UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D. C. 20549
FORM N-CSR
Investment Company Act file number 811-06699
SCUDDER ASSET MANAGEMENT PORTFOLIO
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(Exact Name of Registrant as Specified in Charter)
One South Street, Baltimore, Maryland 21202
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(Address of Principal Executive Offices) (Zip Code)
Registrant's Telephone Number, including Area Code: (617) 295-2663
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Salvatore Schiavone
Two International Place
Boston, Massachusetts 02110
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(Name and Address of Agent for Service)
Date of fiscal year end: 3/31
Date of reporting period: 3/31/04
ITEM 1. REPORT TO STOCKHOLDERS
[Scudder Investments logo]
Scudder Lifecycle Long Range FundScudder Lifecycle Mid Range FundScudder Lifecycle Short Range Fund | ||
Annual Report to Shareholders | ||
March 31, 2004 | ||
Contents |
<Click Here> Performance Summary <Click Here> Portfolio Management Review Scudder Lifecycle Funds <Click Here> Portfolio Summary <Click Here> Financial Statements <Click Here> Financial Highlights <Click Here> Notes to Financial Statements <Click Here> Report of Independent Registered Public Accounting Firm <Click Here> Tax Information <Click Here> Trustees and Officers Asset Management Portfolios <Click Here> Investment Portfolios <Click Here> Financial Statements <Click Here> Financial Highlights <Click Here> Notes to Financial Statements <Click Here> Report of Independent Registered Public Accounting Firm <Click Here> Account Management Resources |
This report must be preceded or accompanied by a prospectus. To obtain a prospectus for any of our funds, refer to the Account Management Resources information provided in the back of this booklet. We advise you to consider the funds' objectives, risks, charges and expenses carefully before investing. The prospectus contains this and other important information about the funds. Please read the prospectus carefully before you invest.
Investments in mutual funds involve risk. Some funds have more risk than others. Although asset allocation among different asset classes generally limits risk and exposure to any one class, the risk remains that the investment advisor may favor an asset class that performs poorly relative to the other asset classes. Additionally, derivatives may be more volatile and less liquid than traditional securities, and the fund could suffer losses on its derivatives positions. Please read each fund's prospectus for specific details regarding its investments and risk profile.
Scudder Investments is part of Deutsche Asset Management, which is the marketing name in the US for the asset management activities of Deutsche Bank AG, Deutsche Investment Management Americas Inc., Deutsche Asset Management Inc., Deutsche Asset Management Investment Services Ltd., Deutsche Bank Trust Company Americas and Scudder Trust Company.
Fund shares are not FDIC-insured and are not deposits or other obligations of, or guaranteed by, any bank. Fund shares involve investment risk, including possible loss of principal.
Scudder Lifecycle Long Range Fund
All performance shown is historical, assumes reinvestment of all dividends and capital gains, and does not guarantee future results. Investment return and principal value fluctuate with changing market conditions so that, when redeemed, shares may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted. Please visit scudder.com for the product's most recent month-end performance.
Returns and rankings during all periods shown reflect a fee waiver and/or expense reimbursement. Without this waiver/reimbursement, returns and rankings would have been lower.
Performance figures do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the sale of fund shares. Returns and rankings may differ by share class.
On July 25, 2003, the Investment Class of the Fund was issued in conjunction with the combination of Scudder Lifecycle Long Range Fund (the "Acquired Fund") and the Fund (formerly known as "Scudder Asset Management Fund"). The Acquired Fund was, and the Fund is, a feeder fund investing all of its investable assets in the same master portfolio, the Asset Management Portfolio. Returns shown prior to July 25, 2003 are the actual returns of the Acquired Fund. Any difference in expenses will affect performance.
Average Annual Total Returns as of 3/31/04 | ||||
1-Year | 3-Year | 5-Year | 10-Year | |
| Premier Class | 23.71% | 3.65% | 2.46% | 9.64% |
| Investment Class | 23.06% | 3.19% | 2.02% | 9.18% |
| S&P 500 Index+ | 35.12% | .63% | -1.20% | 11.68% |
| Citigroup Broad Investment Grade Bond Index++ | 5.53% | 7.44% | 7.28% | 7.54% |
| Asset Allocation Index - Long Range+++ | 20.63% | 3.56% | 2.58% | 9.83% |
Sources: Lipper Inc. and Deutsche Asset Management, Inc.
Net Asset Value and Distribution Information | ||
Investment Class | Premier Class | |
| Net Asset Value: 3/31/04 | $ 10.43 | $ 10.84 |
| 7/25/03 (inception date of Investment Class shares) and 3/31/03 (Premier Class net asset value) | $ 9.75 | $ 9.17 |
| Distribution Information: Twelve Months (7/25/03 through 3/31/04 for Investment Class): Income Dividends as of 3/31/04 | $ .36 | $ .48 |
Premier Class Lipper Rankings - Flexible Portfolio Funds Category as of 3/31/04 | ||||
Period | Rank | Number of Funds Tracked | Percentile Ranking | |
| 1-Year | 202 | of | 312 | 65 |
| 3-Year | 94 | of | 248 | 38 |
| 5-Year | 78 | of | 192 | 41 |
| 10-Year | 22 | of | 73 | 30 |
Source: Lipper Inc. Rankings are historical and do not guarantee future results. Rankings are based on total return with distributions reinvested. Rankings are for Premier Class shares; other share classes may vary.
Growth of an Assumed $5,000,000 Investment |
[] Scudder Lifecycle Long Range Fund - Premier Class [] S&P 500 Index+[] Citigroup Broad Investment Grade Bond Index++ [] Asset Allocation Index - Long Range+++ |
 |
Yearly periods ended March 31 |
Comparative Results as of 3/31/04 | |||||
Scudder Lifecycle Long Range Fund | 1-Year | 3-Year | 5-Year | 10-Year | |
Premier Class | Growth of $5,000,000 | $6,185,500 | $5,567,000 | $5,646,500 | $12,553,500 |
| Average annual total return | 23.71% | 3.65% | 2.46% | 9.64% | |
| S&P 500 Index+ | Growth of $5,000,000 | $6,756,000 | $5,095,500 | $4,707,000 | $15,095,500 |
| Average annual total return | 35.12% | .63% | -1.20% | 11.68% | |
| Citigroup Broad Investment Grade Bond Index++ | Growth of $5,000,000 | $5,276,500 | $6,201,000 | $7,106,500 | $10,354,000 |
| Average annual total return | 5.53% | 7.44% | 7.28% | 7.54% | |
| Asset Allocation Index - Long Range+++ | Growth of $5,000,000 | $6,031,500 | $5,553,000 | $5,679,000 | $12,773,000 |
| Average annual total return | 20.63% | 3.56% | 2.58% | 9.83% | |
The growth of $5,000,000 is cumulative.
The minimum investment for the Premier Class is $5,000,000.
Growth of an Assumed $10,000 Investment |
[] Scudder Lifecycle Long Range Fund - Investment Class [] S&P 500 Index+[] Citigroup Broad Investment Grade Bond Index++ [] Asset Allocation Index - Long Range+++ |
 |
Yearly periods ended March 31 |
Comparative Results as of 3/31/04 | |||||
Scudder Lifecycle Long Range Fund | 1-Year | 3-Year | 5-Year | 10-Year | |
Investment Class | Growth of $10,000 | $12,306 | $10,986 | $11,051 | $24,078 |
| Average annual total return | 23.06% | 3.19% | 2.02% | 9.18% | |
| S&P 500 Index+ | Growth of $10,000 | $13,512 | $10,191 | $9,414 | $30,191 |
| Average annual total return | 35.12% | .63% | -1.20% | 11.68% | |
| Citigroup Broad Investment Grade Bond Index++ | Growth of $10,000 | $10,553 | $12,402 | $14,213 | $20,708 |
| Average annual total return | 5.53% | 7.44% | 7.28% | 7.54% | |
| Asset Allocation Index - Long Range+++ | Growth of $10,000 | $12,063 | $11,106 | $11,358 | $25,546 |
| Average annual total return | 20.63% | 3.56% | 2.58% | 9.83% | |
The growth of $10,000 is cumulative.
+ The Standard & Poor's (S&P) 500 Index is a capitalization-weighted index of 500 stocks. The index is designed to measure performance of the broad domestic economy through changes in the aggregate market value of 500 stocks representing all major industries.++ Citigroup Broad Investment Grade Bond Index (formerly Salomon Broad Investment Grade Bond Index) covers an all inclusive universe of institutionally traded US treasury, agency, mortgage and corporate securities.
+++ Asset Allocation Index - Long Range is calculated using the performance of three unmanaged indices representative of stocks (S&P 500 Index), bonds (Citigroup Broad Investment Grade Bond Index) and cash (Merrill Lynch 3-month T-bill Index) weighted by their corresponding proportion of the Fund's neutral position (stocks: 55%; bonds: 35%; cash: 10%). These results are summed to produce the aggregate benchmark. The S&P 500 Index measures the performance of 500 large US companies. The Citigroup Broad Investment Grade Bond Index covers an all inclusive universe of institutionally traded US Treasury, agency, mortgage and corporate securities. The Merrill Lynch 3-month T-bill Index is representative of the 3-month Treasury market.
Index returns assume reinvestment of dividends and, unlike Fund returns, do not reflect any fees or expenses. It is not possible to invest directly into an index.
Scudder Lifecycle Mid Range Fund
All performance shown is historical, assumes reinvestment of all dividends and capital gains, and does not guarantee future results. Investment return and principal value fluctuate with changing market conditions so that, when redeemed, shares may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted. Please visit scudder.com for the product's most recent month-end performance.
Returns and rankings during all periods shown reflect a fee waiver and/or expense reimbursement. Without this waiver/reimbursement, returns and rankings would have been lower.
Performance figures do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the sale of fund shares.
Average Annual Total Returns as of 3/31/04 | ||||
1-Year | 3-Year | 5-Year | 10-Year | |
| Investment Class | 16.85% | 4.16% | 3.51% | 8.29% |
| S&P 500 Index+ | 35.12% | .63% | -1.20% | 11.68% |
| Citigroup Broad Investment Grade Bond Index++ | 5.53% | 7.44% | 7.28% | 7.54% |
| Asset Allocation Index - Mid Range+++ | 14.31% | 4.34% | 3.87% | 8.66% |
Sources: Lipper Inc. and Deutsche Asset Management, Inc.
Net Asset Value and Distribution Information | |
Investment Class | |
| Net Asset Value: 3/31/04 | $ 9.86 |
| 3/31/03 | $ 8.80 |
| Distribution Information: Twelve Months: Income Dividends as of 3/31/04 | $ .42 |
Investment Class Lipper Rankings - Flexible Portfolio Funds Category as of 3/31/04 | ||||
Period | Rank | Number of Funds Tracked | Percentile Ranking | |
| 1-Year | 271 | of | 312 | 87 |
| 3-Year | 76 | of | 248 | 31 |
| 5-Year | 55 | of | 192 | 27 |
| 10-Year | 49 | of | 73 | 67 |
Source: Lipper Inc. Rankings are historical and do not guarantee future results. Rankings are based on total return with distributions reinvested.
Growth of an Assumed $10,000 Investment |
[] Scudder Lifecycle Mid Range Fund - Investment Class [] S&P 500 Index+[] Citigroup Broad Investment Grade Bond Index++ [] Asset Allocation Index - Mid Range+++ |
 |
Yearly periods ended March 31 |
Comparative Results as of 3/31/04 | |||||
Scudder Lifecycle Mid Range Fund | 1-Year | 3-Year | 5-Year | 10-Year | |
Investment Class | Growth of $10,000 | $11,685 | $11,301 | $11,881 | $22,167 |
| Average annual total return | 16.85% | 4.16% | 3.51% | 8.29% | |
| S&P 500 Index+ | Growth of $10,000 | $13,512 | $10,191 | $9,414 | $30,191 |
| Average annual total return | 35.12% | .63% | -1.20% | 11.68% | |
| Citigroup Broad Investment Grade Bond Index++ | Growth of $10,000 | $10,553 | $12,402 | $14,213 | $20,708 |
| Average annual total return | 5.53% | 7.44% | 7.28% | 7.54% | |
| Asset Allocation Index - Mid Range+++ | Growth of $10,000 | $11,431 | $11,359 | $12,093 | $22,935 |
| Average annual total return | 14.31% | 4.34% | 3.87% | 8.66% | |
The growth of $10,000 is cumulative.
+ The Standard & Poor's (S&P) 500 Index is a capitalization-weighted index of 500 stocks. The index is designed to measure performance of the broad domestic economy through changes in the aggregate market value of 500 stocks representing all major industries.++ Citigroup Broad Investment Grade Bond Index (formerly Salomon Broad Investment Grade Bond Index) covers an all inclusive universe of institutionally traded US treasury, agency, mortgage and corporate securities.
+++ Asset Allocation Index - Mid Range is calculated using the performance of three unmanaged indices representative of stocks (S&P 500 Index), bonds (Citigroup Broad Investment Grade Bond Index) and cash (Merrill Lynch 3-month T-bill Index) weighted by their corresponding proportion of the Fund's neutral position (stocks: 35%; bonds: 45%; cash: 20%). These results are summed to produce the aggregate benchmark. The S&P 500 Index measures the performance of 500 large US companies. The Citigroup Broad Investment Grade Bond Index covers an all inclusive universe of institutionally traded US Treasury, agency, mortgage and corporate securities. The Merrill Lynch 3-month T-bill Index is representative of the 3-month Treasury market.
Index returns assume reinvestment of dividends and, unlike Fund returns, do not reflect any fees or expenses. It is not possible to invest directly into an index.
Scudder Lifecycle Short Range Fund
All performance shown is historical, assumes reinvestment of all dividends and capital gains, and does not guarantee future results. Investment return and principal value fluctuate with changing market conditions so that, when redeemed, shares may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted. Please visit scudder.com for the product's most recent month-end performance.
Returns and rankings during all periods shown reflect a fee waiver and/or expense reimbursement. Without this waiver/reimbursement, returns and rankings would have been lower.
Performance figures do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the sale of fund shares.
Average Annual Total Returns as of 3/31/04 | ||||
1-Year | 3-Year | 5-Year | 10-Year | |
| Investment Class | 10.44% | 4.82% | 4.54% | 7.03% |
| S&P 500 Index+ | 35.12% | .63% | -1.20% | 11.68% |
| Citigroup Broad Investment Grade Bond Index++ | 5.53% | 7.44% | 7.28% | 7.54% |
| Asset Allocation Index - Short Range+++ | 8.25% | 4.99% | 5.05% | 7.38% |
Sources: Lipper Inc. and Deutsche Asset Management, Inc.
Net Asset Value and Distribution Information | |
Investment Class | |
| Net Asset Value: 3/31/04 | $ 10.30 |
| 3/31/03 | $ 9.71 |
| Distribution Information: Twelve Months: Income Dividends as of 3/31/04 | $ .40 |
Investment Class Lipper Rankings - Income Funds Category as of 3/31/04 | ||||
Period | Rank | Number of Funds Tracked | Percentile Ranking | |
| 1-Year | 146 | of | 159 | 92 |
| 3-Year | 44 | of | 108 | 41 |
| 5-Year | 28 | of | 78 | 35 |
| 10-Year | 12 | of | 19 | 60 |
Source: Lipper Inc. Rankings are historical and do not guarantee future results. Rankings are based on total return with distributions reinvested.
Growth of an Assumed $10,000 Investment |
[] Scudder Lifecycle Short Range Fund - Investment Class [] S&P 500 Index+[] Citigroup Broad Investment Grade Bond Index++ [] Asset Allocation Index - Short Range+++ |
 |
Yearly periods ended March 31 |
Comparative Results as of 3/31/04 | |||||
Scudder Lifecycle Short Range Fund | 1-Year | 3-Year | 5-Year | 10-Year | |
Investment Class | Growth of $10,000 | $11,044 | $11,516 | $12,486 | $19,731 |
| Average annual total return | 10.44% | 4.82% | 4.54% | 7.03% | |
| S&P 500 Index+ | Growth of $10,000 | $13,512 | $10,191 | $9,414 | $30,191 |
| Average annual total return | 35.12% | .63% | -1.20% | 11.68% | |
| Citigroup Broad Investment Grade Bond Index++ | Growth of $10,000 | $10,553 | $12,402 | $14,213 | $20,708 |
| Average annual total return | 5.53% | 7.44% | 7.28% | 7.54% | |
| Asset Allocation Index - Short Range+++ | Growth of $10,000 | $10,825 | $11,573 | $12,796 | $20,384 |
| Average annual total return | 8.25% | 4.99% | 5.05% | 7.38% | |
The growth of $10,000 is cumulative.
+ The Standard & Poor's (S&P) 500 Index is a capitalization-weighted index of 500 stocks. The index is designed to measure performance of the broad domestic economy through changes in the aggregate market value of 500 stocks representing all major industries.++ Citigroup Broad Investment Grade Bond Index (formerly Salomon Broad Investment Grade Bond Index) covers an all inclusive universe of institutionally traded US treasury, agency, mortgage and corporate securities.
+++ Asset Allocation Index - Short Range is calculated using the performance of three unmanaged indices representative of stocks (S&P 500 Index), bonds (Citigroup Broad Investment Grade Bond Index) and cash (Merrill Lynch 3-month T-bill Index) weighted by their corresponding proportion of the Fund's neutral position (stocks: 15%; bonds: 55%; cash: 30%). These results are summed to produce the aggregate benchmark. The S&P 500 Index measures the performance of 500 large US companies. The Citigroup Broad Investment Grade Bond Index covers an all inclusive universe of institutionally traded US Treasury, agency, mortgage and corporate securities. The Merrill Lynch 3-month T-bill Index is representative of the 3-month Treasury market.
Index returns assume reinvestment of dividends and, unlike Fund returns, do not reflect any fees or expenses. It is not possible to invest directly into an index.
Scudder Lifecycle Funds: A Team Approach to Investing
Deutsche Asset Management, Inc. ("DeAM, Inc." or the "Advisor"), which is part of Deutsche Asset Management, is the investment advisor for the Asset Management Portfolios (the "Portfolios"), the Portfolios in which the Scudder Lifecycle Funds invest all of their assets. DeAM, Inc. provides a full range of investment advisory services to institutional and retail clients. DeAM, Inc. is also responsible for selecting brokers and dealers and for negotiating brokerage commissions and dealer charges.
Deutsche Asset Management is a global asset management organization that offers a wide range of investing expertise and resources. This well-resourced global investment platform brings together a wide variety of experience and investment insight across industries, regions, asset classes and investing styles.
DeAM, Inc. is an indirect, wholly owned subsidiary of Deutsche Bank AG. Deutsche Bank AG is a major global banking institution that is engaged in a wide range of financial services, including investment management, mutual funds, retail, private and commercial banking, investment banking and insurance.
Northern Trust Investments, N.A. ("NTI") is the subadvisor to the Portfolios. NTI is located at 50 South LaSalle Street, Chicago, IL 60675. As of December 31, 2003. NTI had approximately $243.6 billion of assets under management. With respect to only the passive equity portion of each master portfolio, a group of investment professionals at NTI makes the investment decisions, buys and sells securities and conducts the research that leads to the purchase and sale decisions.
Portfolio Management Team
Janet Campagna
Managing Director of Deutsche Asset Management and Lead Manager of the Portfolios.
• Head of global and tactical asset allocation.
• Joined Deutsche Asset Management in 1999 and began managing the Portfolios in 2000.
• Investment strategist and manager of the asset allocation strategies group for Barclays Global Investors from 1994 to 1999.
• Over 12 years of investment industry experience.
• Bachelor's degree in Economics from Northeastern University; Master's degree in Social Science from California Institute of Technology and Ph.D in Political Science from University of California at Irvine.
Robert Wang
Managing Director of Deutsche Asset Management and Co-Manager of the Portfolios.
• Joined Deutsche Asset Management in 1995 and began managing the Portfolios in 2000.
• Fixed income trader for J.P. Morgan from 1982 to 1995.
• Over 21 years of investment industry experience.
• Bachelor's degree in Economics from the Wharton School at the University of Pennsylvania.
In the following interview, Portfolio Managers Janet Campagna and Robert Wang address the economy, the investment management strategy and the resulting performance of Scudder Lifecycle Funds for the one-year period April 1, 2003, through March 31, 2004.
Q: Will you review the key global political and economic developments during the period?
A: People will remember this annual period as the one that officially marked the end of the bear market. A global economic recovery, led by the United States and Asia, fueled strong global equity market performance. The global bond markets also performed well, supported by the consistently dovish stance of the US Federal Reserve Board and the central bank policies of Europe and Japan.
As we entered the period, we began to see the results of strong fiscal and monetary stimulus. Although this stimulus had contributed to US dollar weakness, it finally began working to broaden and deepen the economic recovery around the globe. Leading economic indicators began to show significant signs of improvement during the second quarter of 2003. However, Europe lagged behind the United States and Japan, with weak domestic demand. Further, euro strength diluted the benefits of increased demand for European exports.
During the second half of 2003, several unanticipated events and countervailing forces clouded what was expected to be a sunny picture for the equity markets. As we entered the period, we saw signs of continued economic improvement. In the United States, initial estimates of gross domestic product (the total value of all goods and services produced) for the third quarter were revised upward significantly, and jobless claims (a measure of unemployment) began to moderate. Nevertheless, not all data points were wholly positive; consumer confidence levels were somewhat lower than expected. Finally, fourth-quarter reports of illegal trading among some prominent mutual fund complexes, and the resulting legal actions, gave rise to widespread investor skittishness. Mounting concern that robust economic growth would bring about inflation gave way to increased volatility in the US fixed-income markets.
In the first quarter of 2004, the market continued to struggle with economic and geopolitical issues that together dampened early investor enthusiasm. In the United States, the February release of disappointing labor statistics called into question the viability of the domestic economic recovery. The insurrection in Haiti, the terrorist bombing in Madrid, escalation of fighting between Israelis and Palestinians, and the grinding conflict in Iraq heightened anxiety worldwide.
However, earnings growth for large- and small-cap US stocks continued to surprise on the upside throughout January and February, providing a mooring for investors. In March, better-than-anticipated US employment data helped to renew investor confidence, driving US equities to a strong finish through the period's end.
In Japan, ongoing corporate restructuring efforts finally renewed people's confidence and signs of a sustained domestic economic recovery emerged. After a decade of undervaluation by investors, Japanese equity prices rose.
Q: How did equity markets around the world respond?
A: Most global equity markets advanced powerfully during the period as leading indicators of economic activity ultimately showed improvement. With interest rates near historic lows, equity valuations on the whole were attractive relative to bonds, and especially in relation to cash holdings. Our ability to invest in offshore markets through the use of foreign equity index and bond futures enabled Scudder Lifecycle Funds to benefit from these trends.
Driven by economic strength and improved corporate earnings, the Japanese equity market rose 69.83% for the 12-month period ended March 31, 2004, as measured by the Morgan Stanley Capital International Japan Index.1 It was the top-performing global equity market. European equities, fueled by export growth, also logged strong gains albeit tempered by the strong euro; the Morgan Stanley Capital International Europe Index was up 53.96% for the same period.2 Despite healthy corporate profits, US stocks continued to be comparatively expensive (in US dollar terms) versus foreign stocks. As a result, US equities generally underperformed their foreign counterparts during the period. The US equity market, as measured by the Standard & Poor's 500 index rose 35.12% for the period.3
1 The Morgan Stanley Capital International Japan Index (MSCI Japan) is an unmanaged, capitalization-weighted measure of equity securities listed on the Tokyo Stock Exchange. Index returns assume reinvested dividends and do not reflect fees. It is not possible to invest directly in an index.2 The Morgan Stanley Capital International Europe Index (MSCI Europe) is an unmanaged, capitalization-weighted measure of 16 markets in Europe.
3 "Standard & Poor's," "S&P," "S&P 500" and "500" are trademarks of The McGraw-Hill Companies, Inc. and have been licensed for use. This fund is not sponsored, endorsed, sold or promoted by Standard & Poor's and Standard & Poor's makes no representation regarding the advisability of investing in the portfolio. The S&P 500 is an unmanaged group of large-company stocks that is not available for direct investment.
Q: How did the global bond and currency markets perform?
A: A supportive central bank policy propped up global bond markets, which were further supported by an absence of inflationary pressure during most of the period. While providing positive returns, the global bond markets nevertheless underperformed global equity markets.
We continued to be concerned about bond prices, which appeared to be high both on a relative basis and on a historical basis. We believe that at some point, the US Federal Reserve and the Asian central banks will have to account for economic improvements. The European Central Bank, on the other hand, may be forced to lower rates to prop up the continent's relatively sluggish growth.
On a comparison basis within the asset class, longer-duration bonds performed quite well during the period. Despite some fluctuation caused by investor concerns late in the period regarding inflation and continued economic growth, US Treasury bonds ultimately were the top-performing fixed-income vehicle, favored by risk-averse foreign investors worried about continued geopolitical instability.
Q: How did the global currency markets affect fund management and performance?
A: The currency markets, which we access through the use of currency forward agreements, were one of the biggest contributors to the funds' performance. The dollar remained uniformly weak until the end of the period, which provided a major advantage to the funds. The reversal in February 2004 was due primarily to the strength of global economic growth, talk of interest rate cuts by the European Central Bank and a change in the Japanese policy of foreign exchange intervention to consistently weaken the yen. While the dollar stabilized, the yen weakened sharply, and the euro pulled back from its previous highs.
Because a depreciating dollar makes US financial assets less attractive, maintaining a stable or slightly weakening currency will be important to continue broadening global economic growth. Higher euro and yen valuations make export growth more difficult for European and Japanese exporters and put more pressure on authorities to stimulate local demand. In this vein, the Japanese economy seems to be slightly ahead of Europe.
Q: How did the funds perform during the period?
A: During the period, the funds benefited primarily from their diversification of asset class and regional exposure. For the one-year period April 1, 2003, through March 31, 2004:
• Scudder Lifecycle Long Range Fund grew 23.06% (Investment Class)
• Scudder Lifecycle Mid Range Fund rose 16.85%
• Scudder Short Range Fund advanced 10.44%
(The Lifecycle Long Range Fund has an additional share class. See pages 3 through 9 for performance of the other share class and more complete performance information for all three funds.)
We are very pleased with the absolute performance of the funds and with the level of added risk we undertook to achieve these strong gains. Each of the three funds outperformed its respective asset allocation benchmark as well as the 5.53% return of the Citigroup Broad Investment Grade Bond Index, but they trailed both the 35.12% total return of the S&P 500 and their respective peer category averages, as tracked by Lipper Inc.
In evaluating each fund's performance relative to its peers, it is important to understand that Scudder Lifecycle Funds are compared with funds that, in some cases, are able to hold a greater share of equity assets. As a result, in extremely strong equity markets, such as we experienced during the annual period, it is difficult for Scudder Lifecycle Funds to compete successfully.
It is also important to take into account Scudder Lifecycle Funds' unique Global Asset Allocation (GAA) overlay - a formula designed to help add portfolio diversification and reduce volatility. In comparison with their peers, Scudder Lifecycle Funds tend to provide a lower-risk profile and more-stable total returns over time. On this basis, we are extremely pleased with the funds' performance.
Q: Will you review the GAA overlay and other asset allocation techniques upon which you rely?
A: When we execute asset allocation, we don't simply look at stocks and bonds. We also evaluate other factors that can help us implement various strategies to add value.
The GAA overlay is a "long-short" strategy, or a means of attempting to capture gains when stocks advance or decline. In addition, it utilizes stock and bond futures and currency forwards to enable the funds' management team to achieve tactical positioning without having to make dramatic shifts in the stock, bond and cash allocations of the funds, which normally remain relatively static. We don't buy or sell stocks and bonds on a frequent basis. The overlay instead enables us to gain a degree of exposure to a particular asset class in an attempt to derive the greatest value from any one source.
For example, currency exposure can be an important source of added return. We know that 100% of the funds' benchmark, the S&P 500, is dollar-return oriented. When we utilize currency forwards, we are, in essence, determining what portion of that dollar return to expose to another currency. During any given period, we may decide to expose only 90% of the funds' return to the dollar and "trade in" 10% of those assets for another currency that may react to different economic stimuli. The funds' board of trustees has imposed strict constraints on the use of this strategy to maintain a clear and manageable level of risk. The GAA strategy added significantly to total returns during the period ended March 31, 2004.
We also incorporate into our equity assets an enhanced stock index fund (ESIF Strategy). The ESIF Strategy seeks to keep pace with a given benchmark index by investing in a similar portfolio of stocks. The ESIF Strategy aims to achieve total returns of one-quarter to one-half of 1% above the index - in this case the S&P 500 - on an annual basis. The ESIF Strategy detracted from performance slightly during the period due to stock selection weakness.
Likewise, the portfolio incorporates a core fixed-income strategy to select bonds based on a number of characteristics in an effort to outperform the benchmark Citigroup Broad Investment Grade Bond Index. On a historical basis, this has been one of the most effective ways in which the managers have been able to add value. This strategy added significantly to the funds' returns for the period.
Q: How was each of the funds diversified as of March 31, 2004?
A: The dominant factors affecting performance throughout the annual period were asset class allocation and risk management rather than country or regional weightings. Our model's assessment of a wide variety of factors supported each fund's asset allocation.
• Scudder Lifecycle Long Range Fund was overweight in equities, or stocks, meaning it had a proportionately greater allocation than the benchmark.4 In fixed-income investments, or bonds, it had a neutral, or roughly equal, allocation to the benchmark. And had an underweight, or proportionately smaller allocation than the benchmark, in cash-equivalent securities.5
4 For purposes of this discussion, asset weightings include the market value of futures contracts at the end of the annual period. Please see the Futures Contracts table in the Investment Portfolio section for each fund.5 The fund's cash-equivalent benchmark assumes full investment in the US dollar, so when we say the fund's cash-equivalent weighting was underweight, we are saying its US dollar weighting is underweight, while its foreign currency weighting is overweight.
Throughout the 12-month period, we increased our weighting in equities, which enabled us to more fully benefit from strong global equity performance. We lowered bond exposure during the first quarter to achieve parity with the benchmark. Within the fixed-income asset class, we shifted from an underweight position in US bonds and an overweight position in international fixed-income investments to a neutral weighting in both. Dollar weakness led to the positive performance of US long bonds, which were a strong contributor to fund performance, despite some intermittent volatility.
• Scudder Lifecycle Mid Range Fund was overweight the benchmark in equities, or stocks. The fund was also overweight in fixed-income investments, or bonds, while it was significantly underweight in cash-equivalent securities.
Like Scudder Lifecycle Long Range Fund, Scudder Lifecycle Mid Range Fund benefited primarily from an overweight position in equities and exposure to foreign currencies - notably the Japanese yen and the British pound - which outperformed the US dollar.
• Scudder Lifecycle Short Range Fund also had a significant overweight in equities, or stocks. And the fund was overweight in fixed income, or bonds. Similar to the other two funds, it was underweight in cash-equivalent securities.
Similar themes likewise contributed to Scudder Lifecycle Short Range Fund's positive performance, including US equity exposure, US dollar weakness and positive fixed-income performance.
Asset values include the value of futures contracts as of the end of the annual period.
Q: Do you have any closing comments for shareholders?
A: We believe the investment environment today continues to be supportive of the equity markets. We have seen good profitability, positive cash flow dynamics and strong earnings growth in the United States and Japan. Corporate restructuring efforts are beginning to take hold in Europe.
As always, we continue to monitor the global economic landscape. While worldwide growth has been robust, there is evidence that momentum is moderating. Each of the major markets - the United States, Europe and Japan - is at a critical juncture. In the United States, we continue to be concerned about employment data, which we believe are critical to US equity market progress. In Asia, we are focused on the monetary policies of the central banks, which could opt to reduce their reliance on foreign currency intervention and allow their currencies to begin to strengthen. Monetary policy, particularly as it affects interest rates, is of concern in Europe as well, where a slightly weaker-than-expected economic recovery could endanger already sluggish earnings growth.
Finally, we thank you, our shareholders, for your continued support. We look forward to serving you and to working together to achieve your investment goals in the years ahead.
The views expressed in this report reflect those of the portfolio managers only through the end of the period of the report as stated on the cover. The managers' views are subject to change at any time based on market and other conditions and should not be construed as a recommendation.
Scudder Lifecycle Long Range Fund
Asset Allocation | 3/31/04 | 3/31/03 |
| Common Stocks | 55% | 57% |
| Bonds | 35% | 38% |
| Short-Term Investments | 10% | 5% |
| 100% | 100% | |
Five Largest Equity Holdings at March 31, 2004 | |
| 1. General Electric Co. Industrial conglomerate | 1.6% |
| 2. ExxonMobil Corp. Explorer and producer of oil and gas | 1.4% |
| 3. Microsoft Corp. Developer of computer software | 1.4% |
| 4. Pfizer, Inc. Manufacturer of prescription pharmaceuticals and non-prescription self-medications | 1.4% |
| 5. Citigroup, Inc. Provider of diversified financial services | 1.4% |
Five Largest Fixed Income Long-Term Securities at March 31, 2004 (4.7% of Portfolio) | |
| 1. US Treasury Note 6.125%, 8/15/2007 | 1.5% |
| 2. US Treasury Bond 6.00%, 2/15/2026 | 1.4% |
| 3. Conseco Finance 7.60%, 12/15/2029 | 0.7% |
| 4. Federal National Mortgage Association 5.00%, 12/1/2033 | 0.6% |
| 5. Greenpoint Manufactured Housing 7.33%, 8/15/2020 | 0.5% |
Asset allocation is based on market value of the Total Investment Portfolio and is subject to change. Portfolio holdings are subject to change.
For more complete details about the fund's investment portfolio, see page 35. A quarterly Fact Sheet is available upon request. Information concerning portfolio holdings of the Fund as of month end is available upon request on the 16th of the following month. Please see the Account Management Resources section for contact information.
Scudder Lifecycle Mid Range Fund
Asset Allocation | 3/31/04 | 3/31/03 |
| Bonds | 44% | 49% |
| Common Stocks | 35% | 37% |
| Short-Term Investments | 20% | 14% |
| Preferred Stocks | 1% | - |
| 100% | 100% | |
Five Largest Equity Holdings at March 31, 2004 | |
| 1. General Electric Co. Industrial conglomerate | 1.0% |
| 2. ExxonMobil Corp. Explorer and producer of oil and gas | 0.9% |
| 3. Microsoft Corp. Developer of computer software | 0.9% |
| 4. Pfizer, Inc. Manufacturer of prescription pharmaceuticals and non-prescription self-medications | 0.9% |
| 5. Citigroup, Inc. Provider of diversified financial services | 0.9% |
Five Largest Fixed Income Long-Term Securities at March 31, 2004 (5.9% of Portfolio) | |
| 1. US Treasury Bond 6.00%, 2/15/2026 | 1.8% |
| 2. Conseco Finance 7.60%, 12/15/2029 | 1.3% |
| 3. US Treasury Note 6.125%, 8/15/2007 | 1.0% |
| 4. Lansing, MI, Water & Sewer Revenue 7.3%, 7/1/2006 | 0.9% |
| 5. Greenpoint Manufactured Housing 7.33%, 8/15/2020 | 0.9% |
Asset allocation is based on market value of the Total Investment Portfolio and is subject to change. Portfolio holdings are subject to change.
For more complete details about the fund's investment portfolio, see page 50. A quarterly Fact Sheet is available upon request. Information concerning portfolio holdings of the Fund as of month end is available upon request on the 16th of the following month. Please see the Account Management Resources section for contact information.
Scudder Lifecycle Short Range Fund
Asset Allocation | 3/31/04 | 3/31/03 |
| Bonds | 53% | 59% |
| Short-Term Investments | 32% | 25% |
| Common Stocks | 14% | 16% |
| Preferred Stocks | 1% | - |
| 100% | 100% | |
Five Largest Equity Holdings at March 31, 2004 | |
| 1. General Electric Co. Industrial conglomerate | 0.4% |
| 2. ExxonMobil Corp. Explorer and producer of oil and gas | 0.4% |
| 3. Microsoft Corp. Developer of computer software | 0.4% |
| 4. Pfizer, Inc. Manufacturer of prescription pharmaceuticals and non-prescription self-medications | 0.4% |
| 5. Citigroup, Inc. Provider of diversified financial services | 0.4% |
Five Largest Fixed Income Long-Term Securities at March 31, 2004 (9.7% of Portfolio) | |
| 1. US Treasury Note 6.125%, 8/15/2007 | 2.7% |
| 2. US Treasury Bond 6.00%, 2/15/2026 | 2.4% |
| 3. US Treasury Note 5.00%, 8/15/2011 | 1.8% |
| 4. Greenpoint Manufactured Housing 7.33%, 8/15/2020 | 1.4% |
| 5. Virginia, Multi Family Housing Revenue 6.51%, 5/1/2019 | 1.4% |
Asset allocation is based on market value of the Total Investment Portfolio and is subject to change. Portfolio holdings are subject to change.
For more complete details about the fund's investment portfolio, see page 65. A quarterly Fact Sheet is available upon request. Information concerning portfolio holdings of the Fund as of month end is available upon request on the 16th of the following month. Please see the Account Management Resources section for contact information.
Statements of Assets and Liabilities as of March 31, 2004 | |||
| Assets | Long Range | Mid Range | Short Range Fund |
| Investment in Portfolio, at value(a) | $ 770,717,186 | $ 72,197,743 | $ 22,328,131 |
| Receivable for Fund shares sold | 358,694 | 275,677 | 143,152 |
| Due from Advisor | 40,681 | - | 94,618 |
| Total assets | 771,116,561 | 72,473,420 | 22,565,901 |
| Liabilities | |||
| Payable for Fund shares redeemed | 27,279 | 13,097 | 67,575 |
| Other accrued expenses and payables | 16,894 | 37,819 | 113,213 |
| Total liabilities | 44,173 | 50,916 | 180,788 |
| Net assets, at value | $ 771,072,388 | $ 72,422,504 | $ 22,385,113 |
| Net Assets | |||
| Net assets consist of: Undistributed net investment income (loss) | 5,633,527 | 493,570 | 136,237 |
| Net unrealized appreciation (depreciation) on investment, futures and foreign currency transactions | 65,033,864 | 4,037,471 | 876,112 |
| Accumulated net realized gain (loss) | (91,699,237) | (7,532,144) | (1,186,347) |
| Paid-in capital | 792,104,234 | 75,423,607 | 22,559,111 |
| Net assets, at value | $ 771,072,388 | $ 72,422,504 | $ 22,385,113 |
| Net Asset Value | |||
| Investment Class Net assets applicable to shares outstanding | $ 68,639,232 | $ 72,422,504 | $ 22,385,113 |
| Shares outstanding ($.001 par value per share, unlimited number of shares authorized) | 6,579,378 | 7,341,650 | 2,173,933 |
| Net Asset Value, offering and redemption price per share | $ 10.43 | $ 9.86 | $ 10.30 |
| Premier Class Net assets applicable to shares outstanding | $ 702,433,156 | $ - | $ - |
| Shares outstanding ($.001 par value per share, unlimited number of shares authorized) | 64,806,299 | - | - |
| Net Asset Value, offering and redemption price per share | $ 10.84 | $ - | $ - |
a Allocated from Asset Management Portfolio, Asset Management Portfolio II and Asset Management Portfolio III, respectively.
The accompanying notes are an integral part of the financial statements.
Statements of Operations for the year ended March 31, 2004 | |||
| Investment Income | Long Range | Mid Range | Short Range Fund |
| Total investment income allocated from the Portfolio(a): Dividends - Unaffiliated issuers(b) | $ 6,070,997 | $ 314,109 | $ 30,537 |
| Interest - Unaffiliated issuers | 11,598,516 | 1,521,112 | 590,169 |
| Interest - Affiliated issuers | 624,380 | 85,563 | 29,594 |
| Securities lending income | 3,532 | 341 | 178 |
| Expenses(c) | (3,842,026) | (384,947) | (124,284) |
| Net investment income (loss) allocated from the Portfolio | 14,455,399 | 1,536,178 | 526,194 |
| Expenses: Administrator service fees | 1,264,729 | 416,274 | 134,462 |
| Auditing | 32,649 | 29,358 | 29,769 |
| Legal | 13,136 | 18,529 | 17,582 |
| Trustees' fees and expenses | 11,237 | 4,822 | 4,183 |
| Reports to shareholders | 26,173 | 11,693 | 10,772 |
| Registration fees | 26,960 | 22,921 | 20,340 |
| Other | 5,263 | 3,570 | 2,562 |
| Total expenses, before expense reductions | 1,380,147 | 507,167 | 219,670 |
| Expense reductions | (1,198,126) | (250,245) | (137,047) |
| Total expenses, after expense reductions | 182,021 | 256,922 | 82,623 |
| Net investment income (loss) | 14,273,378 | 1,279,256 | 443,571 |
| Realized and Unrealized Gain (Loss) on Investment Transactions | |||
| Net realized gain (loss) from: Investment | 13,967,759 | 1,398,527 | 425,201 |
| Futures | (50,517) | 99,497 | (43,653) |
| Foreign currency related transactions | 19,761,796 | 1,746,098 | 451,638 |
| 33,679,038 | 3,244,122 | 833,186 | |
| Net unrealized appreciation (depreciation) during the period on investment, futures, and foreign currency transactions | 92,021,218 | 5,108,169 | 644,731 |
| Net gain (loss) on investment transactions | 125,700,256 | 8,352,291 | 1,477,917 |
| Net increase (decrease) in net assets resulting from operations | $ 139,973,634 | $ 9,631,547 | $ 1,921,488 |
a Allocated from Asset Management Portfolio, Asset Management Portfolio II and Asset Management Portfolio III, respectively.
b Net of foreign taxes withheld of $407, $41 and none, respectively.
c For the year ended March 31, 2004, Asset Management Portfolio, Asset Management Portfolio II and Asset Management Portfolio III waived fees in the amounts of $1,340,309, $152,742 and $111,007, which were allocated to the Lifecycle Long Range Fund (including Acquired Fund before July 25, 2003 merger), Lifecycle Mid Range Fund and Lifecycle Short Range Fund, respectively.
The accompanying notes are an integral part of the financial statements.
Statement of Changes in Net Assets - Long Range Funda | ||
Years Ended March 31, | ||
| Increase (Decrease) in Net Assets | 2004 | 2003 |
| Operations: Net investment income (loss) | $ 14,273,378 | $ 10,575,288 |
| Net realized gain (loss) on investment transactions | 33,679,038 | (51,547,154) |
| Net unrealized appreciation (depreciation) on investment transactions during the period | 92,021,218 | (11,253,078) |
| Net increase (decrease) in net assets resulting from operations | 139,973,634 | (52,224,944) |
| Distributions to shareholders from: Net investment income Investment Class | (2,277,173) | - |
| Premier Class | (29,974,017) | (18,069,835) |
| Fund share transactions: Proceeds from shares sold | 142,112,613 | 309,641,247 |
| Reinvestment of distributions | 32,245,735 | 18,067,863 |
| Net assets acquired in tax-free reorganization (Investment Class) | 58,476,295 | - |
| Cost of shares redeemed | (117,931,521) | (146,769,962) |
| Net increase (decrease) in net assets from Fund share transactions | 114,903,122 | 180,939,148 |
| Increase (decrease) in net assets | 222,625,566 | 110,644,369 |
| Net assets at beginning of period | 548,446,822 | 437,802,453 |
| Net assets at end of period (including undistributed net investment income of $5,633,527 and $3,423,667, respectively) | $ 771,072,388 | $ 548,446,822 |
a Information shown in year ended March 31, 2003 only includes the Premier Class. Prior to July 25, 2003 the Investment Class was not part of this Fund.
Statement of Changes in Net Assets - Mid Range Fund | ||
Years Ended March 31, | ||
| Increase (Decrease) in Net Assets | 2004 | 2003 |
| Operations: Net investment income (loss) | $ 1,279,256 | $ 1,543,774 |
| Net realized gain (loss) on investment transactions | 3,244,122 | (4,903,415) |
| Net unrealized appreciation (depreciation) on investment transactions during the period | 5,108,169 | (376,708) |
| Net increase (decrease) in net assets resulting from operations | 9,631,547 | (3,736,349) |
| Distributions to shareholders from: Net investment income | (2,807,608) | (2,515,099) |
| Fund share transactions: Proceeds from shares sold | 27,215,420 | 16,817,393 |
| Reinvestment of distributions | 2,807,418 | 2,514,918 |
| Cost of shares redeemed | (16,375,047) | (33,525,854) |
| Net increase (decrease) in net assets from Fund share transactions | 13,647,791 | (14,193,543) |
| Increase (decrease) in net assets | 20,471,730 | (20,444,991) |
| Net assets at beginning of period | 51,950,774 | 72,395,765 |
| Net assets at end of period (including undistributed net investment income of $493,570 and $323,040, respectively) | $ 72,422,504 | $ 51,950,774 |
The accompanying notes are an integral part of the financial statements.
Statement of Changes in Net Assets - Short Range Fund | ||
Years Ended March 31, | ||
| Increase (Decrease) in Net Assets | 2004 | 2003 |
| Operations: Net investment income (loss) | $ 443,571 | $ 613,676 |
| Net realized gain (loss) on investment transactions | 833,186 | (635,303) |
| Net unrealized appreciation (depreciation) on investment transactions during the period | 644,731 | 202,196 |
| Net increase (decrease) in net assets resulting from operations | 1,921,488 | 180,569 |
| Distributions to shareholders from: Net investment income | (826,388) | (981,687) |
| Fund share transactions: Proceeds from shares sold | 14,946,510 | 14,717,653 |
| Reinvestment of distributions | 822,774 | 977,058 |
| Cost of shares redeemed | (11,276,402) | (23,015,246) |
| Net increase (decrease) in net assets from Fund share transactions | 4,492,882 | (7,320,535) |
| Increase (decrease) in net assets | 5,587,982 | (8,121,653) |
| Net assets at beginning of period | 16,797,131 | 24,918,784 |
| Net assets at end of period (including undistributed net investment income of $136,237 and $86,814, respectively) | $ 22,385,113 | $ 16,797,131 |
The accompanying notes are an integral part of the financial statements.
Scudder Lifecycle Long Range Fund
Investment Class | |
2004a | |
| Selected Per Share Data | |
| Net asset value, beginning of period | $ 9.75 |
| Income (loss) from investment operations: Net investment income (loss)b | .11 |
| Net realized and unrealized gain (loss) on investment transactions | .93 |
Total from investment operations | 1.04 |
| Less distributions from: Net investment income | (.36) |
| Net asset value, end of period | $ 10.43 |
| Total Return (%)c | 10.79** |
| Ratios to Average Net Assets and Supplemental Data | |
| Net assets, end of period ($ millions) | 69 |
| Ratio of expenses before expense reductions, including expenses allocated from the Asset Management Portfolio (%) | 1.41* |
| Ratio of expenses after expense reductions, including expenses allocated from the Asset Management Portfolio (%) | 1.00* |
| Ratio of net investment income (loss) (%) | 1.65* |
| a For the period July 25, 2003 (commencement of operations of Investment Class shares) to March 31, 2004. b Based on average shares outstanding during the period. c Total return would have been lower had certain expenses not been reduced. * Annualized ** Not annualized | |
Premier Class | |||||
Years Ended March 31, | 2004 | 2003 | 2002 | 2001 | 2000 |
| Selected Per Share Data | |||||
| Net asset value, beginning of period | $ 9.17 | $ 10.92 | $ 10.98 | $ 14.44 | $ 13.11 |
| Income (loss) from investment operations: Net investment income (loss) | .21a | .25a | .31 | .41 | .33 |
| Net realized and unrealized gain (loss) on investment transactions | 1.94 | (1.53) | (.08) | (1.79) | 1.44 |
Total from investment operations | 2.15 | (1.28) | .23 | (1.38) | 1.77 |
| Less distributions from: Net investment income | (.48) | (.47) | (.28) | (.30) | (.31) |
| Net realized gains on investment transactions | - | - | (.01) | (1.78) | (.13) |
Total distributions | (.48) | (.47) | (.29) | (2.08) | (.44) |
| Net asset value, end of period | $ 10.84 | $ 9.17 | $ 10.92 | $ 10.98 | $ 14.44 |
| Total Return (%)b | 23.71 | (11.88) | 2.13 | (10.90) | 13.83 |
| Ratios to Average Net Assets and Supplemental Data | |||||
| Net assets, end of period ($ millions) | 702 | 548 | 438 | 417 | 512 |
| Ratio of expenses before expense reductions, including expenses allocated from the Asset Management Portfolio (%) | .91 | .93 | .91 | .93 | .93 |
| Ratio of expenses after expense reductions, including expenses allocated from the Asset Management Portfolio (%) | .55 | .55 | .55 | .59 | .60 |
| Ratio of net investment income (loss) (%) | 2.08 | 2.61 | 2.84 | 3.20 | 2.69 |
| a Based on average shares outstanding during the period. b Total return would have been lower had certain expenses not been reduced. | |||||
Scudder Lifecycle Mid Range Fund
Investment Class | |||||
Years Ended March 31, | 2004 | 2003 | 2002 | 2001 | 2000 |
| Selected Per Share Data | |||||
| Net asset value, beginning of period | $ 8.80 | $ 9.75 | $ 9.78 | $ 11.38 | $ 10.60 |
| Income (loss) from investment operations: Net investment income (loss) | .19a | .25a | .30 | .42 | .32 |
| Net realized and unrealized gain (loss) on investment transactions | 1.29 | (.80) | (.06) | (.86) | .71 |
Total from investment operations | 1.48 | (.55) | .24 | (.44) | 1.03 |
| Less distributions from: Net investment income | (.42) | (.40) | (.27) | (.33) | (.23) |
| Net realized gains on investment transactions | - | - | - | (.83) | (.02) |
Total distributions | (.42) | (.40) | (.27) | (1.16) | (.25) |
| Net asset value, end of period | $ 9.86 | $ 8.80 | $ 9.75 | $ 9.78 | $ 11.38 |
| Total Return (%)b | 16.85 | (5.63) | 2.48 | (4.25) | 9.80 |
| Ratios to Average Net Assets and Supplemental Data | |||||
| Net assets, end of period ($ millions) | 72 | 52 | 72 | 81 | 99 |
| Ratio of expenses before expense reductions, including expenses allocated from Asset Management Portfolio II (%) | 1.63 | 1.56 | 1.54 | 1.51 | 1.51 |
| Ratio of expenses after expense reductions, including expenses allocated from Asset Management Portfolio II (%) | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 |
| Ratio of net investment income (loss) (%) | 2.01 | 2.68 | 3.04 | 3.86 | 3.03 |
| a Based on average shares outstanding during the period. b Total return would have been lower had certain expenses not been reduced. | |||||
Scudder Lifecycle Short Range Fund
Investment Class | |||||
Years Ended March 31, | 2004 | 2003 | 2002 | 2001 | 2000 |
| Selected Per Share Data | |||||
| Net asset value, beginning of period | $ 9.71 | $ 10.08 | $ 10.05 | $ 10.54 | $ 10.23 |
| Income (loss) from investment operations: | |||||
| Net investment income (loss) | .22a | .29a | .38 | .48 | .39 |
| Net realized and unrealized gain (loss) on investment transactions | .77 | (.21) | (.04) | (.21) | .18 |
Total from investment operations | .99 | .08 | .34 | .27 | .57 |
| Less distributions from: Net investment income | (.40) | (.45) | (.31) | (.40) | (.26) |
| Net realized gains on investment transactions | - | - | - | (.36) | - |
Total distributions | (.40) | (.45) | (.31) | (.76) | (.26) |
| Net asset value, end of period | $ 10.30 | $ 9.71 | $ 10.08 | $ 10.05 | $ 10.54 |
| Total Return (%)b | 10.44 | .83 | 3.42 | 2.52 | 5.76 |
| Ratios to Average Net Assets and Supplemental Data | |||||
| Net assets, end of period ($ millions) | 22 | 17 | 25 | 30 | 38 |
| Ratio of expenses before expense reductions, including expenses allocated from Asset Management Portfolio III (%) | 2.16 | 1.85 | 1.86 | 1.72 | 1.67 |
| Ratio of expenses after expense reductions, including expenses allocated from Asset Management Portfolio III (%) | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 |
| Ratio of net investment income (loss) (%) | 2.15 | 2.92 | 3.69 | 4.85 | 3.61 |
| a Based on average shares outstanding during the period. b Total return would have been lower had certain expenses not been reduced. | |||||
A. Significant Accounting Policies
Lifecycle Long Range Fund ("Scudder Lifecycle Long Range Fund") is a diversified series of Scudder Advisor Funds III, formerly BT Pyramid Mutual Funds. Lifecycle Mid Range Fund ("Scudder Lifecycle Mid Range Fund") and Lifecycle Short Range Fund ("Scudder Lifecycle Short Range Fund") are diversified series of Scudder Advisor Funds, formerly BT Investment Funds. Scudder Advisor Funds III and Scudder Advisor Funds are registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as open-end management investment companies organized as Massachusetts business trusts (collectively, the "Trusts").
Scudder Lifecycle Long Range Fund, Scudder Lifecycle Mid Range Fund and Scudder Lifecycle Short Range Fund (each a "Fund," collectively, the "Funds") seek to achieve their investment objective by investing substantially all of their assets in the Asset Management Portfolio, Asset Management Portfolio II and Asset Management Portfolio III, respectively (each a "Portfolio" and collectively the "Portfolios"), each a diversified, open-end management investment company advised by Deutsche Asset Management, Inc. ("DeAM, Inc.").
On March 31, 2004, each Fund owned approximately the following percentage of the corresponding Portfolio:
Fund | Percentage | Portfolio |
| Long Range Fund | 100% | Asset Management Portfolio |
| Mid Range Fund | 100% | Asset Management Portfolio II |
| Short Range Fund | 100% | Asset Management Portfolio III |
The financial statements of each Portfolio, including each Investment Portfolio, are contained elsewhere in this report and should be read in conjunction with each Fund's financial statements.
Lifecycle Long Range Fund offers two classes of shares: Premier Class and Investment Class. On July 25, 2003, the Scudder Asset Management Fund acquired all of the assets and scheduled liabilities of the Scudder Lifecycle Long Range Fund in exchange for shares of a new class of Scudder Asset Management Fund Investment Class. The existing shares of the Scudder Asset Management Fund were renamed the Scudder Lifecycle Long Range Fund Premier Class. Premier Class and Investment Class shares are not subject to initial or contingent deferred sales charges. Premier shares are offered to a limited group of investors and have lower ongoing expenses than the Investment Class. Lifecycle Mid Range Fund and Lifecycle Short Range Fund offer one class of shares: Investment Class.
Investment income, realized and unrealized gains and losses, and certain fund-level expenses and expense reductions, if any, are borne pro rata on the basis of relative net assets by the holders of all classes of shares except that each class bears certain expenses unique to that class such as administrative service fee. Differences in class-level expenses may result in payment of different per share dividends by class. All shares of the Fund have equal rights with respect to voting subject to class-specific arrangements.
Each Fund's financial statements are prepared in accordance with accounting principles generally accepted in the United States of America which require the use of management estimates. Actual results could differ from those estimates. The policies described below are followed consistently by the Funds in the preparation of their financial statements.
Security Valuation. Each Fund determines the valuation of its investment in each Portfolio by multiplying its proportionate ownership of the Portfolio by the total value of the Portfolio's net assets.
The Portfolios' policies for determining the value of their net assets are discussed in the Portfolios' Financial Statements, which accompany this report.
Federal Income Taxes. Each Fund's policy is to comply with the requirements of the Internal Revenue Code, as amended, which are applicable to regulated investment companies, and to distribute all of its taxable income to its shareholders. Accordingly, each Fund paid no federal income taxes and no federal income tax provision was required.
At March 31, 2004, each Fund had a net tax basis capital loss carryforward which may be applied against any realized net taxable capital gains of each succeeding year until fully utilized or until the respective expiration date, whichever occurs first.
The capital loss carryforwards were as follows:
Fund | Amount | Expiration Date |
| Long Range Fund | $ 1,172,000 | 3/31/2009 |
| 21,545,000 | 3/31/2010 | |
| 35,451,000 | 3/31/2011 | |
| 9,619,000 | 3/31/2012 | |
| Mid Range Fund | $ 465,000 | 3/31/2010 |
| 3,602,000 | 3/31/2011 | |
| 817,000 | 3/31/2012 | |
| Short Range Fund | $ 6,000 | 3/31/2010 |
| 700,000 | 3/31/2011 | |
| 107,000 | 3/31/2012 |
Utilization of the capital loss carryforwards above could be subject to limitations imposed by the Internal Revenue Code.
In addition, from November 1, 2003 through March 31, 2004, each Fund incurred net realized capital losses. As permitted by tax regulations, each Fund intends to elect to defer these losses and treat them as arising in the fiscal year ended March 31, 2005.
The capital losses were as follows:
Fund | Capital Losses |
| Long Range Fund | $ 305,000 |
Distribution of Income and Gains. Distributions of net investment income, if any, are made quarterly. Net realized gains from investment transactions, in excess of available capital loss carryforwards, would be taxable to each Fund if not distributed, and, therefore, will be distributed to shareholders at least annually.
The timing and characterization of certain income and capital gains distributions are determined annually in accordance with federal tax regulations which may differ from accounting principles generally accepted in the United States of America. These differences primarily relate to certain securities sold at a loss, futures and foreign currency related transactions. As a result net investment income (loss) and net realized gain (loss) on investment transactions for a reporting period may differ significantly from distributions during such period. Accordingly, each Fund may periodically make reclassifications among certain of its capital accounts without impacting the net asset value of each Fund.
The net unrealized appreciation/depreciation of each Fund's investment in the Portfolio consists of an allocated portion of the Portfolio's appreciation/depreciation. Please refer to each Portfolio for a breakdown of the appreciation/depreciation from investments.
At March 31, 2004, each Fund's components of distributable earnings (accumulated losses) on a tax-basis were as follows:
Long Range Fund | Mid Range Fund | Short Range Fund | |
| Undistributed ordinary income* | $ 5,387,624 | $ 459,983 | $ 128,610 |
| Capital loss carryforwards | $ (67,787,000) | $ (4,884,000) | $ (813,00) |
In addition, during the years ended March 31, 2004 and March 31, 2003, the tax character of distributions paid to shareholders by each Fund is summarized as follows:
2004 | Long Range Fund | Mid Range Fund | Short Range Fund |
| Distributions from ordinary income* | $ 32,251,190 | $ 2,807,608 | $ 826,388 |
| Distributions from long-term capital gains | $ - | $ - | $ - |
2003 | Long Range Fund+ | Mid Range Fund | Short Range Fund |
| Distributions from ordinary income* | $ 18,069,835 | $ 2,515,099 | $ 981,687 |
| Distributions from long-term capital gains | $ - | $ - | $ - |
* For tax purposes short-term capital gains distributions and gains from forward foreign currency exchange contracts are considered ordinary income distributions.
+ Information shown for Premier Class only. Prior to July 25, 2003 the Investment Class was not part of this Fund.
Other. Each Fund receives a daily allocation of its respective Portfolio's income, expenses and net realized and unrealized gains and losses in proportion to its investment in the Portfolio. Expenses directly attributed to a fund are charged to that fund, while expenses which are attributable to a Trust are allocated among the Funds in the Trust on the basis of relative net assets.
B. Related Parties
Scudder Investments is part of Deutsche Asset Management, which is the marketing name in the US for the asset management activities of Deutsche Bank AG. Deutsche Asset Management, Inc. (the "Advisor") is the Advisor for each Portfolio and Investment Company Capital Corporation ("ICCC" or the "Administrator") is the Administrator for each Fund and each Portfolio, both wholly owned subsidiaries of Deutsche Bank AG.
For the year ended March 31, 2004, the Advisor and Administrator agreed to waive their fees and reimburse expenses of each Fund to the extent necessary to maintain the annualized expenses of each Fund, including expenses allocated from each Portfolio as follows:
| Lifecycle Long Range Investment Class | 1.00% |
| Premier Class | .55% |
| Lifecycle Mid Range | 1.00% |
| Lifecycle Short Range | 1.00% |
Under these agreements, the Advisor and Administrator waived and absorbed $1,198,126, $250,245 and $137,047 of Lifecycle Long Range, Lifecycle Mid Range and Lifecycle Short Range Fund's expenses, respectively.
Administrator Service Fee. ICCC serves as Administrator and receives a fee (the "Administrator Service Fee") of 0.65% of each Fund's Investment Class and 0.15% of Lifecycle Long Range Fund's Premier Class average daily net assets, computed and accrued daily and payable monthly. For the year ended March 31, 2004, the Administrator Service Fee was as follows:
| Administrator Service Fee | Total Aggregated | Unpaid at March 31, 2004 |
| Long Range Fund Investment Class | $ 283,892 | $ - |
| Premier Class | 980,837 | - |
| Mid Range Fund | 416,274 | 25,056 |
| Short Range Fund | 134,462 | - |
Scudder Investments Service Company ("SISC"), an affiliate of the Advisor, is each Fund's transfer, dividend-paying agent and shareholder service agent. Pursuant to a sub-transfer agency agreement between SISC and DST Systems, Inc. ("DST"), SISC has delegated certain transfer agent and dividend paying agent functions to DST. The costs and expenses of such delegation are borne by SISC, not by the Funds.
Trustees' Fees and Expenses. As compensation for his or her services, each Independent Trustee receives an aggregate annual fee, plus a fee for each meeting attended (plus reimbursement for reasonable out-of-pocket expenses incurred in connection with his or her attendance at board and committee meetings) from each Fund in the Fund Complex for which he or she serves. In addition, the Chairman of the Fund Complex's Audit Committee receives an annual fee for his services.
C. Share Transactions
The following table summarizes share and dollar activity in the Lifecycle Long Range Fund:
Year Ended March 31, 2004 | Year Ended March 31, 2003 | |||
Shares | Dollars | Shares | Dollars | |
| Shares sold | ||||
| Investment Class | 1,403,818 | $ 14,789,301 | - | - |
| Premier Class | 12,358,761 | 127,323,312 | 33,052,526 | 309,641,247 |
$ 142,112,613 | $ 309,641,247 | |||
| Shares issued in tax-free reorganization | ||||
| Investment Class | 5,999,562 | $ 58,476,295 | - | - |
| Shares issued to shareholders in reinvestment of distributions | ||||
| Investment Class | 254,351 | $ 2,273,737 | - | - |
| Premier Class | 2,887,219 | 29,971,998 | 1,884,977 | 18,067,863 |
$ 32,245,735 | $ 18,067,863 | |||
| Shares redeemed | ||||
| Investment Class | (1,078,353) | $ (11,023,167) | - | - |
| Premier Class | (10,253,726) | (106,908,354) | (15,218,836) | (146,769,962) |
$ (117,931,521) | $ (146,769,962) | |||
Year Ended March 31, 2004 | Year Ended March 31, 2003 | |||
| Net increase (decrease) | ||||
| Investment Class | 6,579,378 | $ 64,516,166 | - | - |
| Premier Class | 4,992,254 | 50,386,956 | 19,718,667 | 180,939,148 |
$ 114,903,122 | $ 180,939,148 | |||
The following table summarizes share and dollar activity in the Lifecycle Mid Range Fund:
Year Ended March 31, 2004 | Year Ended March 31, 2003 | |||
Shares | Dollars | Shares | Dollars | |
| Shares sold | ||||
| Investment Class | 2,860,420 | $ 27,215,420 | 1,864,166 | $ 16,817,393 |
| Shares issued to shareholders in reinvestment of distributions | ||||
| Investment Class | 293,546 | $ 2,807,418 | 277,043 | $ 2,514,918 |
| Shares redeemed | ||||
| Investment Class | (1,713,346) | $ (16,375,047) | (3,663,785) | $ (33,525,854) |
| Net increase (decrease) | ||||
| Investment Class | 1,440,620 | $ 13,647,791 | (1,522,576) | $ (14,193,543) |
The following table summarizes share and dollar activity in the Lifecycle Short Range Fund:
Year Ended March 31, 2004 | Year Ended March 31, 2003 | |||
Shares | Dollars | Shares | Dollars | |
| Shares sold | ||||
| Investment Class | 1,475,460 | $ 14,946,510 | 1,495,370 | $ 14,717,653 |
| Shares issued to shareholders in reinvestment of distributions | ||||
| Investment Class | 81,292 | $ 822,774 | 99,543 | $ 977,058 |
| Shares redeemed | ||||
| Investment Class | (1,112,255) | $ (11,276,402) | (2,337,162) | $ (23,015,246) |
| Net increase (decrease) | ||||
| Investment Class | 444,497 | $ 4,492,882 | (742,249) | $ (7,320,535) |
D. Acquisition of Assets
On July 25, 2003, the Lifecycle Long Range Fund (formerly Scudder Asset Management Fund) acquired all of the net assets of Scudder Lifecycle Long Range Fund (the "Acquired Fund") pursuant to a plan of reorganization approved by the shareholders on June 3, 2003. The acquisition was accomplished by a tax-free exchange of 5,999,562 shares of the Investment Class of the Fund for the 5,999,562 outstanding shares of the Acquired Fund on July 25, 2003. The Acquired Fund's net assets at that date ($58,476,295), including $5,127,564 of unrealized appreciation, were combined with those of the Fund. The aggregate net assets of the Fund immediately before the acquisition were $639,161,590. The combined net assets of the Fund immediately following the acquisition were $697,363,655. The Acquired Fund had tax loss carryforwards of $16,433,000 which may be applied against any future net realized gains of the Scudder Lifecycle Long Range Fund, subject to possible limitations imposed by the Internal Revenue Code.
E. Regulatory Matters and Litigation
Since at least July 2003, federal, state and industry regulators have been conducting ongoing inquiries and investigations ("inquiries") into the mutual fund industry, and have requested information from numerous mutual fund companies, including Scudder Investments. We are unable to determine what the outcome of these inquiries will be or what the effect, if any, would be on the funds or their advisers. Publicity about mutual fund practices arising from these industry wide inquiries serves as the general basis of a number of private lawsuits against the Scudder Funds. These lawsuits, which previously have been reported in the press, involve purported class action and derivative lawsuits, making various allegations and naming as defendants various persons, including certain Scudder funds, Deutsche Asset Management ("DeAM") and its affiliates, certain individuals, including in some cases Fund Trustees/Directors, and other parties. DeAM has undertaken to bear all liabilities and expenses incurred by the Scudder funds in connection with these lawsuits, or other lawsuits or regulatory actions that may be filed making allegations similar to these lawsuits regarding fund valuation, market timing, revenue sharing or other subjects of the pending inquiries. Based on currently available information, DeAM believes the likelihood that the pending lawsuits will have a material adverse financial impact on a Scudder fund is remote and such actions are not likely to materially affect its ability to perform under its investment management agreements with the Scudder funds.
To the Trustees of Scudder Advisor Funds III, formerly BT Pyramid Mutual Funds, and Scudder Advisor Funds, formerly BT Investment Funds, and Shareholders of Lifecycle Long Range Fund, Lifecycle Mid Range Fund and Lifecycle Short Range Fund:
In our opinion, the accompanying statements of assets and liabilities and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Lifecycle Long Range Fund, formerly Scudder Asset Management Fund, Lifecycle Mid Range Fund and Lifecycle Short Range Fund (two of the Funds comprising Scudder Advisor Funds and one of the Funds comprising Scudder Advisor Funds III, hereafter referred to as the "Funds") at March 31, 2004, and the results of their operations, the changes in their net assets and the financial highlights for each of the periods indicated therein, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Funds' management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion expressed above.
Boston, Massachusetts | PricewaterhouseCoopers LLP |
Of the ordinary distributions made during the fiscal year ended March 31, 2004, the following percentages, qualified for the dividends received deduction available to corporate shareholders:
Lifecycle Long Range 20%
Lifecycle Mid Range 13%
Lifecycle Short Range 4%
For federal income tax purposes, Lifecycle Long Range Fund, Lifecycle Mid Range Fund and Lifecycle, Short Range Fund designate $6,800,000, $400,000 and $100,000, respectively, or the maximum amount allowable under tax law, as qualified dividend income.
Please consult a tax advisor if you have questions about federal or state income tax laws, or on how to prepare your tax returns. If you have specific questions about your account, please call 1-800-SCUDDER.
The following individuals hold the same position with the funds and the Asset Management Portfolios.
Independent Trustees | ||
| Name, Date of Birth, Position with the Fund and Length of Time Served1,2 | Business Experience and Directorships During the Past 5 Years | Number of Funds in the Fund Complex Overseen |
| Richard R. Burt 2/3/47 Trustee since 2002 | Chairman, Diligence LLC (international information-collection and risk-management firm) (September 2002 to present); Chairman, IEP Advisors, Inc. (July 1998 to present); Chairman of the Board, Weirton Steel Corporation3 (April 1996 to present); Member of the Board, Hollinger International, Inc.3 (publishing) (September 1995 to present), HCL Technologies Limited (information technology) (April 1999 to present), UBS Mutual Funds (formerly known as Brinson and Mitchell Hutchins families of funds) (registered investment companies) (September 1995 to present); and Member, Textron Inc.3 International Advisory Council (July 1996 to present). Formerly, Partner, McKinsey & Company (consulting) (1991-1994) and US Chief Negotiator in Strategic Arms Reduction Talks (START) with former Soviet Union and US Ambassador to the Federal Republic of Germany (1985-1991); Member of the Board, Homestake Mining3 (mining and exploration) (1998-February 2001), Archer Daniels Midland Company3 (agribusiness operations) (October 1996-June 2001) and Anchor Gaming (gaming software and equipment) (March 1999-December 2001). | 68 |
| S. Leland Dill 3/28/30 Trustee since 1986 for Scudder Advisor Funds Trustee since 1999 for Scudder Advisor Funds III | Trustee, Phoenix Zweig Series Trust (since September 1989), Phoenix Euclid Market Neutral Funds (since May 1998) (registered investment companies); Retired (since 1986). Formerly, Partner, KPMG Peat Marwick (June 1956-June 1986); Director, Vintners International Company Inc. (wine vintner) (June 1989-May 1992); Coutts (USA) International (January 1992-March 2000), Coutts Trust Holdings Ltd., Coutts Group (private bank) (March 1991-March 1999); General Partner, Pemco (investment company) (June 1979-June 1986). | 66 |
| Martin J. Gruber 7/15/37 Trustee since 1999 for Scudder Advisor Funds Trustee since 1992 for Scudder Advisor Funds III | Nomura Professor of Finance, Leonard N. Stern School of Business, New York University (since September 1964); Trustee, CREF (pension fund) (since January 2000); Director, Japan Equity Fund, Inc. (since January 1992), Thai Capital Fund, Inc. (since January 2000) and Singapore Fund, Inc. (since January 2000) (registered investment companies). Formerly, Trustee, TIAA (pension fund) (January 1996-January 2000). | 66 |
| Joseph R. Hardiman 5/27/37 Trustee since 2002 | Private Equity Investor (January 1997 to present); Director, Corvis Corporation3 (optical networking equipment) (July 2000 to present), Brown Investment Advisory & Trust Company (investment advisor) (February 2001 to present), The Nevis Fund (registered investment company) (July 1999 to present), and ISI Family of Funds (registered investment companies) (March 1998 to present). Formerly, Director, Circon Corp.3 (medical instruments) (November 1998-January 1999); President and Chief Executive Officer, The National Association of Securities Dealers, Inc. and The NASDAQ Stock Market, Inc. (1987-1997); Chief Operating Officer of Alex. Brown & Sons Incorporated (now Deutsche Bank Securities Inc.) (1985-1987); General Partner, Alex. Brown & Sons Incorporated (now Deutsche Bank Securities Inc.) (1976-1985). | 66 |
| Richard J. Herring 2/18/46 Trustee since 1999 | Jacob Safra Professor of International Banking and Professor, Finance Department, The Wharton School, University of Pennsylvania (since July 1972); Director, Lauder Institute of International Management Studies (since July 2000); Co-Director, Wharton Financial Institutions Center (since July 2000). Formerly, Vice Dean and Director, Wharton Undergraduate Division (July 1995-June 2000). | 66 |
| Graham E. Jones 1/31/33 Trustee since 2002 | Senior Vice President, BGK Realty, Inc. (commercial real estate) (since 1995); Trustee, 8 open-end mutual funds managed by Weiss, Peck & Greer (since 1985) and Trustee of 18 open-end mutual funds managed by Sun Capital Advisers, Inc. (since 1998). | 66 |
| Rebecca W. Rimel 4/10/51 Trustee since 2002 | President and Chief Executive Officer, The Pew Charitable Trusts (charitable foundation) (1994 to present); Executive Vice President, The Glenmede Trust Company (investment trust and wealth management) (1983 to present). | 66 |
| Philip Saunders, Jr. 10/11/35 Trustee since 1986 for Scudder Advisor Funds Trustee since 1999 for Scudder Advisor Funds III | Principal, Philip Saunders Associates (economic and financial consulting) (since November 1988). Formerly, Director, Financial Industry Consulting, Wolf & Company (consulting) (1987-1988); President, John Hancock Home Mortgage Corporation (1984-1986); Senior Vice President of Treasury and Financial Services, John Hancock Mutual Life Insurance Company, Inc. (1982-1986). | 66 |
| William N. Searcy 9/03/46 Trustee since 2002 | Private investor (since October 2003); Trustee of 18 open-end mutual funds managed by Sun Capital Advisers, Inc. (since October 1998). Formerly, Pension & Savings Trust Officer, Sprint Corporation3 (telecommunications) (November 1989 to October 2003). | 66 |
| Robert H. Wadsworth 1/29/40 Trustee since 2002 | President, Robert H. Wadsworth Associates, Inc. (consulting firm) (May 1983 to present). Formerly, President and Trustee, Trust for Investment Managers (registered investment company) (April 1999-June 2002); President, Investment Company Administration, L.L.C. (January 1992*-July 2001); President, Treasurer and Director, First Fund Distributors, Inc. (June 1990-January 2002); Vice President, Professionally Managed Portfolios (May 1991-January 2002) and Advisors Series Trust (October 1996-January 2002) (registered investment companies). * Inception date of the corporation which was the predecessor to the L.L.C. | 69 |
Interested Trustee | ||
| Name, Date of Birth, Position with the Fund and Length of Time Served1,2 | Business Experience and Directorships During the Past 5 Years | Number of Funds in the Fund Complex Overseen |
| Richard T. Hale4 7/17/45 Chairman since 2002 and Trustee since 1999 | Managing Director, Deutsche Investment Management Americas Inc. (2003-present); Managing Director, Deutsche Bank Securities Inc. (formerly Deutsche Banc Alex. Brown Inc.) and Deutsche Asset Management (1999 to present); Director and President, Investment Company Capital Corp. (registered investment advisor) (1996 to present); Director, Deutsche Global Funds, Ltd. (2000 to present) (registered investment company); Director, Scudder Global Opportunities Funds (since 2003); Director/Officer Deutsche/Scudder Mutual Funds (various dates); President, Montgomery Street Income Securities, Inc. (2002 to present) (registered investment companies); Vice President, Deutsche Asset Management, Inc. (2000 to present). Formerly, Director, CABEI Fund (2000 to 2004), North American Income Fund (2000 to 2004) (registered investment companies), ISI Family of Funds (registered investment companies; 4 funds overseen) (1992-1999). | 202 |
Officers | |
| Name, Date of Birth, Position with the Fund and Length of Time Served1,2 | Business Experience and Directorships During the Past 5 Years |
| Richard T. Hale4 7/17/45 Chief Executive Officer since 2003 | See information presented under Interested Trustee. |
| Brenda Lyons5 2/21/63 President since 2003 | Managing Director, Deutsche Asset Management |
| Kenneth Murphy5 10/13/63 Vice President and Anti-Money Laundering Compliance Officer since 2002 | Vice President, Deutsche Asset Management (September 2000-present). Formerly, Director, John Hancock Signature Services (1992-2000). |
| Bruce A. Rosenblum 9/14/60 Vice President since 2003 Assistant Secretary since 2002 | Director, Deutsche Asset Management. |
| Charles A. Rizzo5 8/5/57 Treasurer and Chief Financial Officer since 2002 | Managing Director, Deutsche Asset Management (April 2000 to present); Formerly, Vice President and Department Head, BT Alex. Brown Incorporated (now Deutsche Bank Securities Inc.) (1998-1999); Senior Manager, Coopers & Lybrand L.L.P. (now PricewaterhouseCoopers LLP) (1993-1998). |
| Salvatore Schiavone5 11/03/65 Assistant Treasurer since 2003 | Director, Deutsche Asset Management. |
| Lucinda H. Stebbins5 11/19/45 Assistant Treasurer since 2003 | Director, Deutsche Asset Management. |
| Kathleen Sullivan D'Eramo5 1/25/57 Assistant Treasurer since 2003 | Director, Deutsche Asset Management. |
| John Millette5 8/23/62 Secretary since 2003 | Director, Deutsche Asset Management. |
| Daniel O. Hirsch 3/27/54 Assistant Secretary since 2003 | Managing Director, Deutsche Asset Management (2002-present) and Director, Deutsche Global Funds Ltd. (2002-present). Formerly, Director, Deutsche Asset Management (1999-2002); Principal, BT Alex. Brown Incorporated (now Deutsche Bank Securities Inc.) (1998-1999); Assistant General Counsel, United States Securities and Exchange Commission (1993-1998). |
| Caroline Pearson5 4/01/62 Assistant Secretary since 2002 | Managing Director, Deutsche Asset Management. |
1 Unless otherwise indicated, the mailing address of each Trustee and Officer with respect to fund operations is One South Street, Baltimore, MD 21202.
2 Length of time served represents the date that each Trustee or Officer first began serving in that position with Scudder Advisor Funds of which Scudder Short Range and Mid Range Funds are a series, and Scudder Advisor Funds III of which Scudder Long Range Fund is a series.
3 A publicly held company with securities registered pursuant to Section 12 of the Securities Exchange Act of 1934.
4 Mr. Hale is a Trustee who is an "interested person" within the meaning of Section 2(a)(19) of the 1940 Act. Mr. Hale is Vice President of Deutsche Asset Management, Inc. and a Managing Director of Deutsche Asset Management, the US asset management unit of Deutsche Bank AG and its affiliates.
5 Address: Two International Place, Boston, Massachusetts.
The fund's Statement of Additional Information includes additional information about the fund's Trustees. To receive your free copy of the Statement of Additional Information, call toll-free: 1-800-621-1048.
(The following financial statements of the Asset Management Portfolios should be read in conjunction with the Funds' financial statements.)
| Asset Management Portfolio |
| Value ($) |
Common Stocks 54.4% | ||
| Consumer Discretionary 6.3% | ||
| Auto Components 0.1% | ||
| Cooper Tire & Rubber Co. | 2,900 | 58,435 |
| Dana Corp. | 5,900 | 117,174 |
| Delphi Corp. | 22,500 | 224,100 |
| Goodyear Tire & Rubber Co.* | 7,000 | 59,780 |
| Johnson Controls, Inc. | 7,300 | 431,795 |
891,284 | ||
| Automobiles 0.3% | ||
| Ford Motor Co. | 73,300 | 994,681 |
| General Motors Corp. | 22,400 | 1,055,040 |
| Harley-Davidson, Inc. | 12,100 | 645,414 |
2,695,135 | ||
| Distributors 0.0% | ||
| Genuine Parts Co. | 6,900 | 225,768 |
| Hotels Restaurants & Leisure 0.8% | ||
| Carnival Corp. | 25,200 | 1,131,732 |
| Darden Restaurants, Inc. | 6,600 | 163,614 |
| Harrah's Entertainment, Inc. | 4,400 | 241,516 |
| Hilton Hotels Corp. | 15,200 | 247,000 |
| International Game Technology | 21,800 | 980,128 |
| Marriott International, Inc., "A" | 9,300 | 395,715 |
| McDonald's Corp. | 50,800 | 1,451,356 |
| Starbucks Corp.* | 15,700 | 592,675 |
| Starwood Hotels & Resorts Worldwide, Inc. | 8,100 | 328,050 |
| YUM! Brands, Inc.* | 11,800 | 448,282 |
5,980,068 | ||
| Household Durables 0.4% | ||
| American Greetings Corp., "A"* | 2,700 | 61,479 |
| Black & Decker Corp. | 3,100 | 176,514 |
| Centex Corp. | 11,000 | 594,660 |
| Fortune Brands, Inc. | 5,800 | 444,454 |
| KB Home | 1,800 | 145,440 |
| Leggett & Platt, Inc. | 7,700 | 182,567 |
| Maytag Corp. | 3,200 | 101,024 |
| Pulte Homes, Inc. | 11,000 | 611,600 |
| Snap-On, Inc. | 2,300 | 74,382 |
| The Stanley Works | 3,300 | 140,844 |
| Tupperware Corp. | 2,300 | 40,963 |
| Whirlpool Corp. | 2,800 | 192,836 |
2,766,763 | ||
| Internet & Catalog Retail 0.3% | ||
| eBay, Inc.* | 30,600 | 2,121,498 |
| Leisure Equipment & Products 0.1% | ||
| Brunswick Corp. | 3,700 | 151,071 |
| Eastman Kodak Co. | 11,500 | 300,955 |
| Hasbro, Inc. | 7,000 | 152,250 |
604,276 | ||
| Media 1.9% | ||
| Clear Channel Communications, Inc. | 4,300 | 182,105 |
| Comcast Corp., "A"* | 90,100 | 2,589,474 |
| Dow Jones & Co., Inc. | 3,300 | 158,103 |
| Gannett Co., Inc. | 10,800 | 951,912 |
| Interpublic Group of Companies, Inc.* | 16,600 | 255,308 |
| Knight-Ridder, Inc. | 3,200 | 234,400 |
| McGraw-Hill, Inc. | 7,700 | 586,278 |
| Meredith Corp. | 2,000 | 101,120 |
| Omnicom Group, Inc. | 7,600 | 609,900 |
| Time Warner, Inc.* | 180,900 | 3,049,974 |
| Tribune Co. | 13,200 | 665,808 |
| Univision Communications, Inc., "A"* | 12,900 | 425,829 |
| Viacom, Inc., "B" | 70,000 | 2,744,700 |
| Walt Disney Co. | 94,700 | 2,366,553 |
14,921,464 | ||
| Multiline Retail 0.7% | ||
| Big Lots, Inc.* | 4,700 | 68,150 |
| Dillard's, Inc., "A" | 3,400 | 65,144 |
| Dollar General Corp. | 13,500 | 259,200 |
| Family Dollar Stores, Inc. | 6,900 | 248,055 |
| Federated Department Stores, Inc. | 7,300 | 394,565 |
| J.C. Penny Co., Inc. | 10,900 | 379,102 |
| Kohl's Corp.* | 13,600 | 657,288 |
| Nordstrom, Inc. | 14,300 | 570,570 |
| Sears, Roebuck & Co. | 10,200 | 438,192 |
| Target Corp. | 36,400 | 1,639,456 |
| The May Department Stores Co. | 11,600 | 401,128 |
5,120,850 | ||
| Specialty Retail 1.5% | ||
| AutoNation, Inc.* | 11,000 | 187,550 |
| AutoZone, Inc.* | 7,500 | 644,775 |
| Bed Bath & Beyond, Inc.* | 20,300 | 847,728 |
| Best Buy Co., Inc.* | 12,900 | 667,188 |
| Boise Cascade Corp. | 3,500 | 121,275 |
| Home Depot, Inc. | 91,100 | 3,403,496 |
| Lowe's Companies, Inc. | 31,400 | 1,762,482 |
| Office Depot, Inc.* | 12,500 | 235,250 |
| RadioShack Corp. | 6,600 | 218,856 |
| Sherwin-Williams Co. | 5,800 | 222,894 |
| Staples, Inc.* | 19,800 | 502,722 |
| The Gap, Inc. | 52,000 | 1,139,840 |
| Tiffany & Co. | 14,500 | 553,465 |
| TJX Companies, Inc. | 20,200 | 496,112 |
| Toys "R" Us, Inc.* | 29,500 | 495,600 |
11,499,233 | ||
| Textiles, Apparel & Luxury Goods 0.2% | ||
| Jones Apparel Group, Inc. | 5,100 | 184,365 |
| Liz Claiborne, Inc. | 4,300 | 157,767 |
| NIKE, Inc., "B" | 10,500 | 817,635 |
| Reebok International Ltd. | 2,300 | 95,105 |
| VF Corp. | 4,300 | 200,810 |
1,455,682 | ||
| Consumer Staples 6.1% | ||
| Beverages 1.5% | ||
| Adolph Coors Co., "B" | 6,400 | 444,480 |
| Anheuser-Busch Companies, Inc. | 32,600 | 1,662,600 |
| Brown-Forman Corp., "B" | 4,800 | 228,768 |
| Coca-Cola Enterprises, Inc. | 18,200 | 439,894 |
| Pepsi Bottling Group, Inc. | 10,500 | 312,375 |
| PepsiCo, Inc. | 68,700 | 3,699,495 |
| The Coca-Cola Co. | 98,100 | 4,934,430 |
11,722,042 | ||
| Food & Drug Retailing 2.0% | ||
| Albertsons, Inc. | 14,700 | 325,605 |
| Costco Wholesale Corp.* | 18,300 | 687,348 |
| CVS Corp. | 25,400 | 896,620 |
| Kroger Co.* | 29,800 | 495,872 |
| Safeway, Inc.* | 33,900 | 697,662 |
| Sysco Corp. | 25,800 | 1,007,490 |
| Wal-Mart Stores, Inc. | 173,200 | 10,338,308 |
| Walgreen Co. | 22,500 | 741,375 |
| Winn-Dixie Stores, Inc. | 5,800 | 44,080 |
15,234,360 | ||
| Food Products 0.6% | ||
| Archer-Daniels-Midland Co. | 25,800 | 435,246 |
| ConAgra Foods, Inc. | 21,500 | 579,210 |
| General Mills, Inc. | 14,900 | 695,532 |
| H.J. Heinz Co. | 14,100 | 525,789 |
| Hershey Foods Corp. | 5,200 | 430,820 |
| Kellogg Co. | 16,300 | 639,612 |
| McCormick & Co, Inc. | 5,600 | 187,712 |
| Sara Lee Corp. | 31,600 | 690,776 |
4,184,697 | ||
| Household Products 1.1% | ||
| Clorox Co. | 8,400 | 410,844 |
| Colgate-Palmolive Co. | 21,500 | 1,184,650 |
| Kimberly-Clark Corp. | 20,200 | 1,274,620 |
| Procter & Gamble Co. | 51,900 | 5,443,272 |
8,313,386 | ||
| Personal Products 0.3% | ||
| Alberto-Culver Co., "B" | 3,500 | 153,545 |
| Avon Products, Inc. | 9,400 | 713,178 |
| Gillette Co. | 40,400 | 1,579,640 |
2,446,363 | ||
| Tobacco 0.6% | ||
| Altria Group, Inc. | 81,300 | 4,426,785 |
| UST, Inc. | 6,700 | 241,870 |
4,668,655 | ||
| Energy 3.2% | ||
| Energy Equipment & Services 0.5% | ||
| Baker Hughes, Inc. | 13,400 | 488,832 |
| BJ Services Co.* | 6,300 | 272,601 |
| Nabors Industries Ltd.* | 13,200 | 603,900 |
| Noble Corp.* | 5,300 | 203,626 |
| Rowan Companies, Inc.* | 4,200 | 88,578 |
| Schlumberger Ltd. | 23,400 | 1,494,090 |
| Transocean, Inc.* | 12,800 | 356,992 |
3,508,619 | ||
| Oil & Gas 2.7% | ||
| Anadarko Petroleum Corp. | 10,000 | 518,600 |
| Apache Corp. | 12,900 | 556,893 |
| Ashland, Inc. | 2,800 | 130,172 |
| Burlington Resources, Inc. | 7,900 | 502,677 |
| ChevronTexaco Corp. | 42,800 | 3,756,984 |
| ConocoPhillips | 27,300 | 1,905,813 |
| Devon Energy Corp. | 9,300 | 540,795 |
| EOG Resources, Inc. | 11,900 | 546,091 |
| ExxonMobil Corp. | 264,500 | 11,000,555 |
| Kerr-McGee Corp. | 4,000 | 206,000 |
| Occidental Petroleum Corp. | 15,400 | 709,170 |
| Sunoco, Inc. | 3,100 | 193,378 |
| Unocal Corp. | 10,300 | 383,984 |
20,951,112 | ||
| Financials 11.5% | ||
| Banks 4.0% | ||
| AmSouth Bancorp. | 14,000 | 329,140 |
| Bank of America Corp. | 38,050 | 3,081,289 |
| Bank One Corp. | 76,998 | 4,197,931 |
| BB&T Corp. | 21,800 | 769,540 |
| Charter One Financial, Inc. | 8,900 | 314,704 |
| Comerica, Inc. | 7,000 | 380,240 |
| Fifth Third Bancorp. | 22,800 | 1,262,436 |
| First Tennessee National Corp. | 5,000 | 238,500 |
| FleetBoston Financial Corp. | 80,757 | 3,625,989 |
| Golden West Financial Corp. | 6,100 | 682,895 |
| Huntington Bancshares, Inc. | 9,200 | 204,148 |
| KeyCorp. | 16,800 | 508,872 |
| M&T Bank Corp. | 4,800 | 431,280 |
| Marshall & Ilsley Corp. | 9,100 | 344,071 |
| National City Corp. | 24,300 | 864,594 |
| North Fork Bancorp., Inc. | 6,100 | 258,152 |
| PNC Financial Services Group | 11,100 | 615,162 |
| Regions Financial Corp. | 8,900 | 325,028 |
| SouthTrust Corp. | 13,300 | 441,028 |
| SunTrust Banks, Inc. | 11,300 | 787,723 |
| Synovus Financial Corp. | 12,100 | 295,845 |
| Union Planters Corp. | 7,600 | 226,860 |
| US Bancorp. | 77,200 | 2,134,580 |
| Wachovia Corp. | 52,900 | 2,486,300 |
| Washington Mutual, Inc. | 35,900 | 1,533,289 |
| Wells Fargo & Co. | 67,700 | 3,836,559 |
| Zions Bancorp. | 3,600 | 205,920 |
30,382,075 | ||
| Capital Markets 1.9% | ||
| Bank of New York Co., Inc. | 30,900 | 973,350 |
| Bear Stearns Companies, Inc. | 7,900 | 692,672 |
| Charles Schwab Corp. | 54,300 | 630,423 |
| Federated Investors, Inc., "B" | 4,400 | 138,292 |
| Franklin Resources, Inc. | 10,000 | 556,800 |
| Goldman Sachs Group, Inc. | 22,200 | 2,316,570 |
| J.P. Morgan Chase & Co. | 38,977 | 1,635,085 |
| Janus Capital Group, Inc. | 9,700 | 158,886 |
| Lehman Brothers Holdings, Inc. | 14,800 | 1,226,476 |
| Mellon Financial Corp. | 17,200 | 538,188 |
| Merrill Lynch & Co., Inc. | 43,300 | 2,578,948 |
| Morgan Stanley | 43,400 | 2,486,820 |
| State Street Corp. | 13,300 | 693,329 |
| T. Rowe Price Group, Inc. | 5,000 | 269,150 |
14,894,989 | ||
| Consumer Finance 0.7% | ||
| American Express Co. | 51,500 | 2,670,275 |
| Capital One Finance Corp. | 9,300 | 701,499 |
| MBNA Corp. | 51,100 | 1,411,893 |
| Providian Financial Corp.* | 11,700 | 153,270 |
| SLM Corp. | 18,000 | 753,300 |
5,690,237 | ||
| Diversified Financial Services 2.2% | ||
| Citigroup, Inc. | 206,500 | 10,676,050 |
| Countrywide Financial Corp. | 7,300 | 700,070 |
| Fannie Mae | 38,900 | 2,892,215 |
| Freddie Mac | 27,900 | 1,647,774 |
| MGIC Investment Corp. | 3,900 | 250,497 |
| Moody's Corp. | 5,900 | 417,720 |
| Principal Financial Group, Inc. | 12,900 | 459,627 |
17,043,953 | ||
| Insurance 2.5% | ||
| ACE Ltd. | 11,200 | 477,792 |
| AFLAC, Inc. | 20,500 | 822,870 |
| Allstate Corp. | 28,200 | 1,281,972 |
| Ambac Financial Group, Inc. | 4,300 | 317,254 |
| American International Group, Inc. | 104,300 | 7,441,805 |
| Aon Corp. | 12,500 | 348,875 |
| Cincinnati Financial Corp. | 6,400 | 278,080 |
| Hartford Financial Services Group, Inc. | 10,500 | 668,850 |
| Jefferson-Pilot Corp. | 5,700 | 313,557 |
| John Hancock Financial Services, Inc. | 19,600 | 856,324 |
| Lincoln National Corp. | 7,200 | 340,704 |
| Marsh & McLennan Companies, Inc. | 21,200 | 981,560 |
| MBIA, Inc. | 5,800 | 363,660 |
| MetLife, Inc. | 30,400 | 1,084,672 |
| Progressive Corp. | 8,700 | 762,120 |
| Prudential Financial, Inc. | 21,600 | 967,248 |
| Safeco Corp. | 5,500 | 237,435 |
| Torchmark Corp. | 4,500 | 242,055 |
| Travelers Property Casualty Corp., "B" | 61,397 | 1,060,329 |
| XL Capital Ltd., "A" | 5,500 | 418,220 |
19,265,382 | ||
| Real Estate 0.2% | ||
| Equity Office Properties Trust, (REIT) | 16,000 | 462,240 |
| Equity Residential, (REIT) | 11,000 | 328,350 |
| Plum Creek Timber Co., Inc., (REIT) | 7,300 | 237,104 |
| ProLogis, (REIT) | 7,200 | 258,264 |
| Simon Property Group, Inc., (REIT) | 7,700 | 449,988 |
1,735,946 | ||
| Health Care 7.1% | ||
| Biotechnology 0.7% | ||
| Amgen, Inc.* | 51,600 | 3,001,572 |
| Biogen Idec, Inc.* | 13,100 | 728,360 |
| Chiron Corp.* | 7,500 | 330,075 |
| Genzyme Corp. (General Division)* | 16,000 | 752,640 |
| MedImmune, Inc.* | 9,900 | 228,492 |
5,041,139 | ||
| Health Care Equipment & Supplies 1.1% | ||
| Applera Corp. - Applied Biosystems Group | 8,300 | 164,174 |
| Bausch & Lomb, Inc. | 2,100 | 125,937 |
| Baxter International, Inc. | 24,500 | 756,805 |
| Becton, Dickinson and Co. | 10,200 | 494,496 |
| Biomet, Inc. | 10,300 | 395,108 |
| Boston Scientific Corp.* | 32,800 | 1,390,064 |
| C.R. Bard, Inc. | 5,600 | 546,784 |
| Guidant Corp. | 2,800 | 177,436 |
| Medtronic, Inc. | 48,500 | 2,315,875 |
| Millipore Corp.* | 1,900 | 97,622 |
| St. Jude Medical, Inc.* | 11,400 | 821,940 |
| Stryker Corp. | 8,000 | 708,240 |
| Zimmer Holdings, Inc.* | 9,700 | 715,666 |
8,710,147 | ||
| Health Care Providers & Services 1.2% | ||
| Aetna, Inc. | 6,100 | 547,292 |
| AmerisourceBergen Corp. | 4,500 | 246,060 |
| Anthem, Inc.* | 3,225 | 292,314 |
| Cardinal Health, Inc. | 17,300 | 1,191,970 |
| Caremark Rx, Inc.* | 17,900 | 595,175 |
| CIGNA Corp. | 5,600 | 330,512 |
| Express Scripts, Inc.* | 7,600 | 566,884 |
| HCA, Inc. | 19,800 | 804,276 |
| Health Management Associates, Inc., "A" | 9,600 | 222,816 |
| Humana, Inc.* | 6,400 | 121,728 |
| IMS Health, Inc. | 9,600 | 223,296 |
| Manor Care, Inc. | 3,600 | 127,044 |
| McKesson Corp. | 11,700 | 352,053 |
| Quest Diagnostics, Inc. | 4,200 | 347,886 |
| Tenet Healthcare Corp.* | 18,600 | 207,576 |
| UnitedHealth Group, Inc. | 30,300 | 1,952,532 |
| WellPoint Health Networks, Inc.* | 7,875 | 895,545 |
9,024,959 | ||
| Pharmaceuticals 4.1% | ||
| Abbott Laboratories | 62,500 | 2,568,750 |
| Allergan, Inc. | 5,200 | 437,632 |
| Bristol-Myers Squibb Co. | 77,600 | 1,880,248 |
| Eli Lilly & Co. | 44,900 | 3,003,810 |
| Forest Laboratories, Inc.* | 14,700 | 1,052,814 |
| Johnson & Johnson | 106,500 | 5,401,680 |
| King Pharmaceuticals, Inc.* | 9,700 | 163,348 |
| Merck & Co., Inc. | 89,100 | 3,937,329 |
| Pfizer, Inc. | 305,401 | 10,704,291 |
| Schering-Plough Corp. | 58,900 | 955,358 |
| Watson Pharmaceuticals, Inc.* | 4,300 | 183,997 |
| Wyeth | 31,000 | 1,164,050 |
31,453,307 | ||
| Industrials 5.6% | ||
| Aerospace & Defense 0.9% | ||
| Boeing Co. | 33,700 | 1,384,059 |
| General Dynamics Corp. | 7,900 | 705,707 |
| Goodrich Corp. | 4,800 | 134,736 |
| Honeywell International, Inc. | 34,500 | 1,167,825 |
| Lockheed Martin Corp. | 18,000 | 821,520 |
| Northrop Grumman Corp. | 7,300 | 718,466 |
| Raytheon Co. | 16,700 | 523,378 |
| United Technologies Corp. | 20,600 | 1,777,780 |
7,233,471 | ||
| Air Freight & Logistics 0.5% | ||
| FedEx Corp. | 11,900 | 894,404 |
| Ryder System, Inc. | 2,600 | 100,698 |
| United Parcel Service, Inc., "B" | 44,900 | 3,135,816 |
4,130,918 | ||
| Airlines 0.1% | ||
| Delta Air Lines, Inc. | 4,900 | 38,808 |
| Southwest Airlines Co. | 31,500 | 447,615 |
486,423 | ||
| Building Products 0.0% | ||
| American Standard Companies, Inc.* | 2,900 | 329,875 |
| Commercial Services & Supplies 0.6% | ||
| Allied Waste Industries, Inc.* | 12,800 | 170,368 |
| Apollo Group, Inc., "A"* | 7,100 | 611,381 |
| Avery Dennison Corp. | 4,500 | 279,945 |
| Cendant Corp. | 54,800 | 1,336,572 |
| Cintas Corp. | 6,800 | 295,732 |
| Deluxe Corp. | 2,000 | 80,200 |
| Equifax Inc. | 5,600 | 144,592 |
| H&R Block, Inc. | 7,100 | 362,313 |
| Monster Worldwide, Inc.* | 4,500 | 117,900 |
| Pitney Bowes, Inc. | 9,300 | 396,273 |
| Robert Half International, Inc.* | 6,900 | 162,978 |
| Waste Management, Inc. | 23,300 | 703,194 |
4,661,448 | ||
| Construction & Engineering 0.0% | ||
| Fluor Corp. | 3,300 | 127,677 |
| Electrical Equipment 0.2% | ||
| American Power Conversion Corp. | 8,000 | 184,080 |
| Cooper Industries, Inc., "A" | 3,800 | 217,284 |
| Emerson Electric Co. | 16,800 | 1,006,656 |
| Power-One, Inc.* | 3,300 | 36,498 |
| Rockwell Automation, Inc. | 7,400 | 256,558 |
| Thomas & Betts Corp.* | 2,300 | 50,186 |
1,751,262 | ||
| Industrial Conglomerates 2.3% | ||
| 3M Co. | 31,400 | 2,570,718 |
| General Electric Co. | 401,800 | 12,262,936 |
| Textron, Inc. | 5,400 | 287,010 |
| Tyco International Ltd. | 80,000 | 2,292,000 |
17,412,664 | ||
| Machinery 0.8% | ||
| Caterpillar, Inc. | 13,900 | 1,099,073 |
| Crane Co. | 2,300 | 75,900 |
| Cummins, Inc. | 1,700 | 99,365 |
| Danaher Corp. | 6,200 | 578,894 |
| Deere & Co. | 9,600 | 665,376 |
| Dover Corp. | 8,200 | 317,914 |
| Eaton Corp. | 11,900 | 668,661 |
| Illinois Tool Works, Inc. | 12,300 | 974,529 |
| Ingersoll-Rand Co., "A" | 6,900 | 466,785 |
| ITT Industries, Inc. | 3,700 | 282,421 |
| Navistar International Corp.* | 2,800 | 128,380 |
| PACCAR, Inc. | 7,000 | 393,680 |
| Parker-Hannifin Corp. | 4,800 | 271,200 |
6,022,178 | ||
| Road & Rail 0.2% | ||
| Burlington Northern Santa Fe Corp. | 14,800 | 466,200 |
| CSX Corp. | 8,600 | 260,494 |
| Norfolk Southern Corp. | 15,600 | 344,604 |
| Union Pacific Corp. | 10,300 | 616,146 |
1,687,444 | ||
| Trading Companies & Distributors 0.0% | ||
| W.W. Grainger, Inc. | 3,700 | 177,600 |
| Information Technology 9.6% | ||
| Communications Equipment 1.7% | ||
| ADC Telecommunications, Inc.* | 32,300 | 93,670 |
| Andrew Corp.* | 6,200 | 108,500 |
| Avaya, Inc.* | 16,800 | 266,784 |
| CIENA Corp.* | 19,000 | 94,430 |
| Cisco Systems, Inc.* | 276,300 | 6,498,576 |
| Comverse Technologies, Inc.* | 7,700 | 139,678 |
| Corning, Inc.* | 53,300 | 595,894 |
| JDS Uniphase Corp.* | 57,500 | 234,025 |
| Lucent Technologies, Inc.* | 167,900 | 690,069 |
| Motorola, Inc. | 93,100 | 1,638,560 |
| QLogic Corp.* | 3,800 | 125,438 |
| QUALCOMM, Inc. | 32,000 | 2,125,440 |
| Scientific-Atlanta, Inc. | 6,100 | 197,274 |
| Tellabs, Inc.* | 36,200 | 312,406 |
13,120,744 | ||
| Computers & Peripherals 2.0% | ||
| Apple Computer, Inc.* | 14,500 | 392,225 |
| Dell, Inc.* | 102,500 | 3,446,050 |
| EMC Corp.* | 96,100 | 1,307,921 |
| Gateway, Inc.* | 15,000 | 79,200 |
| Hewlett-Packard Co. | 93,801 | 2,142,403 |
| International Business Machines Corp. | 68,900 | 6,327,776 |
| Lexmark International, Inc.* | 8,800 | 809,600 |
| NCR Corp.* | 3,800 | 167,428 |
| Network Appliance, Inc.* | 13,800 | 296,010 |
| Sun Microsystems, Inc.* | 130,800 | 544,128 |
15,512,741 | ||
| Electronic Equipment & Instruments 0.3% | ||
| Agilent Technologies, Inc.* | 19,000 | 600,970 |
| Jabil Circuit, Inc.* | 19,800 | 582,714 |
| Molex, Inc. | 7,600 | 230,964 |
| PerkinElmer, Inc. | 5,100 | 105,519 |
| Sanmina-SCI Corp.* | 20,700 | 227,907 |
| Solectron Corp.* | 33,400 | 184,702 |
| Tektronix, Inc. | 3,300 | 107,943 |
| Thermo Electron Corp.* | 6,500 | 183,820 |
| Waters Corp.* | 4,900 | 200,116 |
2,424,655 | ||
| Internet Software & Services 0.2% | ||
| Yahoo!, Inc.* | 26,300 | 1,277,917 |
| IT Consulting & Services 0.6% | ||
| Automatic Data Processing, Inc. | 23,800 | 999,600 |
| Computer Sciences Corp.* | 15,500 | 625,115 |
| Convergys Corp.* | 5,800 | 88,160 |
| Electronic Data Systems Corp. | 19,300 | 373,455 |
| First Data Corp. | 35,900 | 1,513,544 |
| Fiserv, Inc.* | 7,800 | 279,006 |
| Paychex, Inc. | 15,100 | 537,560 |
| SunGard Data Systems, Inc.* | 11,500 | 315,100 |
| Unisys Corp.* | 13,300 | 189,924 |
4,921,464 | ||
| Office Electronics 0.1% | ||
| Xerox Corp.* | 31,700 | 461,869 |
| Semiconductors & Semiconductor Equipment 2.2% | ||
| Advanced Micro Devices, Inc.* | 35,700 | 579,411 |
| Altera Corp.* | 15,300 | 312,885 |
| Analog Devices, Inc. | 14,700 | 705,747 |
| Applied Materials, Inc.* | 82,200 | 1,757,436 |
| Applied Micro Circuits Corp.* | 12,300 | 70,725 |
| Broadcom Corp., "A"* | 20,400 | 799,068 |
| Intel Corp. | 261,400 | 7,110,080 |
| KLA-Tencor Corp.* | 7,800 | 392,730 |
| Linear Technology Corp. | 12,500 | 462,750 |
| LSI Logic Corp.* | 15,300 | 142,902 |
| Maxim Integrated Products, Inc. | 13,200 | 621,588 |
| Micron Technology, Inc.* | 24,400 | 407,724 |
| National Semiconductor Corp.* | 7,400 | 328,782 |
| Novellus Systems, Inc.* | 6,100 | 193,919 |
| NVIDIA Corp.* | 6,500 | 172,185 |
| PMC-Sierra, Inc.* | 6,900 | 117,093 |
| Teradyne, Inc.* | 22,200 | 529,026 |
| Texas Instruments, Inc. | 69,200 | 2,022,024 |
| Xilinx, Inc.* | 13,700 | 520,600 |
17,246,675 | ||
| Software 2.5% | ||
| Adobe Systems, Inc. | 9,400 | 370,642 |
| Autodesk, Inc. | 16,200 | 512,244 |
| BMC Software, Inc.* | 26,500 | 518,075 |
| Citrix Systems, Inc.* | 6,600 | 142,692 |
| Computer Associates International, Inc. | 23,200 | 623,152 |
| Compuware Corp.* | 15,300 | 113,985 |
| Electronic Arts, Inc.* | 11,900 | 642,124 |
| Intuit, Inc.* | 7,900 | 354,552 |
| Mercury Interactive Corp.* | 3,600 | 161,280 |
| Microsoft Corp. | 432,700 | 10,804,519 |
| Novell, Inc.* | 14,900 | 169,562 |
| Oracle Corp.* | 209,100 | 2,511,291 |
| Parametric Technology Corp.* | 10,700 | 48,364 |
| PeopleSoft, Inc.* | 15,000 | 277,350 |
| Siebel Systems, Inc.* | 19,800 | 227,898 |
| Symantec Corp.* | 19,900 | 921,370 |
| VERITAS Software Corp.* | 17,100 | 460,161 |
18,859,261 | ||
| Materials 1.5% | ||
| Chemicals 0.8% | ||
| Air Products & Chemicals, Inc. | 9,100 | 456,092 |
| Dow Chemical Co. | 36,900 | 1,486,332 |
| E.I. du Pont de Nemours & Co. | 39,900 | 1,684,578 |
| Eastman Chemical Co. | 3,100 | 132,308 |
| Ecolab, Inc. | 10,300 | 293,859 |
| Engelhard Corp. | 5,000 | 149,450 |
| Hercules, Inc.* | 4,400 | 50,512 |
| International Flavors & Fragrances, Inc. | 3,800 | 134,900 |
| Monsanto Co. | 20,000 | 733,400 |
| Praxair, Inc. | 13,000 | 482,560 |
| Rohm & Haas Co. | 8,900 | 354,576 |
| Sigma-Aldrich Corp. | 2,800 | 154,952 |
6,113,519 | ||
| Construction Materials 0.0% | ||
| Vulcan Materials Co. | 4,100 | 194,504 |
| Containers & Packaging 0.1% | ||
| Ball Corp. | 7,300 | 494,794 |
| Bemis Co., Inc. | 4,300 | 111,800 |
| Pactiv Corp.* | 6,300 | 140,175 |
| Sealed Air Corp.* | 3,400 | 169,082 |
| Temple-Inland, Inc. | 2,200 | 139,348 |
1,055,199 | ||
| Metals & Mining 0.4% | ||
| Alcoa, Inc. | 34,600 | 1,200,274 |
| Allegheny Technologies, Inc. | 3,300 | 39,930 |
| Newmont Mining Corp. | 17,300 | 806,699 |
| Nucor Corp. | 8,800 | 541,024 |
| Phelps Dodge Corp.* | 3,600 | 293,976 |
| Worthington Industries, Inc. | 3,500 | 67,095 |
2,948,998 | ||
| Paper & Forest Products 0.2% | ||
| Georgia-Pacific Corp. | 10,200 | 343,638 |
| International Paper Co. | 19,200 | 811,392 |
| Louisiana-Pacific Corp. | 4,300 | 110,940 |
1,265,970 | ||
| Telecommunication Services 1.9% | ||
| Diversified Telecommunication Services 1.5% | ||
| ALLTEL Corp. | 12,500 | 623,625 |
| AT&T Corp. | 31,700 | 620,369 |
| BellSouth Corp. | 74,000 | 2,049,060 |
| Citizens Communications Co.* | 11,400 | 147,516 |
| Qwest Communications International, Inc.* | 70,700 | 304,717 |
| SBC Communications, Inc. | 132,500 | 3,251,550 |
| Sprint Corp., (FON Group) | 36,300 | 669,009 |
| Verizon Communications, Inc. | 110,500 | 4,037,670 |
11,703,516 | ||
| Wireless Telecommunication Services 0.4% | ||
| AT&T Wireless Services, Inc.* | 108,700 | 1,479,407 |
| Nextel Communications, Inc., "A"* | 44,000 | 1,088,120 |
| Sprint Corp., (PCS Group)* | 41,400 | 380,880 |
2,948,407 | ||
| Utilities 1.6% | ||
| Electric Utilities 1.1% | ||
| Allegheny Energy, Inc.* | 5,100 | 69,921 |
| Ameren Corp. | 7,300 | 336,457 |
| American Electric Power Co. | 15,800 | 520,136 |
| CenterPoint Energy, Inc. | 12,300 | 140,589 |
| CINergy Corp. | 7,200 | 294,408 |
| CMS Energy Corp. | 6,400 | 57,280 |
| Consolidated Edison, Inc. | 9,000 | 396,900 |
| Dominion Resources, Inc. | 13,000 | 835,900 |
| DTE Energy Co. | 6,800 | 279,820 |
| Edison International | 13,000 | 315,770 |
| Entergy Corp. | 9,200 | 547,400 |
| Exelon Corp. | 13,100 | 902,197 |
| FirstEnergy Corp. | 13,200 | 515,856 |
| FPL Group, Inc. | 7,300 | 488,005 |
| PG&E Corp.* | 16,600 | 480,902 |
| Pinnacle West Capital Corp. | 3,700 | 145,595 |
| PPL Corp. | 7,100 | 323,760 |
| Progress Energy, Inc. | 9,800 | 461,384 |
| Southern Co. | 29,300 | 893,650 |
| TECO Energy, Inc. | 7,600 | 111,188 |
| TXU Corp. | 13,000 | 372,580 |
| Xcel Energy, Inc. | 15,900 | 283,179 |
8,772,877 | ||
| Gas Utilities 0.2% | ||
| KeySpan Corp. | 6,300 | 240,786 |
| Kinder Morgan, Inc. | 4,900 | 308,798 |
| NICOR, Inc. | 1,800 | 63,414 |
| NiSource, Inc. | 10,500 | 223,125 |
| Peoples Energy Corp. | 1,500 | 66,975 |
| Sempra Energy | 9,000 | 286,200 |
1,189,298 | ||
| Multi-Utilities & Unregulated Power 0.3% | ||
| AES Corp.* | 25,000 | 213,250 |
| Calpine Corp.* | 16,500 | 77,055 |
| Constellation Energy Group, Inc. | 6,700 | 267,665 |
| Duke Energy Corp. | 36,300 | 820,380 |
| Dynegy, Inc., "A"* | 15,100 | 59,796 |
| El Paso Corp. | 24,300 | 172,773 |
| Public Service Enterprise Group, Inc. | 9,400 | 441,612 |
| Williams Companies, Inc. | 20,800 | 199,056 |
2,251,587 | ||
| Total Common Stocks (Cost $362,008,144) | 418,843,550 | |
Preferred Stock 0.4% | ||
| Industrials 0.4% | ||
| Aerospace & Defense | ||
| Raytheon Co., "A"* (Cost $3,062,170) | 57,200 | 3,087,015 |
| Asset Managemen# | Principal Amount ($) | Value ($) |
Corporate Bonds 7.1% | ||
| Consumer Discretionary 0.6% | ||
| Comcast Cable Communications: | ||
8.375%, 5/1/2007 | 280,000 | 325,153 |
8.375%, 3/15/2013 | 1,225,000 | 1,521,294 |
| General Motors Corp., 8.375%, 7/15/2033 | 275,000 | 311,949 |
| Liberty Media Corp., Series A, 3.5%, 9/25/2006 | 795,000 | 809,552 |
| Time Warner, Inc.: | ||
7.57%, 2/1/2024 | 1,365,000 | 1,571,908 |
8.11%, 8/15/2006 | 445,000 | 501,992 |
5,041,848 | ||
| Energy 1.2% | ||
| Duke Capital Corp., 4.302%, 5/18/2006 | 1,357,000 | 1,391,577 |
| Eastern Energy Ltd., 144A, 7.25%, 12/1/2016 | 2,875,000 | 3,494,160 |
| Tri-State Generation & Trans Association, 144A, 7.144%, 7/31/2033 | 1,470,000 | 1,616,662 |
| XTO Energy, Inc., 4.9%, 2/1/2014 | 2,490,000 | 2,499,422 |
9,001,821 | ||
| Financials 3.1% | ||
| Agfirst Farm Credit Bank , 8.393%**, 12/15/2016 | 2,810,000 | 3,272,088 |
| American General Finance Corp., 4.625%, 9/1/2010 | 1,595,000 | 1,661,851 |
| American International Group, Inc., 144A, 4.25%, 5/15/2013 | 3,735,000 | 3,670,934 |
| Ford Motor Credit Co.: | ||
5.8%, 1/12/2009 | 1,410,000 | 1,453,686 |
6.875%, 2/1/2006 | 2,078,000 | 2,210,217 |
| General Motors Acceptance Corp.: | ||
6.15%, 4/5/2007 | 1,305,000 | 1,404,005 |
6.75%, 1/15/2006 | 270,000 | 288,578 |
6.875%, 9/15/2011 | 450,000 | 488,210 |
7.75%, 1/19/2010 | 1,695,000 | 1,921,552 |
| Goldman Sachs Capital I, 6.345%, 2/15/2034 | 770,000 | 791,685 |
| Goldman Sachs Group, Inc., 5.15%, 1/15/2014 | 1,580,000 | 1,622,497 |
| OneAmerica Financial Partners, 144A, 7.0%, 10/15/2033 | 1,020,000 | 1,082,372 |
| Pemex Project Funding Master Trust, 8.5%, 2/15/2008 | 1,660,000 | 1,935,560 |
| Republic New York Corp., 5.875%, 10/15/2008 | 630,000 | 693,354 |
| SLM Corp., 5.625%, 8/1/2033 | 2,000 | 1,962 |
| Verizon Global Funding Corp.: | ||
7.25%, 12/1/2010 | 935,000 | 1,101,690 |
7.75%, 12/1/2030 | 366,000 | 444,610 |
24,044,851 | ||
| Health Care 0.3% | ||
| Health Care Service Corp., 144A, 7.75%, 6/15/2011 | 1,895,000 | 2,276,052 |
| Industrials 0.1% | ||
| BAE System 2001 Asset Trust, "B", Series B 2001, 144A, 7.156%, 12/15/2011 | 123,894 | 138,067 |
| Systems 2001 Asset Trust LLC, "G", Series 2001, 144A, 6.664%, 9/15/2013 | 529,854 | 595,153 |
733,220 | ||
| Telecommunication Services 0.3% | ||
| Bell Atlantic New Jersey, Inc., 7.85%, 11/15/2029 | 261,000 | 320,714 |
| Telecomunicaciones de Puerto Rico, Inc., 6.65%, 5/15/2006 | 790,000 | 855,895 |
| Verizon Communications, 8.75%, 11/1/2021 | 645,000 | 823,818 |
2,000,427 | ||
| Utilities 1.5% | ||
| Appalachian Power Co., 5.95%, 5/15/2033 | 1,210,000 | 1,211,371 |
| Consumers Energy Co., 6.25%, 9/15/2006 | 1,885,000 | 2,042,744 |
| Enogex, Inc., 144A, 8.125%, 1/15/2010 | 1,135,000 | 1,330,933 |
| Old Dominion Electric, 6.25%, 6/1/2011 | 2,605,000 | 2,945,580 |
| Pacific Gas & Electric Co., 6.05%, 3/1/2034 | 2,065,000 | 2,088,634 |
| Potomac Edison Co., 8.0%, 6/1/2024 | 140,000 | 140,000 |
| Public Service Co. of Oklahoma, Series C, 4.85%, 9/15/2010 | 1,135,000 | 1,185,583 |
| Xcel Energy, Inc., 7.0%, 12/1/2010 | 690,000 | 805,684 |
11,750,529 | ||
| Total Corporate Bonds (Cost $51,232,846) | 54,848,748 | |
Asset Backed 3.8% | ||
| Automobile Receivables 1.2% | ||
| MMCA Automobile Trust: | ||
"A4", Series 2002-2, 4.3%, 3/15/2010 | 2,355,000 | 2,392,536 |
"B", Series 2002-1, 5.37%, 1/15/2010 | 2,582,206 | 2,607,960 |
| Ryder Vehicle Lease Trust, "A4", Series 2001-A, 5.81%, 8/15/2006 | 1,956,453 | 1,988,448 |
| Whole Auto Loan Trust, "A4", Series 2003-1, 2.58%, 3/15/2010 | 2,475,000 | 2,497,519 |
9,486,463 | ||
| Home Equity Loans 1.9% | ||
| Advanta Mortgage Loan Trust, "A6", Series 2000-2, 7.72%, 3/25/2015 | 1,695,221 | 1,837,770 |
| Conseco Finance: | ||
"AF5", Series 1999-H, 7.6%, 12/15/2029 | 5,030,000 | 5,145,833 |
"AF6", Series 2000-B, 7.8%, 5/15/2020 | 3,126,520 | 3,318,970 |
| Long Beach Mortgage Loan Trust: | ||
"M3", Series 2001-4, 3.84%, 3/25/2032 | 2,625,000 | 2,657,719 |
"N1", Series 2003-4, 144A, 6.535%, 8/25/2033 | 1,201,932 | 1,212,970 |
| Novastar NIM Trust, "NOTE", Series 2004-N1, 144A, 4.458%, 2/26/2034 | 97,711 | 97,711 |
14,270,973 | ||
| Manufactured Housing Receivables 0.5% | ||
| Greenpoint Manufactured Housing, "A3", Series 1999-5, 7.33%, 8/15/2020 | 3,588,192 | 3,683,253 |
| Miscellaneous 0.2% | ||
| Master Asset Backed Securities Trust, "5A1", Series 2004-3, 1.35%**, 2/25/2034 | 1,770,000 | 1,770,000 |
| Total Asset Backed (Cost $28,583,641) | 29,210,689 | |
Foreign Bonds - US$ Denominated 3.6% | ||
| Alcan, Inc., 6.125%, 12/15/2033 | 1,835,000 | 1,934,938 |
| Arcel Finance Ltd.: | ||
144A, 1.0%, 2/1/2009 | 2,691,192 | 2,906,595 |
144A, 7.048%, 9/1/2011 | 770,000 | 816,200 |
| Autopista Del Maipo, 144A, 7.373%, 6/15/2022 | 2,690,000 | 3,230,771 |
| Brazilian Merchant Voucher, 144A, 5.911%, 6/15/2011 | 750,000 | 742,500 |
| Deutsche Telekom International Finance BV, 8.75%, 6/15/2030 | 851,000 | 1,115,688 |
| Hutchinson Whamp International Ltd., 144A, 7.45%, 11/24/2033 | 275,000 | 287,825 |
| Mantis Reef Ltd., 144A, 4.692%, 11/14/2008 | 2,875,000 | 2,960,180 |
| Mizuho Financial Group Ltd., 144A, 5.79%, 4/15/2014 | 1,066,000 | 1,093,564 |
| PF Export Receivable Master Trust, 144A, 6.6%, 12/1/2011 | 2,050,000 | 2,297,456 |
| QBE Insurance Group Ltd., 144A, 5.647%**, 7/1/2023 | 1,140,000 | 1,144,610 |
| Ram Holdings Ltd., 144A, 6.875%, 4/1/2024 | 1,500,000 | 1,483,500 |
| SP Powerassets Ltd., 144A, 5.0%, 10/22/2013 | 1,225,000 | 1,261,248 |
| Tyco International Group SA: | ||
5.8%, 8/1/2006 | 1,175,000 | 1,248,375 |
144A, 6.0%, 11/15/2013 | 1,012,000 | 1,067,081 |
6.375%, 2/15/2006 | 75,000 | 79,852 |
6.75%, 2/15/2011 | 1,058,000 | 1,178,169 |
| United Mexican States, 7.5%, 4/8/2033 | 396,000 | 431,640 |
| WMC Finance USA, 5.125%, 5/15/2013 | 2,345,000 | 2,404,246 |
| Total Foreign Bonds - US$ Denominated (Cost $26,123,579) | 27,684,438 | |
US Government Agency Sponsored Pass-Thrus 3.7% | ||
| Federal Home Loan Mortgage Corp.: | ||
| 5.0% with various maturities from 9/1/2033 until 12/1/2033 (g) | 2,585,400 | 2,598,858 |
6.0% with various maturities from 10/1/2033 until 10/1/2033 | 950,391 | 988,036 |
| Federal National Mortgage Association: | ||
4.5%, with various maturities from 11/1/2018 until 12/1/2033 (g) | 1,109,944 | 1,099,963 |
5.0% with various maturities from 1/1/2013 until 12/1/2033 (g) | 8,451,407 | 8,756,750 |
5.5% with various maturities from 2/1/2018 until 4/1/2034 | 7,469,445 | 7,690,740 |
6.0% with various maturities from 3/1/2015 until 1/1/2034 | 3,865,874 | 4,046,280 |
6.26%, 6/1/2009 | 1,836,557 | 2,059,874 |
6.5%, 11/1/2033 | 1,217,762 | 1,279,419 |
9.0%, 11/1/2030 | 285,903 | 311,631 |
| Total US Government Agency Sponsored Pass-Thrus (Cost $28,201,749) | 28,831,551 | |
Collateralized Mortgage Obligations 10.1% | ||
| Bank of America Alternative Loan Trust, "1A1", Series 2004-2, 6.0%, 3/25/2034 | 2,152,355 | 2,227,687 |
| Bank of America Mortgage Securities, Inc., "A2", Series 2004-A, 6.0%, 4/25/2034 | 1,348,000 | 1,399,814 |
| Citicorp Mortgage Securities, Inc., "2A1", Series 2001-17, 6.0%, 11/25/2031 | 306,427 | 308,778 |
| Countrywide Alternative Loan Trust: | ||
"1A1", Series 2004-J1, 6.0%, 2/25/2034 | 1,169,629 | 1,200,022 |
"2A1", Series 2004-J3, 6.0%, 4/25/2034 | 1,005,000 | 1,043,630 |
| Fannie Mae Whole Loan, "5A", Series 2004-W2, 7.5%, 3/25/2044 | 1,731,000 | 1,911,403 |
| Federal Home Loan Mortgage Corp.: | ||
"AU", Series 2759, 3.5%, 5/15/2019 | 1,399,000 | 1,428,401 |
"OK", Series 2073, 3.5%, 5/15/2010 | 2,445,000 | 2,498,206 |
"PA", Series 2786, 3.5%, 10/15/2010 | 1,374,000 | 1,403,251 |
"QA", Series 2649, 3.5%, 3/15/2010 | 2,375,000 | 2,424,806 |
"PB", Series 2727, 4.25%, 4/15/2023 | 2,315,000 | 2,403,020 |
"TG", Series 2690, 4.5%, 4/15/2032 | 1,220,000 | 1,189,039 |
"LC", Series 2682, 4.5%, 7/15/2032 | 1,890,000 | 1,846,219 |
"WH", Series 2557, 4.5%, 8/15/2009 | 2,225,000 | 2,274,012 |
"1A2B", Series T-48, 4.688%, 7/25/2022 | 720,000 | 731,313 |
"HG", Series 2543, 4.75%, 9/15/2028 | 1,602,639 | 1,628,774 |
"BG", Series 2640, 5.0%, 2/15/2032 | 2,330,000 | 2,352,223 |
"PE", Series 2378, 5.5%, 11/15/2016 | 1,495,000 | 1,590,489 |
"PE", Series 2512, 5.5%, 2/15/2022 | 1,725,000 | 1,820,695 |
"BD", Series 2453, 6.0%, 5/15/2017 | 1,000,000 | 1,064,803 |
"PM", Series 2416, 6.0%, 2/15/2026 | 710,461 | 711,482 |
"A5", Series T-42, 7.5%, 2/25/2042 | 387,986 | 426,906 |
| Federal National Mortgage Association: | ||
"TU", Series 2003-122, 1.0%, 5/25/2016 | 1,690,000 | 1,746,724 |
"A2", Series 2003-63, 2.34%, 7/25/2044 | 1,220,000 | 1,217,912 |
"PU", Series 2003-33, 4.5%, 5/25/2033 | 1,643,113 | 1,684,504 |
"UK", Series 2003-9, 4.5%, 11/25/2016 | 2,240,000 | 2,271,881 |
"WB", Series 2003-106, 4.5%, 10/25/2015 | 1,860,000 | 1,949,278 |
"A2", Series 2002-W9, 4.7%, 8/25/2042 | 276,704 | 278,063 |
"A2", Series 2002-W10, 4.7%, 8/25/2042 | 337,077 | 344,557 |
"2A3", Series 2003-W15, 4.71%, 8/25/2043 | 2,800,000 | 2,909,900 |
"1A3", Series 2003-W18, 4.732%, 8/25/2033 | 1,290,000 | 1,343,613 |
| "KY", Series 2002-55, 4.75%, 4/25/2028 | 1,101,393 | 1,107,643 |
"1A3", Series 2003-W19, 4.783%, 11/25/2033 | 1,270,000 | 1,320,576 |
"KH", Series 2003-92, 5.0%, 3/25/2032 | 1,230,000 | 1,234,348 |
"A2", Series 2002-W3, 5.5%, 10/25/2021 | 1,022,752 | 1,032,766 |
"MC", Series 2002-56, 5.5%, 9/25/2017 | 1,265,000 | 1,327,930 |
"VD", Series 2002-56, 6.0%, 4/25/2020 | 89,229 | 91,665 |
"A2", Series 1998-M1, 6.25%, 1/25/2008 | 1,958,751 | 2,145,674 |
"1A2", Series 2003-W3, 7.0%, 8/25/2042 | 935,563 | 1,017,582 |
"2A", Series 2003-W8, 7.0%, 10/25/2042 | 2,049,805 | 2,233,276 |
"A2", Series 2002-T4, 7.0%, 12/25/2041 | 1,952,673 | 2,122,921 |
| Federal National Mortgage Association Grantor Trust: | ||
"A2", Series 2002-T16, 7.0%, 7/25/2042 | 1,640,905 | 1,783,970 |
"A2", Series 2002-T19, 7.0%, 7/25/2042 | 1,511,060 | 1,642,805 |
| Government National Mortgage Association, "QE", Series 2004-11, 5.0%, 12/16/2032 | 1,955,000 | 1,960,119 |
| GSMPS Mortgage Loan Trust, "A", Series 1998-4, 144A, 7.5%, 12/21/2026 | 893,218 | 971,787 |
| Master Alternative Loans Trust: | ||
"7A1", Series 2004-4, 6.0%, 5/25/2034 | 65,000 | 67,529 |
"5A1", Series 2004-3, 6.5%, 3/25/2034 | 1,265,000 | 1,323,901 |
| "5A1", Series 2004-3, 6.5%, 3/25/2034 | 1,295,000 | 1,365,416 |
"8A1", Series 2004-3, 7.0%, 4/25/2034 | 1,360,000 | 1,433,950 |
| Master Asset Securitization Trust, "8A1", Series 2003-6, 5.5%, 7/25/2033 | 1,734,320 | 1,785,548 |
| Prudential Securities Secured Financing Corp., "A1", Series 1999-C2, 6.955%, 6/16/2031 | 1,676,495 | 1,814,733 |
| Washington Mutual Mortgage Securities Corp., "4A1", Series 2002-S7, 4.5%, 11/25/2032 | 997,141 | 1,002,855 |
| Wells Fargo Mortgage Backed Securities Trust, "1A1", Series 2003-6, 5.0%, 6/25/2018 | 1,617,698 | 1,655,529 |
| Total Collateralized Mortgage Obligations (Cost $77,627,176) | 78,073,928 | |
Municipal Investments 2.5% | ||
| California, Urban Industrial Development Agency, Series 1A, 4.5%, 5/1/2010 (f) | 2,550,000 | 2,620,762 |
| Connecticut, Industrial Development Revenue, Development Authority, Series A, 8.375%, 10/15/2004 | 195,000 | 201,451 |
| Delaware River, Port Authority, Port District Project, Series A, 7.27%, 1/1/2007 (f) | 930,000 | 1,052,974 |
| Hudson County, NJ, Improvement Authority Lease Revenue, Weehawken Pershing Road, 5.72%, 3/1/2034 (f) | 1,340,000 | 1,316,751 |
| Illinois, State GO, 4.95%, 6/1/2023 | 1,670,000 | 1,624,192 |
| Kentucky, Multi-Family Housing Revenue, Housing Assistance Corp., Series B, 7.2%, 2/1/2006 (f) | 425,000 | 426,590 |
| Lansing, MI, Water & Sewer Revenue, Board Water & Light Water Supply Steam, Series B, 7.3%, 7/1/2006 (f) | 3,155,000 | 3,518,740 |
| Mount Laurel Township, NJ, Municipal Utilities Authority, Utilities System Revenue, Series B, 3.9%, 7/1/2010 (f) | 950,000 | 958,360 |
| Suffolk, VA, Multi-Family Housing Revenue, Redevelopment & Housing Authority, Series T, 6.6%,** 7/1/2015 | 1,985,000 | 2,268,617 |
| Washington, State: | ||
Industrial Development Revenue, Series A, 2.5%, 10/1/2007 (f) | 3,130,000 | 3,127,715 |
Industrial Development Revenue, Economic Development Financial Authority, CSC Taco LLC Project, Series A, 3.8%, 10/1/2011 (f) | 1,105,000 | 1,093,132 |
| Wisconsin, State (REV) Lease, Series A, 5.7%, 5/1/2026 (f) | 1,140,000 | 1,205,048 |
| Total Municipal Investments (Cost $18,573,839) | 19,414,332 | |
Government National Mortgage Association 0.1% | ||
| Government National Mortgage Association, 6.0% with various maturities from 10/15/2033 until 1/15/2034 (Cost $727,559) | 699,382 | 730,686 |
US Government Backed 3.3% | ||
| US Treasury Bond, 6.0%, 2/15/2026 | 9,150,000 | 10,608,281 |
| US Treasury Note: | ||
5.0%, 8/15/2011 | 2,770,000 | 3,052,302 |
6.125%, 8/15/2007 (d) | 10,052,000 | 11,344,627 |
| Total US Government Backed (Cost $24,927,928) | 25,005,210 | |
Short-Term Investments 0.6% | ||
| US Treasury Bills, 0.90%,*** 4/22/2004 (h) (Cost $4,677,652) | 4,680,000 | 4,677,652 |
| # |
| Value ($) |
Cash Equivalents 9.4% | ||
| Scudder Cash Management QP Trust, 1.10% (b) | 60,814,726 | 60,814,726 |
| Daily Assets Fund Institutional 1.06% (c) (e) | 11,443,815 | 11,443,815 |
| Total Cash Equivalents (Cost $72,258,541) | 72,258,541 | |
% of Net Assets | Value ($) | |
| Total Investment Portfolio (Cost $698,004,824) (a) | 99.0 | 762,666,340 |
| Other Assets and Liabilities, Net | 1.0 | 8,050,970 |
| Net Assets | 100.0 | 770,717,310 |
* Non-income producing security.
** Floating rate notes are securities whose yields vary with a designated market index or market rate, such as the coupon-equivalent of the US Treasury bill rate. These securities are shown at their current rate as of March 31, 2004.
*** Annualized yield at time of purchase; not a coupon rate.
(a) The cost for federal income tax purposes was $720,933,175. At March 31, 2004, net unrealized appreciation for all securities based on tax cost was $41,733,165. This consisted of aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost of $74,760,262 and aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value of $33,027,097.
(b) Scudder Cash Management QP Trust is managed by Deutsche Investment Management Americas Inc., an affiliate of the Advisor. The rate shown is the annualized seven-day yield at period end.
(c) Daily Assets Fund Institutional, an affiliated fund, is also managed by Deutsche Asset Management, Inc. The rate shown is the annualized seven day yield at period end.
(d) All or a portion of these securities were on loan (see Notes to Financial Statements). The value of all securities loaned at March 31, 2004 amounted to $11,197,647, which is 1.5% of total net assets.
(e) Represents collateral held in connection with securities lending.
(f) Bond is insured by one of these companies:
As a % of Total Investment Portfolio | ||
| AMBAC | AMBAC Assurance Corp. | .2% |
| FHA | Federal Housing Administration | .1% |
| FNMA | Federal National Mortgage Association | .3% |
| MBIA | Municipal Bond Investors Assurance | 1.5% |
(g) Mortgage dollar rolls included.
(h) At March 31, 2004 this security has been pledged to cover in whole or in part, initial margin requirements for open futures contracts.
Included in the portfolio are investments in mortgage or asset-backed securities which are interests in separate pools of mortgages or assets. Effective maturities of these investments may be shorter than stated maturities due to prepayments. Some separate investments in the Federal National Mortgage Association and the Federal Home Loan Mortgage Corporation issues which have similar coupon rates have been aggregated for presentation purposes in the investment portfolio.
144A: Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
GO: General Obligation
At March 31, 2004, open futures contracts purchased were as follows:
Futures | Expiration Date | Contracts | Aggregate Face Value ($) | Value ($) | Unrealized Appreciation/ |
| 10 Year Australian Treasury Bond | 6/15/2004 | 151 | 11,103,150 | 10,893,477 | (209,673) |
| 10 Year Germany Fed Rep Bonds | 6/8/2004 | 252 | 36,007,510 | 35,944,876 | (62,634) |
| EOE Dutch Stock Index Futures | 4/16/2004 | 206 | 17,494,412 | 17,153,671 | (340,741) |
| FTSE 100 Index | 6/18/2004 | 36 | 2,944,371 | 2,909,170 | (35,201) |
| S&P 500 Index | 6/17/2004 | 56 | 15,613,315 | 15,748,600 | 135,285 |
| S&P Canada 60 Index | 6/17/2004 | 76 | 5,429,757 | 5,500,567 | 70,810 |
| Topix Index | 6/10/2004 | 69 | 7,453,271 | 7,822,896 | 369,625 |
| Total net unrealized depreciation | (72,529) | ||||
At March 31, 2004, open futures contracts sold short were as follows:
Futures | Expiration Date | Contracts | Aggregate Face Value ($) | Value ($) | Unrealized Appreciation/ |
| 10 Year US Treasury Note | 6/21/2004 | 460 | 53,523,799 | 53,086,875 | 436,924 |
The accompanying notes are an integral part of the financial statements.
| Asset Management Portfolio II |
| Value ($) |
Common Stocks 34.1% | ||
| Consumer Discretionary 3.9% | ||
| Auto Components 0.1% | ||
| Cooper Tire & Rubber Co. | 200 | 4,030 |
| Dana Corp. | 300 | 5,958 |
| Delphi Corp. | 1,300 | 12,948 |
| Goodyear Tire & Rubber Co.* | 400 | 3,416 |
| Johnson Controls, Inc. | 400 | 23,660 |
50,012 | ||
| Automobiles 0.2% | ||
| Ford Motor Co. | 4,300 | 58,352 |
| General Motors Corp. | 1,300 | 61,230 |
| Harley-Davidson, Inc. | 700 | 37,338 |
156,920 | ||
| Distributors 0.0% | ||
| Genuine Parts Co. | 400 | 13,088 |
| Hotels Restaurants & Leisure 0.5% | ||
| Carnival Corp. | 1,500 | 67,365 |
| Darden Restaurants, Inc. | 400 | 9,916 |
| Harrah's Entertainment, Inc. | 300 | 16,467 |
| Hilton Hotels Corp. | 900 | 14,625 |
| International Game Technology | 1,300 | 58,448 |
| Marriott International, Inc., "A" | 500 | 21,275 |
| McDonald's Corp. | 3,000 | 85,710 |
| Starbucks Corp.* | 900 | 33,975 |
| Starwood Hotels & Resorts Worldwide, Inc. | 500 | 20,250 |
| YUM! Brands, Inc.* | 700 | 26,593 |
354,624 | ||
| Household Durables 0.2% | ||
| American Greetings Corp., "A"* | 200 | 4,554 |
| Black & Decker Corp. | 200 | 11,388 |
| Centex Corp. | 600 | 32,436 |
| Fortune Brands, Inc. | 300 | 22,989 |
| KB Home | 100 | 8,080 |
| Leggett & Platt, Inc. | 500 | 11,855 |
| Maytag Corp. | 200 | 6,314 |
| Pulte Homes, Inc. | 600 | 33,360 |
| Snap-On, Inc. | 100 | 3,234 |
| The Stanley Works | 200 | 8,536 |
| Tupperware Corp. | 100 | 1,781 |
| Whirlpool Corp. | 200 | 13,774 |
158,301 | ||
| Internet & Catalog Retail 0.2% | ||
| eBay, Inc.* | 1,800 | 124,794 |
| Leisure Equipment & Products 0.1% | ||
| Brunswick Corp. | 200 | 8,166 |
| Eastman Kodak Co. | 700 | 18,319 |
| Hasbro, Inc. | 400 | 8,700 |
35,185 | ||
| Media 1.2% | ||
| Clear Channel Communications, Inc. | 300 | 12,705 |
| Comcast Corp., "A"* | 5,300 | 152,322 |
| Dow Jones & Co., Inc. | 200 | 9,582 |
| Gannett Co., Inc. | 600 | 52,884 |
| Interpublic Group of Companies, Inc.* | 1,000 | 15,380 |
| Knight-Ridder, Inc. | 200 | 14,650 |
| McGraw-Hill, Inc. | 500 | 38,070 |
| Meredith Corp. | 100 | 5,056 |
| Omnicom Group, Inc. | 400 | 32,100 |
| Time Warner, Inc.* | 10,600 | 178,716 |
| Tribune Co. | 800 | 40,352 |
| Univision Communications, Inc., "A"* | 800 | 26,408 |
| Viacom, Inc., "B" | 4,100 | 160,761 |
| Walt Disney Co. | 5,600 | 139,944 |
878,930 | ||
| Multiline Retail 0.4% | ||
| Big Lots, Inc.* | 300 | 4,350 |
| Dillard's, Inc., "A" | 200 | 3,832 |
| Dollar General Corp. | 800 | 15,360 |
| Family Dollar Stores, Inc. | 400 | 14,380 |
| Federated Department Stores, Inc. | 400 | 21,620 |
| J.C. Penny Co., Inc. | 600 | 20,868 |
| Kohl's Corp.* | 800 | 38,664 |
| Nordstrom, Inc. | 800 | 31,920 |
| Sears, Roebuck & Co. | 600 | 25,776 |
| Target Corp. | 2,100 | 94,584 |
| The May Department Stores Co. | 700 | 24,206 |
295,560 | ||
| Specialty Retail 0.9% | ||
| AutoNation, Inc.* | 600 | 10,230 |
| AutoZone, Inc.* | 400 | 34,388 |
| Bed Bath & Beyond, Inc.* | 1,200 | 50,112 |
| Best Buy Co., Inc.* | 800 | 41,376 |
| Boise Cascade Corp. | 200 | 6,930 |
| Home Depot, Inc. | 5,400 | 201,744 |
| Lowe's Companies, Inc. | 1,800 | 101,034 |
| Office Depot, Inc.* | 700 | 13,174 |
| RadioShack Corp. | 400 | 13,264 |
| Sherwin-Williams Co. | 300 | 11,529 |
| Staples, Inc.* | 1,200 | 30,468 |
| The Gap, Inc. | 3,100 | 67,952 |
| Tiffany & Co. | 900 | 34,353 |
| TJX Companies, Inc. | 1,200 | 29,472 |
| Toys "R" Us, Inc.* | 1,700 | 28,560 |
674,586 | ||
| Textiles, Apparel & Luxury Goods 0.1% | ||
| Jones Apparel Group, Inc. | 300 | 10,845 |
| Liz Claiborne, Inc. | 300 | 11,007 |
| NIKE, Inc., "B" | 600 | 46,722 |
| Reebok International Ltd. | 100 | 4,135 |
| VF Corp. | 300 | 14,010 |
86,719 | ||
| Consumer Staples 4.0% | ||
| Beverages 1.0% | ||
| Adolph Coors Co., "B" | 400 | 27,780 |
| Anheuser-Busch Companies, Inc. | 1,900 | 96,900 |
| Brown-Forman Corp., "B" | 300 | 14,298 |
| Coca-Cola Enterprises, Inc. | 1,100 | 26,587 |
| Pepsi Bottling Group, Inc. | 600 | 17,850 |
| PepsiCo, Inc. | 4,000 | 215,400 |
| The Coca-Cola Co. | 5,800 | 291,740 |
690,555 | ||
| Food & Drug Retailing 1.3% | ||
| Albertsons, Inc. | 900 | 19,935 |
| Costco Wholesale Corp.* | 1,100 | 41,316 |
| CVS Corp. | 1,500 | 52,950 |
| Kroger Co.* | 1,800 | 29,952 |
| Safeway, Inc.* | 2,000 | 41,160 |
| Sysco Corp. | 1,500 | 58,575 |
| Wal-Mart Stores, Inc. | 10,200 | 608,838 |
| Walgreen Co. | 1,300 | 42,835 |
| Winn-Dixie Stores, Inc. | 300 | 2,280 |
897,841 | ||
| Food Products 0.4% | ||
| Archer-Daniels-Midland Co. | 1,500 | 25,305 |
| ConAgra Foods, Inc. | 1,300 | 35,022 |
| General Mills, Inc. | 900 | 42,012 |
| H.J. Heinz Co. | 800 | 29,832 |
| Hershey Foods Corp. | 300 | 24,855 |
| Kellogg Co. | 1,000 | 39,240 |
| McCormick & Co, Inc. | 300 | 10,056 |
| Sara Lee Corp. | 1,900 | 41,534 |
247,856 | ||
| Household Products 0.7% | ||
| Clorox Co. | 500 | 24,455 |
| Colgate-Palmolive Co. | 1,300 | 71,630 |
| Kimberly-Clark Corp. | 1,200 | 75,720 |
| Procter & Gamble Co. | 3,000 | 314,640 |
486,445 | ||
| Personal Products 0.2% | ||
| Alberto-Culver Co., "B" | 200 | 8,774 |
| Avon Products, Inc. | 600 | 45,522 |
| Gillette Co. | 2,400 | 93,840 |
148,136 | ||
| Tobacco 0.4% | ||
| Altria Group, Inc. | 4,800 | 261,360 |
| UST, Inc. | 400 | 14,440 |
275,800 | ||
| Energy 2.0% | ||
| Energy Equipment & Services 0.3% | ||
| Baker Hughes, Inc. | 800 | 29,184 |
| BJ Services Co.* | 400 | 17,308 |
| Nabors Industries Ltd.* | 800 | 36,600 |
| Noble Corp.* | 300 | 11,526 |
| Rowan Companies, Inc.* | 200 | 4,218 |
| Schlumberger Ltd. | 1,400 | 89,390 |
| Transocean, Inc.* | 800 | 22,312 |
210,538 | ||
| Oil & Gas 1.7% | ||
| Anadarko Petroleum Corp. | 600 | 31,116 |
| Apache Corp. | 801 | 34,562 |
| Ashland, Inc. | 200 | 9,298 |
| Burlington Resources, Inc. | 500 | 31,815 |
| ChevronTexaco Corp. | 2,500 | 219,450 |
| ConocoPhillips | 1,600 | 111,697 |
| Devon Energy Corp. | 500 | 29,075 |
| EOG Resources, Inc. | 700 | 32,123 |
| ExxonMobil Corp. | 15,600 | 648,804 |
| Kerr-McGee Corp. | 200 | 10,300 |
| Occidental Petroleum Corp. | 900 | 41,445 |
| Sunoco, Inc. | 200 | 12,476 |
| Unocal Corp. | 600 | 22,368 |
1,234,529 | ||
| Financials 7.3% | ||
| Banks 2.5% | ||
| AmSouth Bancorp. | 800 | 18,808 |
| Bank of America Corp. | 2,184 | 176,860 |
| Bank One Corp. | 4,550 | 248,066 |
| BB&T Corp. | 1,300 | 45,890 |
| Charter One Financial, Inc. | 501 | 17,705 |
| Comerica, Inc. | 400 | 21,728 |
| Fifth Third Bancorp. | 1,300 | 71,981 |
| First Tennessee National Corp. | 300 | 14,310 |
| FleetBoston Financial Corp. | 4,827 | 216,732 |
| Golden West Financial Corp. | 300 | 33,585 |
| Huntington Bancshares, Inc. | 500 | 11,095 |
| KeyCorp. | 1,000 | 30,290 |
| M&T Bank Corp. | 300 | 26,955 |
| Marshall & Ilsley Corp. | 500 | 18,905 |
| National City Corp. | 1,400 | 49,812 |
| North Fork Bancorp., Inc. | 400 | 16,928 |
| PNC Financial Services Group | 700 | 38,794 |
| Regions Financial Corp. | 500 | 18,260 |
| SouthTrust Corp. | 800 | 26,528 |
| SunTrust Banks, Inc. | 700 | 48,797 |
| Synovus Financial Corp. | 700 | 17,115 |
| Union Planters Corp. | 400 | 11,940 |
| US Bancorp. | 4,500 | 124,425 |
| Wachovia Corp. | 3,100 | 145,700 |
| Washington Mutual, Inc. | 2,100 | 89,691 |
| Wells Fargo & Co. | 4,000 | 226,680 |
| Zions Bancorp. | 200 | 11,440 |
1,779,020 | ||
| Capital Markets 1.2% | ||
| Bank of New York Co., Inc. | 1,800 | 56,700 |
| Bear Stearns Companies, Inc. | 500 | 43,840 |
| Charles Schwab Corp. | 3,200 | 37,152 |
| Federated Investors, Inc., "B" | 300 | 9,429 |
| Franklin Resources, Inc. | 600 | 33,408 |
| Goldman Sachs Group, Inc. | 1,300 | 135,655 |
| J.P. Morgan Chase & Co. | 2,278 | 95,562 |
| Janus Capital Group, Inc. | 600 | 9,828 |
| Lehman Brothers Holdings, Inc. | 900 | 74,583 |
| Mellon Financial Corp. | 1,000 | 31,290 |
| Merrill Lynch & Co., Inc. | 2,500 | 148,900 |
| Morgan Stanley | 2,500 | 143,250 |
| State Street Corp. | 800 | 41,704 |
| T. Rowe Price Group, Inc. | 300 | 16,149 |
877,450 | ||
| Consumer Finance 0.5% | ||
| American Express Co. | 3,000 | 155,550 |
| Capital One Finance Corp. | 500 | 37,715 |
| MBNA Corp. | 3,000 | 82,890 |
| Providian Financial Corp.* | 700 | 9,170 |
| SLM Corp. | 1,100 | 46,035 |
331,360 | ||
| Diversified Financial Services 1.4% | ||
| Citigroup, Inc. | 12,100 | 625,570 |
| Countrywide Financial Corp. | 400 | 38,360 |
| Fannie Mae | 2,300 | 171,005 |
| Freddie Mac | 1,600 | 94,496 |
| MGIC Investment Corp. | 200 | 12,846 |
| Moody's Corp. | 300 | 21,240 |
| Principal Financial Group, Inc. | 800 | 28,504 |
992,021 | ||
| Insurance 1.6% | ||
| ACE Ltd. | 700 | 29,862 |
| AFLAC, Inc. | 1,200 | 48,168 |
| Allstate Corp. | 1,700 | 77,282 |
| Ambac Financial Group, Inc. | 300 | 22,134 |
| American International Group, Inc. | 6,100 | 435,235 |
| Aon Corp. | 700 | 19,537 |
| Cincinnati Financial Corp. | 400 | 17,380 |
| Hartford Financial Services Group, Inc. | 667 | 42,488 |
| Jefferson-Pilot Corp. | 300 | 16,503 |
| John Hancock Financial Services, Inc. | 1,200 | 52,428 |
| Lincoln National Corp. | 400 | 18,928 |
| Marsh & McLennan Companies, Inc. | 1,200 | 55,560 |
| MBIA, Inc. | 300 | 18,810 |
| MetLife, Inc. | 1,800 | 64,224 |
| Progressive Corp. | 500 | 43,800 |
| Prudential Financial, Inc. | 1,300 | 58,214 |
| Safeco Corp. | 300 | 12,951 |
| Torchmark Corp. | 300 | 16,137 |
| Travelers Property Casualty Corp., "B" | 3,555 | 61,389 |
| XL Capital Ltd., "A" | 300 | 22,812 |
1,133,842 | ||
| Real Estate 0.1% | ||
| Equity Office Properties Trust, (REIT) | 900 | 26,001 |
| Equity Residential, (REIT) | 600 | 17,910 |
| Plum Creek Timber Co., Inc., (REIT) | 400 | 12,992 |
| ProLogis, (REIT) | 400 | 14,348 |
| Simon Property Group, Inc., (REIT) | 500 | 29,220 |
100,471 | ||
| Health Care 4.4% | ||
| Biotechnology 0.4% | ||
| Amgen, Inc.* | 3,000 | 174,510 |
| Biogen Idec, Inc.* | 800 | 44,480 |
| Chiron Corp.* | 400 | 17,604 |
| Genzyme Corp. (General Division)* | 900 | 42,336 |
| MedImmune, Inc.* | 600 | 13,848 |
292,778 | ||
| Health Care Equipment & Supplies 0.7% | ||
| Applera Corp. - Applied Biosystems Group | 500 | 9,890 |
| Bausch & Lomb, Inc. | 100 | 5,997 |
| Baxter International, Inc. | 1,400 | 43,246 |
| Becton, Dickinson and Co. | 600 | 29,088 |
| Biomet, Inc. | 600 | 23,016 |
| Boston Scientific Corp.* | 1,900 | 80,522 |
| C.R. Bard, Inc. | 300 | 29,292 |
| Guidant Corp. | 200 | 12,674 |
| Medtronic, Inc. | 2,900 | 138,475 |
| Millipore Corp.* | 100 | 5,138 |
| St. Jude Medical, Inc.* | 700 | 50,470 |
| Stryker Corp. | 500 | 44,265 |
| Zimmer Holdings, Inc.* | 600 | 44,268 |
516,341 | ||
| Health Care Providers & Services 0.7% | ||
| Aetna, Inc. | 400 | 35,888 |
| AmerisourceBergen Corp. | 300 | 16,404 |
| Anthem, Inc.* | 190 | 17,222 |
| Cardinal Health, Inc. | 1,000 | 68,900 |
| Caremark Rx, Inc.* | 1,100 | 36,575 |
| CIGNA Corp. | 300 | 17,706 |
| Express Scripts, Inc.,* | 400 | 29,836 |
| HCA, Inc. | 1,200 | 48,744 |
| Health Management Associates, Inc., "A" | 600 | 13,926 |
| Humana, Inc.* | 400 | 7,608 |
| IMS Health, Inc. | 600 | 13,956 |
| Manor Care, Inc. | 200 | 7,058 |
| McKesson Corp. | 700 | 21,063 |
| Quest Diagnostics, Inc. | 200 | 16,566 |
| Tenet Healthcare Corp.* | 1,100 | 12,276 |
| UnitedHealth Group, Inc. | 1,800 | 115,992 |
| WellPoint Health Networks, Inc.* | 460 | 52,311 |
532,031 | ||
| Pharmaceuticals 2.6% | ||
| Abbott Laboratories | 3,700 | 152,070 |
| Allergan, Inc. | 300 | 25,248 |
| Bristol-Myers Squibb Co. | 4,600 | 111,458 |
| Eli Lilly & Co. | 2,600 | 173,940 |
| Forest Laboratories, Inc.* | 900 | 64,458 |
| Johnson & Johnson | 6,300 | 319,536 |
| King Pharmaceuticals, Inc.* | 600 | 10,104 |
| Merck & Co., Inc. | 5,200 | 229,788 |
| Pfizer, Inc. | 18,000 | 630,900 |
| Schering-Plough Corp. | 3,500 | 56,770 |
| Watson Pharmaceuticals, Inc.* | 300 | 12,837 |
| Wyeth | 1,800 | 67,590 |
1,854,699 | ||
| Industrials 3.4% | ||
| Aerospace & Defense 0.6% | ||
| Boeing Co. | 2,000 | 82,140 |
| General Dynamics Corp. | 500 | 44,665 |
| Goodrich Corp. | 300 | 8,421 |
| Honeywell International, Inc. | 2,000 | 67,700 |
| Lockheed Martin Corp. | 1,100 | 50,204 |
| Northrop Grumman Corp. | 400 | 39,368 |
| Raytheon Co. | 1,000 | 31,340 |
| United Technologies Corp. | 1,200 | 103,560 |
427,398 | ||
| Air Freight & Logistics 0.3% | ||
| FedEx Corp. | 700 | 52,612 |
| Ryder System, Inc. | 200 | 7,746 |
| United Parcel Service, Inc., "B" | 2,600 | 181,584 |
241,942 | ||
| Airlines 0.0% | ||
| Delta Air Lines, Inc. | 300 | 2,376 |
| Southwest Airlines Co. | 1,900 | 26,999 |
29,375 | ||
| Building Products 0.0% | ||
| American Standard Companies, Inc.* | 200 | 22,750 |
| Commercial Services & Supplies 0.4% | ||
| Allied Waste Industries, Inc.* | 800 | 10,648 |
| Apollo Group, Inc., "A"* | 400 | 34,444 |
| Avery Dennison Corp. | 300 | 18,663 |
| Cendant Corp. | 3,200 | 78,048 |
| Cintas Corp. | 400 | 17,396 |
| Deluxe Corp. | 100 | 4,010 |
| Equifax Inc. | 300 | 7,746 |
| H&R Block, Inc. | 400 | 20,412 |
| Monster Worldwide, Inc.* | 300 | 7,860 |
| Pitney Bowes, Inc. | 500 | 21,305 |
| Robert Half International, Inc.* | 400 | 9,448 |
| Waste Management, Inc. | 1,400 | 42,252 |
272,232 | ||
| Construction & Engineering 0.0% | ||
| Fluor Corp. | 200 | 7,738 |
| Electrical Equipment 0.1% | ||
| American Power Conversion Corp. | 500 | 11,505 |
| Cooper Industries, Inc., "A" | 200 | 11,436 |
| Emerson Electric Co. | 1,000 | 59,920 |
| Power-One, Inc.* | 200 | 2,212 |
| Rockwell Automation, Inc. | 400 | 13,868 |
| Thomas & Betts Corp.* | 100 | 2,182 |
101,123 | ||
| Industrial Conglomerates 1.4% | ||
| 3M Co. | 1,800 | 147,366 |
| General Electric Co. | 23,600 | 720,272 |
| Textron, Inc. | 300 | 15,945 |
| Tyco International Ltd. | 4,700 | 134,655 |
1,018,238 | ||
| Machinery 0.5% | ||
| Caterpillar, Inc. | 800 | 63,256 |
| Crane Co. | 100 | 3,300 |
| Cummins, Inc. | 100 | 5,845 |
| Danaher Corp. | 400 | 37,348 |
| Deere & Co. | 600 | 41,586 |
| Dover Corp. | 500 | 19,385 |
| Eaton Corp. | 700 | 39,333 |
| Illinois Tool Works, Inc. | 700 | 55,461 |
| Ingersoll-Rand Co., "A" | 400 | 27,060 |
| ITT Industries, Inc. | 200 | 15,266 |
| Navistar International Corp.* | 200 | 9,170 |
| PACCAR, Inc. | 400 | 22,496 |
| Parker-Hannifin Corp. | 300 | 16,950 |
356,456 | ||
| Road & Rail 0.1% | ||
| Burlington Northern Santa Fe Corp. | 900 | 28,350 |
| CSX Corp. | 500 | 15,145 |
| Norfolk Southern Corp. | 900 | 19,881 |
| Union Pacific Corp. | 600 | 35,892 |
99,268 | ||
| Trading Companies & Distributors 0.0% | ||
| W.W. Grainger, Inc. | 200 | 9,600 |
| Information Technology 6.0% | ||
| Communications Equipment 1.1% | ||
| ADC Telecommunications, Inc.* | 1,900 | 5,510 |
| Andrew Corp.* | 400 | 7,000 |
| Avaya, Inc.* | 1,000 | 15,880 |
| CIENA Corp.* | 1,100 | 5,467 |
| Cisco Systems, Inc.* | 16,200 | 381,024 |
| Comverse Technologies, Inc.* | 500 | 9,070 |
| Corning, Inc.* | 3,100 | 34,658 |
| JDS Uniphase Corp.* | 3,400 | 13,838 |
| Lucent Technologies, Inc.* | 9,900 | 40,689 |
| Motorola, Inc. | 5,500 | 96,800 |
| QLogic Corp.* | 200 | 6,602 |
| QUALCOMM, Inc. | 1,900 | 126,198 |
| Scientific-Atlanta, Inc. | 400 | 12,936 |
| Tellabs, Inc.* | 2,100 | 18,123 |
773,795 | ||
| Computers & Peripherals 1.3% | ||
| Apple Computer, Inc.* | 900 | 24,345 |
| Dell, Inc.* | 6,000 | 201,720 |
| EMC Corp.* | 5,700 | 77,577 |
| Gateway, Inc.* | 900 | 4,752 |
| Hewlett-Packard Co. | 5,500 | 125,620 |
| International Business Machines Corp. | 4,100 | 376,544 |
| Lexmark International, Inc.* | 500 | 46,000 |
| NCR Corp.* | 200 | 8,812 |
| Network Appliance, Inc.* | 800 | 17,160 |
| Sun Microsystems, Inc.* | 7,700 | 32,032 |
914,562 | ||
| Electronic Equipment & Instruments 0.2% | ||
| Agilent Technologies, Inc.* | 1,100 | 34,793 |
| Jabil Circuit, Inc.* | 1,200 | 35,316 |
| Molex, Inc. | 400 | 12,156 |
| PerkinElmer, Inc. | 300 | 6,207 |
| Sanmina-SCI Corp.* | 1,200 | 13,212 |
| Solectron Corp.* | 2,000 | 11,060 |
| Tektronix, Inc. | 200 | 6,542 |
| Thermo Electron Corp.* | 400 | 11,312 |
| Waters Corp.* | 300 | 12,252 |
142,850 | ||
| Internet Software & Services 0.1% | ||
| Yahoo!, Inc.* | 1,500 | 72,885 |
| IT Consulting & Services 0.4% | ||
| Automatic Data Processing, Inc. | 1,400 | 58,800 |
| Computer Sciences Corp.* | 900 | 36,297 |
| Convergys Corp.* | 300 | 4,560 |
| Electronic Data Systems Corp. | 1,100 | 21,285 |
| First Data Corp. | 2,100 | 88,536 |
| Fiserv, Inc.* | 500 | 17,885 |
| Paychex, Inc. | 900 | 32,040 |
| SunGard Data Systems, Inc.* | 700 | 19,180 |
| Unisys Corp.* | 800 | 11,424 |
290,007 | ||
| Office Electronics 0.0% | ||
| Xerox Corp.* | 1,900 | 27,683 |
| Semiconductors & Semiconductor Equipment 1.4% | ||
| Advanced Micro Devices, Inc.* | 2,100 | 34,083 |
| Altera Corp.* | 900 | 18,405 |
| Analog Devices, Inc. | 900 | 43,209 |
| Applied Materials, Inc.* | 4,800 | 102,624 |
| Applied Micro Circuits Corp.* | 700 | 4,025 |
| Broadcom Corp., "A"* | 1,200 | 47,004 |
| Intel Corp. | 15,400 | 418,880 |
| KLA-Tencor Corp.* | 500 | 25,175 |
| Linear Technology Corp. | 700 | 25,914 |
| LSI Logic Corp.* | 900 | 8,406 |
| Maxim Integrated Products, Inc. | 800 | 37,672 |
| Micron Technology, Inc.* | 1,400 | 23,394 |
| National Semiconductor Corp.* | 400 | 17,772 |
| Novellus Systems, Inc.* | 400 | 12,716 |
| NVIDIA Corp.* | 400 | 10,596 |
| PMC-Sierra, Inc.* | 400 | 6,788 |
| Teradyne, Inc.* | 1,300 | 30,979 |
| Texas Instruments, Inc. | 4,100 | 119,802 |
| Xilinx, Inc.* | 800 | 30,400 |
1,017,844 | ||
| Software 1.5% | ||
| Adobe Systems, Inc. | 600 | 23,658 |
| Autodesk, Inc. | 1,000 | 31,620 |
| BMC Software, Inc.* | 1,600 | 31,280 |
| Citrix Systems, Inc.* | 400 | 8,648 |
| Computer Associates International, Inc. | 1,400 | 37,604 |
| Compuware Corp.* | 900 | 6,705 |
| Electronic Arts, Inc.* | 700 | 37,772 |
| Intuit, Inc.* | 500 | 22,440 |
| Mercury Interactive Corp.* | 200 | 8,960 |
| Microsoft Corp. | 25,400 | 634,238 |
| Novell, Inc.* | 900 | 10,242 |
| Oracle Corp.* | 12,300 | 147,723 |
| Parametric Technology Corp.* | 600 | 2,712 |
| PeopleSoft, Inc.* | 900 | 16,641 |
| Siebel Systems, Inc.* | 1,200 | 13,812 |
| Symantec Corp.* | 1,200 | 55,560 |
| VERITAS Software Corp.* | 1,000 | 26,910 |
1,116,525 | ||
| Materials 0.9% | ||
| Chemicals 0.5% | ||
| Air Products & Chemicals, Inc. | 500 | 25,060 |
| Dow Chemical Co. | 2,200 | 88,616 |
| E.I. du Pont de Nemours & Co. | 2,300 | 97,106 |
| Eastman Chemical Co. | 200 | 8,536 |
| Ecolab, Inc. | 600 | 17,118 |
| Engelhard Corp. | 300 | 8,967 |
| Hercules, Inc.* | 300 | 3,444 |
| International Flavors & Fragrances, Inc. | 200 | 7,100 |
| Monsanto Co. | 1,200 | 44,018 |
| Praxair, Inc. | 800 | 29,696 |
| Rohm & Haas Co. | 500 | 19,920 |
| Sigma-Aldrich Corp. | 200 | 11,068 |
360,649 | ||
| Construction Materials 0.0% | ||
| Vulcan Materials Co. | 200 | 9,488 |
| Containers & Packaging 0.1% | ||
| Ball Corp. | 400 | 27,112 |
| Bemis Co., Inc. | 300 | 7,800 |
| Pactiv Corp.* | 400 | 8,900 |
| Sealed Air Corp.* | 200 | 9,946 |
| Temple-Inland, Inc. | 100 | 6,334 |
60,092 | ||
| Metals & Mining 0.2% | ||
| Alcoa, Inc. | 2,000 | 69,380 |
| Allegheny Technologies, Inc. | 200 | 2,420 |
| Newmont Mining Corp. | 1,000 | 46,630 |
| Nucor Corp. | 500 | 30,740 |
| Phelps Dodge Corp.* | 200 | 16,332 |
| Worthington Industries, Inc. | 200 | 3,834 |
169,336 | ||
| Paper & Forest Products 0.1% | ||
| Georgia-Pacific Corp. | 600 | 20,214 |
| International Paper Co. | 1,100 | 46,486 |
| Louisiana-Pacific Corp. | 300 | 7,740 |
74,440 | ||
| Telecommunication Services 1.2% | ||
| Diversified Telecommunication Services 1.0% | ||
| ALLTEL Corp. | 700 | 34,923 |
| AT&T Corp. | 1,900 | 37,183 |
| BellSouth Corp. | 4,400 | 121,836 |
| Citizens Communications Co.* | 700 | 9,058 |
| Qwest Communications International, Inc.* | 4,200 | 18,102 |
| SBC Communications, Inc. | 7,800 | 191,412 |
| Sprint Corp., (FON Group) | 2,100 | 38,703 |
| Verizon Communications, Inc. | 6,500 | 237,510 |
688,727 | ||
| Wireless Telecommunication Services 0.2% | ||
| AT&T Wireless Services, Inc.* | 6,400 | 87,104 |
| Nextel Communications, Inc., "A"* | 2,600 | 64,298 |
| Sprint Corp., (PCS Group)* | 2,400 | 22,080 |
173,482 | ||
| Utilities 1.0% | ||
| Electric Utilities 0.7% | ||
| Allegheny Energy, Inc.* | 300 | 4,113 |
| Ameren Corp. | 400 | 18,436 |
| American Electric Power Co. | 900 | 29,628 |
| CenterPoint Energy, Inc. | 700 | 8,001 |
| CINergy Corp. | 400 | 16,356 |
| CMS Energy Corp. | 400 | 3,580 |
| Consolidated Edison, Inc. | 500 | 22,050 |
| Dominion Resources, Inc. | 800 | 51,440 |
| DTE Energy Co. | 400 | 16,460 |
| Edison International* | 800 | 19,432 |
| Entergy Corp. | 500 | 29,750 |
| Exelon Corp. | 800 | 55,096 |
| FirstEnergy Corp. | 800 | 31,264 |
| FPL Group, Inc. | 400 | 26,740 |
| PG&E Corp.* | 1,000 | 28,970 |
| Pinnacle West Capital Corp. | 200 | 7,870 |
| PPL Corp. | 400 | 18,240 |
| Progress Energy, Inc. | 600 | 28,248 |
| Southern Co. | 1,700 | 51,850 |
| TECO Energy, Inc. | 400 | 5,852 |
| TXU Corp. | 800 | 22,928 |
| Xcel Energy, Inc. | 900 | 16,029 |
512,333 | ||
| Gas Utilities 0.1% | ||
| KeySpan Corp. | 400 | 15,288 |
| Kinder Morgan, Inc. | 300 | 18,906 |
| NICOR, Inc. | 100 | 3,523 |
| NiSource, Inc. | 600 | 12,750 |
| Peoples Energy Corp. | 100 | 4,465 |
| Sempra Energy | 500 | 15,900 |
70,832 | ||
| Multi-Utilities & Unregulated Power 0.2% | ||
| AES Corp.* | 1,500 | 12,795 |
| Calpine Corp.* | 1,000 | 4,670 |
| Constellation Energy Group, Inc. | 400 | 15,980 |
| Duke Energy Corp. | 2,100 | 47,460 |
| Dynegy, Inc., "A" | 900 | 3,564 |
| El Paso Corp. | 1,400 | 9,954 |
| Public Service Enterprise Group, Inc. | 600 | 28,188 |
| Williams Companies, Inc. | 1,200 | 11,484 |
134,095 | ||
| Total Common Stocks (Cost $21,614,642) | 24,626,177 | |
Other 0.1% | ||
| Standard & Poor's 500 Depository Receipt Trust, SPDRs (Cost $57,387) | 500 | 56,580 |
Preferred Stock 0.5% | ||
| Industrials 0.5% | ||
| Aerospace & Defense | ||
| Raytheon Co., "A"* (Cost $363,902) | 6,800 | 366,988 |
| # | Principal Amount ($) | Value ($) |
Corporate Bonds 10.4% | ||
| Consumer Discretionary 0.9% | ||
| Comcast Cable Communications: | ||
8.375%, 5/1/2007 | 30,000 | 34,838 |
8.375%, 3/15/2013 | 145,000 | 180,071 |
| General Motors Corp., 8.375%, 7/15/2033 | 80,000 | 90,749 |
| Liberty Media Corp., Series A, 3.5%, 9/25/2006 | 95,000 | 96,739 |
| Time Warner, Inc.: | ||
7.57%, 2/1/2024 | 115,000 | 132,432 |
8.11%, 8/15/2006 | 90,000 | 101,526 |
636,355 | ||
| Energy 2.0% | ||
| Duke Capital Corp.: | ||
4.302%, 5/18/2006 | 160,000 | 164,077 |
5.5%, 3/1/2014 | 130,000 | 131,414 |
| FirstEnergy Corp., Series B, 6.45%, 11/15/2011 | 220,000 | 240,863 |
| Halliburton Co., 144A, 5.5%, 10/15/2010 | 235,000 | 248,897 |
| Pioneer Natural Resources Co., 6.5%, 1/15/2008 | 145,000 | 161,497 |
| Tri-State Generation & Trans Association, 144A, 7.144%, 7/31/2033 | 180,000 | 197,959 |
| XTO Energy, Inc., 4.9%, 2/1/2014 | 305,000 | 306,154 |
1,450,861 | ||
| Financials 4.8% | ||
| Agfirst Farm Credit Bank , 8.393%**, 12/15/2016 | 325,000 | 378,444 |
| American General Finance Corp., 4.625%, 9/1/2010 | 265,000 | 276,107 |
| American International Group, Inc., 144A, 4.25%, 5/15/2013 | 255,000 | 250,626 |
| Assurant, Inc., 144A, 5.625%, 2/15/2014 | 90,000 | 93,748 |
| First Union Capital II, Series A, 7.95%, 11/15/2029 | 92,000 | 116,646 |
| Ford Motor Credit Co.: | ||
5.8%, 1/12/2009 | 135,000 | 139,183 |
6.875%, 2/1/2006 | 320,000 | 340,360 |
| General Motors Acceptance Corp.: | ||
4.375%, 12/10/2007 (d) | 115,000 | 117,472 |
6.125%, 9/15/2006 | 15,000 | 16,038 |
6.75%, 1/15/2006 | 225,000 | 240,481 |
6.875%, 9/15/2011 | 130,000 | 141,039 |
| Goldman Sachs Capital I, 6.345%, 2/15/2034 | 90,000 | 92,535 |
| Goldman Sachs Group, Inc., 5.15%, 1/15/2014 | 255,000 | 261,859 |
| Pemex Project Funding Master Trust: | ||
8.5%, 2/15/2008 | 35,000 | 40,810 |
9.125%, 10/13/2010 | 305,000 | 373,625 |
| RBS Capital Trust II, 6.425%, 12/29/2049 | 245,000 | 260,279 |
| Republic New York Corp., 5.875%, 10/15/2008 | 120,000 | 132,068 |
| Verizon Global Funding Corp.: | ||
7.25%, 12/1/2010 | 135,000 | 159,067 |
7.75%, 12/1/2030 | 6,000 | 7,289 |
3,437,676 | ||
| Health Care 0.5% | ||
| Health Care Service Corp., 144A, 7.75%, 6/15/2011 | 285,000 | 342,309 |
| Industrials 0.3% | ||
| BAE System 2001 Asset Trust, "B", Series B 2001, 144A, 7.156%, 12/15/2011 | 119,306 | 132,953 |
| Systems 2001 Asset Trust LLC, "G", Series 2001, 144A, 6.664%, 9/15/2013 | 64,382 | 72,316 |
205,269 | ||
| Telecommunication Services 0.2% | ||
| Bell Atlantic New Jersey, Inc., 7.85%, 11/15/2029 | 4,000 | 4,915 |
| Verizon Communications, 8.75%, 11/1/2021 | 125,000 | 159,655 |
164,570 | ||
| Utilities 1.7% | ||
| Consumers Energy Co., 6.25%, 9/15/2006 | 395,000 | 428,055 |
| Ohio Valley Electric Corp., 144A, 5.94%, 2/12/2006 | 335,000 | 359,248 |
| Pacific Gas & Electric Co., 6.05%, 3/1/2034 | 246,000 | 248,816 |
| Potomac Edison Co., 8.0%, 6/1/2024 | 60,000 | 60,000 |
| Xcel Energy, Inc., 7.0%, 12/1/2010 | 140,000 | 163,472 |
1,259,591 | ||
| Total Corporate Bonds (Cost $7,170,362) | 7,496,631 | |
Asset Backed 5.2% | ||
| Automobile Receivables 1.0% | ||
| MMCA Automobile Trust: | ||
"A4", Series 2002-2, 4.3%, 3/15/2010 | 390,000 | 396,216 |
"B", Series 2002-1, 5.37%, 1/15/2010 | 292,176 | 295,090 |
691,306 | ||
| Home Equity Loans 3.3% | ||
| Advanta Mortgage Loan Trust, "A6", Series 2000-2, 7.72%, 3/25/2015 | 325,000 | 352,329 |
| Argent NIM Trust, "A", Series 2004-WN2, 4.55%, 4/25/2034 | 164,000 | 163,991 |
| Conseco Finance: | ||
"AF5", Series 1999-H, 7.6%, 12/15/2029 | 890,000 | 910,495 |
"AF6", Series 2000-B, 7.8%, 5/15/2020 | 563,263 | 597,935 |
| Long Beach Mortgage Loan Trust, "M3", Series 2001-4, 3.84%, 3/25/2032 | 160,000 | 161,994 |
| Renaissance NIM Trust, "A", Series 2004-A, 144A, 4.45%, 6/25/2034 | 164,000 | 163,989 |
2,350,733 | ||
| Manufactured Housing Receivables 0.9% | ||
| Greenpoint Manufactured Housing, "A3", Series 1999-5, 7.33%, 8/15/2020 | 654,404 | 671,741 |
| Total Asset Backed (Cost $3,611,921) | 3,713,780 | |
Foreign Bonds - US$ Denominated 3.9% | ||
| Alcan, Inc., 6.125%, 12/15/2033 | 113,000 | 119,154 |
| Autopista Del Maipo, 144A, 7.373%, 6/15/2022 | 455,000 | 546,469 |
| Deutsche Telekom International Finance BV, 8.25%, 6/15/2030 | 99,000 | 129,792 |
| Inversiones CMPC SA, 144A, 4.875%, 6/18/2013 | 170,000 | 168,683 |
| Petroleos Mexicanos, 9.5%, 9/15/2027 | 55,000 | 68,475 |
| PF Export Receivable Master Trust, 144A, 6.6%, 12/1/2011 | 550,000 | 616,390 |
| QBE Insurance Group Ltd., 144A, 5.647%**, 7/1/2023 | 125,000 | 125,505 |
| Ram Holdings Ltd., 144A, 6.875%, 4/1/2024 | 220,000 | 217,580 |
| SP Powerassets Ltd., 144A, 5.0%, 10/22/2013 | 140,000 | 144,143 |
| Tyco International Group SA: | ||
144A, 6.0%, 11/15/2013 | 111,000 | 117,042 |
6.375%, 2/15/2006 | 150,000 | 159,704 |
6.75%, 2/15/2011 | 115,000 | 128,062 |
| WMC Finance USA, 5.125%, 5/15/2013 | 265,000 | 271,695 |
| Total Foreign Bonds - US$ Denominated (Cost $2,610,263) | 2,812,694 | |
US Government Agency Sponsored Pass-Thrus 4.5% | ||
| Federal Home Loan Mortgage Corp.: | ||
5.0%, with various maturities from 7/1/2018 until 12/1/2034 (g) | 395,341 | 400,273 |
6.0%, 12/1/2033 | 290,044 | 301,546 |
| Federal National Mortgage Association: | ||
4.5% with various maturities from 11/1/2018 until 12/1/2034 (g) | 123,273 | 122,041 |
5.0% with various maturities from 7/1/2023 until 12/1/2033 (g) | 877,571 | 898,716 |
5.5% with various maturities from 3/1/2018 until 1/1/2034 | 982,784 | 1,008,926 |
6.0%, 3/1/2015 | 177,327 | 187,014 |
6.5%, 11/1/2033 | 116,429 | 122,324 |
7.0%, 11/25/2043 | 150,000 | 162,614 |
9.0%, 11/1/2030 | 51,506 | 56,141 |
| Total US Government Agency Sponsored Pass-Thrus (Cost $3,230,209) | 3,259,595 | |
Collateralized Mortgage Obligations 13.0% | ||
| Countrywide Alternative Loan Trust: | ||
"1A1", Series 2004-J1, 6.0%, 2/25/2034 | 139,409 | 143,031 |
"7A1", Series 2004-J2, 6.0%, 12/25/2033 | 151,000 | 155,105 |
| CS First Boston Mortgage Securities Corp., "A1", Series 1999-C1, 6.91%, 9/15/2041 | 211,550 | 231,844 |
| Fannie Mae Whole Loan, "5A", Series 2004-W2, 7.5%, 3/25/2044 | 296,000 | 326,849 |
| Federal Home Loan Mortgage Corp.: | ||
"AU", Series 2759, 3.5%, 5/15/2019 | 166,000 | 169,489 |
"CH", Series 2614, 3.5%, 12/15/2010 | 280,000 | 287,299 |
"OK", Series 2073, 3.5%, 5/15/2010 | 305,000 | 311,637 |
"PA", Series 2786, 3.5%, 10/15/2010 | 164,000 | 167,492 |
"NB", Series 2750, 4.0%, 12/15/2022 | 378,000 | 388,700 |
"TC", Series 2728, 4.0%, 2/15/2023 | 310,000 | 318,410 |
"LC", Series 2682, 4.5%, 7/15/2032 | 230,000 | 224,672 |
"ME", Series 2691, 4.5%, 4/15/2032 | 283,000 | 277,047 |
"BG", Series 2640, 5.0%, 2/15/2032 | 305,000 | 307,909 |
"BM", Series 2497, 5.0%, 2/15/2022 | 41,686 | 42,692 |
"JG", Series 2687, 5.0%, 11/15/2022 | 282,000 | 288,204 |
"PE", Series 2378, 5.5%, 11/15/2016 | 225,000 | 239,371 |
"CH", Series 2303, 6.0%, 11/15/2022 | 196,762 | 197,815 |
"QE", Series 2113, 6.0%, 11/15/2027 | 166,328 | 170,229 |
"A5", Series T-42, 7.5%, 2/25/2042 | 64,664 | 71,151 |
| Federal National Mortgage Association: | ||
"TU", Series 2003-122, 4.0%, 5/25/2016 | 200,000 | 206,713 |
"2A3", Series 2001-4, 4.16%, 6/25/2042 | 140,000 | 142,330 |
| "OA", Series 2003-8, 4.5%, 2/25/2016 | 321,460 | 327,814 |
"A2", Series 2002-W10, 4.7%, 8/25/2042 | 53,439 | 54,625 |
"A2", Series 2002-W9, 4.7%, 8/25/2042 | 43,868 | 44,083 |
"1A5", Series 2003-W14, 4.71%, 9/25/2043 | 270,000 | 279,767 |
"1A3", Series 2003-W18, 4.732%, 8/25/2033 | 150,000 | 156,234 |
"KH", Series 2003-92, 5.0%, 3/25/2032 | 150,000 | 150,530 |
"B", Series 1997-M5, 6.65%, 8/25/2007 | 91,177 | 98,604 |
"C", Series 1997-MS, 6.74%, 8/25/2007 | 145,000 | 161,953 |
"1A2", Series 2003-W3, 7.0%, 8/25/2042 | 16,242 | 17,666 |
"2A", Series 2003-W8, 7.0%, 10/25/2042 | 126,485 | 137,807 |
| Federal National Mortgage Association Grantor Trust: | ||
"A2", Series 2002-T16, 7.0%, 7/25/2042 | 125,432 | 136,368 |
"A3", Series 2002-T19, 7.5%, 7/25/2042 | 164,621 | 181,135 |
| FHLMC Structured Pass Through Securities, "A2B", Series T-56, 4.29%, 7/25/2036 | 240,000 | 246,808 |
| Government National Mortgage Association: | ||
"DH", Series 2004-3, 3.75%, 2/20/2027 | 480,000 | 482,881 |
"QE", Series 2004-11, 5.0%, 12/16/2032 | 245,000 | 245,641 |
"PD", Series 2001-24, 6.6%, 11/20/2029 | 12,360 | 12,355 |
| JP Morgan Commercial Mortgage Finance Corp., "A3", Series 1997-C5, 7.088%, 9/15/2029 | 190,000 | 211,437 |
| Master Alternative Loan Trust: | ||
"2A1", Series 2004-3, 6.25%, 4/25/2034 | 320,000 | 333,450 |
"8A1", Series 2004-3, 7.0%, 4/25/2034 | 160,000 | 168,700 |
| Master Asset Securitization Trust: | ||
"3A2", Series 2003-2, 4.25%, 4/25/2033 | 250,454 | 251,077 |
"8A1", Series 2003-6, 5.5%, 7/25/2033 | 190,642 | 196,273 |
| Washington Mutual MSC Mortgage Pass-Through: | ||
"3A1", Series 2003-MS6, 4.55%, 5/25/2033 | 389,564 | 398,717 |
"1A22", Series 2003-MS3, 5.75%, 3/25/2033 | 224,274 | 226,615 |
| Wells Fargo Mortgage Backed Securities Trust, "1A1", Series 2003-6, 5.0%, 6/25/2018 | 185,287 | 189,620 |
| Total Collateralized Mortgage Obligations (Cost $9,299,511) | 9,378,149 | |
Municipal Investments 2.9% | ||
| Delaware River, Port Authority, Port District Project, Series A, 7.27%, 1/1/2007 (f) | 180,000 | 203,801 |
| Houston, TX, Airport Revenue, 6.88%, 1/1/2028 (f) | 275,000 | 328,837 |
| Illinois, State GO, 4.95%, 6/1/2023 | 105,000 | 102,120 |
| Lansing, MI, Water & Sewer Revenue, Board Water & Light Water Supply Steam, Series B, 7.3%, 7/1/2006 (f) | 605,000 | 674,751 |
| Virginia, Multi-Family Housing Revenue, Housing Development Authority, Series A, 6.51%, 5/1/2019 (f) | 610,000 | 646,911 |
| Wisconsin, State (REV) Lease, Series A, 5.7%, 5/1/2026 (f) | 135,000 | 142,703 |
| Total Municipal Investments (Cost $1,864,856) | 2,099,123 | |
Government National Mortgage Association 0.5% | ||
| Government National Mortgage Association: | ||
3.75%, 6/20/2026 | 310,000 | 315,609 |
6.0% with various maturities from 10/15/2033 until 1/15/2034 | 68,630 | 71,702 |
| Total Government National Mortgage Association (Cost $384,251) | 387,311 | |
US Government Backed 3.6% | ||
| US Treasury Bond, 6.0%, 2/15/2026 (d) | 1,096,000 | 1,270,675 |
| US Treasury Note: | ||
5.0%, 8/15/2011 | 562,000 | 619,276 |
6.125%, 8/15/2007 | 645,000 | 727,943 |
| Total US Government Backed (Cost $2,590,607) | 2,617,894 | |
Short-Term Investments 6.9% | ||
| US Treasury Bills: | ||
0.90%***, 4/22/2004 (h) | 500,000 | 499,744 |
0.91%***, 6/10/2004 | 4,500,000 | 4,491,819 |
| Total Short-Term Investments (Cost $4,991,563) | 4,991,563 | |
| Value ($) | |
Cash Equivalents 13.2% | ||
| Scudder Cash Management QP Trust, 1.10% (b) | 9,265,774 | 9,265,774 |
| Daily Asset Fund Institutional, 1.06% (c) (e) | 240,775 | 240,775 |
| Total Cash Equivalents (Cost $9,506,549) | 9,506,549 | |
% of Net Assets | Value ($) | |
| Total Investment Portfolio (Cost $67,296,023) (a) | 98.8 | 71,313,034 |
| Other Assets and Liabilities, Net | 1.2 | 884,826 |
| Net Assets | 100.0 | 72,197,860 |
* Non-income producing security.
** Floating rate notes are securities whose yields vary with a designated market index or market rate, such as the coupon-equivalent of the US Treasury bill rate. These securities are shown at their current rate as of March 31, 2004.
*** Annualized yield at time of purchase; not a coupon rate.
(a) The cost for federal income tax purposes was $69,974,589. At March 31, 2004, net unrealized appreciation for all securities based on tax cost was $1,338,445. This consisted of aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost of $4,525,852 and aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value of $3,187,407.
(b) Scudder Cash Management QP Trust is managed by Deutsche Investment Management Americas Inc., an affiliate of the Advisor. The rate shown is the annualized seven-day yield at period end.
(c) Daily Assets Institutional, an affiliated fund, is also managed by Deutsche Asset Management, Inc. The rate shown is the annualized seven-day yield at period end.
(d) All or a portion of these securities were on loan (see Notes to Financial Statements). The value of all securities loaned at March 31, 2004 amounted to $235,430, which is 0.3% of total net assets.
(e) Represents collateral held in connection with securities lending.
(f) Bond is insured by one of these companies:
As a % of Total Investment Portfolio | ||
| FGIC | Financial Guaranty Insurance Company | .5% |
| FSA | Financial Security Assurance | .5% |
| MBIA | Municipal Bond Investors Assurance | 1.8% |
(g) Mortgage dollar rolls included.
(h) At March 31, 2004, this security has been pledged to cover in whole or in part, initial margin requirements for open futures contracts.
Included in the portfolio are investments in mortgage or asset-backed securities which are interests in separate pools of mortgages or assets. Effective maturities of these investments may be shorter than stated maturities due to prepayments. Some separate investments in the Federal National Mortgage Association issues which have similar coupon rates have been aggregated for presentation purposes in the investment portfolio.
144A: Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
GO: General Obligation
At March 31, 2004, open futures contracts purchased were as follows:
Futures | Expiration Date | Contracts | Aggregate Face Value ($) | Value ($) | Unrealized Appreciation/ |
| 10 Year Australian Treasury Bond | 6/15/2004 | 31 | 2,266,787 | 2,236,409 | (30,378) |
| 10 Year Canadian Government Bond | 6/21/2004 | 42 | 3,541,919 | 3,570,919 | 29,000 |
| 10 Year Germany Fed Rep Bonds | 6/8/2004 | 25 | 3,503,011 | 3,565,960 | 62,949 |
| EOE Dutch Stock Index Futures | 4/16/2004 | 15 | 1,274,656 | 1,249,054 | (25,602) |
| FTSE 100 Index | 6/18/2004 | 8 | 654,268 | 646,482 | (7,786) |
| S&P 500 Index | 6/17/2004 | 4 | 1,109,831 | 1,124,900 | 15,023 |
| S&P Canada 60 Index | 6/17/2004 | 7 | 501,014 | 506,631 | 5,617 |
| S&P Mini 500 Index | 6/18/2004 | 9 | 505,149 | 506,250 | 1,101 |
| Topix Index | 6/10/2004 | 9 | 975,125 | 1,020,378 | 45,253 |
| Total net unrealized appreciation | 95,177 | ||||
At March 31, 2004, open futures contracts sold short were as follows:
Futures | Expiration Date | Contracts | Aggregate Face Value ($) | Value ($) | Unrealized Appreciation/ |
| 10 Year US Treasury Note | 6/21/2004 | 28 | 3,170,873 | 3,231,375 | (60,502) |
The accompanying notes are an integral part of the financial statements.
| Asset Management Portfolio III | Shares | Value ($) |
Common Stocks 14.8% | ||
| Consumer Discretionary 1.7% | ||
| Auto Components 0.0% | ||
| Cooper Tire & Rubber Co. | 23 | 463 |
| Dana Corp. | 47 | 933 |
| Delphi Corp. | 178 | 1,773 |
| Goodyear Tire & Rubber Co.* | 55 | 470 |
| Johnson Controls, Inc. | 57 | 3,372 |
7,011 | ||
| Automobiles 0.1% | ||
| Ford Motor Co. | 580 | 7,870 |
| General Motors Corp. | 177 | 8,337 |
| Harley-Davidson, Inc. | 96 | 5,121 |
21,328 | ||
| Distributors 0.0% | ||
| Genuine Parts Co. | 55 | 1,799 |
| Hotels Restaurants & Leisure 0.2% | ||
| Carnival Corp. | 199 | 8,937 |
| Darden Restaurants, Inc. | 52 | 1,289 |
| Harrah's Entertainment, Inc. | 35 | 1,921 |
| Hilton Hotels Corp. | 120 | 1,950 |
| International Game Technology | 173 | 7,778 |
| Marriott International, Inc., "A" | 73 | 3,107 |
| McDonald's Corp. | 402 | 11,485 |
| Starbucks Corp.* | 124 | 4,681 |
| Starwood Hotels & Resorts Worldwide, Inc. | 64 | 2,592 |
| YUM! Brands, Inc.* | 94 | 3,571 |
47,311 | ||
| Household Durables 0.1% | ||
| American Greetings Corp., "A"* | 21 | 478 |
| Black & Decker Corp. | 24 | 1,367 |
| Centex Corp. | 87 | 4,703 |
| Fortune Brands, Inc. | 46 | 3,525 |
| KB Home | 15 | 1,212 |
| Leggett & Platt, Inc. | 61 | 1,446 |
| Maytag Corp. | 25 | 789 |
| Pulte Homes, Inc. | 87 | 4,837 |
| Snap-On, Inc. | 18 | 582 |
| The Stanley Works | 26 | 1,110 |
| Tupperware Corp. | 18 | 321 |
| Whirlpool Corp. | 22 | 1,515 |
21,885 | ||
| Internet & Catalog Retail 0.1% | ||
| eBay, Inc.* | 242 | 16,778 |
| Leisure Equipment & Products 0.0% | ||
| Brunswick Corp. | 29 | 1,184 |
| Eastman Kodak Co. | 91 | 2,382 |
| Hasbro, Inc. | 55 | 1,196 |
4,762 | ||
| Media 0.5% | ||
| Clear Channel Communications, Inc. | 34 | 1,440 |
| Comcast Corp., "A"* | 712 | 20,463 |
| Dow Jones & Co., Inc. | 26 | 1,246 |
| Gannett Co., Inc. | 86 | 7,580 |
| Interpublic Group of Companies, Inc.* | 131 | 2,015 |
| Knight-Ridder, Inc. | 25 | 1,831 |
| McGraw-Hill, Inc. | 61 | 4,644 |
| Meredith Corp. | 16 | 809 |
| Omnicom Group, Inc. | 60 | 4,815 |
| Time Warner, Inc.* | 1,431 | 24,127 |
| Tribune Co. | 104 | 5,246 |
| Univision Communications, Inc., "A"* | 102 | 3,367 |
| Viacom, Inc., "B" | 553 | 21,683 |
| Walt Disney Co. | 749 | 18,717 |
117,983 | ||
| Multiline Retail 0.2% | ||
| Big Lots, Inc.* | 37 | 537 |
| Dillard's, Inc., "A" | 27 | 517 |
| Dollar General Corp. | 107 | 2,054 |
| Family Dollar Stores, Inc. | 55 | 1,977 |
| Federated Department Stores, Inc. | 57 | 3,081 |
| J.C. Penny Co., Inc. | 86 | 2,991 |
| Kohl's Corp.* | 107 | 5,171 |
| Nordstrom, Inc. | 113 | 4,509 |
| Sears, Roebuck & Co. | 80 | 3,437 |
| Target Corp. | 288 | 12,972 |
| The May Department Stores Co. | 92 | 3,181 |
40,427 | ||
| Specialty Retail 0.4% | ||
| AutoNation, Inc.* | 87 | 1,483 |
| AutoZone, Inc.* | 59 | 5,072 |
| Bed Bath & Beyond, Inc.* | 161 | 6,723 |
| Best Buy Co., Inc.* | 102 | 5,276 |
| Boise Cascade Corp. | 28 | 970 |
| Home Depot, Inc. | 720 | 26,899 |
| Lowe's Companies, Inc. | 249 | 13,976 |
| Office Depot, Inc.* | 99 | 1,863 |
| RadioShack Corp. | 52 | 1,724 |
| Sherwin-Williams Co. | 46 | 1,768 |
| Staples, Inc.* | 157 | 3,986 |
| The Gap, Inc. | 411 | 9,009 |
| Tiffany & Co. | 115 | 4,390 |
| TJX Companies, Inc. | 160 | 3,930 |
| Toys "R" Us, Inc.* | 233 | 3,915 |
90,984 | ||
| Textiles, Apparel & Luxury Goods 0.1% | ||
| Jones Apparel Group, Inc. | 40 | 1,446 |
| Liz Claiborne, Inc. | 34 | 1,248 |
| NIKE, Inc., "B" | 83 | 6,463 |
| Reebok International Ltd. | 18 | 744 |
| VF Corp. | 34 | 1,588 |
11,489 | ||
| Consumer Staples 1.7% | ||
| Beverages 0.4% | ||
| Adolph Coors Co., "B" | 51 | 3,542 |
| Anheuser-Busch Companies, Inc. | 258 | 13,158 |
| Brown-Forman Corp., "B" | 38 | 1,811 |
| Coca-Cola Enterprises, Inc. | 144 | 3,480 |
| Pepsi Bottling Group, Inc. | 83 | 2,469 |
| PepsiCo, Inc. | 543 | 29,241 |
| The Coca-Cola Co. | 776 | 39,033 |
92,734 | ||
| Food & Drug Retailing 0.5% | ||
| Albertsons, Inc. | 116 | 2,569 |
| Costco Wholesale Corp.* | 145 | 5,446 |
| CVS Corp. | 201 | 7,095 |
| Kroger Co.* | 235 | 3,911 |
| Safeway, Inc.* | 268 | 5,516 |
| Sysco Corp. | 204 | 7,966 |
| Wal-Mart Stores, Inc. | 1,370 | 81,775 |
| Walgreen Co. | 178 | 5,865 |
| Winn-Dixie Stores, Inc. | 46 | 350 |
120,493 | ||
| Food Products 0.2% | ||
| Archer-Daniels-Midland Co. | 204 | 3,441 |
| ConAgra Foods, Inc. | 170 | 4,580 |
| General Mills, Inc. | 118 | 5,508 |
| H.J. Heinz Co. | 111 | 4,139 |
| Hershey Foods Corp. | 41 | 3,397 |
| Kellogg Co. | 129 | 5,062 |
| McCormick & Co, Inc. | 44 | 1,475 |
| Sara Lee Corp. | 250 | 5,465 |
33,067 | ||
| Household Products 0.3% | ||
| Clorox Co. | 67 | 3,277 |
| Colgate-Palmolive Co. | 170 | 9,367 |
| Kimberly-Clark Corp. | 160 | 10,096 |
| Procter & Gamble Co. | 410 | 43,001 |
65,741 | ||
| Personal Products 0.1% | ||
| Alberto-Culver Co., "B" | 28 | 1,229 |
| Avon Products, Inc. | 75 | 5,690 |
| Gillette Co. | 320 | 12,512 |
19,431 | ||
| Tobacco 0.2% | ||
| Altria Group, Inc. | 643 | 35,012 |
| UST, Inc. | 53 | 1,913 |
36,925 | ||
| Energy 0.8% | ||
| Energy Equipment & Services 0.1% | ||
| Baker Hughes, Inc. | 106 | 3,867 |
| BJ Services Co.* | 50 | 2,163 |
| Nabors Industries Ltd.* | 104 | 4,758 |
| Noble Corp.* | 42 | 1,614 |
| Rowan Companies, Inc.* | 33 | 696 |
| Schlumberger Ltd. | 185 | 11,812 |
| Transocean, Inc.* | 101 | 2,817 |
27,727 | ||
| Oil & Gas 0.7% | ||
| Anadarko Petroleum Corp. | 79 | 4,097 |
| Apache Corp. | 102 | 4,403 |
| Ashland, Inc. | 22 | 1,023 |
| Burlington Resources, Inc. | 63 | 4,009 |
| ChevronTexaco Corp. | 338 | 29,670 |
| ConocoPhillips | 217 | 15,131 |
| Devon Energy Corp. | 74 | 4,303 |
| EOG Resources, Inc. | 94 | 4,314 |
| ExxonMobil Corp. | 2,092 | 87,006 |
| Kerr-McGee Corp. | 32 | 1,648 |
| Occidental Petroleum Corp. | 122 | 5,618 |
| Sunoco, Inc. | 24 | 1,497 |
| Unocal Corp. | 82 | 3,057 |
165,776 | ||
| Financials 3.2% | ||
| Banks 1.1% | ||
| AmSouth Bancorp. | 111 | 2,610 |
| Bank of America Corp. | 299 | 24,213 |
| Bank One Corp. | 613 | 33,421 |
| BB&T Corp. | 173 | 6,115 |
| Charter One Financial, Inc. | 71 | 2,526 |
| Comerica, Inc. | 55 | 2,988 |
| Fifth Third Bancorp. | 180 | 9,966 |
| First Tennessee National Corp. | 40 | 1,908 |
| FleetBoston Financial Corp. | 641 | 28,781 |
| Golden West Financial Corp. | 48 | 5,374 |
| Huntington Bancshares, Inc. | 73 | 1,620 |
| KeyCorp. | 133 | 4,028 |
| M&T Bank Corp. | 38 | 3,414 |
| Marshall & Ilsley Corp. | 72 | 2,722 |
| National City Corp. | 193 | 6,867 |
| North Fork Bancorp., Inc. | 48 | 2,031 |
| PNC Financial Services Group | 88 | 4,877 |
| Regions Financial Corp. | 71 | 2,593 |
| SouthTrust Corp. | 106 | 3,515 |
| SunTrust Banks, Inc. | 89 | 6,204 |
| Synovus Financial Corp. | 96 | 2,347 |
| Union Planters Corp. | 61 | 1,806 |
| US Bancorp. | 611 | 16,894 |
| Wachovia Corp. | 419 | 19,693 |
| Washington Mutual, Inc. | 284 | 12,130 |
| Wells Fargo & Co. | 535 | 30,318 |
| Zions Bancorp. | 28 | 1,602 |
240,563 | ||
| Capital Markets 0.5% | ||
| Bank of New York Co., Inc. | 245 | 7,717 |
| Bear Stearns Companies, Inc. | 63 | 5,524 |
| Charles Schwab Corp. | 429 | 4,981 |
| Federated Investors, Inc., "B" | 35 | 1,100 |
| Franklin Resources, Inc. | 79 | 4,399 |
| Goldman Sachs Group, Inc. | 175 | 18,261 |
| J.P. Morgan Chase & Co. | 313 | 13,130 |
| Janus Capital Group, Inc. | 76 | 1,245 |
| Lehman Brothers Holdings, Inc. | 117 | 9,696 |
| Mellon Financial Corp. | 136 | 4,255 |
| Merrill Lynch & Co., Inc. | 342 | 20,370 |
| Morgan Stanley | 343 | 19,654 |
| State Street Corp. | 106 | 5,526 |
| T. Rowe Price Group, Inc. | 40 | 2,153 |
118,011 | ||
| Consumer Finance 0.2% | ||
| American Express Co. | 408 | 21,155 |
| Capital One Finance Corp. | 73 | 5,506 |
| MBNA Corp. | 404 | 11,163 |
| Providian Financial Corp.* | 92 | 1,205 |
| SLM Corp. | 142 | 5,943 |
44,972 | ||
| Diversified Financial Services 0.6% | ||
| Citigroup, Inc. | 1,633 | 84,426 |
| Countrywide Financial Corp. | 58 | 5,562 |
| Fannie Mae | 307 | 22,826 |
| Freddie Mac | 220 | 12,993 |
| MGIC Investment Corp. | 31 | 1,991 |
| Moody's Corp. | 47 | 3,328 |
| Principal Financial Group, Inc. | 102 | 3,634 |
134,760 | ||
| Insurance 0.7% | ||
| ACE Ltd. | 88 | 3,754 |
| AFLAC, Inc. | 162 | 6,503 |
| Allstate Corp. | 223 | 10,138 |
| Ambac Financial Group, Inc. | 34 | 2,509 |
| American International Group, Inc. | 825 | 58,864 |
| Aon Corp. | 99 | 2,763 |
| Cincinnati Financial Corp. | 51 | 2,216 |
| Hartford Financial Services Group, Inc. | 86 | 5,478 |
| Jefferson-Pilot Corp. | 45 | 2,475 |
| John Hancock Financial Services, Inc. | 155 | 6,772 |
| Lincoln National Corp. | 57 | 2,697 |
| Marsh & McLennan Companies, Inc. | 167 | 7,732 |
| MBIA, Inc. | 46 | 2,884 |
| MetLife, Inc. | 241 | 8,599 |
| Progressive Corp. | 69 | 6,044 |
| Prudential Financial, Inc. | 171 | 7,657 |
| Safeco Corp. | 44 | 1,900 |
| Torchmark Corp. | 36 | 1,936 |
| Travelers Property Casualty Corp., "B" | 489 | 8,447 |
| XL Capital Ltd., "A" | 44 | 3,346 |
152,714 | ||
| Real Estate 0.1% | ||
| Equity Office Properties Trust, (REIT) | 127 | 3,669 |
| Equity Residential, (REIT) | 87 | 2,597 |
| Plum Creek Timber Co., Inc., (REIT) | 58 | 1,884 |
| ProLogis, (REIT) | 57 | 2,044 |
| Simon Property Group, Inc., (REIT) | 61 | 3,565 |
13,759 | ||
| Health Care 1.9% | ||
| Biotechnology 0.2% | ||
| Amgen, Inc.* | 408 | 23,733 |
| Biogen Idec, Inc.* | 104 | 5,783 |
| Chiron Corp.* | 59 | 2,597 |
| Genzyme Corp. (General Division)* | 127 | 5,974 |
| MedImmune, Inc.* | 78 | 1,800 |
39,887 | ||
| Health Care Equipment & Supplies 0.3% | ||
| Applera Corp. - Applied Biosystems Group | 66 | 1,306 |
| Bausch & Lomb, Inc. | 16 | 960 |
| Baxter International, Inc. | 194 | 5,993 |
| Becton, Dickinson and Co. | 80 | 3,878 |
| Biomet, Inc. | 81 | 3,107 |
| Boston Scientific Corp.* | 259 | 10,976 |
| C.R. Bard, Inc. | 44 | 4,296 |
| Guidant Corp. | 22 | 1,394 |
| Medtronic, Inc. | 384 | 18,336 |
| Millipore Corp.* | 15 | 771 |
| St. Jude Medical, Inc.* | 90 | 6,489 |
| Stryker Corp. | 63 | 5,577 |
| Zimmer Holdings, Inc.* | 76 | 5,607 |
68,690 | ||
| Health Care Providers & Services 0.3% | ||
| Aetna, Inc. | 48 | 4,307 |
| AmerisourceBergen Corp. | 36 | 1,969 |
| Anthem, Inc.* | 25 | 2,266 |
| Cardinal Health, Inc. | 137 | 9,439 |
| Caremark Rx, Inc.* | 141 | 4,688 |
| CIGNA Corp. | 44 | 2,597 |
| Express Scripts, Inc.* | 60 | 4,475 |
| HCA, Inc. | 157 | 6,377 |
| Health Management Associates, Inc., "A" | 76 | 1,764 |
| Humana, Inc.* | 51 | 970 |
| IMS Health, Inc. | 76 | 1,768 |
| Manor Care, Inc. | 28 | 988 |
| McKesson Corp. | 92 | 2,768 |
| Quest Diagnostics, Inc. | 33 | 2,733 |
| Tenet Healthcare Corp.* | 147 | 1,641 |
| UnitedHealth Group, Inc. | 239 | 15,401 |
| WellPoint Health Networks, Inc.* | 62 | 7,051 |
71,202 | ||
| Pharmaceuticals 1.1% | ||
| Abbott Laboratories | 495 | 20,344 |
| Allergan, Inc. | 41 | 3,451 |
| Bristol-Myers Squibb Co. | 614 | 14,877 |
| Eli Lilly & Co. | 355 | 23,749 |
| Forest Laboratories, Inc.* | 116 | 8,308 |
| Johnson & Johnson | 842 | 42,706 |
| King Pharmaceuticals, Inc.* | 76 | 1,280 |
| Merck & Co., Inc. | 704 | 31,110 |
| Pfizer, Inc. | 2,415 | 84,660 |
| Schering-Plough Corp. | 466 | 7,559 |
| Watson Pharmaceuticals, Inc.* | 34 | 1,455 |
| Wyeth | 245 | 9,200 |
248,699 | ||
| Industrials 1.7% | ||
| Aerospace & Defense 0.3% | ||
| Boeing Co. | 266 | 10,924 |
| General Dynamics Corp. | 63 | 5,628 |
| Goodrich Corp. | 38 | 1,067 |
| Honeywell International, Inc. | 273 | 9,241 |
| Lockheed Martin Corp. | 142 | 6,481 |
| Northrop Grumman Corp. | 58 | 5,708 |
| Raytheon Co. | 132 | 4,137 |
| United Technologies Corp. | 163 | 14,067 |
57,253 | ||
| Air Freight & Logistics 0.2% | ||
| FedEx Corp. | 94 | 7,065 |
| Ryder System, Inc. | 20 | 775 |
| United Parcel Service, Inc., "B" | 355 | 24,793 |
32,633 | ||
| Airlines 0.0% | ||
| Delta Air Lines, Inc. | 39 | 309 |
| Southwest Airlines Co. | 249 | 3,538 |
3,847 | ||
| Building Products 0.0% | ||
| American Standard Companies, Inc.* | 23 | 2,616 |
| Commercial Services & Supplies 0.2% | ||
| Allied Waste Industries, Inc.* | 102 | 1,358 |
| Apollo Group, Inc., "A"* | 56 | 4,822 |
| Avery Dennison Corp. | 36 | 2,240 |
| Cendant Corp. | 433 | 10,561 |
| Cintas Corp. | 54 | 2,348 |
| Deluxe Corp. | 16 | 642 |
| Equifax, Inc. | 44 | 1,136 |
| H&R Block, Inc. | 56 | 2,858 |
| Monster Worldwide, Inc.* | 36 | 943 |
| Pitney Bowes, Inc. | 74 | 3,153 |
| Robert Half International, Inc.* | 55 | 1,299 |
| Waste Management, Inc. | 185 | 5,583 |
36,943 | ||
| Construction & Engineering 0.0% | ||
| Fluor Corp. | 26 | 1,006 |
| Electrical Equipment 0.1% | ||
| American Power Conversion Corp. | 63 | 1,450 |
| Cooper Industries, Inc., "A" | 30 | 1,715 |
| Emerson Electric Co. | 133 | 7,969 |
| Power-One, Inc.* | 26 | 288 |
| Rockwell Automation, Inc. | 59 | 2,045 |
| Thomas & Betts Corp.* | 18 | 393 |
13,860 | ||
| Industrial Conglomerates 0.6% | ||
| 3M Co. | 249 | 20,386 |
| General Electric Co. | 3,177 | 96,962 |
| Textron, Inc. | 43 | 2,285 |
| Tyco International Ltd. | 632 | 18,107 |
137,740 | ||
| Machinery 0.2% | ||
| Caterpillar, Inc. | 110 | 8,698 |
| Crane Co. | 18 | 594 |
| Cummins, Inc. | 13 | 760 |
| Danaher Corp. | 49 | 4,575 |
| Deere & Co. | 76 | 5,267 |
| Dover Corp. | 65 | 2,520 |
| Eaton Corp. | 94 | 5,282 |
| Illinois Tool Works, Inc. | 98 | 7,764 |
| Ingersoll-Rand Co., "A" | 55 | 3,721 |
| ITT Industries, Inc. | 29 | 2,214 |
| Navistar International Corp.* | 22 | 1,009 |
| PACCAR, Inc. | 55 | 3,093 |
| Parker-Hannifin Corp. | 38 | 2,147 |
47,644 | ||
| Road & Rail 0.1% | ||
| Burlington Northern Santa Fe Corp. | 117 | 3,686 |
| CSX Corp. | 68 | 2,060 |
| Norfolk Southern Corp. | 123 | 2,717 |
| Union Pacific Corp. | 81 | 4,845 |
13,308 | ||
| Trading Companies & Distributors 0.0% | ||
| W.W. Grainger, Inc. | 29 | 1,392 |
| Information Technology 2.6% | ||
| Communications Equipment 0.5% | ||
| ADC Telecommunications, Inc.* | 255 | 740 |
| Andrew Corp.* | 49 | 857 |
| Avaya, Inc.* | 133 | 2,112 |
| CIENA Corp.* | 150 | 746 |
| Cisco Systems, Inc.* | 2,185 | 51,391 |
| Comverse Technologies, Inc.* | 61 | 1,107 |
| Corning, Inc.* | 421 | 4,707 |
| JDS Uniphase Corp.* | 454 | 1,848 |
| Lucent Technologies, Inc.* | 1,327 | 5,454 |
| Motorola, Inc. | 737 | 12,971 |
| QLogic Corp.* | 30 | 990 |
| QUALCOMM, Inc. | 253 | 16,804 |
| Scientific-Atlanta, Inc. | 48 | 1,552 |
| Tellabs, Inc.* | 286 | 2,468 |
103,747 | ||
| Computers & Peripherals 0.5% | ||
| Apple Computer, Inc.* | 115 | 3,111 |
| Dell, Inc.* | 810 | 27,232 |
| EMC Corp.* | 760 | 10,343 |
| Gateway, Inc.* | 119 | 628 |
| Hewlett-Packard Co. | 742 | 16,947 |
| International Business Machines Corp. | 545 | 50,053 |
| Lexmark International, Inc.* | 70 | 6,440 |
| NCR Corp.* | 30 | 1,322 |
| Network Appliance, Inc.* | 109 | 2,338 |
| Sun Microsystems, Inc.* | 1,035 | 4,306 |
122,720 | ||
| Electronic Equipment & Instruments 0.1% | ||
| Agilent Technologies, Inc.* | 150 | 4,744 |
| Jabil Circuit, Inc.* | 157 | 4,621 |
| Molex, Inc. | 60 | 1,823 |
| PerkinElmer, Inc. | 40 | 828 |
| Sanmina-SCI Corp.* | 164 | 1,806 |
| Solectron Corp.* | 264 | 1,460 |
| Tektronix, Inc. | 26 | 850 |
| Thermo Electron Corp.* | 51 | 1,442 |
| Waters Corp.* | 39 | 1,593 |
19,167 | ||
| Internet Software & Services 0.0% | ||
| Yahoo!, Inc.* | 208 | 10,107 |
| IT Consulting & Services 0.2% | ||
| Automatic Data Processing, Inc. | 189 | 7,938 |
| Computer Sciences Corp.* | 123 | 4,961 |
| Convergys Corp.* | 46 | 699 |
| Electronic Data Systems Corp. | 152 | 2,941 |
| First Data Corp. | 284 | 11,974 |
| Fiserv, Inc.* | 61 | 2,182 |
| Paychex, Inc. | 119 | 4,237 |
| SunGard Data Systems, Inc.* | 91 | 2,493 |
| Unisys Corp.* | 105 | 1,499 |
38,924 | ||
| Office Electronics 0.0% | ||
| Xerox Corp.* | 251 | 3,657 |
| Semiconductors & Semiconductor Equipment 0.6% | ||
| Advanced Micro Devices, Inc.* | 282 | 4,577 |
| Altera Corp.* | 121 | 2,475 |
| Analog Devices, Inc. | 116 | 5,569 |
| Applied Materials, Inc.* | 650 | 13,897 |
| Applied Micro Circuits Corp.* | 98 | 564 |
| Broadcom Corp., "A"* | 162 | 6,346 |
| Intel Corp. | 2,067 | 56,223 |
| KLA-Tencor Corp.* | 61 | 3,071 |
| Linear Technology Corp. | 99 | 3,665 |
| LSI Logic Corp.* | 121 | 1,130 |
| Maxim Integrated Products, Inc. | 104 | 4,897 |
| Micron Technology, Inc.* | 193 | 3,225 |
| National Semiconductor Corp.* | 59 | 2,621 |
| Novellus Systems, Inc.* | 48 | 1,526 |
| NVIDIA Corp.* | 51 | 1,351 |
| PMC-Sierra, Inc.* | 55 | 933 |
| Teradyne, Inc.* | 175 | 4,170 |
| Texas Instruments, Inc. | 547 | 15,983 |
| Xilinx, Inc.* | 108 | 4,104 |
136,327 | ||
| Software 0.7% | ||
| Adobe Systems, Inc. | 75 | 2,957 |
| Autodesk, Inc. | 128 | 4,047 |
| BMC Software, Inc.* | 210 | 4,106 |
| Citrix Systems, Inc.* | 52 | 1,124 |
| Computer Associates International, Inc. | 183 | 4,915 |
| Compuware Corp.* | 121 | 902 |
| Electronic Arts, Inc.* | 94 | 5,072 |
| Intuit, Inc.* | 63 | 2,828 |
| Mercury Interactive Corp.* | 28 | 1,254 |
| Microsoft Corp. | 3,422 | 85,447 |
| Novell, Inc.* | 118 | 1,343 |
| Oracle Corp.* | 1,654 | 19,865 |
| Parametric Technology Corp.* | 84 | 380 |
| PeopleSoft, Inc.* | 119 | 2,200 |
| Siebel Systems, Inc.* | 157 | 1,807 |
| Symantec Corp.* | 158 | 7,315 |
| VERITAS Software Corp.* | 135 | 3,633 |
149,195 | ||
| Materials 0.3% | ||
| Chemicals 0.2% | ||
| Air Products & Chemicals, Inc. | 72 | 3,609 |
| Dow Chemical Co. | 291 | 11,722 |
| E.I. du Pont de Nemours & Co. | 315 | 13,299 |
| Eastman Chemical Co. | 24 | 1,024 |
| Ecolab, Inc. | 82 | 2,339 |
| Engelhard Corp. | 40 | 1,196 |
| Hercules, Inc.* | 35 | 402 |
| International Flavors & Fragrances, Inc. | 30 | 1,065 |
| Monsanto Co. | 158 | 5,794 |
| Praxair, Inc. | 103 | 3,823 |
| Rohm & Haas Co. | 71 | 2,829 |
| Sigma-Aldrich Corp. | 22 | 1,217 |
48,319 | ||
| Construction Materials 0.0% | ||
| Vulcan Materials Co. | 32 | 1,518 |
| Containers & Packaging 0.0% | ||
| Ball Corp. | 58 | 3,931 |
| Bemis Co., Inc. | 34 | 884 |
| Pactiv Corp.* | 49 | 1,090 |
| Sealed Air Corp.* | 27 | 1,343 |
| Temple-Inland, Inc. | 17 | 1,077 |
8,325 | ||
| Metals & Mining 0.1% | ||
| Alcoa, Inc. | 274 | 9,505 |
| Allegheny Technologies, Inc. | 26 | 315 |
| Newmont Mining Corp. | 137 | 6,388 |
| Nucor Corp. | 70 | 4,304 |
| Phelps Dodge Corp.* | 28 | 2,286 |
| Worthington Industries, Inc. | 28 | 537 |
23,335 | ||
| Paper & Forest Products 0.0% | ||
| Georgia-Pacific Corp. | 80 | 2,695 |
| International Paper Co. | 152 | 6,424 |
| Louisiana-Pacific Corp. | 34 | 877 |
9,996 | ||
| Telecommunication Services 0.5% | ||
| Diversified Telecommunication Services 0.4% | ||
| ALLTEL Corp. | 99 | 4,939 |
| AT&T Corp. | 251 | 4,912 |
| BellSouth Corp. | 586 | 16,226 |
| Citizens Communications Co.* | 90 | 1,165 |
| Qwest Communications International, Inc.* | 559 | 2,409 |
| SBC Communications, Inc. | 1,048 | 25,718 |
| Sprint Corp., (FON Group) | 287 | 5,290 |
| Verizon Communications, Inc. | 874 | 31,936 |
92,595 | ||
| Wireless Telecommunication Services 0.1% | ||
| AT&T Wireless Services, Inc.* | 859 | 11,691 |
| Nextel Communications, Inc., "A"* | 348 | 8,606 |
| Sprint Corp., (PCS Group)* | 328 | 3,017 |
23,314 | ||
| Utilities 0.4% | ||
| Electric Utilities 0.3% | ||
| Allegheny Energy, Inc.* | 40 | 548 |
| Ameren Corp. | 57 | 2,627 |
| American Electric Power Co. | 125 | 4,115 |
| CenterPoint Energy, Inc. | 97 | 1,109 |
| CINergy Corp. | 57 | 2,331 |
| CMS Energy Corp. | 51 | 456 |
| Consolidated Edison, Inc. | 71 | 3,131 |
| Dominion Resources, Inc. | 103 | 6,623 |
| DTE Energy Co. | 53 | 2,181 |
| Edison International | 103 | 2,502 |
| Entergy Corp. | 73 | 4,344 |
| Exelon Corp. | 104 | 7,162 |
| FirstEnergy Corp. | 104 | 4,064 |
| FPL Group, Inc. | 58 | 3,877 |
| PG&E Corp.* | 131 | 3,795 |
| Pinnacle West Capital Corp. | 29 | 1,141 |
| PPL Corp. | 56 | 2,554 |
| Progress Energy, Inc. | 78 | 3,672 |
| Southern Co. | 231 | 7,046 |
| TECO Energy, Inc. | 60 | 878 |
| TXU Corp. | 103 | 2,952 |
| Xcel Energy, Inc. | 126 | 2,244 |
69,352 | ||
| Gas Utilities 0.0% | ||
| KeySpan Corp. | 50 | 1,911 |
| Kinder Morgan, Inc. | 39 | 2,458 |
| NICOR, Inc. | 14 | 493 |
| NiSource, Inc. | 83 | 1,763 |
| Peoples Energy Corp. | 12 | 536 |
| Sempra Energy | 71 | 2,258 |
9,419 | ||
| Multi-Utilities & Unregulated Power 0.1% | ||
| AES Corp.* | 198 | 1,689 |
| Calpine Corp.* | 131 | 612 |
| Constellation Energy Group, Inc. | 53 | 2,117 |
| Duke Energy Corp. | 287 | 6,486 |
| Dynegy, Inc., "A"* | 119 | 471 |
| El Paso Corp. | 193 | 1,372 |
| Public Service Enterprise Group, Inc. | 75 | 3,524 |
| Williams Companies, Inc. | 164 | 1,570 |
17,841 | ||
| Total Common Stocks (Cost $2,825,516) | 3,313,008 | |
Other 0.2% | ||
| Standard & Poor's 500 Depository Receipt Trust, SPDRs (Cost $42,442) | 379 | 42,888 |
Preferred Stock 0.6% | ||
| Industrials 0.6% | ||
| Aerospace & Defense | ||
| Raytheon Co., "A"* (Cost $139,139) | 2,600 | 140,319 |
| # | Principal Amount ($) | Value ($) |
Corporate Bonds 11.5% | ||
| Consumer Discretionary 0.5% | ||
| General Motors Corp., 8.375%, 7/15/2033 | 10,000 | 11,343 |
| Time Warner, Inc.: | ||
7.57%, 2/1/2024 | 45,000 | 51,821 |
8.11%, 8/15/2006 | 35,000 | 39,483 |
102,647 | ||
| Energy 1.4% | ||
| Duke Capital Corp., 4.302%, 5/18/2006 | 62,000 | 63,580 |
| FirstEnergy Corp., Series B, 6.45%, 11/15/2011 | 85,000 | 93,061 |
| Halliburton Co., 144A, 5.5%, 10/15/2010, | 90,000 | 95,322 |
| Pioneer Natural Resources Co., 6.5%, 1/15/2008 | 55,000 | 61,257 |
313,220 | ||
| Financials 5.3% | ||
| 21st Century Insurance Group, 144A, 5.9%, 12/15/2013 | 95,000 | 101,208 |
| American General Finance Corp., 4.625%, 9/1/2010 | 110,000 | 114,610 |
| American International Group, Inc., 144A, 4.25%, 5/15/2013 | 105,000 | 103,199 |
| Ford Motor Credit Co.: | ||
5.8%, 1/12/2009 | 75,000 | 77,323 |
6.875%, 2/1/2006 | 57,000 | 60,627 |
| General Motors Acceptance Corp.: | ||
6.75%, 1/15/2006 | 30,000 | 32,064 |
7.75%, 1/19/2010 | 100,000 | 113,366 |
| General Motors Nova Finance, 6.85%, 10/15/2008 | 35,000 | 38,214 |
| Goldman Sachs Capital I, 6.345%, 2/15/2034 | 35,000 | 35,986 |
| Goldman Sachs Group, Inc., 5.15%, 1/15/2014 | 65,000 | 66,748 |
| OneAmerica Financial Partners, 144A, 7.0%, 10/15/2033 | 45,000 | 47,752 |
| Pemex Project Funding Master Trust, 8.5%, 2/15/2008 | 100,000 | 116,600 |
| RBS Capital Trust II, 6.425%, 12/29/2049 | 100,000 | 106,237 |
| Verizon Global Funding Corp.: | ||
7.25%, 12/1/2010 | 115,000 | 135,502 |
7.75%, 12/1/2030 | 20,000 | 24,296 |
1,173,732 | ||
| Health Care 0.6% | ||
| Health Care Service Corp., 144A, 7.75%, 6/15/2011 | 115,000 | 138,125 |
| Industrials 0.3% | ||
| BAE System 2001 Asset Trust, "B", Series B 2001, 144A, 7.156%, 12/15/2011 | 36,709 | 40,909 |
| Systems 2001 Asset Trust LLC, "G", Series 2001, 144A, 6.664%, 9/15/2013 | 26,641 | 29,924 |
70,833 | ||
| Materials 0.4% | ||
| International Paper Co., 4.0%, 4/1/2010 | 100,000 | 99,731 |
| Telecommunication Services 0.1% | ||
| Bell Atlantic New Jersey, Inc., 7.85%, 11/15/2029 | 15,000 | 18,432 |
| Utilities 2.9% | ||
| Appalachian Power Co., 5.95%, 5/15/2033 | 60,000 | 60,068 |
| Consumers Energy Co., 6.25%, 9/15/2006 | 135,000 | 146,297 |
| Metropolitan Edison Co., 144A, 4.875%, 4/1/2014 | 35,000 | 34,825 |
| Old Dominion Electric, 6.25%, 6/1/2011 | 185,000 | 209,187 |
| Pacific Gas & Electric Co., 6.05%, 3/1/2034 | 90,000 | 91,030 |
| Potomac Edison Co., 8.0%, 6/1/2024 | 75,000 | 75,000 |
| Xcel Energy, Inc., 7.0%, 12/1/2010 | 30,000 | 35,030 |
651,437 | ||
| Total Corporate Bonds (Cost $2,428,730) | 2,568,157 | |
Asset Backed 4.8% | ||
| Automobile Receivables 1.7% | ||
| MMCA Automobile Trust: | ||
"A4", Series 2002-2, 4.3%, 3/15/2010 | 120,000 | 121,913 |
"B", Series 2002-1, 5.37%, 1/15/2010 | 118,450 | 119,631 |
| Ryder Vehicle Lease Trust, "A4", Series 2001-A, 5.81%, 8/15/2006 | 137,055 | 139,296 |
380,840 | ||
| Home Equity Loans 1.6% | ||
| Argent NIM Trust, "A", Series 2004-WN2, 144A, 4.55%, 4/25/2034 | 64,000 | 63,996 |
| Conseco Finance, "AF6", Series 2000-B, 7.8%, 5/15/2020 | 261,224 | 277,303 |
| Residential Asset Securities Corp., "A2B2", Series 2004-KS2, 1.33%**, 3/25/2034 | 20,000 | 20,000 |
361,299 | ||
| Manufactured Housing Receivables 1.5% | ||
| Greenpoint Manufactured Housing, "A3", Series 1999-5, 7.33%, 8/15/2020 | 316,173 | 324,549 |
| Total Asset Backed (Cost $1,034,392) | 1,066,688 | |
Foreign Bonds - US$ Denominated 5.5% | ||
| Alcan, Inc., 6.125%, 12/15/2033 | 18,000 | 18,980 |
| Autopista Del Maipo, 144A, 7.373%, 6/15/2022 | 185,000 | 222,190 |
| Deutsche Telekom International Finance BV, 8.25%, 6/15/2030 | 39,000 | 51,130 |
| HSBC Capital Funding LP, 144A, 4.61%**, 12/29/2049 | 30,000 | 29,077 |
| Inversiones CMPC SA, 144A, 4.875%, 6/18/2013 | 70,000 | 69,458 |
| PacifiCorp Australia LLC, 144A, 6.15%, 1/15/2008 | 85,000 | 93,276 |
| Petroleos Mexicanos, 9.5%, 9/15/2027 | 20,000 | 24,900 |
| PF Export Receivable Master Trust, 144A, 6.6%, 12/1/2011 | 200,000 | 224,142 |
| QBE Insurance Group Ltd., 144A, 5.647%**, 7/1/2023 | 55,000 | 55,222 |
| Ram Holdings Ltd., 144A, 6.876%, 4/1/2024 | 80,000 | 79,120 |
| Royal Bank of Scotland Group PLC, 8.817%, 3/31/2049 | 75,000 | 80,085 |
| Tyco International Group SA: | ||
144A, 6.0%, 11/15/2013 | 43,000 | 45,340 |
6.375%, 2/15/2006 | 60,000 | 63,882 |
6.75%, 2/15/2011 | 46,000 | 51,225 |
| United Mexican States, 7.5%, 4/8/2033 | 6,000 | 6,540 |
| WMC Finance USA, 5.125%, 5/15/2013 | 105,000 | 107,653 |
| Total Foreign Bonds - US$ Denominated (Cost $1,142,106) | 1,222,220 | |
US Government Agency Sponsored Pass-Thrus 6.7% | ||
| Federal Home Loan Mortgage Corp.: | ||
5.0%, 12/31/2034 (g) | 110,000 | 110,624 |
6.0%, 12/1/2033 | 132,732 | 137,996 |
| Federal National Mortgage Association: | ||
4.5% with various maturities from 11/1/2018 until 12/1/2034 (g) | 92,703 | 92,809 |
4.96%, 1/1/2015 | 89,823 | 94,679 |
5.0% with various maturities from 7/1/2023 until 12/1/2033 (g) | 334,960 | 343,610 |
5.5% with various maturities from 2/1/2018 until 4/1/2034 | 452,594 | 465,053 |
6.0% with various maturities from 3/1/2015 until 12/1/2033 | 127,219 | 133,372 |
6.5% with various maturities from 11/1/2033 until 11/1/2033 | 112,034 | 117,706 |
| Total US Government Agency Sponsored Pass-Thrus (Cost $1,482,472) | 1,495,849 | |
Collateralized Mortgage Obligations 14.4% | ||
| Bank of America Alternative Loan Trust, "2A1", Series 2004-4, 6.0%, 5/25/2034 | 59,000 | 61,268 |
| Countrywide Alternative Loan Trust: | ||
"2A1", Series 2004-J3, 6.0%, 4/25/2034 | 60,000 | 62,306 |
"7A1", Series 2004-J2, 6.0%, 12/25/2033 | 55,000 | 56,496 |
| Fannie Mae Whole Loan, "5A", Series 2004-W2, 7.5%, 3/25/2044 | 115,000 | 126,985 |
| Federal Home Loan Mortgage Corp.: | ||
"AU", Series 2759, 3.5%, 5/15/2019 | 61,000 | 62,282 |
"PA", Series 2786, 3.5%, 10/15/2010 | 60,000 | 61,277 |
"QA", Series 2649, 3.5%, 3/15/2010 | 105,000 | 107,202 |
"PT", Series 2724, 3.75%, 5/15/2016 | 61,000 | 62,867 |
"TG", Series 2690, 4.5%, 4/15/2032 | 60,000 | 58,477 |
"BG", Series 2640, 5.0%, 2/15/2032 | 45,000 | 45,429 |
"BM", Series 2497, 5.0%, 2/15/2022 | 33,745 | 34,560 |
"CA", Series 2526, 5.0%, 6/15/2016 | 35,014 | 36,089 |
"DG", Series 2662, 5.0%, 10/15/2022 | 120,000 | 123,285 |
"PC", Series 2520, 5.0%, 2/15/2020 | 61,000 | 61,819 |
"PE", Series 2378, 5.5%, 11/15/2016 | 30,000 | 31,916 |
"PE", Series 2512, 5.5%, 2/15/2022 | 110,000 | 116,102 |
"PL", Series 2459, 5.5%, 6/15/2030 | 579 | 579 |
"AE", Series 2293, 6.0%, 1/15/2029 | 7,927 | 7,962 |
"PE", Series 2405, 6.0%, 1/15/2017 | 80,000 | 85,705 |
"QE", Series 2113, 6.0%, 11/15/2027 | 65,838 | 67,382 |
"PR", Series 2198, 7.0%, 12/15/2028 | 7,001 | 7,059 |
"A5", Series T-42, 7.5%, 2/25/2042 | 26,943 | 29,646 |
| Federal National Mortgage Association: | ||
"NA", Series 2003-128, 4.0%, 8/25/2009 | 123,000 | 126,434 |
"TU", Series 2003-122, 4.0%, 5/25/2016 | 80,000 | 82,685 |
"2A3", Series 2003-W3, 4.16%, 6/25/2042 | 50,000 | 50,832 |
"JT", Series 2003-6, 4.5%, 6/25/2016 | 110,249 | 110,775 |
"A2", Series 2002-W10, 4.7%, 8/25/2042 | 20,554 | 21,010 |
"A2", Series 2002-W9, 4.7%, 8/25/2042 | 16,872 | 16,955 |
"2A3", Series 2003-W15, 4.71%, 8/25/2043 | 70,000 | 72,747 |
"1A3", Series 2003-W18, 4.732%, 8/25/2033 | 60,000 | 62,494 |
"KH", Series 2003-92, 5.0%, 3/25/2032 | 60,000 | 60,212 |
"UH", Series 2001-76, 5.0%, 5/25/2012 | 76,479 | 76,811 |
"MC", Series 2002-56, 5.5%, 9/25/2017 | 60,000 | 62,985 |
"PB", Series 2002-47, 5.5%, 9/25/2012 | 13,052 | 13,046 |
"PM", Series 2001-60, 6.0%, 3/25/2030 | 59,488 | 60,813 |
"VD", Series 2002-56, 6.0%, 4/25/2020 | 20,279 | 20,833 |
"A2", Series 1998-M1, 6.25%, 1/25/2008 | 92,022 | 100,803 |
"1A2", Series 2003-W3, 7.0%, 8/25/2042 | 45,479 | 49,466 |
"2A", Series 2003-W8, 7.0%, 10/25/2042 | 37,202 | 40,531 |
| Federal National Mortgage Association Grantor Trust: | ||
"A2", Series 2002-T16, 7.0%, 7/25/2042 | 90,054 | 97,905 |
"A2", Series 2002-T19, 7.0%, 7/25/2042 | 96,159 | 104,542 |
| FHLMC Structured Pass Through Securities, "A2B", Series T-56, 4.29%, 7/25/2036 | 90,000 | 92,553 |
| Government National Mortgage Association, "PA", Series 2003-89, 5.5%, 12/20/2023 | 107,528 | 111,856 |
| GSMPS Mortgage Loan Trust, "A", Series 1998-3, 7.75%, 9/19/2027 | 42,389 | 46,168 |
| Master Alternative Loan Trust, "8A1", Series 2004-3, 7.0%, 4/25/2034 | 65,000 | 68,534 |
| Master Asset Securitization Trust, "8A1", Series 2003-6, 5.5%, 7/25/2033 | 78,630 | 80,953 |
| Residential Asset Securitization Trust, "A3", Series 2002-A13, 5.0%, 12/25/2017 | 42,657 | 43,164 |
| Residential Funding Mortgage Security I, "A1", Series 2003-S2, 5.0%, 2/25/2033 | 43,703 | 44,103 |
| Washington Mutual Mortgage Securities Corp.: | ||
"4A1", Series 2002-S7, 4.5%, 11/25/2032 | 45,584 | 45,845 |
"1A7", Series 2003-MS8, 5.5%, 5/25/2033 | 64,174 | 64,968 |
| Wells Fargo Mortgage Backed Securities Trust, "1A1", Series 2003-6, 5.0%, 6/25/2018 | 71,264 | 72,931 |
| Total Collateralized Mortgage Obligations (Cost $3,175,483) | 3,209,647 | |
Municipal Investments 2.7% | ||
| Atlantic City, NJ, Core City GO, Series B, 4.5%, 8/1/2008 (f) | 80,000 | 84,956 |
| Illinois, State GO, 4.95%, 6/1/2023 | 80,000 | 77,806 |
| Jicarilla, NM, Sales & Special Tax Revenue, Apache Nation Revenue, 5.2%, 12/1/2013 | 50,000 | 51,677 |
| Virginia, Multi-Family Housing Revenue, Housing Development Authority, Series A, 6.51%, 5/1/2019 (f) | 290,000 | 307,548 |
| Wisconsin, State (REV) Lease, Series A, 5.7%, 5/1/2026 (f) | 85,000 | 89,850 |
| Total Municipal Investments (Cost $544,396) | 611,837 | |
Government National Mortgage Association 0.6% | ||
| Government National Mortgage Association, 6.0% with various maturities from 10/15/2033 until 3/20/2034 (Cost $140,965) | 135,166 | 141,072 |
US Government Backed 7.4% | ||
| US Treasury Bond, 6.0%, 2/15/2026 | 464,000 | 537,950 |
| US Treasury Note: | ||
1.625%, 4/30/2005 | 80,000 | 80,384 |
5.0%, 8/15/2011 | 375,000 | 413,218 |
6.125%, 8/15/2007 (d) | 552,000 | 622,984 |
| Total US Government Backed (Cost $1,652,996) | 1,654,536 | |
Short-Term Investments 14.1% | ||
| US Treasury Bills: | ||
0.90%***, 4/22/2004 (h) | 150,000 | 149,924 |
0.91%***, 6/10/2004 | 3,000,000 | 2,994,546 |
| Total Short-Term Investments (Cost $3,144,470) | 3,144,470 | |
Shares | Value ($) | |
Cash Equivalents 18.7% | ||
| Scudder Cash Management QP Trust, 1.10% (b) | 3,780,614 | 3,780,614 |
| Daily Assets Fund Institutional, 1.06% (c) (e) | 388,181 | 388,181 |
| Total Cash Equivalents (Cost $4,168,795) | 4,168,795 | |
% of Net Assets | Value ($) | |
| Total Investment Portfolio (Cost $21,921,902) (a) | 102.0 | 22,779,486 |
| Other Assets and Liabilities, Net | (2.0) | (451,243) |
| Net Assets | 100.0 | 22,328,243 |
* Non-income producing security.
** Floating rate notes are securities whose yields vary with a designated market index or market rate, such as the coupon-equivalent of the US Treasury bill rate. These securities are shown at their current rate as of March 31, 2004.
*** Annualized yield at time of purchase; not a coupon rate.
(a) The cost for federal income tax purposes was $22,300,023. At March 31, 2004, net unrealized appreciation for all securities based on tax cost was $479,463. This consisted of aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost of $893,411 and aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value of $413,948.
(b) Scudder Cash Management QP Trust is managed by Deutsche Investment Management Americas Inc., an affiliate of the Advisor. The rate shown is the annualized seven-day yield at period end.
(c) Daily Assets Fund Institutional, an affiliated fund, is also managed by Deutsche Asset Management, Inc. The rate shown is the annualized seven day yield at period end.
(d) All or a portion of these securities were on loan (see Notes to Financial Statements). The value of all securities loaned at March 31, 2004 amounted to $379,831, which is 1.7% of total net assets.
(e) Represents collateral held in connection with securities lending.
(f) Bond is insured by one of these companies:
As a % of Total Investment Portfolio | ||
| AMBAC | AMBAC Assurance Corp. | .4% |
| MBIA | Municipal Bond Investors Assurance | 1.7% |
(g) Mortgage dollar rolls included.
(h) At March 31, 2004, this security has been pledged to cover in whole or in part, initial requirements for open futures contracts.
Included in the portfolio are investments in mortgage or asset-backed securities which are interests in separate pools of mortgages or assets. Effective maturities of these investments may be shorter than stated maturities due to prepayments. Some separate investments in the Federal National Mortgage Association issues which have similar coupon rates have been aggregated for presentation purposes in the investment portfolio.
144A: Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
GO: General Obligation
At March 31, 2004, open futures contracts purchased were as follows:Futures | Expiration Date | Contracts | Aggregate Face Value ($) | Value ($) | Unrealized Appreciation/ (Depreciation) ($) |
| 10 Year Australian Treasury Bond | 6/15/2004 | 6 | 438,470 | 432,853 | (5,617) |
| 10 Year Canadian Government Bond | 6/21/2004 | 13 | 1,097,225 | 1,105,284 | 8,059 |
| 10 Year Germany Fed Rep Bonds | 6/8/2004 | 8 | 1,124,360 | 1,141,107 | 16,747 |
| EOE Dutch Stock Index Futures | 4/16/2004 | 4 | 339,627 | 333,081 | (6,546) |
| FTSE 100 Index | 6/18/2004 | 2 | 163,576 | 161,621 | (1,955) |
| S&P 500 Index | 6/17/2004 | 1 | 277,458 | 281,225 | 3,758 |
| S&P Canada 60 Index | 6/17/2004 | 1 | 71,445 | 72,376 | 931 |
| S&P Mini 500 Index | 6/18/2004 | 2 | 112,190 | 112,500 | 310 |
| Topix Index | 6/10/2004 | 2 | 216,694 | 226,751 | 10,057 |
| Total net unrealized appreciation | 25,744 | ||||
At March 31, 2004, open futures contracts sold short were as follows:
Futures | Expiration Date | Contracts | Aggregate Face Value ($) | Value ($) | Unrealized Appreciation/ (Depreciation) ($) |
| 10 Year US Treasury Note | 6/21/2004 | 7 | 794,249 | 807,844 | (13,595) |
The accompanying notes are an integral part of the financial statements.
Statements of Assets and Liabilities as of March 31, 2004 | |||
| Assets | Asset Management Portfolio | Asset Management Portfolio II | Asset Management Portfolio III |
| Investments: Investments in securities, at value(a) | $ 690,407,799 | $ 61,806,485 | $ 18,610,691 |
| Investments in Daily Assets Fund Institutional(b) | 11,443,815 | 240,775 | 388,181 |
| Investments in Scudder Cash Management QP Trust(c) | 60,814,726 | 9,265,774 | 3,780,614 |
| Total investments in securities, at value | 762,666,340 | 71,313,034 | 22,779,486 |
| Cash | 31,879 | - | 76,026 |
| Foreign currency, at value(d) | 24,351,831 | 2,293,788 | 714,102 |
| Receivable for investments sold | 10,060,178 | 1,599,741 | 354,556 |
| Dividends receivable | 570,181 | 33,253 | 4,514 |
| Interest receivable | 2,139,726 | 260,821 | 78,853 |
| Net receivable on closed forward foreign currency exchange contracts | 1,440,166 | 132,240 | 30,870 |
| Unrealized appreciation on forward foreign currency exchange contracts | 281,584 | 29,224 | 13,173 |
| Due from Advisor | - | - | 19,421 |
| Other assets | 13,810 | 1,212 | 348 |
| Total assets | 801,555,695 | 75,663,313 | 24,071,349 |
| Liabilities | |||
| Due to custodian bank | - | 155,348 | - |
| Payable upon return of securities loaned | 11,443,815 | 240,775 | 388,181 |
| Payable for investments purchased | 10,117,152 | 1,815,179 | 786,266 |
| Payable for investments purchased - mortgage dollar rolls | 8,299,829 | 1,076,395 | 488,349 |
| Payable for daily variation margin on open futures contracts | 224,922 | 35,422 | 8,300 |
| Deferred mortgage dollar roll income | 12,376 | 1,679 | 647 |
| Unrealized depreciation on forward foreign currency exchange contracts | 527,486 | 62,812 | 20,800 |
| Accrued investment advisory fee | 104,619 | 27,323 | - |
| Other accrued expenses and payables | 108,186 | 50,520 | 50,563 |
| Total liabilities | 30,838,385 | 3,465,453 | 1,743,106 |
| Net assets, at value | $ 770,717,310 | $ 72,197,860 | $ 22,328,243 |
a Cost of $625,746,283, $57,789,474 and $17,753,107, respectively.
b Cost of $11,443,815, $240,775 and $388,181, respectively. Represents collateral on securities loaned.
c Cost of $60,814,726, $9,265,774 and $3,780,614, respectively.
d Foreign cash has a cost basis of $23,859,771, $2,274,164 and $700,367, respectively.
The accompanying notes are an integral part of the financial statements.
Statements of Operations for the year ended March 31, 2004 | |||
| Investment Income | Asset Management Portfolio | Asset Management Portfolio II | Asset Management Portfolio III |
| Dividends(a) | $ 6,222,391 | $ 314,109 | $ 30,537 |
| Interest | 11,905,234 | 1,521,112 | 590,169 |
| Interest - Scudder Cash Management QP Trust | 141,290 | 18,388 | 6,930 |
| Interest - Cash Management Fund Institutional | 483,090 | 67,175 | 22,664 |
| Securities lending income | 3,532 | 341 | 178 |
| Total income | 18,755,537 | 1,921,125 | 650,478 |
| Expenses: Investment advisory fees | 4,457,861 | 406,256 | 130,340 |
| Administrator service fees | 716,028 | 64,097 | 20,709 |
| Legal | 14,246 | 16,690 | 21,718 |
| Auditing | 44,528 | 48,204 | 53,511 |
| Trustees' fees and expenses | 18,104 | 2,263 | 2,464 |
| Other | 29,532 | 179 | 6,549 |
| Total expenses, before expense reductions | 5,280,299 | 537,689 | 235,291 |
| Expense reductions | (1,340,309) | (152,742) | (111,007) |
| Total expenses, after expense reductions | 3,939,990 | 384,947 | 124,284 |
| Net investment income (loss) | 14,815,547 | 1,536,178 | 526,194 |
| Realized and Unrealized Gain (Loss) on Investment Transactions | |||
| Net realized gain (loss) from: Investments | 14,124,847 | 1,398,527 | 425,201 |
| Futures | 91,117 | 99,497 | (43,653) |
| Foreign currency related transactions | 20,534,274 | 1,746,098 | 451,638 |
| 34,750,238 | 3,244,122 | 833,186 | |
| Net unrealized appreciation (depreciation) during the period on: Investments | 96,562,613 | 5,171,696 | 642,865 |
| Futures | 40,217 | (1,442) | 3,229 |
| Foreign currency related transactions | (58,342) | (63,456) | (2,070) |
| 96,544,488 | 5,106,798 | 644,024 | |
| Net gain (loss) on investment transactions | 131,294,726 | 8,350,920 | 1,477,210 |
| Net increase (decrease) in net assets resulting from operations | $ 146,110,273 | $ 9,887,098 | $ 2,003,404 |
a Net of foreign taxes withheld of $407, $41 and none, respectively.
The accompanying notes are an integral part of the financial statements.
Statement of Changes in Net Assets - Asset Management Portfolio | ||
Years Ended March 31, | ||
| Increase (Decrease) in Net Assets | 2004 | 2003 |
| Operations: Net investment income (loss) | $ 14,815,547 | $ 12,813,218 |
| Net realized gain (loss) on investment transactions | 34,750,238 | (61,629,120) |
| Net unrealized appreciation (depreciation) on investment transactions during the period | 96,544,488 | (15,507,801) |
| Net increase (decrease) in net assets resulting from operations | 146,110,273 | (64,323,703) |
| Capital transaction in shares of beneficial interest: Proceeds from capital invested | 170,997,531 | 315,981,347 |
| Value of capital withdrawn | (143,364,661) | (235,697,310) |
| Net increase (decrease) in net assets from capital transactions in shares of beneficial interest | 27,632,870 | 80,284,037 |
| Increase (decrease) in net assets | 173,743,143 | 15,960,334 |
| Net assets at beginning of period | 596,974,167 | 581,013,833 |
| Net assets at end of period | $ 770,717,310 | $ 596,974,167 |
Statement of Changes in Net Assets - Asset Management Portfolio II | ||
Years Ended March 31, | ||
| Increase (Decrease) in Net Assets | 2004 | 2003 |
| Operations: Net investment income (loss) | $ 1,536,178 | $ 1,774,220 |
| Net realized gain (loss) on investment transactions | 3,244,122 | (4,903,420) |
| Net unrealized appreciation (depreciation) on investment transactions during the period | 5,106,798 | (376,706) |
| Net increase (decrease) in net assets resulting from operations | 9,887,098 | (3,505,906) |
| Capital transaction in shares of beneficial interest: Proceeds from capital invested | 22,157,301 | 12,796,947 |
| Value of capital withdrawn | (11,830,884) | (33,360,391) |
| Net increase (decrease) in net assets from capital transactions in shares of beneficial interest | 10,326,417 | (20,563,444) |
| Increase (decrease) in net assets | 20,213,515 | (24,069,350) |
| Net assets at beginning of period | 51,984,345 | 76,053,695 |
| Net assets at end of period | $ 72,197,860 | $ 51,984,345 |
Statement of Changes in Net Assets - Asset Management Portfolio III | ||
Years Ended March 31, | ||
| Increase (Decrease) in Net Assets | 2004 | 2003 |
| Operations: Net investment income (loss) | $ 526,194 | $ 697,610 |
| Net realized gain (loss) on investment transactions | 833,186 | (635,303) |
| Net unrealized appreciation (depreciation) on investment transactions during the period | 644,024 | 202,196 |
| Net increase (decrease) in net assets resulting from operations | 2,003,404 | 264,503 |
| Capital transaction in shares of beneficial interest: Proceeds from capital invested | 10,611,773 | 13,173,115 |
| Value of capital withdrawn | (7,156,005) | (23,440,500) |
| Net increase (decrease) in net assets from capital transactions in shares of beneficial interest | 3,455,768 | (10,267,385) |
| Increase (decrease) in net assets | 5,459,172 | (10,002,882) |
| Net assets at beginning of period | 16,869,071 | 26,871,953 |
| Net assets at end of period | $ 22,328,243 | $ 16,869,071 |
The accompanying notes are an integral part of the financial statements.
Asset Management Portfolio
Years Ended March 31, | 2004 | 2003 | 2002 | 2001 | 2000 |
| Ratios to Average Net Assets and Supplemental Data | |||||
| Net assets, end of period ($ millions) | 771 | 597 | 581 | 552 | 733 |
| Ratio of expenses before expense reductions (%) | .74 | .76 | .74 | .76 | .76 |
| Ratio of expenses after expense reductions (%) | .55 | .55 | .55 | .59 | .60 |
| Ratio of net investment income (loss) (%) | 2.08 | 2.61 | 2.84 | 3.19 | 2.69 |
| Portfolio turnover rate (%) | 115e | 133 | 90 | 118 | 222 |
| Total investment return (%)a,b | 23.71 | (11.88) | 2.08 | - | - |
Asset Management Portfolio II
Years Ended March 31, | 2004 | 2003 | 2002 | 2001 | 2000 |
| Ratios to Average Net Assets and Supplemental Data | |||||
| Net assets, end of period ($ millions) | 72 | 52 | 76 | 84 | 99 |
| Ratio of expenses before expense reductions (%) | .84 | .84 | .80 | .79 | .79 |
| Ratio of expenses after expense reductions (%) | .60 | .60 | .60 | .60 | .60 |
| Ratio of net investment income (loss) (%) | 2.40 | 3.07 | 3.44 | 4.26 | 3.43 |
| Portfolio turnover rate (%) | 144e | 116 | 127 | 139 | 273 |
| Total investment return (%)a,c | 17.25 | (5.23) | 2.97 | - | - |
Asset Management Portfolio III
Years Ended March 31, | 2004 | 2003 | 2002 | 2001 | 2000 |
| Ratios to Average Net Assets and Supplemental Data | |||||
| Net assets, end of period ($ millions) | 22 | 17 | 27 | 30 | 38 |
| Ratio of expenses before expense reductions (%) | 1.09 | .93 | .94 | .87 | .85 |
| Ratio of expenses after expense reductions (%) | .60 | .60 | .60 | .60 | .60 |
| Ratio of net investment income (loss) (%) | 2.55 | 3.32 | 4.09 | 5.25 | 4.02 |
| Portfolio turnover rate (%) | 198e | 162 | 153 | 148 | 354 |
| Total investment return (%)a,d | 10.84 | 1.44 | 3.84 | - | - |
| a Total return would have been lower had certain expenses not been reduced. b Total investment return for the Portfolio was derived from the performance of the Premier Class of Scudder Lifecycle Long Range Fund. c Total investment return for the Portfolio was derived from the performance of the Investment Class of Scudder Lifecycle Mid Range Fund. d Total investment return for the Portfolio was derived from the performance of the Investment Class of Scudder Lifecycle Short Range Fund. e The portfolios' turnover rates including mortgage dollar roll transactions for the year ended March 31, 2004 were as follows: | |||||
| Asset Management I | 124% |
| Asset Management II | 161% |
| Asset Management III | 223% |
A. Significant Accounting Policies
Scudder Asset Management Portfolio and Scudder Investment Portfolios are registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as diversified, open-end management investment companies organized as New York business trusts (the "Trusts"). Asset Management Portfolio II and Asset Management Portfolio III are each a series of Scudder Investment Portfolios, formerly BT Investment Portfolios.
The financial statements of each of Asset Management Portfolio, Asset Management Portfolio II and Asset Management Portfolio III (each a "Portfolio," and collectively the "Portfolios") are prepared in accordance with accounting principles generally accepted in the United States of America which require the use of management estimates. Actual results could differ from those estimates. The policies described below are followed consistently by each Portfolio in the preparation of its financial statements.
Security Valuation. Investments are stated at value determined as of the close of regular trading on the New York Stock Exchange on each day the exchange is open for trading. Equity securities are valued at the most recent sale price or official closing price reported on the exchange (US or foreign) or over-the-counter market on which the security is traded most extensively. Securities for which no sales are reported are valued at the calculated mean between the most recent bid and asked quotations on the relevant market or, if a mean cannot be determined, at the most recent bid quotation.
Debt securities are valued by independent pricing services approved by the Trustees of each Portfolio. If the pricing services are unable to provide valuations, the securities are valued at the most recent bid quotation or evaluated price, as applicable, obtained from one or more broker-dealers. Such services may use various pricing techniques which take into account appropriate factors such as yield, quality, coupon rate, maturity, type of issue, trading characteristics and other data, as well as broker quotes.
Money market instruments purchased with an original or remaining maturity of sixty days or less, maturing at par, are valued at amortized cost. Investments in open-end investment companies and affiliated funds are valued at their net asset value each business day.
Securities and other assets for which market quotations are not readily available or for which the above valuation procedures are deemed not to reflect fair value are valued in a manner that is intended to reflect their fair value as determined in accordance with procedures approved by the Trustees.
Foreign Currency Translations. The books and records of each Portfolio are maintained in US dollars. Investment securities and other assets and liabilities denominated in a foreign currency are translated into US dollars at the prevailing exchange rates at period end. Purchases and sales of investment securities, income and expenses are translated into US dollars at the prevailing exchange rates on the respective dates of the transactions.
Net realized and unrealized gains and losses on foreign currency transactions represent net gains and losses between trade and settlement dates on securities transactions, the disposition of forward foreign currency exchange contracts and foreign currencies, and the difference between the amount of net investment income accrued and the US dollar amount actually received. That portion of both realized and unrealized gains and losses on investments that results from fluctuations in foreign currency exchange rates is not separately disclosed but is included with net realized and unrealized gains and losses on investment securities.
Futures Contracts. A futures contract is an agreement between a buyer or seller and an established futures exchange or its clearinghouse in which the buyer or seller agrees to take or make a delivery of a specific amount of a financial instrument at a specified price on a specific date (settlement date). Each Portfolio may enter into futures contracts as a hedge against anticipated interest rate, currency or equity market changes, and for duration management, risk management and return enhancement purposes.
Upon entering into a futures contract, each Portfolio is required to deposit with a financial intermediary an amount ("initial margin") equal to a certain percentage of the face value indicated in the futures contract. Subsequent payments ("variation margin") are made or received by each Portfolio dependent upon the daily fluctuations in the value of the underlying security and are recorded for financial reporting purposes as unrealized gains or losses by each Portfolio. When entering into a closing transaction, each Portfolio will realize a gain or loss equal to the difference between the value of the futures contract to sell and the futures contract to buy. Futures contracts are valued at the most recent settlement price.
Certain risks may arise upon entering into futures contracts, including the risk that an illiquid secondary market will limit each Portfolio's ability to close out a futures contract prior to the settlement date and that a change in the value of a futures contract may not correlate exactly with the changes in the value of the securities or currencies hedged. When utilizing futures contracts to hedge, each Portfolio gives up the opportunity to profit from favorable price movements in the hedged positions during the term of the contract.
Forward Foreign Currency Exchange Contracts. A forward foreign currency exchange contract ("forward currency contract") is a commitment to purchase or sell a foreign currency at the settlement date at a negotiated rate. Each Portfolio may enter into forward currency contracts in order to hedge its exposure to changes in foreign currency exchange rates on its foreign currency denominated portfolio holdings, to facilitate transactions in foreign currency denominated securities and to enhance the total returns.
Forward currency contracts are valued at the prevailing forward exchange rate of the underlying currencies and unrealized gain (loss) is recorded daily. Sales and purchases of forward currency contracts having the same settlement date and broker are offset and any gain (loss) is realized on the date of offset; otherwise, gain (loss) is realized on settlement date. Realized and unrealized gains and losses which represent the difference between the value of a forward currency contract to buy and a forward currency contract to sell are included in net realized and unrealized gain (loss) from foreign currency related transactions.
Certain risks may arise upon entering into forward currency contracts from the potential inability of counterparties to meet the terms of their contracts. Additionally, when utilizing forward currency contracts to hedge, each Portfolio gives up the opportunity to profit from favorable exchange rate movements during the term of the contract.
Mortgage Dollar Rolls. The Portfolio may enter into mortgage dollar rolls in which the Portfolio sells to a bank or broker/dealer (the "counterparty") mortgage-backed securities for delivery in the current month and simultaneously contracts to repurchase similar, but not identical, securities on a fixed date. The counterparty receives all principal and interest payments, including prepayments, made on the security while it is the holder. The Portfolio receives compensation as consideration for entering into the commitment to repurchase. The compensation is paid in the form of a lower price for the security upon its repurchase, or alternatively, a fee. Mortgage dollar rolls may be renewed with a new sale and repurchase price and a cash settlement made at each renewal without physical delivery of the securities subject to the contract.
Mortgage dollar rolls may be treated for purposes of the 1940 Act as borrowings by the Portfolio because they involve the sale of a security coupled with an agreement to repurchase. A mortgage dollar roll involves costs to the Portfolio. For example, while the Portfolio receives compensation as consideration for agreeing to repurchase the security, the Portfolio forgoes the right to receive all principal and interest payments while the counterparty holds the security. These payments to the counterparty may exceed the compensation received by the Portfolio, thereby effectively charging the Portfolio interest on its borrowing. Further, although the Portfolio can estimate the amount of expected principal prepayment over the term of the mortgage dollar roll, a variation in the actual amount of prepayment could increase or decrease the cost of the Portfolio's borrowing.
Certain risks may arise upon entering into mortgage dollar rolls from the potential inability of counterparties to meet the terms of their commitments. Additionally, the value of such securities may change adversely before the Portfolio is able to repurchase them. There can be no assurance that the Portfolio's use of the cash that it receives from a mortgage dollar roll will provide a return that exceeds its borrowing costs.
When-Issued/Delayed Delivery Securities. Each Portfolio may purchase securities with delivery or payment to occur at a later date beyond the normal settlement period. At the time the Portfolio enters into a commitment to purchase a security, the transaction is recorded and the value of the security is reflected in the net asset value. The price of such security and the date when the security will be delivered and paid for are fixed at the time the transaction is negotiated. The value of the security may vary with market fluctuations. No interest accrues to the Portfolio until payment takes place. At the time the Portfolio enters into this type of transaction it is required to segregate cash or other liquid assets at least equal to the amount of the commitment.
Certain risks may arise upon entering into when-issued or delayed delivery securities from the potential inability of counterparties to meet the terms of their contracts or if the issuer does not issue the securities due to political, economic, or other factors. Additionally, losses may arise due to changes in the value of the underlying securities.
Expenses. Expenses of the Trusts arising in connection with a specific Fund are allocated to that Fund. Other Trust expenses which cannot be directly attributed to a Fund are apportioned among the Funds in the Trust.
Federal Income Taxes. Each Portfolio is considered a partnership under the Internal Revenue Code. Therefore, no federal income tax provision is necessary.
Other. Investment transactions are accounted for on a trade date plus one basis for daily net asset value calculations. However, for financial reporting purposes, investment security transactions are reported on trade date. Interest income is recorded on the accrual basis. Dividend income is recorded on the ex-dividend date net of foreign withholding taxes. Certain dividends from foreign securities may be recorded subsequent to the ex-dividend date as soon as each Portfolio is informed of such dividends. Realized gains and losses from investment transactions are recorded on an identified cost basis. All premiums and discounts are amortized/accreted for financial reporting purposes.
Each Portfolio makes a daily allocation of its income, expenses and realized and unrealized gains and losses from securities, futures and foreign currency transactions to its investors in proportion to their investment in each Portfolio.
B. Purchases and Sales of Securities
During the year ended March 31, 2004, purchases and sales of investment securities (excluding short-term investments) were as follows:
Purchases ($) | Sales ($) | |
| Asset Management Portfolio excluding US Treasury securities and mortgage dollar roll transactions | 506,630,796 | 429,630,536 |
| US Treasury securities | 266,500,488 | 292,407,823 |
| mortgage dollar roll transactions | 49,237,665 | 51,708,083 |
| Asset Management Portfolio II excluding US Treasury securities and mortgage dollar roll transactions | 49,263,479 | 38,930,094 |
| US Treasury securities | 32,774,412 | 32,677,728 |
| mortgage dollar roll transactions | 8,009,580 | 8,473,445 |
| Asset Management Portfolio III excluding US Treasury securities and mortgage dollar roll transactions | 16,795,683 | 14,308,342 |
| US Treasury securities | 13,834,968 | 13,379,138 |
| mortgage dollar roll transactions | 3,441,113 | 3,451,855 |
C. Related Parties
Scudder Investments is part of Deutsche Asset Management, which is the marketing name in the US for the asset management activities of Deutsche Bank AG. Deutsche Asset Management, Inc. ("DeAM, Inc." or the "Advisor") is the Advisor for each Portfolio and Investment Company Capital Corporation ("ICCC" or the "Administrator") is the Administrator for each Portfolio, both wholly owned subsidiaries of Deutsche Bank AG.
Investment Advisory Agreement. Under the Investment Advisory Agreement, the Advisor directs the investments of each Portfolio in accordance with its investment objectives, policies and restrictions. The investment advisory fee payable under the Investment Advisory Agreement is equal to an annual rate of 0.65% of each Portfolio's average daily net assets, computed and accrued daily and payable monthly. Each Portfolio did not impose a portion of its advisory fees equivalent to the advisory fees charged on assets invested in the affiliated money market fund, Cash Management Fund Institutional.
Effective April 25, 2003, Northern Trust Investments, Inc. (now Northern Trust Investments, National Association) ("NTI") became each Portfolio's subadvisor and manages the passive equity portion of each Portfolio. NTI is paid directly by DeAM, Inc. for its sub-advisory services.
For the period ended March 31, 2004, the Advisor and Administrator agreed to waive its fees and reimburse expenses of each Portfolio to the extent necessary to maintain the annualized expenses of Asset Management Portfolio at 0.55% and the annualized expenses of each of the Asset Management Portfolio II and Asset Management Portfolio III at 0.60%. The Advisor and Administrator may terminate this voluntary waiver and reimbursement at any time, with respect to any Portfolio, without notice to the shareholder.
For the year ended March 31, 2004, the Investment Advisory Fee was as follows:
Investment Advisory Fee | Total Aggregated | Amount Waived by DeAM, Inc. | Unpaid at March 31, 2004 | Effective Rate |
| Asset Management Portfolio | $ 4,457,861 | $ 1,340,309 | $ 104,619 | .44% |
| Asset Management Portfolio II | 406,256 | 152,742 | 27,323 | .40% |
| Asset Management Portfolio III | 130,340 | 111,007 | - | .09% |
Administrator Service Fee. For its services as Administrator, ICCC receives a fee (the "Administrator Service Fee") of 0.10% of each Portfolio's average daily net assets, computed and accrued daily and payable monthly.
For the year ended March 31, 2004, the Administrator Service Fee was as follows:
Administrator Service Fee | Total Aggregated | Unpaid at March 31, 2004 |
| Asset Management Portfolio | $ 716,028 | $ 64,958 |
| Asset Management Portfolio II | 64,097 | 5,784 |
| Asset Management Portfolio III | 20,709 | - |
Deutsche Bank Trust Company Americas ("DBT Co."), an affiliate of each Portfolio's Advisor and Administrator, served as the Portfolios' custodian. Effective June 6, 2003, State Street Bank and Trust Company ("State Street") is the Portfolios' custodian.
Trustees' Fees and Expenses. As compensation for his or her services, each Independent Trustee receives an aggregate annual fee, plus a fee for each meeting attended (plus reimbursement for reasonable out-of-pocket expenses incurred in connection with his or her attendance at board and committee meetings) from each Fund in the Fund Complex for which he or she serves. In addition, the Chairman of the Fund Complex's Audit Committee receives an annual fee for his services. Payment of such fees and expenses is allocated among all such Funds described above in direct proportion to their relative net assets.
Scudder Cash Management QP Trust. Pursuant to an Exemptive Order issued by the SEC, the Fund may invest in the Scudder Cash Management QP Trust (the "QP Trust") and other affiliated funds managed by the Advisor. The QP Trust seeks to provide as high a level of current income as is consistent with the preservation of capital and the maintenance of liquidity. The QP Trust does not pay the Advisor a management fee for the affiliated funds' investments in the QP Trust.
Other. Each Portfolio may invest in Cash Management Fund Institutional, an open-end management investment company managed by DeAM, Inc.
D. Securities Lending
The Portfolios may lend securities to financial institutions. The Portfolios retain beneficial ownership of the securities they have loaned and continue to receive interest and dividends paid by the securities and to participate in any changes in their market value. The Portfolios require the borrowers of the securities to maintain collateral with the Portfolios in the form of cash and/or government securities equal to 102 percent of the value of domestic securities on loan. The Portfolios may invest the cash collateral in Daily Assets Fund Institutional, an affiliated money market fund. The Portfolios receive compensation for lending their securities either in the form of fees or by earning interest on invested cash collateral. Either the Portfolios or the borrower may terminate the loan. The Portfolios are subject to all investment risks associated with the value of any cash collateral received, including, but not limited to, interest rate, credit and liquidity risk associated with such investments.
E. Forward Foreign Currency Commitments
As of March 31, 2004, the Portfolios had the following open forward foreign currency exchange contracts:
Asset Management Portfolio
Contracts to Deliver | In Exchange For | Settlement Date | Unrealized Appreciation | ||||
| USD 312,277 | CAD | 420,000 | 4/5/2004 | $ 8,246 | |||
| USD 3,694,476 | CAD | 4,849,000 | 4/5/2004 | 6,031 | |||
| EUR 7,298,000 | USD | 9,031,640 | 4/6/2004 | 62,058 | |||
| USD 432,105 | JPY | 47,328,000 | 4/6/2004 | 22,258 | |||
| USD 423,584 | GBP | 234,000 | 4/6/2004 | 6,850 | |||
| USD 886,715 | EUR | 726,000 | 4/6/2004 | 5,573 | |||
| GBP 234,000 | USD | 430,658 | 4/6/2004 | 224 | |||
| USD 25,374,455 | AUD | 33,369,000 | 5/4/2004 | 81,081 | |||
| USD 34,398,359 | GBP | 18,736,000 | 5/5/2004 | 84,336 | |||
| USD 36,584,806 | JPY | 3,808,437,000 | 5/7/2004 | 4,927 | |||
$ 281,584 | |||||||
Contracts to Deliver | In Exchange For | Settlement Date | Unrealized (Depreciation) | ||||
| CAD 5,269,000 | USD | 3,923,072 | 4/5/2004 | $ (97,957) | |||
| AUD 10,772,000 | USD | 7,915,804 | 4/6/2004 | (295,510) | |||
| JPY 47,328,000 | USD | 438,186 | 4/6/2004 | (16,177) | |||
| USD 8,276,343 | AUD | 10,772,000 | 4/6/2004 | (65,029) | |||
| USD 8,090,001 | EUR | 6,572,000 | 4/6/2004 | (12,707) | |||
| CAD 4,849,000 | USD | 3,691,242 | 5/3/2004 | (9,861) | |||
| EUR 6,572,000 | USD | 8,083,560 | 5/4/2004 | (30,245) | |||
$ (527,486) | |||||||
Asset Management Portfolio II
Contracts to Deliver | In Exchange For | Settlement Date | Unrealized Appreciation | ||||
| USD 384,000 | CAD | 504,000 | 4/5/2004 | $ 626 | |||
| EUR 653,000 | USD | 808,120 | 4/6/2004 | 5,553 | |||
| JPY 32,247,000 | USD | 309,802 | 4/6/2004 | 221 | |||
| USD 298,558 | JPY | 32,247,000 | 4/6/2004 | 11,022 | |||
| USD 72,408 | GBP | 40,000 | 4/6/2004 | 1,171 | |||
| GBP 40,000 | USD | 73,617 | 4/6/2004 | 38 | |||
| USD 30,534 | EUR | 25,000 | 4/6/2004 | 192 | |||
| USD 601,492 | AUD | 791,000 | 5/4/2004 | 1,922 | |||
| EUR 628,000 | USD | 772,440 | 5/4/2004 | 471 | |||
| USD 3,266,155 | GBP | 1,779,000 | 5/4/2004 | 8,008 | |||
$ 29,224 | |||||||
Contracts to Deliver | In Exchange For | Settlement Date | Unrealized (Depreciation) | ||||
| CAD 12,000 | USD | 8,922 | 4/5/2004 | $ (236) | |||
| CAD 492,000 | USD | 366,322 | 4/5/2004 | (9,147) | |||
| USD 1,072,575 | AUD | 1,396,000 | 4/6/2004 | (8,428) | |||
| USD 773,055 | EUR | 628,000 | 4/6/2004 | (1,214) | |||
| AUD 1,396,000 | USD | 1,025,851 | 4/6/2004 | (39,926) | |||
| CAD 504,000 | USD | 383,664 | 5/3/2004 | (1,025) | |||
| USD 3,430,777 | JPY | 357,140,000 | 5/7/2004 | (2,836) | |||
$ (62,812) | |||||||
Asset Management Portfolio III
Contracts to Deliver | In Exchange For | Settlement Date | Unrealized Appreciation | ||||
| USD 117,333 | CAD | 154,000 | 4/5/2004 | $ 191 | |||
| USD 240,212 | JPY | 25,945,000 | 4/6/2004 | 8,868 | |||
| EUR 202,000 | USD | 249,985 | 4/6/2004 | 1,717 | |||
| JPY 25,945,000 | USD | 249,258 | 4/6/2004 | 178 | |||
| USD 4,885 | EUR | 4,000 | 4/6/2004 | 31 | |||
| EUR 198,000 | USD | 243,540 | 5/4/2004 | 149 | |||
| USD 831,685 | GBP | 453,000 | 5/5/2004 | 2,039 | |||
$ 13,173 | |||||||
Contracts to Deliver | In Exchange For | Settlement Date | Unrealized | ||||
| CAD 2,000 | USD | 1,487 | 4/5/2004 | $ (39) | |||
| CAD 152,000 | USD | 113,173 | 4/5/2004 | (2,826) | |||
| GBP 7,000 | USD | 12,671 | 4/6/2004 | (205) | |||
| USD 365,720 | AUD | 476,000 | 4/6/2004 | (2,874) | |||
| USD 12,957 | GBP | 7,000 | 4/6/2004 | (81) | |||
| USD 243,734 | EUR | 198,000 | 4/6/2004 | (382) | |||
| AUD 476,000 | USD | 349,789 | 4/6/2004 | (13,058) | |||
| CAD 154,000 | USD | 117,231 | 5/3/2004 | (313) | |||
| AUD 67,000 | USD | 50,920 | 5/4/2004 | (191) | |||
| USD 1,005,198 | JPY | 104,640,000 | 5/7/2004 | (831) | |||
$ (20,800) | |||||||
Currency Abbreviation | |||||||
| CAD | Canadian Dollar | EUR | Euro | AUD | Australian Dollar | ||
| GBP | British Pound | JPY | Japanese Yen | USD | US Dollars | ||
F. Line of Credit
Prior to April 11, 2003, each Portfolio and several other affiliated funds (the "Participants") shared in a $200 million revolving credit facility administered by a syndicate of banks for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities. The Participants were charged an annual commitment fee which was allocated based upon net assets among each of the Participants. Interest was calculated at the Federal Funds Rate plus 0.625 percent.
Effective April 11, 2003, each Portfolio entered into a new revolving credit facility administered by JP Morgan Chase Bank that provides $1.25 billion of credit coverage. The new revolving credit facility covers the funds and portfolios advised or administered by DeAM, Inc. or its affiliates. Interest is calculated at the Federal Funds Rate plus 0.5 percent. Each Portfolio may borrow up to a maximum of 33 percent of its net assets under the agreement.
G. Regulatory Matters and Litigation
Since at least July 2003, federal, state and industry regulators have been conducting ongoing inquiries and investigations ("inquiries") into the mutual fund industry, and have requested information from numerous mutual fund companies, including Scudder Investments. We are unable to determine what the outcome of these inquiries will be or what the effect, if any, would be on the funds or their advisers. Publicity about mutual fund practices arising from these industry wide inquiries serves as the general basis of a number of private lawsuits against the Scudder Funds. These lawsuits, which previously have been reported in the press, involve purported class action and derivative lawsuits, making various allegations and naming as defendants various persons, including certain Scudder funds, Deutsche Asset Management ("DeAM") and its affiliates, certain individuals, including in some cases Fund Trustees/Directors, and other parties. DeAM has undertaken to bear all liabilities and expenses incurred by the Scudder funds in connection with these lawsuits, or other lawsuits or regulatory actions that may be filed making allegations similar to these lawsuits regarding fund valuation, market timing, revenue sharing or other subjects of the pending inquiries. Based on currently available information, DeAM believes the likelihood that the pending lawsuits will have a material adverse financial impact on a Scudder fund is remote and such actions are not likely to materially affect its ability to perform under its investment management agreements with the Scudder funds.
To the Trustees of Scudder Asset Management Portfolio and Scudder Investment Portfolios, formerly BT Investment Portfolios, and Holders of Beneficial Interest of the Asset Management Portfolios:
In our opinion, the accompanying statements of assets and liabilities, including the investment portfolios, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Asset Management Portfolio, Asset Management Portfolio II and Asset Management Portfolio III (hereafter referred to as the "Portfolios") at March 31, 2004, and the results of their operations, the changes in their net assets and the financial highlights for each of the periods indicated therein, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Portfolios' management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at March 31, 2004 by correspondence with the custodian and brokers, provide a reasonable basis for the opinion expressed above.
Boston, Massachusetts | PricewaterhouseCoopers LLP |
For shareholders of Investment and Premier Classes
Automated Information Lines | ScudderACCESS (800) 972-3060 Personalized account information, information on other Scudder funds and services via touchtone telephone and for Classes A, B, and C only, the ability to exchange or redeem shares. |
Web Site | scudder.com View your account transactions and balances, trade shares, monitor your asset allocation, and change your address, 24 hours a day.Obtain prospectuses and applications, blank forms, interactive worksheets, news about Scudder funds, subscription to fund updates by e-mail, retirement planning information, and more. |
For More Information | (800) 621-1048 To speak with a Scudder service representative. |
Written Correspondence | Scudder Investments PO Box 219356Kansas City, MO 64121-9356 |
Proxy Voting | A description of the fund's policies and procedures for voting proxies for portfolio securities can be found on our Web site - scudder.com (type "proxy voting" in the search field) - or on the SEC's Web site - www.sec.gov. To obtain a written copy without charge, call us toll free at (800) 621-1048. |
Principal Underwriter | If you have questions, comments or complaints, contact: Scudder Distributors, Inc. 222 South Riverside PlazaChicago, IL 60606-5808 (800) 621-1148 |
Long Range Fund | Mid Range Fund | Short Range Fund | ||
Investment Class | Premier | Investment Class | Investment Class | |
Nasdaq Symbol | BTILX | BTAMX | BTLRX | BTSRX |
CUSIP Number | 81111Y 606 | 81111Y 309 | 81111R 825 | 81111R 817 |
Fund Number | 812 | 567 | 813 | 814 |
ITEM 2. CODE OF ETHICS.
As of the end of the period, March 31, 2004, Scudder Investment Portfolios has
adopted a code of ethics, as defined in Item 2 of Form N-CSR, that applies to
its President and Treasurer and its Chief Financial Officer. A copy of the code
of ethics is filed as an exhibit to this Form N-CSR.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
The Fund's Board of Directors/Trustees has determined that the Fund has at least
one "audit committee financial expert" serving on its audit committee: Mr. S.
Leland Dill. This audit committee member is "independent," meaning that he is
not an "interested person" of the Fund (as that term is defined in Section
2(a)(19) of the Investment Company Act of 1940) and he does not accept any
consulting, advisory, or other compensatory fee from the Fund (except in the
capacity as a Board or committee member).
An "audit committee financial expert" is not an "expert" for any purpose,
including for purposes of Section 11 of the Securities Act of 1933, as a result
of being designated as an "audit committee financial expert." Further, the
designation of a person as an "audit committee financial expert" does not mean
that the person has any greater duties, obligations, or liability than those
imposed on the person without the "audit committee financial expert"
designation. Similarly, the designation of a person as an "audit committee
financial expert" does not affect the duties, obligations, or liability of any
other member of the audit committee or board of directors.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
SCUDDER ASSET MANAGEMENT PORTFOLIO
FORM N-CSR DISCLOSURE RE: AUDIT FEES
The following table shows the amount of fees that PricewaterhouseCoopers, LLP
("PWC"), the Fund's auditor, billed to the Fund during the Fund's last two
fiscal years. For engagements with PWC entered into on or after May 6, 2003, the
Audit Committee approved in advance all audit services and non-audit services
that PWC provided to the Fund.
The Audit Committee has delegated certain pre-approval responsibilities to its
Chairman (or, in his absence, any other member of the Audit Committee).
Services that the Fund's Auditor Billed to the Fund
- --------------------------------------------------------------------------------
Audit-
Fiscal Year Audit Fees Related Tax Fees All Other Fees
Ended Billed Fees Billed Billed Billed
March 31 to Fund to Fund to Fund to Fund
- --------------------------------------------------------------------------------
2004 $37,800 $2,029 $4,000 $0
- --------------------------------------------------------------------------------
2003 $30,610 $722 $3,650 $0
- --------------------------------------------------------------------------------
The above "Tax Fees" were billed for professional services rendered for tax
compliance.
Services that the Fund's Auditor Billed to the Adviser and
Affiliated Fund Service Providers
The following table shows the amount of fees billed by PWC to Deutsche
Investment Management Americas, Inc. ("DeIM" or the "Adviser"), and any entity
controlling, controlled by or under common control with DeIM ("Control
Affiliate") that provides ongoing services to the Fund ("Affiliated Fund Service
Provider"), for engagements directly related to the Fund's operations and
financial reporting, during the Fund's last two fiscal years.
- --------------------------------------------------------------------------------
Audit-Related All
Fees Billed to Tax Fees Billed to Other Fees Billed
Fiscal Year Adviser and Adviser and to Adviser and
Ended Affiliated Fund Affiliated Fund Affiliated Fund
March 31 Service Providers Service Providers Service Providers
- --------------------------------------------------------------------------------
2004 $573,742 $0 $0
- --------------------------------------------------------------------------------
2003 $452,700 $69,500 $34,400
- --------------------------------------------------------------------------------
The "Audit-Related Fees" were billed for services in connection with the
assessment of internal controls, agreed-upon procedures and additional related
procedures.
Non-Audit Services
The following table shows the amount of fees that PWC billed during the Fund's
last two fiscal years for non-audit services. For engagements entered into on or
after May 6, 2003, the Audit Committee pre-approved all non-audit services that
PWC provided to the Adviser and any Affiliated Fund Service Provider that
related directly to the Fund's operations and financial reporting. The Audit
Committee requested and received information from PWC about any non-audit
services that PWC rendered during the Fund's last fiscal year to the Adviser and
any Affiliated Fund Service Provider. The Committee considered this information
in evaluating PWC's independence.
- --------------------------------------------------------------------------------
Total
Non-Audit
Fees billed
to Adviser
and Affiliated
Fund Service Total
Providers Non-Audit
(engagements Fees billed to
related Adviser and
directly to Affiliated
the operations Fund
Total and financial Service
Non-Audit reporting Providers
Fiscal Fee Billed of the (all other Total of
Year Fund Fund engagements) (A), (B)
Ended
March 31 (A) (B) (C) and (C)
- --------------------------------------------------------------------------------
2004 $4,000 $0 $2,412,058 $2,416,058
- --------------------------------------------------------------------------------
2003 $3,650 $103,900 $17,512,166 $17,619,716
- --------------------------------------------------------------------------------
All other engagement fees were billed for services in connection with risk
management, tax services and process improvement/integration initiatives for
DeIM and other related entities that provide support for the operations of the
fund.
ITEM 5. [RESERVED]
ITEM 6. [RESERVED]
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR
CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
ITEM 8. [RESERVED]
ITEM 9. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
The Nominating and Governance Committee evaluates and nominates Board member
candidates. Fund shareholders may also submit nominees that will be considered
by the Committee when a Board vacancy occurs. Submissions should be mailed to
the attention of the Secretary of the Fund, One South Street, Baltimore, MD
21202.
ITEM 10. CONTROLS AND PROCEDURES.
(a) The Chief Executive and Financial Officers concluded that the Registrant's
Disclosure Controls and Procedures are effective based on the evaluation of the
Disclosure Controls and Procedures as of a date within 90 days of the filing
date of this report.
Fund management has previously identified a significant deficiency relating to
the overall fund expense payment and accrual process. This matter relates
primarily to a bill payment processing issue. There was no material impact to
shareholders, fund net asset value, fund performance or the accuracy of any
fund's financial statements. Fund management discussed this matter with the
Registrant's Audit Committee and auditors, instituted additional procedures to
enhance its internal controls and will continue to develop additional controls
and redesign work flow to strengthen the overall control environment associated
with the processing and recording of fund expenses.
(b) There have been no changes in the registrant's internal control over
financial reporting that occurred during the filing period that has materially
affected, or is reasonably likely to materially affect, the registrant's
internal controls over financial reporting.
ITEM 11. EXHIBITS.
(a)(1) Code of Ethics pursuant to Item 2 of Form N-CSR is filed and attached
hereto as EX-99.CODE ETH.
(a)(2) Certification pursuant to Rule 30a-2(a) under the Investment Company
Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as
Exhibit 99.CERT.
(b) Certification pursuant to Rule 30a-2(b) under the Investment Company
Act of 1940 (17 CFR 270.30a-2(b)) is furnished and attached hereto as
Exhibit 99.906CERT.
Form N-CSR Item F
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
Registrant: Scudder Asset Management Portfolio I
By: /s/Richard T. Hale
---------------------------
Richard T. Hale
Chief Executive Officer
Date: May 28, 2004
---------------------------
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
Registrant: Scudder Asset Management Portfolio I
By: /s/Richard T. Hale
---------------------------
Richard T. Hale
Chief Executive Officer
Date: May 28, 2004
---------------------------
By: /s/Charles A. Rizzo
---------------------------
Charles A. Rizzo
Chief Financial Officer
Date: May 28, 2004
---------------------------