Preheat oven to 300 degrees. Combine mushrooms, olive oil, rosemary, salt and pepper on a sheet pan, with cap side down. Bake in hot oven 30 minutes, or until dry, adding the asparagus the last 10 minutes. Let cool then finely dice.
Preheat oven to 350 degrees. Combine butter and oil. Brush sheets with the mixture to make 12 layers. Place 24 layers of Phyllo in the bottom of an 8" baking dish, top with half of the mushroom mixture, then another 12 layers of Phyllo and more filling and top with 24 layers of Phyllo. Bake in a hot oven until Phyllo is golden brown - 30 minutes.
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