Deutsche Asset Management
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Mutual Fund
Annual Report
March 31, 2000
BT Institutional Asset Management Fund
Deutsche Bank Group
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BT Institutional Asset Management Fund
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TABLE OF CONTENTS
LETTER TO SHAREHOLDERS 3
BT INSTITUTIONAL ASSET MANAGEMENT FUND
Statement of Assets and Liabilities 7
Statement of Operations 8
Statements of Changes in Net Assets 9
Financial Highlights 10
Notes to Financial Statements 11
Report of Independent Accountants 13
Tax Information 13
ASSET MANAGEMENT PORTFOLIO
Schedule of Portfolio Investments 14
Statement of Assets and Liabilities 23
Statement of Operations 24
Statements of Changes in Net Assets 25
Financial Highlights 26
Notes to Financial Statements 27
Report of Independent Accountants 30
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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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BT Institutional Asset Management Fund
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LETTER TO SHAREHOLDERS
We are pleased to present you with this annual report for BT Institutional Asset
Management Fund (the "Fund"), providing a review of the markets, the Portfolio,
and our outlook as well as a complete financial summary of the Fund's operations
and a listing of the Portfolio's holdings.
MARKET ACTIVITY
Volatility remained high in the world's financial markets during the annual
period due largely to global fears of rising inflation and interest rates in the
U.S. Developments can be divided into two distinctively different periods--pre-
and post-millennium.
o Equity indices, for example, for the U.S., Japan, the United Kingdom, Germany
and France all finished 1999 at twelve-month highs after a dramatic December
rally, only to fall into low single-digit or negative territory in the first
quarter of the year 2000.
o Conversely, U.S. fixed income yields increased in reaction to the Federal
Reserve Board's three interest rate hikes in 1999, causing negative returns.
Then, in the first quarter of 2000, even with two more rate hikes by the Fed,
long-term Treasury yields rallied primarily reflecting the dramatic shrinkage
in supply.
o Headline inflation in the U.S. picked up, but this largely was due to a spike
in oil prices. Underlying measures of inflation stayed tame, as increases in
labor compensation continued to fail to outstrip productivity gains, despite
drum-tight labor markets.
U.S. EQUITIES
U.S. equity markets gyrated wildly over the fiscal period, with investor
sentiment toward technology issues experiencing especially sharp fluctuations.
o The S&P 500 Index appreciated in excess of 20% for a record 5th consecutive
year in 1999. Never before in recorded history have U.S. stocks achieved this
total return level more than twice in a row.
- A combination of strong domestic economic growth and impressive corporate
earnings gains-with minimal inflation-positively influenced the market and
also combined to drive equity valuations to historically high levels despite a
rising interest rate environment.
- The S&P 500 Index was bolstered primarily by a technology sector-driven rally
in the fourth quarter of 1999.
- The Russell 2000 Index, which measures small cap equities, outperformed the
S&P 500 Index on an annual basis for the first time in five years, as
investors sought the lower valuations of small cap growth stocks.
o Once the new year began, we witnessed sharp corrections in all segments of the
equity market except for technology and utility stocks.
FIVE LARGEST COMMON STOCK HOLDINGS
(percentages are based on market value of total investments)
Microsoft Corp. 2.03%
Cisco Systems 1.93
General Electric 1.86
Intel Corp. 1.60
Exxon Mobil Corp. 0.99
- The equity markets as a whole experienced their worst January since 1990 and
the fourth worst since 1947. February was not much better.
- The investor preference shift toward smaller and mid capitalization names
continued into the early months of the year 2000.
- Market volatility intensified in March on fears of further interest rate
increases by the Federal Reserve Board as well as valuation concerns in the
technology and biotechnology areas.
- Still, the overall U.S. stock market, as measured by the Wilshire 5000 Total
Market Index, continued to gain ground in the first quarter of 2000, and is
still about 20% above its year-ago levels, suggesting that households have
plenty of equity wealth left to fuel consumption.
U.S. BONDS
Following the two interest rate hikes over the summer of 1999 for a total of
0.50%, the Federal Reserve Board raised rates three more times-on November 16,
February 2 and March 21-for a total of another 0.75%. Overall for the fiscal
year, this caused U.S. fixed income yields to increase.
o Yields on corporate, mortgage-backed and asset-backed securities continued to
rise and as of March 31, 2000 had fully reversed the declines seen during the
global crisis of 1997/98.
o Treasury yields increased by a range of 0.30% to 1.50% over the twelve month
period depending on yield curve positioning. However, Treasury yields actually
decreased by 0.40% to 0.65% at the longer end of the curve during the first
quarter of 2000. This rally was primarily due to the perceived scarcity value
of these securities. The U.S. Treasury had announced their decision during the
quarter to reduce the number of auctions held and to institute a buyback
program, whereby the U.S. Treasury would buy back its own 30-year issues with
budget surplus monies.
o Municipal yields moved in tandem with U.S. Treasuries, though these securities
moved within a narrower band.
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BT Institutional Asset Management Fund
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LETTER TO SHAREHOLDERS
INTERNATIONAL MARKETS
Most of the world's developed equity markets followed the same path as the U.S.
equity market, reaching new highs in 1999 and suffering declines in the first
quarter of 2000.
o For example, 15 of the 20 MSCI EAFE Index markets posted gains for the annual
period ended December 31, 1999 in U.S. dollar terms, and twelve had
double-digit returns. The major story of 1999 was the rather significant
market rotations in the EAFE markets, as Asian and Pacific Rim markets
outpaced European markets. The three biggest influences on international
equity market performance were the stunning reversal of the Japanese equity
market, the introduction of the Euro, and the global markets' focus on U.S.
Federal Reserve Board interest rate policy.
o For the first three months of the year 2000, Europe was up only 0.14%, Japan
was up only 0.90%, and the Pacific ex-Japan was down 6.52%. Still, economic
growth continued to improve globally, and recent exponential growth of the
technology industry continued to impact equity investments worldwide.
Primarily due to increases in interest rates by the U.S. Federal Reserve Board
as well as by the European Central Bank, international bond yields were
generally higher.
FIVE LARGEST FIXED INCOME SECURITIES
(percentages are based on market value of total investments)
U.S. Treasury Bond, 8.125%, 8/15/19 2.43%
FHLMC Gold, 7.00%, 6/1/09 1.64
U.S. Treasury Note, 6.625%, 3/31/02 1.54
Citibank Credit Card
Master Trust, 6.65%, 11/15/06 1.19
U.S. Treasury Bond, 8.75%, 5/15/17 1.08
CASH
The U.S. dollar strengthened over the annual period against most of the world's
major currencies.
INVESTMENT REVIEW
The Fund outperformed its primary benchmark for the annual period ended March
31, 2000, and slightly underperformed its category average. This relative
performance was due primarily to the Fund's overweighting of equities,
underweighting of U.S. fixed income and overweighting of our cash position as
compared to the benchmark allocation throughout the twelve months. Our model's
<TABLE>
<CAPTION>
CUMULATIVE TOTAL RETURNS AVERAGE ANNUAL TOTAL RETURNS
Periods ended Past 1 Past 3 Past 5 Since Past 1 Past 3 Past 5 Since
March 31, 2000 year years years inception year years years inception
----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
BT Institutional Asset
Management Fund(1)
(inception 9/16/93) 13.83% 72.55% 136.22% 144.72% 13.83% 19.94% 18.76% 14.67%
----------------------------------------------------------------------------------------------------------------------------------
Asset Allocation Index--
Long Range(2) (since 9/30/93) 11.09% 63.98% 125.46% 145.66% 11.09% 17.92% 17.66% 14.83%
----------------------------------------------------------------------------------------------------------------------------------
S&P 500 Index(2) (since 9/30/93) 17.94% 106.77% 227.29% 272.34% 17.94% 27.40% 26.76% 22.42%
----------------------------------------------------------------------------------------------------------------------------------
Salomon Broad Investment
Grade (BIG) Index(2)
(since 9/30/93) 1.81% 21.42% 41.21% 44.17% 1.81% 6.68% 7.14% 5.79%
----------------------------------------------------------------------------------------------------------------------------------
Lipper Flexible Portfolio
Average(3) (since 9/30/93) 14.76% 58.93% 116.49% 133.04% 14.76% 16.42% 16.43% 13.59%
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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. During the period the
Fund waived certain fees and expenses. Had these fees and expenses not been
waived, the Fund's return would have been lower. Performance figures assume
the reinvestment of dividends and capital gain distributions.
(2) Indices are unmanaged, and investments cannot be made in an index. The Asset
Allocation Index-Long Range is comprised of 55% of the S&P 500 Index, 35% of
the Salomon Broad Investment Grade Bond Index and 10% of the T-Bill 3-month
Index. The S&P 500 Index is an index of common stocks in industry,
transportation, and financial and public utility companies. The Salomon
Broad Investment Grade Index covers an all-inclusive universe of
institutionally-traded U.S. Treasury, agency, mortgage and corporate
securities.
(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 respective
categories indicated. These figures do not reflect sales charges.
</FN>
</TABLE>
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BT Institutional Asset Management Fund
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LETTER TO SHAREHOLDERS
assessment of a wide variety of factors supported the Fund's allocation.
The drivers behind the equity overweighting, and within that the overweighting
of foreign equities and underweighting of U.S. equities, were a combination of
three fundamental variables. Namely, these were dividend yield, the trend in
global long-term interest rates, and commodity price changes, which together had
a negative effect on domestic equity expected returns and a positive effect on
expected returns for almost all international equity markets we forecast.
The bond position was underweighted on the basis of both expected inflation
measures and the trend in global long-term interest rates. Rising commodity
prices negatively affected the bond market and contributed to our decision to
underweight this asset class, but higher oil prices in particular positively
impacted international equity markets.
As of March 31, 2000, the Fund's asset weightings were 48% in equities, 31% in
bonds, and 21% in cash and other short-term instruments.
MANAGER OUTLOOK
GOING FORWARD, THE OUTLOOK FOR U.S. FINANCIAL MARKETS HINGES MOST CRUCIALLY ON
HOW THE INEVITABLE REBALANCING OF SUPPLY AND DEMAND IN THE U.S. ECONOMY WILL
ULTIMATELY PLAY OUT. We believe that it is going to take some combination of
higher interest rates and softer equity markets to cool demand. Our view is that
the Federal Reserve Board will likely raise interest rates another 0.50%. This,
along with rather flat equity markets over the balance of the year, should
succeed in slowing demand growth by late this year or early in 2001 to a rate
at, or slightly below, the economy's supply potential. Such a "soft landing"
would ease pressures on resources, keep inflation from picking up too much, and
gradually turn around the widening current account deficit.
PROVIDED THE COOLING IN U.S. GROWTH IS MODEST AND ORDERLY, THE REST OF THE WORLD
SHOULD TAKE IT IN STRIDE.
o In Europe, we believe the opportunities created by Economic Monetary Union
will continue to ripple through the various participating nations' economies.
o Following Japan's best annual stock market performance since 1986 this past
year, global investors, still underweight in this market, may continue to
provide positive price pressure in 2000, as Japan continues to seek to control
costs, improve productivity, and increase the viability of its banks.
PORTFOLIO DIVERSIFICATION
By Asset Class as of March 31, 2000
(percentages are based on market value of total investments)
[GRAPHIC OMITTED]
Short Term
Instruments 21%
Stocks 48%
Bonds 31%
o Outside of Australia and New Zealand, the rest of developed Asia may, in our
view, increasingly look to the U.S. in the months ahead, both as a market for
its exports as well as an economic bellwether, especially given the strong
links between their currencies and the dollar.
THE KEY RISK TO THIS RATHER POSITIVE OUTLOOK IS THAT U.S. DOMESTIC DEMAND FAILS
TO MODERATE IN A SMOOTH, TIMELY FASHION. Instead, it keeps galloping ahead,
exacerbating the supply/demand imbalance, stretching domestic resources even
more and further increasing the economy's reliance on foreign production.
Inflation pressures would presumably mount, and foreign investors might grow
wary of their burgeoning claims on U.S. assets. As a result, the ultimate
adjustment in U.S. financial markets needed to restore equilibrium would be much
more severe, and could possibly imperil the U.S. expansion, with potentially
serious repercussions for the rest of the world.
Given this outlook, we believe the Fund's disciplined, model-driven investment
strategy and top holdings in the global equity markets' supporting pillar,
namely the technology sector, position the portfolios well. 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 BT Institutional Asset Management Fund and look
forward to continuing to serve your investment needs in the years ahead.
/S/ ROBERT WANG
Robert Wang
Portfolio Manager of the
ASSET MANAGEMENT PORTFOLIO March 31, 2000
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BT Institutional Asset Management Fund
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PERFORMANCE COMPARISON
[GRAPHIC OMITTED]
Plot Points Follow:
BT INSTITUTIONAL ASSET MANAGEMENT FUND
ASSET ALLOCATION INDEX--LONG RANGE AND S&P 500 INDEX
GROWTH OF A $10,000 INVESTMENT (SINCE SEPTEMBER 16, 1993)
BT Institutional Asset Allocation
Asset Management S&P 500 Index--Long
Fund Index-$37,234 Range-$24,566
Sep-93 10,000 10,000 10,000
Mar-94 9,672 9,844 9,837
Sep-94 9,718 10,369 10,132
Mar-95 10,361 11,377 10,896
Sep-95 11,540 13,454 12,316
Mar-96 12,409 15,030 13,245
Sep-96 13,202 16,190 13,957
Mar-97 14,185 18,009 14,981
Sep-97 16,915 22,737 17,518
Mar-98 19,053 26,652 19,496
Sep-98 18,805 24,792 19,192
Mar-99 21,498 31,572 21,360
Sep-99 21,628 31,686 22,214
Mar-00 24,472 37,234 24,566
Average Annual Total Return for the Year Ended March 31, 2000
1 Year 13.83% 5 Year 18.76% Since 9/16/93(1) 14.67%
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(1) The Fund's inception date.
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS. Investment return and
principal value will fluctuate so that shares, when redeemed, may be worth more
or less than their original cost. The indices are unmanaged, and investments may
not be made in an index. Performance figures assume the reinvestment of
dividends and capital gain distributions. During the period, the Fund waived
certain fees and expenses. Benchmark returns are for the period beginning
September 30, 1993.
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BT Institutional Asset Management Fund
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STATEMENT OF ASSETS AND LIABILITIES
<TABLE>
<CAPTION>
AS OF
MARCH 31, 2000
--------------
<S> <C>
ASSETS
Investment in Asset Management Portfolio, at Value $566,039,941
Receivable for Shares of Beneficial Interest Subscribed 344,288
Due from Bankers Trust 92,971
Prepaid Expenses and Other 11,075
------------
Total Assets 566,488,275
------------
LIABILITIES
Payable for Shares of Beneficial Interest Redeemed 54,457,392
Accrued Expenses and Other 26,895
------------
Total Liabilities 54,484,287
------------
NET ASSETS $512,003,988
============
COMPOSITION OF NET ASSETS
Paid-in Capital $409,912,362
Undistributed Net Investment Income 571,469
Accumulated Net Realized Gain from Investment, Foreign Currency,
Forward Foreign Currency and Futures Transactions 56,344,601
Net Unrealized Appreciation on Investment, Foreign Currency,
Forward Foreign Currency and Futures Contracts 45,175,556
------------
NET ASSETS $512,003,988
============
SHARES OUTSTANDING ($0.001 par value per share, unlimited number of shares
of beneficial interest authorized) 35,462,485
============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE
(net assets divided by shares outstanding) $ 14.44
============
</TABLE>
See Notes to Financial Statements.
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BT Institutional Asset Management Fund
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STATEMENT OF OPERATIONS
<TABLE>
<CAPTION>
FOR THE YEAR ENDED
MARCH 31, 2000
------------------
<S> <C>
INVESTMENT INCOME
Income Allocated from Asset Management Portfolio, net $15,079,529
-----------
EXPENSES
Administration and Services Fees 842,228
Printing and Shareholder Reports 40,430
Professional Fees 22,748
Registration Fees 11,689
Trustees Fees 11,053
Miscellaneous 7,481
-----------
Total Expenses 935,629
Less: Fee Waivers or Expense Reimbursements (935,629)
-----------
Net Expenses --
-----------
NET INVESTMENT INCOME 15,079,529
-----------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT, FOREIGN CURRENCIES,
FORWARD FOREIGN CURRENCY AND FUTURES CONTRACTS
Net Realized Gain (Loss) from:
Investment Transactions 41,739,784
Foreign Currency Transactions (3,501,126)
Forward Foreign Currency Transactions (1,438,975)
Futures Transactions 20,152,041
Net Change in Unrealized Appreciation/Depreciation on Investment,
Foreign Currency, Forward Foreign Currency and Futures Contracts (271,586)
-----------
NET REALIZED AND UNREALIZED GAIN ON INVESTMENT, FOREIGN CURRENCIES,
FORWARD FOREIGN CURRENCY AND FUTURES CONTRACTS 56,680,138
-----------
NET INCREASE IN NET ASSETS FROM OPERATIONS $71,759,667
===========
</TABLE>
See Notes to Financial Statements.
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BT Institutional Asset Management Fund
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STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
FOR THE YEARS ENDED MARCH 31,
2000 1999
-------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS
Net Investment Income $ 15,079,529 $ 15,627,927
Net Realized Gain from Investment, Foreign
Currencies, Forward Foreign Currency
and Futures Transactions 56,951,724 24,477,603
Net Change in Unrealized Appreciation/Depreciation on
Investment, Foreign Currencies, Forward Foreign
Currency and Futures Contracts (271,586) 23,824,973
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Net Increase in Net Assets from Operations 71,759,667 63,930,503
------------- -------------
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income (12,881,836) (16,476,947)
Distributions in Excess of Investment Income -- (9,837,496)
Net Realized Gain from Investment Transactions (5,627,182) (86,420,823)
------------- -------------
Total Distributions (18,509,018) (112,735,266)
------------- -------------
CAPITAL TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST
Proceeds from Sales of Shares 110,823,410 194,100,376
Dividend Reinvestments 18,209,107 112,725,716
Cost of Shares Redeemed (240,399,537) (184,698,805)
------------- -------------
Net Increase (Decrease) from Capital Transactions
in Shares of Beneficial Interest (111,367,020) 122,127,287
------------- -------------
TOTAL INCREASE (DECREASE) IN NET ASSETS (58,116,371) 73,322,524
NET ASSETS
Beginning of Year 570,120,359 496,797,835
------------- -------------
End of Year (including undistributed (distributions in
excess of) net investment income of $571,469 and
($7,866,774), respectively.) $ 512,003,988 $ 570,120,359
============= =============
</TABLE>
See Notes to Financial Statements.
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BT Institutional Asset Management Fund
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FINANCIAL HIGHLIGHTS
Contained below are selected data for a share outstanding, total investment
return, ratios to average net assets and other supplemental data for each period
indicated for BT Institutional Asset Management Fund.
<TABLE>
<CAPTION>
FOR THE YEARS ENDED MARCH 31,
2000 1999 1998 1997 1996
------ ------ ------ ------ -------
<S> <C> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE, BEGINNING OF YEAR $13.11 $14.50 $12.05 $11.25 $ 9.99
------ ------ ------ ------ -------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.33 0.47 0.37 0.38 0.41
Net Realized and Unrealized Gain
on Investment, Foreign Currencies,
Forward Foreign Currency and
Futures Transactions 1.44 1.29 3.60 1.19 1.52
------ ------ ------ ------ -------
Total from Investment Operations 1.77 1.76 3.97 1.57 1.93
------ ------ ------ ------ -------
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income (0.31) (0.45) (0.37) (0.45) (0.42)
In Excess of Net Investment Income -- (0.27) -- -- --
Net Realized Gain from Investment
Transactions (0.13) (2.43) (1.15) (0.32) (0.25)
------ ------ ------ ------ -------
Total Distributions (0.44) (3.15) (1.52) (0.77) (0.67)
------ ------ ------ ------ -------
NET ASSET VALUE, END OF YEAR $14.44 $13.11 $14.50 $12.05 $11.25
====== ====== ====== ====== ======
TOTAL INVESTMENT RETURN 13.83% 12.83% 34.34% 14.31% 19.77%
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Year (000s omitted) $512,004 $570,120 $496,798 $270,315 $183,767
Ratios to Average Net Assets:
Net Investment Income 2.69% 2.89% 2.97% 3.12% 3.99%
Expenses After Waivers, Including
Expenses of the Asset Management
Portfolio 0.60% 0.60% 0.60% 0.60% 0.60%
Expenses Before Waivers, Including
Expenses of the Asset Management
Portfolio 0.93% 0.93% 0.92% 0.96% 0.99%
</TABLE>
See Notes to Financial Statements.
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BT Institutional Asset Management Fund
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NOTES TO FINANCIAL STATEMENTS
NOTE 1--ORGANIZATION AND SIGNIFICANT
ACCOUNTING POLICIES
A. ORGANIZATION
BT Pyramid Mutual Funds (the "Trust") is registered under the Investment Company
Act of 1940 (the "Act"), as amended, as an open-end management investment
company. The Trust was organized on February 28, 1992, as a business trust under
the laws of the Commonwealth of Massachusetts. The BT Institutional Asset
Management Fund (the "Fund") is one of the funds offered to investors by the
Trust. The Fund began operations on September 16, 1993. The Fund seeks to
achieve its investment objective by investing substantially all of its
investable assets in the Asset Management Portfolio (the "Portfolio"). The
Portfolio is an open-end management investment company registered under the Act.
The value of the investment in the Portfolio reflects the Fund's proportionate
interest in the net assets of the Portfolio. At March 31, 2000, the Fund's
investment was approximately 77% of the Portfolio.
The financial statements of the Portfolio, including a list of assets held, are
contained elsewhere in this report and should be read in conjunction with the
Fund's financial statements.
B. SECURITY VALUATION
Valuation of securities by the Portfolio is discussed in Note 1B of the
Portfolio's Notes to 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 security transactions of the Portfolio are allocated pro
rata among the investors in the Portfolio at the time of such determination.
D. DISTRIBUTIONS
It is the Fund's policy to declare and distribute dividends quarterly to
shareholders from net investment income. Dividends payable to shareholders are
recorded by the Fund on the ex-dividend date. 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 generally accepted accounting principles.
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.
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
Bank A.G. Under this agreement, Bankers Trust provides administrative, custody,
transfer agency and shareholder services to the Fund in return for a fee
computed daily and paid monthly at an annual rate of .15% of the Fund's average
daily net assets.
Bankers Trust has contractually agreed to waive its fees through July 31, 2001
and reimburse expenses, to the extent necessary, to eliminate all expenses of
the Fund, excluding expenses of the Portfolio, and to limit all expenses to
.60% of the average daily net assets of the Fund, including expenses of the
Portfolio.
ICC Distributors, Inc. provides distribution services to the Fund.
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BT Institutional Asset Management Fund
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NOTES TO FINANCIAL STATEMENTS
NOTE 3--SHARES OF BENEFICIAL INTEREST
At March 31, 2000, there were an unlimited number of shares of beneficial
interest authorized. Transactions in shares of beneficial interest were as
follows:
FOR THE FOR THE
YEAR ENDED YEAR ENDED
MARCH 31, 2000 MARCH 31, 1999
---------------------------- -----------------------------
SHARES AMOUNT SHARES AMOUNT
----------- -------------- ------------- --------------
Sold 8,150,028 $ 110,823,410 13,679,814 $ 194,100,376
Reinvested 1,376,456 18,209,107 8,703,633 112,725,716
Redeemed (17,551,294) (240,399,537) (13,167,083) (184,698,805)
----------- -------------- ------------ --------------
Net Increase
(Decrease) (8,024,810) $(111,367,020) 9,216,364 $ 122,127,287
=========== ============== ============ ==============
NOTE 4--SUBSEQUENT EVENT
On July 31, 2000, the Fund will change its name from BT Institutional Asset
Management Fund to Asset Management.
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BT Institutional Asset Management Fund
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REPORT OF INDEPENDENT ACCOUNTANTS
To the Trustees of BT Pyramid Mutual Funds and Share-
holders of the BT Institutional Asset Management Fund:
In our opinion, the accompanying statement of assets and liabilities and the
related statements of operations and of changes in net assets and the financial
highlights present fairly, in all material respects, the financial position of
the BT Institutional Asset Management Fund (one of the Funds comprising BT
Pyramid Mutual Funds, hereafter referred to as the "Fund") at March 31, 2000,
and the results of its operations, the changes in its net assets and the
financial highlights for each of the fiscal periods presented, in conformity
with accounting principles generally accepted in the United States. These
financial statements and financial highlights (hereafter referred to as
"financial statements") are the responsibility of the Fund's management; our
responsibility is to express an opinion on these financial statements based on
our audits. We conducted our audits of these financial statements in accordance
with auditing standards generally accepted in the United States, which require
that we plan and perform the audit to obtain reasonable assurance about whether
the financial statements are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures in
the financial statements, assessing the accounting principles used and
significant estimates made by management, and evaluating the overall financial
statement presentation. We believe that our audits, which included confirmation
of securities at March 31, 2000 by correspondence with the transfer agent,
provide a reasonable basis for the opinion expressed above.
PricewaterhouseCoopers LLP
Baltimore, Maryland
May 5, 2000
--------------------------------------------------------------------------------
TAX INFORMATION (Unaudited) For the Tax Year Ended March 31, 2000
The amounts may differ from those elsewhere in this report because of
differences between tax and financial reporting requirements.
The Fund's distributions to shareholders included $4,328,601 from long-term
capital gains, all of which is taxable at the 20% capital gains rate.
Of the ordinary distributions made during the fiscal year ended March 31, 2000,
23.64% qualifies for the dividends received deduction available to corporate
shareholders.
Of the net investment income distributions made during the fiscal year ended
March 31, 2000, 49.90% have been derived from investments in U.S. Government and
Agency Obligations. All or a portion of the distributions from this income may
be exempt from taxation at the state level. Consult your tax advisor for state
specific information.
--------------------------------------------------------------------------------
13
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Asset Management Portfolio
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS MARCH 31, 2000
SHARES DESCRIPTION VALUE
------ ----------- -----
COMMON STOCKS - 46.6%
ADVERTISING - 0.1%
8,600 Clear Channel Communications, Inc.(1) $ 593,937
4,300 Omnicom Group, Inc. 401,781
------------
995,718
------------
AEROSPACE - 0.5%
21,490 Boeing Co. 815,277
4,700 Conexant Systems 333,700
24,400 Cordant Technologies 1,380,125
7,200 General Dynamics Corp. 358,200
10,400 Lockheed Martin Corp. 212,550
1,100 Northrop Grumman Corp. 58,231
1 Raytheon Co. - Class A 4
7,100 Raytheon Co. - Class B 126,025
4,300 Rockwell International Corp. 179,794
------------
3,463,906
------------
AIRLINES - 0.1%
5,000 AMR Corp.(1) 159,375
5,300 Delta Air Lines, Inc. 282,225
13,100 Southwest Airlines Co. 272,644
1,500 US Airways Group, Inc.(1) 41,719
------------
755,963
------------
APPAREL, TEXTILES - 0.1%
4,900 Liz Claiborne, Inc. 224,481
6,000 Nike, Inc. 237,750
8,900 Reebok International Ltd.(1) 82,325
3,600 Springs Industries, Inc. - Class A 136,800
2,200 V.F. Corp. 52,937
------------
734,293
------------
AUTO RELATED - 0.6%
3,100 Autozone, Inc.(1) 86,025
1 DaimlerChrysler AG(1) 49
6,200 Dana Corp. 174,762
20,000 Delphi Automotive Systems 320,000
33,300 Ford Motor Co. 1,529,719
17,800 General Motors Corp. 1,474,062
3,600 Genuine Parts Co. 85,950
4,600 Paccar, Inc. 230,000
2,000 Parker-Hannifin Corp. 82,625
4,900 Timken Co. 79,625
------------
4,062,817
------------
BANKS - 1.8%
10,300 Amsouth Bancorp 153,856
18,100 Bank of New York Co., Inc. 752,281
25,900 Bank One Corp. 890,312
42,300 Bank of America Corp. 2,218,117
5,400 BB&T Corp. 151,537
20,800 Chase Manhattan Corp. 1,813,500
SHARES DESCRIPTION VALUE
------ ----------- -----
7,300 Fifth Third Bancorp 459,900
21,100 First Union Corp. 785,975
15,500 Fleet Boston Financial Corp. 565,750
3,000 Golden West Financial Corp. 93,562
5,500 Huntington Bancshares, Inc. 123,062
11,700 KeyCorp 222,300
12,000 Mellon Financial Corp. 354,000
5,200 Morgan, (J.P.) & Co., Inc. 685,100
15,600 National City Corp. 321,750
5,000 Northern Trust Corp. 337,812
3,000 Southtrust Corp. 76,312
3,700 Summit Bancorp 97,125
7,600 Suntrust Banks, Inc. 438,900
18,400 U.S. Bancorp 402,500
5,700 Union Planters Corp. 175,631
4,600 Wachovia Corp. 310,787
6,000 Washington Mutual, Inc. 159,000
41,600 Wells Fargo Co. 1,703,000
------------
13,292,069
------------
BEVERAGES - 0.8%
11,400 Anheuser Busch Cos., Inc. 709,650
1,100 Brown-Forman Corp. - Class B 59,881
63,500 Coca-Cola Co. 2,980,531
14,400 Coca-Cola Enterprises, Inc. 310,500
36,800 PepsiCo, Inc. 1,271,900
12,100 Seagram Co. Ltd. 719,950
------------
6,052,412
------------
BUILDING & CONSTRUCTION - 0.8%
900 Armstrong World Industries, Inc. 16,087
1,300 Centex Corp. 30,956
1,800 Crane Co. 42,412
59,200 Home Depot, Inc. 3,818,400
1,000 Kaufman & Broad Home Corp. 21,437
11,700 Masco Corp. 239,850
1,400 Owens Corning 27,125
7,300 Stanley Works 192,537
1,800 Vulcan Materials Co. 82,462
------------
4,471,266
------------
BUILDING - FOREST PRODUCTS - 0.1%
4,300 Boise Cascade Corp. 149,425
3,300 Georgia-Pacific Corp. 130,556
1,600 Johnson Controls, Inc. 86,500
2,800 Louisiana-Pacific Corp. 38,850
4,000 Potlatch Corp. 172,000
1,600 Weyerhaeuser Co. 91,200
------------
668,531
------------
CHEMICALS & TOXIC WASTE - 0.5%
4,600 Air Products and Chemicals, Inc. 130,812
28,700 Du Pont (E.I.) de Nemours & Co. 1,517,512
See Notes to Financial Statements.
--------------------------------------------------------------------------------
14
<PAGE>
Asset Management Portfolio
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 2000
SHARES DESCRIPTION VALUE
------ ----------- -----
1,500 Eastman Chemical Co. $ 68,250
2,000 FMC Corp.(1) 113,000
400 Great Lakes Chemical Corp. 13,600
2,800 Hercules, Inc. 45,150
12,500 Monsanto Co. 643,750
4,000 PPG Industries, Inc. 209,250
4,900 Rohm & Haas Co. 218,662
15,200 Union Carbide Corp. 886,350
1,900 W.R. Grace & Co.(1) 24,106
------------
3,870,442
------------
CLIENT-SERVER COMPUTING - 0.2%
4,300 Adaptec, Inc.(1) 166,087
5,300 Citrix Systems, Inc.(1) 351,125
12,200 Compuware Corp.(1) 256,962
3,800 Lexmark International Group, Inc. -
Class A 401,850
9,500 Peoplesoft, Inc.(1) 190,000
------------
1,366,024
------------
COMPUTER - 2.0%
4,900 Apple Computer, Inc.(1) 665,481
43,300 Compaq Computer Corp. 1,152,863
67,400 Dell Computer Corp.(1) 3,635,387
SHARES DESCRIPTION VALUE
------ ----------- -----
9,100 Gateway, Inc.(1) 482,300
25,780 Hewlett-Packard Co. 3,417,461
47,600 International Business Machines
Corp. 5,616,800
------------
14,970,292
------------
COMPUTER SERVICES - 2.9%
9,700 3Com Corp.(1) 539,562
15,400 Automatic Data Processing, Inc. 743,050
6,400 Cabletron Systems, Inc.(1) 187,600
25,200 Cendant Corp.(1) 466,200
3,700 Ceridian Corp.(1) 70,994
178,500 Cisco Systems, Inc.(1) 13,800,281
5,000 Computer Sciences Corp.(1) 395,625
11,700 Electronic Data Systems Corp. 750,994
26,900 EMC Corp.(1) 3,362,500
3,400 NCR Corp.(1) 136,425
9,200 Parametric Technology Corp.(1) 193,775
6,600 Seagate Technology, Inc.(1) 397,650
11,500 Silicon Graphics, Inc.(1) 121,469
------------
21,166,125
------------
COMPUTER SOFTWARE - 3.4%
2,700 Adobe Systems, Inc. 300,544
7,800 BMC Software, Inc.(1) 385,125
13,500 Computer Associates International,
Inc. 799,031
136,180 Microsoft Corp.(1) 14,469,125
8,300 Network Appliance, Inc.(1) 686,825
75,800 Oracle Corp.(1) 5,917,137
14,200 Yahoo!, Inc.(1) 2,433,525
------------
24,991,312
------------
CONTAINERS - 0.1%
6,200 Crown Cork & Seal Co., Inc. 99,200
4,000 Owens-Illinois, Inc.(1) 67,500
3,400 Sealed Air Corp.(1) 184,662
3,200 Temple Inland, Inc. 159,400
------------
510,762
------------
COSMETICS & TOILETRIES - 0.1%
1,200 Alberto-Culver Co. - Class B 28,575
26,500 Gillette Co. 998,719
1,700 International Flavors & Fragrances,
Inc. 59,606
------------
1,086,900
------------
DIVERSIFIED - 0.4%
2,500 Allegheny Technologies 50,156
2,100 Loews Corp. 105,000
11,700 Minnesota Mining & Manufacturing
Co. 1,036,181
9,500 Pall Corp. 213,156
3,000 Praxair, Inc. 124,875
9,200 SuperValu, Inc. 174,225
1 Teledyne Technologies(1) 25
5,300 Textron, Inc. 322,637
14,200 United Technologies Corp. 897,262
------------
2,923,517
------------
DRUGS - 2.4%
30,500 American Home Products Corp. 1,635,562
4,300 Biogen, Inc.(1) 300,462
50,900 Bristol-Myers Squibb Co. 2,939,475
25,800 Lilly (Eli) & Co. 1,625,400
61,300 Merck & Co., Inc. 3,808,262
86,500 Pfizer, Inc. 3,162,656
33,700 Schering-Plough Corp. 1,238,475
26,900 Warner-Lambert Co. 2,622,750
------------
17,333,042
------------
ELECTRICAL EQUIPMENT - 2.0%
10,600 Emerson Electric Co. 560,475
85,300 General Electric Co. 13,237,494
500 ITT Industries 15,531
17,400 Solectron Corp.(1) 697,087
1,600 W.W. Grainger, Inc. 86,800
------------
14,597,387
------------
See Notes to Financial Statements.
--------------------------------------------------------------------------------
15
<PAGE>
Asset Management Portfolio
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 2000
SHARES DESCRIPTION VALUE
------ ----------- -----
ELECTRONICS - 3.9%
5,300 Advanced Micro Devices, Inc.(1) $ 302,431
10,700 Analog Devices, Inc.(1) 862,019
20,276 Applied Materials, Inc.(1) 1,911,013
86,300 Intel Corp. 11,386,206
5,500 KLA-Tencor Corp.(1) 463,375
8,800 LSI Logic Corp.(1) 639,100
8,800 Micron Technology, Inc.(1) 1,108,800
18,200 Motorola, Inc. 2,591,225
6,200 National Semiconductor Corp.(1) 375,875
36,730 Nortel Networks Corp. 4,627,980
6,400 Scientific-Atlanta, Inc. 406,000
20,910 Texas Instruments, Inc. 3,345,600
4,200 Thermo Electron Corp.(1) 85,575
9,200 Xilinx, Inc.(1) 761,875
------------
28,867,074
------------
ENTERTAINMENT - 0.3%
52,500 Disney (Walt) Co. 2,172,187
------------
ENVIRONMENTAL CONTROL - 0.0%
4,800 Allied Waste Industries, Inc.(1) 31,500
16,100 Waste Management, Inc. 220,369
------------
251,869
------------
FINANCIAL SERVICES - 2.6%
12,200 American Express Co. 1,817,037
14,000 Associates First Capital Corp. -
Class A 300,125
2,200 Bear Stearns Cos., Inc. 100,375
4,200 Capital One Financial Corp. 201,337
10,700 Charles Schwab Corp. 607,894
3,100 Cincinnati Financial Corp. 116,637
89,800 Citigroup 5,326,262
2,000 Countrywide Credit Industries, Inc. 54,500
25,400 Fannie Mae 1,433,512
10,100 First Data Corp. 446,925
24,900 Firstar Corp. 571,144
5,300 Franklin Resources, Inc. 177,219
12,800 Freddie Mac 565,600
4,300 Hartford Financial Services Group,
Inc. 226,825
11,200 Household International, Inc. 417,900
5,000 Lehman Brothers, Inc. 485,000
20,400 MBNA Corp. 520,200
11,000 Merrill Lynch & Co., Inc. 1,155,000
30,700 Morgan Stanley Dean Witter
Discover & Co. 2,503,969
7,100 Paine Webber Group, Inc. 312,400
6,700 PNC Bank Corp. 301,919
5,000 Regions Financial Corp. 114,062
2,700 SLM Holding Corp. 89,944
3,700 State Street Corp. 358,437
SHARES DESCRIPTION VALUE
------ ----------- -----
7,300 Synovus Financial Corp. 137,787
6,800 T. Rowe Price Associates, Inc. 268,600
2,800 U.S. Trust Corp. 529,200
------------
19,139,810
------------
FOOD SERVICES & LODGING - 0.2%
11,900 Darden Restaurants, Inc. 211,969
34,100 McDonald's Corp. 1,280,881
3,300 Tricon Global Restaurants, Inc.(1) 102,506
3,100 Wendy's International, Inc. 62,581
------------
1,657,937
------------
FOODS - 0.5%
15,700 Archer-Daniels-Midland Co. 162,887
6,500 Bestfoods 304,281
8,800 Campbell Soup Co. 270,600
15,600 ConAgra, Inc. 282,750
6,700 General Mills, Inc. 242,456
8,200 H.J. Heinz Co. 285,975
6,700 Kellogg Co. 171,687
7,500 Nabisco Group Holdings 90,000
2,900 Quaker Oats Co. 175,812
12,600 Ralston Purina Group 344,925
23,600 Sara Lee Corp. 424,800
7,500 Sysco Corp. 267,656
11,400 Unilever NV 548,625
2,600 Wrigley (Wm.), Jr. Co. 199,712
------------
3,772,166
------------
HEALTHCARE - 1.1%
34,900 Abbott Laboratories 1,228,044
2,800 Allergan, Inc. 140,000
900 Bausch & Lomb, Inc. 46,969
6,600 Biomet, Inc. 240,075
10,800 Boston Scientific Corp.(1) 230,175
3,400 C.R. Bard, Inc. 131,537
6,000 Cardinal Health, Inc. 275,250
14,300 Columbia/HCA Healthcare Corp. 361,969
7,100 Guidant Corp.(1) 417,569
21,300 HEALTHSOUTH Corp.(1) 118,481
12,600 Humana, Inc.(1) 92,137
36,700 Johnson & Johnson 2,571,294
9,700 Manor Care(1) 130,950
27,500 Medtronic, Inc. 1,414,531
4,400 St. Jude Medical, Inc.(1) 113,575
11,500 Tenet Healthcare Corp.(1) 264,500
3,800 United Healthcare Corp. 226,575
800 Wellpoint Health Networks(1) 55,900
------------
8,059,531
------------
See Notes to Financial Statements.
--------------------------------------------------------------------------------
16
<PAGE>
Asset Management Portfolio
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 2000
SHARES DESCRIPTION VALUE
------ ----------- -----
HOSPITAL SUPPLIES & HEALTHCARE - 0.4%
6,900 Baxter International, Inc. $ 432,544
4,900 Becton Dickinson & Co. 128,931
1,000 Mallinckrodt Group, Inc. 28,750
43,000 Tyco International Ltd. 2,144,625
------------
2,734,850
------------
HOTEL/MOTEL - 0.0%
9,600 Hilton Hotels Corp. 74,403
5,000 Marriott International, Inc. 157,500
------------
231,903
------------
HOUSEHOLD FURNISHINGS - 0.0%
6,100 Maytag Corp. 202,062
1,300 Whirlpool Corp. 76,212
------------
278,274
------------
HOUSEHOLD PRODUCTS - 0.4%
2,400 Avery Dennison Corp. 146,550
5,000 Clorox Co. 162,500
14,400 Colgate-Palmolive Co. 811,800
34,200 Procter & Gamble Co. 1,923,750
1,500 Tupperware Corp. 23,719
------------
3,068,319
------------
INSURANCE - 1.1%
2,700 Aetna, Inc. 150,356
5,900 Aflac, Inc. 268,819
11,200 Allstate Corp. 266,700
5,500 American General Corp. 308,687
41,100 American International Group, Inc. 4,500,450
4,100 Chubb Corp. 277,006
4,300 CIGNA Corp. 325,725
8,500 Conseco, Inc. 97,219
4,500 Jefferson-Pilot Corp. 299,531
4,000 Lincoln National Corp. 134,000
6,500 Marsh and McLennan 717,031
1,800 MBIA, Inc. 93,713
5,300 MGIC Investment Corp. 231,213
1,300 Providian Financial Corp. 112,613
5,500 Safeco 146,094
5,000 St. Paul Cos., Inc. 170,625
3,000 Torchmark Corp. 69,375
6,200 Unumprovident Corp. 105,400
------------
8,274,557
------------
LEISURE RELATED - 0.6%
1,300 American Greetings Corp. - Class A 23,725
7,500 Brunswick Corp. 142,031
11,200 Carnival Corp. - Class A 277,900
3,500 Harley-Davidson, Inc. 277,812
6,100 Harrah's Entertainment, Inc.(1) 113,231
11,400 Hasbro, Inc. 188,100
47,230 Jostens, Inc. 1,151,231
SHARES DESCRIPTION VALUE
------ ----------- -----
11,100 Mattel, Inc. 115,856
110,800 Mirage Resorts, Inc.(1) 2,146,750
3,619 Sabre Group Holdings, Inc. 133,677
------------
4,570,313
------------
LIFE ON THE NET - 0.6%
59,600 America Online, Inc.(1) 4,008,100
------------
LIFE SCIENCES REVOLUTION - 0.1%
4,900 PE Corp. - PE Biosystems Group 472,850
------------
MACHINERY - 0.3%
1,300 Black & Decker Corp. 48,831
3,800 Briggs & Stratton Corp. 156,275
11,400 Caterpillar, Inc. 449,588
4,800 Deere & Co. 182,400
8,200 Dover Corp. 392,575
7,200 Illinois Tool Works, Inc. 397,800
500 Millipore Corp. 28,219
3,700 Navistar International Corp.(1) 148,463
600 Snap-On Tools Corp. 15,713
2,400 TRW, Inc. 140,400
------------
1,960,264
------------
MANAGING THE INFORMATION AGE - 0.1%
7,965 Veritas Software Corp.(1) 1,043,415
------------
MANUFACTURING - 0.2%
1,100 Cooper Industries, Inc. 38,500
2,800 Danaher Corp. 142,800
19,700 Honeywell International, Inc. 1,037,944
------------
1,219,244
------------
MEDIA - 0.2%
24,900 CBS Corp.(1) 1,409,963
------------
MEDICAL BIOTECHNOLOGY - 0.2%
27,400 Amgen, Inc.(1) 1,681,675
------------
METALS - 0.3%
9,000 Alcan Aluminium Ltd. 304,875
900 Alcoa, Inc. 63,225
3,400 Engelhard Corp. 51,425
7,900 Freeport-McMoRan Copper &
Gold, Inc. - Class B 95,294
6,800 Homestake Mining Co. 40,800
8,100 Inco, Ltd. 148,331
3,400 Newmont Mining Corp. 76,288
2,500 Nucor Corp. 125,000
1,200 Phelps Dodge Corp. 57,000
8,600 Placer Dome, Inc. 69,875
10,900 Reynolds Metals Co. 728,938
1,400 USX - U.S. Steel Group 35,000
11,300 Worthington Industries, Inc. 139,838
------------
1,935,889
------------
See Notes to Financial Statements.
--------------------------------------------------------------------------------
17
<PAGE>
Asset Management Portfolio
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 2000
SHARES DESCRIPTION VALUE
------ ----------- -----
METALS & MINING - 0.0%
10,200 Barrick Gold Corp. $ 160,013
------------
MOVE TO OUTSOURCING - 0.1%
8,900 Paychex, Inc. 466,138
3,000 Quintiles Transnational Corp.(1) 51,188
------------
517,326
------------
NEW CONSUMER - 0.1%
14,600 Staples, Inc.(1) 292,000
8,100 TJX Cos., Inc. 179,719
------------
471,719
------------
NEW HEALTH CARE PARADIGM - 0.0%
5,900 McKesson Hboc, Inc. 123,900
2,200 Watson Pharmaceuticals(1) 87,313
------------
211,213
------------
OFFICE EQUIPMENT & COMPUTERS - 0.7%
1,000 Autodesk, Inc. 45,500
3,800 Ikon Office Solutions, Inc. 23,513
10,400 Novell, Inc.(1) 297,700
6,200 Pitney Bowes, Inc. 277,063
41,200 Sun Microsystems, Inc.(1) 3,860,569
9,900 Unisys Corp.(1) 252,450
11,800 Xerox Corp. 306,800
------------
5,063,595
------------
OIL - DOMESTIC - 0.2%
7,900 Atlantic Richfield Co. 671,500
4,400 Burlington Resources, Inc. 162,800
4,300 Pactiv Corp.(1) 37,625
5,800 Phillips Petroleum Co. 268,250
6,400 Union Pacific Resources Group, Inc. 92,800
4,900 Unocal Corp. 145,775
------------
1,378,750
------------
OIL - INTERNATIONAL - 1.8%
18,200 Chevron Corp. 1,682,363
15,800 Conoco, Inc. - Class B 404,875
90,800 Exxon Mobil Corp. 7,065,375
55,100 Royal Dutch Petroleum Co. 3,171,694
13,300 Texaco, Inc. 713,213
2,400 Tosco Corp. 73,050
------------
13,110,570
------------
OIL EQUIPMENT & SERVICES - 0.2%
1,900 Apache Corp. 94,525
13,700 Schlumberger Ltd. 1,048,050
4,301 Transocean Sedco 220,693
------------
1,363,268
------------
SHARES DESCRIPTION VALUE
------ ----------- -----
OIL SERVICE - DOMESTIC - 0.1%
800 Fluor Corp. $ 24,800
10,500 Halliburton Co. 430,500
3,800 USX Marathon Group 99,038
------------
554,338
------------
PAPER - 0.2%
4,600 Fort James Corp. 101,200
13,500 Kimberly Clark Corp. 756,000
1,300 Mead Corp. 45,419
4,125 Molex, Inc. 242,344
6,700 Westvaco Corp. 223,613
------------
1,368,576
------------
PAPER & FOREST PRODUCTS - 0.1%
1,800 Champion International Corp. 95,850
12,800 International Paper Co. 547,200
1,900 Willamette Industries, Inc. 76,238
------------
719,288
------------
PETROLEUM PRODUCTS - 0.1%
172 Arch Coal, Inc. 1,206
700 Ashland, Inc. 23,406
7,500 Baker Hughes, Inc. 226,875
10,400 Williams Cos., Inc. 456,950
------------
708,437
------------
PETROLEUM RELATED - 0.1%
4,600 Amerada Hess Corp. 297,275
1,700 Kerr-McGee Corp. 98,175
12,300 Occidental Petroleum Corp. 255,225
5,000 Rowan Cos., Inc.(1) 147,188
1,400 Sunoco, Inc. 38,325
------------
836,188
------------
PHARMACEUTICALS - 0.1%
2,300 ALZA Corp.(1) 86,394
12,400 Pharmacia & Upjohn, Inc. 734,700
------------
821,094
------------
PHOTO EQUIPMENT & SUPPLIES - 0.1%
10,100 Eastman Kodak Co. 548,556
------------
PRINTING & PUBLISHING - 0.7%
1,100 Deluxe Corp. 29,150
2,700 Donnelley (R.R.) & Sons Co. 56,531
1,800 Dow Jones & Co., Inc. 129,263
6,600 Gannett Co., Inc. 464,475
4,000 Knight-Ridder, Inc. 203,750
7,400 McGraw-Hill Cos., Inc. 336,700
3,700 New York Times Co. - Class A 158,869
32,900 Time Warner, Inc. 3,290,000
1,000 Times Mirror Co. - Class A 92,938
5,000 Tribune Co. 182,813
------------
4,944,489
------------
See Notes to Financial Statements.
--------------------------------------------------------------------------------
18
<PAGE>
Asset Management Portfolio
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 2000
SHARES DESCRIPTION VALUE
------ ----------- -----
PROFESSIONAL SERVICES - 0.1%
1,900 Ecolab, Inc. $ 69,706
4,700 H & R Block, Inc. 210,325
800 Harcourt General, Inc. 29,800
6,500 Interpublic Group of Cos., Inc. 307,125
3,200 National Service Industries, Inc. 67,400
2,600 Perkinelmer, Inc. 172,900
7,100 Service Corp. International 21,300
------------
878,556
------------
RAILROADS - 0.1%
10,600 Burlington Northern Santa Fe 234,525
9,700 CSX Corp. 227,950
2,400 Kansas City Southern Industries,Inc. 206,250
9,900 Norfolk Southern Corp. 142,313
5,800 Union Pacific Corp. 226,925
------------
1,037,963
------------
RE-ENERGIZING AMERICA - 0.0%
4,000 Young & Rubicam 188,000
------------
REAL ESTATE - 0.0%
8,100 Pulte Corp. 169,088
------------
RETAIL - 2.5%
3,500 Albertson's, Inc. 108,500
5,000 Bed, Bath & Beyond, Inc.(1) 196,875
6,400 Best Buy, Inc.(1) 550,400
4,100 Circuit City Stores, Inc. 249,588
11,800 Consolidated Stores Corp.(1) 134,225
12,900 Costco Wholesale Corp.(1) 678,056
4,400 CVS Corp. 165,275
2,800 Dillard Department Stores, Inc. -
Class A 46,025
6,401 Dollar General Corp. 172,018
7,300 Federated Department Stores, Inc.(1) 304,776
21,500 Gap, Inc. 1,070,969
4,400 Great Atlantic & Pacific Tea Co. 85,800
40,500 Hannaford Brothers, Co. 2,986,875
6,600 J.C. Penney Co., Inc. 98,175
12,800 Kmart Corp.(1) 124,000
5,800 Kohls Corp.(1) 594,500
21,700 Kroger Co.(1) 381,107
8,200 Limited, Inc. 345,425
5,100 Longs Drug Stores, Inc. 116,025
5,100 Lowe's Cos., Inc. 297,713
6,900 May Department Stores Co. 196,650
5,800 Nordstrom, Inc. 171,100
6,700 Rite Aid Corp. 36,850
12,700 Safeway, Inc.(1) 574,675
13,600 Sears, Roebuck & Co. 419,900
4,300 Sherwin-Williams Co. 94,331
4,300 Tandy Corp. 218,225
10,900 Target Corp. 814,775
SHARES DESCRIPTION VALUE
------ ----------- -----
11,400 Toys `R' Us, Inc.(1) 168,863
114,800 Wal-Mart Stores, Inc. 6,371,400
24,800 Walgreen Co. 638,600
3,800 Winn Dixie Stores, Inc. 73,863
------------
18,485,559
------------
STEEL - 0.0%
17,700 Bethlehem Steel(1) 106,200
------------
STORES OF VALUE - 0.4%
5,000 Leggett & Platt, Inc. 107,500
8,600 Office Depot, Inc.(1) 99,438
110,000 U.S. Foodservice, Inc.(1) 2,832,500
------------
3,039,438
------------
TELECOMMUNICATIONS - 3.3%
9,100 ADC Telecommunications, Inc.(1) 490,263
7,400 Alltel Corp. 466,663
7,100 Andrew Corp.(1) 162,413
70,700 AT&T Corp. 3,976,875
2,700 Centurytel, Inc. 100,238
25,400 Comcast Corp. - Class A 1,101,725
2,100 Comverse Technology(1) 396,900
4,025 Corning, Inc. 780,850
13,800 Global Crossing Ltd.(1) 564,937
1,300 IPC Communications(1) 267,800
59,000 MCI WorldCom, Inc.(1) 2,673,438
29,700 MediaOne Group(1) 2,405,700
2,700 Netoptix Corp. 463,725
10,300 Nextel Communications, Inc. -
Class A(1) 1,526,975
2,600 Ortel Corp. 487,988
19,460 Qualcomm, Inc.(1) 2,905,622
39,100 Sprint Corp. 2,463,300
21,700 Sprint PCS Group(1) 1,417,281
11,600 Tellabs, Inc.(1) 730,619
13,300 Viacom, Inc. - Class B1 701,575
------------
24,084,887
------------
THE UBIQUITOUS SEMICONDUCTOR - 0.1%
5,780 Linear Technology Corp. 317,900
6,000 Teradyne, Inc.(1) 493,500
------------
811,400
------------
TIRE & RUBBER - 0.0%
1,900 Cooper Tire & Rubber Co. 23,869
1,900 Goodrich (B.F.) Co. 54,506
------------
78,375
------------
TOBACCO - 0.2%
3,300 Fortune Brands, Inc. 82,500
60,000 Philip Morris Cos., Inc. 1,267,500
8,700 UST, Inc. 135,938
------------
1,485,938
------------
See Notes to Financial Statements.
--------------------------------------------------------------------------------
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Asset Management Portfolio
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 2000
SHARES DESCRIPTION VALUE
------ ----------- -----
TRUCKING, SHIPPING - 0.1%
9,500 Fedex Corp. $ 370,500
1,700 Ryder Systems, Inc. 38,569
------------
409,069
------------
UTILITY - ELECTRIC - 0.8%
6,000 AES Corp.(1) 472,500
2,400 Ameren Corp. 74,250
4,000 American Electric Power Co. 119,250
3,400 Carolina Power & Light Co. 110,288
4,900 Central & South West Corp. 83,606
3,200 Cinergy Corp. 68,800
6,000 CMS Energy 108,750
7,800 Consolidated Edison, Inc. 226,200
5,300 Constellation Energy Group, Inc. 168,938
5,200 Dominion Resource 199,875
5,100 DTE Energy Co. 147,900
8,800 Duke Power Co. 462,000
12,100 Edison International, Inc. 200,406
10,000 Entergy Corp. 201,875
10,100 FirstEnergy Corp. 208,313
5,300 Florida Progress Corp. 243,138
5,800 FPL Group, Inc. 267,163
2,000 GPU, Inc. 54,750
4,900 Niagara Mohawk Power Corp.(1) 66,150
1,800 New Century Energies, Inc. 54,112
4,000 Northern States Power Co. 79,500
7,500 PECO Energy 276,563
12,000 PG&E Corp. 252,000
1,000 Pinnacle West Capital Corp. 28,188
5,900 PPL Corp. 123,531
7,200 Public Service Enterprise Group, Inc. 213,300
6,500 Reliant Energy 152,345
19,400 Southern Co. 421,950
6,100 Texas Utilities Co. 181,094
6,800 Unicom Corp. 248,200
4,100 United Water Resources, Inc. 142,475
------------
5,657,410
------------
UTILITY - GAS, NATURAL GAS - 0.3%
7,900 Coastal Corp. 363,400
1,600 Columbia Energy Group 94,800
4,900 El Paso Energy Corp. 197,838
18,000 Enron Corp. 1,347,750
2,700 NICOR, Inc. 88,931
2,700 ONEOK, Inc. 67,500
2,500 People's Energy Corp. 68,594
5,349 Sempra Energy 89,596
------------
2,318,409
------------
UTILITY - TELEPHONE - 2.1%
39,400 Bell Atlantic Corp. 2,408,325
47,800 BellSouth Corp. 2,246,600
24,500 GTE Corp. 1,739,500
PRINCIPAL
AMOUNT/
SHARES DESCRIPTION VALUE
------ ----------- -----
73,330 Lucent Technologies, Inc. $ 4,454,798
90,800 SBC Communications, Inc. 3,813,600
14,800 U.S. West, Inc. 1,074,850
------------
15,737,673
------------
TOTAL COMMON STOCKS
(Cost $280,078,577) 341,388,353
------------
NON-CONVERTIBLE CORPORATE
DEBT - 6.1%
AEROSPACE - 0.5%
$3,940,000 Raytheon Co., 5.70%, 11/1/03 3,685,464
------------
BANKS - 1.5%
3,890,000 FleetBoston Financial Corp.,
8.625%, 1/15/07 4,067,645
2,945,000 First Union Capital II,
7.95%, 11/15/29 2,831,888
1,480,000 First Union National,
6.50%, 12/1/28 1,202,496
710,000 PNC Funding Corp.,
6.125%, 2/15/09 634,813
1,855,000 Republic New York, 9.70%, 2/1/09 2,076,105
------------
10,812,947
------------
FINANCIAL SERVICES - 2.0%
4,200,000 Allstate Corp., 7.20%, 12/1/09 4,024,776
3,725,000 Bear Stearns Co., 7.625%, 12/7/09 3,635,492
635,000 Farmers Insurance Exchange,
8.625%, 5/1/24b 649,659
Ford Motor Credit,
1,450,000 6.55%, 9/10/02 1,424,642
1,234,000 7.375%, 10/28/09 1,210,961
3,850,000 Frank Russell Co., 5.625%, 1/15/09 3,362,860
------------
14,308,390
------------
INDUSTRIAL - 1.2%
5,340,000 Air 2 US, 8.027%, 10/1/19(b) 5,346,595
Archstone Communities,
390,000 6.37%, 10/15/01 381,087
1,165,000 7.00%, 10/29/01 1,148,275
2,000,000 ERAC USA Finance Co.,
6.95%, 3/1/04b 1,943,772
260,000 Prologis Trust, 6.70%, 4/15/04 247,657
------------
9,067,386
------------
UTILITY - ELECTRIC - 0.9%
3,575,000 Enogex, Inc., 8.125%, 1/15/10 3,611,394
3,050,000 Nstar, 8.00%, 2/15/10 3,131,295
140,000 Potomac Edison, 8.00%, 6/1/24 138,189
------------
6,880,878
------------
TOTAL NON-CONVERTIBLE CORPORATE DEBT
(Cost $45,257,907) 44,755,065
------------
See Notes to Financial Statements.
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Asset Management Portfolio
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 2000
PRINCIPAL
AMOUNT DESCRIPTION VALUE
------ ----------- -----
ASSET-BACKED SECURITIES - 7.1%
$ 8,695,000 Citibank Credit Card Master Trust I,
6.65%, 11/15/06 $ 8,490,015
Conseco Finance,
3,830,000 7.80%, 5/15/20 3,863,532
5,030,000 7.60%, 12/15/29 5,021,575
3,140,000 Felco Funding II, 7.72%, 12/15/05 b 3,147,850
Green Point Manufactured Housing,
5,060,000 6.01%, 8/15/15 4,908,023
4,880,000 7.33%, 8/15/20 4,826,686
4,320,000 Household Automotive Trust IV,
7.48%, 12/18/06 4,369,529
3,735,000 Key Auto Finance, 5.83%, 1/15/07 3,632,568
MBNA Master Credit Card Trust,
5,500,000 6.60%, 11/15/04 5,448,163
5,100,000 7.00%, 2/15/12 5,025,260
3,600,000 Union Acceptance Corp.,
5.64%, 5/8/06 3,472,326
------------
TOTAL ASSET-BACKED SECURITIES
(Cost $52,052,028) 52,205,527
------------
COLLATERALIZED MORTGAGE OBLIGATIONS - 2.8%
7,589,849 Bear Stearns Commercial Mortgage
Securities, 7.64%, 2/15/09 7,659,758
5,520,000 Chase Mortgage Finance Corp.,
6.75%, 10/25/28 5,122,456
Norwest Asset Securities Corp.,
2,880,000 6.50%, 3/26/29 2,616,350
5,130,000 7.25%, 12/25/29 4,973,766
------------
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(Cost $20,250,352) 20,372,330
------------
PRINCIPAL
AMOUNT DESCRIPTION VALUE
------ ----------- -----
FOREIGN DEBT - 0.1%
470,000 Kingdom of Sweden,
12.00%, 2/1/10 637,114
95,000 New Zealand Government,
10.625%, 11/15/05 111,477
------------
Total Foreign Debt
(Cost $795,889) 748,591
------------
MUNICIPAL BONDS - 3.4%
830,000 Connecticut State Development
Authority Revenue,
8.375%, 10/15/04 852,829
2,595,000 Delaware River Port Authority PA & NJ,
Series A, 7.27%, 1/1/07 2,582,323
1,560,000 Greater Kentucky Housing Assistance
Corp.Mortgage Revenue,
7.20%, 2/1/06 1,536,542
5,340,000 Harrisburg, PA Housing Corp. Mortgage
Revenue, 10.00%, 7/15/24 5,668,074
3,155,000 Lansing, MI Board Water &Light
Water Supply, Series B,
7.30%, 7/1/06 3,144,305
Multnomah County OR,
2,120,000 7.20%, 6/1/10 2,076,472
2,360,000 7.25%, 6/1/11 2,315,554
2,435,000 Ross County, OH Water Co.,Inc.
Water Revenue, 8.25%, 8/1/25 2,531,718
2,515,000 Suburban Hospital Healthcare
System,Inc.,
7.865%, 2/15/27 2,619,951
1,455,000 Wyandotte County, KN,
8.50%, 12/1/05 1,436,817
------------
TOTAL MUNICIPAL BONDS
(Cost $24,776,370) 24,764,585
------------
See Notes to Financial Statements.
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21
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Asset Management Portfolio
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 2000
PRINCIPAL
AMOUNT DESCRIPTION VALUE
------ ----------- -----
U.S. GOVERNMENT AND AGENCIES - 5.5%
$ 4,240,346 FGLMC, 6.50%, 4/1/29 $ 3,982,918
2,357,935 FHLMC Pool #40465,
6.50%, 10/1/07 2,292,159
11,846,887 FHLMC, 7.00%, 6/1/09 11,670,784
5,160,000 FHLMC, 7.00%, 1/15/11 5,002,633
5,194,444 FHLMC, 6.00%, 3/15/29 4,814,704
3,990,000 FNMA Pool #382140, 7.03%, 1/25/07 3,935,378
1,887,496 FNMA Pool #323194, 6.361%, 7/1/08 1,788,033
5,388,483 FNMA Pool #190750, 7.00%, 3/1/09 5,308,026
1,917,300 FNMA Pool #381706, 6.26%, 6/1/09 1,791,070
------------
TOTAL U.S. GOVERNMENT AND AGENCIES
(Cost $41,113,639) 40,585,705
------------
U.S. TREASURY SECURITIES - 5.7%
6,110,000 U.S. Treasury Bond, 8.75%, 5/15/17 7,721,513
14,260,000 U.S. Treasury Bond, 8.125%, 8/15/19 17,334,813
10,999,000 U.S. Treasury Note, 6.625%, 3/31/02 11,019,623
3,105,000 U.S. Treasury Note, 7.875%, 11/15/04 3,289,359
2,060,000 U.S. Treasury Note, 6.00%, 8/15/09 2,034,250
------------
TOTAL U.S. TREASURY SECURITIES
(Cost $40,300,131) 41,399,558
------------
PRINCIPAL
AMOUNT/
SHARES DESCRIPTION VALUE
------ ----------- -----
SHORT-TERM INSTRUMENTS - 20.2%
MUTUAL FUND - 16.6%
122,065,472 Institutional Cash Management
Fund $122,065,472
------------
U.S. TREASURY SECURITIES - 3.6%
$ 130,000 U.S. Treasury Bill, 4.71%, 4/6/00(a) 129,943
6,200,000 U.S. Treasury Bill, 5.04%, 4/6/00(a) 6,197,303
9,495,000 U.S. Treasury Bill, 5.10%, 4/6/00(a) 9,490,870
150,000 U.S. Treasury Bill, 5.16%, 4/6/00(a) 149,935
260,000 U.S. Treasury Bill, 5.36%, 4/6/00(a) 259,887
10,000,000 U.S. Treasury Bill, 5.77%, 6/22/00 9,874,000
------------
26,101,938
------------
TOTAL SHORT-TERM INSTRUMENTS
(Cost $148,167,578) 148,167,410
------------
TOTAL INVESTMENTS
(Cost $652,792,471) 97.5% $714,387,124
OTHER ASSETS IN EXCESS OF LIABILITIES 2.5 18,630,211
----- ------------
NET ASSETS 100.0% $733,017,335
===== ============
--------------------------------------------------------------------------------
(1) Non-income producing security for the year ended March 31, 2000.
(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.
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22
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Asset Management Portfolio
--------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
<TABLE>
<CAPTION>
AS OF
MARCH 31, 2000
--------------
<S> <C>
ASSETS
Investments, at Value (cost $652,792,471) $714,387,124
Foreign Cash(1) 20,395,217
Receivable for Securities Sold 6,589,620
Dividends and Interest Receivable 3,776,079
Unrealized Appreciation on Forward Currency
Exchange Contracts 3,225
------------
Total Assets 745,151,265
------------
LIABILITIES
Due to Bankers Trust 406,620
Payable for Securities Purchased 7,278,819
Accrued Expenses and Other 21,384
Unrealized Depreciation on Forward Currency
Exchange Contracts 743,473
Variation Margin Payable (Domestic) 221,575
Variation Margin Payable (Foreign) 3,462,059
------------
Total Liabilities 12,133,930
------------
NET ASSETS $733,017,335
============
COMPOSITION OF NET ASSETS
Paid-in Capital $676,020,210
Net Unrealized Appreciation on Investments, Foreign Currencies,
Forward Foreign Currency and Futures Contracts 56,997,125
------------
NET ASSETS $733,017,335
============
</TABLE>
--------------------------------------------------------------------------------
(1) Foreign cash has a cost basis of $20,500,812.
See Notes to Financial Statements.
--------------------------------------------------------------------------------
23
<PAGE>
Asset Management Portfolio
--------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
<TABLE>
<CAPTION>
FOR THE YEAR ENDED
MARCH 31, 2000
------------------
<S> <C>
INVESTMENT INCOME
Dividends(1) $ 7,751,110
Interest 16,017,075
Total Investment Income 23,768,185
-----------
EXPENSES
Advisory Fees 4,697,424
Administration and Services Fees 722,681
Professional Fees 41,036
Trustees Fees 4,964
Miscellaneous 5,894
-----------
Total Expenses 5,471,999
Less: Fee Waivers or Expense Reimbursements (1,135,915)
-----------
Net Expenses 4,336,084
-----------
NET INVESTMENT INCOME 19,432,101
-----------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS,
FOREIGN CURRENCIES, FORWARD FOREIGN CURRENCY
AND FUTURES CONTRACTS
Net Realized Gain (Loss) from:
Investment Transactions 54,998,092
Foreign Currency Transactions (4,527,195)
Forward Foreign Currency Transactions (1,828,841)
Futures Transactions 26,691,042
Net Change in Unrealized Appreciation/Depreciation on
Investments, Foreign Currencies, Forward Foreign
Currency and Futures Contracts (1,499,042)
-----------
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS, FOREIGN
CURRENCIES, FORWARD FOREIGN CURRENCY AND
FUTURES CONTRACTS 73,834,056
-----------
NET INCREASE IN NET ASSETS FROM OPERATIONS $93,266,157
===========
<FN>
--------------------------------------------------------------------------------
(1) Net of foreign withholding tax of $39,485.
</FN>
</TABLE>
See Notes to Financial Statements.
--------------------------------------------------------------------------------
24
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Asset Management Portfolio
--------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
FOR THE YEARS ENDED MARCH 31,
2000 1999
--------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS
Net Investment Income $ 19,432,101 $ 19,717,061
Net Realized Gain from Investments, Foreign Currencies,
Forward Foreign Currency and Futures Transactions 75,333,098 30,887,338
Net Change in Unrealized Appreciation/Depreciation on Investments,
Foreign Currencies, Forward Foreign Currency and Futures Contracts (1,499,042) 29,150,269
------------- -------------
Net Increase in Net Assets from Operations 93,266,157 79,754,668
------------- -------------
CAPITAL TRANSACTIONS
Proceeds from Capital Invested 204,062,057 419,617,422
Value of Capital Withdrawn (268,438,376) (444,617,015)
------------- -------------
Net Decrease in Net Assets from Capital Transactions (64,376,319) (24,999,593)
------------- -------------
TOTAL INCREASE IN NET ASSETS 28,889,838 54,755,075
NET ASSETS
Beginning of Year 704,127,497 649,372,422
------------- -------------
End of Year $ 733,017,335 $ 704,127,497
============= =============
</TABLE>
See Notes to Financial Statements.
--------------------------------------------------------------------------------
25
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Asset Management Portfolio
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
Contained below are selected supplemental data and ratios to average net assets
for each period indicated for the Asset Management Portfolio.
<TABLE>
<CAPTION>
For the years ended March 31,
2000 1999 1998 1997 1996
----------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Year (000s omitted) $733,017 $704,127 $649,372 $348,539 $240,142
Ratios to Average Net Assets:
Net Investment Income 2.69% 2.91% 2.97% 3.12% 3.99%
Expenses After Waivers 0.60% 0.60% 0.60% 0.60% 0.60%
Expenses Before Waivers 0.76% 0.76% 0.76% 0.76% 0.77%
Portfolio Turnover Rate 222% 109% 199% 137% 154%
</TABLE>
See Notes to Financial Statements.
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26
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Asset Management Portfolio
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
NOTE 1--ORGANIZATION AND SIGNIFICANT
ACCOUNTING POLICIES
A. ORGANIZATION
The Asset Management Portfolio (the "Portfolio") is registered under the
Investment Company Act of 1940 ("the Act"), as amended, as an open-end
management investment company. The Portfolio was organized on June 9, 1992 and
began operations on September 16, 1993. The Declaration of Trust permits the
Board of Trustees (the "Trustees") to issue beneficial interests in the
Portfolio.
B. SECURITY VALUATION
The Portfolio's investments listed or traded on National Stock Exchanges or
other domestic or foreign exchanges are valued based on their 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. SECURITY TRANSACTIONS AND INTEREST INCOME
Security transactions are accounted for on a trade date basis. Dividend income,
less foreign taxes withheld, if any, is recorded on the ex-dividend date or upon
receipt of ex-dividend notification in the case of certain foreign securities.
Interest income is recorded on the accrual basis and includes amortization of
premium and 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 security and foreign currency transactions of the Portfolio are
allocated pro rata among the investors in the Portfolio at the time of such
determination.
D. TBA PURCHASE COMMITMENTS
The Portfolio may enter into "TBA" (to be announced) purchase commitments to
purchase securities for a fixed price at a future date, typically not exceeding
45 days. TBA purchase commitments may be considered securities in themselves,
and involve a risk of loss if the value of the security to be purchased declines
prior to settlement date. 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 "Security Valuation" above.
E. FOREIGN CURRENCY TRANSACTIONS
The books and records of the Portfolio are maintained in U.S. dollars. All
assets and liabilities initially expressed in foreign currencies are converted
into U.S. dollars at prevailing exchange rates. Purchases and sales of
investment securities, dividend and interest income, and certain expenses are
translated at the rates of exchange prevailing on the respective dates of such
transactions.
F. FORWARD FOREIGN CURRENCY CONTRACTS
The Portfolio may enter into forward foreign currency contracts for the purpose
of settling specific purchases or sales of securities denominated in a foreign
currency or with respect to the Portfolio's investments. The net U.S. dollar
value of foreign currency underlying all contractual commitments held by the
Portfolio and the resulting unrealized appreciation or depreciation are
determined using prevailing exchange rates. With respect to forward foreign
currency contracts, losses in excess of amounts recognized in the Statement of
Operations may arise due to changes in the value of the foreign currency or if
the counterparty does not perform under the contract.
G. OPTION CONTRACTS
The Portfolio may enter into option contracts. Upon the purchase of a put option
or a call option by 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.
--------------------------------------------------------------------------------
27
<PAGE>
Asset Management Portfolio
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
H. FUTURES CONTRACTS
The Portfolio may enter into financial futures contracts, which are contracts to
buy a standard quantity of securities at a specified price on a future date. The
Portfolio is required to make initial margin deposits either in cash or
securities in an amount equal to a certain percentage of the contract amount.
Variation margin payments are made or received by the Portfolio each day,
depending on the daily fluctuations in the value of the underlying security, and
are recorded for financial statement purposes as unrealized gains or losses by
the Portfolio.
Futures contracts involve certain risks. These risks could include a lack of
correlation between the futures contract and the corresponding securities
market, a potential lack of liquidity in the secondary market and incorrect
assessments of market trends which may result in poorer overall performance than
if a futures contract had not been entered into.
Futures contracts are valued at the settlement price established each day by the
board of trade or exchange on which they are traded.
I. FEDERAL INCOME TAXES
The Portfolio is considered a Partnership under the Internal Revenue Code.
Therefore, no federal income tax provision is necessary.
J. OTHER
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 entered into an Administration and Services Agreement with Bankers
Trust Company ("Bankers Trust"), an indirect wholly owned subsidiary of Deutsche
Bank A.G. Under this agreement, Bankers Trust provides administrative, custody,
transfer agency and shareholder services to the Portfolio in return for a fee
computed daily and paid monthly at an annual rate of .10% of the Portfolio's
average daily net assets.
The Portfolio entered into an Advisory Agreement with Bankers Trust. Under
this agreement, the Portfolio pays Bankers Trust an advisory fee computed daily
and paid monthly at an annual rate of .65% of the Portfolio's average daily net
assets.
Bankers Trust has contractually agreed to waive its fees through July 31, 2001
and reimburse expenses of the Portfolio, to the extent necessary, to limit all
expenses to .60% of the average daily net assets of the Portfolio.
The Portfolio may invest in the Institutional Cash Management Fund (the "Cash
Management Fund"), an open-end management investment company managed by Bankers
Trust. The Cash Management Fund is offered as a cash management option to the
Portfolio and other accounts managed by Bankers Trust. Distributions from the
Cash Management Fund to the Portfolio for the year ended March 31, 2000 amounted
to $3,337,345 and are included in dividend income.
The following summarizes the purchase and sales of the Institutional Cash
Management Fund for the Asset Management Portfolio during the year ended March
31, 2000.
Purchases Sales
------------ ---------
$296,831,614 $235,656,205
At March 31, 2000, the Portfolio was a participant with other affiliated
entities in a revolving credit facility in the amount of $150,000,000, which
expires April 29, 2000. A commitment fee 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 year ended March 31, 2000.
Subsequent to March 31, 2000, the revolving credit facility was renewed and
increased to $200,000,000, which expires April 27, 2001.
--------------------------------------------------------------------------------
28
<PAGE>
Asset Management Portfolio
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
NOTE 3--PURCHASES AND SALES OF INVESTMENT
SECURITIES
The aggregate cost of purchases and proceeds from sales of investments, other
than short-term obligations, for the year ended March 31, 2000, were
$1,184,370,725 and $1,047,124,300, respectively.
For federal income tax purposes, the tax basis of investments held at March 31,
2000 was $657,116,566. The aggregate gross unrealized appreciation for all
investments was $80,908,466 and the aggregate gross unrealized depreciation for
all investments was $23,637,908.
NOTE 4--FUTURES CONTRACTS
A summary of obligations under these financial instruments at March 31, 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 June 16, 2000 (179) Short $ (67,809,675) $(4,343,211)
S&P 500 Index Futures June 16, 2000 123 Long 46,595,475 3,775,391
U.S. Treasury Note Futures June 22, 2000 (690) Short (67,673,820) (2,237,098)
Tokyo Price Index Futures June 19, 2000 108 Long 17,950,868 729,079
Milan Stock Exchange Futures June 16, 2000 151 Long 33,370,030 (1,937,126)
DAX Index Futures June 14, 2000 179 Long 32,514,532 (720,349)
Toronto Stock Exchange 60
Index Futures June 16, 2000 215 Long 17,135,962 971,557
----------------------- ------ ------------- -----------
Total (93) $ 12,083,372 $(3,761,757)
====== ============= ===========
</TABLE>
NOTE 5--OPEN FORWARD FOREIGN CURRENCY CONTRACTS
A summary of obligations under these financial instruments at March 31, 2000 is
as follows:
<TABLE>
<CAPTION>
CONTRACT NET UNREALIZED
CONTRACTS TO DELIVER IN EXCHANGE FOR SETTLEMENT DATE VALUE (US$) DEPRECIATION (US$)
----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Purchases
----------------------------------------------------------------------------------------------------------------
Euro Dollar 52,734,000 U.S. Dollars $51,150,261 4/6/2000 $50,410,013 $(740,248)
----------------------------------------------------------------------------------------------------------------
Total Net Unrealized Depreciation $(740,248)
----------------------------------------------------------------------------------------------------------------
</TABLE>
--------------------------------------------------------------------------------
29
<PAGE>
Asset Management Portfolio
--------------------------------------------------------------------------------
REPORT OF INDEPENDENT ACCOUNTANTS
To the Trustees of BT Advisor Funds and Shareholders
of the BT Institutional Asset Management Fund:
In our opinion, the accompanying statement of assets and liabilities, including
the portfolio of investments, and the related statements of operations and of
changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of the Asset Management Portfolio
(hereafter referred to as the "Portfolio") at March 31, 2000, and the results of
its operations, the changes in its net assets and the financial highlights for
each of the fiscal periods presented, in conformity with accounting principles
generally accepted in the United States. These financial statements and
financial highlights (hereafter referred to as "financial statements") are the
responsibility of the Portfolio's management; our responsibility is to express
an opinion on these financial statements based on our audits. We conducted our
audits of these financial statements in accordance with auditing standards
generally accepted in the United States, which require that we plan and perform
the audit to obtain reasonable assurance about whether the financial statements
are free of material misstatement. An audit includes examining, on a test basis,
evidence supporting the amounts and disclosures in the financial statements,
assessing the accounting principles used and significant estimates made by
management, and evaluating the overall financial statement presentation. We
believe that our audits, which included confirmation of securities at March 31,
2000 by correspondence with the custodian and brokers, provide a reasonable
basis for the opinion expressed above.
PricewaterhouseCoopers LLP
Baltimore, Maryland
May 5, 2000
--------------------------------------------------------------------------------
30
<PAGE>
<PAGE>
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.
BT Institutional Asset Management Fund CUSIP #055847404
BT PYRAMID MUTUAL FUNDS 1682ANN (3/00)
Distributed by:
ICC Distributors, Inc.
