<PAGE> 1
SMALL CAP PORTFOLIO 10
----------------------------------------------------------------------
Statement of Assets and Liabilities
- --------------------------------------------------------------------------------
September 30, 1995
<TABLE>
<S> <C>
- --------------------------------------------------------------------------------
Assets
- --------------------------------------------------------------------------------
Investments, at Value (Cost $96,338,528) $118,641,475
- --------------------------------------------------------------------------------
Cash 353,495
- --------------------------------------------------------------------------------
Receivable for Securities Sold 9,167,872
- --------------------------------------------------------------------------------
Prepaid Expenses 189
- --------------------------------------------------------------------------------
Total Assets 128,163,031
- --------------------------------------------------------------------------------
Liabilities
- --------------------------------------------------------------------------------
Due to Bankers Trust 70,264
- --------------------------------------------------------------------------------
Payable for Securities Purchased 4,243,404
- --------------------------------------------------------------------------------
Accrued Expenses and Accounts Payable 21,411
- --------------------------------------------------------------------------------
Total Liabilities 4,335,079
- --------------------------------------------------------------------------------
Net Assets $123,827,952
================================================================================
Composition of Net Assets
- --------------------------------------------------------------------------------
Paid-in Capital $101,525,005
- --------------------------------------------------------------------------------
Net Unrealized Appreciation on Securities 22,302,947
- --------------------------------------------------------------------------------
Net Assets, September 30, 1995 $123,827,952
================================================================================
</TABLE>
See Notes to Financial Statements on Pages 20 and 21.
<PAGE> 2
SMALL CAP PORTFOLIO 11
----------------------------------------------------------------------
Statement of Operations
- --------------------------------------------------------------------------------
For the year ended September 30, 1995
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
- --------------------------------------------------------------------------------
Investment Income
- --------------------------------------------------------------------------------
Dividends $ 11,228
- --------------------------------------------------------------------------------
Interest 462,219
- --------------------------------------------------------------------------------
Total Investment Income $ 473,447
- --------------------------------------------------------------------------------
Expenses
- --------------------------------------------------------------------------------
Advisory Fee 389,015
- --------------------------------------------------------------------------------
Administration and Services Fee 59,848
- --------------------------------------------------------------------------------
Professional Fees 17,320
- --------------------------------------------------------------------------------
Insurance 2,695
- --------------------------------------------------------------------------------
Trustees Fees 1,563
- --------------------------------------------------------------------------------
Miscellaneous 513
- --------------------------------------------------------------------------------
Total Expenses 470,954
- --------------------------------------------------------------------------------
Less: Expenses Absorbed by Bankers Trust (111,862) 359,092
- --------------------------------------------------------------------------------
Net Investment Income 114,355
- --------------------------------------------------------------------------------
Net Realized and Unrealized Gain (Loss) on Securities
- --------------------------------------------------------------------------------
Net Realized Gain from Securities Transactions 11,205,496
- --------------------------------------------------------------------------------
Net Unrealized Appreciation on Securities 19,127,783
- --------------------------------------------------------------------------------
Net Realized and Unrealized Gain on Securities 30,333,279
- --------------------------------------------------------------------------------
Net Increase in Net Assets from Operations $30,447,634
================================================================================
</TABLE>
See Notes to Financial Statements on Pages 20 and 21.
<PAGE> 3
SMALL CAP PORTFOLIO 12
----------------------------------------------------------------------
Statement of Changes in Net Assets
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
For the period
October 21, 1993
For the (Commencement
year ended of Operations) to
September 30, 1995 September 30, 1994
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Increase (Decrease) in Net Assets
- ---------------------------------------------------------------------------------------------------------------
From Operations
- ---------------------------------------------------------------------------------------------------------------
Net Investment Income $ 114,355 $ 7,187
- ---------------------------------------------------------------------------------------------------------------
Net Realized Gain (Loss) from Securities Transactions 11,205,496 (1,172,477)
- ---------------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Securities 19,127,783 3,175,164
- ---------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Operations 30,447,634 2,009,874
- ---------------------------------------------------------------------------------------------------------------
From Capital Transactions
- ---------------------------------------------------------------------------------------------------------------
Proceeds from Capital Invested 89,963,488 21,058,530
- ---------------------------------------------------------------------------------------------------------------
Value of Capital Withdrawn (17,910,681) (1,740,893)
- ---------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Capital Transactions 72,052,807 19,317,637
- ---------------------------------------------------------------------------------------------------------------
Total Increase in Net Assets 102,500,441 21,327,511
===============================================================================================================
Net Assets
- ---------------------------------------------------------------------------------------------------------------
Beginning of Period 21,327,511 --
- ---------------------------------------------------------------------------------------------------------------
End of Period $123,827,952 $21,327,511
===============================================================================================================
</TABLE>
See Notes to Financial Statements on Pages 20 and 21.
<PAGE> 4
SMALL CAP PORTFOLIO 13
----------------------------------------------------------------------
Financial Highlights
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------
Contained below are selected ratios and supplemental data for each of the
periods indicated for the Small Cap Portfolio.
For the period
October 21, 1993
For the (Commencement
year ended of Operations) to
September 30, 1995 September 30, 1994
- ------------------------------------------------------------------------------------------------------
<S> <C> <C>
Ratios and Supplemental Data
Ratio of Net Investment Income to Average Net Assets 0.19% 0.07%*
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% 0.38%*
Portfolio Turnover Rate 161% 154%
Net Assets, End of Period (000's omitted) $123,828 $21,328
*Annualized
</TABLE>
See Notes to Financial Statements on Pages 20 and 21.
<PAGE> 5
SMALL CAP PORTFOLIO 14
----------------------------------------------------------------------
<TABLE>
<CAPTION>
Schedule of Portfolio Investments
- --------------------------------------------------------------------------------
September 30, 1995
Shares Description Value
- --------------------------------------------------------------------------------
<C> <S> <C>
COMMON STOCKS-90.61%
Client Server Computing-5.22%
- --------------------------------------------------------------------------------
3,600 Business Objects, ADS (a) $ 153,450
- --------------------------------------------------------------------------------
19,800 CBT Group, ADS (a) 945,450
- --------------------------------------------------------------------------------
61,800 Computron Software (a) 1,066,050
- --------------------------------------------------------------------------------
20,900 Discreet Logic (a) 1,149,500
- --------------------------------------------------------------------------------
26,600 Mercury Interactive (a) 738,150
- --------------------------------------------------------------------------------
27,500 Novadigm (a) 464,062
- --------------------------------------------------------------------------------
29,500 Open Environment (a) 516,250
- --------------------------------------------------------------------------------
23,500 Seer Technologies (a) 355,438
- --------------------------------------------------------------------------------
50,000 Unison Software (a) 750,000
- --------------------------------------------------------------------------------
12,400 Veritas Software (a) 322,400
- --------------------------------------------------------------------------------
6,460,750
================================================================================
Flourishing in the Managed
Care Environment-6.96%
- --------------------------------------------------------------------------------
26,700 AHI Healthcare Systems (a) 413,850
- --------------------------------------------------------------------------------
57,100 CompDent (a) 1,670,175
- --------------------------------------------------------------------------------
73,800 CRA Managed Care (a) 1,595,925
- --------------------------------------------------------------------------------
65,200 OccuSystems (a) 1,352,900
- --------------------------------------------------------------------------------
62,700 Pediatrix Medical Group (a) 1,285,350
- --------------------------------------------------------------------------------
18,300 Renal Treatment Centers (a) 677,100
- --------------------------------------------------------------------------------
18,500 Target Therapeutics (a) 1,295,000
- --------------------------------------------------------------------------------
10,800 United Dental Care (a) 324,000
- --------------------------------------------------------------------------------
8,614,300
================================================================================
Life on the Net-9.99%
- --------------------------------------------------------------------------------
31,500 Firefox Communications (a) 779,625
- --------------------------------------------------------------------------------
21,700 FTP Software (a) 602,175
- --------------------------------------------------------------------------------
40,200 Harbinger (a) 552,750
- --------------------------------------------------------------------------------
43,800 Legato Systems (a) 1,160,700
- --------------------------------------------------------------------------------
16,700 Macromedia (a) 953,988
- --------------------------------------------------------------------------------
29,300 Maxis (a) 1,289,200
- --------------------------------------------------------------------------------
19,400 McAfee Associates (a) 999,100
- --------------------------------------------------------------------------------
14,200 NetManage (a) 337,250
- --------------------------------------------------------------------------------
12,400 Network General (a) 511,500
- --------------------------------------------------------------------------------
25,400 Number Nine Visual Technology (a) $ 419,100
- --------------------------------------------------------------------------------
32,300 On Technology (a) 557,175
- --------------------------------------------------------------------------------
29,200 Pinnacle Systems (a) 897,900
- --------------------------------------------------------------------------------
63,900 Quarterdeck (a) 1,238,062
- --------------------------------------------------------------------------------
8,800 Security Dynamics Technologies (a) 420,200
- --------------------------------------------------------------------------------
41,000 Transactions Systems Architects (a) 1,096,750
- --------------------------------------------------------------------------------
19,700 Verifone (a) 549,137
- --------------------------------------------------------------------------------
12,364,612
================================================================================
Life Sciences Revolution-2.91%
- --------------------------------------------------------------------------------
42,400 Cephalon (a) 1,166,000
- --------------------------------------------------------------------------------
53,600 Magainin Pharmaceuticals (a) 582,900
- --------------------------------------------------------------------------------
30,200 Neurogen (a) 671,950
- --------------------------------------------------------------------------------
40,400 NeXstar Pharmaceuticals (a) 595,900
- --------------------------------------------------------------------------------
38,000 Regeneron Pharmaceuticals (a) 593,750
- --------------------------------------------------------------------------------
3,610,500
================================================================================
Managing the Information
Age-12.28%
- --------------------------------------------------------------------------------
22,400 ADFlex Solutions (a) 501,200
- --------------------------------------------------------------------------------
20,100 Applix (a) 442,200
- --------------------------------------------------------------------------------
56,500 Astea International (a) 1,130,000
- --------------------------------------------------------------------------------
42,200 Atria Software (a) 1,234,350
- --------------------------------------------------------------------------------
64,600 Datastream Systems (a) 1,469,650
- --------------------------------------------------------------------------------
71,600 Dendrite International (a) 1,091,900
- --------------------------------------------------------------------------------
20,800 Desktop Data (a) 722,800
- --------------------------------------------------------------------------------
53,700 DSP Communications (a) 1,772,100
- --------------------------------------------------------------------------------
48,300 Eagle Point Software (a) 905,625
- --------------------------------------------------------------------------------
36,300 HNC Software (a) 952,875
- --------------------------------------------------------------------------------
42,000 IMNET Systems (a) 1,081,500
- --------------------------------------------------------------------------------
46,800 Inference (a) 690,000
- --------------------------------------------------------------------------------
43,700 National Data 1,174,437
- --------------------------------------------------------------------------------
51,200 SITEL (a) 1,254,400
- --------------------------------------------------------------------------------
11,000 Software Artistry (a) 209,000
- --------------------------------------------------------------------------------
36,000 Vantive (a) 576,000
- --------------------------------------------------------------------------------
15,208,037
================================================================================
</TABLE>
See Notes to Financial Statements on Pages 20 and 21.
<PAGE> 6
SMALL CAP PORTFOLIO 15
----------------------------------------------------------------------
Schedule of Portfolio Investments
- --------------------------------------------------------------------------------
September 30, 1995
<TABLE>
<CAPTION>
Shares Description Value
- --------------------------------------------------------------------------------
<C> <S> <C>
Move to Outsourcing--9.00%
- --------------------------------------------------------------------------------
20,500 AccuStaff (a) $ 753,375
- --------------------------------------------------------------------------------
35,600 Affiliated Computer Services (a) 1,041,300
- --------------------------------------------------------------------------------
36,100 Alternative Resources (a) 1,155,200
- --------------------------------------------------------------------------------
25,500 Atlas Air (a) 567,375
- --------------------------------------------------------------------------------
47,000 Comair 1,245,500
- --------------------------------------------------------------------------------
51,400 Daisytek International (a) 1,689,775
- --------------------------------------------------------------------------------
61,200 HealthPlan Services (a) 1,246,950
- --------------------------------------------------------------------------------
20,000 HPR (a) 465,000
- --------------------------------------------------------------------------------
2,800 Interim Services (a) 75,600
- --------------------------------------------------------------------------------
21,100 Kent Electronics (a) 925,762
- --------------------------------------------------------------------------------
35,100 Personnel Group of America (a) 491,400
- --------------------------------------------------------------------------------
20,500 Quintiles Transnational (a) 1,209,500
- --------------------------------------------------------------------------------
23,200 Zycon (a) 284,200
- --------------------------------------------------------------------------------
11,150,937
================================================================================
New Consumer--14.82%
- --------------------------------------------------------------------------------
49,700 Apple South 1,130,675
- --------------------------------------------------------------------------------
7,150 Blyth Industries (a) 334,263
- --------------------------------------------------------------------------------
59,200 Claire's Stores 1,213,600
- --------------------------------------------------------------------------------
17,900 Discount Auto Parts (a) 541,475
- --------------------------------------------------------------------------------
74,400 Dollar Tree Stores (a) 2,529,600
- --------------------------------------------------------------------------------
21,000 DonnKenny (a) 590,625
- --------------------------------------------------------------------------------
12,500 Duracraft (a) 564,063
- --------------------------------------------------------------------------------
28,900 Moovies (a) 567,163
- --------------------------------------------------------------------------------
33,000 Nautica Enterprises (a) 1,130,250
- --------------------------------------------------------------------------------
34,500 Neostar Retail Group (a) 590,812
- --------------------------------------------------------------------------------
19,600 Norton McNaughton (a) 436,100
- --------------------------------------------------------------------------------
26,600 Papa John's International (a) 1,197,000
- --------------------------------------------------------------------------------
40,200 Phamis (a) 1,100,475
- --------------------------------------------------------------------------------
15,700 Regal Cinemas (a) 645,662
- --------------------------------------------------------------------------------
54,500 Renaissance Hotel Group (a) 967,375
- --------------------------------------------------------------------------------
61,300 Renaissance Solutions (a) 1,494,187
- --------------------------------------------------------------------------------
32,000 Softkey International (a) 1,416,000
- --------------------------------------------------------------------------------
27,500 Sonic (a) 625,625
- --------------------------------------------------------------------------------
55,300 Studio Plus Hotels (a) $ 1,271,900
- --------------------------------------------------------------------------------
18,346,850
================================================================================
New Health Care Paradigm--9.12%
- --------------------------------------------------------------------------------
28,000 American Oncology Resources (a) 1,204,000
- --------------------------------------------------------------------------------
9,500 Authentic Fitness (a) 213,750
- --------------------------------------------------------------------------------
2,400 CareLine (a) 22,500
- --------------------------------------------------------------------------------
22,600 Eastbay (a) 446,350
- --------------------------------------------------------------------------------
19,000 Garden Ridge (a) 555,750
- --------------------------------------------------------------------------------
62,200 Gulf South Medical Supply (a) 1,531,675
- --------------------------------------------------------------------------------
20,000 HCIA (a) 515,000
- --------------------------------------------------------------------------------
47,400 IDEXX Laboratories (a) 1,765,650
- --------------------------------------------------------------------------------
83,200 Martek Biosciences (a) 1,352,000
- --------------------------------------------------------------------------------
48,200 MiniMed (a) 530,200
- --------------------------------------------------------------------------------
20,400 Physician Sales & Services (a) 979,200
- --------------------------------------------------------------------------------
74,400 Rexall Sundown (a) 1,255,500
- --------------------------------------------------------------------------------
25,000 Summit Medical Systems (a) 375,000
- --------------------------------------------------------------------------------
25,500 Ventritex (a) 548,250
- --------------------------------------------------------------------------------
11,294,825
================================================================================
Productivity Enhancement--6.39%
- --------------------------------------------------------------------------------
30,000 ArcSys (a) 1,237,500
- --------------------------------------------------------------------------------
31,200 Aspen Technology (a) 936,000
- --------------------------------------------------------------------------------
32,400 Credence Systems (a) 1,174,500
- --------------------------------------------------------------------------------
13,000 Electroglas (a) 885,625
- --------------------------------------------------------------------------------
23,100 Epic Design Technology (a) 1,120,350
- --------------------------------------------------------------------------------
38,400 Integrated Measurement Systems (a) 508,800
- --------------------------------------------------------------------------------
39,000 Periphonics (a) 1,121,250
- --------------------------------------------------------------------------------
3,400 PRI Automation (a) 139,400
- --------------------------------------------------------------------------------
30,200 QuickResponse Services (a) 785,200
- --------------------------------------------------------------------------------
7,908,625
================================================================================
Redistribution of Debt--1.46%
- --------------------------------------------------------------------------------
2,700 General Acceptance (a) 89,775
- --------------------------------------------------------------------------------
62,900 Olympic Financial (a) 1,721,888
- --------------------------------------------------------------------------------
1,811,663
================================================================================
</TABLE>
See Notes to Financial Statements on Pages 20 and 21.
<PAGE> 7
SMALL CAP PORTFOLIO 16
----------------------------------------------------------------------
Schedule of Portfolio Investments
- --------------------------------------------------------------------------------
September 30, 1995
<TABLE>
<CAPTION>
Shares Description Value
================================================================================
<C> <S> <C>
Special Situations -- 1.96%
- --------------------------------------------------------------------------------
54,000 Intermet (a) $ 607,500
- --------------------------------------------------------------------------------
94,800 LTX (a) 1,196,850
- --------------------------------------------------------------------------------
26,750 Tetra Technologies (a) 621,938
- --------------------------------------------------------------------------------
2,426,288
================================================================================
Telecommunications -- 3.46%
- --------------------------------------------------------------------------------
29,000 American Radio Systems (a) 717,750
- --------------------------------------------------------------------------------
18,200 Hummingbird Communications (a) 677,950
- --------------------------------------------------------------------------------
34,300 Nera AS-ADS (a) 1,179,063
- --------------------------------------------------------------------------------
10,000 Tel-Save Holdings (a) 153,750
- --------------------------------------------------------------------------------
47,300 Teltrend (a) 1,560,900
- --------------------------------------------------------------------------------
4,289,413
================================================================================
The Ubiquitous
Semiconductor -- 7.04%
- --------------------------------------------------------------------------------
58,000 Actel (a) 1,022,250
- --------------------------------------------------------------------------------
46,600 ANADIGICS (a) 1,293,150
- --------------------------------------------------------------------------------
33,700 FSI International (a) 1,120,525
- --------------------------------------------------------------------------------
48,900 Information Storage Devices (a) 1,106,363
- --------------------------------------------------------------------------------
48,100 Micrel (a) 1,346,800
- --------------------------------------------------------------------------------
28,000 Microchip Technology (a) 1,060,500
- --------------------------------------------------------------------------------
13,200 Oak Technology (a) 554,400
- --------------------------------------------------------------------------------
11,000 Opal (a) 200,750
- --------------------------------------------------------------------------------
88,000 TelCom Semiconductor (a) 1,012,000
- --------------------------------------------------------------------------------
8,716,738
================================================================================
Total Common Stocks
(Cost $89,901,381) $ 112,203,538
================================================================================
<CAPTION>
Principal
Amount Description Value
================================================================================
<C> <S> <C>
U.S. Treasury Bills -- 5.20%
- --------------------------------------------------------------------------------
$ 433,000 5.60%, 10/19/95 $ 431,839
- --------------------------------------------------------------------------------
308,000 5.37%, 10/26/95 306,879
- --------------------------------------------------------------------------------
237,000 5.25%, 11/24/95 235,088
- --------------------------------------------------------------------------------
787,000 5.35%, 12/07/95 779,411
- --------------------------------------------------------------------------------
114,000 5.28%, 12/14/95 112,768
- --------------------------------------------------------------------------------
1,005,000 5.42%, 12/21/95 993,230
- --------------------------------------------------------------------------------
3,271,000 5.33%, 1/18/96 3,220,757
- --------------------------------------------------------------------------------
364,000 5.46%, 1/25/96 357,965
- --------------------------------------------------------------------------------
Total U.S. Treasury Bills
(Cost $6,437,147) $ 6,437,937
================================================================================
Total Investments
(Cost $96,338,528) 95.81% $ 118,641,475
- --------------------------------------------------------------------------------
Other Assets in Excess of Liabilities 4.19% 5,186,477
- --------------------------------------------------------------------------------
Net Assets 100.00% $ 123,827,952
================================================================================
</TABLE>
(a) Non-Income Producing Security
See Notes to Financial Statements on Pages 20 and 21.
<PAGE> 8
SMALL CAP PORTFOLIO 20
----------------------------------------------------------------------
Notes To Financial Statements
- --------------------------------------------------------------------------------
Note 1 - Organization and Significant
Accounting Policies
A. Organization
The Small Cap 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 August 6, 1993 as an
unincorporated trust under the laws of New York and commenced operations on
October 21, 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 on 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 Investment 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 securities transactions of the Portfolio are allocated pro rata
among the investors in the Portfolio at the time of such determination.
D. Federal Income Taxes
It is the Portfolio's policy to comply with the requirements of the Internal
Revenue Code applicable to it. Therefore, no federal income tax provision is
required.
<PAGE> 9
SMALL CAP PORTFOLIO 21
----------------------------------------------------------------------
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 September 30, 1995, this fee aggregated $59,848.
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
September 30, 1995, this fee aggregated $389,015.
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 September 30,
1995, expenses of the Portfolio have been reduced $111,862.
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 September 30, 1995, were
$150,170,416 and $87,357,700, respectively. For federal income tax purposes,
the tax basis of investments held at September 30, 1995 was $96,445,067. The
aggregate gross unrealized appreciation for all investments was $24,413,447 and
the aggregate gross unrealized depreciation for all investments was $2,217,039.
<PAGE> 10
SMALL CAP PORTFOLIO 22
----------------------------------------------------------------------
Report of Independent Accountants
- --------------------------------------------------------------------------------
To the Trustees and Holders of Beneficial
Interest of the Small Cap Portfolio:
We have audited the accompanying statement of assets and liabilities of the
Small Cap Portfolio (a series of BT Investment Portfolios), including the
schedule of portfolio investments, as of September 30, 1995, and the related
statement of operations for the year then ended, the statements of changes in
net assets and the financial highlights for the year then ended and for the
period October 21, 1993 (commencement of operations) to September 30, 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
September 30, 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 Small Cap Portfolio of BT Investment Portfolios as of September 30, 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
November 10, 1995
<PAGE> 11
GLOBAL HIGH YIELD SECURITIES PORTFOLIO 10
-------------------------------------------------------------
Statement of Assets and Liabilities
- --------------------------------------------------------------------------------
September 30, 1995
<TABLE>
- --------------------------------------------------------------------------------
<S> <C>
Assets
- --------------------------------------------------------------------------------
Investments, at Value (Cost $21,438,021) $21,468,005
- --------------------------------------------------------------------------------
Cash 1,404,716
- --------------------------------------------------------------------------------
Interest Receivable 664,616
- --------------------------------------------------------------------------------
Prepaid Expenses and Other Assets 279
- --------------------------------------------------------------------------------
Total Assets 23,537,616
- --------------------------------------------------------------------------------
Liabilities
- --------------------------------------------------------------------------------
Due to Bankers Trust 8,871
- --------------------------------------------------------------------------------
Payable for Securities Purchased 497,815
- --------------------------------------------------------------------------------
Accrued Expenses and Accounts Payable 27,465
- --------------------------------------------------------------------------------
Total Liabilities 534,151
- --------------------------------------------------------------------------------
Net Assets $23,003,465
================================================================================
Composition of Net Assets
- --------------------------------------------------------------------------------
Paid-in Capital $22,973,472
- --------------------------------------------------------------------------------
Net Unrealized Appreciation on Securities 29,984
- --------------------------------------------------------------------------------
Net Unrealized Appreciation on Foreign Currency Translation 9
- --------------------------------------------------------------------------------
Net Assets, September 30, 1995 $23,003,465
================================================================================
</TABLE>
See Notes to Financial Statements on Pages 19 and 20
<PAGE> 12
GLOBAL HIGH YIELD SECURITIES PORTFOLIO 11
-------------------------------------------------------------
Statement of Operations
- --------------------------------------------------------------------------------
For the year ended September 30, 1995
<TABLE>
<S> <C> <C>
- --------------------------------------------------------------------------------------------------------------
Investment Income
- --------------------------------------------------------------------------------------------------------------
Dividends (net of foreign withholding tax of $847) $ 15,761
- --------------------------------------------------------------------------------------------------------------
Interest 1,823,124
- --------------------------------------------------------------------------------------------------------------
Total Investment Income $1,838,885
- --------------------------------------------------------------------------------------------------------------
Expenses
- --------------------------------------------------------------------------------------------------------------
Advisory Fee 141,692
- --------------------------------------------------------------------------------------------------------------
Administration and Services Fee 35,423
- --------------------------------------------------------------------------------------------------------------
Professional Fees 26,982
- --------------------------------------------------------------------------------------------------------------
Insurance 2,695
- --------------------------------------------------------------------------------------------------------------
Interest 1,298
- --------------------------------------------------------------------------------------------------------------
Trustees Fees 1,563
- --------------------------------------------------------------------------------------------------------------
Amortization of Organizational Expenses 1,432
- --------------------------------------------------------------------------------------------------------------
Miscellaneous 592
- --------------------------------------------------------------------------------------------------------------
Total Expenses 211,677
- --------------------------------------------------------------------------------------------------------------
Less: Expenses Absorbed by Bankers Trust (78,840) 132,837
- --------------------------------------------------------------------------------------------------------------
Net Investment Income 1,706,048
- --------------------------------------------------------------------------------------------------------------
Net Realized and Unrealized Gain (Loss) on Securities and Foreign Currency
- --------------------------------------------------------------------------------------------------------------
Net Realized (Loss) from Securities Transactions (511,939)
- --------------------------------------------------------------------------------------------------------------
Net Realized (Loss) from Foreign Currency Transactions (4,480)
- --------------------------------------------------------------------------------------------------------------
Net Unrealized (Depreciation) on Securities (7,013)
- --------------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Foreign Currency Translation 3,602
- --------------------------------------------------------------------------------------------------------------
Net Realized and Unrealized (Loss) on Securities and Foreign Currency (519,830)
- --------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Operations $1,186,218
- --------------------------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements on Pages 19 and 20
<PAGE> 13
GLOBAL HIGH YIELD SECURITIES PORTFOLIO 12
-------------------------------------------------------------
Statement of Changes in Net Assets
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
For the period
December 14, 1993
For the (Commencement
year ended of Operations) to
September 30, 1995 September 30, 1994
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Increase (Decrease) in Net Assets
- ------------------------------------------------------------------------------------------------------------------
From Operations
- ------------------------------------------------------------------------------------------------------------------
Net Investment Income $ 1,706,048 $ 531,903
- ------------------------------------------------------------------------------------------------------------------
Net Realized (Loss) from Securities and Foreign
Currency Transactions (516,419) (183,030)
- ------------------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation (Depreciation) on Securities
and Foreign Currency Translation (3,411) 33,404
- ------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Operations 1,186,218 382,277
- ------------------------------------------------------------------------------------------------------------------
From Capital Transactions
- ------------------------------------------------------------------------------------------------------------------
Proceeds from Capital Invested 18,275,555 21,182,075
- ------------------------------------------------------------------------------------------------------------------
Value of Capital Withdrawn (11,187,306) (6,835,354)
- ------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Capital Transactions 7,088,249 14,346,721
- ------------------------------------------------------------------------------------------------------------------
Total Increase in Net Assets 8,274,467 14,728,998
==================================================================================================================
Net Assets
- ------------------------------------------------------------------------------------------------------------------
Beginning of Period 14,728,998 --
- ------------------------------------------------------------------------------------------------------------------
End of Period $ 23,003,465 $14,728,998
==================================================================================================================
</TABLE>
See Notes to Financial Statements on Pages 19 and 20
<PAGE> 14
GLOBAL HIGH YIELD SECURITIES PORTFOLIO 13
-------------------------------------------------------------
Financial Highlights
- --------------------------------------------------------------------------------
Contained below are selected ratios and supplemental data for each of the
periods indicated for the Global High Yield Securities Portfolio.
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------
For the period
December 14, 1993
For the (Commencement
year ended of Operations) to
September 30, 1995 September 30, 1994
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Ratios and Supplemental Data
Ratio of Net Investment Income to Average Net Assets 9.63% 6.44%*
Ratio of Expenses to Average Net Assets 0.75% 0.75%*
Decrease Reflected in Above Ratio of Expenses to Average
Net Assets Due to Absorption of Expenses by Bankers Trust 0.45% 0.59%*
Portfolio Turnover Rate 169% 347%
Net Assets, End of Period (000's omitted) $23,003 $14,729
</TABLE>
* Annualized
See Notes to Financial Statements on Pages 19 and 20
<PAGE> 15
GLOBAL HIGH YIELD SECURITIES PORTFOLIO 14
-------------------------------------------------------------
Schedule of Portfolio Investments
- --------------------------------------------------------------------------------
September 30, 1995
<TABLE>
<CAPTION>
Principal
Amount Description Value
================================================================================
<C> <S> <C>
GOVERNMENT BONDS - 30.59%
- --------------------------------------------------------------------------------
Argentina - 7.38%
- --------------------------------------------------------------------------------
$1,750,000 Argentina Par Series L-GL
6.875%, 3/31/23 (a) $1,017,188
- --------------------------------------------------------------------------------
1,400,000 Argentina Par Series L-GP
5.00%, 3/31/23 (a) 680,750
- --------------------------------------------------------------------------------
1,697,938
================================================================================
Brazil - 14.17%
- --------------------------------------------------------------------------------
1,404,540 Brazil C 8.00%,
4/15/14 747,918
- --------------------------------------------------------------------------------
1,248,480 Brazil C Series L 8.00%,
4/15/14 664,815
- --------------------------------------------------------------------------------
1,000,000 Brazil DCB Series L 7.312%,
4/15/12 (a) 576,875
- --------------------------------------------------------------------------------
1,000,000 Brazil New Money Bond
7.312%, 4/15/09 (a) 607,500
- --------------------------------------------------------------------------------
1,000,000 Brazil Series EI-L 7.25%,
4/15/06 (a) 663,125
- --------------------------------------------------------------------------------
3,260,233
================================================================================
Mexico - 1.32%
- --------------------------------------------------------------------------------
500,000 Mexico Par Series B 6.25%,
12/31/19 304,063
================================================================================
Morocco - 2.18%
- --------------------------------------------------------------------------------
800,000 Morocco Reconstruction &
Consolidation Agreement Series A
6.687%, 1/1/09 (a) 501,000
================================================================================
Panama - 1.83%
- --------------------------------------------------------------------------------
700,000 Panama Refinance Loan
8.01%, 4/24/96 (a) 420,000
================================================================================
Poland - 2.36%
- --------------------------------------------------------------------------------
275,000 Poland Discount 7.125%,
10/27/24 (a) 212,781
- --------------------------------------------------------------------------------
145,000 Poland Series PDI 3.25%,
10/27/14 (a) 91,713
- --------------------------------------------------------------------------------
521,000 Poland Series RSTA 2.75%,
10/27/24 (a) 237,706
- --------------------------------------------------------------------------------
542,200
================================================================================
Uruguay - 1.35%
- --------------------------------------------------------------------------------
500,000 Uruguay Discount Note Series B
6.75%, 2/18/07 (a) 310,000
================================================================================
Total Government Bonds (Cost $7,138,945) $7,035,434
================================================================================
CORPORATE DEBENTURES - 59.59%
- --------------------------------------------------------------------------------
Argentina - 0.69%
- --------------------------------------------------------------------------------
200,000 Baesa Embotelladora 8.50%,
12/29/00 (c) $ 159,500
================================================================================
Canada - 13.74%
- --------------------------------------------------------------------------------
500,000 Acetex 9.75%,
10/1/03 (c) 497,815
- --------------------------------------------------------------------------------
1,000,000 Call - Net Enterprises 0.00%,
12/1/04 (d) 648,750
- --------------------------------------------------------------------------------
250,000 Cott 9.375%,
7/1/05 254,375
- --------------------------------------------------------------------------------
500,000 Domtar 12.00%,
4/15/01 577,500
- --------------------------------------------------------------------------------
500,000 Rogers Cablesystems 10.00%,
3/15/05 525,000
- --------------------------------------------------------------------------------
250,000 Rogers Cablesystems 9.65%,
1/15/14 160,237
- --------------------------------------------------------------------------------
500,000 Tembec 9.875%,
9/30/05 497,500
- --------------------------------------------------------------------------------
3,161,177
================================================================================
Colombia - 1.89%
- --------------------------------------------------------------------------------
500,000 Celcaribe 0.00%,
3/15/04 (b) (c) 435,000
================================================================================
Costa Rica - 1.69%
- --------------------------------------------------------------------------------
700,000 Banco Central de Costa Rica
Series A 6.25%, 5/21/10 388,500
================================================================================
Hong Kong - 3.93%
- --------------------------------------------------------------------------------
500,000 Goldlion Capital 4.875%,
2/1/99 481,250
- --------------------------------------------------------------------------------
500,000 Hon Kwok Land Treasury
4.875%, 12/15/00 422,500
- --------------------------------------------------------------------------------
903,750
================================================================================
</TABLE>
See Notes to Financial Statements on Pages 19 and 20
<PAGE> 16
GLOBAL HIGH YIELD SECURITIES PORTFOLIO 15
-------------------------------------------------------------
Schedule of Portfolio Investments
================================================================================
September 30, 1995
<TABLE>
<CAPTION>
Principal
Amount Description Value
================================================================================
<C> <S> <C> <C>
South Africa - 7.35%
- --------------------------------------------------------------------------------
$825,000 Liberty Life Association 6.50%,
9/30/04 $ 907,500
- --------------------------------------------------------------------------------
330,000 Samancor O/S Financing 7.00%,
6/30/04 313,913
- --------------------------------------------------------------------------------
300,000 Sappi BIV Financing 7.50%,
8/1/02 (c) 312,189
- --------------------------------------------------------------------------------
150,000 Sappi BIV Financing 7.50%,
8/1/02 155,906
- --------------------------------------------------------------------------------
1,689,508
================================================================================
United Kingdom - 1.44%
- --------------------------------------------------------------------------------
500,000 Videotron Holdings 0.00%,
7/1/04 (d) 331,250
================================================================================
United States - 28.86%
- --------------------------------------------------------------------------------
95,000 Barlow International Investments
7.00%, 9/20/04 122,075
- --------------------------------------------------------------------------------
250,000 Borden Chemical & Plastics 9.50%,
5/1/05 256,250
- --------------------------------------------------------------------------------
500,000 Crown Packaging 10.75%,
11/1/00 485,000
- --------------------------------------------------------------------------------
500,000 Giant Industries 9.75%,
11/15/03 495,000
- --------------------------------------------------------------------------------
500,000 Host Mar Travel Plaza 9.50%,
5/15/05 (c) 486,250
- --------------------------------------------------------------------------------
500,000 Icon Health and Fitness 13.00%,
7/15/02 527,500
- --------------------------------------------------------------------------------
500,000 In Flight Phone 0.00%,
5/15/02 (b)(e) 202,500
- --------------------------------------------------------------------------------
500,000 Owens Illinois 9.75%,
8/15/04 515,000
- --------------------------------------------------------------------------------
500,000 Penn Traffic 8.625%,
12/15/03 433,750
- --------------------------------------------------------------------------------
500,000 Pioneer Americas ACQ 13.375%,
4/1/05 (c) 515,000
- --------------------------------------------------------------------------------
1,000,000 Pricellular 0.00%,
10/1/03 (d) 715,000
- --------------------------------------------------------------------------------
500,000 SCI Television 11.00%,
6/30/05 532,500
- --------------------------------------------------------------------------------
500,000 S.D. Warren 12.00%,
12/15/04 555,000
- --------------------------------------------------------------------------------
500,000 Schuller International Group
10.875%, 12/15/04 553,750
- --------------------------------------------------------------------------------
250,000 Universal Health Services
8.75%, 8/15/05 245,000
- --------------------------------------------------------------------------------
6,639,575
================================================================================
Total Corporate Debentures (Cost $13,667,627) $13,708,260
================================================================================
OTHER SECURITIES - 0.00%
- --------------------------------------------------------------------------------
Mexico - 0.00%
- --------------------------------------------------------------------------------
500,000 Mexico Recovery Rights
Expire 6/30/03 $ 0
================================================================================
United States - 0.00%
- --------------------------------------------------------------------------------
500 IHF Holdings-Warrants Series I
Expire 11/14/99 0
================================================================================
PREFERRED STOCKS - 3.15%
- --------------------------------------------------------------------------------
South Africa - 3.15%
- --------------------------------------------------------------------------------
50,500 Sasol 8.5% Convertible $ 414,870
- --------------------------------------------------------------------------------
10,000 South African Breweries,
Cl. B 309,441
- --------------------------------------------------------------------------------
Total Preferred Stocks (Cost $631,449) $ 724,311
================================================================================
Total Investments
(Cost $21,438,021) 93.33% $21,468,005
- --------------------------------------------------------------------------------
Other Assets in Excess of Liabilities 6.67% 1,535,460
- --------------------------------------------------------------------------------
Net Assets 100.00% $23,003,465
================================================================================
</TABLE>
(a) Floating Rate Security
(b) Purchased at Deep Discount
(c) Security 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 $2,405,754 or 10.46% of net
assets.
(d) Debt obligation initially issued in zero coupon form which converts to
coupon form at a specified rate and date.
(e) Non-Income Producing Security
See Notes to Financial Statements on Pages 19 and 20
<PAGE> 17
GLOBAL HIGH YIELD SECURITIES PORTFOLIO 19
-------------------------------------------------------------
Notes to Financial Statements
- --------------------------------------------------------------------------------
Note 1 -- Organization and Significant Accounting Policies
A. Organization
The Global High Yield Securities 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 August
6, 1993 as an unincorporated trust under the laws of New York and commenced
operations on December 14, 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. Investments for which
quoted bid prices in the judgment of the Service are readily available and are
representative of the bid side of the market are valued at the mean between the
quoted bid prices (as obtained by the Service from dealers in such securities)
and asked prices (as calculated by the Service based upon its evaluation of the
market for such securities). Other investments (which constitute a majority of
the portfolio securities) are carried at fair value as determined by the
Service, based on methods which include consideration of: yields or prices of
securities of comparable quality, coupon, maturity and type; indications as to
values from dealers; and general market conditions. Securities traded primarily
on a principal securities exchange (domestic or foreign) are valued at their
last reported sale price on that exchange. If no sale is reported, or if local
custom or regulation so provides, the mean of the latest bid and asked price is
used. Securities traded over-the-counter are valued using either the mean
between the bid and asked price or, where local custom or regulations so
provide, the last sales price. 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. Foreign Currency Transactions
The books and records of the Portfolio are maintained in U.S. dollars. All
assets and liabilities initially expressed in foreign currencies are converted
into U.S. dollars at prevailing exchange rates. Purchases and sales of
investment securities and interest income, and certain expenses are translated
at the rates of exchange prevailing on the respective dates of such
transactions.
The portfolio does not isolate that portion of the results of operations
resulting from changes in foreign exchange rates on investments from the
fluctuations arising from changes in market prices of securities held. Such
fluctuations are included with the net realized and unrealized gain or loss
from securities.
D. Forward Foreign Currency Contracts
The Portfolio may enter into forward foreign currency contracts for the
purpose of settling specific purchases or sales of securities denominated in a
foreign currency or with respect to the Portfolio's investments generally. The
net U.S. dollar value of foreign currency underlying all contractual
commitments held by the Portfolio and the resulting unrealized appreciation or
depreciation are determined using prevailing exchange rates. With respect to
forward foreign currency contracts, losses in excess of amounts recognized in
the Statement of Assets and Liabilities may arise due to changes in the value
of the foreign currency or if the counterparty does not perform under the
contract.
E. Security Transactions and Investment Income
Security transactions are accounted for on a trade date basis (date the
order to buy or sell is executed). 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 securities and foreign currency transactions of the Portfolio are
allocated pro rata among investors of the Portfolio at the time of such
determination.
<PAGE> 18
GLOBAL HIGH YIELD SECURITIES PORTFOLIO 20
-------------------------------------------------------------
Notes to Financial Statements
- --------------------------------------------------------------------------------
F. 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.
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 0.20 of 1% of the Portfolio's average daily
net assets. For the year ended September 30, 1995, this fee aggregated $35,423.
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 0.80 of 1% of the Portfolio's average daily net assets. For the year ended
September 30, 1995, this fee aggregated $141,692.
Bankers Trust has voluntarily undertaken to waive and reimburse expenses of
the Portfolio, to the extent necessary, to limit all expenses to 0.75 of 1% of
the average daily net assets of the Portfolio. For the year ended September 30,
1995, expenses of the Portfolio have been reduced $78,840.
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 September 30, 1995, were
$35,330,574 and $27,950,936, respectively. For Federal Income tax purposes, the
tax basis of investments held at September 30, 1995 was $21,501,091. The
aggregate gross unrealized appreciation for all investments was $914,999 and
the aggregate gross unrealized depreciation for all investments was $948,085.
Note 4 -- Credit Risks
Although the Portfolio's investments are diversified, the Portfolio invests
in primarily high yield, non-investment grade debt securities issued in many of
the world's securities markets. Investments in higher yielding securities are
accompanied by a greater degree of credit risk and the risk tends to be more
sensitive to economic conditions than higher rated securities. The risk of loss
due to default by the issuer may be significantly greater for the holders of
high yielding securities because such securities are generally unsecured and
are often subordinated to other creditors of the issuer.
<PAGE> 19
GLOBAL HIGH YIELD SECURITIES PORTFOLIO 21
------------------------------------------------------------
Report of Independent Accountants
- --------------------------------------------------------------------------------
To the Trustees and Holders of Beneficial Interest of the
Global High Yield Securities Portfolio:
We have audited the accompanying statement of assets and liabilities of the
Global High Yield Securities Portfolio (a series of BT Investment Portfolios),
including the schedule of portfolio investments, as of September 30, 1995, and
the related statement of operations for the year then ended, the statements of
changes in net assets and the financial highlights for the year then ended and
for the period December 14, 1993 (commencement of operations) to September 30,
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
September 30, 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 Global High Yield Securities Portfolio of BT Investment Portfolios as of
September 30, 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
November 14, 1995
<PAGE> 20
LATIN AMERICAN EQUITY PORTFOLIO 10
----------------------------------------------
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
===================================================================================================================================
September 30, 1995
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C>
ASSETS
- -----------------------------------------------------------------------------------------------------------------------------------
Investments, at Value (Cost $13,678,031) $13,282,555
- -----------------------------------------------------------------------------------------------------------------------------------
Foreign Cash (Cost $34,983) 34,679
- -----------------------------------------------------------------------------------------------------------------------------------
Cash 4,469
- -----------------------------------------------------------------------------------------------------------------------------------
Receivable for Securities Sold 363,889
- -----------------------------------------------------------------------------------------------------------------------------------
Dividends and Interest Receivable 19,485
- -----------------------------------------------------------------------------------------------------------------------------------
Prepaid Expense 189
- -----------------------------------------------------------------------------------------------------------------------------------
Total Assets 13,705,266
- -----------------------------------------------------------------------------------------------------------------------------------
LIABILITIES
- -----------------------------------------------------------------------------------------------------------------------------------
Due to Bankers Trust 19,709
- -----------------------------------------------------------------------------------------------------------------------------------
Accrued Expenses and Accounts Payable 27,642
- -----------------------------------------------------------------------------------------------------------------------------------
Total Liabilities 47,351
- -----------------------------------------------------------------------------------------------------------------------------------
NET ASSETS $13,657,915
===================================================================================================================================
COMPOSITION OF NET ASSETS
- -----------------------------------------------------------------------------------------------------------------------------------
Paid-in Capital $14,054,059
- -----------------------------------------------------------------------------------------------------------------------------------
Net Unrealized (Depreciation) on Securities (395,476)
- -----------------------------------------------------------------------------------------------------------------------------------
Net Unrealized (Depreciation) on Foreign Currency Translation (668)
- -----------------------------------------------------------------------------------------------------------------------------------
NET ASSETS, SEPTEMBER 30, 1995 $13,657,915
===================================================================================================================================
</TABLE>
See Notes to Financial Statements on Pages 19 and 20
<PAGE> 21
LATIN AMERICAN EQUITY PORTFOLIO 11
----------------------------------------------
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
===================================================================================================================================
For the year ended September 30, 1995
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
INVESTMENT INCOME
- -----------------------------------------------------------------------------------------------------------------------------------
Dividends (net of foreign withholding tax of $16,723) $ 247,512
- -----------------------------------------------------------------------------------------------------------------------------------
Interest 145,868
- -----------------------------------------------------------------------------------------------------------------------------------
Total Investment Income $ 393,380
- -----------------------------------------------------------------------------------------------------------------------------------
EXPENSES
- -----------------------------------------------------------------------------------------------------------------------------------
Advisory Fee 173,145
- -----------------------------------------------------------------------------------------------------------------------------------
Administration and Services Fee 34,629
- -----------------------------------------------------------------------------------------------------------------------------------
Transfer Tax 68,515
- -----------------------------------------------------------------------------------------------------------------------------------
Professional Fees 29,090
- -----------------------------------------------------------------------------------------------------------------------------------
Insurance 2,695
- -----------------------------------------------------------------------------------------------------------------------------------
Trustees Fees 1,535
- -----------------------------------------------------------------------------------------------------------------------------------
Miscellaneous 1,887
- -----------------------------------------------------------------------------------------------------------------------------------
Total Expenses 311,496
- -----------------------------------------------------------------------------------------------------------------------------------
Less: Expenses Absorbed by Bankers Trust (138,351) 173,145
- -----------------------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 220,235
- -----------------------------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON SECURITIES AND FOREIGN CURRENCY
- -----------------------------------------------------------------------------------------------------------------------------------
Net Realized (Loss) from Securities Transactions (9,239,804)
- -----------------------------------------------------------------------------------------------------------------------------------
Net Realized (Loss) from Foreign Currency Transactions (245,679)
- -----------------------------------------------------------------------------------------------------------------------------------
Net Unrealized (Depreciation) on Securities (3,177,929)
- -----------------------------------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Foreign Currency Translation 1,716
- -----------------------------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED (LOSS) ON SECURITIES AND FOREIGN CURRENCY (12,661,696)
- -----------------------------------------------------------------------------------------------------------------------------------
NET (DECREASE) IN NET ASSETS FROM OPERATIONS $(12,441,461)
===================================================================================================================================
</TABLE>
See Notes to Financial Statements on Pages 19 and 20
<PAGE> 22
LATIN AMERICAN EQUITY PORTFOLIO 12
----------------------------------------------
<TABLE>
<CAPTION>
STATEMENT OF CHANGES IN NET ASSETS
===================================================================================================================================
For the period
October 25, 1993
For the (Commencement
year ended of Operations) to
September 30, 1995 September 30, 1994
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
- -----------------------------------------------------------------------------------------------------------------------------------
FROM OPERATIONS
- -----------------------------------------------------------------------------------------------------------------------------------
Net Investment Income $ 220,235 $ 106,308
- -----------------------------------------------------------------------------------------------------------------------------------
Net Realized Gain (Loss) from Securities and Foreign Currency Transactions (9,485,483) 201,391
- -----------------------------------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation (Depreciation) on Securities
and Foreign Currency Translation (3,176,213) 2,780,069
- -----------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets from Operations (12,441,461) 3,087,768
- -----------------------------------------------------------------------------------------------------------------------------------
FROM CAPITAL TRANSACTIONS
- -----------------------------------------------------------------------------------------------------------------------------------
Proceeds from Capital Invested 18,611,709 27,627,247
- -----------------------------------------------------------------------------------------------------------------------------------
Value of Capital Withdrawn (19,878,349) (3,348,999)
- -----------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets from Capital Transactions (1,266,640) 24,278,248
- -----------------------------------------------------------------------------------------------------------------------------------
TOTAL INCREASE (DECREASE) IN NET ASSETS (13,708,101) 27,366,016
- -----------------------------------------------------------------------------------------------------------------------------------
NET ASSETS
- -----------------------------------------------------------------------------------------------------------------------------------
Beginning of Period 27,366,016 -
- -----------------------------------------------------------------------------------------------------------------------------------
End of Period $ 13,657,915 $27,366,016
===================================================================================================================================
</TABLE>
See Notes to Financial Statements on Pages 19 and 20
<PAGE> 23
LATIN AMERICAN EQUITY PORTFOLIO 13
----------------------------------------------
FINANCIAL HIGHLIGHTS
================================================================================
Contained below are selected ratios and supplemental data for each of the
periods indicated for the Latin American Equity Portfolio.
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------------
For the period
October 25, 1993
For the (Commencement
year ended of Operations) to
September 30, 1995 September 30, 1994
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
RATIOS AND SUPPLEMENTAL DATA
Ratio of Net Investment Income to Average Net Assets 1.27% 1.03%*
Ratio of Expenses to Average Net Assets 1.00% 1.00%*
Decrease Reflected in Above Ratio of Expenses to Average
Net Assets Due to Absorption of Expenses by Bankers Trust 0.80% 0.79%*
Portfolio Turnover Rate 161% 124%
Net Assets, End of Period (000's omitted) $13,658 $27,366
</TABLE>
* Annualized
See Notes to Financial Statements on Pages 19 and 20
<PAGE> 24
LATIN AMERICAN EQUITY PORTFOLIO 14
----------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
==========================================================================================================
September 30, 1995
SHARES DESCRIPTION VALUE
==========================================================================================================
<S> <C> <C>
COMMON STOCKS - 51.32%
==========================================================================================================
BRAZIL - 11.55%
- ----------------------------------------------------------------------------------------------------------
13,797 Aracruz Celulose S.A., ADR
(Paper) $ 137,970
- ----------------------------------------------------------------------------------------------------------
750,000 Compania Siderurgica Nacional
(Steel) 19,993
- ----------------------------------------------------------------------------------------------------------
13,527 Compania Siderurgica Nacional,
ADR (Steel) 358,465
- ----------------------------------------------------------------------------------------------------------
1,440,259 Electrobras (Utility) 439,855
- ----------------------------------------------------------------------------------------------------------
10,033,165 Lojas Americanas (Retail) 219,016
- ----------------------------------------------------------------------------------------------------------
5,868,000 Telec Brasileiras-Telebras "ON"
(Telecommunications) 234,018
- ----------------------------------------------------------------------------------------------------------
15,500 Usiminas, ADR (Steel) (b) 167,555
- ----------------------------------------------------------------------------------------------------------
1,576,872
==========================================================================================================
CHILE - 6.53%
- ----------------------------------------------------------------------------------------------------------
7,910 Banco Osorno y la Union S.A.,
Series 'A', ADR (Banks) 122,605
- ----------------------------------------------------------------------------------------------------------
13,969 Chile Fund (Diversified) 316,049
- ----------------------------------------------------------------------------------------------------------
14,565 Chilgener S.A., ADR (Utility) 307,685
- ----------------------------------------------------------------------------------------------------------
2,100 Compania Telefonica de Chile S.A.,
ADR (Telecommunications) 145,163
- ----------------------------------------------------------------------------------------------------------
891,502
==========================================================================================================
COLOMBIA - 6.77%
- ----------------------------------------------------------------------------------------------------------
11,000 Banco Industrial Colombiano,
ADR (Banks) 149,875
- ----------------------------------------------------------------------------------------------------------
14,794 CADENALCO, Gran Cadena de
Almacenes Colombianos, ADR
(Retail) 208,965
- ----------------------------------------------------------------------------------------------------------
12,000 Carulla CIA, S.A.,
ADR, Cl 'B' (Retail) (b) 115,440
- ----------------------------------------------------------------------------------------------------------
14,900 Cementos Diamante S.A., ADR,
Cl 'B' (Building & Construction) (b) 275,650
- ----------------------------------------------------------------------------------------------------------
14,000 Cementos Paz del Rio, ADR
(Building & Construction) (a)(b) 175,000
- ----------------------------------------------------------------------------------------------------------
924,930
==========================================================================================================
MEXICO - 13.99%
- ----------------------------------------------------------------------------------------------------------
24 Controladora de Famacia (Retail) 10
- ----------------------------------------------------------------------------------------------------------
88,119 Gruma S.A., Cl 'B' (Diversified) (a) 318,827
- ----------------------------------------------------------------------------------------------------------
85,618 Grupo Carso S.A. de CV, Cl 'A1'
(Diversified) (a) 506,909
- ----------------------------------------------------------------------------------------------------------
61,023 Grupo Modelo, S.A. (Beverages) 248,508
- ----------------------------------------------------------------------------------------------------------
20,691 Panamerican Beverages,
Cl 'A' (Beverages) 556,070
- ----------------------------------------------------------------------------------------------------------
175,000 Telefonos de Mexico S.A., ADR,
Cl 'L' (Telecommunications) 280,132
- ----------------------------------------------------------------------------------------------------------
1,910,456
==========================================================================================================
PERU - 6.88%
- ----------------------------------------------------------------------------------------------------------
98,883 Backus Y Johnson Brewery, Cl 'T'
(Beverages) 190,703
- ----------------------------------------------------------------------------------------------------------
148,825 Banco de Credito del Peru (Banks) 279,047
- ----------------------------------------------------------------------------------------------------------
44,882 Cementos Norte Pacasmayo S.A.,
Cl 'T' (Building & Construction) (a) 105,193
- ----------------------------------------------------------------------------------------------------------
92,000 La Fabril Pacifico S.A. (Diversified) (a) 110,893
- ----------------------------------------------------------------------------------------------------------
132,441 Telefonica del Peru, Cl 'B'
(Telecommunications) 254,239
- ----------------------------------------------------------------------------------------------------------
940,075
==========================================================================================================
VENEZUELA - 5.60%
- ----------------------------------------------------------------------------------------------------------
14,700 Banco Mercantil, Series 'A-B' (Banks) 29,437
- ----------------------------------------------------------------------------------------------------------
2,352 Banco Mercantil, Series 'B' (Banks) 3,325
- ----------------------------------------------------------------------------------------------------------
9,065 Banco Provincial (Banks) 12,547
- ----------------------------------------------------------------------------------------------------------
2,016 Banco Venezolana de Credito,
Series 'A-B' (Banks) 70,056
- ----------------------------------------------------------------------------------------------------------
40,800 Ceramica Carabobo, ADR, Cl 'B'
(Building & Construction) 44,880
- ----------------------------------------------------------------------------------------------------------
10,960 Corimon Saca, ADR
(Building & Construction) (a) 60,280
- ----------------------------------------------------------------------------------------------------------
116,203 Electricidad de Caracas (Utility) 103,345
- ----------------------------------------------------------------------------------------------------------
30,700 Mavesa S.A., ADR
(Consumer Goods) (b) 108,488
- ----------------------------------------------------------------------------------------------------------
28,567 Mavesa S.A., ADR
(Consumer Goods) 100,950
- ----------------------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements on Pages 19 and 20
<PAGE> 25
LATIN AMERICAN EQUITY PORTFLIO 15
----------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
==========================================================================================================
September 30, 1995
SHARES DESCRIPTION VALUE
==========================================================================================================
<S> <C> <C> <C>
57,000 Siderurgica Venezolana Sivensa
(Steel) $ 94,050
- ----------------------------------------------------------------------------------------------------------
722,587 Sudamtex (Textiles) 81,288
- ----------------------------------------------------------------------------------------------------------
304,500 Venaseta Cl 'A' (Finance) 24,212
- ----------------------------------------------------------------------------------------------------------
60,900 Venaseta Cl 'B' (Finance) 4,573
- ----------------------------------------------------------------------------------------------------------
10,000 Venezolana de Cementos
(Building & Construction) 15,313
- ----------------------------------------------------------------------------------------------------------
20,000 Venezolana Pulpa Y Papel (Paper) 12,604
- ----------------------------------------------------------------------------------------------------------
765,348
==========================================================================================================
TOTAL COMMON STOCKS
(Cost $7,432,407) $ 7,009,183
==========================================================================================================
PREFERRED STOCKS - 25.51%
==========================================================================================================
BRAZIL - 25.51%
==========================================================================================================
39,666,839 Banco Bradesco PN (Banks) $ 380,912
- ----------------------------------------------------------------------------------------------------------
861,116 Banco Itau S.A. (Banks) 269,320
- ----------------------------------------------------------------------------------------------------------
1,354,711 Brasmotor PN (Auto Related) 344,063
- ----------------------------------------------------------------------------------------------------------
778,179 Compania Cervejaria Brahma
(Beverages) 316,057
- ----------------------------------------------------------------------------------------------------------
134,373 Compania Siderurgica Paulista,
Series 'B' (Steel) 239,738
- ----------------------------------------------------------------------------------------------------------
366,000 Compania Tecidos Norte de Minas
(Textile) 119,843
- ----------------------------------------------------------------------------------------------------------
1,422,237 Compania Vale do Rio Doce PN
(Steel) 238,072
- ----------------------------------------------------------------------------------------------------------
921,079 Iochpe Maxion PN
(Consumer Goods) 303,530
- ----------------------------------------------------------------------------------------------------------
4,433,777 Lojas Americanas (Retail) 104,696
- ----------------------------------------------------------------------------------------------------------
6,683,800 Lojas Renner S.A. (Retail) 150,813
- ----------------------------------------------------------------------------------------------------------
610,800 Mesbla (Retail) (a) 10,185
- ----------------------------------------------------------------------------------------------------------
124,280,971 Refrigeracao Parana S.A.
(Consumer Goods) 326,077
- ----------------------------------------------------------------------------------------------------------
4,731,000 Telebras PN (Telecommunications) 222,437
- ----------------------------------------------------------------------------------------------------------
415,692,734 Usiminas PN (Steel) 458,075
==========================================================================================================
TOTAL PREFERRED STOCKS
(Cost $3,456,544) $ 3,483,818
- ----------------------------------------------------------------------------------------------------------
CALL OPTION - 0.00%
==========================================================================================================
BRAZIL - 0.00%
==========================================================================================================
3,100 Compania Paulista de Forca
Luz, Call Option, Strike price 70,
Expire 10/16/95 (Cost $37) (a) $ 33
- ----------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL SHORT-TERM
AMOUNT INVESTMENTS - 20.42%
==========================================================================================================
<S> <C> <C> <C>
$ 2,820,000 U.S. TREASURY BILLS, 5.28%,
12/14/95 (Cost $2,789,043) $ 2,789,521
==========================================================================================================
TOTAL INVESTMENTS
(Cost $13,678,031) 97.25% $ 13,282,555
==========================================================================================================
OTHER ASSETS IN EXCESS OF LIABILITIES 2.75 375,360
==========================================================================================================
NET ASSETS 100.00% $ 13,657,915
==========================================================================================================
</TABLE>
(a) Non-Income Producing Security
(b) Security 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
September 30, 1995, the value of these securities amounted to $842,133
or 6.17% of net assets.
Industry Diversification (as a percentage of Total Investments):
<TABLE>
<S> <C>
Auto Related . . . . . . . . . 2.59%
Banks . . . . . . . . . . . . . 9.92
Beverages & Foods . . . . . . . 9.87
Building & Construction . . . . 5.09
Consumer Goods . . . . . . . . 6.32
Diversified . . . . . . . . . . 9.43
Other* . . . . . . . . . . . . 2.87
Retail . . . . . . . . . . . . 6.09
Steel . . . . . . . . . . . . . 11.86
Telecommunications . . . . . . 8.55
U.S. Government . . . . . . . . 21.00
Utilities . . . . . . . . . . . 6.41
------
100.00%
======
</TABLE>
*No one industry represents more than 2% of Portfolio holdings.
See Notes to Financial Statements on Pages 19 and 20
<PAGE> 26
LATIN AMERICAN EQUITY PORTFOLIO 19
----------------------------------------------
NOTES TO FINANCIAL STATEMENTS
================================================================================
NOTE 1 - ORGANIZATION AND SIGNIFICANT
ACCOUNTING POLICIES
A. Organization
The Latin American Equity 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 August 6, 1993 as
an unincorporated trust under the laws of New York and commenced operations on
October 25, 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
primarily on a principal securities exchange (domestic or foreign) are valued
at their last reported sale price on that exchange. If no sale is reported, or
if local custom or regulation so provides, the mean of the latest bid and asked
price is used. Securities traded over-the-counter are valued using either the
mean between the bid and asked price or, where local custom or regulations so
provide, the last sales price. 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. Foreign Currency Transactions
The books and records of the Portfolio are maintained in U.S. dollars. All
assets and liabilities initially expressed in foreign currencies are converted
into U.S. dollars at prevailing exchange rates. Purchases and sales of
investment securities, dividend and interest income, and certain expenses are
translated at the rates of exchange prevailing on the respective dates of such
transactions.
The portfolio does not isolate that portion of the results of operations
resulting from changes in foreign exchange rates on investments from the
fluctuations arising from changes in market prices of securities held. Such
fluctuations are included with the net realized and unrealized gain or loss
from securities.
D. Forward Foreign Currency Contracts
The Portfolio may enter into forward foreign currency contracts for the purpose
of settling specific purchases or sales of securities denominated in a foreign
currency or with respect to the Portfolio's investments generally. The net U.S.
dollar value of foreign currency underlying all contractual commitments held by
the Portfolio and the resulting unrealized appreciation or depreciation are
determined using prevailing exchange rates. With respect to forward foreign
currency contracts, losses in excess of amounts recognized in the Statement of
Assets and Liabilities may arise due to changes in the value of the foreign
currency or if the counterparty does not perform under the contract.
E. Option Contracts
Upon the purchase of a put option or a call option by the Portfolio, the
premium paid is recorded as an investment, the value of which is
marked-to-market daily to reflect the current market value. When a purchased
option expires, the Portfolio will realize a loss in the amount of the cost of
the option. When the Portfolio enters into a closing sale transaction, the
Portfolio will realize a gain or loss depending on whether the sale proceeds
from the closing sale transaction are greater or less than the cost of the
option. When the Portfolio exercises a put option, it realizes a gain or loss
from the sale of the underlying security and the proceeds from such sale will
be decreased by the premium originally paid. When the Portfolio exercises a
call option, the cost of the security which the Portfolio purchases upon
exercise will be increased by the premium originally paid.
<PAGE> 27
LATIN AMERICAN EQUITY PORTFOLIO 20
----------------------------------------------
NOTES TO FINANCIAL STATEMENTS
================================================================================
F. Security Transactions and Investment Income
Security transactions are accounted for on a trade date basis (date the order
to buy or sell is executed). Dividend income, less foreign taxes withheld (if
any), is recorded on the ex-dividend date or upon receipt of ex-dividend
notification in the case of certain foreign securities. Interest income is
recorded on the accrual basis and includes amortization of premium and 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 security and foreign currency transactions of the Portfolio are allocated
pro rata among the investors of the Portfolio at the time of such
determination.
G. 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.
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 servicesto the Portfolio in return for a fee computed daily and
paid monthly at an annual rate of 0.20 of 1% of the Portfolio's average daily
net assets. For the year ended September 30, 1995, this fee aggregated $34,629.
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 1.00 of 1% of
the Portfolio's average daily net assets. For the year ended September 30,
1995, this fee aggregated $173,145.
Bankers Trust has voluntarily undertaken to waive and reimburse expenses of the
Portfolio, to the extent necessary, to limit all expenses to 1.00 of 1% of the
average daily net assets of the Portfolio. For the year ended September 30,
1995, expenses of the Portfolio have been reduced $138,351.
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 and options purchased, for the year ended September
30, 1995, were $25,437,401 and $30,324,345, respectively. For federal income
tax purposes, the tax basis for investments held as of September 30, 1995 was
$13,988,644. The aggregate gross unrealized appreciation for all investments
was $426,638 and the aggregate gross unrealized depreciation for all
investments was $1,132,727.
<PAGE> 28
LATIN AMERICAN EQUITY PORTFOLIO 21
----------------------------------------------
REPORT OF INDEPENDENT ACCOUNTANTS
================================================================================
To the Trustees and Holders of Beneficial Interest of
the Latin American Equity Portfolio:
We have audited the accompanying statement of assets and liabilities of the
Latin American Equity Portfolio (a series of BT Investment Portfolios),
including the schedule of portfolio investments, as of September 30, 1995, and
the related statement of operations for the year then ended, the statements of
changes in net assets and the financial highlights for the year then ended and
for the period October 25, 1993 (commencement of operations) to September 30,
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
September 30, 1995 bycorrespondence 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
Latin American Equity Portfolio of BT Investment Portfolios as of September 30,
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
November 10, 1995
<PAGE> 29
PACIFIC BASIN EQUITY PORTFOLIO 10
----------------------------------------------
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
=======================================================================================================================
September 30, 1995
- -----------------------------------------------------------------------------------------------------------------------
<S> <C>
ASSETS
- -----------------------------------------------------------------------------------------------------------------------
Investments, at Value (Cost $21,794,123) $22,315,544
- -----------------------------------------------------------------------------------------------------------------------
Foreign Cash (Cost $523,620) 521,288
- -----------------------------------------------------------------------------------------------------------------------
Cash 392,856
- -----------------------------------------------------------------------------------------------------------------------
Receivable for Securities Sold 1,539,827
- -----------------------------------------------------------------------------------------------------------------------
Dividends and Interest Receivable 46,101
- -----------------------------------------------------------------------------------------------------------------------
Prepaid Expenses 189
- -----------------------------------------------------------------------------------------------------------------------
Total Assets 24,815,805
- -----------------------------------------------------------------------------------------------------------------------
LIABILITIES
- -----------------------------------------------------------------------------------------------------------------------
Due to Bankers Trust 17,611
- -----------------------------------------------------------------------------------------------------------------------
Accrued Expenses and Accounts Payable 27,322
- -----------------------------------------------------------------------------------------------------------------------
Net Unrealized Depreciation on Forward Foreign Currency Contacts 114,574
- -----------------------------------------------------------------------------------------------------------------------
Total Liabilities 159,507
- -----------------------------------------------------------------------------------------------------------------------
NET ASSETS $24,656,298
=======================================================================================================================
COMPOSITION OF NET ASSETS
- -----------------------------------------------------------------------------------------------------------------------
Paid-in Capital $24,251,588
- -----------------------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Securities 521,421
- -----------------------------------------------------------------------------------------------------------------------
Net Unrealized (Depreciation) on Foreign Currency Translation (2,137)
- -----------------------------------------------------------------------------------------------------------------------
Net Unrealized (Depreciation) on Forward Foreign Currency Contracts (114,574)
- -----------------------------------------------------------------------------------------------------------------------
NET ASSETS, SEPTEMBER 30, 1995 $24,656,298
=======================================================================================================================
</TABLE>
See Notes to Financial Statements on Pages 20 and 21
<PAGE> 30
PACIFIC BASIN EQUITY PORTFOLIO 11
----------------------------------------------
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
=======================================================================================================================
For the year ended September 30, 1995
<S> <C> <C>
- -----------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
Dividends (net of foreign withholding tax of $23,935) $ 433,065
- -----------------------------------------------------------------------------------------------------------------------
EXPENSES
- -----------------------------------------------------------------------------------------------------------------------
Advisory Fee $173,591
- -----------------------------------------------------------------------------------------------------------------------
Administration and Services Fee 57,864
- -----------------------------------------------------------------------------------------------------------------------
Professional Fees 26,882
- -----------------------------------------------------------------------------------------------------------------------
Transfer Tax 11,216
- -----------------------------------------------------------------------------------------------------------------------
Insurance 2,695
- -----------------------------------------------------------------------------------------------------------------------
Interest 4,423
- -----------------------------------------------------------------------------------------------------------------------
Trustees Fees 1,535
- -----------------------------------------------------------------------------------------------------------------------
Amortization of Organizational Expenses 11
- -----------------------------------------------------------------------------------------------------------------------
Miscellaneous 577
- -----------------------------------------------------------------------------------------------------------------------
Total Expenses 278,794
- -----------------------------------------------------------------------------------------------------------------------
Less: Expenses Absorbed by Bankers Trust (47,338) 231,456
- -----------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 201,609
- -----------------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON SECURITIES AND FOREIGN CURRENCY
- -----------------------------------------------------------------------------------------------------------------------
Net Realized (Loss) from Securities Transactions (448,645)
- -----------------------------------------------------------------------------------------------------------------------
Net Realized (Loss) from Foreign Currency Transactions (32,882)
- -----------------------------------------------------------------------------------------------------------------------
Net Unrealized (Depreciation) on Securities (716,292)
- -----------------------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Foreign Currency Translation 5,383
- -----------------------------------------------------------------------------------------------------------------------
Net Unrealized (Depreciation) on Forward Foreign Currency Contracts (110,421)
- -----------------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED (LOSS) ON SECURITIES AND FOREIGN CURRENCY (1,302,857)
- -----------------------------------------------------------------------------------------------------------------------
NET (DECREASE) IN NET ASSETS FROM OPERATIONS $(1,101,248)
=======================================================================================================================
</TABLE>
See Notes to Financial Statements on Pages 20 and 21
<PAGE> 31
PACIFIC BASIN EQUITY PORTFOLIO 12
----------------------------------------------
<TABLE>
<CAPTION>
STATEMENT OF CHANGES IN NET ASSETS
=======================================================================================================================
For the period
November 1, 1993
For the (Commencement
year ended of Operations) to
September 30, 1995 September 30, 1994
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
- -----------------------------------------------------------------------------------------------------------------------
FROM OPERATIONS
- -----------------------------------------------------------------------------------------------------------------------
Net Investment Income $ 201,609 $ 24,084
- -----------------------------------------------------------------------------------------------------------------------
Net Realized Gain (Loss) from Securities and Foreign Currency Transactions (481,527) 744,140
- -----------------------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation (Depreciation) on
Securities and Foreign Currency Translation (821,330) 1,226,040
- -----------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets from Operations (1,101,248) 1,994,264
- -----------------------------------------------------------------------------------------------------------------------
FROM CAPITAL TRANSACTIONS
- -----------------------------------------------------------------------------------------------------------------------
Proceeds from Capital Invested 12,695,645 27,367,327
- -----------------------------------------------------------------------------------------------------------------------
Value of Capital Withdrawn (12,304,373) (3,995,317)
- -----------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Capital Transactions 391,272 23,372,010
- -----------------------------------------------------------------------------------------------------------------------
TOTAL INCREASE (DECREASE) IN NET ASSETS (709,976) 25,366,274
=======================================================================================================================
NET ASSETS
- -----------------------------------------------------------------------------------------------------------------------
Beginning of Period 25,366,274 -
- -----------------------------------------------------------------------------------------------------------------------
End of Period $24,656,298 $25,366,274
=======================================================================================================================
</TABLE>
See Notes to Financial Statements on Pages 20 and 21
<PAGE> 32
PACIFIC BASIN EQUITY PORTFOLIO 13
----------------------------------------------
FINANCIAL HIGHLIGHTS
================================================================================
Contained below are selected ratios and supplemental data for each of the
periods indicated for the Pacific Basin Equity Portfolio.
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------
For the period
November 1, 1993
For the (Commencement
year ended of Operations) to
September 30, 1995 September 30, 1994
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
RATIOS AND SUPPLEMENTAL DATA
Ratio of Net Investment Income to Average Net Assets 0.87% 0.16%**
Ratio of Expenses to Average Net Assets 1.00% 1.00%*
Decrease Reflected in Above Ratio of Expenses to Average
Net Assets Due to Absorption of Expenses by Bankers Trust 0.20% 0.26%*
Portfolio Turnover Rate 104% 40%
Net Assets, End of Period (000's omitted) $24,656 $25,366
</TABLE>
* Annualized
See Notes to Financial Statements on Pages 20 and 21
<PAGE> 33
PACIFIC BASIN EQUITY PORTFOLIO 14
----------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
================================================================================
September 30, 1995
SHARES DESCRIPTION VALUE
==========================================================================
<S> <C> <C>
COMMON STOCKS - 88.41%
==========================================================================
HONG KONG - 22.29%
- --------------------------------------------------------------------------
62,000 Cheung Kong, LTD (Real Estate) $ 337,584
- --------------------------------------------------------------------------
590,000 China Resources Enterprises, LTD
(Real Estate) 253,718
- --------------------------------------------------------------------------
700,000 CP Pokphand (Agriculture) 285,178
- --------------------------------------------------------------------------
210,000 Goldlion Holdings, LTD
(Apparel) 115,429
- --------------------------------------------------------------------------
500,000 Guandong Investments, LTD
(Diversified) 299,082
- --------------------------------------------------------------------------
65,100 Hang Seng Bank (Banking) 536,747
- --------------------------------------------------------------------------
464,000 HKR International, LTD
(Real Estate) 393,068
- --------------------------------------------------------------------------
5,000 Hong Kong Electric Holdings
(Utility-Electric) 16,716
- --------------------------------------------------------------------------
418,000 Hopewell Holdings, LTD
(Property Infrastructure) 283,820
- --------------------------------------------------------------------------
35,600 HSBC Holdings (Banking) 494,956
- --------------------------------------------------------------------------
99,000 Hutchison Whampoa (Diversified) 536,485
- --------------------------------------------------------------------------
159,000 Liu Chong Hing Bank, LTD (Banking) 197,413
- --------------------------------------------------------------------------
6,000 National Mutual Asia, LTD
(Financial Services) 4,617
- --------------------------------------------------------------------------
151,000 New World Development
(Real Estate) 595,642
- --------------------------------------------------------------------------
400,000 Orient Overseas International, LTD
(Transportation-Shipping) 234,092
- --------------------------------------------------------------------------
580,000 Qingling Motors
(Auto & Trucks) 133,523
- --------------------------------------------------------------------------
40,000 Sinocan Holdings, LTD
(Packaging & Container) 14,744
- --------------------------------------------------------------------------
58,000 Swire Pacific, LTD, Cl. A
(Diversified) 459,454
- --------------------------------------------------------------------------
484,000 Tomei International Holdings
(Electronics) 25,978
- --------------------------------------------------------------------------
89,000 Wharf Holdings (Diversified) 277,406
- --------------------------------------------------------------------------
5,495,652
==========================================================================
INDIA - 3.98%
- --------------------------------------------------------------------------
7,900 Bajaj Auto, LTD, GDR
(Automotive) 241,938
- --------------------------------------------------------------------------
3,000 Calcutta Electric, GDR
(Utility-Electric) (a) 11,100
- --------------------------------------------------------------------------
21,400 Core Healthcare, LTD, GDR
(Health Care) (a) 96,300
- --------------------------------------------------------------------------
9,000 Indian Petrochemicals, GDR
(Chemicals) (a) 121,545
- --------------------------------------------------------------------------
13,800 Mahindra & Mahindra Limited, GDR
(Automotive) (b) 182,988
- --------------------------------------------------------------------------
9,000 Tri Polyta Indonesia, PT, ADR
(Chemicals) 193,500
- --------------------------------------------------------------------------
7,400 Reliance Industries (Chemicals) (a) 134,162
- --------------------------------------------------------------------------
981,533
==========================================================================
INDONESIA - 7.61%
- --------------------------------------------------------------------------
11,300 Asia Pacific Resources International,
Cl. A (Forest Products &Paper) (a) 89,694
- --------------------------------------------------------------------------
35,250 Bank Dagang Nas Indonesia PT
(Banking) 32,286
- --------------------------------------------------------------------------
48,200 Bank International Indonesia PT
(Banking) (a) 165,950
- --------------------------------------------------------------------------
110,000 Bimantara Citra PT (Diversified) (a) 88,612
- --------------------------------------------------------------------------
6,833 Duta Anggada Realty PT
(Real Estate) 4,449
- --------------------------------------------------------------------------
24,000 Gadjah Tuniggal (Tire & Rubber) 15,890
- --------------------------------------------------------------------------
113,664 Indah Kiat Pulp & Paper PT
(Forest Products & Paper) 136,718
- --------------------------------------------------------------------------
2,200 Indonesian Satellite PT, ADR
(Telecommunications) 77,275
- --------------------------------------------------------------------------
24,000 Inti Indorayon Utama PT
(Forest Products & Paper) 36,018
- --------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements on Pages 20 and 21
<PAGE> 34
PACIFIC BASIN EQUITY PORTFOLIO 15
----------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
================================================================================
September 30, 1995
SHARES DESCRIPTION VALUE
==========================================================================
<S> <C> <C>
32,500 Jaya Real Property PT (Real Estate) $ 97,550
- --------------------------------------------------------------------------
60,000 Modern Photo Film PT
(Photo & Optical) 344,295
- --------------------------------------------------------------------------
172,700 Mulia Industrindo PT
(Glass Manufacturing) 428,796
- --------------------------------------------------------------------------
26,500 Semen Gresik PT (Building Materials) 74,862
- --------------------------------------------------------------------------
54,000 Tempo Scan Pacific PT
(Pharmaceuticals) 284,242
- --------------------------------------------------------------------------
1,876,637
==========================================================================
MALAYSIA - 15.67%
- --------------------------------------------------------------------------
76,000 Berjaya Sports Toto Berhad
(Diversified) 160,223
- --------------------------------------------------------------------------
123,000 Commerce Asset (Banking) 645,823
- --------------------------------------------------------------------------
50,000 Gadek Berhad
(Diversified) 296,340
- --------------------------------------------------------------------------
16,000 Industrial Oxygen Berhad (Diversified) 18,457
- --------------------------------------------------------------------------
122,000 Pilecon Engineering Berhad
(Engineering & Construction) 128,115
- --------------------------------------------------------------------------
110,000 Rashid Hussain Berhad
(Financial Services) 315,036
- --------------------------------------------------------------------------
176,000 Tanjong PLC (Gaming) 486,555
- --------------------------------------------------------------------------
207,000 Technology Resources
(Telecommunications) (a) 539,320
- --------------------------------------------------------------------------
199,000 United Engineers Berhad
(Engineering & Construction) 1,274,423
- --------------------------------------------------------------------------
3,864,292
==========================================================================
PAKISTAN - 0.58%
- --------------------------------------------------------------------------
22,100 Engro Chemical Pakistan, LTD
(Chemicals) (a) 106,579
- --------------------------------------------------------------------------
35,000 Karachi Electric (Utility-Electric) (a) 34,979
- --------------------------------------------------------------------------
141,558
==========================================================================
PHILIPPINES - 7.69%
- --------------------------------------------------------------------------
2,436 Benpress Holdings, GDR
(Diversified) (a) 15,225
- --------------------------------------------------------------------------
495,500 C & P Homes (Construction) (a) 309,034
- --------------------------------------------------------------------------
1,733,100 Engineering & Equipment
(Engineering & Construction) 126,382
- --------------------------------------------------------------------------
199,600 Megaworld Properties & Holdings
(Real Estate) (a) 103,420
- --------------------------------------------------------------------------
12,231 Metropolitan Bank & Trust
(Banking) 227,674
- --------------------------------------------------------------------------
12,120 Philippine Commercial International
Bank (Banking) (a) 109,315
- --------------------------------------------------------------------------
123,608 Philippine Savings Bank (Banking) 291,763
- --------------------------------------------------------------------------
392,700 SM Prime Holdings, Cl. B
(Diversified) (a) 117,561
- --------------------------------------------------------------------------
3,357,000 Southeast Asia Cement Holdings
(Cement) (a) 425, 181
- --------------------------------------------------------------------------
464,600 Vitarich (Agriculture) 171,183
- --------------------------------------------------------------------------
1,896,738
==========================================================================
SINGAPORE - 8.72%
- --------------------------------------------------------------------------
68,000 City Developments (Real Estate) 420,372
- --------------------------------------------------------------------------
52,000 Overseas Chinese Banking
(Banking) 588,128
- --------------------------------------------------------------------------
58,000 Overseas Union Bank (Banking) 370,776
- --------------------------------------------------------------------------
133,000 Singapore Land
(Property Development) 770,812
- --------------------------------------------------------------------------
2,150,088
==========================================================================
SOUTH KOREA - 9.34%
- --------------------------------------------------------------------------
5,440 Central Investment & Finance
(Financial Services) 121,093
- --------------------------------------------------------------------------
28,000 Cho Hung Bank, LTD (Banking) 433,049
- --------------------------------------------------------------------------
25,000 Commercial Bank of Korea
(Banking) 304,120
- --------------------------------------------------------------------------
15,400 Daewoo (Wholesale) (a) 224,525
- --------------------------------------------------------------------------
6,480 Dong-Ah Construction Industrial
(Engineering & Construction) 282,481
- --------------------------------------------------------------------------
20,000 Korea First Bank (Banking) 221,557
- --------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements on Pages 20 and 21
<PAGE> 35
PACIFIC BASIN EQUITY PORTFOLIO 16
----------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
================================================================================
September 30, 1995
SHARES DESCRIPTION VALUE
==========================================================================
<S> <C> <C>
2,500 Korean Air (Transportation) (a) $ 94,282
- --------------------------------------------------------------------------
3,680 Samsung Electronics New (Nonvoting),
GDS (Electronics) (a) (b) 249,872
- --------------------------------------------------------------------------
152 Samsung Electronics New (Voting),
GDS (Electronics) (a) (b) 17,693
- --------------------------------------------------------------------------
771 Samsung Electronics (Voting), GDS
(Electronics) (a) (b) 92,520
- --------------------------------------------------------------------------
24,500 Seoul Bank (Banking) 260,564
- --------------------------------------------------------------------------
2,301,756
==========================================================================
THAILAND - 12.53%
- --------------------------------------------------------------------------
27,600 Finance One Public
(Financial Services) 168,273
- --------------------------------------------------------------------------
57,800 Hana Microelectronics (Electronics) 232,628
- --------------------------------------------------------------------------
39,820 Krung Thai Bank Public (Banking) 158,677
- --------------------------------------------------------------------------
60,000 Krungthai Thanakit, PLC
(Financial Services) (a) 155,409
- --------------------------------------------------------------------------
24,000 Nawarat Patanakarn Public
(Engineering & Construction) (a) 116,199
- --------------------------------------------------------------------------
51,000 Phatra Thanakit (Financial Services) 369,874
- --------------------------------------------------------------------------
223,400 Sahaviriya Steel Industries
(Metals) (a) 391,696
- --------------------------------------------------------------------------
220,000 Siam City Bank, LTD (Banking) 298,067
- --------------------------------------------------------------------------
127,000 TPI Polyne, LTD (Cement) 961,546
- --------------------------------------------------------------------------
39,300 Unithai Line Public
(Transportation-Shipping) 236,473
- --------------------------------------------------------------------------
3,088,842
==========================================================================
TOTAL COMMON STOCKS
(Cost $21,272,470) $21,797,096
==========================================================================
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
==========================================================================
CORPORATE DEBENTURES - 2.10%
==========================================================================
<S> <C> <C>
INDIA - 0.12%
- --------------------------------------------------------------------------
$ 30,000 Essar Gujarat, LTD (Conv.)
(Iron & Steel), 5.50%, 8/5/98 $ 30,075
==========================================================================
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT DESCRIPTION VALUE
==========================================================================
<S> <C>
INDONESIA - 0.65%
- --------------------------------------------------------------------------
$150,000 Eka Gunatam PT (Conv.) (Industrial)
4.00%, 10/4/97 (b) $ 160,500
==========================================================================
TAIWAN - 1.33%
- --------------------------------------------------------------------------
285,000 Walsin Lihwa (Conv.) (Electronics)
3.25%, 6/16/04 327,750
==========================================================================
TOTAL CORPORATE DEBENTURES
(Cost $521,653) $ 518,325
==========================================================================
OTHER SECURITIES - 0.00%
==========================================================================
PHILIPPINES - 0.00%
==========================================================================
16 Metropolitan Bank & Trust Rights
(Banking) (a) (Cost $0) 123
==========================================================================
TOTAL INVESTMENTS
(Cost $21,794,123) 90.51% $22,315,544
- --------------------------------------------------------------------------
Other Assets in Excess of
Liabilities 9.49% 2,340,754
==========================================================================
NET ASSETS 100.00% $24,656,298
==========================================================================
</TABLE>
(a) Non-Income Producing Security
(b) Security exempt from registation 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 the securities amounted to $703,573 or 2.85%
of net assets.
<TABLE>
<CAPTION>
Industry Diversification (as a percentage of Total Investments):
<S> <C>
Banking . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23.92%
Cement . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6.21
Diversified . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10.17
Electronics . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4.24
Engineering & Construction . . . . . . . . . . . . . . . . . . . . 8.64
Financial Services . . . . . . . . . . . . . . . . . . . . . . . . 5.08
Other* . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 28.41
Property Development . . . . . . . . . . . . . . . . . . . . . . . 3.45
Real Estate . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9.88
--------
100.00%
========
</TABLE>
*No one industry represents more than 3% of Portfolio holdings.
See Notes to Financial Statements on Pages 20 and 21
<PAGE> 36
PACIFIC BASIN EQUITY PORTFOLIO 20
----------------------------------------------
NOTES TO FINANCIAL STATEMENTS
================================================================================
NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
A. Organization
The Pacific Basin Equity 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 August 6, 1993 as
an unincorporated trust under the laws of New York and commenced operations on
November 1, 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
primarily on a principal securities exchange (domestic or foreign) are valued
at their last reported sale price on that exchange. If no sale is reported, or
if local custom or regulation so provides, the mean of the latest bid and asked
price is used. Securities traded over-the-counter are valued using either the
mean between the bid and asked price or, where local custom or regulations so
provide, the last sales price. 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. Foreign Currency Transactions
The books and records of the Portfolio are maintained in U.S. dollars. All
assets and liabilities initially expressed in foreign currencies are converted
into U.S. dollars at prevailing exchange rates. Purchases and sales of
investment securities, dividend and interest income, and certain expenses are
translated at the rates of exchange prevailing on the respective dates of such
transactions. The portfolio does not isolate that portion of the results of
operations resulting from changes in foreign exchange rates on investments from
the fluctuations arising from changes in the market prices of securities held.
Such fluctuations are included with the net realized and unrealized gain or
loss from securities.
D. Forward Foreign Currency Contracts
The Portfolio may enter into forward foreign currency contracts for the purpose
of settling specific purchases or sales of securities denominated in a foreign
currency or with respect to the Portfolio's investments generally. The net U.S.
dollar value of foreign currency underlying all contractual commitments held by
the Portfolio and the resulting unrealized appreciation or depreciation are
determined using prevailing exchange rates. With respect to forward foreign
currency contracts, losses in excess of amounts recognized in the Statement of
Assets and Liabilities may arise due to changes in the value of the foreign
currency or if the counterparty does not perform under the contract.
E. Security Transactions and Investment Income
Security transactions are accounted for on a trade date basis (date the order
to buy or sell is executed). Dividend income, less foreign taxes withheld (if
any), is recorded on the ex-dividend date or upon receipt of ex-dividend
notification in the case of certain foreign securities. Interest income is
recorded on the accrual basis and includes amortization of premium and discount
on investments. Realized gains and losses from security transactions are
recorded on the identified cost basis.
All of the net investment income and realized and unrealized gains and losses
from securities and foreign currency transactions of the Portfolio are
allocated pro rata among the investors of the Portfolio at the time of such
determination.
<PAGE> 37
PACIFIC BASIN EQUITY PORTFOLIO 21
----------------------------------------------
NOTES TO FINANCIAL STATEMENTS
===============================================================================
F. 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.
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 0.25 of 1% of the Portfolio's average daily
net assets. For the year ended September 30, 1995, this fee aggregated $57,864.
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 0.75 of 1% of
the Portfolio's average daily net assets. For the year ended September 30,
1995, this fee aggregated $173,591.
Bankers Trust has entered into a Sub-Advisory Agreement with BT Fund Managers
International Limited ("BT Fund Managers International"), a wholly owned
subsidiary of Bankers Trust Australia Limited. Under this Sub-Advisory
Agreement, BT Fund Managers International receives a fee from Bankers Trust for
providing investment advice and research services, computed daily and paid
monthly at an annual rate of 0.60 of 1% of the Portfolio's average daily net
assets.
Bankers Trust has voluntarily undertaken to waive and reimburse expenses of the
Portfolio, to the extent necessary, to limit all expenses to 1.00 of 1% of the
average daily net assets of the Portfolio. For the year ended September 30,
1995, expenses of the Portfolio have been reduced $47,338.
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 September 30, 1995, were
$23,147,139 and $21,335,740, respectively. For federal income tax purposes, the
tax basis of investments held at September 30, 1995 was $21,841,557. The
aggregate gross unrealized appreciation for all investments was $2,262,513 and
the aggregate gross unrealized depreciation for all investments was $1,788,526.
NOTE 4 - OPEN FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
As of September 30, 1995, the Portfolio has entered into the following open
forward foreign currency exchange contracts:
<TABLE>
<CAPTION>
Net
Contracts In Unrealized
to Exchange Settlement Value (Depreciation)
Deliver For Date (US $) (US $)
- ----------------------------------------------------------------------------------------------
Sales
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
SGD 3,727,511 USD 2,642,500 2/8/96 2,645,138 $ (2,638)
- ----------------------------------------------------------------------------------------------
Purchases
- ----------------------------------------------------------------------------------------------
USD 2,642,500 SGD 3,566,054 2/8/96 2,530,564 (111,936)
- ----------------------------------------------------------------------------------------------
$ (114,574)
------------
</TABLE>
<PAGE> 38
PACIFIC BASIN EQUITY PORTFOLIO 22
----------------------------------------------
REPORT OF INDEPENDENT ACCOUNTANTS
================================================================================
To the Trustees and Holders of Beneficial Interest of the Pacific Basin Equity
Portfolio:
We have audited the accompanying statement of assets and liabilities of the
Pacific Basin Equity Portfolio (a series of BT Investment Portfolios),
including the schedule of portfolio investments, as of September 30, 1995, and
the related statement of operations for the year then ended, the statements of
changes in net assets and the financial highlights for the year then ended and
for the period November 1, 1993 (commencement of operation) to September 30,
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 finan-cial
statements. Our procedures included confirmation of securities owned as of
September 30, 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
Pacific Basin Equity Portfolio of BT Investment Portfolios as of September 30,
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
November 10, 1995
