<PAGE>
- --------------------------------------------------------------------------------
UTILITY PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1996 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------- ---------------------------------- ----------
<C> <S> <C>
COMMON STOCK 95.72%
TELECOMMUNICATIONS - 42.29%
6,000 ALLTEL Corp....................... $ 184,500
9,000 Ameritech Corp.................... 534,375
1,800 Bay Networks (a).................. 46,350
4,900 Bell Atlantic Corp................ 312,375
11,400 BellSouth Corp.................... 483,075
2,000 DSC Communications Corp. (a)...... 60,250
8,900 Frontier Corp..................... 272,562
11,350 GTE Corp.......................... 507,912
4,800 MCI Communications Corp........... 123,000
2,300 MFS Communications Company Inc.
(a).............................. 86,538
1,200 Newbridge Networks (a)............ 78,600
9,800 Nextel Communications Inc. (a).... 186,813
8,600 SBC Communications Inc............ 423,550
2,700 Southern New England
Telecommunications............... 113,400
2,900 Teleport Communications (a)....... 55,463
2,150 US West........................... 68,531
900 WorldCom Inc. (a)................. 49,837
----------
3,587,131
----------
UTILITY-ELECTRIC - 36.95%
4,000 American Electric Power Co........ 170,500
4,100 Baltimore Gas & Electric.......... 116,338
5,500 Carolina Power & Light Co......... 209,000
3,600 CILCORP Inc....................... 153,900
5,500 CINergy Corp...................... 176,000
5,000 CMS Energy........................ 154,375
7,200 DPL Inc........................... 175,500
5,000 DTE Energy Co..................... 154,375
3,700 Duke Power........................ 189,625
5,000 Enova Corp........................ 115,625
4,500 FPL Group......................... 207,000
7,500 LG&E Energy Corp.................. 171,563
<CAPTION>
SHARES SECURITY VALUE
- --------- ---------------------------------- ----------
<C> <S> <C>
4,100 Ohio Edison....................... $ 89,687
4,100 PacifiCorp........................ 91,225
6,300 Pinnacle West Capital............. 191,362
2,700 Portland General Corp............. 83,362
9,900 Southern Co....................... 243,788
3,400 Texas Utilities Co................ 145,350
2,600 Unicom Corp....................... 72,475
2,700 Union Electric Co................. 108,675
3,600 WPS Resources..................... 113,850
----------
3,133,575
----------
UTILITY-GAS - 16.48%
5,500 Brooklyn Union Gas Co............. 149,875
2,100 Coastal Corp...................... 87,675
6,200 Enron Corp........................ 253,425
11,000 MCN Corp.......................... 268,125
1,400 Pacific Enterprises............... 41,475
5,000 Questar Corp...................... 170,000
4,000 Sonat Inc......................... 180,000
5,000 Williams Cos...................... 247,500
----------
1,398,075
----------
TOTAL COMMON STOCK (Cost $6,302,638).......... 8,118,781
----------
<CAPTION>
PRINCIPAL
AMOUNT DESCRIPTION VALUE
- --------- ---------------------------------- ----------
<C> <S> <C>
SHORT TERM INSTRUMENTS - 0.94%
U.S. TREASURY BILLS - 0.94%
$65,000 5.00%*, 9/12/96................... 64,340
15,000 4.79%*, 8/8/96.................... 14,921
----------
TOTAL SHORT TERM INSTRUMENTS (Cost $79,252)... 79,261
----------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS
(Cost $6,381,890)............. 96.66 % 8,198,042
Other Assets less Liabilities... 3.34 % 283,395
------- --------------
NET ASSETS...................... 100.00 % $ 8,481,437
------- --------------
------- --------------
</TABLE>
- ------------------
(a) Non-Income Producing Securities
* Discount rate
SEE NOTES TO FINANCIAL STATEMENTS ON PAGE 12
9
<PAGE>
- --------------------------------------------------------------------------------
UTILITY PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES JUNE 30, 1996 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments, at Value (Cost $6,381,890)...................... $ 8,198,042
Cash......................................................... 5,896
Receivable for Securities Sold............................... 299,651
Dividend and Interest Receivable............................. 25,932
Prepaid Expenses and Other................................... 39
Due from Bankers Trust....................................... 10,452
-----------
Total Assets..................................................... 8,540,012
-----------
LIABILITIES
Payable for Securities Purchased............................. 46,400
Accrued Expenses and Other................................... 12,175
-----------
Total Liabilities................................................ 58,575
-----------
NET ASSETS....................................................... $ 8,481,437
-----------
-----------
COMPOSITION OF NET ASSETS
Paid in Capital.............................................. $ 6,665,285
Net Unrealized Appreciation on Investments................... 1,816,152
-----------
NET ASSETS, JUNE 30, 1996........................................ $ 8,481,437
-----------
-----------
</TABLE>
STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED JUNE 30, 1996 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
INVESTMENT INCOME
Dividend (net of foreign witholding tax of $11).............. $ 187,081
Interest..................................................... 5,302
-----------
Total Investment Income.......................................... 192,383
-----------
EXPENSES
Advisory..................................................... 29,124
Administration and Services.................................. 4,481
Professional................................................. 8,457
Trustees..................................................... 1,408
Miscellaneous................................................ 586
-----------
Total Expenses............................................... 44,056
Less: Expenses Absorbed by Bankers Trust..................... (17,173)
-----------
Net Expenses..................................................... 26,883
-----------
NET INVESTMENT INCOME............................................ 165,500
-----------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net Realized Gain from Investments............................... 531,571
Net Unrealized Depreciation on Investments....................... (611,989)
-----------
REALIZED AND UNREALIZED LOSS ON INVESTMENTS...................... (80,418)
-----------
NET INCREASE IN NET ASSETS FROM OPERATIONS....................... $ 85,082
-----------
-----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS ON PAGE 12
10
<PAGE>
- --------------------------------------------------------------------------------
UTILITY PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
- ----------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE SIX
MONTHS ENDED FOR THE
JUNE 30, 1996 YEAR ENDED
(UNAUDITED) DECEMBER 31, 1995
------------- -----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS
Net Investment Income.................... $ 165,500 $ 648,004
Net Realized Gain (Loss) from
Investments............................. 531,571 (976,544)
Net Unrealized Appreciation
(Depreciation) on Securities............ (611,989) 4,040,966
------------- -----------------
Net Increase in Net Assets from Operations... 85,082 3,712,426
------------- -----------------
CAPITAL TRANSACTIONS
Proceeds from Capital Invested........... 117,444 539,419
Value of Capital Withdrawn............... (1,959,044) (12,746,962)
------------- -----------------
Net Decrease in Net Assets from Capital
Transactions................................ (1,841,600) (12,207,543)
------------- -----------------
TOTAL DECREASE IN NET ASSETS................. (1,756,518) (8,495,117)
NET ASSETS
Beginning of Period.......................... 10,237,955 18,733,072
------------- -----------------
End of Period................................ $ 8,481,437 $ 10,237,955
------------- -----------------
------------- -----------------
</TABLE>
FINANCIAL HIGHLIGHTS
- ----------------------------------------------------------------------
Contained below are selected ratios and supplemental data for each of the
periods indicated for the Utility Portfolio.
<TABLE>
<CAPTION>
FOR THE SIX FOR THE PERIOD
MONTHS ENDED AUGUST 3, 1992
JUNE 30, FOR THE YEAR ENDED DECEMBER 31, (COMMENCEMENT OF
1996 ------------------------------- OPERATIONS) TO
(UNAUDITED) 1995 1994 1993 DECEMBER 31, 1992
------------ --------- --------- --------- -----------------
<S> <C> <C> <C> <C> <C>
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period (000's omitted)..... $ 8,481 $ 10,238 $ 18,733 $ 37,590 $ 16,002
Ratios to Average Net Assets
Net Investment Income....................... 3.69%* 4.42% 5.21% 4.60% 5.20%*
Expenses, including Expenses of the
Portfolio................................. 0.60%* 0.60% 0.60% 0.60% 0.60%*
Decrease Reflected in Above Expense
Ratio Due to Absorption of Expenses by
Bankers Trust............................. 0.38%* 0.31% 0.27% 0.26% 0.57%*
Portfolio Turnover Rate........................... 10.31% 53.71% 11.43% 0.00% 0.00%
Average Commission Per Share...................... $ 0.05#
</TABLE>
- ----------------
* Annualized
# For the year beginning on or after September 1, 1995, the Portfolio is
required to disclose its average commission rate per share for purchases or
sales of equity securities.
SEE NOTES TO FINANCIAL STATEMENTS ON PAGE 12
11
<PAGE>
- --------------------------------------------------------------------------------
UTILITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
NOTE 1 -- ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
A. ORGANIZATION
The Utility 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 December 11, 1991 as an
unincorporated trust under the laws of New York, and commenced operations on
August 3, 1992. 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 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. 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.
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. 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 six months ended June 30, 1996, this fee aggregated $4,481.
The Portfolio has entered into an Advisory Agreement with Bankers Trust. Under
this Advisory Agreement, the Portfolio pays Bankers Trust an advisory 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 June 30, 1996,
this fee aggregated $29,124.
Bankers Trust has voluntarily undertaken to waive and reimbursement 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 six months ended June 30,
1996, expenses of the Portfolio have been reduced by $17,173.
Certain trustees and officers of the Portfolio are also directors, officers
and/or employees of Signature Broker-Dealer Services, Inc., the distributor of
the BT Investment Funds. None of the trustees so affiliated received
compensation for services as trustees of the Portfolio. Similarly, none of the
Portfolio's officers received compensation from the Portfolio.
NOTE 3 -- PURCHASE AND SALE OF INVESTMENT SECURITIES
The aggregate cost of purchases and proceeds from sales of investments, other
than short-term obligations, for the six months ended June 30, 1996 were
$903,623 and $2,671,158 respectively. For Federal income tax purposes, the tax
basis of investments held at June 30, 1996 was $6,404,719. The aggregate gross
unrealized appreciation was $1,844,319 and the aggregate gross unrealized
depreciation for all investments was $50,996 as of June 30, 1996.
12
