<PAGE> 1
ASSET MANAGEMENT PORTFOLIO II 29
-----------------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
=======================================================================================================
September 30, 1995 (unaudited)
- -------------------------------------------------------------------------------------------------------
<S> <C>
ASSETS
- -------------------------------------------------------------------------------------------------------
Investments, at Value (Cost $37,907,095, including Repurchase Agreement
amounting to $5,975,881) $39,009,835
- -------------------------------------------------------------------------------------------------------
Cash 42,914
- -------------------------------------------------------------------------------------------------------
Receivable for Securities Sold 2,138,646
- -------------------------------------------------------------------------------------------------------
Dividends and Interest Receivable 202,068
- -------------------------------------------------------------------------------------------------------
Variation Margin Receivable 6,312
- -------------------------------------------------------------------------------------------------------
Prepaid Expenses 189
- -------------------------------------------------------------------------------------------------------
Total Assets 41,399,964
- -------------------------------------------------------------------------------------------------------
LIABILITIES
- -------------------------------------------------------------------------------------------------------
Due to Bankers Trust 18,002
- -------------------------------------------------------------------------------------------------------
Payable for Securities Purchased 2,870,686
- -------------------------------------------------------------------------------------------------------
Accrued Expenses and Accounts Payable 12,510
- -------------------------------------------------------------------------------------------------------
Total Liabilities 2,901,198
- -------------------------------------------------------------------------------------------------------
NET ASSETS $38,498,766
=======================================================================================================
COMPOSITION OF NET ASSETS
- -------------------------------------------------------------------------------------------------------
Paid-in Capital $37,251,647
- -------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Securities 1,102,740
- -------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Futures Contracts 144,379
- -------------------------------------------------------------------------------------------------------
NET ASSETS, SEPTEMBER 30, 1995 $38,498,766
=======================================================================================================
</TABLE>
See Notes to Financial Statements on Pages 56 and 57
<PAGE> 2
ASSET MANAGEMENT PORTFOLIO II 30
-----------------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
=======================================================================================================
For the six months ended September 30, 1995 (unaudited)
- -------------------------------------------------------------------------------------------------------
<S> <C> <C>
INVESTMENT INCOME
- -------------------------------------------------------------------------------------------------------
Dividends $102,988
- -------------------------------------------------------------------------------------------------------
Interest 815,011
- -------------------------------------------------------------------------------------------------------
Total Investment Income $ 917,999
- -------------------------------------------------------------------------------------------------------
EXPENSES
- -------------------------------------------------------------------------------------------------------
Advisory Fee 107,330
- -------------------------------------------------------------------------------------------------------
Administration and Services Fee 16,512
- -------------------------------------------------------------------------------------------------------
Professional Fees 1,920
- -------------------------------------------------------------------------------------------------------
Insurance 1,332
- -------------------------------------------------------------------------------------------------------
Trustees Fees 729
- -------------------------------------------------------------------------------------------------------
Total Expenses 127,823
- -------------------------------------------------------------------------------------------------------
Less: Expenses Absorbed by Bankers Trust (28,750) 99,073
- -------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 818,926
- -------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON SECURITIES AND FUTURES
- -------------------------------------------------------------------------------------------------------
Net Realized Gain from SecuritiesTransactions 211,253
- -------------------------------------------------------------------------------------------------------
Net Realized Gain from Futures Contracts 566,695
- -------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Securities 1,154,109
- -------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Futures Contracts 11,498
- -------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN ON SECURITIES AND FUTURES 1,943,555
- -------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $2,762,481
=======================================================================================================
</TABLE>
See Notes to Financial Statements on Pages 56 and 57
<PAGE> 3
ASSET MANAGEMENT PORTFOLIO II 31
-----------------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENT OF CHANGES IN NET ASSETS
==========================================================================================================
For the
six months ended For the
September 30, 1995 year ended
(unaudited) March 31, 1995
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
- ----------------------------------------------------------------------------------------------------------
FROM OPERATIONS
- ----------------------------------------------------------------------------------------------------------
Net Investment Income $ 818,926 $ 1,060,282
- ----------------------------------------------------------------------------------------------------------
Net Realized Gain (Loss) from Securities and Futures Transactions 777,948 (692,504)
- ----------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Securities and Futures Contracts 1,165,607 1,002,727
- ----------------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Operations 2,762,481 1,370,505
- ----------------------------------------------------------------------------------------------------------
FROM CAPITAL TRANSACTIONS
- ----------------------------------------------------------------------------------------------------------
Proceeds from Capital Invested 12,099,901 7,542,454
- ----------------------------------------------------------------------------------------------------------
Value of Capital Withdrawn (1,968,006) (2,483,935)
- ----------------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Capital Transactions 10,131,895 5,058,519
- ----------------------------------------------------------------------------------------------------------
TOTAL INCREASE IN NET ASSETS 12,894,376 6,429,024
==========================================================================================================
NET ASSETS
- ----------------------------------------------------------------------------------------------------------
Beginning of Period 25,604,390 19,175,366
- ----------------------------------------------------------------------------------------------------------
End of Period $38,498,766 $25,604,390
==========================================================================================================
</TABLE>
See Notes to Financial Statements on Pages 56 and 57
<PAGE> 4
ASSET MANAGEMENT PORTFOLIO II 32
-----------------------------------------------------------------
FINANCIAL HIGHLIGHTS
===============================================================================
Contained below are selected ratios and supplemental data for each of the
periods indicated for the Asset Management Portfolio II.
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------------
For the period
For the October 14, 1993
six months ended For the (Commencement
September 30, 1995 year ended of Operations) to
(unaudited) March 31, 1995 March 31, 1994
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
RATIOS AND SUPPLEMENTAL DATA
Ratio of Net Investment Income to Average Net Assets 4.96%* 4.41% 3.17%*
Ratio of Expenses to Average Net Assets 0.60%* 0.60% 0.60%*
Decrease Reflected in Above Ratio of Expenses to Average
Net Assets Due to Absorption of Expenses by Bankers Trust 0.17%* 0.27% 0.48%*
Portfolio Turnover Rate 90% 105% 79%
Net Assets, End of Period (000's omitted) $38,499 $25,604 $19,175
</TABLE>
* Annualized
See Notes to Financial Statements on Pages 56 and 57
<PAGE> 5
ASSET MANAGEMENT PORTFOLIO II 33
-----------------------------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
===============================================================================
September 30, 1995 (unaudited)
SHARES DESCRIPTION VALUE
===================================================================
<S> <C> <C>
COMMON STOCKS - 20.57%
- -------------------------------------------------------------------
AEROSPACE - 0.10%
- -------------------------------------------------------------------
600 Lockheed Martin $ 40,275
===================================================================
AIRLINES - 0.24%
- -------------------------------------------------------------------
600 AMR (a) 43,275
- -------------------------------------------------------------------
700 Delta Air Lines 48,475
- -------------------------------------------------------------------
91,750
===================================================================
AUTO RELATED - 1.37%
- -------------------------------------------------------------------
2,000 Chrysler 106,000
- -------------------------------------------------------------------
3,900 Dana 112,612
- -------------------------------------------------------------------
2,700 Ford Motor 84,038
- -------------------------------------------------------------------
3,200 General Motors 150,000
- -------------------------------------------------------------------
900 General Motors, Cl E 40,950
- -------------------------------------------------------------------
700 PACCAR 32,725
- -------------------------------------------------------------------
526,325
===================================================================
AVIATION SERVICES - 0.22%
- -------------------------------------------------------------------
3,600 Ogden 84,600
===================================================================
BANKS - 0.41%
- -------------------------------------------------------------------
300 BankAmerica 17,962
- -------------------------------------------------------------------
500 BayBanks 37,938
- -------------------------------------------------------------------
300 Citicorp 21,225
- -------------------------------------------------------------------
800 First Interstate Bancorp 80,600
- -------------------------------------------------------------------
157,725
===================================================================
BEVERAGES - 0.59%
- -------------------------------------------------------------------
1,200 Coca Cola 82,800
- -------------------------------------------------------------------
2,800 PepsiCo 142,800
- -------------------------------------------------------------------
225,600
===================================================================
BROADCASTING - 0.06%
- -------------------------------------------------------------------
300 Clear Channel
Communications (a) 22,725
===================================================================
BUILDING & CONSTRUCTION - 0.09%
- -------------------------------------------------------------------
1,200 Centex 34,800
===================================================================
BUILDING FOREST PRODUCTS - 0.08%
- -------------------------------------------------------------------
300 Champion International 16,162
- -------------------------------------------------------------------
1,200 Kaufman & Broad Home 15,150
- -------------------------------------------------------------------
31,312
===================================================================
CHEMICALS - 0.51%
- -------------------------------------------------------------------
500 Air Products & Chemical 26,062
- -------------------------------------------------------------------
1,600 Du Pont (E.I.) De Nemours 110,000
- -------------------------------------------------------------------
600 Monsanto 60,450
- -------------------------------------------------------------------
196,512
===================================================================
COMPUTER SOFTWARE - 0.62%
- -------------------------------------------------------------------
600 Cisco Systems (a) 41,400
- -------------------------------------------------------------------
800 Computer Associates International 33,800
- -------------------------------------------------------------------
300 Informix (a) 9,750
- -------------------------------------------------------------------
1,500 Microsoft (a) 135,750
- -------------------------------------------------------------------
500 Oracle Systems (a) 19,187
- -------------------------------------------------------------------
239,887
===================================================================
CONTAINERS - 0.23%
- -------------------------------------------------------------------
1,700 Temple-Inland 90,525
===================================================================
DIVERSIFIED - 0.34%
- -------------------------------------------------------------------
1,900 Textron 129,675
===================================================================
DRUGS - 1.03%
- -------------------------------------------------------------------
3,400 Merck & Co. 190,400
- -------------------------------------------------------------------
2,300 Pfizer 122,762
- -------------------------------------------------------------------
1,600 Schering-Plough 82,400
- -------------------------------------------------------------------
395,562
===================================================================
ELECTRICAL EQUIPMENT - 1.37%
- -------------------------------------------------------------------
600 Duracell International 26,925
- -------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements on Pages 56 and 57
<PAGE> 6
ASSET MANAGEMENT PORTFOLIO II 34
-----------------------------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
===============================================================================
September 30, 1995 (unaudited)
SHARES DESCRIPTION VALUE
===================================================================
<S> <C> <C>
5,600 General Electric $ 357,000
- -------------------------------------------------------------------
300 General Instrument (a) 9,000
- -------------------------------------------------------------------
1,600 Hewlett-Packard 133,400
- -------------------------------------------------------------------
526,325
===================================================================
ELECTRONICS - 0.95%
- -------------------------------------------------------------------
1,000 AlliedSignal 44,125
- -------------------------------------------------------------------
800 AMP 30,800
- -------------------------------------------------------------------
800 Intel 48,100
- -------------------------------------------------------------------
2,000 Motorola 152,750
- -------------------------------------------------------------------
1,400 Teradyne (a) 50,400
- -------------------------------------------------------------------
500 Texas Instruments 39,937
- -------------------------------------------------------------------
366,112
===================================================================
FINANCIAL SERVICES - 0.77%
- -------------------------------------------------------------------
300 Federal National Mortgage Assoc. 31,050
- -------------------------------------------------------------------
1,300 First Data 80,600
- -------------------------------------------------------------------
600 Household International 37,200
- -------------------------------------------------------------------
700 MBNA 29,137
- -------------------------------------------------------------------
2,200 Travelers Group 116,875
- -------------------------------------------------------------------
294,862
===================================================================
FOOD SERVICES & LODGING - 0.22%
- -------------------------------------------------------------------
2,200 McDonald's 84,150
===================================================================
FOODS - 0.46%
- -------------------------------------------------------------------
1,200 CPC International 79,200
- -------------------------------------------------------------------
300 Premark International 15,262
- -------------------------------------------------------------------
2,800 Sara Lee 83,300
- -------------------------------------------------------------------
177,762
===================================================================
HEALTH CARE DIVERSIFIED - 0.39%
- -------------------------------------------------------------------
3,100 Abbott Laboratories 132,138
- -------------------------------------------------------------------
400 Columbia/HCA Healthcare 19,450
- -------------------------------------------------------------------
151,588
===================================================================
HOSPITAL SUPPLIES & SERVICES - 0.63%
- -------------------------------------------------------------------
2,300 Johnson & Johnson 170,488
- -------------------------------------------------------------------
500 St. Jude Medical 31,625
- -------------------------------------------------------------------
800 United Healthcare 39,100
- -------------------------------------------------------------------
241,213
===================================================================
HOTELS & MOTELS - 0.07%
- -------------------------------------------------------------------
700 Marriott International 26,163
===================================================================
HOUSEHOLD PRODUCTS - 0.67%
- -------------------------------------------------------------------
600 Clorox 42,825
- -------------------------------------------------------------------
2,800 Procter & Gamble 215,600
- -------------------------------------------------------------------
258,425
===================================================================
INSURANCE - 0.61%
- -------------------------------------------------------------------
1,700 American International Group 144,500
- -------------------------------------------------------------------
600 General Re 90,600
- -------------------------------------------------------------------
235,100
===================================================================
LEISURE RELATED - 0.49%
- -------------------------------------------------------------------
2,200 Disney (Walt) 126,225
- -------------------------------------------------------------------
800 Harcourt General 33,500
- -------------------------------------------------------------------
1,400 Outboard Marine 30,100
- -------------------------------------------------------------------
189,825
===================================================================
MACHINERY - AGRICULTURE - 0.19%
- -------------------------------------------------------------------
900 Deere & Co. 73,238
===================================================================
MACHINERY - OTHER - 0.08%
- -------------------------------------------------------------------
800 Dover 30,600
===================================================================
MANUFACTURING - 0.08%
- -------------------------------------------------------------------
800 Millipore 30,000
===================================================================
</TABLE>
See Notes to Financial Statements on Pages 56 and 57
<PAGE> 7
ASSET MANAGEMENT PORTFOLIO II 35
-----------------------------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
===============================================================================
September 30, 1995 (unaudited)
SHARES DESCRIPTION VALUE
===================================================================
<S> <C> <C>
METALS - 0.14%
- -------------------------------------------------------------------
800 Alcan Aluminum Ltd. $ 25,900
- -------------------------------------------------------------------
900 ASARCO 28,350
- -------------------------------------------------------------------
54,250
===================================================================
OFFICE EQUIPMENT - 0.41%
- -------------------------------------------------------------------
1,100 International Business Machines 103,812
- -------------------------------------------------------------------
200 Sun Microsystems (a) 12,600
- -------------------------------------------------------------------
1,700 Unisys (a) 13,388
- -------------------------------------------------------------------
200 Xerox 26,875
- -------------------------------------------------------------------
156,675
===================================================================
OIL DOMESTIC - 0.27%
- -------------------------------------------------------------------
2,300 Tenneco 106,375
===================================================================
OIL INTERNATIONAL - 1.10%
- -------------------------------------------------------------------
1,300 Exxon 93,925
- -------------------------------------------------------------------
1,800 Royal Dutch Petroleum 220,950
- -------------------------------------------------------------------
1,700 Texaco 109,863
- -------------------------------------------------------------------
424,738
===================================================================
OIL SUPPLIES & CONSTRUCTION - 0.24%
- -------------------------------------------------------------------
1,400 Schlumberger Ltd. 91,350
===================================================================
PAPER - 0.11%
- -------------------------------------------------------------------
1,000 International Paper 42,000
===================================================================
PETROLEUM RELATED - 0.51%
- -------------------------------------------------------------------
2,300 Ashland Oil 76,762
- -------------------------------------------------------------------
1,100 Atlantic Richfield 118,113
- -------------------------------------------------------------------
194,875
===================================================================
PHOTOGRAPHY & OPTICAL - 0.05%
- -------------------------------------------------------------------
300 Eastman Kodak 17,775
===================================================================
PRINTING & PUBLISHING - 0.23%
- -------------------------------------------------------------------
400 McGraw-Hill 32,700
- -------------------------------------------------------------------
1,400 Time Warner 55,650
- -------------------------------------------------------------------
88,350
===================================================================
RAILROADS - 0.21%
- -------------------------------------------------------------------
1,200 Conrail 82,500
===================================================================
REAL ESTATE - 0.09%
- -------------------------------------------------------------------
1,200 Pulte 34,050
===================================================================
RETAIL - 0.71%
- -------------------------------------------------------------------
1,600 Dayton Hudson 121,400
- -------------------------------------------------------------------
3,200 Fleming 76,800
- -------------------------------------------------------------------
3,000 Wal-Mart Stores 74,625
- -------------------------------------------------------------------
272,825
===================================================================
TELECOMMUNICATIONS - 0.76%
- -------------------------------------------------------------------
2,400 AT&T 157,800
- -------------------------------------------------------------------
500 Capital Cities/ABC 58,813
- -------------------------------------------------------------------
3,800 Comcast, Cl A 76,000
- -------------------------------------------------------------------
292,613
===================================================================
TOBACCO - 0.58%
- -------------------------------------------------------------------
3,900 American Brands 164,775
- -------------------------------------------------------------------
700 Philip Morris 58,450
- -------------------------------------------------------------------
223,225
===================================================================
TRUCKING - SHIPPING - 0.20%
- -------------------------------------------------------------------
3,000 Ryder System 76,125
===================================================================
UTILITY - ELECTRIC - 1.68%
- -------------------------------------------------------------------
4,500 Detroit Edison 145,125
- -------------------------------------------------------------------
3,700 Houston Industries 163,262
- -------------------------------------------------------------------
3,500 Pacific Gas &Electric 104,563
- -------------------------------------------------------------------
6,400 PECO Energy 183,200
- -------------------------------------------------------------------
2,900 SCE 51,475
- -------------------------------------------------------------------
647,625
===================================================================
</TABLE>
See Notes to Financial Statements on Pages 56 and 57
<PAGE> 8
ASSET MANAGEMENT PORTFOLIO II 36
----------------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
===================================================================
September 30, 1995 (unaudited)
SHARES DESCRIPTION VALUE
===================================================================
<S> <C>
UTILITY - NATURAL GAS - 0.32%
- -------------------------------------------------------------------
2,800 ONEOK $ 65,100
- -------------------------------------------------------------------
2,200 Panhandle Eastern 59,950
- -------------------------------------------------------------------
125,050
===================================================================
UTILITY - TELEPHONE - 0.09%
- -------------------------------------------------------------------
600 Bell Atlantic 36,825
===================================================================
TOTAL COMMON STOCKS
(Cost $6,965,446) $ 7,919,862
===================================================================
PREFERRED STOCK
NON-CONVERTIBLE - 0.00%
- -------------------------------------------------------------------
DIVERSIFIED - 0.00%
- -------------------------------------------------------------------
19 Teledyne (Cost $275) $ 264
===================================================================
</TABLE>
<TABLE>
<CAPTION>
===================================================================
PRINCIPAL
AMOUNT CORPORATE DEBENTURES - 4.61%
- -------------------------------------------------------------------
<S> <C>
AEROSPACE - 0.20%
- -------------------------------------------------------------------
$ 75,000 Lockheed, 7.875%, 3/15/23 $ 77,406
===================================================================
AUTO RELATED - 0.31%
- -------------------------------------------------------------------
120,000 Ford Motor Credit, 5.625%, 3/3/97 119,089
===================================================================
BANKS - 1.06%
- -------------------------------------------------------------------
80,000 Citicorp, 8.00%, 2/1/03 85,584
- -------------------------------------------------------------------
100,000 Dresdner Bank, 6.625%, 9/15/05 99,526
- -------------------------------------------------------------------
50,000 Fleet/Norstar Group, 7.65%, 3/1/97 50,799
- -------------------------------------------------------------------
140,000 International Bank Reconstruction &
Development, 8.875%, 3/1/26 171,782
- -------------------------------------------------------------------
407,691
===================================================================
FINANCIAL SERVICES - 1.16%
- -------------------------------------------------------------------
General Motors Acceptance:
85,000 8.625%, 1/18/01 92,488
- -------------------------------------------------------------------
7,165 5.55%, 5/15/97 7,155
- -------------------------------------------------------------------
50,000 Goldman Sachs, 6.3125%, 2/23/98 (b) (e) 50,027
- -------------------------------------------------------------------
55,000 KFW International Finance,
8.20%, 6/1/06 60,945
- -------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT DESCRIPTION VALUE
- -------------------------------------------------------------------
<S> <C>
$ 60,000 PaineWebber Group,
9.25%, 12/15/01 66,233
- -------------------------------------------------------------------
40,000 Swedish Export Credit,
9.875%, 3/15/38 44,116
- -------------------------------------------------------------------
125,000 Washington Mutual Savings Bank,
7.25%, 8/15/05 126,957
- -------------------------------------------------------------------
447,921
===================================================================
HOSPITAL SUPPLIES & SERVICES - 0.40%
- -------------------------------------------------------------------
Columbia/HCA Healthcare:
- -------------------------------------------------------------------
95,000 6.91%, 6/15/05 95,297
- -------------------------------------------------------------------
50,000 8.70%, 2/10/10 57, 272
- -------------------------------------------------------------------
152,569
===================================================================
INDUSTRIAL - 0.27%
- -------------------------------------------------------------------
70,000 Auburn Hills Trust, 12.00%, 5/1/20 102,851
===================================================================
OIL - INTERNATIONAL - 0.21%
- -------------------------------------------------------------------
75,000 BHP Finance USA, 7.875%, 12/1/02 79,456
===================================================================
RETAIL - 0.18%
- -------------------------------------------------------------------
65,000 May Department Stores,
8.375%, 8/1/24 69,791
===================================================================
UTILITY - ELECTRIC - 0.60%
- -------------------------------------------------------------------
75,000 Delmarva Power & Light,
7.71%, 6/1/25 76,379
- -------------------------------------------------------------------
45,000 Idaho Power, 8.00%, 3/15/04 48,253
- -------------------------------------------------------------------
60,000 Potomac Edison, 8.00%, 6/1/24 62,400
- -------------------------------------------------------------------
40,000 Virginia Electric & Power,
8.625%, 10/1/24 44,477
- -------------------------------------------------------------------
231,509
===================================================================
UTILITY - NATURAL GAS - 0.22%
- -------------------------------------------------------------------
75,000 KN Energy, 9.625%, 8/1/21 85,953
- -------------------------------------------------------------------
TOTAL CORPORATE DEBENTURES
(Cost $1,725,115) $ 1,774,236
===================================================================
</TABLE>
See Notes to Financial Statements on Pages 56 and 57
<PAGE> 9
ASSET MANAGEMENT PORTFOLIO II 37
----------------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
===================================================================
September 30, 1995 (unaudited)
PRINCIPAL
AMOUNT DESCRIPTION VALUE
===================================================================
<S> <C>
CORPORATE DEBENTURES -
FOREIGN - 0.30%
- -------------------------------------------------------------------
GERMANY - 0.30%
- -------------------------------------------------------------------
$ 115,000 Norddeutsche Landesbank
6.875%, 3/10/03 (Cost $110,157) $ 115,359
===================================================================
ASSET- BACKED
SECURITIES - 14.04%
- -------------------------------------------------------------------
CORPORATE - 0.43%
- -------------------------------------------------------------------
Standard Credit Card:
- -------------------------------------------------------------------
$ 35,000 8.25%, 11/7/03 $ 37,887
- -------------------------------------------------------------------
125,000 7.25%, 4/7/06 129,483
- -------------------------------------------------------------------
167,370
===================================================================
U.S. GOVERNMENT & AGENCIES - 13.61%
- -------------------------------------------------------------------
FHLMC: (d)
- -------------------------------------------------------------------
100,000 6.93%, 9/5/00 100,898
- -------------------------------------------------------------------
74,164 7.50%, 12/1/08 75,546
- -------------------------------------------------------------------
510,418 9.50%, 2/1/25 539,600
- -------------------------------------------------------------------
FNMA: (d)
- -------------------------------------------------------------------
339,778 6.00%, 1/1/01 333,564
- -------------------------------------------------------------------
140,000 8.625%, 11/10/04 150,307
- -------------------------------------------------------------------
112,951 8.00%, 7/1/25 115,492
- -------------------------------------------------------------------
GNMA: (d)
- -------------------------------------------------------------------
700,000 9.00%, 2/1/21 737,620
- -------------------------------------------------------------------
1,171,027 6.50%, 9/15/23 1,130,039
- -------------------------------------------------------------------
2,000,039 8.00%, 7/15/25 2,056,260
- -------------------------------------------------------------------
5,239,326
===================================================================
TOTAL ASSET-BACKED SECURITIES
(Cost $5,448,485) $ 5,406,696
===================================================================
GOVERNMENTS FOREIGN - 0.61%
- -------------------------------------------------------------------
CANADA - 0.31%
- -------------------------------------------------------------------
$ 125,000 Manitoba, 6.125%, 1/19/04 $ 121,006
===================================================================
ITALY - 0.10%
- -------------------------------------------------------------------
40,000 Republic of Italy, 6.875%, 9/27/23 36,550
===================================================================
NEW ZEALAND - 0.20%
- -------------------------------------------------------------------
65,000 New Zealand Government,
8.75%, 12/15/06 76,326
===================================================================
TOTAL GOVERNMENTS FOREIGN
(Cost $227,305) $ 233,882
===================================================================
LONG-TERM U.S. TREASURY
SECURITIES - 19.37%
- -------------------------------------------------------------------
U.S. TREASURY BONDS - 3.77%
- -------------------------------------------------------------------
$ 550,000 8.125%, 8/15/19 $ 645,734
- -------------------------------------------------------------------
750,000 7.25%, 8/15/22 806,250
- -------------------------------------------------------------------
1,451,984
===================================================================
U.S. TREASURY NOTES - 15.60%
- -------------------------------------------------------------------
1,050,000 6.00%, 6/30/96 1,051,802
- -------------------------------------------------------------------
140,000 7.50%, 12/31/96 142,822
- -------------------------------------------------------------------
1,535,000 5.125%, 11/30/98 1,499,269
- -------------------------------------------------------------------
1,300,000 6.25%, 8/31/00 1,312,592
- -------------------------------------------------------------------
845,000 8.50%, 11/15/00 935,045
- -------------------------------------------------------------------
994,000 7.25%, 8/15/04 1,062,648
- -------------------------------------------------------------------
6,004,178
===================================================================
TOTAL LONG-TERM U.S. TREASURY SECURITIES
(Cost $7,328,572) $ 7,456,162
===================================================================
</TABLE>
See Notes to Financial Statements on Pages 56 and 57
<PAGE> 10
ASSET MANAGEMENT PORTFOLIO II 38
----------------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
===================================================================
September 30, 1995 (unaudited)
PRINCIPAL
AMOUNT DESCRIPTION VALUE
===================================================================
<S> <C>
SHORT-TERM INVESTMENTS - 41.83%
- -------------------------------------------------------------------
U.S. TREASURY BILLS - 26.31%
- -------------------------------------------------------------------
$ 245,000 5.40%, 10/12/95 (c) $ 244,603
- -------------------------------------------------------------------
10,000,000 5.42%, 12/21/95 9,882,890
- -------------------------------------------------------------------
10,127,493
===================================================================
REPURCHASE AGREEMENT - 15.52%
- -------------------------------------------------------------------
5,975,881 Repurchase Agreement with Sanwa
Bank, Dated 9/29/95, 6.25%,
Principal and Interest in the
Amount of $5,977,956 Due 10/2/95,
(Collateralized by U.S. Treasury
Bonds, Par Value of $4,044,000,
12.75%, Due 11/15/10, Value of
$6,140,561) 5,975,881
===================================================================
TOTAL SHORT-TERM INVESTMENTS
(Cost $16,101,740) $16,103,374
===================================================================
TOTAL INVESTMENTS
(Cost $37,907,095) 101.33% $39,009,835
- -------------------------------------------------------------------
Liabilities in Excess of Other Assets (1.33) (511,069)
- -------------------------------------------------------------------
NET ASSETS 100.00% $38,498,766
===================================================================
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF
FUTURES NET UNREALIZED
CONTRACTS DESCRIPTION APPRECIATION
===================================================================
<S> <C> <C>
FUTURES CONTRACTS
- -------------------------------------------------------------------
19 S&P 500 December 1995 Long
Futures (Market Value $5,587,900) $ 138,629
- -------------------------------------------------------------------
23 U.S. Treasury December 1995 Long
Futures (Market Value $2,535,750) 5,750
- -------------------------------------------------------------------
$ 144,379
===================================================================
</TABLE>
(a) Non-Income Producing Security
(b) Quarterly Floating Rate Note
(c) Held as Collateral for Futures Contracts
(d) The following abbreviations are used in the portfolio descriptions:
FHLMC - Federal Home Loan Mortgage Corporation
FNMA - Federal National Mortgage Association
GNMA - Government National Mortgage Association
(e) Security exempt from registration under Rule 144A of the Securities Act of
1933. This security may be resold in transactions exempt from
registration, normally to qualified institutional buyers. At the period
end, the value of this security amounted to $50,027 or 0.13% of net
assets.
See Notes to Financial Statements on Pages 56 and 57
<PAGE> 11
ASSET MANAGEMENT PORTFOLIOS 56
------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (unaudited)
===================================================================
NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
A. Organization
The Asset Management Portfolio, Asset Management Portfolio II and Asset
Management Portfolio III (each a "Portfolio", and collectively, the
"Portfolios") are registered under the Investment Company Act of 1940 (the
"Act"), as amended, as open-end management investment companies. The Asset
Management Portfolio was organized on June 9, 1992 as an unincorporated trust
under the laws of New York and commenced operations on September 16, 1993. The
Asset Management Portfolio II was organized on October 28, 1992, as an
unincorporated trust under the laws of New York and commenced operations on
October 14, 1993. The Asset Management Portfolio III was organized on October
28, 1992 as an unincorporated trust under the laws of New York and commenced
operations on October 15, 1993. The Declaration of Trust permits the Board of
Trustees (the "Trustees") to issue beneficial interests in each of the
Portfolios.
B. Security Valuation
The Portfolios' investments are valued each business day by an independent
pricing service (the "Service") approved by the Trustees. Securities traded on
national exchanges or traded in the NASDAQ National Market System are valued at
the last sales prices reported at the close of business each day.
Over-the-counter securities not included in the NASDAQ National Market System
and listed securities for which no sale was reported are valued at the mean of
the bid and asked prices. Short-term obligations with remaining maturities of
60 days or less are valued at amortized cost which with accrued interest
approximates value. Securities for which quotations are not available are
stated at fair value as determined by the Trustees.
C. Security Transactions and Interest Income
Security transactions are accounted for on a trade date basis (date the order
to buy or sell is executed). Dividend income is recorded on the ex-dividend
date. Interest income is recorded on the accrual basis and includes
amortization of premium and discount on investments. Realized gains and losses
from securities transactions are recorded on the identified cost basis.
Each of the Portfolios may enter into repurchase agreements with financial
institutions deemed to be creditworthy by the Portfolios' Investment Advisers,
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 Portfolios' 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 Portfolios 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 Portfolios
maintain the right to sell the underlying securities at market value and may
claim any resulting loss against the seller.
All of the net investment income and realized and unrealized gains and losses
from the security transactions of the Portfolios are allocated pro rata among
the investors in the Portfolios at the time of such determination.
D. Federal Income Taxes
It is each Portfolio's policy to comply with the requirements of the Internal
Revenue Code applicable to it. Therefore, no federal income tax provision is
required.
<PAGE> 12
ASSET MANAGEMENT PORTFOLIOS 57
------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (unaudited)
===================================================================
Note 2 - FEES and TRANSACTIONS with AFFILIATES
The Portfolios have 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 each of the Portfolios in return for a fee computed
daily and paid monthly at an annual rate of 0.10 of 1% of the Portfolios'
average daily net assets. For the six months ended September 30, 1995, these
fees aggregated $68,016, $16,512 and $11,981 for the Asset Management
Portfolio, Asset Management Portfolio II andAsset Management Portfolio III,
respectively.
The Portfolios have entered into an Advisory Agreement with Bankers Trust.
Under this Advisory Agreement, Bankers Trust manages the Portfolios in
accordance with the Portfolios' 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 Portfolios' average daily net assets. For the six months
ended September 30, 1995, these fees aggregated $442,103, $107,330, and $77,879
for the Asset Management Portfolio, Asset Management Portfolio IIand Asset
Management Portfolio III, respectively.
Bankers Trust has voluntarily undertaken to waive and reimburse expenses of
each Portfolio, to the extent necessary, to limit all expenses to 0.60 of 1% of
the average daily net assets of each Portfolio. For the six months ended
September 30, 1995, expenses of the Asset Management Portfolio, Asset
Management Portfolio II and Asset Management Portfolio III have been reduced
$110,846, $28,750 and $21,826, respectively.
Certain trustees and officers of the Portfolios are also directors, officers
and/or employees of Signature. None of the trustees so affiliated received
compensation for services as trustee of the Portfolios. Similarly, none of the
Portfolios' officers received compensation from the Portfolios.
NOTE 3 - PURCHASES AND SALES OF INVESTMENT SECURITIES
The aggregate cost of purchases and proceeds from sales of investments, other
than short-term obligations, for the six months ended September 30, 1995, were
as follows:
<TABLE>
<CAPTION>
Portfolio Purchases Sales
- --------- --------- -----
<S> <C> <C>
Asset Management $58,067,782 $40,012,378
Asset Management II 21,938,698 15,744,528
Asset Management III 18,352,445 17,366,459
</TABLE>
The aggregate gross unrealized appreciation/depreciation for all investments,
were as follows:
<TABLE>
<CAPTION>
Portfolio Appreciation Depreciation
- --------- ------------ ------------
<S> <C> <C>
Asset Management $8,589,840 $508,727
Asset Management II 1,239,562 136,822
Asset Management III 920,111 125,280
</TABLE>
The Portfolio may enter into financial futures contracts as an investment
technique designed to hedge against anticipated future change in general market
prices which otherwise might either adversely affect the value of securities
held by the Portfolio or adversely affect the prices of securities which are
intended to be purchased at a later date for the Portfolio. Investment in
financial futures require initial margin deposits which consist of cash or cash
equivalents equal to approximately 5% to 10% of the contract amount. During the
period the financial futures are open, changes in the value of the contracts
are recognized by "mark to market" on a daily basis to reflect the market value
of the contracts at the close of each day's trading. Accordingly, variation
margin payments are made or received to reflect daily unrealized gains or
losses. When the contracts are closed, the Portfolios recognize a realized gain
or loss. The use of futures contracts involves elements of market risk in
excess of amounts recognized in the statement of assets and liabilities.
<PAGE> 13
ASSET MANAGEMENT PORTFOLIO III 43
----------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
=======================================================================================================
September 30, 1995 (unaudited)
- -------------------------------------------------------------------------------------------------------
<S> <C>
ASSETS
- -------------------------------------------------------------------------------------------------------
Investments, at Value (Cost $24,938,137, including
Repurchase Agreement amounting to $2,774,224) $25,732,968
- -------------------------------------------------------------------------------------------------------
Receivable for Securities Sold 2,140,320
- -------------------------------------------------------------------------------------------------------
Cash 53,642
- -------------------------------------------------------------------------------------------------------
Dividends and Interest Receivable 179,268
- -------------------------------------------------------------------------------------------------------
Prepaid Expenses 189
- -------------------------------------------------------------------------------------------------------
Total Assets 28,106,387
- -------------------------------------------------------------------------------------------------------
LIABILITIES
- -------------------------------------------------------------------------------------------------------
Due to Bankers Trust 10,322
- -------------------------------------------------------------------------------------------------------
Payable for Securities Purchased 2,142,920
- -------------------------------------------------------------------------------------------------------
Variation Margin Payable 3,625
- -------------------------------------------------------------------------------------------------------
Accrued Expenses and Accounts Payable 13,289
- -------------------------------------------------------------------------------------------------------
Total Liabilities 2,170,156
- -------------------------------------------------------------------------------------------------------
NET ASSETS $25,936,231
=======================================================================================================
COMPOSITION OF NET ASSETS
- -------------------------------------------------------------------------------------------------------
Paid-in Capital $25,147,038
- -------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Securities 794,831
- -------------------------------------------------------------------------------------------------------
Net Unrealized (Depreciation) on Futures Contracts (5,638)
- -------------------------------------------------------------------------------------------------------
NET ASSETS, SEPTEMBER 30, 1995 $25,936,231
=======================================================================================================
</TABLE>
See Notes to Financial Statements on Pages 56 and 57
<PAGE> 14
ASSET MANAGEMENT PORTFOLIO III 44
-----------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
=======================================================================================================
For the six months ended September 30, 1995 (unaudited)
- -------------------------------------------------------------------------------------------------------
<S> <C> <C>
INVESTMENT INCOME
- -------------------------------------------------------------------------------------------------------
Dividends $ 52,310
- -------------------------------------------------------------------------------------------------------
Interest 666,287
- -------------------------------------------------------------------------------------------------------
Total Investment Income $ 718,597
- -------------------------------------------------------------------------------------------------------
EXPENSES
- -------------------------------------------------------------------------------------------------------
Advisory Fee 77,879
- -------------------------------------------------------------------------------------------------------
Administration and Services Fee 11,981
- -------------------------------------------------------------------------------------------------------
Professional Fees 1,793
- -------------------------------------------------------------------------------------------------------
Trustees Fees 729
- -------------------------------------------------------------------------------------------------------
Insurance 1,332
- -------------------------------------------------------------------------------------------------------
Total Expenses 93,714
- -------------------------------------------------------------------------------------------------------
Less:Expenses Absorbed by Bankers Trust (21,826) 71,888
- -------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 646,709
- -------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON SECURITIES AND FUTURES
- -------------------------------------------------------------------------------------------------------
Net Realized Gain from SecuritiesTransactions 323,749
- -------------------------------------------------------------------------------------------------------
Net Realized (Loss) from Futures Transactions (329,247)
- -------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Securities 927,117
- -------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Futures Contracts 23,675
- -------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN ON SECURITIES AND FUTURES 945,294
- -------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $1,592,003
=======================================================================================================
</TABLE>
See Notes to Financial Statements on Pages 56 and 57
<PAGE> 15
ASSET MANAGEMENT PORTFOLIO III 45
----------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENT OF CHANGES IN NET ASSETS
==========================================================================================================
For the
six months ended For the
September 30, 1995 year ended
(unaudited) March 31, 1995
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
- ----------------------------------------------------------------------------------------------------------
FROM OPERATIONS
- ----------------------------------------------------------------------------------------------------------
Net Investment Income $ 646,709 $ 1,019,467
- ----------------------------------------------------------------------------------------------------------
Net Realized (Loss) from Securities and Futures Transactions (5,498) (783,153)
- -----------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Securities and Futures Contracts 950,792 505,973
- ----------------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Operations 1,592,003 742,287
- ----------------------------------------------------------------------------------------------------------
FROM CAPITAL TRANSACTIONS
- ----------------------------------------------------------------------------------------------------------
Proceeds from Capital Invested 4,371,610 5,531,582
- ----------------------------------------------------------------------------------------------------------
Value of Capital Withdrawn (1,228,982) (2,658,595)
- -----------------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Capital Transactions 3,142,628 2,872,987
- ----------------------------------------------------------------------------------------------------------
Total Increase in Net Assets 4,734,631 3,615,274
==========================================================================================================
NET ASSETS
- ----------------------------------------------------------------------------------------------------------
Beginning of Period 21,201,600 17,586,326
- ----------------------------------------------------------------------------------------------------------
End of Period $25,936,231 $21,201,600
==========================================================================================================
</TABLE>
See Notes to Financial Statements on Pages 56 and 57
<PAGE> 16
ASSET MANAGEMENT PORTFOLIO III 46
------------------------------------------------------------
FINANCIAL HIGHLIGHTS
=========================================================================
Contained below are selected ratios and supplemental data for each of the
periods indicated for the Asset Management Portfolio III.
- -------------------------------------------------------------------------
<TABLE>
<CAPTION>
For the period
For the October 15, 1993
six months ended For the (Commencement
September 30, 1995 year ended of Operations) to
(unaudited) March 31, 1995 March 31, 1994
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
RATIOS AND SUPPLEMENTAL DATA
Ratio of Net Investment Income to Average Net Assets 5.40%* 4.87% 3.51%*
Ratio of Expenses to Average Net Assets 0.60%* 0.60% 0.60%*
Decrease Reflected in Above Ratio of Expenses to Average
Net Assets Due to Absorption of Expenses by Bankers Trust 0.18%* 0.30% 0.49%*
Portfolio Turnover Rate 95% 111% 84.30%
Net Assets, End of Period (000's omitted) $25,936 $21,202 $17,586
</TABLE>
* Annualized
See Notes to Financial Statements on Pages 56 and 57
<PAGE> 17
ASSET MANAGEMENT PORTFOLIO III 47
----------------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
===================================================================
September 30, 1995 (unaudited)
SHARES DESCRIPTION VALUE
===================================================================
<S> <C> <C>
COMMON STOCKS - 16.33%
- -------------------------------------------------------------------
AEROSPACE - 0.05%
- -------------------------------------------------------------------
200 Lockheed Martin $ 13,425
===================================================================
AIRLINES - 0.19%
- -------------------------------------------------------------------
400 AMR (a) 28,850
- -------------------------------------------------------------------
300 Delta Air Lines 20,775
- -------------------------------------------------------------------
49,625
===================================================================
AUTO RELATED - 1.04%
- -------------------------------------------------------------------
1,000 Chrysler 53,000
- -------------------------------------------------------------------
1,700 Dana 49,087
- -------------------------------------------------------------------
1,500 Ford Motor 46,687
- -------------------------------------------------------------------
1,700 General Motors 79,688
- -------------------------------------------------------------------
400 General Motors, Cl E 18,200
- -------------------------------------------------------------------
500 PACCAR 23,375
- -------------------------------------------------------------------
270,037
===================================================================
AVIATION SERVICES - 0.18%
- -------------------------------------------------------------------
2,000 Ogden 47,000
===================================================================
BANKS - 0.40%
- -------------------------------------------------------------------
200 BankAmerica 11,975
- -------------------------------------------------------------------
300 BayBanks 22,762
- -------------------------------------------------------------------
200 Citicorp 14,150
- -------------------------------------------------------------------
400 First Interstate Bancorp 40,300
- -------------------------------------------------------------------
200 SunTrust Banks 13,225
- -------------------------------------------------------------------
102,412
===================================================================
BEVERAGES - 0.46%
- -------------------------------------------------------------------
700 Coca Cola 48,300
- -------------------------------------------------------------------
1,400 Pepsico 71,400
- -------------------------------------------------------------------
119,700
===================================================================
BROADCASTING - 0.03%
- -------------------------------------------------------------------
100 Clear Channel Communications (a) 7,575
===================================================================
BUILDING & CONSTRUCTION - 0.08%
- -------------------------------------------------------------------
700 Centex 20,300
===================================================================
BUILDING FOREST PRODUCTS - 0.08%
- -------------------------------------------------------------------
200 Champion International 10,775
- -------------------------------------------------------------------
700 Kaufman &Broad Home 8,837
- -------------------------------------------------------------------
19,612
===================================================================
CHEMICALS - 0.39%
- -------------------------------------------------------------------
300 Air Products & Chemical 15,637
- -------------------------------------------------------------------
800 Du Pont (E.I.) De Nemours 55,000
- -------------------------------------------------------------------
300 Monsanto 30,225
- -------------------------------------------------------------------
100,862
===================================================================
COMPUTER SOFTWARE - 0.48%
- -------------------------------------------------------------------
300 Cisco Systems (a) 20,700
- -------------------------------------------------------------------
400 Computer Associates International 16,900
- -------------------------------------------------------------------
100 Informix (a) 3,250
- -------------------------------------------------------------------
800 Microsoft (a) 72,400
- -------------------------------------------------------------------
300 Oracle Systems (a) 11,512
- -------------------------------------------------------------------
124,762
===================================================================
CONTAINERS - 0.21%
- -------------------------------------------------------------------
1,000 Temple-Inland 53,250
===================================================================
COSMETICS - 0.02%
- -------------------------------------------------------------------
100 Gillette 4,762
===================================================================
DIVERSIFIED - 0.26%
- -------------------------------------------------------------------
1,000 Textron 68,250
===================================================================
DRUGS - 0.75%
- -------------------------------------------------------------------
1,700 Merck & Co. 95,200
- -------------------------------------------------------------------
1,100 Pfizer 58,712
- -------------------------------------------------------------------
800 Schering-Plough 41,200
- -------------------------------------------------------------------
195,112
===================================================================
</TABLE>
See Notes to Financial Statements on Pages 56 and 57
<PAGE> 18
ASSET MANAGEMENT PORTFOLIO III 48
----------------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
===================================================================
September 30, 1995 (unaudited)
SHARES DESCRIPTION VALUE
===================================================================
<S> <C> <C>
ELECTRICAL EQUIPMENT - 1.08%
- -------------------------------------------------------------------
300 Duracell International $ 13,462
- -------------------------------------------------------------------
3,100 General Electric 197,625
- -------------------------------------------------------------------
100 General Instrument (a) 3,000
- -------------------------------------------------------------------
800 Hewlett-Packard 66,700
- -------------------------------------------------------------------
280,787
===================================================================
ELECTRONICS - 0.78%
- -------------------------------------------------------------------
600 AlliedSignal 26,475
- -------------------------------------------------------------------
500 AMP 19,250
- -------------------------------------------------------------------
400 Intel 24,050
- -------------------------------------------------------------------
1,100 Motorola 84,012
- -------------------------------------------------------------------
700 Teradyne (a) 25,200
- -------------------------------------------------------------------
300 Texas Instruments 23,963
- -------------------------------------------------------------------
202,950
===================================================================
FINANCIAL SERVICES - 0.65%
- -------------------------------------------------------------------
100 Federal National Mortgage Assoc. 10,350
- -------------------------------------------------------------------
700 First Data 43,400
- -------------------------------------------------------------------
300 Household International 18,600
- -------------------------------------------------------------------
400 MBNA 16,650
- -------------------------------------------------------------------
1,500 Travelers Group 79,688
- -------------------------------------------------------------------
168,688
===================================================================
FOOD SERVICES & LODGING - 0.16%
- -------------------------------------------------------------------
1,100 McDonald's 42,075
===================================================================
FOODS - 0.40%
- -------------------------------------------------------------------
600 CPC International 39,600
- -------------------------------------------------------------------
200 Premark International 10,175
- -------------------------------------------------------------------
1,400 Sara Lee 41,650
- -------------------------------------------------------------------
100 Unilever N.V., ADR 13,000
- -------------------------------------------------------------------
104,425
===================================================================
HEALTH CARE DIVERSIFIED - 0.40%
- -------------------------------------------------------------------
2,100 Abbott Laboratories 89,512
- -------------------------------------------------------------------
300 Columbia/HCA Healthcare 14,588
- -------------------------------------------------------------------
104,100
===================================================================
HOSPITAL SUPPLIES & SERVICES - 0.47%
- -------------------------------------------------------------------
1,200 Johnson & Johnson 88,950
- -------------------------------------------------------------------
200 St. Jude Medical 12,650
- -------------------------------------------------------------------
400 United Healthcare 19,550
- -------------------------------------------------------------------
121,150
===================================================================
HOTELS & MOTELS - 0.06%
- -------------------------------------------------------------------
400 Marriott International 14,950
===================================================================
HOUSEHOLD PRODUCTS - 0.50%
- -------------------------------------------------------------------
300 Clorox 21,413
- -------------------------------------------------------------------
1,400 Procter & Gamble 107,800
- -------------------------------------------------------------------
129,213
===================================================================
INSURANCE - 0.45%
- -------------------------------------------------------------------
850 American International Group 72,250
- -------------------------------------------------------------------
300 General Re 45,300
- -------------------------------------------------------------------
117,550
===================================================================
LEISURE RELATED - 0.40%
- -------------------------------------------------------------------
1,200 Disney (Walt) 68,850
- -------------------------------------------------------------------
400 Harcourt General 16,750
- -------------------------------------------------------------------
800 Outboard Marine 17,200
- -------------------------------------------------------------------
102,800
===================================================================
MACHINERY - AGRICULTURE - 0.15%
- -------------------------------------------------------------------
500 Deere &Co. 40,688
===================================================================
MANUFACTURING - 0.06%
- -------------------------------------------------------------------
400 Millipore 15,000
===================================================================
</TABLE>
See Notes to Financial Statements on Pages 56 and 57
<PAGE> 19
ASSET MANAGEMENT PORTFOLIO III 49
------------------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
===================================================================
September 30, 1995 (unaudited)
SHARES DESCRIPTION VALUE
===================================================================
<S> <C> <C>
METALS - 0.07%
- -------------------------------------------------------------------
600 Alcan Aluminum Ltd. $ 19,425
===================================================================
OFFICE EQUIPMENT - 0.32%
- -------------------------------------------------------------------
600 International Business Machines 56,625
- -------------------------------------------------------------------
100 Sun Microsystems (a) 6,300
- -------------------------------------------------------------------
900 Unisys (a) 7,087
- -------------------------------------------------------------------
100 Xerox 13,438
- -------------------------------------------------------------------
83,450
===================================================================
OIL DOMESTIC - 0.22%
- -------------------------------------------------------------------
100 Enron Oil & Gas 2,175
- -------------------------------------------------------------------
1,200 Tenneco 55,500
- -------------------------------------------------------------------
57,675
===================================================================
OIL INTERNATIONAL - 0.86%
- -------------------------------------------------------------------
700 Exxon 50,575
- -------------------------------------------------------------------
100 Mobil 9,963
- -------------------------------------------------------------------
900 Royal Dutch Petroleum 110,475
- -------------------------------------------------------------------
800 Texaco 51,700
- -------------------------------------------------------------------
222,713
===================================================================
OIL SUPPLIES & CONSTRUCTION - 0.18%
- -------------------------------------------------------------------
700 Schlumberger Ltd. 45,675
===================================================================
PAPER - 0.10%
- -------------------------------------------------------------------
600 International Paper 25,200
===================================================================
PETROLEUM RELATED - 0.41%
- -------------------------------------------------------------------
200 Amoco 12,825
- -------------------------------------------------------------------
1,200 Ashland Oil 40,050
- -------------------------------------------------------------------
500 Atlantic Richfield 53,688
- -------------------------------------------------------------------
106,563
===================================================================
PHOTOGRAPHY & OPTICAL - 0.05%
- -------------------------------------------------------------------
200 Eastman Kodak 11,850
===================================================================
PRINTING & PUBLISHING - 0.15%
- -------------------------------------------------------------------
200 McGraw-Hill 16,350
- -------------------------------------------------------------------
600 Time Warner $ 23,850
- -------------------------------------------------------------------
40,200
===================================================================
RAILROADS - 0.19%
- -------------------------------------------------------------------
700 Conrail 48,125
===================================================================
REAL ESTATE - 0.08%
- -------------------------------------------------------------------
700 Pulte 19,863
===================================================================
RETAIL - 0.59%
- -------------------------------------------------------------------
900 Dayton Hudson 68,288
- -------------------------------------------------------------------
1,700 Fleming 40,800
- -------------------------------------------------------------------
1,800 Wal-Mart Stores 44,775
- -------------------------------------------------------------------
153,863
===================================================================
TELECOMMUNICATIONS - 0.71%
- -------------------------------------------------------------------
1,300 AT&T 85,475
- -------------------------------------------------------------------
300 Capital Cities/ABC 35,288
- -------------------------------------------------------------------
3,200 Comcast, Cl A 64,000
- -------------------------------------------------------------------
184,763
===================================================================
TOBACCO - 0.47%
- -------------------------------------------------------------------
2,100 American Brands 88,725
- -------------------------------------------------------------------
400 Philip Morris 33,400
- -------------------------------------------------------------------
122,125
===================================================================
TRUCKING - SHIPPING - 0.17%
- -------------------------------------------------------------------
1,700 Ryder System 43,138
===================================================================
UTILITY - ELECTRIC - 1.31%
- -------------------------------------------------------------------
2,200 Detroit Edison 70,950
- -------------------------------------------------------------------
2,100 Houston Industries 92,662
- -------------------------------------------------------------------
1,900 Pacific Gas & Electric 56,763
- -------------------------------------------------------------------
3,200 PECO Energy 91,600
- -------------------------------------------------------------------
1,600 SCE 28,400
- -------------------------------------------------------------------
340,375
===================================================================
</TABLE>
See Notes to Financial Statements on Pages 56 and 57
<PAGE> 20
ASSET MANAGEMENT PORTFOLIO III 50
-----------------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
===================================================================
September 30, 1995 (unaudited)
SHARES DESCRIPTION VALUE
===================================================================
<S> <C>
UTILITY - NATURAL GAS - 0.27%
- -------------------------------------------------------------------
1,600 ONEOK $ 37,200
- -------------------------------------------------------------------
1,200 Panhandle Eastern 32,700
- -------------------------------------------------------------------
69,900
===================================================================
TOTAL COMMON STOCKS
(Cost $3,716,793) $ 4,235,963
===================================================================
PREFERRED STOCK
NON-CONVERTIBLE - 0.00%
- -------------------------------------------------------------------
DIVERSIFIED - 0.00%
- -------------------------------------------------------------------
10 Teledyne (Cost $147) $ 139
===================================================================
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT CORPORATE DEBENTURES - 9.95%
- -------------------------------------------------------------------
<S> <C> <C>
AEROSPACE - 0.48%
- -------------------------------------------------------------------
$ 120,000 Lockheed, 7.875%, 3/15/23 $ 123,850
===================================================================
BANKS - 2.19%
- -------------------------------------------------------------------
115,000 Citicorp, 8.00%, 2/1/03 123,027
- -------------------------------------------------------------------
120,000 Dresdner Bank, 6.625%, 9/15/05 119,432
- -------------------------------------------------------------------
60,000 Fleet/Norstar Group, 7.65%, 3/1/97 60,959
- -------------------------------------------------------------------
215,000 International Bank Reconstruction
& Development, 8.875%, 3/1/26 263,807
- -------------------------------------------------------------------
567,225
===================================================================
FINANCIAL SERVICES - 3.04%
- -------------------------------------------------------------------
50,000 Dean Witter Discover,
6.875%, 3/1/03 50,362
- -------------------------------------------------------------------
150,000 Ford Motor Credit, 5.625%, 3/3/97 148,861
- -------------------------------------------------------------------
General Motors Acceptance:
6,354 5.55%, 5/15/97 6,345
110,000 8.625%, 1/18/01 119,690
- -------------------------------------------------------------------
60,000 Goldman Sachs,
6.3125%, 2/23/98 (b) (e) 60,033
- -------------------------------------------------------------------
70,000 KFW International Finance,
8.20%, 6/1/06 77,566
- -------------------------------------------------------------------
90,000 PaineWebber Group,
9.25%, 12/15/01 99,350
- -------------------------------------------------------------------
50,000 Swedish Export Credit,
9.875%, 3/15/38 55,145
- -------------------------------------------------------------------
170,000 Washington Mutual Savings Bank,
7.25%, 8/15/05 172,661
- -------------------------------------------------------------------
790,013
===================================================================
HOSPITAL SUPPLIES & SERVICES - 0.81%
- -------------------------------------------------------------------
Columbia/HCA Healthcare:
- -------------------------------------------------------------------
130,000 6.91%, 6/15/05 130,407
- -------------------------------------------------------------------
70,000 8.70%, 2/10/10 80,181
- -------------------------------------------------------------------
210,588
===================================================================
INDUSTRIAL - 0.62%
- -------------------------------------------------------------------
110,000 Auburn Hills Trust, 12.00%, 5/1/20 161,623
===================================================================
OIL - INTERNATIONAL - 0.37%
- -------------------------------------------------------------------
90,000 BHP Finance USA, 7.875%, 12/1/02 95,347
===================================================================
RETAIL - 0.81%
- -------------------------------------------------------------------
125,000 J.C. Penney, 6.50%, 6/15/02 124,337
- -------------------------------------------------------------------
80,000 May Department Stores,
8.375%, 8/1/24 85,896
- -------------------------------------------------------------------
210,233
===================================================================
UTILITY - ELECTRIC - 1.19%
- -------------------------------------------------------------------
120,000 Delmarva Power & Light,
7.71%, 6/1/25 122,206
- -------------------------------------------------------------------
50,000 Idaho Power, 8.00%, 3/15/04 53,614
- -------------------------------------------------------------------
75,000 Potomac Edison, 8.00%, 6/1/24 78,000
- -------------------------------------------------------------------
50,000 Virginia Electric & Power,
8.625%, 10/1/24 55,597
- -------------------------------------------------------------------
309,417
===================================================================
UTILITY - NATURAL GAS - 0.44%
- -------------------------------------------------------------------
100,000 KN Energy, 9.625%, 8/1/21 114,604
===================================================================
</TABLE>
See Notes to Financial Statements on Pages 56 and 57
<PAGE> 21
ASSET MANAGEMENT PORTFOLIO III 51
- -------------------------------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
===================================================================
September 30, 1995 (unaudited)
PRINCIPAL
AMOUNT DESCRIPTION VALUE
===================================================================
<S> <C>
TOTAL CORPORATE DEBENTURES
(Cost $2,514,378) $ 2,582,900
- -------------------------------------------------------------------
CORPORATE DEBENTURE-
FOREIGN - 0.54%
- -------------------------------------------------------------------
GERMANY - 0.54%
- -------------------------------------------------------------------
$ 140,000 Norddeutsche Landesbank
6.875%, 3/10/03 (Cost $134,105) $ 140,438
===================================================================
ASSET-BACKED SECURITIES - 27.52%
- -------------------------------------------------------------------
CORPORATE - 0.49%
- -------------------------------------------------------------------
Standard Credit Card:
- -------------------------------------------------------------------
$ 45,000 8.25%, 11/7/03 $ 48,712
- -------------------------------------------------------------------
75,000 7.25%, 4/7/06 77,690
- -------------------------------------------------------------------
126,402
===================================================================
U.S. GOVERNMENT & AGENCIES - 27.03%
- -------------------------------------------------------------------
FHLMC: (d)
- -------------------------------------------------------------------
170,000 6.93%, 9/5/00 171,526
- -------------------------------------------------------------------
30,279 8.50%, 3/1/23 31,568
- -------------------------------------------------------------------
413,697 9.50%, 2/1/25 419,906
- -------------------------------------------------------------------
FNMA: (d)
- -------------------------------------------------------------------
379,937 6.00%, 1/1/01 374,192
- -------------------------------------------------------------------
180,000 8.625%, 11/10/04 193,252
- -------------------------------------------------------------------
228,089 7.00%, 5/1/09 228,945
- -------------------------------------------------------------------
317,991 8.00%, 4/1/10 326,930
- -------------------------------------------------------------------
413,697 7.00%, 1/1/24 408,008
- -------------------------------------------------------------------
1,350,705 8.00%, 7/1/25 1,381,096
- -------------------------------------------------------------------
GNMA: (d)
- -------------------------------------------------------------------
1,367,798 6.50%, 9/15/23 1,319,923
- -------------------------------------------------------------------
2,096,896 8.00%, 7/15/25 2,155,839
- -------------------------------------------------------------------
7,011,185
===================================================================
TOTAL ASSET-BACKED SECURITIES
(Cost $7,185,904) $ 7,137,587
===================================================================
GOVERNMENTS FOREIGN - 1.03%
- -------------------------------------------------------------------
CANADA - 0.47%
- -------------------------------------------------------------------
$ 125,000 Manitoba, 6.125%, 1/19/04 $ 121,006
===================================================================
ITALY - 0.20%
- -------------------------------------------------------------------
55,000 Republic of Italy, 6.875%, 9/27/23 50,256
===================================================================
NEW ZEALAND - 0.36%
- -------------------------------------------------------------------
80,000 New Zealand Government,
8.75%, 12/15/06 93,939
===================================================================
TOTAL GOVERNMENTS FOREIGN
(Cost $ 256,003) $ 265,201
===================================================================
LONG-TERM U.S. TREASURY
SECURITIES - 21.22%
- -------------------------------------------------------------------
U.S. TREASURY BONDS - 3.89%
- -------------------------------------------------------------------
$ 476,000 8.125%, 8/15/19 $ 558,853
- -------------------------------------------------------------------
419,000 7.25%, 8/15/22 450,425
- -------------------------------------------------------------------
1,009,278
===================================================================
U.S. TREASURY NOTES - 17.33%
- -------------------------------------------------------------------
40,000 6.00%, 6/30/96 400,687
- -------------------------------------------------------------------
150,000 7.50%, 12/31/96 153,023
- -------------------------------------------------------------------
1,690,000 5.125%, 11/30/98 1,650,661
- -------------------------------------------------------------------
2,142,000 7.25%, 8/15/04 2,289,931
- -------------------------------------------------------------------
4,494,302
===================================================================
TOTAL LONG-TERM U.S. TREASURY SECURITIES
(Cost $5,266,732) $ 5,503,580
===================================================================
</TABLE>
See Notes to Financial Statements on Pages 56 and 57
<PAGE> 22
ASSET MANAGEMENT PORTFOLIO III 52
-----------------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
===================================================================
September 30, 1995 (unaudited)
PRINCIPAL
AMOUNT DESCRIPTION VALUE
===================================================================
<S> <C>
SHORT-TERM INVESTMENTS - 22.63%
- -------------------------------------------------------------------
UNITED STATES TREASURY BILLS - 11.93%
- -------------------------------------------------------------------
$95,000 5.40%, 10/12/95 (c) $ 94,848
- -------------------------------------------------------------------
2,000,000 5.42%, 12/21/95 1,976,578
- -------------------------------------------------------------------
1,050,000 5.76%, 4/4/96 1,021,510
- -------------------------------------------------------------------
3,092,936
===================================================================
REPURCHASE AGREEMENT - 10.70%
- -------------------------------------------------------------------
2,774,224 Repurchase Agreement with Sanwa
Bank, Dated 9/29/95, 6.25%,
Principal and Interest in the
Amount of $2,775,187, Due 10/02/95,
(Collateralized by U.S. Treasury
Bonds, Par Value of $1,877,000,
12.75%, Due 11/15/10, Value
of $2,850,107) 2,774,224
===================================================================
TOTAL SHORT-TERM INVESTMENTS
(Cost $5,864,075) $ 5,867,160
===================================================================
TOTAL INVESTMENTS
(Cost $24,938,137) 99.22% $25,732,968
- -------------------------------------------------------------------
Other Assets in Excess of Liabilities 0.78 203,263
- -------------------------------------------------------------------
NET ASSETS 100.00% $25,936,231
===================================================================
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF
FUTURES NET UNREALIZED
CONTRACTS DESCRIPTION (DEPRECIATION)
===================================================================
<S> <C> <C>
FUTURES CONTRACTS
- -------------------------------------------------------------------
1 S&P 500 December 1995 Short Futures
(Market Value $294,100) $ (4,700)
- -------------------------------------------------------------------
6 U.S. Treasury December 1995 Short
Futures (Market Value $661,500) (938)
- -------------------------------------------------------------------
$ (5,638)
===================================================================
</TABLE>
(a) Non-Income Producing Security
(b) Quarterly Floating Rate Note
(c) Held as Collateral for Futures Contracts
(d) The following abbreviations are used in the portfolio descriptions:
FHLMC - Federal Home Loan Mortgage Corporation
FNMA - Federal National Mortgage Association
GNMA - Government National Mortgage Association
(e) Security exempt from registration under Rule 144A of the Securities Act of
1933. This security may be resold in transactions exempt from
registration, normally to qualified institutional buyers. At the period
end, the value of this security amounted to $60,033 or 0.23% of net
assets.
See Notes to Financial Statements on Pages 56 and 57
<PAGE> 23
ASSET MANAGEMENT PORTFOLIOS 56
------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (unaudited)
===================================================================
NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
A. Organization
The Asset Management Portfolio, Asset Management Portfolio II and Asset
Management Portfolio III (each a "Portfolio", and collectively, the
"Portfolios") are registered under the Investment Company Act of 1940 (the
"Act"), as amended, as open-end management investment companies. The Asset
Management Portfolio was organized on June 9, 1992 as an unincorporated trust
under the laws of New York and commenced operations on September 16, 1993. The
Asset Management Portfolio II was organized on October 28, 1992, as an
unincorporated trust under the laws of New York and commenced operations on
October 14, 1993. The Asset Management Portfolio III was organized on October
28, 1992 as an unincorporated trust under the laws of New York and commenced
operations on October 15, 1993. The Declaration of Trust permits the Board of
Trustees (the "Trustees") to issue beneficial interests in each of the
Portfolios.
B. Security Valuation
The Portfolios' investments are valued each business day by an independent
pricing service (the "Service") approved by the Trustees. Securities traded on
national exchanges or traded in the NASDAQ National Market System are valued at
the last sales prices reported at the close of business each day.
Over-the-counter securities not included in the NASDAQ National Market System
and listed securities for which no sale was reported are valued at the mean of
the bid and asked prices. Short-term obligations with remaining maturities of
60 days or less are valued at amortized cost which with accrued interest
approximates value. Securities for which quotations are not available are
stated at fair value as determined by the Trustees.
C. Security Transactions and Interest Income
Security transactions are accounted for on a trade date basis (date the order
to buy or sell is executed). Dividend income is recorded on the ex-dividend
date. Interest income is recorded on the accrual basis and includes
amortization of premium and discount on investments. Realized gains and losses
from securities transactions are recorded on the identified cost basis.
Each of the Portfolios may enter into repurchase agreements with financial
institutions deemed to be creditworthy by the Portfolios' Investment Advisers,
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 Portfolios' 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 Portfolios 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 Portfolios
maintain the right to sell the underlying securities at market value and may
claim any resulting loss against the seller.
All of the net investment income and realized and unrealized gains and losses
from the security transactions of the Portfolios are allocated pro rata among
the investors in the Portfolios at the time of such determination.
D. Federal Income Taxes
It is each 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> 24
ASSET MANAGEMENT PORTFOLIOS 57
------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (unaudited)
===================================================================
Note 2 - FEES and TRANSACTIONS with AFFILIATES
The Portfolios have 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 each of the Portfolios in return for a fee computed
daily and paid monthly at an annual rate of 0.10 of 1% of the Portfolios'
average daily net assets. For the six months ended September 30, 1995, these
fees aggregated $68,016, $16,512 and $11,981 for the Asset Management
Portfolio, Asset Management Portfolio II andAsset Management Portfolio III,
respectively.
The Portfolios have entered into an Advisory Agreement with Bankers Trust.
Under this Advisory Agreement, Bankers Trust manages the Portfolios in
accordance with the Portfolios' 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 Portfolios' average daily net assets. For the six months
ended September 30, 1995, these fees aggregated $442,103, $107,330, and $77,879
for the Asset Management Portfolio, Asset Management Portfolio IIand Asset
Management Portfolio III, respectively.
Bankers Trust has voluntarily undertaken to waive and reimburse expenses of
each Portfolio, to the extent necessary, to limit all expenses to 0.60 of 1% of
the average daily net assets of each Portfolio. For the six months ended
September 30, 1995, expenses of the Asset Management Portfolio, Asset
Management Portfolio II and Asset Management Portfolio III have been reduced
$110,846, $28,750 and $21,826, respectively.
Certain trustees and officers of the Portfolios are also directors, officers
and/or employees of Signature. None of the trustees so affiliated received
compensation for services as trustee of the Portfolios. Similarly, none of the
Portfolios' officers received compensation from the Portfolios.
NOTE 3 - PURCHASES AND SALES OF INVESTMENT SECURITIES
The aggregate cost of purchases and proceeds from sales of investments, other
than short-term obligations, for the six months ended September 30, 1995, were
as follows:
<TABLE>
<CAPTION>
Portfolio Purchases Sales
- --------- --------- -----
<S> <C> <C>
Asset Management $58,067,782 $40,012,378
Asset Management II 21,938,698 15,744,528
Asset Management III 18,352,445 17,366,459
</TABLE>
The aggregate gross unrealized appreciation/depreciation for all investments,
were as follows:
<TABLE>
<CAPTION>
Portfolio Appreciation Depreciation
- --------- ------------ ------------
<S> <C> <C>
Asset Management $8,589,840 $508,727
Asset Management II 1,239,562 136,822
Asset Management III 920,111 125,280
</TABLE>
The Portfolio may enter into financial futures contracts as an investment
technique designed to hedge against anticipated future change in general market
prices which otherwise might either adversely affect the value of securities
held by the Portfolio or adversely affect the prices of securities which are
intended to be purchased at a later date for the Portfolio. Investment in
financial futures require initial margin deposits which consist of cash or cash
equivalents equal to approximately 5% to 10% of the contract amount. During the
period the financial futures are open, changes in the value of the contracts
are recognized by "mark to market" on a daily basis to reflect the market value
of the contracts at the close of each day's trading. Accordingly, variation
margin payments are made or received to reflect daily unrealized gains or
losses. When the contracts are closed, the Portfolios recognize a realized gain
or loss. The use of futures contracts involves elements of market risk in
excess of amounts recognized in the statement of assets and liabilities.
