-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, WyUtDs3cCJuQqr2x6JAKSb5Zqu3WRTyHgn3QWRT8B8QGcwRtiYqB5QJmzxJ3VhYn UMOTJVUXapTepxEEF+NX9Q== 0000912057-96-027932.txt : 19961203 0000912057-96-027932.hdr.sgml : 19961203 ACCESSION NUMBER: 0000912057-96-027932 CONFORMED SUBMISSION TYPE: N-30D PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 19960930 FILED AS OF DATE: 19961129 SROS: NONE FILER: COMPANY DATA: COMPANY CONFORMED NAME: BT INVESTMENT FUNDS CENTRAL INDEX KEY: 0000797657 STANDARD INDUSTRIAL CLASSIFICATION: UNKNOWN SIC - 0000 [0000] STATE OF INCORPORATION: MA FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: N-30D SEC ACT: 1940 Act SEC FILE NUMBER: 811-04760 FILM NUMBER: 96674470 BUSINESS ADDRESS: STREET 1: FEDERATED INVESTORS TOWERS CITY: PITTSBURGH STATE: PA ZIP: 15222-3770 BUSINESS PHONE: 412881401 FORMER COMPANY: FORMER CONFORMED NAME: BT TAX FREE INVESTMENT TRUST DATE OF NAME CHANGE: 19880530 N-30D 1 N-30D - BT INVESTMENT FUNDS - LIFECYCLE LONG RANGE LIFECYCLE MID RANGE LIFECYCLE SHORT RANGE SEMI-ANNUAL REPORT ------------------------------------------------------------- S E P T E M B E R - 1 9 9 6 - -------------------------------------------------------------------------------- BT INVESTMENT LIFECYCLE FUNDS TABLE OF CONTENTS - ---------------------------------------------------------------------- LETTER TO SHAREHOLDERS.................................................... 3 BT INVESTMENT LIFECYCLE FUNDS Statement of Assets and Liabilities................................... 8 Statement of Operations............................................... 8 Statement of Changes in Net Assets.................................... 9 Financial Highlights.................................................. 10 Notes to Financial Statements......................................... 12 ASSET MANAGEMENT PORTFOLIOS Schedule of Portfolio Investments..................................... 14 Statement of Assets and Liabilities................................... 24 Statement of Operations............................................... 24 Statement of Changes in Net Assets.................................... 25 Financial Highlights.................................................. 26 Notes to Financial Statements......................................... 27
2 - -------------------------------------------------------------------------------- LIFECYCLE FUNDS SEMI-ANNUAL REPORT LETTER TO SHAREHOLDERS - -------------------------------------------------------------------------------- We are pleased to present you with this semi-annual report for the BT Investment Lifecycle Long-Range, Mid Range and Short Range Funds, providing a review of the markets, the portfolio, and our outlook as well as a complete financial summary of the Funds' operations and a listing of the Portfolios' holdings. The Lifecycle Funds outperformed their benchmarks for the semiannual period ended September 30, 1996. They each either outperformed or closely tracked their Lipper category averages as well. This strong relative performance was due primarily to superior asset allocation and specific stock selection. MARKET ACTIVITY U.S. EQUITIES The Funds' fiscal year began with real GDP accelerating to a 4.20% pace, as compared to a 2.00% growth rate in the first calendar quarter. As the economy continued its above growth trend, and wage increases showed signs of strengthening, fears of inflation began to heat up. However, little evidence of pricing pressures actually materialized. Corporate profits continued to be healthy, though growing at a slower rate. This realization contributed in large part to the June-July correction in equity prices. As the next quarter began, economic growth clearly slowed, inflation remained low, and corporate earnings stayed on their rising trend. The resulting strong September market more than offset the summer correction. U.S. BONDS The Federal Reserve Board left the Fed Funds rate untouched at 5.25% since January 1996. Still, the focus in the U.S. bond market was on the threat of inflation, as the economy continued to expand over the last six months. During the second calendar quarter, the bond market suffered from increased concerns over inflation, prospects of the Federal Reserve tightening monetary policy, and a recognition of the fiscal authorities' inability to produce a credible long-term budget plan to contain government spending. The bond market continued to be volatile in the next quarter, although September was an especially strong month, as inflation news remained quite positive. INTERNATIONAL MARKETS In response to continuing below-target economic growth, most foreign central banks continued to lower their short-term interest rates over the last six months. Major rate cuts took place in Canada, France, Germany, and Australia. These moves by central bank policy makers spurred impressive rallies in all major non-U.S. bond markets, with each substantially outperforming the U.S. bond market. Foreign equity markets also performed well during the past six months, though they still have some ground to make up versus the U.S. equity market. INVESTMENT REVIEW Supported by low interest rates, low inflation, and strong corporate earnings, the Funds remained overweighted in U.S. stocks during the semi-annual period. Except during the June-July equity correction, this position contributed most significantly to the Funds' outperformance. Also a positive contributor was the equity portfolios' growth tilt, as growth stocks outperformed value stocks during this period. Individual stock selection was particularly strong here as well. Based on the risk we perceived in the U.S. bond market's volatility, we underweighted U.S. bonds for the six month period and favored international bonds instead. Still, the Funds' U.S. bond performance was slightly ahead of the Salomon Broad Investment Grade (BIG) Index for the first half of the fiscal year. Incremental return was generated by corporate issue selection and an overweight position in the mortgage sector. The overweighting of foreign bonds proved to be a beneficial strategy, as most foreign economies were still below desired growth targets, thus forcing central banks to maintain their accommodating monetary policy positions. The Funds' main focus was in the Canadian, French, and Japanese bond markets; each one outperformed U.S. bonds. The Funds' foreign equity position for the past six months ranged from mostly flat to slightly overweight. * The Lifecycle Long Range Fund returned 6.11% for the six months ended September 30, 1996, as compared to 5.33% for the Asset Allocation Index -- Long Range. Since its inception on November 16, 1993, the Fund is up 30.75% cumulatively. The Fund's asset weightings were 62% in U.S. equities, 23% in U.S. bonds, 15% in international bonds, and 0% in cash as of September 30, 1996. * The Lifecycle Mid Range Fund returned 5.00% for the six months ended September 30, 1996, as compared to 4.28% for the Asset Allocation Index -- Mid Range. Since its inception on October 14, 1993, the Fund is up 20.39% cumulatively. The Fund's asset weightings were 44% in U.S. equities, 36% in U.S. bonds, 14% in international bonds, and 6% in cash as of September 30, 1996. * The Lifecycle Short Range Fund returned 3.76% for the six months ended September 30, 1996, as compared to 3.22% for the Asset Allocation Index -- Short Range. Since its inception on October 15, 1993, the Fund is up 14.28% cumulatively. The Fund's asset weightings were 24% in U.S. equities, 46% in U.S. bonds, 14% in international bonds and 16% in cash as of September 30, 1996. 3 - -------------------------------------------------------------------------------- LIFECYCLE FUNDS SEMI-ANNUAL REPORT LETTER TO SHAREHOLDERS - -------------------------------------------------------------------------------- MANAGER OUTLOOK In the U.S., economic signals remain ambiguous. While consumption seems to be waning, the housing sector continues to exhibit resilience in the face of higher interest rates. Inflation remains subdued, but with the unemployment rate very low, wage pressures may be imminent. The Federal Reserve Board appears to be on hold until inflation manifests itself more clearly. We do believe that an eventual Fed tightening of short-term interest rates is likely after the elections in November, when consumer price pressures may emerge. Given the potential upward pressure on interest rates, then, we continue to underweight U.S. bonds in favor of the U.S. stock market. The equity market could also come under the pressure of rising interest rates, but we see the continued increase in corporate earnings, still-reasonable valuations, and ongoing flows of retirement money into equity mutual funds as likely to help push the stock market higher. We believe this growth will probably be at a slower pace than seen in the last six months. The international markets may be reaching a crest in terms of economic weakness, thus bringing to an end the cycle of interest rate reductions. As some of the previous rate reductions take effect, however, we may see an improvement in the international economies overall and in particular, in Germany, France, and Japan. These economies' pickup should have a positive effect on corporate activity, and thus an improved earnings theme may emerge. In this scenario, we see foreign equity markets continuing to perform well for the next six months and even becoming more attractive than international bonds. Additionally, as corporate earnings growth may have reached its peak in the U.S., international equity markets will again appear to present an attractive opportunity. We will, of course, continue to closely observe economic conditions and how they affect the financial markets, as we seek to provide high total return with reduced risk over the long term. * * * We value your ongoing support of the BT Investment Lifecycle Funds and look forward to continuing to serve your investment needs in the years ahead. Howard Mason Scott A. Stickler Jason L. Wolin Jose M. Quintana, Ph.D. Karen Keller PORTFOLIO MANAGERS OF THE LIFECYCLE FUNDS September 30, 1996 4 - -------------------------------------------------------------------------------- BT INVESTMENT LIFECYCLE LONG RANGE FUND LETTER TO SHAREHOLDERS - -------------------------------------------------------------------------------- The following graph illustrates the Fund's return versus the Asset Allocation Index-Long Range Index and the S&P 500 since November 30, 1993, assuming a $10,000 initial investment. - -------------------------------------------------------------------------------- COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT IN THE BT INVESTMENT LIFECYCLE LONG RANGE FUND, THE ASSET ALLOCATION INDEX-LONG RANGE AND THE S&P 500 INDEX TOTAL RETURN ENDED SEPTEMBER 30, 1996 Six Since Months 11/16/93* 6.11 % 30.75% * The Fund's inception date. Investment return and principal value may fluctuate so that shares, when redeemed, may be worth more or less than their original cost. EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
BT INVESTMENT ASSET ALLOCATION LIFECYCLE INDEX - Long Range Fund Long Range** S&P 500 11/30/93 $ 10,000 $ 10,000 $ 10,000 12/31/93 $ 10,101 $ 10,089 $ 10,121 3/31/94 $ 9,748 $ 9,787 $ 9,737 6/30/94 $ 9,601 $ 9,786 $ 9,778 9/30/94 $ 9,766 $ 10,079 $ 10,256 12/31/94 $ 9,803 $ 10,112 $ 10,255 3/31/95 $ 10,392 $ 10,819 $ 11,253 6/30/95 $ 11,077 $ 11,550 $ 12,327 9/30/95 $ 11,560 $ 12,114 $ 13,307 12/31/95 $ 12,057 $ 12,621 $ 14,108 3/31/96 $ 12,408 $ 12,993 $ 14,865 6/30/96 $ 12,775 $ 13,650 $ 15,532 9/30/96 $ 13,167 $ 14,031 $ 16,013 Past performance is not indicative of future performance
** Asset Allocation Index-Long Range is comprised of the following: 55% S&P 500 Index 35% Salomon Broad Investment Grade Bond Index 10% T-bill 3-Month Index - ----------------------------------------------------------------------------------------- OBJECTIVE Seeks to provide a high total return with reduced long-term risk by investing primarily in a diversified portfolio of stocks of U.S. and foreign companies, high-quality bonds and cash. - ----------------------------------------------------------------------------------------- INVESTMENT INSTRUMENTS Primarily common stocks, corporate and government issued intermediate to long-term bonds, various government agency issued asset-backed securities, and all types of domestic and foreign securities and money market instruments. - ----------------------------------------------------------------------------------------- FIVE LARGEST COMMON Johnson & Johnson Bank America Corp. STOCK HOLDINGS Monsanto Co. General Electric Pfizer Inc. - ----------------------------------------------------------------------------------------- FIVE LARGEST FIXED US T-Notes (5/99 @ 6.375%) US T-Bond (5/06 @ 6.875%) INCOME SECURITIES US T-Notes (6/98 @ 6.250%) US T-Notes (6/01 @ 6.625%) US T-Bond (8/22 @ 7.25%) - ----------------------------------------------------------------------------------------- This diversification pie chart shows the Fund's investment DIVERSIFICATION AS OF exposure to different asset classes (i.e. stocks, bonds, and SEPTEMBER 30, 1996 cash) based on the risk characteristics of the asset class (UNAUDITED) rather than the actual instrument. For example, the Fund may buy or sell a futures contract to increase or decrease the Fund's exposure to the stock market.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC Bonds 38% Stocks 62%
5 - -------------------------------------------------------------------------------- BT INVESTMENT LIFECYCLE MID RANGE FUND LETTER TO SHAREHOLDERS - -------------------------------------------------------------------------------- The following graph illustrates the Fund's return versus the Asset Allocation Index-Mid Range Index and the S&P 500 since October 31, 1993, assuming a $10,000 initial investment. - -------------------------------------------------------------------------------- COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT IN THE BT INVESTMENT LIFECYCLE MID RANGE FUND, THE ASSET ALLOCATION INDEX-MID RANGE AND THE S&P 500 INDEX TOTAL RETURN ENDED SEPTEMBER 30, 1996 Six Since Months 10/14/93* 5.00 % 20.39% * The Fund's inception date. Investment return and principal value may fluctuate so that shares, when redeemed, may be worth more or less than their original cost. EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
BT INVESTMENT ASSET ALLOCATION LIFECYCLE INDEX - Mid Range Fund Mid Range** S&P 500 10/31/93 $ 10,000 $ 10,000 $ 10,000 12/31/93 $ 9,955 $ 10,006 $ 10,024 3/31/94 $ 9,580 $ 9,763 $ 9,644 6/30/94 $ 9,486 $ 9,755 $ 9,685 9/30/94 $ 9,591 $ 9,967 $ 10,158 12/31/94 $ 9,620 $ 10,031 $ 10,157 3/31/95 $ 10,082 $ 10,585 $ 11,146 6/30/95 $ 10,636 $ 11,144 $ 12,210 9/30/95 $ 10,964 $ 11,530 $ 13,180 12/31/95 $ 11,404 $ 11,903 $ 13,973 3/31/96 $ 11,559 $ 12,126 $ 14,723 6/30/96 $ 11,851 $ 12,758 $ 15,384 9/30/96 $ 11,851 $ 13,048 $ 15,860 Past performance is not indicative of future performance
** Asset Allocation Index-Mid Range is comprised of the following: 35% S&P 500 Index 45% Salomon Broad Investment Grade Bond Index 20% T-bill 3-Month Index - ----------------------------------------------------------------------------------------- Seeks long term capital growth, current income and growth of OBJECTIVE income, consistent with reasonable investment risk by investing primarily in a diversified portfolio of stocks of U.S. and foreign companies, high quality bonds and cash. - ----------------------------------------------------------------------------------------- INVESTMENT INSTRUMENTS Primarily common stocks, corporate and government issued intermediate to long-term bonds, various government agency issued asset-backed securities, and all types of domestic and foreign securities and money market investments. - ----------------------------------------------------------------------------------------- FIVE LARGEST COMMON Johnson & Johnson Pfizer Inc. STOCK HOLDINGS Monsanto Co. General Electric Bank America Corp. - ----------------------------------------------------------------------------------------- FIVE LARGEST FIXED US T-Notes (5/99 @ 6.375%) GNMA (#377557 @ 8.00%) INCOME SECURITIES US T-Bond (8/22 @ 7.25%) US T-Bond (5/06 @ 6.875%) US T-Notes (6/01 @ 6.625%) - ----------------------------------------------------------------------------------------- This diversification pie chart shows the Fund's investment DIVERSIFICATION AS OF exposure to different asset classes (i.e. stocks, bonds and SEPTEMBER 30, 1996 cash) based on the risk characteristics of the asset class (UNAUDITED) rather than the actual instrument. For example, the Fund may buy or sell a futures contract to increase or decrease the Fund's exposure to the stock market.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC Cash 6% Stocks 44% Bonds 50%
6 - -------------------------------------------------------------------------------- BT INVESTMENT LIFECYCLE SHORT RANGE FUND LETTER TO SHAREHOLDERS - -------------------------------------------------------------------------------- The following graph illustrates the Fund's return versus the Asset Allocation Index-Short Range and the S&P 500 since October 31, 1993, assuming a $10,000 initial investment. - -------------------------------------------------------------------------------- COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT IN THE BT INVESTMENT LIFECYCLE SHORT RANGE FUND, THE ASSET ALLOCATION INDEX-SHORT RANGE AND THE S&P 500 INDEX TOTAL RETURN ENDED SEPTEMBER 30, 1996 Six Since Months 10/15/93* 3.76 % 14.28% * The Fund's inception date. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
BT INVESTMENT ASSET ALLOCATION LIFECYCLE INDEX- Short Range Fund Short Range** S&P 500 10/31/93 $ 10,000 $ 10,000 $ 10,000 12/31/93 $ 9,956 $ 10,004 $ 10,024 3/31/94 $ 9,713 $ 9,817 $ 9,644 6/30/94 $ 9,592 $ 9,801 $ 9,685 9/30/94 $ 9,638 $ 9,935 $ 10,158 12/31/94 $ 9,674 $ 10,022 $ 10,157 3/31/95 $ 10,012 $ 10,432 $ 11,146 6/30/95 $ 10,462 $ 10,826 $ 12,210 9/30/95 $ 10,699 $ 11,036 $ 13,180 12/31/95 $ 11,069 $ 11,281 $ 13,973 3/31/96 $ 11,080 $ 11,354 $ 14,723 6/30/96 $ 11,298 $ 11,950 $ 15,364 9/30/96 $ 11,497 $ 12,181 $ 15,860 Past performance is not indicative of future performance
** Asset Allocation Index-Short Range is comprised of the following: 15% S&P 500 Index 55% Salomon Broad Investment Grade Bond Index 30% T-bill 3 Month Index - ----------------------------------------------------------------------------------------- Seeks high income over the long term consistent with OBJECTIVE conservation of capital by investing primarily in a diversified portfolio of stocks of U.S. and foreign companies, high-quality bonds and cash. - ----------------------------------------------------------------------------------------- INVESTMENT INSTRUMENTS Primarily common stocks, corporate and government issued intermediate to long-term bonds, various government agency issued asset-backed securities, and all types of domestic and foreign securities and money market instruments. - ----------------------------------------------------------------------------------------- FIVE LARGEST COMMON Johnson & Johnson Pfizer Inc. STOCK HOLDINGS Monsanto Co. General Electric Bank America Corp. - ----------------------------------------------------------------------------------------- FIVE LARGEST FIXED US T-Notes (5/99 @ 6.375%) US T-Notes (6/01 @ 6.625%) INCOME SECURITIES US T-Bond (5/06 @ 6.875%) US T-Notes (12/97 @ 5.250%) US T-Bond (8/22 @ 7.250%) - ----------------------------------------------------------------------------------------- This diversification pie chart shows the Fund's investment DIVERSIFICATION AS OF exposure to different asset classes (i.e. stocks, bonds, and SEPTEMBER 30, 1996 cash) based on the risk characteristics of the asset class (UNAUDITED) rather than the actual instrument. For example, the Fund may buy or sell a futures contract to increase or decrease the Fund's exposure to the stock market.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC Stocks 24% Bonds 60% Cash 16%
7 - -------------------------------------------------------------------------------- BT INVESTMENT LIFECYCLE FUNDS STATEMENT OF ASSETS AND LIABILITIES SEPTEMBER 30, 1996 (UNAUDITED) - --------------------------------------------------------------------------------
LONG RANGE MID RANGE SHORT RANGE ----------- ----------- ----------- ASSETS Investment in Portfolio, at Value+........................... $65,328,770 $56,137,846 $30,788,306 Receivable for Shares of Beneficial Interest Subscribed...... 184,738 135,754 48,266 Prepaid Expenses and Other................................... 5,376 5,698 5,352 ----------- ----------- ----------- Total Assets..................................................... 65,518,884 56,279,298 30,841,924 ----------- ----------- ----------- LIABILITIES Due to Bankers Trust......................................... 47,450 29,226 7,122 Accrued Expenses and Other................................... 25,603 20,695 22,575 ----------- ----------- ----------- Total Liabilities................................................ 73,053 49,921 29,697 ----------- ----------- ----------- NET ASSETS ($0.001 par value per share, Unlimited Number of Shares of Beneficial Interest Authorized)...................... $65,445,831 $56,229,377 $30,812,227 ----------- ----------- ----------- ----------- ----------- ----------- COMPOSITION OF NET ASSETS Paid-in-Capital.............................................. 58,408,582 51,826,490 29,842,652 Accumulated Net Investment Income............................ 454,231 503,025 325,606 Accumulated Net Realized Gain (Loss) from Investments, Foreign Currencies and Futures Contracts................... 2,807,246 1,517,923 (235,323) Net Unrealized Appreciation on: Investment and Foreign Currency Transactions............... 3,709,012 2,257,348 811,117 Futures Contracts.......................................... 66,760 124,591 68,175 ----------- ----------- ----------- NET ASSETS, SEPTEMBER 30, 1996................................... $65,445,831 $56,229,377 $30,812,227 ----------- ----------- ----------- ----------- ----------- ----------- NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE (net assets divided by shares outstanding).......................... $ 11.85 $ 10.83 $ 10.19 ----------- ----------- ----------- ----------- ----------- ----------- SHARES OUTSTANDING............................................... 5,522,635 5,194,093 3,024,016 ----------- ----------- ----------- ----------- ----------- -----------
- ------------------ + Allocated from Asset Management Portfolio, Asset Management Portfolio II, and Asset Management Portfolio III, respectively. STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED SEPTEMBER 30, 1996 (UNAUDITED) - -------------------------------------------------------------------------------- INVESTMENT INCOME Income, net+................................................. $ 986,883 $ 1,067,678 $ 683,477 ----------- ----------- ----------- EXPENSES Administration and Services.................................. 197,676 174,376 96,678 Shareholder Reports.......................................... 2,266 8,266 8,266 Registration................................................. 11,487 10,448 9,799 Professional................................................. 6,097 6,097 6,148 Trustees..................................................... 1,397 1,447 1,447 Miscellaneous................................................ 891 1,009 959 ----------- ----------- ----------- Total Expenses............................................... 219,814 201,643 123,297 Less: Expenses Absorbed by Bankers Trust..................... (98,167) (94,334) (63,803) ----------- ----------- ----------- Net Expenses................................................. 121,647 107,309 59,494 ----------- ----------- ----------- NET INVESTMENT INCOME............................................ 865,236 960,369 623,983 ----------- ----------- ----------- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FOREIGN CURRENCIES, AND FUTURES CONTRACTS Net Realized Gain (Loss) from: Investment and Foreign Currency Transactions............... 803,248 388,315 70,556 Futures Contracts.......................................... 59,023 (45,701) (105,162) Net Change in Unrealized Appreciation of: Investment and Foreign Currency Transactions............... 1,884,582 1,049,269 335,366 Futures Contracts.......................................... 76,473 261,318 168,964 ----------- ----------- ----------- NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS, FOREIGN CURRENCIES, AND FUTURES CONTRACTS........................................................ 2,823,326 1,653,201 469,724 ----------- ----------- ----------- NET INCREASE IN NET ASSETS FROM OPERATIONS....................... $ 3,688,562 $ 2,613,570 $ 1,093,707 ----------- ----------- ----------- ----------- ----------- -----------
- ------------------ + Income allocated from Asset Management Portfolio, Asset Management Portfolio II, and Asset Management Portfolio III, respectively. SEE NOTES TO FINANCIAL STATEMENTS ON PAGES 12 AND 13 8 - -------------------------------------------------------------------------------- BT INVESTMENT LIFECYCLE FUNDS STATEMENT OF CHANGES IN NET ASSETS - ----------------------------------------------------------------------
LONG RANGE MID RANGE SHORT RANGE -------------------------- -------------------------- -------------------------- FOR THE SIX FOR THE SIX FOR THE SIX MONTHS ENDED FOR THE MONTHS ENDED FOR THE MONTHS ENDED FOR THE SEPTEMBER 30, YEAR ENDED SEPTEMBER 30, YEAR ENDED SEPTEMBER 30, YEAR ENDED 1996 MARCH 31, 1996 MARCH 31, 1996 MARCH 31, (UNAUDITED) 1996 (UNAUDITED) 1996 (UNAUDITED) 1996 ------------- ----------- ------------- ----------- ------------- ----------- INCREASE (DECREASE) IN NET ASSETS FROM: OPERATIONS Net Investment Income.................... $ 865,236 $ 1,298,654 $ 960,369 $ 1,601,888 $ 623,983 $ 1,187,781 Net Realized Gain (Loss) from Investments, Foreign Currencies and Futures Contracts...................... 862,271 2,996,767 342,614 2,255,767 (34,606 ) 725,026 Net Change in Unrealized Appreciation on Investments, Foreign Currencies and Futures Contracts...................... 1,961,055 1,509,294 1,310,587 989,840 504,330 536,561 ------------- ----------- ------------- ----------- ------------- ----------- Net Increase in Net Assets from Operations... 3,688,562 5,804,715 2,613,570 4,847,495 1,093,707 2,449,368 ------------- ----------- ------------- ----------- ------------- ----------- DISBRIBUTIONS TO SHAREHOLDERS Net Investment Income.................... (803,194 ) (1,044,464) (843,017 ) (1,514,668) (619,091 ) (1,141,292) Net Realized Gain from Investment Transactions........................... -- (995,721) -- (251,391) -- -- ------------- ----------- ------------- ----------- ------------- ----------- Total Distributions.......................... (803,194 ) (2,040,185) (843,017 ) (1,766,059) (619,091 ) (1,141,292) ------------- ----------- ------------- ----------- ------------- ----------- CAPITAL TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST Proceeds from Sale of Shares............. 9,646,027 46,825,041 5,385,671 25,423,365 2,949,998 10,992,026 Dividend Reinvestments................... 803,177 2,040,116 842,921 1,765,953 619,091 1,141,292 Cost of Shares Redeemed.................. (3,901,182 ) (9,983,290) (3,235,690 ) (4,537,920) (2,130,317 ) (5,679,693) ------------- ----------- ------------- ----------- ------------- ----------- Net Increase from Capital Transactions in Shares of Beneficial Interest.............. 6,548,022 38,881,867 2,992,902 22,651,398 1,438,772 6,453,625 ------------- ----------- ------------- ----------- ------------- ----------- TOTAL INCREASE IN NET ASSETS................. 9,433,390 42,646,397 4,763,455 25,732,834 1,913,388 7,761,701 NET ASSETS Beginning of Period.......................... 56,012,441 13,366,044 51,465,922 25,733,088 28,898,839 21,137,138 ------------- ----------- ------------- ----------- ------------- ----------- End of Period+............................... $ 65,445,831 $56,012,441 $ 56,229,377 $51,465,922 $ 30,812,227 $28,898,839 ------------- ----------- ------------- ----------- ------------- ----------- ------------- ----------- ------------- ----------- ------------- -----------
- ------------------ + Includes undistributed net investment income of $454,231, $503,025, and $325,606, respectively for the six months ended September 30, 1996 and $392,190, $385,674 and $320,715, respectively for the year ended March 31, 1996. SEE NOTES TO FINANCIAL STATEMENTS ON PAGES 12 AND 13 9 - -------------------------------------------------------------------------------- BT INVESTMENT LIFECYCLE FUNDS FINANCIAL HIGHLIGHTS - ---------------------------------------------------------------------- Contained below are selected data for the share outstanding, total investment return, ratios to average net assets and other supplemental data for the periods indicated for the BT Investment Lifecycle Funds.
LONG RANGE ----------------------------------------------------- FOR THE PERIOD NOVEMBER 16, 1993 FOR THE SIX (COMMENCEMENT MONTHS OF ENDED FOR THE YEAR ENDED MARCH OPERATIONS) SEPTEMBER 31, TO 30, 1996 ------------------------- MARCH 31, (UNAUDITED) 1996 1995 1994 ----------- ----------- ----------- ----------- PER SHARE OPERATING PERFORMANCE: NET ASSET VALUE, BEGINNING OF PERIOD......... $ 11.32 $ 10.07 $ 9.68 $ 10.00 ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income.................... 0.16 0.37 0.30 0.02 Net Realized and Unrealized Gain (Loss) on Investments, Foreign Currencies and Futures Contracts...................... 0.53 1.54 0.32 (0.34) ----------- ----------- ----------- ----------- Total from Investment Operations............. 0.69 1.91 0.62 (0.32) ----------- ----------- ----------- ----------- DISTRIBUTIONS TO SHAREHOLDERS FROM Net Investment Income.................... (0.16) (0.38) (0.23) -- Net Realized Gain from Investment Transactions........................... -- (0.28) -- -- ----------- ----------- ----------- ----------- Total Distributions.......................... (0.16) (0.66) (0.23) -- ----------- ----------- ----------- ----------- NET ASSET VALUE, END OF PERIOD............... $ 11.85 $ 11.32 $ 10.07 $ 9.68 ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- Total Investment Return...................... 6.11% 19.41% 6.60% (8.42%)* SUPPLEMENTAL DATA AND RATIOS: Net Assets, End of Period (000's omitted)............................... $ 65,446 $ 56,012 $ 13,366 $ 5,203 Ratios to Average Net Assets: Net Investment Income.................. 2.85%* 3.58% 3.41% 2.69%* Expenses+.............................. 1.00%* 1.00% 1.00% 1.00%* Decrease Reflected in Above Expense Ratio Due to Absorption of Expenses by Bankers Trust..................... 0.48%* 0.60% 0.91% 6.00%*
- ---------------- * Annualized + Includes expenses of the Asset Management Portfolio, Asset Management Portfolio II, and Asset Management Portfolio III, respectively. SEE NOTES TO FINANCIAL STATEMENTS ON PAGES 12 AND 13 10
MID RANGE SHORT RANGE ----------------------------------------------------- ------------------------- FOR THE PERIOD OCTOBER 14, 1993 FOR THE SIX (COMMENCEMENT FOR THE SIX MONTHS OF MONTHS FOR THE ENDED FOR THE YEAR ENDED MARCH OPERATIONS) ENDED YEAR ENDED SEPTEMBER 31, TO SEPTEMBER MARCH 31, 30, 1996 ------------------------- MARCH 31, 30, 1996 ----------- (UNAUDITED) 1996 1995 1994 (UNAUDITED) 1996 ----------- ----------- ----------- ----------- ----------- ----------- $ 10.48 $ 9.61 $ 9.45 $ 10.00 $ 10.03 $ 9.50 ----------- ----------- ----------- ----------- ----------- ----------- 0.18 0.41 0.37 0.11 0.21 0.45 0.34 0.96 0.11 (0.60) 0.16 0.54 ----------- ----------- ----------- ----------- ----------- ----------- 0.52 1.37 0.48 (0.49) 0.37 0.99 ----------- ----------- ----------- ----------- ----------- ----------- (0.17) (0.44) (0.32) (0.06) (0.21) (0.46) -- (0.06) -- -- -- -- ----------- ----------- ----------- ----------- ----------- ----------- (0.17) (0.50) (0.32) (0.06) (0.21) (0.46) ----------- ----------- ----------- ----------- ----------- ----------- $ 10.83 $ 10.48 $ 9.61 $ 9.45 $ 10.19 $ 10.03 ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- 5.00% 14.65% 5.24% (10.48%)* 3.76% 10.67% $ 56,229 $ 51,466 $ 25,733 $ 19,170 $ 30,812 $ 28,899 3.59%* 4.15% 4.01% 2.77%* 4.21%* 4.64% 1.00%* 1.00% 1.00% 1.00%* 1.00%* 1.00% 0.55%* 0.58% 0.76% 1.10%* 0.66%* 0.65% FOR THE PERIOD OCTOBER 15, 1993 (COMMENCEMENT OF OPERATIONS) TO MARCH 31, 1995 1994 ----------- ----------- $ 9.60 $ 10.00 ----------- ----------- 0.41 0.13 (0.13) (0.47) ----------- ----------- 0.28 (0.34) ----------- ----------- (0.37) (0.06) (0.01) -- ----------- ----------- (0.38) (0.06) ----------- ----------- $ 9.50 $ 9.60 ----------- ----------- ----------- ----------- 3.08% (7.39%)* $ 21,137 $ 17,582 4.47% 3.12%* 1.00% 1.00%* 0.82% 1.12%*
SEE NOTES TO FINANCIAL STATEMENTS ON PAGES 12 AND 13 11 - -------------------------------------------------------------------------------- BT INVESTMENT LIFECYCLE FUNDS NOTES TO FINANCIAL STATEMENTS (unaudited) - ---------------------------------------------------------------------- NOTE 1 -- ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES A. ORGANIZATION BT Investment 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 21, 1986, as a business trust under the laws of the Commonwealth of Massachusetts. The BT Investment Lifecycle Long Range Fund, Mid Range Fund and Short Range Fund (each a "Fund", and collectively, the "Funds") are three of the funds offered to investors by the Trust. The Funds commenced operations and began offering shares of beneficial interest on the following dates:
COMMENCEMENT OF OPERATIONS AND ISSUANCE OF BENEFICIAL FUND INTEREST - ------------------------- -------------------- Long Range............... November 16, 1993 Mid Range................ October 14, 1993 Short Range.............. October 15, 1993
The Long Range Fund, Mid Range Fund and Short Range Fund invest substantially all of their assets in the Asset Management Portfolio, Asset Management Portfolio II and Asset Management Portfolio III (each a "Portfolio" and collectively, the "Portfolios") respectively. The Portfolios are open-end management investment companies 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 September 30, 1996, the Long Range Fund's investment was approximately 24% of the Asset Management Portfolio, the Mid Range Fund's Investment was approximately 100% of the Asset Management Portfolio II and the Short Range Fund's investment was approximately 100% of the Asset Management Portfolio III. 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. DIVIDENDS It is each Fund's policy to declare and distribute dividends quarterly to shareholders from net investment income. 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 offest by any capital loss carryforwards. D. FEDERAL INCOME TAXES It is each Fund's policy to comply with the requirements of the Internal Revenue Code. Therefore, no federal income tax provision is required. E. 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 accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts in the financial statements. NOTE 2 -- FEES AND TRANSACTIONS WITH AFFILIATES The 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 0.65 of 1% of each Fund's average daily net assets. For the six months ended September 30, 1996, these fees aggregated $197,676, $174,376 and $96,678 for the Long Range Fund, Mid Range Fund and Short Range Fund, respectively. On September 30, 1996, the Trust entered into a Distribution Agreement with Edgewood Services, Inc. ("Edgewood"). Prior to September 30, Signature Broker-Dealer Services, Inc. ("Signature") was the Trust's distributor. Under the Distribution Agreement with the Trust, pursuant to Rule 12b-1 of the 1940 Act, Edgewood and previously Signature may seek reimbursement, at an annual rate not exceeding 0.20 of 1% of each 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 six months ended September 30, 1996, there were no reimbursable expenses incurred under this agreement. Bankers Trust has voluntarily undertaken to waive and reimburse expenses of each Fund, to the extent necessary, to limit all expenses to 0.40 of 1% of the average daily net assets of each Fund, excluding expenses of the respective Portfolios and 1.00 of 1% of the average daily net assets of each Fund, including expenses of the respective Portfolios. For the six months ended September 30, 1996, expenses of the Long Range Fund, Mid Range Fund and Short Range Fund have been reduced by $98,167, $94,334 and $63,803, 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 imposes expense limitations of 2.50% of the first $30,000,000 of the average daily net assets, 2.00% of the next $70,000,000, and 1.50% of any excess over $100,000,000. Certain trustees and officers of the Funds are also directors, officers and/ or employees of Edgewood and/or Signature. None of the trustees so affiliated received compensation for services as trustee of the Funds. Similarly, none of the Funds' officers received compensation from the Funds. 12 - ---------------------------------------------------------------------- BT INVESTMENT LIFECYCLE FUNDS NOTES TO FINANCIAL STATEMENTS (unaudited) (Continued) - -------------------------------------------------------------------------------- NOTE 3 -- SHARES OF BENEFICIAL INTEREST At September 30, 1996, there were an unlimited number of shares of beneficial interest authorized. Transactions in shares of beneficial interest were as follows:
LONG RANGE MID RANGE SHORT RANGE ------------------------ ------------------------ ------------------------ SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT ---------- ------------ ---------- ------------ ---------- ------------ Sold..................... 846,842 $ 9,646,027 512,463 $ 5,385,671 294,459 $ 2,949,998 Reinvested............... 70,056 803,177 79,859 842,921 61,938 619,091 Redeemed................. (342,025) (3,901,182) (307,301) (3,235,690) (212,881) (2,130,317) ---------- ------------ ---------- ------------ ---------- ------------ Net Increase............. 574,873 $ 6,548,022 285,021 $ 2,992,902 143,516 $ 1,438,772 ---------- ------------ ---------- ------------ ---------- ------------ ---------- ------------ ---------- ------------ ---------- ------------
FOR THE YEAR ENDED MARCH 31, 1996 ---------------------------------------------------------------------------- LONG RANGE MID RANGE SHORT RANGE ------------------------ ------------------------ ------------------------ SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT ---------- ------------ ---------- ------------ ---------- ------------ Sold..................... 4,376,179 $ 46,825,041 2,501,640 $ 25,423,365 1,109,684 $ 10,992,026 Reinvested............... 187,053 2,040,116 175,343 1,765,953 117,233 1,141,292 Redeemed................. (942,323) (9,983,290) (446,097) (4,537,920) (570,529) (5,679,693) ---------- ------------ ---------- ------------ ---------- ------------ Net Increase............. 3,620,909 $ 38,881,867 2,230,886 $ 22,651,398 656,388 $ 6,453,625 ---------- ------------ ---------- ------------ ---------- ------------ ---------- ------------ ---------- ------------ ---------- ------------
13 - -------------------------------------------------------------------------------- ASSET MANAGEMENT PORTFOLIO SCHEDULE OF PORTFOLIO INVESTMENTS SEPTEMBER 30, 1996 (UNAUDITED) - --------------------------------------------------------------------------------
SHARES SECURITY VALUE - ----------- ------------------------------ ------------- COMMON STOCKS - 50.78% AEROSPACE - 0.67% 10,200 Boeing Co..................... $ 963,900 7,000 United Technologies Corp...... 840,875 ------------- 1,804,775 ------------- AIRLINES - 0.48% 11,300 AMR Corp. (a)................. 899,763 5,400 Delta Air Lines Inc........... 388,800 ------------- 1,288,563 ------------- AUTO RELATED - 1.23% 22,600 Chrysler Corp................. 646,925 41,900 Dana Corp..................... 1,267,475 29,300 General Motors Corp........... 1,406,400 ------------- 3,320,800 ------------- BANKS - 3.75% 42,900 BankAmerica Corp.............. 3,523,163 53,900 Bank of Boston Corp........... 3,119,463 36,800 Chase Manhattan Corporation... 2,948,600 6,100 Citicorp...................... 552,812 ------------- 10,144,038 ------------- BEVERAGES - 1.88% 29,500 Coca-Cola Co.................. 1,500,813 7,200 Coca-Cola Enterprise, Inc..... 325,800 100,800 PepsiCo Inc................... 2,847,600 10,900 Seagram, Co. Ltd.............. 407,387 ------------- 5,081,600 ------------- CHEMICALS & TOXIC WASTE - 2.54% 7,600 Air Products & Chemical Corp......................... 442,700 24,300 Du Pont (E.I.) de Nemours & Co........................... 2,144,475 105,000 Monsanto Co................... 3,832,500 7,900 Sigma-Aldrich................. 450,300 ------------- 6,869,975 ------------- COMPUTER SERVICES - 1.32% 16,700 3Com Corp (a)................. 1,003,044 41,300 Cisco Systems Inc. (a)........ 2,563,181 ------------- 3,566,225 ------------- COMPUTER SOFTWARE - 1.67% 4,500 BMC Software Inc. (a)......... 357,750 39,750 Computer Associates International Inc............ 2,375,063 22,700 Informix Corp. (a)............ 632,763 27,250 Oracle Corp. (a).............. 1,159,828 ------------- 4,525,404 ------------- DATA PROCESSING SERVICES - 0.72% 16,300 First Data Corp............... 1,330,487 40,900 Medaphis Corp. (a)............ 613,500 ------------- 1,943,987 ------------- DIVERSIFIED - 1.72% 45,500 AlliedSignal Inc.............. 2,997,312 11,200 Supervalu Inc................. 308,000 15,900 Textron, Inc.................. 1,351,500 ------------- 4,656,812 ------------- DRUGS - 2.52% 46,400 Merck & Co.................... 3,265,400 44,900 Pfizer Inc.................... 3,552,712 ------------- 6,818,112 ------------- SHARES SECURITY VALUE - ----------- ------------------------------ ------------- ELECTRICAL EQUIPMENT - 1.70% 9,600 Emerson Electric Co........... $ 865,200 36,500 General Electric Co........... 3,321,500 5,100 General Signal Corp........... 224,400 2,800 Grainger (W.W.) Inc........... 196,700 ------------- 4,607,800 ------------- ELECTRONICS - 1.01% 12,300 Altera Corp. (a).............. 622,687 11,500 Intel Corp.................... 1,097,531 45,100 KLA Instruments Corp. (a)..... 1,014,750 ------------- 2,734,968 ------------- ENTERTAINMENT - 0.34% 14,327 Disney (Walt) Co.............. 907,974 ------------- FINANCIAL SERVICES - 1.87% 23,600 Associates First Capital Corp......................... 967,600 14,300 Federal Home Loan Mortgage Corp......................... 1,399,613 30,400 MBNA Corp..................... 1,056,400 6,400 Merrill Lynch & Co. Inc....... 420,000 24,900 Travelers Group Inc........... 1,223,212 ------------- 5,066,825 ------------- FOODS - 1.60% 35,200 CPC International Inc......... 2,635,600 47,100 Sara Lee Corp................. 1,683,825 ------------- 4,319,425 ------------- HEALTHCARE - 0.12% 6,700 Abbott Laboratories........... 329,975 ------------- HOSPITAL SUPPLIES/SERVICES - 2.67% 20,100 Baxter International Inc...... 939,675 76,000 Johnson & Johnson............. 3,895,000 14,000 PacifiCare Health Systems, Cl. B (a)........................ 1,211,000 27,900 US Surgical Corp.............. 1,185,750 ------------- 7,231,425 ------------- HOTEL/MOTEL - 0.70% 34,400 Marriott International Inc.... 1,896,300 ------------- HOUSEHOLD PRODUCTS - 1.49% 8,600 Clorox Co..................... 824,525 29,600 Procter & Gamble Co........... 2,886,000 6,800 Tupperware Corporation........ 333,200 ------------- 4,043,725 ------------- INSURANCE - 1.44% 22,400 American International Group Inc.......................... 2,256,800 11,600 General Re Corp............... 1,644,300 ------------- 3,901,100 ------------- METALS - 0.37% 15,800 Alcan Aluminium Ltd........... 474,000 17,100 Freeport-McMoRan Copper & Gold Cl. B........................ 534,375 ------------- 1,008,375 ------------- OFFICE EQUIPMENT & COMPUTERS - 1.15% 23,400 Hewlett-Packard Co............ 1,140,750 10,500 International Business Machines Corp................ 1,307,250 12,600 Xerox Corp.................... 675,675 ------------- 3,123,675 -------------
SEE NOTES TO FINANCIAL STATEMENTS ON PAGE 27 AND 28 14 - -------------------------------------------------------------------------------- ASSET MANAGEMENT PORTFOLIO SCHEDULE OF PORTFOLIO INVESTMENTS SEPTEMBER 30, 1996 (UNAUDITED) - --------------------------------------------------------------------------------
SHARES SECURITY VALUE - ----------- ------------------------------ ------------- OIL DOMESTIC - 1.36% 2,300 Atlantic Richfield Co......... $ 293,250 21,700 ENSCO International, Inc. (a).......................... 705,250 8,800 Louisiana Land & Exploration Co........................... 463,100 11,300 Phillips Petroleum Co......... 483,075 48,600 Unocal Corp................... 1,749,600 ------------- 3,694,275 ------------- OIL EQUIPMENT & SERVICES - 0.69% 20,000 Apache Corp................... 595,000 11,100 Schlumberger Ltd.............. 937,950 5,500 Western Atlas, Inc. (a)....... 342,375 ------------- 1,875,325 ------------- OIL INTERNATIONAL - 2.90% 6,900 Amoco Corp.................... 486,450 9,200 Chevron Corp.................. 576,150 16,600 Exxon Corp.................... 1,381,950 6,000 Mobil Corp.................... 694,500 13,000 Royal Dutch Petroleum Co...... 2,029,625 29,200 Texaco Inc.................... 2,686,400 ------------- 7,855,075 ------------- PAPER & FOREST PRODUCTS - 0.75% 23,100 Champion International Corp......................... 1,059,712 22,900 International Paper Co........ 973,250 ------------- 2,032,962 ------------- PHARMACEUTICALS - 0.27% 17,600 Pharmacia & Upjohn Inc........ 726,000 ------------- PRINTING & PUBLISHING - 0.55% 35,200 McGraw-Hill Companies Inc..... 1,500,400 ------------- RAILROADS - 0.74% 23,700 Burlington Northern Santa Fe........................... 1,999,687 ------------- RETAIL - 2.90% 24,800 Gap Inc....................... 716,100 33,500 Lowe's Cos. Inc............... 1,369,312 8,600 Oakley, Inc. (a).............. 365,500 54,000 Staples, Inc. (a)............. 1,198,125 20,900 Tiffany & Company............. 836,000 63,200 Wal-Mart Stores Inc........... 1,666,900 29,400 Dollar General Corp........... 915,075 14,600 Nine West Group, Inc. (a)..... 792,050 ------------- 7,859,062 ------------- TELECOMMUNICATIONS - 2.00% 46,500 Comcast, Cl. A................ 714,938 26,000 DSC Communications Corp. (a).......................... 650,000 45,400 MCI Communications Corp....... 1,163,375 28,100 Motorola, Inc................. 1,450,663 22,300 Newbridge Networks Corp. (a).......................... 1,421,625 ------------- 5,400,601 ------------- TOBACCO - 0.63% 18,900 Philip Morris Cos. Inc........ 1,696,275 ------------- SHARES SECURITY VALUE - ----------- ------------------------------ ------------- UTILITY ELECTRIC - 1.59% 13,400 American Electric Power Co.... $ 544,375 9,400 Dominion Resources Inc........ 354,850 24,100 FPL Group Inc................. 1,042,325 17,000 Ohio Edison Co................ 329,375 28,800 Pacific Gas & Electric........ 626,400 13,100 Public Service Enterprise Corp......................... 350,425 26,800 Texas Utilities Co............ 1,061,950 ------------- 4,309,700 ------------- UTILITY GAS, NATURAL GAS - 0.72% 36,400 Consolidated Natural Gas Co........................... 1,951,950 ------------- UTILITY TELEPHONE - 2.72% 29,400 AT&T Corp..................... 1,536,150 7,800 Ameritech Corp................ 410,475 6,100 Bell Atlantic Corp............ 365,238 14,100 BellSouth Corp................ 521,700 32,700 Frontier Corp................. 870,638 64,500 GTE Corp...................... 2,483,250 6,100 NYNEX Corp.................... 265,350 8,600 SBC Communications Inc........ 413,875 12,400 Sprint Corp................... 482,050 ------------- 7,348,726 ------------- TOTAL COMMON STOCKS (Cost $121,140,900)... $ 137,441,896 ------------- PRINCIPAL AMOUNT - ----------- CORPORATE DEBT NON-CONVERTIBLE - 2.75% BANKS - 0.38% $ 500,000 Bayerische L/B, 6.17%, 2/1/06....................... 466,008 100,000 Fleet/Norstar Financial Group, Inc. 7.65%, 3/1/97........... 100,691 215,000 International Bank Reconstruction & Development, 8.875%, 3/1/26............... 253,599 215,000 Standard Credit Card Master Trust, 6.55%, 10/7/05........ 206,932 ------------- 1,027,230 ------------- FINANCIAL SERVICES - 0.54% 300,000 Ford Motor Credit, 6.125%, 11/8/00...................... 293,808 600,000 Great Western Financial Corp., 6.375%, 7/1/00............... 591,766 195,000 KFW International Finance Inc., 8.20%, 6/1/06.......... 208,244 340,000 Paine Webber Group, Inc., 9.25%, 12/15/01.............. 369,334 ------------- 1,463,152 ------------- HOTEL/MOTEL - 0.16% 435,000 Marriott International, 7.875%, 4/15/05.............. 444,580 -------------
SEE NOTES TO FINANCIAL STATEMENTS ON PAGE 27 AND 28 15 - -------------------------------------------------------------------------------- ASSET MANAGEMENT PORTFOLIO SCHEDULE OF PORTFOLIO INVESTMENTS SEPTEMBER 30, 1996 (UNAUDITED) - --------------------------------------------------------------------------------
PRINCIPAL AMOUNT SECURITY VALUE - ----------- ------------------------------ ------------- INDUSTRIAL - 1.16% $ 215,000 Auburn Hills Trust, 12.00%, 5/1/20....................... $ 310,660 475,000 Brunswick Corp., 8.125%, 4/1/97....................... 480,162 19,000 Celulosa y Arauco Constitucion S.A., 6.75%, 12/15/03........ 18,185 610,000 Celulosa y Arauco Constitucion S.A., 7.00%, 12/15/07........ 576,931 490,000 Laidlaw, Inc., 7.70%, 8/15/02...................... 503,332 415,000 Mutual Life Ins. Co-NY, 11.25%, 8/15/24 (c).......... 383,381 450,000 News America Holdings, Inc., 7.75%, 2/1/24................ 422,551 460,000 News America Holdings, Inc., 7.43%, 10/1/26............... 458,717 ------------- 3,153,919 ------------- OFFICE EQUIPMENT & COMPUTERS - 0.20% 535,000 Texas Instruments Inc., 6.75%, 7/15/99...................... 537,405 ------------- OIL-DOMESTIC - 0.17% 440,000 Occidental Petroleum Corp., 9.50%, 7/15/97............... 451,467 ------------- UTILITY-ELECTRIC - 0.07% 35,000 Idaho Power Co., 8.00%, 3/15/04...................... 36,745 140,000 Potomac Edison Co., 8.00%, 6/1/24....................... 139,777 ------------- 176,522 ------------- UTILITY-GAS, NATURAL GAS - 0.07% 175,000 KN Energy, Inc., 9.625%, 8/1/21....................... 193,203 ------------- TOTAL CORPORATE DEBT NON-CONVERTIBLE (Cost $7,439,818)........................ $ 7,447,478 ------------- CORPORATE DEBT CONVERTIBLE - FOREIGN - 0.08% 220,000 Nordeutsche L/B Girozen, 6.875%, 3/10/03 (Cost $211,708).................... $ 218,763 ------------- U.S. GOVERNMENT & AGENCY - 6.03% 479,740 FGHLMC, 6.50%, 4/1/11 (b)..... 465,498 906,444 FGHLMC, 6.50%, 1/1/26 (b)..... 853,474 47,135 FGHLMC, 6.50%, 4/1/26 (b)..... 44,380 541,934 FGHLMC, 6.50%, 5/1/26 (b)..... 510,265 335,000 FHLMC, 6.93%, 9/5/00 (b)...... 332,767 126,111 FHLMC, 9.50%, 2/1/25 (b)...... 134,655 96,994 FHLMC, 7.50%, 9/1/25 (b)...... 96,092 257,690 FNMA, 6.00%, 1/1/01 (b)....... 252,634 325,000 FNMA, 8.625%, 11/10/04 (b).... 338,845 499,438 FNMA, 7.00%, 9/1/07 (b)....... 494,131 396,936 FNMA, 6.50%, 9/1/08 (b)....... 384,904 376,231 FNMA, 6.00%, 1/1/09 (b)....... 361,769 17,507 FNMA, 6.00%, 1/1/09 (b)....... 16,610 185,824 FNMA, 6.00%, 1/1/09 (b)....... 176,301 294,041 FNMA, 8.00%, 4/1/10 (b)....... 300,633 647,843 FNMA, 7.00%, 8/1/10 (b)....... 642,259 1,454,162 FNMA, 6.50%, 3/1/11 (b)....... 1,410,084 400,000 FNMA TBA, 7.00%, 9/1/21 (b)... 386,375 416,948 FNMA, 6.50%, 10/1/23 (b)...... 392,061 1,104,487 FNMA, 8.00%, 5/1/25 (b)....... 1,115,877 935,043 FNMA, 8.00%, 7/1/25 (b)....... 944,964 PRINCIPAL AMOUNT SECURITY VALUE - ----------- ------------------------------ ------------- $ 415,458 FNMA, 8.00%, 11/1/25 (b)...... $ 419,742 403,434 FNMA, 8.00%, 5/1/26 (b)....... 407,595 382,278 FNMA, 8.00%, 6/1/26 (b)....... 386,221 296,200 FNMA, 8.00%, 7/1/26 (b)....... 299,254 1,299,716 FNMA, 8.00%, 7/1/26 (b)....... 1,313,120 530,255 FNMA, 8.00%, 8/1/26 (b)....... 535,724 494,613 FNMA, 8.00%, 8/1/26 (b)....... 499,713 400,000 FNMA ARM TBA, 6.058%, 10/1/26 (b).......................... 395,500 307,300 GNMA, 7.00%, 9/15/23 (b)...... 296,257 719,728 GNMA, 8.50%, 10/20/24 (b)..... 736,821 408,318 GNMA, 8.00%, 7/15/25 (b)...... 412,912 985,792 GNMA 7.00%, 3/15/26 (b)....... 950,366 ------------- TOTAL U.S. GOVERNMENT & AGENCY (Cost $16,348,945)....................... $ 16,307,803 ------------- FOREIGN DEBT - 0.64% GOVERNMENT - 0.60% 95,000 New Zealand Government, 10.625%, 11/15/05............ 118,125 265,000 New Zealand Government 8.75%, 12/15/06..................... 298,156 520,000 Poland Discount Bond.......... 496,600 400,000 Province of Quebec, 7.22%, 7/22/36...................... 409,014 310,000 Quebec Province, 7.125%, 2/9/24....................... 284,785 ------------- 1,606,680 ------------- INDUSTRIAL - 0.04% 125,000 Manitoba, 6.125%, 1/19/04..... 119,079 ------------- TOTAL FOREIGN DEBT (Cost $1,717,622)...... $ 1,725,759 ------------- U.S. TREASURY SECURITIES - 7.42% 3,920,000 U.S. Treasury Notes, 6.25%, 6/30/98...................... 3,931,627 6,020,000 U.S. Treasury Notes, 6.375%, 5/15/99...................... 6,038,820 2,335,000 U.S. Treasury Notes, 6.625%, 6/30/01...................... 2,349,950 1,530,000 U.S. Treasury Bonds, 6.375%, 9/30/01...................... 1,524,627 2,360,000 U.S. Treasury Bonds, 6.875%, 5/15/06...................... 2,388,025 2,755,000 U.S. Treasury Bonds, 7.25%, 8/15/22...................... 2,810,960 1,187,000 U.S. Treasury Bonds, 6.00%, 2/15/26...................... 1,044,188 ------------- TOTAL U.S. TREASURY SECURITIES (Cost $20,009,619)....................... $ 20,088,197 ------------- SHORT TERM INSTRUMENTS - 31.14% U.S. TREASURY BILLS - 15.26% 40,000,000 5.03%, 10/17/96............... 39,907,911 60,000 5.08%, 11/07/96............... 59,695 310,000 5.14%, 11/07/96............... 308,407 30,000 5.00%, 12/05/96............... 29,734 1,015,000 5.27%, 12/19/96............... 1,004,197 ------------- 41,309,944 -------------
SEE NOTES TO FINANCIAL STATEMENTS ON PAGE 27 AND 28 16 - -------------------------------------------------------------------------------- ASSET MANAGEMENT PORTFOLIO SCHEDULE OF PORTFOLIO INVESTMENTS SEPTEMBER 30, 1996 (UNAUDITED) - --------------------------------------------------------------------------------
PRINCIPAL AMOUNT SECURITY VALUE - ----------- ------------------------------ ------------- REPURCHASE AGREEMENT - 15.88% $42,967,676 Sanwa Bank, Dated 9/30/96 5.55% principal and interest in the amount of $42,974,300 due 10/1/96, (collateralized by U.S. Treasury Notes, par value of $630,000; 8.25% due 7/15/98, value of $652,838, U.S. Treasury Bonds, par value $34,286,000 10.75% due 5/15/03, value of $41,807,663)................. $ 42,967,676 ------------- TOTAL SHORT TERM INSTRUMENTS (Cost $84,277,058).............................. $ 84,277,620 ------------- TOTAL INVESTMENTS (Cost $251,145,670) 98.84%.................................... $ 267,507,516 Other Assets Less Liabilities - 1.16%..... 3,147,311 ------------- NET ASSETS - 100.00%...................... $ 270,654,827 ------------- -------------
- ------------------ (a) Non-Income Producing Securities (b) The following abbreviations are used in the portfolio description. ARM - Adjustable-Rate Mortgage FGHLMC - Federal Gold Home Loan Mortgage Corporation FHLMC - Federal Home Loan Mortgage Corporation FNMA - Federal National Mortgage Association GNMA - Government National Mortgage Association TBA - To be announced (c)Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. SEE NOTES TO FINANCIAL STATEMENTS ON PAGE 27 AND 28 17 - -------------------------------------------------------------------------------- ASSET MANAGEMENT PORTFOLIO II SCHEDULE OF PORTFOLIO INVESTMENTS SEPTEMBER 30, 1996 (UNAUDITED) - --------------------------------------------------------------------------------
SHARES SECURITY VALUE - ------------ ------------------------------ ------------ COMMON STOCKS - 33.44% AEROSPACE - 0.45% 1,400 Boeing Co..................... $ 132,300 1,000 United Technologies Corp...... 120,125 ------------ 252,425 ------------ AIRLINES - 0.30% 1,500 AMR Corp. (a)................. 119,438 700 Delta Air Lines, Inc.......... 50,400 ------------ 169,838 ------------ AUTO RELATED - 0.80% 3,000 Chrysler Corp................. 85,875 5,700 Dana Corp..................... 172,425 4,000 General Motors Corp........... 192,000 ------------ 450,300 ------------ BANKS - 2.45% 5,900 BankAmerica Corp.............. 484,537 7,260 Bank of Boston Corp........... 420,173 5,000 Chase Manhattan Corporation... 400,625 800 Citicorp...................... 72,500 ------------ 1,377,835 ------------ BEVERAGES - 1.24% 4,000 Coca-Cola Co.................. 203,500 1,000 Coca-Cola Enterprises, Inc.... 45,250 13,800 PepsiCo Inc................... 389,850 1,500 Seagram, Co. Ltd.............. 56,063 ------------ 694,663 ------------ CHEMICALS & TOXIC WASTE - 1.68% 1,000 Air Products & Chemical Corp......................... 58,250 3,300 Du Pont (E.I.) de Nemours & Co........................... 291,225 14,500 Monsanto Co................... 529,250 1,100 Sigma-Aldrich................. 62,700 ------------ 941,425 ------------ COMPUTER SERVICES - 0.87% 2,300 3Com Corp (a)................. 138,144 5,600 Cisco Systems, Inc. (a)....... 347,550 ------------ 485,694 ------------ COMPUTER SOFTWARE - 1.11% 600 BMC Software Inc. (a)......... 47,700 5,400 Computer Associates International Inc............ 322,650 3,100 Informix Corp. (a)............ 86,413 3,850 Oracle Corp. (a).............. 163,866 ------------ 620,629 ------------ DATA PROCESSING SERVICES - 0.47% 2,200 First Data Corp............... 179,575 5,600 Medaphis Corp. (a)............ 84,000 ------------ 263,575 ------------ DIVERSIFIED - 1.13% 6,200 AlliedSignal Inc.............. 408,425 1,500 Supervalu, Inc................ 41,250 2,200 Textron, Inc.................. 187,000 ------------ 636,675 ------------ DRUGS - 1.65% 6,300 Merck & Co.................... 443,362 6,100 Pfizer, Inc................... 482,663 ------------ 926,025 ------------ SHARES SECURITY VALUE - ------------ ------------------------------ ------------ ELECTRICAL EQUIPMENT - 1.12% 1,300 Emerson Electric Co........... $ 117,162 5,000 General Electric Co........... 455,000 700 General Signal Corp........... 30,800 400 Grainger (W.W.) Inc........... 28,100 ------------ 631,062 ------------ ELECTRONICS - 0.67% 1,700 Altera Corp. (a).............. 86,063 1,600 Intel Corp.................... 152,700 6,200 KLA Instruments Corp. (a)..... 139,500 ------------ 378,263 ------------ ENTERTAINMENT - 0.22% 1,978 Disney (Walt) Co.............. 125,356 ------------ FINANCIAL SERVICES - 1.25% 3,200 Associates First Capital Corporation.................. 131,200 2,000 Federal Home Loan Mortgage.... 195,750 4,150 MBNA Corp..................... 144,212 900 Merrill Lynch & Co. Inc....... 59,062 3,450 Travelers Group Inc........... 169,481 ------------ 699,705 ------------ FOODS - 1.05% 4,800 CPC International, Inc........ 359,400 6,400 Sara Lee Corp................. 228,800 ------------ 588,200 ------------ HEALTHCARE - 0.08% 900 Abbott Laboratories........... 44,325 ------------ HOSPITAL SUPPLIES/SERVICES - 1.75% 2,700 Baxter International Inc...... 126,225 10,400 Johnson & Johnson............. 533,000 1,900 PacifiCare Health Systems, Cl. B (a)........................ 164,350 3,800 US Surgical Corp.............. 161,500 ------------ 985,075 ------------ HOTEL/MOTEL - 0.46% 4,700 Marriott International Inc.... 259,088 ------------ HOUSEHOLD PRODUCTS - 0.98% 1,200 Clorox Co..................... 115,050 4,000 Procter & Gamble Co........... 390,000 900 Tupperware Corporation........ 44,100 ------------ 549,150 ------------ INSURANCE - 0.96% 3,100 American International Group Inc.......................... 312,325 1,600 General Re Corp............... 226,800 ------------ 539,125 ------------ METALS - 0.25% 2,200 Alcan Aluminium Ltd........... 66,000 2,300 Freeport-McMoRan Copper & Gold Cl. B........................ 71,875 ------------ 137,875 ------------ OFFICE EQUIPMENT & COMPUTERS - 0.75% 3,200 Hewlett-Packard Co............ 156,000 1,400 International Business Machines Corp................ 174,300 1,700 Xerox Corp.................... 91,163 ------------ 421,463 ------------
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SHARES SECURITY VALUE - ------------ ------------------------------ ------------ OIL-DOMESTIC - 0.89% 300 Atlantic Richfield Co......... $ 38,250 3,000 ENSCO International, Inc. (a).......................... 97,500 1,200 Louisiana Land & Exploration Co........................... 63,150 1,500 Phillips Petroleum Co......... 64,125 6,600 Unocal Corp................... 237,600 ------------ 500,625 ------------ OIL EQUIPMENT & SERVICES - 0.44% 2,700 Apache Corp................... 80,325 1,500 Schlumberger Ltd.............. 126,750 700 Western Atlas, Inc. (a)....... 43,575 ------------ 250,650 ------------ OIL-INTERNATIONAL - 1.92% 900 Amoco Corp.................... 63,450 1,300 Chevron Corp.................. 81,412 2,300 Exxon Corp.................... 191,475 800 Mobil Corp.................... 92,600 1,800 Royal Dutch Petroleum Co...... 281,025 4,000 Texaco Inc.................... 368,000 ------------ 1,077,962 ------------ PAPER AND FOREST PRODUCTS - 0.50% 3,200 Champion International Corp......................... 146,800 3,100 International Paper Co........ 131,750 ------------ 278,550 ------------ PHARMACEUTICALS - 0.18% 2,400 Pharmacia & Upjohn Inc........ 99,000 ------------ PRINTING & PUBLISHING - 0.36% 4,800 McGraw-Hill Companies Inc..... 204,600 ------------ RAILROADS - 0.48% 3,200 Burlington Northern Santa Fe........................... 270,000 ------------ RETAIL - 1.93% 3,400 Gap Inc....................... 98,175 4,600 Lowe's Cos. Inc............... 188,025 1,200 Oakley, Inc. (a).............. 51,000 7,400 Staples, Inc. (a)............. 164,187 2,900 Tiffany & Company............. 116,000 8,600 Wal-Mart Stores Inc........... 226,825 4,000 Dollar General Corp........... 124,500 2,100 Nine West Group, Inc. (a)..... 113,925 ------------ 1,082,637 ------------ TELECOMMUNICATIONS - 1.31% 6,400 Comcast, Cl. A................ 98,400 3,600 DSC Communications Corp. (a).......................... 90,000 6,200 MCI Communications Corp....... 158,875 3,800 Motorola, Inc................. 196,175 3,000 Newbridge Networks Corp. (a).......................... 191,250 ------------ 734,700 ------------ TOBACCO - 0.42% 2,600 Philip Morris Cos. Inc........ 233,350 ------------ UTILITY-ELECTRIC - 1.05% 1,800 American Electric Power Co.... 73,125 1,300 Dominion Resources Inc........ 49,075 3,300 FPL Group Inc................. 142,725 2,300 Ohio Edison Co................ 44,562 3,900 Pacific Gas & Electric........ 84,825 1,800 Public Service Enterprise Corp......................... 48,150 3,700 Texas Utilities Co............ 146,612 ------------ 589,074 ------------ SHARES SECURITY VALUE - ------------ ------------------------------ ------------ UTILITY-GAS, NATURAL GAS - 0.48% 5,000 Consolidated Natural Gas Co........................... $ 268,125 ------------ UTILITY-TELEPHONE - 1.79% 4,000 AT&T Corp..................... 209,000 1,100 Ameritech Corp................ 57,887 800 Bell Atlantic Corp............ 47,900 1,900 BellSouth Corp................ 70,300 4,500 Frontier Corp................. 119,812 8,800 GTE Corp...................... 338,800 800 NYNEX Corp.................... 34,800 1,200 SBC Communications Inc........ 57,750 1,700 Sprint Corp................... 66,088 ------------ 1,002,337 ------------ TOTAL COMMON STOCKS (Cost $16,508,271)..... $ 18,769,381 ------------ PRINCIPAL AMOUNT - ------------ CORPORATE DEBT NON-CONVERTIBLE - 4.17% BANKS - 0.71% $ 187,000 Bayerische Landesbank, 6.17%, 2/1/06....................... $ 174,287 50,000 Fleet/Norstar Financial Group, Inc., 7.65%, 3/1/97.......... 50,346 40,000 International Bank Reconstruction & Development, 8.875%, 3/1/26............... 47,181 130,000 Standard Credit Card Master Trust, 6.55%, 10/7/05........ 125,123 ------------ 396,937 ------------ FINANCIAL SERVICES - 0.63% 90,000 Ford Motor Credit, 6.125%, 11/8/00...................... 88,142 85,000 GMAC, 8.625%, 1/18/01......... 90,420 55,000 KFW International Finance, Inc., 8.20%, 6/1/06.......... 58,736 110,000 Paine Webber Group, Inc., 9.25%, 12/15/01.............. 119,490 ------------ 356,788 ------------ HOSPITAL SUPPLIES & HEALTHCARE - 0.17% 95,000 Columbia/HCA Healthcare, 6.91%, 6/15/05............... 93,339 ------------ HOTEL/MOTEL - 0.24% 130,000 Marriot International, 7.875%, 4/15/05...................... 132,863 ------------ INDUSTRIAL - 1.50% 135,000 Auburn Hills Trust, 12.00%, 5/1/20....................... 195,065 26,000 Celulosa y Arauco, 6.75%, 12/15/03..................... 24,885 170,000 Celulosa y Arauco, 7.00%, 12/15/07..................... 160,784 165,000 Laidlaw, Inc., 7.70%, 8/15/02...................... 169,489 175,000 News America Holdings, Inc., 7.43%, 10/1/26............... 174,513 125,000 News America Holdings, Inc., 7.75%, 2/1/24................ 117,375 ------------ 842,111 ------------ OFFICE EQUIPMENT & COMPUTERS - 0.36% 200,000 Texas Instruments Inc., 6.75%, 7/15/99...................... 200,899 ------------
SEE NOTES TO FINANCIAL STATEMENTS ON PAGES 27 AND 28 19 - -------------------------------------------------------------------------------- ASSET MANAGEMENT PORTFOLIO II SCHEDULE OF PORTFOLIO INVESTMENTS SEPTEMBER 30, 1996 (UNAUDITED) - --------------------------------------------------------------------------------
PRINCIPAL AMOUNT SECURITY VALUE - ------------ ------------------------------ ------------ OIL-DOMESTIC - 0.22% $ 120,000 Occidental Petroleum Corp., 9.50%, 7/15/97............... $ 123,128 ------------ UTILITY-ELECTRIC - 0.19% 45,000 Idaho Power Co., 8.00%, 3/15/04...................... 47,244 60,000 Potomac Edison Co., 8.00%, 6/1/24....................... 59,904 ------------ 107,148 ------------ UTILITY-GAS, NATURAL GAS - 0.15% 75,000 KN Energy, Inc., 9.625%, 8/1/21....................... 82,801 ------------ TOTAL CORPORATE DEBT NON-CONVERTIBLE (Cost $2,340,047)......................... $ 2,336,014 ------------ CORPORATE DEBT CONVERTIBLE - FOREIGN - 0.20% 115,000 Norddeutche Landesbank, 6.875%, 3/10/03 (Cost $110,666).................... $ 114,353 ------------ U.S. GOVERNMENT & AGENCY - 11.31% 394,737 FGHLMC, 6.50%, 8/1/11 (b)..... 383,266 499,543 FGHLMC, 6.50%, 5/1/26 (b)..... 470,351 100,000 FHLMC, 6.93%, 9/5/00 (b)...... 99,333 325,640 FHLMC, 9.50%, 2/1/25 (b)...... 347,703 23,267 FHLMC 7.50%, 9/1/25 (b)....... 23,050 289,409 FNMA, 6.00%, 1/1/01 (b)....... 282,119 140,000 FNMA, 8.625%, 11/10/04 (b).... 145,964 245,836 FNMA, 7.50%, 7/1/11 (b)....... 247,603 201,716 FNMA, 8.00%, 5/1/26 (b)....... 203,797 702,873 FNMA, 8.00%, 7/1/26 (b)....... 710,123 247,409 FNMA, 8.00%, 7/1/26 (b)....... 249,961 399,434 FNMA, 8.00%, 7/1/26 (b)....... 403,553 227,170 FNMA, 8.00%, 8/1/26 (b)....... 229,512 197,845 FNMA, 8.00%, 8/1/26 (b)....... 199,885 100,000 FNMA ARM, 6.058%, 10/1/26 (b).......................... 98,875 643,849 GNMA, 6.50%, 9/15/23 (b)...... 602,400 947,849 GNMA, 8.00%, 7/15/25 (b)...... 958,512 659,709 GNMA, 9.00%, 10/15/25 (b)..... 692,694 ------------ TOTAL U.S. GOVERNMENT & AGENCY (Cost $6,382,432) $ 6,348,701 ------------ FOREIGN DEBT - 1.16% GOVERNMENT - 0.95% 65,000 New Zealand Government, 10.625%, 11/15/05............ 80,823 45,000 New Zealand Government 8.75%, 12/15/06..................... 50,630 140,000 Poland Discount Bond, 6.437%, 10/27/24..................... 133,700 155,000 Province of Quebec, 7.22%, 7/22/36...................... 158,493 120,000 Quebec Province, 7.125%, 2/9/24....................... 110,239 ------------ 533,885 ------------ PRINCIPAL AMOUNT SECURITY VALUE - ------------ ------------------------------ ------------ INDUSTRIAL - 0.21% $ 125,000 Manitoba, 6.125%, 1/19/04 $ 119,079 ------------ TOTAL FOREIGN DEBT (Cost $648,096)......... $ 652,964 ------------ U.S. TREASURY SECURITIES - 13.33% 380,000 U.S. Treasury Bonds 6.375%, 9/30/01...................... 378,666 860,000 U.S. Treasury Bonds 6.875%, 5/15/06...................... 870,213 1,245,000 U.S. Treasury Bonds 7.25%, 8/15/22...................... 1,270,288 398,000 U.S. Treasury Bonds 6.00%, 2/15/26...................... 350,115 530,000 U.S. Treasury Notes 6.25%, 6/30/98...................... 531,571 470,000 U.S. Treasury Notes 6.00%, 8/31/98...................... 470,219 50,000 U.S. Treasury Notes 6.00%, 9/30/98...................... 49,910 2,150,000 U.S. Treasury Notes 6.375%, 5/15/99...................... 2,156,721 440,000 U.S. Treasury Notes 6.00%, 8/15/99...................... 436,941 965,000 U.S. Treasury Notes 6.625%, 6/30/01...................... 971,178 ------------ TOTAL TREASURY SECURITIES (Cost $7,456,267)......................... $ 7,485,822 ------------ SHORT-TERM INSTRUMENTS - 35.28% U.S. TREASURY BILLS - 20.02% 11,000,000 5.03%, 10/17/96............... 10,974,676 95,000 5.08%, 11/7/96................ 94,510 10,000 5.00%, 12/5/96................ 9,911 160,000 5.27%, 12/19/96............... 158,297 ------------ 11,237,394 ------------ REPURHASE AGREEMENT - 15.26% 8,567,498 Sanwa Bank, Dated 9/30/96 5.55% principal and interest in the amount of 8,568,819 due 10/1/96, (collateralized by U.S. Treasury Notes, par value $859,000, 7.88% due 4/15/98 value of $882,356 and U.S. Treasury Notes $7,885,000, 5.13% due 2/28/98 value of $7,793,849)......... 8,567,498 ------------ TOTAL SHORT-TERM INSTRUMENTS (Cost $19,804,802)............................... $ 19,804,892 ------------ TOTAL INVESTMENTS (Cost $53,250,581) 98.89%..................................... $ 55,512,127 ------------ Other Assets Less Liabilities 1.11%........ 625,730 ------------ NET ASSETS - 100.00%....................... $ 56,137,857 ------------ ------------
- ------------------ (a) Non-Income Producing Securities (b) The following abbreviations are used in the portfolio description. ARM - Adjustable-Rate Mortgage FGHLMC - Federal Gold Home Loan Mortgage Corporation FHLMC - Federal Home Loan Mortgage Corporation FNMA - Federal National Mortgage Association GNMA - Governmnent National Mortgage Association SEE NOTES TO FINANCIAL STATEMENTS ON PAGES 27 AND 28 20 - -------------------------------------------------------------------------------- ASSET MANAGEMENT III PORTFOLIO SCHEDULE OF PORTFOLIO INVESTMENTS SEPTEMBER 30, 1996 (UNAUDITED) - --------------------------------------------------------------------------------
SHARES SECURITY VALUE - ----------- ------------------------------ ------------ COMMON STOCKS - 17.28% AEROSPACE - 0.24% 400 Boeing Co..................... $ 37,800 300 United Technologies Corp...... 36,037 ------------ 73,837 ------------ AIRLINES - 0.15% 400 AMR Corp. (a)................. 31,850 200 Delta Air Lines Inc........... 14,400 ------------ 46,250 ------------ AUTO RELATED - 0.40% 800 Chrysler Corp................. 22,900 1,600 Dana Corp..................... 48,400 1,100 General Motors Corp........... 52,800 ------------ 124,100 ------------ BANKS - 1.28% 1,700 BankAmerica Corp.............. 139,612 1,980 Bank of Boston Corp........... 114,593 1,400 Chase Manhattan Corporation... 112,175 300 Citicorp...................... 27,188 ------------ 393,568 ------------ BEVERAGES - 0.64% 1,100 Coca-Cola Co.................. 55,962 300 Coca-Cola Enterprises, Inc.... 13,575 4,000 PepsiCo Inc................... 113,000 400 Seagram, Co. Ltd.............. 14,950 ------------ 197,487 ------------ CHEMICALS & TOXIC WASTE - 0.84% 300 Air Products & Chemical Corp......................... 17,475 900 Du Pont (E.I.) de Nemours & Co........................... 79,425 4,000 Monsanto Co................... 146,000 300 Sigma-Aldrich................. 17,100 ------------ 260,000 ------------ COMPUTER SERVICES - 0.44% 600 3Com Corp (a)................. 36,038 1,600 Cisco Systems Inc. (a)........ 99,300 ------------ 135,338 ------------ COMPUTER SOFTWARE - 0.59% 200 BMC Software Inc. (a)......... 15,900 1,500 Computer Associates International Inc............ 89,625 900 Informix Corp. (a)............ 25,087 1,200 Oracle Corp. (a).............. 51,075 ------------ 181,687 ------------ DATA PROCESSING SERVICES - 0.24% 600 First Data Corp............... 48,975 1,600 Medaphis Corp. (a)............ 24,000 ------------ 72,975 ------------ DIVERSIFIED - 0.59% 1,800 AlliedSignal Inc.............. 118,575 400 Supervalu Inc................. 11,000 600 Textron, Inc.................. 51,000 ------------ 180,575 ------------ SHARES SECURITY VALUE - ----------- ------------------------------ ------------ DRUGS - 0.85% 1,800 Merck & Co.................... $ 126,675 1,700 Pfizer Inc.................... 134,512 ------------ 261,187 ------------ ELECTRICAL EQUIPMENT - 0.58% 400 Emerson Electric Co........... 36,050 1,400 General Electric Co........... 127,400 200 General Signal Corp........... 8,800 100 Grainger (W.W.) Inc........... 7,025 ------------ 179,275 ------------ ELECTRONICS - 0.37% 500 Altera Corp. (a).............. 25,312 500 Intel Corp.................... 47,719 1,800 KLA Instruments Corp. (a)..... 40,500 ------------ 113,531 ------------ ENTERTAINMENT - 0.11% 524 Disney (Walt) Co.............. 33,209 ------------ FINANCIAL SERVICES - 0.65% 900 Associates First Capital Corporation.................. 36,900 600 Federal Home Loan Mortgage Corp......................... 58,725 1,150 MBNA Corp..................... 39,962 200 Merrill Lynch & Co. Inc....... 13,125 1,050 Travelers Group Inc........... 51,581 ------------ 200,293 ------------ FOODS - 0.55% 1,400 CPC International Inc......... 104,825 1,800 Sara Lee Corp................. 64,350 ------------ 169,175 ------------ HEALTHCARE - 0.05% 300 Abbott Laboratories........... 14,775 ------------ HOSPITAL SUPPLIES/SERVICES - 0.91% 800 Baxter International Inc...... 37,400 3,000 Johnson & Johnson............. 153,750 500 PacifiCare Health Systems, Cl. B (a)........................ 43,250 1,100 US Surgical Corp.............. 46,750 ------------ 281,150 ------------ HOTEL/MOTEL - 0.23% 1,300 Marriott International Inc.... 71,663 ------------ HOUSEHOLD PRODUCTS - 0.49% 300 Clorox Co..................... 28,762 1,100 Procter & Gamble Co........... 107,250 300 Tupperware Corporation........ 14,700 ------------ 150,712 ------------ INSURANCE - 0.48% 900 American International Group Inc.......................... 90,675 400 General Re Corp............... 56,700 ------------ 147,375 ------------ METALS - 0.13% 600 Alcan Aluminium Ltd........... 18,000 700 Freeport-McMoRan Copper & Cl. Gold B............................ 21,875 ------------ 39,875 ------------
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SHARES SECURITY VALUE - ----------- ------------------------------ ------------ OFFICE EQUIPMENT & COMPUTERS - 0.38% 800 Hewlett-Packard Co............ $ 39,000 400 International Business Machines Corp................ 49,800 500 Xerox Corp.................... 26,812 ------------ 115,612 ------------ OIL-DOMESTIC - 0.45% 100 Atlantic Richfield Co......... 12,750 800 ENSCO International, Inc. (a).......................... 26,000 300 Louisiana Land & Exploration Co........................... 15,787 400 Phillips Petroleum Co......... 17,100 1,900 Unocal Corp................... 68,400 ------------ 140,037 ------------ OIL EQUIPMENT & SERVICES - 0.25% 800 Apache Corp................... 23,800 500 Schlumberger Ltd.............. 42,250 200 Western Atlas, Inc. (a)....... 12,450 ------------ 78,500 ------------ OIL-INTERNATIONAL - 0.97% 300 Amoco Corp.................... 21,150 400 Chevron Corp.................. 25,050 600 Exxon Corp.................... 49,950 200 Mobil Corp.................... 23,150 500 Royal Dutch Petroleum Co...... 78,062 1,100 Texaco Inc.................... 101,200 ------------ 298,562 ------------ PAPER & FOREST PRODUCTS - 0.26% 900 Champion International Corp......................... 41,288 900 International Paper Co........ 38,250 ------------ 79,538 ------------ PHARMACEUTICALS - 0.09% 700 Pharmacia & Upjohn Inc........ 28,875 ------------ PRINTING & PUBLISHING - 0.17% 1,200 McGraw-Hill Companies Inc..... 51,150 ------------ RAILROADS - 0.25% 900 Burlington Northern Santa Fe........................... 75,938 ------------ RETAIL - 0.99% 1,100 Dollar General Corp........... 34,238 1,000 Gap Inc....................... 28,875 1,300 Lowe's Cos. Inc............... 53,138 600 Nine West Group, Inc. (a)..... 32,550 300 Oakley, Inc. (a).............. 12,750 2,100 Staples, Inc. (a)............. 46,594 800 Tiffany & Company............. 32,000 2,400 Wal-Mart Stores Inc........... 63,300 ------------ 303,445 ------------ TELECOMMUNICATIONS - .69% 1,800 Comcast, Cl. A................ 27,675 1,000 DSC Communications Corp. (a).......................... 25,000 1,800 MCI Communications Corp....... 46,125 1,100 Motorola, Inc................. 56,787 900 Newbridge Networks Corp. (a).......................... 57,375 ------------ 212,962 ------------ SHARES SECURITY VALUE - ----------- ------------------------------ ------------ TOBACCO - 0.20% 700 Philip Morris Cos. Inc........ $ 62,825 ------------ UTILITY-ELECTRIC - 0.55% 600 American Electric Power Co.... 24,375 400 Dominion Resources Inc........ 15,100 900 FPL Group Inc................. 38,925 700 Ohio Edison Co................ 13,563 1,100 Pacific Gas & Electric........ 23,925 500 Public Service Enterprise Corp......................... 13,375 1,000 Texas Utilities Co............ 39,625 ------------ 168,888 ------------ UTILITY-GAS, NATURAL GAS - 0.24% 1,400 Consolidated Natural Gas Co........................... 75,075 ------------ UTILITY-TELEPHONE - 0.98% 1,200 AT&T Corp..................... 62,700 300 Ameritech Corp................ 15,788 300 Bell Atlantic Corp............ 17,963 600 BellSouth Corp................ 22,200 1,300 Frontier Corp................. 34,612 2,500 GTE Corp...................... 96,250 300 NYNEX Corp.................... 13,050 400 SBC Communications Inc........ 19,250 500 Sprint Corp................... 19,437 ------------ 301,250 ------------ TOTAL COMMON STOCKS (Cost $4,514,391)..... $ 5,320,694 ------------ PRINCIPAL AMOUNT - ----------- CORPORATE DEBENTURES - 5.34% BANKS - 0.90% $ 138,000 Bayerische Landesbank, 6.17%, 2/1/06....................... $ 128,618 60,000 Fleet/Norstar Financial Group, Inc., 7.65%, 3/1/97.......... 60,415 25,000 International Bank Reconstruction & Development, 8.875%, 3/1/26............... 29,488 60,000 Standard Credit Card Master Trust, 6.55%, 10/7/05........ 57,749 ------------ 276,270 ------------ FINANCIAL SERVICES - 0.72% 70,000 KFW International Finance, Inc., 8.20%, 6/1/06.......... 74,754 135,000 Paine Webber Group, Inc., 9.25%, 12/15/01.............. 146,647 ------------ 221,401 ------------ HOTEL/MOTEL - 0.33% 100,000 Marriott International, 7.875%, 4/15/05.............. 102,202 ------------
SEE NOTES TO FINANCIAL STATEMENTS ON PAGES 27 AND 28 22 - -------------------------------------------------------------------------------- ASSET MANAGEMENT III PORTFOLIO SCHEDULE OF PORTFOLIO INVESTMENTS SEPTEMBER 30, 1996 (UNAUDITED) - --------------------------------------------------------------------------------
PRINCIPAL AMOUNT SECURITY VALUE - ----------- ------------------------------ ------------ INDUSTRIAL - 2.15% $ 55,000 Auburn Hills Trust, 12.00%, 5/1/20....................... $ 79,471 17,000 Celulosa y Arauco, 6.75%, 12/15/03..................... 16,271 130,000 Celulosa y Arauco, 7.00%, 12/15/07..................... 122,953 190,000 Laidlaw, Inc., 7.70%, 8/15/02...................... 195,170 125,000 News America Holdings, Inc., 7.43%, 10/1/26............... 124,651 130,000 News America Holdings, Inc., 7.75%, 2/1/24................ 122,070 ------------ 660,586 ------------ OFFICE EQUIPMENT & COMPUTERS - 0.47% 145,000 Texas Instruments, Inc., 6.75%, 7/15/99............... 145,652 ------------ UTILITY-ELECTRIC - 0.41% 50,000 Idaho Power Co., 8.00%, 3/15/04...................... 52,492 75,000 Potomac Edison Co., 8.00%, 6/1/24....................... 74,880 ------------ 127,372 ------------ UTILITY-GAS, NATURAL GAS - 0.36% 100,000 KN Energy, 9.625%, 8/1/21..... 110,402 ------------ TOTAL CORPORATE DEBENTURES (Cost $1,642,468)............................... $ 1,643,885 ------------ CORPORATE DEBT CONVERTIBLE FOREIGN - 0.19% 60,000 Norddeutsche Landesbank, 6.875%, 3/10/03 (Cost $57,739)..................... $ 59,662 ------------ U.S. GOVERNMENT & AGENCY - 15.95% 394,737 FGHLMC, 6.50%, 8/1/11 (b)..... 383,266 253,407 FGHLMC, 9.50%, 2/1/25 (b)..... 270,575 399,160 FGHLMC, 6.50%, 4/1/26 (b)..... 375,834 170,000 FHLMC, 6.93%, 9/5/00 (b)...... 168,867 162,676 FHLMC, 7.50%, 9/1/25 (b)...... 161,202 356,445 FNMA, 6.00%, 1/1/01 (b)....... 349,453 180,000 FNMA, 8.625%, 11/10/04 (b).... 187,668 239,336 FNMA, 8.00%, 4/1/10 (b)....... 244,702 491,798 FNMA, 7.50%, 7/1/11 (b)....... 495,333 723,755 FNMA, 8.00%, 8/1/25 (b)....... 731,434 100,858 FNMA, 8.00%, 5/1/26 (b)....... 101,898 395,347 FNMA, 8.00%, 7/1/26 (b)....... 399,425 477,670 FNMA, 8.00%, 7/1/26 (b)....... 482,597 197,845 FNMA, 8.00%, 8/1/26 (b)....... 199,885 100,000 FNMA, 6.058%, 10/1/26 (b)..... 98,875 275,935 GNMA, 6.50%, 9/15/23 (b)...... 258,172 ------------ TOTAL U.S. GOVERNMENT & AGENCY (Cost $4,915,151)............................... $ 4,909,186 ------------ PRINCIPAL AMOUNT SECURITY VALUE - ----------- ------------------------------ ------------ FOREIGN DEBT - 1.31% GOVERNMENT - % $ 80,000 New Zealand Government, 10.625%, 11/15/05............ $ 99,475 110,000 Poland Discount Bond, 6.437%, 10/27/24..................... 105,050 110,000 Province of Quebec, 7.22%, 7/22/36...................... 112,479 95,000 Quebec Province, 7.125%, 2/9/24....................... 87,272 ------------ TOTAL FOREIGN DEBT (Cost $400,407)........ $ 404,276 ------------ U.S. TREASURY SECURITIES - 17.17% 330,000 U.S. Treasury Bonds, 6.375%,9/30/01............... 328,841 870,000 U.S. Treasury Bonds, 6.875%,5/15/06............... 880,331 820,000 U.S. Treasury Bonds, 7.25%, 8/15/22...................... 836,656 307,000 U.S. Treasury Bonds, 6.00%,2/15/26................ 270,064 800,000 U.S. Treasury Notes, 5.25%,12/31/97............... 793,749 70,000 U.S. Treasury Notes, 6.25%,6/30/98................ 70,207 110,000 U.S. Treasury Notes, 6.00%,8/31/98................ 110,051 920,000 U.S. Treasury Notes, 6.375%,5/15/99............... 922,876 250,000 U.S. Treasury Notes, 6.00%,8/15/99................ 248,262 820,000 U.S. Treasury Notes, 6.625%,6/30/01............... 825,250 ------------ TOTAL U.S. TREASURY SECURITIES (Cost $5,277,280)........................ $ 5,286,287 ------------ SHORT TERM INSTRUMENTS - 41.93% U.S. TREASURY BILLS - 29.53% 9,000,000 5.03%, 10/17/96............... 8,979,280 10,000 5.00%, 12/05/96............... 9,911 105,000 5.27%, 12/19/96............... 103,882 ------------ 9,093,073 ------------ REPURCHASE AGREEMENT - 12.40% 3,816,971 Sanwa Banks, Dated 9/30/96 5.55% principal and interest in the amount of $3,817,559 due 10/1/96 (collateralized by U.S. Treasury Notes, par value $3,874,000 5.25% due 12/31/97 value of $4,638,945).................. 3,816,971 ------------ TOTAL SHORT TERM INSTRUMENTS (Cost $12,909,983).............................. $ 12,910,044 ------------ TOTAL INVESTMENTS (Cost $29,717,419) 99.17%.................................... $ 30,534,034 Other Assets Less Liabilities 0.83%....... 254,282 ------------ NET ASSETS - 100.00%...................... $ 30,788,316 ------------ ------------
- ------------------ (a) Non-Income Producing Securities (b) The following abbreviations are used in the portfolio description. FGHLMC - Federal Gold Home Loan Mortgage Corporation FHLMC - Federal Home Loan Mortgage Corporation FNMA - Federal National Mortgage Association GNMA - Governmnent National Mortgage Association SEE NOTES TO FINANCIAL STATEMENTS ON PAGES 27 AND 28 23 - -------------------------------------------------------------------------------- ASSET MANAGEMENT PORTFOLIOS STATEMENT OF ASSETS AND LIABILITIES SEPTEMBER 30, 1996 (UNAUDITED) - --------------------------------------------------------------------------------
ASSET ASSET ASSET MANAGEMENT MANAGEMENT MANAGEMENT II III ------------- ------------- ------------- ASSETS Investments, at Value+........................ $267,507,516 $ 55,512,127 $ 30,534,034 Cash++........................................ 2,270,014 413,199 295,975 Receivable for Securities Sold................ 1,584,109 697,134 495,078 Dividends and Interest Receivable............. 900,442 263,966 166,860 Variation Margin Receivable................... 202,326 48,414 25,309 Prepaid Expenses and Other.................... 185 41 25 ------------- ------------- ------------- Total Assets...................................... 272,464,592 56,934,881 31,517,281 ------------- ------------- ------------- LIABILITIES Due to Bankers Trust.......................... 151,293 20,309 3,950 Payable for Securities Purchased.............. 1,643,309 763,922 713,922 Accrued Expenses and Other.................... 15,163 12,793 11,093 ------------- ------------- ------------- Total Liabilities................................. 1,809,765 797,024 728,965 ------------- ------------- ------------- NET ASSETS........................................ $270,654,827 $ 56,137,857 $ 30,788,316 ------------- ------------- ------------- ------------- ------------- ------------- COMPOSITION OF NET ASSETS Paid-in Capital............................... $253,494,757 $ 53,755,918 $ 29,909,023 Net Unrealized Appreciation on: Investment and Foreign Currency Transactions............................ 16,338,891 2,257,348 811,117 Futures Contracts......................... 821,179 124,591 68,176 ------------- ------------- ------------- NET ASSETS, SEPTEMBER 30, 1996.................... $270,654,827 $ 56,137,857 $ 30,788,316 ------------- ------------- ------------- ------------- ------------- -------------
- ------------------ + Cost of $251,145,670, $53,250,581, and $29,717,419, respectively, including Repurchase Agreements amounting to $42,967,676, $8,567,498, and $3,816,971, respectively. ++ Includes foreign currency of $1,887,547, $417,396 and $290,548, respectively with a value of $1,864,592, $413,198 and $285,051, respectively. STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED SEPTEMBER 30, 1996 (UNAUDITED) - --------------------------------------------------------------------------------
ASSET ASSET ASSET MANAGEMENT MANAGEMENT MANAGEMENT II III ------------- ------------- ------------- INVESTMENT INCOME Dividends*.................................... $ 1,363,930 $ 187,077 $ 53,599 Interest...................................... 3,500,719 1,041,705 719,197 ------------- ------------- ------------- Total Investment Income........................... 4,864,649 1,228,782 772,796 ------------- ------------- ------------- EXPENSES Advisory...................................... 823,352 174,529 96,762 Administration and Services................... 126,670 26,851 14,886 Professional.................................. 9,251 11,361 9,239 Trustees...................................... 1,186 1,136 1,186 Miscellaneous................................. 1,877 1,162 1,197 ------------- ------------- ------------- Total Expenses................................ 962,336 215,039 123,270 Less: Expenses Absorbed by Bankers Trust...... (202,319) (53,935) (33,951) ------------- ------------- ------------- Net Expenses...................................... 760,017 161,104 89,319 ------------- ------------- ------------- NET INVESTMENT INCOME............................. 4,104,632 1,067,678 683,477 ------------- ------------- ------------- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FOREIGN CURRENCIES, AND FUTURES CONTRACTS Net Realized Gain (Loss) on: Investment and Foreign Currency Transactions............................ 2,386,724 175,086 (27,221) Futures Contracts......................... 1,169,894 167,529 (7,384) Net Change in Unrealized Appreciation on: Investment and Foreign Currency Transactions............................ 7,149,958 1,049,269 335,365 Futures Contracts......................... 836,650 261,318 168,965 ------------- ------------- ------------- NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS, FOREIGN CURRENCIES, AND FUTURES CONTRACTS......... 11,543,226 1,653,202 469,725 ------------- ------------- ------------- NET INCREASE IN NET ASSETS FROM OPERATIONS........ $ 15,647,858 $ 2,720,880 $ 1,153,202 ------------- ------------- ------------- ------------- ------------- -------------
- ------------------ * Net of foreign withholding tax of $12,714, $1,761, and $489, respectively. SEE NOTES TO FINANCIAL STATEMENTS ON PAGES 27 AND 28 24 - -------------------------------------------------------------------------------- ASSET MANAGEMENT PORTFOLIOS STATEMENT OF CHANGES IN NET ASSETS - ----------------------------------------------------------------------
ASSET ASSET MANAGEMENT ASSET MANAGEMENT II MANAGEMENT III ------------------------------ ------------------------------ -------------- FOR THE SIX FOR THE SIX FOR THE SIX MONTHS ENDED MONTHS ENDED MONTHS ENDED SEPTEMBER 30, FOR THE YEAR SEPTEMBER 30, FOR THE YEAR SEPTEMBER 30, 1996 ENDED MARCH 1996 ENDED MARCH 1996 (UNAUDITED) 31, 1996 (UNAUDITED) 31, 1996 (UNAUDITED) -------------- ------------- -------------- ------------- -------------- INCREASE IN NET ASSETS FROM: OPERATIONS Net Investment Income.................... $ 4,104,632 $ 6,712,317 $ 1,067,678 $ 1,756,177 $ 683,477 Net Realized Gain (Loss) from Investments, Foreign Currencies and Futures Contracts...................... 3,556,618 14,006,189 342,615 2,255,768 (34,605) Net Change in Unrealized Appreciation on Investments, Foreign Currencies and Futures Contracts...................... 7,986,608 7,261,817 1,310,587 989,840 504,330 -------------- ------------- -------------- ------------- -------------- Net Increase in Net Assets from Operations... 15,647,858 27,980,323 2,720,880 5,001,785 1,153,202 -------------- ------------- -------------- ------------- -------------- CAPITAL TRANSACTIONS Proceeds from Capital Invested........... 52,986,835 170,133,182 6,194,146 25,468,459 3,570,350 Value of Capital Withdrawn............... (38,122,274) (54,499,861) (4,176,717) (4,675,086) (2,803,901) -------------- ------------- -------------- ------------- -------------- Net Increase in Net Assets from Capital Transactions................................ 14,864,561 115,633,321 2,017,429 20,793,373 766,449 -------------- ------------- -------------- ------------- -------------- TOTAL INCREASE IN NET ASSETS................. 30,512,419 143,613,644 4,738,309 25,795,158 1,919,651 NET ASSETS Beginning of Period.......................... 240,142,408 96,528,764 51,399,548 25,604,390 28,868,665 -------------- ------------- -------------- ------------- -------------- End of Period................................ $ 270,654,827 $ 240,142,408 $ 56,137,857 $ 51,399,548 $ 30,788,316 -------------- ------------- -------------- ------------- -------------- -------------- ------------- -------------- ------------- -------------- FOR THE YEAR ENDED MARCH 31, 1996 ------------- INCREASE IN NET ASSETS FROM: OPERATIONS Net Investment Income.................... $ 1,290,180 Net Realized Gain (Loss) from Investments, Foreign Currencies and Futures Contracts...................... 725,026 Net Change in Unrealized Appreciation on Investments, Foreign Currencies and Futures Contracts...................... 536,562 ------------- Net Increase in Net Assets from Operations... 2,551,768 ------------- CAPITAL TRANSACTIONS Proceeds from Capital Invested........... 10,942,499 Value of Capital Withdrawn............... (5,827,202) ------------- Net Increase in Net Assets from Capital Transactions................................ 5,115,297 ------------- TOTAL INCREASE IN NET ASSETS................. 7,667,065 NET ASSETS Beginning of Period.......................... 21,201,600 ------------- End of Period................................ $ 28,868,665 ------------- -------------
SEE NOTES TO FINANCIAL STATEMENTS ON PAGES 27 AND 28 25 - -------------------------------------------------------------------------------- ASSET MANAGEMENT PORTFOLIOS FINANCIAL HIGHLIGHTS - ---------------------------------------------------------------------- Contained below are selected ratios to average net assets and other supplemental data for the periods indicated for the Asset Management Portfolios.
ASSET MANAGEMENT PORTFOLIO ---------------------------------------------------------- FOR THE PERIOD FOR THE SIX FOR THE SEPTEMBER 16, MONTHS ENDED YEAR ENDED 1993 SEPTEMBER 30, MARCH 31, (COMMENCEMENT OF 1996 -------------------- OPERATIONS) TO (UNAUDITED) 1996 1995 MARCH 31, 1994 ----------------- --------- --------- ----------------- SUPPLEMENTAL DATA AND RATIOS: Net Assets, End of Period (000's omitted)......... $ 270,655 $ 240,142 $ 96,529 $ 36,283 Ratios to Average Net Assets: Net Investment Income........................... 3.25%* 3.99% 3.78% 2.83%* Expenses........................................ 0.60%* 0.60% 0.60% 0.60%* Decrease Reflected in Above Expense Ratio Due to Absorption of Expenses by Bankers Trust....... 0.16%* 0.17% 0.19% 0.33%* Portfolio Turnover Rate............................... 71% 154% 92% 56% Average Commissions Paid per Share**.................. 0.054
ASSET MANAGEMENT PORTFOLIO II ---------------------------------------------------------- FOR THE PERIOD FOR THE SIX FOR THE SEPTEMBER 16, MONTHS ENDED YEAR ENDED MARCH 31, 1993 SEPTEMBER 30, (COMMENCEMENT OF 1996 -------------------- OPERATIONS) TO (UNAUDITED) 1996 1995 MARCH 31, 1994 ----------------- --------- --------- ----------------- SUPPLEMENTAL DATA AND RATIOS: Net Assets, End of Period (000's omitted).......... $ 56,138 $ 51,400 $ 25,604 $ 19,175 Ratios to Average Net Assets: Net Investment Income............................ 3.99%* 4.55% 4.41% 3.17%* Expenses......................................... 0.60%* 0.60% 0.60% 0.60%* Decrease Reflected in Above Expense Ratio Due to Absorption of Expenses by Bankers Trust........ 0.20%* 0.20% 0.27% 0.48%* Portfolio Turnover Rate................................ 99% 208% 105% 79% Average Commissions Paid per Share**................... 0.054
ASSET MANAGEMENT PORTFOLIO III ---------------------------------------------------------- FOR THE PERIOD FOR THE SIX FOR THE SEPTEMBER 16, MONTHS ENDED YEAR ENDED MARCH 31, 1993 SEPTEMBER 30, (COMMENCEMENT OF 1996 -------------------- OPERATIONS) TO (UNAUDITED) 1996 1995 MARCH 31, 1994 ----------------- --------- --------- ----------------- SUPPLEMENTAL DATA AND RATIOS: Net Assets, End of Period (000's omitted).......... $ 30,788 $ 28,869 $ 21,202 $ 17,586 Ratios to Average Net Assets: Net Investment Income............................ 4.60%* 5.04% 4.87% 3.51%* Expenses......................................... 0.60%* 0.60% 0.60% 0.60%* Decrease Reflected in Above Expense Ratio Due to Absorption of Expenses by Bankers Trust........ 0.23%* 0.22% 0.30% 0.49%* Portfolio Turnover Rate................................ 139% 221% 111% 84% Average Commissions Paid per Share**................... 0.053
- ---------------- * Annualized ** For fiscal years beginning on or after September 1, 1995, a fund is required to disclose its average commission rate per share for security trades on which commissions are charged. SEE NOTES TO FINANCIAL STATEMENTS ON PAGES 27 AND 28 26 - -------------------------------------------------------------------------------- ASSET MANAGEMENT PORTFOLIOS NOTES TO FINANCIAL STATEMENTS (unaudited) - ---------------------------------------------------------------------- NOTE 1 -- ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES A. ORGANIZATION The Asset Management Portfolio, Asset Management Portfolio II and Asset Management Portfolio III (each a "Portfolio", and collectively, the "Portfolios") are registered under the Investment Company Act of 1940 ("the Act"), as amended, as open-end management investment companies. The Portfolios were organized and commenced operations as follows:
ORGANIZATION COMMENCEMENT OF PORTFOLIO DATE OPERATIONS - ------------------------------- --------------- ----------------- September 16, Asset Management............... June 9, 1992 1993 October 28, Asset Management II............ 1992 October 14, 1993 October 28, Asset Management III........... 1992 October 15, 1993
The Declaration of Trust permits the Board of Trustees (the "Trustees") to issue beneficial interests in the Portfolios. B. SECURITY VALUATION The Portfolios' investments listed or traded on National Stock Exchanges or other domestic or foreign exchanges are valued based on the closing price of the security traded on that exchange prior to the time when the Portfolio assets are valued. 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 INVESTMENT 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 accretion of discount on investments. Realized gains and losses from securities transactions are recorded on the identified cost basis. All of the net investment income and realized and unrealized gains and losses from 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. REPURCHASE AGREEMENTS 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 maintains the right to sell the underlying securities at market value and may claim any resulting loss against the seller. E. FOREIGN CURRENCY TRANSACTIONS The books and records of the Asset Management Portfolio, Asset Management II Portfolio and Asset Management III 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. F. FORWARD FOREIGN CURRENCY CONTRACTS Each 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 Portfolios' investments. The net U.S. dollar value of foreign currency underlying all contractual commitments held by the Portfolios 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. G. 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. H. FUTURES CONTRACTS Each Portfolio may enter into financial futures contracts which are contracts to buy a standard quantity of securities at a specified price on a future date. Each Portfolio is required to deposit either in cash or securities an amount equal to a certain percentage of the contract amount. Subsequent payments are made or received by the Portfolio each day, dependent on the daily fluctuations in the value of the underlying security, and are recorded for financial statement purposes as unrealized gains or losses by the Portfolio. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded. I. FEDERAL INCOME TAXES It is each Portfolio's policy to comply with the requirements of the Internal Revenue Code. Therefore, no federal income tax provision is required. J. OTHER The preparation of financial statements in conformity with generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts in the financial statements. 27 NOTES TO FINANCIAL STATEMENTS (unaudited) (Continued) - -------------------------------------------------------------------------------- NOTE 2 -- FEES AND TRANSACTIONS WITH AFFILIATES The Portfolios have entered into an Administration and Services Agreement with Bankers Trust Company ("Bankers Trust"). Under this Administration and Services Agreement, Bankers Trust provides administrative, custody, transfer agency and shareholder services to each of the Portfolios in return for a fee computed daily and paid monthly at an annual rate of 0.10 of 1% of the Portfolios' average daily net assets. For the period ended September 30, 1996, these fees aggregated $126,670, $26,851 and $14,886 for the Asset Management Portfolio, Asset Management Portfolio II and Asset Management Portfolio III, respectively. The Portfolios have entered into an Advisory Agreement with Bankers Trust. Under this Advisory Agreement, the Portfolio pays Bankers Trust an advisory fee computed daily and paid monthly at an annual rate of 0.65 of 1% of each Portfolios' average daily net assets. For the period ended September 30, 1996, these fees aggregated $823,352, $174,529 and $96,762 for the Asset Management Portfolio, Asset Management Portfolio II and Asset Management Portfolio III, respectively. Bankers Trust has voluntarily undertaken to waive and reimburse expenses of each Portfolio, to the extent necessary, to limit all expenses to 0.60 of 1% of the average daily net assets of each Portfolio. For the period ended September 30, 1996, expenses of the Asset Management Portfolio, the Asset Management Portfolio II and Asset Management Portfolio III have been reduced by $202,319, $53,935 and $33,951, respectively. On September 30, 1996, the Trust entered into a Distribution Agreement with Edgewood Services, Inc. ("Edgewood"). Prior to September 30, Signature Broker-Dealers Services, Inc. ("Signature") was the Trust's Distributor. Certain trustees and officers of the Portfolios are also directors, officers and/or employees of Edgewood and/or Signature. 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. For the six months ended September 30, 1996 the Asset Management Portfolio, Asset Management II Portfolio and the Asset Management III Portfolio paid brokerage commissions of $108,875, $13,705 and $3,327, respectively. NOTE 3 -- PURCHASES AND SALES OF INVESTMENT SECURITIES The aggregate cost of purchases and proceeds from sales of investments, other than short-term obligations, for the six months ended September 30, 1996, were as follows:
PORTFOLIO PURCHASES SALES - --------------------------------------- ------------ ------------ Asset Management....................... $139,992,529 $122,235,286 Asset Management II.................... 36,716,369 32,325,683 Asset Management III................... 23,641,209 22,792,779
For federal income tax purposes, the tax basis of investments held at September 30, 1996, were as follows:
COST-TAX PORTFOLIO BASIS - --------------------------------------------------- ------------ Asset Management................................... 2$51,617,624 Asset Management II................................ 53,307,003 Asset Management III............................... 29,736,586
The aggregate gross unrealized appreciation and depreciation for all investments as of September 30, 1996, were as follows:
PORTFOLIO APPRECIATION DEPRECIATION - ----------------------------------------- ----------- ----------- Asset Management......................... $19,072,778 $3,182,886 Asset Management II...................... 2,708,526 503,402 Asset Management III..................... 979,958 182,509
NOTE 4 -- FUTURE CONTRACTS A summary of obligations under these financial instruments at September 30, 1996 are as follows:
UNREALIZED MARKET APPRECIATION/ TYPE OF FUTURE EXPIRATION CONTRACTS POSITION VALUE (DEPRECIATION) - ---------------------- ------------- ------------- --------- ---------- ------------ ASSET MANAGEMENT PORTFOLIO S&P 500............... December 1996 89 Long $30,767,300 $ 50,300 French 10 Year Bond Futures............... December 1996 105 Long 12,690,364 202,134 Canadian Government Bond Futures.......... December 1996 76 Long 6,227,944 146,706 TYZ US 10 Year Note Futures............... December 1996 110 Long 11,800,937 183,050 JYZ Japan Yen Futures............... December 1996 4 Long 453,800 6,620 Japanese Bond Futures............... December 1996 12 Long 13,168,695 156,753 Australian 10 Year Bond Futures.......... December 1996 40 Long 23,750,831 75,394 CDZ C$ Futures........ December 1996 2 Short 147,320 (855) FRZ French Franc Futures............... December 1996 5 Short 486,500 (288) ADZ A$ Futures........ December 1996 2 Short 157,780 1,365 -- ---------- ------------ Total................. 445 $99,651,471 $ 821,179 -- -- ---------- ------------ ---------- ------------ ASSET MANAGEMENT PORTFOLIO II S&P 500............... December 1996 16 Long 5,531,200 350 French 10 Year Bond Futures............... December 1996 22 Long 2,658,933 44,345 Canadian Government Bond Futures.......... December 1996 9 Long 737,520 14,012 German 10 Year Bond Futures............... December 1996 4 Long 646,972 3,800 Topix Index Futures... December 1996 2 Long 291,680 718 TYZ US 10 Year Note Futures............... December 1996 19 Long 2,038,344 7,969 JYZ Japan Yen Futures............... December 1996 1 Long 113,450 1,655 Japanese Bond Futures............... December 1996 2 Long 2,194,782 39,667 Australian 10 Year Bond Futures.......... December 1996 7 Long 4,156,395 12,132 FRZ French Franc Futures............... December 1996 1 Short 97,300 (57) -- ---------- ------------ Total................. 83 $18,466,576 $ 124,591 -- -- ---------- ------------ ---------- ------------ ASSET MANAGEMENT PORTFOLIO III S&P 500 December 1996 5 Long 1,728,500 0 French 10 Year Bond Futures............... December 1996 12 Long 1,450,327 24,109 Canadian Government Bond Futures.......... December 1996 5 Long 409,733 9,851 German 10 Year Bond Futures............... December 1996 2 Long 323,486 1,901 Topix Index Futures... December 1996 1 Long 145,840 359 TYZ US 10 Year Note Futures............... December 1996 10 Long 1,072,813 3,687 JYZ Japan Yen Futures............... December 1996 1 Long 113,450 1,655 Japanese Bond Futures............... December 1996 1 Long 1,097,391 20,192 Australian 10 Year Bond Futures.......... December 1996 4 Long 2,375,083 6,478 FRZ French Franc Futures............... December 1996 1 Short 97,300 (57) -- ---------- ------------ Total................. 42 $8,813,923 $ 68,175 -- -- ---------- ------------ ---------- ------------
At September 30, 1996, the Portfolios have segregated sufficient securities to cover margin requirements on open futures contracts. 28 BT INVESTMENT FUNDS LIFECYCLE LONG RANGE LIFECYCLE MID RANGE LIFECYCLE SHORT RANGE 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 Investment Lifecycle Funds may be obtained by calling or writing to Investors Fiduciary Trust Company or Edgewood Services, Inc., the primary Servicing Agent and Distributor, respectively, of BT Investment Funds: BT INVESTMENT FUNDS DST 210 West 10th Street Kansas City, MO 64105 BT INVESTMENT FUNDS Edgewood Services, Inc. Clearing Operations P.O. Box 897 Pittsburgh, PA 15230-0897 You may write to the BT Investment Lifecycle Funds at the following address: BT INVESTMENT FUNDS Clearing Operations P.O. Box 897 Pittsburgh, PA 15230-0897 COMBLIFE 100 -----END PRIVACY-ENHANCED MESSAGE-----