-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: keymaster@town.hall.org Originator-Key-Asymmetric: MFkwCgYEVQgBAQICAgADSwAwSAJBALeWW4xDV4i7+b6+UyPn5RtObb1cJ7VkACDq pKb9/DClgTKIm08lCfoilvi9Wl4SODbR1+1waHhiGmeZO8OdgLUCAwEAAQ== MIC-Info: RSA-MD5,RSA, BeGcIBraAo1q5FfVrLHok0rHVg5yhmAStPkgxgRoE+d8fL5m7zbotJMBHN9uT5fG MzfIQtoASgHCNJr/etdfRw== 0000950123-95-001673.txt : 19950608 0000950123-95-001673.hdr.sgml : 19950608 ACCESSION NUMBER: 0000950123-95-001673 CONFORMED SUBMISSION TYPE: N-30D PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 19950331 FILED AS OF DATE: 19950607 SROS: NONE FILER: COMPANY DATA: COMPANY CONFORMED NAME: BT INVESTMENT FUNDS CENTRAL INDEX KEY: 0000797657 STANDARD INDUSTRIAL CLASSIFICATION: UNKNOWN SIC - 0000 [0000] STATE OF INCORPORATION: MA FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: N-30D SEC ACT: 1940 Act SEC FILE NUMBER: 811-04760 FILM NUMBER: 95545510 BUSINESS ADDRESS: STREET 1: 127 W 10TH CITY: KANSAS CITY STATE: MO ZIP: 64105 BUSINESS PHONE: 8164748186 MAIL ADDRESS: STREET 1: 6 ST JAMES AVE 9TH FL STREET 2: C/O SIGNATURE FINANCIAL GROUP CITY: BOSTON STATE: MA ZIP: 02116 FORMER COMPANY: FORMER CONFORMED NAME: BT TAX FREE INVESTMENT TRUST DATE OF NAME CHANGE: 19880530 N-30D 1 BT INVESTMENT FUND - LIFECYCLE 1 BT INVESTMENT FUNDS BT INVESTMENT LIFECYCLE FUNDS: LONG RANGE FUND MID RANGE FUND SHORT RANGE FUND ANNUAL REPORT MARCH 31, 1995 2 BT INVESTMENT LIFECYCLE FUNDS 1 -----------------------------------------------------
TABLE OF CONTENTS - ------------------------------------------------------------------------------ INTRODUCTION FROM PRESIDENT . . . . . . . . . . . . . . . . . . . . . 2 LETTER TO SHAREHOLDERS FROM INVESTMENT ADVISER . . . . . . . . . . . 3 BT INVESTMENT LIFECYCLE LONG RANGE FUND Statement of Assets and Liabilities . . . . . . . . . . . . . . 11 Statement of Operations . . . . . . . . . . . . . . . . . . . . 12 Statement of Changes in Net Assets . . . . . . . . . . . . . . . 13 Financial Highlights . . . . . . . . . . . . . . . . . . . . . . 14 ASSET MANAGEMENT PORTFOLIO Statement of Assets and Liabilities . . . . . . . . . . . . . . 15 Statement of Operations . . . . . . . . . . . . . . . . . . . . 16 Statement of Changes in Net Assets . . . . . . . . . . . . . . . 17 Financial Highlights . . . . . . . . . . . . . . . . . . . . . . 18 Schedule of Portfolio Investments . . . . . . . . . . . . . . . 19 BT INVESTMENT LIFECYCLE MID RANGE FUND Statement of Assets and Liabilities . . . . . . . . . . . . . . 25 Statement of Operations . . . . . . . . . . . . . . . . . . . . 26 Statement of Changes in Net Assets . . . . . . . . . . . . . . . 27 Financial Highlights . . . . . . . . . . . . . . . . . . . . . . 28 ASSET MANAGEMENT PORTFOLIO II Statement of Assets and Liabilities . . . . . . . . . . . . . . 29 Statement of Operations . . . . . . . . . . . . . . . . . . . . 30 Statement of Changes in Net Assets . . . . . . . . . . . . . . . 31 Financial Highlights . . . . . . . . . . . . . . . . . . . . . . 32 Schedule of Portfolio Investments . . . . . . . . . . . . . . . 33 BT INVESTMENT LIFECYCLE SHORT RANGE FUND Statement of Assets and Liabilities . . . . . . . . . . . . . . 39 Statement of Operations . . . . . . . . . . . . . . . . . . . . 40 Statement of Changes in Net Assets . . . . . . . . . . . . . . . 41 Financial Highlights . . . . . . . . . . . . . . . . . . . . . . 42 ASSET MANAGEMENT PORTFOLIO III Statement of Assets and Liabilities . . . . . . . . . . . . . . 43 Statement of Operations . . . . . . . . . . . . . . . . . . . . 44 Statement of Changes in Net Assets . . . . . . . . . . . . . . . 45 Financial Highlights . . . . . . . . . . . . . . . . . . . . . . 46 Schedule of Portfolio Investments . . . . . . . . . . . . . . . 47 BT INVESTMENT LIFECYCLE FUNDS Notes to Financial Statements . . . . . . . . . . . . . . . . . 53 Report of Independent Accountants . . . . . . . . . . . . . . . 56 ASSET MANAGEMENT PORTFOLIOS Notes to Financial Statements . . . . . . . . . . . . . . . . . 57 Report of Independent Accountants . . . . . . . . . . . . . . . 59
For shareholder account information and current price and yield quotations, shareholders may call their relationship manager or servicing agent. Prospectuses containing more extensive information regarding the BT Investment Lifecycle Funds may be obtained by calling or writing to Investors Fiduciary Trust Company or Signature Broker-Dealer Services, Inc., the primary Servicing Agent and Distributor, respectively, of BT Investment Funds: BT INVESTMENT FUNDS INVESTORS FIDUCIARY TRUST COMPANY 127 WEST 10TH STREET KANSAS CITY, MO 64105 (800) 422-6577 BT INVESTMENT FUNDS SIGNATURE BROKER-DEALER SERVICES, INC. 6 ST. JAMES AVENUE BOSTON, MA 02116 (800) 545-1074 You may write to the BT Investment Lifecycle Funds at the following address: BT INVESTMENT FUNDS 6 ST. JAMES AVENUE BOSTON, MA 02116 3 BT INVESTMENT LIFECYCLE FUNDS 2 ----------------------------------------------------- INTRODUCTION FROM PRESIDENT - ------------------------------------------------------------------------------ May, 1995 Dear Shareholders: We are pleased to present your 1995 Annual Reports for the BT Investment Lifecycle Long Range, Mid Range and Short Range Funds. These Reports provide you with an investment overview as well as a financial summary of the Funds' operations for the year ended March 31, 1995. We have also included a Letter from the Investment Adviser, detailing the factors that affected the Funds' performance and performance charts which illustrate each Fund's return versus a relevant financial index. Also presented in each Report is a pie chart displaying diversification by assets exposures, financial statements, financial highlights and a listing of each Portfolio's holdings. Looking ahead, we will continue to closely observe the economic conditions and how they affect the financial markets. We appreciate your ongoing support of the BT Investment Lifecycle Funds and look forward to continuing to serve your investment needs. Philip W. Coolidge President 4 BT INVESTMENT LIFECYCLE FUNDS 3 ----------------------------------------------------- LETTER TO SHAREHOLDERS FROM INVESTMENT ADVISER - ------------------------------------------------------------------------------ The Lifecycle Funds underperformed their benchmarks for the period from April 1, 1994 through March 31, 1995, though in an active first quarter of 1995, a number of improvements in management structure were made. To review, the Funds were conservatively positioned throughout most of the spring and early summer, after the Federal Reserve Board had begun its series of interest rate hikes. Bond holdings were reduced and a lower-than-normal exposure to stocks was retained. The negative market environment was made worse by the dollar's decline against the yen. The Funds' underweighting in bonds helped performance during the late summer and early fall, as long-term interest rates continued to push up towards 8%. However, the Funds remained underweighted in stocks at this time and did not fully benefit from the rally which occurred in late summer. By the end of 1994, stock returns were moderately positive, bond returns were nearly flat, and cash returns led all other asset classes. The Funds were strongly overweighted in their allocation to cash during the end of 1994. After a weak record on stock selection for most of this period, the Funds made a number of improvements in the first three months of 1995, including strengthening risk management policies, increasing focus on international opportunities, and moving away from a cash retreat and more strongly into the stock and bond sectors. During these months, the Funds benefitted from strong rallies in both the stock and bond markets, which easily outperformed cash. Stock selection improved as well. Overweighted positions in Viacom, Coca Cola and Teledyne helped the Funds' performance. - - The Lifecycle Long Range Fund returned 6.60% for the year ended March 31, 1995, as compared to 10.79% for the Asset Allocation Index-Long Range. Since its inception on November 16, 1993, the Fund is up 3.19%. As of March 31, 1995, the Fund was close to its benchmark weighting, with 50% in stocks, 34% in bonds, and 16% in cash, a posture which does not take large risks relative to the benchmark. - - The Lifecycle Mid Range Fund returned 5.24% for the year ended March 31, 1995, as compared to 8.65% for the Asset Allocation Index-Mid Range. Since its inception on October 14, 1993, the Fund is up 0.01%. As of March 31, 1995, the Fund was close to its benchmark weighting, with 31% in stocks, 42% in bonds and 27% in cash, a posture which does not take large risks relative to the benchmark. - - The Lifecycle Short Range Fund returned 3.08% for the year ended March 31, 1995, as compared to 6.51% for the Asset Allocation Index-Short Range. Since its inception on October 15, 1993, the Fund is down 0.48%. As of March 31, 1995, the Fund was close to its benchmark weighting, with 11% in stocks, 50% in bonds and 39% in cash, a posture which does not take large risks relative to the benchmark. Looking ahead, we intend to continue to strengthen our stock selection record, and we also expect to begin making selective investments in international stocks and bonds. These investments are intended to help diversify the Funds and capture attractive return opportunities. 5 BT INVESTMENT LIFECYCLE FUNDS--LONG RANGE FUND 4 ----------------------------------------------------- LETTER TO SHAREHOLDERS FROM INVESTMENT ADVISER - ------------------------------------------------------------------------------ The following graph illustrates the Fund's return versus the S&P 500 Index and the Asset Allocation Index-Long Range since November 30, 1993, assuming a $10,000 initial investment: - ------------------------------------------------------------------------------ COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT IN THE BT INVESTMENT LIFECYCLE LONG RANGE FUND, S&P 500 INDEX AND **ASSET ALLOCATION INDEX-LONG RANGE
BT Investment Asset Lifecycle Long S&P 500 Allocation Range Fund Index Index 11/30/93 10,000 10,000 10,000 12/31/93 10,101 10,121 10,073 3/31/94 9,748 9,737 9,827 6/30/94 9,601 9,778 9,817 9/30/94 9,766 10,256 10,030 12/31/94 9,803 10,254 10,073 3/31/95 10,392 11,253 10,674
** Asset Allocation Index-Long Range is comprised of the following: 55% S&P 500 Index 35% Salomon Broad Investment Grade Bond Index 10% Salomon U.S. Dollar T-Bill Index
TOTAL RETURN ENDED MARCH 31, 1995 One Year Since 11/16/93* 6.60% 3.19%
* The Fund's inception date Investment return and principal value may fluctuate so that shares, when redeemed, may be worth more or less than their original cost. 6 BT INVESTMENT LIFECYCLE FUNDS--LONG RANGE FUND 5 ----------------------------------------------------- - ------------------------------------------------------------------------------------------------------------------------- OBJECTIVE Seeks to provide 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. - ------------------------------------------------------------------------------------------------------------------------- FIVE LARGEST COMMON General Electric Royal Dutch Petroleum STOCK HOLDINGS Bell Atlantic PECO Energy American Brands - ------------------------------------------------------------------------------------------------------------------------- FIVE LARGEST FIXED U.S. Treasury Notes (11/30/98@5.125%) U.S. Treasury Bonds (8/15/19@8.125%) INCOME SECURITIES U.S. Treasury Notes (8/15/04@7.25%) FNMA (9/1/21@8.00%) U.S. Treasury Notes (12/31/96@7.50%) - ------------------------------------------------------------------------------------------------------------------------- DIVERSIFICATION BY ASSETS This diversification pie chart shows the Fund's investment exposure to the different EXPOSURES AS OF asset classes (i.e. stocks, bonds and cash) based on the risk characteristics of the asset MARCH 31, 1995 class, rather than the actual instrument. For example, the Fund may buy or sell a futures contract to increase or decrease the Fund's exposure to the stock market.
Stocks - 50% Bonds - 34% Cash - 16% 7 BT INVESTMENT LIFECYCLE FUNDS--MID RANGE FUND 6 ----------------------------------------------------- LETTER TO SHAREHOLDERS FROM INVESTMENT ADVISER - ------------------------------------------------------------------------------ The following graph illustrates the Fund's return versus the S&P 500 Index and the Asset Allocation Index-Mid Range since October 31, 1993, assuming a $10,000 initial investment: - ------------------------------------------------------------------------------ COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT IN THE BT INVESTMENT LIFECYCLE MID RANGE FUND, S&P 500 INDEX AND **ASSET ALLOCATION INDEX-MID RANGE
BT Investment *Asset Lifecycle Mid S&P 500 Allocation Range Fund Index Index 10/31/93 10,000 10,000 10,000 12/31/93 9,955 10,024 10,006 3/31/94 9,580 9,644 9,763 6/30/94 9,486 9,685 9,753 9/30/94 9,591 10,158 9,964 12/31/94 9,620 10,157 10,007 3/31/95 10,082 11,146 10,803
** Asset Allocation Index-Mid Range is comprised of the following: 35% S&P 500 Index 45% Salomon Broad Investment Grade Bond Index 20% Salomon U.S. Dollar T-Bill Index
TOTAL RETURN ENDED MARCH 31, 1995 One Year Since 10/14/93* 5.24% 0.01%
* The Fund's inception date Investment return and principal value may fluctuate so that shares, when redeemed, may be worth more or less than their original cost. 8 BT INVESTMENT LIFECYCLE FUNDS--MID RANGE FUND 7 ----------------------------------------------------- - ------------------------------------------------------------------------------------------------------------------------- OBJECTIVE Seeks to provide a combination of capital growth and current income with moderate risk by investing in a diversified portfolio of high-quality bonds, cash and stocks of large U.S. and foreign companies. - ------------------------------------------------------------------------------------------------------------------------- INVESTMENT INSTRUMENTS Primarily common stocks, corporate and government issued intermediate to long-term bonds, various government agency issued asset-backed securities, and all types of domestic and foreign securities and money market instruments. - ------------------------------------------------------------------------------------------------------------------------- FIVE LARGEST COMMON General Electric Royal Dutch Petroleum STOCK HOLDINGS Bell Atlantic PECO Energy American Brands - ------------------------------------------------------------------------------------------------------------------------- FIVE LARGEST FIXED U.S. Treasury Notes (11/30/98@5.125%) U.S. Treasury Bonds (8/15/19@8.125%) INCOME SECURITIES GNMA (9/15/23@6.50%) GNMA (8/20/24@9.00%) U.S. Treasury Notes (11/15/00@8.50%) - ------------------------------------------------------------------------------------------------------------------------- DIVERSIFICATION BY ASSETS This diversification pie chart shows the Fund's investment exposure to the different EXPOSURES AS OF asset classes (i.e. stocks, bonds and cash) based on the risk characteristics of the asset MARCH 31, 1995 class, rather than the actual instrument. For example, the Fund may buy or sell a futures contract to increase or decrease the Fund's exposure to the stock market.
Stocks - 31% Bonds - 42% Cash - 27% 9 BT INVESTMENT LIFECYCLE FUNDS--SHORT RANGE FUND 8 ----------------------------------------------------- LETTER TO SHAREHOLDERS FROM INVESTMENT ADVISER - ------------------------------------------------------------------------------ The following graph illustrates the Fund's return versus the S&P 500 Index and the Asset Allocation Index-Short Range since October 31, 1993, assuming a $10,000 initial investment: - ------------------------------------------------------------------------------ COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT IN THE BT INVESTMENT LIFECYCLE SHORT RANGE FUND, S&P 500 INDEX AND **ASSET ALLOCATION INDEX-SHORT RANGE
BT Investment Asset Lifecycle Short S&P 500 Allocation Range Fund Index Index 10/31/93 10,000 10,000 10,000 12/31/93 10,101 10,024 10,004 3/31/94 9,748 9,644 9,816 6/30/94 9,601 9,685 9,798 9/30/94 9,766 10,158 9,931 12/31/94 9,803 10,157 9,990 3/31/95 10,392 11,146 10,453
** Asset Allocation Index-Short Range is comprised of the following: 15% S&P 500 Index 55% Salomon Broad Investment Grade Bond Index 30% Salomon U.S. Dollar T-Bill Index
TOTAL RETURN ENDED MARCH 31, 1995 One Year Since 10/15/93* 3.08% (0.48)%
* The Fund's inception date Investment return and principal value may fluctuate so that shares, when redeemed, may be worth more or less than their original cost. 10 BT INVESTMENT LIFECYCLE FUNDS--SHORT RANGE FUND 9 ----------------------------------------------------- - ------------------------------------------------------------------------------------------------------------------------- OBJECTIVE Seeks to preserve capital, achieve a high level of income and provide some potential for capital growth by investing in a diversified portfolio of high-quality of bonds, cash and stocks of large U.S. and foreign companies. - ------------------------------------------------------------------------------------------------------------------------- INVESTMENT INSTRUMENTS Primarily common stocks, corporate and government issued intermediate to long-term bonds, various government agency issued asset-backed securities, and all types of domestic and foreign securities and money market instruments. - ------------------------------------------------------------------------------------------------------------------------- FIVE LARGEST COMMON General Electric PECO Energy STOCK HOLDINGS American Brands Textron Royal Dutch Petroleum - ------------------------------------------------------------------------------------------------------------------------- FIVE LARGEST FIXED U.S. Treasury Note (8/15/04@7.25%) U.S. Treasury Note (11/30/98@5.125%) INCOME SECURITIES FNMA (9/1/21@8.00%) U.S. Treasury Note (11/15/00@8.50%) GNMA (9/15/23@6.50%) - ------------------------------------------------------------------------------------------------------------------------- DIVERSIFICATION BY ASSETS This diversification pie chart shows the Fund's investment exposure to the different EXPOSURES AS OF asset classes (i.e. stocks, bonds and cash) based on the risk characteristics of the asset MARCH 31, 1995 class, rather than the actual instrument. For example, the Fund may buy or sell a futures contract to increase or decrease the Fund's exposure to the stock market.
Stocks - 11% Bonds - 50% Cash - 39% 11 BT INVESTMENT LIFECYCLE FUNDS 10 ----------------------------------------------------- - ------------------------------------------------------------------------------ ABOUT THE PHILIP GREEN PORTFOLIO MANAGER VICE PRESIDENT SENIOR PORTFOLIO MANAGER - Manages Tactical Asset Allocation portfolios. Monitors individual strategy and aggregate portfolio risk exposures - Ten years of investment experience at Bankers Trust in a diverse range of assignments all relating to the asset allocation process. Managed global asset allocation portfolios for the last year. Prior to this, spent five years managing currency overlay portfolios and four years managing dynamic hedging and option replication portfolios in the U.S. stock and bond markets. - Joined Bankers Trust in 1985 - B.S.E.-Wharton School of Business M.B.A.-New York University 12 BT INVESTMENT LIFECYCLE FUNDS--LONG RANGE FUND 11 -----------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES - ------------------------------------------------------------------------------------------------------------------------- March 31, 1995 - ------------------------------------------------------------------------------------------------------------------------- ASSETS - ------------------------------------------------------------------------------------------------------------------------- Investment in Asset Management Portfolio, at Value $13,200,687 - ------------------------------------------------------------------------------------------------------------------------- Receivable for Shares of Beneficial Interest Sold 177,703 - ------------------------------------------------------------------------------------------------------------------------- Deferred Organizational Expenses 13,074 - ------------------------------------------------------------------------------------------------------------------------- Prepaid Expenses 6,068 - ------------------------------------------------------------------------------------------------------------------------- Due from Bankers Trust 3,091 - ------------------------------------------------------------------------------------------------------------------------- Total Assets 13,400,623 - ------------------------------------------------------------------------------------------------------------------------- LIABILITIES - ------------------------------------------------------------------------------------------------------------------------- Accrued Expenses and Accounts Payable 34,579 - ------------------------------------------------------------------------------------------------------------------------- Total Liabilities 34,579 - ------------------------------------------------------------------------------------------------------------------------- NET ASSETS (Applicable to 1,326,853 Outstanding Shares of $0.001 Par Value Per Share, Unlimited Number of Shares of Beneficial Interest Authorized) $13,366,044 - ------------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, Subscription and Redemption Price Per Share ($13,366,044/1,326,853 Shares) $ 10.07 - ------------------------------------------------------------------------------------------------------------------------- COMPOSITION OF NET ASSETS - ------------------------------------------------------------------------------------------------------------------------- Shares of Beneficial Interest, at Par $ 1,327 - ------------------------------------------------------------------------------------------------------------------------- Paid-in Capital 12,977,363 - ------------------------------------------------------------------------------------------------------------------------- Undistributed Net Investment Income 119,744 - ------------------------------------------------------------------------------------------------------------------------- Accumulated Net Realized (Loss) from Securities and Futures Transactions (37,813) - ------------------------------------------------------------------------------------------------------------------------- Net Unrealized Appreciation on Securities 277,525 - ------------------------------------------------------------------------------------------------------------------------- Net Unrealized Appreciation on Futures Contracts 27,898 - ------------------------------------------------------------------------------------------------------------------------- NET ASSETS, MARCH 31, 1995 $13,366,044 - -------------------------------------------------------------------------------------------------------------------------
See Notes to Financial Statements on Pages 53-55 13 BT INVESTMENT LIFECYCLE FUNDS--LONG RANGE FUND 12 -----------------------------------------------------
STATEMENT OF OPERATIONS - ------------------------------------------------------------------------------------------------------------------------- For the year ended March 31, 1995 - ------------------------------------------------------------------------------------------------------------------------- INVESTMENT INCOME - ------------------------------------------------------------------------------------------------------------------------- Income Allocated from Asset Management Portfolio, net $ 409,814 - ------------------------------------------------------------------------------------------------------------------------- EXPENSES - ------------------------------------------------------------------------------------------------------------------------- Administration and Services Fee $ 69,865 - ------------------------------------------------------------------------------------------------------------------------- Shareholders Reports 22,502 - ------------------------------------------------------------------------------------------------------------------------- Registration Fees 11,654 - ------------------------------------------------------------------------------------------------------------------------- Professional Fees 9,281 - ------------------------------------------------------------------------------------------------------------------------- Amortization of Organizational Expenses 3,589 - ------------------------------------------------------------------------------------------------------------------------- Trustees Fees 1,186 - ------------------------------------------------------------------------------------------------------------------------- Insurance 996 - ------------------------------------------------------------------------------------------------------------------------- Miscellaneous 1,314 - ------------------------------------------------------------------------------------------------------------------------- Total Expenses 120,387 - ------------------------------------------------------------------------------------------------------------------------- Less: Expenses Absorbed by Bankers Trust (77,393) 42,994 - ------------------------------------------------------------------------------------------------------------------------- NET INVESTMENT INCOME 366,820 - ------------------------------------------------------------------------------------------------------------------------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON SECURITIES - ------------------------------------------------------------------------------------------------------------------------- Net Realized Gain from Securities Transactions 136,681 - ------------------------------------------------------------------------------------------------------------------------- Net Realized (Loss) from Futures Transactions (100,031) - ------------------------------------------------------------------------------------------------------------------------- Net Unrealized Appreciation on Securities 356,975 - ------------------------------------------------------------------------------------------------------------------------- Net Unrealized Appreciation on Futures Contracts 37,190 - ------------------------------------------------------------------------------------------------------------------------- NET REALIZED AND UNREALIZED GAIN ON SECURITIES 430,815 - ------------------------------------------------------------------------------------------------------------------------- NET INCREASE IN NET ASSETS FROM OPERATIONS $ 797,635 - -------------------------------------------------------------------------------------------------------------------------
See Notes to Financial Statements on Pages 53-55 14 BT INVESTMENT LIFECYCLE FUNDS--LONG RANGE FUND 13 -----------------------------------------------------
STATEMENT OF CHANGES IN NET ASSETS - ------------------------------------------------------------------------------------------------------------------------- For the period November 16, 1993 For the (Commencement year ended of Operations) to March 31, 1995 March 31, 1994 - ------------------------------------------------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS - ------------------------------------------------------------------------------------------------------------------------- FROM OPERATIONS - ------------------------------------------------------------------------------------------------------------------------- Net Investment Income $ 366,820 $ 9,002 - ------------------------------------------------------------------------------------------------------------------------- Net Realized Gain (Loss) from Securities and Futures Transactions 36,650 (74,463) - ------------------------------------------------------------------------------------------------------------------------- Net Unrealized Appreciation (Depreciation) on Securities and Futures Contracts 394,165 (88,742) - ------------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets from Operations 797,635 (154,203) - ------------------------------------------------------------------------------------------------------------------------- FROM DIVIDENDS - ------------------------------------------------------------------------------------------------------------------------- Net Investment Income (256,078) - - ------------------------------------------------------------------------------------------------------------------------- Net (Decrease) in Net Assets from Dividends (256,078) - - ------------------------------------------------------------------------------------------------------------------------- FROM TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST - ------------------------------------------------------------------------------------------------------------------------- Net Increase in Net Assets from Transactions in Shares of Beneficial Interest 7,621,365 5,357,325 - ------------------------------------------------------------------------------------------------------------------------- TOTAL INCREASE IN NET ASSETS 8,162,922 5,203,122 - ------------------------------------------------------------------------------------------------------------------------- NET ASSETS - ------------------------------------------------------------------------------------------------------------------------- Beginning of Period 5,203,122 - - ------------------------------------------------------------------------------------------------------------------------- End of Period (including Undistributed Net Investment Income of $119,744 and $9,002 for 1995 and 1994, respectively) $13,366,044 $5,203,122 - -------------------------------------------------------------------------------------------------------------------------
See Notes to Financial Statements on Pages 53-55 15 BT INVESTMENT LIFECYCLE FUNDS--LONG RANGE FUND 14 ----------------------------------------------------- FINANCIAL HIGHLIGHTS - ------------------------------------------------------------------------------ Contained below are selected data for a share outstanding, total investment return, ratios to average net assets and other supplemental data for each of the periods indicated for the BT Investment Lifecycle Long Range Fund.
- ------------------------------------------------------------------------------------------------------------------------- For the period November 16, 1993 For the (Commencement year ended of Operations) to March 31, 1995 March 31, 1994 - ------------------------------------------------------------------------------------------------------------------------- SELECTED PER SHARE DATA Net Asset Value, Beginning of Period $ 9.68 $10.00 ------- ------ Income from Investment Operations Net Investment Income 0.30 0.02 Net Realized and Unrealized Gain (Loss) on Securities and Futures 0.32 (0.34) ------- ------ Total from Investment Operations 0.62 (0.32) ------- ------ Less Dividends Dividends from Net Investment Income (0.23) - ------- ------ Total Dividends (0.23) - ------- ------ Net Asset Value, End of Period $ 10.07 $ 9.68 ======= ====== TOTAL INVESTMENT RETURN 6.60% (8.42%)* RATIOS AND SUPPLEMENTAL DATA Ratio of Net Investment Income to Average Net Assets 3.41% 2.69%* Ratio of Expenses to Average Net Assets, Including Expenses of the Asset Management Portfolio 1.00% 1.00%* Decrease Reflected in Above Expense Ratio Due to Absorption of Expenses by Bankers Trust 0.91% 6.00%* Net Assets, End of Period (000's omitted) $13,366 $5,203
* Annualized See Notes to Financial Statements on Pages 53-55 16 ASSET MANAGEMENT PORTFOLIO 15 -----------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES - ------------------------------------------------------------------------------------------------------------------------- March 31, 1995 - ------------------------------------------------------------------------------------------------------------------------- ASSETS - ------------------------------------------------------------------------------------------------------------------------- Investments, at Value (Cost $99,989,525, including Repurchase Agreement amounting to $12,405,686) $101,692,645 - ------------------------------------------------------------------------------------------------------------------------- Cash 19,295 - ------------------------------------------------------------------------------------------------------------------------- Dividends and Interest Receivable 462,486 - ------------------------------------------------------------------------------------------------------------------------- Deferred Organizational Expenses 12,473 - ------------------------------------------------------------------------------------------------------------------------- Prepaid Expenses 1,521 - ------------------------------------------------------------------------------------------------------------------------- Total Assets 102,188,420 - ------------------------------------------------------------------------------------------------------------------------- LIABILITIES - ------------------------------------------------------------------------------------------------------------------------- Due to Bankers Trust 38,073 - ------------------------------------------------------------------------------------------------------------------------- Payable for Securities Purchased 5,570,952 - ------------------------------------------------------------------------------------------------------------------------- Accrued Expenses and Accounts Payable 33,881 - ------------------------------------------------------------------------------------------------------------------------- Variation Margin Payable 16,750 - ------------------------------------------------------------------------------------------------------------------------- Total Liabilities 5,659,656 - ------------------------------------------------------------------------------------------------------------------------- NET ASSETS $ 96,528,764 - ------------------------------------------------------------------------------------------------------------------------- COMPOSITION OF NET ASSETS - ------------------------------------------------------------------------------------------------------------------------- Paid-in Capital $ 94,617,119 - ------------------------------------------------------------------------------------------------------------------------- Net Unrealized Appreciation on Securities 1,703,120 - ------------------------------------------------------------------------------------------------------------------------- Net Unrealized Appreciation on Futures Contracts 208,525 - ------------------------------------------------------------------------------------------------------------------------- NET ASSETS, MARCH 31, 1995 $ 96,528,764 - -------------------------------------------------------------------------------------------------------------------------
See Notes to Financial Statements on Pages 57 and 58 17 ASSET MANAGEMENT PORTFOLIO 16 -----------------------------------------------------
STATEMENT OF OPERATIONS - ------------------------------------------------------------------------------------------------------------------------- For the year ended March 31, 1995 - ------------------------------------------------------------------------------------------------------------------------- INVESTMENT INCOME - ------------------------------------------------------------------------------------------------------------------------- Dividends $1,249,032 - ------------------------------------------------------------------------------------------------------------------------- Interest 2,633,639 - ------------------------------------------------------------------------------------------------------------------------- Total Investment Income $ 3,882,671 - ------------------------------------------------------------------------------------------------------------------------- EXPENSES - ------------------------------------------------------------------------------------------------------------------------- Advisory Fee 576,146 - ------------------------------------------------------------------------------------------------------------------------- Administration and Services Fee 88,638 - ------------------------------------------------------------------------------------------------------------------------- Professional Fees 26,913 - ------------------------------------------------------------------------------------------------------------------------- Amortization of Organizational Expenses 3,599 - ------------------------------------------------------------------------------------------------------------------------- Insurance 2,977 - ------------------------------------------------------------------------------------------------------------------------- Trustees Fees 1,212 - ------------------------------------------------------------------------------------------------------------------------- Miscellaneous 1,501 - ------------------------------------------------------------------------------------------------------------------------- Total Expenses 700,986 - ------------------------------------------------------------------------------------------------------------------------- Less: Expenses Absorbed by Bankers Trust (169,159) 531,827 - ------------------------------------------------------------------------------------------------------------------------- NET INVESTMENT INCOME 3,350,844 - ------------------------------------------------------------------------------------------------------------------------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON SECURITIES - ------------------------------------------------------------------------------------------------------------------------- Net Realized Gain from Securities Transactions 917,457 - ------------------------------------------------------------------------------------------------------------------------- Net Realized (Loss) from Futures Contracts (1,002,509) - ------------------------------------------------------------------------------------------------------------------------- Net Unrealized Appreciation on Securities 2,739,593 - ------------------------------------------------------------------------------------------------------------------------- Net Unrealized Appreciation on Futures Contracts 270,483 - ------------------------------------------------------------------------------------------------------------------------- NET REALIZED AND UNREALIZED GAIN ON SECURITIES 2,925,024 - ------------------------------------------------------------------------------------------------------------------------- NET INCREASE IN NET ASSETS FROM OPERATIONS $ 6,275,868 - -------------------------------------------------------------------------------------------------------------------------
See Notes to Financial Statements on Pages 57 and 58 18 ASSET MANAGEMENT PORTFOLIO 17 -----------------------------------------------------
STATEMENT OF CHANGES IN NET ASSETS - ------------------------------------------------------------------------------------------------------------------------- For the period September 16, 1993 For the (Commencement year ended of Operations) to March 31, 1995 March 31, 1994 - ------------------------------------------------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS - ------------------------------------------------------------------------------------------------------------------------- FROM OPERATIONS - ------------------------------------------------------------------------------------------------------------------------- Net Investment Income $ 3,350,844 $ 411,692 - ------------------------------------------------------------------------------------------------------------------------- Net Realized (Loss) from Securities and Futures Transactions (85,052) (603,349) - ------------------------------------------------------------------------------------------------------------------------- Net Unrealized Appreciation (Depreciation) on Securities and Futures Contracts 3,010,076 (1,098,431) - ------------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets from Operations 6,275,868 (1,290,088) - ------------------------------------------------------------------------------------------------------------------------- FROM CAPITAL TRANSACTIONS - ------------------------------------------------------------------------------------------------------------------------- Proceeds from Capital Invested 77,053,606 42,486,038 - ------------------------------------------------------------------------------------------------------------------------- Value of Capital Withdrawn (23,083,892) (4,912,768) - ------------------------------------------------------------------------------------------------------------------------- Net Increase in Net Assets from Capital Transactions 53,969,714 37,573,270 - ------------------------------------------------------------------------------------------------------------------------- TOTAL INCREASE IN NET ASSETS 60,245,582 36,283,182 - ------------------------------------------------------------------------------------------------------------------------- NET ASSETS - ------------------------------------------------------------------------------------------------------------------------- Beginning of Period 36,283,182 - - ------------------------------------------------------------------------------------------------------------------------- End of Period $96,528,764 $36,283,182 - -------------------------------------------------------------------------------------------------------------------------
See Notes to Financial Statements on Pages 57 and 58 19 ASSET MANAGEMENT PORTFOLIO 18 ----------------------------------------------------- FINANCIAL HIGHLIGHTS - ------------------------------------------------------------------------------ Contained below are selected ratios and supplemental data for each of the periods indicated for the Asset Management Portfolio.
- ------------------------------------------------------------------------------------------------------------------------- For the period September 16, 1993 For the (Commencement year ended of Operations) to March 31, 1995 March 31, 1994 - ------------------------------------------------------------------------------------------------------------------------- RATIOS AND SUPPLEMENTAL DATA Ratio of Net Investment Income to Average Net Assets 3.78% 2.83%* Ratio of Expenses to Average Net Assets 0.60% 0.60%* Decrease Reflected in Above Ratio of Expenses to Average Net Assets Due to Absorption of Expenses by Bankers Trust 0.19% 0.33%* Portfolio Turnover Rate 92% 56% Net Assets, End of Period (000's omitted) $96,529 $36,283
* Annualized See Notes to Financial Statements on Pages 57 and 58 20 ASSET MANAGEMENT PORTFOLIO 19 -----------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS - --------------------------------------------------------------------------- March 31, 1995 SHARES DESCRIPTION VALUE - --------------------------------------------------------------------------- COMMON STOCKS - 47.81% - --------------------------------------------------------------------------- AEROSPACE - 0.28% - --------------------------------------------------------------------------- 3,700 Raytheon $ 269,638 - --------------------------------------------------------------------------- AIRLINES - 0.66% - --------------------------------------------------------------------------- 3,000 AMR (a) 194,250 - --------------------------------------------------------------------------- 7,000 Delta Air Lines 439,250 - --------------------------------------------------------------------------- 633,500 - --------------------------------------------------------------------------- AUTO RELATED - 3.27% - --------------------------------------------------------------------------- 7,500 Chrysler 314,063 - --------------------------------------------------------------------------- 15,100 Dana 385,050 - --------------------------------------------------------------------------- 36,400 Ford Motor 982,800 - --------------------------------------------------------------------------- 19,500 General Motors 862,875 - --------------------------------------------------------------------------- 3,000 General Motors, Cl E 116,625 - --------------------------------------------------------------------------- 7,400 PACCAR 314,500 - --------------------------------------------------------------------------- 12,300 SPX 178,350 - --------------------------------------------------------------------------- 3,154,263 - --------------------------------------------------------------------------- AVIATION SERVICES - 0.56% - --------------------------------------------------------------------------- 26,800 Ogden 539,350 - --------------------------------------------------------------------------- BANKS - 0.66% - --------------------------------------------------------------------------- 2,400 Bank America 115,800 - --------------------------------------------------------------------------- 2,500 Citicorp 106,250 - --------------------------------------------------------------------------- 2,000 First Interstate Bancorp 158,000 - --------------------------------------------------------------------------- 3,000 National Bancorp of Alaska 149,250 - --------------------------------------------------------------------------- 2,100 Suntrust Banks 112,350 - --------------------------------------------------------------------------- 641,650 - --------------------------------------------------------------------------- BEVERAGES - 1.09% - --------------------------------------------------------------------------- 11,100 Coca Cola 627,150 - --------------------------------------------------------------------------- 10,800 Pepsico 421,200 - --------------------------------------------------------------------------- 1,048,350 - --------------------------------------------------------------------------- BROADCASTING - 0.12% - --------------------------------------------------------------------------- 2,000 Clear Channel - --------------------------------------------------------------------------- Communications(a) 119,000 - --------------------------------------------------------------------------- BUILDING & CONSTRUCTION - 0.23% - --------------------------------------------------------------------------- 9,100 Centex 219,537 - --------------------------------------------------------------------------- BUILDING FOREST PRODUCTS - 0.11% - --------------------------------------------------------------------------- 9,000 Kaufman & Broad Home 106,875 - --------------------------------------------------------------------------- CHEMICALS - 0.63% - --------------------------------------------------------------------------- 10,100 Du Pont (E.I.) De Nemours 611,050 - --------------------------------------------------------------------------- COMPUTER SERVICES - 0.20% - --------------------------------------------------------------------------- 3,100 Automatic Data Processing 195,300 - --------------------------------------------------------------------------- COMPUTER SOFTWARE - 1.03% - --------------------------------------------------------------------------- 2,900 Computer Associates International 172,187 - --------------------------------------------------------------------------- 9,900 Microsoft (a) 704,137 - --------------------------------------------------------------------------- 3,700 Oracle Systems (a) 115,625 - --------------------------------------------------------------------------- 991,949 - --------------------------------------------------------------------------- CONTAINERS - 0.12% - --------------------------------------------------------------------------- 3,000 Avery Dennison 119,625 - --------------------------------------------------------------------------- COSMETICS - 0.64% - --------------------------------------------------------------------------- 7,600 Gillette 620,350 - --------------------------------------------------------------------------- DRUGS - 2.44% - --------------------------------------------------------------------------- 1,800 Bristol Myers Squibb 113,400 - --------------------------------------------------------------------------- 18,400 Merck & Co. 784,300 - --------------------------------------------------------------------------- 7,300 Pfizer 625,975 - --------------------------------------------------------------------------- 4,000 Schering-Plough 297,500 - --------------------------------------------------------------------------- 4,000 Smithkline Beecham 150,000 - --------------------------------------------------------------------------- 4,900 Warner-Lambert 383,425 - --------------------------------------------------------------------------- 2,354,600 - --------------------------------------------------------------------------- ELECTRICAL EQUIPMENT - 3.21% - --------------------------------------------------------------------------- 4,600 Belden 101,200 - ---------------------------------------------------------------------------
See Notes to Financial Statements on Pages 57 and 58 21 ASSET MANAGEMENT PORTFOLIO 20 -----------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS - --------------------------------------------------------------------------- March 31, 1995 SHARES DESCRIPTION VALUE - --------------------------------------------------------------------------- 42,000 General Electric $ 2,273,250 - --------------------------------------------------------------------------- 6,000 Hewlett-Packard 722,250 - --------------------------------------------------------------------------- 3,096,700 - --------------------------------------------------------------------------- ELECTRONICS - 1.15% - --------------------------------------------------------------------------- 1,500 AMP 54,000 - --------------------------------------------------------------------------- 2,900 Intel 246,137 - --------------------------------------------------------------------------- 14,900 Motorola 813,913 - --------------------------------------------------------------------------- 1,114,050 - --------------------------------------------------------------------------- FINANCIAL SERVICES - 0.72% - --------------------------------------------------------------------------- 1,900 Federal National Mortgage Assoc. 154,612 - --------------------------------------------------------------------------- 10,000 First Data 518,750 - --------------------------------------------------------------------------- 700 Fleet Financial Group 22,663 - --------------------------------------------------------------------------- 696,025 - --------------------------------------------------------------------------- FOOD SERVICES & LODGINGS - 0.31% - --------------------------------------------------------------------------- 8,700 McDonald's 296,887 - --------------------------------------------------------------------------- FOODS - 0.93% - --------------------------------------------------------------------------- 7,000 Campbell Soup 338,625 - --------------------------------------------------------------------------- 2,300 CPC International 124,487 - --------------------------------------------------------------------------- 10,700 Sara Lee 279,538 - --------------------------------------------------------------------------- 1,200 Unilever N.V., ADR 157,500 - --------------------------------------------------------------------------- 900,150 - --------------------------------------------------------------------------- HEALTH CARE DIVERSIFIED - 0.52% - --------------------------------------------------------------------------- 8,000 Abbott Laboratories 285,000 - --------------------------------------------------------------------------- 5,100 Columbia/HCA Health Care 219,300 - --------------------------------------------------------------------------- 504,300 - --------------------------------------------------------------------------- HOSPITAL SUPPLIES & SERVICES - 1.52% - --------------------------------------------------------------------------- 3,900 Allergan 115,050 - --------------------------------------------------------------------------- 3,400 Becton, Dickinson & Co 184,450 - --------------------------------------------------------------------------- 6,800 Biomet (a) 114,750 - --------------------------------------------------------------------------- 12,700 Johnson & Johnson 755,650 - --------------------------------------------------------------------------- 4,700 Sun Healthcare Group (a) 119,850 - --------------------------------------------------------------------------- 3,700 United Healthcare 172,975 - --------------------------------------------------------------------------- 1,462,725 - --------------------------------------------------------------------------- INSURANCE - 0.97% - --------------------------------------------------------------------------- 6,100 American International Group 635,925 - --------------------------------------------------------------------------- 2,300 General Re 303,600 - --------------------------------------------------------------------------- 939,525 - --------------------------------------------------------------------------- LEISURE RELATED - 1.18% - --------------------------------------------------------------------------- 16,500 Disney (Walt) 880,687 - --------------------------------------------------------------------------- 12,400 Outboard Marine 260,400 - --------------------------------------------------------------------------- 1,141,087 - --------------------------------------------------------------------------- MACHINERY - AGRICULTURE - 0.64% - --------------------------------------------------------------------------- 7,600 Deere & Co. 617,500 - --------------------------------------------------------------------------- MACHINERY - OTHER - 1.09% - --------------------------------------------------------------------------- 18,600 Textron 1,053,225 - --------------------------------------------------------------------------- METALS - 0.12% - --------------------------------------------------------------------------- 4,300 Alcan Aluminium Ltd. 114,487 - --------------------------------------------------------------------------- OFFICE EQUIPMENT - 1.04% - --------------------------------------------------------------------------- 6,800 Cray Research (a) 124,950 - --------------------------------------------------------------------------- 7,700 International Business Machines 630,437 - --------------------------------------------------------------------------- 12,500 Unisys (a) 115,625 - --------------------------------------------------------------------------- 1,100 Xerox 129,113 - --------------------------------------------------------------------------- 1,000,125 - --------------------------------------------------------------------------- OIL DOMESTIC - 0.97% - --------------------------------------------------------------------------- 5,500 Enron Oil & Gas 135,437 - --------------------------------------------------------------------------- 17,000 Tenneco 801,125 - --------------------------------------------------------------------------- 936,562 - ---------------------------------------------------------------------------
See Notes to Financial Statements on Pages 57 and 58 22 ASSET MANAGEMENT PORTFOLIO 21 --------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS - --------------------------------------------------------------------------- March 31, 1995 SHARES DESCRIPTION VALUE - --------------------------------------------------------------------------- OIL INTERNATIONAL - 2.55% - --------------------------------------------------------------------------- 9,900 Exxon $ 660,825 - --------------------------------------------------------------------------- 6,900 Mobil 639,112 - --------------------------------------------------------------------------- 9,700 Royal Dutch Petroleum 1,164,000 - --------------------------------------------------------------------------- 2,463,937 - --------------------------------------------------------------------------- OIL SUPPLIES & CONSTRUCTION - 0.35% - --------------------------------------------------------------------------- 5,700 Schlumberger Ltd. 339,863 - --------------------------------------------------------------------------- PAPER - 0.50% - --------------------------------------------------------------------------- 1,500 International Paper 112,687 - --------------------------------------------------------------------------- 4,100 Scott Paper 366,438 - --------------------------------------------------------------------------- 479,125 - --------------------------------------------------------------------------- PETROLEUM RELATED - 1.15% - --------------------------------------------------------------------------- 3,400 Amoco 216,325 - --------------------------------------------------------------------------- 17,100 Ashland Oil 609,188 - --------------------------------------------------------------------------- 2,500 Atlantic Richfield 287,500 - --------------------------------------------------------------------------- 1,113,013 - --------------------------------------------------------------------------- PHARMACEUTICALS - 0.12% - --------------------------------------------------------------------------- 4,600 Marion Merrell Dow 113,850 - --------------------------------------------------------------------------- PHOTOGRAPHY & OPTICAL - 0.21% - --------------------------------------------------------------------------- 3,900 Eastman Kodak 207,188 - --------------------------------------------------------------------------- PRINTING & PUBLISHING - 0.47% - --------------------------------------------------------------------------- 2,300 Gannett 122,763 - --------------------------------------------------------------------------- 8,700 Time Warner 328,425 - --------------------------------------------------------------------------- 451,188 - --------------------------------------------------------------------------- REAL ESTATE - 0.22% - --------------------------------------------------------------------------- 9,200 Pulte 216,200 - --------------------------------------------------------------------------- RETAIL - 2.52% - --------------------------------------------------------------------------- 12,100 Dayton Hudson 865,150 - --------------------------------------------------------------------------- 24,500 Fleming 554,313 - --------------------------------------------------------------------------- 6,300 May Department Stores 233,100 - --------------------------------------------------------------------------- 3,500 Pep Boys-Manny Moe & Jack 108,500 - --------------------------------------------------------------------------- 26,200 Wal-Mart Stores 668,100 - --------------------------------------------------------------------------- 2,429,163 - --------------------------------------------------------------------------- RETAIL - FOOD - 0.12% - --------------------------------------------------------------------------- 3,200 Safeway (a) 111,200 - --------------------------------------------------------------------------- SOAPS & TOILETRIES - 1.04% - --------------------------------------------------------------------------- 1,700 Colgate-Palmolive 112,200 - --------------------------------------------------------------------------- 13,400 Procter & Gamble 887,750 - --------------------------------------------------------------------------- 999,950 - --------------------------------------------------------------------------- TELECOMMUNICATIONS - 1.74% - --------------------------------------------------------------------------- 3,000 Andrew (a) 122,250 - --------------------------------------------------------------------------- 17,600 AT&T 910,800 - --------------------------------------------------------------------------- 3,300 Capital Cities/ABC 291,225 - --------------------------------------------------------------------------- 7,300 Telecommunication, Cl A (a) 153,300 - --------------------------------------------------------------------------- 4,500 Viacom, Cl B (a) 201,375 - --------------------------------------------------------------------------- 1,678,950 - --------------------------------------------------------------------------- TIRE & RUBBER - 0.55% - --------------------------------------------------------------------------- 14,500 Goodyear Tire & Rubber 532,875 - --------------------------------------------------------------------------- TOBACCO - 1.64% - --------------------------------------------------------------------------- 29,700 American Brands 1,165,725 - --------------------------------------------------------------------------- 4,900 Philip Morris 319,725 - --------------------------------------------------------------------------- 3,100 UST 98,425 - --------------------------------------------------------------------------- 1,583,875 - --------------------------------------------------------------------------- TRUCKING - SHIPPING - 0.81% - --------------------------------------------------------------------------- 8,800 Consolidated Freightways 234,300 - --------------------------------------------------------------------------- 22,700 Ryder System 544,800 - --------------------------------------------------------------------------- 779,100 - ---------------------------------------------------------------------------
See Notes to Financial Statements on Pages 57 and 58 23 ASSET MANAGEMENT PORTFOLIO 22 -------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS - --------------------------------------------------------------------------- March 31, 1995 SHARES DESCRIPTION VALUE - --------------------------------------------------------------------------- UTILITY - ELECTRIC - 4.79% - --------------------------------------------------------------------------- 26,700 Central & Southwest $ 647,475 - --------------------------------------------------------------------------- 30,300 Detroit Edison 829,462 - --------------------------------------------------------------------------- 27,800 Houston Industries 1,059,875 - --------------------------------------------------------------------------- 26,400 Pacific Gas & Electric 656,700 - --------------------------------------------------------------------------- 43,300 PECO Energy 1,087,913 - --------------------------------------------------------------------------- 21,900 SCE 342,188 - --------------------------------------------------------------------------- 4,623,613 - --------------------------------------------------------------------------- UTILITY - NATURAL GAS - 1.24% - --------------------------------------------------------------------------- 22,700 ONEOK 428,463 - --------------------------------------------------------------------------- 16,100 Panhandle Eastern 370,300 - --------------------------------------------------------------------------- 15,900 People's Energy 397,500 - --------------------------------------------------------------------------- 1,196,263 - --------------------------------------------------------------------------- UTILITY - TELEPHONE - 1.38% - --------------------------------------------------------------------------- 23,400 Bell Atlantic 1,234,350 - --------------------------------------------------------------------------- 2,500 Telephone & Data System 98,750 - --------------------------------------------------------------------------- 1,333,100 - --------------------------------------------------------------------------- TOTAL COMMON STOCK (Cost $44,137,780) $ 46,150,838 - --------------------------------------------------------------------------- PREFERRED STOCK NON-CONVERTIBLE - 0.00% - --------------------------------------------------------------------------- DIVERSIFIED - 0.00% - --------------------------------------------------------------------------- 146 Teledyne (Cost $1,678) $ 2,172 - --------------------------------------------------------------------------- PRINCIPAL AMOUNT CORPORATE DEBENTURES - 2.67% - --------------------------------------------------------------------------- BANKS - 0.67% - --------------------------------------------------------------------------- Citicorp: - --------------------------------------------------------------------------- 110,000 9.50%, 2/1/02 $ 119,539 - --------------------------------------------------------------------------- 35,000 8.625%, 12/1/02 36,156 - --------------------------------------------------------------------------- 100,000 Fleet/Norstar Group, 7.65%, 3/1/97 100,321 - --------------------------------------------------------------------------- 160,000 International Bank Reconstruction & Development, 9.75%, 1/23/16 187,600 - --------------------------------------------------------------------------- 220,000 Westdeutsche LB - NY, 6.75%, 6/15/05 205,541 - --------------------------------------------------------------------------- 649,157 - --------------------------------------------------------------------------- BEVERAGES - 0.10% - --------------------------------------------------------------------------- 100,000 Anheuser Busch, 7.375%, 7/1/23 92,546 - --------------------------------------------------------------------------- FINANCIAL SERVICES - 0.79% - --------------------------------------------------------------------------- 150,000 Dean Witter Discover, 6.875%, 3/1/03 140,896 - --------------------------------------------------------------------------- 105,000 Goldman Sachs, 6.625%, 2/23/98 (b)(f) 104,932 - --------------------------------------------------------------------------- 195,000 KFW International Finance, 8.20%, 6/1/06 202,486 - --------------------------------------------------------------------------- 200,000 Pacific Mutual Life, 7.90%, 12/30/23 (f) 178,834 - --------------------------------------------------------------------------- 120,000 Swedish Export Credit, 9.875%, 3/15/38 130,540 - --------------------------------------------------------------------------- 757,688 - --------------------------------------------------------------------------- INSURANCE - 0.19% - --------------------------------------------------------------------------- 215,000 New York Life, 7.50%, 12/15/23 (f) 186,330 - --------------------------------------------------------------------------- OIL INTERNATIONAL - 0.09% - --------------------------------------------------------------------------- 85,000 BHP Finance USA, 7.875%, 12/1/02 84,914 - --------------------------------------------------------------------------- PAPER - 0.04% - --------------------------------------------------------------------------- 40,000 Westvaco, 8.30%, 8/1/22 39,435 - --------------------------------------------------------------------------- PHARMACEUTICALS - 0.06% - --------------------------------------------------------------------------- 70,000 Schering-Plough, 0.00% 12/2/96 (c) 62,346 - --------------------------------------------------------------------------- RETAIL - 0.15% - --------------------------------------------------------------------------- 150,000 May Department Stores, 8.375%, 8/1/24 148,687 - --------------------------------------------------------------------------- UTILITY - ELECTRIC - 0.39% - --------------------------------------------------------------------------- 35,000 Idaho Power, 8.00%, 3/15/04 35,265 - --------------------------------------------------------------------------- 140,000 Potomac Edison, 8.00%, 6/1/24 135,072 - ---------------------------------------------------------------------------
See Notes to Financial Statements on Pages 57 and 58 24 ASSET MANAGEMENT PORTFOLIO 23 -----------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS - --------------------------------------------------------------------------- March 31, 1995 PRINCIPAL AMOUNT DESCRIPTION VALUE - --------------------------------------------------------------------------- $ 195,000 Virginia Electric & Power, 8.625%, 10/1/24 $ 201,033 - --------------------------------------------------------------------------- 371,370 - --------------------------------------------------------------------------- UTILITY - NATURAL GAS - 0.19% - --------------------------------------------------------------------------- 175,000 KN Energy, 9.625%, 8/1/21 187,233 - --------------------------------------------------------------------------- TOTAL CORPORATE DEBENTURES (Cost $2,590,437) $ 2,579,706 - --------------------------------------------------------------------------- ASSET-BACKED SECURITIES - 9.56% - --------------------------------------------------------------------------- CORPORATE - 0.22% - --------------------------------------------------------------------------- Standard Credit Card Master Trust: - --------------------------------------------------------------------------- $ 140,000 8.25%, 11/7/03 $ 144,599 - --------------------------------------------------------------------------- 75,000 7.25%, 4/7/06 72,079 - --------------------------------------------------------------------------- 216,678 - --------------------------------------------------------------------------- U.S. GOVERNMENT & AGENCIES - 9.34% - --------------------------------------------------------------------------- FGHLMC: (e) - --------------------------------------------------------------------------- 242,855 8.50%, 3/1/23 248,633 - --------------------------------------------------------------------------- 700,000 8.50%, 3/1/25 707,879 - --------------------------------------------------------------------------- 211,220 FHLMC, 9.50%, 2/1/25 (e) 220,461 - --------------------------------------------------------------------------- FNMA: (e) - --------------------------------------------------------------------------- 299,286 6.00%, 1/1/01 288,392 - --------------------------------------------------------------------------- 325,000 8.625%, 11/10/04 336,324 - --------------------------------------------------------------------------- 676,354 7.00%, 9/1/07 657,332 - --------------------------------------------------------------------------- 430,354 6.50%, 9/1/08 408,836 - --------------------------------------------------------------------------- 669,001 6.00%, 1/1/09 623,055 - --------------------------------------------------------------------------- 176,773 7.00%, 5/1/09 171,801 - --------------------------------------------------------------------------- 452,405 7.00%, 6/1/09 439,681 - --------------------------------------------------------------------------- 428,696 8.00%, 4/1/10 431,504 - --------------------------------------------------------------------------- 1,175,000 8.00%,9/1/21 1,163,624 - --------------------------------------------------------------------------- 185,272 7.50%, 8/1/23 179,251 - --------------------------------------------------------------------------- 443,312 6.50%, 10/1/23 404,802 - --------------------------------------------------------------------------- 180,903 8.00%, 5/1/24 179,151 - --------------------------------------------------------------------------- 1,196,186 8.00%,6/1/24 1,184,604 - --------------------------------------------------------------------------- GNMA: (e) - --------------------------------------------------------------------------- 369,036 7.00%, 9/15/23 345,396 - --------------------------------------------------------------------------- 1,015,883 8.50%,10/20/24 1,023,825 - --------------------------------------------------------------------------- 9,014,551 - --------------------------------------------------------------------------- TOTAL ASSET-BACKED SECURITIES (Cost $9,416,472) $ 9,231,229 - --------------------------------------------------------------------------- GOVERNMENTS FOREIGN - 0.37% - --------------------------------------------------------------------------- CANADA - 0.21% - --------------------------------------------------------------------------- $ 125,000 Manitoba, 6.125%, 1/19/04 $ 112,202 - --------------------------------------------------------------------------- 105,000 Quebec Province, 7.125%, 2/9/94 88,655 - --------------------------------------------------------------------------- 200,857 - --------------------------------------------------------------------------- NEW ZEALAND - 0.16% - --------------------------------------------------------------------------- 145,000 New Zealand Government, 8.75%, 12/15/06 155,411 - --------------------------------------------------------------------------- TOTAL GOVERNMENTS FOREIGN (Cost $360,871) $ 356,268 - --------------------------------------------------------------------------- LONG-TERM U.S. TREASURY SECURITIES - 14.20% - --------------------------------------------------------------------------- U.S. TREASURY BONDS - 2.03% - --------------------------------------------------------------------------- $1,717,000 8.125%, 8/15/19 $ 1,820,556 - --------------------------------------------------------------------------- 140,000 7.25%, 8/15/22 135,843 - --------------------------------------------------------------------------- 1,956,399 - ---------------------------------------------------------------------------
See Notes to Financial Statements on Pages 57 and 58 25 ASSET MANAGEMENT PORTFOLIO 24 -----------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS - --------------------------------------------------------------------------- March 31, 1995 PRINCIPAL AMOUNT DESCRIPTION VALUE - --------------------------------------------------------------------------- U.S. TREASURY NOTES - 12.17% - --------------------------------------------------------------------------- $ 2,000,000 7.50%, 12/31/96 $ 2,024,680 - --------------------------------------------------------------------------- 5,515,000 5.125%, 11/30/98 5,184,983 - --------------------------------------------------------------------------- 4,534,000 7.25%, 8/15/04 4,538,248 - --------------------------------------------------------------------------- 11,747,911 - --------------------------------------------------------------------------- TOTAL LONG-TERM U.S. TREASURY SECURITIES (Cost $13,815,380) $ 13,704,310 - --------------------------------------------------------------------------- SHORT-TERM INVESTMENTS - 30.74% - --------------------------------------------------------------------------- U.S. TREASURY BILLS - 17.89% - --------------------------------------------------------------------------- $11,000,000 5.62%, 4/13/95 $ 10,979,283 - --------------------------------------------------------------------------- 160,000 5.75%, 6/1/95 (d) 158,513 - --------------------------------------------------------------------------- 6,300,000 5.83%, 9/21/95 6,124,640 - --------------------------------------------------------------------------- 17,262,436 - --------------------------------------------------------------------------- REPURCHASE AGREEMENT - 12.85% - --------------------------------------------------------------------------- 12,405,686 Repurchase agreement with Sanwa Bank, Dated 3/31/95, 5.90%, Principal and Interest in the Amount of $12,407,719, Due 4/3/95, (Collateralized by U.S. Treasury Bonds, Par Value of $12,276,000, 6.875%, Due 10/31/96, Value of $12,658,735) 12,405,686 - --------------------------------------------------------------------------- TOTAL SHORT-TERM INVESTMENTS (Cost $29,666,907) $ 29,668,122 - --------------------------------------------------------------------------- TOTAL INVESTMENTS (Cost $99,989,525) 105.35% $101,692,645 - --------------------------------------------------------------------------- Liabilities in Excess of Other Assets (5.35%) (5,163,881) - --------------------------------------------------------------------------- NET ASSETS 100.00% $ 96,528,764 - ---------------------------------------------------------------------------
NUMBER OF NET UNREALIZED FUTURES APPRECIATION/ CONTRACTS DESCRIPTION (DEPRECIATION) - --------------------------------------------------------------------------- FUTURES CONTRACTS - --------------------------------------------------------------------------- 8 S&P 500 June 1995 Long Futures (Market Value $2,017,600) $ 155,400 - --------------------------------------------------------------------------- 45 U.S. Treasury June 1995 Long Futures (Market Value $4,675,781) 50,625 - --------------------------------------------------------------------------- 40 U.S. Treasury September 1995 Short Futures (Market Value $4,137,500) 2,500 - --------------------------------------------------------------------------- $ 208,525 - ---------------------------------------------------------------------------
(a) Non-Income Producing (b) Quarterly Floating Rate Note (c) Purchased at Deep Discount (d) Held as Collateral for Futures Contracts (e) The following abbreviations are used in the portfolio descriptions: FGHLMC - Federal Gold Home Loan Mortgage Corporation FHLMC - Federal Home Loan Mortgage Corporation FNMA - Federal National Mortgage Association GNMA - Government National Mortgage Association (f) Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the period end, the value of these securities amounted to $470,096 or 0.49% of net assets. See Notes to Financial Statements on Pages 57 and 58 26 BT INVESTMENT LIFECYCLE FUNDS--MID RANGE FUND 25 -----------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES - ------------------------------------------------------------------------------------------------------ March 31, 1995 - ------------------------------------------------------------------------------------------------------ ASSETS - ------------------------------------------------------------------------------------------------------ Investment in Asset Management Portfolio II, at Value $25,604,379 - ------------------------------------------------------------------------------------------------------ Receivable for Shares of Beneficial Interest Sold 146,403 - ------------------------------------------------------------------------------------------------------ Deferred Organizational Expenses 12,749 - ------------------------------------------------------------------------------------------------------ Prepaid Expenses 6,067 - ------------------------------------------------------------------------------------------------------ Total Assets 25,769,598 - ------------------------------------------------------------------------------------------------------ LIABILITIES - ------------------------------------------------------------------------------------------------------ Due to Bankers Trust 4,382 - ------------------------------------------------------------------------------------------------------ Accrued Expenses and Accounts Payable 32,128 - ------------------------------------------------------------------------------------------------------ Total Liabilities 36,510 - ------------------------------------------------------------------------------------------------------ NET ASSETS (Applicable to 2,678,186 Outstanding Shares of $0.001 Par Value Per Share, Unlimited Number of Shares of Beneficial Interest Authorized) $25,733,088 - ------------------------------------------------------------------------------------------------------ NET ASSET VALUE, Subscription and Redemption Price Per Share ($25,733,088/2,678,186 Shares) $ 9.61 - ------------------------------------------------------------------------------------------------------ COMPOSITION OF NET ASSETS - ------------------------------------------------------------------------------------------------------ Shares of Beneficial Interest, at Par $ 2,678 - ------------------------------------------------------------------------------------------------------ Paid-in Capital 26,179,511 - ------------------------------------------------------------------------------------------------------ Undistributed Net Investment Income 287,551 - ------------------------------------------------------------------------------------------------------ Accumulated Net Realized (Loss) from Securities and Futures Transactions (818,164) - ------------------------------------------------------------------------------------------------------ Net Unrealized (Depreciation) on Securities (51,369) - ------------------------------------------------------------------------------------------------------ Net Unrealized Appreciation on Futures Contracts 132,881 - ------------------------------------------------------------------------------------------------------ NET ASSETS, MARCH 31, 1995 $25,733,088 - ------------------------------------------------------------------------------------------------------
See Notes to Financial Statements on Pages 53-55 27 BT INVESTMENT LIFECYCLE FUNDS--MID RANGE FUND 26 -----------------------------------------------------
STATEMENT OF OPERATIONS - ------------------------------------------------------------------------------------------------------ For the year ended March 31, 1995 - ------------------------------------------------------------------------------------------------------ INVESTMENT INCOME - ------------------------------------------------------------------------------------------------------ Income Allocated from Asset Management Portfolio II, net $1,060,282 - ------------------------------------------------------------------------------------------------------ EXPENSES - ------------------------------------------------------------------------------------------------------ Administration and Services Fee $156,366 - ------------------------------------------------------------------------------------------------------ Professional Fees 9,256 - ------------------------------------------------------------------------------------------------------ Registration Fees 21,073 - ------------------------------------------------------------------------------------------------------ Trustees Fees 1,265 - ------------------------------------------------------------------------------------------------------ Amortization of Organizational Expenses 3,589 - ------------------------------------------------------------------------------------------------------ Shareholders Reports 19,234 - ------------------------------------------------------------------------------------------------------ Insurance 996 - ------------------------------------------------------------------------------------------------------ Miscellaneous 1,313 - ------------------------------------------------------------------------------------------------------ Total Expenses 213,092 - ------------------------------------------------------------------------------------------------------ Less: Expenses Absorbed by Bankers Trust (116,867) 96,225 - ------------------------------------------------------------------------------------------------------ NET INVESTMENT INCOME 964,057 - ------------------------------------------------------------------------------------------------------ NET REALIZED AND UNREALIZED GAIN (LOSS) ON SECURITIES AND FUTURES - ------------------------------------------------------------------------------------------------------ Net Realized (Loss) from Securities Transactions (481,517) - ------------------------------------------------------------------------------------------------------ Net Realized (Loss) from Futures Transactions (210,987) - ------------------------------------------------------------------------------------------------------ Net Unrealized Appreciation on Securities 876,303 - ------------------------------------------------------------------------------------------------------ Net Unrealized Appreciation on Futures Contracts 126,424 - ------------------------------------------------------------------------------------------------------ NET REALIZED AND UNREALIZED GAIN ON SECURITIES AND FUTURES 310,223 - ------------------------------------------------------------------------------------------------------ NET INCREASE IN NET ASSETS FROM OPERATIONS $1,274,280 - ------------------------------------------------------------------------------------------------------
See Notes to Financial Statements on Pages 53-55 28 BT INVESTMENT LIFECYCLE FUNDS--MID RANGE FUND 27 -----------------------------------------------------
STATEMENT OF CHANGES IN NET ASSETS - ------------------------------------------------------------------------------------------------------ For the period October 14, 1993 For the (Commencement of year ended Operations) to March 31, 1995 March 31, 1994 - ------------------------------------------------------------------------------------------------------ INCREASE (DECREASE) IN NET ASSETS - ------------------------------------------------------------------------------------------------------ FROM OPERATIONS - ------------------------------------------------------------------------------------------------------ Net Investment Income $ 964,057 $ 197,471 - ------------------------------------------------------------------------------------------------------ Net Realized (Loss) from Securities and Futures Transactions (692,504) (125,660) - ------------------------------------------------------------------------------------------------------ Net Unrealized Appreciation (Depreciation) on Securities and Futures Contracts 1,002,727 (921,215) - ------------------------------------------------------------------------------------------------------ Net Increase (Decrease) in Net Assets from Operations 1,274,280 (849,404) - ------------------------------------------------------------------------------------------------------ FROM DIVIDENDS - ------------------------------------------------------------------------------------------------------ Net Investment Income (791,477) (82,500) - ------------------------------------------------------------------------------------------------------ Net (Decrease) in Net Assets from Dividends (791,477) (82,500) - ------------------------------------------------------------------------------------------------------ FROM TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST - ------------------------------------------------------------------------------------------------------ Net Increase in Net Assets from Transactions in Shares of Beneficial Interest 6,080,014 20,102,175 - ------------------------------------------------------------------------------------------------------ TOTAL INCREASE IN NET ASSETS 6,562,817 19,170,271 - ------------------------------------------------------------------------------------------------------ NET ASSETS - ------------------------------------------------------------------------------------------------------ Beginning of Period 19,170,271 - - ------------------------------------------------------------------------------------------------------ End of Period (including Undistributed Net Investment Income of $287,551 and $114,971 for 1995 and 1994, respectively) $25,733,088 $19,170,271 - ------------------------------------------------------------------------------------------------------
See Notes to Financial Statements on Pages 53-55 29 BT INVESTMENT LIFECYCLE FUNDS--MID RANGE FUND 28 ----------------------------------------------------- FINANCIAL HIGHLIGHTS - ---------------------------------------------------------------------------- Contained below are selected data for a share outstanding, total investment return, ratios to average net assets and other supplemental data for each of the periods indicated for the BT Investment Lifecycle Mid Range Fund.
- ------------------------------------------------------------------------------------------------------ For the period October 14, 1993 For the (Commencement of year ended Operations) to March 31, 1995 March 31, 1994 - ------------------------------------------------------------------------------------------------------ SELECTED PER SHARE DATA Net Asset Value, Beginning of Period $ 9.45 $ 10.00 ------- -------- Income from Investment Operations Net Investment Income 0.37 0.11 Net Realized and Unrealized Gain (Loss) on Securities and Futures Transactions 0.11 (0.60) ------- -------- Total from Investment Operations 0.48 (0.49) ------- -------- Less Dividends Dividends from Net Investment Income (0.32) (0.06) ------- -------- Net Asset Value, End of Period $ 9.61 $ 9.45 ======= ======== TOTAL INVESTMENT RETURN 5.24% (10.48%)* RATIOS AND SUPPLEMENTAL DATA Ratio of Net Investment Income to Average Net Assets 4.01% 2.77%* Ratio of Expenses to Average Net Assets, Including Expenses of the Asset Management Portfolio II 1.00% 1.00%* Decrease Reflected in Above Expense Ratio Due to Absorption of Expenses by Bankers Trust 0.76% 1.10%* Net Assets, End of Period (000's omitted) $25,733 $19,170
* Annualized See Notes to Financial Statements on Pages 53-55 30 ASSET MANAGEMENT PORTFOLIO II 29 -----------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES - ------------------------------------------------------------------------------------------------------ March 31, 1995 - ------------------------------------------------------------------------------------------------------ ASSETS - ------------------------------------------------------------------------------------------------------ Investments, at Value (Cost $27,093,366, including Repurchase Agreement amounting to $4,475,892) $27,041,997 - ------------------------------------------------------------------------------------------------------ Cash 2,591 - ------------------------------------------------------------------------------------------------------ Dividends and Interest Receivable 137,284 - ------------------------------------------------------------------------------------------------------ Deferred Organizational Expenses 12,749 - ------------------------------------------------------------------------------------------------------ Prepaid Expenses 1,521 - ------------------------------------------------------------------------------------------------------ Due From Bankers Trust 1,245 - ------------------------------------------------------------------------------------------------------ Total Assets 27,197,387 - ------------------------------------------------------------------------------------------------------ LIABILITIES - ------------------------------------------------------------------------------------------------------ Payable for Securities Purchased 1,546,927 - ------------------------------------------------------------------------------------------------------ Variation Margin Payable 9,000 - ------------------------------------------------------------------------------------------------------ Accrued Expenses and Accounts Payable 37,070 - ------------------------------------------------------------------------------------------------------ Total Liabilities 1,592,997 - ------------------------------------------------------------------------------------------------------ NET ASSETS $25,604,390 - ------------------------------------------------------------------------------------------------------ COMPOSITION OF NET ASSETS - ------------------------------------------------------------------------------------------------------ Paid-in Capital $25,522,878 - ------------------------------------------------------------------------------------------------------ Net Unrealized (Depreciation) on Securities (51,369) - ------------------------------------------------------------------------------------------------------ Net Unrealized Appreciation on Futures Contracts 132,881 - ------------------------------------------------------------------------------------------------------ NET ASSETS, MARCH 31, 1995 $25,604,390 - ------------------------------------------------------------------------------------------------------
See Notes to Financial Statements on Pages 57 and 58 31 ASSET MANAGEMENT PORTFOLIO II 30 -----------------------------------------------------
STATEMENT OF OPERATIONS - ------------------------------------------------------------------------------------------------------ For the year ended March 31, 1995 INVESTMENT INCOME - ------------------------------------------------------------------------------------------------------ Dividends $ 163,473 - ------------------------------------------------------------------------------------------------------ Interest 1,041,198 - ------------------------------------------------------------------------------------------------------ Total Investment Income $1,204,671 - ------------------------------------------------------------------------------------------------------ EXPENSES - ------------------------------------------------------------------------------------------------------ Advisory Fee 156,421 - ------------------------------------------------------------------------------------------------------ Administration and Services Fee 24,065 - ------------------------------------------------------------------------------------------------------ Professional Fees 21,094 - ------------------------------------------------------------------------------------------------------ Insurance 2,977 - ------------------------------------------------------------------------------------------------------ Trustees Fees 1,180 - ------------------------------------------------------------------------------------------------------ Amortization of Organizational Expenses 3,589 - ------------------------------------------------------------------------------------------------------ Miscellaneous 811 - ------------------------------------------------------------------------------------------------------ Total Expenses 210,137 - ------------------------------------------------------------------------------------------------------ Less:Expenses Absorbed by Bankers Trust (65,748) 144,389 - ------------------------------------------------------------------------------------------------------ NET INVESTMENT INCOME 1,060,282 - ------------------------------------------------------------------------------------------------------ NET REALIZED AND UNREALIZED GAIN (LOSS) ON SECURITIES AND FUTURES - ------------------------------------------------------------------------------------------------------ Net Realized (Loss) from Securities Transactions (481,517) - ------------------------------------------------------------------------------------------------------ Net Realized (Loss) from Futures Contracts (210,987) - ------------------------------------------------------------------------------------------------------ Net Unrealized Appreciation on Securities 876,303 - ------------------------------------------------------------------------------------------------------ Net Unrealized Appreciation on Futures Contracts 126,424 - ------------------------------------------------------------------------------------------------------ NET REALIZED AND UNREALIZED GAIN ON SECURITIES AND FUTURES 310,223 - ------------------------------------------------------------------------------------------------------ NET INCREASE IN NET ASSETS FROM OPERATIONS $1,370,505 - ------------------------------------------------------------------------------------------------------
See Notes to Financial Statements on Pages 57 and 58 32 ASSET MANAGEMENT PORTFOLIO II 31 -----------------------------------------------------
STATEMENT OF CHANGES IN NET ASSETS - ------------------------------------------------------------------------------------------------------ For the period October 14, 1993 For the (Commencement year ended of Operations) to March 31, 1995 March 31, 1994 - ------------------------------------------------------------------------------------------------------ INCREASE (DECREASE) IN NET ASSETS - ------------------------------------------------------------------------------------------------------ FROM OPERATIONS - ------------------------------------------------------------------------------------------------------ Net Investment Income $ 1,060,282 $ 225,936 - ------------------------------------------------------------------------------------------------------ Net Realized (Loss) from Securities and Futures Transactions (692,504) (125,660) - ------------------------------------------------------------------------------------------------------ Net Unrealized Appreciation (Depreciation) on Securities and Futures Contracts 1,002,727 (921,215) - ------------------------------------------------------------------------------------------------------ Net Increase (Decrease) in Net Assets from Operations 1,370,505 (820,939) - ------------------------------------------------------------------------------------------------------ FROM CAPITAL TRANSACTIONS - ------------------------------------------------------------------------------------------------------ Proceeds from Capital Invested 7,542,454 20,019,685 - ------------------------------------------------------------------------------------------------------ Value of Capital Withdrawn (2,483,935) (23,380) - ------------------------------------------------------------------------------------------------------ Net Increase in Net Assets from Capital Transactions 5,058,519 19,996,305 - ------------------------------------------------------------------------------------------------------ TOTAL INCREASE IN NET ASSETS 6,429,024 19,175,366 - ------------------------------------------------------------------------------------------------------ NET ASSETS - ------------------------------------------------------------------------------------------------------ Beginning of Period 19,175,366 - - ------------------------------------------------------------------------------------------------------ End of Period $25,604,390 $19,175,366 - ------------------------------------------------------------------------------------------------------
See Notes to Financial Statements on Pages 57 and 58 33 ASSET MANAGEMENT PORTFOLIO II 32 ----------------------------------------------------- FINANCIAL HIGHLIGHTS - ------------------------------------------------------------------------------- Contained below are selected ratios and supplemental data for each of the periods indicated for the Asset Management Portfolio II.
- ------------------------------------------------------------------------------------------------------ For the period October 14, 1993 For the (Commencement year ended of Operations) to March 31, 1995 March 31, 1994 - ------------------------------------------------------------------------------------------------------ RATIOS AND SUPPLEMENTAL DATA Ratio of Net Investment Income to Average Net Assets 4.41% 3.17%* Ratio of Expenses to Average Net Assets 0.60% 0.60%* Decrease Reflected in Above Ratio of Expenses to Average Net Assets Due to Absorption of Expenses by Bankers Trust 0.27% 0.48%* Portfolio Turnover Rate 105% 79% Net Assets, End of Period (000's omitted) $25,604 $19,175
* Annualized See Notes to Financial Statements on Pages 57 and 58 34 ASSET MANAGEMENT PORTFOLIO II 33 -----------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS - --------------------------------------------------------------------------- March 31, 1995 SHARES DESCRIPTION VALUE - --------------------------------------------------------------------------- COMMON STOCKS - 24.32% - --------------------------------------------------------------------------- Aerospace - 0.14% - --------------------------------------------------------------------------- 500 Raytheon $ 36,437 - --------------------------------------------------------------------------- AIRLINES - 0.32% - --------------------------------------------------------------------------- 400 AMR (a) 25,900 - --------------------------------------------------------------------------- 900 Delta Air Lines 56,475 - --------------------------------------------------------------------------- 82,375 - --------------------------------------------------------------------------- AUTO RELATED - 1.65% - --------------------------------------------------------------------------- 1,000 Chrysler 41,875 - --------------------------------------------------------------------------- 2,000 Dana 51,000 - --------------------------------------------------------------------------- 4,900 Ford Motor 132,300 - --------------------------------------------------------------------------- 2,600 General Motors 115,050 - --------------------------------------------------------------------------- 400 General Motors, Cl E 15,550 - --------------------------------------------------------------------------- 1,000 PACCAR 42,500 - --------------------------------------------------------------------------- 1,700 SPX 24,650 - --------------------------------------------------------------------------- 422,925 - --------------------------------------------------------------------------- AVIATION SERVICES - 0.28% - --------------------------------------------------------------------------- 3,600 Ogden 72,450 - --------------------------------------------------------------------------- BANKS - 0.34% - --------------------------------------------------------------------------- 300 Bank America 14,475 - --------------------------------------------------------------------------- 300 Citicorp 12,750 - --------------------------------------------------------------------------- 300 First Interstate Bancorp 23,700 - --------------------------------------------------------------------------- 400 National Bancorp of Alaska 20,200 - --------------------------------------------------------------------------- 300 Suntrust Banks 16,050 - --------------------------------------------------------------------------- 87,175 - --------------------------------------------------------------------------- BEVERAGES - 0.56% - --------------------------------------------------------------------------- 1,500 Coca Cola 84,750 - --------------------------------------------------------------------------- 1,500 PepsiCo 58,500 - --------------------------------------------------------------------------- 143,250 - --------------------------------------------------------------------------- BROADCASTING - 0.07% - --------------------------------------------------------------------------- 300 Clear Channel - --------------------------------------------------------------------------- Communications (a) 17,850 - --------------------------------------------------------------------------- BUILDING & CONSTRUCTION - 0.11% - --------------------------------------------------------------------------- 1,200 Centex 28,950 - --------------------------------------------------------------------------- BUILDING FOREST PRODUCTS - 0.06% - --------------------------------------------------------------------------- 1,200 Kaufman & Broad Home 14,250 - --------------------------------------------------------------------------- CHEMICALS - 0.33% - --------------------------------------------------------------------------- 1,400 Du Pont (E.I.) De Nemours 84,700 - --------------------------------------------------------------------------- COMPUTER SERVICES - 0.10% - --------------------------------------------------------------------------- 400 Automatic Data Processing 25,200 - --------------------------------------------------------------------------- COMPUTER SOFTWARE - 0.52% - --------------------------------------------------------------------------- 400 Computer Associates International 23,750 - --------------------------------------------------------------------------- 1,300 Microsoft (a) 92,462 - --------------------------------------------------------------------------- 500 Oracle Systems (a) 15,625 - --------------------------------------------------------------------------- 131,837 - --------------------------------------------------------------------------- CONTAINERS - 0.06% - --------------------------------------------------------------------------- 400 Avery Dennison 15,950 - --------------------------------------------------------------------------- COSMETICS - 0.32% - --------------------------------------------------------------------------- 1,000 Gillette 81,625 - --------------------------------------------------------------------------- DRUGS - 1.23% - --------------------------------------------------------------------------- 200 Bristol Myers Squibb 12,600 - --------------------------------------------------------------------------- 2,500 Merck & Co. 106,562 - --------------------------------------------------------------------------- 1,000 Pfizer 85,750 - --------------------------------------------------------------------------- 500 Schering-Plough 37,188 - --------------------------------------------------------------------------- 500 Smithkline Beecham 18,750 - --------------------------------------------------------------------------- 700 Warner-Lambert 54,775 - --------------------------------------------------------------------------- 315,625 - --------------------------------------------------------------------------- ELECTRICAL EQUIPMENT - 1.61% - --------------------------------------------------------------------------- 600 Belden 13,200 - ---------------------------------------------------------------------------
See Notes to Financial Statements on Pages 57 and 58 35 ASSET MANAGEMENT PORTFOLIO II 34 -----------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS - --------------------------------------------------------------------------- March 31, 1995 SHARES DESCRIPTION VALUE - --------------------------------------------------------------------------- 5,600 General Electric $ 303,100 - --------------------------------------------------------------------------- 800 Hewlett-Packard 96,300 - --------------------------------------------------------------------------- 412,600 - --------------------------------------------------------------------------- ELECTRONICS - 0.59% - --------------------------------------------------------------------------- 200 AMP 7,200 - --------------------------------------------------------------------------- 400 Intel 33,950 - --------------------------------------------------------------------------- 2,000 Motorola 109,250 - --------------------------------------------------------------------------- 150,400 - --------------------------------------------------------------------------- FINANCIAL SERVICES - 0.42% - --------------------------------------------------------------------------- 700 Capital One Financial (a) 13,387 - --------------------------------------------------------------------------- 300 Federal National Mortgage Assoc. 24,412 - --------------------------------------------------------------------------- 1,300 First Data 67,438 - --------------------------------------------------------------------------- 100 Fleet Financial Group 3,238 - --------------------------------------------------------------------------- 108,475 - --------------------------------------------------------------------------- FOOD SERVICES & LODGINGS - 0.16% - --------------------------------------------------------------------------- 1,200 McDonald's 40,950 - --------------------------------------------------------------------------- FOODS - 0.48% - --------------------------------------------------------------------------- 900 Campbell Soup 43,537 - --------------------------------------------------------------------------- 300 CPC International 16,238 - --------------------------------------------------------------------------- 1,400 Sara Lee 36,575 - --------------------------------------------------------------------------- 200 Unilever N.V., ADR 26,250 - --------------------------------------------------------------------------- 122,600 - --------------------------------------------------------------------------- HEALTH CARE DIVERSIFIED - 0.27% - --------------------------------------------------------------------------- 1,100 Abbott Laboratories 39,187 - --------------------------------------------------------------------------- 700 Columbia/HCA Healthcare 30,100 - --------------------------------------------------------------------------- 69,287 - --------------------------------------------------------------------------- HOSPITAL SUPPLIES & SERVICES - 0.77% - --------------------------------------------------------------------------- 500 Allergan 14,750 - --------------------------------------------------------------------------- 500 Becton, Dickinson & Co 27,125 - --------------------------------------------------------------------------- 900 Biomet (a) 15,187 - --------------------------------------------------------------------------- 1,700 Johnson & Johnson 101,150 - --------------------------------------------------------------------------- 600 Sun Healthcare Group (a) 15,300 - --------------------------------------------------------------------------- 500 United Healthcare 23,375 - --------------------------------------------------------------------------- 196,887 - --------------------------------------------------------------------------- INSURANCE - 0.48% - --------------------------------------------------------------------------- 800 American International Group 83,400 - --------------------------------------------------------------------------- 300 General Re 39,600 - --------------------------------------------------------------------------- 123,000 - --------------------------------------------------------------------------- LEISURE RELATED - 0.60% - --------------------------------------------------------------------------- 2,200 Disney (Walt) 117,425 - --------------------------------------------------------------------------- 1,700 Outboard Marine 35,700 - --------------------------------------------------------------------------- 153,125 - --------------------------------------------------------------------------- MACHINERY - AGRICULTURE - 0.32% - --------------------------------------------------------------------------- 1,000 Deere & Co. 81,250 - --------------------------------------------------------------------------- MACHINERY - OTHER - 0.55% - --------------------------------------------------------------------------- 2,500 Textron 141,562 - --------------------------------------------------------------------------- METALS - 0.06% - --------------------------------------------------------------------------- 600 Alcan Aluminum Ltd. 15,975 - --------------------------------------------------------------------------- OFFICE EQUIPMENT - 0.54% - --------------------------------------------------------------------------- 900 Cray Research (a) 16,538 - --------------------------------------------------------------------------- 1,000 International Business Machines 81,875 - --------------------------------------------------------------------------- 1,700 Unisys (a) 15,725 - --------------------------------------------------------------------------- 200 Xerox 23,475 - --------------------------------------------------------------------------- 137,613 - --------------------------------------------------------------------------- OIL DOMESTIC - 0.49% - --------------------------------------------------------------------------- 700 Enron Oil & Gas 17,237 - --------------------------------------------------------------------------- 2,300 Tenneco 108,388 - --------------------------------------------------------------------------- 125,625 - ---------------------------------------------------------------------------
See Notes to Financial Statements on Pages 57 and 58 36 ASSET MANAGEMENT PORTFOLIO II 35 -----------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS - --------------------------------------------------------------------------- March 31, 1995 SHARES DESCRIPTION VALUE - --------------------------------------------------------------------------- OIL INTERNATIONAL - 1.27% - --------------------------------------------------------------------------- 1,300 Exxon $ 86,775 - --------------------------------------------------------------------------- 900 Mobil 83,363 - --------------------------------------------------------------------------- 1,300 Royal Dutch Petroleum 156,000 - --------------------------------------------------------------------------- 326,138 - --------------------------------------------------------------------------- OIL SUPPLIES & CONSTRUCTION - 0.19% - --------------------------------------------------------------------------- 800 Schlumberger Ltd. 47,700 - --------------------------------------------------------------------------- PAPER - 0.27% - --------------------------------------------------------------------------- 200 International Paper 15,025 - --------------------------------------------------------------------------- 600 Scott Paper 53,625 - --------------------------------------------------------------------------- 68,650 - --------------------------------------------------------------------------- PETROLEUM RELATED - 0.63% - --------------------------------------------------------------------------- 500 Amoco 31,812 - --------------------------------------------------------------------------- 2,300 Ashland Oil 81,938 - --------------------------------------------------------------------------- 400 Atlantic Richfield 46,000 - --------------------------------------------------------------------------- 159,750 - --------------------------------------------------------------------------- PHARMACEUTICALS - 0.06% - --------------------------------------------------------------------------- 600 Marion Merrell Dow 14,850 - --------------------------------------------------------------------------- PHOTOGRAPHY & OPTICAL - 0.10% - --------------------------------------------------------------------------- 500 Eastman Kodak 26,563 - --------------------------------------------------------------------------- PRINTING & PUBLISHING - 0.24% - --------------------------------------------------------------------------- 300 Gannett 16,013 - --------------------------------------------------------------------------- 1,200 Time Warner 45,300 - --------------------------------------------------------------------------- 61,313 - --------------------------------------------------------------------------- REAL ESTATE - 0.11% - --------------------------------------------------------------------------- 1,200 Pulte 28,200 - --------------------------------------------------------------------------- RETAIL - 1.26% - --------------------------------------------------------------------------- 1,600 Dayton Hudson 114,400 - --------------------------------------------------------------------------- 3,300 Fleming 74,663 - --------------------------------------------------------------------------- 800 May Department Stores 29,600 - --------------------------------------------------------------------------- 500 Pep Boys-Manny Moe & Jack 15,500 - --------------------------------------------------------------------------- 3,500 Wal-Mart Stores 89,250 - --------------------------------------------------------------------------- 323,413 - --------------------------------------------------------------------------- RETAIL - FOOD - 0.05% - --------------------------------------------------------------------------- 400 Safeway (a) 13,900 - --------------------------------------------------------------------------- SOAPS & TOILETRIES - 0.52% - --------------------------------------------------------------------------- 200 Colgate-Palmolive 13,200 - --------------------------------------------------------------------------- 1,800 Procter & Gamble 119,250 - --------------------------------------------------------------------------- 132,450 - --------------------------------------------------------------------------- TELECOMMUNICATIONS - 0.88% - --------------------------------------------------------------------------- 450 Andrew (a) 18,338 - --------------------------------------------------------------------------- 2,400 AT&T 124,200 - --------------------------------------------------------------------------- 400 Capital Cities/ABC 35,300 - --------------------------------------------------------------------------- 1,000 Telecommunications, Cl A (a) 21,000 - --------------------------------------------------------------------------- 600 Viacom, Cl B (a) 26,850 - --------------------------------------------------------------------------- 225,688 - --------------------------------------------------------------------------- TIRE & RUBBER - 0.27% - --------------------------------------------------------------------------- 1,900 Goodyear Tire & Rubber 69,825 - --------------------------------------------------------------------------- TOBACCO - 0.84% - --------------------------------------------------------------------------- 4,000 American Brands 157,000 - --------------------------------------------------------------------------- 700 Philip Morris 45,675 - --------------------------------------------------------------------------- 400 UST 12,700 - --------------------------------------------------------------------------- 215,375 - --------------------------------------------------------------------------- TRUCKING - SHIPPING - 0.41% - --------------------------------------------------------------------------- 1,200 Consolidated Freightways 31,950 - --------------------------------------------------------------------------- 3,000 Ryder System 72,000 - --------------------------------------------------------------------------- 103,950 - ---------------------------------------------------------------------------
See Notes to Financial Statements on Pages 57 and 58 37 ASSET MANAGEMENT PORTFOLIO II 36 -----------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS - --------------------------------------------------------------------------- March 31, 1995 SHARES DESCRIPTION VALUE - --------------------------------------------------------------------------- UTILITY - ELECTRIC - 2.42% - --------------------------------------------------------------------------- 3,600 Central & Southwest $ 87,300 - --------------------------------------------------------------------------- 4,100 Detroit Edison 112,237 - --------------------------------------------------------------------------- 3,700 Houston Industries 141,062 - --------------------------------------------------------------------------- 3,500 Pacific Gas & Electric 87,063 - --------------------------------------------------------------------------- 5,800 Peco Energy 145,725 - --------------------------------------------------------------------------- 2,900 SCE 45,313 - --------------------------------------------------------------------------- 618,700 - --------------------------------------------------------------------------- UTILITY - GAS, NATURAL GAS - 0.62% - --------------------------------------------------------------------------- 3,000 ONEOK 56,625 - --------------------------------------------------------------------------- 2,200 Panhandle Eastern 50,600 - --------------------------------------------------------------------------- 2,100 People's Energy 52,500 - --------------------------------------------------------------------------- 159,725 - --------------------------------------------------------------------------- UTILITY - TELEPHONE - 0.75% - --------------------------------------------------------------------------- 3,400 Bell Atlantic 179,350 - --------------------------------------------------------------------------- 300 Telephone & Data System 11,850 - --------------------------------------------------------------------------- 191,200 - --------------------------------------------------------------------------- TOTAL COMMON STOCKS (Cost $6,070,318) $ 6,227,338 - --------------------------------------------------------------------------- PREFERRED STOCK NON-CONVERTIBLE - 0.00% - --------------------------------------------------------------------------- DIVERSIFIED - 0.00% - --------------------------------------------------------------------------- 19 Teledyne (Cost $275) $ 283 - --------------------------------------------------------------------------- PRINCIPAL AMOUNT CORPORATE DEBENTURES - 6.02% - --------------------------------------------------------------------------- BANKS - 1.13% - --------------------------------------------------------------------------- Citicorp: - --------------------------------------------------------------------------- $ 45,000 9.50%, 2/1/02 $ 48,902 - --------------------------------------------------------------------------- 15,000 8.625%, 12/1/02 15,495 - --------------------------------------------------------------------------- 50,000 Fleet/Norstar Group, 7.65%, 3/1/97 50,161 - --------------------------------------------------------------------------- 70,000 International Bank Reconstruction & Development, 9.75%, 1/23/16 82,075 - --------------------------------------------------------------------------- 100,000 Westdeutsche LB - NY, 6.75%, 6/15/05 93,428 - --------------------------------------------------------------------------- 290,061 - --------------------------------------------------------------------------- FINANCIAL SERVICES - 1.90% - --------------------------------------------------------------------------- 120,000 Ford Motor Credit, 5.625%, 3/3/97 116,602 - --------------------------------------------------------------------------- General Motors Acceptance: - --------------------------------------------------------------------------- 14,638 5.55%, 5/15/97 14,582 - --------------------------------------------------------------------------- 85,000 8.625%, 1/18/01 87,933 - --------------------------------------------------------------------------- 50,000 Goldman Sachs, 6.625%, 2/23/98 (b)(f) 49,968 - --------------------------------------------------------------------------- 55,000 KFW International Finance, 8.20%, 6/1/06 57,111 - --------------------------------------------------------------------------- 90,000 Pacific Mutual Life, 7.90%, 12/30/23 (f) 80,475 - --------------------------------------------------------------------------- 80,000 Toyota Motor Credit, 8.25%, 8/28/95 80,476 - --------------------------------------------------------------------------- 487,147 - --------------------------------------------------------------------------- HEALTH CARE DIVERSIFIED - 0.39% - --------------------------------------------------------------------------- Columbia/HCA Healthcare: - --------------------------------------------------------------------------- 45,000 8.85%, 1/1/07 47,064 - --------------------------------------------------------------------------- 50,000 8.70%, 2/10/10 51,594 - --------------------------------------------------------------------------- 98,658 - --------------------------------------------------------------------------- INSURANCE - 0.32% - --------------------------------------------------------------------------- 95,000 New York Life, 7.50%, 12/15/23 (f) 82,332 - --------------------------------------------------------------------------- OIL INTERNATIONAL - 0.65% - --------------------------------------------------------------------------- 75,000 BHP Finance USA, 7.875%, 12/1/02 74,924 - ---------------------------------------------------------------------------
See Notes to Financial Statements on Pages 57 and 58 38 ASSET MANAGEMENT PORTFOLIO II 37 -----------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS - --------------------------------------------------------------------------- March 31, 1995 PRINCIPAL AMOUNT DESCRIPTION VALUE - --------------------------------------------------------------------------- $ 90,000 Occidental Petroleum, 8.50%, 9/15/04 $ 90,902 - --------------------------------------------------------------------------- 165,826 - --------------------------------------------------------------------------- PAPER - 0.16% - --------------------------------------------------------------------------- 40,000 Westvaco, 8.30%, 8/1/22 39,435 - --------------------------------------------------------------------------- PHARMACEUTICALS - 0.35% - --------------------------------------------------------------------------- 100,000 Schering-Plough, 0.00%, 12/2/96 (c) 89,066 - --------------------------------------------------------------------------- RETAIL - 0.25% - --------------------------------------------------------------------------- 65,000 May Department Stores, 8.375%, 8/1/24 64,431 - --------------------------------------------------------------------------- UTILITY - ELECTRIC - 0.56% - --------------------------------------------------------------------------- 45,000 Idaho Power, 8.00%, 3/15/04 45,341 - --------------------------------------------------------------------------- 60,000 Potomac Edison, 8.00%, 6/1/24 57,888 - --------------------------------------------------------------------------- 40,000 Virginia Electric & Power, 8.625%, 10/1/24 41,237 - --------------------------------------------------------------------------- 144,466 - --------------------------------------------------------------------------- UTILITY - NATURAL GAS - 0.31% - --------------------------------------------------------------------------- 75,000 KN Energy, 9.625%, 8/1/21 80,243 - --------------------------------------------------------------------------- TOTAL CORPORATE DEBENTURES (Cost $1,547,927) $ 1,541,665 - --------------------------------------------------------------------------- ASSET-BACKED SECURITIES - 15.47% - --------------------------------------------------------------------------- CORPORATE - 0.36% - --------------------------------------------------------------------------- Standard Credit Card: - --------------------------------------------------------------------------- $ 35,000 8.25%, 11/7/03 $ 36,150 - --------------------------------------------------------------------------- 60,000 7.25%, 4/7/06 57,663 - --------------------------------------------------------------------------- 93,813 - --------------------------------------------------------------------------- U.S. GOVERNMENT & AGENCIES - 15.11% - --------------------------------------------------------------------------- FHLMC: (e) - --------------------------------------------------------------------------- 78,065 7.50%, 12/1/08 77,586 - --------------------------------------------------------------------------- 545,404 9.50%, 8/1/25 569,266 - --------------------------------------------------------------------------- FNMA: (e) - --------------------------------------------------------------------------- 348,671 6.00%, 1/1/01 331,889 - --------------------------------------------------------------------------- 140,000 8.625%, 11/10/04 144,878 - --------------------------------------------------------------------------- 259,211 8.00%, 4/1/10 260,909 - --------------------------------------------------------------------------- 710,000 8.00%, 9/1/21 703,126 - --------------------------------------------------------------------------- GNMA: (e) - --------------------------------------------------------------------------- 1,178,778 6.50%, 9/15/23 1,065,327 - --------------------------------------------------------------------------- 696,268 9.00%, 8/20/24 715,144 - --------------------------------------------------------------------------- 3,868,125 - --------------------------------------------------------------------------- TOTAL ASSET-BACKED SECURITIES (Cost $4,115,060) $ 3,961,938 - --------------------------------------------------------------------------- GOVERNMENTS FOREIGN - 0.86% - --------------------------------------------------------------------------- CANADA - 0.59% - --------------------------------------------------------------------------- $ 125,000 Manitoba, 6.125%, 1/19/04 $ 112,202 - --------------------------------------------------------------------------- 45,000 Quebec Province, 7.125%, 2/9/24 37,995 - --------------------------------------------------------------------------- 150,197 - --------------------------------------------------------------------------- NEW ZEALAND - 0.27% - --------------------------------------------------------------------------- 65,000 New Zealand Government, 8.75%, 12/15/06 69,667 - --------------------------------------------------------------------------- TOTAL GOVERNMENTS FOREIGN (Cost $228,995) $ 219,864 - --------------------------------------------------------------------------- LONG-TERM U.S. TREASURY SECURITIES - 13.28% - --------------------------------------------------------------------------- U.S. TREASURY BONDS - 3.26% - --------------------------------------------------------------------------- $ 732,000 8.125%, 8/15/19 $ 776,148 - --------------------------------------------------------------------------- 60,000 7.25%, 8/15/22 58,219 - --------------------------------------------------------------------------- 834,367 - --------------------------------------------------------------------------- U.S. TREASURY NOTES - 10.02% - --------------------------------------------------------------------------- 200,000 6.00%, 6/30/96 198,532 - --------------------------------------------------------------------------- 1,275,000 5.125%, 11/30/98 1,198,704 - ---------------------------------------------------------------------------
See Notes to Financial Statements on Pages 57 and 58 39 ASSET MANAGEMENT PORTFOLIO II 38 -----------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS - --------------------------------------------------------------------------- March 31, 1995 PRINCIPAL AMOUNT DESCRIPTION VALUE - --------------------------------------------------------------------------- $ 750,000 8.50%, 11/15/00 $ 798,046 - --------------------------------------------------------------------------- 371,000 7.25%, 8/15/04 371,348 - --------------------------------------------------------------------------- 2,566,630 - --------------------------------------------------------------------------- TOTAL LONG-TERM U.S. TREASURY SECURITIES (Cost $3,441,323) $ 3,400,997 - --------------------------------------------------------------------------- SHORT-TERM INVESTMENTS - 45.66% - --------------------------------------------------------------------------- U.S. TREASURY BILLS - 28.18% - --------------------------------------------------------------------------- $5,000,000 5.62%, 4/13/95 $ 4,990,583 - --------------------------------------------------------------------------- 110,000 5.69%, 6/1/95 (d) 108,978 - --------------------------------------------------------------------------- 2,175,000 5.83%, 9/21/95 2,114,459 - --------------------------------------------------------------------------- 7,214,020 - --------------------------------------------------------------------------- REPURCHASE AGREEMENT - 17.48% - --------------------------------------------------------------------------- 4,475,892 Repurchase Agreement with Sanwa Bank, Dated 3/31/95, 5.90%, Principal and Interest in the Amount of $4,476,626, Due 4/3/95, (Collateralized by U.S. Treasury Bonds, Par Value of $4,369,000, 8.00%, Due 8/15/99, Value of $4,567,129) 4,475,892 - --------------------------------------------------------------------------- TOTAL SHORT-TERM INVESTMENTS (Cost $11,689,468) $11,689,912 - --------------------------------------------------------------------------- TOTAL INVESTMENTS (Cost $27,093,366) 105.61% $27,041,997 - --------------------------------------------------------------------------- Liabilities in Excess of Other Assets (5.61%) (1,437,607) - --------------------------------------------------------------------------- NET ASSETS 100.00% $25,604,390 - ---------------------------------------------------------------------------
NUMBER OF NET UNREALIZED FUTURES CONTRACTS APPRECIATION - ------------------------------------------------------------------------------ FUTURES CONTRACTS - ------------------------------------------------------------------------------ 7 S&P 500 June 1995 Long Futures (Market Value $1,765,400) $ 121,350 - ------------------------------------------------------------------------------ 8 U.S. Treasury June 1995 Long Futures (Market Value $831,250) 11,531 - ------------------------------------------------------------------------------ $ 132,881 - ------------------------------------------------------------------------------
(a) Non-Income Producing (b) Quarterly Floating Rate Note (c) Purchased at Deep Discount (d) Held as Collateral for Futures Contracts (e) The following abbreviations are used in the portfolio descriptions: FHLMC - Federal Home Loan Mortgage Corporation FNMA - Federal National Mortgage Association GNMA - Government National Mortgage Association (f) Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the period end, the value of these securities amounted to $212,775 or 0.83% of net assets. See Notes to Financial Statements on Pages 57 and 58 40 BT INVESTMENT LIFECYCLE FUNDS--SHORT RANGE FUND 39 -----------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES - ----------------------------------------------------------------------------------- March 31, 1995 - ----------------------------------------------------------------------------------- ASSETS - ----------------------------------------------------------------------------------- Investment in Asset Management Portfolio III, at Value $21,201,590 - ----------------------------------------------------------------------------------- Deferred Organizational Expenses 12,759 - ----------------------------------------------------------------------------------- Prepaid Expenses 6,071 - ----------------------------------------------------------------------------------- Total Assets 21,220,420 - ----------------------------------------------------------------------------------- LIABILITIES - ----------------------------------------------------------------------------------- Due to Bankers Trust 1,286 - ----------------------------------------------------------------------------------- Payable for Shares of Beneficial Interest Redeemed 49,624 - ----------------------------------------------------------------------------------- Accrued Expenses and Accounts Payable 32,372 - ----------------------------------------------------------------------------------- Total Liabilities 83,282 - ----------------------------------------------------------------------------------- NET ASSETS (Applicable to 2,224,112 Outstanding Shares of $.001 Par Value Per Share, Unlimited Number of Shares of Beneficial Interest Authorized) $21,137,138 - ----------------------------------------------------------------------------------- NET ASSET VALUE, Subscription and Redemption Price Per Share ($21,137,138/2,224,112 Shares) $ 9.50 - ----------------------------------------------------------------------------------- COMPOSITION OF NET ASSETS - ----------------------------------------------------------------------------------- Shares of Beneficial Interest, at Par $ 2,224 - ----------------------------------------------------------------------------------- Paid-in Capital 21,948,031 - ----------------------------------------------------------------------------------- Undistributed Net Investment Income 267,916 - ----------------------------------------------------------------------------------- Accumulated Net Realized (Loss) from Securities and Futures Transactions (919,434) - ----------------------------------------------------------------------------------- Net Unrealized (Depreciation) on Securities (132,286) - ----------------------------------------------------------------------------------- Net Unrealized (Depreciation) on Futures Contracts (29,313) - ----------------------------------------------------------------------------------- NET ASSETS, MARCH 31, 1995 $21,137,138 - -----------------------------------------------------------------------------------
See Notes to Financial Statements on Pages 53-55 41 BT INVESTMENT LIFECYCLE FUNDS--SHORT RANGE FUND 40 -----------------------------------------------------
STATEMENT OF OPERATIONS - ------------------------------------------------------------------------------------------------------ For the year ended March 31, 1995 - ------------------------------------------------------------------------------------------------------ INVESTMENT INCOME - ------------------------------------------------------------------------------------------------------ Income Allocated from Asset Management Portfolio III, net $1,019,467 - ------------------------------------------------------------------------------------------------------ EXPENSES - ------------------------------------------------------------------------------------------------------ Administration and Services Fee $136,157 - ------------------------------------------------------------------------------------------------------ Professional Fees 8,981 - ------------------------------------------------------------------------------------------------------ Shareholders Reports 20,645 - ------------------------------------------------------------------------------------------------------ Registration Fees 20,364 - ------------------------------------------------------------------------------------------------------ Trustees Fees 1,257 - ------------------------------------------------------------------------------------------------------ Insurance 996 - ------------------------------------------------------------------------------------------------------ Amortization of Organizational Expenses 3,609 - ------------------------------------------------------------------------------------------------------ Miscellaneous 1,314 - ------------------------------------------------------------------------------------------------------ Total Expenses 193,323 - ------------------------------------------------------------------------------------------------------ Less: Expenses Absorbed by Bankers Trust (109,534) 83,789 - ------------------------------------------------------------------------------------------------------ NET INVESTMENT INCOME 935,678 - ------------------------------------------------------------------------------------------------------ NET REALIZED AND UNREALIZED GAIN (LOSS) ON SECURITIES - ------------------------------------------------------------------------------------------------------ Net Realized (Loss) from Securities Transactions (514,087) - ------------------------------------------------------------------------------------------------------ Net Realized (Loss) from Futures Transactions (269,055) - ------------------------------------------------------------------------------------------------------ Net Unrealized Appreciation on Securities 619,249 - ------------------------------------------------------------------------------------------------------ Net Unrealized (Depreciation) on Futures Contracts (113,276) - ------------------------------------------------------------------------------------------------------ NET REALIZED AND UNREALIZED (LOSS) ON SECURITIES (277,169) - ------------------------------------------------------------------------------------------------------ NET INCREASE IN NET ASSETS FROM OPERATIONS $ 658,509 - ------------------------------------------------------------------------------------------------------
See Notes to Financial Statements on Pages 53-55 42 BT INVESTMENT LIFECYCLE FUNDS--SHORT RANGE FUND 41 -----------------------------------------------------
STATEMENT OF CHANGES IN NET ASSETS - --------------------------------------------------------------------------------------------------------- For the period October 15, 1993 For the (Commencement year ended of Operations) to March 31, 1995 March 31, 1994 - --------------------------------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS - --------------------------------------------------------------------------------------------------------- FROM OPERATIONS - --------------------------------------------------------------------------------------------------------- Net Investment Income $ 935,678 $ 215,198 - --------------------------------------------------------------------------------------------------------- Net Realized (Loss) from Securities and Futures Transactions (783,142) (104,394) - --------------------------------------------------------------------------------------------------------- Net Unrealized Appeciation (Depreciation) on Securities and Futures Contracts 505,973 (667,572) - --------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets from Operations 658,509 (556,768) - --------------------------------------------------------------------------------------------------------- FROM DIVIDENDS AND DISTRIBUTIONS - --------------------------------------------------------------------------------------------------------- Net Investment Income (798,960) (84,000) - --------------------------------------------------------------------------------------------------------- Net Realized Gain from Securities and Futures Transactions (31,898) - - --------------------------------------------------------------------------------------------------------- Net (Decrease) in Net Assets from Dividends and Distributions (830,858) (84,000) - --------------------------------------------------------------------------------------------------------- FROM TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST - --------------------------------------------------------------------------------------------------------- Net Increase in Net Assets from Transactions in Shares of Beneficial Interest 3,727,528 18,222,727 - --------------------------------------------------------------------------------------------------------- TOTAL INCREASE IN NET ASSETS 3,555,179 17,581,959 - --------------------------------------------------------------------------------------------------------- NET ASSETS - --------------------------------------------------------------------------------------------------------- Beginning of Period 17,581,959 - - --------------------------------------------------------------------------------------------------------- End of Period (including Undistributed Net Investment Income of $267,916 and $131,198 for 1995 and 1994, respectively) $21,137,138 $17,581,959 - ---------------------------------------------------------------------------------------------------------
See Notes to Financial Statements on Pages 53-55 43 BT INVESTMENT LIFECYCLE FUNDS--SHORT RANGE FUND 42 ----------------------------------------------------- FINANCIAL HIGHLIGHTS - ------------------------------------------------------------------------------ Contained below are selected data for a share outstanding, total investment return, ratios to average net assets and other supplemental data for each of the periods indicated for the BT Investment Lifecycle Short Range Fund.
- --------------------------------------------------------------------------------------------------------- For the period October 15, 1993 For the (Commencement year ended of Operations) to March 31, 1995 March 31, 1994 - --------------------------------------------------------------------------------------------------------- SELECTED PER SHARE DATA Net Asset Value, Beginning of Period $ 9.60 $ 10.00 ------- ------- Income from Investment Operations Net Investment Income 0.41 0.13 Net Realized and Unrealized (Loss) on Securities and Futures Transactions (0.13) (0.47) ------- ------- Total from Investment Operations 0.28 (0.34) ------- ------- Less Dividends and Distributions Dividends from Net Investment Income (0.37) (0.06) Distributions from Net Realized Gain from Securities and Futures Transactions (0.01) - ------- ------- Total Dividends and Distributions (0.38) (0.06) ------- ------- Net Asset Value, End of Period $ 9.50 $ 9.60 ======= ======= TOTAL INVESTMENT RETURN 3.08% (7.39%)* RATIOS AND SUPPLEMENTAL DATA Ratio of Net Investment Income to Average Net Assets 4.47% 3.12%* Ratio of Expenses to Average Net Assets, Including Expenses of the Asset Management Portfolio III 1.00% 1.00%* Decrease Reflected in Above Expense Ratio Due to Absorption of Expenses by Bankers Trust 0.82% 1.12%* Net Assets, End of Period (000's omitted) $21,137 $17,582
* Annualized See Notes to Financial Statements on Pages 53-55 44 ASSET MANAGEMENT PORTFOLIO III 43 -----------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES - ------------------------------------------------------------------------------------------------------ March 31, 1995 - ------------------------------------------------------------------------------------------------------ ASSETS - ------------------------------------------------------------------------------------------------------ Investments, at Value (Cost $26,709,353, including Repurchase Agreement amounting to $444,555) $26,577,067 - ------------------------------------------------------------------------------------------------------ Cash 1,332 - ------------------------------------------------------------------------------------------------------ Dividends and Interest Receivable 175,292 - ------------------------------------------------------------------------------------------------------ Variation Margin Receivable 7,688 - ------------------------------------------------------------------------------------------------------ Prepaid Expenses 1,522 - ------------------------------------------------------------------------------------------------------ Deferred Organizational Expenses 12,778 - ------------------------------------------------------------------------------------------------------ Due from Bankers Trust 3,966 - ------------------------------------------------------------------------------------------------------ Total Assets 26,779,645 - ------------------------------------------------------------------------------------------------------ LIABILITIES - ------------------------------------------------------------------------------------------------------ Payable for Securities Purchased 5,540,037 - ------------------------------------------------------------------------------------------------------ Accrued Expenses and Accounts Payable 38,008 - ------------------------------------------------------------------------------------------------------ Total Liabilities 5,578,045 - ------------------------------------------------------------------------------------------------------ NET ASSETS $21,201,600 - ------------------------------------------------------------------------------------------------------ COMPOSITION OF NET ASSETS - ------------------------------------------------------------------------------------------------------ Paid-in Capital $21,363,199 - ------------------------------------------------------------------------------------------------------ Net Unrealized (Depreciation) on Securities (132,286) - ------------------------------------------------------------------------------------------------------ Net Unrealized (Depreciation) on Futures Contracts (29,313) - ------------------------------------------------------------------------------------------------------ NET ASSETS, MARCH 31, 1995 $21,201,600 - ------------------------------------------------------------------------------------------------------
See Notes to Financial Statements on Pages 57 and 58 45 ASSET MANAGEMENT PORTFOLIO III 44 -----------------------------------------------------
STATEMENT OF OPERATIONS - ------------------------------------------------------------------------------------------------------ For the year ended March 31, 1995 - ------------------------------------------------------------------------------------------------------ INVESTMENT INCOME - ------------------------------------------------------------------------------------------------------ Dividends $ 87,156 - ------------------------------------------------------------------------------------------------------ Interest 1,058,033 - ------------------------------------------------------------------------------------------------------ Total Investment Income $1,145,189 - ------------------------------------------------------------------------------------------------------ EXPENSES - ------------------------------------------------------------------------------------------------------ Advisory Fee 136,199 - ------------------------------------------------------------------------------------------------------ Administration and Services Fee 20,954 - ------------------------------------------------------------------------------------------------------ Professional Fees 22,031 - ------------------------------------------------------------------------------------------------------ Trustees Fees 1,178 - ------------------------------------------------------------------------------------------------------ Insurance 2,977 - ------------------------------------------------------------------------------------------------------ Amortization of Organizational Expenses 3,589 - ------------------------------------------------------------------------------------------------------ Miscellaneous 811 - ------------------------------------------------------------------------------------------------------ Total Expenses 187,739 - ------------------------------------------------------------------------------------------------------ Less: Expenses Absorbed by Bankers Trust (62,017) 125,722 - ------------------------------------------------------------------------------------------------------ NET INVESTMENT INCOME 1,019,467 - ------------------------------------------------------------------------------------------------------ NET REALIZED AND UNREALIZED GAIN (LOSS) ON SECURITIES - ------------------------------------------------------------------------------------------------------ Net Realized (Loss) from Securities Transactions (514,098) - ------------------------------------------------------------------------------------------------------ Net Realized (Loss) from Futures Transactions (269,055) - ------------------------------------------------------------------------------------------------------ Net Unrealized Appreciation on Securities 619,249 - ------------------------------------------------------------------------------------------------------ Net Unrealized (Depreciation) on Futures Contracts (113,276) - ------------------------------------------------------------------------------------------------------ NET REALIZED AND UNREALIZED (LOSS) ON SECURITIES (277,180) - ------------------------------------------------------------------------------------------------------ NET INCREASE IN NET ASSETS FROM OPERATIONS $ 742,287 - ------------------------------------------------------------------------------------------------------
See Notes to Financial Statements on Pages 57 and 58 46 ASSET MANAGEMENT PORTFOLIO III 45 -----------------------------------------------------
STATEMENT OF CHANGES IN NET ASSETS - ------------------------------------------------------------------------------------------------------ For the period October 15, 1993 For the (Commencement year ended of Operations) to March 31, 1995 March 31, 1994 - ------------------------------------------------------------------------------------------------------ INCREASE (DECREASE) IN NET ASSETS - ------------------------------------------------------------------------------------------------------ FROM OPERATIONS - ------------------------------------------------------------------------------------------------------ Net Investment Income $ 1,019,467 $ 242,801 - ------------------------------------------------------------------------------------------------------ Net Realized (Loss) from Securities and Futures Transactions (783,153) (104,394) - ------------------------------------------------------------------------------------------------------ Net Unrealized Appreciation (Depreciation) on Securities and Futures Contracts 505,973 (667,572) - ------------------------------------------------------------------------------------------------------ Net Increase (Decrease) in Net Assets from Operations 742,287 (529,165) - ------------------------------------------------------------------------------------------------------ FROM CAPITAL TRANSACTIONS - ------------------------------------------------------------------------------------------------------ Proceeds from Capital Invested 5,531,582 18,138,737 - ------------------------------------------------------------------------------------------------------ Value of Capital Withdrawn (2,658,595) (23,246) - ------------------------------------------------------------------------------------------------------ Net Increase in Net Assets from Capital Transactions 2,872,987 18,115,491 - ------------------------------------------------------------------------------------------------------ TOTAL INCREASE IN NET ASSETS 3,615,274 17,586,326 - ------------------------------------------------------------------------------------------------------ NET ASSETS - ------------------------------------------------------------------------------------------------------ Beginning of Period 17,586,326 - - ------------------------------------------------------------------------------------------------------ End of Period $21,201,600 $17,586,326 - ------------------------------------------------------------------------------------------------------
See Notes to Financial Statements on Pages 57 and 58 47 ASSET MANAGEMENT PORTFOLIO III 46 ----------------------------------------------------- Financial Highlights - ------------------------------------------------------------------------------ Contained below are selected ratios and supplemental data for each of the periods indicated for the Asset Management Portfolio III.
- ------------------------------------------------------------------------------------------------------------------ For the period October 15, 1993 For the (Commencement year ended of Operations) to March 31, 1995 March 31, 1994 - ------------------------------------------------------------------------------------------------------------------ RATIOS AND SUPPLEMENTAL DATA Ratio of Net Investment Income to Average Net Assets 4.87% 3.51%* Ratio of Expenses to Average Net Assets 0.60% 0.60%* Decrease Reflected in Above Ratio of Expenses to Average Net Assets Due to Absorption of Expenses by Bankers Trust 0.30% 0.49%* Portfolio Turnover Rate 111% 84.30% Net Assets, End of Period (000's omitted) $21,202 $17,586
* Annualized See Notes to Financial Statements on Pages 57 and 58 48 ASSET MANAGEMENT PORTFOLIO III 47 -----------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS - ------------------------------------------------------------------------------------------ March 31, 1995 SHARES DESCRIPTION VALUE - ------------------------------------------------------------------------------------------ COMMON STOCKS - 15.45% - ------------------------------------------------------------------------------------------ AEROSPACE - 0.10% - ------------------------------------------------------------------------------------------ 300 Raytheon $ 21,862 - ------------------------------------------------------------------------------------------ AIRLINES - 0.21% - ------------------------------------------------------------------------------------------ 200 AMR (a) 12,950 - ------------------------------------------------------------------------------------------ 500 Delta Air Lines 31,375 - ------------------------------------------------------------------------------------------ 44,325 - ------------------------------------------------------------------------------------------ AUTO RELATED - 1.07% - ------------------------------------------------------------------------------------------ 500 Chrysler 20,937 - ------------------------------------------------------------------------------------------ 1,100 Dana 28,050 - ------------------------------------------------------------------------------------------ 2,700 Ford Motor 72,900 - ------------------------------------------------------------------------------------------ 1,400 General Motors 61,950 - ------------------------------------------------------------------------------------------ 200 General Motors, Cl E 7,775 - ------------------------------------------------------------------------------------------ 500 PACCAR 21,250 - ------------------------------------------------------------------------------------------ 900 SPX 13,050 - ------------------------------------------------------------------------------------------ 225,912 - ------------------------------------------------------------------------------------------ AVIATION SERVICES - 0.19% - ------------------------------------------------------------------------------------------ 2,000 Ogden 40,250 - ------------------------------------------------------------------------------------------ BANKS - 0.22% - ------------------------------------------------------------------------------------------ 200 Bank America 9,650 - ------------------------------------------------------------------------------------------ 200 Citicorp 8,500 - ------------------------------------------------------------------------------------------ 100 First Interstate Bancorp 7,900 - ------------------------------------------------------------------------------------------ 200 National Bancorp of Alaska 10,100 - ------------------------------------------------------------------------------------------ 200 Suntrust Banks 10,700 - ------------------------------------------------------------------------------------------ 46,850 - ------------------------------------------------------------------------------------------ BEVERAGES - 0.36% - ------------------------------------------------------------------------------------------ 800 Coca Cola 45,200 - ------------------------------------------------------------------------------------------ 800 Pepsico 31,200 - ------------------------------------------------------------------------------------------ 76,400 - ------------------------------------------------------------------------------------------ BROADCASTING - 0.03% - ------------------------------------------------------------------------------------------ 100 Clear Channel Communications (a) 5,950 - ------------------------------------------------------------------------------------------ BUILDING & CONSTRUCTION - 0.08% - ------------------------------------------------------------------------------------------ 700 Centex 16,887 - ------------------------------------------------------------------------------------------ BUILDING FOREST PRODUCTS - 0.04% - ------------------------------------------------------------------------------------------ 700 Kaufman & Broad Home 8,312 - ------------------------------------------------------------------------------------------ CHEMICALS - 0.20% - ------------------------------------------------------------------------------------------ 700 Du Pont (E.I.) De Nemours 42,350 - ------------------------------------------------------------------------------------------ COMPUTER SERVICES - 0.06% - ------------------------------------------------------------------------------------------ 200 Automatic Data Processing 12,600 - ------------------------------------------------------------------------------------------ Computer Software - 0.33% - ------------------------------------------------------------------------------------------ 200 Computer Associates International 11,875 - ------------------------------------------------------------------------------------------ 700 Microsoft (a) 49,788 - ------------------------------------------------------------------------------------------ 300 Oracle Systems (a) 9,375 - ------------------------------------------------------------------------------------------ 71,038 - ------------------------------------------------------------------------------------------ CONTAINERS - 0.04% - ------------------------------------------------------------------------------------------ 200 Avery Dennison 7,975 - ------------------------------------------------------------------------------------------ Cosmetics - 0.23% - ------------------------------------------------------------------------------------------ 600 Gillette 48,975 - ------------------------------------------------------------------------------------------ DRUGS - 0.80% - ------------------------------------------------------------------------------------------ 100 Bristol Myers Squibb 6,300 - ------------------------------------------------------------------------------------------ 1,300 Merck & Co. 55,412 - ------------------------------------------------------------------------------------------ 500 Pfizer 42,875 - ------------------------------------------------------------------------------------------ 300 Schering-Plough 22,313 - ------------------------------------------------------------------------------------------ 300 Smithkline Beecham 11,250 - ------------------------------------------------------------------------------------------ 400 Warner-Lambert 31,300 - ------------------------------------------------------------------------------------------ 169,450 - ------------------------------------------------------------------------------------------ ELECTRICAL EQUIPMENT - 1.05% - ------------------------------------------------------------------------------------------ 300 Belden 6,600 - ------------------------------------------------------------------------------------------
See Notes to Financial Statements on Pages 57 and 58 49 ASSET MANAGEMENT PORTFOLIO III 48 -----------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS - ------------------------------------------------------------------------------------------ March 31, 1995 SHARES DESCRIPTION VALUE - ------------------------------------------------------------------------------------------ 3,100 General Electric $ 167,788 - ------------------------------------------------------------------------------------------ 400 Hewlett-Packard 48,150 - ------------------------------------------------------------------------------------------ 222,538 - ------------------------------------------------------------------------------------------ ELECTRONICS - 0.38% - ------------------------------------------------------------------------------------------ 100 AMP 3,600 - ------------------------------------------------------------------------------------------ 200 Intel 16,975 - ------------------------------------------------------------------------------------------ 1,100 Motorola 60,088 - ------------------------------------------------------------------------------------------ 80,663 - ------------------------------------------------------------------------------------------ FINANCIAL SERVICES - 0.26% - ------------------------------------------------------------------------------------------ 400 Capital One Financial (a) 7,650 - ------------------------------------------------------------------------------------------ 100 Federal National Mortgage Assoc. 8,137 - ------------------------------------------------------------------------------------------ 700 First Data 36,312 - ------------------------------------------------------------------------------------------ 100 Fleet Financial Group 3,238 - ------------------------------------------------------------------------------------------ 55,337 - ------------------------------------------------------------------------------------------ FOOD SERVICES & LODGING - 0.10% - ------------------------------------------------------------------------------------------ 600 McDonald's 20,475 - ------------------------------------------------------------------------------------------ FOODS - 0.32% - ------------------------------------------------------------------------------------------ 500 Campbell Soup 24,188 - ------------------------------------------------------------------------------------------ 200 CPC International 10,825 - ------------------------------------------------------------------------------------------ 800 Sara Lee 20,900 - ------------------------------------------------------------------------------------------ 100 Unilever N.V., ADR 13,125 - ------------------------------------------------------------------------------------------ 69,038 - ------------------------------------------------------------------------------------------ HEALTH CARE DIVERSIFIED - 0.18% - ------------------------------------------------------------------------------------------ 600 Abbott Laboratories 21,375 - ------------------------------------------------------------------------------------------ 400 Columbia/HCA Health Care 17,200 - ------------------------------------------------------------------------------------------ 38,575 - ------------------------------------------------------------------------------------------ HOSPITAL SUPPLIES & SERVICES - 0.49% - ------------------------------------------------------------------------------------------ 300 Allergan 8,850 - ------------------------------------------------------------------------------------------ 200 Becton, Dickinson & Co 10,850 - ------------------------------------------------------------------------------------------ 500 Biomet (a) 8,438 - ------------------------------------------------------------------------------------------ 900 Johnson & Johnson 53,550 - ------------------------------------------------------------------------------------------ 300 Sun Healthcare Group (a) 7,650 - ------------------------------------------------------------------------------------------ 300 United Healthcare 14,025 - ------------------------------------------------------------------------------------------ 103,363 - ------------------------------------------------------------------------------------------ INSURANCE - 0.37% - ------------------------------------------------------------------------------------------ 500 American International Group 52,125 - ------------------------------------------------------------------------------------------ 200 General RE 26,400 - ------------------------------------------------------------------------------------------ 78,525 - ------------------------------------------------------------------------------------------ LEISURE RELATED - 0.39% - ------------------------------------------------------------------------------------------ 1,200 Disney (Walt) 64,050 - ------------------------------------------------------------------------------------------ 900 Outboard Marine 18,900 - ------------------------------------------------------------------------------------------ 82,950 - ------------------------------------------------------------------------------------------ MACHINERY - AGRICULTURE - 0.23% - ------------------------------------------------------------------------------------------ 600 Deere & Co. 48,750 - ------------------------------------------------------------------------------------------ MACHINERY - OTHER - 0.37% - ------------------------------------------------------------------------------------------ 1,400 Textron 79,275 - ------------------------------------------------------------------------------------------ METALS - 0.04% - ------------------------------------------------------------------------------------------ 300 Alcan Aluminium Ltd. 7,987 - ------------------------------------------------------------------------------------------ OFFICE EQUIPMENT - 0.37% - ------------------------------------------------------------------------------------------ 500 Cray Research (a) 9,187 - ------------------------------------------------------------------------------------------ 600 International Business Machines 49,125 - ------------------------------------------------------------------------------------------ 900 Unisys (a) 8,325 - ------------------------------------------------------------------------------------------ 100 Xerox 11,738 - ------------------------------------------------------------------------------------------ 78,375 - ------------------------------------------------------------------------------------------ OIL DOMESTIC - 0.31% - ------------------------------------------------------------------------------------------ 400 Enron Oil & Gas 9,850 - ------------------------------------------------------------------------------------------ 1,200 Tenneco 56,550 - ------------------------------------------------------------------------------------------ 66,400 - ------------------------------------------------------------------------------------------
See Notes to Financial Statements on Pages 57 and 58 50 ASSET MANAGEMENT PORTFOLIO III 49 -----------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS - ------------------------------------------------------------------------------------------ March 31, 1995 SHARES DESCRIPTION VALUE - ------------------------------------------------------------------------------------------ OIL INTERNATIONAL - 0.84% - ------------------------------------------------------------------------------------------ 700 Exxon $ 46,725 - ------------------------------------------------------------------------------------------ 500 Mobil 46,313 - ------------------------------------------------------------------------------------------ 700 Royal Dutch Petroleum 84,000 - ------------------------------------------------------------------------------------------ 177,038 - ------------------------------------------------------------------------------------------ OIL SUPPLIES & CONSTRUCTION - 0.11% - ------------------------------------------------------------------------------------------ 400 Schlumberger Ltd. 23,850 - ------------------------------------------------------------------------------------------ PAPER - 0.16% - ------------------------------------------------------------------------------------------ 100 International Paper 7,512 - ------------------------------------------------------------------------------------------ 300 Scott Paper 26,813 - ------------------------------------------------------------------------------------------ 34,325 - ------------------------------------------------------------------------------------------ PETROLEUM RELATED - 0.37% - ------------------------------------------------------------------------------------------ 200 Amoco 12,725 - ------------------------------------------------------------------------------------------ 1,200 Ashland Oil 42,750 - ------------------------------------------------------------------------------------------ 200 Atlantic Richfield 23,000 - ------------------------------------------------------------------------------------------ 78,475 - ------------------------------------------------------------------------------------------ PHARMACEUTICALS - 0.04% - ------------------------------------------------------------------------------------------ 300 Marion Merrell Dow 7,425 - ------------------------------------------------------------------------------------------ PHOTOGRAPHY & OPTICAL - 0.08% - ------------------------------------------------------------------------------------------ 300 Eastman Kodak 15,937 - ------------------------------------------------------------------------------------------ PRINTING & PUBLISHING - 0.16% - ------------------------------------------------------------------------------------------ 200 Gannett 10,675 - ------------------------------------------------------------------------------------------ 600 Time Warner 22,650 - ------------------------------------------------------------------------------------------ 33,325 - ------------------------------------------------------------------------------------------ REAL ESTATE - 0.08% - ------------------------------------------------------------------------------------------ 700 Pulte 16,450 - ------------------------------------------------------------------------------------------ RETAIL - 0.82% - ------------------------------------------------------------------------------------------ 900 Dayton Hudson 64,350 - ------------------------------------------------------------------------------------------ 1,800 Fleming 40,725 - ------------------------------------------------------------------------------------------ 300 May Department Stores 11,100 - ------------------------------------------------------------------------------------------ 300 Pep Boys-Manny Moe & Jack 9,300 - ------------------------------------------------------------------------------------------ 1,900 Wal-Mart Stores 48,450 - ------------------------------------------------------------------------------------------ 173,925 - ------------------------------------------------------------------------------------------ RETAIL - FOOD - 0.03% - ------------------------------------------------------------------------------------------ 200 Safeway (a) 6,950 - ------------------------------------------------------------------------------------------ SOAPS & TOILETRIES - 0.34% - ------------------------------------------------------------------------------------------ 100 Colgate-Palmolive 6,600 - ------------------------------------------------------------------------------------------ 1,000 Procter & Gamble 66,250 - ------------------------------------------------------------------------------------------ 72,850 - ------------------------------------------------------------------------------------------ TELECOMMUNICATIONS - 0.54% - ------------------------------------------------------------------------------------------ 150 Andrew (a) 6,113 - ------------------------------------------------------------------------------------------ 1,300 AT&T 67,275 - ------------------------------------------------------------------------------------------ 200 Capital Cities/ABC 17,650 - ------------------------------------------------------------------------------------------ 500 Tele-Communication, Cl A (a) 10,500 - ------------------------------------------------------------------------------------------ 300 Viacom, Cl B (a) 13,425 - ------------------------------------------------------------------------------------------ 114,963 - ------------------------------------------------------------------------------------------ TIRE & RUBBER - 0.19% - ------------------------------------------------------------------------------------------ 1,100 Goodyear Tire & Rubber 40,425 - ------------------------------------------------------------------------------------------ TOBACCO - 0.56% - ------------------------------------------------------------------------------------------ 2,200 American Brands 86,350 - ------------------------------------------------------------------------------------------ 400 Philip Morris 26,100 - ------------------------------------------------------------------------------------------ 200 UST 6,350 - ------------------------------------------------------------------------------------------ 118,800 - ------------------------------------------------------------------------------------------ TRUCKING - SHIPPING - 0.27% - ------------------------------------------------------------------------------------------ 600 Consolidated Freightways 15,975 - ------------------------------------------------------------------------------------------ 1,700 Ryder System 40,800 - ------------------------------------------------------------------------------------------ 56,775 - ------------------------------------------------------------------------------------------
See Notes to Financial Statements on Pages 57 and 58 51 ASSET MANAGEMENT PORTFOLIO III 50 -----------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS - ------------------------------------------------------------------------------------------ March 31, 1995 SHARES DESCRIPTION VALUE - ------------------------------------------------------------------------------------------ UTILITY - ELECTRIC - 1.58% - ------------------------------------------------------------------------------------------ 1,900 Central & Southwest $ 46,075 - ------------------------------------------------------------------------------------------ 2,200 Detroit Edison 60,225 - ------------------------------------------------------------------------------------------ 2,000 Houston Industries 76,250 - ------------------------------------------------------------------------------------------ 1,900 Pacific Gas & Electric 47,263 - ------------------------------------------------------------------------------------------ 3,200 PECO Energy 80,400 - ------------------------------------------------------------------------------------------ 1,600 SCE 25,000 - ------------------------------------------------------------------------------------------ 335,213 - ------------------------------------------------------------------------------------------ UTILITY - NATURAL GAS - 0.42% - ------------------------------------------------------------------------------------------ 1,700 ONEOK 32,087 - ------------------------------------------------------------------------------------------ 1,200 Panhandle Eastern 27,600 - ------------------------------------------------------------------------------------------ 1,200 People's Energy 30,000 - ------------------------------------------------------------------------------------------ 89,687 - ------------------------------------------------------------------------------------------ UTILITY - TELEPHONE - 0.04% - ------------------------------------------------------------------------------------------ 200 Telephone & Data System 7,900 - ------------------------------------------------------------------------------------------ TOTAL COMMON STOCKS (Cost $3,161,714) $ 3,275,700 - ------------------------------------------------------------------------------------------ PREFERRED STOCK NON-CONVERTIBLE - 0.00% - ------------------------------------------------------------------------------------------ DIVERSIFIED - 0.00% - ------------------------------------------------------------------------------------------ 10 Teledyne (Cost $147) $ 149 - ------------------------------------------------------------------------------------------ PRINCIPAL AMOUNT CORPORATE DEBENTURES - 8.78% - ------------------------------------------------------------------------------------------ BANKS - 1.74% - ------------------------------------------------------------------------------------------ Citicorp: - ------------------------------------------------------------------------------------------ $ 60,000 9.50%, 2/1/02 $ 65,203 - ------------------------------------------------------------------------------------------ 20,000 8.625%, 12/1/02 20,660 - ------------------------------------------------------------------------------------------ 60,000 Fleet/Norstar Group, 7.65%, 3/1/97 60,193 - ------------------------------------------------------------------------------------------ $ 90,000 International Bank Reconstruction & Development, 9.75%, 1/23/16 $ 105,525 - ------------------------------------------------------------------------------------------ 125,000 Westdeutsche LB - NY, 6.75%, 6/15/05 116,785 - ------------------------------------------------------------------------------------------ 368,366 - ------------------------------------------------------------------------------------------ FINANCIAL SERVICES - 2.60% - ------------------------------------------------------------------------------------------ 50,000 Dean Witter Discover, 6.875%, 3/1/03 46,965 - ------------------------------------------------------------------------------------------ 150,000 Ford Motor Credit, 5.625%, 3/3/97 145,752 - ------------------------------------------------------------------------------------------ General Motors Acceptance: - ------------------------------------------------------------------------------------------ 12,981 5.55%, 5/15/97 12,931 - ------------------------------------------------------------------------------------------ 110,000 8.625%, 1/18/01 113,796 - ------------------------------------------------------------------------------------------ 60,000 Goldman Sachs, 6.625%, 2/23/98 (b) (f) 59,961 - ------------------------------------------------------------------------------------------ 70,000 KFW International Finance, 8.20%, 6/1/06 72,687 - ------------------------------------------------------------------------------------------ 110,000 Pacific Mutual Life, 7.90%, 12/30/23 (f) 98,359 - ------------------------------------------------------------------------------------------ 550,451 - ------------------------------------------------------------------------------------------ HEALTH CARE DIVERSIFIED - 0.61% - ------------------------------------------------------------------------------------------ Columbia/HCA Healthcare: - ------------------------------------------------------------------------------------------ 55,000 8.85%, 1/1/07 57,523 - ------------------------------------------------------------------------------------------ 70,000 8.70%, 2/10/10 72,232 - ------------------------------------------------------------------------------------------ 129,755 - ------------------------------------------------------------------------------------------ INSURANCE - 0.47% - ------------------------------------------------------------------------------------------ 115,000 New York Life, 7.50%, 12/15/23 (f) 99,665 - ------------------------------------------------------------------------------------------ OIL INTERNATIONAL - 0.97% - ------------------------------------------------------------------------------------------ 90,000 BHP Finance USA,7.875%, 12/1/02 89,909 - ------------------------------------------------------------------------------------------ 115,000 Occidental Petroleum, 8.50%, 9/15/04 116,152 - ------------------------------------------------------------------------------------------ 206,061 - ------------------------------------------------------------------------------------------
See Notes to Financial Statements on Pages 57 and 58 52 ASSET MANAGEMENT PORTFOLIO III 51 -----------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS - ------------------------------------------------------------------------------------------ March 31, 1995 PRINCIPAL AMOUNT DESCRIPTION VALUE - ------------------------------------------------------------------------------------------ PAPER - 0.23% - ------------------------------------------------------------------------------------------ $ 50,000 Westvaco, 8.30%, 8/1/22 $ 49,293 - ------------------------------------------------------------------------------------------ PHARMACEUTICALS - 0.46% - ------------------------------------------------------------------------------------------ 110,000 Schering-Plough, 0.00%, 12/2/96 (c) 97,973 - ------------------------------------------------------------------------------------------ RETAIL - 0.37% - ------------------------------------------------------------------------------------------ 80,000 May Department Stores, 8.375%, 8/1/24 79,300 - ------------------------------------------------------------------------------------------ UTILITY - ELECTRIC - 0.82% - ------------------------------------------------------------------------------------------ 50,000 Idaho Power, 8.00%, 3/15/04 50,379 - ------------------------------------------------------------------------------------------ 75,000 Potomac Edison, 8.00%, 6/1/24 72,360 - ------------------------------------------------------------------------------------------ 50,000 Virginia Electric & Power, 8.625%, 10/1/24 51,547 - ------------------------------------------------------------------------------------------ 174,286 - ------------------------------------------------------------------------------------------ UTILITY - NATURAL GAS - 0.51% - ------------------------------------------------------------------------------------------ 100,000 KN Energy, 9.625%, 8/1/21 106,990 - ------------------------------------------------------------------------------------------ TOTAL CORPORATE DEBENTURES (Cost $1,867,539) $ 1,862,140 - ------------------------------------------------------------------------------------------ ASSET-BACKED SECURITIES - 23.64% - ------------------------------------------------------------------------------------------ CORPORATE - 0.56% - ------------------------------------------------------------------------------------------ Standard Credit Card Master Trust: - ------------------------------------------------------------------------------------------ $ 45,000 8.25%, 11/7/03 $ 46,478 - ------------------------------------------------------------------------------------------ 75,000 7.25%, 4/7/06 72,079 - ------------------------------------------------------------------------------------------ 118,557 - ------------------------------------------------------------------------------------------ U.S. GOVERNMENT & AGENCIES - 23.08% - ------------------------------------------------------------------------------------------ FHLMC: (e) - ------------------------------------------------------------------------------------------ 33,044 8.50%, 3/1/23 33,830 - ------------------------------------------------------------------------------------------ 424,424 9.50%, 2/1/25 442,992 - ------------------------------------------------------------------------------------------ FNMA: (e) - ------------------------------------------------------------------------------------------ $ 413,983 6.00%, 1/1/01 398,914 - ------------------------------------------------------------------------------------------ 180,000 8.625%, 11/10/04 186,272 - ------------------------------------------------------------------------------------------ 248,792 7.00%, 5/1/09 241,795 - ------------------------------------------------------------------------------------------ 518,423 8.00%, 4/1/10 521,818 - ------------------------------------------------------------------------------------------ 1,435,000 8.00%, 9/1/21 1,421,106 - ------------------------------------------------------------------------------------------ 426,191 7.00%, 1/1/24 401,554 - ------------------------------------------------------------------------------------------ 1,376,852 GNMA, 6.50%, 9/15/23 (e) 1,244,337 - ------------------------------------------------------------------------------------------ 4,892,618 - ------------------------------------------------------------------------------------------ TOTAL ASSET-BACKED SECURITIES (Cost $5,225,959) $ 5,011,175 - ------------------------------------------------------------------------------------------ GOVERNMENTS FOREIGN - 1.17% - ------------------------------------------------------------------------------------------ CANADA - 0.77% - ------------------------------------------------------------------------------------------ $ 125,000 Manitoba, 6.125%, 1/19/04 $ 112,202 - ------------------------------------------------------------------------------------------ 60,000 Quebec Province, 7.125%, 2/9/94 50,660 - ------------------------------------------------------------------------------------------ 162,862 - ------------------------------------------------------------------------------------------ NEW ZEALAND - 0.40% - ------------------------------------------------------------------------------------------ 80,000 New Zealand Government, 8.75%, 12/15/06 85,744 - ------------------------------------------------------------------------------------------ TOTAL GOVERNMENTS FOREIGN (Cost $256,766) $ 248,606 - ------------------------------------------------------------------------------------------ LONG-TERM U.S. TREASURY SECURITIES - 34.12% - ------------------------------------------------------------------------------------------ U.S. TREASURY BONDS - 4.36% - ------------------------------------------------------------------------------------------ $ 791,000 8.125%, 8/15/19 $ 838,707 - ------------------------------------------------------------------------------------------ 89,000 7.25%, 8/15/22 86,358 - ------------------------------------------------------------------------------------------ 925,065 - ------------------------------------------------------------------------------------------ U.S. TREASURY NOTES - 29.76% - ------------------------------------------------------------------------------------------ 400,000 6.00%, 6/30/96 397,064 - ------------------------------------------------------------------------------------------ 1,160,000 5.125%, 11/30/98 1,090,586 - ------------------------------------------------------------------------------------------
See Notes to Financial Statements on Pages 57 and 58 53 ASSET MANAGEMENT PORTFOLIO III 52 -----------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS - ------------------------------------------------------------------------------------------------ March 31, 1995 PRINCIPAL AMOUNT DESCRIPTION VALUE - ------------------------------------------------------------------------------------------------ $ 1,000,000 8.50%, 11/15/00 $ 1,064,062 - ------------------------------------------------------------------------------------------------ 3,753,000 7.25%, 8/15/04 3,756,516 - ------------------------------------------------------------------------------------------------ 6,308,228 - ------------------------------------------------------------------------------------------------ Total Long-Term U.S. Treasury Securities (Cost $7,252,178) $ 7,233,293 - ------------------------------------------------------------------------------------------------ SHORT-TERM INVESTMENTS - 42.19% - ------------------------------------------------------------------------------------------------ U.S. TREASURY BILLS - 40.10% - ------------------------------------------------------------------------------------------------ $ 3,500,000 5.62%, 4/13/95 $ 3,493,408 - ------------------------------------------------------------------------------------------------ 75,000 5.69%, 6/1/95 (d) 74,303 - ------------------------------------------------------------------------------------------------ 5,075,000 5.83%, 9/21/95 4,933,738 - ------------------------------------------------------------------------------------------------ $ 8,501,449 - ------------------------------------------------------------------------------------------------ REPURCHASE AGREEMENT - 2.09% - ------------------------------------------------------------------------------------------------ $ 444,555 Repurchase Agreement with Sanwa Bank, Dated 3/31/95, 5.90%, Principal and Interest in the Amount of $444,628, Due 4/3/95, (Collateralized by U.S. Treasury Bonds, Par Value of $432,000, 8.50%, 7/15/97, Value of $454,458) $ 444,555 - ------------------------------------------------------------------------------------------------ TOTAL SHORT-TERM INVESTMENTS (Cost $8,945,050) $ 8,946,004 - ------------------------------------------------------------------------------------------------ TOTAL INVESTMENTS (Cost $26,709,353) 125.35% $26,577,067 - ------------------------------------------------------------------------------------------------ Liabilities in Excess of Other Assets (25.35%) (5,375,467) - ------------------------------------------------------------------------------------------------ NET ASSETS 100.00% $21,201,600 - ------------------------------------------------------------------------------------------------
NUMBER OF NET UNREALIZED FUTURES APPRECIATION CONTRACTS DESCRIPTION (DEPRECIATION) - ------------------------------------------------------------------------------------------------ FUTURES CONTRACTS - ------------------------------------------------------------------------------------------------ 4 S&P 500 June 1995 Short Futures (Market Value $1,008,800) $ (19,000) - ------------------------------------------------------------------------------------------------ 6 U.S. Treasury June 1995 Short Futures (Market Value $623,438) (12,500) - ------------------------------------------------------------------------------------------------ 35 U.S. Treasury September 1995 Short Futures (Market Value $3,620,313) 2,187 - ------------------------------------------------------------------------------------------------ $ (29,313) - ------------------------------------------------------------------------------------------------
(a) Non-Income Producing Securities (b) Quarterly Floating Rate Note (c) Purchased at Deep Discount (d) Held as Collateral for Futures Contracts (e) The following abbreviations are used in the portfolio descriptions: FHLMC - Federal Home Loan Mortgage Corporation FNMA - Federal National Mortgage Association GNMA - Government National Mortgage Association (f) Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the period end, the value of these securities amounted to $257,985 or 1.2% of net assets. See Notes to Financial Statements on Pages 57 and 58 54 BT INVESTMENT LIFECYCLE FUNDS 53 ----------------------------------------------------- NOTES TO FINANCIAL STATEMENTS - ------------------------------------------------------------------------------ NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES A. Organization BT Investment Funds (the "Trust") is registered under the Investment Company Act of 1940 (the "Act"), as amended, as an open-end management investment company. The Trust was organized on July 21, 1986, as a business trust under the laws of the Commonwealth of Massachusetts. The BT Investment Lifecycle Long Range Fund, Mid Range Fund and Short Range Fund (each a "Fund", and collectively, the "Funds") are three of the funds offered to investors by the Trust. The Long Range Fund commenced operations and began offering shares of beneficial interest on November 16, 1993. The Mid Range Fund commenced operations and began offering shares of beneficial interest on October 14, 1993. The Short Range Fund commenced operations and began offering shares of beneficial interest on October 15, 1993. The Long Range Fund, Mid Range Fund and Short Range Fund invest substantially all of their assets in the Asset Management Portfolio, Asset Management Portfolio II and Asset Management Portfolio III (each a "Portfolio" and collectively, the "Portfolios") respectively. The Portfolios are open-end management investment companies registered under the Act. The Funds seek to achieve their investment objectives by investing all of their investable assets in the respective Portfolio. The value of such investment in the Portfolios reflects each Fund's proportionate interest in the net assets of the respective Portfolio. At March 31, 1995, the Long Range Fund's investment was approximately 14% of the Asset Management Portfolio, the Mid Range Fund's investment was approximately 100% of the Asset Management Portfolio II and the Short Range Fund's investment was approximately 100% of the Asset Management Portfolio III. The financial statements of each of the Portfolios, including the Schedules of Portfolio Investments, are contained elsewhere in this report. B. Investment Income Each of the Funds earns income, net of expenses, daily on its investment in the respective Portfolio. All of the net investment income and realized and unrealized gains and losses from the security transactions of each Portfolio are allocated pro rata among the investors in the Portfolio at the time of such determination. C. Organizational Expenses Costs incurred by each Fund in connection with its organization and initial registration are being amortized over a five year period on a straight-line basis. D. Dividends It is each Fund's policy to declare and distribute dividends quarterly to shareholders from net investment income. Dividends payable to shareholders are recorded by each Fund on the ex-dividend date, which is the same as the declaration date. Distributions of net realized short-term and long-term capital gains, if any, earned by each Fund will be made annually to the extent they are not offset by any capital loss carryforwards. Each of the Funds may periodically make reclassifications among certain of its capital accounts as a result of the timing and characterization of certain income and capital gains distributions determined annually in accordance with federal tax regulations which may differ from generally accepted accounting principles. E. Federal Income Taxes It is each Fund's policy to comply with the requirements of the Internal Revenue Code applicable to regulated investment companies and to distribute all of its taxable income to shareholders. Therefore, no federal income tax provision is required. 55 BT INVESTMENT LIFECYCLE FUNDS 54 ----------------------------------------------------- NOTES TO FINANCIAL STATEMENTS - ------------------------------------------------------------------------------ F. Other The Trust accounts separately for the assets, liabilities, and operations of each of the Funds. Expenses directly attributable to each Fund are charged to that Fund, while expenses which are attributable to all of the Trust's funds are allocated among them. NOTE 2 - FEES AND TRANSACTIONS WITH AFFILIATES The Funds have entered into an Administration and Services Agreement with Bankers Trust Company ("Bankers Trust"). Under this Administration and Services Agreement, Bankers Trust provides administrative, custody, transfer agency and shareholder services to each of the Funds in return for a fee computed daily and paid monthly at an annual rate of 0.65 of 1% of each Fund's average daily net assets. For the year ended March 31, 1995, these fees aggregated $69,865, $156,366 and $136,157 for the Long Range Fund, Mid Range Fund and Short Range Fund, respectively. The Trust has entered into a Distribution Agreement with Signature Broker-Dealer Services, Inc. ("Signature"). Under the Distribution Agreement with the Trust, pursuant to Rule 12b-1 of the 1940 Act, Signature may seek reimbursement, at an annual rate not exceeding 0.20 of 1% of the Fund's average daily net assets, for expenses incurred in connection with any activities primarily intended to result in the sale of each Fund's shares. For the year ended March 31, 1995, there were no reimbursable expenses incurred under this agreement. Bankers Trust has voluntarily undertaken to waive and reimburse expenses of each Fund, to the extent necessary, to limit all expenses to 0.40 of 1% of the average daily net assets of each Fund, excluding expenses of the respective Portfolios and 1.00 of 1% of the average daily net assets of each Fund, including expenses of the respective Portfolios. For the year ended March 31, 1995, expenses of the Long Range Fund, Mid Range Fund and Short Range Fund have been reduced $77,393, $116,867 and $109,534, respectively. Each of the Funds is subject to such limitations as may from time to time be imposed by the Blue Sky laws of states in which each of the Funds sells its shares. Currently, the most restrictive jurisdiction imposes expense limitations of 2.5% of the first $30,000,000 of the average daily net assets, 2.0% of the next $70,000,000, and 1.5% of any excess over $100,000,000. Certain trustees and officers of the Funds are also directors, officers and/or employees of Signature. None of the trustees so affiliated received compensation for services as trustee of the Funds. Similarly, none of the Funds' officers received compensation from the Funds. NOTE 3 - SHARES OF BENEFICIAL INTEREST At March 31, 1995, there were an unlimited number of shares of beneficial interest authorized. Transactions in shares of beneficial interest were as follows: LONG RANGE FUND
For the period November 16, 1993 For the (Commencement year ended of Operations) to March 31, 1995 March 31, 1994 ----------------------------- --------------------------- Shares Amount Shares Amount -------- ------------ ------- ---------- Sold 882,368 $ 8,527,326 537,708 $5,357,325 Reinvested 26,988 256,062 - - Redeemed (120,211) (1,162,023) - - -------- ----------- ------- ---------- Net Increase 789,145 $ 7,621,365 537,708 $5,357,325 ======== =========== ======= ==========
56 BT INVESTMENT LIFECYCLE FUNDS 55 ----------------------------------------------------- NOTES TO FINANCIAL STATEMENTS - ------------------------------------------------------------------------------ MID RANGE FUND
For the period October 14, 1993 For the (Commencement year ended of Operations) to March 31, 1995 March 31, 1994 ---------------------------- ----------------------------- Shares Amount Shares Amount -------- ---------- --------- ----------- Sold 821,762 $7,688,857 2,019,635 $20,019,675 Reinvested 86,014 791,477 8,410 82,500 Redeemed (257,635) (2,400,320) - - -------- ---------- --------- ----------- Net Increase 650,141 $6,080,014 2,028,045 $20,102,175 ======== ========== ========= ===========
SHORT RANGE FUND
For the period October 15, 1993 For the (Commencement year ended of Operations) to March 31, 1995 March 31, 1994 ---------------------------- ----------------------------- Shares Amount Shares Amount -------- ------------ --------- ----------- Sold 585,939 $ 5,531,582 1,822,583 $18,138,727 Reinvested 89,667 830,858 8,545 84,000 Redeemed (282,622) (2,634,912) - - -------- ------------ --------- ----------- Net Increase 392,984 $ 3,727,528 1,831,128 $18,222,727 ======== ============ ========= ===========
NOTE 4 - CAPITAL LOSS CARRYFORWARD At March 31, 1995, accumulated net realized capital loss carryforwards available as a reduction against future net realized capital gains were as follows: MID RANGE FUND
Amount Expiring - ------ -------- $ 51,946 2002 527,308 2003
SHORT RANGE FUND
Amount Expiring - ------ -------- $828,397 2003
57 BT INVESTMENT LIFECYCLE FUNDS 56 ----------------------------------------------------- REPORT OF INDEPENDENT ACCOUNTANTS - ------------------------------------------------------------------------------ To the Trustees and Shareholders of BT Investment Funds: We have audited the accompanying statements of assets and liabilities of the BT Investment Lifecycle Funds-Long Range Fund, Mid Range Fund and Short Range Fund (three of the funds comprising the BT Investment Funds) as of March 31, 1995, and the related statements of operations for the year then ended, the statements of changes in net assets, and the financial highlights for the year then ended and for the periods November 16, 1993 (commencement of operations) to March 31, 1994, October 14, 1993 (commencement of operations) to March 31, 1994 and October 15, 1993 (commencement of operations) to March 31, 1994. These financial statements and financial highlights are the responsibility of the Funds' management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. We conducted our audits in accordance with generally accepted auditing standards. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of March 31, 1995, by correspondence with the custodian. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion. In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the BT Investment Lifecycle Funds-Long Range Fund, Mid Range Fund and Short Range Fund as of March 31, 1995, the results of their operations, the changes in their net assets, and their financial highlights for the periods referred to above, in conformity with generally accepted accounting principles. /s/ COOPERS & LYBRAND L.L.P. - ------------------------------ Kansas City, Missouri April 27, 1995 58 ASSET MANAGEMENT PORTFOLIOS 57 ----------------------------------------------------- NOTES TO FINANCIAL STATEMENTS - ------------------------------------------------------------------------------ NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES A. Organization The Asset Management Portfolio, Asset Management Portfolio II and Asset Management Portfolio III (each a "Portfolio", and collectively, the "Portfolios") are registered under the Investment Company Act of 1940 (the "Act"), as amended, as open-end management investment companies. The Asset Management Portfolio was organized on June 9, 1992 as an unincorporated trust under the laws of New York and commenced operations on September 16, 1993. The Asset Management Portfolio II was organized on October 28, 1992, as an unincorporated trust under the laws of New York and commenced operations on October 14, 1993. The Asset Management Portfolio III was organized on October 28, 1992 as an unincorporated trust under the laws of New York and commenced operations on October 15, 1993. The Declaration of Trust permits the Board of Trustees (the "Trustees") to issue beneficial interests in each of the Portfolios. B. Security Valuation The Portfolios' investments are valued each business day by an independent pricing service (the "Service") approved by the Trustees. Securities traded on national exchanges or traded in the NASDAQ National Market System are valued at the last sales prices reported at the close of business each day. Over-the-counter securities not included in the NASDAQ National Market System and listed securities for which no sale was reported are valued at the mean of the bid and asked prices. Short-term obligations with remaining maturities of 60 days or less are valued at amortized cost which with accrued interest approximates value. Securities for which quotations are not available are stated at fair value as determined by the Trustees. C. Security Transactions and Interest Income Security transactions are accounted for on a trade date basis (date the order to buy or sell is executed). Dividend income is recorded on the ex-dividend date. Interest income is recorded on the accrual basis and includes amortization of premium and discount on investments. Realized gains and losses from securities transactions are recorded on the identified cost basis. Each of the Portfolios may enter into repurchase agreements with financial institutions deemed to be creditworthy by the Portfolios' Investment Advisers, subject to the seller's agreement to repurchase such securities at a mutually agreed upon price. Securities purchased subject to repurchase agreements are deposited with the Portfolios' custodian, and pursuant to the terms of the repurchase agreement must have an aggregate market value greater than or equal to the repurchase price plus accrued interest at all times. If the value of the underlying securities falls below the value of the repurchase price plus accrued interest, the Portfolios will require the seller to deposit additional collateral by the next business day. If the request for additional collateral is not met, or the seller defaults on its repurchase obligation, the Portfolios maintain the right to sell the underlying securities at market value and may claim any resulting loss against the seller. All of the net investment income and realized and un-realized gains and losses from the security transactions of the Portfolios are allocated pro rata among the investors in the Portfolios at the time of such determination. D. Organizational Expenses Costs incurred by each of the Portfolios in connection with their organization and initial registration are being amortized over a five year period on a straight-line basis. E. Federal Income Taxes It is each Portfolio's policy to comply with the requirements of the Internal Revenue Code applicable to it. Therefore, no federal income tax provision is required. 59 ASSET MANAGEMENT PORTFOLIOS 58 ----------------------------------------------------- NOTES TO FINANCIAL STATEMENTS - ------------------------------------------------------------------------------ NOTE 2 - FEES AND TRANSACTIONS WITH AFFILIATES The Portfolios have entered into an Administration and Services Agreement with Bankers Trust Company ("Bankers Trust"). Under this Administration and Services Agreement, Bankers Trust provides administrative, custody, transfer agency and shareholder services to each of the Portfolios in return for a fee computed daily and paid monthly at an annual rate of 0.10 of 1% of the Portfolios' average daily net assets. For the year ended March 31, 1995, these fees aggregated $88,638, $24,065 and $20,954 for the Asset Management Portfolio, Asset Management Portfolio II and Asset Management Portfolio III, respectively. The Portfolios have entered into an Advisory Agreement with Bankers Trust. Under this Advisory Agreement, Bankers Trust manages the Portfolios in accordance with the Portfolios' investment objective and stated investment policies in return for a fee computed daily and paid monthly at an annual rate of 0.65 of 1% of the Portfolios' average daily net assets. For the year ended March 31, 1995, these fees aggregated $576,146, $156,421 and $136,199 for the Asset Management Portfolio, Asset Management Portfolio II and Asset Management Portfolio III, respectively. Bankers Trust has voluntarily undertaken to waive and reimburse expenses of each Portfolio, to the extent necessary, to limit all expenses to 0.60 of 1% of the average daily net assets of each Portfolio. For the year ended March 31, 1995, expenses of the Asset Management Portfolio, Asset Management Portfolio II and Asset Management Portfolio III have been reduced $169,159, $65,748 and $62,017, respectively. Certain trustees and officers of the Portfolios are also directors, officers and/or employees of Signature. None of the trustees so affiliated received compensation for services as trustee of the Portfolios. Similarly, none of the Portfolios' officers received compensation from the Portfolios. NOTE 3 - PURCHASES AND SALES OF INVESTMENT SECURITIES The aggregate cost of purchases and proceeds from sales of investments, other than short-term obligations, for the year ended March 31, 1995, were as follows:
Portfolio Purchases Sales - --------- ----------- ----------- Asset Management $71,305,141 $56,522,481 Asset Management II 17,169,367 14,099,559 Asset Management III 21,111,886 14,105,108
For federal income tax purposes, the tax basis of investments held at March 31, 1995, were as follows:
Portfolio Cost-Tax Basis - --------- -------------- Asset Management $100,120,467 Asset Management II 27,199,395 Asset Management III 26,829,794
The aggregate gross unrealized appreciation/depreciation for all investments, were as follows:
Portfolio Appreciation Depreciation - --------- ------------ ------------ Asset Management $2,701,835 $1,129,657 Asset Management II 344,247 501,645 Asset Management III 208,502 461,229
The Portfolio may enter into financial futures contracts as an investment technique designed to hedge against anticipated future change in general market prices which otherwise might either adversely affect the value of securities held by the Portfolio or adversely affect the prices of securities which are intended to be purchased at a later date for the Portfolio. Investment in financial futures require initial margin deposits which consist of cash or cash equivalents equal to approximately 5% to 10% of the contract amount. During the period the financial futures are open, changes in the value of the contracts are recognized by "mark to market" on a daily basis to reflect the market value of the contracts at the close of each day's trading. Accordingly, variation margin payments are made or received to reflect daily unrealized gains or losses. When the contracts are closed, the Portfolios recognize a realized gain or loss. The use of futures contracts involves elements of market risk in excess of amounts recognized in the statement of assets and liabilities. 60 ASSET MANAGEMENT PORTFOLIOS 59 ----------------------------------------------------- REPORT OF INDEPENDENT ACCOUNTANTS - ------------------------------------------------------------------------------ To the Trustees and Holders of Beneficial Interest of the Asset Management Portfolios: We have audited the accompanying statements of assets and liabilities of the Asset Management Portfolio, Asset Management Portfolio II and Asset Management Portfolio III, including the schedule of portfolio investments, as of March 31, 1995, and the related statements of operations for the year then ended, the statement of changes in net assets, and the financial highlights for the year then ended and the periods September 16, 1993 (commencement of operations) to March 31, 1994, October 14, 1993 (commencement of operations) to March 31, 1994 and October 15, 1993 (commencement of operations) to March 31, 1994. These financial statements and financial highlights are the responsibility of the Portfolios' management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. We conducted our audits in accordance with generally accepted auditing standards. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of March 31, 1995, by correspondence with the custodian and brokers. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion. In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the Asset Management Portfolio, Asset Management Portfolio II and Asset Management Portfolio III, as of March 31, 1995, the results of their operations, the changes in their net assets, and their financial highlights for the periods referred to above, in conformity with generally accepted accounting principles. /s/COOPERS & LYBRAND L.L.P. - ---------------------------------- Kansas City, Missouri April 27, 1995 61 [This Page Left Intentionally Blank] -----END PRIVACY-ENHANCED MESSAGE-----