N-30D 1 lifecyc.txt LIFECYCLE ANNUAL DEUTSCHE ASSET MANAGEMENT [GRAPHIC OMITTED] Mutual Fund Annual Report March 31, 2002 Investment Class Lifecycle Long Range Fund Lifecycle Mid Range Fund Lifecycle Short Range Fund [LOGO OMITTED] A Member of the DEUTSCHE BANK GROUP Lifecycle Funds -------------------------------------------------------------------------------- TABLE OF CONTENTS LETTER TO SHAREHOLDERS AND PERFORMANCE COMPARISONS ................ 3 LIFECYCLE FUNDS Statements of Assets and Liabilities ........................... 16 Statements of Operations ....................................... 17 Statements of Changes in Net Assets ............................ 18 Financial Highlights ........................................... 21 Notes to Financial Statements .................................. 24 Report of Independent Accountants .............................. 27 Tax Information ................................................ 27 ASSET MANAGEMENT PORTFOLIOS Schedules of Portfolio Investments ............................. 28 Statements of Assets and Liabilities ........................... 55 Statements of Operations ....................................... 56 Statements of Changes in Net Assets ............................ 57 Financial Highlights ........................................... 60 Notes to Financial Statements .................................. 61 Report of Independent Accountants .............................. 66 FUND TRUSTEES AND OFFICERS ........................................ 67 --------------------------------------- The Funds are not insured by the FDIC and are not deposits, obligations of or guaranteed by Deutsche Bank AG. The Funds are subject to investment risks, including possible loss of principal amount invested. --------------------------------------- -------------------------------------------------------------------------------- 2 Lifecycle Funds -------------------------------------------------------------------------------- LETTER TO SHAREHOLDERS We are pleased to present you with this annual report for Deutsche Asset Management's Lifecycle Long Range Fund--Investment Class, Lifecycle Mid Range Fund--Investment Class, and Lifecycle Short Range Fund--Investment Class (the 'Funds'), providing a review of the markets, the Portfolios (the Funds invest all of their assets in master portfolios with the same goals as the Funds), and our outlook as well as a complete financial summary of the Funds' operations and a listing of the Portfolios' holdings. MARKET ACTIVITY ECONOMIC ACTIVITY REMAINED SLUGGISH THROUGH MOST OF THE WORLD FOR THE FIRST HALF OF THE FUNDS' FISCAL YEAR. HOWEVER, THE POWERFUL POLICY RESPONSE OF FISCAL AND MONETARY STIMULUS OF CENTRAL BANKS AND GOVERNMENTS AROUND THE WORLD TO THE TRAGIC TERRORIST ATTACKS ON THE US OF SEPTEMBER 11TH BOLSTERED BOTH GLOBAL ECONOMIC ACTIVITY AND THE FINANCIAL MARKETS DURING THE SECOND HALF OF THE FUNDS' FISCAL YEAR. o The economic slowdown began in the US and was the most prominent there, as households and businesses struggled to unwind the excesses built up during the late 1990s boom. Elsewhere, Japan's economy slipped back into a recession, and European economies overall gradually lost momentum. o The terrorist attacks on the US of September 11th dramatically altered the economic and financial landscape. The greatest concern was the adverse effects of uncertainty and fear on household, business and investor behavior. o The US Federal Reserve Board's already aggressive pace of interest rate cuts was stepped up in the aftermath of the attacks, as it began flooding the financial markets with liquidity. It cut interest rates three more times during the fourth quarter of 2001, bringing the targeted federal funds rate to 1.75%. Its objective was to stabilize consumer and business confidence. o After the fears of business and consumer spending grinding to a standstill generated immediately following September 11th did not materialize, the primary debate within the financial markets centered upon when the global economy would emerge from its recessionary spiral. o Economic data released during the first quarter of 2002 turned a little more positive and pointed to signs of a bottoming in the economy. It became clear by February 2002 that no more interest rate cuts would likely be forthcoming from the Federal Reserve Board during this cycle. In fact, in March, the Federal Reserve Board shifted from an easing to a neutral bias, citing a slow economic recovery in progress. DESPITE THE BETTER ECONOMIC NEWS, SEVERAL FACTORS CONTRIBUTED TO ONGOING INVESTOR UNCERTAINTY DURING THE SECOND HALF OF THE FISCAL YEAR. o Optimism over improved economic data turned to uncertainty around the polar opposites of a quick return to growth and inflationary pressures, which might mandate a quick series of interest rate increases by the Federal Reserve Board, and a fear that the nascent economic recovery might not be sustainable. o The failure of Enron represented the largest corporate bankruptcy ever recorded. Fundamental concerns over Enron and other accounting issues raised the possibility that GAAP (Generally Accepted Accounting Principles) reported earnings may not be as transparent as formerly assumed. o While there have been no major terrorist counterattacks on the US as a result of the war on terrorism, the Middle East conflict and its concomitant rhetoric was not helpful to the financial markets. The impact of oil price increases also began to be felt. o Finally, turmoil in Argentina led to a default on its debt, devaluation of its currency and a succession of five presidents in a two-week period at the end of December 2001. The fallout from this debacle was felt throughout the emerging markets. US EQUITIES FOR THE FIRST HALF OF THE FISCAL YEAR, THE BROAD US EQUITY MARKET WAS DOWN SIGNIFICANTLY. o The equity markets performed well overall from the start of the second calendar quarter of 2001 through mid-May, as the Federal Reserve Board actively cut interest rates and reports came in with an unexpectedly high US GDP growth rate for the prior quarter. -------------------------------------------------------------------------------- 3 Lifecycle Funds -------------------------------------------------------------------------------- LETTER TO SHAREHOLDERS o However, mixed economic signals, an ongoing stream of negative corporate earnings announcements and the tragic events of September 11th led to broad US equity market weakness from mid-May through much of the third calendar quarter of 2001. THE BEGINNING OF THE FOURTH QUARTER OF 2001 SAW A REBOUND IN THE US EQUITY MARKETS, DESPITE A BACKGROUND OF WAR IN AFGHANISTAN, ANTHRAX OUTBREAKS IN THE US AND REPORTS OF LOWER THIRD QUARTER CORPORATE EARNINGS. o Even the beaten down Technology sector rebounded strongly. Still, reports indicated that third quarter annualized Gross Domestic Product (GDP) fell 1.3% versus positive 0.3% for the second quarter. o Both the President and the Federal Reserve Board initiated aggressive efforts to moderate the severity of a recession and stimulate the economy, including a proposed $100 billion government stimulus package, accelerated tax cuts and yet another interest rate cut. IN NOVEMBER AND DECEMBER, THE US EQUITY MARKETS ADVANCED, AS TERRORISM REMAINED AWAY FROM AMERICAN SOIL AND MILITARY OPERATIONS IN AFGHANISTAN MET WITH EARLY SUCCESS. o During November, new home and retail sales rose, while companies in certain retail and technology industries reported an improved earnings outlook. There were, however, continued signs of an economic downturn, as the National Association of Purchasing Managers (NAPM) Index shrank for the 15th month in a row. NAPM is one of the most widely known and watched indicators of business activity in the US and is currently known as the Institute of Supply Management (ISM). Also in November, the National Bureau of Economic Research formally acknowledged that the US had entered into a recession in March of 2001. The Federal Reserve Board reduced interest rates by an additional 0.50%. o In December, the Federal Reserve Board made an additional interest rate cut of 0.25%, bringing the targeted federal funds rate down to just 1.75% by the end of the fourth quarter of 2001. During the month, there were some encouraging signs for the economy, including an unexpected rise in both the ISM Manufacturing Index and consumer confidence. IN JANUARY AND FEBRUARY, THE PRIMARY FOCUS OF THE US EQUITY MARKETS WAS ON COMPANY FUNDAMENTALS AND THE US ECONOMY. AS INFORMATION PERTAINING TO THE ENRON CORPORATION'S FINANCIAL TROUBLES BECAME PUBLIC, INVESTOR CONCERNS WERE HEIGHTENED REGARDING CORPORATE ACCOUNTING METHODS. o A number of companies with complex accounting practices were negatively impacted resulting in general equity market uncertainty and poor equity market performance. Regulators and rating agencies heightened their scrutiny of company financial reports and demanded greater disclosure of risk. o On the positive side, there were several signs of economic recovery. In January, reports indicated an unexpected rise of 1.7% in annualized GDP growth for the fourth quarter of 2001. There was also data indicating rising consumer confidence. In February, there were reports of a 1.2% rise in retail sales, excluding autos, making this the largest gain in two years for retail sales. There was also a rise in the ISM Manufacturing Index to 54.7%, making this the first time in 18 months that the Index had risen above the 50% mark indicative of economic expansion. DURING MARCH, INVESTORS FINALLY HEEDED THE SIGNS OF A RECOVERING ECONOMY, AND THE US EQUITY MARKETS RESPONDED POSITIVELY. o The consumer also responded positively with sentiment towards the economy measured at the highest level since December 2000. Continuing signs of US economic recovery included a 55.6% reading of the ISM Manufacturing Index. o On the other hand, increasing turmoil in the Middle East caused a rise in energy prices, and the unemployment rate increased slightly. THE S&P 500 INDEX WAS VIRTUALLY FLAT, WITH A RETURN OF 0.21%, FOR THE TWELVE MONTH PERIOD. o Small capitalization stocks, as measured by Russell 2000 Index, were up 13.98% for the annual period. o Mid capitalization stocks, as measured by the S&P MidCap 400 Index, outperformed both their large cap and small cap brethren during the twelve months ended March 31, 2002, with a twelve month return of 18.86%. -------------------------------------------------------------------------------- 4 Lifecycle Funds -------------------------------------------------------------------------------- LETTER TO SHAREHOLDERS o Value stocks significantly outperformed growth stocks within all equity capitalizations during this annual period, as measured by the Russell Value Indices versus the Russell Growth Indices. US BONDS OVERALL, THE US FIXED INCOME MARKETS PERFORMED STRONGLY DURING THE FIRST HALF OF THE FISCAL YEAR, BOOSTED MOSTLY BY US ECONOMIC WEAKNESS. o US nominal GDP growth fell through the period. Businesses sought to trim unwanted inventories, industrial production faltered and consumer demand weakened. o This economic environment, along with tremendous volatility in the equity markets, led to fixed income being the asset class of choice throughout most of the first half. o Also, the yield curve became increasingly more positively sloped since the first of the year 2001, as investors especially flocked to short-term Treasuries. DURING THE SECOND HALF OF THE FISCAL YEAR, THE US FIXED INCOME MARKETS OVERALL PRODUCED LOW BUT POSITIVE NOMINAL RETURNS. o Evidence of an improving US economy, better performance in the equity markets and a change in bias from 'easing' to 'neutral' by the Federal Reserve Board in March contributed most to the lackluster performance by the US fixed income markets. o Credit spreads widened during the first quarter of 2002, as concerns over accounting practices heightened the focus of the fixed income markets on the credit quality of securities and drove investors toward higher quality issues. o When the Federal Reserve Board shifted from an easing to a neutral bias in March, citing a slow economic recovery in progress, the fixed income markets began pricing in potential interest rate increases by mid-year 2002. o All major components of the Lehman Aggregate Bond Index 1 outperformed US Treasuries for the six months ended March 31, 2002. INTERNATIONAL MARKETS OVERALL, THE ANNUAL PERIOD WAS NOT A GOOD ONE FOR WORLD EQUITY MARKETS, AS VIRTUALLY ALL OF THE MAJOR COUNTRY INDICES FOR JAPAN, GERMANY AND ELSEWHERE EXPERIENCED DRAMATIC WEAKNESS AND HIGH VOLATILITY. o During the first half of the fiscal year, world equity markets were rattled by news of a continued economic slowdown in Europe and Asia. Even more worrisome was the confirmation of a US economic slowdown. o Virtually all major equity markets in the European and Pacific regions recovered significantly during the fourth calendar quarter of 2001, as the heightened risk premium of the post-September 11th attacks diminished and the reduction in oil prices helped stabilize demand. o After the sharp global economic slowdown of 2001, exacerbated by the World Trade Center terrorist attacks in the United States and the anticipated negative consumer reaction, global economies showed signs during the first quarter of 2002 of a potentially strong rebound. After a period of concerted easing by central banks around the globe, investors began to anticipate the beginning of a period of rising interest rates. o Thus, for the first quarter of 2002, world equity markets, as measured by the MSCI EAFE Index, rose 0.97%, as equities struggled to maintain the momentum of the fourth quarter of 2001. From early January through mid-February, global equities actually declined. However, a rally then started, as the prospects for renewed economic growth rose. The equity rally lasted into March before faltering during the last two weeks of the quarter. o Regionally, the Asian and Pacific Rim equity markets, excluding Japan, as measured by the MSCI Pacific ex-Japan Index, outpaced the European equity markets for the annual period, as measured by the MSCI Europe Index. Both regions outperformed the Japanese equity market, as measured by the MSCI Japan Index, for the twelve month period. o International bond markets, as measured by the Salomon World Government Bond Index, were virtually flat for the annual period. -------------------------------------------------------------------------------- 1 The Lehman Brothers Aggregate Bond Index is an unmanaged index representing domestic taxable investment grade bonds, with index components for government and corporate securities, mortgage pass-through securities and asset-backed securities with average maturities of one year or more. -------------------------------------------------------------------------------- 5 Lifecycle Funds -------------------------------------------------------------------------------- LETTER TO SHAREHOLDERS
CUMULATIVE AVERAGE ANNUAL TOTAL RETURNS TOTAL RETURNS Periods Ended 1 Year 3 Years 5 Years Since 1 Year 3 Years 5 Years Since March 31, 2002 Inception 2 Inception 2 ------------------------------------------------------------------------------------------------------------------ LIFECYCLE LONG RANGE FUND Investment Class 1 1.70% 2.29% 53.77% 115.75% 1.70% 0.76% 8.99% 9.62% ------------------------------------------------------------------------------------------------------------------ S&P 500 Index 3 0.21% (7.43)% 62.30% 189.09% 0.21% (2.54)% 10.17% 13.59% ------------------------------------------------------------------------------------------------------------------ Salomon Broad Investment Grade Bond Index 3 5.34% 20.75% 44.00% 71.89% 5.34% 6.49% 7.57% 6.71% ------------------------------------------------------------------------------------------------------------------ Asset Allocation Index-- Long Range 3 2.72% 5.08% 55.11% 131.33% 2.72% 1.66% 9.18% 10.58% ------------------------------------------------------------------------------------------------------------------ Lipper Flexible Portfolio Funds Average 4 1.18% 4.45% 44.59% 113.22% 1.18% 1.30% 7.52% 9.32% ================================================================================================================== LIFECYCLE MID RANGE FUND Investment Class 1 2.48% 7.74% 49.88% 91.04% 2.48% 2.52% 8.43% 7.95% ------------------------------------------------------------------------------------------------------------------ S&P 500 Index 3 0.21% (7.43)% 62.30% 186.33% 0.21% (2.54)% 10.17% 13.31% ------------------------------------------------------------------------------------------------------------------ Salomon Broad Investment Grade Bond Index 3 5.34% 20.75% 44.00% 70.45% 5.34% 6.49% 7.57% 6.54% ------------------------------------------------------------------------------------------------------------------ Asset Allocation Index-- Mid Range 3 3.51% 10.21% 49.39% 104.11% 3.51% 3.29% 8.36% 8.84% ------------------------------------------------------------------------------------------------------------------ Lipper Flexible Portfolio Funds Average 4 1.18% 4.45% 44.59% 109.73% 1.18% 1.30% 7.52% 9.00% ================================================================================================================== LIFECYCLE SHORT RANGE FUND Investment Class 1 3.42% 12.13% 43.41% 71.08% 3.42% 3.89% 7.48% 6.55% ------------------------------------------------------------------------------------------------------------------ S&P 500 Index 3 0.21% (7.43)% 62.30% 186.33% 0.21% (2.54)% 10.17% 13.31% ------------------------------------------------------------------------------------------------------------------ Salomon Broad Investment Grade Bond Index 3 5.34% 20.75% 44.00% 70.45% 5.34% 6.49% 7.57% 6.54% ------------------------------------------------------------------------------------------------------------------ Asset Allocation Index-- Short Range 3 4.18% 15.19% 42.97% 80.17% 4.18% 4.83% 7.41% 7.24% ------------------------------------------------------------------------------------------------------------------ Lipper Income Funds Average 4 3.40% 11.31% 40.62% 92.34% 3.40% 3.56% 6.97% 7.89%
-------------------------------------------------------------------------------- 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 does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Performance would have been lower during the specified periods if certain of the Fund's fees and expenses had not been waived. Derivatives may be more volatile and less liquid than traditional securities and the Fund could suffer losses on its derivative positions. Merger 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. 2 The Fund's inception dates are: Lifecycle Long Range Fund: November 16, 1993, Lifecycle Mid Range Fund: October 14, 1993, Lifecycle Short Range Fund: October 15, 1993. Benchmark returns are for the periods beginning November 30, 1993, for the Lifecycle Long Range Fund--Investment Class and October 31, 1993, for the Lifecycle Mid Range Fund--Investment Class and Lifecycle Short Range Fund--Investment Class. 3 The Asset Allocation Indices are calculated using the performance of three unmanaged indices representative of stocks (S&P 500 Index), bonds (Salomon Broad Investment Grade Bond Index) and cash (Merrill Lynch 3-month T-bill Index) weighted by their corresponding proportion of each Fund's neutral position. In the case of Asset Allocation--Long Range the neutral position is stocks: 55%, bonds: 35% and cash: 10%. In the case of Asset Allocation--Mid Range the neutral position is stocks: 35%, bonds:45% and cash: 20%. In the case of Asset Allocation--Short Range the neutral position is stocks: 15%, bonds: 55% and cash 30%. These results are summed to produce the aggregate benchmark. The S&P 500 Index measures the performance of 500 large US companies. The Salomon Broad Investment Grade Bond Index covers an all inclusive universe of institutionally traded US Treasury, agency, mortgage and corporate securities. The Merrill Lynch 3-month T-bill Index is representative of the 3-month Treasury market. Benchmark returns do not reflect expenses that have been deducted from the Funds' returns. 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. These figures do not reflect sales charges. -------------------------------------------------------------------------------- 6 Lifecycle Funds -------------------------------------------------------------------------------- LETTER TO SHAREHOLDERS CASH Two important themes drove the performance of major currencies during the first half of the fiscal year. First, the global economic slowdown, led by the US. Second, aggressive direct official intervention by the Bank of Japan to depress the yen. The US dollar in particular was undermined by the first of these themes, as the market moved to discount a deeper and more prolonged slowdown of economic activity in the US. Consequently, the US dollar slipped from its multi-year highs in the third calendar quarter. The euro and, perhaps more surprisingly, the yen were both able to take advantage of the dollar's fragility. During the fourth calendar quarter, the yen, which had begun 2001 at about 113 yen/dollar weakened to about 132 yen/dollar. The euro, which had entered 2001 at just under $.93/dollar ended the year worth $.87/dollar. During the first quarter of 2002, the Japanese yen strengthened versus the dollar. The surge in the Nikkei 225 Index1 during the month of March was due in part to yen repatriation, as the market was technically supported by strategic short selling mandated by the government to shore up corporate balance sheets before the March fiscal year close. The euro remained weak versus the dollar. The European Central Bank did not cut interest rates during the quarter. Concern over higher oil prices contributed to the weakness of the euro. INVESTMENT REVIEW All three Lifecycle Funds outperformed the S&P 500 Index and their respective Lipper category averages, but all three Lifecycle Funds underperformed the Salomon Broad Investment Grade Bond Index and their respective Asset Allocation indices for the annual period. During the first half of the fiscal year, each Fund's overweighting in Canadian bonds, underweighting in US stocks and strong exposure to the euro versus the US dollar boosted performance. However, these positive contributors were overshadowed by the negative impact of each Fund's overweighting of certain international equity markets, such as Canada and Germany, and underweighting of US fixed income securities. During the fourth calendar quarter of 2001, each Fund generally benefited from an underweighting to cash. The Funds held a neutral position in equities overall, but their slight underweighting in the strongly performing US equity market negatively impacted performance. The Funds' overweighting in fixed income began to hurt performance when the yield curve steepened more dramatically in November. On the currency front, the Funds' exposure to the British pound and the euro versus the dollar also hurt performance, as investors began to express more confidence in the US. For most of the first quarter of 2002, the Funds benefited from their overweighting to fixed income. Even though in an absolute sense bonds did not provide dramatic performance, their relative value versus stocks was confirmed during the quarter. We had increased the Funds' position in equities to a slight overweighting, but uncertainty regarding corporate earnings and accounting issues impacted the equities markets during these months and thus the Funds did not benefit from this allocation. Currency positions continued to be a drag on Fund performance, as investors flocked to the dollar when the hopes of economic recovery began to reemerge in the US. Our model's assessment of a wide variety of factors supported each Fund's allocation throughout the annual period. o The Lifecycle Long Range's asset weightings were 58.61% in equities, 34.78% in bonds and 6.61% in cash and other short-term instruments as of March 31, 2002. 2 o The Lifecycle Mid Range's asset weightings were 36.94% in equities, 43.95% in bonds and 19.11% in cash and other short-term instruments as of March 31, 2002. 2 o The Lifecycle Short Range's asset weightings were 16.99% in equities, 52.20% in bonds and 30.81% in cash and other short-term instruments as of March 31, 2002. 2 -------------------------------------------------------------------------------- 1 The Nikkei 225 Index is an unmanaged index measuring the composite price performance of selected Japanese stocks and is currently based on 225 highly capitalized stocks trading on the Tokyo Stock Exchange (TSE) representing a broad cross-section of Japanese industries. 2 Asset weightings include market value of futures contracts as of March 31, 2002. -------------------------------------------------------------------------------- 7 Lifecycle Funds -------------------------------------------------------------------------------- LETTER TO SHAREHOLDERS MANAGER OUTLOOK Economic momentum appears to be building in the US, as the recovery nears the self-reinforcing stage. o Consumer demand remains resilient, buoyed by monetary and fiscal stimulus, a firm housing market and solid gains in real incomes fueled by strong productivity growth. Even business investment, which was hardest hit during the slump, is beginning to improve. o At the same time, an upturn in the inventory cycle is adding to the recovery dynamic in classic fashion, ie by reviving manufacturing production, boosting job and income growth, and reinforcing the improvement in demand. o After six quarters of Gross Domestic Product (GDP) growth averaging below 1%, the US seems to be returning to a trend-like 3.0% to 3.5% growth rate--a bit faster even than we had anticipated. o Although the Federal Reserve Board is unlikely to take action immediately, due to the lack of clear-cut signs of above-trend growth and rising inflation risks, we anticipate that it will slowly begin the process of unwinding the emergency interest rate cuts it made late in 2001 by its June 2002 meeting. We believe the Federal Reserve Board will then likely continue adjusting short-term rates back to a more historically 'normal' level over the subsequent six to twelve months. We would expect the European Central Bank and the UK to follow this pattern, but Japan still suffers from deflation and is unlikely, in our view, to tighten monetary policy for at least a year. IN OUR VIEW, THE ECONOMIC ENVIRONMENT REMAINS SUPPORTIVE OF US EQUITIES, WITH CLEAR SIGNS OF A DOMESTIC RECOVERY AND EVIDENCE OF BENEFICIAL TRENDS IN LABOR COSTS. AT THE SAME TIME, HOWEVER, US EQUITY VALUATIONS REMAIN HIGH. o Also, a strong rebound in earnings relative to other regions is already reflected in US equity market prices. o Elsewhere in North America, we expect Canadian equities to perform well, reflecting the exposure of this market to commodity prices and the world trade cycle. Canadian equities are also priced more reasonably than US equities. WE BELIEVE UPWARD RISK TO US BOND YIELDS WILL LIKELY CONTINUE DUE TO STRONG ECONOMIC DATA, HIGHER OIL PRICES AND THE PROSPECT OF INTEREST RATE INCREASES BY JUNE. o At the same time, while the fixed income markets have given up ground as the economic recovery has strengthened, we believe these markets have already discounted at least as much Federal Reserve Board tightening for 2002 as we expect. o The yield curve will likely begin flattening once the Federal Reserve Board actually starts raising interest rates and will probably continue returning to a more typical, flatter configuration as short-term interest rates are restored to more historically 'normal' levels. o In our view, short and intermediate-term fixed income yields may rise further over the next year or so, as Federal Reserve Board tightening of monetary policy plays out. We believe longer-term fixed income yields need not increase much further at all, especially given the likely benign inflation backdrop. o As economic growth takes hold and companies return to profitability, corporate bonds should perform particularly well in our opinion. WE EXPECT THE THEME OF CYCLICAL RECOVERY TO CONTINUE TO INFLUENCE INTERNATIONAL EQUITY MARKETS FOR AT LEAST ONE MORE QUARTER, OFFERING PARTICULAR SUPPORT TO EQUITIES IN CONTINENTAL EUROPE, ASIA AND JAPAN. LATIN AMERICAN EQUITY MARKETS ARE EXPECTED TO CONTINUE TO BENEFIT FROM HIGHER COMMODITY PRICES AND IMPROVED DOMESTIC DEMAND. o We believe that European equity markets should see strength at least over the coming quarter, based on supportive earnings revisions, particularly in Germany and France. While Europe as a region has struggled of late, global monetary easing, inventory adjustments, tax reductions and abating inflation are expected to help boost corporate profitability. Also, the recent formal introduction of the euro creates a level playing field for all companies and increases competitive pressures and thus corporate productivity and efficiency. Pension reforms instituted by several nations, including Germany and Italy, are also a positive in that they encourage increased investor savings. Fortunately, central bankers in Europe still have considerable reserves of ammunition to re-stimulate demand going forward. -------------------------------------------------------------------------------- 8 Lifecycle Funds -------------------------------------------------------------------------------- LETTER TO SHAREHOLDERS o The situation in Japan remains a concern for many fundamental reasons. Primarily, we are skeptical that Prime Minister Koizumi can deliver on his reform program. Our outlook for the Japanese Financial sector is especially cautious, as Japanese banks are still in the process of writing off bad loans and continue to own cross shareholdings in each other. (Cross shareholding is a traditional practice under which companies hold each other's shares through a subsidiary, affiliated company and/or business partner.) In our view, for the Japanese economy as well as its equity market to show a sustainable upturn, we need to see a number of reforms from the Japanese government that address the problems of cross shareholdings, problem loans and pension underfunding. We also need to see, in our opinion, an effective policy by the Bank of Japan to stop the deflation (ie a decline in the prices of goods and services). Under the current stance of the Bank of Japan, the yen should stay comparatively strong over the short term due to certain technical and seasonal factors, but may weaken again from summer onwards. o Elsewhere in Asia, the outlook is more positive. We believe that should the US economic recovery take hold during the second half of 2002 as anticipated, then those equity markets heavily driven by exports and the Information Technology sector may benefit. Most prominently, these markets include Taiwan and South Korea. We are also bullish on certain domestic sectors, such as Consumer Staples, in China and India. Both of these nations are experiencing high Gross Domestic Product (GDP) growth. Also, both of these nations have closed economies and are thus more dependent on domestic growth and more insulated from global economic and political events. o Our view on European fixed income is mixed. While cyclical improvements and the recent increases in the price of oil inevitably put pressure on European yields, it remains to be seen the extent to which these factors have been priced into the market. OUR CURRENCY OUTLOOK IS CAUTIOUS. o In our view, the euro remains stuck in a broad range versus the US dollar. Our currency model continues to recommend an overweight in the euro, as it is our expectation that as economic recovery becomes global, the Funds' position in the undervalued euro will enhance performance. o While Japanese policy is supportive of further yen weakness, we believe cyclical recovery forces will cap any depreciation. However, we see some potential for yen weakness versus the euro in the months ahead. o On the surface, the US economic recovery would seem to point to a stronger US dollar ahead. However, the currently low capacity utilization rate of the US is expected to reduce potential return on investment, thus possibly impacting the amount of foreign capital inflow to the US. This scenario, if realized, would keep the US dollar weaker than one might anticipate in a traditional economic recovery. We intend to stay disciplined to the Funds' model-driven investment strategy. We will, of course, continue to closely observe economic conditions and how they affect the financial markets, as we seek to achieve the Funds' objectives. We value your ongoing support of the Lifecycle Funds and look forward to continuing to serve your investment needs in the years ahead. /S/SIGNATURES Janet Campagna and Robert Wang Portfolio Managers of the LIFECYCLE FUNDS March 31, 2002 -------------------------------------------------------------------------------- 9 Lifecycle Long Range Fund--Investment Class -------------------------------------------------------------------------------- LETTER TO SHAREHOLDERS ASSET ALLOCATION (as of 3/31/02) (percentages are based on market value of total investments in the Portfolio) [GRAPHIC OMITTED] EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC AS FOLLOWS: Bonds 34.85% Short-term Instruments 13.06% Stocks 52.09% This chart shows Lifecycle Long Range Fund's investment exposure to different asset classes (ie, stocks, bonds and short term instruments). The Fund also may buy or sell futures contracts to increase or decrease the Fund's exposure to the stock market. Futures contracts are not reflected in the chart above. -------------------------------------------------------------------------------- FIVE LARGEST COMMON STOCK HOLDINGS (percentages are based on total net assets of the Portfolio) -------------------------------------------------------------------------------- General Electric Co. ....................... 1.79% Microsoft Corp. ............................ 1.60 Exxon Mobil Corp. .......................... 1.44 Wal-Mart Stores, Inc. ...................... 1.31 Citigroup, Inc. ............................ 1.23 -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- FIVE LARGEST FIXED INCOME LONG TERMS ECURITIES (percentages are based on total net assets of the Portfolio) -------------------------------------------------------------------------------- US Treasury Bond, 8.125%, 8/15/19 ..................... 2.53% Chase Mortgage Finance, 6.75%, 10/25/28 ............... 0.95 Harrisburg, PA Hsg. Corp., 10.00%, 7/15/24 ............ 0.94 FHLMC, 7.00%, 1/15/11 ................................. 0.93 GTHEL 99-H AF5, 7.60%, 12/15/29 ....................... 0.92 -------------------------------------------------------------------------------- OBJECTIVE Seeks high total return with reduced risk over the long term by allocating investments among stocks, bonds and short term instruments. 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. -------------------------------------------------------------------------------- 10 Lifecycle Long Range Fund--Investment Class -------------------------------------------------------------------------------- PERFORMANCE COMPARISON 1 Lifecycle Long Range Fund--Investment Class, S&P 500 Index, Salomon Broad Investment Grade Bond Index, Asset Allocation Index--Long Range and Lipper Flexible Portfolio Funds Average Growth of a $10,000 Investment (since inception) 2 [GRAPHIC OMITTED] EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC AS FOLLOWS:
Deutsche Lifecycle SSB Broad Asset Lipper Flexible Long Range Fund-- S&P 500 Investment Grade Allocation Index Portfolio Funds Investment Class Index Bond Index 3 --Long Range 3 Average 4 11/16/93 $10,000 $10,000 $10,000 $10,000 $10,000 11/30/93 9,930 10,000 10,000 10,000 10,000 12/31/93 10,030 10,121 10,056 10,089 10,177 1/31/94 10,210 10,465 10,192 10,329 10,425 2/28/94 9,990 10,182 10,023 10,117 10,240 3/31/94 9,680 9,738 9,774 9,789 9,898 4/30/94 9,704 9,862 9,701 9,835 9,916 5/31/94 9,744 10,024 9,700 9,926 9,954 6/30/94 9,534 9,778 9,679 9,789 9,793 7/31/94 9,738 10,099 9,862 10,034 9,984 8/31/94 9,909 10,513 9,873 10,268 10,219 9/30/94 9,698 10,256 9,732 10,081 10,059 10/31/94 9,764 10,486 9,722 10,207 10,133 11/30/94 9,611 10,105 9,696 9,997 9,899 12/31/94 9,735 10,254 9,770 10,110 9,963 1/31/95 9,950 10,520 9,972 10,333 10,065 2/28/95 10,216 10,930 10,205 10,644 10,354 3/31/95 10,319 11,253 10,264 10,843 10,563 4/30/95 10,525 11,583 10,404 11,076 10,775 5/31/95 10,886 12,047 10,817 11,479 11,136 6/30/95 11,000 12,326 10,893 11,659 11,389 7/31/95 11,166 12,735 10,871 11,869 11,695 8/31/95 11,208 12,767 10,996 11,940 11,779 9/30/95 11,479 13,306 11,099 12,261 12,050 10/31/95 11,511 13,258 11,248 12,300 11,980 11/30/95 11,837 13,840 11,423 12,670 12,367 12/31/95 11,973 14,107 11,581 12,872 12,535 1/31/96 12,267 14,587 11,660 13,150 12,801 2/29/96 12,223 14,723 11,462 13,144 12,884 3/31/96 12,321 14,864 11,379 13,185 12,962 4/30/96 12,390 15,082 11,295 13,263 13,135 5/31/96 12,598 15,471 11,289 13,455 13,317 6/30/96 12,686 15,530 11,435 13,549 13,300 7/31/96 12,302 14,844 11,466 13,239 12,916 8/31/96 12,545 15,157 11,449 13,392 13,145 9/30/96 13,075 16,010 11,648 13,894 13,621 10/31/96 13,421 16,452 11,910 14,220 13,859 11/30/96 14,143 17,696 12,106 14,900 14,516 12/31/96 13,867 17,346 12,000 14,698 14,368 1/31/97 14,498 18,430 12,045 15,230 14,881 2/28/97 14,486 18,574 12,059 15,307 14,845 3/31/97 14,031 17,810 11,937 14,913 14,411 4/30/97 14,583 18,873 12,108 15,485 14,800 5/31/97 15,146 20,023 12,221 16,062 15,436 6/30/97 15,661 20,922 12,367 16,532 15,906 7/31/97 16,688 22,585 12,702 17,419 16,835 8/31/97 15,992 21,320 12,593 16,837 16,322 9/30/97 16,686 22,489 12,778 17,439 17,003 10/31/97 16,389 21,738 12,961 17,214 16,629 11/30/97 16,816 22,744 13,021 17,687 16,918 12/31/97 17,062 23,135 13,154 17,925 17,132 1/31/98 17,266 23,392 13,324 18,124 17,239 2/28/98 18,109 25,079 13,315 18,844 18,107 3/31/98 18,759 26,363 13,367 19,410 18,729 4/30/98 18,952 26,629 13,436 19,562 18,909 5/31/98 18,900 26,171 13,565 19,450 18,689 6/30/98 19,373 27,233 13,676 19,949 19,048 7/31/98 19,270 26,942 13,705 19,855 18,811 8/31/98 17,727 23,052 13,915 18,393 16,928 9/30/98 18,492 24,522 14,243 19,200 17,603 10/31/98 19,314 26,518 14,179 20,037 18,485 11/30/98 19,994 28,128 14,257 20,751 19,277 12/31/98 20,659 29,748 14,301 21,439 20,121 1/31/99 21,109 30,992 14,407 21,995 20,577 2/28/99 20,592 30,028 14,154 21,490 19,952 3/31/99 21,092 31,229 14,235 22,015 20,522 4/30/99 21,612 32,438 14,283 22,517 21,074 5/31/99 21,209 31,672 14,152 22,161 20,711 6/30/99 21,865 33,430 14,104 22,821 21,438 7/31/99 21,387 32,387 14,048 22,407 21,008 8/31/99 21,421 32,228 14,038 22,350 20,853 9/30/99 21,182 31,345 14,206 22,117 20,622 10/31/99 21,903 33,329 14,249 22,919 21,210 11/30/99 22,161 34,012 14,248 23,186 21,552 12/31/99 23,277 36,009 14,183 23,908 22,534 1/31/00 22,623 34,201 14,143 23,235 21,909 2/29/00 22,933 33,555 14,308 23,099 22,138 3/31/00 23,930 36,837 14,494 24,458 23,234 4/30/00 23,412 35,728 14,450 24,039 22,753 5/31/00 23,102 34,995 14,438 23,775 22,423 6/30/00 23,637 35,860 14,739 24,282 22,902 7/31/00 23,501 35,300 14,875 24,163 22,682 8/31/00 24,371 37,493 15,087 25,122 23,824 9/30/00 23,559 35,513 15,189 24,465 23,115 10/31/00 23,521 35,364 15,286 24,476 22,877 11/30/00 22,512 32,577 15,535 23,568 21,960 12/31/00 22,699 32,737 15,828 23,799 22,455 1/31/01 23,333 33,899 16,090 24,418 22,915 2/28/01 22,007 30,807 16,233 23,278 21,582 3/31/01 21,215 28,854 16,318 22,520 20,591 4/30/01 22,110 31,096 16,241 23,455 21,572 5/31/01 22,189 31,304 16,348 23,604 21,729 6/30/01 21,931 30,544 16,402 23,323 21,336 7/31/01 21,990 30,244 16,778 23,393 21,303 8/31/01 21,370 28,351 16,965 22,686 20,550 9/30/01 20,409 26,051 17,174 21,785 19,550 10/31/01 20,811 26,550 17,520 22,175 19,991 11/30/01 21,536 28,584 17,280 23,007 20,916 12/31/01 21,575 28,842 17,177 23,077 21,576 1/31/02 21,392 28,410 17,313 22,954 20,978 2/28/02 21,230 27,864 17,478 22,791 20,651 3/31/02 21,575 28,909 17,189 23,133 21,322
-------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS Periods Ended 1 Year 5 Years Since March 31, 2002 inception 2 -------------------------------------------------------------------------------- Lifecycle Long Range Fund--Investment Class 1.70% 8.99% 9.62% -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- 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 does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Performance would have been lower during the specified periods if certain of the Fund's fees and expenses had not been waived. 2 The Fund's inception date is November 16, 1993. Benchmark returns are for the periods beginning November 30, 1993. 3 Asset Allocation Index--Long Range is calculated using the performance of three unmanaged indices representative of stocks (S&P 500 Index), bonds (Salomon Broad Investment Grade Bond Index) and cash (Merrill Lynch 3-month T-bill Index) weighted by their corresponding proportion of the Fund's neutral position (stocks: 55%; bonds: 35%; cash: 10%). These results are summed to produce the aggregate benchmark. The S&P 500 Index measures the performance of 500 large US companies. The Salomon Broad Investment Grade Bond Index covers an all inclusive universe of institutionally traded US Treasury, agency, mortgage and corporate securities. The Merrill Lynch 3-month T-bill Index is representative of the 3-month Treasury market. 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. -------------------------------------------------------------------------------- 11 Lifecycle Mid Range Fund--Investment Class -------------------------------------------------------------------------------- LETTER TO SHAREHOLDERS -------------------------------------------------------------------------------- ASSET ALLOCATION (as of 3/31/02) (percentages are based on market value of total investments in the Portfolio) -------------------------------------------------------------------------------- [GRAPHIC OMITTED] EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC AS FOLLOWS: Bonds 44.77% Short-term Instruments 22.41% Stocks 32.82% This chart shows Lifecycle Mid Range Fund's investment exposure to different asset classes (ie, stocks, bonds and short term instruments). The Fund also may buy or sell futures contracts to increase or decrease the Fund's exposure to the stock market. Futures contracts are not reflected in the chart above. -------------------------------------------------------------------------------- FIVE LARGEST COMMON STOCK HOLDINGS (percentages are based on total net assets of the Portfolio) -------------------------------------------------------------------------------- General Electric ............................ 1.09% Microsoft Corp. ............................. 0.97 Exxon Mobil Corp. ........................... 0.88 Wal Mart Stores, Inc. ....................... 0.80 Citigroup, Inc. ............................. 0.75 -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- FIVE LARGEST FIXED INCOME LONG TERM SECURITIES (percentages are based on total net assets of the Portfolio) -------------------------------------------------------------------------------- US Treasury Bond, 8.125%, 8/15/19 ........................... 1.38% Harrisburg, PA., Hsg. Corp., 10.00% 7/15/24 ................. 1.38 MMCA, 6.86%, 6/15/05 ........................................ 1.34 Norwest Asset Securities, 7.25%, 12/25/29 ................... 1.33 Conseco Finance, 7.60%, 12/15/29 ............................ 1.24 -------------------------------------------------------------------------------- OBJECTIVE Seeks capital growth, current income and growth of income consistent with reasonable investment risk by allocating investments among stocks, bonds, and short-term instruments. 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. -------------------------------------------------------------------------------- 12 Lifecycle Mid Range Fund--Investment Class -------------------------------------------------------------------------------- PERFORMANCE COMPARISON 1 Lifecycle Mid Range Fund--Investment Class, S&P 500 Index, Salomon Broad Investment Grade Bond Index, Asset Allocation Index--Mid Range and Lipper Flexible Portfolio Funds Average Growth of a $10,000 Investment (since inception) 2 [GRAPHIC OMITTED] EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC AS FOLLOWS:
Asset Lipper SSB Broad Allocation Flexible Deutsche Lifecycle S&P 500 Investment Grade Index-- Portfolio Mid Range Inv Index 3 Bond Index 3 Mid Range 3 Funds Average 4 10/14/93 $10,000 $10,000 $10,000 $10,000 $10,000 10/31/93 9,920 10,000 10,000 10,000 10,000 11/30/93 9,800 9,905 9,916 9,934 9,859 12/31/93 9,875 10,025 9,972 10,007 10,035 1/31/94 9,976 10,366 10,107 10,193 10,280 2/28/94 9,785 10,085 9,939 10,024 10,098 3/31/94 9,503 9,645 9,692 9,765 9,761 4/30/94 9,471 9,769 9,619 9,781 9,778 5/31/94 9,521 9,929 9,618 9,842 9,816 6/30/94 9,410 9,685 9,598 9,756 9,658 7/31/94 9,545 10,003 9,780 9,959 9,846 8/31/94 9,657 10,413 9,791 10,113 10,079 9/30/94 9,514 10,158 9,650 9,969 9,922 10/31/94 9,558 10,387 9,640 10,051 9,995 11/30/94 9,465 10,009 9,615 9,919 9,763 12/31/94 9,543 10,157 9,688 10,015 9,826 1/31/95 9,700 10,420 9,888 10,209 9,925 2/28/95 9,908 10,826 10,119 10,465 10,210 3/31/95 10,001 11,146 10,178 10,611 10,417 4/30/95 10,151 11,473 10,317 10,796 10,626 5/31/95 10,446 11,932 10,727 11,151 10,982 6/30/95 10,551 12,209 10,801 11,288 11,234 7/31/95 10,631 12,614 10,780 11,419 11,538 8/31/95 10,695 12,646 10,904 11,500 11,620 9/30/95 10,876 13,180 11,006 11,729 11,888 10/31/95 10,941 13,132 11,154 11,796 11,817 11/30/95 11,188 13,709 11,328 12,070 12,200 12/31/95 11,313 13,973 11,484 12,240 12,366 1/31/96 11,510 14,448 11,562 12,434 12,628 2/29/96 11,412 14,583 11,366 12,390 12,711 3/31/96 11,466 14,723 11,284 12,400 12,787 4/30/96 11,525 14,939 11,200 12,433 12,960 5/31/96 11,668 15,325 11,195 12,554 13,139 6/30/96 11,757 15,383 11,339 12,654 13,121 7/31/96 11,506 14,703 11,370 12,485 12,742 8/31/96 11,661 15,013 11,353 12,580 12,967 9/30/96 12,039 15,858 11,550 12,938 13,435 10/31/96 12,316 16,296 11,810 13,205 13,669 11/30/96 12,854 17,528 12,005 13,664 14,316 12/31/96 12,637 17,181 11,899 13,527 14,171 1/31/97 13,058 18,255 11,944 13,859 14,676 2/28/97 13,069 18,397 11,958 13,914 14,640 3/31/97 12,746 17,641 11,837 13,662 14,213 4/30/97 13,135 18,694 12,006 14,049 14,595 5/31/97 13,525 19,833 12,119 14,422 15,223 6/30/97 13,899 20,723 12,263 14,736 15,686 7/31/97 14,613 22,371 12,595 15,339 16,601 8/31/97 14,161 21,118 12,487 14,993 16,097 9/30/97 14,662 22,275 12,671 15,393 16,768 10/31/97 14,506 21,531 12,852 15,325 16,398 11/30/97 14,782 22,528 12,912 15,618 16,681 12/31/97 14,979 22,915 13,044 15,797 16,892 1/31/98 15,160 23,170 13,212 15,965 16,996 2/28/98 15,666 24,840 13,203 16,374 17,852 3/31/98 16,101 26,112 13,255 16,712 18,465 4/30/98 16,245 26,376 13,323 16,825 18,642 5/31/98 16,297 25,922 13,451 16,811 18,421 6/30/98 16,614 26,975 13,562 17,126 18,773 7/31/98 16,574 26,686 13,590 17,093 18,537 8/31/98 15,785 22,833 13,798 16,362 16,675 9/30/98 16,336 24,289 14,124 16,918 17,340 10/31/98 16,747 26,266 14,060 17,379 18,211 11/30/98 17,159 27,861 14,138 17,803 18,993 12/31/98 17,532 29,466 14,181 18,200 19,826 1/31/99 17,831 30,697 14,286 18,540 20,275 2/28/99 17,416 29,743 14,036 18,203 19,657 3/31/99 17,731 30,932 14,116 18,520 20,220 4/30/99 18,048 32,129 14,163 18,811 20,766 5/31/99 17,798 31,371 14,033 18,593 20,409 6/30/99 18,143 33,112 13,986 18,942 21,127 7/31/99 17,890 32,079 13,930 18,716 20,704 8/31/99 17,924 31,922 13,920 18,693 20,549 9/30/99 17,856 31,047 14,087 18,632 20,319 10/31/99 18,212 33,013 14,129 19,085 20,897 11/30/99 18,365 33,689 14,128 19,237 21,237 12/31/99 19,043 35,667 14,064 19,610 22,203 1/31/00 18,651 33,876 14,024 19,257 21,588 2/29/00 18,958 33,236 14,188 19,248 21,811 3/31/00 19,468 36,487 14,372 20,039 22,896 4/30/00 19,195 35,388 14,329 19,820 22,423 5/31/00 19,041 34,663 14,317 19,694 22,098 6/30/00 19,434 35,519 14,615 20,066 22,570 7/31/00 19,397 34,965 14,750 20,058 22,352 8/31/00 19,893 37,136 14,961 20,644 23,481 9/30/00 19,507 35,176 15,062 20,347 22,782 10/31/00 19,507 35,028 15,158 20,396 22,545 11/30/00 19,083 32,268 15,405 20,006 21,641 12/31/00 19,265 32,426 15,695 20,231 22,133 1/31/01 19,700 33,577 15,955 20,660 22,585 2/28/01 19,038 30,515 16,097 20,099 21,270 3/31/01 18,641 28,580 16,181 19,719 20,290 4/30/01 19,079 30,801 16,105 20,231 21,261 5/31/01 19,155 31,007 16,211 20,353 21,413 6/30/01 19,060 30,254 16,264 20,222 21,024 7/31/01 19,213 29,957 16,638 20,375 20,961 8/31/01 18,925 28,082 16,822 20,044 20,211 9/30/01 18,444 25,813 17,030 19,605 19,223 10/31/01 18,754 26,297 17,374 19,925 19,655 11/30/01 19,142 28,311 17,136 20,346 20,570 12/31/01 19,104 28,567 17,033 20,362 21,245 1/31/02 19,025 28,139 17,168 20,333 20,633 2/28/02 18,986 27,599 17,332 20,289 20,384 3/31/02 19,104 28,633 17,045 20,411 20,973
-------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS Periods Ended 1 Year 5 Years Since March 31, 2002 inception 2 -------------------------------------------------------------------------------- Lifecycle Mid Range Fund--Investment Class 2.48% 8.43% 7.95% -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- 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 does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Performance would have been lower during the specified periods if certain of the Fund's fees and expenses had not been waived. 2 The Fund's inception date is October 14, 1993. Benchmark returns are for the periods beginning October 31, 1993. 3 Asset Allocation Index--Mid Range is calculated using the performance of three unmanaged indices representative of stocks (S&P 500 Index), bonds (Salomon Broad Investment Grade Bond Index) and cash (Merrill Lynch 3-month T-bill Index) weighted by their corresponding proportion of the Fund's neutral position (stocks: 35%; bonds: 45%; cash: 20%). These results are summed to produce the aggregate benchmark. The S&P 500 Index measures the performance of 500 large US companies. The Salomon Broad Investment Grade Bond Index covers an all inclusive universe of institutionally traded US Treasury, agency, mortgage and corporate securities. The Merrill Lynch 3-month T-bill Index is representative of the 3-month Treasury market. 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. -------------------------------------------------------------------------------- 13 Lifecycle Short Range Fund--Investment Class -------------------------------------------------------------------------------- LETTER TO SHAREHOLDERS -------------------------------------------------------------------------------- ASSET ALLOCATION (as of 3/31/02) (percentages are based on market value of total investments in the Portfolio) -------------------------------------------------------------------------------- [GRAPHIC OMITTED] EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC AS FOLLOWS: Bonds 54.09% Short-term Instruments 32.26% Stocks 13.65% This chart shows Lifecycle Short Range Fund's investment exposure to different asset classes (ie, stocks, bonds and short term instruments). The Fund also may buy or sell futures contracts to increase or decrease the Fund's exposure to the stock market. Futures contracts are not reflected in the chart above. -------------------------------------------------------------------------------- FIVE LARGEST COMMON STOCK HOLDINGS (percentages are based on total net asset of the Portfolio) -------------------------------------------------------------------------------- General Electric ............................ 0.45% Microsoft Corp. ............................. 0.41 Exxon Mobil Corporation ..................... 0.37 Wal Mart Stores, Inc. ....................... 0.33 Citigroup, Inc. ............................. 0.31 -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- FIVE LARGEST FIXED INCOME LONG TERM SECURITIES (percentages are based on total net assets of the Portfolio) -------------------------------------------------------------------------------- US Treasury Bond, 8.125%, 8/15/19 .......................... 1.99% Harrisburg, PA., Hsg. Corp., 10.00%, 7/15/24 ............... 1.93 Norwest Asset Securities, 7.25%, 12/25/29 .................. 1.84 Conseco Finance, 7.60%, 12/15/29 ........................... 1.70 Chase Mortgage Finance Co., 6.75%, 10/25/28 ................ 1.68 -------------------------------------------------------------------------------- OBJECTIVE Seeks high current income consistent with conservation of capital by allocating investments among stocks, bonds and short-term investments. 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. -------------------------------------------------------------------------------- 14 Lifecycle Short Range Fund--Investment Class -------------------------------------------------------------------------------- PERFORMANCE COMPARISON 1 Lifecycle Short Range Fund--Investment Class, S&P 500 Index, Salomon Broad Investment Grade Bond Index, Asset Allocation Index--Short Range and Lipper Income Funds Average Growth of a $10,000 Investment (since inception) 2 [GRAPHIC OMITTED] EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC AS FOLLOWS:
Asset Lifecycle Short Allocation Lipper Range Fund-- S&P 500 Salomon Broad Index-- Income Funds Investment Index 3 BIG Index 3 Short Range 3 Average 4 10/15/93 $10,000 $10,000 $10,000 $10,000 $10,000 10/31/93 9,940 10,000 10,000 10,000 10,000 11/30/93 9,850 9,905 9,916 9,947 9,875 12/31/93 9,896 10,025 9,972 10,005 10,031 1/31/94 9,997 10,366 10,107 10,139 10,249 2/28/94 9,846 10,085 9,939 10,011 9,995 3/31/94 9,655 9,645 9,692 9,818 9,658 4/30/94 9,585 9,769 9,619 9,803 9,682 5/31/94 9,595 9,929 9,618 9,836 9,722 6/30/94 9,535 9,685 9,598 9,800 9,613 7/31/94 9,632 10,003 9,780 9,961 9,812 8/31/94 9,673 10,413 9,791 10,039 10,005 9/30/94 9,581 10,158 9,650 9,934 9,855 10/31/94 9,577 10,387 9,640 9,975 9,887 11/30/94 9,556 10,009 9,615 9,918 9,650 12/31/94 9,616 10,157 9,688 9,996 9,670 1/31/95 9,753 10,420 9,888 10,164 9,824 2/28/95 9,899 10,826 10,119 10,368 10,080 3/31/95 9,952 11,146 10,178 10,463 10,245 4/30/95 10,071 11,473 10,317 10,603 10,454 5/31/95 10,336 11,932 10,727 10,914 10,800 6/30/95 10,399 12,209 10,801 11,011 10,907 7/31/95 10,442 12,614 10,780 11,069 11,100 8/31/95 10,506 12,646 10,904 11,160 11,200 9/30/95 10,635 13,180 11,006 11,303 11,465 10/31/95 10,711 13,132 11,154 11,396 11,413 11/30/95 10,885 13,709 11,328 11,584 11,756 12/31/95 11,003 13,973 11,484 11,725 11,973 1/31/96 11,124 14,448 11,562 11,845 12,188 2/29/96 11,003 14,583 11,366 11,765 12,166 3/31/96 11,014 14,723 11,284 11,748 12,232 4/30/96 11,042 14,939 11,200 11,741 12,290 5/31/96 11,142 15,325 11,195 11,799 12,418 6/30/96 11,231 15,383 11,339 11,904 12,491 7/31/96 11,102 14,703 11,370 11,859 12,189 8/31/96 11,170 15,013 11,353 11,903 12,414 9/30/96 11,428 15,858 11,550 12,134 12,768 10/31/96 11,663 16,296 11,810 12,350 13,067 11/30/96 12,025 17,528 12,005 12,618 13,611 12/31/96 11,861 17,181 11,899 12,536 13,548 1/31/97 12,101 18,255 11,944 12,697 13,870 2/28/97 12,136 18,397 11,958 12,735 13,969 3/31/97 11,930 17,641 11,837 12,601 13,639 4/30/97 12,196 18,694 12,006 12,831 13,910 5/31/97 12,450 19,833 12,119 13,035 14,456 6/30/97 12,692 20,723 12,263 13,222 14,844 7/31/97 13,164 22,371 12,595 13,594 15,597 8/31/97 12,893 21,118 12,487 13,433 15,255 9/30/97 13,237 22,275 12,671 13,671 15,869 10/31/97 13,190 21,531 12,852 13,728 15,643 11/30/97 13,345 22,528 12,912 13,875 15,928 12/31/97 13,491 22,915 13,044 14,006 16,233 1/31/98 13,661 23,170 13,212 14,148 16,237 2/28/98 13,923 24,840 13,203 14,311 16,771 3/31/98 14,158 26,112 13,255 14,472 17,270 4/30/98 14,276 26,376 13,323 14,555 17,312 5/31/98 14,394 25,922 13,451 14,612 17,202 6/30/98 14,574 26,975 13,562 14,785 17,367 7/31/98 14,574 26,686 13,590 14,798 17,100 8/31/98 14,363 22,833 13,798 14,623 15,786 9/30/98 14,775 24,289 14,124 14,975 16,465 10/31/98 14,948 26,266 14,060 15,138 16,918 11/30/98 15,148 27,861 14,138 15,337 17,439 12/31/98 15,316 29,466 14,181 15,513 17,789 1/31/99 15,464 30,697 14,286 15,691 17,858 2/28/99 15,094 29,743 14,036 15,480 17,521 3/31/99 15,256 30,932 14,116 15,640 17,841 4/30/99 15,421 32,129 14,163 15,777 18,441 5/31/99 15,256 31,371 14,033 15,660 18,227 6/30/99 15,392 33,112 13,986 15,781 18,512 7/31/99 15,242 32,079 13,930 15,692 18,212 8/31/99 15,242 31,922 13,920 15,693 17,997 9/30/99 15,272 31,047 14,087 15,754 17,667 10/31/99 15,408 33,013 14,129 15,948 18,091 11/30/99 15,484 33,689 14,128 16,016 18,054 12/31/99 15,817 35,667 14,064 16,138 18,346 1/31/00 15,651 33,876 14,024 16,012 17,967 2/29/00 15,908 33,236 14,188 16,091 17,629 3/31/00 16,136 36,487 14,372 16,467 18,649 4/30/00 15,983 35,388 14,329 16,389 18,377 5/31/00 15,937 34,663 14,317 16,360 18,451 6/30/00 16,227 35,519 14,615 16,630 18,518 7/31/00 16,274 34,965 14,750 16,698 18,606 8/31/00 16,526 37,136 14,961 17,010 19,439 9/30/00 16,416 35,176 15,062 16,966 19,286 10/31/00 16,447 35,028 15,158 17,041 19,214 11/30/00 16,400 32,268 15,405 17,021 18,702 12/31/00 16,591 32,426 15,695 17,237 19,364 1/31/01 16,852 33,577 15,955 17,520 19,657 2/28/01 16,640 30,515 16,097 17,386 19,266 3/31/01 16,542 28,580 16,181 17,294 18,908 4/30/01 16,673 30,801 16,105 17,474 19,594 5/31/01 16,756 31,007 16,211 17,575 19,835 6/30/01 16,756 30,254 16,264 17,558 19,609 7/31/01 16,955 29,957 16,638 17,772 19,601 8/31/01 16,938 28,082 16,822 17,730 18,951 9/30/01 16,822 25,813 17,030 17,659 18,077 10/31/01 17,073 26,297 17,374 17,919 18,295 11/30/01 17,141 28,311 17,136 18,002 18,794 12/31/01 17,057 28,567 17,033 17,976 18,955 1/31/02 17,074 28,139 17,168 18,021 18,846 2/28/02 17,142 27,599 17,332 18,071 18,798 3/31/02 17,108 28,633 17,045 18,017 19,234
-------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS Periods Ended 1 Year 5 Years Since March 31, 2002 inception 2 -------------------------------------------------------------------------------- Lifecycle Short Range Fund--Investment Class 3.42% 7.48% 6.55% -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- 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 does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Performance would have been lower during the specified periods if certain of the Fund's fees and expenses had not been waived. 2 The Fund's inception date is October 15, 1993. Benchmark returns are for the periods beginning October 31, 1993. 3 Asset Allocation Index--Short Range is calculated using the performance of three unmanaged indices representative of stocks (S&P 500 Index), bonds (Salomon Broad Investment Grade Bond Index) and cash (Merrill Lynch 3-month T-bill Index) weighted by their corresponding proportion of the Fund's neutral position (stocks: 15%; bonds: 55%; cash: 30%). These results are summed to produce the aggregate benchmark. The S&P 500 Index measures the performance of 500 large US companies. The Salomon Broad Investment Grade Bond Index covers an all inclusive universe of institutionally traded US Treasury, agency, mortgage and corporate securities. The Merrill Lynch 3-month T-bill Index is representative of the 3-month Treasury market. 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. -------------------------------------------------------------------------------- 15 Lifecycle Funds -------------------------------------------------------------------------------- STATEMENTS OF ASSETS AND LIABILITIES
MARCH 31, 2002 LIFECYCLE LIFECYCLE LIFECYCLE LONG RANGE FUND-- MID RANGE FUND-- SHORT RANGE FUND-- INVESTMENT CLASS INVESTMENT CLASS INVESTMENT CLASS ASSETS Investments in portfolio, at value 1 ............. $143,395,979 $76,053,678 $26,871,938 Receivable for capital shares sold ............... 130,236 47,695 27,452 Prepaid expenses and other ....................... 9,260 7,922 7,173 ------------ ----------- ----------- Total assets ........................................ 143,535,475 76,109,295 26,906,563 ------------ ----------- ----------- LIABILITIES Payable for capital shares redeemed .............. 7,798,186 3,670,952 1,967,505 Due to administrator ............................. 46,073 16,518 1,099 Accrued expenses and other ....................... 19,995 26,060 19,175 ------------ ----------- ----------- Total liabilities ................................... 7,864,254 3,713,530 1,987,779 ------------ ----------- ----------- NET ASSETS .......................................... $135,671,221 $72,395,765 $24,918,784 ============ =========== =========== COMPOSITION OF NET ASSETS Paid-in capital .................................. $142,840,162 $75,972,173 $25,386,766 Undistributed net investment income .............. 553,942 377,425 188,566 Accumulated net realized loss on investment and foreign currency transactions .............. (2,577,734) (3,259,843) (685,733) Net unrealized depreciation on investments and foreign currencies ......................... (5,145,149) (693,990) 29,185 ------------ ----------- ----------- NET ASSETS .......................................... $135,671,221 $72,395,765 $24,918,784 ============ =========== =========== SHARES OUTSTANDING ($0.001 par value per share, unlimited number of shares authorized) ..................... 12,783,967 7,423,606 2,471,685 ============ =========== =========== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE (net assets divided by shares outstanding) ....... $ 10.61 $ 9.75 $ 10.08 ============ =========== ===========
-------------------------------------------------------------------------------- 1 Allocated from Asset Management Portfolio, Asset Management Portfolio II and Asset Management Portfolio III, respectively. See Notes to Financial Statements. -------------------------------------------------------------------------------- 16 Lifecycle Funds -------------------------------------------------------------------------------- STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED MARCH 31, 2002 LIFECYCLE LIFECYCLE LIFECYCLE LONG RANGE FUND-- MID RANGE FUND-- SHORT RANGE FUND-- INVESTMENT CLASS INVESTMENT CLASS INVESTMENT CLASS INVESTMENT INCOME Total income allocated from Portfolio ............ $ 5,034,227 $ 3,417,133 $1,226,496 Less allocated expenses .......................... (814,894) (508,070) (156,977) ----------- ----------- ---------- Net investment income allocated from Portfolio 1 ............................... 4,219,333 2,909,063 1,069,519 ----------- ----------- ---------- EXPENSES Administration and service fees .................. 964,623 550,054 169,969 Professional fees ................................ 29,668 29,679 28,272 Printing and shareholder reports ................. 15,321 21,665 15,957 Registration fees ................................ 13,769 12,358 14,124 Trustees fees .................................... 11,925 11,957 12,025 Miscellaneous .................................... 981 253 734 ----------- ----------- ---------- Total expenses ...................................... 1,036,287 625,966 241,081 Less: fee waivers and/or expense reimbursements ................................... (371,206) (287,372) (136,485) ----------- ----------- ---------- Net expenses ........................................ 665,081 338,594 104,596 ----------- ----------- ---------- NET INVESTMENT INCOME ............................... 3,554,252 2,570,469 964,923 ----------- ----------- ---------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES Net realized gain (loss) from: Investment transactions ........................ (167,840) 16,458 152,018 Foreign currency transactions .................. (102,848) (211,069) (47,659) Forward foreign currency transactions .......... (276,546) 86,184 26,540 Futures transactions ........................... (1,603,537) (949,364) (169,242) Net change in unrealized appreciation/ depreciation on investments and foreign currencies .......................... 1,581,992 429,865 (57,876) ----------- ----------- ---------- NET REALIZED AND UNREALIZED LOSS ON INVESTMENTS AND FOREIGN CURRENCIES ............... (568,779) (627,926) (96,219) ----------- ----------- ---------- NET INCREASE IN NET ASSETS FROM OPERATIONS .................................. $ 2,985,473 $ 1,942,543 $ 868,704 =========== =========== ==========
-------------------------------------------------------------------------------- 1 Allocated from Asset Management Portfolio, Asset Management Portfolio II and Asset Management Portfolio III, respectively. See Notes to Financial Statements. -------------------------------------------------------------------------------- 17 Lifecycle Funds -------------------------------------------------------------------------------- STATEMENTS OF CHANGES IN NET ASSETS LIFECYCLE LONG RANGE FUND--INVESTMENT CLASS
FOR THE YEARS ENDED MARCH 31, 2002 2001 INCREASE (DECREASE) IN NET ASSETS FROM: OPERATIONS Net investment income ................................................. $ 3,554,252 $ 4,151,441 Net realized loss from investment and foreign currency transactions .............................................. (2,150,771) (2,804,574) Net change in unrealized appreciation/depreciation on investments and foreign currencies .............................. 1,581,992 (18,548,687) ------------ ------------ Net increase (decrease) in net assets from operations .................... 2,985,473 (17,201,820) ------------ ------------ DISTRIBUTIONS TO SHAREHOLDERS Net investment income ................................................. (2,887,081) (2,799,236) Net realized gain ..................................................... (410,547) (18,684,065) ------------ ------------ Total distributions ...................................................... (3,297,628) (21,483,301) ------------ ------------ CAPITAL SHARE TRANSACTIONS Proceeds from sales of shares ......................................... 54,373,064 34,495,098 Dividend reinvestments ................................................ 2,883,966 20,862,676 Cost of shares redeemed ............................................... (49,650,859) (55,190,959) ------------ ------------ Net increase in net assets from capital share transactions ............... 7,606,171 166,815 ------------ ------------ TOTAL INCREASE (DECREASE) IN NET ASSETS .................................. 7,294,016 (38,518,306) NET ASSETS Beginning of year ..................................................... 128,377,205 166,895,511 ------------ ------------ End of year (including undistributed net investment income of $553,942 and $72,911, respectively) ...................... $135,671,221 $128,377,205 ============ ============
See Notes to Financial Statements. -------------------------------------------------------------------------------- 18 Lifecycle Funds -------------------------------------------------------------------------------- STATEMENTS OF CHANGES IN NET ASSETS LIFECYCLE MID RANGE FUND--INVESTMENT CLASS
FOR THE YEARS ENDED MARCH 31, 2002 2001 INCREASE (DECREASE) IN NET ASSETS FROM: OPERATIONS Net investment income ................................................. $ 2,570,469 $ 3,513,465 Net realized loss from investment and foreign currency transactions ............................................... (1,057,791) (1,198,697) Net change in unrealized appreciation/depreciation on investments and foreign currencies .................................. 429,865 (6,165,420) ------------ ------------ Net increase (decrease) in net assets from operations .................... 1,942,543 (3,850,652) ------------ ------------ DISTRIBUTIONS TO SHAREHOLDERS Net investment income ................................................. (2,370,278) (2,802,292) Net realized gain ..................................................... -- (6,935,086) ------------ ------------ Total distributions ...................................................... (2,370,278) (9,737,378) ------------ ------------ CAPITAL SHARE TRANSACTIONS Proceeds from sales of shares ......................................... 34,354,886 23,303,126 Dividend reinvestments ................................................ 2,370,129 9,496,287 Cost of shares redeemed ............................................... (44,518,977) (37,203,987) ------------ ------------ Net decrease in net assets from capital share transactions .................................................... (7,793,962) (4,404,574) ------------ ------------ TOTAL DECREASE IN NET ASSETS ............................................. (8,221,697) (17,992,604) NET ASSETS Beginning of year ..................................................... 80,617,462 98,610,066 ------------ ------------ End of year (including undistributed net investment income of $377,425 and $246,828, respectively) ...................... $ 72,395,765 $ 80,617,462 ============ ============
See Notes to Financial Statements. -------------------------------------------------------------------------------- 19 Lifecycle Funds -------------------------------------------------------------------------------- STATEMENTS OF CHANGES IN NET ASSETS LIFECYCLE SHORT RANGE FUND--INVESTMENT CLASS
FOR THE YEARS ENDED MARCH 31, 2002 2001 INCREASE (DECREASE) IN NET ASSETS FROM: OPERATIONS Net investment income ................................................. $ 964,923 $ 1,433,636 Net realized gain (loss) from investment and foreign currency transactions ............................................... (38,343) (216,305) Net change in unrealized appreciation/depreciation on investments and foreign currencies .................................. (57,876) (473,392) ------------ ------------ Net increase in net assets from operations ............................... 868,704 743,939 ------------ ------------ DISTRIBUTIONS TO SHAREHOLDERS Net investment income ................................................. (788,403) (1,172,483) Net realized gain ..................................................... -- (1,069,472) ------------ ------------ Total distributions ...................................................... (788,403) (2,241,955) ------------ ------------ CAPITAL SHARE TRANSACTIONS Proceeds from sales of shares ......................................... 11,839,665 17,451,045 Dividend reinvestments ................................................ 540,550 2,010,406 Cost of shares redeemed ............................................... (17,046,177) (26,153,830) ------------ ------------ Net decrease in net assets from capital share transactions .................................................... (4,665,962) (6,692,379) ------------ ------------ TOTAL DECREASE IN NET ASSETS ............................................. (4,585,661) (8,190,395) NET ASSETS Beginning of year ..................................................... 29,504,445 37,694,840 ------------ ------------ End of year (including undistributed (distributions in excess of) net investment income of $188,566 and $(12,209), respectively) ....................................................... $ 24,918,784 $ 29,504,445 ============ ============
See Notes to Financial Statements. -------------------------------------------------------------------------------- 20 Lifecycle Funds -------------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS
LIFECYCLE LONG RANGE FUND-- INVESTMENT FOR THE YEARS ENDED MARCH 31, CLASS 2002 2001 2000 1999 1998 PER SHARE OPERATING PERFORMANCE: NET ASSET VALUE, BEGINNING OF YEAR .......................... $10.67 $13.86 $12.57 $14.57 $11.96 ------ ------ ------ ------ ------ INCOME FROM INVESTMENT OPERATIONS Net investment income .................................... 0.26 0.34 0.33 0.43 0.32 Net realized and unrealized gain (loss) on investments and foreign currencies ..................... (0.08) (1.73) 1.32 1.27 3.57 ------ ------ ------ ------ ------ Total from investment operations ............................ 0.18 (1.39) 1.65 1.70 3.89 ------ ------ ------ ------ ------ DISTRIBUTIONS TO SHAREHOLDERS Net investment income .................................... (0.21) (0.23) (0.24) (0.47) (0.33) Net realized gain from investment transactions ........... (0.03) (1.57) (0.12) (2.98) (0.95) Distributions in excess of net investment income .................................. -- -- -- (0.25) -- ------ ------ ------ ------ ------ Total distributions ......................................... (0.24) (1.80) (0.36) (3.70) (1.28) ------ ------ ------ ------ ------ NET ASSET VALUE, END OF YEAR ................................ $10.61 $10.67 $13.86 $12.57 $14.57 ====== ====== ====== ====== ====== TOTAL INVESTMENT RETURN(1) .................................. 1.70% (11.35)% 13.46% 12.44% 33.69% SUPPLEMENTAL DATA AND RATIOS: Net assets, end of year (000s omitted) ................... $135,671 $128,377 $166,896 $133,550 $138,801 Ratios to average net assets: Net investment income .................................... 2.39% 2.78% 2.30% 2.51% 2.57% Expenses after waivers, including expenses of Asset Management Portfolio ....................... 1.00% 1.00% 1.00% 1.00% 1.00% Expenses before waivers, including expenses of Asset Management Portfolio ....................... 1.44% 1.45% 1.46% 1.44% 1.45%
-------------------------------------------------------------------------------- 1 Total return would have been lower had certain expenses not been reimbursed or fees waived by the Investment Advisor and Administrator. See Notes to Financial Statements. -------------------------------------------------------------------------------- 21 Lifecycle Funds -------------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS
LIFECYCLE MID RANGE FUND-- INVESTMENT FOR THE YEARS ENDED MARCH 31, CLASS 2002 2001 2000 1999 1998 PER SHARE OPERATING PERFORMANCE: NET ASSET VALUE, BEGINNING OF YEAR ........................... $ 9.78 $11.38 $10.60 $12.32 $10.80 ------ ------ ------ ------ ------ INCOME FROM INVESTMENT OPERATIONS Net investment income ..................................... 0.30 0.42 0.32 0.32 0.37 Net realized and unrealized gain (loss) on investments and foreign currencies ...................... (0.06) (0.86) 0.71 0.84 2.36 ------ ------ ------ ------ ------ Total from investment operations ............................. 0.24 (0.44) 1.03 1.16 2.73 ------ ------ ------ ------ ------ DISTRIBUTIONS TO SHAREHOLDERS Net investment income ..................................... (0.27) (0.33) (0.23) (0.38) (0.37) Net realized gain from investment transactions ............ -- (0.83) (0.02) (2.32) (0.84) Distributions in excess of net realized gain .............. -- -- -- (0.18) -- ------ ------ ------ ------ ------ Total distributions .......................................... (0.27) (1.16) (0.25) (2.88) (1.21) ------ ------ ------ ------ ------ NET ASSET VALUE, END OF YEAR ............................................... $ 9.75 $ 9.78 $11.38 $10.60 $12.32 ====== ====== ====== ====== ====== TOTAL INVESTMENT RETURN(1) ................................... 2.48% (4.25)% 9.80% 10.12% 26.33% SUPPLEMENTAL DATA AND RATIOS: Net assets, end of year (000s omitted) .......................................... $72,396 $80,617 $98,610 $77,556 $95,103 Ratios to average net assets: Net investment income ................................... 3.04% 3.86% 3.03% 2.75% 3.31% Expenses after waivers, including expenses of Asset Management Portfolio II ..................... 1.00% 1.00% 1.00% 1.00% 1.00% Expenses before waivers, including expenses of Asset Management Portfolio II ..................... 1.54% 1.51% 1.51% 1.51% 1.48%
-------------------------------------------------------------------------------- 1 Total return would have been lower had certain expenses not been reimbursed or fees waived by the Investment Advisor and Administrator. See Notes to Financial Statements. -------------------------------------------------------------------------------- 22 Lifecycle Funds -------------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS
LIFECYCLE SHORT RANGE FUND-- INVESTMENT FOR THE YEARS ENDED MARCH 31, CLASS 2002 2001 2000 1999 1998 PER SHARE OPERATING PERFORMANCE: NET ASSET VALUE, BEGINNING OF YEAR ........................... $10.05 $10.54 $10.23 $10.82 $10.31 ------ ------ ------ ------ ------ INCOME FROM INVESTMENT OPERATIONS Net investment income ..................................... 0.38 0.48 0.39 0.40 0.44 Net realized and unrealized gain (loss) on investments and foreign currencies ...................... (0.04) (0.21) 0.18 0.43 1.39 ------ ------ ------ ------ ------ Total from investment operations ............................. 0.34 0.27 0.57 0.83 1.83 ------ ------ ------ ------ ------ DISTRIBUTIONS TO SHAREHOLDERS Net investment income ..................................... (0.31) (0.40) (0.26) (0.44) (0.46) Net realized gain from investment transactions ............ -- (0.36) -- (0.76) (0.86) Distributions in excess of net realized gains ............. -- -- -- (0.22) -- ------ ------ ------ ------ ------ Total distributions .......................................... (0.31) (0.76) (0.26) (1.42) (1.32) ------ ------ ------ ------ ------ NET ASSET VALUE, END OF YEAR ................................. $10.08 $10.05 $10.54 $10.23 $10.82 ====== ====== ====== ====== ====== TOTAL INVESTMENT RETURN(1) ................................... 3.42% 2.52% 5.76% 7.76% 18.68% SUPPLEMENTAL DATA AND RATIOS: Net assets, end of year (000s omitted) .................... $24,919 $29,504 $37,695 $44,532 $49,408 Ratios to average net assets: Net investment income ..................................... 3.69% 4.85% 3.61% 3.52% 4.06% Expenses after waivers, including expenses of Asset Management Portfolio III .................... 1.00% 1.00% 1.00% 1.00% 1.00% Expenses before waivers, including expenses of Asset Management Portfolio III .................... 1.86% 1.72% 1.67% 1.55% 1.58%
-------------------------------------------------------------------------------- 1 Total return would have been lower had certain expenses not been reimbursed or fees waived by the Investment Advisor and Administrator. See Notes to Financial Statements. -------------------------------------------------------------------------------- 23 Lifecycle Funds -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS NOTE 1--ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES A. ORGANIZATION BT Investment Funds (the 'Company') is registered under the Investment Company Act of 1940 (the 'Act'), as amended, as a diversified, open-end management investment company. The Company is organized as a business trust under the laws of the Commonwealth of Massachusetts. Lifecycle Long Range Fund--Investment Class, Lifecycle Mid Range Fund--Investment Class and Lifecycle Short Range Fund--Investment Class (each a 'Fund' and collectively the 'Funds') are three of the funds the Company offers to investors. The investment objective of each Fund is as follows: Lifecycle Long Range Fund--to provide a high total return with reduced long-term risk by allocating investments among stocks, bonds and short-term instruments; Lifecycle Mid Range Fund--to seek capital growth, current income and growth of income, consistent with reasonable investment risk by allocating investments among stocks, bonds and short-term instruments; Lifecycle Short Range Fund--to seek high current income consistent with conservation of capital by allocating investments among stocks, bonds and short-term instruments. Each of the Funds seeks to achieve its investment objective by investing substantially all of its assets in a corresponding Portfolio (Asset Management Portfolio, Asset Management Portfolio II and Asset Management Portfolio III (each a 'Portfolio' and collectively the 'Portfolios'). Asset Management Portfolio II and Asset Management Portfolio III, respectively are each a series of BT Investment Portfolios, an open-end management investment company registered under the Act. Details concerning the Funds' investment objectives and policies and the risk factors associated with each Fund's investments are described in their Prospectuses and Statements of Additional Information. The Portfolio's financial statements accompany this report. B. VALUATION OF SECURITIES Each Fund determines the value of its investment in each Portfolio by multiplying its proportionate ownership of the Portfolio by the total value of the Portfolio's net assets. On March 31, 2002, each Fund owned approximately the following percentage of the corresponding Portfolio. Fund Percentage Portfolio ---- ---------- ---------- Long Range Fund 25% Asset Management Portfolio Mid Range Fund 100% Asset Management Portfolio II Short Range Fund 100% Asset Management Portfolio III The Portfolio's policies for determining the value of its net assets are discussed in the Portfolio's Financial Statements, which accompany this report. C. INVESTMENT INCOME Each Fund receives a daily allocation of each Portfolio's net investment income and net realized and unrealized gains and losses in proportion to its investment in the Portfolio. D. DISTRIBUTIONS Each Fund pays quarterly dividends from its net investment income and makes annual distributions of any net realized capital gains to the extent they exceed capital loss carryforwards. Each Fund records dividends and distributions on its books on the ex-dividend date. E. FEDERAL INCOME TAXES It is each Fund's policy to continue to qualify as a regulated investment company under the Internal Revenue Code and to distribute substantially all of its taxable income to shareholders. Therefore, no federal income taxes have been accrued. F. ESTIMATES In preparing its financial statements in conformity with accounting principles generally accepted in the United States, management makes estimates and assumptions. Actual results may be different. NOTE 2--FEES AND TRANSACTIONS WITH AFFILIATES Investment Company Capital Corp. ('ICCC'), an indirect, wholly owned subsidiary of Deutsche Bank AG, is each Fund's Administrator. Each Fund pays the Administrator an annual fee based on its average daily net assets which is calculated daily and paid monthly at the annual rate of 0.65%. The Advisor and Administrator have contractually agreed to waive their fees and/or reimburse expenses of each Fund through July 31, 2003, to the extent necessary, to limit all expenses to 1.00% of the average daily net assets of each Fund, including expenses of the Portfolio. ICCC is each Fund's accounting and transfer agent. Certain officers and directors of the Funds are also officers or directors of ICCC or affiliated with Deutsche Bank AG. These persons are not paid by the Funds for serving in these capacities. -------------------------------------------------------------------------------- 24 Lifecycle Funds -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS NOTE 3--CAPITAL SHARE TRANSACTIONS There were an unlimited number of capital shares authorized. Transactions in capital shares were as follows:
For the Year Ended March 31, 2002 ------------------------------------------------------------------------------ Long Range Fund Mid Range Fund Short Range Fund ------------------------ ------------------------ ------------------------ Shares Amount Shares Amount Shares Amount ---------- ------------ ---------- ------------ ---------- ----------- Sold ................................ 5,124,050 $ 54,373,064 3,478,121 $ 34,354,886 1,169,917 $11,839,665 Reinvested .......................... 271,244 2,883,966 243,758 2,370,129 53,840 540,550 Redeemed ............................ (4,640,245) (49,650,859) (4,545,428) (44,518,977) (1,687,631) (17,046,177) ---------- ------------ ---------- ------------ ---------- ----------- Net increase (decrease) ............. 755,049 $ 7,606,171 (823,549) $ (7,793,962) (463,874) $(4,665,962) ========== ============ ========== ============ ========== =========== For the Year Ended March 31, 2001 ------------------------------------------------------------------------------ Long Range Fund Mid Range Fund Short Range Fund ------------------------ ------------------------ ------------------------ Shares Amount Shares Amount Shares Amount ---------- ------------ ---------- ------------ --------- ----------- Sold ................................ 2,870,707 $ 34,495,098 2,198,489 $ 23,303,126 1,775,669 $17,451,045 Reinvested .......................... 1,718,930 20,862,676 907,624 9,496,287 115,842 2,010,406 Redeemed ............................ (4,600,148) (55,190,959) (3,522,433) (37,203,987) (2,531,491) (26,153,830) ---------- ------------ ---------- ------------ --------- ----------- Net increase (decrease) ............. (10,511) $ 166,815 (416,320) $ (4,404,574) (639,980) $(6,692,379) ========== ============ ========== ============ ========== ===========
NOTE 4--FEDERAL INCOME TAXES At March 31, 2002, capital contributions, accumulated undistributed net investment income, and accumulated net realized gain (loss) from investments have been adjusted for current period permanent book/tax differences which arose principally from foreign currency transactions, investments in foreign bond futures, differing treatments of partnership tax allocations and distribution reclassifications. These reclassifications resulted in the following increases/(decreases) in the components of net assets:
Undistributed Undistributed Net Paid In Fund NII Realized Gain/(Loss) Capital ---- -------------- -------------------- ------- Lifecycle Long Range $(186,140) $4,196,061 $(4,009,921) Lifecycle Mid Range $ (69,594) $ 69,595 $ (1) Lifecycle Short Range $ 24,256 $ (24,253) $ (3)
The net unrealized appreciation/depreciation of each Fund's investment in the Portfolio consists of an allocated portion of the Portfolios appreciation/depreciation. Please refer to the Portfolio for a breakdown of the appreciation/depreciation from investments. Income and capital gain distributions are determined in accordance with federal income tax regulations, which may differ from Generally Accepted Accounting Principles. Distributions during the year ended March 31, 2002 were characterized as follows for tax purposes: Ordinary Long-term Fund Income Capital Gains ---- ---------- ------------- Lifecycle Long Range $2,840,989 $456,639 Lifecycle Mid Range $2,370,278 $ -- Lifecycle Short Range $ 788,403 $ -- At March 31, 2002, the components of distributable earnings on a tax basis were as follows: Undistributed Ordinary Capital Loss Fund Income Carryovers ---- ------------- ------------ Lifecycle Long Range $627,689 $1,172,495 Lifecycle Mid Range $461,077 $ 465,345 Lifecycle Short Range $216,539 $ 6,048 -------------------------------------------------------------------------------- 25 Lifecycle Funds -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS At March 31, 2002, the Funds had capital loss carryovers available as a reduction against future net realized capital gains which expire in 2010: Lifecycle Long Range $1,172,495 Lifecycle Mid Range $ 465,345 Lifecycle Short Range $ 6,048 At March 31, 2002, the following Funds deferred post-October currency and capital losses to the next fiscal year ending March 31, 2003. Post October Post October Currency Losses Capital Loss Fund Deferred Deferred ---- --------------- ------------ Lifecycle Long Range $ -- $ 318,098 Lifecycle Mid Range $52,931 $1,006,469 Lifecycle Short Range $19,496 $ 187,823 NOTE 5--CONCENTRATION OF OWNERSHIP From time to time the Fund may have a concentration of several shareholders holding a significant percentage of shares outstanding. Investment activities of these shareholders could have a material impact on the Fund. At March 31, 2002, each Fund had the following number of shareholders who held in the aggregate the following percent of shares: Number of % of Outstanding Fund Shareholders Shares ---- ------------ ---------------- Short Range Fund 1 16.81 -------------------------------------------------------------------------------- 26 Lifecycle Funds -------------------------------------------------------------------------------- REPORT OF INDEPENDENT ACCOUNTANTS To the Trustees of BT Investment Funds and Shareholders of the Lifecycle Long Range Fund-- Investment Class, Lifecycle Mid Range Fund--Investment Class and Lifecycle Short Range Fund--Investment Class: In our opinion, the accompanying statements of assets and liabilities and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of the Lifecycle Long Range Fund--Investment Class, Lifecycle Mid Range Fund--Investment Class and Lifecycle Short Range Fund--Investment Class (three of the Funds comprising BT Investment Funds, hereafter referred to as the 'Funds') at March 31, 2002, and the results of their operations, the changes in their net assets and the financial highlights for each of the fiscal periods presented, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as 'financial statements') are the responsibility of the Funds' management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with auditing standards generally accepted in the United States of America, which require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at March 31, 2002 by correspondence with the transfer agent, provide a reasonable basis for the opinion expressed above. PricewaterhouseCoopers LLP Baltimore, Maryland May 3, 2002 -------------------------------------------------------------------------------- TAX INFORMATION (Unaudited) For the Year Ended March 31, 2002 The amounts shown may differ from those elsewhere in this report because of differences between tax and financial reporting requirements. The Lifecycle Long Range Fund distributed $456,639 of long term capital gains during the fiscal year ended March 31, 2002, all of which is taxable at the 20% capital gains rate. Of the ordinary distributions made during the fiscal year ended March 31, 2002, the following percentages, qualified for the dividends received deduction available to corporate shareholders: Lifecycle Long Range 33.59% Lifecycle Mid Range 14.74% Lifecycle Short Range 5.68% Of the ordinary distributions made during the fiscal year ended March 31, 2002, the following percentages have been derived from investments in U.S. Treasury and other direct U.S. Government Obligations. All or a part of the distributions from this income may be exempt from taxation at the state level. Consult your tax advisor for state specific information. Lifecycle Long Range 17.25% Lifecycle Mid Range 23.33% Lifecycle Short Range 31.99% -------------------------------------------------------------------------------- 27 Asset Management Portfolio -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 2002 SHARES SECURITY VALUE INVESTMENTS IN UNAFFILIATED ISSUERS COMMON STOCKS--50.52% AEROSPACE--0.04% 100 Raytheon Co. ................................. $ 4,105 5,300 Rockwell Automation, Inc. .................... 133,666 5,100 Rockwell International Corp. ................. 102,306 ----------- 240,077 ----------- BANKS--0.76% 12,100 BB&T Corp. ................................... 461,131 57,000 JP Morgan Chase & Co. ........................ 2,032,050 2,400 Marshall & Ilsley Corp. ...................... 149,376 8,500 SouthTrust Corp. ............................. 224,400 38,000 Wachovia Corp. ............................... 1,409,040 2,100 Zions Bancorporation ......................... 124,467 ----------- 4,400,464 ----------- BASIC MATERIALS--1.44% 5,800 Air Products & Chemicals, Inc. ............... 299,570 8,100 Alcan, Inc. .................................. 321,003 23,800 Alcoa, Inc. .................................. 898,212 6,600 Allegheny Technologies, Inc. ................. 109,164 18,500 Archer-Daniels-Midland Co. ................... 257,705 15,000 Barrick Gold Corp. ........................... 278,400 4,400 Bemis Co. .................................... 239,140 900 Boise Cascade Corp. .......................... 32,616 27,200 Dow Chemical Co. ............................. 889,984 28,600 Du Pont (E.I.) de Nemours & Co. .............. 1,348,490 3,500 Eastman Chemical Co. ......................... 170,765 2,700 Engelhard Corp. .............................. 83,781 8,500 Freeport-McMoRan Copper & Gold, Inc.--Class B 1 ............................. 149,770 5,400 Georgia-Pacific Corp. ........................ 161,730 400 Great Lakes Chemical Corp. ................... 11,268 8,200 Hercules, Inc. 1 ............................. 109,142 5,200 Inco, Ltd. 1 ................................. 101,764 1,800 International Flavors & Fragrances, Inc. ............................ 62,946 12,600 International Paper Co. ...................... 541,926 9,100 Louisiana-Pacific Corp. 1 .................... 97,734 9,800 Newmont Mining Corp. Holding Co. ................................. 271,362 1,600 Nucor Corp. .................................. 102,784 7,800 Pactiv Corp. 1 ............................... 156,156 3,800 Phelps Dodge Corp. 1 ......................... 159,980 17,500 Placer Dome, Inc. ............................ 214,375 4,100 PPG Industries, Inc. ......................... 225,131 3,800 Praxair, Inc. ................................ 227,240 5,400 Rohm & Haas Co. .............................. 228,258 1,200 Sigma-Aldrich Corp. .......................... 56,352 900 Temple-Inland, Inc. .......................... 51,048 2,100 Vulcan Materials Co. ......................... 99,834 SHARES SECURITY VALUE 5,700 Weyerhaeuser Co. ............................. $ 358,302 2,400 Worthington Industries, Inc. ................. 36,864 ----------- 8,352,796 ----------- BEVERAGES--0.04% 600 Adolph Coors Co.--Class B .................... 40,482 6,900 Pepsi Bottling Group, Inc. (The) ............. 178,503 ----------- 218,985 ----------- BIOPHARMACEUTICALS--0.05% 6,700 Chiron Corp. 1 ............................... 307,463 ----------- BIOTECHNOLOGY--0.14% 7,200 Genzyme Corp.-General Division ............... 314,424 17,400 Immunex Corp. 1 .............................. 526,524 ----------- 840,948 ----------- CAPITAL GOODS--4.24% 5,700 Allied Waste Industries, Inc. 1 .............. 74,100 10,000 American Power Conversion Corp. 1 ...................................... 147,800 2,500 Avery DennisonCorp. ......................... 152,575 25,500 Boeing Co. ................................... 1,230,375 9,000 Caterpillar, Inc. ............................ 511,650 4,200 Cooper Industries, Inc. ...................... 176,190 600 Crane Co. .................................... 16,404 500 Cummins, Inc. ................................ 23,615 3,700 Danaher Corp. ................................ 262,774 6,100 Deere & Co. .................................. 277,855 8,100 Dover Corp. .................................. 332,100 1,600 Eaton Corp. .................................. 129,568 11,700 Emerson Electric Co. ......................... 671,463 5,200 General Dynamics Corp. ....................... 488,540 277,500 General Electric Co. ......................... 10,392,375 6,100 Goodrich Corp. ............................... 193,004 22,700 Honeywell International, Inc. ................ 868,729 8,100 Illinois Tool Works, Inc. .................... 586,035 2,000 ITT Industries, Inc. ......................... 126,080 4,400 Johnson Controls, Inc. ....................... 388,564 11,900 Lockheed Martin Corp. ........................ 685,202 2,800 Millipore Corp. .............................. 123,872 11,000 Minnesota Mining & Manufacturing Co. .......................... 1,265,110 4,600 Molex, Inc. .................................. 159,482 1,700 Navistar International Corp. 1 ............... 75,310 2,700 Northrop Grumman Corp. ....................... 305,235 4,400 PACCAR, Inc. ................................. 322,124 3,600 Pall Corp. ................................... 73,764 2,600 Parker-Hannifin Corp. ........................ 129,740 8,400 Pitney Bowes, Inc. ........................... 359,520 14,500 Sanmina-SCI Corp. 1 .......................... 170,375 3,700 Sealed Air Corp. 1 ........................... 174,196 See Notes to Financial Statements. -------------------------------------------------------------------------------- 28 Asset Management Portfolio -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 2002 SHARES SECURITY VALUE 22,900 Solectron Corp. 1 ............................ $ 178,620 1 Teledyne Technologies 1 ...................... 17 3,100 Textron, Inc. ................................ 158,410 8,200 Thermo Electron Corp. 1 ...................... 169,986 55,700 Tyco International Ltd. ...................... 1,800,224 13,100 United Technologies Corp. .................... 972,020 16,200 Waste Management, Inc. ....................... 441,450 ----------- 24,614,453 ----------- COMMERCIAL SERVICES--0.09% 16,400 Concord EFS, Inc. 1 .......................... 545,300 ----------- COMMUNICATION SERVICES--2.86% 8,100 Alltel Corp. ................................. 449,955 123,700 AOL Time Warner Inc. 1 ....................... 2,925,505 124,800 AT&T Corp. ................................... 1,959,360 52,600 BellSouth Corp. .............................. 1,938,836 3,000 CenturyTel, Inc. ............................. 102,000 8,100 Citizen Communications Co. ................... 87,075 700 Meredith Corp. ............................... 29,757 22,200 Nextel Communications, Inc. 1 ................ 119,436 46,500 Qwest Communications International ............................... 382,230 93,600 SBC Communications, Inc. ..................... 3,504,384 27,800 Sprint Corp. PCS Group 1 ..................... 286,062 31,200 Sprint Corp. FON Group ....................... 477,048 7,600 Univision Communications, Inc. 1 ............. 319,200 75,900 Verizon Communications, Inc. ................. 3,464,835 82,400 WorldCom, Inc.-- WorldCom Group 1 ............................ 555,376 ----------- 16,601,059 ----------- COMMUNICATIONS EQUIPMENT--0.03% 18,900 CIENA Corporation 1 .......................... 170,100 ----------- CONSTRUCTION & ENGINEERING--0.02% 5,800 McDermott International, Inc. ................ 90,190 ----------- CONSUMER CYCLICALS--4.97% 7,700 American Greetings Corp.-- Class A ..................................... 139,194 3,000 Autozone, Inc. 1 ............................. 206,550 8,100 Bed Bath & Beyond, Inc. 1 .................... 273,375 6,800 Best Buy, Inc.1 .............................. 538,560 4,400 Black & Decker Corp. ......................... 204,776 1,200 Brunswick Corp. .............................. 32,784 21,500 Carnival Corp. ............................... 701,975 30,800 Cendant Corp. 1 .............................. 591,360 1,700 Centex Corp. ................................. 88,281 4,000 Cintas Corp. ................................. 199,440 5,800 Circuit City Stores-- Circuit City Group .......................... 104,632 7,100 Convergys Corp. 1 ............................ 209,947 2,100 Cooper Tire & Rubber Co. 1 ................... 45,465 SHARES SECURITY VALUE 14,200 Costco Wholesale Corp. 1 ..................... $ 565,444 4,100 Dana Corp. ................................... 88,027 15,700 Delphi Corp. ................................. 251,043 9,100 Dillard's, Inc.--Class A ..................... 217,126 9,300 Dollar General Corp. ......................... 151,404 4,100 Dow Jones & Co., Inc. 238,702 6,900 Federated Department Stores, Inc. 1 ...................................... 281,865 50,600 Ford Motor Co. ............................... 834,394 7,000 Gannett Co., Inc. ............................ 532,700 24,100 Gap, Inc. (The) .............................. 362,464 16,600 General Motors Corp. ......................... 1,003,470 100 Genuine Parts Co. ............................ 3,677 7,500 Goodyear Tire & Rubber Co. ................... 191,775 7,800 Harley-Davidson, Inc. ........................ 430,014 4,600 Harrah's Entertainment, Inc. 1 ............... 203,596 4,900 Hasbro, Inc. ................................. 77,518 10,300 Hilton Hotels Corp. .......................... 147,290 65,500 Home Depot, Inc. ............................. 3,183,955 8,500 IMS Health, Inc. ............................. 190,825 9,600 Interpublic Group of Cos., Inc. .............. 329,088 200 JC Penney Co., Inc. .......................... 4,142 5,500 KB HOME ...................................... 238,700 1,800 Knight-Ridder, Inc. .......................... 123,642 9,300 Kohls Corp. 1 ................................ 661,695 4,300 Leggett & Platt, Inc. ........................ 106,640 14,400 Limited, Inc. ................................ 257,760 21,600 Lowe's Companies ............................. 939,384 100 Marriott International Inc.-- Class A ..................................... 4,495 16,700 Masco Corp. .................................. 458,415 300 Mattel, Inc. ................................. 6,252 7,400 May Department Stores Co. .................... 257,890 6,900 McGraw-Hill, Inc. ............................ 470,925 3,600 New York Times Co.--Class A .................. 172,296 6,600 Newell Rubbermaid, Inc. ...................... 210,936 6,900 Nike, Inc.--Class B .......................... 414,069 17,000 Office Depot, Inc. 1 ......................... 337,450 4,900 Omnicom Group, Inc. .......................... 462,560 1,700 Pulte Homes, Inc. ............................ 81,345 100 RadioShack Corp. ............................. 3,004 3,900 Reebok International Ltd. 1 .................. 105,417 8,400 Sears Roebuck and Co. ........................ 430,668 2,900 Sherwin-Williams Co. ......................... 82,592 500 Snap-On, Inc. ................................ 17,025 1,600 Stanley Works ................................ 74,000 21,100 Staples, Inc. 1 .............................. 421,367 4,700 Starwood Hotels & Resorts Worldwide, Inc. ............................. 176,767 15,200 Target Corp. ................................. 655,424 3,000 Tiffany & Co. ................................ 106,650 6,800 TJX Cos., Inc. ............................... 272,068 9,100 Toys 'R' Us, Inc. 1 .......................... 163,436 See Notes to Financial Statements. -------------------------------------------------------------------------------- 29 Asset Management Portfolio -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 2002 SHARES SECURITY VALUE 7,700 Tribune Co. .................................. $ 350,042 2,900 TRW, Inc. .................................... 149,263 5,400 V.F. Corp. ................................... 233,550 3,700 Visteon Corp. ................................ 61,235 124,600 Wal-Mart Stores, Inc. ........................ 7,636,734 1,600 Whirlpool Corp. .............................. 120,880 ----------- 28,889,434 ----------- CONSUMER STAPLES--5.54% 10,500 Albertson's, Inc. ............................ 347,970 24,800 Anheuser-Busch Companies, Inc. ............... 1,294,560 8,400 Avon Products ................................ 456,288 200 Campbell Soup Co. ............................ 5,360 6,300 Cardinal Health, Inc. ........................ 446,607 16,700 Clear Channel Communications 1 ............... 858,547 10,200 Clorox Co. ................................... 445,026 69,400 Coca-Cola Co. ................................ 3,626,844 12,800 Coca-Cola Enterprises, Inc. .................. 240,384 15,400 Colgate-Palmolive Co. ........................ 880,110 17,600 Comcast Corp. 1 .............................. 559,680 17,800 Conagra Foods, Inc. .......................... 431,650 3,200 Darden Restaurants, Inc. ..................... 129,888 1 Energizer Holdings, Inc. 1 ................... 24 3,500 Fortune Brands, Inc. ......................... 172,795 9,400 General Mills, Inc. .......................... 459,190 29,500 Gillette Co. ................................. 1,003,295 5,300 Hershey Foods Corp. .......................... 363,262 11,400 HJ Heinz Co. ................................. 473,100 10,400 Kellogg Co. .................................. 349,128 14,700 Kimberly-Clark Corp. ......................... 950,355 25,400 Kroger Co. 1 ................................. 562,864 35,900 McDonald's Corp. ............................. 996,225 7,100 McKesson Corp. ............................... 265,753 48,900 PepsiCo, Inc. ................................ 2,518,350 61,700 Philip Morris Companies, Inc. ................ 3,249,739 36,300 Procter & Gamble Co. ......................... 3,270,267 14,100 Safeway, Inc. 1 .............................. 634,782 21,800 Sara Lee Corp. ............................... 452,568 13,600 Starbucks Corp. 1 ............................ 314,568 17,400 SYSCO Corp. .................................. 518,868 5,300 Tricon Global Restaurants, Inc. 1 ............ 311,534 1,700 Tupperware Corp. ............................. 38,675 16,000 Unilever NV .................................. 908,800 4,700 UST, Inc. .................................... 182,971 50,800 Viacom, Inc. 1 ............................... 2,457,196 17,300 Walgreen Co. ................................. 677,987 38,200 Walt Disney Co. .............................. 881,656 1,800 Wendy's International, Inc. .................. 62,964 3,900 Winn-Dixie Stores, Inc. ...................... 62,556 5,600 Wrigley (WM.), Jr. Co. ....................... 298,536 ----------- 32,160,922 ----------- SHARES SECURITY VALUE DRUGS--0.15% 7,100 Forest Laboratories, Inc. 1 .................. $ 580,070 8,700 King Pharmaceuticals, Inc. 1 ................. 304,587 ----------- 884,657 ----------- ELECTRICAL--0.02% 8,900 Calpine Corp. 1 .............................. 113,030 ----------- ELECTRICAL EQUIPMENT--0.01% 10,000 Power-One, Inc. 1 ............................ 81,800 ----------- ELECTRONICS--0.13% 17,000 Applied Micro Circuits Corp. 1 ................ 136,000 8,500 Jabil Circuit, Inc. 1 ....................... 200,005 8,600 NiSource, Inc. ............................... 197,370 6,300 Symbol Technologies, Inc. .................... 70,812 1,900 Thomas & Betts Corp. 1 ....................... 40,204 12,700 Vitesse Semiconductor Corp. 1 ................ 124,460 ----------- 768,851 ----------- ENERGY--3.43% 3,800 Amerada Hess Corp. ........................... 301,568 7,100 Anadarko Petroleum Corp. ..................... 400,724 1,200 Ashland, Inc. ................................ 54,612 8,600 Baker Hughes, Inc. ........................... 328,950 9,600 Burlington Resources, Inc. ................... 384,864 24,900 ChevronTexaco Corp. .......................... 2,247,723 16,200 Conoco Inc. .................................. 472,716 4,300 Devon Energy Corp. ........................... 207,561 14,400 El Paso Corp. ................................ 634,032 191,000 Exxon Mobil Corp. ............................ 8,371,530 12,000 Halliburton Co. .............................. 204,840 2,800 Kerr-McGee Corp. ............................. 175,980 3,900 Nabors Industries, Inc. 1 .................... 164,775 12,700 Occidental Petroleum Corp. ................... 370,205 10,000 Phillips Petroleum Co. ....................... 628,000 5,400 Rowan Cos., Inc. 1 ........................... 124,416 59,400 Royal Dutch Petroleum Co. .................... 3,226,608 16,000 Schlumberger Ltd. N.V. ....................... 941,120 1,300 Sunoco, Inc. ................................. 52,013 11,800 Transocean Sedco Forex Inc. .................. 392,114 6,100 Unocal Corp. ................................. 237,595 ----------- 19,921,946 ----------- FINANCIALS--8.07% 13,600 AFLAC, Inc. .................................. 401,200 19,900 Allstate Corp. ............................... 751,623 4,700 AMBAC Financial Group, Inc. .................. 277,629 37,200 American Express Co. ......................... 1,523,712 66,900 American International Group, Inc. ........... 4,826,166 13,600 Amsouth Bancorporation ....................... 298,928 6,500 AON Corp. .................................... 227,500 44,900 Bank of America Corp. ........................ 3,054,098 See Notes to Financial Statements. -------------------------------------------------------------------------------- 30 Asset Management Portfolio -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 2002 SHARES SECURITY VALUE 20,500 Bank of New York Co., Inc. ................... $ 861,410 32,500 Bank One Corp. ............................... 1,357,850 5,500 Bear Stearns Cos., Inc. ...................... 345,125 7,700 Capital One Financial Corp. .................. 491,645 38,100 Charles Schwab Corp. ......................... 498,729 5,200 Charter One Financial, Inc. .................. 162,344 5,000 CIGNA Corp. .................................. 506,950 3,800 Cincinnati Financial Corp. ................... 165,908 143,800 Citigroup, Inc. .............................. 7,120,976 4,500 Comerica, Inc. ............................... 281,565 9,800 Conseco, Inc. 1 .............................. 35,476 3,400 Countrywide Credit Industries, Inc. .......... 152,150 7,400 Equifax, Inc. ................................ 221,260 29,200 Fannie Mae ................................... 2,332,496 16,300 Fifth Third Bancorp .......................... 1,099,924 33,700 FleetBoston Financial Corp. .................. 1,179,500 6,700 Franklin Resources, Inc. ..................... 280,864 20,900 Freddie Mac .................................. 1,324,433 6,000 Golden West Financial Corp. .................. 381,000 6,300 Hartford Financial Services Group, Inc. ........................................ 429,156 14,500 Household International, Inc. ................ 823,600 7,100 Huntington Bancshares, Inc. .................. 139,870 3,400 Jefferson-Pilot Corp. ........................ 170,272 14,600 KeyCorp. ..................................... 389,090 200 Lehman Brothers Holdings, Inc. ............... 12,928 8,500 Lincoln National Corp. ....................... 431,205 5,300 Lowe's Cos., Inc. ............................ 310,474 7,700 Marsh and McLennan Cos., Inc. ................ 868,098 6,000 MBIA, Inc. ................................... 328,140 26,400 MBNA Corp. ................................... 1,018,248 12,200 Mellon Financial Corp. ....................... 470,798 23,700 Merrill Lynch & Co., Inc. .................... 1,312,506 4,500 MGIC Investment Corp. ........................ 307,935 30,700 Morgan Stanley Dean Witter & Co. ....................................... 1,759,417 19,200 National City Corp. .......................... 590,592 7,600 PNC Financial Services Group, Inc. ........... 467,324 7,700 Providian Financial Corp. 1 .................. 58,135 5,600 Regions Financial Corp. ...................... 192,360 2,500 Safeco Corp. ................................. 80,100 8,400 State Street Corp. ........................... 465,192 200 Stilwell Financial, Inc. ..................... 4,898 7,600 SunTrust Banks, Inc. ......................... 507,148 6,900 Synovus Financial Corp. ...................... 210,312 100 T. Rowe Price Group, Inc. .................... 3,893 2,800 Torchmark Corp. .............................. 112,812 5,200 Union Planters Corp. ......................... 246,428 57,899 US Bancorp ................................... 1,306,780 4,000 USA Education, Inc. .......................... 391,200 29,900 Washington Mutual, Inc. ...................... 990,587 47,400 Wells Fargo & Co. ............................ 2,341,560 ----------- 46,901,519 ----------- SHARES SECURITY VALUE HEALTH CARE--5.97% 43,300 Abbott Laboratories .......................... $ 2,277,580 3,200 Allergan, Inc. ............................... 206,880 30,400 Amgen, Inc. 1 ................................ 1,814,272 600 Bausch & Lomb, Inc. .......................... 26,742 18,200 Baxter International, Inc. ................... 1,083,264 6,300 Becton, Dickinson & Co. ...................... 237,636 4,200 Biogen, Inc. 1 ............................... 206,052 7,500 Biomet, Inc. ................................. 202,950 13,900 Boston Scientific Corp. 1 .................... 348,751 43,300 Bristol-Myers Squibb Co. ..................... 1,753,217 900 C.R. Bard, Inc. .............................. 53,145 9,800 Dynegy, Inc. ................................. 284,200 31,400 Eli Lilly & Co. .............................. 2,392,680 10,200 Guidant Corp. 1 .............................. 441,864 4,200 HCA, Inc. .................................... 185,136 15,700 HealthSouth Corp. 1 .......................... 225,295 10,100 Humana, Inc. 1 ............................... 136,653 85,700 Johnson & Johnson ............................ 5,566,215 5,700 Manor Care, Inc. 1 ........................... 132,810 7,000 MedImmune, Inc. 1 ............................ 275,310 33,800 Medtronic, Inc. .............................. 1,528,098 55,900 Merck & Co., Inc. ............................ 3,218,722 175,700 Pfizer, Inc. ................................. 6,982,318 26,600 Pharmacia Corp. .............................. 1,199,128 12,700 Quintiles Transnational Corp. 1 .............. 225,425 40,900 Schering-Plough Corp. ........................ 1,280,170 3,300 St. Jude Medical, Inc. 1 ..................... 254,595 4,900 Stryker Corp. ................................ 295,617 11,600 Tenet Healthcare Corp. 1 ..................... 777,432 8,300 UnitedHealth Group, Inc. ..................... 634,286 5,000 Watson Pharmaceuticals, Inc. 1 ............... 135,450 5,100 Wellpoint Health Networks, Inc. 1 ............ 324,717 ----------- 34,706,610 ----------- HEALTH CARE PROVIDERS & SERVICES--0.04% 100 AmerisourceBergen Corp. ...................... 6,830 9,900 Health Management Associates, Inc. ........................................ 205,227 ----------- 212,057 ----------- HOTELS RESTAURANTS & LEISURE--0.05% 5,100 International Game Technology 1 .............. 317,832 ----------- HOUSEHOLD FURNISHINGS--0.03% 4,400 Maytag Corp. ................................. 194,700 ----------- HUMAN RESOURCES--0.04% 7,200 Robert Half International, Inc. 1 ............ 212,544 ----------- INDUSTRIALS--0.04% 4,100 Ingersoll-Rand Co. ........................... 205,082 ----------- See Notes to Financial Statements. -------------------------------------------------------------------------------- 31 Asset Management Portfolio -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 2002 SHARES SECURITY VALUE INFORMATION TECHNOLOGY--0.07% 1 Mykrolis Corp. ............................... $ 12 4,000 Nvidia Corp. ................................. 177,440 9,300 Rational Software Corp. ...................... 147,219 3,600 Waters Corp. ................................. 100,692 ----------- 425,363 ----------- INSURANCE--0.43% 9,700 ACE Ltd. ..................................... 404,490 3,200 Aetna, Inc. .................................. 124,224 7,400 John Hancock Financial Services .............. 282,606 23,500 MetLife, Inc. ................................ 740,250 1,900 Progressive Corp. of Ohio .................... 316,578 10,400 UnumProvident Corp. .......................... 290,472 3,400 XL Capital Ltd.--Class A ..................... 317,390 ----------- 2,476,010 ----------- MATERIALS AND PROCESSING--0.03% 4,700 MeadWestvaco Corp. ........................... 155,805 2,500 United States Steel Corp. .................... 45,375 ----------- 201,180 ----------- MEDIA--0.03% 5,000 TMP Worldwide, Inc. .......................... 172,350 ----------- MULTILINE RETAIL--0.04% 8,200 Big Lots, Inc. ............................... 115,210 3,700 Family Dollar Stores, Inc. ................... 123,987 ----------- 239,197 ----------- OIL SERVICE-DOMESTIC--0.01% 1,600 Fluor Corp.--New 1 ........................... 65,264 ----------- OIL-DOMESTIC--0.05% 2,600 EOG Resources, Inc. .......................... 105,456 3,800 Noble Drilling Corp. 1 ....................... 157,282 ----------- 262,738 ----------- PACKAGING & CONTAINERS--0.01% 900 Ball Corp. ................................... 42,498 ----------- PHARMACEUTICALS--0.34% 30,100 Wyeth ........................................ 1,976,065 ----------- PRINTING & PUBLISHING--0.11% 3,800 Deluxe Corp. ................................. 175,788 6,900 Moody's Corp. ................................ 283,590 6,600 R.R. Donnelley & Sons Co. .................... 205,260 ----------- 664,638 ----------- PROFESSIONAL SERVICES--0.06% 2,900 Ecolab, Inc. ................................. 132,588 5,100 H & R Block, Inc. ............................ 226,695 ----------- 359,283 ----------- SHARES SECURITY VALUE REAL ESTATE--0.12% 10,400 Equity Office Properties Trust ............... $ 311,896 6,600 Equity Residential Properties Trust .......... 189,684 7,400 Plum Creek Timber Company, Inc. .............. 219,854 ----------- 721,434 ----------- RETAIL--0.03% 5,500 Jones Apparel Group, Inc. 1 .................. 192,225 ----------- SEMICONDUCTOR EQUIPMENT & PRODUCTS--0.01% 4,600 PMC-Sierra, Inc.1 ............................ 74,888 ----------- TECHNOLOGY--9.04% 22,600 ADC Telecommunications, Inc. 1 ............... 91,982 9,100 Adobe Systems, Inc. .......................... 366,639 14,200 Advanced Micro Devices1 ...................... 208,882 12,900 Agilent Technologies, Inc. 1 ................. 450,984 10,800 Altera Corp. 1 ............................... 236,196 11,600 Analog Devices, Inc. 1 ....................... 522,464 6,100 Andrew Corp. 1 ............................... 102,053 12,600 Apple Computer, Inc. 1 ....................... 298,242 24,200 Applied Materials, Inc. 1 .................... 1,313,334 5,100 Autodesk, Inc. ............................... 238,119 17,200 Automatic Data Processing, Inc. .............. 1,002,244 10,300 BMC Software, Inc. 1 ......................... 200,335 9,100 Broadcom Corp. 1 ............................. 326,690 205,000 Cisco Systems, Inc. 1 ........................ 3,470,650 5,200 Citrix Systems, Inc. 1 ....................... 89,856 77,500 Compaq Computer Corp. ........................ 812,232 24,200 Computer Associates International, Inc. ......................... 529,738 6,100 Computer Sciences Corp. 1 .................... 309,575 15,400 Compuware Corp. 1 ............................ 198,814 5,100 Comverse Technology1 ......................... 64,617 12,800 Conexant Systems, Inc. 1 ..................... 154,240 26,400 Corning, Inc. ................................ 201,168 75,200 Dell Computer Corp. 1 ........................ 1,963,472 11,200 Eastman Kodak Co. ............................ 349,104 13,500 Electronic Data Systems Corp. ................ 782,865 61,900 EMC Corp. 1 .................................. 737,848 10,700 First Data Corp. ............................. 933,575 6,900 Fiserv, Inc. ................................. 317,331 19,300 Gateway, Inc. 1 .............................. 121,976 54,100 Hewlett-Packard Co. .......................... 970,554 190,600 Intel Corp. .................................. 5,796,146 48,200 International Business Machines Corp. .............................. 5,012,800 6,000 Intuit, Inc. 1 ............................... 230,160 37,100 JDS Uniphase Corp. 1 ......................... 218,519 6,200 KLA-Tencor Corp. 1 ........................... 412,300 4,800 Lexmark International Group, Inc. 1 .......... 274,464 14,000 LSI Logic Corp. 1 ............................ 238,000 95,600 Lucent Technologies, Inc. 1 .................. 452,188 See Notes to Financial Statements. -------------------------------------------------------------------------------- 32 Asset Management Portfolio -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 2002 SHARES SECURITY VALUE 10,300 Maxim Integrated Products 1 .................. $ 573,813 2,400 Mercury Interactive Corp. 1 .................. 90,360 18,700 Micron Technology, Inc. 1 .................... 615,230 153,900 Microsoft Corp. 1 ............................ 9,281,709 62,200 Motorola, Inc. ............................... 883,240 7,000 National Semiconductor Corp. ................. 235,830 4,300 NCR Corp. 1 .................................. 192,425 9,300 Network Appliance, Inc. 1 .................... 189,534 89,300 Nortel Networks Corp.1 ...................... 400,957 10,600 Novell, Inc. 1 ............................... 41,234 5,300 Novellus Systems, Inc. 1 ..................... 286,889 153,600 Oracle Corp. 1 ............................... 1,966,080 16,200 Palm, Inc. 1 ................................. 64,638 7,200 Parametric Technology Corp. 1 ................ 43,488 9,700 Paychex, Inc. ................................ 385,090 8,500 PeopleSoft, Inc. 1 ........................... 310,505 3,400 PerkinElmer, Inc. ............................ 62,900 3,900 QLogic Corp. 1 ............................... 193,128 21,300 Qualcomm, Inc. 1 ............................. 801,732 3,800 Sabre Holdings Corp. 1 ....................... 177,498 3,600 Sapient Corp. 1 .............................. 17,100 11,700 Scientific-Atlanta, Inc. ..................... 270,270 17,900 Siebel Systems, Inc. 1 ....................... 583,719 90,700 Sun Microsystems, Inc. 1 ..................... 799,974 5,400 Tektronix, Inc. 1 ............................ 127,764 11,400 Tellabs, Inc. 1 .............................. 119,358 6,800 Teradyne, Inc. 1 ............................. 268,124 51,400 Texas Instruments, Inc. ...................... 1,701,340 14,300 Unisys Corp. 1 ............................... 180,609 11,200 Veritas Software Corp. 1 ..................... 490,896 2,200 W.W. Grainger, Inc. .......................... 123,706 26,500 Xerox Corp. 1 ................................ 284,875 9,400 Xilinx, Inc. 1 ............................... 374,684 19,800 Yahoo!, Inc. 1 ............................... 365,706 ----------- 52,504,761 ----------- TELECOMMUNICATIONS--0.01% 8,101 Avaya, Inc. 1 ................................ 59,785 ----------- TRANSPORTATION--0.45% 7,100 AMR Corp. 1 .................................. 187,511 9,500 Burlington Northern Santa Fe Corp. .............................. 286,710 5,100 CSX Corp. .................................... 194,361 2,400 Delta Air Lines, Inc. ........................ 78,528 9,500 FedEx Corp. 1 ................................ 551,950 10,700 Norfolk Southern Corp. ....................... 256,158 800 Ryder Systems, Inc. 1 ........................ 23,632 21,300 Southwest Airlines Co. ....................... 412,155 9,700 Union Pacific Corp. .......................... 602,758 1,700 US Airways Group, Inc. 1 ..................... 10,965 ----------- 2,604,728 ----------- SHARES SECURITY VALUE UTILITIES--1.15% 14,900 AES Corp. 1 .................................. $ 134,100 100 Ameren Corp. ................................. 4,275 8,400 American Electric Power ...................... 387,156 3,800 Cinergy Corp. ................................ 135,850 3,600 CMS Energy ................................... 81,468 3,600 Constellation Energy Group, Inc. ............. 111,060 8,400 Dominion Resources, Inc. ..................... 547,344 3,900 DTE Energy Co. ............................... 177,450 23,000 Duke Energy Corp. ............................ 869,400 13,000 Edison International 1 ....................... 217,750 5,300 Entergy Corp. ................................ 230,073 10,300 FirstEnergy Corp. ............................ 356,174 4,900 FPL Group, Inc. .............................. 291,795 3,100 KeySpan Corp. ................................ 112,809 15,701 Mirant Corp. 1 ............................... 226,880 1,300 NICOR, Inc. .................................. 59,215 10,900 PG&E Corp. 1 ................................. 256,804 2,400 Pinnacle West Capital Corp. .................. 108,840 4,100 PPL Corp. .................................... 162,401 7,200 Public Service Enterprise Group .............. 329,760 300 Reliant Energy, Inc. ......................... 7,737 8,600 Sempra Energy ................................ 216,290 19,400 Southern Co. ................................. 513,906 2,800 TECO Energy, Inc. ............................ 80,164 8,600 TXU Corp. .................................... 468,786 14,500 Williams Cos., Inc. .......................... 341,620 9,200 XCEL Energy, Inc. ............................ 233,220 ----------- 6,662,327 ----------- UTILITY-ELECTRIC--0.16% 3,500 Allegheny Energy, Inc. ....................... 144,725 9,000 Exelon Corp. ................................. 476,730 6,200 Progress Energy, Inc. ........................ 310,248 ----------- 931,703 ----------- UTILITY--GAS NATURAL GAS--0.05% 5,500 Kinder Morgan, Inc. .......................... 266,365 ----------- WIRELESS TELECOMMUNICATION SERVICES--0.12% 75,700 AT&T Wireless Services, Inc. 1 ............... 677,515 ----------- TOTAL COMMON STOCKS (Cost $311,355,706) ..................................... 293,533,136 ----------- See Notes to Financial Statements. -------------------------------------------------------------------------------- 33 Asset Management Portfolio -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 2002 PRINCIPAL AMOUNT SECURITY VALUE CORPORATE OBLIGATIONS-- NON-CONVERTIBLE--10.53% BANKS--1.27% BAE Systems Canada, Inc. 2 $2,933,835 6.664%, 9/15/13 ............................. $ 2,993,537 First Union Capital II, 1,435,000 7.95%, 11/15/29 ............................. 1,456,772 HSBC America Capital Trust II 2 705,000 8.38%, 5/15/27 .............................. 717,254 Qwest Capital Funding 2 2,705,000 7.00%, 8/3/09 ............................... 2,203,149 ----------- 7,370,712 ----------- FINANCIALS--4.36% AGFirst Farm Credit Bank, 2,810,000 8.393%, 12/15/16 ............................ 2,901,451 American Electric Power, 2,775,000 6.125%, 5/15/06 ............................. 2,755,217 Arcel Finance Ltd., 2,735,000 5.984%, 2/1/09 .............................. 2,693,784 Autopista Del Maipo, 2,690,000 7.373%, 6/15/22 ............................. 2,653,470 Consumers Energy, 1,885,000 6.25%, 9/15/06 .............................. 1,826,625 Ford Motor Credit Co.: 1,100,000 7.60%, 8/1/05 ............................... 1,120,692 1,945,000 6.875%, 2/1/06 .............................. 1,933,927 MGIC Investment Corp., 2,010,000 6.00%, 3/15/07 .............................. 1,996,638 Old Dominion Electric Corp., 2,605,000 6.25%, 6/1/11 ............................... 2,577,028 Principal Financial Group Australia Ltd., 1,755,000 8.20%, 8/15/09 .............................. 1,899,840 Washington Mutual, Inc., 3,000,000 5.625%, 1/15/07 ............................. 2,943,000 ----------- 25,301,672 ----------- INDUSTRIALS--1.91% ERAC USA Finance Co.: 2,000,000 6.95%, 3/1/04 ............................... 2,053,340 3,095,000 8.25%, 5/1/05 ............................... 3,287,159 Prologis Trust, 585,000 6.70%, 4/15/04 .............................. 599,791 Questar Market Resources, Inc., 2,035,000 7.00%, 1/16/07 .............................. 1,995,678 Weyerhaeuser Co. 2 3,160,000 5.50%, 3/15/05 .............................. 3,147,796 ----------- 11,083,764 ----------- PRINCIPAL AMOUNT SECURITY VALUE INSURANCE--0.28% Torchmark Corp., $1,650,000 6.25%, 12/15/06 ............................. $ 1,637,312 ----------- OTHER METALS/MINERALS--0.78% Cit Group Holdings, 1,950,000 7.75%, 4/2/12 ............................... 1,931,612 Household Finance Corp., 2,565,000 6.50%, 1/24/06 .............................. 2,567,555 ----------- 4,499,167 ----------- UTILITY-ELECTRIC & GAS--1.93% Eastern Energy Ltd., 2,875,000 7.25%, 12/1/16 .............................. 2,964,016 Enogex, Inc., 3,125,000 8.125%, 1/15/10 ............................. 3,216,291 Health Care Services Corp. 2 2,795,000 7.75%, 6/15/11 .............................. 2,782,590 Pacificorp, 2,120,000 6.90%, 11/15/11 ............................. 2,121,575 Potomac Edison Co., 140,000 8.00%, 6/1/24 ............................... 144,128 ----------- 11,228,600 ----------- TOTAL CORPORATE OBLIGATIONS-NON-CONVERTIBLE (Cost $61,150,367) ...................................... 61,121,227 ----------- ASSET-BACKED SECURITIES--4.67% Prudential Securities Secured Financing, Series 1999-C2, Class A2, 2,765,000 7.193%, 6/16/31 ............................. 2,900,652 PF Export Receivables Master Trust, Series 2001-B, 2 2,050,000 6.60%, 12/1/11 .............................. 2,018,143 Household Automotive Trust, Series 2001-3, Class A4, 2,730,000 4.37%, 12/17/08 ............................. 2,669,120 Conseco Finance, Series 1999-H, Class AF5, 5,030,000 7.60%, 12/15/29 ............................. 5,332,132 Conseco Finance, Series 2000-B, Class AF6, 3,830,000 7.80%, 5/15/20 .............................. 4,068,580 Felco Funding II LLC, Series 2000-1, Class A4, 3,140,000 7.72%, 12/15/05 ............................. 3,298,126 Advanta Mortgage Loan Trust, Series 2000-2, Class A6, 1,883,000 7.72%, 3/25/15 .............................. 2,002,257 See Notes to Financial Statements. -------------------------------------------------------------------------------- 34 Asset Management Portfolio -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 2002 PRINCIPAL AMOUNT SECURITY VALUE Daimler Chrysler Auto Trust, Series 2000-C, $1,791,000 Class A4, 6.85%, 11/6/05 .................... $ 1,875,641 Ryder Vehicle Lease Trust, Series 2001-A, 2,855,000 Class A4, 5.81%, 8/15/06 .................... 2,939,455 ----------- TOTAL ASSET-BACKED SECURITIES (Cost $26,448,109) 27,104,106 ----------- MORTGAGE-BACKED SECURITIES--5.69% Chase Mortgage Finance Corp., CMO Series 1998-S6, 5,520,000 Class A17, 6.75%, 10/25/28 .................. 5,522,710 Countrywide Home Loans, Series 2001-24, Class 2A7, 3,037,727 6.25%, 9/25/12 .............................. 2,940,915 GE Capital Mortgage Services, Inc., CMO, Series 1999-17, Class A4, 3,685,117 7.00%, 11/25/07 ............................. 3,784,099 Green Point Manufactured Housing, Series 1999-1, 3,726,217 Class A2, 6.01%, 8/15/15 .................... 3,802,702 Green Point Manufactured Housing, Series 1999-5, 4,880,000 Class A3,7.33%, 8/15/20 ..................... 5,097,384 Merrill Lynch Mortgage Investors, Series 1996-C2, 3,125,000 Class A3, 6.96%, 11/21/08 ................... 3,211,297 Norwest Asset Securities Corp., CMO, Series 1999, 5,130,000 Class A4, 7.25%, 12/25/29 ................... 5,278,719 Wells Fargo Mortgage Backed Securities Trust, 3,410,000 Series 2001-15,Class 1A, 6.50%, 6/25/31 ..... 3,408,602 ----------- TOTAL MORTGAGE-BACKED SECURITIES (Cost $31,991,563) ...................................... 33,046,428 ----------- MUNICIPAL BONDS--2.95% Connecticut State Development Authority Revenue, RB, Series A, 540,000 8.375%, 10/15/04 ............................ 569,759 Delaware River Port Authority, Pennsylvania & New Jersey, Port Distribution Project, RB, Series A, FSA, 930,000 7.27%, 1/1/07 ............................... 987,604 Greater Kentucky Housing Assistance Corp., Mortgage Revenue, RB, FHA & HUD Section 8 Assisted, 1,150,000 7.20%, 2/1/06 ............................... 1,168,021 PRINCIPAL AMOUNT SECURITY VALUE Harrisburg, Pennsylvania, Housing Corp. Mortgage Revenue, RB, FHA, $5,340,000 10.00%, 7/15/24 ............................. $ 5,486,369 Lansing, Michigan, Water & Light Water Supply Board, Steam & Electric Utilities System, RB, MBIA, 3,155,000 7.30%, 7/1/06 ............................... 3,371,307 Ross County, Ohio, Water Co., Inc., Water Revenue, RB, FGIC, 2,435,000 8.25%, 8/1/25 ............................... 2,639,832 Sburban Hospital Healthcare Systems, Inc., Suburban Rock Spring LLC, COP, AMBAC, 855,000 7.865%, 2/15/27 ............................. 908,968 Suffolk Virginia Redevelopment & Housing 1,985,000 Authority, Multi-Housing, RB, 6.60%, 7/1/15 . 2,020,472 ----------- TOTAL MUNICIPAL BONDS (Cost $16,770,182) ...................................... 17,152,332 ----------- US GOVERNMENT & AGENCIES--5.60% Federal Home Loan Mortgage Corp., 5,160,000 Series 1974, Class VC, 7.00%, 1/15/11 ....... 5,387,975 Federal Home Loan Mortgage Corp., 3,105,000 Series 2344, Class QG, 6.00%, 8/15/16 ....... 3,010,985 Federal Home Loan Mortgage Corp., 3,172,600 Series 2381, Class OG, 5.50%, 11/15/16 ...... 2,973,336 Federal National Mortgage Association, Pool #, 2,950,000 7.00%, 1/1/32 ............................... 3,006,234 Federal National Mortgage Association, 1,838,431 Pool #323194, 6.361%, 7/1/08 ................ 1,893,600 Federal National Mortgage Association, 1,879,657 Pool #381706, 6.26%, 6/1/09 ................. 1,910,023 Federal National Mortgage Association, 1,371,887 Pool #564318, 9.00%, 11/1/30 ................ 1,465,277 Federal National Mortgage Association, 1,960,000 Pool #598430, 5.50%, 3/1/17 ................. 1,910,617 Federal National Mortgage Association, Series 2001-11, Class H, 2,164,716 6.00%, 7/18/25 .............................. 2,213,212 See Notes to Financial Statements. -------------------------------------------------------------------------------- 35 Asset Management Portfolio -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 2002 PRINCIPAL AMOUNT SECURITY VALUE Federal National Mortgage Association, Series 2001-48, Class PA, $1,020,000 6.00%, 9/25/31 ............................. $ 1,043,232 Federal National Mortgage Association, Series 2001-51, Class QN, 1,865,000 6.00%, 8/15/16 ............................. 1,804,276 Federal National Mortgage Association, Series 2001-69, Class OC, 2,000,000 5.50%, 11/1/16 ............................. 2,013,416 Federal National Mortgage Association, Series 2001-75, Class PB, 2,010,000 5.50%, 8/25/12 ............................. 1,997,278 Federal National Mortgage Association, Series 2002-3, Class OG, 2,000,000 6.00%, 2/25/17 ............................. 1,936,534 ------------ TOTAL US GOVERNMENT & AGENCIES (Cost $32,293,868) ..................................... 32,565,995 ------------ US TREASURY SECURITIES--5.09% US Treasury Bill, 3 4,153,000 1.73%, 4/18/02 ............................. 4,149,921 US Treasury Bond: 4,136,000 7.25%, 5/15/16 ............................. 4,648,475 12,029,000 8.125%, 8/15/19 ............................ 14,728,476 US Treasury Note: 1,000,000 5.875%, 11/15/04 ........................... 1,043,750 1,163,000 6.125%, 8/15/07 ............................ 1,222,013 3,661,000 6.00%, 8/15/09 ............................. 3,809,157 ------------ TOTAL US TREASURY SECURITIES (Cost $29,884,861) ..................................... 29,601,792 ------------ TOTAL INVESTMENTS IN UNAFFILIATED ISSUERS (Cost $509,894,656) .................................... 494,125,016 ------------ SHARES SECURITY VALUE INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES--11.95% Cash Management Institutional, 69,454,192 1.747%, 4/1/02 ............................. $ 69,454,192 TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES (Cost $69,454,192) ..................................... 69,454,192 ------------ TOTAL INVESTMENTS (Cost $579,348,848) 5 .................... 97.00% $563,579,208 OTHER ASSETS IN EXCESS OF LIABILITIES ........................... 3.00 17,434,625 ------ ------------ NET ASSETS .................................. 100.00% $581,013,833 ====== ============ 1 Non-income producing security. 2 144A--Security 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 institutions. Represents 2.04% of net assets at period end. 3 Held as collateral by broker for futures contracts. 4 Rate shown on the Schedule of Portfolio Investments is the effective yield as of March 31, 2002. 5 Aggregate cost for federal tax purposes is $598,701,153. The following abbreviations are used in the portfolio description: AMBAC --American Municipal Bond Assurance Corporation CMO --Collateralized Mortgage Obligations COP --Certificate of Participation FGIC --Financial Guaranty Insurance Company FHA --Federal Housing Administration FSA --FinancialSecurity Assurance MBIA --Municipal Bond Investors Assurance RB --Revenue Bond See Notes to Financial Statements. -------------------------------------------------------------------------------- 36 Asset Management Portfolio II -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 2002 SHARES SECURITY VALUE INVESTMENTS IN UNAFFILIATED ISSUERS COMMON STOCKS--30.79% AEROSPACE--0.03% 13 Raytheon Co. .................................. $ 534 453 Rockwell Automation, Inc. ..................... 11,425 439 Rockwell International Corp. .................. 8,806 ---------- 20,765 ---------- BANKS--0.46% 938 BB&T Corp. .................................... 35,747 4,501 JP Morgan Chase & Co. ......................... 160,461 206 Marshall & Ilsley Corp. ....................... 12,822 633 SouthTrust Corp. .............................. 16,711 3,068 Wachovia Corp. ................................ 113,761 174 Zions Bancorporation .......................... 10,313 ---------- 349,815 ---------- BASIC MATERIALS--0.90% 497 Air Products & Chemicals, Inc. ................ 25,670 693 Alcan, Inc. ................................... 27,464 1,942 Alcoa, Inc. ................................... 73,291 565 Allegheny Technologies, Inc. .................. 9,345 1,484 Archer-Daniels-Midland Co. .................... 20,672 1,191 Barrick Gold Corp. ............................ 22,105 383 Bemis Co. ..................................... 20,816 75 Boise Cascade Corp. ........................... 2,718 2,137 Dow Chemical Co. .............................. 69,923 2,260 Du Pont (E.I.) de Nemours & Co. ............... 106,559 301 Eastman Chemical Co. .......................... 14,686 227 Engelhard Corp. ............................... 7,044 631 Freeport-McMoRan Copper & Gold, Inc.--Class B 1 .............................. 11,118 467 Georgia-Pacific Corp. ......................... 13,987 38 Great Lakes Chemical Corp. .................... 1,070 600 Hercules, Inc. 1 .............................. 7,986 449 Inco, Ltd. 1 .................................. 8,787 152 International Flavors & Fragrances, Inc. ...... 5,315 984 International Paper Co. ....................... 42,322 684 Louisiana-Pacific Corp. 1 ..................... 7,346 746 Newmont Mining Corp. Holding Co. .............. 20,657 134 Nucor Corp. ................................... 8,608 671 Pactiv Corp. 1 ................................ 13,433 328 Phelps Dodge Corp. 1 .......................... 13,809 1,402 Placer Dome, Inc. ............................. 17,174 356 PPG Industries, Inc. .......................... 19,548 332 Praxair, Inc. ................................. 19,854 466 Rohm & Haas Co. ............................... 19,698 101 Sigma-Aldrich Corp. ........................... 4,743 75 Temple-Inland, Inc. ........................... 4,254 179 Vulcan Materials Co. .......................... 8,510 488 Weyerhaeuser Co. .............................. 30,676 201 Worthington Industries, Inc. .................. 3,087 ---------- 682,275 ---------- SHARES SECURITY VALUE BEVERAGES--0.02% 47 Adolph Coors Co.--Class B ..................... $ 3,171 590 Pepsi Bottling Group, Inc. (The) .............. 15,263 ---------- 18,434 ---------- BIOPHARMACEUTICALS--0.03% 573 Chiron Corp. 1 ................................ 26,295 ---------- BIOTECHNOLOGY--0.09% 620 Genzyme Corp.-General Division ................ 27,076 1,393 Immunex Corp. 1 ............................... 42,152 ---------- 69,228 ---------- CAPITAL GOODS--2.58% 486 Allied Waste Industries, Inc. 1 ............... 6,318 758 American Power Conversion Corp. 1 ............. 11,203 211 Avery Dennison Corp. .......................... 12,877 1,988 Boeing Co. .................................... 95,921 681 Caterpillar, Inc. ............................. 38,715 362 Cooper Industries, Inc. ....................... 15,186 49 Crane Co. ..................................... 1,340 44 Cummins, Inc. ................................. 2,078 323 Danaher Corp. ................................. 22,939 521 Deere & Co. ................................... 23,732 692 Dover Corp. ................................... 28,372 135 Eaton Corp. ................................... 10,932 909 Emerson Electric Co. .......................... 52,168 350 General Dynamics Corp. ........................ 32,882 22,151 General Electric Co. .......................... 829,555 521 Goodrich Corp. ................................ 16,484 1,850 Honeywell International, Inc. ................. 70,799 590 Illinois Tool Works, Inc. ..................... 42,687 173 ITT Industries, Inc. .......................... 10,906 375 Johnson Controls, Inc. ........................ 33,116 920 Lockheed Martin Corp. ......................... 52,974 238 Millipore Corp. ............................... 10,529 842 Minnesota Mining & Manufacturing Co. ............................ 96,838 398 Molex, Inc. ................................... 13,799 144 Navistar International Corp. 1 ................ 6,379 236 Northrop Grumman Corp. ........................ 26,680 381 PACCAR, Inc. .................................. 27,893 314 Pall Corp. .................................... 6,434 218 Parker-Hannifin Corp. ......................... 10,878 617 Pitney Bowes, Inc. ............................ 26,408 1,152 Sanmina-SCI Corp. 1 ........................... 13,536 323 Sealed Air Corp. 1 ............................ 15,207 1,868 Solectron Corp. 1 ............................. 14,570 273 Textron, Inc. ................................. 13,950 698 Thermo Electron Corp. 1 ....................... 14,470 4,493 Tyco International Ltd. ....................... 145,214 1,027 United Technologies Corp. ..................... 76,203 1,298 Waste Management, Inc. ........................ 35,371 ---------- 1,965,543 ---------- See Notes to Financial Statements. -------------------------------------------------------------------------------- 37 Asset Management Portfolio II -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 2002 SHARES SECURITY VALUE COMMERCIAL SERVICES--0.06% 1,311 Concord EFS, Inc. 1 ........................... $ 43,591 ---------- COMMUNICATION SERVICES--1.73% 591 Alltel Corp. .................................. 32,830 9,838 AOL Time Warner Inc. 1 ........................ 232,669 9,925 AT&T Corp. .................................... 155,822 4,216 BellSouth Corp. ............................... 155,402 265 CenturyTel, Inc. .............................. 9,010 689 Citizen Communications Co. .................... 7,407 1,811 Nextel Communications, Inc. 1 ................. 9,743 3,694 Qwest Communications International ............ 30,365 7,444 SBC Communications, Inc. ...................... 278,703 2,192 Sprint Corp. PCS Group 1 ...................... 22,556 2,482 Sprint Corp. FON Group ........................ 37,950 653 Univision Communications, Inc. 1 .............. 27,426 6,020 Verizon Communications, Inc. .................. 274,813 6,586 WorldCom, Inc.--WorldCom Group 1 .............. 44,389 ---------- 1,319,085 ---------- COMMUNICATIONS EQUIPMENT--0.02% 1,524 CIENA Corporation 1 ........................... 13,716 ---------- CONSTRUCTION & ENGINEERING--0.01% 497 McDermott International, Inc. ................. 7,728 ---------- CONSUMER CYCLICALS--3.03% 542 American Greetings Corp.-- Class A ...................................... 9,789 260 Autozone, Inc. 1 .............................. 17,901 696 Bed Bath & Beyond, Inc. 1 ..................... 23,490 486 Best Buy, Inc. 1 .............................. 38,491 380 Black & Decker Corp. .......................... 17,685 99 Brunswick Corp. ............................... 2,705 1,746 Carnival Corp. ................................ 57,007 2,443 Cendant Corp. 1 ............................... 46,906 145 Centex Corp. .................................. 7,530 345 Cintas Corp. .................................. 17,202 500 Circuit City Stores--Circuit City Group ........................................ 9,020 609 Convergys Corp. 1 ............................. 18,008 177 Cooper Tire & Rubber Co. 1 .................... 3,832 1,113 Costco Wholesale Corp. 1 ...................... 44,320 356 Dana Corp. .................................... 7,643 1,254 Delphi Corp. .................................. 20,051 683 Dillard's, Inc.--Class A ...................... 16,296 701 Dollar General Corp. .......................... 11,412 356 Dow Jones & Co., Inc. ......................... 20,726 590 Federated Department Stores, Inc. 1 ........... 24,102 4,047 Ford Motor Co. ................................ 66,736 502 Gannett Co., Inc. ............................. 38,202 SHARES SECURITY VALUE 1,967 Gap, Inc. (The) ............................... $ 29,584 1,331 General Motors Corp. .......................... 80,459 8 Genuine Parts Co. ............................. 294 642 Goodyear Tire & Rubber Co. .................... 16,416 572 Harley-Davidson, Inc. ......................... 31,534 400 Harrah's Entertainment, Inc. 1 ................ 17,704 421 Hasbro, Inc. .................................. 6,660 789 Hilton Hotels Corp. ........................... 11,283 5,232 Home Depot, Inc. .............................. 254,328 628 IMS Health, Inc. .............................. 14,099 730 Interpublic Group of Cos., Inc. ............... 25,024 14 JC Penney Co., Inc. ........................... 290 469 KB HOME ....................................... 20,355 153 Knight-Ridder, Inc. ........................... 10,510 705 Kohls Corp. 1 ................................. 50,161 373 Leggett & Platt, Inc. ......................... 9,250 1,138 Limited, Inc. ................................. 20,370 1,758 Lowe's Companies .............................. 76,455 11 Marriott International Inc.--Class A .......... 494 1,335 Masco Corp. ................................... 36,646 24 Mattel, Inc. .................................. 500 637 May Department Stores Co. ..................... 22,199 493 McGraw-Hill, Inc. ............................. 33,647 309 New York Times Co.--Class A ................... 14,789 563 Newell Rubbermaid, Inc. ....................... 17,994 494 Nike, Inc.--Class B ........................... 29,645 1,364 Office Depot, Inc. 1 .......................... 27,075 320 Omnicom Group, Inc. ........................... 30,208 142 Pulte Homes, Inc. ............................. 6,795 8 RadioShack Corp. .............................. 240 342 Reebok International Ltd. 1 ................... 9,244 617 Sears Roebuck and Co. ......................... 31,634 255 Sherwin-Williams Co. .......................... 7,262 42 Snap-On, Inc. ................................. 1,430 137 Stanley Works ................................. 6,336 1,718 Staples, Inc. 1 ............................... 34,308 409 Starwood Hotels & Resorts Worldwide, Inc. .............................. 15,383 1,205 Target Corp. .................................. 51,960 260 Tiffany & Co. ................................. 9,243 579 TJX Cos., Inc. ................................ 23,166 684 Toys 'R' Us, Inc. 1 ........................... 12,285 659 Tribune Co. ................................... 29,958 256 TRW, Inc. ..................................... 13,176 464 V.F. Corp. .................................... 20,068 318 Visteon Corp. ................................. 5,263 9,910 Wal-Mart Stores, Inc. ......................... 607,384 130 Whirlpool Corp. ............................... 9,822 ---------- 2,301,984 ---------- See Notes to Financial Statements. -------------------------------------------------------------------------------- 38 Asset Management Portfolio II -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 2002 SHARES SECURITY VALUE CONSUMER STAPLES--3.37% 3 Alberto-Culver Co.--Class B ................... $ 162 802 Albertson's, Inc. ............................. 26,578 1,926 Anheuser-Busch Companies, Inc. ................ 100,537 620 Avon Products ................................. 33,678 19 Campbell Soup Co. ............................. 509 437 Cardinal Health, Inc. ......................... 30,979 1,334 Clear Channel Communications 1 ................ 68,581 782 Clorox Co. .................................... 34,119 5,564 Coca-Cola Co. ................................. 290,775 1,001 Coca-Cola Enterprises, Inc. ................... 18,799 1,225 Colgate-Palmolive Co. ......................... 70,009 1,411 Comcast Corp. 1 ............................... 44,870 1,429 Conagra Foods, Inc. ........................... 34,653 279 Darden Restaurants, Inc. ...................... 11,325 307 Fortune Brands, Inc. .......................... 15,157 714 General Mills, Inc. ........................... 34,879 2,333 Gillette Co. .................................. 79,345 452 Hershey Foods Corp. ........................... 30,980 882 HJ Heinz Co. .................................. 36,603 799 Kellogg Co. ................................... 26,822 1,163 Kimberly -Clark Corp. ......................... 75,188 1,977 Kroger Co. 1 .................................. 43,810 2,886 McDonald's Corp. .............................. 80,087 610 McKesson Corp. ................................ 22,832 3,904 PepsiCo, Inc. ................................. 201,056 4,908 Philip Morris Companies, Inc. ................. 258,504 2,914 Procter & Gamble Co. .......................... 262,522 1,108 Safeway, Inc. 1 ............................... 49,882 1,776 Sara Lee Corp. ................................ 36,870 1,067 Starbucks Corp. 1 ............................. 24,680 1,397 SYSCO Corp. ................................... 41,659 457 Tricon Global Restaurants, Inc. 1 ............. 26,863 144 Tupperware Corp. .............................. 3,276 1,274 Unilever NV ................................... 72,363 409 UST, Inc. ..................................... 15,922 4,069 Viacom, Inc. 1 ................................ 196,818 1,386 Walgreen Co. .................................. 54,317 3,086 Walt Disney Co. ............................... 71,225 155 Wendy's International, Inc. ................... 5,422 335 Winn-Dixie Stores, Inc. ....................... 5,373 484 Wrigley (WM.), Jr. Co. ........................ 25,802 ---------- 2,563,831 ---------- DRUGS--0.08% 507 Forest Laboratories, Inc. 1 ................... 41,422 648 King Pharmaceuticals, Inc. 1 .................. 22,686 ---------- 64,108 ---------- SHARES SECURITY VALUE ELECTRIC UTILITIES--0.02% 1,252 Mirant Corp. 1 ................................ $ 18,091 ---------- ELECTRICAL--0.01% 670 Calpine Corp. 1 ............................... 8,509 ---------- ELECTRICAL EQUIPMENT--0.01% 763 Power-One, Inc. 1 ............................. 6,241 ---------- ELECTRONICS--0.08% 1,364 Applied Micro Circuits Corp. 1 ................ 10,912 626 Jabil Circuit, Inc. 1 ......................... 14,730 644 NiSource, Inc. ................................ 14,780 544 Symbol Technologies, Inc. ..................... 6,114 162 Thomas & Betts Corp. 1 ........................ 3,428 993 Vitesse Semiconductor Corp. 1 ................. 9,731 ---------- 59,695 ---------- ENERGY--2.08% 325 Amerada Hess Corp. ............................ 25,792 507 Anadarko Petroleum Corp. ...................... 28,615 97 Ashland, Inc. ................................. 4,415 642 Baker Hughes, Inc. ............................ 24,557 727 Burlington Resources, Inc. .................... 29,145 1,932 ChevronTexaco Corp. ........................... 174,402 1,297 Conoco Inc. ................................... 37,847 372 Devon Energy Corp. ............................ 17,956 1,138 El Paso Corp. ................................. 50,106 15,221 Exxon Mobil Corp. ............................. 667,136 928 Halliburton Co. ............................... 15,841 238 Kerr-McGee Corp. .............................. 14,958 340 Nabors Industries, Inc. 1 ..................... 14,365 993 Occidental Petroleum Corp. .................... 28,946 764 Phillips Petroleum Co. ........................ 47,979 467 Rowan Cos., Inc. 1 ............................ 10,760 4,705 Royal Dutch Petroleum Co. ..................... 255,576 1,281 Schlumberger Ltd. N.V. ........................ 75,348 107 Sunoco, Inc. .................................. 4,281 917 Transocean Sedco Forex Inc. ................... 30,472 522 Unocal Corp. .................................. 20,332 ---------- 1,578,829 ---------- FINANCIALS--4.91% 1,066 AFLAC, Inc. ................................... 31,447 1,615 Allstate Corp. ................................ 60,999 402 AMBAC Financial Group, Inc. ................... 23,746 3,004 American Express Co. .......................... 123,044 5,348 American International Group, Inc. ............ 385,805 1,064 Amsouth Bancorporation ........................ 23,387 557 AON Corp. ..................................... 19,495 3,559 Bank of America Corp. ......................... 242,083 1,666 Bank of New York Co., Inc. .................... 70,005 2,598 Bank One Corp. ................................ 108,544 See Notes to Financial Statements. -------------------------------------------------------------------------------- 39 Asset Management Portfolio II -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 2002 SHARES SECURITY VALUE 472 Bear Stearns Cos., Inc. ....................... $ 29,618 556 Capital One Financial Corp. ................... 35,501 3,081 Charles Schwab Corp. .......................... 40,330 452 Charter One Financial, Inc. ................... 14,111 333 CIGNA Corp. ................................... 33,763 328 Cincinnati Financial Corp. .................... 14,320 11,457 Citigroup, Inc. ............................... 567,351 389 Comerica, Inc. ................................ 24,340 746 Conseco, Inc. 1 ............................... 2,701 300 Countrywide Credit Industries, Inc. ........... 13,425 635 Equifax, Inc. ................................. 18,987 2,309 Fannie Mae .................................... 184,443 1,301 Fifth Third Bancorp ........................... 87,791 2,699 FleetBoston Financial Corp. ................... 94,465 571 Franklin Resources, Inc. ...................... 23,936 1,702 Freddie Mac ................................... 107,856 517 Golden West Financial Corp. ................... 32,830 441 Hartford Financial Services Group, Inc. ......................................... 30,041 1,147 Household International, Inc. ................. 65,150 609 Huntington Bancshares, Inc. ................... 11,997 299 Jefferson-Pilot Corp. ......................... 14,974 1,158 KeyCorp. ...................................... 30,861 17 Lehman Brothers Holdings, Inc. ................ 1,099 629 Lincoln National Corp. ........................ 31,909 460 Lowe's Cos., Inc. ............................. 26,947 561 Marsh and McLennan Cos., Inc. ................. 63,247 513 MBIA, Inc. .................................... 28,056 2,070 MBNA Corp. .................................... 79,840 944 Mellon Financial Corp. ........................ 36,429 1,834 Merrill Lynch & Co., Inc. ..................... 101,567 391 MGIC Investment Corp. ......................... 26,756 2,434 Morgan Stanley Dean Witter & Co. .............. 139,493 1,544 National City Corp. ........................... 47,493 549 PNC Financial Services Group, Inc. ............ 33,758 661 Providian Financial Corp. 1 ................... 4,991 482 Regions Financial Corp. ....................... 16,557 207 Safeco Corp. .................................. 6,632 622 State Street Corp. ............................ 34,446 20 Stilwell Financial, Inc. ...................... 490 554 SunTrust Banks, Inc. .......................... 36,968 587 Synovus Financial Corp. ....................... 17,892 13 T. Rowe Price Group, Inc. ..................... 506 245 Torchmark Corp. ............................... 9,871 447 Union Planters Corp. .......................... 21,183 4,573 US Bancorp .................................... 103,201 343 USA Education, Inc. ........................... 33,545 2,372 Washington Mutual, Inc. ....................... 78,584 3,775 Wells Fargo & Co. ............................. 186,485 ---------- 3,735,291 ---------- SHARES SECURITY VALUE HEALTH CARE--3.64% 3,429 Abbott Laboratories ........................... $ 180,365 276 Allergan, Inc. ................................ 17,843 2,413 Amgen, Inc. 1 ................................. 144,008 49 Bausch & Lomb, Inc. ........................... 2,184 1,466 Baxter International, Inc. .................... 87,256 538 Becton, Dickinson & Co. ....................... 20,293 361 Biogen, Inc. 1 ................................ 17,711 645 Biomet, Inc. .................................. 17,454 1,094 Boston Scientific Corp. 1 ..................... 27,448 3,429 Bristol-Myers Squibb Co. ...................... 138,840 80 C.R. Bard, Inc. ............................... 4,724 749 Dynegy, Inc. .................................. 21,721 2,503 Eli Lilly & Co. ............................... 190,729 777 Guidant Corp. 1 ............................... 33,660 367 HCA, Inc. ..................................... 16,177 1,254 HealthSouth Corp. 1 ........................... 17,995 773 Humana, Inc. 1 ................................ 10,459 6,869 Johnson & Johnson ............................. 446,142 491 Manor Care, Inc. 1 ............................ 11,440 597 MedImmune, Inc. 1 ............................. 23,480 2,710 Medtronic, Inc. ............................... 122,519 4,410 Merck & Co., Inc. ............................. 253,928 14,007 Pfizer, Inc. .................................. 556,618 2,092 Pharmacia Corp. ............................... 94,307 989 Quintiles Transnational Corp. 1 ............... 17,555 3,217 Schering-Plough Corp. ......................... 100,692 284 St. Jude Medical, Inc. 1 ...................... 21,911 420 Stryker Corp. ................................. 25,339 899 Tenet Healthcare Corp. 1 ...................... 60,251 606 UnitedHealth Group, Inc. ...................... 46,310 433 Watson Pharmaceuticals, Inc. 1 ................ 11,730 440 Wellpoint Health Networks, Inc. 1 ............. 28,015 ---------- 2,769,104 ---------- HEALTH CARE PROVIDERS & SERVICES--0.02% 8 Amerisourcebergen Corp. ....................... 547 755 Health Management Associates, Inc. ............................. 15,651 ---------- 16,198 ---------- HOTELS RESTAURANTS & LEISURE--0.04% 436 International Game Technology 1 ............... 27,171 ---------- HOUSEHOLD FURNISHINGS--0.02% 384 Maytag Corp. .................................. 16,992 ---------- HUMAN RESOURCES--0.02% 613 Robert Half International, Inc. 1 ............. 18,096 ---------- INDUSTRIALS--0.02% 351 Ingersoll-Rand Co. ............................ 17,557 ---------- See Notes to Financial Statements. -------------------------------------------------------------------------------- 40 Asset Management Portfolio II -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 2002 SHARES SECURITY VALUE INFORMATION TECHNOLOGY--0.05% 348 Nvidia Corp. .................................. $ 15,437 706 Rational Software Corp. ....................... 11,176 316 Waters Corp. .................................. 8,839 ---------- 35,452 ---------- INSURANCE--0.26% 735 ACE Ltd. ...................................... 30,649 279 Aetna, Inc. ................................... 10,831 637 John Hancock Financial Services ............... 24,327 1,917 MetLife, Inc. ................................. 60,385 155 Progressive Corp. of Ohio ..................... 25,826 799 UnumProvident Corp. ........................... 22,316 293 XL Capital Ltd.--Class A ...................... 27,352 ---------- 201,686 ---------- MATERIALS AND PROCESSING--0.03% 74 Ball Corp. .................................... 3,494 405 MeadWestvaco Corp. ............................ 13,426 211 United States Steel Corp. ..................... 3,830 ---------- 20,750 ---------- MEDIA--0.02% 60 Meredith Corp. ................................ 2,551 431 TMP Worldwide, Inc. ........................... 14,856 ---------- 17,407 ---------- MULTILINE RETAIL--0.02% 601 Big Lots, Inc. ................................ 8,444 319 Family Dollar Stores, Inc. .................... 10,690 ---------- 19,134 ---------- OIL SERVICE-DOMESTIC--0.01% 132 Fluor Corp.--New 1 ............................ 5,384 ---------- OIL-DOMESTIC--0.03% 223 EOG Resources, Inc. ........................... 9,045 328 Noble Drilling Corp. 1 ........................ 13,576 ---------- 22,621 ---------- PHARMACEUTICALS--0.21% 2,387 Wyeth ......................................... 156,707 ---------- PRINTING & PUBLISHING--0.08% 331 Deluxe Corp. .................................. 15,312 0 eFunds Corp. 1 ................................ 4 595 Moody's Corp. ................................. 24,455 565 R.R. Donnelley & Sons Co. ..................... 17,572 ---------- 57,343 ---------- SHARES SECURITY VALUE PROFESSIONAL SERVICES--0.04% 256 Ecolab, Inc. .................................. $ 11,704 436 H & R Block, Inc. ............................. 19,380 ---------- 31,084 ---------- REAL ESTATE--0.08% 792 Equity Office Properties Trust ................ 23,752 566 Equity Residential Properties Trust ........... 16,267 631 Plum Creek Timber Company, Inc. ............... 18,747 ---------- 58,766 ---------- RETAIL--0.02% 471 Jones Apparel Group, Inc. 1 ................... 16,461 ---------- SEMICONDUCTOR EQUIPMENT & PRODUCTS--0.01% 394 PMC-Sierra, Inc. 1 ............................ 6,414 ---------- TECHNOLOGY--5.49% 1,844 ADC Telecommunications, Inc. 1 ................ 7,505 687 Adobe Systems, Inc. ........................... 27,679 1,116 Advanced Micro Devices 1 ...................... 16,416 1,003 Agilent Technologies, Inc. 1 .................. 35,065 829 Altera Corp.1 ................................. 18,130 899 Analog Devices, Inc. 1 ........................ 40,491 522 Andrew Corp. 1 ................................ 8,733 982 Apple Computer, Inc. 1 ........................ 23,244 1,879 Applied Materials, Inc. 1 ..................... 101,973 438 Autodesk, Inc. ................................ 20,450 1,380 Automatic Data Processing, Inc. ............... 80,413 786 BMC Software, Inc. 1 .......................... 15,288 687 Broadcom Corp. 1 .............................. 24,663 16,319 Cisco Systems, Inc. 1 ......................... 276,281 447 Citrix Systems, Inc. 1 ........................ 7,724 5,779 Compaq Computer Corp. ......................... 60,390 1,982 Computer Associates International, Inc. .......................... 43,386 524 Computer Sciences Corp. 1 ..................... 26,593 1,226 Compuware Corp. 1 ............................. 15,828 441 Comverse Technology 1 ......................... 5,587 995 Conexant Systems, Inc. 1 ...................... 11,990 2,073 Corning, Inc. ................................. 15,796 5,965 Dell Computer Corp. 1 ......................... 155,746 866 Eastman Kodak Co. ............................. 26,993 1,053 Electronic Data Systems Corp. ................. 61,063 4,925 EMC Corp. 1 ................................... 58,706 818 First Data Corp. .............................. 71,370 589 Fiserv, Inc. .................................. 27,088 1,555 Gateway, Inc. 1 ............................... 9,828 4,356 Hewlett-Packard Co. ........................... 78,147 See Notes to Financial Statements. -------------------------------------------------------------------------------- 41 Asset Management Portfolio II -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 2002 SHARES SECURITY VALUE 15,185 Intel Corp. ................................... $ 461,776 3,839 International Business Machines Corp. ............................... 399,256 513 Intuit, Inc. 1 ................................ 19,679 2,990 JDS Uniphase Corp. 1 .......................... 17,611 435 KLA-Tencor Corp. 1 ............................ 28,927 414 Lexmark International Group, Inc. 1 ........... 23,673 1,102 LSI Logic Corp. 1 ............................. 18,734 7,620 Lucent Technologies, Inc. 1 ................... 36,043 784 Maxim Integrated Products 1 ................... 43,677 201 Mercury Interactive Corp. 1 ................... 7,568 1,505 Micron Technology, Inc. 1 ..................... 49,514 12,232 Microsoft Corp. 1 ............................. 737,712 4,951 Motorola, Inc. ................................ 70,304 598 National Semiconductor Corp. .................. 20,147 372 NCR Corp. 1 ................................... 16,647 701 Network Appliance, Inc. 1 ..................... 14,286 7,175 Nortel Networks Corp. 1 ....................... 32,216 811 Novell, Inc. 1 ................................ 3,155 453 Novellus Systems, Inc. 1 ...................... 24,521 12,307 Oracle Corp. 1 ................................ 157,530 1,295 Palm, Inc. 1 .................................. 5,167 613 Parametric Technology Corp. 1 ................. 3,703 735 Paychex, Inc. ................................. 29,179 633 PeopleSoft, Inc. 1 ............................ 23,123 293 PerkinElmer, Inc. ............................. 5,420 340 QLogic Corp. 1 ................................ 16,837 1,736 Qualcomm, Inc. 1 .............................. 65,343 329 Sabre Holdings Corp. 11 ....................... 15,368 316 Sapient Corp. 1 ............................... 1,501 902 Scientific-Atlanta, Inc. ...................... 20,836 1,437 Siebel Systems, Inc. 1 ........................ 46,861 7,195 Sun Microsystems, Inc. 1 ...................... 63,460 465 Tektronix, Inc. 1 ............................. 11,002 879 Tellabs, Inc. 1 ............................... 9,203 584 Teradyne, Inc. 1 .............................. 23,027 4,119 Texas Instruments, Inc. ....................... 136,339 1,131 Unisys Corp. 1 ................................ 14,285 866 Veritas Software Corp. 1 ...................... 37,957 184 W.W. Grainger, Inc. ........................... 10,346 2,079 Xerox Corp. 1 ................................. 22,349 708 Xilinx, Inc. 1 ................................ 28,221 1,596 Yahoo!, Inc. 1 ................................ 29,478 ---------- 4,174,547 ---------- TELECOMMUNICATIONS--0.01% 693 Avaya, Inc. 1 ................................. 5,114 ---------- SHARES SECURITY VALUE TRANSPORTATION--0.27% 605 AMR Corp. 1 ................................... $ 15,978 722 Burlington Northern Santa Fe Corp. ............ 21,790 437 CSX Corp. ..................................... 16,654 200 Delta Air Lines, Inc. ......................... 6,544 720 FedEx Corp. 1 ................................. 41,832 824 Norfolk Southern Corp. ........................ 19,726 71 Ryder Systems, Inc. 1 ......................... 2,097 1,734 Southwest Airlines Co. ........................ 33,553 733 Union Pacific Corp. ........................... 45,549 144 US Airways Group, Inc. 1 ...................... 929 ---------- 204,652 ---------- UTILITIES--0.68% 1,182 AES Corp. 1 ................................... 10,638 13 Ameren Corp. .................................. 556 617 American Electric Power ....................... 28,438 331 Cinergy Corp. ................................. 11,833 314 CMS Energy .................................... 7,106 312 Constellation Energy Group, Inc. .............. 9,625 618 Dominion Resources, Inc. ...................... 40,269 340 DTE Energy Co. ................................ 15,470 1,875 Duke Energy Corp. ............................. 70,875 1,014 Edison International 1 ........................ 16,984 455 Entergy Corp. ................................. 19,752 783 FirstEnergy Corp. ............................. 27,076 421 FPL Group, Inc. ............................... 25,071 268 KeySpan Corp. ................................. 9,753 110 NICOR, Inc. ................................... 5,011 3 Peoples Energy Corp. .......................... 118 835 PG&E Corp. 1 .................................. 19,673 202 Pinnacle West Capital Corp. ................... 9,161 353 PPL Corp. ..................................... 13,982 618 Public Service Enterprise Group ............... 28,304 22 Reliant Energy, Inc. .......................... 567 644 Sempra Energy ................................. 16,197 1,568 Southern Co. .................................. 41,536 238 TECO Energy, Inc. ............................. 6,814 640 TXU Corp. ..................................... 34,886 1,149 Williams Cos., Inc. ........................... 27,070 692 XCEL Energy, Inc. ............................. 17,542 ---------- 514,307 ---------- UTILITY-ELECTRIC--0.10% 302 Allegheny Energy, Inc. ........................ 12,488 680 Exelon Corp. .................................. 36,019 528 Progress Energy, Inc. ......................... 26,421 ---------- 74,928 ---------- See Notes to Financial Statements. -------------------------------------------------------------------------------- 42 Asset Management Portfolio II -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 2002 PRINCIPAL AMOUNT SECURITY VALUE UTILITY-GAS NATURAL GAS--0.03% 474 Kinder Morgan, Inc. ........................... $ 22,956 ----------- WIRELESS TELECOMMUNICATION SERVICES--0.07% 6,003 AT&T Wireless Services, Inc. 1 ................ 53,727 ----------- TOTAL COMMON STOCKS (Cost $24,471,116) ....................................... 23,417,612 ----------- CORPORATE OBLIGATIONS-- NON-CONVERTIBLE--13.20% BANKS--2.00% AGFirst Farm Credit Bank, $ 570,000 8.393%, 12/15/16 ............................. 588,551 First Union Capital II, 320,000 7.95%, 11/15/29 .............................. 324,855 HSBC America Capital Trust II, 135,000 8.38%, 5/15/27 ............................... 137,346 Qwest Capital Funding, 575,000 7.00%, 8/3/09 ................................ 468,322 ----------- 1,519,074 ----------- COMMERCIAL SERVICES--0.73% Autopista Del Maipo, 565,000 7.373%, 6/15/22 .............................. 557,327 ----------- FINANCIALS--2.55% Ford Motor Credit Co., 50,000 7.60%, 8/1/05 ................................ 50,941 General Motors Nova Scotia Finance, 335,000 6.85%, 10/15/08 .............................. 327,891 International Lease Finance Corp., 410,000 6.375%, 3/15/09 .............................. 396,504 Ohio National Financial Services, Inc., 395,000 7.00%, 7/15/11 ............................... 396,538 Principal Financial Group Australia Ltd., 325,000 8.20%, 8/15/09 ............................... 351,822 Washington Mutual, Inc., 425,000 5.625%, 1/15/07 .............................. 416,925 ----------- 1,940,621 ----------- INDUSTRIALS--2.85% BAE Systems Canada, Inc., 503,743 6.664%, 9/15/13 .............................. 513,994 ERAC USA Finance Co.: 410,000 6.95%, 3/1/04 ................................ 420,935 485,000 8.25%, 5/1/05 ................................ 515,112 Merry Land & Investments Equity, 615,000 6.875%, 11/1/04 .............................. 635,978 Prologis Trust, 80,000 6.70%, 4/15/04 ............................... 82,023 ----------- 2,168,042 ----------- PRINCIPAL AMOUNT SECURITY VALUE INSURANCE--0.99% Aetna, Inc., $ 260,000 6.97%, 8/15/36 ............................... $ 269,797 Health Care Services Corp., 480,000 7.75%, 6/15/11 ............................... 477,869 ----------- 747,666 ----------- UTILITY-ELECTRIC & GAS--4.08% American Electric Power, 440,000 6.125%, 5/15/06 .............................. 436,863 Consumers Energy, 395,000 6.25%, 9/15/06 ............................... 382,768 Eastern Energy Ltd., 560,000 6.75%, 12/1/06 ............................... 580,981 General Electric Capital Corp., 335,000 6.75%, 3/15/32 ............................... 323,781 Ohio Valley Electric Corp., 495,000 5.94%, 2/12/06 ............................... 496,571 Potomac Edison Co., 60,000 8.00%, 6/1/24 ................................ 61,769 Questar Market Resources, Inc., 345,000 7.00%, 1/16/07 338,334 Sempra Energy, 475,000 6.95%, 12/1/05 ............................... 481,623 ----------- 3,102,690 ----------- TOTAL CORPORATE OBLIGATIONS-NON-CONVERTIBLE (Cost $10,035,368) ....................................... 10,035,420 ----------- ASSET-BACKED SECURITIES--7.04% Advanta Mortgage Loan Trust, Series 2000-2, Class A6, 361,000 7.72%, 3/25/15 ............................... 383,863 Conseco Finance, Series 1999-H, Class AF5, 890,000 7.60%, 12/15/29 .............................. 943,459 Conseco Finance, Series 2000-B, Class AF6, 690,000 7.80%, 5/15/20 ............................... 732,982 Conseco Finance, Series 2001-1, Class A4, 884,000 6.21%, 7/1/32 ................................ 896,510 Felco Funding II LLC, Series 2000-1, Class A4, 560,000 7.72%, 12/15/05 .............................. 588,201 See Notes to Financial Statements. -------------------------------------------------------------------------------- 43 Asset Management Portfolio II -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 2002 PRINCIPAL AMOUNT SECURITY VALUE MMCA Automobile Trust, Series 2000-2, Class A4, $ 975,000 6.86%, 6/15/05 ............................... $1,020,336 PF Export Receivables Master Trust, Series 2001-B, 550,000 6.60%, 12/1/11 ............................... 541,453 Prudential Securities Secured Financing, Series 1999-C2, Class A2, 235,000 7.193%, 6/16/31 .............................. 246,529 ---------- TOTAL ASSET-BACKED SECURITIES (Cost $5,182,626) ........................................ 5,353,333 ---------- MORTGAGE-BACKED SECURITIES--5.76% Bank of America Mortgage Securities, Series 2000-7, Class A4, 425,000 7.125%, 12/25/30 ............................. 435,395 Countrywide Home Loans, Series 2001-24, Class 2A7, 600,069 6.25%, 9/25/12 ............................... 580,945 GE Capital Mortgage Services, Inc., CMO, Series 1999-17, Class A4, 664,529 7.00%, 11/25/07 .............................. 682,379 Green Point Manufactured Housing, Series 1999-5, Class A3, 890,000 7.33%, 8/15/20 ............................... 929,646 Merrill Lynch Mortgage Investors, Series 1996-C2, Class A3, 385,000 6.96%, 11/21/08 .............................. 395,632 Norwest Asset Securities Corp., CMO, Series 1999, Class A4, 980,000 7.25%, 12/25/29 .............................. 1,008,410 Wells Fargo Mortgage Backed Securities Trust, Series 2001-15, Class 1A, 350,000 6.50%, 6/25/31 ............................... 349,856 ---------- TOTAL MORTGAGE-BACKED SECURITIES (Cost $4,294,438) ........................................ 4,382,263 ---------- PRINCIPAL AMOUNT SECURITY VALUE MUNICIPAL BONDS--5.26% Delaware River Port Authority, Pennsylvania & New Jersey, Port Distribution Project, RB, Series A, FSA, $ 180,000 7.27%, 1/1/07 ................................ $ 191,149 El Cajon, California, Redevelopment Agency, El Cajon Redevelopment Project, Tax Allocation, AMBAC, 340,000 7.70%, 10/1/30 ............................... 340,109 Harrisburg, Pennsylvania, Housing Corp. Mortgage Revenue, RB, FHA, 1,025,000 10.00%, 7/15/24 .............................. 1,053,095 Hillsborough County, Florida Fuel Tax Revenue, RB, FGIC, 535,000 6.00%, 12/1/11 ............................... 520,919 Lansing, Michigan, Water & Light Water Supply Board, Steam & Electric Utilities System, RB, MBIA, 605,000 7.30%, 7/1/06 ................................ 646,479 Ross County, Ohio, Water Co., Inc., Water Revenue, RB, FGIC, 445,000 8.25%, 8/1/25 ................................ 482,433 Suburban Hospital Healthcare Systems, Inc., Suburban Rock Spring LLC, COP, AMBAC, 175,000 7.865%, 2/15/27 .............................. 186,046 Virginia State Housing Development Authority, Multi-Family Housing, RB, Series A, MBIA, 610,000 6.51%, 5/1/19 ................................ 576,365 ---------- TOTAL MUNICIPAL BONDS (Cost $3,854,825) ........................................ 3,996,595 ---------- See Notes to Financial Statements. -------------------------------------------------------------------------------- 44 Asset Management Portfolio II -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 2002 PRINCIPAL AMOUNT SECURITY VALUE US GOVERNMENT & AGENCIES--7.30% Federal Home Loan Mortgage Corp., Series 2303, Class CH, $ 440,000 6.00%, 11/15/22 .............................. $ 443,134 Federal Home Loan Mortgage Corp., Series 2344, Class QG, 595,000 6.00%, 8/15/16 ............................... 576,984 Federal Home Loan Mortgage Corp., Series 2381, Class OG, 690,000 5.50%, 11/15/16 .............................. 646,663 Federal National Mortgage Association, Pool #, 500,000 7.00%, 1/1/32 ................................ 509,531 Federal National Mortgage Association, Pool #323194, 692,396 6.361%, 7/1/08 ............................... 713,174 Federal National Mortgage Association, Pool #564318, 247,149 9.00%, 11/1/30 ............................... 263,974 Federal National Mortgage Association, Pool #598430, 335,033 5.50%, 3/1/17 ................................ 326,592 Federal National Mortgage Association, Series 2001-11, Class H, 417,252 6.00%, 7/18/25 ............................... 426,599 Federal National Mortgage Association, Series 2001-48, Class PA, 890,000 6.00%, 9/25/31 ............................... 910,271 Federal National Mortgage Association, Series 2001-51, Class QN, 345,000 6.00%, 8/15/16 ............................... 333,767 Federal National Mortgage Association, Series 2001-69, Class OC, 400,000 5.50%, 11/1/16 ............................... 402,683 ---------- TOTAL US GOVERNMENT & AGENCIES (Cost $5,547,638) ........................................ 5,553,372 ---------- US TREASURY SECURITIES--10.69% US Treasury Bill: 3 $ 520,000 1.73%, 4/18/02 ............................... $ 519,614 5,000,000 1.80%, 6/13/02 ............................... 4,982,660 US Treasury Bond: 467,000 7.25%, 5/15/16 ............................... 524,864 860,000 8.125%, 8/15/19 .............................. 1,052,996 500,000 6.00%, 2/15/26 ............................... 497,520 US Treasury Note: 20,000 5.875%, 11/15/04 ............................. 20,875 50,000 6.125%, 8/15/07 .............................. 52,537 462,000 6.00%, 8/15/09 ............................... 480,697 ---------- TOTAL US TREASURY SECURITIES (Cost $8,198,982) ........................................ 8,131,763 ---------- TOTAL INVESTMENTS IN UNAFFILIATED ISSUERS (Cost $61,584,993) ....................................... 60,870,358 ---------- INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES --13.79% Cash Management Institutional: 10,490,383 1.747%, 4/1/02 ............................. 10,490,383 ---------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES (Cost $10,490,383) ....................................... 10,490,383 ---------- TOTAL INVESTMENTS (Cost $72,075,376) 5 ...................... 93.83% $71,360,741 OTHER ASSETS IN EXCESS OF LIABILITIES ............................ 6.17 4,692,954 ------ ----------- NET ASSETS ................................... 100.00% $76,053,695 ====== =========== -------------------------------------------------------------------------------- 1 Non-income producing security. 2 144A--Security 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 institutions. 3 Held as collateral by broker for futures contracts. 4 Rate shown on the Schedule of Portfolio Investments is the effective yield as of March 31, 2002. 5 Aggregate cost for federal tax purposes is $73,919,018. The following abbreviations are used in the portfolio description: AMBAC --American Municipal Bond Assurance Corporation CMO --Collateralized Mortgage Obligations COP --Certificate of Participation FGIC --Financial Guaranty Insurance Company FHA --Federal Housing Administration FSA --Financial Security Assurance MBIA --Municipal Bond Investors Assurance RB --Revenue Bond See Notes to Financial Statements. -------------------------------------------------------------------------------- 45 Asset Management Portfolio III -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 2002 SHARES SECURITY VALUE INVESTMENTS IN UNAFFILIATED ISSUERS COMMON STOCKS--12.86% AEROSPACE--0.01% 5 Raytheon Co. .................................. $ 205 62 Rockwell Automation, Inc. ..................... 1,564 60 Rockwell International Corp. .................. 1,204 ---------- 2,973 ---------- BANKS--0.19% 142 BB&T Corp. .................................... 5,412 670 JP Morgan Chase & Co. ......................... 23,885 31 Marshall & Ilsley Corp. ....................... 1,929 100 SouthTrust Corp. .............................. 2,640 447 Wachovia Corp. ................................ 16,575 26 Zions Bancorporation .......................... 1,541 ---------- 51,982 ---------- BASIC MATERIALS--0.37% 66 Air Products & Chemicals, Inc. ................ 3,409 95 Alcan, Inc. ................................... 3,765 279 Alcoa, Inc. ................................... 10,529 77 Allegheny Technologies, Inc. .................. 1,274 2 Arch Coal, Inc. ............................... 43 217 Archer-Daniels-Midland Co. .................... 3,023 178 Barrick Gold Corp. ............................ 3,298 52 Bemis Co. ..................................... 2,826 8 Boise Cascade Corp. ........................... 290 320 Dow Chemical Co. .............................. 10,470 336 Du Pont (E.I.) de Nemours & Co. ............... 15,842 45 Eastman Chemical Co. .......................... 2,196 34 Engelhard Corp. ............................... 1,055 100 Freeport-McMoRan Copper & Gold, Inc.--Class B 1 .............................. 1,762 64 Georgia-Pacific Corp. ......................... 1,917 6 Great Lakes Chemical Corp. .................... 169 96 Hercules, Inc. 1 .............................. 1,278 61 Inco, Ltd. 1 .................................. 1,194 23 International Flavors & Fragrances, Inc. ......................................... 804 150 International Paper Co. ....................... 6,451 108 Louisiana-Pacific Corp. 1 ..................... 1,160 116 Newmont Mining Corp. Holding Co. .............. 3,212 20 Nucor Corp. ................................... 1,285 92 Pactiv Corp. 1 ................................ 1,842 49 Phelps Dodge Corp. 1 .......................... 2,063 205 Placer Dome, Inc. ............................. 2,511 48 PPG Industries, Inc. .......................... 2,636 50 Praxair, Inc. ................................. 2,990 64 Rohm & Haas Co. ............................... 2,705 15 Sigma-Aldrich Corp. ........................... 704 11 Temple-Inland, Inc. ........................... 624 SHARES SECURITY VALUE 24 Vulcan Materials Co. .......................... $ 1,141 64 Weyerhaeuser Co. .............................. 4,023 30 Worthington Industries, Inc. .................. 461 ---------- 98,952 ---------- BEVERAGES--0.01% 7 Adolph Coors Co.--Class B ..................... 472 80 Pepsi Bottling Group, Inc. (The) .............. 2,070 ---------- 2,542 ---------- BIOPHARMACEUTICALS--0.01% 78 Chiron Corp. 1 ................................ 3,579 ---------- BIOTECHNOLOGY--0.04% 87 Genzyme Corp.-General Division ................ 3,799 207 Immunex Corp. 1 ............................... 6,264 ---------- 10,063 ---------- CAPITAL GOODS--1.08% 67 Allied Waste Industries, Inc. 1 ............... 871 118 American Power Conversion Corp. 1 ............. 1,744 29 Avery Dennison Corp. .......................... 1,770 299 Boeing Co. .................................... 14,427 105 Caterpillar, Inc. ............................. 5,969 49 Cooper Industries, Inc. ....................... 2,055 7 Crane Co. ..................................... 191 7 Cummins, Inc. ................................. 331 48 Danaher Corp. ................................. 3,409 71 Deere & Co. ................................... 3,234 95 Dover Corp. ................................... 3,895 20 Eaton Corp. ................................... 1,620 138 Emerson Electric Co. .......................... 7,920 62 General Dynamics Corp. ........................ 5,825 3,262 General Electric Co. .......................... 122,162 71 Goodrich Corp. ................................ 2,246 267 Honeywell International, Inc. ................. 10,218 95 Illinois Tool Works, Inc. ..................... 6,873 23 ITT Industries, Inc. .......................... 1,450 53 Johnson Controls, Inc. ........................ 4,680 137 Lockheed Martin Corp. ......................... 7,888 36 Millipore Corp. ............................... 1,593 128 Minnesota Mining & Manufacturing Co. .......................................... 14,721 55 Molex, Inc. ................................... 1,907 22 Navistar International Corp. 1 ................ 975 36 Northrop Grumman Corp. ........................ 4,070 52 PACCAR, Inc. .................................. 3,807 47 Pall Corp. .................................... 963 33 Parker-Hannifin Corp. ......................... 1,647 98 Pitney Bowes, Inc. ............................ 4,194 171 Sanmina-SCI Corp. 1 ........................... 2,009 48 Sealed Air Corp. 1 ............................ 2,260 See Notes to Financial Statements. -------------------------------------------------------------------------------- 46 Asset Management Portfolio III -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 2002 SHARES SECURITY VALUE 269 Solectron Corp. 1 ............................. $ 2,098 41 Textron, Inc. ................................. 2,095 96 Thermo Electron Corp. 1 ....................... 1,990 655 Tyco International Ltd. ....................... 21,170 154 United Technologies Corp. ..................... 11,427 191 Waste Management, Inc. ........................ 5,205 ---------- 290,909 ---------- COMMERCIAL SERVICES--0.02% 193 Concord EFS, Inc. 1 ........................... 6,424 ---------- COMMUNICATION SERVICES--0.73% 95 Alltel Corp. .................................. 5,277 1,455 AOL Time Warner Inc. 1 ........................ 34,411 1,467 AT&T Corp. .................................... 23,032 618 BellSouth Corp. ............................... 22,779 40 CenturyTel, Inc. .............................. 1,360 94 Citizen Communications Co. 1 .................. 1,010 262 Nextel Communications, Inc. 1 ................. 1,410 547 Qwest Communications International ............ 4,496 1,100 SBC Communications, Inc. ...................... 41,184 327 Sprint Corp. PCS Group 1 ...................... 3,365 366 Sprint Corp. FON Group ........................ 5,596 92 Univision Communications, Inc. 1 .............. 3,864 892 Verizon Communications, Inc. .................. 40,720 970 WorldCom, Inc.--WorldCom Group 1 .............. 6,538 ---------- 195,042 ---------- COMMUNICATIONS EQUIPMENT--0.01% 222 CIENA Corporation 1 ........................... 1,998 ---------- CONSTRUCTION & ENGINEERING--0.00% 68 McDermott International, Inc. ................. 1,057 ---------- CONSUMER CYCLICALS--1.26% 99 American Greetings Corp.--Class A ............. 1,941 39 Autozone, Inc. 1 .............................. 2,685 95 Bed Bath & Beyond, Inc. 1 ..................... 3,206 80 Best Buy, Inc. 1 .............................. 6,336 52 Black & Decker Corp. .......................... 2,420 15 Brunswick Corp. ............................... 410 252 Carnival Corp. ................................ 8,228 362 Cendant Corp. 1 ............................... 6,950 22 Centex Corp. .................................. 1,142 47 Cintas Corp. .................................. 2,343 68 Circuit City Stores-- Circuit City Group ........................... 1,227 83 Convergys Corp. 1 ............................. 2,454 27 Cooper Tire & Rubber Co. 1 .................... 585 166 Costco Wholesale Corp. 1 ...................... 6,610 SHARES SECURITY VALUE 46 Dana Corp. .................................... $ 988 185 Delphi Corp. .................................. 2,958 107 Dillard's, Inc.--Class A ...................... 2,553 109 Dollar General Corp. .......................... 1,775 48 Dow Jones & Co., Inc. ......................... 2,795 83 Federated Department Stores, Inc. 1 ........... 3,391 594 Ford Motor Co. ................................ 9,795 81 Gannett Co., Inc. ............................. 6,164 282 Gap, Inc. (The) ............................... 4,241 199 General Motors Corp. .......................... 12,030 1 Genuine Parts Co. ............................. 37 87 Goodyear Tire & Rubber Co. .................... 2,225 92 Harley-Davidson, Inc. ......................... 5,072 55 Harrah's Entertainment, Inc. 1 ................ 2,434 57 Hasbro, Inc. .................................. 902 121 Hilton Hotels Corp. ........................... 1,730 770 Home Depot, Inc. .............................. 37,430 99 IMS Health, Inc. .............................. 2,223 113 Interpublic Group of Cos., Inc. ............... 3,874 2 JC Penney Co., Inc. ........................... 41 64 KB HOME ....................................... 2,778 21 Knight-Ridder, Inc. ........................... 1,443 110 Kohls Corp. 1 ................................. 7,827 51 Leggett & Platt, Inc. ......................... 1,265 169 Limited, Inc. ................................. 3,025 254 Lowe's Companies .............................. 11,046 2 Marriott International Inc.--Class A .......... 90 196 Masco Corp. ................................... 5,380 4 Mattel, Inc. .................................. 83 87 May Department Stores Co. ..................... 3,032 81 McGraw-Hill, Inc. ............................. 5,528 43 New York Times Co.--Class A ................... 2,058 77 Newell Rubbermaid, Inc. ....................... 2,461 81 Nike, Inc.Class B ............................. 4,861 200 Office Depot, Inc. 1 .......................... 3,970 56 Omnicom Group, Inc. ........................... 5,286 21 Pulte Homes, Inc. ............................. 1,005 1 RadioShack Corp. .............................. 30 46 Reebok International Ltd. 1 ................... 1,243 98 Sears Roebuck and Co. ......................... 5,024 38 Sherwin-Williams Co. .......................... 1,082 6 Snap-On, Inc. ................................. 204 21 Stanley Works ................................. 971 249 Staples, Inc. 1 ............................... 4,973 53 Starwood Hotels & Resorts Worldwide, Inc. .............................. 1,993 179 Target Corp. .................................. 7,719 39 Tiffany & Co. ................................. 1,386 79 TJX Cos., Inc. ................................ 3,161 108 Toys 'R' Us, Inc. 1 ........................... 1,940 See Notes to Financial Statements. -------------------------------------------------------------------------------- 47 Asset Management Portfolio III -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 2002 SHARES SECURITY VALUE 90 Tribune Co. ................................... $ 4,091 38 TRW, Inc. ..................................... 1,956 64 V.F. Corp. .................................... 2,768 46 Visteon Corp. ................................. 761 1,465 Wal-Mart Stores, Inc. ......................... 89,790 20 Whirlpool Corp. ............................... 1,511 ---------- 340,936 ---------- CONSUMER STAPLES--1.41% 123 Albertson's, Inc. ............................. 4,076 291 Anheuser-Busch Companies, Inc. ................ 15,190 98 Avon Products ................................. 5,323 3 Campbell Soup Co. ............................. 80 71 Cardinal Health, Inc. ......................... 5,033 196 Clear Channel Communications 1 ................ 10,076 120 Clorox Co. .................................... 5,236 817 Coca-Cola Co. ................................. 42,696 150 Coca-Cola Enterprises, Inc. ................... 2,817 181 Colgate-Palmolive Co. ......................... 10,344 207 Comcast Corp. 1 ............................... 6,583 210 Conagra Foods, Inc. ........................... 5,093 42 Darden Restaurants, Inc. ...................... 1,705 46 Fortune Brands, Inc. .......................... 2,271 111 General Mills, Inc. ........................... 5,422 346 Gillette Co. .................................. 11,767 62 Hershey Foods Corp. ........................... 4,250 134 HJ Heinz Co. .................................. 5,561 3 Hughes Electronics Corp .1..................... 49 123 Kellogg Co. ................................... 4,129 173 Kimberly-Clark Corp. .......................... 11,184 298 Kroger Co. 1 .................................. 6,604 1 Longs Drug Stores, Inc. ....................... 28 422 McDonald's Corp. .............................. 11,711 84 McKesson Corp. ................................ 3,144 575 PepsiCo, Inc. ................................. 29,613 728 Philip Morris Companies, Inc. ................. 38,344 426 Procter & Gamble Co. .......................... 38,378 165 Safeway, Inc. 1 ............................... 7,428 256 Sara Lee Corp. ................................ 5,315 159 Starbucks Corp. 1 ............................. 3,678 205 SYSCO Corp. ................................... 6,113 63 Tricon Global Restaurants, Inc. 1 ............. 3,703 22 Tupperware Corp. .............................. 501 188 Unilever NV ................................... 10,678 56 UST, Inc. ..................................... 2,180 597 Viacom, Inc. 1 ................................ 28,877 206 Walgreen Co. .................................. 8,073 449 Walt Disney Co. ............................... 10,363 23 Wendy's International, Inc. ................... 805 50 Winn-Dixie Stores, Inc. ....................... 802 67 Wrigley (WM.), Jr. Co. ........................ 3,572 ---------- 378,795 ---------- SHARES SECURITY VALUE DRUGS--0.04% 83 Forest Laboratories, Inc. 1 ................... $ 6,781 103 King Pharmaceuticals, Inc. 1 .................. 3,606 ---------- 10,387 ---------- ELECTRIC UTILITIES--0.01% 185 Mirant Corp. 1 ................................ 2,673 ---------- ELECTRICAL--0.01% 106 Calpine Corp. 1 ............................... 1,346 ---------- ELECTRICAL EQUIPMENT--0.01% 118 Power-One, Inc. 1 ............................. 965 24 Thomas & Betts Corp. 1 ........................ 508 ---------- 1,473 ---------- ELECTRONICS--0.03% 200 Applied Micro Circuits Corp. 1 ................ 1,600 99 Jabil Circuit, Inc. 1 ......................... 2,330 102 NiSource, Inc. ................................ 2,341 75 Symbol Technologies, Inc. ..................... 843 149 Vitesse Semiconductor Corp. 1 ................. 1,460 ---------- 8,574 ---------- ENERGY--0.87% 49 Amerada Hess Corp. ............................ 3,889 83 Anadarko Petroleum Corp. ...................... 4,684 2 Apache Corp. .................................. 114 15 Ashland, Inc. ................................. 683 101 Baker Hughes, Inc. ............................ 3,863 113 Burlington Resources, Inc. .................... 4,530 290 ChevronTexaco Corp. ........................... 26,178 190 Conoco Inc. ................................... 5,544 51 Devon Energy Corp. ............................ 2,462 169 El Paso Corp. ................................. 7,441 2,248 Exxon Mobil Corp. ............................. 98,530 140 Halliburton Co. ............................... 2,390 36 Kerr-McGee Corp. .............................. 2,263 46 Nabors Industries, Inc. 1 ..................... 1,943 149 Occidental Petroleum Corp. .................... 4,343 117 Phillips Petroleum Co. ........................ 7,348 64 Rowan Cos., Inc. 1 ............................ 1,475 698 Royal Dutch Petroleum Co. ..................... 37,915 189 Schlumberger Ltd. N.V. ........................ 11,117 16 Sunoco, Inc. .................................. 640 139 Transocean Sedco Forex Inc. ................... 4,619 68 Unocal Corp. .................................. 2,649 ---------- 234,620 ---------- See Notes to Financial Statements. -------------------------------------------------------------------------------- 48 Asset Management Portfolio III -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 2002 SHARES SECURITY VALUE FINANCIALS--2.06% 159 AFLAC, Inc. ................................... $ 4,690 234 Allstate Corp. ................................ 8,838 55 AMBAC Financial Group, Inc. ................... 3,249 438 American Express Co. .......................... 17,940 785 American International Group, Inc. ............ 56,630 159 Amsouth Bancorporation ........................ 3,495 77 AON Corp. ..................................... 2,695 529 Bank of America Corp. ......................... 35,983 241 Bank of New York Co., Inc. .................... 10,127 383 Bank One Corp. ................................ 16,002 66 Bear Stearns Cos., Inc. ....................... 4,141 89 Capital One Financial Corp. ................... 5,683 448 Charles Schwab Corp. .......................... 5,864 62 Charter One Financial, Inc. ................... 1,936 61 CIGNA Corp. ................................... 6,185 49 Cincinnati Financial Corp. .................... 2,139 1,689 Citigroup, Inc. ............................... 83,639 53 Comerica, Inc. ................................ 3,316 116 Conseco, Inc. 1 ............................... 420 45 Countrywide Credit Industries, Inc. ........... 2,014 87 Equifax, Inc. ................................. 2,601 344 Fannie Mae .................................... 27,479 190 Fifth Third Bancorp ........................... 12,821 396 FleetBoston Financial Corp. ................... 13,860 78 Franklin Resources, Inc. ...................... 3,270 247 Freddie Mac ................................... 15,652 71 Golden West Financial Corp. ................... 4,508 74 Hartford Financial Services Group, Inc. ......................................... 5,041 170 Household International, Inc. ................. 9,656 83 Huntington Bancshares, Inc. ................... 1,635 45 Jefferson-Pilot Corp. ......................... 2,254 172 KeyCorp. ...................................... 4,584 3 Lehman Brothers Holdings, Inc. ................ 194 99 Lincoln National Corp. ........................ 5,022 63 Lowe's Cos., Inc. ............................. 3,691 90 Marsh and McLennan Cos., Inc. ................. 10,147 70 MBIA, Inc. .................................... 3,828 311 MBNA Corp. .................................... 11,995 143 Mellon Financial Corp. ........................ 5,518 278 Merrill Lynch & Co., Inc. ..................... 15,396 54 MGIC Investment Corp. ......................... 3,695 360 Morgan Stanley Dean Witter & Co. .............. 20,632 228 National City Corp. ........................... 7,013 86 PNC Financial Services Group, Inc. ............ 5,288 89 Providian Financial Corp. 1 ................... 672 66 Regions Financial Corp. ....................... 2,267 33 Safeco Corp. .................................. 1,057 98 State Street Corp. ............................ 5,427 3 Stilwell Financial, Inc. ...................... 73 SHARES SECURITY VALUE 87 SunTrust Banks, Inc. .......................... $ 5,806 80 Synovus Financial Corp. ....................... 2,438 2 T. Rowe Price Group, Inc. ..................... 78 37 Torchmark Corp. ............................... 1,491 64 Union Planters Corp. .......................... 3,033 680 US Bancorp .................................... 15,348 47 USA Education, Inc. ........................... 4,597 352 Washington Mutual, Inc. ....................... 11,662 558 Wells Fargo & Co. ............................. 27,565 ---------- 552,280 ---------- HEALTH CARE--1.52% 510 Abbott Laboratories ........................... 26,826 41 Allergan, Inc. ................................ 2,651 356 Amgen, Inc. 1 ................................. 21,246 7 Bausch & Lomb, Inc. ........................... 312 214 Baxter International, Inc. .................... 12,737 74 Becton, Dickinson & Co. ....................... 2,791 49 Biogen, Inc. 1 ................................ 2,404 88 Biomet, Inc. .................................. 2,381 163 Boston Scientific Corp. 1 ..................... 4,090 509 Bristol-Myers Squibb Co. ...................... 20,609 9 C.R. Bard, Inc. ............................... 531 116 Dynegy, Inc. .................................. 3,364 370 Eli Lilly & Co. ............................... 28,194 120 Guidant Corp. 1 ............................... 5,198 50 HCA, Inc. ..................................... 2,204 185 HealthSouth Corp. 1 ........................... 2,655 119 Humana, Inc. 1 ................................ 1,610 1,008 Johnson & Johnson ............................. 65,470 67 Manor Care, Inc. 1 ............................ 1,561 82 MedImmune, Inc. 1 ............................. 3,225 398 Medtronic, Inc. ............................... 17,994 658 Merck & Co., Inc. ............................. 37,888 2,067 Pfizer, Inc. .................................. 82,143 313 Pharmacia Corp. ............................... 14,110 149 Quintiles Transnational Corp. 1 ............... 2,645 481 Schering-Plough Corp. ......................... 15,055 43 St. Jude Medical, Inc. 1 ...................... 3,317 57 Stryker Corp. ................................. 3,439 139 Tenet Healthcare Corp. 1 ...................... 9,316 97 UnitedHealth Group, Inc. ...................... 7,413 59 Watson Pharmaceuticals, Inc. 1 ................ 1,598 60 Wellpoint Health Networks, Inc. 1 ............. 3,820 ---------- 408,797 ---------- HEALTH CARE EQUIPMENT & SUPPLIES--0.00% 0 Viasys Healthcare, Inc. ....................... 6 ---------- See Notes to Financial Statements. -------------------------------------------------------------------------------- 49 Asset Management Portfolio III -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 2002 SHARES SECURITY VALUE HEALTH CARE PROVIDERS & SERVICES--0.01% 1 Amerisourcebergen Corp. ....................... $ 68 117 Health Management Associates, Inc. ............................. 2,426 ---------- 2,494 ---------- HOTELS RESTAURANTS & LEISURE--0.01% 59 International Game Technology 1 ............... 3,677 ---------- HOUSEHOLD FURNISHINGS--0.01% 53 Maytag Corp. .................................. 2,345 ---------- HUMAN RESOURCES--0.01% 84 Robert Half International, Inc. 1 ............. 2,480 ---------- INDUSTRIALS--0.01% 50 Ingersoll-Rand Co. ............................ 2,501 ---------- INFORMATION TECHNOLOGY--0.02% 50 Nvidia Corp. .................................. 2,218 110 Rational Software Corp. ....................... 1,741 50 Waters Corp. .................................. 1,399 ---------- 5,358 ---------- INSURANCE--0.11% 114 ACE Ltd. ...................................... 4,754 42 Aetna, Inc. ................................... 1,631 87 John Hancock Financial Services ............... 3,323 276 MetLife, Inc. ................................. 8,694 23 Progressive Corp. of Ohio ..................... 3,832 123 UnumProvident Corp. ........................... 3,435 44 XL Capital Ltd.--Class A ...................... 4,107 ---------- 29,776 ---------- MATERIALS AND PROCESSING--0.01% 11 Ball Corp. .................................... 520 56 MeadWestvaco Corp. ............................ 1,856 32 United States Steel Corp. ..................... 581 ---------- 2,957 ---------- MEDIA--0.01% 9 Meredith Corp. ................................ 382 59 TMP Worldwide, Inc. ........................... 2,034 ---------- 2,416 ---------- MULTILINE RETAIL--0.01% 96 Big Lots, Inc. ................................ 1,349 47 Family Dollar Stores, Inc. .................... 1,575 ---------- 2,924 ---------- OIL SERVICE-DOMESTIC--0.00% 20 Fluor Corp.--New 1 ............................ 816 ---------- SHARES SECURITY VALUE OIL-DOMESTIC--0.01% 33 EOG Resources, Inc. ........................... $ 1,339 49 Noble Drilling Corp. 1 ........................ 2,028 ---------- 3,367 ---------- PHARMACEUTICALS--0.09% 354 Wyeth ......................................... 23,240 ---------- PRINTING & PUBLISHING--0.03% 47 Deluxe Corp. .................................. 2,174 84 Moody's Corp. ................................. 3,452 77 R.R. Donnelley & Sons Co. ..................... 2,395 ---------- 8,021 ---------- PROFESSIONAL SERVICES--0.02% 35 Ecolab, Inc. .................................. 1,600 59 H & R Block, Inc. ............................. 2,623 ---------- 4,223 ---------- REAL ESTATE--0.03% 122 Equity Office Properties Trust ................ 3,659 77 Equity Residential Properties Trust ........... 2,213 87 Plum Creek Timber Company, Inc. ............... 2,585 ---------- 8,457 ---------- RETAIL--0.01% 65 Jones Apparel Group, Inc. 1 ................... 2,272 ---------- SEMICONDUCTOR EQUIPMENT & PRODUCTS--0.00% 51 PMC-Sierra, Inc. 1 ............................ 830 ---------- TECHNOLOGY--2.29% 266 ADC Telecommunications, Inc. 1 ................ 1,083 108 Adobe Systems, Inc. ........................... 4,351 166 Advanced Micro Devices 1 ...................... 2,442 151 Agilent Technologies, Inc. 1 .................. 5,279 127 Altera Corp. 1 ................................ 2,778 137 Analog Devices, Inc. 1 ........................ 6,171 71 Andrew Corp. 1 ................................ 1,188 148 Apple Computer, Inc. 1 ........................ 3,503 287 Applied Materials, Inc. 1 ..................... 15,576 60 Autodesk, Inc. ................................ 2,801 202 Automatic Data Processing, Inc. ............... 11,771 121 BMC Software, Inc. 1 .......................... 2,353 108 Broadcom Corp. 1 .............................. 3,877 2,410 Cisco Systems, Inc. 1 ......................... 40,801 61 Citrix Systems, Inc. 1 ........................ 1,054 558 Compaq Computer Corp. ......................... 5,831 284 Computer Associates International, Inc. .......................... 6,217 74 Computer Sciences Corp. 1 ..................... 3,756 181 Compuware Corp. 1 ............................. 2,337 57 Comverse Technology 1 ......................... 722 See Notes to Financial Statements. -------------------------------------------------------------------------------- 50 Asset Management Portfolio III -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 2002 SHARES SECURITY VALUE 149 Conexant Systems, Inc. 1 ...................... $ 1,795 311 Corning, Inc. ................................. 2,370 884 Dell Computer Corp. 1 ......................... 23,081 132 Eastman Kodak Co. ............................. 4,114 156 Electronic Data Systems Corp. ................. 9,046 728 EMC Corp. 1 ................................... 8,678 126 First Data Corp. .............................. 10,994 80 Fiserv, Inc. .................................. 3,679 226 Gateway, Inc. 1 ............................... 1,428 636 Hewlett-Packard Co. ........................... 11,410 2,240 Intel Corp. ................................... 68,118 566 International Business Machines Corp. ......... 58,864 70 Intuit, Inc. 1 ................................ 2,685 436 JDS Uniphase Corp. 1 .......................... 2,568 76 KLA--Tencor Corp. 1 ........................... 5,054 56 Lexmark International Group, Inc. 1 ........... 3,202 164 LSI Logic Corp. 1 ............................. 2,788 1,124 Lucent Technologies, Inc. 1 ................... 5,317 121 Maxim Integrated Products 1 ................... 6,741 30 Mercury Interactive Corp. 1 ................... 1,130 222 Micron Technology, Inc. 1 ..................... 7,304 1,809 Microsoft Corp. 1 ............................. 109,101 732 Motorola, Inc. ................................ 10,394 82 National Semiconductor Corp. .................. 2,763 51 NCR Corp. 1 ................................... 2,282 109 Network Appliance, Inc. 1 ..................... 2,221 1,051 Nortel Networks Corp. 1 ....................... 4,719 125 Novell, Inc. 1 ................................ 486 62 Novellus Systems, Inc. 1 ...................... 3,356 1,805 Oracle Corp. 1 ................................ 23,104 191 Palm, Inc. 1 .................................. 762 84 Parametric Technology Corp. 1 ................. 507 114 Paychex, Inc. ................................. 4,526 100 PeopleSoft, Inc. 1 ............................ 3,653 44 PerkinElmer, Inc. ............................. 814 46 QLogic Corp. 1 ................................ 2,278 251 Qualcomm, Inc. 1 .............................. 9,448 50 Sabre Holdings Corp. 1 ........................ 2,336 47 Sapient Corp. 1 ............................... 223 137 Scientific-Atlanta, Inc. ...................... 3,165 210 Siebel Systems, Inc. 1 ........................ 6,848 1,066 Sun Microsystems, Inc. 1 ...................... 9,402 64 Tektronix, Inc. 1 ............................. 1,514 134 Tellabs, Inc. 1 ............................... 1,403 80 Teradyne, Inc. 1 .............................. 3,154 604 Texas Instruments, Inc. ....................... 19,992 169 Unisys Corp. 1 ................................ 2,134 132 Veritas Software Corp. 1 ...................... 5,786 28 W.W. Grainger, Inc. ........................... 1,574 312 Xerox Corp. 1 ................................. 3,354 110 Xilinx, Inc. 1 ................................ 4,385 231 Yahoo!, Inc.V ................................. 4,267 ---------- 614,208 ---------- SHARES SECURITY VALUE TELECOMMUNICATIONS--0.00% 95 Avaya, Inc. 1 ................................. $ 701 ---------- TRANSPORTATION--0.11% 83 AMR Corp. 1 ................................... 2,192 112 Burlington Northern Santa Fe Corp. ..................................... 3,380 60 CSX Corp. ..................................... 2,287 30 Delta Air Lines, Inc. ......................... 982 112 FedEx Corp. 1 ................................. 6,507 127 Norfolk Southern Corp. ........................ 3,040 11 Ryder Systems, Inc. 1 ......................... 325 251 Southwest Airlines Co. ........................ 4,857 114 Union Pacific Corp. ........................... 7,084 21 US Airways Group, Inc. 1 ...................... 135 ---------- 30,789 ---------- UTILITIES--0.29% 175 AES Corp. 1 ................................... 1,575 2 Ameren Corp. .................................. 85 96 American Electric Power ....................... 4,425 50 Cinergy Corp. ................................. 1,787 47 CMS Energy .................................... 1,064 47 Constellation Energy Group, Inc. .............. 1,450 100 Dominion Resources, Inc. ...................... 6,516 46 DTE Energy Co. ................................ 2,093 270 Duke Energy Corp. ............................. 10,206 152 Edison International 1 ........................ 2,546 62 Entergy Corp. ................................. 2,691 120 FirstEnergy Corp. ............................. 4,150 57 FPL Group, Inc. ............................... 3,394 40 KeySpan Corp. ................................. 1,456 17 NICOR, Inc. ................................... 774 128 PG&E Corp. 1 .................................. 3,016 30 Pinnacle West Capital Corp. ................... 1,360 48 PPL Corp. ..................................... 1,901 87 Public Service Enterprise Group ............... 3,985 3 Reliant Energy, Inc. .......................... 77 102 Sempra Energy ................................. 2,565 228 Southern Co. .................................. 6,040 36 TECO Energy, Inc. ............................. 1,031 103 TXU Corp. ..................................... 5,615 170 Williams Cos., Inc. ........................... 4,005 108 XCEL Energy, Inc. ............................. 2,738 ---------- 76,545 ---------- UTILITY-ELECTRIC--0.04% 45 Allegheny Energy, Inc. ........................ 1,860 107 Exelon Corp. .................................. 5,668 72 Progress Energy, Inc. ......................... 3,603 ---------- 11,131 ---------- See Notes to Financial Statements. -------------------------------------------------------------------------------- 51 Asset Management Portfolio III -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 2002 PRINCIPAL AMOUNT/ SHARES SECURITY VALUE UTILITY--GAS NATURAL GAS--0.01% 65 Kinder Morgan, Inc. ........................... $ 3,148 ---------- WIRELESS TELECOMMUNICATION SERVICES--0.03% 888 AT&T Wireless Services, Inc. 1 ................ 7,948 ---------- TOTAL COMMON STOCKS (Cost $3,653,898) ........................................ 3,458,032 ---------- CORPORATE OBLIGATIONS-- NON-CONVERTIBLE--17.79% BANKS--1.40% First Union Capital II, $ 110,000 7.95%, 11/15/29 ............................... 111,669 HSBC America Capital Trust II, 50,000 8.38%, 5/15/27 ............................... 50,869 Royal Bank of Scotland Group PLC, 200,000 8.817%, 3/31/05 .............................. 213,968 ---------- 376,506 ---------- COMMERCIAL SERVICES--0.68% Autopista Del Maipo, 185,000 7.373%, 6/15/22 .............................. 182,488 ---------- FINANCIALS--3.30% Ford Motor Credit Co.: 125,000 7.60%, 8/1/05 ................................ 127,351 165,000 6.875%, 2/1/06 ............................... 164,061 MGIC Investment Corp., 150,000 6.00%, 3/15/07 ............................... 149,003 Ohio National Financial Services, Inc., 175,000 7.00%, 7/15/1 1 .............................. 175,682 Principal Financial Group Australia Ltd., 80,000 8.20%, 8/15/09 ............................... 86,602 Torchmark Corp., 185,000 6.25%, 12/15/06 .............................. 183,577 ---------- 886,276 ---------- INDUSTRIALS--5.01% BAE Systems Canada, Inc., 195,900 6.664%, 9/15/13 .............................. 199,886 ERAC USA Finance Co.: 155,000 6.95%, 3/1/04 ................................ 159,134 400,000 8.25%, 5/1/05 ................................ 424,835 Merry Land & Investments Equity, 285,000 6.875%, 11/1/04 .............................. 294,722 Prologis Trust, 50,000 6.70%, 4/15/04 ............................... 51,264 Weyerhaeuser Co., 220,000 6.75%, 3/15/12 ............................... 216,142 ---------- 1,345,983 ---------- PRINCIPAL AMOUNT SECURITY VALUE INSURANCE--1.59% Aetna, Inc., $ 90,000 6.97%, 8/15/36 ............................... $ 93,391 American General Institute, 190,000 7.57%, 12/1/45 ............................... 194,808 Health Care Services Corp., 140,000 7.75%, 6/15/1 1 .............................. 139,379 ---------- 427,578 ---------- OTHER METALS/MINERALS--1.27% CIT Group Holding, 190,000 7.375%, 4/2/07 ............................... 191,138 Verizon Global, 150,000 6.875%, 4/1/12 ............................... 149,415 ---------- 340,553 ---------- UTILITY-ELECTRIC & GAS--4.54% American Electric Power, 175,000 6.125%, 5/15/06 .............................. 173,752 Atlantic City Electric Co., 185,000 6.73%, 6/20/08 ............................... 190,831 Consumers Energy, 135,000 6.25%, 9/15/06 ............................... 130,819 General Electric Capital Corp.: 180,000 5.375%, 3/15/07 .............................. 178,039 145,000 6.75%, 3/15/32 ............................... 140,144 Old Dominion Electric Corp., 185,000 6.25%, 6/1/1 1 ............................... 183,014 Potomac Edison Co., 75,000 8.00%, 6/1/24 ................................ 77,212 Questar Market Resources, Inc., 150,000 7.00%, 1/16/07 ............................... 147,102 ---------- 1,220,913 ---------- TOTAL CORPORATE OBLIGATIONS-NON-CONVERTIBLE (Cost $4,759,322) ........................................ 4,780,297 ---------- See Notes to Financial Statements. -------------------------------------------------------------------------------- 52 Asset Management Portfolio III -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 2002 PRINCIPAL AMOUNT SECURITY VALUE ASSET-BACKED SECURITIES--7.86% Conseco Finance, Series 1999-H, Class AF5, $ 430,000 7.60%, 12/15/29 .............................. $ 455,828 Conseco Finance, Series 2000-B, Class AF6, 320,000 7.80%, 5/15/20 ............................... 339,934 Felco Funding II LLC, Series 2000-1, Class A4, 250,000 7.72%, 12/15/05 .............................. 262,590 MMCA Automobile Trust, Series 2000-2, Class A4, 415,000 6.86%, 6/15/05 ............................... 434,297 PF Export Receivables Master Trust, Series 2001-B, 200,000 6.60%, 12/1/11 ............................... 196,892 Prudential Securities Secured Financing, Series 1999-C2, Class A2, 205,000 7.193%, 6/16/31 .............................. 215,057 Ryder Vehicle Lease Trust, Series 2001-A, Class A4, 200,000 5.81%, 8/15/06 ............................... 205,916 ---------- TOTAL ASSET-BACKED SECURITIES (Cost $2,033,538) ........................................ 2,110,514 ---------- MORTGAGE-BACKED SECURITIES--7.20% Bank of America Mortgage Securities, Series 2000-7, Class A4, 195,000 7.125%, 12/25/30 ............................. 199,770 Chase Mortgage Finance Corp., CMO Series 1998-S6, Class A17, 450,000 6.75%, 10/25/28 .............................. 450,221 Countrywide Home Loans, Series 2001-24, Class 2A7, 108,209 6.25%, 9/25/12 ............................... 104,760 Green Point Manufactured Housing, Series 1999-5, Class A3, 430,000 7.33%, 8/15/20 ............................... 449,155 Merrill Lynch Mortgage Investors, Series 1996-C2, Class A3, 95,000 6.96%, 11/21/08 .............................. 97,623 Norwest Asset Securities Corp., CMO, Series 1999, Class A4, 480,000 7.25%, 12/25/29 .............................. 493,915 Wells Fargo Mortgage Backed Securities Trust, Series 2001-15,Class 1A, 140,000 6.50%, 6/25/31 ............................... 139,943 ---------- TOTAL MORTGAGE-BACKED SECURITIES (Cost $1,858,196) ........................................ 1,935,387 ---------- PRINCIPAL AMOUNT SECURITY VALUE MUNICIPAL BONDS--5.12% Harrisburg, Pennsylvania, Housing Corp. Mortgage Revenue, RB, FHA, $ 505,000 10.00%, 7/15/24 .............................. $ 518,842 Hillsborough County, Florida Fuel Tax Revenue, RB, FGIC, 255,000 6.00%, 12/1/11 ............................... 248,289 Ross County, Ohio, Water Co., Inc., Water Revenue, RB, FGIC, 215,000 8.25%, 8/1/25 ................................ 233,086 Suburban Hospital Healthcare Systems, Inc., Suburban Rock Spring LLC, COP, AMBAC, 95,000 7.865%, 2/15/27 .............................. 100,996 Virginia State Housing Development Authority, Multi-Family Housing, RB, Series A, MBIA, 290,000 6.51%, 5/1/19 ................................ 274,009 ---------- TOTAL MUNICIPAL BONDS (Cost $1,331,064) ........................................ 1,375,222 ---------- US GOVERNMENT & AGENCIES--9.84% Federal Home Loan Mortgage Corp., Series 2344, Class QG, 220,000 6.00%, 8/15/16 ............................... 213,339 Federal Home Loan Mortgage Corp., Series 2381, Class OG, 240,000 5.50%, 11/15/16 .............................. 224,926 Federal Home Loan Mortgage Corp., Series 2405, Class PE, 150,000 6.00%, 1/15/17 ............................... 145,277 Federal National Mortgage Association, Series 2001-76, Class UH, 95,000 5.00%, 12/1/16 ............................... 92,900 Federal National Mortgage Association, Pool #, 220,000 7.00%, 1/1/32 ................................ 224,194 Federal National Mortgage Association, Pool #323194, 334,260 6.361%, 7/1/08 ............................... 344,291 Federal National Mortgage Association, Pool #545073, 373,857 6.50%, 5/1/31 ................................ 374,193 Federal National Mortgage Association, Series 2001-11, Class H, 156,915 6.00%, 7/18/25 ............................... 160,431 Federal National Mortgage Association, Series 2001-11, Class J, 160,471 6.25%, 1/18/27 ............................... 164,467 See Notes to Financial Statements. -------------------------------------------------------------------------------- 53 Asset Management Portfolio III -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 2002 PRINCIPAL AMOUNT SECURITY VALUE Federal National Mortgage Association, Series 2001-48, Class PA, $ 295,000 6.00%, 9/25/31 ............................... $ 301,719 Federal National Mortgage Association, Series 2001-51, Class QN, 115,000 6.00%, 8/15/16 ............................... 111,256 Federal National Mortgage Association, Series 2001-69, Class OC, 140,000 5.50%, 11/1/16 ............................... 140,939 Federal National Mortgage Association, Series 2002-3, Class OG, 150,000 6.00%, 2/25/17 ............................... 145,240 ----------- TOTAL US GOVERNMENT & AGENCIES (Cost $2,635,747) ........................................ 2,643,172 ----------- US TREASURY SECURITIES--22.44% US Treasury Bill:3 185,000 1.73%, 4/18/02 ............................... 184,863 5,000,000 1.80%, 6/13/02 ............................... 4,982,660 US Treasury Bond: 59,000 7.25%, 5/15/16 ............................... 66,310 436,000 8.125%, 8/15/19 .............................. 533,844 100,000 6.00%, 2/15/26 ............................... 99,504 US Treasury Note: 150,000 5.875%, 11/15/04 ............................. 156,563 7,000 6.00%, 8/15/09 ............................... 7,283 ----------- TOTAL US TREASURY SECURITIES (Cost $6,043,230) ........................................ 6,031,027 ----------- TOTAL INVESTMENTS IN UNAFFILIATED ISSUERS (Cost $22,314,995) ....................................... 22,333,651 ----------- SHARES SECURITY VALUE INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES--11.20% Cash Management Institutional, 3,009,992 1.747%, 4/1/02 ............................... $ 3,009,992 ----------- TOTALINVESTMENTS IN AFFILIATED COMPANIES (Cost $3,009,992) ........................................ 3,009,992 ----------- TOTALINVESTMENTS (Cost $25,324,987) 5 ........................ 94.31% $25,343,643 OTHER ASSETS IN EXCESS OF LIABILITIES .............................. 5.67 1,528,310 ------ ----------- NET ASSETS ..................................... 100.00% $26,871,953 ====== =========== -------------------------------------------------------------------------------- 1 Non-income producing security. 2 144A--Security 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 institutions. 3 Held as collateral by broker for futures contracts. 4 Rate shown on the Schedule of Portfolio Investments is the effective yield as of March 31, 2002. 5 Aggregate cost for federal tax purposes is $25,827,880. The following abbreviations are used in the portfolio description: AMBAC --American Municipal BondAssurance Corporation. CMO --Collateralized Mortgage Obligations COP --Certificate of Participation FGIC --Financial Guaranty Insurance Company FHA --Federal Housing Administration FSA --Financial Security Assurance MBIA --Municipal Bond Investors Assurance RB --Revenue Bond See Notes to Financial Statements. -------------------------------------------------------------------------------- 54 Asset Management Portfolios -------------------------------------------------------------------------------- STATEMENTS OF ASSETS AND LIABILITIES
MARCH 31, 2002 ASSET ASSET ASSET MANAGEMENT MANAGEMENT II MANAGEMENT III ------------------------------------------------------------------------------------------------------------------ ASSETS Investments in unaffiliated issuers, at value 1 ....... $494,125,016 $60,870,358 $22,333,651 Investments in affiliated investment companies, at value 2 .......................................... 69,454,192 10,490,383 3,009,992 ------------ ----------- ----------- Total investments, at value .............................. 563,579,208 71,360,741 25,343,643 Foreign cash 3 ........................................ 17,223,692 2,253,371 766,379 Receivable for securities sold ........................ 14,251,913 3,240,116 1,218,429 Dividend and interest receivable ...................... 2,456,522 409,804 160,681 Unrealized appreciation on forward currency exchange contracts .................................. 367,206 41,627 12,864 Variation margin receivable ........................... 430,171 42,427 11,112 Prepaid expenses and other ............................ 4,703 2,530 484 ------------ ----------- ----------- Total assets ............................................. 598,313,415 77,350,616 27,513,592 ------------ ----------- ----------- LIABILITIES Due to advisor ........................................ 262,654 31,145 6,068 Payable for securities purchased ...................... 16,958,127 1,245,718 622,557 Unrealized depreciation on forward currency exchange contracts .................................. 68,395 10,906 4,387 Accrued expenses and other ............................ 10,406 9,152 8,627 ------------ ----------- ----------- Total liabilities ........................................ 17,299,582 1,296,921 641,639 ------------ ----------- ----------- NET ASSETS ............................................... $581,013,833 $76,053,695 $26,871,953 ============ =========== =========== COMPOSITION OF NET ASSETS Paid-in capital ....................................... $596,765,699 $76,747,684 $26,842,767 Net unrealized appreciation/depreciation on investments and foreign currencies .................. (15,751,866) (693,989) 29,186 ------------ ----------- ----------- NET ASSETS ............................................... $581,013,833 $76,053,695 $26,871,953 ============ =========== =========== ------------------------------------------------------------------------------------------------------------------------------------ 1 Cost of $509,894,656, $61,584,993 and $22,314,995, respectively. 2 Cost of $69,454,192, $10,490,383 and $3,009,992, respectively. 3 Foreign cash has a cost basis of $17,441,565, $2,251,273 and $766,220, respectively.
See Notes to Financial Statements. -------------------------------------------------------------------------------- 55 Asset Management Portfolios -------------------------------------------------------------------------------- STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED MARCH 31, 2002 ASSET ASSET ASSET MANAGEMENT MANAGEMENT II MANAGEMENT III ----------------------------------------------------------------------------------------------------------------- INVESTMENT INCOME Dividends from affiliated investment companies .................................. $ 2,089,526 $ 309,973 $ 87,462 Dividends from unaffiliated issuers(1)................... 3,781,581 359,853 46,331 Interest ................................................ 13,484,234 2,747,307 1,092,740 ----------- ---------- ---------- Total investment income .................................... 19,355,341 3,417,133 1,226,533 ----------- ---------- ---------- EXPENSES Advisory fees ........................................... 3,611,200 535,418 165,968 Administration fees ..................................... 571,292 84,681 26,169 Professional fees ....................................... 27,798 27,593 27,319 Trustees fees ........................................... 12,189 12,130 12,178 Miscellaneous ........................................... 22,378 19,226 15,530 ----------- ---------- ---------- Total expenses .......................................... 4,244,857 679,048 247,164 Less: fee waivers and/or expense reimbursements ................................ (1,102,750) (170,978) (90,186) ----------- ---------- ---------- Net expenses ............................................ 3,142,107 508,070 156,978 ----------- ---------- ---------- NET INVESTMENT INCOME ...................................... 16,213,234 2,909,063 1,069,555 ----------- ---------- ---------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCIES Net realized gain (loss) from: Investment transactions ............................... (685,100) 16,458 152,018 Foreign currency transactions ......................... (395,063) (211,069) (47,659) Forward foreign currency transactions ................. (1,058,871) 86,184 26,540 Futures transactions .................................. (6,949,752) (949,365) (169,241) Net change in unrealized appreciation/depreciation on investments and foreign currencies ................. 4,848,889 429,865 (57,875) ----------- ---------- ---------- NET REALIZED AND UNREALIZED LOSS ON INVESTMENTS AND FOREIGN CURRENCIES .................................. (4,239,897) (627,927) (96,217) ----------- ---------- ---------- NET INCREASE IN NET ASSETS FROM OPERATIONS ......................................... $11,973,337 $2,281,136 $ 973,338 =========== ========== ========== ------------------------------------------------------------------------------------------------------------------------------------ 1 Net of foreign withholding tax of $17,187, $1,674 and $46, respectively.
See Notes to Financial Statements. -------------------------------------------------------------------------------- 56 Asset Management Portfolios -------------------------------------------------------------------------------- STATEMENTS OF CHANGES IN NET ASSETS ASSET MANAGEMENT
FOR THE YEARS ENDED MARCH 31, 2002 2001 ----------------------------------------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS FROM: OPERATIONS Net investment income .............................................. $ 16,213,234 $ 20,270,021 Net realized loss from investments and foreign currency transactions ............................................ (9,088,786) (11,891,681) Net change in unrealized appreciation/depreciation on investments and foreign currencies ............................... 4,848,889 (77,597,879) ------------- ------------- Net increase (decrease) in net assets from operations ................. 11,973,337 (69,219,539) ------------- ------------- CAPITAL TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST Proceeds from capital invested ..................................... 158,875,303 236,479,092 Value of capital withdrawn ......................................... (141,358,408) (348,753,287) ------------- ------------- Net increase (decrease) in net assets from capital transactions in shares of beneficial interest ................................... 17,516,895 (112,274,195) ------------- ------------- TOTAL INCREASE (DECREASE) IN NET ASSETS ............................... 29,490,232 (181,493,734) NET ASSETS Beginning of year .................................................. 551,523,601 733,017,335 ------------- ------------- End of year ........................................................ $ 581,013,833 $ 551,523,601 ============= =============
See Notes to Financial Statements. -------------------------------------------------------------------------------- 57 Asset Management Portfolios -------------------------------------------------------------------------------- STATEMENTS OF CHANGES IN NET ASSETS ASSET MANAGEMENT II
FOR THE YEARS ENDED MARCH 31, 2002 2001 ----------------------------------------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS FROM: OPERATIONS Net investment income ............................................... $ 2,909,063 $ 3,877,043 Net realized loss from investments and foreign currency transactions ............................................. (1,057,792) (1,198,694) Net change in unrealized appreciation/depreciation on investments and foreign currencies ................................ 429,865 (6,165,420) ------------ ------------ Net increase (decrease) in net assets from operations .................. 2,281,136 (3,487,071) ------------ ------------ CAPITAL TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST Proceeds from capital invested ...................................... 29,615,080 30,927,828 Value of capital withdrawn .......................................... (40,316,898) (41,794,222) ------------ ------------ Net decrease in net assets from capital transactions in shares of beneficial interest ....................... (10,701,818) (10,866,394) ------------ ------------ TOTAL DECREASE IN NET ASSETS ........................................... (8,420,682) (14,353,465) NET ASSETS Beginning of year ................................................... 84,474,377 98,827,842 ------------ ------------ End of year ......................................................... $ 76,053,695 $ 84,474,377 ============ ============
See Notes to Financial Statements. -------------------------------------------------------------------------------- 58 Asset Management Portfolios -------------------------------------------------------------------------------- STATEMENTS OF CHANGES IN NET ASSETS ASSET MANAGEMENT III
FOR THE YEARS ENDED MARCH 31, 2002 2001 ----------------------------------------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS FROM: OPERATIONS Net investment income ............................................... $ 1,069,555 $ 1,551,984 Net realized loss from investments and foreign currency transactions ............................................. (38,342) (216,304) Net change in unrealized appreciation/depreciation on investments and foreign currencies ................................ (57,875) (473,393) ------------ ------------ Net increase in net assets from operations ............................. 973,338 862,287 ------------ ------------ CAPITAL TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST Proceeds from capital invested ...................................... 13,128,870 18,226,012 Value of capital withdrawn .......................................... (17,289,829) (26,720,259) ------------ ------------ Net decrease in net assets from capital transactions in shares of beneficial interest .................................... (4,160,959) (8,494,247) ------------ ------------ TOTAL DECREASE IN NET ASSETS ........................................... (3,187,621) (7,631,960) NET ASSETS Beginning of year ................................................... 30,059,574 37,691,534 ------------ ------------ End of year ......................................................... $ 26,871,953 $ 30,059,574 ============ ============
See Notes to Financial Statements. -------------------------------------------------------------------------------- 59 Asset Management Portfolios -------------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS ASSET MANAGEMENT PORTFOLIO
FOR THE YEARS ENDED MARCH 31, 2002 2001 2000 1999 1998 ------------------------------------------------------------------------------------------------------------------- SUPPLEMENTAL DATA AND RATIOS: Net assets, end of year (000s omitted) ........................... $581,014 $551,524 $733,017 $704,127 $649,372 Ratios to average net assets: Net investment income .................... 2.84% 3.19% 2.69% 2.91% 2.97% Expenses after waivers ................... 0.55% 0.59% 0.60% 0.60% 0.60% Expenses before waivers .................. 0.74% 0.76% 0.76% 0.76% 0.76% Portfolio turnover rate .................... 90% 118% 222% 109% 199% TOTAL INVESTMENT RETURN 1 .................... 2.08% -- -- -- -- ASSET MANAGEMENT PORTFOLIO II FOR THE YEARS ENDED MARCH 31, 2002 2001 2000 1999 1998 ------------------------------------------------------------------------------------------------------------------- SUPPLEMENTAL DATA AND RATIOS: Net assets, end of year (000s omitted) ........................... $76,054 $84,474 $98,828 $77,739 $95,072 Ratios to average net assets: Net investment income .................... 3.44% 4.26% 3.43% 3.15% 3.71% Expenses after waivers ................... 0.60% 0.60% 0.60% 0.60% 0.60% Expenses before waivers .................. 0.80% 0.79% 0.79% 0.81% 0.78% Portfolio turnover rate .................... 127% 139% 273% 202% 275% TOTAL INVESTMENT RETURN 1 ..................... 2.97% -- -- -- -- ASSET MANAGEMENT PORTFOLIO III FOR THE YEARS ENDED MARCH 31, 2002 2001 2000 1999 1998 ------------------------------------------------------------------------------------------------------------------- SUPPLEMENTAL DATA AND RATIOS: Net assets, end of year (000s omitted) ........................... $26,872 $30,060 $37,692 $44,498 $49,399 Ratios to average net assets: Net investment income ...................... 4.09% 5.25% 4.02% 3.97% 4.45% Expenses after waivers ................... 0.60% 0.60% 0.60% 0.60% 0.60% Expenses before waivers .................. 0.94% 0.87% 0.85% 0.83% 0.81% Portfolio turnover rate .................... 153% 148% 354% 344% 389% TOTAL INVESTMENT RETURN 1 ..................... 3.84% -- -- -- -- ------------------------------------------------------------------------------------------------------------------------------------ 1 Total return is calculated by comparing monthly ending net assets to the monthly beginning net assets, adjusted for cash flows related to capital contributions and withdrawals during the month; the monthly returns are geometrically linked to calculate total return for the fiscal year.
See Notes to Financial Statements. -------------------------------------------------------------------------------- 60 Asset Management Portfolios -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS NOTE 1--ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES A. ORGANIZATION 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 diversified, open-end management investment companies. Asset Management II and Asset Management Portfolio III are each a series of BT Investment Portfolios. BT Investment Portfolios and Asset Management Portfolio are each organized as a business trust under the laws of the state of New York. Details concerning each Portfolio's investment objectives and policies and the risk factors associated with the Portfolios' investments are described in each Portfolio's Prospectus and Statement of Additional Information. B. VALUATION OF SECURITIES Each Portfolio values their investments at market value. When valuing listed equity securities, each Portfolio uses the last sale price prior to the calculation of the Portfolio's net asset value. When valuing equity securities that are not listed or that are listed but have not traded, each Portfolio uses the bid price in the over-the-counter market. When valuing fixed income securities, each Portfolio uses the last bid price prior to the calculation of the Portfolio's net asset value. If a current bid price is not available, each Portfolio uses the mean between the latest quoted bid and asked prices. When valuing short-term securities that mature within sixty days, each Portfolio uses amortized cost. When valuing securities for which market quotations are not readily available or for which the market quotations that are available are considered unreliable, each Portfolio determines a fair value in good faith under procedures established by and under the general supervision of the Portfolio's Board of Trustees. The Portfolio may use these procedures to establish the fair value of securities when, for example, a significant event occurs between the time the market closes and the time the Portfolio values its investments. After consideration of various factors, the Portfolio may value its securities at their last reported price or at fair value. On March 31, 2002, there were no fair valued securities. C. SECURITIES TRANSACTION AND INVESTMENT INCOME Securities transactions are recorded on trade date. Realized gains and losses are determined by comparing the proceeds of a sale or the cost of a purchase with a specific offsetting transaction. Dividend income, net of any foreign taxes withheld, is recorded on the ex-dividend date or, in the case of certain foreign securities, upon receipt of ex-dividend notification. Interest income, including amortization of premiums and accretion of discounts, is accrued daily. Estimated expenses are also accrued daily. Each Portfolio makes a daily allocation of its net investment income and realized and unrealized gains and losses from securities and foreign currency transactions to its investors in proportion to their investment in the Portfolio. D. FEDERAL INCOME TAXES Each Portfolio is considered a Partnership under the Internal Revenue Code. Therefore, no federal income tax provision is necessary. E. DELAYED DELIVERY TRANSACTIONS Each Portfolio may buy or sell securities in transactions that call for payment and delivery beyond the customary settlement period. Positions resulting from these 'when-issued' or delayed delivery transactions are valued as described under 'Valuation of Securities'. F. FOREIGN CURRENCY TRANSLATION Each Portfolio maintains its accounting records in US dollars. The Portfolios determine the US dollar value of foreign currency denominated assets, liabilities and transactions by using prevailing exchange rates. In valuing assets and liabilities, the Portfolios use the prevailing exchange rate on the valuation date. In valuing securities transactions, the receipt of income and the payment of expenses, the Portfolios use the prevailing exchange rate on the transaction date. -------------------------------------------------------------------------------- 61 Asset Management Portfolios -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS Net realized and unrealized gains and losses on foreign currency translation shown on each Portfolios' financial statements result from the sale of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on each Portfolio's books and the US dollar equivalent of the amounts actually received or paid. When calculating realized and unrealized gains or losses on investments in equity securities, the Portfolios do not separate the gain or loss attributable to changes in the foreign currency price of the security from the gain or loss attributable to the change in the US dollar value of the foreign currency. G. FORWARD FOREIGN CURRENCY CONTRACTS Each Portfolio may use forward foreign currency contracts to manage foreign exchange rate risk. Each Portfolio may use these contracts to fix the US dollar value of a securities transaction for the period between the date of the transaction and the date the security is received or delivered or to hedge the US dollar value of securities it already owns. The use of forward foreign currency contracts does not eliminate fluctuations in the prices of the underlying securities, but does establish a rate of exchange that can be achieved in the future. Each Portfolio may also use forward foreign currency contracts to enhance its performance. Each Portfolio determines the net US dollar value of forward foreign currency contracts using prevailing exchange rates. H. FUTURES CONTRACTS Each Portfolio may buy or sell financial futures contracts on established futures exchanges. Under the terms of a financial futures contract, the Portfolio agrees to receive or deliver a specific amount of a financial instrument at a specific price on a specific date. When the Portfolio enters into a futures contract, it is required to make a margin deposit equal to a percentage of the face value of the contract. While the contract is outstanding, the Portfolio may be required to make additional deposits or may have part of its deposit returned as a result of changes in the relationship between the face value of the contract and the value of the underlying security. The Portfolio records these payments as unrealized gains or losses. When entering into a closing transaction, the Portfolio realizes a gain or loss. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded. I. ESTIMATES In preparing its financial statements in conformity with accounting principles generally accepted in the United States, management makes estimates and assumptions. Actual results may be different. NOTE 2--FEES AND TRANSACTIONS WITH AFFILIATES Deutsche Asset Management, Inc. ('DeAM'), an indirect, wholly owned subsidiary of Deutsche Bank AG, is the Advisor for each of the Portfolios. Each Portfolio pays the Advisor an annual fee based on its average daily net assets which is calculated daily and paid monthly at the annual rate of 0.65%. Each Fund waives a portion of its advisory fee equivalent to the advisory fees charged by the affiliated MoneyMarket Funds on assets invested in those MoneyMarket Funds. Investment Company Capital Corp. ('ICCC'), an indirect, wholly owned subsidiary of Deutsche Bank AG, is the Administrator for each of the Portfolios. Each Portfolio pays the Administrator an annual fee based on its average daily net assets which is calculated daily and paid monthly at an annual rate of 0.10%. -------------------------------------------------------------------------------- 62 Asset Management Portfolios -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS The Advisor and Administrator have contractually agreed to waive their fees and/or reimburse expenses of each Portfolio through July 31, 2003, to the extent necessary, to limit all expenses to 0.60% of the average daily net assets of the Portfolio. Effective January 2, 2001, the Advisor and Administrator have voluntarily agreed to waive its fees and/or reimburse expenses of the Asset Management Portfolio, to the extent necessary, to limit all expenses to 0.55% of the average daily net assets of the Portfolio. The Advisor and Administrator may terminate this voluntary waiver and reimbursement at any time without notice to shareholders. Each Portfolio may invest in Cash Management Fund Institutional, an open-end management investment company managed by DeAM. Certain officers and directors of the Portfolios are also officers or directors of ICCC or affiliated with Deutsche Bank AG. These persons are not paid by the Portfolios for serving in these capacities. NOTE 3--PURCHASE AND SALE OF INVESTMENT SECURITIES The aggregate cost of purchases and proceeds from sales of investments, other than US Government and short-term obligations, for the year ended March 31, 2002, were as follows: Portfolio Purchases Sales ---------------------- --------------- --------------- Asset Management $458,722,671 $428,976,926 Asset Management II 80,545,288 87,186,779 Asset Management III 26,596,700 26,973,002 At March 31, 2002, the net unrealized appreciation from investments for those securities having an excess of value over cost and net unrealized depreciation from investments for those securities having an excess of cost over value (based on cost for federal income tax purposes) was as follows: Net Net Unrealized Unrealized Fund Appreciation Depreciation ----- --------------- --------------- Asset Management $29,530,059 $64,652,004 Asset Management II $ 2,135,898 $ 4,694,175 Asset Management III $ 482,932 $ 967,169 The difference between book basis and tax-basis unrealized appreciation is attributable primarily to the tax deferral of losses on wash sales and straddle loss deferrals. NOTE 4--LINE OF CREDIT Each Portfolio participates with other affiliated entities in an unsecured revolving credit facility with a syndicate of banks in the amount of $200,000,000, which expires April 26, 2002. A commitment fee is apportioned among the participants based on their relative net assets. The Portfolios did not borrow during the period. -------------------------------------------------------------------------------- 63 Asset Management Portfolios -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS NOTE 5--OPEN FORWARD FOREIGN CURRENCY CONTRACTS The Portfolios had the following open contracts at March 31, 2002:
Asset Management Portfolio Net Unrealized Appreciation/ Contract (Depreciation) Contracts to Deliver In Exchange For Settlement Date Value (US$) (US$) ------------------------------------------------------------------------------------------------------------------ Purchases ----------------------------------------------------------------------------------------------------------------- Swiss Franc 32,556,000 US Dollar $19,036,927 04/04/02 $19,152,954 $116,027 Euro Dollar 27,458,000 US Dollar 23,715,475 04/04/02 23,954,195 238,720 ----------------------------------------------------------------------------------------------------------------- Total Unrealized Appreciation $354,747 ----------------------------------------------------------------------------------------------------------------- Sells ----------------------------------------------------------------------------------------------------------------- Australian Dollar (3,496,000) US Dollar $ (1,814,564) 04/04/02 $ (1,865,794) $ (51,230) Canadian Dollar (2,632,000) US Dollar (1,653,059) 04/03/02 (1,649,712) 3,347 British Pound (1,972,000) US Dollar (2,790,991) 04/04/02 (2,808,156) (17,165) Japanese Yen (358,440,000) US Dollar (2,713,604) 04/04/02 (2,704,492) 9,112 ----------------------------------------------------------------------------------------------------------------- Total Unrealized Depreciation $ (55,936) ----------------------------------------------------------------------------------------------------------------- Total Net Unrealized Appreciation $298,811 ----------------------------------------------------------------------------------------------------------------- Asset Management Portfolio II Net Unrealized Appreciation/ Contract (Depreciation) Contracts to Deliver In Exchange For Settlement Date Value (US$) (US$) ------------------------------------------------------------------------------------------------------------------ Purchases ----------------------------------------------------------------------------------------------------------------- Swiss Franc 2,576,000 US Dollar $ 1,506,301 04/04/02 $1,515,481 $ 9,180 Euro Dollar 3,535,000 US Dollar 3,053,180 04/04/02 3,083,913 30,733 ----------------------------------------------------------------------------------------------------------------- Total Unrealized Appreciation $39,913 ----------------------------------------------------------------------------------------------------------------- Sells ----------------------------------------------------------------------------------------------------------------- Australian Dollar (597,000) US Dollar $ (309,867) 04/04/02 $ (318,615) $ (8,748) Canadian Dollar (378,000) US Dollar (237,407) 04/03/02 (236,927) $480 British Pound (248,000) US Dollar (350,997) 04/04/02 (353,155) $ (2,158) Japanese Yen (48,531,000) US Dollar (367,409) 04/04/02 (366,175) 1,234 ----------------------------------------------------------------------------------------------------------------- Total Unrealized Depreciation $ (9,192) ----------------------------------------------------------------------------------------------------------------- Total Net Unrealized Appreciation $30,721 ----------------------------------------------------------------------------------------------------------------- Asset Management Portfolio III Net Unrealized Appreciation/ Contract (Depreciation) Contracts to Deliver In Exchange For Settlement Date Value (US$) (US$) ------------------------------------------------------------------------------------------------------------------ Purchases ----------------------------------------------------------------------------------------------------------------- Swiss Franc 327,000 US Dollar $ 191,211 04/04/02 $ 192,377 $ 1,166 Euro Dollar 1,275,000 US Dollar 1,101,217 04/04/02 1,112,302 11,085 ----------------------------------------------------------------------------------------------------------------- Total Unrealized Appreciation $12,251 ----------------------------------------------------------------------------------------------------------------- Sells ----------------------------------------------------------------------------------------------------------------- Australian Dollar (253,000) US Dollar $ (131,317) 04/04/02 $ (135,025) $(3,708) Canadian Dollar (176,000) US Dollar (110,539) 04/03/02 (110,315) $224 British Pound (78,000) US Dollar (110,394) 04/04/02 (111,073) $(679) Japanese Yen (15,312,000) US Dollar (115,921) 04/04/02 (115,532) 389 ----------------------------------------------------------------------------------------------------------------- Total Unrealized Depreciation $(3,774) ----------------------------------------------------------------------------------------------------------------- Total Net Unrealized Appreciation $ 8,477 -----------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------- 64 Asset Management Portfolios -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS NOTE 6--FUTURES CONTRACTS A summary of obligations under these financial instruments at March 31, 2002 is as follows:
Asset Management Portfolio -------------------------- Unrealized Appreciation/ Type of Future Expiration Contracts Position Market Value (Depreciation) ------------------------------------------------------------------------------------------------------------------ Mini S&P Index Futures Jun-02 2 Long $ 114,920 $ (1,415) S&P 500 Index Futures Jun-02 81 Long 23,271,300 (414,357) S&P 500 Index Futures Jun-02 (30) Short (8,619,000) 63,974 US Treasury Notes Futures Jun-02 22 Long 2,253,969 (79,656) DAX Index Futures Jun-02 27 Long 3,177,521 42,408 S&P ASX 200 Index Futures Jun-02 108 Long 4,916,603 (52,733) CAC 40 10 Euro Futures Apr-02 269 Long 10,994,476 329,772 Milan MIB 30 Index Futures Jun-02 37 Long 5,281,582 119,770 Australian 10 year Jun-02 8 Long 414,178 2,366 Toronto Stock Exchange 60 Futures Jun-02 140 Long 7,848,417 (7,805) Canadian 10 Year Bond Futures Jun-02 47 Long 2,950,333 (65,786) ---------------------------------------------------------------------------------------------------------------- Total 711 $52,604,299 $ (63,462) ---------------------------------------------------------------------------------------------------------------- Asset Management Portfolio II ---------------------------------- Unrealized Appreciation/ Type of Future Expiration Contracts Position Market Value (Depreciation) ------------------------------------------------------------------------------------------------------------------ Mini S&P Index Futures Jun-02 8 Long $ 459,680 $ (6,049) S&P 500 Index Futures Jun-02 5 Long 1,436,500 (25,525) S&P 500 Index Futures Jun-02 (3) Short (861,900) 6,397 US Treasury Notes Futures Jun-02 7 Long 717,172 (25,345) CAC 40 10 Euro Futures Apr-02 29 Long 1,185,278 35,552 S&P ASX 200 Index Futures Jun-02 14 Long 637,337 (6,836) Milan MIB 30 Index Futures Jun-02 4 Long 570,982 12,948 Euro Bond 1000 futures Jun-02 2 Long 182,819 (4,008) DAX Index Futures Jun-02 3 Long 353,058 4,712 Australian 10 year Jun-02 4 Long 388,028 1,183 Toronto Stock Exchange 60 Futures Jun-02 16 Long 896,962 (892) Canadian 10 Year Bond Futures Jun-02 3 Long 188,319 (4,199) ---------------------------------------------------------------------------------------------------------------- Total 92 $6,154,235 $ (12,062) ---------------------------------------------------------------------------------------------------------------- Asset Management Portfolio IIi ---------------------------------- Unrealized Appreciation/ Type of Future Expiration Contracts Position Market Value (Depreciation) ------------------------------------------------------------------------------------------------------------------ Mini S&P Index Futures Jun-02 6 Long $ 344,760 $ (4,245) S&P 500 Index Futures Jun-02 (1) Short (287,300) 2,132 US Treasury Notes Futures Jun-02 2 Long 204,906 (7,241) CAC 40 10 Euro Futures Jun-02 8 Long 326,973 9,807 S&P ASX 200 Index Futures Apr-02 4 Long 182,096 (1,953) Milan MIB 30 Index Futures Jun-02 1 Long 142,745 3,237 DAX Index Futures Jun-02 1 Long 117,686 1,571 Australian 10 year Jun-02 1 Long 51,772 296 Toronto Stock Exchange 60 Futures Jun-02 5 Long 280,301 (278) Canadian 10 Year Bond Futures Jun-02 1 Long 62,773 (1,399) ---------------------------------------------------------------------------------------------------------------- Total 28 $1,426,712 $ 1,927 ----------------------------------------------------------------------------------------------------------------
At March 31, 2002, the Portfolios have sufficient securities to cover margin requirements on open futures contracts. -------------------------------------------------------------------------------- 65 Asset Management Portfolios -------------------------------------------------------------------------------- REPORT OF INDEPENDENT ACCOUNTANTS To the Trustees and Holders of Beneficial Interest of the Asset Management Portfolios: In our opinion, the accompanying statements of assets and liabilities, including the schedules of portfolio investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of the Asset Management Portfolio, Asset Management Portfolio II and Asset Management Portfolio III (three of the Portfolios comprising BT Investment Portfolios, hereafter referred to as the 'Portfolios') at March 31, 2002, and the results of their operations, the changes in their net assets and the financial highlights for each of the fiscal periods presented, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as 'financial statements') are the responsibility of the Portfolios' management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with auditing standards generally accepted in the United States of America, which require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at March 31, 2002 by correspondence with the custodian and brokers, provide a reasonable basis for the opinion expressed above. PricewaterhouseCoopers LLP Baltimore, Maryland May 3, 2002 -------------------------------------------------------------------------------- 66 Lifecycle Funds -------------------------------------------------------------------------------- FUND TRUSTEES AND OFFICERS
NUMBER OF FUNDS NAME, BIRTH DATE AND IN THE FUND POSITION WITH THE TRUST AND BUSINESS EXPERIENCE AND COMPLEX OVERSEEN EACH PORTFOLIO TRUST 1 DIRECTORSHIPS DURING THE PAST 5 YEARS BY TRUSTEE 2 ------------------------------------------------------------------------------------------------------------------------------------ INDEPENDENT TRUSTEES Charles P. Biggar Retired (since 1987); formerly Vice 27 October 13, 1930 President, International Business Machines Trustee BT Investment Portfolios ('IBM') (1975 to 1978) and President, since 1993; BT Investment Funds National Services and the Field Engineering since 1999; and Asset Management Divisions of IBM (1976 to 1987). Portfolio since 1991. S. Leland Dill Trustee, Phoenix Zweig Series Trust (since 27 March 28, 1930 September 1989); Trustee, Phoenix Euclid Trustee BT Investment Portfolios Market Neutral Fund (since May 1998); since 1993; BT Investment Funds Retired (since 1986); formerly Partner, since 1986; and Asset Management KPMG Peat Marwick (June 1956-June 1986); Portfolio since 1991. Director, Vintners International Company Inc. (June 1989 to May 1992); Director, Coutts (USA) International (January 1992-March 2000); Director, Coutts Trust Holdings Ltd., Director, Coutts Group (March 1991 to March 1999); General Partner, Pemco (June 1979 to June 1986). Martin J. Gruber Nomura Professor of Finance, Leonard N. 27 July 15, 1937 Stern School of Business, New York Trustee BT Investment Portfolios University (since 1964); Trustee, CREF since 1999; BT Investment Funds (since 2000); Director, S.G. Cowen Mutual since 1999; and Asset Management Funds (since 1985); Director, Japan Equity Portfolio since 1999. Fund, Inc. (since 1992); Director, Thai Capital Fund, Inc. (since 2000); Director, Singapore Fund, Inc. (since 2000). Richard J. Herring Jacob Safra Professor of International 27 February 18, 1946 Banking and Professor, Finance Department, Trustee BT Investment Portfolios The Wharton School, University of since 1999; BT Investment Funds Pennsylvania (since 1972); Director, Lauder since 1999; and Asset Management Institute of International Management Portfolio since 1999. Studies (since 2000); Co-Director, Wharton Financial Institutions Center (since 2000). Bruce E. Langton Formerly Assistant Treasurer of IBM 27 May 10, 1931 Corporation (until 1986); Trustee and Trustee BT Investment Portfolios Member, Investment Operations Committee, since 1999; BT Investment Funds Allmerica Financial Mutual Funds (1992 to since 1999; and Asset Management 2001); Member, Investment Committee, Portfolio since 1999. Unilever US Pension and Thrift Plans (1989 to 2001); 3 Retired (since 1987); Director, TWA Pilots Directed Account Plan and 401(k) Plan (1988 to 2000). Philip Saunders, Jr. Principal, Philip Saunders Associates 27 October 11, 1935 (Economic and Financial Consulting) (since Trustee BT Investment Portfolios 1998); former Director, Financial Industry since 1993; BT Investment Funds Consulting, Wolf & Company (1987 to 1988); since 1986; and Asset Management President, John Hancock Home Mortgage Portfolio since 1991. Corporation (1984 to 1986); Senior Vice President of Treasury and Financial Services, John Hancock Mutual Life Insurance Company, Inc. (1982 to 1986). Harry Van Benschoten Retired (since 1987); Corporate Vice 27 February 18, 1928 President, Newmont Mining Corporation Trustee BT Investment Portfolios (prior to 1987); Director, Canada Life since 1999; BT Investment Funds Insurance Corporation of New York (since since 1999; and Asset Management 1987). Portfolio since 1999.
-------------------------------------------------------------------------------- 67 Lifecycle Funds -------------------------------------------------------------------------------- FUND TRUSTEES AND OFFICERS
NUMBER OF FUNDS NAME, BIRTH DATE AND IN THE FUND POSITION WITH THE TRUST AND BUSINESS EXPERIENCE AND COMPLEX OVERSEEN EACH PORTFOLIO TRUST 1 DIRECTORSHIPS DURING THE PAST 5 YEARS BY TRUSTEE 2 ------------------------------------------------------------------------------------------------------------------------------------ INTERESTED TRUSTEES Richard T. Hale 4 July 17, 1945 Trustee BT Investment Portfolios Managing Director, Deutsche Bank 27 since 1999; BT Investment Funds Securities,Inc. (formerly Deutsche Banc since 1999; Asset Management Alex. BrownInc.) (June 1999 to present); Portfolio since 1999; President of Deutsche Asset Management-Americas (June each of the BTTrusts since 2000. 1999 to present); Director and President, Investment Company Capital Corp. (registered investment advisor) (April 1996 to present). Director/Trustee and President, Deutsche Asset Management Mutual Funds (1989 to present); Director, Deutsche Global Funds, Ltd. (January 2000 to present); Director, CABEI Fund (June 2000 to present); Director, North American Income Fund (September 2000 to present); Vice President, Deutsche Asset Management, Inc. (September 2000 to present). Chartered Financial Analyst. Formerly, Director, ISI Family of Funds.
NAME, BIRTH DATE AND POSITION WITH EACH TRUST AND BUSINESS EXPERIENCE AND EACH PORTFOLIO 1 DIRECTORSHIPS DURING THE PAST 5 YEARS ----------------------------------------------------------------------------------------------------------------------------------- OFFICERS Daniel O. Hirsch Director, Deutsche Asset Management (1999 to present). Formerly, March 27, 1954 Principal, BT Alex. Brown Incorporated, (Deutsche Bank Vice President/Secretary Securities,Inc.), (1998 to 1999); Assistant General Counsel, United States Securities and Exchange Commission, (1993 to 1998). Charles A. Rizzo Director, Deutsche Asset Management (April 2000 to present); August 5, 1957 Certified Public Accountant; Certified Management Accountant. Treasurer Formerly, Vice President and Department Head, BT Alex. Brown Incorporated (Deutsche Bank Securities,Inc.), 1998 to 1999; Senior Manager, Coopers & Lybrand L.L.P. (PricewaterhouseCoopers LLP), 1993 to 1998. Amy Olmert Director, Deutsche Asset Management (formerly BT Alex. Brown May 14, 1963 Inc.) ;(January 1999 to present); Certified Public Accountant Assistant Secretary (1989 to present). Formerly, Vice President, BT Alex. Brown Incorporated, (Deutsche Bank Securities,Inc.), (1997 to 1999); Senior Manager (1992 to 1997), Coopers & Lybrand L.L.P. (PricewaterhouseCoopers LLP), (1988 to 1992). ------------------------------------------------------------------------------------------------------------------------------------ 1 Unless otherwise indicated, the address of each Director andOfficer is One South Street,Baltimore,MD 21202. 2 As of December 31, 2001, the total number of Funds and Portfolios (including the Master Portfolios) in the Fund Complex is 71. 3 A publicly held company with securities registered pursuant to Section 12 of the Securities Exchange Act of 1934, as amended. 4 Mr. Hale is a trustee who is an 'Interested Person' within the meaning of Section 2(a)(19) of the 1940 Act. Mr. Hale holds various positions with Deutsche BankAGand its advisor subsidiary Deutsche Asset Management,Inc. The Funds' Statement of Additional Information, includes additional information about the Fund's Trustees andOfficers.To receive a free copy of the Statement ofAdditionalInformation, call toll-free: 1-800-730-1313.
-------------------------------------------------------------------------------- 68 [THIS PAGE INTENTIONALLY LEFT BLANK] [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 Bank Trust Company Americas, Deutsche Bank Securities Inc., Deutsche Asset Management Inc., Deutsche Asset Management Investment Services Ltd., Deutsche Investment Management Americas Inc. and Scudder Trust Company. Lifecycle Long Range Fund--Investment Class CUSIP #055922843 Lifecycle Mid Range Fund--Investment Class CUSIP #055922835 Lifecycle Short Range Fund--Investment Class CUSIP #055922827 COMBLIFEANN (3/02) Printed 5/02 Distributed by: ICC Distributors, Inc.