BT ADVISOR FUNDS, N-30D, 1996-05-31

BT ADVISOR FUNDS
N-30D, 1996-05-31

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- BT ADVISOR FUNDS -

CAPITAL APPRECIATION FUND
INTERNATIONAL EQUITY FUND
SMALL CAP FUND

SEMI-ANNUAL REPORT
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MARCH - 1996
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BT Advisor Funds
TABLE OF CONTENTS
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<TABLE>
<S> <C>
LETTER TO SHAREHOLDERS
Capital Appreciation Fund........................................................... 3
International Equity Fund........................................................... 5
Small Cap Fund...................................................................... 8
BT ADVISOR FUNDS
Statements of Assets and Liabilities................................................ 11
Statements of Operations............................................................ 12
Statements of Changes in Net Assets................................................. 13
Financial Highlights................................................................ 13
Notes to Financial Statements....................................................... 14
CAPITAL APPRECIATION PORTFOLIO, INTERNATIONAL EQUITY PORTFOLIO AND SMALL CAP PORTFOLIO
Schedules of Portfolio Investments.................................................. 16
Statements of Assets and Liabilities................................................ 22
Statements of Operations............................................................ 23
Statements of Changes in Net Assets................................................. 23
Financial Highlights................................................................ 24
Notes to Financial Statements....................................................... 25
</TABLE>

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BT Advisor Funds
LETTER TO SHAREHOLDERS OF CAPITAL APPRECIATION FUND
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CAPITAL APPRECIATION FUND

The Capital Appreciation Fund (the "Fund") commenced operations on February 16,
1996. Since its inception, the Fund has returned 1.20%, excluding the sales
charge of 4.75%, for the period ended March 31, 1996.

MARKET ACTIVITY

The past few months were a time of economic uncertainty and confusion for the
stock market. Signs of an economic slowdown, combined with the Federal Reserve
Board's decision not to lower interest rates further, raised fears that the
economy might be heading for a recession and that companies' earnings growth
would slow significantly, or possibly even decline year over year. Fears that
inflation would rise were also high. This uncertainty about the future impacted
middle capitalization companies more than larger capitalization companies, and
so the S&P Midcap Index lagged the S&P 500 Index by more than 4% during the
semi-annual period. In the prior six months, mid cap stocks had led large cap
stocks by more than 1%.

As we moved through the first quarter of the year, much of the uncertainty
dissipated, and this renewed confidence in the macroeconomic climate helped the
S&P Midcap Index outperform the S&P 500 again in March 1996.

Sector performance within the mid cap universe also reflected economic trends.
The top performing sectors were health care, energy and financial
services -- all sectors that were viewed as either benefiting from rising
inflation and slowing economic growth or sectors that were seen as relatively
insensitive to economic cycles. Those sectors that were seen as more influenced
by economic cycles, such as consumer staples, capital spending, and technology,
were among the worst performing sectors in the mid capitalization marketplace.

INVESTMENT REVIEW

The last few months were a period of much confusion with regard to the economic
outlook, the interest rate environment and earnings prospects. It was also a
period in which volatility was higher than it had been in some time. In this
kind of environment, the type of stocks the portfolio management team seeks for
the Fund were hurt more sharply than the general market indices. We look for
companies with strong and accelerating earnings, whose prospects are not yet
fully recognized by the stock market. The portfolio was also positioned to
reflect Bankers Trust's macroeconomic view that the slowdown in economic growth
would be temporary, that we would see a reacceleration after the first quarter
of 1996, and that interest rates would not decline significantly further. Thus,
we focused particularly on companies that would continue to show strong earnings
growth and could see some benefit from reacceleration in the economy. We used
the market's volatility to our investors' advantage in implementing this
strategy, particularly in the first quarter of 1996, using significant price
dips to accumulate or add to positions in companies, which we believe have
strong earnings prospects, in the belief that our shareholders would be well
rewarded by these purchases over the coming months.

The first quarter was also a period in which volatility was higher than normal.
The portfolio management team exploited that volatility to our investors
advantage by using periods of weakness to initiate or add to positions in
companies with strong future prospects whose stocks may be hurt temporarily by
the markets volatility. A good example of that strategy was our investment in
Cheyenne Software, which was made when the stock dropped sharply in the wake of
concerns over product transition issues. We believed that the market was being
too short term orientated in its concerns and that Cheyenne's product pipeline
was not only strong, it was quite unique in the industry. Shortly after we
initiated the position, Cheyenne received a takeover bid from MacAfee Associates
at close to 100% above the price at which we purchased the stock for the
portfolio.

The portfolio management team uses a very disciplined investment process in
managing the Fund. One of the tenets of this process is the use of themes.
Themes are secular trends which are occurring in the world irrespective of
economic cycles. The team attempts to identify these trends and find companies
which, in addition to being well managed and having strong fundamental growth
prospects, will be able to benefit significantly from these secular trends. We
also have a strict valuation sell discipline. During the fourth quarter of 1995,
we scaled back on many of those technology stocks that appeared to us to be
selling at price/earnings multiples that their growth rates did not justify,
particularly those tied to the personal computer and semiconductor industries.
We refocused our technology holdings towards those companies which we believed
would be major beneficiaries in the further deregulation of our communications
industry, increasing our commitment to such themes as "Telecommunications." We
also initiated several new technology-related themes: "Life on the Net" and
"Managing the Information Age," which seek to identify companies that are
integral to the use of the Internet and corporate intranets and companies that
can help individuals and corporations manage and leverage an increasingly
complex range of information services and tools.

Even though a lot of the technology companies were volatile over the last few
months, we remain overweight in this sector relative to our benchmark. We
believe that technology is becoming more pervasive and ubiquitous than ever and
that this is a secular trend, not a cyclical one. We view the sector slowdown in
the last few months simply as a pause within a longer-term uptrend. Technology
is such a broad category that not every company in the sector will prosper.
Historically, the thematic approach we use, combined with our detailed
fundamental analysis, has been of great benefit to our shareholders in this
volatile sector, particularly when one looks over a longer time frame.

During the period, we increased our holdings in the energy sector, with a
particular focus on those companies that have dramatically lowered their cost
structures and should be able to continue to improve profitability even if oil
and gas prices were to go lower in the months ahead. We particularly favor those
energy companies with special niche technologies that should benefit from
increased exploration activity by the majors.

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We have also selectively been increasing our exposure to certain consumer
stocks, because we believe the consumer is starting to spend again. The consumer
sector is going through a period of great secular change, as companies adjust to
the fact that consumer spending in the 1990s should be lower than consumer
spending in the 1980s due to the aging of the baby boomers. As with any secular
shift of this magnitude, certain companies are very well positioned to take
advantage of this shift, while others will be hurt by it. We have centered our
commitment to this sector around companies that can benefit from new consumer
buying patterns by offering exceptional value for the money, by having strong,
identifiable brand names with the consumers, or by exploiting our changing
leisure time patterns.

The Fund also remains overweight in the healthcare sector, with a focus around
those companies that benefit from the shift in delivery of healthcare services
and are focused on supplying services and products to an aging population.
During the period, a new healthcare theme, "Life Sciences Revolution," was begun
because we recognized that several factors are converging which we believe will
result in strong improvement in profits from many mid-sized biotechnology
companies, as they move from the development stage into the production stage
with their drugs.

As has been our investment management style, we continue to use good fundamental
research to identify companies with consistently strong earnings and revenue
growth, to use our thematic approach and screening processes to help us identify
unrecognized growth companies and/ or sectors, and finally, to use the
volatility of the marketplace to our shareholders' advantage by initiating or
adding to positions on weakness.

LOOKING AHEAD

Bankers Trust is forecasting moderate growth in the economy, relatively stable
interest rates and relatively stable inflation (although somewhat higher than
last year's levels). We believe this environment is a very positive one for mid
cap companies, particularly for the type of companies in the Fund. We believe it
is possible that the outperformance of mid cap stocks relative to their larger
cap brethen seen in March may continue for the rest of the year, primarily due
to their relatively cheaper valuation and the prospect of stronger earnings
growth from this asset class. We still expect higher than normal volatility in
the market, particularly as we move closer to the election in November.

Our strategy in this environment continues to be focused on individual companies
with compelling growth characteristics. We will try to use market volatility to
our shareholders' advantage by purchasing strong companies whose stocks may have
been hurt by unrelated market volatility. In our opinion, the mid cap bias of
the Capital Appreciation Fund will possibly offer shareholders some of the
outperformance potential that resides in the smaller cap end of the marketplace,
but with more liquidity and through companies that are themselves a bit more
mature than the typical small cap company.

We will, of course, continue monitoring economic conditions and how they affect
the financial markets, as we seek capital growth over the long term.
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<TABLE>
<S> <C>
OBJECTIVE Seeks capital growth over the long-term through
investment in medium sized companies that show
growth potential. Current income is a secondary
goal.
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INVESTMENT INSTRUMENTS Primarily common stocks of growth-oriented
domestic corporations and, to a lesser extent,
foreign corporations, but may invest in any
market sectors and companies of any size; also,
may take advantage of any investment
opportunity with attractive long-term
prospects.
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TEN LARGEST STOCK HOLDINGS Green Tree Financial Corp. U.S. Surgical Corp
Parametrics Technology Corp. Elan PLC.
First USA Payment Tech Inc. Nellcor Puritan Bennett Inc.
Staples Inc. Newbridge Networks Co.
Danka Business Systems ADR Health Source Inc.
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FUND RETURN The total return for the period February 16,
1996 (commencement of operations) to March 31,
1996 was 1.20% (excluding the sales charge of
4.75%). Investment return and principle value
may fluctuate so that shares, when redeemed,
may be worth more or less than their original
cost.
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</TABLE>

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DIVERSIFICATION OF PORTFOLIO
INVESTMENTS BY THEME
AS OF MARCH 31, 1996 (UNAUDITED)
(percentages are based on market values)

Life Sciences Revolution 4.48%
New Health Care Paradigm 5.21%
U.S. Treasury Bills 9.93%
Telecommunications 5.85%
America's Changing Leisure Time 5.37%
Interactive Media 4.43%
Managing the Information Age 5.73%
Client-Server Computing 4.11%
Move to Outsourcing 8.95%
Stores of Value 7.53%
Productivity Enhancement 4.70%
New Consumer 8.49%
Life on the Net 5.97%
Other* 19.25%

* No one theme represents more than 4.00% of portfolio holdings.
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<TABLE>
<S> <C>
ABOUT THE MARY LISANTI
PORTFOLIO MANAGER MANAGING DIRECTOR
- Manager of the Capital Appreciation
Portfolio, Small Cap Portfolio and separate
aggressive growth accounts
- 16 years of investment experience as a
portfolio manager and analyst in Small/MidCap
equities
- Joined Bankers Trust from Lieber &
Company/The Evergreen Funds, where for three
years she was Vice President of Investments and
a portfolio manager working on their $800
million small and mid-sized company fund
- Senior Vice President at Shearson Lehman
Brothers, headed for firm's emerging growth
stock investment strategy and research effort;
member of the Investment Policy Committee
- Earned the #1 ranking in Institutional
Investor's All Star Research Team in 1989
(ranked #2 and #3 in 1987 and 1986,
respectively) for her work as a small company
stock analyst
- B.A.--Princeton University
- Member, New York Society of Security Analysts
and Financial Federation
</TABLE>

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LETTER TO SHAREHOLDERS OF INTERNATIONAL EQUITY FUND
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The International Equity Fund (the "Fund") commenced operations on February 16,
1996. Since its inception, the Fund has returned 2.40%, excluding the sales
charge of 4.75%, for the period ended March 31, 1996.

MARKET ACTIVITY

EUROPE As a whole, continental Europe, i.e. ex-U.K., continued to outperform,
though a number of the peripheral markets did not do particularly well during
these few months. These include Finland, where one of the dominant companies in
its local index, Nokia, experienced a

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BT Advisor Funds
LETTER TO SHAREHOLDERS OF INTERNATIONAL EQUITY FUND
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correction; Austria, which owing to political uncertainties and fiscal concerns,
was one of the poorest performing markets; and Sweden, which underperformed
largely due to changes in its government. In Spain, interest rate sensitive
stocks continued their significant outperformance until the March 1996
elections, leading the market down in a massive post-election selloff.

France was one of the best performing markets during this latest semi-annual
period. Taking the lead on the continent in lowering interest rates, the French
Central Bank was able to take advantage of the strength of the franc, which, in
turn, benefited from the strong U.S. dollar. Ireland, a market which has been
slowly re-rating to reflect excellent underlying long-term GDP growth potential,
performed well, too.

The United Kingdom was one of the worst performing EAFE markets over the last
few months. Political pressure continues to mount here as the Tory majority
dwindles and concerns grow over likely market-related Labor policies regarding
regulations and taxation. The U.K. equity market, in our opinion, is less likely
to benefit from its European Union peers' interest rate reductions.

ASIA The Japanese equity market solidly rebounded off its lows in the last few
months, but most of the gains were given back by a weakening currency. In the
Pacific ex-Japan, the markets overall strongly outperformed EAFE for both the
last year and the last few months, led by Hong Kong, Malaysia, and Singapore.
Among non-EAFE countries, Indonesia and the Philippines were the best
performers. Thailand has lagged due to concerns of inflation, recent massive
flooding, a cautious Central Bank, and political worries regarding the
durability of the current government.

SOUTH AFRICA Weakness in the rand, due primarily to rumors about the removal of
currency exchange controls and President Nelson Mandela's poor health, led to
recent underperformance in this market.

INVESTMENT REVIEW

Overall, the Fund remains overweighted in continental Europe, as we continue to
find most of these equity markets to be attractively valued. We increased our
exposure over the last few months to the core countries while staying well
represented in the peripheral markets. More specifically, we saw Nokia's
problems in Finland as an opportunity to gain exposure to this company after the
correction was under way, for we believe it still has excellent long-term growth
potential. We remained overweighted in Sweden, which though it underperformed in
local currency terms, was one of the best performing markets in dollar terms
over the last few months. The Swedish market was led by Astra, a pharmaceutical
company. Fiscal discipline and a strengthening currency, both of which allow for
further monetary loosening, should support continued strong performance in
Sweden.

We increased the portfolio's exposure in Germany, primarily through the Initial
Public Offering (IPO) of Adidas, one of the nation's few true growth companies.
This IPO also gave us the opportunity to participate in what is known as the
Mittelstand, or that group of smaller to middle-sized companies with what we
consider to be attractive valuations. We also took some profits here, but we
expect to maintain our position in Germany for the long term, based on
attractive industrial restructuring opportunities and exposure to an expected
economic turnaround as 1996 develops.

The Fund benefited from its largest European overweighting, namely France, as
well as from its position in Ireland. The Fund also remains overweight in Spain
and Italy. Though neither of these two latter markets performed well, we believe
compelling valuations there will eventually be realized. While the Fund remains
very underweighted in the United Kingdom, we did increase our exposure somewhat
through the IPO of Orange, the rapidly growing cellular operator. We
significantly reduced the Fund's exposure to Austria, which owing to political
uncertainties and fiscal concerns, has been one of the poorest performing
markets.

The Fund's underweighted position in Japan was beneficial through the first
quarter of 1996. Still, the Fund has been increasing its weighting here
gradually over the last year, and most significantly in the last few months. We
have, for the most part, successfully captured the gains of yen-weakness
beneficiaries, consumer-related stocks, and economically-sensitive domestic
companies, while continuing to avoid financial stocks that will have to grapple
with the unfolding Jusen crisis.

In both Asia and South Africa, we have significantly increased the number of
positions the Fund holds, while reducing the average position weighting. This
strategy is intended both to capture what we believe is the greater appreciation
potential of "second liners" in addition to that of the "blue chips" and also to
lower overall portfolio volatility through greater diversification.

A currency overlay, which increased the Fund's dollar exposure, added to the
Fund's performance during this period of dollar strength as well.

LOOKING AHEAD

Going forward, we continue to be very sanguine about prospects for interest rate
decreases throughout the European region, particularly in France, Spain, Sweden
and Italy. On the other hand, we intend to remain underweight in the United
Kingdom, as we believe this market is pressing against its valuation ceiling and
is reflecting the advanced stage of the nation's economic cycle.

As for Japan, we are cautiously optimistic that domestic investors will be
increasing their exposure to the equity market, and we also see confirmation
that the Japanese economy is continuing on a positive track. We are, however,
concerned about the continuing crisis in the financial sector and the impact
that may have on Japan's financial markets in general. Thus, we will likely
remain underweight here for the near term and look to possibly increase exposure
should Japan's economic recovery continue.

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We intend to stay overweight in Asia ex-Japan, though we have done some recent
trimming here, primarily by taking profits in Hong Kong. This is in part due to
our concern that a rise in U.S. interest rates and weakness in the U.S. bond
market will negatively affect this region in the near term. We will likely be
reinvesting and increasing the Fund's exposure in Australia to benefit from
gearing to the region's economic recovery. And, in South Africa, we expect
excellent long-term growth and investment opportunities, in large part due to
the rise in consumerism from newly enfranchised segments of the population.

We will, of course, continue monitoring economic conditions and how they affect
the financial markets, as we seek long-term capital appreciation.
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<TABLE>
<S> <C>
Seeks long term capital appreciation from
OBJECTIVE investments in foreign equity securities or
other securities with equity characteristics.
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Equity securities of foreign issuers,
INVESTMENT INSTRUMENTS consisting of common stock and other securities
with equity characteristics; the investments
are diversified among several regions.
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TEN LARGEST HOLDINGS Adidas AG Storehouse
Internationale Nederlanden Group Philips Electronics
Astra AB, Series A BBC Brown Boveri & Cie, Cl. A
Kymmene OY Volkswagen AG
Hutchison Whampoa AJL Peps Trust
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The total return for the period February 16,
1996 (commencement of operations) to March 31,
1996 was 2.40% (excluding the sales charge of
FUND RETURN
4.75%). Investment return and principle value
may fluctuate so that shares, when redeemed,
may be worth more or less than their original
cost.
- -----------------------------------------------------------------------------------
</TABLE>

DIVERSIFICATION OF PORTFOLIO EQUITY INVESTMENTS
BY COUNTRY AS OF MARCH 31, 1996 (UNAUDITED)
(percentages are based on market value)

Finland 4.25%
France 10.41%
Spain 4.96%
Other 0.80%
Italy 4.81%
Australia 2.84%
Sweden 4.39%
Venezuela 0.82%
Denmark 1.48%
Japan 19.68%
Norway 2.06%
Philippines 1.82%
Austria 0.34%
Malaysia 2.59%
United Kingdom 6.97%
Singapore 0.88%
Ireland 2.39%
Nertherlands 6.94%
South Africa 2.60%
Switzerland 2.76%
Indonesia 1.19%
Germany 5.94%
India 0.44%
Thailand 1.28%
Hong Kong 7.36%

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<TABLE>
<S> <C>
ABOUT THE MICHAEL LEVY
PORTFOLIO MANAGER MANAGING DIRECTOR, GLOBAL INVESTMENT MANAGEMENT
- Head of International Active Equity Portfolio
Management Team, International Equity Fund
- Equity Strategist/International Investment
Advisory
- Responsible for design and management of U.S.
International quantitative proprietary stock
selection processes. Chairman, stock
selection group.
- Prior experience in equity analysis with
Oppenheimer & Co., investment banking and
manufacturing; 24 years business experience, 14
years investment industry experience
- Joined Bankers Trust in 1993
- B.A. (Mathematics) -- University of Michigan
M.S. (Geophysics) -- University of Michigan
</TABLE>

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The Small Cap Fund (the "Fund") commenced operations on February 16, 1996. Since
its inception, the Fund has returned 4.60%, excluding the sales charge of 4.75%,
for the period ended March 31, 1996.

MARKET ACTIVITY

In general, the past few months were a time of economic uncertainty and
confusion for the stock market. Signs of an economic slowdown, combined with the
Federal Reserve Board's decision not to lower interest rates further, raised
fears that the economy might be heading for a recession and that companies'
earnings growth would slow significantly, or possibly even decline year over
year. Since smaller companies are viewed as more vulnerable to economic
slowdowns, this sector of the marketplace underperformed. In fact, the Russell
2000 Index underperformed both middle capitalization companies, as measured by
the S&P Midcap Index, and large capitalization stocks, as measured by the S&P
500.

As we moved through the first quarter of the year, it became clearer that the
economic slowdown was temporary in nature, and the prospect of a pickup in
economic growth led small stocks to have the strongest performance of all U.S.
equity sectors in March of 1996.

Sector performance within the small cap universe also reflected economic trends.
The top performing sectors were those that were viewed as impervious to economic
cycles, such as healthcare, or those where a sectoral shift was beginning, which
should continue regardless of economic activity, such as energy and financial
services. Sectors that were viewed as more economically sensitive, such as
producer durables, technology and consumer staples, were among the worst
performing sectors.

INVESTMENT REVIEW

The portfolio management team utilizes a very disciplined investment process in
managing the Small Cap Fund. One of the tenets of this process is the use of
themes -- secular trends which are occurring in the world. The team attempts to
identify these trends and find companies which, in addition to being well
managed and having strong fundamental growth prospects, will be able to benefit
significantly from these secular trends, irrespective of economic or sector
cycles. This thematic approach served our investors well over the past few
months.

For example, during the period, we initiated several new themes. Life on the Net
and Managing the Information Age seek to identify companies that are integral to
the use of the Internet and corporate intranets and companies that can help
individuals and corporations manage and leverage an increasingly complex range
of information services and tools. Life Sciences Revolution was begun because we
recognized that several factors are converging, which we believe will result in
strong improvement in profits from any small biotechnology companies, as they
move from development stage into production stage with their drugs.

The first quarter was also a period in which volatility was higher than normal.
The portfolio management team exploited that volatility to our investors
advantage by using periods of weakness to initiate or add to positions in
companies with strong future prospects whose stocks may be hurt temporarily by
the markets volatility. A good example of that strategy was our investment in
Cheyenne Software. When the stock dropped sharply in the wake of concerns over
product transition issues, we added to our position. We believed that the market
was being too short term orientated in its concerns and that Cheyenne's product
pipeline was not only strong, it was quite unique in the industry. Shortly after
we added to our position, Cheyenne received a takeover bid from MacAfee
Associates at close to 100% above the price at which we purchased the additional
stock for the portfolio.

LOOKING AHEAD

Bankers Trust is forecasting moderate growth in the economy, relatively stable
interest rates and relatively stable inflation (although somewhat higher than
last year's). We believe this environment is a very positive one for smaller
companies. Smaller cap stocks are forecast to grow earnings at a faster rate
than larger cap stocks, but do not as yet command significantly higher
price/earnings ("P/E") ratios. Cycles of outperformance for smaller companies
have historically been divided into two phases; during the second phase, they
command significantly higher P/E ratios. We believe that we are in the beginning
of that second phase and that small company stocks could significantly
outperform large company stocks through 1996. We still expect higher than normal
volatility in the market, particularly as we come closer to the election in
November.

Our strategy in this environment continues to be focused on identifying
individual companies with compelling growth characteristics. As we have in the
past, we will try to use market volatility to our investors' advantage by
purchasing or adding to positions in strong companies whose stocks may have been
hurt by unrelated market volatility.

As for specific sectors, we believe that the consumer is starting to spend again
and so we have been selectively increasing our exposure to consumer
discretionary stocks. We have centered our consumer holdings around companies
that offer very strong value for the money, have strong, identifiable franchises
they can leverage, and/or play to the new ways in which we are spending our
leisure time. While the technology sector was one of the poorest performing
sectors for the last few months, we believe the weakness in that sector is
ending. Our fundamental belief that technology as a whole is becoming more
pervasive and ubiquitous than ever still rings true. We view the current
slowdown in the sector as simply a pause within a longer-term uptrend, and so we
intend to remain overweight in technology. Our technology holdings remain
centered around secular trends, such as the Internet, or the convergence of
voice, data, and video into our homes. Again, our thematic

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approach combined with our strong fundamental analysis has enabled us to
identify strong performing companies even in poor performing sectors.

We will, of course, continue monitoring economic conditions and how they affect
the financial markets, as we seek long-term capital growth.
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<TABLE>
<S> <C>
Seeks to provide long-term capital growth by
OBJECTIVE investing primarily in equity securities of
smaller companies. The production of any
current income is secondary to this objective.
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INVESTMENT INSTRUMENTS Primarily common stocks of smaller U.S.
corporations and, to a lesser extent, in
foreign corporations.
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TEN LARGEST COMMON STOCK HOLDINGS APAC Teleservices Inso Corp.
Rational Software Accustaff
Papa John's International Inc. National Data Corp.
Physician Reliance Network Business Objects S.A., ADR
Dollar Tree Stores Inc. Living Centers of America
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FUND RETURN The total return for the period February 16,
1996 (commencement of operations) to March 31,
1996 was 4.60% (excluding the sales charge of
4.75%). Investment return and principle value
may fluctuate so that shares, when redeemed,
may be worth more or less than their original
cost.
- -----------------------------------------------------------------------------------
</TABLE>

DIVERSIFICATION OF PORTFOLIO
INVESTMENTS BY THEME
AS OF MARCH 31, 1996 (UNAUDITED)
(percentages are based on market value)

U.S. Treasury Bills 10.55%
Telecommunications 7.84%
Life on the Net 5.92%
Other* 2.71%
Productivity Enhancement 4.80%
New Health Care Paradigm 9.81%
Stores of Value 4.30%
America's Changing Leisure Time 6.39%
Fourishing in the Managed Care Environment 7.59%
Client-Server Computing 11.10%
Life Sciences Revolution 7.07%
New Consumer 4.59%
Move to Outsourcing 8.51%
Managing the Information Age 8.82%

* No one Investment Theme represents more than 3% of Portfolio Holdings.
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- --------------------------------------------------------------------------------
BT Advisor Funds
LETTER TO SHAREHOLDERS OF SMALL CAP FUND
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ABOUT THE MARY LISANTI
PORTFOLIO MANAGER MANAGING DIRECTOR
- Manager of the Small Cap Portfolio, Capital
Appreciation Portfolio, and separate aggressive
growth accounts
- 16 years of investment experience as a
portfolio manager and analyst in Small/Mid
cap equities
- Joined Bankers Trust from Lieber &
Company/The Evergreen Funds, where for three
years she was Vice President of Investments and
a portfolio manager working on their $800
million small and mid-sized company fund
- Senior Vice President at Shearson Lehman
Brothers, headed the firm's emerging growth
stock investment strategy and research effort;
member of the Investment Policy Committee
- Earned the #1 ranking in Institutional
Investor's All Star Research Team in 1989
(ranked #2 and #3 in 1987 and 1986,
respectively) for her work as a small company
stock analyst
- B.A. -- Princeton University
- Member, New York Society of Security Analysts
and Financial Analyst Federation
</TABLE>

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BT Advisor Funds
STATEMENTS OF ASSETS AND LIABILITIES March 31, 1996 (unaudited)
- --------------------------------------------------------------------------------

<TABLE>
<CAPTION>
CAPITAL INTERNATIONAL SMALL
APPRECIATION EQUITY CAP
------------ ------------- -------------
<S> <C> <C> <C>
ASSETS
Investment in Portfolio, at Value+........................................ $663,610 $ 463,176 $ 579,590
Deferred Organizational Expenses.......................................... 8,787 8,787 8,787
Prepaid Expenses and Other................................................ 263 261 263
Due from Bankers Trust.................................................... 5,376 6,358 5,423
-------- -------- --------
Total Assets................................................................. 678,036 478,582 594,063
-------- -------- --------
LIABILITIES
Accrued Expenses and Other................................................ 14,713 15,585 14,669
-------- -------- --------
Total Liabilities............................................................ 14,713 15,585 14,669
-------- -------- --------
NET ASSETS ($0.001 par value per share, unlimited number of shares of
beneficial interest authorized)............................................. $663,323 $ 462,997 $ 579,394
======== ======== ========
SHARES OUTSTANDING........................................................... 65,577 45,230 55,373
======== ======== ========
NET ASSET VALUE AND REDEMPTION PRICE PER SHARE............................... $ 10.12 $ 10.24 $ 10.46
======== ======== ========
COMPOSITION OF NET ASSETS
Paid-in Capital........................................................... $651,870 $ 452,474 $ 555,110
Accumulated Net Investment Income (Loss).................................. (829) 282 (574)
Accumulated Net Realized Gain (Loss) from Investments and Foreign Currency
Transactions............................................................ 26,590 956 (4,460)
Net Unrealized Appreciation (Depreciation) on Investments, Foreign
Currencies and Forward Currency Contracts............................... (14,308) 9,285 29,318
-------- -------- --------
NET ASSETS, MARCH 31, 1996................................................... $663,323 $ 462,997 $ 579,394
======== ======== ========
</TABLE>

- ------------------
+ Allocated from Capital Appreciation Portfolio, International Equity Portfolio
and Small Cap Portfolio.

See Notes to Financial Statements on Pages 14 - 15

11
<PAGE> 12

- --------------------------------------------------------------------------------
BT Advisor Funds
STATEMENTS OF OPERATIONS For the period February 16, 1996 (Commencement of
Operations) to March 31, 1996 (unaudited)
- --------------------------------------------------------------------------------

<TABLE>
<CAPTION>
CAPITAL INTERNATIONAL SMALL
APPRECIATION EQUITY CAP
------------ ------------- -------------
<S> <C> <C> <C>
INVESTMENT INCOME
Income (Loss), net+....................................................... $ (221) $ 779 $ (57)
------- ------- -------
EXPENSES
Administration and Services............................................... 439 403 373
Shareholders Reports...................................................... 2,530 2,530 2,530
Registration.............................................................. 240 206 240
Professional.............................................................. 1,590 2,590 1,590
Trustees.................................................................. 650 650 650
Amortization of Organizational Expenses................................... 213 213 213
12b-1 Distribution Expense................................................ 338 237 287
Miscellaneous............................................................. 423 429 430
------- ------- -------
Total Expenses............................................................ 6,423 7,258 6,313
Less: Expenses Absorbed by Bankers Trust.................................. (5,815) (6,761) (5,796)
------- ------- -------
Net Expenses............................................................ 608 497 517
------- ------- -------
NET INVESTMENT INCOME (LOSS)................................................. (829) 282 (574)
------- ------- -------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY
TRANSACTIONS
Net Realized Gain (Loss) from:
Investment Transactions................................................. 26,590 461 (4,460)
Foreign Currency Transactions........................................... -- 495 --
Net Change in Unrealized Appreciation (Depreciation) of:
Investments............................................................. (14,308) 8,168 29,318
Foreign Currencies and Forward Currency Contracts....................... -- 1,117 --
------- ------- -------
NET GAIN ON INVESTMENTS, FOREIGN CURRENCIES AND FORWARD CURRENCY CONTRACTS... 12,282 10,241 24,858
------- ------- -------
NET INCREASE IN NET ASSETS FROM OPERATIONS................................... $ 11,453 $10,523 $ 24,284
======= ======= =======
</TABLE>

- ------------------
+ Income allocated from Capital Appreciation Portfolio, International Equity
Portfolio and Small Cap Portfolio.

See Notes to Financial Statements on Pages 14 - 15

12
<PAGE> 13

- --------------------------------------------------------------------------------
BT Advisor Funds
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------

<TABLE>
<CAPTION>
CAPITAL INTERNATIONAL
APPRECIATION EQUITY SMALL CAP
---------------- ---------------- ----------------
FOR THE PERIOD FOR THE PERIOD FOR THE PERIOD
FEBRUARY 16, FEBRUARY 16, FEBRUARY 16,
1996 1996 1996
(COMMENCEMENT OF (COMMENCEMENT OF (COMMENCEMENT OF
OPERATIONS) OPERATIONS) OPERATIONS)
TO MARCH 31, TO MARCH 31, TO MARCH 31,
1996 1996 1996
(UNAUDITED) (UNAUDITED) (UNAUDITED)
---------------- ---------------- ----------------
<S> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS
Net Investment Income (Loss).................................... $ (829) $ 282 $ (574)
Net Realized Gain (Loss) from Investments, Foreign Currencies
and Futures Transactions...................................... 26,590 956 (4,460)
Net Unrealized Appreciation (Depreciation) on Investments,
Foreign Currencies and Forward Currency Contracts............. (14,308) 9,285 29,318
-------- -------- --------
Net Increased in Net Assets from Operations........................ 11,453 10,523 24,284
-------- -------- --------
TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST
Net Increase from Transactions in Shares of Beneficial
Interest...................................................... 651,870 452,474 555,110
-------- -------- --------
TOTAL INCREASE IN NET ASSETS....................................... 663,323 462,997 579,394
NET ASSETS
Beginning of Period................................................ -- -- --
-------- -------- --------
End of Period...................................................... $663,323 $462,997 $579,394
======== ======== ========
</TABLE>

FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------

Contained below are selected data for a share outstanding, total investment
return, ratios to average net assets and other supplemental data for each of the
periods indicated for each of the Funds.

<TABLE>
<CAPTION>
CAPITAL INTERNATIONAL
APPRECIATION EQUITY SMALL CAP
---------------- ---------------- ----------------
FOR THE PERIOD FOR THE PERIOD FOR THE PERIOD
FEBRUARY 16, FEBRUARY 16, FEBRUARY 16,
1996 1996 1996
(COMMENCEMENT OF (COMMENCEMENT OF (COMMENCEMENT OF
OPERATIONS) OPERATIONS) OPERATIONS
TO MARCH 31, TO MARCH 31, TO MARCH 31,
1996 1996 1996
(UNAUDITED) (UNAUDITED) (UNAUDITED)
---------------- ---------------- ----------------
<S> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE, BEGINNING OF PERIOD............................... $10.00 $10.00 $10.00
------ ------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income(Loss)..................................... (0.01) 0.01 (0.01)
Net Realized and Unrealized Gain on Investments and Foreign
Currency Transactions......................................... 0.13 0.23 0.47
------ ------ ------
Total from Investment Operations................................... 0.12 0.24 0.46
------ ------ ------
NET ASSET VALUE, END OF PERIOD..................................... $10.12 $10.24 $10.46
====== ====== ======
TOTAL INVESTMENT RETURN............................................ 1.20% 2.40% 4.60%
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period (000's omitted)....................... $ 663 $ 463 $ 579
Ratios to Average Net Assets
Net Investment Income....................................... (1.23%)* 0.59%* (1.00%)*
Expenses, including Expenses of the Portfolio+.............. 1.50%* 1.05%* 1.50%*
Decrease Reflected in Above Expense Ratio Due to Absorption
of Expenses by Bankers Trust............................... 8.79%* 14.26%* 10.27%*
</TABLE>

- ------------------
+ Capital Appreciation Portfolio, International Equity Portfolio and Small Cap
Portfolio.
* Annualized.

See Notes to Financial Statements on Pages 14 - 15

13
<PAGE> 14

- --------------------------------------------------------------------------------
BT Advisor Funds
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------

NOTE 1 -- ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
A. Organization
BT Advisor Funds ("the Trust") is registered under the Investment Company Act of
1940 ("the Act"), as amended, as an open-end management investment company. The
Trust was organized on July 24, 1995, as a business trust under the laws of the
Commonwealth of Massachusetts. The BT Advisor Capital Appreciation Fund,
International Equity Fund, and Small Cap Fund (each a "Fund", and collectively,
the "Funds") are offered to investors by the Trust. The Capital Appreciation
Fund, International Equity Fund, and Small Cap Fund commenced operations and
began offering shares of beneficial interest on February 16, 1996. The Capital
Appreciation Fund, International Equity Fund, and Small Cap Fund invest
substantially all of their assets in the Capital Appreciation Portfolio,
International Equity Portfolio, and Small Cap Portfolio (each a "Portfolio" and
collectively, the "Portfolios") respectively. The Portfolios are an open-end
management investment company registered under the Act. The Funds seek to
achieve their investment objectives by investing all of their investable assets
in the respective Portfolio. The value of such investment in the Portfolios
reflects each Fund's proportionate interest in the net assets of the respective
Portfolio. At March 31, 1996, Capital Appreciation Fund's investment was
approximately 0.35% of the Portfolio, International Equity Fund's investment was
approximately 0.40% of the Portfolio, and the Small Cap Fund's investment was
approximately 0.28% of the Portfolio.

The financial statements of each of the Portfolios, including the Schedules of
Portfolio Investments, are contained elsewhere in this report.

B. Investment Income
Each of the Funds earns income, net of expenses, daily on its investment in the
respective Portfolio. All of the net investment income and realized and
unrealized gains and losses from the security transactions of each Portfolio are
allocated pro rata among the investors in the Portfolio at the time of such
determination.

C. Organizational Expenses
Costs incurred by each Fund in connection with its organization and initial
registration are being amortized over a five year period on a straight-line
basis.

D. Dividends
It is the Capital Appreciation Fund's policy to declare and distribute dividends
quarterly to shareholders from net investment income, the Small Cap Fund and
International Equity Fund, distributes annually. Dividends payable to
shareholders are recorded by each Fund on the ex-dividend date. Distributions of
net realized short-term and long-term capital gains, if any, earned by each Fund
will be made annually to the extent they are not offset by any capital loss
carryforwards.

E. Federal Income Taxes
It is the Fund's policy to comply with the requirements of the Internal Revenue
Code. Therefore, no federal income tax provision is required. Each of the Funds
may periodically make reclassifications among certain of its capital accounts as
a result of the timing and characterization of certain income and capital gains
distributions determined annually in accordance with federal tax regulations
which may differ from generally accepted accounting principles.

F. Other
The Trust accounts separately for the assets, liabilities, and operations of
each of the Funds. Expenses directly attributable to each Fund are charged to
that Fund, while expenses which are attributable to all of the Trust's funds are
allocated among them.

The preparation of financial statements in conformity with generally acceptable
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 Funds 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 Funds in return for a fee computed daily and
paid monthly at an annual rate of each Fund's average daily net assets. The
following provides a table of annual rates and aggregated fees for each of the
funds for the period February 16, 1996 (Commencement of Operations) to March 31,
1996:

<TABLE>
<CAPTION>
FUND ANNUAL RATE AGGREGATED FEES
- -------------------------------------- ----------- ---------------
<S> <C> <C>
Capital Appreciation Fund............. 0.65 of 1% $ 439
International Equity Fund............. 0.85 of 1% 403
Small Cap Fund........................ 0.65 of 1% 373
</TABLE>

The Trust has entered into a Distribution Agreement with Signature Broker-Dealer
Services, Inc. ("Signature"). Under the Distributions Agreement with the Trust,
pursuant to Rule 12b-1 of the 1940 Act, Signature may seek reimbursement, at an
annual rate not exceeding 0.50 of 1% of the Fund's average daily net assets, for
expenses incurred in connection with any activities primarily intended to result
in the sale of each Fund's shares. For the period February 16, 1996
(Commencement of Operations) to March 31, 1996, reimbursable expenses incurred
by Capital Appreciation Fund, International Equity Fund, and Small Cap Fund
under this agreement were $338, $237, and $287, respectively.

Bankers Trust has voluntarily undertaken to waive and reimbursement expenses of
each Fund, to the extent necessary, to limit all expenses as follows. Capital
Appreciation Fund to 0.90 of 1% of the average daily net assets of the Fund,
excluding expenses of the Portfolio and 1.50 of 1% of the average daily net
assets of the Fund, including expenses of the Portfolio. International Equity
Fund to 1.05 of 1% of the average daily net assets of the Fund, excluding
expenses of the Portfolio and 1.70% of 1% of the average daily net assets of the
Fund, including expenses of the Portfolio. Small Cap Fund to 0.90 of 1% of the
average daily net assets of the Fund, excluding expenses of the Portfolio and
1.50 of 1% of the average daily net assets of the Fund, including expenses of
the Portfolio. For the period February 16, 1996 (Commencement of Operations) to
March 31, 1996, expenses of the Capital Appreciation Fund, International Equity
Fund, and Small Cap Fund have been reduced by $5,815, $6,761, and $5,796,
respectively.

Each of the Funds is subject to such limitations as may from time to time be
imposed by the Blue Sky laws of states in which each of the Funds sells its
shares. Currently, the most restrictive jurisdiction imposed expense limitation
of 2.5% of the first $30,000,000 of the

14
<PAGE> 15

- --------------------------------------------------------------------------------
BT Advisor Funds
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------

average daily net assets, 2.0% of the next $70,00,000, and 1.5% of any excess
over $100,000,000.

Certain trustees and officers of the Funds are also directors, officers and/or
employees of Signature. None of the trustees so affiliated received compensation
for services as trustees of the Funds. Similarly, none of the Funds' officers
received compensation from the Funds.

NOTE 3 -- SHARES OF BENEFICIAL INTEREST
At March 31, 1996, there were an unlimited number of shares of beneficial
interest authorized. Transactions in shares of beneficial interest were as
follows:

<TABLE>
<CAPTION>
FOR THE PERIOD ENDED MARCH 31, 1996 (UNAUDITED)
-------------------------------------------------------------------
CAPITAL INTERNATIONAL
APPRECIATION EQUITY SMALL CAP
------------------- ------------------- -------------------
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
------ -------- ------ -------- ------ --------
<S> <C> <C> <C> <C> <C> <C>
Sold...................................................... 65,577 $651,870 45,230 $452,474 55,373 $555,110
Redeemed.................................................. -- -- -- -- -- --
------ -------- ------ -------- ------ --------
Increase.................................................. 65,577 $651,870 45,230 $452,474 55,373 $555,110
====== ======== ====== ======== ====== ========
</TABLE>

15
<PAGE> 16

- --------------------------------------------------------------------------------
Capital Appreciation Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 1996 (unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES DESCRIPTION VALUE
- ----------- ------------------------------------ -------------
<C> <S> <C>
COMMON STOCKS - 93.90%
AMERICA'S CHANGING LEISURE TIME -
5.60%
63,500 Applebees International Inc. ....... $ 1,587,500
44,800 Boston Chicken Inc.(a).............. 1,526,000
44,000 Harley-Davidson Inc. ............... 1,710,500
33,700 Hospitality Franchise Systems
Inc.(a)............................ 1,638,662
22,700 Lone Star Steakhouse & Saloon(a).... 868,275
36,300 Mirage Resorts Inc.(a).............. 1,592,663
72,300 Starbucks Corp.(a).................. 1,685,494
----------
10,609,094
----------
AMERICA'S INDUSTRIAL RENAISSANCE -
3.49%
33,200 Harman International Industries..... 1,245,000
30,100 Input/Output Inc.(a)................ 933,100
47,500 UCAR International Inc.(a).......... 1,846,563
33,800 Waters Corp.(a)..................... 819,650
29,400 Western Atlas Inc.(a)............... 1,764,000
----------
6,608,313
----------
CLIENT-SERVER COMPUTING - 4.28%
30,500 BAAN Company NV(a).................. 1,757,563
39,200 Cadence Design System Inc.(a)....... 1,729,700
33,500 Forte Software Inc.(a).............. 1,356,750
52,100 Informix Corp.(a)................... 1,374,137
56,100 Structural Dynamics Research(a)..... 1,893,375
----------
8,111,525
----------
FLOURISHING IN THE MANAGED CARE
ENVIRONMENT - 3.28%
33,300 Caremark International.............. 836,662
16,500 Healthcare Compare Corp.(a)......... 831,187
62,900 Healthsource Inc.(a)................ 2,437,375
24,100 Oxford Health Plans(a).............. 2,114,775
----------
6,219,999
----------
INTERACTIVE MEDIA - 4.62%
30,000 America Online Inc.(a).............. 1,680,000
32,300 Clear Channel Communications(a)..... 1,824,950
51,100 CUC International Inc.(a)........... 1,494,675
38,500 Infinity Broadcasting-Cl. A(a)...... 1,669,938
11,300 Inso Corp.(a)....................... 521,212
87,400 Scientific-Atlanta Inc. ............ 1,551,350
----------
8,742,125
----------
LIFE ON THE NET - 6.22%
46,900 Cable Design Technologies(a)........ 1,723,575
16,500 FORE Systems(a)..................... 1,179,750
42,100 Macromedia Inc.(a).................. 1,799,775
26,500 McAfee Associates Inc.(a)........... 1,450,875
17,700 Shiva Corp.(a)...................... 1,606,275
11,900 U.S. Robotics Corp.(a).............. 1,538,075
36,800 Verifone Inc.(a).................... 1,545,600
18,100 Xylan Corp.(a)...................... 941,200
----------
11,785,125
----------

LIFE SCIENCES REVOLUTION - 4.67%
55,800 Centocor Inc.(a).................... $ 2,015,775
39,500 Elan Plc.(a)........................ 2,537,875
131,700 Nabi Inc.(a)........................ 1,736,794
78,200 U.S. Surgical Corp. ................ 2,561,050
----------
8,851,494
----------
MANAGING THE INFORMATION AGE - 5.97%
20,700 Ascend Communications Inc.(a)....... 1,115,213
25,250 Cascade Communications Corp.(a)..... 2,266,187
59,400 Cheyenne Software(a)................ 935,550
30,200 Electronics for Imaging(a).......... 1,313,700
78,400 First USA Paymentech Inc.(a)........ 2,763,600
48,000 Glenayre Technologies(a)............ 1,836,000
35,200 Sterling Commerce(a)................ 1,082,400
----------
11,312,650
----------
MOVE TO OUTSOURCING -- 9.34%
30,400 APAC Teleservices(a)................ 2,166,000
31,800 Atlantic Southeast Airlines......... 814,875
22,000 Boise Cascade Office Products(a).... 1,438,250
54,900 Comair Holdings Inc. ............... 1,907,775
67,000 Corporate Express(a)................ 2,211,000
61,600 Danka Business Systems-ADR.......... 2,602,600
25,600 Global Directmail(a)................ 892,800
54,250 Olsten Corp. ....................... 1,749,562
37,500 Paychex Inc. ....................... 2,193,750
30,700 Viking Office Products Inc.(a)...... 1,707,688
----------
17,684,300
----------
NEW CONSUMER - 8.85%
86,100 Ann Taylor Stores(a)................ 1,549,800
32,000 Blyth Industries(a)................. 1,064,000
15,700 Fila Holdings Spa................... 1,002,837
46,800 Gucci Group NV(a)................... 2,246,400
73,800 Gymboree Corp.(a)................... 1,928,025
20,500 Jones Apparel Group(a).............. 994,250
25,800 Liz Claiborne Inc. ................. 883,650
127,750 Staples Inc.(a)..................... 2,602,906
54,000 Sunglass Hut International(a)....... 1,788,750
35,300 Tommy Hilfiger Co.(a)............... 1,619,388
47,400 Williams-Sonoma(a).................. 1,078,350
----------
16,758,356
----------
NEW HEALTH CARE PARADIGM - 5.44%
29,500 Cardinal Health Inc. ............... 1,895,375
30,800 Express Scripts(a).................. 1,439,900
18,200 HBO & Co............................ 1,715,350
43,200 Healthsouth Corp.(a)................ 1,468,800
36,500 Omnicare Inc. ...................... 1,966,438
34,100 Universal Health Services(a)........ 1,811,563
----------
10,297,426
----------
OUR STRENGTHENING FINANCIAL
STRUCTURE - 0.75%
43,700 Vesta Insurance Group .............. 1,425,712
----------
</TABLE>

See Notes to Financial Statements on Pages 25 - 26

16
<PAGE> 17

- --------------------------------------------------------------------------------
Capital Appreciation Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 1996 (unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES DESCRIPTION VALUE
- ----------- ------------------------------------ -------------
<C> <S> <C>
PRODUCTIVITY ENHANCEMENT - 4.90%
23,000 Applied Material(a)................. $ 802,125
24,900 Catalina Marketing Corp.(a)......... 1,945,312
34,200 Checkpoint Systems Inc.(a).......... 850,725
51,700 KLA Instruments Corp.(a)............ 1,169,712
72,600 Parametric Technology Corp.(a)...... 2,840,475
12,900 Sterling Software(a)................ 909,450
42,600 Tencor Instruments(a)............... 766,800
----------
9,284,599
----------
REDISTRIBUTION OF DEBT - 2.59%
85,600 Green Tree Financial Corp. ......... 2,942,500
70,500 The Money Store Inc. ............... 1,965,188
----------
4,907,688
----------
RE-ENERGIZING AMERICA - 3.45%
66,000 Baker Hughes Inc. .................. 1,930,500
57,300 BJ Services Co.(a).................. 1,919,550
80,100 Global Marine Inc. ................. 801,000
49,700 Tidewater Inc. ..................... 1,888,600
----------
6,539,650
----------
STORES OF VALUE - 7.85%
24,500 Baby Superstores(a)................. 1,114,750
37,400 Bed Bath & Beyond, Inc.(a).......... 1,972,850
62,100 Borders Group Inc.(a)............... 1,769,850
69,600 Consolidated Stores Corp.(a)........ 2,331,600
32,200 Dollar General Corp. ............... 933,800
55,600 The Men's Wearhouse Inc.(a)......... 1,751,400
48,900 Pep-Boys-Manny Moe & Jack........... 1,638,150
44,400 PetSmart Inc.(a).................... 1,609,500
93,600 Price/Costco Inc.(a)................ 1,755,000
----------
14,876,900
----------
TELECOMMUNICATIONS - 6.10%
21,200 ADC Telecommunications Inc.(a) ..... 731,400
40,100 Adtran Inc.(a)...................... 1,834,575
38,800 Andrew Corp.(a)..................... 1,484,100
36,000 Aspect Telecommunication(a)......... 1,647,000
60,500 Bay Networks Inc.(a)................ 1,860,375
44,800 Newbridge Networks Co.(a)........... 2,520,000
63,300 Premiere Technologies Inc.(a)....... 1,471,725
----------
11,549,175
----------
THE GREYING OF AMERICA - 4.08%
31,300 Boston Scientific Corp.(a).......... 1,439,800
34,800 Guildant Corp. ..................... 1,883,550
39,300 Nellcor Puritan Bennett Inc.(a)..... 2,525,025
55,300 Sofamor/Danek Group(a).............. 1,873,288
----------
7,721,663
----------
THE UBIQUITOUS SEMICONDUCTOR - 2.42%
42,900 Altera Corp.(a) .................... 2,397,037
56,200 Atmel Corp.(a)...................... 1,433,100
24,300 Micron Technology Inc. ............. 762,413
----------
4,592,550
----------
TOTAL COMMON STOCKS
(Cost $161,284,241)............................. $ 177,878,344
----------
<CAPTION>
PRINCIPAL
AMOUNT
- -----------
<S> <C>
U.S. TREASURY BILL - 10.35%
$19,825,000 5.15% 6/20/96 (Cost $19,607,773).... 19,606,925
----------
TOTAL INVESTMENTS
(Cost $180,892,014) - 104.25%................... $ 197,485,269
Liabilities in Excess of Other
Assets - (4.25)%................................ (8,058,355)
----------
NET ASSETS - 100.00%............................. $ 189,426,914
----------
</TABLE>

- ------------------
(a) Non-Income Producing Security

<CAPTION>
SHARES DESCRIPTION VALUE
- ----------- ------------------------------------ -------------
<C> <S> <C>
AUSTRIA - 0.33%
8,835 Mayr-Melnhof Karton (Materials)..... $ 386,343
----------
DENMARK - 1.43%
32,500 Tele Danmark, Cl. B (Utilities)..... 1,693,837
----------
</TABLE>

See Notes to Financial Statements on Pages 25 - 26

17
<PAGE> 18

INDONESIA - 1.15%
273,500 Bank Dagang Nasional PT
(Finance).......................... $ 236,885
217,500 Bukaka Teknik Utama PT (Capital
Equipment)(a)...................... 367,462
357,000 Citra Marga Nusaphala Persada PT
(Capital Equipment)................ 461,901
234,000 Steady Safe PT (Transportation)..... 292,750
----------
1,358,998
----------
IRELAND - 2.32%
154,100 Bank of Ireland (Finance)........... 1,012,219
197,300 CRH PLC (Materials)................. 1,731,083
----------
2,743,302
----------
ITALY - 4.66%
75,000 Bulgari S.P.A. (Consumer
Goods)(a).......................... 941,218
1,220,000 Credito Italiano (Finance).......... 1,305,665
850,000 Parmalat Finanziaria S.P.A.
(Finance).......................... 780,813
54,000 Safilo S.P.A. (Consumer Goods)...... 1,135,194
486,700 Societa Finanziaria Telefonica
(Services)......................... 1,350,243
----------
5,513,133
----------
JAPAN - 19.07%
92,600 AJL Peps Trust (Consumer
Goods)............................. 2,060,350
68,000 Canon Inc. (Capital Equipment)...... 1,298,876
101,000 Daimaru Inc. (Services)............. 719,672
280 East Japan Railway Co.
(Transportation)................... 1,441,948
163,000 Hitachi (Capital Equipment)......... 1,587,266
58,000 Jusco Co. (Services)................ 1,515,169
9,900 Kurita Water Industries (Capital
Equipment)......................... 229,888
204,000 Mitsubishi Electric Corp. (Capital
Equipment)......................... 1,520,449
53,000 Mitsubishi Esate Co. (Finance)(a)... 729,494
237,000 Mitsubishi Heavy Industrial (Capital
Equipment)......................... 2,050,450
200,000 Obayashi Corp. (Capital
Equipment)......................... 1,719,101
75,000 Sankyo Co. (Health & Personal)...... 1,720,506
30,000 Sony Corporation (Consumer Goods)... 1,794,944
53,000 Sumitomo Realty & Development
(Finance).......................... 407,425
253,000 Toshiba Corp. (Capital Equipment)... 1,923,558
83,000 Toyota Motor Co. (Consumer Goods)... 1,834,082
----------
22,553,178
----------
</TABLE>

See Notes to Financial Statements on Pages 25 - 26

18
<PAGE> 19

- --------------------------------------------------------------------------------
International Equity Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 1996 (unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES DESCRIPTION VALUE
- ----------- ------------------------------------ -------------
<C> <S> <C>
MALAYSIA - 2.51%
100,000 Commerce Asset Holdings
(Finance).......................... $ 573,463
76,000 Edaran Otomobil Nasional (Consumer
Goods)............................. 682,302
97,000 Jaya Tiasa Holdings (Materials)..... 621,475
188,000 Leader Universal Holdings
(Diversified)...................... 535,337
127,000 Sungei Way Holding (Diversified).... 552,501
----------
2,965,078
----------
NETHERLANDS - 6.73%
14,000 Hunter Douglas N.V. (Materials)..... 948,865
38,900 Internationale Nederlanden Group
(Finance).......................... 2,824,811
57,200 KLM Royal Dutch Airlines
(Transportation)................... 1,990,318
60,300 Philips Electronics (Consumer
Goods)............................. 2,193,059
----------
7,957,053
----------
NORWAY - 2.00%
275,000 Christiania Bank OG Kreditkasse
(Finance).......................... 638,926
39,600 Norsk Hydro (Energy)................ 1,725,874
----------
2,364,800
----------
PHILIPPINES - 1.77%
164,000 Fil-Estate Land, Inc.
(Finance)(a)....................... 136,249
1,536,000 Fortune Cement (Materials)(a)....... 718,716
1,194,000 Mondragon International Philippines
(Consumer Goods)(a)................ 684,110
1,128,000 Universal Robina Corp. (Consumer
Goods)............................. 549,351
----------
2,088,426
----------
SINGAPORE - 0.86%
86,000 Far East Levingston Shipbuilding
Ltd. (Capital Equipment)........... 479,645
73,000 Singapore Land (Finance)............ 534,209
----------
1,013,854
----------
SOUTH AFRICA - 2.52%
80,000 Fedsure Holdings Limited
(Finance)(c)....................... 608,300
14,440 Libery Life Association of Africa
(Services)(a)...................... 453,711
32,100 Metro Cash and Carry Limited
(Services)(c)...................... 549,713
86,600 Nampak Limited (Consumer
Goods)............................. 424,478
9,000 Pretoria Portland Cement Co.
(Materials)........................ 199,080
38,000 Reunert Limited (Electrical
Equipment)......................... 214,916
16,000 South African Breweries
(Diversified)...................... 530,880
----------
2,981,078
----------
SPAIN - 4.81%
88,990 Autopistas Concesionaria Espanola
S.A. (Diversified)................. 903,379
9,635 Banco Popular Espanol (Finance)..... 1,664,312
16,324 Fomento de Construcciones y
Contratas (Capital Equipment)...... 1,459,849
180,100 Iberdrola S.A. (Utilities).......... 1,661,412
----------
5,688,952
----------
SWEDEN - 4.25%
54,100 Astra AB, Series A (Health &
Personal).......................... 2,505,192
79,000 Nordbanken AB (Finance)............. 1,306,088
37,400 Svedala Industri (Capital
Equipment)......................... 1,219,863
----------
5,031,143
----------
SWITZERLAND - 2.67%
1,791 BBC Brown Boveri & Cie, Cl. A
(Capital Equipment)................ 2,177,064
794 Ciba-Geigy AG, Cl. B (Consumer
Goods)............................. 983,829
----------
3,160,893
----------
THAILAND - 1.24%
44,300 Central Pattana Public Co.
(Materials)(a)..................... 166,805
59,000 PTT Exploration & Production
(Energy)(a)........................ 748,316
116,500 Thai Military Bank (Finance)........ 549,485
----------
1,464,606
----------
UNITED KINGDOM - 6.75%
692,500 Iceland Group (Services)............ 1,606,794
560,700 Lonrho (Diversified)................ 1,835,924
61,000 National Power (Partially Paid)
(Utilities)........................ 312,871
25,500 Orange PLC, ADR (Services)(a)....... 436,688
350,000 Orange PLC (Services)(a)............ 1,183,419
65,000 Powergen (Installment Shares)
(Utilities)........................ 390,937
427,100 Storehouse (Services)............... 2,223,211
----------
7,989,844
----------
VENEZUELA - 0.80%
822,688 Electricidad de Caracas
(Utilities)........................ 553,954
103,935 Mavesa SA, ADR (Consumer
Goods)(c).......................... 389,756
----------
943,710
----------
</TABLE>

See Notes to Financial Statements on Pages 25 - 26

19
<PAGE> 20

<CAPTION>
PRINCIPAL
AMOUNT
- -----------
<S> <C>
CORPORATE DEBT CONVERTIBLE - 0.46%
SOUTH AFRICA - 0.46%
$ 500,000 Investec O/S Finance BVI, 6.375%,
11/30/02 (Finance) (Cost
$577,493).......................... 539,375
----------
CORPORATE DEBT NON-CONVERTIBLE - 1.70%
SOUTH AFRICA - 1.70%
1,500,000 Liberty Life International, 6.50%,
9/30/04 (Finance) (Cost
$1,783,228)........................ 2,016,562
----------
<CAPTION>
PRINCIPAL
AMOUNT DESCRIPTION VALUE
- ----------- ------------------------------------ -------------
<S> <C>
U.S. TREASURY BILLS - 3.51%
$ 4,200,000 5.15%, 6/20/96
(cost $4,153,690).................. $ 4,153,800
----------
TOTAL INVESTMENTS
(Cost $105,942,091) - 102.58%.................... $ 121,337,441
Liabilities in Excess of Other Assets - (2.58%)... (3,056,305)
----------
NET ASSETS - 100.00%.............................. $ 118,281,136
----------
</TABLE>

- ------------------
(a) Non-Income Producing Security
(b) Industry Diversification (as a percentage of Total Value of Investments):

<TABLE>
<S> <C>
Capital Equipment............................ 15.05%
Consumer Goods............................... 21.20%
Diversified.................................. 11.11%
Electrical Equipment......................... 0.18%
Energy....................................... 3.53%
Finance...................................... 16.53%
Health & Personal............................ 3.48%
Materials.................................... 6.35%
Services..................................... 10.80%
Transportation............................... 3.07%
Utilities.................................... 5.28%
U.S. Treasury Bills.......................... 3.42%
-----
100.00%
-----
</TABLE>

(c) Security exempt from registration under Rule 144A of the Securities Act of
1933. This Security may be resold in transactions exempt from registration,
normally to qualified institutional buyers. At the period end, the value of
this security amounted to $5,138,308 or 4.34% of net assets.

<CAPTION>
SHARES DESCRIPTION VALUE
- ----------- ------------------------------------ -------------
<C> <S> <C>
49,100 Indus Group Inc.(a)................. $ 957,450
65,000 Microcom Inc.(a).................... 1,941,875
41,500 Network Appliance Inc.(a)........... 1,317,625
51,000 Network Equipment Technologies
Inc.(a)............................ 1,549,125
149,500 PowerCerv Corp.(a).................. 2,226,148
24,000 Prism Solutions Inc.(a)............. 636,000
93,900 Rational Software(a)................ 3,709,050
37,900 Segue Software(a)................... 795,900
52,700 Structural Dynamics Research(a)..... 1,778,625
39,500 Workgroup Technology Corp.(a)....... 854,187
----------
22,971,910
----------
FLOURISHING IN THE MANAGED CARE
ENVIRONMENT - 7.61%
36,800 CRA Managed Care(a)................. 1,315,600
50,300 Henry Schein(a)..................... 1,471,275
42,900 MedPartners/Mullikin(a)............. 1,222,650
</TABLE>

See Notes to Financial Statements on Pages 25 - 26

20
<PAGE> 21

- --------------------------------------------------------------------------------
Small Cap Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 1996 (unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES DESCRIPTION VALUE
- ----------- ------------------------------------ -------------
<C> <S> <C>
77,600 Multicare Companies Inc.(a)......... $ 2,201,900
40,400 NCS HealthCare Inc.(a).............. 989,800
65,200 OccuSystems(a)...................... 1,483,300
62,700 Pediatrix Medical Group(a).......... 2,225,850
84,300 Physician Reliance Network(a)....... 3,340,387
61,400 Renal Treatment Centers Inc.(a)..... 1,458,250
----------
15,709,012
----------
LIFE ON THE NET - 5.94%
10,200 Documentum(a)....................... 359,550
179,700 IDT Corp.(a)........................ 1,797,000
49,550 McAfee Associates(a)................ 2,712,863
30,800 Security Dynamics Tech Inc.(a)...... 1,632,400
10,200 Shiva(a)............................ 925,650
39,400 TCSI Corp.(a)....................... 1,201,700
44,100 Transaction Systems Architects(a)... 1,797,075
43,400 Verifone Inc.(a).................... 1,822,800
----------
12,249,038
----------
LIFE SCIENCES REVOLUTION - 7.09%
29,100 Agouron Pharmaceuticals(a).......... 1,127,625
150,000 ChiRex Inc.(a)...................... 1,537,500
50,000 Endovascular Technologies(a)........ 500,000
69,600 Isis Pharmaceuticals(a)............. 809,100
66,500 Martek Biosciences Corp.(a)......... 2,394,000
28,600 NeoPath(a).......................... 664,950
72,400 Neurogen(a)......................... 2,497,800
48,200 NeXstar Pharmaceuticals(a).......... 951,950
70,000 Protein Design Labs Inc.(a)......... 1,723,750
55,800 Sequus Pharmaceuticals(a)........... 770,737
62,400 Vertex Pharmaceuticals(a)........... 1,653,600
----------
14,631,012
----------
MANAGING THE INFORMATION AGE - 8.85%
40,700 Atria Software Inc.(a).............. 2,228,325
126,100 Cheyenne Software(a)................ 1,986,075
65,600 DSP Communications(a)............... 1,640,000
33,900 FileNet Corp.(a).................... 1,957,725
42,000 Imnet Systems(a).................... 1,270,500
20,000 IntelliQuest Information Group(a)... 550,000
90,900 National Data Corp. ................ 3,101,963
20,000 Raptor Systems Inc.(a).............. 597,500
15,000 Red Brick Systems Inc.(a)........... 645,000
39,400 Sitel(a)............................ 1,782,850
144,000 Triple P.N.V.(a).................... 1,620,000
31,200 Visio(a)............................ 873,600
----------
18,253,538
----------
MOVE TO OUTSOURCING - 8.54%
123,000 Accustaff(a)........................ 3,105,750
75,400 Career Horizons(a).................. 2,243,150
63,000 Corestaff(a)........................ 1,921,500
49,100 Data Processing Resources(a)........ 1,350,250
61,200 HealthPlan Services(a).............. 1,399,950
50,600 HPR Inc.(a)......................... 1,954,425
20,300 Interim Services Inc.(a)............ 776,475
44,000 MSC Industrial Direct Co.(a)........ 1,270,500
32,100 Pharmaceutical Product
Development(a)..................... 1,131,525
28,600 Quintiles Transnational Corp.(a).... 1,859,000
46,000 Superior Services Inc.(a)........... 609,500
----------
17,622,025
----------
NEW CONSUMER - 4.60%
72,500 Authentic Fitness................... 1,875,939
57,600 Blyth Industries(a)................. 1,915,200
35,600 Gucci Group(a)...................... 1,708,800
37,300 Mossimo Inc.(a)..................... 1,207,588
36,000 Nautica Enterprises Inc.(a)......... 1,719,000
23,000 West Maine Inc.(a).................. 1,069,500
----------
9,496,027
----------
NEW HEALTH CARE PARADIGM - 9.84%
55,900 ALPHARMA Inc........................ 1,299,675
22,000 ABR Information Services Inc.(a).... 1,023,000
26,400 American Homepatient Inc.(a)........ 1,036,200
22,300 Amerisource Health Corp. Cl. A(a)... 735,900
58,400 Gulf South Medical Supply(a)........ 2,204,600
103,900 Mariner Health Group(a)............. 1,714,350
37,800 Neuromedical Systems Inc.(a)........ 822,150
78,600 Owen Healthcare Inc.(a)............. 1,837,275
61,200 Physician Sales & Service(a)........ 1,514,700
36,200 Physician Support Systems(a)........ 619,925
5,300 Respironics Inc.(a)................. 111,300
75,300 Rexall Sundown Inc.(a).............. 2,268,412
22,800 RoTech Medical Corp.(a)............. 843,600
59,200 Sofamor/Danek Group(a).............. 2,005,400
25,000 Summit Medical Systems(a)........... 487,500
56,900 Total Renal Care Holdings(a)........ 1,771,012
----------
20,294,999
----------
PRODUCTIVITY ENHANCEMENT - 4.81%
5,800 CKS Group Inc.(a)................... 147,900
40,000 Engineering Animation(a)............ 835,000
63,000 HMT Technology Corp.(a)............. 657,562
69,700 Inso Corp.(a)....................... 3,214,913
157,500 OrCad Inc.(a)....................... 1,850,625
17,200 Quick Response Services Inc.(a)..... 442,900
103,500 Saville Systems PLC.(a)............. 1,953,563
42,400 Xeikon N.V., ADR(a)................. 821,500
----------
9,923,963
----------
STORES OF VALUE - 4.31%
74,400 Dollar Tree Stores Inc.(a).......... 3,273,600
52,700 Just For Feet(a).................... 2,193,638
39,800 Sunglass Hut International(a)....... 1,318,375
68,000 US Office Products(a)............... 2,108,000
----------
8,893,613
----------
TELECOMMUNICATIONS - 7.87%
53,800 APAC Teleservices(a)................ 3,833,250
40,400 Aspect Telecommunication(a)......... 1,848,300
56,700 CIDCO Inc.(a)....................... 1,828,575
41,000 Colonial Data Technologies(a)....... 907,125
</TABLE>

See Notes to Financial Statements on Pages 25 - 26

21
<PAGE> 22

<TABLE>
<CAPTION>
SHARES DESCRIPTION VALUE
- ----------- ------------------------------------ -------------
<S> <C>
56,500 CSG Systems International Inc.(a)... $ 1,299,500
120,300 IntelCom Group(a)................... 2,135,325
43,400 Level One Communications Inc.(a).... 1,204,350
18,000 Teltrend Inc.(a).................... 819,000
63,600 TresCom International(a)............ 938,100
38,400 Westell Technologies(a)............. 1,420,800
----------
16,234,325
----------
THE GREYING OF AMERICA - 2.72%
30,000 ESC Medical Systems Ltd.(a)......... 1,035,000
45,700 Genesis Health Ventures Inc.(a)..... 1,845,137
73,400 Living Centers of America(a)........ 2,734,150
----------
5,614,287
----------
TOTAL COMMON STOCKS
(Cost $141,170,594).............................. $185,120,855
----------
</TABLE>

<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT DESCRIPTION VALUE
- ----------- ------------------------------------ -------------
<S> <C>
U.S. TREASURY BILLS - 10.59%
$ 8,350,000 5.76%, 4/04/96...................... $ 8,346,595
2,445,000 5.01%, 4/18/96...................... 2,439,330
4,225,000 5.20%, 5/16/96...................... 4,198,560
6,935,000 5.15%, 6/20/96...................... 6,858,715
----------
TOTAL U.S. TREASURY BILLS
(Amortized Cost $21,843,226)..................... 21,843,200
----------
TOTAL INVESTMENTS
(Cost $163,013,820) - 100.32%.................... 206,964,055
Liabilities in Excess of Other Assets - 0.32%..... (667,611)
----------
NET ASSETS - 100.00%.............................. $ 206,296,444
----------
</TABLE>

- ------------------
(a) Non-Income Producing Securities

- --------------------------------------------------------------------------------
BT Portfolios
STATEMENTS OF ASSETS AND LIABILITIES March 31, 1996 (unaudited)
- --------------------------------------------------------------------------------

<TABLE>
<CAPTION>
CAPITAL INTERNATIONAL SMALL
APPRECIATION EQUITY CAP
------------ ------------- -------------
<S> <C> <C> <C>
ASSETS
Investment in Portfolio, at Value+........................................ $197,485,269 $ 121,337,441 $ 206,964,055
Cash++.................................................................... -- 39,147 626,749
Receivable for Securities Sold............................................ 3,669,701 1,058,112 1,505,247
Dividends and Interest Receivable......................................... 6,319 348,797 713
Receivable for Foreign Taxes Withheld..................................... -- 100,262 --
Net Unrealized Appreciation on Forward Currency Contracts................. -- 24,156 --
Prepaid Expenses and Other................................................ 738 409 606
------------ ------------ ------------
Total Assets................................................................. 201,162,027 122,908,324 209,097,370
------------ ------------ ------------
LIABILITIES
Due to Bankers Trust...................................................... 86,252 53,414 119,227
Due to Custodian.......................................................... 3,952 -- --
Payable for Securities Purchased.......................................... 11,628,216 4,558,261 2,666,864
Accrued Expenses and Other................................................ 16,693 15,513 14,835
------------ ------------ ------------
Total Liabilities............................................................ 11,735,113 4,627,188 2,800,926
------------ ------------ ------------
NET ASSETS................................................................... $189,426,914 $ 118,281,136 $ 206,296,444
============ ============ ============
COMPOSITION OF NET ASSETS
Paid-in Capital........................................................... $172,833,659 $ 102,905,836 $ 162,346,209
Net Unrealized Appreciation on Investments, Foreign Currencies and Forward
Currency Contracts...................................................... 16,593,255 15,375,300 43,950,235
------------ ------------ ------------
NET ASSETS, MARCH 31, 1996................................................... $189,426,914 $ 118,281,136 $ 206,296,444
============ ============ ============
</TABLE>

- ------------------
+ The cost of Capital Appreciation Portfolio for the period ended March 31,
1996 was $180,892,014, International Equity Portfolio $105,942,091 and Small
Cap Portfolio $163,013,820.
++ Includes foreign cost of $74,005 with a market value of $35,462 for the
International Equity Portfolio.

See Notes to Financial Statements on Pages 25 - 26

22
<PAGE> 23

- --------------------------------------------------------------------------------
BT Portfolios
STATEMENTS OF OPERATIONS For the six months ended March 31, 1996 (unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CAPITAL
APPRECIATION
------------
<S> <C>
INVESTMENT INCOME
Dividends+.............................................................................................. $ 100,098
Interest................................................................................................ 407,356
------------
Total Investment Income.................................................................................... 507,454
------------
EXPENSES
Advisory................................................................................................ 546,623
Administration and Services............................................................................. 84,096
Professional............................................................................................ 19,062
Trustees................................................................................................ 1,532
Transfer Tax............................................................................................ --
Shareholders Reports.................................................................................... 925
Miscellaneous........................................................................................... 735
------------
Total Expenses.......................................................................................... 652,973
Less: Expenses Absorbed by Bankers Trust................................................................ (148,398)
------------
Net Expenses......................................................................................... 504,575
------------
NET INVESTMENT INCOME...................................................................................... 2,879
------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FOREIGN CURRENCIES AND FORWARD CURRENCY TRANSACTIONS
Net Realized Gain from:
Investment Transactions................................................................................ 16,902,854
Foreign Currency Transactions.......................................................................... --
Net Change in Unrealized Appreciation (Depreciation) of:
Investments............................................................................................ (16,152,731)
Foreign Currencies and Forward Currency Contracts...................................................... --
------------
NET GAIN ON INVESTMENTS, FOREIGN CURRENCIES TRANSLATION AND FORWARD CURRENCY CONTRACTS..................... 750,123
------------
NET INCREASE IN NET ASSETS FROM OPERATIONS................................................................. $ 753,002
============

<CAPTION>
INTERNATIONAL
EQUITY
-------------
<S> <C>
INVESTMENT INCOME
Dividends+.............................................................................................. $ 689,466
Interest................................................................................................ 141,259
----------
Total Investment Income.................................................................................... 830,725
----------
EXPENSES
Advisory................................................................................................ 302,602
Administration and Services............................................................................. 69,831
Professional............................................................................................ 13,709
Trustees................................................................................................ 1,560
Transfer Tax............................................................................................ 2,322
Shareholders Reports.................................................................................... 650
Miscellaneous........................................................................................... 726
----------
Total Expenses.......................................................................................... 391,400
Less: Expenses Absorbed by Bankers Trust................................................................ (88,798)
----------
Net Expenses......................................................................................... 302,602
----------
NET INVESTMENT INCOME...................................................................................... 528,123
----------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FOREIGN CURRENCIES AND FORWARD CURRENCY TRANSACTIONS
Net Realized Gain from:
Investment Transactions................................................................................ 1,390,252
Foreign Currency Transactions.......................................................................... 690,674
Net Change in Unrealized Appreciation (Depreciation) of:
Investments............................................................................................ 3,530,486
Foreign Currencies and Forward Currency Contracts...................................................... 77,506
----------
NET GAIN ON INVESTMENTS, FOREIGN CURRENCIES TRANSLATION AND FORWARD CURRENCY CONTRACTS..................... 5,688,918
----------
NET INCREASE IN NET ASSETS FROM OPERATIONS................................................................. $ 6,217,041
==========

<CAPTION>
SMALL
CAP
-------------
<S> <C>
INVESTMENT INCOME
Dividends+.............................................................................................. $ 19,858
Interest................................................................................................ 455,753
-----------
Total Investment Income.................................................................................... 475,611
-----------

EXPENSES
Advisory................................................................................................ 511,915
Administration and Services............................................................................. 78,756
Professional............................................................................................ 14,729
Trustees................................................................................................ 1,532
Transfer Tax............................................................................................ --
Shareholders Reports.................................................................................... --
Miscellaneous........................................................................................... 1,192
-----------
Total Expenses.......................................................................................... 608,124
Less: Expenses Absorbed by Bankers Trust................................................................ (135,587)
-----------
Net Expenses......................................................................................... 472,537
-----------
NET INVESTMENT INCOME...................................................................................... 3,074
-----------

REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FOREIGN CURRENCIES AND FORWARD CURRENCY TRANSACTIONS
Net Realized Gain from:
Investment Transactions................................................................................ 2,392,080
Foreign Currency Transactions.......................................................................... --
Net Change in Unrealized Appreciation (Depreciation) of:
Investments............................................................................................ 21,647,288
Foreign Currencies and Forward Currency Contracts...................................................... --
-----------
NET GAIN ON INVESTMENTS, FOREIGN CURRENCIES TRANSLATION AND FORWARD CURRENCY CONTRACTS..................... 24,039,368
-----------
NET INCREASE IN NET ASSETS FROM OPERATIONS................................................................. $ 24,042,442
===========
</TABLE>

STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CAPITAL APPRECIATION INTERNATIONAL EQUITY
----------------------------- -----------------------------
FOR THE FOR THE
FOR THE SIX PERIOD FOR THE SIX PERIOD
MONTHS ENDED JANUARY 1, MONTHS ENDED JANUARY 1,
MARCH 31, 1995 TO MARCH 31, 1995 TO
1996 SEPTEMBER 30, 1996 SEPTEMBER 30,
(UNAUDITED) 1995 (UNAUDITED) 1995
------------- ------------- ------------- -------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS
Net Investment Income........................................... $ 2,879 $ 10,500 $ 528,123 $ 1,188,602
Net Realized Gain from Investments and Foreign Currency
Transactions................................................... 16,902,854 11,774,764 2,080,926 1,956,124
Net Unrealized Appreciation (Depreciation) on Investments,
Foreign Currencies and Forward Currency Contracts.............. (16,152,731) 23,909,639 3,607,992 6,955,471
------------ ------------ ------------ ------------
Net Increased in Net Assets from Operations........................ 753,002 35,694,903 6,217,041 10,100,197
------------ ------------ ------------ ------------
CAPITAL TRANSACTIONS
Proceeds from Capital Invested.................................. 64,319,770 63,887,608 52,306,802 35,819,720
Value of Capital Withdrawn...................................... (25,533,747) (23,328,952) (23,556,138) (18,648,629)
------------ ------------ ------------ ------------
Net Increase in Net Assets from Capital Transactions............... 38,786,023 40,558,656 28,750,664 17,171,091
------------ ------------ ------------ ------------
TOTAL INCREASE IN NET ASSETS....................................... 39,539,025 76,253,559 34,967,705 27,271,288
NET ASSETS
Beginning of Period................................................ 149,887,889 73,634,330 83,313,431 56,042,143
------------ ------------ ------------ ------------
End of Period...................................................... $ 189,426,914 $ 149,887,889 $ 118,281,136 $ 83,313,431
============ ============ ============ ============

SMALL CAP
-----------------------------
FOR THE SIX
MONTHS ENDED FOR THE YEAR
MARCH 31, ENDED
1996 SEPTEMBER 30,
(UNAUDITED) 1995
------------- -------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS
Net Investment Income........................................... $ 3,074 $ 114,355
Net Realized Gain from Investments and Foreign Currency
Transactions................................................... 2,392,080 11,205,496
Net Unrealized Appreciation (Depreciation) on Investments,
Foreign Currencies and Forward Currency Contracts.............. 21,647,288 19,127,783
------------ ------------
Net Increased in Net Assets from Operations........................ 24,042,442 30,447,634
------------ ------------
CAPITAL TRANSACTIONS
Proceeds from Capital Invested.................................. 136,769,130 89,963,488
Value of Capital Withdrawn...................................... (78,343,080) (17,910,681)
------------ ------------
Net Increase in Net Assets from Capital Transactions............... 58,426,050 72,052,807
------------ ------------
TOTAL INCREASE IN NET ASSETS....................................... 82,468,492 102,500,441
NET ASSETS
Beginning of Period................................................ 123,827,952 21,327,511
------------ ------------
End of Period...................................................... $ 206,296,444 $ 123,827,952
============ ============
</TABLE>

- ------------------
+ Net of foreign withholding tax of $1,142 Capital Appreciation Portfolio and
$78,541 International Equity Portfolio.

See Notes to Financial Statements on Pages 25 - 26

23
<PAGE> 24

- --------------------------------------------------------------------------------
BT Portfolios
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------

Contained below are selected ratios and supplemental data for each of the
periods indicated for each of the Portfolios.
<TABLE>
<CAPTION>
CAPITAL APPRECIATION
------------------------------------------------------------------------------------
FOR THE PERIOD
FOR THE SIX MARCH 9, 1993
MONTHS ENDED FOR THE PERIOD (COMMENCEMENT OF
MARCH 31, 1996 JANUARY 1, 1995 TO FOR THE YEAR ENDED OPERATIONS) TO
(UNAUDITED) SEPTEMBER 30, 1995+ DECEMBER 31, 1994 DECEMBER 31, 1993
--------------- ------------------- ------------------ -----------------
<S> <C> <C> <C> <C>
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period (000's
omitted)................................ $ 189,427 $ 149,888 $ 73,634 $37,076
Ratios to Average Net Assets
Net Investment Income................. 0.00%++ 0.01%* 0.08% 0.38%*
Expenses.............................. 0.60%* 0.60%* 0.60% 0.60%*
Decrease Reflected in Above Expense
Ratio Due to
Absorption of Expenses by Bankers
Trust............................... 0.18%* 0.18%* 0.23% 0.41%*
Portfolio Turnover Rate.................. 193% 125% 157% 137%
</TABLE>

<TABLE>
<CAPTION>
INTERNATIONAL EQUITY
--------------------------------------------------------------------------------------
FOR THE PERIOD
FOR THE SIX FOR THE YEAR ENDED AUGUST 4, 1992
MONTHS ENDED FOR THE PERIOD DECEMBER 31, (COMMENCEMENT
MARCH 31, 1996 JANUARY 1, 1995 TO ------------------- OF OPERATIONS) TO
(UNAUDITED) SEPTEMBER 30, 1995+ 1994 1993 DECEMBER 31, 1992
--------------- ------------------- ------- ------- ------------------
<S> <C> <C> <C> <C> <C>
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period (000's
omitted).............................. $ 118,281 $ 83,313 $56,042 $33,907 $8,225
Ratios to Average Net Assets
Net Investment Income............... 1.13%* 2.39%* 1.69% 1.64% 1.87%*
Expenses............................ 0.65%* 0.65%* 0.65% 0.65% 0.60%*
Decrease Reflected in Above Expense
Ratio Due to Absorption of
Expenses by Bankers Trust......... 0.19%* 0.22%* 0.24% 0.39% 0.93%*
Portfolio Turnover Rate................ 30% 21% 15% 17% 7%
</TABLE>
<TABLE>
<CAPTION>
SMALL CAP
--------------------------------------------------------------
FOR THE PERIOD
FOR THE SIX OCTOBER 21, 1993
MONTHS ENDED (COMMENCEMENT
MARCH 31, 1996 FOR THE YEAR ENDED OF OPERATIONS) TO
(UNAUDITED) SEPTEMBER 30, 1995 SEPTEMBER 30, 1994
--------------- ------------------ -------------------

<S> <C> <C> <C> <C>
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period (000's
omitted)............................... $ 206,296 $123,828 $21,328
Ratios to Average Net Assets
Net Investment Income................ (0.00)%++ 0.19% 0.07%*
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% 0.38%*
Portfolio Turnover Rate................. 93% 161% 154%
</TABLE>

- ------------------
* Annualized
+ During fiscal year 1996, Capital Appreciation Portfolio and International
Equity Portfolio changed its year-end to September 30th.
++ Amount is less than 0.01%

See Notes to Financial Statements on Pages 25 - 26

24
<PAGE> 25

- --------------------------------------------------------------------------------
BT Portfolios
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------

NOTE 1 -- ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
A. Organization
Capital Appreciation Portfolio, International Equity Portfolio and Small Cap
Portfolio (each a "Portfolio", and collectively, the "Portfolios") are
registered under the Investment Company Act of 1940 ("the Act"), as amended, as
an open-end management investment company. The following portfolios were
organized as an unincorporated trust under the laws of New York and commenced
operations as follows:

<TABLE>
<CAPTION>
ORGANIZATION COMMENCEMENT OF
PORTFOLIO DATE OPERATION
- ------------------------------------------- ------------------- -----------------
<S> <C> <C>
Capital Appreciation Portfolio............. October 28, 1992 March 9, 1993
International Equity Portfolio............. December 11, 1991 August 4, 1992
Small Cap Portfolio........................ August 6, 1993 October 21, 1993
</TABLE>

The Declaration of Trust permits the Board of Trustees (the "Trustees") to issue
beneficial interests in the Portfolios.

During fiscal year 1995, Capital Appreciation Portfolio and International Equity
Portfolio changed its year-end to September 30th.

B. Security Valuation
The Portfolios' investments listed or traded on the National Stock Exchanges or
other domestic or foreign exchanges are valued based on the closing price of a
security traded on that exchange prior to the time when the Portfolio assets are
valued. In cases where securities are traded on more than one exchange, the
securities valued on the exchange designated as the primary market by the
Trustees. All other portfolio securities for which over-the-counter market
quotations are readily available including circumstances under which it is
determined by the Investment Manager that sale or bid prices are not reflective
of a security's market value, portfolio securities are valued at their fair
value as determined in good faith under procedures established by and under the
general supervision of the Trustees. Short-term obligations with remaining
maturities of 60 days or less are valued at amortized cost. Other short-term
debt securities are valued on a mark-to-market basis until such time as they
reach a remaining maturity of 60 days, whereupon they will be valued at
amortized cost using their value on the 61st day. All other securities and other
assets are valued at their fair value as determined in good faith under
procedures established by and under the general supervision of the Trustees.

C. Security Transactions and Interest Income
Security transactions are accounted for on a trade date basis. Dividend income,
less foreign taxes withheld (if any), is recorded on the ex-dividend date or
upon receipt of ex-dividend notification in the case of certain foreign
securities. Interest income is recorded on the accrual basis and includes
amortization of premium and discount on investments. Realized gains and losses
from securities transactions are recorded on the identified cost basis.

Each of the Portfolios may enter into repurchase agreements with financial
institutions deemed to be creditworthy by the Portfolio's 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 Portfolio's custodian, and pursuant to the terms of the
repurchase agreement must have an aggregate market value greater than or equal
to the repurchase price plus accrued interest at all times. If the value of the
underlying securities falls below the value of the repurchase price plus accrued
interest, the Portfolio will require the seller to deposit additional collateral
by the next business day. If the request for additional collateral is not met,
or the seller defaults on its repurchase obligation, the Portfolio 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 and foreign currency transactions of the Portfolios are
allocated pro rata among the investors in the Portfolios at the time of such
determination.

D. Foreign Currency Transactions
The books and records of the International Equity Portfolio are maintained in
U.S. dollars. All assets and liabilities initially expressed in foreign
currencies are converted into U.S. dollars at prevailing exchange rates.
Purchases and sales of investment securities, dividend and interest income, and
certain expenses are translated at the rates of exchange prevailing on the
respective dates of such transactions. The Portfolio does not isolate that
portion of the results of operations resulting from changes in foreign exchange
rates on investments from the fluctuations arising from changes in market prices
of securities held. Such fluctuations are included with the net realized and
unrealized gain and loss from securities.

E. Forward Foreign Currency Contracts
The International Equity Portfolio may enter into forward foreign currency
contracts for the purpose of settling specific purchases or sales of securities
denominated in a foreign currency or with respect to the Portfolio's investments
generally. The net U.S. dollar value of foreign currency underlying all
contractual commitments held by the Portfolio and the resulting unrealized
appreciation or depreciation are determined using prevailing exchange rates.
With respect to forward foreign currency contracts, losses in excess of amounts
recognized in the Statement of Assets and Liabilities may arise due to changes
in the value of the foreign currency or if the counterparty does not perform
under the contract.

F. Option Contracts
Each Portfolio may enter into Option Contracts. Upon the purchase of a put
option or a call option by a Portfolio, the premium paid is recorded as an
investment, the value of which is marked-to-market daily to reflect the current
market value. When a purchased option expires, the Portfolio will realize a loss
in the amount of the cost of the option. When the Portfolio enters into a
closing sale transaction, the Portfolio will realize a gain or loss depending on
whether the sale proceeds from the closing sale transaction are greater or less
than the cost of the option. When the Portfolio exercises a put option, it
realizes a gain or loss from the sale of the underlying security and the
proceeds from such sale will be decreased by the premium originally paid. When
the Portfolio exercises a call option, the cost of the security which the
Portfolio purchases upon exercise will be increased by the premium originally
paid.

G. Organization 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.

25
<PAGE> 26

H. Federal Income Taxes
It is the Portfolio's policy to comply with the requirements of the Internal
Revenue Code. Therefore, no federal income tax provision is required.

I. Other
The preparation of financial statements in conformity with generally acceptable
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 the Portfolio's average daily net
assets. The following provides a table of annual rates and aggregated fees for
each of the Portfolios for the period ended March 31, 1996:

<TABLE>
<CAPTION>
ADMIN. & SERVICES ADMIN. & SERVICES
PORTFOLIO ANNUAL RATE AGGREGATED FEES
- ------------------------------- ----------------- -----------------
<S> <C> <C>
Capital Appreciation
Portfolio..................... 0.10 of 1% $84,096
International Equity
Portfolio..................... 0.15 of 1% 69,831
Small Cap Portfolio............ 0.10 of 1% 78,756
</TABLE>

The Portfolios have entered into an Advisory Agreement with Bankers Trust. Under
this Advisory Agreement, the Portfolio pays Bankers Trust an advisory fee
computed daily and paid monthly at an annual rate of the Portfolio's of 0.65 of
1% of the Portfolio's average daily net assets. For the period ended March 31,
1996, these fees aggregated $546,623, $302,602, and $511,915 for the Capital
Appreciation Portfolio, International Equity Portfolio, and Small Cap Portfolio,
respectively.

Bankers Trust has voluntarily undertaken to waive and reimbursement expenses of
each Portfolio, to the extent necessary, to limit all expenses based upon the
average daily net assets of the Portfolio for the period ended March 31, 1996:

<TABLE>
<CAPTION>
EXPENSES
PORTFOLIO ANNUAL RATE REDUCED
- --------------------------------------------- ----------- --------
<S> <C> <C>
Capital Appreciation Portfolio............... 0.60 of 1% $148,398
International Equity Portfolio............... 0.65 of 1% 88,798
Small Cap Portfolio.......................... 0.60 of 1% 135,587
</TABLE>

Certain trustees and officers of the Portfolios are also directors, officers
and/or employees of Signature Broker-Dealer Services, Inc., the distributor of
the BT Advisor Funds. None of the trustees so affiliated received compensation
for services as trustees of the Portfolios. Similarly, none of the Portfolios'
officers received compensation from the Portfolios.

NOTE 3 -- PURCHASE AND SALE OF INVESTMENT SECURITIES
The aggregate cost of purchases and proceeds from sales of investments, other
than short-term obligations, for the period ended March 31, 1996 were as
follows:

<TABLE>
<CAPTION>
COST OF PROCEEDS FROM
PORTFOLIO PURCHASES SALE OF SECURITIES
- ------------------------------------- ------------- ------------------
<S> <C> <C>
Capital Appreciation Portfolio....... $ 347,499,684 $300,112,811
International Equity Portfolio....... 58,380,801 27,069,480
Small Cap Portfolio.................. 182,200,296 133,321,553
</TABLE>

For Federal income tax purposes, the tax basis of investments held at March 31,
1996 was $182,110,912 for Capital Appreciation Portfolio and $163,070,725 for
Small Cap Portfolio. Tax basis of investments held at March 31, 1996 for
International Equity Portfolio was substantially the same as the basis used for
the Financial Statement reporting purposes. The aggregate gross unrealized
appreciation and depreciation for all investments as of March 31, 1996 was as
follows:

<TABLE>
<CAPTION>
GROSS UNREALIZED GROSS UNREALIZED
PORTFOLIO APPRECIATION DEPRECIATION
- ---------------------------------- ---------------- ----------------
<S> <C> <C>
Capital Appreciation Portfolio.... $ 19,322,136 $3,947,779
International Equity Portfolio.... 18,110,513 2,715,163
Small Cap Portfolio............... 46,686,450 2,792,474
</TABLE>

NOTE 4 -- OPEN FORWARD FOREIGN CURRENCY CONTRACTS
As of March 31, 1996, the International Equity Portfolio had entered into the
following open forward foreign currency contract:

<TABLE>
<CAPTION>
NET UNREALIZED
CONTRACTS TO DELIVER IN EXCHANGE FOR SETTLEMENT DATE VALUE (US$) APPRECIATION (US$)
- --------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
SALES
- --------------------------------------------------------------------------------------------------------
ATS 1,203,706 USD $ 115,908 4/1/96 $ 115,939 $ (31)
DEM 8,863,200 USD 6,010,375 4/10/96 6,002,914 7,461
DEM 14,800,000 USD 10,016,582 4/12/96 10,025,769 (9,187)
JPY 639,840,000 USD 6,001,013 4/9/96 5,976,195 24,818
NLG 1,432,868 USD 868,457 4/1/96 867,091 1,366
- --------------------------------------------------------------------------------------------------------
$23,012,335 $22,987,908 $ 24,427
- --------------------------------------------------------------------------------------------------------
PURCHASES
- --------------------------------------------------------------------------------------------------------
USD $ 1,093,424 GBP 716,060 4/2/96 $ 1,093,066 $ (358)
USD 712,196 MYR 1,802,569 4/2/96 712,588 392
USD 209,563 ZAR 832,490 4/2/96 209,258 (305)
- --------------------------------------------------------------------------------------------------------
$ 2,015,183 $ 2,014,912 (271)
- --------------------------------------------------------------------------------------------------------
$ 24,156
===================
</TABLE>

26
<PAGE> 27

BT ADVISOR FUNDS
CAPITAL APPRECIATION FUND
INTERNATIONAL EQUITY FUND
SMALL CAP FUND

For shareholder account information and current price and yield quotations,
shareholders may call their relationship manager or servicing agent.
Prospectuses containing more extensive information regarding the BT Advisor
Funds may be obtained by calling or writing to Investors Fiduciary Trust Company
or Signature Broker-Dealer Services, Inc., the primary Servicing Agent and
Distributor, respectively, of BT Advisor Funds:

BT ADVISOR FUNDS
Investors Fiduciary Trust Company
127 West 10th Street
Kansas City, MO 64105
(800) 730-1313

BT ADVISOR FUNDS
Signature Broker-Dealer Services, Inc.
6 St. James Avenue
Boston, MA 02116
(800) 545-1074

You may write to the BT Advisor Funds
at the following address:
BT ADVISOR FUNDS
6 St. James Avenue
Boston, MA 02116