<PAGE> 1
ASSET MANAGEMENT PORTFOLIO 10
------------------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
- --------------------------------------------------------------------------------------------------------------
March 31, 1995
- --------------------------------------------------------------------------------------------------------------
<S> <C>
ASSETS
- --------------------------------------------------------------------------------------------------------------
Investments, at Value (Cost $99,989,525, including Repurchase Agreement
amounting to $12,405,686) $101,692,645
- --------------------------------------------------------------------------------------------------------------
Cash 19,295
- --------------------------------------------------------------------------------------------------------------
Dividends and Interest Receivable 462,486
- --------------------------------------------------------------------------------------------------------------
Deferred Organizational Expenses 12,473
- --------------------------------------------------------------------------------------------------------------
Prepaid Expenses 1,521
- --------------------------------------------------------------------------------------------------------------
Total Assets 102,188,420
- --------------------------------------------------------------------------------------------------------------
LIABILITIES
- --------------------------------------------------------------------------------------------------------------
Due to Bankers Trust 38,073
- --------------------------------------------------------------------------------------------------------------
Payable for Securities Purchased 5,570,952
- --------------------------------------------------------------------------------------------------------------
Accrued Expenses and Accounts Payable 33,881
- --------------------------------------------------------------------------------------------------------------
Variation Margin Payable 16,750
- --------------------------------------------------------------------------------------------------------------
Total Liabilities 5,659,656
- --------------------------------------------------------------------------------------------------------------
NET ASSETS $ 96,528,764
- --------------------------------------------------------------------------------------------------------------
COMPOSITION OF NET ASSETS
- --------------------------------------------------------------------------------------------------------------
Paid-in Capital $ 94,617,119
- --------------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Securities 1,703,120
- --------------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Futures Contracts 208,525
- --------------------------------------------------------------------------------------------------------------
NET ASSETS, MARCH 31, 1995 $ 96,528,764
- --------------------------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements on Pages 23 and 24
<PAGE> 2
ASSET MANAGEMENT PORTFOLIO 11
------------------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
- -------------------------------------------------------------------------------------------------------
For the year ended March 31, 1995
<S> <C> <C>
INVESTMENT INCOME
- -------------------------------------------------------------------------------------------------------
Dividends $1,249,032
- -------------------------------------------------------------------------------------------------------
Interest 2,633,639
- -------------------------------------------------------------------------------------------------------
Total Investment Income $ 3,882,671
- -------------------------------------------------------------------------------------------------------
EXPENSES
- -------------------------------------------------------------------------------------------------------
Advisory Fee 576,146
- -------------------------------------------------------------------------------------------------------
Administration and Services Fee 88,638
- -------------------------------------------------------------------------------------------------------
Professional Fees 26,913
- -------------------------------------------------------------------------------------------------------
Amortization of Organizational Expenses 3,599
- -------------------------------------------------------------------------------------------------------
Insurance 2,977
- -------------------------------------------------------------------------------------------------------
Trustees Fees 1,212
- -------------------------------------------------------------------------------------------------------
Miscellaneous 1,501
- -------------------------------------------------------------------------------------------------------
Total Expenses 700,986
- -------------------------------------------------------------------------------------------------------
Less: Expenses Absorbed by Bankers Trust (169,159) 531,827
- -------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 3,350,844
- -------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON SECURITIES
- -------------------------------------------------------------------------------------------------------
Net Realized Gain from Securities Transactions 917,457
- -------------------------------------------------------------------------------------------------------
Net Realized (Loss) from Futures Contracts (1,002,509)
- -------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Securities 2,739,593
- -------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Futures Contracts 270,483
- -------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN ON SECURITIES 2,925,024
- -------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $ 6,275,868
- -------------------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements on Pages 23 and 24
<PAGE> 3
ASSET MANAGEMENT PORTFOLIO 12
------------------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENT OF CHANGES IN NET ASSETS
- -------------------------------------------------------------------------------------------------------
For the period
September 16, 1993
For the (Commencement
year ended of Operations) to
March 31, 1995 March 31, 1994
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
- -------------------------------------------------------------------------------------------------------
FROM OPERATIONS
- -------------------------------------------------------------------------------------------------------
Net Investment Income $ 3,350,844 $ 411,692
- -------------------------------------------------------------------------------------------------------
Net Realized (Loss) from Securities and
Futures Transactions (85,052) (603,349)
- -------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation (Depreciation) on Securities
and Futures Contracts 3,010,076 (1,098,431)
- -------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
from Operations 6,275,868 (1,290,088)
- -------------------------------------------------------------------------------------------------------
FROM CAPITAL TRANSACTIONS
- -------------------------------------------------------------------------------------------------------
Proceeds from Capital Invested 77,053,606 42,486,038
- -------------------------------------------------------------------------------------------------------
Value of Capital Withdrawn (23,083,892) (4,912,768)
- -------------------------------------------------------------------------------------------------------
Net Increase in Net Assets from
Capital Transactions 53,969,714 37,573,270
- -------------------------------------------------------------------------------------------------------
TOTAL INCREASE IN NET ASSETS 60,245,582 36,283,182
- -------------------------------------------------------------------------------------------------------
NET ASSETS
- -------------------------------------------------------------------------------------------------------
Beginning of Period 36,283,182 --
- -------------------------------------------------------------------------------------------------------
End of Period $ 96,528,764 $36,283,182
- -------------------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements on Pages 23 and 24
<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
September 16, 1993
For the (Commencement
year ended of Operations) to
March 31, 1995 March 31, 1994
- -------------------------------------------------------------------------------------------------------
<S> <C> <C>
RATIOS AND SUPPLEMENTAL DATA
Ratio of Net Investment Income to Average Net Assets 3.78% 2.83%*
Ratio of Expenses to Average Net Assets 0.60% 0.60%*
Decrease Reflected in Above Ratio of Expenses to Average Net Assets
Due to Absorption of Expenses by Bankers Trust 0.19% 0.33%*
Portfolio Turnover Rate 92% 56%
Net Assets, End of Period (000's omitted) $96,529 $36,283
</TABLE>
* Annualized
See Notes to Financial Statements on Pages 23 and 24
<PAGE> 5
ASSET MANAGEMENT PORTFOLIO 14
------------------------------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
- -------------------------------------------------------------------------
March 31, 1995
SHARES DESCRIPTION VALUE
- -------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS - 47.81%
- -------------------------------------------------------------------------
AEROSPACE - 0.28%
- -------------------------------------------------------------------------
3,700 Raytheon $ 269,638
- -------------------------------------------------------------------------
AIRLINES - 0.66%
- -------------------------------------------------------------------------
3,000 AMR (a) 194,250
- -------------------------------------------------------------------------
7,000 Delta Air Lines 439,250
- -------------------------------------------------------------------------
633,500
- -------------------------------------------------------------------------
AUTO RELATED - 3.27%
- -------------------------------------------------------------------------
7,500 Chrysler 314,063
- -------------------------------------------------------------------------
15,100 Dana 385,050
- -------------------------------------------------------------------------
36,400 Ford Motor 982,800
- -------------------------------------------------------------------------
19,500 General Motors 862,875
- -------------------------------------------------------------------------
3,000 General Motors, Cl E 116,625
- -------------------------------------------------------------------------
7,400 PACCAR 314,500
- -------------------------------------------------------------------------
12,300 SPX 178,350
- -------------------------------------------------------------------------
3,154,263
- -------------------------------------------------------------------------
AVIATION SERVICES - 0.56%
- -------------------------------------------------------------------------
26,800 Ogden 539,350
- -------------------------------------------------------------------------
BANKS - 0.66%
- -------------------------------------------------------------------------
2,400 Bank America 115,800
- -------------------------------------------------------------------------
2,500 Citicorp 106,250
- -------------------------------------------------------------------------
2,000 First Interstate Bancorp 158,000
- -------------------------------------------------------------------------
3,000 National Bancorp of Alaska 149,250
- -------------------------------------------------------------------------
2,100 Suntrust Banks 112,350
- -------------------------------------------------------------------------
641,650
- -------------------------------------------------------------------------
BEVERAGES - 1.09%
- -------------------------------------------------------------------------
11,100 Coca Cola 627,150
- -------------------------------------------------------------------------
10,800 PepsiCo 421,200
- -------------------------------------------------------------------------
1,048,350
- -------------------------------------------------------------------------
BROADCASTING - 0.12%
- -------------------------------------------------------------------------
2,000 Clear Channel Communications (a) 119,000
- -------------------------------------------------------------------------
BUILDING & CONSTRUCTION - 0.23%
- -------------------------------------------------------------------------
9,100 Centex 219,537
- -------------------------------------------------------------------------
BUILDING - FOREST PRODUCTS - 0.11%
- -------------------------------------------------------------------------
9,000 Kaufman & Broad Home 106,875
- -------------------------------------------------------------------------
CHEMICALS - 0.63%
- -------------------------------------------------------------------------
10,100 Du Pont (E.I.) De Nemours 611,050
- -------------------------------------------------------------------------
COMPUTER SERVICES - 0.20%
- -------------------------------------------------------------------------
3,100 Automatic Data Processing 195,300
- -------------------------------------------------------------------------
COMPUTER SOFTWARE - 1.03%
- -------------------------------------------------------------------------
2,900 Computer Associates International 172,187
- -------------------------------------------------------------------------
9,900 Microsoft (a) 704,137
- -------------------------------------------------------------------------
3,700 Oracle Systems (a) 115,625
- -------------------------------------------------------------------------
991,949
- -------------------------------------------------------------------------
CONTAINERS - 0.12%
- -------------------------------------------------------------------------
3,000 Avery Dennison 119,625
- -------------------------------------------------------------------------
COSMETICS - 0.64%
- -------------------------------------------------------------------------
7,600 Gillette 620,350
- -------------------------------------------------------------------------
DRUGS - 2.44%
- -------------------------------------------------------------------------
1,800 Bristol Myers Squibb 113,400
- -------------------------------------------------------------------------
18,400 Merck & Co 784,300
- -------------------------------------------------------------------------
7,300 Pfizer 625,975
- -------------------------------------------------------------------------
4,000 Schering-Plough 297,500
- -------------------------------------------------------------------------
4,000 Smithkline Beecham 150,000
- -------------------------------------------------------------------------
4,900 Warner-Lambert 383,425
- -------------------------------------------------------------------------
2,354,600
- -------------------------------------------------------------------------
ELECTRICAL EQUIPMENT - 3.21%
- -------------------------------------------------------------------------
4,600 Belden 101,200
- -------------------------------------------------------------------------
42,000 General Electric 2,273,250
- -------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements on Pages 23 and 24
<PAGE> 6
ASSET MANAGEMENT PORTFOLIO 15
------------------------------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
- -------------------------------------------------------------------------
March 31, 1995
SHARES DESCRIPTION VALUE
- -------------------------------------------------------------------------
<S> <C> <C>
6,000 Hewlett-Packard $ 722,250
- -------------------------------------------------------------------------
3,096,700
- -------------------------------------------------------------------------
ELECTRONICS - 1.15%
- -------------------------------------------------------------------------
1,500 AMP 54,000
- -------------------------------------------------------------------------
2,900 Intel 246,137
- -------------------------------------------------------------------------
14,900 Motorola 813,913
- -------------------------------------------------------------------------
1,114,050
- -------------------------------------------------------------------------
FINANCIAL SERVICES - 0.72%
- -------------------------------------------------------------------------
1,900 Federal National Mortgage 154,612
- -------------------------------------------------------------------------
10,000 First Data 518,750
- -------------------------------------------------------------------------
700 Fleet Financial Group 22,663
- -------------------------------------------------------------------------
696,025
- -------------------------------------------------------------------------
FOOD SERVICES & LODGING - 0.31%
- -------------------------------------------------------------------------
8,700 McDonald's 296,887
- -------------------------------------------------------------------------
FOODS - 0.93%
- -------------------------------------------------------------------------
7,000 Campbell Soup 338,625
- -------------------------------------------------------------------------
2,300 CPC International 124,487
- -------------------------------------------------------------------------
10,700 Sara Lee 279,538
- -------------------------------------------------------------------------
1,200 Unilever N.V., ADR 157,500
- -------------------------------------------------------------------------
900,150
- -------------------------------------------------------------------------
HEALTH CARE DIVERSIFIED - 0.52%
- -------------------------------------------------------------------------
8,000 Abbott Laboratories 285,000
- -------------------------------------------------------------------------
5,100 Columbia/HCA Health Care 219,300
- -------------------------------------------------------------------------
504,300
- -------------------------------------------------------------------------
HOSPITAL SUPPLIES & SERVICES - 1.52%
- -------------------------------------------------------------------------
3,900 Allergan 115,050
- -------------------------------------------------------------------------
3,400 Becton, Dickinson & Co. 184,450
- -------------------------------------------------------------------------
6,800 Biomet (a) 114,750
- -------------------------------------------------------------------------
12,700 Johnson & Johnson 755,650
- -------------------------------------------------------------------------
4,700 Sun Healthcare Group (a) 119,850
- -------------------------------------------------------------------------
3,700 United Healthcare 172,975
- -------------------------------------------------------------------------
1,462,725
- -------------------------------------------------------------------------
INSURANCE - 0.97%
- -------------------------------------------------------------------------
6,100 American International Group 635,925
- -------------------------------------------------------------------------
2,300 General Re 303,600
- -------------------------------------------------------------------------
939,525
- -------------------------------------------------------------------------
LEISURE RELATED - 1.18%
- -------------------------------------------------------------------------
16,500 Disney (Walt) 880,687
- -------------------------------------------------------------------------
12,400 Outboard Marine 260,400
- -------------------------------------------------------------------------
1,141,087
- -------------------------------------------------------------------------
MACHINERY - AGRICULTURE - 0.64%
- -------------------------------------------------------------------------
7,600 Deere & Co 617,500
- -------------------------------------------------------------------------
MACHINERY - OTHER - 1.09%
- -------------------------------------------------------------------------
18,600 Textron 1,053,225
- -------------------------------------------------------------------------
METALS - 0.12%
- -------------------------------------------------------------------------
4,300 Alcan Aluminium Ltd. 114,487
- -------------------------------------------------------------------------
OFFICE EQUIPMENT - 1.04%
- -------------------------------------------------------------------------
6,800 Cray Research (a) 124,950
- -------------------------------------------------------------------------
7,700 International Business Machines 630,437
- -------------------------------------------------------------------------
12,500 Unisys (a) 115,625
- -------------------------------------------------------------------------
1,100 Xerox 129,113
- -------------------------------------------------------------------------
1,000,125
- -------------------------------------------------------------------------
OIL DOMESTIC - 0.97%
- -------------------------------------------------------------------------
5,500 Enron Oil & Gas 135,437
- -------------------------------------------------------------------------
17,000 Tenneco 801,125
- -------------------------------------------------------------------------
936,562
- -------------------------------------------------------------------------
OIL INTERNATIONAL - 2.55%
- -------------------------------------------------------------------------
9,900 Exxon 660,825
- -------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements on Pages 23 and 24
<PAGE> 7
ASSET MANAGEMENT PORTFOLIO 16
------------------------------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
- -------------------------------------------------------------------------
March 31, 1995
SHARES DESCRIPTION VALUE
- -------------------------------------------------------------------------
<S> <C> <C>
6,900 Mobil $ 639,112
- -------------------------------------------------------------------------
9,700 Royal Dutch Petroleum 1,164,000
- -------------------------------------------------------------------------
2,463,937
- -------------------------------------------------------------------------
OIL SUPPLIES & CONSTRUCTION - 0.35%
- -------------------------------------------------------------------------
5,700 Schlumberger Ltd. 339,863
- -------------------------------------------------------------------------
PAPER - 0.50%
- -------------------------------------------------------------------------
1,500 International Paper 112,687
- -------------------------------------------------------------------------
4,100 Scott Paper 366,438
- -------------------------------------------------------------------------
479,125
- -------------------------------------------------------------------------
PETROLEUM RELATED - 1.15%
- -------------------------------------------------------------------------
3,400 Amoco 216,325
- -------------------------------------------------------------------------
17,100 Ashland Oil 609,188
- -------------------------------------------------------------------------
2,500 Atlantic Richfield 287,500
- -------------------------------------------------------------------------
1,113,013
- -------------------------------------------------------------------------
PHARMACEUTICALS - 0.12%
- -------------------------------------------------------------------------
4,600 Marion Merrell Dow 113,850
- -------------------------------------------------------------------------
PHOTOGRAPHY & OPTICAL - 0.21%
- -------------------------------------------------------------------------
3,900 Eastman Kodak 207,188
- -------------------------------------------------------------------------
PRINTING & PUBLISHING - 0.47%
- -------------------------------------------------------------------------
2,300 Gannett 122,763
- -------------------------------------------------------------------------
8,700 Time Warner 328,425
- -------------------------------------------------------------------------
451,188
- -------------------------------------------------------------------------
REAL ESTATE - 0.22%
- -------------------------------------------------------------------------
9,200 Pulte 216,200
- -------------------------------------------------------------------------
RETAIL - 2.52%
- -------------------------------------------------------------------------
12,100 Dayton Hudson 865,150
- -------------------------------------------------------------------------
24,500 Fleming 554,313
- -------------------------------------------------------------------------
6,300 May Department Stores 233,100
- -------------------------------------------------------------------------
3,500 Pep Boys-Manny Moe & Jack 108,500
- -------------------------------------------------------------------------
26,200 Wal-Mart Stores 668,100
- -------------------------------------------------------------------------
2,429,163
- -------------------------------------------------------------------------
RETAIL - FOOD - 0.12%
- -------------------------------------------------------------------------
3,200 Safeway (a) 111,200
- -------------------------------------------------------------------------
SOAPS & TOILETRIES - 1.04%
- -------------------------------------------------------------------------
1,700 Colgate-Palmolive 112,200
- -------------------------------------------------------------------------
13,400 Procter & Gamble 887,750
- -------------------------------------------------------------------------
999,950
- -------------------------------------------------------------------------
TELECOMMUNICATIONS - 1.74%
- -------------------------------------------------------------------------
3,000 Andrew (a) 122,250
- -------------------------------------------------------------------------
17,600 AT&T 910,800
- -------------------------------------------------------------------------
3,300 Capital Cities/ABC 291,225
- -------------------------------------------------------------------------
7,300 Telecommunication Cl A (a) 153,300
- -------------------------------------------------------------------------
4,500 Viacom, Cl B (a) 201,375
- -------------------------------------------------------------------------
1,678,950
- -------------------------------------------------------------------------
TIRE & RUBBER - 0.55%
- -------------------------------------------------------------------------
14,500 Goodyear Tire & Rubber 532,875
- -------------------------------------------------------------------------
TOBACCO - 1.64%
- -------------------------------------------------------------------------
29,700 American Brands 1,165,725
- -------------------------------------------------------------------------
4,900 Phillip Morris 319,725
- -------------------------------------------------------------------------
3,100 UST 98,425
- -------------------------------------------------------------------------
1,583,875
- -------------------------------------------------------------------------
TRUCKING - SHIPPING - 0.81%
- -------------------------------------------------------------------------
8,800 Consolidated Freightways 234,300
- -------------------------------------------------------------------------
22,700 Ryder System 544,800
- -------------------------------------------------------------------------
779,100
- -------------------------------------------------------------------------
UTILITY - ELECTRIC - 4.79%
- -------------------------------------------------------------------------
26,700 Central & Southwest 647,475
- -------------------------------------------------------------------------
30,300 Detroit Edison 829,462
- -------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements on Pages 23 and 24
<PAGE> 8
ASSET MANAGEMENT PORTFOLIO 17
------------------------------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
- -------------------------------------------------------------------------
March 31, 1995
SHARES DESCRIPTION VALUE
- -------------------------------------------------------------------------
<S> <C>
27,800 Houston Industries $ 1,059,875
- -------------------------------------------------------------------------
26,400 Pacific Gas & Electric 656,700
- -------------------------------------------------------------------------
43,300 PECO Energy 1,087,913
- -------------------------------------------------------------------------
21,900 SCE 342,188
- -------------------------------------------------------------------------
4,623,613
- -------------------------------------------------------------------------
UTILITY - NATURAL GAS - 1.24%
- -------------------------------------------------------------------------
22,700 ONEOK 428,463
- -------------------------------------------------------------------------
16,100 Panhandle Eastern 370,300
- -------------------------------------------------------------------------
15,900 People's Energy 397,500
- -------------------------------------------------------------------------
1,196,263
- -------------------------------------------------------------------------
UTILITY - TELEPHONE - 1.38%
- -------------------------------------------------------------------------
23,400 Bell Atlantic 1,234,350
- -------------------------------------------------------------------------
2,500 Telephone & Data System 98,750
- -------------------------------------------------------------------------
1,333,100
- -------------------------------------------------------------------------
TOTAL COMMON STOCKS
(Cost $44,137,780) $46,150,838
- -------------------------------------------------------------------------
PREFERRED STOCK
NON-CONVERTIBLE - 0.00%
- -------------------------------------------------------------------------
DIVERSIFIED - 0.00%
- -------------------------------------------------------------------------
146 Teledyne (Cost $1,678) $ 2,172
- -------------------------------------------------------------------------
<CAPTION>
PRINCIPAL
AMOUNT DESCRIPTION VALUE
- -------------------------------------------------------------------------
<S> <C> <C>
CORPORATE DEBENTURES - 2.67%
- -------------------------------------------------------------------------
BANKS - 0.67%
- -------------------------------------------------------------------------
Citicorp:
- -------------------------------------------------------------------------
$110,000 9.50%, 2/1/02 $ 119,539
- -------------------------------------------------------------------------
35,000 8.625%, 12/1/02 36,156
- -------------------------------------------------------------------------
100,000 Fleet/Norstar Group, 7.65%, 3/1/97 100,321
- -------------------------------------------------------------------------
160,000 International Bank Reconstruction
& Development, 9.75%, 1/23/16 187,600
- -------------------------------------------------------------------------
220,000 Westdeutsche LB - NY, 6.75%, 6/15/05 205,541
- -------------------------------------------------------------------------
649,157
- -------------------------------------------------------------------------
BEVERAGES - 0.10%
- -------------------------------------------------------------------------
100,000 Anheuser Busch, 7.375%, 7/1/23 92,546
- -------------------------------------------------------------------------
FINANCIAL SERVICES - 0.79%
- -------------------------------------------------------------------------
150,000 Dean Witter Discover, 6.875%, 3/1/03 140,896
- -------------------------------------------------------------------------
105,000 Goldman Sachs, 6.625%, 2/23/98 (b)(f) 104,932
- -------------------------------------------------------------------------
195,000 KFW International Finance,
8.20%, 6/1/06 202,486
- -------------------------------------------------------------------------
200,000 Pacific Mutual Life, 7.90%, 12/30/23 (f) 178,834
- -------------------------------------------------------------------------
120,000 Swedish Export Credit,
9.875%, 3/15/38 130,540
- -------------------------------------------------------------------------
757,688
- -------------------------------------------------------------------------
INSURANCE - 0.19%
- -------------------------------------------------------------------------
215,000 New York Life, 7.50%, 12/15/23 (f) 186,330
- -------------------------------------------------------------------------
OIL INTERNATIONAL - 0.09%
- -------------------------------------------------------------------------
85,000 BHP Finance USA, 7.875%, 12/1/02 84,914
- -------------------------------------------------------------------------
PAPER - 0.04%
- -------------------------------------------------------------------------
40,000 Westvaco, 8.30%, 8/1/22 39,435
- -------------------------------------------------------------------------
PHARMACEUTICALS - 0.06%
- -------------------------------------------------------------------------
70,000 Schering-Plough, 0.00% 12/2/96 (c) 62,346
- -------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements on Pages 23 and 24
<PAGE> 9
ASSET MANAGEMENT PORTFOLIO 18
------------------------------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
- -------------------------------------------------------------------------
March 31, 1995
PRINCIPAL
AMOUNT DESCRIPTION VALUE
- -------------------------------------------------------------------------
<S> <C>
RETAIL - 0.15%
- -------------------------------------------------------------------------
$ 150,000 May Department Stores,
8.375%, 8/1/24 $ 148,687
- -------------------------------------------------------------------------
UTILITY - ELECTRIC - 0.39%
- -------------------------------------------------------------------------
35,000 Idaho Power, 8.00%, 3/15/04 35,265
- -------------------------------------------------------------------------
140,000 Potomac Edison, 8.00%, 6/1/24 135,072
- -------------------------------------------------------------------------
195,000 Virginia Electric & Power,
8.625%, 10/1/24 201,033
- -------------------------------------------------------------------------
371,370
- -------------------------------------------------------------------------
UTILITY - NATURAL GAS - 0.19%
- -------------------------------------------------------------------------
175,000 KN Energy, 9.625%, 8/1/21 187,233
- -------------------------------------------------------------------------
TOTAL CORPORATE DEBENTURES
(Cost $2,590,437) $ 2,579,706
- -------------------------------------------------------------------------
ASSET-BACKED SECURITIES - 9.56%
- -------------------------------------------------------------------------
CORPORATE - 0.22%
- -------------------------------------------------------------------------
Standard Credit Card Master Trust:
- -------------------------------------------------------------------------
$ 140,000 8.25%, 11/7/03 $ 144,599
- -------------------------------------------------------------------------
75,000 7.25%, 4/7/06 72,079
- -------------------------------------------------------------------------
216,678
- -------------------------------------------------------------------------
U.S. GOVERNMENT & AGENCIES - 9.34%
- -------------------------------------------------------------------------
FGHLMC: (e)
- -------------------------------------------------------------------------
242,855 8.50%, 3/1/23 248,633
- -------------------------------------------------------------------------
700,000 8.50%, 3/1/25 707,879
- -------------------------------------------------------------------------
211,220 FHLMC 9.50%, 2/1/25 (e) 220,461
- -------------------------------------------------------------------------
FNMA: (e)
- -------------------------------------------------------------------------
299,286 6.00%, 1/1/01 288,392
- -------------------------------------------------------------------------
325,000 8.625%, 11/10/04 336,324
- -------------------------------------------------------------------------
676,354 7.00%, 9/1/07 657,332
- -------------------------------------------------------------------------
430,354 6.50%, 9/1/08 408,836
- -------------------------------------------------------------------------
669,001 6.00%, 1/1/09 623,055
- -------------------------------------------------------------------------
176,773 7.00%, 5/1/09 171,801
- -------------------------------------------------------------------------
452,405 7.00%, 6/1/09 439,681
- -------------------------------------------------------------------------
428,696 8.00%, 4/1/10 431,504
- -------------------------------------------------------------------------
1,175,000 8.00%, 9/1/21 1,163,624
- -------------------------------------------------------------------------
185,272 7.50%, 8/1/23 179,251
- -------------------------------------------------------------------------
443,312 6.50%, 10/1/23 404,802
- -------------------------------------------------------------------------
180,903 8.00%, 5/1/24 179,151
- -------------------------------------------------------------------------
1,196,186 8.00%, 6/1/24 1,184,604
- -------------------------------------------------------------------------
GNMA: (e)
- -------------------------------------------------------------------------
369,036 7.00%, 9/15/23 345,396
- -------------------------------------------------------------------------
1,015,883 8.50%, 10/20/24 1,023,825
- -------------------------------------------------------------------------
9,014,551
- -------------------------------------------------------------------------
TOTAL ASSET-BACKED SECURITIES
(Cost $9,416,472) $ 9,231,229
- -------------------------------------------------------------------------
GOVERNMENTS FOREIGN - 0.37%
- -------------------------------------------------------------------------
CANADA - 0.21%
- -------------------------------------------------------------------------
$ 125,000 Manitoba 6.125%, 1/19/04 $ 112,202
- -------------------------------------------------------------------------
105,000 Quebec Province 7.125%, 2/9/24 88,655
- -------------------------------------------------------------------------
200,857
- -------------------------------------------------------------------------
NEW ZEALAND - 0.16%
- -------------------------------------------------------------------------
145,000 New Zealand Government
8.75%, 12/15/06 155,411
- -------------------------------------------------------------------------
TOTAL GOVERNMENTS FOREIGN
(Cost $360,871) $ 356,268
- -------------------------------------------------------------------------
LONG-TERM TREASURY
SECURITIES - 14.20%
- -------------------------------------------------------------------------
UNITED STATES TREASURY BONDS - 2.03%
- -------------------------------------------------------------------------
$ 1,717,000 8.125%, 8/15/19 $ 1,820,556
- -------------------------------------------------------------------------
140,000 7.25%, 8/15/22 135,843
- -------------------------------------------------------------------------
1,956,399
- -------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements on Pages 23 and 24
<PAGE> 10
ASSET MANAGEMENT PORTFOLIO 19
------------------------------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
- -------------------------------------------------------------------------
March 31, 1995
PRINCIPAL
AMOUNT DESCRIPTION VALUE
- -------------------------------------------------------------------------
<S> <C>
UNITED STATES TREASURY NOTES - 12.17%
- -------------------------------------------------------------------------
$ 2,000,000 7.50%, 12/31/96 $ 2,024,680
- -------------------------------------------------------------------------
5,515,000 5.125%, 11/30/98 5,184,983
- -------------------------------------------------------------------------
4,534,000 7.25%, 8/15/04 4,538,248
- -------------------------------------------------------------------------
11,747,911
- -------------------------------------------------------------------------
TOTAL LONG-TERM TREASURY SECURITIES
(Cost $13,815,380) $ 13,704,310
- -------------------------------------------------------------------------
SHORT-TERM INVESTMENTS - 30.74%
- -------------------------------------------------------------------------
UNITED STATES TREASURY BILLS - 17.89%
- -------------------------------------------------------------------------
$11,000,000 5.62%, 4/13/95 $ 10,979,283
- -------------------------------------------------------------------------
160,000 5.75%, 6/1/95 (d) 158,513
- -------------------------------------------------------------------------
6,300,000 5.83%, 9/21/95 6,124,640
- -------------------------------------------------------------------------
17,262,436
- -------------------------------------------------------------------------
REPURCHASE AGREEMENT - 12.85%
- -------------------------------------------------------------------------
12,405,686 Repurchase agreement with
Sanwa Bank, Dated 3/31/95, 5.90%,
Principal and Interest in the Amount
of $12,411,785 Due 4/3/95,
(Collateralized by U.S. Treasury
Bonds, Par Value of $12,276,000,
6.875%, Due 10/31/96, Value of
$12,658,735) 12,405,686
- -------------------------------------------------------------------------
TOTAL SHORT-TERM INVESTMENTS
(Cost $29,666,907) $ 29,668,122
- -------------------------------------------------------------------------
TOTAL INVESTMENTS
(Cost $99,989,525) 105.35% $101,692,645
- -------------------------------------------------------------------------
Liabilities in Excess of Other (5.35%) (5,163,881)
- -------------------------------------------------------------------------
NET ASSETS 100.00% $ 96,528,764
- -------------------------------------------------------------------------
<CAPTION>
NUMBER OF NET UNREALIZED
FUTURES APPRECIATION/
CONTRACTS DESCRIPTION (DEPRECIATION)
- -------------------------------------------------------------------------
<C> <S> <C>
FUTURES CONTRACTS
- -------------------------------------------------------------------------
8 S&P 500 June 1995 Long Futures
(Market Value $2,017,600) $ 155,400
- -------------------------------------------------------------------------
45 U.S. Treasury June 1995 Long Futures
(Market Value $4,675,781) 50,625
- -------------------------------------------------------------------------
40 U.S. Treasury September 1995
Short Futures
(Market Value $4,137,500) 2,500
- -------------------------------------------------------------------------
$ 208,525
- -------------------------------------------------------------------------
</TABLE>
(a) Non-Income Producing Securities
(b) Quarterly Floating Rate Note
(c) Purchased at Deep Discount
(d) Held as Collateral for Futures Contracts
(e) 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
(f) Securities exempt from registration under Rule 144A of the
Securities Act of 1933. These securities may be resold in
transactions exempt from registration, normally to qualified
institutional buyers. At the period end, the value of these
securities amounted to $470,096 or 0.49% of net assets.
See Notes to Financial Statements on Pages 23 and 24
<PAGE> 11
ASSET MANAGEMENT PORTFOLIO 23
------------------------------------------------------------------
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 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 un-realized 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. Organizational Expenses
Costs incurred by the Portfolio in connection with its organization and initial
registration are being amortized over a five year period on a straight-line
basis.
E. 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 24
------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
NOTE 2 - FEES AND TRANSACTIONS WITH AFFILIATES
The Portfolio has entered into an Administration and Services Agreement with
Bankers Trust Company ("Bankers Trust"). Under this Administration and Services
Agreement, Bankers Trust provides administrative, custody, transfer agency and
shareholder services to 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 year ended March 31, 1995, this fee aggregated $88,638.
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 year ended March 31, 1995,
this fee aggregated $576,146.
Bankers Trust has voluntarily undertaken to waive and reimburse expenses of the
Portfolio, to the extent necessary, to limit all expenses to 0.60 of 1% of the
average daily net assets of the Portfolio. For the year ended March 31, 1995,
expenses of the Portfolio have been reduced $169,159.
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 year ended March 31, 1995, were
$71,305,141 and $56,522,481, respectively. For federal income tax purposes, the
tax basis of investments held at March 31, 1995 was $100,120,467. The aggregate
gross unrealized appreciation for all investments was $2,701,835 and the
aggregate gross unrealized depreciation for all investments was $1,129,657.
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.
<PAGE> 13
ASSET MANAGEMENT PORTFOLIO 25
------------------------------------------------------------------
REPORT OF INDEPENDENT ACCOUNTANTS
- --------------------------------------------------------------------------------
To the Trustees and Holders of Beneficial Interest of the Asset Management
Portfolio:
We have audited the accompanying statement of assets and liabilities of the
Asset Management Portfolio, including the schedule of portfolio investments, as
of March 31, 1995, and the related statement of operations for the year then
ended, the statement of changes in net assets, and the financial highlights for
the year then ended and for the period September 16, 1993 (commencement of
operations) to March 31, 1994. These financial statements and financial
highlights are the responsibility of the Portfolio's management. Our
responsibility is to express an opinion on these financial statements and
financial highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned as of
March 31, 1995 by correspondence with the custodian and brokers. An audit also
includes assessing the accounting principles used and significant estimates
made by management, as well as evaluating the overall financial statement
presentation. We believe that our audits provide a reasonable basis for our
opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of the
Asset Management Portfolio as of March 31, 1995, the results of its operations,
the changes in its net assets, and the financial highlights for the periods
referred to above, in conformity with generally accepted accounting principles.
/s/ COOPERS & LYBRAND L.L.P.
Kansas City, Missouri
April 27, 1995
