-----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, IhOBtH16GyZEIA0GUH1rp5LO9w9swJv3gmYQELF/z1IzZrDtbyJclvO4KqGdlmOS 21YotGUD4Ohjwy/W5u3GpQ== 0000935069-01-500371.txt : 20010823 0000935069-01-500371.hdr.sgml : 20010823 ACCESSION NUMBER: 0000935069-01-500371 CONFORMED SUBMISSION TYPE: N-30D PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20010630 FILED AS OF DATE: 20010822 FILER: COMPANY DATA: COMPANY CONFORMED NAME: BT INVESTMENT FUNDS CENTRAL INDEX KEY: 0000797657 STANDARD INDUSTRIAL CLASSIFICATION: [] 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: 1721173 BUSINESS ADDRESS: STREET 1: FEDERATED INVESTORS TOWERS CITY: PITTSBURGH STATE: PA ZIP: 15222-3770 BUSINESS PHONE: 412881401 MAIL ADDRESS: STREET 1: 6 ST JAMES AVE 9TH FL STREET 2: C/O SIGNATURE FINANCIAL GROUP CITY: BOSTON STATE: MA ZIP: 02116 FORMER COMPANY: FORMER CONFORMED NAME: BT TAX FREE INVESTMENT TRUST DATE OF NAME CHANGE: 19880530 N-30D 1 qef.txt QUANTITATIVE EQUITY FUND - 2 - SEMI-ANNUAL [GRAPHIC OMITTED] Deutsche Asset Management Mutual Fund Semi-Annual Report June 30, 2001 Quantitative Equity Fund [GRAPHIC OMITTED] A Member of the Deutsche Bank Group Quantitative Equity Fund - -------------------------------------------------------------------------------- TABLE OF CONTENTS LETTER TO SHAREHOLDERS ...................................... 3 PERFORMANCE COMPARISON ...................................... 6 QUANTITATIVE EQUITY FUND Statement of Assets and Liabilities ...................... 8 Statement of Operations .................................. 9 Statements of Changes in Net Assets ...................... 10 Financial Highlights ..................................... 11 Notes to Financial Statements ............................ 13 QUANTITATIVE EQUITY PORTFOLIO Schedule of Portfolio Investments ........................ 15 Statement of Assets and Liabilities ...................... 16 Statement of Operations .................................. 17 Statements of Changes in Net Assets ...................... 18 Financial Highlights ..................................... 19 Notes to Financial Statements ............................ 20 ----------------------------------- The Fund is not insured by the FDIC and is not a deposit, obligation of or guaranteed by Deutsche Bank AG. The Fund is subject to investment risks, including possible loss of principal amount invested. ----------------------------------- - -------------------------------------------------------------------------------- 2 Quantitative Equity Fund - -------------------------------------------------------------------------------- LETTER TO SHAREHOLDERS We are pleased to present you with this semi-annual report for Quantitative Equity Fund (the 'Fund'), providing a review of the markets, the Portfolio (the Fund invests all of its assets in a master portfolio with the same goal as the Fund), and our outlook. Included are a complete financial summary of the Fund's operations and a listing of the Portfolio's holdings. MARKET ACTIVITY The S&P 500 Index declined 6.70% for the six months ended June 30, 2001, but within the semi-annual period saw divergent performance between the first and second quarters. o During the first quarter, the S&P 500 Index declined 11.86%, as large capitalization equities continued the poor performance seen in 2000. o Despite three interest rate cuts by the Federal Reserve Board from January through March 2001, the sharp inventory correction in the Information Technology and Telecommunications sectors broadened to impact most industries and many companies' earnings estimates. o During the second quarter, the S&P 500 Index rose 5.85%, rebounding for the first positive quarterly performance since the first quarter of 2000. o Equities responded favorably to three additional interest rate cuts from April through June by the Federal Reserve Board. The six interest rate reductions, which as of June 30, totaled 2.75%, qualify as the most concentrated effort to rejuvenate the US economy in the central bank's history. o Within the large capitalization sector, growth-oriented stocks outperformed value-oriented stocks during the second quarter for the first time since the second quarter of 2000. o For the semi-annual period overall, large-cap stocks underperformed mid-cap and small-cap stocks, and within the large-cap sector, value-oriented stocks outperformed growth-oriented stocks. Sector performance was generally negative across the board during the first quarter, but was much more balanced during the second quarter. o Information Technology and Capital Goods led the decline during the first quarter, but both of these sectors rebounded strongly to produce the best performance of the second quarter. o Still, throughout the semi-annual period, the worst performing individual stocks in the S&P 500 Index all came from the Information Technology and Telecommunications Services sectors. o S&P 500 Index additions and deletions were rather moderate with only 15 changes throughout the semi-annual period, following a record number of 58 additions and deletions to the index for the year 2000. The merger market continued to be a major force in the financial landscape, although a slowing economy, dropping stock prices, regulatory scrutiny and overcapacity in certain previously dominant sectors slowed volume through the first half of 2001. o For the first six months of 2001, the volume of announced merger and acquisition activity declined to $906.1 billion, compared to over $1.94 trillion worldwide and $380.1 billion, compared to over $886 billion for US at the midway point last year. o Another sign of tepid US merger and acquisition activity was that through June 2001, no single month registered more than $100 billion in deal value--the longest period of sub--$100 billion monthly US volume since early 1997. o Foreign acquisitions of US firms also declined during the semi-annual period, as both overseas and US potential acquirers appeared temporarily sidelined, awaiting improved economic and equity conditions before renewing a buying spree. o Telecommunications and Media acquisitions slowed most dramatically, while Financial Services and Energy deals moved to the forefront during the first half of the year. - -------------------------------------------------------------------------------- 3 Quantitative Equity Fund - -------------------------------------------------------------------------------- LETTER TO SHAREHOLDERS INVESTMENT REVIEW The Fund seeks a total return greater than that of the S&P 500 Index by following a quantitative strategy that integrates an exposure to the S&P 500 Index with investments in the stocks of acquisition targets. To pursue its goal of tracking the S&P 500 Index, the Fund invests in derivatives and common stocks of S&P 500 Index companies. To seek returns in excess of the S&P 500 Index, the Fund buys shares of companies that are acquisition targets based on specific events that trigger a merger arbitrage opportunity. The goal is to capture the difference between the target's post-bid share price and the target's expected fixed payout. These investments are made based on our own proprietary quantitative models. These shares are sold when the acquisition is consummated or the transaction is abandoned. During a challenging period, the Fund closely tracked the performance of the S&P 500 Index. The Fund's performance was primarily fueled by the numerous deals closed. The following is a list of merger deals that the Fund invested in during the six months ended June 30, 2001, all of which were completed successfully. CLOSED DEALS FROM JANUARY 1, 2001--JUNE 30, 2001 - -------------------------------------------------------------------------------- Acnielson by VNU NV Agribrands by Cargill Inc. Avis Group by Cendant Block Drug by GlaxoSmithKline Efficient Networks by Siemens Johns Manville by Berkshire Hathaway Keebler Foods by Kellogg Litton Industries by Northrop Grumman Objective Systems Integrator by Agilent Rollins Truck Leasing by Penske Truck Leasing The Fund maintained its strict criteria in its disciplined merger arbitrage investment approach. For example, the Fund: o purchases only the stock of an announced target company CUMULATIVE AVERAGE ANNUAL TOTAL RETURNS TOTAL RETURNS Periods Ended 6 Months 1 Year Since 1 Year Since June 30, 2001 Inception Inception - ------------------------------------------------------------------------------- Quantitative Equity Fund Investment Class 1 (inception 3/31/99) (7.00)% (11.56)% 9.93% (11.56)% 4.30% Institutional Class 1 (inception 12/31/99) (6.99)% (11.39)% (11.17)% (11.39)% (7.61)% - ------------------------------------------------------------------------------- S&P 500 Index 2 (6.70)% (14.83)% (2.22)%4 (14.83)% (0.99)%4 - ------------------------------------------------------------------------------- Lipper Large Cap Core Funds Average 3 (8.55)% (15.62)% (1.83)%4 (15.62)% (0.93)%4 - ------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- 1 PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS. MARKET VOLATILITY CAN SIGNIFICANTLY IMPACT SHORT-TERM PERFORMANCE. RESULTS OF AN INVESTMENT MADE TODAY MAY DIFFER SUBSTANTIALLY FROM THE FUND'S HISTORICAL PERFORMANCE. Investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. All performance assumes the reinvestment of dividend and capital gain distributions. Performance would have been lower during the specified periods if certain of the Fund's fees and expenses had not been waived. Performance figures for the classes differ because each class maintains a distinct expense structure. 2 'S&P 500(R)' is a trademark of The McGraw-Hill Companies, Inc. and has been licensed for use by the Fund's investment advisor. The S&P 500 Index is an unmanaged index used to portray the pattern of common stock movement of 500 large companies. Benchmark returns do not reflect expenses that have been deducted from the Fund's returns. 3 Lipper figures represent the average of the total returns reported by all of the mutual funds designated by Lipper Inc. as falling into the category indicated. These figures do not reflect sales charges. On March 31, 2001, Lipper reclassified the Fund from the Lipper Multi Cap Core Funds category to the Lipper Mid Cap Value Funds category. On April 30, 2001, Lipper reclassified the Fund from the Lipper Mid Cap Value Funds category to the Lipper Large Cap Core Funds category. 4 Since Inception benchmark returns are for comparative purposes relative to Investment Class Shares and are for the period beginning March 31, 1999. 5 Derivatives may be more volatile and less liquid than traditional securities and the Fund could suffer losses on its derivative positions. Mergers and acquisition transactions may be renegotiated, terminated or delayed and in the event that these transactions fail to close or close at a less than expected price per share, the Fund may realize losses or a lower return than expected. - -------------------------------------------------------------------------------- 4 Quantitative Equity Fund - -------------------------------------------------------------------------------- LETTER TO SHAREHOLDERS o invests in merger deals that are generally made with financing of at least 50% cash o usually invests in acquisition targets with a minimum market capitalization of $500 million, although shares of smaller companies may be purchased. MANAGER OUTLOOK In our view, equity markets must still contend with a weak near-term profit outlook, as sluggish economic growth and narrowing corporate profit margins continue to weigh heavily on companies' bottom lines. We believe that conditions should start to improve for the equity markets as the economy rebounds, but nothing like the utopia that propelled equity returns in the late 1990s is apt to reemerge. Indeed, if the US is unable to return fully to the elevated growth rates of recent years, the revival in the equity markets could be limited to historically trend-like gains. It should be noted that these gains have still outperformed those of bonds, savings equivalents and inflation over the long term--not without interruption or greater risks to one's portfolio to be sure, but have produced the best returns over time nonetheless. As of June 30, 2001, the Fund had invested in four still-open merger deals. These are Harcourt General by Reed International, Minimed by Medtronics, Ralston Purina by Nestle and Structural Dynamics Research by Electronic Data Systems. We believe that the environment for selected, carefully researched mergers remains positive and that the Fund's opportunities to seek risk-adjusted returns greater than that of the S&P 500 Index will continue. We appreciate your ongoing support of Quantitative Equity Fund and look forward to serving your investment needs in the years ahead. /S/ MANISH KESHIVE Manish Keshive Portfolio Manager of the QUANTITATIVE EQUITY PORTFOLIO June 30, 2001 - -------------------------------------------------------------------------------- 5 Quantitative Equity Fund - -------------------------------------------------------------------------------- PERFORMANCE COMPARISON 1 [GRAPHIC OMITTED] EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC AS FOLLOWS: Quantitative Equity Fund--Investment Class, S&P 500 Index and Lipper Large Cap Core Funds Average Growth of a $10,000 Investment (since March 31, 1999)2 Quantitative Equity Fund-- Lipper Large Cap Investment Class S&P 500 Index Core Funds Average 3/31/99 10,000 10,000 10,000 4/30/99 10,710 10,387 10,357 5/31/99 10,640 10,142 10,128 6/30/99 11,390 10,705 10,677 7/31/99 11,050 10,371 10,369 8/31/99 10,930 10,320 10,251 9/30/99 10,680 10,037 9,988 10/31/99 11,500 10,673 10,583 11/30/99 11,700 10,891 10,828 12/31/99 12,399 11,531 11,505 1/31/00 11,745 10,952 10,992 2/29/00 11,581 10,745 10,965 3/31/00 12,768 11,796 11,913 4/30/00 12,440 11,441 11,548 5/31/00 12,236 11,206 11,278 6/30/00 12,430 11,483 11,593 7/31/00 12,174 11,304 11,422 8/31/00 13,259 12,006 12,177 9/30/00 12,532 11,372 11,557 10/31/00 12,471 11,324 11,467 11/30/00 11,468 10,432 10,570 12/31/00 11,821 10,480 10,712 1/31/01 12,261 10,851 10,944 2/28/01 11,133 9,862 10,006 3/31/01 10,445 9,237 9,354 4/30/01 11,187 9,955 10,059 5/31/01 11,294 10,022 10,113 6/30/01 10,993 9,778 9,817 AVERAGE ANNUAL TOTAL RETURNS Periods Ended 1 Year Since June 30, 2001 3/31/99 2 - -------------------------------------------------------------------------------- Quantitative Equity Fund--Investment Class (11.56)% 4.30% - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- 1 PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS. Investment return and principal value will fluctuate so an investor's shares, when redeemed, may be worth more or less than their original cost. All performance assumes the reinvestment of dividend and capital gain distributions. Performance would have been lower during the specified periods if certain of the Fund's fees and expenses had not been waived. Performance figures for the classes differ because each class maintains a distinct expense structure. 2 The Investment Class' inception date. 3 The S&P 500 Index is an unmanaged index used to portray the pattern of common stock movement of 500 large companies. 4 Lipper figures represent the average of the total returns reported by all of the mutual funds designated by Lipper Inc. as falling into the category indicated. On March 31, 2001, Lipper reclassified the Fund from the Lipper Multi Cap Core Funds category to the Lipper Mid Cap Value Funds category. On April 30, 2001, Lipper reclassified the Fund from the Lipper Mid Cap Value Funds category to the Lipper Large Cap Core Funds category. - -------------------------------------------------------------------------------- 7 Quantitative Equity Fund - -------------------------------------------------------------------------------- PERFORMANCE COMPARISON 1 [GRAPHIC OMITTED] EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC AS FOLLOWS: Quantitative Equity Fund--Institutional Class, S&P 500 Index and Lipper Large Cap Core Funds Average Growth of a $250,000 Investment (since December 31, 1999)2 Quantitative Equity Fund-- Lipper Large Cap Institutional Class S&P 500 Index Core Funds Average 12/31/99 250,000 250,000 25,0000 1/31/00 236,800 237,450 23,8935 2/29/00 233,300 232,962 23,8029 3/31/00 257,225 255,746 25,8639 4/30/00 250,825 248,048 25,0749 5/31/00 246,700 242,963 24,5010 6/30/00 250,625 248,964 25,1779 7/31/00 245,675 245,080 24,8046 8/31/00 267,525 260,300 26,4344 9/30/00 252,900 246,556 25,1019 10/31/00 251,650 245,520 24,9131 11/30/00 231,425 226,173 22,9649 12/31/00 238,750 227,250 23,2679 1/31/01 247,425 235,300 23,7688 2/28/01 224,675 213,850 21,7382 3/31/01 210,800 200,300 20,3248 4/30/01 225,750 215,875 21,8533 5/31/01 228,125 217,300 21,9642 6/30/01 222,075 212,025 21,2600 AVERAGE ANNUAL TOTAL RETURNS Periods Ended 1 Year Since June 30, 2001 12/31/99 2 - -------------------------------------------------------------------------------- Quantitative Equity Fund--Institutional Class (11.39)% (7.61)% - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- 1 PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS. Investment return and principal value will fluctuate so an investor's shares, when redeemed, may be worth more or less than their original cost. All performance assumes the reinvestment of dividend and capital gain distributions. Performance would have been lower during the specified periods if certain of the Fund's fees and expenses had not been waived. Performance figures for the classes differ because each class maintains a distinct expense structure. 2 The Institutional Class' inception date. 3 The S&P 500 Index is an unmanaged index used to portray the pattern of common stock movement of 500 large companies. 4 Lipper figures represent the average of the total returns reported by all of the mutual funds designated by Lipper Inc. as falling into the category indicated. On March 31, 2001, Lipper reclassified the Fund from the Lipper Multi Cap Core Funds category to the Lipper Mid Cap Value Funds category. On April 30, 2001, Lipper reclassified the Fund from the Lipper Mid Cap Value Funds category to the Lipper Large Cap Core Funds category. - -------------------------------------------------------------------------------- 7 Quantitative Equity Fund - -------------------------------------------------------------------------------- STATEMENT OF ASSETS AND LIABILITIES (Unaudited)
JUNE 30, 2001 ASSETS Investment in Quantitative Equity Portfolio, at value ................ $ 9,392,030 Due from administrator ............................................... 113,237 Prepaid expenses and other ........................................... 23,596 Receivable for capital shares sold ................................... 7,070 ------------ Total assets ............................................................ 9,535,933 ------------ LIABILITIES Accrued expenses and other ........................................... 9,299 Payable for capital shares redeemed .................................. 101 ------------ Total liabilities ....................................................... 9,400 ------------ NET ASSETS .............................................................. $ 9,526,533 ------------ ------------ COMPOSITION OF NET ASSETS Paid-in capital ...................................................... $ 10,395,836 Undistributed net investment income .................................. 109,670 Accumulated net realized loss from investment and futures transactions (723,733) Net unrealized depreciation on investments and futures contracts ..... (255,240) ============ NET ASSETS .............................................................. $ 9,526,533 ============ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE (net assets divided by shares outstanding) Investment Class 1 $ 10.23 ============ Institutional Class 2 $ 10.25 ============ - -------------------------------------------------------------------------------- 1 Net asset value, redemption price and offering price per share (based on net assets of $7,123,483 and 696,056 shares outstanding at June 30, 2001 and 0.001 par value, unlimited number of shares authorized). 2 Net asset value, redemption price and offering price per share (based on net assets of $2,403,050 and 234,345 shares outstanding at June 30, 2001 and 0.001 par value, unlimited number of shares authorized).
See Notes to Financial Statements. - -------------------------------------------------------------------------------- 8 Quantitative Equity Fund - -------------------------------------------------------------------------------- STATEMENT OF OPERATIONS (Unaudited) FOR THE SIX MONTHS ENDED JUNE 30, 2001 INVESTMENT INCOME Income allocated from Quantitative Equity Portfolio, net $ 87,460 --------- EXPENSES Professional fees ...................................... 21,941 Registration fees ...................................... 15,211 Printing and shareholder reports ....................... 13,580 Trustees fees .......................................... 5,320 Administration and services fees ....................... 1,830 Miscellaneous .......................................... 106 --------- Total expenses ............................................ 57,988 Less: fee waivers and/or expense reimbursements ........... (47,878) --------- Net expenses .............................................. 10,110 --------- NET INVESTMENT INCOME ..................................... 77,350 --------- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FUTURES CONTRACTS Net realized gain (loss) from: Investment transactions .............................. 147,387 Futures transactions ................................. (686,657) Net change in unrealized appreciation/depreciation on investments and futures contracts ................. (35,356) --------- NET REALIZED AND UNREALIZED LOSS ON INVESTMENTS AND FUTURES CONTRACTS .................................. (574,626) --------- NET DECREASE IN NET ASSETS FROM OPERATIONS ................ $(497,276) ========= See Notes to Financial Statements. - -------------------------------------------------------------------------------- 9 Quantitative Equity Fund - -------------------------------------------------------------------------------- STATEMENTS OF CHANGES IN NET ASSETS
FOR THE SIX FOR THE MONTHS ENDED YEAR ENDED JUNE 30, 2001 1 DECEMBER 31, 2000 2 INCREASE (DECREASE) IN NET ASSETS FROM: OPERATIONS Net investment income ................................. $ 77,350 $ 74,827 Net realized loss from investment and futures transactions ................................ (539,270) (66,857) Net change in unrealized appreciation/depreciation on investments and futures contracts ................... (35,356) (341,316) ----------- ----------- Net decrease in net assets from operations ............... (497,276) (333,346) ----------- ----------- DISTRIBUTIONS TO SHAREHOLDERS Net investment income Investment Class .................................... -- (35,310) Institutional Class ................................. -- (3,854) Net realized gain from investment transactions Investment Class .................................... -- (237,210) Institutional Class ................................. -- (27,687) ----------- ----------- Total distributions ...................................... -- (304,061) ----------- ----------- CAPITAL SHARE TRANSACTIONS Net increase resulting from Investment Class .......... 2,024,458 2,885,951 Net increase resulting from Institutional Class ....... 1,791,809 645,560 ----------- ----------- Net increase in net assets from capital share transactions 3,816,267 3,531,511 ----------- ----------- TOTAL INCREASE IN NET ASSETS ............................. 3,318,991 2,894,104 NET ASSETS Beginning of period ................................... 6,207,542 3,313,438 ----------- ----------- End of period (including undistributed net investment income of $109,670 and $32,320, respectively) ....... $ 9,526,533 $ 6,207,542 =========== =========== - -------------------------------------------------------------------------------- 1 Unaudited. 2 Commencement of operations.
See Notes to Financial Statements. - -------------------------------------------------------------------------------- 10 Quantitative Equity Fund - -------------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS
INVESTMENT CLASS FOR THE PERIOD FOR THE SIX FOR THE MARCH 31, 1999 3 MONTHS ENDED YEAR ENDED THROUGH JUNE 30, 2001 1 DECEMBER 31, 2000 2 DECEMBER 31, 1999 PER SHARE OPERATING PERFORMANCE: NET ASSET VALUE, BEGINNING OF PERIOD ..................... $11.00 $12.12 $10.00 ------ ------ ------ INCOME (LOSS) FROM INVESTMENT OPERATIONS Net investment income ................................. 0.14 4 0.21 4 0.11 Net realized and unrealized gain (loss) on investments and futures contracts ................... (0.91) (0.77) 2.29 ------ ------ ------ TOTAL FROM INVESTMENT OPERATIONS ......................... (0.77) (0.56) 2.40 ------ ------ ------ DISTRIBUTIONS TO SHAREHOLDERS Net investment income ................................. -- (0.07) (0.11) Net realized gain from investment and futures transactions ................................ -- (0.49) (0.17) ------ ------ ------ TOTAL DISTRIBUTIONS ...................................... -- (0.56) (0.28) ------ ------ ------ NET ASSET VALUE, END OF PERIOD ........................... $10.23 $11.00 $12.12 ====== ====== ====== TOTAL INVESTMENT RETURN .................................. (7.00)% (4.67)% 23.99% SUPPLEMENTAL DATA AND RATIOS: Net assets, end of period (000s omitted) .............. $7,123 $5,597 $3,303 Ratios to average net assets: Net investment income ............................... 1.92%5 1.90% 2.39%5 Expenses after waivers and/or reimbursements, including expenses of the Quantitative Equity Portfolio ............. 0.90%5 0.90% 0.90%5 Expenses before waivers and/or reimbursements, including expenses of the Quantitative Equity Portfolio ............. 4.34%5 4.14% 11.84%5 Portfolio turnover of the Quantitative Equity Fund ......................... -- -- 409% - -------------------------------------------------------------------------------- 1 Unaudited. 2 The Fund's structure was changed from a stand-alone structure to a master-feeder structure on January 1, 2000. 3 Commencement of operations. 4 Net investment income per share was calculated using the average shares method. 5 Annualized.
See Notes to Financial Statements. - -------------------------------------------------------------------------------- 11 Quantitative Equity Fund - -------------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS
INSTITUTIONAL CLASS 1 FOR THE SIX FOR THE MONTHS ENDED YEAR ENDED JUNE 30, 2001 2 DECEMBER 31, 2000 PER SHARE OPERATING PERFORMANCE: NET ASSET VALUE, BEGINNING OF PERIOD ......................................... $11.02 $12.12 ------ ------ INCOME FROM INVESTMENT OPERATIONS Net investment income ..................................................... 0.18 3 0.34 3 Net realized and unrealized loss on investments and futures contracts ....................................................... (0.95) (0.88) ------ ------ TOTAL FROM INVESTMENT OPERATIONS ............................................. (0.77) (0.54) ------ ------ DISTRIBUTIONS TO SHAREHOLDERS Net investment income ..................................................... -- (0.07) Net realized gain from investment and futures transactions ................ -- (0.49) ------ ------ TOTAL DISTRIBUTIONS .......................................................... -- (0.56) ------ ------ NET ASSET VALUE, END OF PERIOD ............................................... $10.25 $11.02 ====== ====== TOTAL INVESTMENT RETURN ...................................................... (6.99)% (4.50)% SUPPLEMENTAL DATA AND RATIOS: Net assets, end of period (000s omitted) .................................. $2,403 $610 Ratios to average net assets: Net investment income ................................................... 2.08%4 2.83% Expenses after waivers and/or reimbursements, including expenses of the Quantitative Equity Portfolio .............. 0.75%4 0.75% Expenses before waivers and/or reimbursements, including expenses of the Quantitative Equity Portfolio .............. 4.19%4 3.98% - -------------------------------------------------------------------------------- 1 The Institutional Class began operations on December 31, 1999. 2 Unaudited. 3 Net investment income per share was calculated using the average shares method. 4 Annualized.
See Notes to Financial Statements. - -------------------------------------------------------------------------------- 12 Quantitative Equity Fund - -------------------------------------------------------------------------------- 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 February 28, 1992, as a business trust under the laws of the Commonwealth of Massachusetts. Quantitative Equity Fund (the 'Fund') is one of the funds offered to investors by the Trust. The Fund began operations on March 31, 1999. The Fund offers two classes of shares to investors: the Investment Class and the Institutional Class. The Investment Class began operations on March 31, 1999. The Institutional Class began operations on December 31, 1999. Both classes of shares have identical rights to earnings, assets, and voting privileges, except that each class has its own expenses and exclusive voting rights with respect to matters affecting it. The Fund seeks to achieve its investment objective by investing all of its investable assets in the Quantitative Equity Fund (the 'Fund'), a series of BT Investment Funds. The Fund is an open-end management investment company registered under the Act. The value of the Fund's investment in the Fund reflects the Fund's proportionate interest in the net assets of the Fund, which was approximately 100% at June 30, 2001. The financial statements of the Fund, including a list of assets held, are contained elsewhere in this report and should be read in conjunction with the Fund's financial statements. B. VALUATION OF SECURITIES Valuation of securities by the Portfolio is discussed in Note 1B of the Portfolio's Notes to Financial Statements, which are included elsewhere in this report. C. INVESTMENT INCOME The Fund earns income, net of expenses, daily on its investment in the Fund. All of the net investment income and realized and unrealized gains and losses from the securities transactions of the Fund are allocated pro rata among the investors in the Fund at the time of such determination. Net investment income and realized and unrealized gains and losses are allocated daily to each class of shares based upon its relative proportion of net assets. D. DISTRIBUTIONS It is the Fund's policy to declare and distribute dividends at least annually to shareholders from net investment income. Distributions of net realized short-term and long-term capital gains, if any, earned by the Fund are made at least annually to the extent they exceed capital loss carryforwards. Dividends and distributions payable to shareholders are recorded by the Fund on the ex-dividend date. E. FEDERAL INCOME TAXES It is the Fund's policy to comply with the requirements of the Internal Revenue Code applicable to regulated investment companies and distribute substantially all of its taxable income to shareholders. Therefore, no federal income tax provision is required in the financial statements. The Fund may periodically make reclassifications among certain of its capital accounts as a result of differences in the characterization and allocation of certain income and capital gain distributions determined annually in accordance with federal tax regulations, which may differ from accounting principles generally accepted in the United States. F. OTHER The Trust accounts separately for the assets, liabilities, and operations of each of its funds and each of its classes. Expenses directly attributable to each fund or class are charged to that fund or class, while expenses that are attributable to the Trust or the Fund are allocated among the funds in the Trust or the classes in the Fund, respectively, based on relative net assets. G. ESTIMATES The preparation of financial statements in conformity with accounting principles generally accepted in the United States requires management to make estimates and assumptions that affect the reported amounts in the financial statements. Actual results could differ from those estimates. - -------------------------------------------------------------------------------- 13 Quantitative Equity Fund - -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (Unaudited) NOTE 2--FEES AND TRANSACTIONS WITH AFFILIATES During the period, the Fund had entered into an Administration and Services Agreement with Bankers Trust Company ('Bankers Trust'), an indirect wholly-owned subsidiary of Deutsche Bank AG. Under this agreement, Bankers Trust provides administrative, custody and shareholder services to the Fund. The Trust has entered into an agreement with Investment Company Capital Corp., ('ICCC') an indirect wholly-owned subsidiary of Deutsche Bank AG, to provide transfer agency services to the Trust. All of these services are provided in return for a fee computed daily and paid monthly at an annual rate of 0.55% of the Fund's average daily net assets. Effective July 1, 2001, the administrator of the Fund was changed to Investment Company Capital Corp. The advisor and administrator have contractually agreed to waive their fees and reimburse expenses of each Class of Shares, through April 30, 2002, to the extent necessary, to limit all expenses as follows: Investment Class to 0.30% of the average daily net assets of the Class, excluding expenses of the Portfolio and 0.90% of the average daily net assets of the Class, including expenses of the Portfolio; Institutional Class to 0.15% of the average daily net assets of the Class, excluding expenses of the Portfolio, and 0.75% of the average daily net assets of the Class, including expenses of the Portfolio. NOTE 3--CAPITAL SHARE TRANSACTIONS At June 30, 2001, there were an unlimited number of capital shares authorized. Transactions in capital shares were as follows: Investment Class Shares -------------------------------------------------------- For the Six Months Ended For the Year Ended June 30, 2001 1 December 31, 2000 -------------------------- -------------------------- Shares Amount Shares Amount --------- ---------- --------- ---------- Sold 213,843 $2,308,489 458,783 $ 5,553,565 Reinvested -- -- 20,575 230,449 Redeemed (26,456) (284,031) (243,164) (2,898,063) ------- ---------- -------- ----------- Net increase 187,387 $2,024,458 236,194 $ 2,885,951 ======= ========== ======== =========== Institutional Class Shares -------------------------------------------------------- For the Six Months Ended For the Year Ended June 30, 2001 1 December 31, 2000 -------------------------- -------------------------- Shares Amount Shares Amount --------- ---------- --------- ---------- Sold 198,775 $2,006,304 233,763 $ 2,836,579 Reinvested -- -- 2,470 27,686 Redeemed (19,829) (214,495) (181,659) (2,218,705) ------- ---------- -------- ----------- Net increase 178,946 $1,791,809 54,574 $ 645,560 ======= ========== ======== =========== - -------------------------------------------------------------------------------- 1 Unaudited. NOTE 4--CAPITAL LOSSES At June 30, 2001 capital loss carryforwards available as a reduction against future net realized capital gains consisted of $42,799 which will expire in December 2008. - -------------------------------------------------------------------------------- 14 Quantitative Equity Portfolio - -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS June 30, 2001 (Unaudited) SHARES DESCRIPTION VALUE - -------------------------------------------------------------------------------- INVESTMENTS IN UNAFFILIATED ISSUERS COMMON STOCK--20.86% 9,500 Harcourt General, Inc. ....... 552,805 7,800 MiniMed, Inc.1 ............... 374,400 21,400 Ralston Purina Co. ........... 642,428 15,900 Structural Dynamics Research Corp.1 ............ 389,550 ---------- TOTAL COMMON STOCK (Cost $1,951,156) ....................... 1,959,183 ---------- S&P TRUST SHARES--15.89% 6,000 iShares S&P 500 / BARRA Growth Index Fund .................. 367,740 6,000 iShares S&P 500 / BARRA Value Index Fund .................. 370,920 3,075 iShares Trust S&P 500 ........ 377,272 3,075 S&P 500 Depository Receipt ... 376,995 ---------- TOTAL S&P TRUST SHARES (Cost $1,551,790) ....................... 1,492,927 ---------- PRINCIPAL AMOUNT/ SHARES DESCRIPTION VALUE - -------------------------------------------------------------------------------- US TREASURY BILLS--51.70% $ 470,000 US Treasury Bill, 3.44%, 7/19/01 2 .................. 469,184 4,400,000 US Treasury Bill, 3.46%, 8/2/01 2 ................... 4,386,400 ---------- TOTAL US TREASURY BILLS (Cost $4,855,584) ....................... 4,855,584 ---------- TOTAL INVESTMENTS IN UNAFFILIATED ISSUERS (Cost $8,358,530) ....................... 8,307,694 ---------- INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES SHORT-TERM INSTRUMENTS--11.64% 1,093,111 Cash Management Fund Institutional ............... 1,093,111 ---------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES (Cost $1,093,111) ....................... 1,093,111 ---------- TOTAL INVESTMENTS (Cost $9,451,641) ............. 100.09% $9,400,805 LIABILITIES IN EXCESS OF OTHER ASSETS .................. (0.09) (8,747) ------ ---------- NET ASSETS ....................... 100.00% $9,392,058 ====== ========== - -------------------------------------------------------------------------------- 1 Non-income producing security. 2 Held as collateral for futures contracts. See Notes to Financial Statements. - -------------------------------------------------------------------------------- 15 Quantitative Equity Portfolio - -------------------------------------------------------------------------------- STATEMENT OF ASSETS AND LIABILITIES (Unaudited)
JUNE 30, 2001 ASSETS Investment in unaffiliated issuers, at value (cost $8,358,530) ........... $ 8,307,694 Investments in affiliated investment companies, at value (cost $1,093,111) 1,093,111 ----------- Total investments, at value ................................................. 9,400,805 Variation margin receivable .............................................. 30,321 Dividends and interest receivable ........................................ 3,083 Receivable for shares of beneficial interest subscribed .................. 1,410 ----------- Total assets ................................................................ 9,435,619 ----------- LIABILITIES Accrued expenses and other ............................................... 40,617 Due to advisor ........................................................... 2,944 ----------- Total liabilities ........................................................... 43,561 ----------- NET ASSETS .................................................................. $ 9,392,058 =========== COMPOSITION OF NET ASSETS Paid-in capital .......................................................... $ 9,647,298 Net unrealized depreciation on investments and futures contracts ......... (255,240) ----------- NET ASSETS .................................................................. $ 9,392,058 ===========
See Notes to Financial Statements. - -------------------------------------------------------------------------------- 16 Quantitative Equity Portfolio - -------------------------------------------------------------------------------- STATEMENT OF OPERATIONS (Unaudited)
FOR THE SIX MONTHS ENDED JUNE 30, 2001 INVESTMENT INCOME Dividends from unaffiliated issuers ................................. $ 12,211 Dividends from affiliated investment companies ...................... 33,560 Interest ............................................................ 66,099 --------- Total investment income ................................................ 111,870 --------- EXPENSES Professional fees ................................................... 21,580 Advisory fees ....................................................... 19,668 Trustees fees ....................................................... 4,597 Administration and services fees .................................... 1,967 Miscellaneous ....................................................... 1,899 --------- Total expenses ......................................................... 49,711 Less: fee waivers and/or expense reimbursements ........................ (25,301) --------- Net expenses ........................................................... 24,410 --------- NET INVESTMENT INCOME .................................................. 87,460 --------- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FUTURES CONTRACTS Net realized gain from investment transactions ...................... 147,387 Net realized loss from futures transactions ......................... (686,657) Net change in unrealized appreciation/depreciation on investments and futures contracts ............................................. (35,356) --------- NET REALIZED AND UNREALIZED LOSS ON INVESTMENTS AND FUTURES CONTRACTS .. (574,626) --------- NET DECREASE IN NET ASSETS FROM OPERATIONS ............................. $(487,166) =========
See Notes to Financial Statements. - -------------------------------------------------------------------------------- 17 Quantitative Equity Portfolio - -------------------------------------------------------------------------------- STATEMENT OF CHANGES IN NET ASSETS
FOR THE SIX FOR THE MONTHS ENDED YEAR ENDED JUNE 30, 2001 1 DECEMBER 31, 2000 2 INCREASE (DECREASE) IN NET ASSETS FROM: OPERATIONS Net investment income ................................... $ 87,460 $ 83,926 Net realized loss from investment and future transactions (539,270) (66,857) Net change in unrealized appreciation/depreciation on investments and futures contracts ..................... (35,356) (341,316) ----------- ----------- Net decrease in net assets from operations ................. (487,166) (324,247) ----------- ----------- CAPITAL TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST Proceeds from capital invested .......................... 4,310,656 7,071,555 Value of capital withdrawn .............................. (575,396) (603,344) ----------- ----------- Net increase in net assets from capital transactions in shares of beneficial interest ........................ 3,735,260 6,468,211 ----------- ----------- TOTAL INCREASE IN NET ASSETS ............................... 3,248,094 6,143,964 NET ASSETS Beginning of period ..................................... 6,143,964 -- ----------- ----------- End of period ........................................... $ 9,392,058 $ 6,143,964 =========== =========== - -------------------------------------------------------------------------------- 1 Unaudited. 2 Commencement of operations was January 1, 2000.
See Notes to Financial Statements. - -------------------------------------------------------------------------------- 18 Quantitative Equity Portfolio - -------------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS
FOR THE SIX FOR THE MONTHS ENDED YEAR ENDED JUNE 30, 2001 1 DECEMBER 31, 2000 2 SUPPLEMENTAL DATA AND RATIOS: Net assets, end of period (000s omitted) $9,392 $6,144 Ratios to average net assets: Net investment income 2.23%3 2.42% Expenses after waivers and/or reimbursements 0.60%3 0.60% Expenses before waivers and/or reimbursements 1.25%3 1.65% Portfolio turnover rate 133% 451% - -------------------------------------------------------------------------------- 1 Unaudited. 2 Commencement of operations was January 1, 2000. 3 Annualized.
See Notes to Financial Statements. - -------------------------------------------------------------------------------- 19 Quantitative Equity Portfolio - -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (Unaudited) NOTE 1--ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES A. ORGANIZATION The Quantitative Equity Portfolio (the 'Portfolio'), a series of BT Investment Portfolios, is registered under the Investment Company Act of 1940 (the 'Act'), as amended, as an open-end management investment company. BT Investment Portfolios was organized on February 28, 1992, as a business trust under the laws of the State of New York. The Portfolio began operations on January 1, 2000. B. VALUATION OF SECURITIES Securities listed on a securities exchange for which market quotations are readily available are valued at the last quoted sales price on the principal exchange on which they are traded on the valuation date or, if there is no such reported sale on the valuation date, at the most recently quoted bid price. Unlisted securities for which market quotations are readily available are valued at the most recently quoted bid price. Short-term investments are valued at amortized cost which approximates market value. Other securities for which market quotations are not readily available or securities whose market quotations do not, in the opinion of DeAM, Inc., reflect market value are valued by the method that most accurately reflects their fair value under procedures adopted by the Board of Trustees. C. SECURITIES TRANSACTIONS AND INTEREST INCOME Securities transactions are accounted for on a trade date basis. Dividend income is recorded on the ex-dividend date. Interest income is recorded on the accrual basis and includes amortization of premium and accretion of discount on investments. Expenses are recorded as incurred. 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 securities of the Portfolio are allocated pro rata among the investors in the Portfolio at the time of such determination. D. FUTURES CONTRACTS The 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. The Portfolio is required to deposit either in cash or securities an amount equal to a certain percentage of the contract amount. Variation margin payments are made or received by the Portfolio each day, depending on the daily fluctuations in the value of the underlying securities, and are recorded for financial statement purposes as unrealized gains or losses by the Portfolio until the contracts are closed. The Portfolio's investments in financial futures contracts are designed to closely replicate the benchmark index used 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. E. FEDERAL INCOME TAXES The Portfolio is considered a partnership under the Internal Revenue Code. Therefore, no federal income tax provision is required. F. ESTIMATES The preparation of financial statements in conformity with accounting principles generally accepted in the United States requires management to make estimates and assumptions that affect the reported amounts in the financial statements. Actual results could differ from those estimates. NOTE 2--FEES AND TRANSACTIONS WITH AFFILIATES Effective April 30, 2001, the Portfolio has entered into an Advisory Agreement with Deutsche Asset Management, Inc. (DeAM, Inc.). Under this agreement, the Portfolio pays DeAM, Inc. a fee computed daily and paid monthly at an annual rate of 0.50% of the Portfolio's average daily net assets. Prior to April 30, 2001, Bankers Trust served as the investment advisor to the Portfolio under the same fee structure. - ------------------------------------------------------------------------------- 20 Quantitative Equity Portfolio - -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (Unaudited) During the period, the Portfolio had entered into an Administration and Services Agreement with Bankers Trust Company ('Bankers Trust'), an indirect wholly owned subsidiary of Deutsche Bank AG. Under this agreement, Bankers Trust provides administrative and custody services to the Portfolio. These services are provided in return for a fee computed daily and paid monthly at an annual rate of .05% of the Portfolio's average daily net assets. Effective July 1, 2001, the administrator was changed to Investment Company Capital Corp. The Portfolio may invest in Cash Management Fund Institutional ('Cash Management'), an open-end management investment company managed by DeAM, Inc. Prior to May 1, 2001, Cash Management was managed by Bankers Trust. Cash Management is offered as a cash management option to the Portfolio and other accounts managed by DeAM, Inc. For the six months ended June 30, 2001, affiliates of Deutsche Bank AG received $4,884 in brokerage commissions from the Portfolio as a result of executing agency transactions in portfolio securities. NOTE 3--LINE OF CREDIT AGREEMENT The Portfolio is a participant with other affiliated entities in a revolving credit facility with a syndicate of banks in the amount of $200,000,000, which expires April 26, 2002. A commitment fee on the average daily amount of the available commitment is payable on a quarterly basis and apportioned among all participants based on net assets. No amounts were drawn down or outstanding for the Portfolio under the credit facility for the six months ended June 30, 2001. NOTE 4--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 June 30, 2001 were $4,927,307 and $4,936,798, respectively. For federal income tax purposes, the tax basis of investments held at June 30, 2001 was $9,451,641. The aggregate gross unrealized appreciation for all investments at June 30, 2001, was $43,686 and the aggregate gross unrealized depreciation for all investments was $94,522. NOTE 5--FUTURES CONTRACTS A summary of obligations under these financial instruments at June 30, 2001 is as follows: Type of Market Unrealized Future Expiration Contracts Position Value Depreciation - ------ ---------- --------- -------- ------ ------------ S&P 500 Index Sept. Futures 2001 24 Long $7,390,200 $(191,882) S&P 500 Index Sept. Mini Futures 2001 9 Long 554,265 (12,522) The use of futures contracts involves elements of market risk and risks in excess of the amount recognized in the Statement of Assets and Liabilities. The 'market value' presented above represents the Portfolio's total exposure in such contracts whereas only the net unrealized appreciation (depreciation) is reflected in the Portfolio's net assets. Risks inherent in the use of futures contracts include 1) adverse changes in the value of such instruments, 2) an imperfect correlation between the price of the contracts and the underlying index and 3) the possibility of an illiquid secondary market. At June 30, 2001, the Portfolio segregated securities with a value of approximately $4,855,584 to cover margin requirements on open futures contracts. - -------------------------------------------------------------------------------- 21 [THIS PAGE INTENTIONALLY LEFT BLANK] For information on how to invest, shareholder account information and current price and yield information, please contact your relationship manager or write to: DEUTSCHE ASSET MANAGEMENT SERVICE CENTER PO BOX 219210 KANSAS CITY, MO 64121-9210 or call toll-free: 1-800-730-1313 This report must be preceded or accompanied by a current prospectus for the Fund. Deutsche Asset Management is the marketing name in the US for the asset management activities of Deutsche Bank AG, Deutsche Fund Management, Inc., Bankers Trust Company, Deutsche Banc Alex. Brown Inc., Deutsche Asset Management, Inc., and Deutsche Asset Management Investment Services Limited. Quantitative Equity Fund--Investment Class CUSIP #s: 055922652 Quantitative Equity Fund--Institutional Class 055922645 QEFSA (8/01) Distributed by: ICC Distributors, Inc. -----END PRIVACY-ENHANCED MESSAGE-----