Unaudited)
--------------------------------------------------------------------------------
SEPTEMBER 30, 2000
--------------------------------------------------------------------------------
ASSETS
Investments in Unaffiliated Issuers, at Value1 ............. $578,795,621
Investments in Affiliated Investment Companies2
at Value ................................................. 45,061,575
Foreign Cash3 .............................................. 19,274,334
Receivable for Securities Sold ............................. 13,207,904
Dividend and Interest Receivable ........................... 3,241,696
Unrealized Appreciation on Forward Currency
Exchange Contracts ....................................... 348,186
------------
Total Assets .................................................. 659,929,316
------------
LIABILITIES
Due to Bankers Trust ....................................... 312,834
Payable for Securities Purchased ........................... 17,658,393
Accrued Expenses and Other ................................. 28,036
Unrealized Depreciation on Forward Currency
Exchange Contracts ....................................... 21,812
Variation Margin Payable (Domestic) ........................ 46,452
Variation Margin Payable (Foreign) ......................... 43,838
------------
Total Liabilities ............................................. 18,111,365
------------
NET ASSETS .................................................... $641,817,951
============
COMPOSITION OF NET ASSETS
Paid-in Capital ............................................ $602,639,001
Net Unrealized Appreciation on Investments,
Foreign Currencies and Forward Foreign Currency
and Futures Contracts .................................... 39,178,950
------------
NET ASSETS .................................................... $641,817,951
============
--------------------------------------------------------------------------------
1 Cost of $535,022,768, $73,382,884 and $23,067,407, respectively.
2 Cost of $45,061,575, $7,547,612 and $2,027,751, respectively.
3 Foreign cash has a cost basis of $19,260,551, $2,735,757 and $872,523,
respectively.
See Notes to Financial Statements.
--------------------------------------------------------------------------------
22
<PAGE>
Asset Management Portfolio
--------------------------------------------------------------------------------
STATEMENT OF OPERATIONS (Unaudited)
--------------------------------------------------------------------------------
FOR THE SIX
MONTHS ENDED
SEPTEMBER 30, 2000
--------------------------------------------------------------------------------
INVESTMENT INCOME
Dividends .................................................... $ 3,464,982
Interest ..................................................... 9,595,778
------------
Total Investment Income ...................................... 13,060,760
------------
EXPENSES
Advisory Fees ................................................ 2,193,201
Administration and Services Fees ............................. 337,416
Professional Fees ............................................ 20,518
Trustees Fees ................................................ 3,347
Miscellaneous ................................................ 6,248
------------
Total Expenses .................................................. 2,560,730
Less: Fee Waivers or Expense Reimbursements ..................... (536,237)
------------
Net Expenses .................................................... 2,024,493
------------
NET INVESTMENT INCOME ........................................... 11,036,267
------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS,
FOREIGN CURRENCIES AND FORWARD FOREIGN CURRENCY
AND FUTURES CONTRACTS
Net Realized Gain (Loss) from:
Investment Transactions .................................... 8,664,453
Foreign Currency Transactions .............................. (5,899,469)
Futures Transactions ....................................... (4,201,789)
Net Change in Unrealized Appreciation/Depreciation
on Investments, Foreign Currencies and Forward
Foreign Currency and Futures Contracts ..................... (17,818,175)
------------
NET REALIZED AND UNREALIZED LOSS ON INVESTMENTS,
FOREIGN CURRENCIES AND FORWARD FOREIGN
CURRENCY AND FUTURES CONTRACTS ............................... (19,254,980)
------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS .............................................. $ (8,218,713)
============
See Notes to Financial Statements.
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Asset Management Portfolio
--------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE SIX FOR THE
MONTHS ENDED YEAR ENDED
SEPTEMBER 30, MARCH 31,
20001 2000
-----------------------------------------------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS
Net Investment Income .............................................. $ 11,036,267 $ 19,432,101
Net Realized Gain (Loss) from Investment, Foreign Currency,
Forward Foreign Currency and Futures Transactions ................ (1,436,805) 75,333,098
Net Change in Unrealized Appreciation/Depreciation on
Investments, Foreign Currencies and Forward Foreign
Currency and Futures Contracts ................................... (17,818,175) (1,499,042)
------------- -------------
Net Increase (Decrease) in Net Assets from Operations ................. (8,218,713) 93,266,157
------------- -------------
CAPITAL TRANSACTIONS
Proceeds from Capital Invested ..................................... 163,642,171 204,062,057
Value of Capital Withdrawn ......................................... (246,622,842) (268,438,376)
------------- -------------
Net Decrease in Net Assets from Capital Transactions .................. (82,980,671) (64,376,319)
------------- -------------
TOTAL INCREASE (DECREASE) IN NET ASSETS ............................... (91,199,384) 28,889,838
NET ASSETS
Beginning of Period ................................................ 733,017,335 704,127,497
------------- -------------
End of Period ...................................................... $ 641,817,951 $ 733,017,335
============= =============
<FN>
--------------------------------------------------------------------------------
1 Unaudited.
</FN>
</TABLE>
See Notes to Financial Statements.
--------------------------------------------------------------------------------
24
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Asset Management Portfolio
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE SIX
MONTHS ENDED FOR THE YEARS ENDED MARCH 31,
SEPTEMBER 30, 20001 2000 1999 1998 1997 1996
----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period
(000s omitted) .................... $641,818 $733,017 $704,127 $649,372 $348,539 $240,142
Ratios to Average Net Assets:
Net Investment Income ............. 3.27%2 2.69% 2.91% 2.97% 3.12% 3.99%
Expenses After Waivers ............ 0.60%2 0.60% 0.60% 0.60% 0.60% 0.60%
Expenses Before Waivers ........... 0.76%2 0.76% 0.76% 0.76% 0.76% 0.77%
Portfolio Turnover Rate ............. 62% 222% 109% 199% 137% 154%
----------------------------------------------------------------------------------------------------------------------
<FN>
1 Unaudited.
2 Annualized.
</FN>
</TABLE>
See Notes to Financial Statements.
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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 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. VALUATION OF SECURITIES
The Portfolio's investments listed or traded on National Stock Exchanges or
other domestic or foreign exchanges are valued based on closing price.
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. SECURITIES TRANSACTIONS AND INTEREST INCOME
Securities 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. 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 securities 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 securities to be purchased
decline prior to settlement date. This risk is in addition to the risk of
decline in the value of the 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 "Valuation of Securities".
E. FOREIGN CURRENCY TRANSACTIONS
The Portfolio's books and records are maintained in US dollars. All assets and
liabilities initially expressed in foreign currencies are converted into US
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 US dollar value
of foreign currency underlying all contractual commitments held by the Portfolio
and the resulting unrealized appreciation or depreciation is determined using
prevailing exchange rates. With respect to forward foreign currency contracts,
losses in excess of amounts recognized in the Statements 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 the 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.
See Notes to Financial Statements.
--------------------------------------------------------------------------------
26
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Asset Management Portfolio
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (Unaudited)
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. Variation margin payments are made
or received by the Portfolio each day, depending on the daily fluctuations in
the value of the underlying securities, and are recorded for financial statement
purposes as unrealized gains or losses by the Portfolio.
Futures contracts 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 required.
J. ESTIMATES
The preparation of financial statements in conformity with accounting principles
generally accepted in the United States 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 has entered into an Administration and Services Agreement with
Bankers Trust Company ("Bankers Trust"), an indirect wholly owned subsidiary of
Deutsche Bank AG. Under this agreement, Bankers Trust provides administrative
and custody to the Portfolio. These services are provided 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 has entered into an Advisory Agreement with Bankers Trust. Under
this agreement, the Portfolios pays Bankers Trust a fee computed daily and paid
monthly at an annual rate of .65% of the Portfolio's average daily net assets.
Bankers Trust has contractually agreed to waive its fees and reimburse expenses
of the Portfolio through July 31, 2001, to the extent necessary, to limit all
expenses to .60% of the average daily net assets of the Portfolio.
The Portfolio may invest in Cash Management Institutional ("Cash Management"),
an open-end management investment company managed by Bankers Trust. Cash
Management is offered as a cash management option to the Portfolio and other
accounts managed by Bankers Trust. At September 30, 2000, the Asset Management
Portfolio had dividend income receivable from the Fund in the amounts of
$277,979. Additionally, distributions from Cash Management to the Portfolio as
of September 30, 2000 amounted to $1,549,201 and are included in dividend
income.
The following summarizes the purchase and sales of Cash Management Institutional
for the Portfolio during the six months ended September 30, 2000.
PURCHASES SALES
------------- -------------
$165,358,079 $242,361,976
The Portfolio is a participant with other affiliated entities in a revolving
credit facility in the amount of $200,000,000, which expires April 27, 2001. A
commitment fee on the average daily amount of the available commitment is
payable on a quarterly basis and apportioned among all participants based on net
assets. No amounts were drawn down or outstanding for this Portfolio under the
credit facility for the six months ended September 30, 2000.
--------------------------------------------------------------------------------
27
<PAGE>
Asset Management Portfolio
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (Unaudited)
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, 2000, were
$367,949,689 and $348,375,800, respectively.
For federal income tax purposes, the tax basis of investments held at September
30, 2000, was $580,084,343
The aggregate gross unrealized appreciation for all investments as of September
30, 2000, was $69,494,142 and the aggregate gross unrealized depreciation for
all investments was $25,721,289.
NOTE 4 -- FUTURES CONTRACTS
A summary of obligations under these financial instruments at September 30, 2000
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 Index Futures December 15, 2000 1 Long $ 72,685 $ (3,834)
S&P 500 Index Futures December 15, 2000 6 Long 2,180,550 (120,040)
S&P 500 Index Futures December 15, 2000 106 Long 38,523,050 (2,120,708)
S&P 500 Index Futures December 15, 2000 (115) Short (41,793,875) 1,768,873
US Treasury Note Futures December 20, 2000 (662) Short (66,344,813) (106,417)
Milan Stock Exchange Futures December 16, 2000 155 Long 31,234,949 (1,981,372)
DAX Index Futures December 16, 2000 87 Long 13,188,237 (676,680)
CAC-40 Index Futures November 1, 2000 247 Long 13,710,021 (773,045)
Australian Ordinary Futures December 30, 2000 444 Long 19,980,166 (180,456)
Toronto Stock Exchange
60 Index Futures December 16, 2000 178 Long 14,779,681 (734,004)
---------------------------------------------------------------------------------------------------------------------------
Total 447 $ 25,530,651 $(4,927,683)
---------------------------------------------------------------------------------------------------------------------------
</TABLE>
At September 30, 2000, the Portfolio has sufficient securities to cover margin
requirements on open futures contracts.
NOTE 5 -- OPEN FORWARD FOREIGN CURRENCY CONTRACTS
A summary of obligations under these financial instruments at September 30, 2000
is as follows:
<TABLE>
<CAPTION>
NET UNREALIZED
APPRECIATION/
CONTRACT DEPRECIATION
CONTRACTS TO DELIVER IN EXCHANGE FOR SETTLEMENT DATE VALUE (US$) (US$)
---------------------------------------------------------------------------------------------------------------------------
PURCHASES
---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Euro 36,429,000 US Dollars $32,077,556 10/6/2000 $32,145,787 $ 68,231
---------------------------------------------------------------------------------------------------------------------------
Total Unrealized Appreciation $ 68,231
---------------------------------------------------------------------------------------------------------------------------
SELLS
---------------------------------------------------------------------------------------------------------------------------
Australian Dollar (4,867,000) US Dollars $2,750,488 10/6/2000 $ (2,635,748) $114,740
Canadian Dollar (8,468,000) US Dollars 5,717,179 10/5/2000 (5,627,950) 89,229
Great BritainPound (722,000) US Dollars 1,045,665 10/6/2000 (1,067,477) (21,812)
Japanese Yen (299,340,000) US Dollars 2,846,114 10/6/2000 (2,770,128) 75,986
---------------------------------------------------------------------------------------------------------------------------
Total Unrealized Appreciation/Depreciation $258,143
---------------------------------------------------------------------------------------------------------------------------
</TABLE>
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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:
DEUTSCHE ASSET MANAGEMENT SERVICE CENTER
P.O. BOX 219210
KANSAS CITY, MO 64121-9210
or call our toll-free number: 1-800-730-1313
This report must be preceded or accompanied by a current prospectus for the
Fund.
Deutsche Asset Management is the marketing name for the asset management
activities of Deutsche Bank AG, Deutsche Fund Management, Inc., Bankers Trust
Company, DB Alex. Brown LLC, Deutsche Asset Management ,Inc., and Deutsche Asset
Management Investment Services Limited.
Asset Management -- Premier Class CUSIP #055847404
1682SA (9/00)
Distributed by:
ICC Distributors, Inc.
