<PAGE> 1
ASSET MANAGEMENT PORTFOLIO II 29
-----------------------------------------------------
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
- ------------------------------------------------------------------------------------------------------
March 31, 1995
<S> <C>
- ------------------------------------------------------------------------------------------------------
ASSETS
- ------------------------------------------------------------------------------------------------------
Investments, at Value (Cost $27,093,366, including Repurchase Agreement
amounting to $4,475,892) $27,041,997
- ------------------------------------------------------------------------------------------------------
Cash 2,591
- ------------------------------------------------------------------------------------------------------
Dividends and Interest Receivable 137,284
- ------------------------------------------------------------------------------------------------------
Deferred Organizational Expenses 12,749
- ------------------------------------------------------------------------------------------------------
Prepaid Expenses 1,521
- ------------------------------------------------------------------------------------------------------
Due From Bankers Trust 1,245
- ------------------------------------------------------------------------------------------------------
Total Assets 27,197,387
- ------------------------------------------------------------------------------------------------------
LIABILITIES
- ------------------------------------------------------------------------------------------------------
Payable for Securities Purchased 1,546,927
- ------------------------------------------------------------------------------------------------------
Variation Margin Payable 9,000
- ------------------------------------------------------------------------------------------------------
Accrued Expenses and Accounts Payable 37,070
- ------------------------------------------------------------------------------------------------------
Total Liabilities 1,592,997
- ------------------------------------------------------------------------------------------------------
NET ASSETS $25,604,390
- ------------------------------------------------------------------------------------------------------
COMPOSITION OF NET ASSETS
- ------------------------------------------------------------------------------------------------------
Paid-in Capital $25,522,878
- ------------------------------------------------------------------------------------------------------
Net Unrealized (Depreciation) on Securities (51,369)
- ------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Futures Contracts 132,881
- ------------------------------------------------------------------------------------------------------
NET ASSETS, MARCH 31, 1995 $25,604,390
- ------------------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements on Pages 57 and 58
<PAGE> 2
ASSET MANAGEMENT PORTFOLIO II 30
-----------------------------------------------------
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
- ------------------------------------------------------------------------------------------------------
For the year ended March 31, 1995
<S> <C> <C>
INVESTMENT INCOME
- ------------------------------------------------------------------------------------------------------
Dividends $ 163,473
- ------------------------------------------------------------------------------------------------------
Interest 1,041,198
- ------------------------------------------------------------------------------------------------------
Total Investment Income $1,204,671
- ------------------------------------------------------------------------------------------------------
EXPENSES
- ------------------------------------------------------------------------------------------------------
Advisory Fee 156,421
- ------------------------------------------------------------------------------------------------------
Administration and Services Fee 24,065
- ------------------------------------------------------------------------------------------------------
Professional Fees 21,094
- ------------------------------------------------------------------------------------------------------
Insurance 2,977
- ------------------------------------------------------------------------------------------------------
Trustees Fees 1,180
- ------------------------------------------------------------------------------------------------------
Amortization of Organizational Expenses 3,589
- ------------------------------------------------------------------------------------------------------
Miscellaneous 811
- ------------------------------------------------------------------------------------------------------
Total Expenses 210,137
- ------------------------------------------------------------------------------------------------------
Less:Expenses Absorbed by Bankers Trust (65,748) 144,389
- ------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 1,060,282
- ------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON SECURITIES AND FUTURES
- ------------------------------------------------------------------------------------------------------
Net Realized (Loss) from Securities Transactions (481,517)
- ------------------------------------------------------------------------------------------------------
Net Realized (Loss) from Futures Contracts (210,987)
- ------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Securities 876,303
- ------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Futures Contracts 126,424
- ------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN ON SECURITIES AND FUTURES 310,223
- ------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $1,370,505
- ------------------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements on Pages 57 and 58
<PAGE> 3
ASSET MANAGEMENT PORTFOLIO II 31
-----------------------------------------------------
<TABLE>
<CAPTION>
STATEMENT OF CHANGES IN NET ASSETS
- ------------------------------------------------------------------------------------------------------
For the period
October 14, 1993
For the (Commencement
year ended of Operations) to
March 31, 1995 March 31, 1994
- ------------------------------------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
- ------------------------------------------------------------------------------------------------------
FROM OPERATIONS
- ------------------------------------------------------------------------------------------------------
Net Investment Income $ 1,060,282 $ 225,936
- ------------------------------------------------------------------------------------------------------
Net Realized (Loss) from Securities and Futures Transactions (692,504) (125,660)
- ------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation (Depreciation) on Securities
and Futures Contracts 1,002,727 (921,215)
- ------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets from Operations 1,370,505 (820,939)
- ------------------------------------------------------------------------------------------------------
FROM CAPITAL TRANSACTIONS
- ------------------------------------------------------------------------------------------------------
Proceeds from Capital Invested 7,542,454 20,019,685
- ------------------------------------------------------------------------------------------------------
Value of Capital Withdrawn (2,483,935) (23,380)
- ------------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Capital Transactions 5,058,519 19,996,305
- ------------------------------------------------------------------------------------------------------
TOTAL INCREASE IN NET ASSETS 6,429,024 19,175,366
- ------------------------------------------------------------------------------------------------------
NET ASSETS
- ------------------------------------------------------------------------------------------------------
Beginning of Period 19,175,366 -
- ------------------------------------------------------------------------------------------------------
End of Period $25,604,390 $19,175,366
- ------------------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements on Pages 57 and 58
<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
October 14, 1993
For the (Commencement
year ended of Operations) to
March 31, 1995 March 31, 1994
- ------------------------------------------------------------------------------------------------------
<S> <C> <C>
RATIOS AND SUPPLEMENTAL DATA
Ratio of Net Investment Income to Average Net Assets 4.41% 3.17%*
Ratio of Expenses to Average Net Assets 0.60% 0.60%*
Decrease Reflected in Above Ratio of Expenses to Average Net Assets
Due to Absorption of Expenses by Bankers Trust 0.27% 0.48%*
Portfolio Turnover Rate 105% 79%
Net Assets, End of Period (000's omitted) $25,604 $19,175
</TABLE>
* Annualized
See Notes to Financial Statements on Pages 57 and 58
<PAGE> 5
ASSET MANAGEMENT PORTFOLIO II 33
-----------------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
- ---------------------------------------------------------------------------
March 31, 1995
SHARES DESCRIPTION VALUE
- ---------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS - 24.32%
- ---------------------------------------------------------------------------
Aerospace - 0.14%
- ---------------------------------------------------------------------------
500 Raytheon $ 36,437
- ---------------------------------------------------------------------------
AIRLINES - 0.32%
- ---------------------------------------------------------------------------
400 AMR (a) 25,900
- ---------------------------------------------------------------------------
900 Delta Air Lines 56,475
- ---------------------------------------------------------------------------
82,375
- ---------------------------------------------------------------------------
AUTO RELATED - 1.65%
- ---------------------------------------------------------------------------
1,000 Chrysler 41,875
- ---------------------------------------------------------------------------
2,000 Dana 51,000
- ---------------------------------------------------------------------------
4,900 Ford Motor 132,300
- ---------------------------------------------------------------------------
2,600 General Motors 115,050
- ---------------------------------------------------------------------------
400 General Motors, Cl E 15,550
- ---------------------------------------------------------------------------
1,000 PACCAR 42,500
- ---------------------------------------------------------------------------
1,700 SPX 24,650
- ---------------------------------------------------------------------------
422,925
- ---------------------------------------------------------------------------
AVIATION SERVICES - 0.28%
- ---------------------------------------------------------------------------
3,600 Ogden 72,450
- ---------------------------------------------------------------------------
BANKS - 0.34%
- ---------------------------------------------------------------------------
300 Bank America 14,475
- ---------------------------------------------------------------------------
300 Citicorp 12,750
- ---------------------------------------------------------------------------
300 First Interstate Bancorp 23,700
- ---------------------------------------------------------------------------
400 National Bancorp of Alaska 20,200
- ---------------------------------------------------------------------------
300 Suntrust Banks 16,050
- ---------------------------------------------------------------------------
87,175
- ---------------------------------------------------------------------------
BEVERAGES - 0.56%
- ---------------------------------------------------------------------------
1,500 Coca Cola 84,750
- ---------------------------------------------------------------------------
1,500 PepsiCo 58,500
- ---------------------------------------------------------------------------
143,250
- ---------------------------------------------------------------------------
BROADCASTING - 0.07%
- ---------------------------------------------------------------------------
300 Clear Channel
- ---------------------------------------------------------------------------
Communications (a) 17,850
- ---------------------------------------------------------------------------
BUILDING & CONSTRUCTION - 0.11%
- ---------------------------------------------------------------------------
1,200 Centex 28,950
- ---------------------------------------------------------------------------
BUILDING FOREST PRODUCTS - 0.06%
- ---------------------------------------------------------------------------
1,200 Kaufman & Broad Home 14,250
- ---------------------------------------------------------------------------
CHEMICALS - 0.33%
- ---------------------------------------------------------------------------
1,400 Du Pont (E.I.) De Nemours 84,700
- ---------------------------------------------------------------------------
COMPUTER SERVICES - 0.10%
- ---------------------------------------------------------------------------
400 Automatic Data Processing 25,200
- ---------------------------------------------------------------------------
COMPUTER SOFTWARE - 0.52%
- ---------------------------------------------------------------------------
400 Computer Associates International 23,750
- ---------------------------------------------------------------------------
1,300 Microsoft (a) 92,462
- ---------------------------------------------------------------------------
500 Oracle Systems (a) 15,625
- ---------------------------------------------------------------------------
131,837
- ---------------------------------------------------------------------------
CONTAINERS - 0.06%
- ---------------------------------------------------------------------------
400 Avery Dennison 15,950
- ---------------------------------------------------------------------------
COSMETICS - 0.32%
- ---------------------------------------------------------------------------
1,000 Gillette 81,625
- ---------------------------------------------------------------------------
DRUGS - 1.23%
- ---------------------------------------------------------------------------
200 Bristol Myers Squibb 12,600
- ---------------------------------------------------------------------------
2,500 Merck & Co. 106,562
- ---------------------------------------------------------------------------
1,000 Pfizer 85,750
- ---------------------------------------------------------------------------
500 Schering-Plough 37,188
- ---------------------------------------------------------------------------
500 Smithkline Beecham 18,750
- ---------------------------------------------------------------------------
700 Warner-Lambert 54,775
- ---------------------------------------------------------------------------
315,625
- ---------------------------------------------------------------------------
ELECTRICAL EQUIPMENT - 1.61%
- ---------------------------------------------------------------------------
600 Belden 13,200
- ---------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements on Pages 57 and 58
<PAGE> 6
ASSET MANAGEMENT PORTFOLIO II 34
-----------------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
- ---------------------------------------------------------------------------
March 31, 1995
SHARES DESCRIPTION VALUE
- ---------------------------------------------------------------------------
<S> <C> <C>
5,600 General Electric $ 303,100
- ---------------------------------------------------------------------------
800 Hewlett-Packard 96,300
- ---------------------------------------------------------------------------
412,600
- ---------------------------------------------------------------------------
ELECTRONICS - 0.59%
- ---------------------------------------------------------------------------
200 AMP 7,200
- ---------------------------------------------------------------------------
400 Intel 33,950
- ---------------------------------------------------------------------------
2,000 Motorola 109,250
- ---------------------------------------------------------------------------
150,400
- ---------------------------------------------------------------------------
FINANCIAL SERVICES - 0.42%
- ---------------------------------------------------------------------------
700 Capital One Financial (a) 13,387
- ---------------------------------------------------------------------------
300 Federal National Mortgage Assoc. 24,412
- ---------------------------------------------------------------------------
1,300 First Data 67,438
- ---------------------------------------------------------------------------
100 Fleet Financial Group 3,238
- ---------------------------------------------------------------------------
108,475
- ---------------------------------------------------------------------------
FOOD SERVICES & LODGINGS - 0.16%
- ---------------------------------------------------------------------------
1,200 McDonald's 40,950
- ---------------------------------------------------------------------------
FOODS - 0.48%
- ---------------------------------------------------------------------------
900 Campbell Soup 43,537
- ---------------------------------------------------------------------------
300 CPC International 16,238
- ---------------------------------------------------------------------------
1,400 Sara Lee 36,575
- ---------------------------------------------------------------------------
200 Unilever N.V., ADR 26,250
- ---------------------------------------------------------------------------
122,600
- ---------------------------------------------------------------------------
HEALTH CARE DIVERSIFIED - 0.27%
- ---------------------------------------------------------------------------
1,100 Abbott Laboratories 39,187
- ---------------------------------------------------------------------------
700 Columbia/HCA Healthcare 30,100
- ---------------------------------------------------------------------------
69,287
- ---------------------------------------------------------------------------
HOSPITAL SUPPLIES & SERVICES - 0.77%
- ---------------------------------------------------------------------------
500 Allergan 14,750
- ---------------------------------------------------------------------------
500 Becton, Dickinson & Co 27,125
- ---------------------------------------------------------------------------
900 Biomet (a) 15,187
- ---------------------------------------------------------------------------
1,700 Johnson & Johnson 101,150
- ---------------------------------------------------------------------------
600 Sun Healthcare Group (a) 15,300
- ---------------------------------------------------------------------------
500 United Healthcare 23,375
- ---------------------------------------------------------------------------
196,887
- ---------------------------------------------------------------------------
INSURANCE - 0.48%
- ---------------------------------------------------------------------------
800 American International Group 83,400
- ---------------------------------------------------------------------------
300 General Re 39,600
- ---------------------------------------------------------------------------
123,000
- ---------------------------------------------------------------------------
LEISURE RELATED - 0.60%
- ---------------------------------------------------------------------------
2,200 Disney (Walt) 117,425
- ---------------------------------------------------------------------------
1,700 Outboard Marine 35,700
- ---------------------------------------------------------------------------
153,125
- ---------------------------------------------------------------------------
MACHINERY - AGRICULTURE - 0.32%
- ---------------------------------------------------------------------------
1,000 Deere & Co. 81,250
- ---------------------------------------------------------------------------
MACHINERY - OTHER - 0.55%
- ---------------------------------------------------------------------------
2,500 Textron 141,562
- ---------------------------------------------------------------------------
METALS - 0.06%
- ---------------------------------------------------------------------------
600 Alcan Aluminum Ltd. 15,975
- ---------------------------------------------------------------------------
OFFICE EQUIPMENT - 0.54%
- ---------------------------------------------------------------------------
900 Cray Research (a) 16,538
- ---------------------------------------------------------------------------
1,000 International Business Machines 81,875
- ---------------------------------------------------------------------------
1,700 Unisys (a) 15,725
- ---------------------------------------------------------------------------
200 Xerox 23,475
- ---------------------------------------------------------------------------
137,613
- ---------------------------------------------------------------------------
OIL DOMESTIC - 0.49%
- ---------------------------------------------------------------------------
700 Enron Oil & Gas 17,237
- ---------------------------------------------------------------------------
2,300 Tenneco 108,388
- ---------------------------------------------------------------------------
125,625
- ---------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements on Pages 57 and 58
<PAGE> 7
ASSET MANAGEMENT PORTFOLIO II 35
-----------------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
- ---------------------------------------------------------------------------
March 31, 1995
SHARES DESCRIPTION VALUE
- ---------------------------------------------------------------------------
<S> <C> <C>
OIL INTERNATIONAL - 1.27%
- ---------------------------------------------------------------------------
1,300 Exxon $ 86,775
- ---------------------------------------------------------------------------
900 Mobil 83,363
- ---------------------------------------------------------------------------
1,300 Royal Dutch Petroleum 156,000
- ---------------------------------------------------------------------------
326,138
- ---------------------------------------------------------------------------
OIL SUPPLIES & CONSTRUCTION - 0.19%
- ---------------------------------------------------------------------------
800 Schlumberger Ltd. 47,700
- ---------------------------------------------------------------------------
PAPER - 0.27%
- ---------------------------------------------------------------------------
200 International Paper 15,025
- ---------------------------------------------------------------------------
600 Scott Paper 53,625
- ---------------------------------------------------------------------------
68,650
- ---------------------------------------------------------------------------
PETROLEUM RELATED - 0.63%
- ---------------------------------------------------------------------------
500 Amoco 31,812
- ---------------------------------------------------------------------------
2,300 Ashland Oil 81,938
- ---------------------------------------------------------------------------
400 Atlantic Richfield 46,000
- ---------------------------------------------------------------------------
159,750
- ---------------------------------------------------------------------------
PHARMACEUTICALS - 0.06%
- ---------------------------------------------------------------------------
600 Marion Merrell Dow 14,850
- ---------------------------------------------------------------------------
PHOTOGRAPHY & OPTICAL - 0.10%
- ---------------------------------------------------------------------------
500 Eastman Kodak 26,563
- ---------------------------------------------------------------------------
PRINTING & PUBLISHING - 0.24%
- ---------------------------------------------------------------------------
300 Gannett 16,013
- ---------------------------------------------------------------------------
1,200 Time Warner 45,300
- ---------------------------------------------------------------------------
61,313
- ---------------------------------------------------------------------------
REAL ESTATE - 0.11%
- ---------------------------------------------------------------------------
1,200 Pulte 28,200
- ---------------------------------------------------------------------------
RETAIL - 1.26%
- ---------------------------------------------------------------------------
1,600 Dayton Hudson 114,400
- ---------------------------------------------------------------------------
3,300 Fleming 74,663
- ---------------------------------------------------------------------------
800 May Department Stores 29,600
- ---------------------------------------------------------------------------
500 Pep Boys-Manny Moe & Jack 15,500
- ---------------------------------------------------------------------------
3,500 Wal-Mart Stores 89,250
- ---------------------------------------------------------------------------
323,413
- ---------------------------------------------------------------------------
RETAIL - FOOD - 0.05%
- ---------------------------------------------------------------------------
400 Safeway (a) 13,900
- ---------------------------------------------------------------------------
SOAPS & TOILETRIES - 0.52%
- ---------------------------------------------------------------------------
200 Colgate-Palmolive 13,200
- ---------------------------------------------------------------------------
1,800 Procter & Gamble 119,250
- ---------------------------------------------------------------------------
132,450
- ---------------------------------------------------------------------------
TELECOMMUNICATIONS - 0.88%
- ---------------------------------------------------------------------------
450 Andrew (a) 18,338
- ---------------------------------------------------------------------------
2,400 AT&T 124,200
- ---------------------------------------------------------------------------
400 Capital Cities/ABC 35,300
- ---------------------------------------------------------------------------
1,000 Telecommunications, Cl A (a) 21,000
- ---------------------------------------------------------------------------
600 Viacom, Cl B (a) 26,850
- ---------------------------------------------------------------------------
225,688
- ---------------------------------------------------------------------------
TIRE & RUBBER - 0.27%
- ---------------------------------------------------------------------------
1,900 Goodyear Tire & Rubber 69,825
- ---------------------------------------------------------------------------
TOBACCO - 0.84%
- ---------------------------------------------------------------------------
4,000 American Brands 157,000
- ---------------------------------------------------------------------------
700 Philip Morris 45,675
- ---------------------------------------------------------------------------
400 UST 12,700
- ---------------------------------------------------------------------------
215,375
- ---------------------------------------------------------------------------
TRUCKING - SHIPPING - 0.41%
- ---------------------------------------------------------------------------
1,200 Consolidated Freightways 31,950
- ---------------------------------------------------------------------------
3,000 Ryder System 72,000
- ---------------------------------------------------------------------------
103,950
- ---------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements on Pages 57 and 58
<PAGE> 8
ASSET MANAGEMENT PORTFOLIO II 36
-----------------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
- ---------------------------------------------------------------------------
March 31, 1995
SHARES DESCRIPTION VALUE
- ---------------------------------------------------------------------------
<S> <C>
UTILITY - ELECTRIC - 2.42%
- ---------------------------------------------------------------------------
3,600 Central & Southwest $ 87,300
- ---------------------------------------------------------------------------
4,100 Detroit Edison 112,237
- ---------------------------------------------------------------------------
3,700 Houston Industries 141,062
- ---------------------------------------------------------------------------
3,500 Pacific Gas & Electric 87,063
- ---------------------------------------------------------------------------
5,800 Peco Energy 145,725
- ---------------------------------------------------------------------------
2,900 SCE 45,313
- ---------------------------------------------------------------------------
618,700
- ---------------------------------------------------------------------------
UTILITY - GAS, NATURAL GAS - 0.62%
- ---------------------------------------------------------------------------
3,000 ONEOK 56,625
- ---------------------------------------------------------------------------
2,200 Panhandle Eastern 50,600
- ---------------------------------------------------------------------------
2,100 People's Energy 52,500
- ---------------------------------------------------------------------------
159,725
- ---------------------------------------------------------------------------
UTILITY - TELEPHONE - 0.75%
- ---------------------------------------------------------------------------
3,400 Bell Atlantic 179,350
- ---------------------------------------------------------------------------
300 Telephone & Data System 11,850
- ---------------------------------------------------------------------------
191,200
- ---------------------------------------------------------------------------
TOTAL COMMON STOCKS
(Cost $6,070,318) $ 6,227,338
- ---------------------------------------------------------------------------
PREFERRED STOCK
NON-CONVERTIBLE - 0.00%
- ---------------------------------------------------------------------------
DIVERSIFIED - 0.00%
- ---------------------------------------------------------------------------
19 Teledyne (Cost $275) $ 283
- ---------------------------------------------------------------------------
<CAPTION>
PRINCIPAL
AMOUNT CORPORATE DEBENTURES - 6.02%
- ---------------------------------------------------------------------------
<S> <C> <C>
BANKS - 1.13%
- ---------------------------------------------------------------------------
Citicorp:
- ---------------------------------------------------------------------------
$ 45,000 9.50%, 2/1/02 $ 48,902
- ---------------------------------------------------------------------------
15,000 8.625%, 12/1/02 15,495
- ---------------------------------------------------------------------------
50,000 Fleet/Norstar Group, 7.65%, 3/1/97 50,161
- ---------------------------------------------------------------------------
70,000 International Bank Reconstruction
& Development, 9.75%, 1/23/16 82,075
- ---------------------------------------------------------------------------
100,000 Westdeutsche LB - NY,
6.75%, 6/15/05 93,428
- ---------------------------------------------------------------------------
290,061
- ---------------------------------------------------------------------------
FINANCIAL SERVICES - 1.90%
- ---------------------------------------------------------------------------
120,000 Ford Motor Credit, 5.625%, 3/3/97 116,602
- ---------------------------------------------------------------------------
General Motors Acceptance:
- ---------------------------------------------------------------------------
14,638 5.55%, 5/15/97 14,582
- ---------------------------------------------------------------------------
85,000 8.625%, 1/18/01 87,933
- ---------------------------------------------------------------------------
50,000 Goldman Sachs, 6.625%, 2/23/98 (b)(f) 49,968
- ---------------------------------------------------------------------------
55,000 KFW International Finance,
8.20%, 6/1/06 57,111
- ---------------------------------------------------------------------------
90,000 Pacific Mutual Life, 7.90%, 12/30/23 (f) 80,475
- ---------------------------------------------------------------------------
80,000 Toyota Motor Credit, 8.25%, 8/28/95 80,476
- ---------------------------------------------------------------------------
487,147
- ---------------------------------------------------------------------------
HEALTH CARE DIVERSIFIED - 0.39%
- ---------------------------------------------------------------------------
Columbia/HCA Healthcare:
- ---------------------------------------------------------------------------
45,000 8.85%, 1/1/07 47,064
- ---------------------------------------------------------------------------
50,000 8.70%, 2/10/10 51,594
- ---------------------------------------------------------------------------
98,658
- ---------------------------------------------------------------------------
INSURANCE - 0.32%
- ---------------------------------------------------------------------------
95,000 New York Life, 7.50%, 12/15/23 (f) 82,332
- ---------------------------------------------------------------------------
OIL INTERNATIONAL - 0.65%
- ---------------------------------------------------------------------------
75,000 BHP Finance USA, 7.875%, 12/1/02 74,924
- ---------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements on Pages 57 and 58
<PAGE> 9
ASSET MANAGEMENT PORTFOLIO II 37
-----------------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
- ---------------------------------------------------------------------------
March 31, 1995
PRINCIPAL
AMOUNT DESCRIPTION VALUE
- ---------------------------------------------------------------------------
<S> <C>
$ 90,000 Occidental Petroleum,
8.50%, 9/15/04 $ 90,902
- ---------------------------------------------------------------------------
165,826
- ---------------------------------------------------------------------------
PAPER - 0.16%
- ---------------------------------------------------------------------------
40,000 Westvaco, 8.30%, 8/1/22 39,435
- ---------------------------------------------------------------------------
PHARMACEUTICALS - 0.35%
- ---------------------------------------------------------------------------
100,000 Schering-Plough, 0.00%, 12/2/96 (c) 89,066
- ---------------------------------------------------------------------------
RETAIL - 0.25%
- ---------------------------------------------------------------------------
65,000 May Department Stores, 8.375%, 8/1/24 64,431
- ---------------------------------------------------------------------------
UTILITY - ELECTRIC - 0.56%
- ---------------------------------------------------------------------------
45,000 Idaho Power, 8.00%, 3/15/04 45,341
- ---------------------------------------------------------------------------
60,000 Potomac Edison, 8.00%, 6/1/24 57,888
- ---------------------------------------------------------------------------
40,000 Virginia Electric & Power,
8.625%, 10/1/24 41,237
- ---------------------------------------------------------------------------
144,466
- ---------------------------------------------------------------------------
UTILITY - NATURAL GAS - 0.31%
- ---------------------------------------------------------------------------
75,000 KN Energy, 9.625%, 8/1/21 80,243
- ---------------------------------------------------------------------------
TOTAL CORPORATE DEBENTURES
(Cost $1,547,927) $ 1,541,665
- ---------------------------------------------------------------------------
ASSET-BACKED SECURITIES - 15.47%
- ---------------------------------------------------------------------------
CORPORATE - 0.36%
- ---------------------------------------------------------------------------
Standard Credit Card:
- ---------------------------------------------------------------------------
$ 35,000 8.25%, 11/7/03 $ 36,150
- ---------------------------------------------------------------------------
60,000 7.25%, 4/7/06 57,663
- ---------------------------------------------------------------------------
93,813
- ---------------------------------------------------------------------------
U.S. GOVERNMENT & AGENCIES - 15.11%
- ---------------------------------------------------------------------------
FHLMC: (e)
- ---------------------------------------------------------------------------
78,065 7.50%, 12/1/08 77,586
- ---------------------------------------------------------------------------
545,404 9.50%, 8/1/25 569,266
- ---------------------------------------------------------------------------
FNMA: (e)
- ---------------------------------------------------------------------------
348,671 6.00%, 1/1/01 331,889
- ---------------------------------------------------------------------------
140,000 8.625%, 11/10/04 144,878
- ---------------------------------------------------------------------------
259,211 8.00%, 4/1/10 260,909
- ---------------------------------------------------------------------------
710,000 8.00%, 9/1/21 703,126
- ---------------------------------------------------------------------------
GNMA: (e)
- ---------------------------------------------------------------------------
1,178,778 6.50%, 9/15/23 1,065,327
- ---------------------------------------------------------------------------
696,268 9.00%, 8/20/24 715,144
- ---------------------------------------------------------------------------
3,868,125
- ---------------------------------------------------------------------------
TOTAL ASSET-BACKED SECURITIES
(Cost $4,115,060) $ 3,961,938
- ---------------------------------------------------------------------------
GOVERNMENTS FOREIGN - 0.86%
- ---------------------------------------------------------------------------
CANADA - 0.59%
- ---------------------------------------------------------------------------
$ 125,000 Manitoba, 6.125%, 1/19/04 $ 112,202
- ---------------------------------------------------------------------------
45,000 Quebec Province, 7.125%, 2/9/24 37,995
- ---------------------------------------------------------------------------
150,197
- ---------------------------------------------------------------------------
NEW ZEALAND - 0.27%
- ---------------------------------------------------------------------------
65,000 New Zealand Government,
8.75%, 12/15/06 69,667
- ---------------------------------------------------------------------------
TOTAL GOVERNMENTS FOREIGN
(Cost $228,995) $ 219,864
- ---------------------------------------------------------------------------
LONG-TERM U.S. TREASURY
SECURITIES - 13.28%
- ---------------------------------------------------------------------------
U.S. TREASURY BONDS - 3.26%
- ---------------------------------------------------------------------------
$ 732,000 8.125%, 8/15/19 $ 776,148
- ---------------------------------------------------------------------------
60,000 7.25%, 8/15/22 58,219
- ---------------------------------------------------------------------------
834,367
- ---------------------------------------------------------------------------
U.S. TREASURY NOTES - 10.02%
- ---------------------------------------------------------------------------
200,000 6.00%, 6/30/96 198,532
- ---------------------------------------------------------------------------
1,275,000 5.125%, 11/30/98 1,198,704
- ---------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements on Pages 57 and 58
<PAGE> 10
ASSET MANAGEMENT PORTFOLIO II 38
-----------------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
- ---------------------------------------------------------------------------
March 31, 1995
PRINCIPAL
AMOUNT DESCRIPTION VALUE
- ---------------------------------------------------------------------------
<S> <C>
$ 750,000 8.50%, 11/15/00 $ 798,046
- ---------------------------------------------------------------------------
371,000 7.25%, 8/15/04 371,348
- ---------------------------------------------------------------------------
2,566,630
- ---------------------------------------------------------------------------
TOTAL LONG-TERM U.S. TREASURY SECURITIES
(Cost $3,441,323) $ 3,400,997
- ---------------------------------------------------------------------------
SHORT-TERM INVESTMENTS - 45.66%
- ---------------------------------------------------------------------------
U.S. TREASURY BILLS - 28.18%
- ---------------------------------------------------------------------------
$5,000,000 5.62%, 4/13/95 $ 4,990,583
- ---------------------------------------------------------------------------
110,000 5.69%, 6/1/95 (d) 108,978
- ---------------------------------------------------------------------------
2,175,000 5.83%, 9/21/95 2,114,459
- ---------------------------------------------------------------------------
7,214,020
- ---------------------------------------------------------------------------
REPURCHASE AGREEMENT - 17.48%
- ---------------------------------------------------------------------------
4,475,892 Repurchase Agreement with Sanwa
Bank, Dated 3/31/95, 5.90%,
Principal and Interest in the
Amount of $4,476,626, Due 4/3/95,
(Collateralized by U.S. Treasury
Bonds, Par Value of $4,369,000,
8.00%, Due 8/15/99, Value of
$4,567,129) 4,475,892
- ---------------------------------------------------------------------------
TOTAL SHORT-TERM INVESTMENTS
(Cost $11,689,468) $11,689,912
- ---------------------------------------------------------------------------
TOTAL INVESTMENTS
(Cost $27,093,366) 105.61% $27,041,997
- ---------------------------------------------------------------------------
Liabilities in Excess of Other Assets (5.61%) (1,437,607)
- ---------------------------------------------------------------------------
NET ASSETS 100.00% $25,604,390
- ---------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF NET UNREALIZED
FUTURES CONTRACTS APPRECIATION
- ------------------------------------------------------------------------------
<S> <C> <C>
FUTURES CONTRACTS
- ------------------------------------------------------------------------------
7 S&P 500 June 1995 Long Futures
(Market Value $1,765,400) $ 121,350
- ------------------------------------------------------------------------------
8 U.S. Treasury June 1995 Long Futures
(Market Value $831,250) 11,531
- ------------------------------------------------------------------------------
$ 132,881
- ------------------------------------------------------------------------------
</TABLE>
(a) Non-Income Producing
(b) Quarterly Floating Rate Note
(c) Purchased at Deep Discount
(d) Held as Collateral for Futures Contracts
(e) The following abbreviations are used in the portfolio descriptions:
FHLMC - Federal Home Loan Mortgage Corporation
FNMA - Federal National Mortgage Association
GNMA - Government National Mortgage Association
(f) Securities exempt from registration under Rule 144A of the Securities Act
of 1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers. At the period
end, the value of these securities amounted to $212,775 or 0.83% of net
assets.
See Notes to Financial Statements on Pages 57 and 58
<PAGE> 11
ASSET MANAGEMENT PORTFOLIO III 43
-----------------------------------------------------
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
- ------------------------------------------------------------------------------------------------------
March 31, 1995
- ------------------------------------------------------------------------------------------------------
<S> <C>
ASSETS
- ------------------------------------------------------------------------------------------------------
Investments, at Value (Cost $26,709,353, including Repurchase Agreement
amounting to $444,555) $26,577,067
- ------------------------------------------------------------------------------------------------------
Cash 1,332
- ------------------------------------------------------------------------------------------------------
Dividends and Interest Receivable 175,292
- ------------------------------------------------------------------------------------------------------
Variation Margin Receivable 7,688
- ------------------------------------------------------------------------------------------------------
Prepaid Expenses 1,522
- ------------------------------------------------------------------------------------------------------
Deferred Organizational Expenses 12,778
- ------------------------------------------------------------------------------------------------------
Due from Bankers Trust 3,966
- ------------------------------------------------------------------------------------------------------
Total Assets 26,779,645
- ------------------------------------------------------------------------------------------------------
LIABILITIES
- ------------------------------------------------------------------------------------------------------
Payable for Securities Purchased 5,540,037
- ------------------------------------------------------------------------------------------------------
Accrued Expenses and Accounts Payable 38,008
- ------------------------------------------------------------------------------------------------------
Total Liabilities 5,578,045
- ------------------------------------------------------------------------------------------------------
NET ASSETS $21,201,600
- ------------------------------------------------------------------------------------------------------
COMPOSITION OF NET ASSETS
- ------------------------------------------------------------------------------------------------------
Paid-in Capital $21,363,199
- ------------------------------------------------------------------------------------------------------
Net Unrealized (Depreciation) on Securities (132,286)
- ------------------------------------------------------------------------------------------------------
Net Unrealized (Depreciation) on Futures Contracts (29,313)
- ------------------------------------------------------------------------------------------------------
NET ASSETS, MARCH 31, 1995 $21,201,600
- ------------------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements on Pages 57 and 58
<PAGE> 12
ASSET MANAGEMENT PORTFOLIO III 44
-----------------------------------------------------
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
- ------------------------------------------------------------------------------------------------------
For the year ended March 31, 1995
- ------------------------------------------------------------------------------------------------------
<S> <C> <C>
INVESTMENT INCOME
- ------------------------------------------------------------------------------------------------------
Dividends $ 87,156
- ------------------------------------------------------------------------------------------------------
Interest 1,058,033
- ------------------------------------------------------------------------------------------------------
Total Investment Income $1,145,189
- ------------------------------------------------------------------------------------------------------
EXPENSES
- ------------------------------------------------------------------------------------------------------
Advisory Fee 136,199
- ------------------------------------------------------------------------------------------------------
Administration and Services Fee 20,954
- ------------------------------------------------------------------------------------------------------
Professional Fees 22,031
- ------------------------------------------------------------------------------------------------------
Trustees Fees 1,178
- ------------------------------------------------------------------------------------------------------
Insurance 2,977
- ------------------------------------------------------------------------------------------------------
Amortization of Organizational Expenses 3,589
- ------------------------------------------------------------------------------------------------------
Miscellaneous 811
- ------------------------------------------------------------------------------------------------------
Total Expenses 187,739
- ------------------------------------------------------------------------------------------------------
Less: Expenses Absorbed by Bankers Trust (62,017) 125,722
- ------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 1,019,467
- ------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON SECURITIES
- ------------------------------------------------------------------------------------------------------
Net Realized (Loss) from Securities Transactions (514,098)
- ------------------------------------------------------------------------------------------------------
Net Realized (Loss) from Futures Transactions (269,055)
- ------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Securities 619,249
- ------------------------------------------------------------------------------------------------------
Net Unrealized (Depreciation) on Futures Contracts (113,276)
- ------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED (LOSS) ON SECURITIES (277,180)
- ------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $ 742,287
- ------------------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements on Pages 57 and 58
<PAGE> 13
ASSET MANAGEMENT PORTFOLIO III 45
-----------------------------------------------------
<TABLE>
<CAPTION>
STATEMENT OF CHANGES IN NET ASSETS
- ------------------------------------------------------------------------------------------------------
For the period
October 15, 1993
For the (Commencement
year ended of Operations) to
March 31, 1995 March 31, 1994
- ------------------------------------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
- ------------------------------------------------------------------------------------------------------
FROM OPERATIONS
- ------------------------------------------------------------------------------------------------------
Net Investment Income $ 1,019,467 $ 242,801
- ------------------------------------------------------------------------------------------------------
Net Realized (Loss) from Securities and Futures Transactions (783,153) (104,394)
- ------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation (Depreciation) on Securities
and Futures Contracts 505,973 (667,572)
- ------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets from Operations 742,287 (529,165)
- ------------------------------------------------------------------------------------------------------
FROM CAPITAL TRANSACTIONS
- ------------------------------------------------------------------------------------------------------
Proceeds from Capital Invested 5,531,582 18,138,737
- ------------------------------------------------------------------------------------------------------
Value of Capital Withdrawn (2,658,595) (23,246)
- ------------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Capital Transactions 2,872,987 18,115,491
- ------------------------------------------------------------------------------------------------------
TOTAL INCREASE IN NET ASSETS 3,615,274 17,586,326
- ------------------------------------------------------------------------------------------------------
NET ASSETS
- ------------------------------------------------------------------------------------------------------
Beginning of Period 17,586,326 -
- ------------------------------------------------------------------------------------------------------
End of Period $21,201,600 $17,586,326
- ------------------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements on Pages 57 and 58
<PAGE> 14
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
October 15, 1993
For the (Commencement
year ended of Operations) to
March 31, 1995 March 31, 1994
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
RATIOS AND SUPPLEMENTAL DATA
Ratio of Net Investment Income to Average Net Assets 4.87% 3.51%*
Ratio of Expenses to Average Net Assets 0.60% 0.60%*
Decrease Reflected in Above Ratio of Expenses to Average Net Assets
Due to Absorption of Expenses by Bankers Trust 0.30% 0.49%*
Portfolio Turnover Rate 111% 84.30%
Net Assets, End of Period (000's omitted) $21,202 $17,586
</TABLE>
* Annualized
See Notes to Financial Statements on Pages 57 and 58
<PAGE> 15
ASSET MANAGEMENT PORTFOLIO III 47
-----------------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
- ------------------------------------------------------------------------------------------
March 31, 1995
SHARES DESCRIPTION VALUE
- ------------------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS - 15.45%
- ------------------------------------------------------------------------------------------
AEROSPACE - 0.10%
- ------------------------------------------------------------------------------------------
300 Raytheon $ 21,862
- ------------------------------------------------------------------------------------------
AIRLINES - 0.21%
- ------------------------------------------------------------------------------------------
200 AMR (a) 12,950
- ------------------------------------------------------------------------------------------
500 Delta Air Lines 31,375
- ------------------------------------------------------------------------------------------
44,325
- ------------------------------------------------------------------------------------------
AUTO RELATED - 1.07%
- ------------------------------------------------------------------------------------------
500 Chrysler 20,937
- ------------------------------------------------------------------------------------------
1,100 Dana 28,050
- ------------------------------------------------------------------------------------------
2,700 Ford Motor 72,900
- ------------------------------------------------------------------------------------------
1,400 General Motors 61,950
- ------------------------------------------------------------------------------------------
200 General Motors, Cl E 7,775
- ------------------------------------------------------------------------------------------
500 PACCAR 21,250
- ------------------------------------------------------------------------------------------
900 SPX 13,050
- ------------------------------------------------------------------------------------------
225,912
- ------------------------------------------------------------------------------------------
AVIATION SERVICES - 0.19%
- ------------------------------------------------------------------------------------------
2,000 Ogden 40,250
- ------------------------------------------------------------------------------------------
BANKS - 0.22%
- ------------------------------------------------------------------------------------------
200 Bank America 9,650
- ------------------------------------------------------------------------------------------
200 Citicorp 8,500
- ------------------------------------------------------------------------------------------
100 First Interstate Bancorp 7,900
- ------------------------------------------------------------------------------------------
200 National Bancorp of Alaska 10,100
- ------------------------------------------------------------------------------------------
200 Suntrust Banks 10,700
- ------------------------------------------------------------------------------------------
46,850
- ------------------------------------------------------------------------------------------
BEVERAGES - 0.36%
- ------------------------------------------------------------------------------------------
800 Coca Cola 45,200
- ------------------------------------------------------------------------------------------
800 Pepsico 31,200
- ------------------------------------------------------------------------------------------
76,400
- ------------------------------------------------------------------------------------------
BROADCASTING - 0.03%
- ------------------------------------------------------------------------------------------
100 Clear Channel
Communications (a) 5,950
- ------------------------------------------------------------------------------------------
BUILDING & CONSTRUCTION - 0.08%
- ------------------------------------------------------------------------------------------
700 Centex 16,887
- ------------------------------------------------------------------------------------------
BUILDING FOREST PRODUCTS - 0.04%
- ------------------------------------------------------------------------------------------
700 Kaufman & Broad Home 8,312
- ------------------------------------------------------------------------------------------
CHEMICALS - 0.20%
- ------------------------------------------------------------------------------------------
700 Du Pont (E.I.) De Nemours 42,350
- ------------------------------------------------------------------------------------------
COMPUTER SERVICES - 0.06%
- ------------------------------------------------------------------------------------------
200 Automatic Data Processing 12,600
- ------------------------------------------------------------------------------------------
Computer Software - 0.33%
- ------------------------------------------------------------------------------------------
200 Computer Associates International 11,875
- ------------------------------------------------------------------------------------------
700 Microsoft (a) 49,788
- ------------------------------------------------------------------------------------------
300 Oracle Systems (a) 9,375
- ------------------------------------------------------------------------------------------
71,038
- ------------------------------------------------------------------------------------------
CONTAINERS - 0.04%
- ------------------------------------------------------------------------------------------
200 Avery Dennison 7,975
- ------------------------------------------------------------------------------------------
Cosmetics - 0.23%
- ------------------------------------------------------------------------------------------
600 Gillette 48,975
- ------------------------------------------------------------------------------------------
DRUGS - 0.80%
- ------------------------------------------------------------------------------------------
100 Bristol Myers Squibb 6,300
- ------------------------------------------------------------------------------------------
1,300 Merck & Co. 55,412
- ------------------------------------------------------------------------------------------
500 Pfizer 42,875
- ------------------------------------------------------------------------------------------
300 Schering-Plough 22,313
- ------------------------------------------------------------------------------------------
300 Smithkline Beecham 11,250
- ------------------------------------------------------------------------------------------
400 Warner-Lambert 31,300
- ------------------------------------------------------------------------------------------
169,450
- ------------------------------------------------------------------------------------------
ELECTRICAL EQUIPMENT - 1.05%
- ------------------------------------------------------------------------------------------
300 Belden 6,600
- ------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements on Pages 57 and 58
<PAGE> 16
ASSET MANAGEMENT PORTFOLIO III 48
-----------------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
- ------------------------------------------------------------------------------------------
March 31, 1995
SHARES DESCRIPTION VALUE
- ------------------------------------------------------------------------------------------
<S> <C> <C>
3,100 General Electric $ 167,788
- ------------------------------------------------------------------------------------------
400 Hewlett-Packard 48,150
- ------------------------------------------------------------------------------------------
222,538
- ------------------------------------------------------------------------------------------
ELECTRONICS - 0.38%
- ------------------------------------------------------------------------------------------
100 AMP 3,600
- ------------------------------------------------------------------------------------------
200 Intel 16,975
- ------------------------------------------------------------------------------------------
1,100 Motorola 60,088
- ------------------------------------------------------------------------------------------
80,663
- ------------------------------------------------------------------------------------------
FINANCIAL SERVICES - 0.26%
- ------------------------------------------------------------------------------------------
400 Capital One Financial (a) 7,650
- ------------------------------------------------------------------------------------------
100 Federal National Mortgage Assoc. 8,137
- ------------------------------------------------------------------------------------------
700 First Data 36,312
- ------------------------------------------------------------------------------------------
100 Fleet Financial Group 3,238
- ------------------------------------------------------------------------------------------
55,337
- ------------------------------------------------------------------------------------------
FOOD SERVICES & LODGING - 0.10%
- ------------------------------------------------------------------------------------------
600 McDonald's 20,475
- ------------------------------------------------------------------------------------------
FOODS - 0.32%
- ------------------------------------------------------------------------------------------
500 Campbell Soup 24,188
- ------------------------------------------------------------------------------------------
200 CPC International 10,825
- ------------------------------------------------------------------------------------------
800 Sara Lee 20,900
- ------------------------------------------------------------------------------------------
100 Unilever N.V., ADR 13,125
- ------------------------------------------------------------------------------------------
69,038
- ------------------------------------------------------------------------------------------
HEALTH CARE DIVERSIFIED - 0.18%
- ------------------------------------------------------------------------------------------
600 Abbott Laboratories 21,375
- ------------------------------------------------------------------------------------------
400 Columbia/HCA Health Care 17,200
- ------------------------------------------------------------------------------------------
38,575
- ------------------------------------------------------------------------------------------
HOSPITAL SUPPLIES & SERVICES - 0.49%
- ------------------------------------------------------------------------------------------
300 Allergan 8,850
- ------------------------------------------------------------------------------------------
200 Becton, Dickinson & Co 10,850
- ------------------------------------------------------------------------------------------
500 Biomet (a) 8,438
- ------------------------------------------------------------------------------------------
900 Johnson & Johnson 53,550
- ------------------------------------------------------------------------------------------
300 Sun Healthcare Group (a) 7,650
- ------------------------------------------------------------------------------------------
300 United Healthcare 14,025
- ------------------------------------------------------------------------------------------
103,363
- ------------------------------------------------------------------------------------------
INSURANCE - 0.37%
- ------------------------------------------------------------------------------------------
500 American International Group 52,125
- ------------------------------------------------------------------------------------------
200 General RE 26,400
- ------------------------------------------------------------------------------------------
78,525
- ------------------------------------------------------------------------------------------
LEISURE RELATED - 0.39%
- ------------------------------------------------------------------------------------------
1,200 Disney (Walt) 64,050
- ------------------------------------------------------------------------------------------
900 Outboard Marine 18,900
- ------------------------------------------------------------------------------------------
82,950
- ------------------------------------------------------------------------------------------
MACHINERY - AGRICULTURE - 0.23%
- ------------------------------------------------------------------------------------------
600 Deere & Co. 48,750
- ------------------------------------------------------------------------------------------
MACHINERY - OTHER - 0.37%
- ------------------------------------------------------------------------------------------
1,400 Textron 79,275
- ------------------------------------------------------------------------------------------
METALS - 0.04%
- ------------------------------------------------------------------------------------------
300 Alcan Aluminium Ltd. 7,987
- ------------------------------------------------------------------------------------------
OFFICE EQUIPMENT - 0.37%
- ------------------------------------------------------------------------------------------
500 Cray Research (a) 9,187
- ------------------------------------------------------------------------------------------
600 International Business Machines 49,125
- ------------------------------------------------------------------------------------------
900 Unisys (a) 8,325
- ------------------------------------------------------------------------------------------
100 Xerox 11,738
- ------------------------------------------------------------------------------------------
78,375
- ------------------------------------------------------------------------------------------
OIL DOMESTIC - 0.31%
- ------------------------------------------------------------------------------------------
400 Enron Oil & Gas 9,850
- ------------------------------------------------------------------------------------------
1,200 Tenneco 56,550
- ------------------------------------------------------------------------------------------
66,400
- ------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements on Pages 57 and 58
<PAGE> 17
ASSET MANAGEMENT PORTFOLIO III 49
-----------------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
- ------------------------------------------------------------------------------------------
March 31, 1995
SHARES DESCRIPTION VALUE
- ------------------------------------------------------------------------------------------
<S> <C> <C>
OIL INTERNATIONAL - 0.84%
- ------------------------------------------------------------------------------------------
700 Exxon $ 46,725
- ------------------------------------------------------------------------------------------
500 Mobil 46,313
- ------------------------------------------------------------------------------------------
700 Royal Dutch Petroleum 84,000
- ------------------------------------------------------------------------------------------
177,038
- ------------------------------------------------------------------------------------------
OIL SUPPLIES & CONSTRUCTION - 0.11%
- ------------------------------------------------------------------------------------------
400 Schlumberger Ltd. 23,850
- ------------------------------------------------------------------------------------------
PAPER - 0.16%
- ------------------------------------------------------------------------------------------
100 International Paper 7,512
- ------------------------------------------------------------------------------------------
300 Scott Paper 26,813
- ------------------------------------------------------------------------------------------
34,325
- ------------------------------------------------------------------------------------------
PETROLEUM RELATED - 0.37%
- ------------------------------------------------------------------------------------------
200 Amoco 12,725
- ------------------------------------------------------------------------------------------
1,200 Ashland Oil 42,750
- ------------------------------------------------------------------------------------------
200 Atlantic Richfield 23,000
- ------------------------------------------------------------------------------------------
78,475
- ------------------------------------------------------------------------------------------
PHARMACEUTICALS - 0.04%
- ------------------------------------------------------------------------------------------
300 Marion Merrell Dow 7,425
- ------------------------------------------------------------------------------------------
PHOTOGRAPHY & OPTICAL - 0.08%
- ------------------------------------------------------------------------------------------
300 Eastman Kodak 15,937
- ------------------------------------------------------------------------------------------
PRINTING & PUBLISHING - 0.16%
- ------------------------------------------------------------------------------------------
200 Gannett 10,675
- ------------------------------------------------------------------------------------------
600 Time Warner 22,650
- ------------------------------------------------------------------------------------------
33,325
- ------------------------------------------------------------------------------------------
REAL ESTATE - 0.08%
- ------------------------------------------------------------------------------------------
700 Pulte 16,450
- ------------------------------------------------------------------------------------------
RETAIL - 0.82%
- ------------------------------------------------------------------------------------------
900 Dayton Hudson 64,350
- ------------------------------------------------------------------------------------------
1,800 Fleming 40,725
- ------------------------------------------------------------------------------------------
300 May Department Stores 11,100
- ------------------------------------------------------------------------------------------
300 Pep Boys-Manny Moe & Jack 9,300
- ------------------------------------------------------------------------------------------
1,900 Wal-Mart Stores 48,450
- ------------------------------------------------------------------------------------------
173,925
- ------------------------------------------------------------------------------------------
RETAIL - FOOD - 0.03%
- ------------------------------------------------------------------------------------------
200 Safeway (a) 6,950
- ------------------------------------------------------------------------------------------
SOAPS & TOILETRIES - 0.34%
- ------------------------------------------------------------------------------------------
100 Colgate-Palmolive 6,600
- ------------------------------------------------------------------------------------------
1,000 Procter & Gamble 66,250
- ------------------------------------------------------------------------------------------
72,850
- ------------------------------------------------------------------------------------------
TELECOMMUNICATIONS - 0.54%
- ------------------------------------------------------------------------------------------
150 Andrew (a) 6,113
- ------------------------------------------------------------------------------------------
1,300 AT&T 67,275
- ------------------------------------------------------------------------------------------
200 Capital Cities/ABC 17,650
- ------------------------------------------------------------------------------------------
500 Tele-Communication, Cl A (a) 10,500
- ------------------------------------------------------------------------------------------
300 Viacom, Cl B (a) 13,425
- ------------------------------------------------------------------------------------------
114,963
- ------------------------------------------------------------------------------------------
TIRE & RUBBER - 0.19%
- ------------------------------------------------------------------------------------------
1,100 Goodyear Tire & Rubber 40,425
- ------------------------------------------------------------------------------------------
TOBACCO - 0.56%
- ------------------------------------------------------------------------------------------
2,200 American Brands 86,350
- ------------------------------------------------------------------------------------------
400 Philip Morris 26,100
- ------------------------------------------------------------------------------------------
200 UST 6,350
- ------------------------------------------------------------------------------------------
118,800
- ------------------------------------------------------------------------------------------
TRUCKING - SHIPPING - 0.27%
- ------------------------------------------------------------------------------------------
600 Consolidated Freightways 15,975
- ------------------------------------------------------------------------------------------
1,700 Ryder System 40,800
- ------------------------------------------------------------------------------------------
56,775
- ------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements on Pages 57 and 58
<PAGE> 18
ASSET MANAGEMENT PORTFOLIO III 50
-----------------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
- ------------------------------------------------------------------------------------------
March 31, 1995
SHARES DESCRIPTION VALUE
- ------------------------------------------------------------------------------------------
<S> <C> <C>
UTILITY - ELECTRIC - 1.58%
- ------------------------------------------------------------------------------------------
1,900 Central & Southwest $ 46,075
- ------------------------------------------------------------------------------------------
2,200 Detroit Edison 60,225
- ------------------------------------------------------------------------------------------
2,000 Houston Industries 76,250
- ------------------------------------------------------------------------------------------
1,900 Pacific Gas & Electric 47,263
- ------------------------------------------------------------------------------------------
3,200 PECO Energy 80,400
- ------------------------------------------------------------------------------------------
1,600 SCE 25,000
- ------------------------------------------------------------------------------------------
335,213
- ------------------------------------------------------------------------------------------
UTILITY - NATURAL GAS - 0.42%
- ------------------------------------------------------------------------------------------
1,700 ONEOK 32,087
- ------------------------------------------------------------------------------------------
1,200 Panhandle Eastern 27,600
- ------------------------------------------------------------------------------------------
1,200 People's Energy 30,000
- ------------------------------------------------------------------------------------------
89,687
- ------------------------------------------------------------------------------------------
UTILITY - TELEPHONE - 0.04%
- ------------------------------------------------------------------------------------------
200 Telephone & Data System 7,900
- ------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS
(Cost $3,161,714) $ 3,275,700
- ------------------------------------------------------------------------------------------
PREFERRED STOCK
NON-CONVERTIBLE - 0.00%
- ------------------------------------------------------------------------------------------
DIVERSIFIED - 0.00%
- ------------------------------------------------------------------------------------------
10 Teledyne (Cost $147) $ 149
- ------------------------------------------------------------------------------------------
<CAPTION>
PRINCIPAL
AMOUNT CORPORATE DEBENTURES - 8.78%
- ------------------------------------------------------------------------------------------
<S> <C> <C>
BANKS - 1.74%
- ------------------------------------------------------------------------------------------
Citicorp:
- ------------------------------------------------------------------------------------------
$ 60,000 9.50%, 2/1/02 $ 65,203
- ------------------------------------------------------------------------------------------
20,000 8.625%, 12/1/02 20,660
- ------------------------------------------------------------------------------------------
60,000 Fleet/Norstar Group, 7.65%, 3/1/97 60,193
- ------------------------------------------------------------------------------------------
$ 90,000 International Bank Reconstruction
& Development, 9.75%, 1/23/16 $ 105,525
- ------------------------------------------------------------------------------------------
125,000 Westdeutsche LB - NY,
6.75%, 6/15/05 116,785
- ------------------------------------------------------------------------------------------
368,366
- ------------------------------------------------------------------------------------------
FINANCIAL SERVICES - 2.60%
- ------------------------------------------------------------------------------------------
50,000 Dean Witter Discover,
6.875%, 3/1/03 46,965
- ------------------------------------------------------------------------------------------
150,000 Ford Motor Credit, 5.625%, 3/3/97 145,752
- ------------------------------------------------------------------------------------------
General Motors Acceptance:
- ------------------------------------------------------------------------------------------
12,981 5.55%, 5/15/97 12,931
- ------------------------------------------------------------------------------------------
110,000 8.625%, 1/18/01 113,796
- ------------------------------------------------------------------------------------------
60,000 Goldman Sachs, 6.625%, 2/23/98 (b) (f) 59,961
- ------------------------------------------------------------------------------------------
70,000 KFW International Finance,
8.20%, 6/1/06 72,687
- ------------------------------------------------------------------------------------------
110,000 Pacific Mutual Life, 7.90%, 12/30/23 (f) 98,359
- ------------------------------------------------------------------------------------------
550,451
- ------------------------------------------------------------------------------------------
HEALTH CARE DIVERSIFIED - 0.61%
- ------------------------------------------------------------------------------------------
Columbia/HCA Healthcare:
- ------------------------------------------------------------------------------------------
55,000 8.85%, 1/1/07 57,523
- ------------------------------------------------------------------------------------------
70,000 8.70%, 2/10/10 72,232
- ------------------------------------------------------------------------------------------
129,755
- ------------------------------------------------------------------------------------------
INSURANCE - 0.47%
- ------------------------------------------------------------------------------------------
115,000 New York Life, 7.50%, 12/15/23 (f) 99,665
- ------------------------------------------------------------------------------------------
OIL INTERNATIONAL - 0.97%
- ------------------------------------------------------------------------------------------
90,000 BHP Finance USA,7.875%, 12/1/02 89,909
- ------------------------------------------------------------------------------------------
115,000 Occidental Petroleum,
8.50%, 9/15/04 116,152
- ------------------------------------------------------------------------------------------
206,061
- ------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements on Pages 57 and 58
<PAGE> 19
ASSET MANAGEMENT PORTFOLIO III 51
-----------------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
- ------------------------------------------------------------------------------------------
March 31, 1995
PRINCIPAL
AMOUNT DESCRIPTION VALUE
- ------------------------------------------------------------------------------------------
<S> <C> <C>
PAPER - 0.23%
- ------------------------------------------------------------------------------------------
$ 50,000 Westvaco, 8.30%, 8/1/22 $ 49,293
- ------------------------------------------------------------------------------------------
PHARMACEUTICALS - 0.46%
- ------------------------------------------------------------------------------------------
110,000 Schering-Plough, 0.00%, 12/2/96 (c) 97,973
- ------------------------------------------------------------------------------------------
RETAIL - 0.37%
- ------------------------------------------------------------------------------------------
80,000 May Department Stores,
8.375%, 8/1/24 79,300
- ------------------------------------------------------------------------------------------
UTILITY - ELECTRIC - 0.82%
- ------------------------------------------------------------------------------------------
50,000 Idaho Power, 8.00%, 3/15/04 50,379
- ------------------------------------------------------------------------------------------
75,000 Potomac Edison, 8.00%, 6/1/24 72,360
- ------------------------------------------------------------------------------------------
50,000 Virginia Electric & Power,
8.625%, 10/1/24 51,547
- ------------------------------------------------------------------------------------------
174,286
- ------------------------------------------------------------------------------------------
UTILITY - NATURAL GAS - 0.51%
- ------------------------------------------------------------------------------------------
100,000 KN Energy, 9.625%, 8/1/21 106,990
- ------------------------------------------------------------------------------------------
TOTAL CORPORATE DEBENTURES
(Cost $1,867,539) $ 1,862,140
- ------------------------------------------------------------------------------------------
ASSET-BACKED SECURITIES - 23.64%
- ------------------------------------------------------------------------------------------
CORPORATE - 0.56%
- ------------------------------------------------------------------------------------------
Standard Credit Card Master Trust:
- ------------------------------------------------------------------------------------------
$ 45,000 8.25%, 11/7/03 $ 46,478
- ------------------------------------------------------------------------------------------
75,000 7.25%, 4/7/06 72,079
- ------------------------------------------------------------------------------------------
118,557
- ------------------------------------------------------------------------------------------
U.S. GOVERNMENT & AGENCIES - 23.08%
- ------------------------------------------------------------------------------------------
FHLMC: (e)
- ------------------------------------------------------------------------------------------
33,044 8.50%, 3/1/23 33,830
- ------------------------------------------------------------------------------------------
424,424 9.50%, 2/1/25 442,992
- ------------------------------------------------------------------------------------------
FNMA: (e)
- ------------------------------------------------------------------------------------------
$ 413,983 6.00%, 1/1/01 398,914
- ------------------------------------------------------------------------------------------
180,000 8.625%, 11/10/04 186,272
- ------------------------------------------------------------------------------------------
248,792 7.00%, 5/1/09 241,795
- ------------------------------------------------------------------------------------------
518,423 8.00%, 4/1/10 521,818
- ------------------------------------------------------------------------------------------
1,435,000 8.00%, 9/1/21 1,421,106
- ------------------------------------------------------------------------------------------
426,191 7.00%, 1/1/24 401,554
- ------------------------------------------------------------------------------------------
1,376,852 GNMA, 6.50%, 9/15/23 (e) 1,244,337
- ------------------------------------------------------------------------------------------
4,892,618
- ------------------------------------------------------------------------------------------
TOTAL ASSET-BACKED SECURITIES
(Cost $5,225,959) $ 5,011,175
- ------------------------------------------------------------------------------------------
GOVERNMENTS FOREIGN - 1.17%
- ------------------------------------------------------------------------------------------
CANADA - 0.77%
- ------------------------------------------------------------------------------------------
$ 125,000 Manitoba, 6.125%, 1/19/04 $ 112,202
- ------------------------------------------------------------------------------------------
60,000 Quebec Province, 7.125%, 2/9/94 50,660
- ------------------------------------------------------------------------------------------
162,862
- ------------------------------------------------------------------------------------------
NEW ZEALAND - 0.40%
- ------------------------------------------------------------------------------------------
80,000 New Zealand Government,
8.75%, 12/15/06 85,744
- ------------------------------------------------------------------------------------------
TOTAL GOVERNMENTS FOREIGN
(Cost $256,766) $ 248,606
- ------------------------------------------------------------------------------------------
LONG-TERM U.S. TREASURY
SECURITIES - 34.12%
- ------------------------------------------------------------------------------------------
U.S. TREASURY BONDS - 4.36%
- ------------------------------------------------------------------------------------------
$ 791,000 8.125%, 8/15/19 $ 838,707
- ------------------------------------------------------------------------------------------
89,000 7.25%, 8/15/22 86,358
- ------------------------------------------------------------------------------------------
925,065
- ------------------------------------------------------------------------------------------
U.S. TREASURY NOTES - 29.76%
- ------------------------------------------------------------------------------------------
400,000 6.00%, 6/30/96 397,064
- ------------------------------------------------------------------------------------------
1,160,000 5.125%, 11/30/98 1,090,586
- ------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements on Pages 57 and 58
<PAGE> 20
ASSET MANAGEMENT PORTFOLIO III 52
-----------------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
- ------------------------------------------------------------------------------------------------
March 31, 1995
PRINCIPAL
AMOUNT DESCRIPTION VALUE
- ------------------------------------------------------------------------------------------------
<S> <C>
$ 1,000,000 8.50%, 11/15/00 $ 1,064,062
- ------------------------------------------------------------------------------------------------
3,753,000 7.25%, 8/15/04 3,756,516
- ------------------------------------------------------------------------------------------------
6,308,228
- ------------------------------------------------------------------------------------------------
Total Long-Term U.S. Treasury Securities
(Cost $7,252,178) $ 7,233,293
- ------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS - 42.19%
- ------------------------------------------------------------------------------------------------
U.S. TREASURY BILLS - 40.10%
- ------------------------------------------------------------------------------------------------
$ 3,500,000 5.62%, 4/13/95 $ 3,493,408
- ------------------------------------------------------------------------------------------------
75,000 5.69%, 6/1/95 (d) 74,303
- ------------------------------------------------------------------------------------------------
5,075,000 5.83%, 9/21/95 4,933,738
- ------------------------------------------------------------------------------------------------
$ 8,501,449
- ------------------------------------------------------------------------------------------------
REPURCHASE AGREEMENT - 2.09%
- ------------------------------------------------------------------------------------------------
$ 444,555 Repurchase Agreement with Sanwa
Bank, Dated 3/31/95, 5.90%,
Principal and Interest in the
Amount of $444,628, Due 4/3/95,
(Collateralized by U.S. Treasury
Bonds, Par Value of $432,000,
8.50%, 7/15/97, Value of $454,458) $ 444,555
- ------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM INVESTMENTS
(Cost $8,945,050) $ 8,946,004
- ------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS
(Cost $26,709,353) 125.35% $26,577,067
- ------------------------------------------------------------------------------------------------
Liabilities in Excess of Other Assets (25.35%) (5,375,467)
- ------------------------------------------------------------------------------------------------
NET ASSETS 100.00% $21,201,600
- ------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF NET UNREALIZED
FUTURES APPRECIATION
CONTRACTS DESCRIPTION (DEPRECIATION)
- ------------------------------------------------------------------------------------------------
<S> <C> <C>
FUTURES CONTRACTS
- ------------------------------------------------------------------------------------------------
4 S&P 500 June 1995 Short Futures
(Market Value $1,008,800) $ (19,000)
- ------------------------------------------------------------------------------------------------
6 U.S. Treasury June 1995 Short Futures
(Market Value $623,438) (12,500)
- ------------------------------------------------------------------------------------------------
35 U.S. Treasury September 1995 Short Futures
(Market Value $3,620,313) 2,187
- ------------------------------------------------------------------------------------------------
$ (29,313)
- ------------------------------------------------------------------------------------------------
</TABLE>
(a) Non-Income Producing Securities
(b) Quarterly Floating Rate Note
(c) Purchased at Deep Discount
(d) Held as Collateral for Futures Contracts
(e) The following abbreviations are used in the portfolio descriptions:
FHLMC - Federal Home Loan Mortgage Corporation
FNMA - Federal National Mortgage Association
GNMA - Government National Mortgage Association
(f) Securities exempt from registration under Rule 144A of the Securities Act
of 1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers. At the period
end, the value of these securities amounted to $257,985 or 1.2% of net
assets.
See Notes to Financial Statements on Pages 57 and 58
<PAGE> 21
ASSET MANAGEMENT PORTFOLIOS 57
-----------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
- ------------------------------------------------------------------------------
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 un-realized 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. Organizational Expenses
Costs incurred by each of the Portfolios in connection with their organization
and initial registration are being amortized over a five year period on a
straight-line basis.
E. 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> 22
ASSET MANAGEMENT PORTFOLIOS 58
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NOTES TO FINANCIAL STATEMENTS
- ------------------------------------------------------------------------------
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 year ended March 31, 1995, these fees
aggregated $88,638, $24,065 and $20,954 for the Asset Management Portfolio,
Asset Management Portfolio II and Asset 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 year ended
March 31, 1995, these fees aggregated $576,146, $156,421 and $136,199 for the
Asset Management Portfolio, Asset Management Portfolio II and 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 year ended March 31,
1995, expenses of the Asset Management Portfolio, Asset Management Portfolio II
and Asset Management Portfolio III have been reduced $169,159, $65,748 and
$62,017, 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 year ended March 31, 1995, were as
follows:
<TABLE>
<CAPTION>
Portfolio Purchases Sales
- --------- ----------- -----------
<S> <C> <C>
Asset Management $71,305,141 $56,522,481
Asset Management II 17,169,367 14,099,559
Asset Management III 21,111,886 14,105,108
</TABLE>
For federal income tax purposes, the tax basis of investments held at March 31,
1995, were as follows:
<TABLE>
<CAPTION>
Portfolio Cost-Tax Basis
- --------- --------------
<S> <C>
Asset Management $100,120,467
Asset Management II 27,199,395
Asset Management III 26,829,794
</TABLE>
The aggregate gross unrealized appreciation/depreciation for all investments,
were as follows:
<TABLE>
<CAPTION>
Portfolio Appreciation Depreciation
- --------- ------------ ------------
<S> <C> <C>
Asset Management $2,701,835 $1,129,657
Asset Management II 344,247 501,645
Asset Management III 208,502 461,229
</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> 23
ASSET MANAGEMENT PORTFOLIOS 59
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REPORT OF INDEPENDENT ACCOUNTANTS
- ------------------------------------------------------------------------------
To the Trustees and Holders of Beneficial Interest of the Asset Management
Portfolios:
We have audited the accompanying statements of assets and liabilities of the
Asset Management Portfolio, Asset Management Portfolio II and Asset Management
Portfolio III, including the schedule of portfolio investments, as of March 31,
1995, and the related statements of operations for the year then ended, the
statement of changes in net assets, and the financial highlights for the year
then ended and the periods September 16, 1993 (commencement of operations) to
March 31, 1994, October 14, 1993 (commencement of operations) to March 31, 1994
and October 15, 1993 (commencement of operations) to March 31, 1994. These
financial statements and financial highlights are the responsibility of the
Portfolios' management. Our responsibility is to express an opinion on these
financial statements and financial highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements.
Our procedures included confirmation of securities owned as of March 31, 1995,
by correspondence with the custodian and brokers. An audit also includes
assessing the accounting principles used and significant estimates made by
management, as well as evaluating the overall financial statement presentation.
We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of the
Asset Management Portfolio, Asset Management Portfolio II and Asset Management
Portfolio III, as of March 31, 1995, the results of their operations, the
changes in their net assets, and their financial highlights for the periods
referred to above, in conformity with generally accepted accounting principles.
/s/COOPERS & LYBRAND L.L.P.
- ----------------------------------
Kansas City, Missouri
April 27, 1995
