<PAGE> 1
- --------------------------------------------------------------------------------
Asset Management Portfolio II
SCHEDULE OF INVESTMENTS March 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- ------------ ------------------------------------ ------------
<C> <S> <C>
COMMON STOCKS - 30.67%
AEROSPACE - 0.68%
3,300 Boeing Co. ......................... $ 285,862
400 Lockheed Martin Corp. .............. 30,350
600 Rockwell International Corp. ....... 35,325
---------
351,537
---------
<CAPTION>
SHARES SECURITY VALUE
- ------------ ------------------------------------ ------------
<C> <S> <C>
AIRLINES - 0.82%
4,700 AMR Corporation(a).................. $ 420,650
---------
</TABLE>
See Notes to Financial Statements on Pages 28 - 29
17
<PAGE> 2
- --------------------------------------------------------------------------------
Asset Management Portfolio II
SCHEDULE OF INVESTMENTS March 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- ------------ ------------------------------------ ------------
<C> <S> <C>
AUTO RELATED - 1.49%
3,500 Chrysler Corp. ..................... $ 217,875
7,100 Dana Corp. ......................... 236,962
1,700 Ford Motor Co. ..................... 58,438
4,700 General Motors Corp. ............... 250,275
---------
763,550
---------
BANKS - 0.94%
3,300 BankAmerica Corporation............. 255,750
1,600 BayBanks Inc. ...................... 172,000
700 Citicorp............................ 56,000
---------
483,750
---------
BEVERAGES - 0.74%
6,000 PepsiCo Inc. ....................... 379,500
---------
BLDG. - FOREST PROD - 0.24%
2,700 Champion International Corp. ....... 122,175
---------
CHEMICALS - 1.63%
900 Air Products & Chemical Corp. ...... 49,162
2,900 Du Pont (E.I.) de Nemours &
Company............................ 240,700
1,600 IMC Global Inc. .................... 58,400
3,200 Monsanto Co. ....................... 491,200
---------
839,462
---------
CLIENT SERVER COMPUTING - 0.19%
3,100 Bay Networks(a)..................... 95,325
---------
COMPUTER SERVICES - 0.74%
6,700 General Motors, Cl E................ 381,900
---------
COMPUTER SOFTWARE - 1.00%
4,400 Cisco Systems(a).................... 204,050
4,300 Computer Associates International
Inc. .............................. 307,987
---------
512,037
---------
DIVERSIFIED - 0.12%
800 Textron Inc. ....................... 64,000
---------
DRUGS - 1.88%
7,100 Merck & Co.......................... 441,975
6,000 Pfizer, Inc. ....................... 402,000
2,100 Schering-Plough Corp. .............. 122,063
---------
966,038
---------
ELECTRICAL EQUIPMENT - 1.20%
6,200 General Electric.................... 482,825
1,400 Hewlett-Packard..................... 131,600
---------
614,425
---------
<CAPTION>
SHARES SECURITY VALUE
- ------------ ------------------------------------ ------------
<C> <S> <C>
ELECTRONICS - 0.97%
5,400 Allied-Signal Inc. ................. $ 319,275
1,300 Intel Corp. ........................ 73,937
2,100 Texas Instruments................... 106,838
---------
500,050
---------
FINANCIAL SERVICES - 2.50%
3,900 Federal Home Loan Mortgage.......... 332,475
1,800 Federal National Mortgage........... 57,375
2,900 First Data.......................... 204,450
2,800 Household International............. 188,300
6,750 MBNA Corp. ......................... 199,969
1,900 Merrill Lynch & Co. Inc. ........... 115,425
1,000 Price (T. Rowe) Associates.......... 53,000
2,000 Travelers Group Inc. ............... 132,000
---------
1,282,994
---------
FOODS - 1.49%
5,500 CPC International................... 381,562
3,300 Premark International Inc........... 176,962
6,400 Sara Lee Corp. ..................... 208,800
---------
767,324
---------
HEALTHCARE - 0.06%
800......... Abbott Laboratories................. 32,600
---------
HOSPITAL SUPL/SERV - 1.25%
2,400 Baxter International Inc. .......... 108,600
4,500 Johnson & Johnson................... 415,125
1,400 PacifiCare Health Systems, Cl.
B(a)............................... 119,350
---------
643,075
---------
HOTEL/MOTEL - 0.57%
6,200 Marriott International Inc. ........ 294,500
---------
HOUSEHOLD PRODUCTS - 1.10%
3,100 Clorox Co. ......................... 266,987
3,500 Procter & Gamble.................... 296,625
---------
563,612
---------
INSURANCE - 1.42%
4,700 American International Group........ 440,037
2,000 General Re Corp. ................... 291,500
---------
731,537
---------
LEISURE RELATED - 0.26%
1,678 Walt Disney Co. .................... 107,182
600 Harcourt General.................... 27,225
---------
134,407
---------
MANUFACTURING - 0.48%
6,500 Millipore Corp. .................... 248,625
---------
METALS - 0.41%
6,500 Alcan Aluminium Ltd................. 209,625
---------
</TABLE>
See Notes to Financial Statements on Pages 28 - 29
18
<PAGE> 3
- --------------------------------------------------------------------------------
Asset Management Portfolio II
SCHEDULE OF INVESTMENTS March 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- ------------ ------------------------------------ ------------
<C> <S> <C>
METALS & MINING - 0.06%
500 Potash of Saskatchewan.............. $ 31,250
---------
OFFICE EQUIP - 0.48%
1,000 International Business Machine
Corp. ............................. 111,125
1,100 Xerox Corp. ........................ 138,050
---------
249,175
---------
OIL EQUIPMENT & SERVICES - 0.20%
1,300 Schlumberger Ltd.................... 102,863
---------
OIL - DOMESTIC - 0.55%
1,100 Chevron Corp. ...................... 61,738
6,600 Unocal.............................. 220,275
---------
282,013
---------
OIL - INTERNATIONAL - 1.97%
3,100 Exxon Corp. ........................ 253,038
2,400 Mobil............................... 278,100
1,500 Royal Dutch Petroleum Co. - ADR..... 211,875
3,100 Texaco Inc. ........................ 266,600
---------
1,009,613
---------
PAPER - 0.21%
2,700 International Paper................. 106,313
---------
PETROLEUM RELATED - 0.18%
800 Amoco Corp. ........................ 57,800
300 Atlantic Richfield.................. 35,700
---------
93,500
---------
PHARMACEUTICALS - 0.16%
2,100 Pharmacia & Upjohn Inc. ............ 83,738
---------
PRINTING & PUBLISHING - 0.35%
2,100 McGraw-Hill Cos. Inc. .............. 182,175
---------
PRODUCTIVITY ENHANCEMENT - 0.04%
1,200 Teradyne Inc.(a).................... 20,100
---------
PROFESSIONAL SERVICES - 0.09%
1,200 H & R Block......................... 43,350
---------
RAILROADS - 0.71%
4,400 Burlington Northern
Santa Fe........................... 361,350
---------
RETAIL - 0.52%
3,100 Rite Aid............................ 95,712
7,500 Wal-Mart Stores..................... 173,438
---------
269,150
---------
<CAPTION>
SHARES SECURITY VALUE
- ------------ ------------------------------------ ------------
<C> <S> <C>
TELECOMMUNICATIONS - 1.42%
500 360 Communications Co.(a)........... $ 11,938
900 Ameritech Corp. .................... 49,050
3,500 AT&T Corporation.................... 214,375
8,600 Comcast Corp. Spcl Cl. A............ 152,113
2,100 Frontier Corp. ..................... 66,150
3,500 GTE Corp. .......................... 153,562
1,600 MCI Communications.................. 48,400
700 NYNEX Corp. ........................ 34,912
---------
730,500
---------
TOBACCO - 0.32%
1,900 Philip Morris....................... 166,725
---------
UTILITY - ELECTRIC - 0.45%
1,600 American Electric Power............. 66,800
1,400 FPL Group........................... 63,350
1,100 Southern............................ 26,263
1,800 Texas Utilities Co. ................ 74,475
---------
230,888
---------
UTILITY - GAS, NATURAL GAS - 0.37%
4,300 Consolidated Natural Gas............ 187,050
---------
UTILITY - TELEPHONE - 0.41%
700 Bell Atlantic Corp. ................ 43,225
1,600 BellSouth Corp. .................... 59,200
1,000 SBC Communications Inc. ............ 52,625
1,500 Sprint Corp. ....................... 57,000
---------
212,050
---------
TOTAL COMMON STOCKS
(Cost $14,343,981)................................ $ 15,764,501
---------
<CAPTION>
PRINCIPAL
AMOUNT
- ------------
<C> <S> <C>
CORPORATE DEBT
NON-CONVERTIBLE - 7.55%
AEROSPACE - 0.15%
$ 75,000 Lockheed, 7.875%, 3/15/23........... $ 75,484
---------
BANKS - 1.03%
85,000 Bayerische L/B, 6.375%, 10/15/05.... 82,667
100,000 Dresdner Bank - New York, 6.625%,
9/15/05............................ 98,304
50,000 Fleet/Norstar Group, 7.65%,
03/01/97........................... 50,761
140,000 International Bank Reconstruction &
Development, 8.875%, 03/01/26...... 169,069
130,000 Standard Credit Card Master Trust,
6.55%, 10/07/05.................... 127,287
---------
528,088
---------
</TABLE>
See Notes to Financial Statements on Pages 28 - 29
19
<PAGE> 4
- --------------------------------------------------------------------------------
Asset Management Portfolio II
SCHEDULE OF INVESTMENTS March 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY VALUE
- ------------ ------------------------------------ ------------
<C> <S> <C>
FINANCIAL SERVICES - 2.41%
$ 250,000 BHP Finance USA, 6.420%,
3/01/26............................ $ 244,779
350,000 Dean Witter Discover, 6.500%,
11/01/05........................... 337,770
185,000 Ford Motor Credit, 6.250%,
11/08/00........................... 182,568
85,000 GMAC, 8.625%, 1/18/01............... 91,889
50,000 Goldman Sachs, 6.3125%,
2/23/98(b)(d)...................... 50,185
110,000 ITT Hartford, 6.375%, 11/01/02...... 106,928
55,000 KFW International Finance, 8.20%,
6/01/06............................ 60,030
110,000 Paine Webber Group, 9.25%,
12/15/01........................... 121,819
40,000 Swedish Export Credit, 9.875%,
3/15/38............................ 43,803
---------
1,239,771
---------
HOSPITAL SUPL/SERV - 0.29%
95,000 Columbia/HCA Healthcare, 6.91%,
6/15/05............................ 94,660
50,000 Columbia/HCA Healthcare, 8.7%,
2/10/10............................ 56,315
---------
150,975
---------
INDUSTRIAL - 2.35%
210,000 Auburn Hills Trust, 12.0%,
5/01/20............................ 308,477
165,000 Brunswick, 8.125%, 4/01/97.......... 168,400
160,000 Carter Holt Harvey, 7.625%,
4/15/02............................ 165,899
230,000 Celulosa Arauco Y Constitucion S.A.,
6.75%, 12/15/03.................... 220,013
165,000 Laidlaw, 7.70%, 8/15/02............. 171,239
160,000 News America Holdings, 8.500%,
2/15/05............................ 172,367
---------
1,206,395
---------
OIL - DOMESTIC - 0.24%
120,000 Occidental Petroleum, 9.500%,
7/15/97............................ 125,113
---------
OIL - INTERNATIONAL - 0.15%
75,000 BHP Finance USA, 7.875%,
12/01/02........................... 78,761
---------
RETAIL - 0.14%
65,000 May Department Stores, 8.375%,
8/01/24............................ 69,659
---------
<CAPTION>
PRINCIPAL
AMOUNT SECURITY VALUE
- ------------ ------------------------------------ ------------
<S> <C>
UTILITY - ELECTRIC - 0.62%
$ 45,000 Idaho Power, 8.00%, 3/15/04......... $ 47,737
60,000 Potomac Edison, 8.00%, 6/01/24...... 60,494
170,000 Southern California Edison, 6.500%,
6/01/01............................ 168,557
40,000 Virginia Electric & Power, 8.625%,
10/01/24........................... 42,912
---------
319,700
---------
UTILITY - GAS, NATURAL GAS - 0.17%
75,000 KN Energy, 9.625%, 8/01/21.......... 87,891
---------
TOTAL CORPORATE DEBT NON-CONVERTIBLE
(Cost $3,918,632)................................. $ 3,881,837
---------
CORPORATE DEBT CONVERTIBLE - FOREIGN - 0.22%
GERMANY 0.22%
115,000 Nordeutsche L/B Girozen, 6.875%,
3/10/03............................ 115,503
---------
TOTAL CORPORATE DEBT CONVERTIBLE -
FOREIGN (Cost $110,407)........................... $ 115,503
---------
U.S. GOVERNMENT & AGENCY - 10.93%
900,328 FGHLMC, 7.50% to 9.50%, maturing
2/01/25 to 9/01/25(c).............. 927,540
1,072,709 FHLMC, 6.93% to 7.50%, maturing
9/05/00 to 9/01/25(c).............. 1,071,706
468,177 FNMA, 6.00% to 8.625%, maturing
1/01/01 to 11/10/04(c)............. 469,817
2,809,718 GNMA, 6.50% to 9.00%, maturing
9/15/23 to 10/15/25(c)............. 2,808,506
315,000 Tennessee Valley Authority, 8.25%,
4/15/42............................ 340,585
---------
TOTAL U.S. GOVERNMENT & AGENCY SECURITIES
(Cost $5,724,071)................................. $ 5,618,154
---------
FOREIGN DEBT - 0.96%
GOVERNMENT - 0.72%
65,000 New Zealand Government, 10.625%,
11/15/05........................... 82,864
65,000 New Zealand Government, 8.75%,
12/15/06........................... 75,051
125,000 Province of Quebec, 6.50%, 1/17/06.. 120,039
100,000 Quebec Province, 7.125%, 2/09/24.... 92,599
---------
370,553
---------
INDUSTRIAL - 0.24%
125,000 Manitoba, 6.125%, 1/19/04........... 120,451
---------
TOTAL FOREIGN DEBT
(Cost $497,177)................................... $ 491,004
---------
</TABLE>
See Notes to Financial Statements on Pages 28 - 29
20
<PAGE> 5
- --------------------------------------------------------------------------------
Asset Management Portfolio II
SCHEDULE OF INVESTMENTS March 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY VALUE
- ------------ ------------------------------------ ------------
<S> <C>
U.S. TREASURY SECURITIES - 8.13%
$ 970,000 US Treasury Bonds, 7.25% to 8.125%
maturing 8/15/19 to 8/15/22........ $ 1,042,531
3,170,000 US Treasury Notes, 5.00% to 5.50%
maturing 11/30/97 to 11/15/98...... 3,136,990
----------
TOTAL U.S. TREASURY SECURITIES
(Cost $4,247,558)................................. $ 4,179,521
----------
SHORT TERM INSTRUMENTS - 40.23%
U.S. T-BILLS - 22.08%
11,390,000 4.78% to 5.00%, maturing 4/25/96 to
5/16/96............................ 11,349,582
----------
REPURCHASE AGREEMENT - 18.15%
9,328,100 Sanwa Bank, 5.35% dated 3/29/96,
principal and interest in the
amount of $9,332,261 due 4/1/96
(collateralized by U.S. Treasury
Notes, par value of $2,926,000,
6.25%, due 8/31/00, value of
$2,942,459, U.S. Treasury Note, par
value of $4,435,000, 11.25%, due
2/15/15, value of $6,522,306)...... 9,328,100
---------
<CAPTION>
PRINCIPAL
AMOUNT SECURITY VALUE
- ------------ ------------------------------------ ------------
<S> <C>
TOTAL SHORT TERM INSTRUMENTS
(Cost $20,677,682)................................ $ 20,677,682
----------
TOTAL INVESTMENTS
(Cost $49,519,508) - 98.69%....................... 50,728,202
Other Assets Less Liabilities - 1.31%............. 671,346
----------
NET ASSETS - 100.00%.............................. $ 51,399,548
==========
</TABLE>
- ------------------
(a) Non-Income Producing Securities
(b) Quarterly Floating Rate Note
(c) The following abbreviations are used in the portfolio descriptions:
FGHLMC - Federal Gold Home Loan Mortgage Corporation
FHLMC - Federal Home Loan Mortgage Corporation
FNMA - Federal National Mortgage Association
GNMA - Government National Mortgage Association
(d) Securities exempt from registration under Rule 144A of the Securities Act
of 1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers. At the period
end, the value of these securities amounted to $50,185 or 0.10% of net
assets.
<PAGE> 6
- --------------------------------------------------------------------------------
Asset Management Portfolios
STATEMENTS OF ASSETS AND LIABILITIES March 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ASSET MANAGEMENT ASSET MANAGEMENT II ASSET MANAGEMENT III
---------------- ------------------- --------------------
<S> <C> <C> <C>
ASSETS
Investments, at Value+................................... $239,411,417 $50,728,202 $ 28,563,869
Cash++................................................... 1,497,483 430,599 178,223
Receivable for Securities Sold........................... -- 65,746 --
Dividends and Interest Receivable........................ 917,912 236,283 162,088
Prepaid Expenses and Other Assets........................ 3,023 4,114 1,306
------------ ----------- ------------
Total Assets................................................ 241,829,835 51,464,944 28,905,486
------------ ----------- ------------
LIABILITIES
Due to Bankers Trust..................................... 119,492 21,519 7,276
Payable for Securities Purchased......................... 1,179,696 -- --
Accrued Expenses and Accounts Payable.................... 24,487 19,615 20,085
Variation Margin Payable................................. 363,752 24,262 9,460
------------ ----------- ------------
Total Liabilities........................................... 1,687,427 65,396 36,821
------------ ----------- ------------
NET ASSETS.................................................. $240,142,408 $51,399,548 $ 28,868,665
============ =========== ============
COMPOSITION OF NET ASSETS
Paid-in Capital.......................................... $230,968,946 $50,328,196 $ 28,493,702
Net Unrealized Appreciation on Investments and Foreign
Currency Translation................................... 9,188,933 1,208,079 475,752
Net Unrealized Depreciation on Futures Contracts......... (15,471) (136,727) (100,789)
------------ ----------- ------------
NET ASSETS, MARCH 31, 1996.................................. $240,142,408 $51,399,548 $ 28,868,665
============ =========== =============
</TABLE>
- ------------------
+ Cost $230,224,245, $49,519,508, and $28,088,320, including Repurchase
Agreements amounting to $41,208,272, $9,328,100, and $3,987,048 respectively.
++ Includes foreign currency of $1,493,961, $431,212, and $177,816, respectively
with a value of $1,495,722, $430,597, and $178,079, respectively.
See Notes to Financial Statements on Pages 28 - 29
25
<PAGE> 7
- --------------------------------------------------------------------------------
Asset Management Portfolios
STATEMENTS OF OPERATIONS For the Year Ended March 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ASSET MANAGEMENT ASSET MANAGEMENT II ASSET MANAGEMENT III
---------------- ------------------- --------------------
<S> <C> <C> <C>
INVESTMENT INCOME
Dividends+............................................... $ 1,673,515 $ 237,108 $ 103,450
Interest................................................. 6,047,253 1,750,719 1,340,480
----------- ---------- ----------
Total Investment Income.............................. 7,720,768 1,987,827 1,443,930
----------- ---------- ----------
EXPENSES
Advisory................................................. 1,092,488 250,954 166,563
Administration and Services.............................. 168,075 38,608 25,625
Professional............................................. 20,671 11,963 12,054
Insurance................................................ 2,149 1,665 1,618
Trustees................................................. 2,288 2,288 2,238
Miscellaneous............................................ 1,980 1,750 1,297
----------- ---------- ----------
Total Expenses........................................... 1,287,651 307,228 209,395
Expenses Absorbed by Bankers Trust....................... (279,200) (75,578) (55,645)
----------- ---------- ----------
Net Expenses......................................... 1,008,451 231,650 153,750
----------- ---------- ----------
NET INVESTMENT INCOME....................................... 6,712,317 1,756,177 1,290,180
----------- ---------- ----------
REALIZED AND UNREALIZED GAIN ON INVESTMENTS, FOREIGN
CURRENCY TRANSACTIONS, AND FUTURES CONTRACTS
Net Realized Gain on:
Investments and Foreign Currency Transactions........ 7,730,647 1,063,387 1,054,255
Futures Contracts.................................... 6,275,542 1,192,381 (329,229)
----------- ---------- ----------
14,006,189 2,255,768 725,026
----------- ---------- ----------
Net Change in Unrealized Appreciation (Depreciation) of:
Investments and Foreign Currency Translations........ 7,485,813 1,259,448 608,038
Futures Contracts.................................... (223,996) (269,608) (71,476)
----------- ---------- ----------
7,261,817 989,840 536,562
----------- ---------- ----------
NET GAIN ON INVESTMENTS, FOREIGN CURRENCIES, AND FUTURES.... 21,268,006 3,245,608 1,261,588
----------- ---------- ----------
NET INCREASE IN NET ASSETS FROM OPERATIONS.................. $ 27,980,323 $ 5,001,785 $2,551,768
=========== ========== ==========
</TABLE>
- ------------------
+ Net of foreign withholding tax of $11,337, $1,580, and $804, respectively.
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ASSET MANAGEMENT ASSET MANAGEMENT II ASSET MANAGEMENT III
FOR THE YEAR ENDED MARCH 31, FOR THE YEAR ENDED FOR THE YEAR ENDED
MARCH 31, MARCH 31,
----------------------------- --------------------------- ---------------------------
1996 1995 1996 1995 1996 1995
------------ ------------ ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET
ASSETS
OPERATIONS
Net Investment Income........ $ 6,712,317 $ 3,350,844 $ 1,756,177 $ 1,060,282 $ 1,290,180 $ 1,019,467
Net Realized Gain (Loss) from
Investments, Foreign
Currency and Futures
Transactions............... 14,006,189 (85,052) 2,255,768 (692,504) 725,026 (783,153)
Net Unrealized Appreciation
on Securities, Foreign
Translations and Futures
Contracts.................. 7,261,817 3,010,076 989,840 1,002,727 536,562 505,973
------------ ------------ ----------- ----------- ----------- -----------
Net Increase in Net Assets from
Operations..................... 27,980,323 6,275,868 5,001,785 1,370,505 2,551,768 742,287
------------ ------------ ----------- ----------- ----------- -----------
CAPITAL TRANSACTIONS
Proceeds from Capital
Invested................... 170,133,182 77,053,606 25,468,459 7,542,454 10,942,499 5,531,582
Value of Capital Withdrawn... (54,499,861) (23,083,892) (4,675,086) (2,483,935) (5,827,202) (2,658,595)
------------ ------------ ----------- ----------- ----------- -----------
Net Increase in Net Assets from
Capital Transactions........... 115,633,321 53,969,714 20,793,373 5,058,519 5,115,297 2,872,987
------------ ------------ ----------- ----------- ----------- -----------
TOTAL INCREASE IN NET ASSETS.... 143,613,644 60,245,582 25,795,158 6,429,024 7,667,065 3,615,274
NET ASSETS
Beginning of Year............... 96,528,764 36,283,182 25,604,390 19,175,366 21,201,600 17,586,326
------------ ------------ ----------- ----------- ----------- -----------
End of Year..................... $240,142,408 $ 96,528,764 $51,399,548 $25,604,390 $28,868,665 $21,201,600
============ ============ =========== =========== ============= ===========
</TABLE>
See Notes to Financial Statements on Pages 32 - 33
26
<PAGE> 8
- --------------------------------------------------------------------------------
Asset Management Portfolios
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
Contained below are selected ratios and supplemental data for each of the
periods indicated for the Asset Management Portfolios.
<TABLE>
<CAPTION>
ASSET MANAGEMENT PORTFOLIO
-----------------------------------------------------------
FOR THE FOR THE PERIOD
YEAR ENDED SEPTEMBER 16, 1993
MARCH 31, (COMMENCEMENT OF
------------------ OPERATIONS) TO
1996 1995 MARCH 31, 1994
--------------- --------------- -------------------
<S> <C> <C> <C>
SUPPLEMENTAL DATA AND RATIOS
Net Assets, End of Period (000's omitted)...................... $ 240,142 $ 96,529 $36,283
Ratios to Average Net Assets
Net Investment Income...................................... 3.99% 3.78% 2.83%*
Expenses................................................... 0.60% 0.60% 0.60%*
Decrease Reflected in Above Expense Ratio Due to Absorption
of Expenses by Bankers Trust.............................. 0.17% 0.19% 0.33%*
Portfolio Turnover Rate........................................ 154% 92% 56%
</TABLE>
- ------------------
* Annualized
<TABLE>
<CAPTION>
ASSET MANAGEMENT PORTFOLIO II
-----------------------------------------------------------
FOR THE FOR THE PERIOD
YEAR ENDED SEPTEMBER 16, 1993
MARCH 31, (COMMENCEMENT OF
------------------ OPERATIONS) TO
1996 1995 MARCH 31, 1994
--------------- --------------- -------------------
<S> <C> <C> <C>
SUPPLEMENTAL DATA AND RATIOS
Net Assets, End of Period (000's omitted)...................... $ 51,400 $ 25,604 $19,175
Ratios to Average Net Assets
Net Investment Income...................................... 4.55% 4.41% 3.17%*
Expenses................................................... 0.60% 0.60% 0.60%*
Decrease Reflected in Above Expense Ratio Due to Absorption
of Expenses by Bankers Trust.............................. 0.20% 0.27% 0.48%*
Portfolio Turnover Rate........................................ 208% 105% 79%
</TABLE>
- ------------------
* Annualized
<TABLE>
<CAPTION>
ASSET MANAGEMENT PORTFOLIO III
-----------------------------------------------------------
FOR THE FOR THE PERIOD
YEAR ENDED SEPTEMBER 16, 1993
MARCH 31, (COMMENCEMENT OF
------------------ OPERATIONS) TO
1996 1995 MARCH 31, 1994
--------------- --------------- -------------------
<S> <C> <C> <C>
SUPPLEMENTAL DATA AND RATIOS
Net Assets, End of Period (000's omitted)...................... $ 28,869 $ 21,202 $17,586
Ratios to Average Net Assets
Net Investment Income...................................... 5.04% 4.87% 3.51%*
Expenses................................................... 0.60% 0.60% 0.60%*
Decrease Reflected in Above Expense Ratio Due to Absorption
of Expenses by Bankers Trust.............................. 0.22% 0.30% 0.49%*
Portfolio Turnover Rate........................................ 221% 111% 84%
</TABLE>
- ------------------
* Annualized
See Notes to Financial Statements on Pages 28 - 29
27
<PAGE> 9
- --------------------------------------------------------------------------------
Asset Management Portfolios
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 unrealized gains and losses
from the security transactions of the Portfolios are allocated pro rata among
the investors in the Portfolios at the time of such determination.
D. Federal Income Taxes
It is each Portfolio's policy to comply with the requirements of the Internal
Revenue Code applicable to it. Therefore, no federal income tax provision is
required.
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions that
affect the reported amounts in the financial statements.
NOTE 2 -- FEES AND TRANSACTIONS WITH AFFILIATES
The 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, 1996, these fees
aggregated $168,075, $38,608 and $25,625 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, 1996, these
fees aggregated $1,092,488, $250,954 and $166,563 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, 1996,
expenses of the Asset Management Portfolio, Asset Management Portfolio II and
Asset Management Portfolio III have been reduced by $279,200, $75,578 and
$55,645, 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, 1996, were as follows:
<TABLE>
<CAPTION>
PORTFOLIO PURCHASES SALES
- ------------------------------------------------------- ------------ ------------
<S> <C> <C>
Asset Management....................................... $236,481,467 $167,614,159
Asset Management II.................................... 58,524,728 46,129,115
Asset Management III................................... 38,827,631 41,662,206
</TABLE>
28
<PAGE> 10
- --------------------------------------------------------------------------------
Asset Management Portfolios
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
For federal income tax purposes, the tax basis of investments held at March 31,
1996, were as follows:
<TABLE>
<CAPTION>
PORTFOLIO COST-TAX BASIS
- ---------------------------------------------------------- --------------
<S> <C>
Asset Management.......................................... $230,420,441
Asset Management II....................................... 49,600,881
Asset Management III...................................... 28,096,139
</TABLE>
The aggregate gross unrealized appreciation/depreciation for all investments,
were as follows:
<TABLE>
<CAPTION>
PORTFOLIO APPRECIATION DEPRECIATION
- -------------------------------------------------------- ------------ ------------
<S> <C> <C>
Asset Management........................................ $11,369,454 $2,378,478
Asset Management II..................................... 1,636,267 508,946
Asset Management III.................................... 744,494 276,764
</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.
NOTE 4 -- FUTURE CONTRACTS
A summary of obligations under these financial instruments at March 31, 1996 are
as follows:
<TABLE>
<CAPTION>
UNREALIZED
APPRECIATION/
TYPE OF FUTURE EXPIRATION CONTRACTS POSITION (DEPRECIATION)
- ------------------------------ ---------- --------- -------- -------------
<S> <C> <C> <C> <C>
ASSET MANAGEMENT PORTFOLIO
S&P 500....................... June 1996 154 Long $ 15,450
US Treasury................... June 1996 75 Long (178,031)
French Government Bond........ June 1996 96 Long (13,258)
German Bond................... June 1996 87 Long (103,176)
Canadian Government Bond...... June 1996 118 Long (159,605)
DAX Index..................... June 1996 14 Long 46,623
CDM C$ Future................. June 1996 2 Short (1,280)
DMM D-Mark.................... June 1996 6 Short 1,650
FRM French Franc.............. June 1996 5 Short (2,500)
TYU US Treasury Futures....... June 1996 126 Short 378,656
---------
$ (15,471)
=========
ASSET MANAGEMENT PORTFOLIO II
S&P 500....................... June 1996 23 Long $ 1,525
US Treasury................... June 1996 52 Long (187,313)
Japanese Bond................. June 1996 1 Long 3,620
Topix Index................... June 1996 1 Long 6,535
French Government............. June 1996 21 Long (5,679)
German Bond................... June 1996 14 Long (19,450)
Canadian Government Bond...... June 1996 11 Long (13,630)
DAX Index..................... June 1996 3 Long 10,885
DMM D-Mark.................... June 1996 1 Short 275
FRM French Franc.............. June 1996 1 Short (50)
JYM Japanese Yen.............. June 1996 1 Short 2,775
TYU US Treasury Futures....... June 1996 23 Short 63,780
---------
$(136,727)
=========
ASSET MANAGEMENT PORTFOLIO III
S&P 500....................... June 1996 6 Long $ (19,450)
US Treasury................... June 1996 28 Long (110,313)
German Bond................... June 1996 8 Long (12,648)
Canadian Government Bond...... June 1996 6 Long (8,606)
French Government Bond........ June 1996 12 Long (3,409)
DAX Index..................... June 1996 2 Long 7,256
DMM D-Mark.................... June 1996 1 Short 275
FRM French Franc.............. June 1996 1 Short (800)
TYU US Treasury Futures....... June 1996 16 Short 46,906
---------
$(100,789)
=========
</TABLE>
At March 31, 1996, the Portfolios have segregated sufficient securities to cover
margin requirements on open futures contracts.
29
<PAGE> 11
- --------------------------------------------------------------------------------
Asset Management Portfolio
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,
1996, and the related statements of operations for the year then ended, the
statement of changes in net assets for each of the two years in the period then
ended, and the financial highlights for each of the two years in the period then
ended and 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 for the Asset
Management Portfolio, Asset Management Portfolio II and Asset Management
Portfolio III, respectively. 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, 1996,
by correspondence with the custodian and brokers. An audit also includes
assessing the accounting principles used and significant estimates made by
management, as well as evaluating the overall financial statement presentation.
We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of the
Asset Management Portfolio, Asset Management Portfolio II and Asset Management
Portfolio III, as of March 31, 1996, 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.
[New sig cut to come]
Kansas City, Missouri
May 3, 1996
30
<PAGE> 12
- --------------------------------------------------------------------------------
Asset Management Portfolio III
SCHEDULE OF INVESTMENTS March 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- ------------ ------------------------------------ ------------
<S> <C>
COMMON STOCKS - 17.83%
AEROSPACE - 0.37%
1,000 Boeing Co. ......................... $ 86,625
100 Lockheed Martin Corp. .............. 7,587
200 Rockwell International Corp. ....... 11,775
---------
105,987
---------
AIRLINES - 0.47%
1,500 AMR Corporation(a).................. 134,250
---------
<CAPTION>
SHARES SECURITY VALUE
- ------------ ------------------------------------ ------------
<C> <S> <C>
AUTO RELATED - 0.90%
1,200 Chrysler Corp. ..................... $ 74,700
2,400 Dana Corp. ......................... 80,100
600 Ford Motor Co. ..................... 20,625
1,600 General Motors Corp. ............... 85,200
---------
260,625
---------
BANKS - 0.56%
1,100 BankAmerica Corporation............. 85,250
500 BayBanks Inc. ...................... 53,750
300 Citicorp............................ 24,000
---------
163,000
---------
</TABLE>
See Notes to Financial Statements on Pages 28 - 29
21
<PAGE> 13
- --------------------------------------------------------------------------------
Asset Management Portfolio III
SCHEDULE OF INVESTMENTS March 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- ------------ ------------------------------------ ------------
<C> <S> <C>
BEVERAGES - 0.44%
2,000 PepsiCo Inc. ....................... $ 126,500
---------
BLDG. - FOREST PROD - 0.14%
900 Champion International Corp. ....... 40,725
---------
CHEMICALS - 0.91%
300 Air Products & Chemical Corp. ...... 16,387
900 Du Pont (E.I.) de Nemours
& Company.......................... 74,700
500 IMC Global Inc. .................... 18,250
1,000 Monsanto Co. ....................... 153,500
---------
262,837
---------
CLIENT SERVER COMPUTING - 0.11%
1,000 Bay Networks(a)..................... 30,750
---------
COMPUTER SERVICES - 0.43%
2,200 General Motors, Cl E................ 125,400
---------
COMPUTER SOFTWARE - 0.57%
1,400 Cisco Systems(a).................... 64,925
1,400 Computer Associates International
Inc. .............................. 100,275
---------
165,200
---------
DIVERSIFIED - 0.06%
200 Textron Inc. ....................... 16,000
---------
DRUGS - 1.10%
2,300 Merck & Co. ........................ 143,175
2,000 Pfizer, Inc. ....................... 134,000
700 Schering-Plough Corp. .............. 40,687
---------
317,862
---------
ELECTRICAL EQUIPMENT - 0.67%
2,000 General Electric.................... 155,750
400 Hewlett-Packard..................... 37,600
---------
193,350
---------
ELECTRONICS - 0.59%
1,800 Allied-Signal Inc. ................. 106,425
500 Intel Corp. ........................ 28,437
700 Texas Instruments................... 35,613
---------
170,475
---------
FINANCIAL SERVICES - 1.47%
1,200 Federal Home Loan Mortgage.......... 102,300
600 Federal National Mortgage........... 19,125
1,000 First Data.......................... 70,500
900 Household International............. 60,525
2,250 MBNA Corp. ......................... 66,656
<CAPTION>
SHARES SECURITY VALUE
- ------------ ------------------------------------ ------------
<C> <S> <C>
600 Merrill Lynch & Co. Inc. ........... $ 36,450
400 Price (T. Rowe) Associates.......... 21,200
700 Travelers Group Inc. ............... 46,200
---------
422,956
---------
FOODS - 0.87%
1,800 CPC International................... 124,875
1,100 Premark International Inc. ......... 58,987
2,100 Sara Lee Corp. ..................... 68,513
---------
252,375
---------
HEALTHCARE - 0.04%
300 Abbott Laboratories................. 12,225
---------
HOSPITAL SUPL/SERV - 0.72%
800 Baxter International Inc. .......... 36,200
1,500 Johnson & Johnson................... 138,375
400 PacifiCare Health Systems, Cl.
B(a)............................... 34,100
---------
208,675
---------
HOTEL/MOTEL - 0.35%
2,100 Marriott International Inc. ........ 99,750
---------
HOUSEHOLD PRODUCTS - 0.62%
1,000 Clorox Co. ......................... 86,125
1,100 Procter & Gamble.................... 93,225
---------
179,350
---------
INSURANCE - 0.79%
1,500 American International Group........ 140,438
600 General Re Corp. ................... 87,450
---------
227,888
---------
LEISURE RELATED - 0.15%
524 Walt Disney Co...................... 33,471
200 Harcourt General Inc................ 9,075
---------
42,546
---------
MANUFACTURING - 0.29%
2,200 Millipore Corp...................... 84,150
---------
METALS - 0.25%
2,200 Alcan Aluminium Ltd................. 70,950
---------
METALS & MINING - 0.04%
200 Potash of Saskatchewan.............. 12,500
---------
OFFICE EQUIP - 0.25%
300 International Business Machine
Corp............................... 33,338
300 Xerox Corp.......................... 37,650
---------
70,988
---------
OIL EQUIPMENT & SERVICES - 0.14%
500 Schlumberger Ltd.................... 39,563
---------
</TABLE>
See Notes to Financial Statements on Pages 28 - 29
22
<PAGE> 14
- --------------------------------------------------------------------------------
Asset Management Portfolio III
SCHEDULE OF INVESTMENTS March 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- ------------ ------------------------------------ ------------
<C> <S> <C>
OIL - DOMESTIC - 0.33%
400 Chevron Corp........................ $ 22,450
2,200 Unocal.............................. 73,425
---------
95,875
---------
OIL - INTERNATIONAL - 1.10%
1,000 Exxon Corp.......................... 81,625
700 Mobil............................... 81,112
500 Royal Dutch Petroleum Co. - ADR..... 70,625
1,000 Texaco Inc.......................... 86,000
---------
319,362
---------
PAPER - 0.12%
900 International Paper................. 35,438
---------
PETROLEUM RELATED - 0.12%
300 Amoco Corp. ........................ 21,675
100 Atlantic Richfield.................. 11,900
---------
33,575
---------
PHARMACEUTICALS - 0.10%
700 Pharmacia & Upjohn Inc.............. 27,912
---------
PRINTING & PUBLISHING - 0.18%
600 McGraw-Hill Cos. Inc................ 52,050
---------
PRODUCTIVITY ENHANCEMENT - 0.02%
400 Teradyne Inc.(a).................... 6,700
---------
PROFESSIONAL SERVICES - 0.05%
400 H & R Block......................... 14,450
---------
RAILROADS - 0.40%
1,400 Burlington Northern Santa Fe........ 114,975
---------
RETAIL - 0.30%
1,000 Rite Aid............................ 30,875
2,400 Wal-Mart Stores Inc................. 55,500
---------
86,375
---------
TELECOMMUNICATIONS - 0.86%
166 360 Communications.................. 3,963
300 Ameritech Corp...................... 16,350
1,200 AT&T Corporation.................... 73,500
2,800 Comcast Corp. spcl, Cl. A........... 49,525
700 Frontier Corp....................... 22,050
1,200 GTE Corp. .......................... 52,650
500 MCI Communications.................. 15,125
300 NYNEX Corp.......................... 14,963
---------
248,126
---------
TOBACCO - 0.18%
600 Philip Morris....................... 52,650
---------
<CAPTION>
SHARES SECURITY VALUE
- ------------ ------------------------------------ ------------
<C> <S> <C>
UTILITY - ELECTRIC - 0.28%
600 American Electric Power............. $ 25,050
500 FPL Group........................... 22,625
400 Southern Co......................... 9,550
600 Texas Utilities Co.................. 24,825
---------
82,050
---------
UTILITY - GAS, NATURAL GAS - 0.21%
1,400 Consolidated Natural Gas............ 60,900
---------
UTILITY - TELEPHONE - 0.28%
300 Bell Atlantic Co.................... 18,525
600 BellSouth Corp...................... 22,200
400 SBC Communications Inc.............. 21,050
500 Sprint Corp......................... 19,000
---------
80,775
---------
TOTAL COMMON STOCKS
(Cost $4,544,088).................................. $5,148,090
---------
PRINCIPAL
AMOUNT
- ------------
CORPORATE DEBT
NON-CONVERTIBLE - 10.31%
AEROSPACE - 0.42%
$ 120,000 Lockheed Corp., 7.875%, 3/15/23..... $ 120,775
---------
BANKS - 2.13%
100,000 Bayerische L/B, 6.375%, 10/15/05.... 97,255
120,000 Dresdner Bank - New York, 6.625%,
9/15/05............................ 117,964
60,000 Fleet/Norstar Group, 7.65%,
3/01/97............................ 60,914
215,000 International Bank Reconstruction &
Development, 8.875%, 3/01/26....... 259,642
80,000 Standard Credit Card Master Trust,
6.55%, 10/07/05.................... 78,330
---------
614,105
---------
FINANCIAL SERVICES - 3.25%
200,000 BHP Finance USA, 6.420%, 3/01/26.... 195,823
50,000 Dean Witter Discover, 6.875%,
3/01/03............................ 50,033
220,000 Ford Motor Credit, 6.250%,
11/08/00........................... 217,108
60,000 Goldman Sachs, 5.6445%(b)(d),
2/23/98............................ 60,222
140,000 ITT Hartford, 6.375%, 11/01/02...... 136,089
70,000 KFW International Finance, 8.20%,
6/01/06............................ 76,402
135,000 Paine Webber Group, 9.25%,
12/15/01........................... 149,505
50,000 Swedish Export Credit, 9.875%,
3/15/38............................ 54,754
---------
939,936
---------
</TABLE>
See Notes to Financial Statements on Pages 28 - 29
23
<PAGE> 15
- --------------------------------------------------------------------------------
Asset Management Portfolio III
SCHEDULE OF INVESTMENTS March 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY VALUE
- ------------ ------------------------------------ ------------
<S> <C>
HOSPITAL SUPL/SERV - 0.72%
$ 130,000 Columbia/HCA Healthcare, 6.91%,
6/15/05............................ $ 129,535
70,000 Columbia/HCA Healthcare, 8.7%,
2/10/10............................ 78,841
----------
208,376
----------
INDUSTRIAL - 2.12%
165,000 Auburn Hills Trust, 12.0%,
5/01/20............................ 242,375
180,000 Celulosa Arauco Y Constitucion S.A.,
6.75%, 12/15/03.................... 172,184
190,000 Laidlaw, 7.7%, 8/15/02.............. 197,185
----------
611,744
----------
OIL - INTERNATIONAL - 0.33%
90,000 BHP Finance USA, 7.875%, 12/01/02... 94,513
----------
RETAIL - 0.30%
80,000 May Department Stores, 8.375%,
8/01/24............................ 85,735
----------
UTILITY - ELECTRIC - 0.63%
50,000 Idaho Power, 8.00%, 3/15/04......... 53,042
75,000 Potomac Edison, 8.00%, 6/01/24...... 75,617
50,000 Virginia Electric & Power, 8.625%,
10/01/24........................... 53,640
----------
182,299
----------
UTILITY - GAS, NATURAL GAS - 0.41%
100,000 KN Energy, 9.625%, 8/01/21.......... 117,188
----------
TOTAL CORPORATE DEBT NON-CONVERTIBLE
(Cost $2,962,761).................................. $2,974,671
----------
CORPORATE DEBT CONVERTIBLE -
FOREIGN - 0.49%
GERMANY - 0.49%
140,000 Nordeutsche L/B Girozen, 6.875%,
3/10/03............................ 140,613
----------
TOTAL CORPORATE DEBT CONVERTIBLE - FOREIGN
(Cost $134,408).................................... $140,613
----------
<CAPTION>
PRINCIPAL
AMOUNT SECURITY VALUE
- ------------ ------------------------------------ ------------
<S> <C>
U.S. GOVERNMENT &
AGENCIES - 15.51%
$ 800,000 FGHLMC, 7.50%, 9/01/25(c)........... $ 800,746
311,527 FHLMC, 6.93% to 9.50%, maturing
9/05/00 to 2/01/25(c).............. 501,942
1,595,298 FNMA, 6.00% to 8.625% maturing
1/1/01 to 8/1/25(c)................ 1,621,806
1,358,464 GNMA, 6.5%, 9/15/23(c).............. 1,289,261
245,000 Tennessee Valley Authority, 8.25%,
4/15/42............................ 264,899
----------
TOTAL U.S. GOVERNMENT & AGENCIES
(Cost $4,565,350).................................. $4,478,654
----------
FOREIGN DEBT - 1.51%
GOVERNMENT - 1.09%
80,000 New Zealand Government, 10.625%,
11/15/05........................... 101,986
80,000 New Zealand Government 8.75%,
12/15/06........................... 92,371
130,000 Quebec Province, 7.125%, 2/09/24.... 120,379
----------
314,736
----------
INDUSTRIAL - 0.42%
125,000 Manitoba, 6.125%, 1/19/04........... 120,451
----------
TOTAL FOREIGN DEBT
(Cost $436,592).................................... $435,187
----------
U.S. TREASURY SECURITIES - 11.32%
460,000 U.S. Treasury Bonds, 7.25%,
8/15/22............................ 480,125
2,815,000 U.S. Treasury Notes, 5.00% to 5.50%,
maturing 12/31/97 to 11/15/98...... 2,788,079
----------
TOTAL U.S. TREASURY SECURITIES
(Cost $3,326,671).................................. $3,268,204
----------
SHORT TERM INSTRUMENTS - 41.97%
U.S. TREASURY BILLS - 28.17%
8,160,000 4.97% to 5.225%, maturing 4/25/96 to
5/16/96............................ 8,131,402
----------
</TABLE>
See Notes to Financial Statements on Pages 28 - 29
24
<PAGE> 16
- --------------------------------------------------------------------------------
Asset Management Portfolio III
SCHEDULE OF INVESTMENTS March 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY VALUE
- ------------ ------------------------------------ ------------
<C> <S> <C>
REPURCHASE AGREEMENT - 13.80%
$ 3,987,048 Sanwa Bank, 5.35%, dated 3/29/96,
principal and interest in the
amount of $3,988,826 due 4/1/96
(collateralized by U.S. Treasury
Notes, par value of $2,758,000,
11.25%, due 2/15/15, value of
$4,055,122)........................ $ 3,987,048
------------
TOTAL SHORT TERM INSTRUMENTS
(Cost $12,118,450)................................. 12,118,450
------------
TOTAL INVESTMENTS
(Cost $28,088,320) - 98.94%........................ 28,563,869
Other Assets Less Liabilities - 1.06%.............. 304,796
------------
NET ASSETS - 100.00%............................... $ 28,868,665
============
</TABLE>
(a) Non-Income Producing Securities
(b) Quarterly Floating Rate Note
(c) The following abbreviations are used in the portfolio description.
FGHLMC - Federal Gold Home Loan Mortgage Corporation
FHLMC - Federal Home Loan Mortgage Corporation
FNMA - Federal National Mortgage Association
GNMA - Government National Mortgage Association
(d) Securities exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers. At the period end,
the value of these securities amounted to $60,222 or 0.21% of net assets.
