<PAGE> 1
- --------------------------------------------------------------------------------
Asset Management Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- ------------ ----------------------------------- -------------
<C> <S> <C>
COMMON STOCKS - 43.82%
AEROSPACE - 0.96%
21,700 Boeing Co. ........................ $ 1,879,763
2,500 Lockheed Martin Corp. ............. 189,688
4,100 Rockwell International Corp. ...... 241,388
----------
2,310,839
----------
AIRLINES - 1.16%
31,100 AMR Corporation(a)................. 2,783,450
----------
AUTO RELATED - 2.14%
23,400 Chrysler Corp. .................... 1,456,650
47,700 Dana Corp. ........................ 1,591,987
11,900 Ford Motor Co. .................... 409,063
31,600 General Motors Corp. .............. 1,682,700
----------
5,140,400
----------
BANKS - 1.34%
21,900 BankAmerica Corporation............ 1,697,250
10,600 BayBanks Inc. ..................... 1,139,500
4,700 Citicorp........................... 376,000
----------
3,212,750
----------
BEVERAGES - 1.05%
40,000 PepsiCo Inc. ...................... 2,530,000
----------
BUILDING - FOREST PRODUCTS - 0.34%
18,300 Champion International Corp. ...... 828,075
----------
CHEMICALS - 2.35%
6,000 Air Products & Chemical Corp. ..... 327,750
19,300 Du Pont (E.I.) de Nemours
Company........................... 1,601,900
10,400 IMC Global Inc. ................... 379,600
21,700 Monsanto Co. ...................... 3,330,950
----------
5,640,200
----------
CLIENT SERVER COMPUTING - 0.27%
20,900 Bay Networks(a).................... 642,675
----------
COMPUTER SERVICES - 1.06%
44,700 General Motors, Cl E............... 2,547,900
----------
COMPUTER SOFTWARE - 1.41%
29,400 Cisco Systems(a)................... 1,363,425
28,400 Computer Associates International
Inc. ............................. 2,034,150
----------
3,397,575
----------
DIVERSIFIED - 0.18%
5,500 Textron Inc. ...................... 440,000
----------
<CAPTION>
SHARES SECURITY VALUE
- ------------ ----------------------------------- -------------
<C> <S> <C>
DRUGS - 2.70%
47,700 Merck & Co. ....................... $ 2,969,325
40,200 Pfizer, Inc. ...................... 2,693,400
14,100 Schering-Plough Corp. ............. 819,563
----------
6,482,288
----------
ELECTRICAL EQUIPMENT - 1.71%
41,500 General Electric................... 3,231,813
9,300 Hewlett-Packard.................... 874,200
----------
4,106,013
----------
ELECTRONICS - 1.40%
36,000 Allied-Signal Inc. ................ 2,128,500
9,100 Intel Corp. ....................... 517,562
14,300 Texas Instruments.................. 727,512
----------
3,373,574
----------
FINANCIAL SERVICES - 3.59%
26,100 Federal Home Loan Mortgage......... 2,225,025
12,200 Federal National Mortgage.......... 388,875
19,600 First Data......................... 1,381,800
18,900 Household International............ 1,271,025
45,600 MBNA Corp. ........................ 1,350,900
12,800 Merrill Lynch & Co., Inc. ......... 777,600
6,700 Price (T. Rowe) Associates......... 355,100
13,200 Travelers Group Inc. .............. 871,200
----------
8,621,525
----------
FOODS - 2.12%
36,400 CPC International.................. 2,525,250
21,800 Premark International Inc. ........ 1,169,025
42,900 Sara Lee Corp. .................... 1,399,612
----------
5,093,887
----------
HEALTH CARE DIVERSIFIED - 0.09%
5,400 Abbott Laboratories................ 220,050
----------
HOSPITAL SUPPLIES/SERVICES - 1.79%
16,000 Baxter International Inc. ......... 724,000
30,200 Johnson & Johnson.................. 2,785,950
9,200 PacifiCare Health Systems,
Cl. B(a).......................... 784,300
----------
4,294,250
----------
HOTEL/MOTEL - 0.82%
41,500 Marriott International Inc. ....... 1,971,250
----------
HOUSEHOLD PRODUCTS - 1.55%
20,300 Clorox Co. ........................ 1,748,337
23,300 Procter & Gamble................... 1,974,675
----------
3,723,012
----------
INSURANCE - 1.99%
31,100 American International Group
Inc............................... 2,911,738
12,800 General Re Corp. .................. 1,865,600
----------
4,777,338
----------
</TABLE>
See Notes to Financial Statements on Pages 16 - 17
10
<PAGE> 2
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Asset Management Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- ------------ ----------------------------------- -------------
<C> <S> <C>
LEISURE RELATED - 0.37%
3,900 Harcourt General Inc. ............. $ 176,963
11,227 Walt Disney Co. ................... 717,124
----------
894,087
----------
MANUFACTURING - 0.70%
43,700 Millipore Corp. ................... 1,671,525
----------
METALS - 0.58%
43,500 Alcan Aluminium Ltd. .............. 1,402,875
----------
METALS & MINING - 0.08%
3,200 Potash of Saskatchewan............. 200,000
----------
OFFICE EQUIPMENT - 0.69%
6,600 International Business Machines
Corp. ............................ 733,425
7,300 Xerox Corp. ....................... 916,150
----------
1,649,575
----------
OIL EQUIPMENT & SERVICES - 0.29%
8,700 Schlumberger Ltd. ................. 688,388
----------
OIL - DOMESTIC - 0.78%
7,300 Chevron Corp. ..................... 409,712
43,900 Unocal Corp. ...................... 1,465,163
----------
1,874,875
----------
OIL - INTERNATIONAL - 2.81%
20,500 Exxon Corp. ....................... 1,673,312
15,800 Mobil.............................. 1,830,825
10,300 Royal Dutch Petroleum Co. - ADR.... 1,454,875
20,800 Texaco Inc. ....................... 1,788,800
----------
6,747,812
----------
PAPER - 0.30%
18,200 International Paper................ 716,625
----------
PETROLEUM RELATED - 0.25%
5,500 Amoco Corp. ....................... 397,375
1,800 Atlantic Richfield................. 214,200
----------
611,575
----------
PHARMACEUTICALS - 0.24%
14,100 Pharmacia & Upjohn Inc. ........... 562,238
----------
PRINTING & PUBLISHING - 0.51%
14,000 McGraw-Hill Cos. Inc. ............. 1,214,500
----------
PRODUCTIVITY ENHANCEMENT - 0.06%
8,500 Teradyne Inc.(a)................... 142,375
----------
PROFESSIONAL SERVICES - 0.12%
7,900 H & R Block........................ 285,387
----------
<CAPTION>
SHARES SECURITY VALUE
- ------------ ----------------------------------- -------------
<C> <S> <C>
RAILROADS - 1.01%
29,400 Burlington Northern Santa Fe....... $ 2,414,475
----------
RETAIL - 0.75%
20,800 Rite Aid........................... 642,200
50,100 Wal-Mart Stores Inc. .............. 1,158,562
----------
1,800,762
----------
TELECOMMUNICATIONS - 2.04%
3,333 360 Communications Co.(a).......... 79,575
6,100 Ameritech Corp. ................... 332,450
23,400 AT&T Corporation................... 1,433,250
57,500 Comcast Corp. Spcl Cl. A........... 1,017,031
14,100 Frontier Corp. .................... 444,150
23,600 GTE Corp. ......................... 1,035,450
10,500 MCI Communications................. 317,625
4,700 NYNEX Corp. ....................... 234,413
----------
4,893,944
----------
TOBACCO - 0.46%
12,600 Philip Morris...................... 1,105,650
----------
UTILITY - ELECTRIC - 0.64%
10,800 American Electric Power............ 450,900
9,000 FPL Group.......................... 407,250
7,400 Southern Co. ...................... 176,675
12,100 Texas Utilities Co. ............... 500,637
----------
1,535,462
----------
UTILITY - NATURAL GAS - 0.52%
28,500 Consolidated Natural Gas........... 1,239,750
----------
UTILITY - TELEPHONE - 0.60%
4,800 Bell Atlantic Corp. ............... 296,400
11,000 BellSouth Corp. ................... 407,000
6,700 SBC Communications Inc. ........... 352,587
10,000 Sprint Corp. ...................... 380,000
----------
1,435,987
----------
TOTAL COMMON STOCKS
(Cost $95,149,189)............................... $ 105,224,918
----------
<CAPTION>
PRINCIPAL
AMOUNT
- ------------
<C> <S> <C>
CORPORATE DEBT
NON-CONVERTIBLE - 5.20%
BANKS - 0.81%
$ 250,000 Bayriesche L/B, 6.375%, 10/15/05... 243,136
275,000 Dresdner Bank - New York, 6.625%,
9/15/05........................... 270,335
480,000 First Bank N.A., 6.25%, 8/15/05.... 448,953
</TABLE>
See Notes to Financial Statements on Pages 16 - 17
11
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Asset Management Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY VALUE
- ------------ ----------------------------------- -------------
<C> <S> <C>
$ 100,000 Fleet/Norstar Group, 7.65%,
3/1/97............................ $ 101,523
425,000 International Bank Reconstruction &
Development, 8.875%, 3/1/26....... 513,247
385,000 Standard Credit Card Master Trust,
6.55%, 10/07/05................... 376,965
----------
1,954,159
----------
FINANCIAL SERVICES - 1.90%
925,000 BHP Finance USA, 6.42%, 3/01/26.... 905,681
1,000,000 Dean Witter Discover, 6.50%,
11/01/05.......................... 965,057
225,000 Dean Witter Discover, 6.875%,
3/01/03........................... 225,148
470,000 Ford Motor Credit, 6.250%,
11/08/00.......................... 463,823
105,000 Goldman Sachs, 5.6445%,
2/23/98(b)(d)..................... 105,389
600,000 Great Western Financial, 6.375%,
7/01/00........................... 596,807
320,000 ITT Hartford, 6.375%, 11/01/02..... 311,062
195,000 KFW International Finance, 8.20%,
6/01/06........................... 212,834
225,000 Paine Webber Group, 8.25%,
5/01/02........................... 237,803
340,000 Paine Webber Group, 9.25%,
12/15/01.......................... 376,532
155,000 Swedish Export Credit, 9.875%,
3/15/38........................... 169,737
----------
4,569,873
----------
INDUSTRIAL - 1.68%
750,000 Auburn Hills Trust, 12.00%,
5/01/20........................... 1,101,705
475,000 Brunswick, 8.125%, 4/01/97......... 484,786
475,000 Carter Holt Harvey, 7.625%,
4/15/02........................... 492,512
840,000 Celulosa Arauco Y Constitucion
S.A., 6.75%, 12/15/03............. 803,525
490,000 Laidlaw, 7.70%, 8/15/02............ 508,529
600,000 News America Holdings, 8.50%,
2/15/05........................... 646,378
----------
4,037,435
----------
OIL - DOMESTIC - 0.19%
440,000 Occidental Petroleum, 9.50%,
7/15/97........................... 458,747
----------
OIL - INTERNATIONAL - 0.04%
85,000 BHP Finance USA, 7.875%,
12/01/02.......................... 89,262
----------
RETAIL - 0.07%
150,000 May Department Stores, 8.375%,
8/01/24........................... 160,752
----------
<CAPTION>
PRINCIPAL
AMOUNT SECURITY VALUE
- ------------ ----------------------------------- -------------
<C> <S> <C>
UTILITY - ELECTRIC - 0.42%
$ 35,000 Idaho Power, 8.00%, 3/15/04........ $ 37,129
140,000 Potomac Edison, 8.00%, 6/01/24..... 141,153
625,000 Southern California Edison, 6.50%,
6/01/01........................... 619,696
195,000 Virginia Electric & Power, 8.625%,
10/01/24.......................... 209,196
----------
1,007,174
----------
UTILITY - NATURAL GAS - 0.09%
175,000 KN Energy, 9.625%, 8/01/21......... 205,079
----------
TOTAL CORPORATE DEBT NON-CONVERTIBLE
(Cost $12,688,929)............................... $ 12,482,481
----------
CORPORATE DEBT CONVERTIBLE -
FOREIGN - 0.36%
GERMANY - 0.36%
635,000 Landbank Hessen-Thueringen, 6.25%,
11/10/08.......................... 592,137
260,000 Nordeutsche L/B Girozen, 6.875%,
3/10/03........................... 261,138
----------
853,275
----------
TOTAL CORPORATE DEBT CONVERTIBLE - FOREIGN
(Cost $838,967).................................. $ 853,275
----------
U.S. GOVERNMENT & AGENCY - 8.31%
155,036 FGHLMC, 9.5%, 2/01/25(c)........... 165,394
8,700,298 FHLMC, 6.93% to 7.50%, maturing
9/05/00 to 9/01/25(c)............. 8,692,903
7,297,781 FNMA, 6.00% to 8.625%, maturing
1/01/01 to 7/01/25(c)............. 7,280,987
2,569,083 GNMA, 7.00% to 8.50%, maturing
9/15/23 to 3/15/26(c)............. 2,575,979
1,145,000 Tennessee Valley Authority, 8.25%,
4/15/42........................... 1,237,998
----------
TOTAL U.S. GOVERNMENT & AGENCY
(Cost $20,203,996)............................... $ 19,953,261
----------
FOREIGN DEBT - 0.61%
FOREIGN GOVERNMENTS - 0.56%
95,000 New Zealand Government, 10.625%,
11/15/05.......................... 121,109
445,000 New Zealand Government, 8.75%,
12/15/06.......................... 513,814
460,000 Province of Quebec, 6.50%,
1/17/06........................... 441,743
290,000 Quebec Province, 7.125%, 2/09/24... 268,537
----------
1,345,203
----------
</TABLE>
See Notes to Financial Statements on Pages 16 - 17
12
<PAGE> 4
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Asset Management Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY VALUE
- ------------ ----------------------------------- -------------
<C> <S> <C>
INDUSTRIAL - 0.05%
$ 125,000 Manitoba, 6.125%, 1/19/04.......... $ 120,451
-----------
TOTAL FOREIGN DEBT
(Cost $1,486,177)................................ $ 1,465,654
-----------
U.S. TREASURY SECURITIES - 6.69%
3,698,000 U.S. Treasury Bonds, 7.25% to
8.125%, maturing 8/15/19 to
8/15/22........................... 3,938,547
12,255,000 U.S. Treasury Notes, 5.00% to
6.125%, maturing 11/30/97 to
2/28/01........................... 12,128,331
-----------
16,066,878
-----------
TOTAL U.S. TREASURY SECURITIES
(Cost $16,492,037)............................... $ 17,532,532
-----------
SHORT TERM INSTRUMENTS - 34.71%
U.S. TREASURY BILLS - 17.55%
42,310,000 4.95% to 5.225%, maturing 5/16/96
to 6/27/96........................ 42,156,678
-----------
REPURCHASE AGREEMENT - 17.16%
41,208,272 Sanwa Bank, Dated 3/29/96 5.35%
principal and interest in the
amount of $41,226,644, due 4/1/96,
(collateralized by U.S. Treasury
Notes, par value of $12,281,000,
5.875%, due 7/31/97, value of
$12,315,540, U.S. Treasury Notes,
par value of $28,976,000, 5.625%,
due 10/31/97 value of
$28,994,110)...................... 41,208,272
-----------
TOTAL SHORT TERM INSTRUMENTS
(Cost $83,364,950)............................... $ 83,364,950
-----------
TOTAL INVESTMENTS
(Cost $230,224,245) - 99.70%..................... $ 239,411,417
Other Assets Less Liabilities - 0.30%............. 730,991
-----------
NET ASSETS - 100.00%.............................. $ 240,142,408
===========
</TABLE>
- ------------------
(a) Non-Income Producing Securities
(b) Quarterly Floating Rate Note
(c) The following abbreviations are used in the portfolio description.
FGHLMC - Federal Gold Home Loan Mortgage Corporation
FHLMC - Federal Home Loan Mortgage Corporation
FNMA - Federal National Mortgage Association
GNMA - Government National Mortgage Association
(d) 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 $105,389 or 0.04% of net
assets.
See Notes to Financial Statements on Pages 16 - 17
13
<PAGE> 5
- --------------------------------------------------------------------------------
Asset Management Portfolio
STATEMENT OF ASSETS AND LIABILITIES March 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments, at Value (Cost $230,224,245, including Repurchase Agreement amounting to 41,208,272)............ $ 239,411,417
Cash+........................................................................................................ 1,497,483
Dividends and Interest Receivable............................................................................ 917,912
Prepaid Expenses and Other Assets............................................................................ 3,023
-------------
Total Assets.................................................................................................... 241,829,835
-------------
LIABILITIES
Due to Bankers Trust......................................................................................... 119,492
Payable for Securities Purchased............................................................................. 1,179,696
Accrued Expenses and Accounts Payable........................................................................ 24,487
Variation Margin Payable..................................................................................... 363,752
-------------
Total Liabilities............................................................................................... 1,687,427
-------------
NET ASSETS...................................................................................................... $ 240,142,408
=============
COMPOSITION OF NET ASSETS
Paid-in Capital.............................................................................................. $ 230,968,946
Net Unrealized Appreciation on Investments and Foreign Currency Translation.................................. 9,188,933
Net Unrealized Depreciation on Futures Contracts............................................................. (15,471)
-------------
NET ASSETS, MARCH 31, 1996...................................................................................... $ 240,142,408
=============
</TABLE>
- ------------------
+ Includes foreign currency of $1,493,961 with a value of $1,495,722.
STATEMENT OF OPERATIONS For the Year Ended March 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
INVESTMENT INCOME
Dividends (Net of foreign withholding tax of $11,337)..................................................... $ 1,673,515
Interest.................................................................................................. 6,047,253
-----------
Total Investment Income............................................................................... 7,720,768
-----------
EXPENSES
Advisory.................................................................................................. 1,092,488
Administration and Services............................................................................... 168,075
Professional.............................................................................................. 20,671
Insurance................................................................................................. 2,149
Trustees.................................................................................................. 2,288
Miscellaneous............................................................................................. 1,980
-----------
Total Expenses............................................................................................ 1,287,651
Expenses Absorbed by Bankers Trust........................................................................ (279,200)
-----------
Net Expenses.......................................................................................... 1,008,451
-----------
NET INVESTMENT INCOME........................................................................................ 6,712,317
-----------
REALIZED AND UNREALIZED GAIN ON INVESTMENTS, FOREIGN CURRENCY TRANSACTIONS, AND FUTURES CONTRACTS
Net Realized Gain on:
Investments and Foreign Currency Transactions............................................................. 7,730,647
Futures Contracts......................................................................................... 6,275,542
-----------
14,006,189
Net Change in Unrealized Appreciation (Depreciation) of:
Investments and Foreign Currency Translations............................................................. 7,485,813
Futures Contracts......................................................................................... (223,996)
-----------
7,261,817
NET GAIN ON INVESTMENTS, FOREIGN CURRENCIES, AND FUTURES..................................................... 21,268,006
-----------
NET INCREASE IN NET ASSETS FROM OPERATIONS................................................................... $ 27,980,323
===========
</TABLE>
See Notes to Financial Statements on Pages 16 - 17
14
<PAGE> 6
- --------------------------------------------------------------------------------
Asset Management Portfolio
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE
YEAR ENDED MARCH 31,
-------------------------------
1996 1995
------------- -------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net Investment Income...................................................................... $ 6,712,317 $ 3,350,844
Net Realized Gain (Loss) from Investments, Foreign Currency and Futures Transactions....... 14,006,189 (85,052)
Net Unrealized Appreciation on Securities, Foreign Translations and Futures Contracts...... 7,261,817 3,010,076
------------- -------------
Net Increase in Net Assets from Operations.................................................... 27,980,323 6,275,868
------------- -------------
CAPITAL TRANSACTIONS
Proceeds from Capital Invested............................................................. 170,133,182 77,053,606
Value of Capital Withdrawn................................................................. (54,499,861) (23,083,892)
------------- -------------
Net Increase in Net Assets from Capital Transactions.......................................... 115,633,321 53,969,714
------------- -------------
TOTAL INCREASE IN NET ASSETS.................................................................. 143,613,644 60,245,582
NET ASSETS
Beginning of Year............................................................................. 96,528,764 36,283,182
------------- -------------
End of Year................................................................................... $ 240,142,408 $ 96,528,764
=============== ===============
</TABLE>
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
YEAR ENDED MARCH 31, (COMMENCEMENT OF
--------------------- OPERATIONS) TO
1996 1995 MARCH 31, 1994
--------------------- --------------------- -------------------
<S> <C> <C> <C>
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period (000's omitted).......... $ 240,142 $ 96,529 $36,283
Ratios to Average Net Assets
Net Investment Income.......................... 3.99% 3.78% 2.83%*
Expenses....................................... 0.60% 0.60% 0.60%*
Decrease Reflected in Above Expense Ratio Due
to Absorption of Expenses by Bankers Trust.... 0.17% 0.19% 0.33%*
Portfolio Turnover Rate............................ 154% 92% 56%
</TABLE>
- ------------------
* Annualized
See Notes to Financial Statements on Pages 16 - 17
15
<PAGE> 7
- --------------------------------------------------------------------------------
Asset Management Portfolio
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
NOTE 1 -- ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
A. Organization
The Asset Management Portfolio (the "Portfolio") is registered under the
Investment Company Act of 1940 (the "Act"), as amended, as an open-end
management investment company. The Portfolio was organized on June 9, 1992 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.
E. Other
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions that
affect the reported amounts in the financial statements.
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, 1996, this fee aggregated $168,075.
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, 1996, this
fee aggregated $1,092,488.
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 by $279,200.
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, 1996, were
$236,481,467 and $167,614,159, respectively. For federal income tax purposes,
the tax basis of investments held at March 31, 1996 was $230,420,441. The
aggregate gross unrealized appreciation for all investments was $11,369,454 and
the aggregate gross unrealized depreciation for all investments was $2,378,478.
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.
16
<PAGE> 8
- --------------------------------------------------------------------------------
Asset Management Portfolio
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
NOTE 4 -- FUTURES CONTRACTS
A summary of obligations under these financial instruments at March 31, 1996 is
as follows:
<TABLE>
<CAPTION>
UNREALIZED
APPRECIATION/
TYPE OF FUTURE EXPIRATION CONTRACTS POSITION (DEPRECIATION)
- ----------------------------------------------------------------- ---------- --------- -------- --------------
<S> <C> <C> <C> <C>
S&P 500.......................................................... June 1996 154 Long $ 15,450
US Treasury...................................................... June 1996 75 Long (178,031)
French Government Bond........................................... June 1996 96 Long (13,258)
German Bond...................................................... June 1996 67 Long (103,176)
Canadian Government Bond......................................... June 1996 118 Long (159,605)
DAX Index........................................................ June 1996 14 Long 46,623
CDM C$ Future.................................................... June 1996 2 Short (1,280)
DMM D-Mark....................................................... June 1996 6 Short 1,650
FRM French Franc................................................. June 1996 5 Short (2,500)
TYU US Treasury Futures.......................................... June 1996 126 Short 378,656
------------
$ (15,471)
============
</TABLE>
At March 31, 1996, the Portfolio has segregated sufficient securities to cover
margin requirements on open futures contracts.
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, 1996, and the related statement of operations for the year then
ended, the statement of changes in net assets for each of the two years in the
period then ended, and the financial highlights for each of the two years in the
period 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, 1996 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, 1996, 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.
Kansas City, Missouri
May 3, 1996
17
