<PAGE> 1
ASSET MANAGEMENT PORTFOLIO 10
------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
===============================================================================================================
September 30, 1995 (unaudited)
- ---------------------------------------------------------------------------------------------------------------
<S> <C>
ASSETS
- ---------------------------------------------------------------------------------------------------------------
Investments, at Value (Cost $161,898,856, including Repurchase Agreement
amounting to $33,060,340) $169,979,969
- ---------------------------------------------------------------------------------------------------------------
Cash 42,914
- ---------------------------------------------------------------------------------------------------------------
Receivable for Securities Sold 2,838,282
- ---------------------------------------------------------------------------------------------------------------
Dividends and Interest Receivable 638,968
- ---------------------------------------------------------------------------------------------------------------
Prepaid Expenses 189
- ---------------------------------------------------------------------------------------------------------------
Variation Margin Receivable 47,500
- ---------------------------------------------------------------------------------------------------------------
Total Assets 173,547,822
- ---------------------------------------------------------------------------------------------------------------
LIABILITIES
- ---------------------------------------------------------------------------------------------------------------
Due to Bankers Trust 78,995
- ---------------------------------------------------------------------------------------------------------------
Payable for Securities Purchased 4,203,132
- ---------------------------------------------------------------------------------------------------------------
Accrued Expenses and Accounts Payable 13,375
- ---------------------------------------------------------------------------------------------------------------
Total Liabilities 4,295,502
- ---------------------------------------------------------------------------------------------------------------
NET ASSETS $169,252,320
===============================================================================================================
COMPOSITION OF NET ASSETS
- ---------------------------------------------------------------------------------------------------------------
Paid-in Capital $160,086,761
- ---------------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Securities 8,081,113
- ---------------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Futures Contracts 1,084,446
- ---------------------------------------------------------------------------------------------------------------
NET ASSETS, SEPTEMBER 30, 1995 $169,252,320
===============================================================================================================
</TABLE>
See Notes to Financial Statements on Pages 22 and 23
<PAGE> 2
ASSET MANAGEMENT PORTFOLIO 11
------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
===============================================================================================================
For the six months ended September 30, 1995 (unaudited)
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C>
INVESTMENT INCOME
- ---------------------------------------------------------------------------------------------------------------
Dividends $ 753,329
- ---------------------------------------------------------------------------------------------------------------
Interest 2,664,172
- ---------------------------------------------------------------------------------------------------------------
Total Investment Income $ 3,417,501
- ---------------------------------------------------------------------------------------------------------------
EXPENSES
- ---------------------------------------------------------------------------------------------------------------
Advisory Fee 442,103
- ---------------------------------------------------------------------------------------------------------------
Administration and Services Fee 68,016
- ---------------------------------------------------------------------------------------------------------------
Professional Fees 6,733
- ---------------------------------------------------------------------------------------------------------------
Insurance 1,332
- ---------------------------------------------------------------------------------------------------------------
Trustees Fees 757
- ---------------------------------------------------------------------------------------------------------------
Total Expenses 518,941
- ---------------------------------------------------------------------------------------------------------------
Less:Expenses Absorbed by Bankers Trust (110,846) 408,095
- ---------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 3,009,406
- ---------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON SECURITIES AND FUTURES
- ---------------------------------------------------------------------------------------------------------------
Net Realized Gain from SecuritiesTransactions 2,059,702
- ---------------------------------------------------------------------------------------------------------------
Net Realized Gain from Futures Contracts 1,778,455
- ---------------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Securities 6,377,993
- ---------------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Futures Contracts 875,921
- ---------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN ON SECURITIES AND FUTURES 11,092,071
- ---------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $14,101,477
===============================================================================================================
</TABLE>
See Notes to Financial Statements on Pages 22 and 23
<PAGE> 3
ASSET MANAGEMENT PORTFOLIO 12
------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENT OF CHANGES IN NET ASSETS
===============================================================================================================
For the
six months ended For the
September 30, 1995 year ended
(unaudited) March 31, 1995
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
- ---------------------------------------------------------------------------------------------------------------
FROM OPERATIONS
- ---------------------------------------------------------------------------------------------------------------
Net Investment Income $ 3,009,406 $ 3,350,844
- ---------------------------------------------------------------------------------------------------------------
Net Realized Gain (Loss) from Securities and Futures Transactions 3,838,157 (85,052)
- ---------------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Securities and Futures Contracts 7,253,914 3,010,076
- ---------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Operations 14,101,477 6,275,868
- ---------------------------------------------------------------------------------------------------------------
FROM CAPITAL TRANSACTIONS
- ---------------------------------------------------------------------------------------------------------------
Proceeds from Capital Invested 84,519,923 77,053,606
- ---------------------------------------------------------------------------------------------------------------
Value of Capital Withdrawn (25,897,844) (23,083,892)
- ---------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Capital Transactions 58,622,079 53,969,714
- ---------------------------------------------------------------------------------------------------------------
TOTAL INCREASE IN NET ASSETS 72,723,556 60,245,582
===============================================================================================================
NET ASSETS
- ---------------------------------------------------------------------------------------------------------------
Beginning of Period 96,528,764 36,283,182
- ---------------------------------------------------------------------------------------------------------------
End of Period $169,252,320 $96,528,764
===============================================================================================================
</TABLE>
See Notes to Financial Statements on Pages 22 and 23
<PAGE> 4
ASSET MANAGEMENT PORTFOLIO 13
------------------------------------------------------
FINANCIAL HIGHLIGHTS
===============================================================================
Contained below are selected ratios and supplemental data for each of the
periods indicated for the Asset Management Portfolio.
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------
For the period
For the September 16, 1993
six months ended For the (Commencement
September 30, 1995 year ended of Operations) to
(unaudited) March 31, 1995 March 31, 1994
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
RATIOS AND SUPPLEMENTAL DATA
Ratio of Net Investment Income to Average Net Assets 4.42%* 3.78% 2.83%*
Ratio of Expenses to Average Net Assets 0.60%* 0.60% 0.60%*
Decrease Reflected in Above Ratio of Expenses to Average
Net Assets Due to Absorption of Expenses by Bankers Trust 0.16%* 0.19% 0.33%*
Portfolio Turnover Rate 48% 92% 56%
Net Assets, End of Period (000's omitted) $169,252 $96,529 $36,283
</TABLE>
* Annualized
See Notes to Financial Statements on Pages 22 and 23
<PAGE> 5
ASSET MANAGEMENT PORTFOLIO 14
------------------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
===============================================================================
September 30, 1995 (unaudited)
SHARES DESCRIPTION VALUE
=================================================================
<S> <C> <C>
COMMON STOCKS - 33.95%
- -----------------------------------------------------------------
AEROSPACE - 0.12%
- -----------------------------------------------------------------
3,000 Lockheed Martin $ 201,375
=================================================================
AIRLINES - 0.39%
- -----------------------------------------------------------------
4,600 AMR (a) 331,775
- -----------------------------------------------------------------
4,700 Delta Air Lines 325,475
- -----------------------------------------------------------------
657,250
=================================================================
AUTO RELATED - 2.26%
- -----------------------------------------------------------------
14,200 Chrysler 752,600
- -----------------------------------------------------------------
25,400 Dana 733,425
- -----------------------------------------------------------------
19,900 Ford Motor 619,387
- -----------------------------------------------------------------
24,600 General Motors 1,153,125
- -----------------------------------------------------------------
6,600 General Motors, Cl E 300,300
- -----------------------------------------------------------------
5,700 PACCAR 266,475
- -----------------------------------------------------------------
3,825,312
=================================================================
AVIATION SERVICES - 0.37%
- -----------------------------------------------------------------
26,800 Ogden 629,800
=================================================================
BANKS - 0.71%
- -----------------------------------------------------------------
1,400 BankAmerica 83,825
- -----------------------------------------------------------------
4,200 BayBanks 318,675
- -----------------------------------------------------------------
2,500 Citicorp 176,875
- -----------------------------------------------------------------
6,200 First Interstate Bancorp 624,650
- -----------------------------------------------------------------
1,204,025
=================================================================
BEVERAGES - 0.90%
- -----------------------------------------------------------------
7,100 Coca Cola 489,900
- -----------------------------------------------------------------
20,200 Pepsico 1,030,200
- -----------------------------------------------------------------
1,520,100
=================================================================
BROADCASTING - 0.09%
=================================================================
2,000 Clear Channel
Communications (a) 151,500
=================================================================
BUILDING & CONSTRUCTION - 0.16%
- -----------------------------------------------------------------
9,100 Centex 263,900
=================================================================
BUILDING FOREST PRODUCTS - 0.13%
- -----------------------------------------------------------------
2,000 Champion International 107,750
- -----------------------------------------------------------------
9,000 Kaufman & Broad Home 113,625
- -----------------------------------------------------------------
221,375
=================================================================
CHEMICALS - 0.83%
- -----------------------------------------------------------------
3,400 Air Products & Chemical 177,225
- -----------------------------------------------------------------
11,900 Du Pont (E.I.) De Nemours 818,125
- -----------------------------------------------------------------
4,100 Monsanto 413,075
- -----------------------------------------------------------------
1,408,425
=================================================================
COMPUTER - 0.01%
- -----------------------------------------------------------------
300 Bay Networks (a) 16,012
=================================================================
COMPUTER SOFTWARE - 0.99%
- -----------------------------------------------------------------
4,100 Cisco Systems (a) 282,900
- -----------------------------------------------------------------
6,050 Computer Associates International 255,613
- -----------------------------------------------------------------
1,700 Informix (a) 55,250
- -----------------------------------------------------------------
10,700 Microsoft (a) 968,350
- -----------------------------------------------------------------
3,000 Oracle Systems (a) 115,125
- -----------------------------------------------------------------
1,677,238
=================================================================
CONTAINERS - 0.40%
- -----------------------------------------------------------------
12,600 Temple-Inland 670,950
=================================================================
DIVERSIFIED - 0.56%
- -----------------------------------------------------------------
14,000 Textron 955,500
=================================================================
DRUGS - 1.69%
- -----------------------------------------------------------------
24,500 Merck & Co. 1,372,000
- -----------------------------------------------------------------
16,600 Pfizer 886,025
- -----------------------------------------------------------------
11,600 Schering-Plough 597,400
- -----------------------------------------------------------------
2,855,425
=================================================================
</TABLE>
See Notes to Financial Statements on Pages 22 and 23
<PAGE> 6
ASSET MANAGEMENT PORTFOLIO 15
------------------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
===============================================================================
September 30, 1995 (unaudited)
SHARES DESCRIPTION VALUE
=================================================================
<S> <C> <C>
ELECTRICAL EQUIPMENT - 2.38%
- -----------------------------------------------------------------
4,500 Duracell International $ 201,937
- -----------------------------------------------------------------
42,000 General Electric 2,677,500
- -----------------------------------------------------------------
2,300 General Instrument (a) 69,000
- -----------------------------------------------------------------
12,000 Hewlett-Packard 1,000,500
- -----------------------------------------------------------------
2,000 Linear Technology 83,000
- -----------------------------------------------------------------
4,031,937
=================================================================
ELECTRONICS - 1.63%
- -----------------------------------------------------------------
7,900 AlliedSignal 348,587
- -----------------------------------------------------------------
5,500 AMP 211,750
- -----------------------------------------------------------------
7,100 Intel 426,887
- -----------------------------------------------------------------
14,900 Motorola 1,137,988
- -----------------------------------------------------------------
9,800 Teradyne (a) 352,800
- -----------------------------------------------------------------
3,600 Texas Instruments 287,550
- -----------------------------------------------------------------
2,765,562
=================================================================
FINANCIAL SERVICES - 1.14%
- -----------------------------------------------------------------
1,600 Federal National Mortgage Assoc. 165,600
- -----------------------------------------------------------------
10,000 First Data 620,000
- -----------------------------------------------------------------
4,500 Household International 279,000
- -----------------------------------------------------------------
5,500 MBNA 228,937
- -----------------------------------------------------------------
11,900 Travelers Group 632,188
- -----------------------------------------------------------------
1,925,725
=================================================================
FOOD SERVICES & LODGING - 0.36%
- -----------------------------------------------------------------
15,900 McDonald's 608,175
=================================================================
FOODS - 0.88%
- -----------------------------------------------------------------
9,000 CPC International 594,000
- -----------------------------------------------------------------
3,000 Hershey Foods 193,125
- -----------------------------------------------------------------
1,800 Premark International 91,575
- -----------------------------------------------------------------
20,600 Sara Lee 612,850
- -----------------------------------------------------------------
1,491,550
=================================================================
HEALTH CARE DIVERSIFIED - 0.64%
- -----------------------------------------------------------------
22,800 Abbott Laboratories 971,850
- -----------------------------------------------------------------
2,200 Columbia/HCA Healthcare 106,975
- -----------------------------------------------------------------
1,078,825
=================================================================
HOSPITAL SUPPLIES & SERVICES - 1.04%
- -----------------------------------------------------------------
17,000 Johnson &Johnson 1,260,125
- -----------------------------------------------------------------
3,200 St. Jude Medical 202,400
- -----------------------------------------------------------------
6,000 United Healthcare 293,250
- -----------------------------------------------------------------
1,755,775
=================================================================
HOTELS & MOTELS - 0.12%
- -----------------------------------------------------------------
5,300 Marriott International 198,087
=================================================================
HOUSEHOLD PRODUCTS - 1.13%
- -----------------------------------------------------------------
4,500 Clorox 321,188
- -----------------------------------------------------------------
20,600 Procter & Gamble 1,586,200
- -----------------------------------------------------------------
1,907,388
=================================================================
INSURANCE - 1.05%
- -----------------------------------------------------------------
13,050 American International Group 1,109,250
- -----------------------------------------------------------------
4,400 General Re 664,400
- -----------------------------------------------------------------
1,773,650
=================================================================
LEISURE RELATED - 0.84%
- -----------------------------------------------------------------
16,500 Disney (Walt) 946,688
- -----------------------------------------------------------------
6,000 Harcourt General 251,250
- -----------------------------------------------------------------
10,400 Outboard Marine 223,600
- -----------------------------------------------------------------
1,421,538
=================================================================
MACHINERY - AGRICULTURE - 0.29%
- -----------------------------------------------------------------
6,100 Deere & Co. 496,388
=================================================================
</TABLE>
See Notes to Financial Statements on Pages 22 and 23
<PAGE> 7
ASSET MANAGEMENT PORTFOLIO 16
------------------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
===============================================================================
September 30, 1995 (unaudited)
SHARES DESCRIPTION VALUE
=================================================================
<S> <C> <C>
MACHINERY - OTHER - 0.14%
- -----------------------------------------------------------------
6,000 Dover $ 229,500
=================================================================
MANUFACTURING - 0.12%
- -----------------------------------------------------------------
5,600 Millipore 210,000
=================================================================
METALS - 0.21%
- -----------------------------------------------------------------
6,200 Alcan Aluminum Ltd. 200,725
- -----------------------------------------------------------------
5,100 Asarco 160,650
- -----------------------------------------------------------------
361,375
=================================================================
OFFICE EQUIPMENT - 0.66%
- -----------------------------------------------------------------
8,100 International Business Machines 764,437
- -----------------------------------------------------------------
1,100 Sun Microsystems (a) 69,300
- -----------------------------------------------------------------
12,500 Unisys (a) 98,438
- -----------------------------------------------------------------
1,400 Xerox 188,125
- -----------------------------------------------------------------
1,120,300
=================================================================
OIL DOMESTIC - 0.46%
- -----------------------------------------------------------------
17,000 Tenneco 786,250
=================================================================
OIL INTERNATIONAL - 1.79%
- -----------------------------------------------------------------
8,600 Exxon 621,350
- -----------------------------------------------------------------
13,100 Royal Dutch Petroleum 1,608,025
- -----------------------------------------------------------------
12,500 Texaco 807,813
- -----------------------------------------------------------------
3,037,188
=================================================================
OIL SUPPLIES & CONSTRUCTION - 0.38%
- -----------------------------------------------------------------
9,900 Schlumberger Ltd. 645,975
=================================================================
PAPER - 0.16%
- -----------------------------------------------------------------
6,400 International Paper 268,800
=================================================================
PETROLEUM RELATED - 0.85%
- -----------------------------------------------------------------
17,100 Ashland Oil 570,713
- -----------------------------------------------------------------
8,000 Atlantic Richfield 859,000
- -----------------------------------------------------------------
1,429,713
=================================================================
PHOTOGRAPHY & OPTICAL - 0.04%
- -----------------------------------------------------------------
1,100 Eastman Kodak 65,175
=================================================================
PRINTING & PUBLISHING - 0.40%
- -----------------------------------------------------------------
3,000 McGraw-Hill 245,250
- -----------------------------------------------------------------
10,800 Time Warner 429,300
- -----------------------------------------------------------------
674,550
=================================================================
RAILROADS - 0.34%
- -----------------------------------------------------------------
8,300 Conrail 570,625
=================================================================
REAL ESTATE - 0.15%
- -----------------------------------------------------------------
9,200 Pulte 261,050
=================================================================
RETAIL - 1.17%
- -----------------------------------------------------------------
12,100 Dayton Hudson 918,087
- -----------------------------------------------------------------
23,300 Fleming 559,200
- -----------------------------------------------------------------
20,300 Wal-Mart Stores 504,963
- -----------------------------------------------------------------
1,982,250
=================================================================
TELECOMMUNICATIONS - 1.22%
- -----------------------------------------------------------------
17,600 AT&T 1,157,200
- -----------------------------------------------------------------
4,000 Capital Cities/ABC 470,500
- -----------------------------------------------------------------
22,200 Comcast, Cl A 444,000
- -----------------------------------------------------------------
2,071,700
=================================================================
TOBACCO - 0.93%
- -----------------------------------------------------------------
28,400 American Brands 1,199,900
- -----------------------------------------------------------------
4,400 Philip Morris 367,400
- -----------------------------------------------------------------
1,567,300
=================================================================
TRUCKING - SHIPPING - 0.34%
- -----------------------------------------------------------------
22,700 Ryder System 576,013
=================================================================
UTILITY - ELECTRIC - 2.82%
- -----------------------------------------------------------------
3,600 American Electric Power 130,950
- -----------------------------------------------------------------
31,600 Detroit Edison 1,019,100
- -----------------------------------------------------------------
</TABLE>
See Notes to Financial Statements on Pages 22 and 23
<PAGE> 8
ASSET MANAGEMENT PORTFOLIO 17
------------------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
===============================================================================
September 30, 1995 (unaudited)
SHARES DESCRIPTION VALUE
=================================================================
<S> <C>
26,100 Houston Industries $ 1,151,662
- -----------------------------------------------------------------
26,400 Pacific Gas &Electric 788,700
- -----------------------------------------------------------------
45,300 Peco Energy 1,296,713
- -----------------------------------------------------------------
21,900 SCE 388,725
- -----------------------------------------------------------------
4,775,850
=================================================================
UTILITY - NATURAL GAS - 0.54%
- -----------------------------------------------------------------
20,200 ONEOK 469,650
- -----------------------------------------------------------------
16,100 Panhandle Eastern 438,725
- -----------------------------------------------------------------
908,375
=================================================================
UTILITY - TELEPHONE - 0.12%
- -----------------------------------------------------------------
3,300 Bell Atlantic 202,537
=================================================================
TOTAL COMMON STOCKS
(Cost $50,066,756) $57,457,313
=================================================================
PREFERRED STOCK
NON-CONVERTIBLE - 0.00%
- -----------------------------------------------------------------
DIVERSIFIED - 0.00%
- -----------------------------------------------------------------
146 Teledyne (Cost $1,678) $ 2,026
=================================================================
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT CORPORATE DEBENTURES - 2.39%
- -----------------------------------------------------------------
<S> <C>
BANKS - 0.67%
- -----------------------------------------------------------------
$ 220,000 Citicorp, 8.00%, 2/1/03 $ 235,356
- -----------------------------------------------------------------
275,000 Dresdner Bank, 6.625%, 9/15/05 273,698
- -----------------------------------------------------------------
100,000 Fleet/Norstar Group, 7.65%, 3/1/97 101,598
- -----------------------------------------------------------------
425,000 International Bank Reconstruction
& Development, 8.875%, 3/1/26 521,479
- -----------------------------------------------------------------
1,132,131
=================================================================
FINANCIAL SERVICES - 0.73%
- -----------------------------------------------------------------
150,000 Dean Witter Discover, 6.875%, 3/1/03 151,086
- -----------------------------------------------------------------
105,000 Goldman Sachs, 6.3125%, 2/23/98 (b)(e) 105,058
- -----------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT DESCRIPTION VALUE
=================================================================
<S> <C>
$ 195,000 KFW International Finance,
8.20%, 6/1/06 $ 216,076
- -----------------------------------------------------------------
190,000 PaineWebber Group,
9.25%, 12/15/01 209,738
- -----------------------------------------------------------------
155,000 Swedish Export Credit,
9.875%, 3/15/38 170,951
- -----------------------------------------------------------------
380,000 Washington Mutual Savings Bank,
7.25%, 8/15/05 385,949
- -----------------------------------------------------------------
1,238,858
=================================================================
INDUSTRIAL - 0.19%
- -----------------------------------------------------------------
220,000 Auburn Hills Trust, 12.00%, 5/1/20 323,245
=================================================================
OIL INTERNATIONAL - 0.05%
- -----------------------------------------------------------------
85,000 BHP Finance USA, 7.875%, 12/1/02 90,050
=================================================================
RETAIL - 0.25%
- -----------------------------------------------------------------
260,000 J.C. Penney, 6.50%, 6/15/02 258,620
- -----------------------------------------------------------------
150,000 May Department Stores,
8.375%, 8/1/24 161,056
- -----------------------------------------------------------------
419,676
=================================================================
UTILITY - ELECTRIC - 0.38%
- -----------------------------------------------------------------
240,000 Delmarva Power & Light,
7.71%, 6/1/25 244,411
- -----------------------------------------------------------------
35,000 Idaho Power, 8.00%, 3/15/04 37,530
- -----------------------------------------------------------------
140,000 Potomac Edison, 8.00%, 6/1/24 145,601
- -----------------------------------------------------------------
195,000 Virginia Electric & Power,
8.625%, 10/1/24 216,828
- -----------------------------------------------------------------
644,370
=================================================================
UTILITY - NATURAL GAS - 0.12%
- -----------------------------------------------------------------
175,000 KN Energy, 9.625%, 8/1/21 200,558
=================================================================
TOTAL CORPORATE DEBENTURES
(Cost $3,935,646) $4,048,888
=================================================================
</TABLE>
See Notes to Financial Statements on Pages 22 and 23
<PAGE> 9
ASSET MANAGEMENT PORTFOLIO 18
------------------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
===============================================================================
September 30, 1995 (unaudited)
PRINCIPAL
AMOUNT DESCRIPTION VALUE
=================================================================
<S> <C> <C>
CORPORATE DEBENTURES
FOREIGN - 0.15%
- -----------------------------------------------------------------
GERMANY - 0.15%
- -----------------------------------------------------------------
$ 260,000 Norddeutsche Landesbank,
6.875%, 3/10/03 (Cost $249,053) $ 260,813
=================================================================
ASSET-BACKED SECURITIES - 9.52%
- -----------------------------------------------------------------
CORPORATE - 0.32%
- -----------------------------------------------------------------
Standard Credit Card:
- -----------------------------------------------------------------
$ 140,000 8.25%, 11/7/03 $ 151,547
- -----------------------------------------------------------------
375,000 7.25%, 4/7/06 388,452
- -----------------------------------------------------------------
539,999
=================================================================
U.S. GOVERNMENT & AGENCIES - 9.20%
- -----------------------------------------------------------------
FGHLMC: (d)
- -----------------------------------------------------------------
41,215 8.50%, 12/1/24 42,680
- -----------------------------------------------------------------
29,422 8.50%, 1/1/25 30,452
- -----------------------------------------------------------------
790,178 8.50%, 2/1/25 818,269
- -----------------------------------------------------------------
197,671 9.50%, 2/1/25 208,972
- -----------------------------------------------------------------
FHLMC: (d)
- -----------------------------------------------------------------
335,000 6.93%, 9/5/00 338,008
- -----------------------------------------------------------------
222,531 8.50%, 3/1/23 232,009
- -----------------------------------------------------------------
631,201 8.50%, 3/1/25) 653,880
- -----------------------------------------------------------------
FNMA: (d)
- -----------------------------------------------------------------
274,673 6.00%, 1/1/01 270,520
- -----------------------------------------------------------------
325,000 8.625%, 11/10/04 348,927
- -----------------------------------------------------------------
628,088 7.00%, 9/1/07 630,443
- -----------------------------------------------------------------
419,896 6.50%, 9/1/08 414,122
- -----------------------------------------------------------------
643,697 6.00%, 1/1/09 624,816
- -----------------------------------------------------------------
173,033 7.00%, 5/1/09 173,682
- -----------------------------------------------------------------
379,003 7.00%, 6/1/09 380,425
- -----------------------------------------------------------------
390,674 8.00%, 4/1/10 401,656
- -----------------------------------------------------------------
1,016,471 7.00%, 8/1/10 1,019,420
- -----------------------------------------------------------------
507,742 7.00%, 9/1/10 509,169
- -----------------------------------------------------------------
1,500,000 7.50%, 9/1/21 1,510,310
- -----------------------------------------------------------------
177,580 7.50%, 8/1/23 178,800
- -----------------------------------------------------------------
440,876 6.50%, 10/1/23 425,169
- -----------------------------------------------------------------
1,333,412 8.00%, 5/1/25 1,365,078
- -----------------------------------------------------------------
1,105,978 8.00%, 7/1/25 1,130,862
- -----------------------------------------------------------------
GNMA: (d)
- -----------------------------------------------------------------
352,979 7.00%, 9/15/23 349,007
- -----------------------------------------------------------------
982,862 8.50%, 10/20/24 1,018,791
- -----------------------------------------------------------------
2,420,816 8.00%, 7/15/25 2,488,865
- -----------------------------------------------------------------
15,564,332
=================================================================
TOTAL ASSET-BACKED SECURITIES
(Cost $16,011,558) $16,104,331
=================================================================
GOVERNMENTS FOREIGN - 0.43%
- -----------------------------------------------------------------
CANADA - 0.07%
- -----------------------------------------------------------------
$ 125,000 Manitoba, 6.125%, 1/19/04 $ 121,006
=================================================================
ITALY - 0.05%
- -----------------------------------------------------------------
95,000 Republic of Italy, 6.875%, 9/27/23 86,806
=================================================================
NEW ZEALAND - 0.31%
- -----------------------------------------------------------------
445,000 New Zealand Government,
8.75%, 12/15/06 522,536
=================================================================
TOTAL GOVERNMENTS FOREIGN
(Cost $711,094) $ 730,348
=================================================================
LONG-TERM U.S. TREASURY
SECURITIES - 11.76%
- -----------------------------------------------------------------
U.S. TREASURY BONDS - 2.72%
- -----------------------------------------------------------------
$ 1,573,000 8.125%, 8/15/19 $ 1,846,800
- -----------------------------------------------------------------
</TABLE>
See Notes to Financial Statements on Pages 22 and 23
<PAGE> 10
ASSET MANAGEMENT PORTFOLIO 19
------------------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
===============================================================================
September 30, 1995 (unaudited)
PRINCIPAL
AMOUNT DESCRIPTION VALUE
=================================================================
<S> <C>
$ 2,565,000 7.25%, 8/15/22 $ 2,757,374
- -----------------------------------------------------------------
4,604,174
=================================================================
U.S. TREASURY NOTES - 9.04%
- -----------------------------------------------------------------
1,000,000 6.00%, 6/30/96 1,001,716
- -----------------------------------------------------------------
2,095,000 7.50%, 12/31/96 2,137,227
- -----------------------------------------------------------------
5,610,000 5.125%, 11/30/98 5,479,413
- -----------------------------------------------------------------
50,000 6.125%, 7/31/00 50,203
- -----------------------------------------------------------------
3,250,000 6.25%, 8/31/00 3,281,480
- -----------------------------------------------------------------
820,000 8.50%, 11/15/00 907,381
- -----------------------------------------------------------------
2,284,000 7.25%, 8/15/04 2,441,738
- -----------------------------------------------------------------
15,299,158
=================================================================
TOTAL LONG-TERM U.S. TREASURY SECURITIES
(Cost $19,462,176) $ 19,903,332
=================================================================
SHORT-TERM INVESTMENTS - 42.23%
- -----------------------------------------------------------------
U.S. TREASURY BILLS - 22.70%
- -----------------------------------------------------------------
$ 1,490,000 5.37%, 10/12/95 (c) $ 1,487,582
- -----------------------------------------------------------------
35,000,000 5.42%, 12/21/95 34,590,115
- -----------------------------------------------------------------
2,400,000 5.76%, 4/4/96 2,334,881
- -----------------------------------------------------------------
38,412,578
=================================================================
REPURCHASE AGREEMENT - 19.53%
- -----------------------------------------------------------------
33,060,340 Repurchase Agreement with Sanwa
Bank, Dated 9/29/95, 6.25%,
Principal and Interest in the
Amount of $33,071,819, Due 10/02/95,
(Collateralized by U.S. Treasury
Bonds, Par Value of $31,014,000,
7.25%, Due 5/15/04, Value of
$33,950,638) 33,060,340
=================================================================
</TABLE>
<TABLE>
<CAPTION>
DESCRIPTION VALUE
=================================================================
<S> <C> <C>
TOTAL SHORT-TERM INVESTMENTS
(Cost $71,460,895) $ 71,472,918
=================================================================
TOTAL INVESTMENTS
(Cost $161,898,856) 100.43% $169,979,969
- -----------------------------------------------------------------
Liabilities in Excess of Other Assets (0.43) (727,649)
- -----------------------------------------------------------------
NET ASSETS 100.00% $169,252,320
=================================================================
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF
FUTURES NET UNREALIZED
CONTRACTS FUTURE CONTRACTS APPRECIATION
- -----------------------------------------------------------------
<S> <C> <C>
114 S&P 500 December 1995 Long
Futures (Market Value $33,527,400) $ 970,821
- -----------------------------------------------------------------
152 U.S. Treasury December 1995 Long
Futures (Market Value $16,758,000) 113,625
- -----------------------------------------------------------------
$ 1,084,446
=================================================================
</TABLE>
(a) Non-Income Producing Security
(b) Quarterly Floating Rate Note
(c) Held as Collateral for Futures Contracts
(d) The following abbreviations are used in the portfolio descriptions:
FGHLMC - Federal Gold Home Loan Mortgage Corporation
FHLMC - Federal Home Loan Mortgage Corporation
FNMA - Federal National Mortgage Association
GNMA - Government National Mortgage Association
(e) Security exempt from registration under Rule 144A of the Securities Act of
1933. This security may be resold in transactions exempt from registration,
normally to qualified institutional buyers. At the period end, the value of
this security amounted to $105,058 or 0.06% of net assets.
See Notes to Financial Statements on Pages 22 and 23
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ASSET MANAGEMENT PORTFOLIO 22
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NOTES TO FINANCIAL STATEMENTS (unaudited)
===============================================================================
NOTE 1 - ORGANIZATION AND SIGNIFICANT
ACCOUNTING POLICIES
A. Organization
The Asset Management Portfolio (the "Portfolio") is registered under the
Investment Company Act of 1940 (the "Act"), as amended, as an open-end
management investment company. The Portfolio was organized on June 9, 1992 as
an unincorporated trust under the laws of New York and commenced operations on
September 16, 1993. The Declaration of Trust permits the Board of Trustees (the
"Trustees") to issue beneficial interests in the Portfolio.
B. Security Valuation
The Portfolio's investments are valued each business day by an independent
pricing service (the "Service") approved by the Trustees. Securities traded on
national exchanges or traded in the NASDAQ National Market System are valued at
the last sales prices reported at the close of business each day.
Over-the-counter securities not included in the NASDAQ National Market System
and listed securities for which no sale was reported are valued at the mean of
the bid and asked prices. Short-term obligations with remaining maturities of
60 days or less are valued at amortized cost which with accrued interest
approximates value. Securities for which quotations are not available are
stated at fair value as determined by the Trustees.
C. Security Transactions and Interest Income
Security transactions are accounted for on a trade date basis (date the order
to buy or sell is executed). Dividend income is recorded on the ex-dividend
date. Interest income is recorded on the accrual basis and includes
amortization of premium and discount on investments. Realized gains and losses
from securities transactions are recorded on the identified cost basis.
The Portfolio may enter into repurchase agreements with financial institutions
deemed to be creditworthy by the Portfolio's Investment Adviser, subject to the
seller's agreement to repurchase such securities at a mutually agreed upon
price. Securities purchased subject to repurchase agreements are deposited with
the Portfolio's custodian, and pursuant to the terms of the repurchase
agreement must have an aggregate market value greater than or equal to the
repurchase price plus accrued interest at all times. If the value of the
underlying securities falls below the value of the repurchase price plus
accrued interest, the Portfolio will require the seller to deposit additional
collateral by the next business day. If the request for additional collateral
is not met, or the seller defaults on its repurchase obligation, the Portfolio
maintains the right to sell the underlying securities at market value and may
claim any resulting loss against the seller.
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. Federal Income Taxes
It is the Portfolio's policy to comply with the requirements of the Internal
Revenue Code applicable to it. Therefore, no federal income tax provision is
required.
<PAGE> 12
ASSET MANAGEMENT PORTFOLIO 23
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NOTES TO FINANCIAL STATEMENTS (unaudited)
===============================================================================
NOTE 2 - FEES AND TRANSACTIONS WITH AFFILIATES
The Portfolio has entered into an Administration and Services Agreement with
Bankers Trust Company ("Bankers Trust"). Under this Administration and Services
Agreement, Bankers Trust provides administrative, custody, transfer agency and
shareholder services to the Portfolio in return for a fee computed daily and
paid monthly at an annual rate of 0.10 of 1% of the Portfolio's average daily
net assets. For the six months ended September 30, 1995, this fee aggregated
$68,016.
The Portfolio has entered into an Advisory Agreement with Bankers Trust. Under
this Advisory Agreement, Bankers Trust manages the Portfolio in accordance with
the Portfolio's investment objective and stated investment policies in return
for a fee computed daily and paid monthly at an annual rate of 0.65 of 1% of
the Portfolio's average daily net assets. For the six months ended September
30, 1995, this fee aggregated $442,103.
Bankers Trust has voluntarily undertaken to waive and reimburse expenses of the
Portfolio, to the extent nec-essary, to limit all expenses to 0.60 of 1% of the
average daily net assets of the Portfolio. For the six months ended September
30, 1995, expenses of the Portfolio have been reduced $110,846.
Certain trustees and officers of the Portfolio are also directors, officers
and/or employees of Signature. None of the trustees so affiliated received
compensation for services as trustee of the Portfolio. Similarly, none of the
Portfolio's officers received compensation from the Portfolio.
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, 1995, were
$58,067,782 and $40,012,378 respectively. The aggregate gross unrealized
appreciation for all investments was $8,589,840 and the aggregate gross
unrealized depreciation for all investments was $508,727.
The Portfolio may enter into financial futures contracts as an investment
technique designed to hedge against anticipated future change in general market
prices which otherwise might either adversely affect the value of securities
held by the Portfolio or adversely affect the prices of securities which are
intended to be purchased at a later date for the Portfolio. Investments in
financial futures require initial margin deposits which consist of cash or cash
equivalents equal to approximately 5% to 10% of the contract amount. During the
period the financial futures are open, changes in the value of the contracts
are recognized by "mark to market" on a daily basis to reflect the market value
of the contracts at the close of each day's trading. Accordingly, variation
margin payments are made or received to reflect daily unrealized gains or
losses. When the contracts are closed, the Portfolio recognizes a realized gain
or loss. The use of futures contracts involves elements of market risk in
excess of amounts recognized in the statement of assets and liabilities.
