<PAGE> 1
AMERICAN ANNUAL
AADVANTAGE FUNDS(R) REPORT
OCTOBER 31, 1996
- Institutional Class -
P.O. Box 619003 [AMERICAN LOGO]
Dallas/Fort Worth Airport, Texas
75261-9003 AADVANTAGE
(800) 967-9009 FUNDS(R)
- PlanAhead Class -(R) BALANCED FUND
P.O. Box 4580
Chicago, Illinois 60680-4580 GROWTH AND INCOME FUND
(800) 388-3344
INTERNATIONAL EQUITY FUND
- AMR Class -(sm)
P.O. Box 619003 LIMITED-TERM INCOME FUND
Dallas/Fort Worth Airport, Texas
75261-9003
(800) 967-9009
<PAGE> 2
Dear Fellow Shareholder:
We are pleased to report to you on the performance of the American
AAdvantage Balanced, Growth and Income, International Equity and Limited-Term
Income Funds and to provide you with a copy of the Annual Report for the year
ended October 31, 1996.
Balanced Fund
The Balanced Fund's total return for the year ending October 31, 1996 was
16.77% for the AMR Class, 16.46% for the Institutional Class and 16.01% for the
PlanAhead Class. These returns exceeded the Lipper Balanced Index total return
average of 14.49%.
Both the stock and bond portions of the Fund performed well on a relative
basis. The stock segment posted a 25.47% return, beating the S&P 500 Index's
24.02% return for the twelve month period. The bond segment's 5.82% return
outpaced the 5.39% return of the Lehman Government/Corporate Index. The Fund
maintained a relatively low cash position throughout the year which also aided
overall returns.
During the year, the Fund modestly reduced its stock exposure from 60% to
57%, shifting in favor of bonds. The gradual reduction in stocks resulted from
the combination of exceptionally strong stock market returns and relatively weak
bond market returns during the period. Early in 1996, the yields on bonds rose
and the price for bonds fell which made them more attractive. At the same time,
the equity markets continued to climb due to low inflation, record M&A activity,
and record mutual fund inflows. This combination of events led to boosting the
level of the Fund's bond investments from 37% to 42% at October 31, 1996.
The Fund's discipline of purchasing stocks that are perceived to be
undervalued in the market and which offer better than average growth
expectations led to the Fund's largest overweightings in financial and energy
stocks. As these sectors were the top performers in the S&P 500 Index for the
twelve month period, these weightings assisted the Fund's performance. Financial
stocks, especially banks, outperformed due to industry consolidations and the
lack of any interest rate increases by the Federal Reserve. Energy stocks did
exceptionally well as oil and gas prices rose steadily over the year. The
utility sector was the poorest performer in the S&P 500 Index, and the only
sector with negative returns, as changes in the legal and regulatory
environments suppressed earnings. However, the Fund's decision to underweight
utilities in favor of other sectors and its superior utility stock selection
also aided performance relative to the S&P 500 Index.
The bond component of the Fund outpaced the Lehman Brothers
Government/Corporate Index by 0.43%. As the Presidential election approached,
the bond market reacted with great uncertainty. During the year ended October
31, 1996, the yield on the 30-year Treasury began at 6.33%, dropped to a
December 1995 low of 5.95%, rose to a high of 7.19% in July and dropped again to
end at 6.64%. As interest rates were rising early in 1996, the Fund began to
purchase bonds with a longer average maturity than the Lehman Govt/Corp Index.
Later, when the market began its rally and bond yields began to fall, the Fund
benefitted from the longer maturity. The Fund then chose to shorten the average
maturity of its bond holdings to protect the Fund should interest rates rise
again.
Looking ahead, the Fund will continue to look for undervalued stocks with
higher than average expected growth rates as this value approach to investing
should provide downside protection without foregoing the opportunity for upside
participation in any continued market gains.
<PAGE> 3
Growth and Income Fund
The Growth and Income Fund also performed well for the year ending October
31, 1996. The Fund's total return was 23.66% for the AMR Class, 23.37% for the
Institutional Class and 22.98% for the PlanAhead Class. These returns all
exceeded the Lipper Growth and Income Index total return average of 21.39%.
Since the Fund utilizes the same investment managers and the same approach
to stock selection as the Balanced Fund, it also benefitted from overweighted
positions in financial and energy stocks and good stock selection in utilities.
The consistent application of the Fund's value style continues to benefit its
shareholders.
International Equity Fund
The International Equity Fund continued to post strong results on an
absolute and relative basis for the twelve months ended October 31, 1996. The
Fund's total return for the one year period was 17.72% for the AMR Class, 17.27%
for the Institutional Class and 16.95% for the PlanAhead Class, compared to a
12.65% return for the Lipper International Index. The Institutional Class was
ranked as the 18th and the PlanAhead Class as the 23rd highest performing Lipper
International Equity Fund out of 318 funds for the one year ended October 31,
1996.
Relative to the EAFE index (the Morgan Stanley Capital International
Europe, Australia and Far East Index) which returned 10.77% for the twelve month
period, the Fund added value by holding a higher concentration of stocks based
in the better performing countries and a lower concentration of stocks in
countries which were among the poorer performers. In addition, the Fund
benefited from selecting stocks which performed better than their respective
country's market average.
The underweighting of the Japanese market, which had an average EAFE
weighting of 40% during the period and an average Fund weighting of 14%,
continues to be the most significant departure from EAFE. Over the last twelve
months, Japan's return of minus 0.7% ranked second worst among the 20 markets
that comprise the EAFE Index. Although the situation in Japan is slowly
improving, overall market valuations are expected to remain unattractive and
growth should be subdued throughout 1997. In addition, the banking and real
estate sectors remain troubled and Japanese exporters are facing intense
competition from the developing Asian economies. Until the current environment
improves, the Fund will continue to underweight the market.
In Europe, conditions are more favorable. Although the recovery has been
sluggish as countries have been unable to use fiscal stimulus due to the
impending European Monetary Union, with low inflation and high unemployment,
monetary policy should remain accommodative. The Fund continues to underweight
the stocks in the United Kingdom due to concerns of rising interest rates while
overweighting the stocks based in the smaller markets. The Fund was helped by
successful overweightings of the Dutch, Swedish and Spanish markets and positive
stock selection in Germany.
Limited-Term Income Fund
For the twelve months ended October 31, 1996, the total return of the
Limited-Term Income Fund was 5.38% for the AMR Class, 5.10% for the
Institutional Class and 4.83% for the PlanAhead Class. These results represent
an outperformance of the Fund's benchmark which was 4.54% for the twelve months.
For a description of the benchmark for the Limited-Term Income Fund, please see
the graph on page 7.
2
<PAGE> 4
1996 was notable for the very rapid rise in rates that occurred from
February through July. The two year Treasury note increased by approximately 160
base points, in response to above average GDP growth in the first and second
quarters. The Fund's duration was reduced significantly in this period. From the
high yields reached in July, the two year Treasury note rallied back
approximately half way (or 80 basis points) as GDP growth became more subdued
and inflation remained low, allowing for a stable Fed policy. In this period,
the duration of the Fund was returned to a more neutral posture. On October 31,
the portfolio's weighted average duration was 2.1 years.
The Fund was responsive to the rapid shifts in both economic fundamentals
and market psychology, actively managing its duration. This contributed to
achieving superior performance relative to our benchmark. The Fund also benefits
from spread tightening in many of the sectors the Fund invests in, as there was
good investor demand for securities with incremental yield to Treasuries.
As always, we appreciate your confidence and support and we will continue
to strive to provide you with above average long-term returns.
Sincerely,
LOGO
William F. Quinn
President
American AAdvantage Funds
3
<PAGE> 5
AMERICAN AADVANTAGE BALANCED FUND
PERFORMANCE SUMMARY THROUGH OCTOBER 31, 1996
COMPARISON OF CHANGE IN VALUE $10,000 INVESTMENT IN THE FUND, THE STANDARD
& POORS 500 INDEX, THE SHEARSON LEHMAN GOVERMENT/CORPORATE
AND THE LIPPER BALANCED INDEX*
<TABLE>
<CAPTION>
Annualized Returns Inception
1 Year 5 Year to Date*
------ ------ ---------
<S> <C> <C> <C>
Institutional Class 16.46% 12.49% 10.69%
PlanAhead Class ** 16.01% 12.32% 10.60%
AMR Class ** 16.77% 12.62% 10.76%
S&P 500 24.02% 15.53% 12.47%
SLGC 5.39% 7.96% 9.03%
Lipper Balanced Index 14.49% 11.10% 9.78%
</TABLE>
Past performance is not predictive of future performance.
[GRAPH]
<TABLE>
<CAPTION>
Jul-87 Oct-87 Oct-88 Oct-89 Oct-90 Oct-91 Oct-92 Oct-93 Oct-94 Oct-95 Oct-96
------- ------- ------- ------- ------- ------- ------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Institutional
Class.... $10,000 $ 9,076 $10,404 $12,015 $11,385 $14,271 $15,521 $18,500 $18,485 $22,069 $25,702
PlanAhead
Class
**....... $10,000 $ 9,076 $10,404 $12,015 $11,385 $14,271 $15,521 $18,500 $18,470 $21,991 $25,512
AMR Class
**....... $10,000 $ 9,076 $10,404 $12,015 $11,385 $14,271 $15,521 $18,500 $18,485 $22,139 $25,852
S&P 500... $10,000 $ 8,082 $ 9,275 $11,719 $10,841 $14,476 $15,917 $18,290 $19,009 $24,021 $29,790
SLGC...... $10,000 $10,084 $11,156 $12,510 $13,199 $15,227 $16,828 $19,126 $18,239 $21,186 $22,329
Lipper
Balanced
Index.... $10,000 $ 8,624 $ 9,758 $11,408 $10,974 $14,066 $15,326 $17,793 $17,683 $20,793 $23,806
</TABLE>
- ---------------
* Fund inception was 7/17/87. Changes in value for indices have a starting date
of 7/15/87.
** Fund performance represents the total returns achieved by the Institutional
Class from the inception date of the Fund up to the inception date of the
PlanAhead and AMR Classes and the returns of the PlanAhead and AMR Classes
since inception of the Classes. Expenses of the PlanAhead Class are higher
than those of the Institutional Class. Therefore, total returns shown may be
higher than they would have been had the PlanAhead Class been in place since
inception of the Fund. Expenses of the AMR Class are lower than those of the
Institutional Class. As a result, total returns shown may be lower than they
would have been had the AMR Class been in place since inception of the Fund.
Inception of the PlanAhead and AMR Classes was 8/1/94.
4
<PAGE> 6
AMERICAN AADVANTAGE GROWTH AND INCOME FUND
PERFORMANCE SUMMARY THROUGH OCTOBER 31, 1996
COMPARISON OF CHANGE IN VALUE $10,000 INVESTMENT IN THE FUND, THE STANDARD
& POORS 500 INDEX AND THE LIPPER GROWTH & INCOME INDEX*
<TABLE>
<CAPTION>
Annualized Returns Inception
1 Year 5 Year to Date*
------ ------ ---------
<S> <C> <C> <C>
Institutional Class 23.37% 15.51% 12.22%
PlanAhead Class ** 22.98% 15.30% 12.11%
AMR Class ** 23.66% 15.65% 12.29%
S&P 500 24.02% 15.53% 12.47%
Lipper Growth & Income Index 21.39% 14.41% 11.38%
</TABLE>
Past performance is not predictive of future performance.
[GRAPH]
<TABLE>
<CAPTION>
Jul-87 Oct-87 Oct-88 Oct-89 Oct-90 Oct-91 Oct-92 Oct-93 Oct-94 Oct-95 Oct-96
------- ------ ------- ------- ------- ------- ------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Institutional
Class...... $10,000 $8,301 $10,144 $12,269 $10,610 $14,200 $15,619 $18,976 $19,613 $23,670 $29,203
PlanAhead
Class **... $10,000 $8,301 $10,144 $12,269 $10,610 $14,200 $15,619 $18,976 $19,585 $23,573 $28,941
AMR Class
**......... $10,000 $8,301 $10,144 $12,269 $10,610 $14,200 $15,619 $18,976 $19,626 $23,754 $29,374
S&P 500..... $10,000 $8,082 $ 9,275 $11,719 $10,841 $14,476 $15,917 $18,290 $19,009 $24,021 $29,790
Lipper
Growth &
Income
Index...... $10,000 $8,227 $ 9,722 $11,746 $10,388 $13,886 $15,123 $18,071 $18,642 $22,422 $27,220
</TABLE>
- ---------------
* Fund inception was 7/17/87. Changes in value for indices have a starting date
of 7/15/87.
** Fund performance represents the total returns achieved by the Institutional
Class from the inception date of the Fund up to the inception date of the
PlanAhead and AMR Classes and the returns of the PlanAhead and AMR Classes
since inception of the Classes. Expenses of the PlanAhead Class are higher
than those of the Institutional Class. Therefore, total returns shown may be
higher than they would have been had the PlanAhead Class been in place since
inception of the Fund. Expenses of the AMR Class are lower than those of the
Institutional Class. As a result, total returns shown may be lower than they
would have been had the AMR Class been in place since inception of the Fund.
Inception of the PlanAhead and AMR Classes was 8/1/94.
5
<PAGE> 7
AMERICAN AADVANTAGE INTERNATIONAL EQUITY FUND
PERFORMANCE SUMMARY THROUGH OCTOBER 31, 1996
COMPARISON OF CHANGE IN VALUE $10,000 INVESTMENT IN THE FUND, THE EAFE
(EUROPE, AUSTRALIA, AND FAR EAST) INDEX, AND THE LIPPER INTERNATIONAL INDEX*
<TABLE>
<CAPTION>
Annualized Returns Inception
1 Year 5 Year to Date*
------ ------ ---------
<S> <C> <C> <C>
Institutional Class 17.27% 11.17% 10.93%
PlanAhead Class ** 16.95% 10.97% 10.73%
AMR Class ** 17.72% 11.32% 11.07%
EAFE Index 10.77% 7.94% 8.90%
Lipper International Index 12.65% 9.73% 9.90%
</TABLE>
Past performance is not predictive of future performance.
[GRAPH]
<TABLE>
<CAPTION>
Aug-91 Oct-91 Oct-92 Oct-93 Oct-94 Oct-95 Oct-96
------- ------- ------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C> <C> <C>
Institutional Class......................... $10,000 $10,133 $ 8,910 $12,168 $13,601 $14,676 $17,211
PlanAhead Class **.......................... $10,000 $10,133 $ 8,910 $12,168 $13,580 $14,581 $17,052
AMR Class **................................ $10,000 $10,133 $ 8,910 $12,168 $13,601 $14,714 $17,322
EAFE Index.................................. $10,000 $10,760 $ 9,360 $12,905 $14,244 $14,235 $15,769
Lipper International Index.................. $10,000 $10,314 $ 9,792 $13,127 $14,638 $14,569 $16,412
</TABLE>
- ---------------
* Fund inception was 8/7/91. Changes in value for indices have a starting date
of 8/7/91.
** Fund performance represents the total returns achieved by the Institutional
Class from the inception date of the Fund up to the inception date of the
PlanAhead and AMR Classes and the returns of the PlanAhead and AMR Classes
since inception of the Classes. Expenses of the PlanAhead Class are higher
than those of the Institutional Class. Therefore, total returns shown may be
higher than they would have been had the PlanAhead Class been in place since
inception of the Fund. Expenses of the AMR Class are lower than those of the
Institutional Class. As a result, total returns shown may be lower than they
would have been had the AMR Class been in place since inception of the Fund.
Inception of the PlanAhead and AMR Classes was 8/1/94.
6
<PAGE> 8
AMERICAN AADVANTAGE LIMITED-TERM INCOME FUND
PERFORMANCE SUMMARY THROUGH OCTOBER 31, 1996
COMPARISON OF CHANGE IN VALUE $10,000 INVESTMENT IN THE FUND, THE LIPPER LINKED
AVERAGE***, AND THE SHEARSON LEHMAN GOVERNMENT/CORPORATE 1 TO 5 YEAR INDEX*
<TABLE>
<CAPTION>
Annualized Returns Inception
1 Year 5 Year to Date*
------ ------ ---------
<S> <C> <C> <C>
Institutional Class 5.10% 5.73% 6.98%
PlanAhead Class ** 4.83% 5.61% 6.91%
AMR Class ** 5.38% 5.83% 7.04%
Linked Lipper Average*** 5.44% 5.72% 6.97%
Shearson Lehman G/C 1-5 Year Index 5.99% 6.55% 7.87%
</TABLE>
Past performance is not predictive of future performance.
[GRAPH]
<TABLE>
<CAPTION>
Nov-87 Oct-88 Oct-89 Oct-90 Oct-91 Oct-92 Oct-93 Oct-94 Oct-95 Oct-96
------- ------- ------- ------- ------- ------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Institutional
Class............... $10,000 $10,670 $11,482 $12,345 $13,810 $14,906 $15,979 $16,047 $17,359 $18,243
PlanAhead Class **... $10,000 $10,670 $11,482 $12,345 $13,810 $14,906 $15,979 $16,051 $17,308 $18,143
AMR Class **......... $10,000 $10,670 $11,482 $12,345 $13,810 $14,906 $15,979 $16,073 $17,395 $18,330
Linked Lipper
Average............. $10,000 $10,730 $11,696 $12,614 $14,027 $15,077 $16,048 $16,070 $17,459 $18,243
Shearson Lehman G/C
1-5 Year Index...... $10,000 $10,675 $11,723 $12,715 $14,310 $15,622 $16,833 $16,795 $18,545 $19,655
</TABLE>
- ---------------
* Fund inception was 12/3/87. Changes in value for indices have a starting
date of 12/3/87.
** Fund performance represents the total returns achieved by the Institutional
Class from the inception date of the Fund up to the inception date of the
PlanAhead and AMR Classes and the returns of the PlanAhead and AMR Classes
since inception of the Classes. Expenses of the PlanAhead Class are higher
than those of the Institutional Class. Therefore, total returns shown may be
higher than they would have been had the PlanAhead Class been in place since
inception of the Fund. Expenses of the AMR Class are lower than those of the
Institutional Class. As a result, total returns shown may be lower than they
would have been had the AMR Class been in place since inception of the Fund.
Inception of the PlanAhead and AMR Classes was 8/1/94.
*** The Linked Lipper Average is created by linking the Lipper Short-Term (1-5
Year) Investment Grade Debt Average from 11/30/87 through 12/31/95, the
Lipper Short-Intermediate Investment Grade Debt Average from 1/1/96 through
7/31/96 and the Lipper Short-Term (1-3 Year) Investment Grade Debt Average
since 8/1/96.
7
<PAGE> 9
REPORT OF ERNST & YOUNG LLP, INDEPENDENT AUDITORS
Shareholders and Board of Trustees
American AAdvantage Balanced Fund
American AAdvantage Growth and Income Fund
American AAdvantage International Equity Fund
American AAdvantage Limited-Term Income Fund
We have audited the accompanying statements of assets and liabilities of
the American AAdvantage Balanced Fund, the American AAdvantage Growth and Income
Fund, the American AAdvantage International Equity Fund, and the American
AAdvantage Limited-Term Income Fund (collectively, "the Funds") (separate funds
comprising the American AAdvantage Funds) as of October 31, 1996, and the
related statements of operations for the year then ended, the statements of
changes in net assets for each of the two years in the period then ended and the
financial highlights for each of the periods indicated therein. These financial
statements and financial highlights are the responsibility of the Funds'
management. Our responsibility is to express an opinion on these financial
statements and financial highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of investments owned as of
October 31, 1996, by correspondence with the custodian. An audit also includes
assessing the accounting principles used and significant estimates made by
management, as well as evaluating the overall financial statement presentation.
We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred
to above present fairly, in all material respects, the financial position of
each of the respective American AAdvantage Funds at October 31, 1996, the
results of their operations for the year then ended, the changes in their net
assets for each of the two years in the period then ended, and the financial
highlights for each of the periods indicated therein, in conformity with
generally accepted accounting principles.
/s/ ERNST & YOUNG
Dallas, Texas
December 20, 1996
8
<PAGE> 10
AMERICAN AADVANTAGE FUNDS
STATEMENTS OF ASSETS AND LIABILITIES
October 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
International Limited-Term
Balanced Growth and Equity Income
Fund Income Fund Fund Fund
----------- ----------- ----------- ------------
(in thousands, except share and per share amounts)
<S> <C> <C> <C> <C>
ASSETS:
Investment in Portfolio, at value..................... $ 892,993 $1,105,921 $ 401,107 $ 172,011
Receivable for expense reimbursement.................. - 2 - 2
----------- ---------- ----------- -----------
TOTAL ASSETS...................................... 892,993 1,105,923 401,107 172,013
----------- ---------- ----------- -----------
LIABILITIES:
Dividends payable..................................... - - - 30
Management fees payable (Note 2)...................... 257 82 53 95
Other liabilities..................................... 54 56 26 34
----------- ---------- ----------- -----------
TOTAL LIABILITIES................................. 311 138 79 159
----------- ---------- ----------- -----------
NET ASSETS................................................ $ 892,682 $1,105,785 $ 401,028 $ 171,854
=========== ========== =========== ===========
ANALYSIS OF NET ASSETS:
Paid-in-capital....................................... 659,891 774,199 329,583 179,503
Accumulated undistributed investment income........... 28,578 21,170 7,574 15
Accumulated net realized gain (loss).................. 68,021 77,394 10,282 (8,196)
Unrealized appreciation of investments................ 136,192 233,022 53,589 532
----------- ---------- ----------- -----------
NET ASSETS................................................ $ 892,682 $1,105,785 $ 401,028 $ 171,854
=========== ========== =========== ===========
Shares Outstanding (no par value):
Institutional Class................................... 19,683,199 4,387,794 4,195,708 11,256,115
=========== ========== =========== ===========
PlanAhead Class....................................... 1,197,280 877,255 478,943 351,011
=========== ========== =========== ===========
AMR Class............................................. 37,993,760 54,323,679 21,977,780 6,154,287
=========== ========== =========== ===========
Net Asset Value Per Share:
Institutional Class................................... $ 15.14 $ 18.50 $ 15.01 $ 9.68
=========== ========== =========== ===========
PlanAhead Class....................................... $ 15.03 $ 18.33 $ 14.90 $ 9.68
=========== ========== =========== ===========
AMR Class............................................. $ 15.18 $ 18.56 $ 15.06 $ 9.67
=========== ========== =========== ===========
</TABLE>
See accompanying notes
9
<PAGE> 11
AMERICAN AADVANTAGE FUNDS
STATEMENTS OF OPERATIONS
Year Ended October 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Growth and International Limited-Term
Balanced Income Equity Income
Fund Fund Fund Fund
-------- ---------- ------------- ------------
(in thousands)
<S> <C> <C> <C> <C>
INVESTMENT INCOME ALLOCATED FROM PORTFOLIO:
Allocated interest income...................................... $ 24,130 $ 2,565 $ 1,378 $ 12,571
Allocated dividend income (net of foreign taxes of $756 in
International Equity Fund)................................... 15,563 27,898 8,467 -
Allocated income derived from securities lending, net.......... 89 60 54 7
Allocated Portfolio expenses................................... (3,098) (3,368) (1,822) (557)
-------- -------- ------- --------
NET INVESTMENT INCOME ALLOCATED FROM PORTFOLIO............. 36,684 27,155 8,077 12,021
-------- -------- ------- --------
FUND EXPENSES:
Administrative service fees (Note 2):
Institutional Class.......................................... 693 206 108 283
PlanAhead Class.............................................. 27 27 9 6
Transfer agent fees:
Institutional Class.......................................... 13 16 12 20
PlanAhead Class.............................................. 10 12 4 3
AMR Class.................................................... 3 1 1 1
Professional fees.............................................. 39 40 10 9
Registration fees and expenses................................. 18 18 20 30
Service Fees -- PlanAhead Class................................ 27 27 10 6
Other expenses................................................. 10 10 5 3
-------- -------- ------- --------
TOTAL FUND EXPENSES........................................ 840 357 179 361
-------- -------- ------- --------
Less reimbursement of expenses (Note 2).................... - 2 - 2
-------- -------- ------- --------
NET FUND EXPENSES.......................................... 840 355 179 359
-------- -------- ------- --------
NET INVESTMENT INCOME.............................................. 35,844 26,800 7,898 11,662
-------- -------- ------- --------
REALIZED AND UNREALIZED GAIN (LOSS) ALLOCATED FROM PORTFOLIO:
Net realized gain (loss) on investments and foreign currency
transactions................................................. 67,577 77,475 11,093 (3,194)
Change in net unrealized appreciation of investments and
foreign currency translations................................ 27,642 93,955 30,557 469
-------- -------- ------- --------
NET GAIN (LOSS) ON INVESTMENTS............................. 95,219 171,430 41,650 (2,725)
-------- -------- ------- --------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS............... $131,063 $198,230 $49,548 $ 8,937
======== ======== ======= ========
</TABLE>
See accompanying notes
10
<PAGE> 12
AMERICAN AADVANTAGE FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
Year Ended October 31,
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Growth and Income International Limited-Term
Balanced Fund Fund Equity Fund Income Fund
--------------------- --------------------- ------------------- ---------------------
1996 1995 1996 1995 1996 1995 1996 1995
--------- --------- ---------- -------- -------- -------- --------- ---------
(in thousands)
<S> <C> <C> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income............. $ 35,844 $ 31,522 $ 26,800 $ 20,377 $ 7,898 $ 5,970 $ 11,662 $ 10,359
Net realized gain (loss) on
investments and foreign currency
transactions.................... 67,577 25,895 77,475 28,115 11,093 4,311 (3,194) (1,552)
Change in net unrealized
appreciation of investments and
foreign currency translations... 27,642 71,067 93,955 75,331 30,557 10,022 469 3,688
--------- --------- ---------- -------- -------- -------- --------- ---------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS.... 131,063 128,484 198,230 123,823 49,548 20,303 8,937 12,495
--------- --------- ---------- -------- -------- -------- --------- ---------
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Institutional Class............. (10,135) (9,177) (1,936) (702) (608) (376) (7,273) (6,340)
Mileage Class................... - (5) - (14) - (14) - (33)
PlanAhead Class................. (238) (23) (143) (4) (31) (10) (155) (42)
AMR Class....................... (22,970) (17,086) (20,011) (16,041) (5,125) (3,145) (4,272) (3,944)
Net realized gain on investments:
Institutional Class............. (7,867) (2,507) (2,653) (881) (546) (563) - -
Mileage Class................... - (1) - (18) - (20) - -
PlanAhead Class................. (187) (6) (202) (5) (31) (15) - -
AMR Class....................... (16,814) (4,561) (25,694) (19,500) (4,170) (4,435) - -
--------- --------- ---------- -------- -------- -------- --------- ---------
NET DISTRIBUTIONS TO
SHAREHOLDERS................. (58,211) (33,366) (50,639) (37,165) (10,511) (8,578) (11,700) (10,359)
--------- --------- ---------- -------- -------- -------- --------- ---------
CAPITAL SHARE TRANSACTIONS:
Proceeds from sales of shares..... 169,963 170,104 208,797 188,748 126,546 89,320 76,269 137,613
Reinvestment of dividends and
distributions................... 57,693 33,152 50,139 36,862 10,164 8,233 11,656 9,154
Cost of shares redeemed........... (206,839) (116,305) (86,256) (55,588) (31,126) (42,092) (117,354) (110,995)
--------- --------- ---------- -------- -------- -------- --------- ---------
NET INCREASE (DECREASE) IN NET
ASSETS FROM CAPITAL SHARE
TRANSACTIONS................. 20,817 86,951 172,680 170,022 105,584 55,461 (29,429) 35,772
--------- --------- ---------- -------- -------- -------- --------- ---------
NET INCREASE (DECREASE) IN NET
ASSETS.............................. 93,669 182,069 320,271 256,680 144,621 67,186 (32,192) 37,908
--------- --------- ---------- -------- -------- -------- --------- ---------
NET ASSETS:
Beginning of year................. 799,013 616,944 785,514 528,834 256,407 189,221 204,046 166,138
--------- --------- ---------- -------- -------- -------- --------- ---------
END OF YEAR*...................... $ 892,682 $ 799,013 $1,105,785 $785,514 $401,028 $256,407 $ 171,854 $ 204,046
========= ========= ========== ======== ======== ======== ========= =========
* Includes undistributed net
investment income of............ $ 28,578 $ 26,077 $ 21,170 $ 16,460 $ 7,574 $ 5,440 $ 15 $ 53
========= ========= ========== ======== ======== ======== ========= =========
</TABLE>
See accompanying notes
11
<PAGE> 13
AMERICAN AADVANTAGE FUNDS
NOTES TO FINANCIAL STATEMENTS
October 31, 1996
- --------------------------------------------------------------------------------
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
American AAdvantage Funds (the "Trust") is organized as a Massachusetts
business trust and is registered under the Investment Company Act of 1940, as
amended, as a no-load, open-end, management investment company with eight
separate funds: the American AAdvantage Balanced Fund, the American AAdvantage
Growth and Income Fund, the American AAdvantage International Equity Fund, the
American AAdvantage Limited-Term Income Fund, the American AAdvantage Money
Market Fund, the American AAdvantage Municipal Money Market Fund, the American
AAdvantage Short-Term Income Fund and the American AAdvantage U.S. Treasury
Money Market Fund. These financial statements relate to the Balanced, Growth and
Income, International Equity and Limited-Term Income Funds (each a "Fund" and
collectively, the "Funds"). The American AAdvantage Short-Term Income Fund had
not commenced active operations at October 31, 1996. The Trust commenced sales
of additional classes of shares of the Funds on August 1, 1994, designated as
"Mileage Class", "PlanAhead Class", and "AMR Class" shares. At the same time,
the existing shares of each Fund were redesignated as "Institutional Class"
shares. The Mileage Class of each Fund was terminated on November 1, 1996.
Differences between the Classes include the services offered to and the expenses
borne by each class and certain voting rights. Investment income, net capital
gains (losses), and all expenses incurred by the Funds are allocated based on
relative net assets of each class, except for service fees and certain other
fees and expenses related solely to one class of shares.
Each Fund invests all of its investable assets in the corresponding
portfolio of the AMR Investment Services Trust, an open-end diversified
management investment company, as follows:
<TABLE>
<CAPTION>
AMERICAN AADVANTAGE: -) INVESTS ASSETS IN -) AMR INVESTMENT SERVICES TRUST:
-------------------- ----------------------- ------------------------------
<S> <C>
Balanced Fund Balanced Portfolio
Growth and Income Fund Growth and Income Portfolio
International Equity Fund International Equity
Limited-Term Income Fund Portfolio
Limited-Term Income Portfolio
</TABLE>
Each AMR Investment Services Portfolio has the same investment objectives
as its corresponding Fund. The value of such investment reflects each Fund's
proportionate interest in the net assets of the corresponding portfolio (99.72%,
99.44%, 99.16% and 99.33% at October 31, 1996) of the AMR Investment Services
Trust Balanced, Growth and Income, International Equity and Limited-Term Income
Portfolios (each a "Portfolio" and collectively the "Portfolios", respectively).
The financial statements of the Portfolios are included elsewhere in this report
and should be read in conjunction with the Funds' financial statements.
AMR Investment Services, Inc. (the "Manager") is a wholly-owned subsidiary
of AMR Corporation, the parent company of American Airlines, Inc. ("American"),
and was organized in 1986 to provide business management, advisory,
administrative and asset management consulting services to the Trust and other
investors.
12
<PAGE> 14
AMERICAN AADVANTAGE FUNDS
NOTES TO FINANCIAL STATEMENTS
October 31, 1996
- --------------------------------------------------------------------------------
The following is a summary of the significant accounting policies followed
by the Funds.
Valuation of Investments
Valuation of securities by the Portfolios is discussed in Note 1 of the
Portfolios' Notes to Financial Statements which are included elsewhere in this
report.
Investment Income and Dividends to Shareholders
Each Fund records its share of net investment income, and realized and
unrealized gain and loss in the Portfolio each day. All net investment income
and realized and unrealized gain and loss of each Portfolio are allocated pro
rata among the corresponding Fund and other investors in each Portfolio at the
time of such determination. Dividends from net investment income of the
Balanced, Growth and Income, and International Equity Funds normally will be
declared and paid annually. The Limited-Term Income Fund generally declares
dividends from net investment income daily, payable monthly. Distributions, if
any, of net realized capital gains normally will be paid annually after the
close of the fiscal year in which realized.
Dividends are determined in accordance with income tax principles which may
treat certain transactions differently than generally accepted accounting
principles.
Federal Income and Excise Taxes
It is the policy of each of the Funds to comply with the requirements of
the Internal Revenue Code applicable to regulated investment companies and to
distribute substantially all net investment income as well as any net realized
capital gains on the sale of investments. Therefore, no federal income or excise
tax provision is required. At October 31, 1996, the Limited-Term Income Fund had
capital loss carryforwards for federal income tax purposes of approximately
$8,330,000 expiring in years 2001-2004.
Expenses
Expenses directly attributable to a Fund are charged to that Fund's
operations. Expenses directly attributable to a Class of shares are charged to
that Class. Expenses incurred by the Trust with respect to any two or more of
the Funds are allocated in proportion to the net assets of each Fund, except
where allocations of direct expenses to each Fund can otherwise be made fairly.
Each share of each Fund, regardless of class, bears equally those expenses that
are allocated to the Fund as a whole.
Valuation of Shares
The price per share is calculated separately for each class of each Fund on
each day on which shares are offered for sale and orders accepted or upon
receipt of a redemption request. With respect to a class of a Fund, price per
share is computed by dividing the value of the Class's pro rata allocation of
the Fund's investments and other assets, less liabilities, by the number of
Class shares outstanding.
13
<PAGE> 15
AMERICAN AADVANTAGE FUNDS
NOTES TO FINANCIAL STATEMENTS
October 31, 1996
- --------------------------------------------------------------------------------
2. TRANSACTIONS WITH AFFILIATES
Management Agreement
The Manager and the Trust entered into an Administrative Service Agreement
which obligates the Manager to provide or oversee administrative and management
services to the Funds. As compensation for performing the duties required under
the Administrative Services Agreement, the Manager receives an annualized fee of
.25% of the average daily net assets of the Institutional and PlanAhead Classes
of each of the Funds.
Distribution Plan
The Trust has adopted a "defensive" Distribution Plan in accordance with
Rule 12b-1 under the Investment Company Act of 1940, pursuant to which no fees
may be charged to the Funds for distribution purposes. However, the plan
authorizes the fees received by the Manager and the investment advisers hired by
the Manager to be used for distribution purposes. Under this plan, the Trust
does not intend to compensate the Manager or any other party, either directly or
indirectly, for the distribution of Trust shares.
Other
Certain officers or trustees of the Trust are also officers of the Manager
or American. The Trust makes no direct payments to its officers. Unaffiliated
trustees and their spouses are provided unlimited air transportation on
American. However, the Trust compensates each Trustee with payments in an amount
equal to the Trustee's income tax on the value of this free airline travel. For
the year ended October 31, 1996, the cost of air transportation was not material
to any of the Funds. At October 31, 1996, AMR Corporation and subsidiary
companies and Employee Benefit Trusts thereof owned 100% of AMR Class shares of
the Funds. Trustees and officers of the trust as a group owned 1% of the
PlanAhead Class of the International Equity Fund at October 31, 1996.
3. CAPITAL SHARE TRANSACTIONS
The tables below summarize the activity in capital shares for each Class of
the Funds (in thousands):
<TABLE>
<CAPTION>
Institutional
Year Ended October 31, 1996 Class Mileage Class PlanAhead Class AMR Class
- -------------------------------------------- ----------------- -------------- --------------- ------------------
Balanced Fund Shares Amount Shares Amount Shares Amount Shares Amount
- -------------------------------------------- ------ -------- ---- ------- ----- ------- ------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Shares sold................................. 3,818 $ 54,692 - $ - 937 $13,340 7,142 $101,931
Reinvestment of dividends................... 1,286 17,671 - - 17 238 2,889 39,784
Shares redeemed............................. (3,337) (47,982) (74) (1,035) (149) (2,148) (10,857) (155,674)
------ -------- --- ------- ----- ------- ------- --------
Net increase (decrease) in capital share
transactions.............................. 1,767 $ 24,381 (74) $(1,035) 805 $11,430 (826) $(13,959)
====== ======== === ======= ===== ======= ======= ========
</TABLE>
14
<PAGE> 16
AMERICAN AADVANTAGE FUNDS
NOTES TO FINANCIAL STATEMENTS
October 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Institutional
Class Mileage Class PlanAhead Class AMR Class
----------------- ---------------- ---------------- ------------------
Growth and Income Fund Shares Amount Shares Amount Shares Amount Shares Amount
- ------------------------------------------- ------ -------- ------ ------- ------ ------- ------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Shares sold................................ 1,665 $ 28,490 - $ - 724 $12,146 9,838 $168,161
Reinvestment of dividends.................. 266 4,293 - - 9 142 2,834 45,704
Shares redeemed............................ (2,043) (35,315) (139) (2,214) (160) (2,706) (2,673) (46,021)
------ -------- ---- ------- ---- ------- ------ --------
Net increase (decrease) in capital share
transactions............................. (112) $ (2,532) (139) $(2,214) 573 $ 9,582 9,999 $167,844
====== ======== ==== ======= ==== ======= ====== ========
</TABLE>
<TABLE>
<CAPTION>
Institutional
Class Mileage Class PlanAhead Class AMR Class
----------------- ---------------- ---------------- ------------------
International Equity Fund Shares Amount Shares Amount Shares Amount Shares Amount
- ------------------------------------------- ------ -------- ------ ------- ------ ------- ------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Shares sold................................ 2,590 $ 37,103 - $ - 655 $ 9,341 5,594 $ 80,102
Reinvestment of dividends.................. 63 839 - - 2 30 693 9,295
Shares redeemed............................ (396) (5,688) (95) (1,251) (288) (4,114) (1,432) (20,073)
------ -------- ---- ------- ---- ------- ------ --------
Net increase (decrease) in capital share
transactions............................. 2,257 $ 32,254 (95) $(1,251) 369 $ 5,257 4,855 $ 69,324
====== ======== ==== ======= ==== ======= ====== ========
</TABLE>
<TABLE>
<CAPTION>
Institutional
Class Mileage Class PlanAhead Class AMR Class
----------------- ---------------- ---------------- ------------------
Limited-Term Income Fund Shares Amount Shares Amount Shares Amount Shares Amount
- ------------------------------------------ ------ -------- ------ ------- ------ ------- ------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Shares sold............................... 4,609 $ 44,766 - $ 3 401 $ 3,879 2,861 $ 27,621
Reinvestment of dividends................. 708 6,889 - - 15 142 476 4,625
Shares redeemed........................... (8,044) (78,331) (60) (586) (225) (2,167) (3,764) (36,270)
------ -------- ---- ------- ---- ------- ------ --------
Net increase (decrease) in capital share
transactions............................ (2,727) $(26,676) (60) $ (583) 191 $ 1,854 (427) $ (4,024)
====== ======== ==== ======= ==== ======= ====== ========
</TABLE>
<TABLE>
<CAPTION>
Institutional
Year ended October 31, 1995 Class Mileage Class PlanAhead Class AMR Class
- ------------------------------------------ ----------------- ---------------- ---------------- ------------------
Balanced Fund Shares Amount Shares Amount Shares Amount Shares Amount
- ------------------------------------------ ------ -------- ------ ------- ------ ------- ------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Shares sold............................... 3,917 $ 50,397 88 $ 1,108 383 $ 5,102 8,920 $113,497
Reinvestment of dividends................. 999 11,470 1 6 3 29 1,886 21,647
Shares redeemed........................... (5,037) (64,582) (18) (239) (36) (487) (3,812) (50,997)
------ -------- ---- ------- ---- ------- ------ --------
Net increase (decrease) in capital share
transactions............................ (121) $ (2,715) 71 $ 875 350 $ 4,644 6,994 $ 84,147
====== ======== ==== ======= ==== ======= ====== ========
</TABLE>
<TABLE>
<CAPTION>
Institutional
Class Mileage Class PlanAhead Class AMR Class
----------------- ---------------- ---------------- ------------------
Growth and Income Fund Shares Amount Shares Amount Shares Amount Shares Amount
- ------------------------------------------ ------ -------- ------ ------- ------ ------- ------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Shares sold............................... 3,606 $ 53,296 160 $ 2,274 1,175 $17,502 7,953 $115,676
Reinvestment of dividends................. 101 1,282 2 31 1 8 2,788 35,541
Shares redeemed........................... (810) (12,073) (33) (506) (875) (12,839) (2,052) (30,170)
------ -------- ---- ------- ---- ------- ------ --------
Net increase in capital share
transactions............................ 2,897 $ 42,505 129 $ 1,799 301 $ 4,671 8,689 $121,047
====== ======== ==== ======= ==== ======= ====== ========
</TABLE>
<TABLE>
<CAPTION>
Institutional
Class Mileage Class PlanAhead Class AMR Class
----------------- ---------------- ---------------- ------------------
International Equity Fund Shares Amount Shares Amount Shares Amount Shares Amount
- ------------------------------------------ ------ -------- ------ ------- ------ ------- ------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Shares sold............................... 941 $ 11,924 135 $ 1,678 339 $ 4,275 5,802 $ 71,443
Reinvestment of dividends................. 51 599 3 33 2 21 644 7,580
Shares redeemed........................... (850) (10,686) (59) (759) (260) (3,288) (2,181) (27,359)
------ -------- ---- ------- ---- ------- ------ --------
Net increase in capital share
transactions............................ 142 $ 1,837 79 $ 952 81 $ 1,008 4,265 $ 51,664
====== ======== ==== ======= ==== ======= ====== ========
</TABLE>
<TABLE>
<CAPTION>
Institutional
Class Mileage Class PlanAhead Class AMR Class
----------------- ---------------- ---------------- ------------------
Limited-Term Income Fund Shares Amount Shares Amount Shares Amount Shares Amount
- ------------------------------------------ ------ -------- ------ ------- ------ ------- ------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Shares sold............................... 11,246 $109,868 103 $ 999 155 $ 1,517 2,596 $ 25,229
Reinvestment of dividends................. 542 5,265 3 29 3 27 395 3,833
Shares redeemed........................... (9,396) (91,138) (62) (605) (39) (381) (1,934) (18,871)
------ -------- ---- ------- ---- ------- ------ --------
Net increase in capital share
transactions............................ 2,392 $ 23,995 44 $ 423 119 $ 1,163 1,057 $ 10,191
====== ======== ==== ======= ==== ======= ====== ========
</TABLE>
15
<PAGE> 17
AMERICAN AADVANTAGE BALANCED FUND
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout the period)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Institutional Class
------------------------------------------------------------
Year Ended October 31,
------------------------------------------------------------
1996(1)(2) 1995(1)(3) 1994(4) 1993 1992
---------- ---------- -------- -------- --------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period.................. $ 13.95 $ 12.36 $ 13.23 $ 11.99 $ 11.60
-------- -------- -------- -------- --------
Income from Investment Operations:
Net investment income............................. 0.59(12) 0.54 0.57 0.49 0.55
Net gains (losses) on securities (both realized
and unrealized)................................. 1.61(12) 1.71 (0.54) 1.57 0.41
-------- -------- -------- -------- --------
Total from investment operations...................... 2.20 2.25 0.03 2.06 0.96
-------- -------- -------- -------- --------
Less Distributions:
Dividends from net investment income.............. (0.57) (0.52) (0.56) (0.52) (0.56)
Distributions from net realized gains on
securities...................................... (0.44) (0.14) (0.34) (0.30) (0.01)
-------- -------- -------- -------- --------
Total distributions................................... (1.01) (0.66) (0.90) (0.82) (0.57)
-------- -------- -------- -------- --------
Net asset value, end of period........................ $ 15.14 $ 13.95 $ 12.36 $ 13.23 $ 11.99
======== ======== ======== ======== ========
Total return (annualized)(6)(7)....................... 16.46% 19.39% (0.08)% 19.19% 8.75%
======== ======== ======== ======== ========
Ratios/Supplemental Data:
Net assets, end of period (in thousands).......... $298,009 $249,913 $222,873 $532,543 $370,087
Ratios to average net assets
(annualized)(8)(9)(10):
Expenses...................................... 0.62%(12) 0.63% 0.36% 0.34% 0.35%
Net investment income......................... 4.00%(12) 4.30% 4.77% 4.91% 5.31%
Portfolio turnover rate(11)....................... - 73% 48% 83% 80%
<CAPTION>
PlanAhead Class AMR Class
-------------------------------------- -------------------------------------
Year Ended October 31, Period Ended Year Ended October 31, Period Ended
------------------------ October 31, ----------------------- October 31,
1996(1)(2) 1995(1)(3) 1994(4)(5) 1996(1)(2) 1995(1)(3) 1994(4)(5)
---------- ---------- ------------ ---------- ---------- ------------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period.................. $ 13.90 $12.35 $12.35 $ 13.98 $ 12.36 $ 12.35
------- ------ ------ -------- -------- --------
Income from Investment Operations:
Net investment income............................. 0.57 (12) 0.54 0.12 0.63(12) 0.58 0.14
Net gains (losses) on securities (both realized
and unrealized)................................. 1.56 (12) 1.67 (0.12) 1.61(12) 1.71 (0.13)
------- ------ ------ -------- -------- --------
Total from investment operations...................... 2.13 2.21 - 2.24 2.29 0.01
------- ------ ------ -------- -------- --------
Less Distributions:
Dividends from net investment income.............. (0.56) (0.52) - (0.60) (0.53) -
Distributions from net realized gains on
securities...................................... (0.44) (0.14) - (0.44) (0.14) -
------- ------ ------ -------- -------- --------
Total distributions................................... (1.00) (0.66) - (1.04) (0.67) -
------- ------ ------ -------- -------- --------
Net asset value, end of period........................ $ 15.03 $13.90 $12.35 $ 15.18 $ 13.98 $ 12.36
======= ====== ====== ======== ======== ========
Total return (annualized)(6)(7)....................... 16.01% 19.06% (0.16)% 16.77% 19.77% (0.08)%
======= ====== ====== ======== ======== ========
Ratios/Supplemental Data:
Net assets, end of period (in thousands).......... $ 18,000 $5,450 $ 528 $576,673 $542,619 $393,504
Ratios to average net assets
(annualized)(8)(9)(10):
Expenses...................................... 0.97% (12) 0.99% 0.92% 0.37%(12) 0.38% 0.36%
Net investment income......................... 3.64% (12) 3.70% 4.04% 4.26%(12) 4.54% 4.65%
Portfolio turnover rate(11)....................... - 73% 48% - 73% 48%
</TABLE>
- ---------------
(1) Class expenses per share were subtracted from net investment income per
share for the Fund before class expenses to determine net investment income
per share.
(2) Capital Guardian Trust Company was replaced by Brandywine Asset Management,
Inc. as an investment adviser to the Balanced Fund on April 1, 1996.
(3) GSB Investment Management, Inc. was added as an investment adviser to the
Balanced Fund as of January 1, 1995.
(4) Average shares outstanding for the period rather than end of period shares
were used to compute net investment income per share.
(5) The PlanAhead and AMR Classes commenced active operations on August 1,
1994.
(6) Total return is calculated assuming an initial investment is made at the
net asset value last calculated on the business day before the first day of
each period reported, reinvestment of all dividends and capital gains
distributions on the payable date, accrual for the maximum shareholder
services fee of .30% (for periods prior to August 1, 1994) and a sale at
net asset value on the last day of each period reported.
(7) Total returns for the PlanAhead and AMR Classes for the period ended
October 31, 1994 reflect Institutional Class returns from November 1, 1993
through July 31, 1994 and returns of the applicable class for the period
August 1, 1994 (commencement of operations of the new classes) through
October 31, 1994. Due to the different expense structures between the
classes, total returns would vary from the results shown had the classes
been in operation for the entire year.
(8) Effective August 1, 1994, expenses include administrative services fees
paid by the Fund to the Manager. Prior to that date, expenses exclude
shareholder services fees paid directly by shareholders to the Manager.
Such fees amounted to approximately $.01 per share in each period on an
annualized basis.
(9) The method of determining average net assets was changed from a monthly
average to a daily average starting with the period ended October 31, 1994.
16
<PAGE> 18
- --------------------------------------------------------------------------------
(10) Operating results of the PlanAhead Class exclude fees waived by the
Manager. Results prior to expense waived were as follows:
<TABLE>
<CAPTION>
Year Ended Period Ended
October 31, 1995 October 31, 1994
----------------- -----------------
<S> <C> <C>
Ratio of expenses to average net assets (annualized)................ 1.09% 0.99%
Ratio of net investment income to average net assets (annualized)... 3.60% 3.97%
</TABLE>
(11) On November 1,1995, the American AAdvantage Balanced Fund invested all of
its investable assets in the AMR Investment Services Balanced Portfolio.
The portfolio turnover rate for the year ended October 31, 1996 is included
elsewhere in this report.
(12) The per share amounts and ratios reflect income and expenses assuming
inclusion of the Fund's proportionate share of the income and expenses of
the AMR Investment Services Trust Balanced Portfolio.
17
<PAGE> 19
AMERICAN AADVANTAGE GROWTH AND INCOME FUND
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout the period)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Institutional Class
------------------------------------------------------
Year Ended October 31,
------------------------------------------------------
1996(1)(2) 1995(1) 1994(3) 1993 1992(4)
---------- ------- ------- -------- --------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period......................... $ 15.91 $ 14.19 $ 14.63 $ 12.79 $ 12.10
-------- ------- ------- -------- --------
Income From Investment Operations:
Net investment income...................................... 0.42(12) 0.41 0.43 0.36 0.39
Net gains on securities (both realized and unrealized)..... 3.15(12) 2.28 0.08 2.21 0.77
-------- ------- ------- -------- --------
Total from investment operations............................. 3.57 2.69 0.51 2.57 1.16
-------- ------- ------- -------- --------
Less Distributions:
Dividends from net investment income....................... (0.41) (0.43) (0.41) (0.37) (0.39)
Distributions from net realized gains on securities........ (0.57) (0.54) (0.54) (0.36) (0.08)
-------- ------- ------- -------- --------
Total distributions.......................................... (0.98) (0.97) (0.95) (0.73) (0.47)
-------- ------- ------- -------- --------
Net asset value, end of period............................... $ 18.50 $ 15.91 $ 14.19 $ 14.63 $ 12.79
======== ======= ======= ======== ========
Total return (annualized)(6)(7).............................. 23.37% 20.69% 3.36% 21.49% 10.00%
======== ======= ======= ======== ========
Ratios/Supplemental Data:
Net assets, end of period (in thousands)................... $ 81,183 $71,608 $22,737 477,088 $339,739
Ratios to average net assets (annualized)(8)(9)(10):
Expenses................................................. 0.62%(12) 0.62% 0.33% 0.34% 0.36%
Net investment income.................................... 2.55%(12) 2.84% 3.28% 3.12% 3.57%
Portfolio turnover rate(11).............................. - 26% 23% 30% 35%
<CAPTION>
PlanAhead Class AMR Class
----------------------------------- ------------------------------------
Year Ended October 31, Period Ended Year Ended October 31, Period Ended
--------------------- October 31, ----------------------- October 31,
1996(1)(2) 1995(1) 1994(3)(5) 1996(1)(2) 1995(1) 1994(3)(5)
---------- ------- ------------ ---------- -------- ------------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period...................... $ 15.81 $14.17 $13.99 $ 15.95 $ 14.20 $ 13.99
-------- ------ ------ ---------- -------- ---------
Income From Investment Operations:
Net investment income................................... 0.39(12) 0.40 0.05 0.47 (12) 0.44 0.11
Net gains on securities (both realized and unrealized).. 3.10(12) 2.22 0.13 3.15 (12) 2.30 0.10
-------- ------ ------ ---------- -------- ---------
Total from investment operations.......................... 3.49 2.62 0.18 3.62 2.74 0.21
-------- ------ ------ ---------- -------- ---------
Less Distributions:
Dividends from net investment income.................... (0.40) (0.44) - (0.44) (0.45) -
Distributions from net realized gains on securities..... (0.57) (0.54) - (0.57) (0.54) -
-------- ------ ------ ---------- -------- ---------
Total distributions....................................... (0.97) (0.98) - (1.01) (0.99) -
-------- ------ ------ ---------- -------- ---------
Net asset value, end of period............................ $ 18.33 $15.81 $14.17 $ 18.56 $ 15.95 $ 14.20
======== ====== ====== ========== ======== =========
Total return (annualized)(6)(7)........................... 22.98% 20.14% 3.21% 23.66% 21.03% 3.43%
======== ====== ====== ========== ======== =========
Ratios/Supplemental Data:
Net assets, end of period (in thousands)................ $ 16,084 $4,821 $ 56 $1,008,518 $706,884 $ 505,892
Ratios to average net assets (annualized)(8)(9)(10):
Expenses.............................................. 0.94%(12) 0.99% 0.95% 0.36% (12) 0.38% 0.37%
Net investment income................................. 2.16%(12) 2.23% 1.50% 2.80% (12) 3.20% 3.18%
Portfolio turnover rate(11)........................... - 26% 23% - 26% 23%
</TABLE>
- ---------------
(1) Class expenses per share were subtracted from net investment income per
share for the Fund before class expenses to determine net investment income
per share.
(2) Capital Guardian Trust Company was replaced by Brandywine Asset Management,
Inc. as an investment adviser to the Growth and Income Fund on April 1,
1996.
(3) Average shares outstanding for the period rather than end of period shares
were used to compute net investment income per share.
(4) The assets of the Growth and Income Fund previously managed by Atlanta
Capital Management were transferred to GSB Investment Management , Inc. as
of the close of business on December 5, 1991.
(5) The PlanAhead and AMR Classes commenced active operations on August 1,
1994.
(6) Total return is calculated assuming an initial investment is made at the
net asset value last calculated on the business day before the first day of
each period reported, reinvestment of all dividends and capital gains
distributions on the payable date, accrual for the maximum shareholder
services fee of .30% (for periods prior to August 1, 1994) and a sale at
net asset value on the last day of each period reported.
(7) Total returns for the PlanAhead and AMR Classes for the period ended
October 31, 1994 reflect Institutional Class returns from November 1, 1993
through July 31, 1994 and returns of the applicable class for the period
August 1, 1994 (commencement of operations of the new classes) through
October 31, 1994. Due to the different expense structures between the
classes, total returns would vary from the results shown had the classes
been in operation for the entire year.
18
<PAGE> 20
- --------------------------------------------------------------------------------
(8) Effective August 1, 1994, expenses include administrative services fees
paid by the fund to the Manager. Prior to that date, expenses exclude
shareholder services fees paid directly by shareholders to the Manager.
Such fees amounted to less than $.01 per share in each period on an
annualized basis.
(9) The method of determining average net assets was changed from a monthly
average to a daily average starting with the period ended October 31, 1994.
(10) Operating results of the PlanAhead Class exclude fees waived by the
Manager. Results prior to expense waived were as follows:
<TABLE>
<CAPTION>
Year Ended Year Ended Period Ended
October 31, 1996 October 31, 1995 October 31, 1994
---------------- ---------------- ----------------
<S> <C> <C> <C>
Ratio of expenses to average net assets
(annualized)............................ 0.96% 1.08% 1.05%
Ratio of net investment income to average
net assets (annualized)................. 2.14% 2.14% 1.40%
</TABLE>
(11) On November 1,1995, the American AAdvantage Growth and Income Fund invested
all of its investable assets in the AMR Investment Services Growth and
Income Portfolio. The portfolio turnover rate for the year ended October
31, 1996 is included elsewhere in this report.
(12) The per share amounts and ratios reflect income and expenses assuming
inclusion of the Fund's proportionate share of the income and expenses of
the AMR Investment Services Trust Growth and Income Portfolio.
19
<PAGE> 21
AMERICAN AADVANTAGE INTERNATIONAL EQUITY FUND
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout the period)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Institutional Class
--------------------------------------------------------------
Year Ended October 31,
--------------------------------------------------------------
1996(1) 1995(1) 1994(2)(3) 1993(4) 1992
------- ------- ---------- ------- ---------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period............... $13.29 $12.87 $ 12.07 $ 8.93 $ 10.13
------ ------ -------- ------ ---------
Income From Investment Operations:
Net investment income.......................... 0.28 (11) 0.27 0.32 0.17 0.12
Net gains (losses) on securities (both realized
and unrealized).............................. 1.95 (11) 0.68 1.10 3.09 (1.31)
------ ------ -------- ------ ---------
Total from investment operations................... 2.23 0.95 1.42 3.26 (1.19)
------ ------ -------- ------ ---------
Less Distributions:
Dividends from net investment income........... (0.27) (0.21) (0.17) (0.12) (0.01)
Distributions from net realized gains on
securities................................... (0.24) (0.32) (0.45) - -
------ ------ -------- ------ ---------
Total distributions................................ (0.51) (0.53) (0.62) (0.12) (0.01)
------ ------ -------- ------ ---------
Net asset value, end of period..................... $15.01 $13.29 $ 12.87 $12.07 $ 8.93
====== ====== ======== ====== =========
Total return (annualized)(6)(7).................... 17.27% 7.90% 11.77% 36.56% (12.07)%
====== ====== ======== ====== =========
Ratios/Supplemental Data:
Net assets, end of period (in thousands)....... $62,992 $25,757 $ 23,115 $66,652 $ 38,837
Ratios to average net assets
(annualized)(8)(9):
Expenses................................... 0.85% (11) 0.85% 0.61% 0.78% 1.17%
Net investment income...................... 2.19% (11) 2.37% 2.74% 2.00% 2.04%
Portfolio turnover rate(10).................... - 21% 37% 61% 21%
<CAPTION>
PlanAhead Class AMR Class
--------------------------------------- --------------------------------------
Year Ended October 31, Period Ended Year Ended October 31, Period Ended
----------------------- October 31, ---------------------- October 31,
1996(1) 1995(1) 1994(2)(3)(5) 1996(1) 1995(1) 1994(2)(3)(5)
------- ------- ------------- -------- -------- -------------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period............... $ 13.20 $12.85 $ 12.61 $ 13.31 $ 12.87 $ 12.61
------- ------ ------- -------- -------- ---------
Income From Investment Operations:
Net investment income.......................... 0.26(11) 0.24 0.06 0.31(11) 0.30 0.05
Net gains (losses) on securities (both realized
and unrealized).............................. 1.92(11) 0.64 0.18 1.98(11) 0.68 0.21
------- ------ ------- -------- -------- ---------
Total from investment operations................... 2.18 0.88 0.24 2.29 0.98 0.26
------- ------ ------- -------- -------- ---------
Less Distributions:
Dividends from net investment income........... (0.24) (0.21) - (0.30) (0.22) -
Distributions from net realized gains on
securities................................... (0.24) (0.32) - (0.24) (0.32) -
------- ------ ------- -------- -------- ---------
Total distributions................................ (0.48) (0.53) - (0.54) (0.54) -
------- ------ ------- -------- -------- ---------
Net asset value, end of period..................... $ 14.90 $13.20 $ 12.85 $ 15.06 $ 13.31 $ 12.87
======= ====== ======= ======== ======== =========
Total return (annualized)(6)(7).................... 16.95% 7.37% 11.60% 17.72% 8.18% 11.77%
======= ====== ======= ======== ======== =========
Ratios/Supplemental Data:
Net assets, end of period (in thousands)....... $ 7,138 $1,456 $ 375 $330,898 $227,939 $ 165,524
Ratios to average net assets
(annualized)(8)(9):
Expenses................................... 1.17%(11) 1.33% 1.25% 0.57%(11) 0.60% 0.63%
Net investment income...................... 1.76%(11) 2.08% 1.86% 2.49%(11) 2.65% 1.41%
Portfolio turnover rate(10).................... - 21% 37% - 21% 37%
</TABLE>
- ---------------
(1) Class expenses per share were subtracted from net investment income per
share for the Fund before class expenses to determine net investment income
per share.
(2) Morgan Stanley Asset Management Inc. was added as an investment adviser to
the International Equity Fund as of August 1, 1994.
(3) Average shares outstanding for the period rather than end of period shares
were used to compute net investment income per share.
(4) HD International Limited was replaced by Hotchkis and Wiley as an
investment adviser to the International Equity Fund as of the close of
business on May 21, 1993.
(5) The PlanAhead and AMR Classes commenced active operations on August 1,
1994.
(6) Total return is calculated assuming an initial investment is made at the
net asset value last calculated on the business day before the first day of
each period reported, reinvestment of all dividends and capital gains
distributions on the payable date, accrual for the maximum shareholder
services fee of .30% (for periods prior to August 1, 1994) and a sale at
net asset value on the last day of each period reported.
(7) Total returns for the PlanAhead and AMR Classes for the period ended
October 31, 1994 reflect Institutional Class returns from November 1, 1993
through July 31, 1994 and returns of the applicable class for the period
August 1, 1994 (commencement of operations of the new classes) through
October 31, 1994. Due to the different expense structures between the
classes, total returns would vary from the results shown had the classes
been in operation for the entire year.
20
<PAGE> 22
- --------------------------------------------------------------------------------
(8) Effective August 1, 1994, expenses include administrative services fees
paid by the Fund to the Manager. Prior to that date, expenses exclude
shareholder services fees paid directly by shareholders to the Manager.
Such fees amounted to less than $.04 per share in each period on an
annualized basis.
(9) The method of determining average net assets was changed from a monthly
average to a daily average starting with the period ended October 31, 1994.
(10) On November 1,1995, the American AAdvantage International Equity Fund
invested all of its investable assets in the AMR Investment Services
International Equity Portfolio. The portfolio turnover rate for the year
ended October 31, 1996 is included elsewhere in this report.
(11) The per share amounts and ratios reflect income and expenses assuming
inclusion of the Fund's proportionate share of the income and expenses of
the AMR Investment Services Trust International Equity Portfolio.
21
<PAGE> 23
AMERICAN AADVANTAGE LIMITED-TERM INCOME FUND
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout the period)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Institutional Class
---------------------------------------------------------
Year Ended October 31,
---------------------------------------------------------
1996 1995 1994(1) 1993 1992
-------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period...................... $ 9.82 $ 9.67 $ 10.23 $ 10.13 $ 10.07
-------- -------- -------- -------- --------
Income from Investment Operations:
Net investment income................................. 0.62(9) 0.62 0.52 0.58 0.75
Net gains (losses) on securities (both realized and
unrealized)......................................... (0.14)(9) 0.15 (0.46) 0.15 0.06
-------- -------- -------- -------- --------
Total from investment operations.......................... 0.48 0.77 0.06 0.73 0.81
-------- -------- -------- -------- --------
Less Distributions:
Dividends from net investment income.................. (0.62) (0.62) (0.52) (0.58) (0.75)
Distributions from net realized gains on securities... - - (0.10) (0.05) -
-------- -------- -------- -------- --------
Total distributions....................................... (0.62) (0.62) (0.62) (0.63) (0.75)
-------- -------- -------- -------- --------
Net asset value, end of period............................ $ 9.68 $ 9.82 $ 9.67 $ 10.23 $ 10.13
======== ======== ======== ======== ========
Total return (annualized)(3)(4)........................... 5.10% 8.18% 0.42% 7.20% 7.94%
======== ======== ======== ======== ========
Ratios/Supplemental Data:
Net assets, end of period (in thousands).............. $108,929 $137,293 $112,141 $238,874 $209,928
Ratios to average net assets (annualized)(5)(6)(7):
Expenses.......................................... 0.60%(9) 0.60% 0.31% 0.26% 0.27%
Net investment income............................. 6.41%(9) 6.36% 5.26% 5.76% 7.40%
Portfolio turnover rate(8)............................ - 183% 94% 176% 133%
<CAPTION>
PlanAhead Class AMR Class
----------------------------------- -----------------------------------
Year Ended October 31, Period Ended Year Ended October 31, Period Ended
--------------------- October 31, --------------------- October 31,
1996 1995 1994(1)(2) 1996 1995 1994(1)(2)
------ ------ ------------ ------- ------- ------------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period...................... $ 9.82 $ 9.68 $ 9.78 $ 9.81 $ 9.68 $ 9.78
------ ------ -------- ------- ------- --------
Income from Investment Operations:
Net investment income................................. 0.60 (9) 0.59 0.13 0.65 (9) 0.64 0.14
Net gains (losses) on securities (both realized and
unrealized)......................................... (0.14)(9) 0.14 (0.10) (0.14)(9) 0.13 (0.10)
------ ------ -------- ------- ------- --------
Total from investment operations.......................... 0.46 0.73 0.03 0.51 0.77 0.04
------ ------ -------- ------- ------- --------
Less Distributions:
Dividends from net investment income.................. (0.60) (0.59) (0.13) (0.65) (0.64) (0.14)
Distributions from net realized gains on securities... - - - - - -
------ ------ -------- ------- ------- --------
Total distributions....................................... (0.60) (0.59) (0.13) (0.65) (0.64) (0.14)
------ ------ -------- ------- ------- --------
Net asset value, end of period............................ $ 9.68 $ 9.82 $ 9.68 $ 9.67 $ 9.81 $ 9.68
====== ====== ======== ======= ======= ========
Total return (annualized)(3)(4)........................... 4.83% 7.83% 0.45% 5.38% 8.22% 0.59%
====== ====== ======== ======= ======= ========
Ratios/Supplemental Data:
Net assets, end of period (in thousands).............. $3,399 $1,576 $ 403 $59,526 $64,595 $ 53,445
Ratios to average net assets (annualized)(5)(6)(7):
Expenses.......................................... 0.85% (9) 0.83% 0.79% 0.33%(9) 0.36% 0.33%
Net investment income............................. 6.11% (9) 6.16% 5.10% 6.66%(9) 6.60% 5.77%
Portfolio turnover rate(8)............................ - 183% 94% - 183% 94%
</TABLE>
- ---------------
(1) Average shares outstanding for the period rather than end of period shares
were used to compute net investment income per share.
(2) The PlanAhead and AMR Classes commenced active operations on August 1, 1994.
(3) Total return is calculated assuming an initial investment is made at the net
asset value last calculated on the business day before the first day of each
period reported, reinvestment of all dividends and capital gains
distributions on the payable date, accrual for the maximum shareholder
services fee of .30% (for periods prior to August 1, 1994) and a sale at net
asset value on the last day of each period reported.
(4) Total returns for the PlanAhead and AMR Classes for the period ended October
31, 1994 reflect Institutional Class returns from November 1, 1993 through
July 31, 1994 and returns of the applicable class for the period August 1,
1994 (commencement of operations of the new classes) through October 31,
1994. Due to the different expense structures between the classes, total
returns would vary from the results shown had the classes been in operation
for the entire year.
(5) Effective August 1, 1994, expenses include administrative services fees paid
by the Fund to the Manager. Prior to that date, expenses exclude shareholder
services fees paid directly by shareholders to the Manager. Such fees
amounted to less than $.03 per share in each period on an annualized basis.
22
<PAGE> 24
- --------------------------------------------------------------------------------
(6) The method of determining average net assets was changed from a monthly
average to a daily average starting with the period ended October 31, 1994.
(7) Operating results of the PlanAhead Class exclude fees waived by the Manager.
Results prior to expense waived were as follows:
<TABLE>
<CAPTION>
Year Year Period
Ended October 31, 1996 Ended October 31, 1995 Ended October 31, 1994
---------------------- ---------------------- ----------------------
<S> <C> <C> <C>
Ratio of expenses to average net assets
(annualized)......................... 0.94% 1.06% 1.00%
Ratio of net investment income to
average net assets (annualized)...... 6.02% 5.94% 4.89%
</TABLE>
(8) On November 1, 1995, the American AAdvantage Limited-Term Income Fund
invested all of its investable assets in the AMR Investment Services
Limited-Term Income Portfolio. The portfolio turnover rate for the period
ended October 31, 1996 is included elsewhere in this report.
(9) The per share amounts and ratios reflect income and expenses assuming
inclusion of the Fund's proportionate share of the income and expenses of
the AMR Investment Services Trust Limited-Term Income Portfolio.
23
<PAGE> 25
REPORT OF ERNST & YOUNG LLP, INDEPENDENT AUDITORS
Shareholders and Board of Trustees
AMR Investment Services Balanced Portfolio
AMR Investment Services Growth and Income Portfolio
AMR Investment Services International Equity Portfolio
AMR Investment Services Limited-Term Income Portfolio
We have audited the accompanying statements of assets and liabilities of
the AMR Investment Services Balanced Portfolio, the AMR Investment Services
Growth and Income Portfolio, the AMR Investment Services International Equity
Portfolio, and the AMR Investment Services Limited-Term Income Portfolio
(collectively, "the Portfolios") (separate portfolios comprising the AMR
Investment Services Trust), including the schedules of investments as of October
31, 1996, and the related statements of operations, the statements of changes in
net assets, and the financial highlights for the year then ended. These
financial statements and financial highlights are the responsibility of the
Portfolios' management. Our responsibility is to express an opinion on these
financial statements and financial highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of investments owned as of
October 31, 1996, by correspondence with the custodian. An audit also includes
assessing the accounting principles used and significant estimates made by
management, as well as evaluating the overall financial statement presentation.
We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred
to above present fairly, in all material respects, the financial position of
each of the portfolios of the AMR Investment Services Trust at October 31, 1996,
the results of their operations, the changes in their net assets, and the
financial highlights for the year then ended, in conformity with generally
accepted accounting principles.
/s/ ERNST & YOUNG
Dallas, Texas
December 20, 1996
24
<PAGE> 26
AMR INVESTMENT SERVICES TRUST BALANCED PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Par
Amount Value
-------- --------
(dollars in thousands)
<S> <C> <C>
U.S. GOVERNMENT & AGENCY
OBLIGATIONS - 21.14%
U.S. TREASURY BILLS - 0.78%
Due 11/21/1996.................. $ 4,000 $ 3,989
Due 12/26/1996.................. 3,000 2,978
--------
TOTAL U.S. TREASURY BILLS... 6,967
--------
U.S. TREASURY BONDS - 5.42%
8.75%, Due 8/15/2020............ 7,500 9,237
11.625%, Due 11/15/2004......... 8,370 11,109
13.875%, Due 5/15/2011.......... 1,230 1,868
10.375%, Due 11/15/2012......... 2,000 2,585
8.75%, Due 5/15/2017............ 4,630 5,647
8.125%, Due 8/15/2019........... 10,035 11,594
8.125%, Due 8/15/2021........... 1,045 1,213
7.25%, Due 8/15/2022............ 5,000 5,291
--------
TOTAL U.S. TREASURY BONDS... 48,544
--------
U.S. TREASURY COUPON STRIPS - 1.04%
Due 11/15/2008.................. 796 362
Due 5/15/2011................... 4,000 1,517
Due 8/15/2018................... 4,000 901
Due 11/15/2018.................. 13,000 2,872
Due 8/15/2019................... 11,500 2,413
Due 11/15/2019.................. 6,000 1,238
--------
TOTAL U.S. TREASURY COUPON
STRIPS.................... 9,303
--------
U.S. TREASURY NOTES - 13.90%
7.375%, Due 11/15/1997.......... 1,000 1,018
5.125%, Due 3/31/1998........... 7,500 7,444
5.125%, Due 6/30/1998........... 1,000 991
5.875%, Due 3/31/1999........... 2,750 2,753
6.375%, Due 7/15/1999........... 3,000 3,036
7.125%, Due 9/30/1999........... 12,390 12,777
7.125%, Due 2/29/2000........... 8,190 8,466
5.50%, Due 4/15/2000............ 3,000 2,953
6.125%, Due 7/31/2000........... 2,000 2,006
6.125%, Due 9/30/2000........... 11,950 11,984
8.50%, Due 11/15/2000........... 5,500 5,976
5.625%, Due 11/30/2000.......... 3,000 2,953
6.375%, Due 3/31/2001........... 7,500 7,587
7.50%, Due 11/15/2001........... 3,000 3,176
7.50%, Due 5/15/2002............ 1,000 1,063
<CAPTION>
Par
Amount Value
-------- --------
(dollars in thousands)
<S> <C> <C>
6.375%, Due 8/15/2002........... $ 8,250 $ 8,339
6.25%, Due 2/15/2003............ 9,190 9,222
5.75%, Due 8/15/2003............ 3,000 2,921
5.875%, Due 2/15/2004........... 2,000 1,953
7.25%, Due 5/15/2004............ 1,500 1,584
7.875%, Due 11/15/2004.......... 1,500 1,646
7.50%, Due 2/15/2005............ 5,785 6,215
6.50%, Due 5/15/2005............ 7,000 7,075
6.50%, Due 8/15/2005............ 2,000 2,021
5.875%, Due 11/15/2005.......... 3,000 2,903
5.625%, Due 2/15/2006........... 3,000 2,854
7.875%, Due 2/15/2021........... 325 367
6.25%, Due 8/15/2023............ 3,450 3,237
--------
TOTAL U.S. TREASURY NOTES... 124,520
--------
TOTAL U.S. GOVERNMENT &
AGENCY OBLIGATIONS........ 189,334
--------
U.S. AGENCY MORTGAGE-BACKED OBLIGATIONS - 6.49%
FEDERAL HOME LOAN MORTGAGE
CORPORATION - 1.78%
7.15%, Due 6/27/2000............ 2,115 2,133
7.83%, Due 8/11/2004............ 1,130 1,140
7.75%, Due 5/22/2006............ 2,300 2,341
7.61%, Due 5/24/2006............ 3,000 3,057
Series 1194G, 6.50%, Due
10/15/2006.................... 1,500 1,488
Series 1250F, 7.00%, Due
4/15/2019..................... 887 893
Pool #C00436, 7.50%, Due
12/1/2025..................... 4,894 4,910
--------
TOTAL FEDERAL HOME LOAN
MORTGAGE CORPORATION...... 15,962
--------
FEDERAL NATIONAL MORTGAGE
ASSOCIATION - 3.15%
6.36%, Due 8/16/2000............ 2,090 2,101
7.78%, Due 5/22/2006............ 1,000 1,013
Pool #297492, 6.50%, Due
10/1/2010..................... 26 25
Pool #338030, 6.50%, Due
4/1/2011...................... 311 305
Pool #341332, 6.50%, Due
4/1/2011...................... 676 664
Pool #341382, 6.50%,
Due 4/1/2011.................. 270 264
</TABLE>
See accompanying notes
25
<PAGE> 27
AMR INVESTMENT SERVICES TRUST BALANCED PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Par
Amount Value
-------- --------
(dollars in thousands)
<S> <C> <C>
Pool #342743, 6.50%,
Due 4/1/2011.................. $ 721 $ 708
Pool #337195, 6.50%,
Due 5/1/2011.................. 1,356 1,332
Pool #344287, 6.50%,
Due 5/1/2011.................. 493 485
Pool #344429, 6.50%,
Due 5/1/2011.................. 129 127
Series 1349PG, 6.50%,
Due 5/15/2014................. 400 401
Pool #66185, 6.059%,
Due 7/1/2018.................. 1,737 1,702
Series 1992-143G, 6.75%,
Due 10/25/2018................ 500 502
Series 1989-21G, 10.45%,
Due 4/25/2019................. 209 228
Pool #218949, 7.50%,
Due 12/1/2023................. 936 950
Pool #266196, 7.114%,
Due 1/1/2024.................. 1,581 1,597
TBA, 7.50% Due 9/23/2024........ 1,670 1,673
Pool #306505, 8.00%,
Due 3/1/2025.................. 1,411 1,439
Pool #308798, 7.32%,
Due 4/1/2025.................. 371 382
Pool #303585, 7.00%,
Due 10/1/2025................. 733 719
Pool #250414, 7.00%,
Due 12/1/2025................. 2,421 2,374
Pool #339141, 7.00%,
Due 3/1/2026.................. 5,488 5,381
Pool #341041, 7.00%,
Due 4/1/2026.................. 29 28
TBA, 8.00%, Due 11/13/2026...... 3,700 3,774
--------
TOTAL FEDERAL NATIONAL
MORTGAGE ASSOCIATION...... 28,174
--------
GOVERNMENT NATIONAL MORTGAGE
ASSOCIATION - 1.56%
Pool #102932, 10.50%,
Due 9/15/1998................. 12 12
Series 1994-2 Cl O, 7.99125%,
Due 4/16/2010................. 1,488 1,527
Pool #180220, 9.00%,
Due 10/15/2016................ 887 938
TBA, 8.00%, Due 2/1/2020........ 1,640 1,677
Pool #340063, 7.50%,
Due 12/15/2022................ 20 21
<CAPTION>
Par
Amount Value
-------- --------
(dollars in thousands)
<S> <C> <C>
Pool #339886, 7.50%,
Due 1/15/2023................. $ 463 $ 465
Pool #349306, 8.00%,
Due 2/15/2023................. 2,525 2,581
Pool #345300, 7.00%,
Due 3/15/2023................. 878 861
Pool #344261, 7.50%,
Due 4/15/2023................. 505 507
Pool #336950, 7.50%,
Due 4/15/2023................. 783 786
Pool #355479, 8.00%,
Due 5/15/2023................. 1,518 1,552
Pool #320073, 7.00%,
Due 6/15/2023................. 20 20
Pool #341926, 8.00%,
Due 6/15/2023................. 17 18
Pool #352117, 8.00%,
Due 7/15/2023................. 1,131 1,157
Pool #355721, 7.50%,
Due 7/15/2023................. 157 158
Pool #344979, 7.50%,
Due 8/15/2023................. 451 453
Pool #1849, 8.50%,
Due 8/20/2024................. 563 580
TBA, 7.50%, Due 6/1/2025........ 630 632
--------
TOTAL GOVERNMENT NATIONAL
MORTGAGE ASSOCIATION...... 13,945
--------
TOTAL U.S. AGENCY
MORTGAGE-BACKED
OBLIGATIONS............... 58,081
--------
ASSET-BACKED SECURITIES -- 2.21%
American Express Master Trust
1992-1 A, 6.05%,
Due 6/15/1998................. 2,250 2,256
AT&T Universal Card Master
Trust, 1995-2A, 5.95%,
Due 10/17/2002................ 550 545
Boatmen's Auto Trust, 1996-A A2,
6.35%, Due 1/15/2003.......... 850 856
Chase Manhattan Credit Card
Master Trust, 1996-4A, 6.73%,
Due 2/15/2003................. 1,550 1,576
Chemical Master Credit Card
Trust 1, 1996-1A, 5.55%,
Due 9/15/2003................. 810 789
Chemical Master Credit Card
Trust 1, 1995-3A, 6.23%,
Due 4/15/2005................. 990 980
</TABLE>
See accompanying notes
26
<PAGE> 28
AMR INVESTMENT SERVICES TRUST BALANCED PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Par
Amount Value
-------- --------
(dollars in thousands)
<S> <C> <C>
Citibank Credit Card Master
Trust I, 1996-1A, Zero Coupon,
Due 2/7/2003.................. $ 1,410 $ 1,075
ContiMortgage Home Equity Loan
Trust, 1994-4 A2, 7.96%,
Due 9/15/2009................. 2,003 2,046
Discover Card Master Trust I,
1996-3A, 6.05%,
Due 8/18/2008................. 1,010 958
General Electric Railcar Trust,
1992-1A, 7.75%,
Due 6/1/2004.................. 601 629
NationsBank Auto Owner Trust,
1996-A A3, 6.375%,
Due 7/15/2000................. 2,550 2,567
NationsBank Credit Card Master
Trust, 1993-2A, 6.00%,
Due 12/15/2005................ 1,060 1,027
Olympic Automobile Receivables
Trust, 1993-CA, 4.50%,
Due 2/15/2000................. 173 172
Prime Credit Card Master Trust,
1996-1A, 6.70%,
Due 7/15/2004................. 500 508
Sears Credit Account Master
Trust, 1995-5A, 6.05%,
Due 1/16/2008................. 720 704
Sears Credit Account Master
Trust, 1996-4A, 6.45%,
Due 10/16/2006................ 440 442
Signet Credit Card Master Trust,
1994-4A, 6.80%,
Due 12/15/2000................ 1,800 1,817
UCFC Home Equity Loan, 1994-C1
A2, 7.275%, Due 6/10/2007..... 380 382
Western Financial Grantor
Trust,1994-3 A2, 6.65%,
Due 12/1/1999................. 471 475
--------
TOTAL ASSET-BACKED
SECURITIES................ 19,804
--------
NON-AGENCY MORTGAGE-BACKED
OBLIGATIONS -- 1.24%
Citicorp Mortgage Securities,
Incorporated, 1987-14 A1,
9.50%, Due 9/25/2002.......... 608 619
Citicorp Mortgage Securities,
Incorporated, 1987-5 A1,
8.50%, Due 4/25/2017.......... 646 644
Citicorp Mortgage Securities,
Incorporated, 1990-4 A5,
9.50%, Due 3/25/2005.......... 836 833
<CAPTION>
Par
Amount Value
-------- --------
(dollars in thousands)
<S> <C> <C>
DLJ Mortgage Acceptance
Corporation, 1994-Q1 2A1,
4.56029%, Due 3/25/2024....... $ 498 $ 490
General Electric Capital
Mortgage Services,
Incorporated, 1992-4A A4,
8.00%, Due 4/25/2022.......... 614 625
Green Tree Financial
Corporation, 1993-3 A5, 5.75%,
Due 10/15/2018................ 990 969
Green Tree Financial
Corporation, 1994-5 A2, 7.30%,
Due 11/15/2019................ 690 701
Green Tree Financial
Corporation, 1996-8 A4, 7.00%,
Due 10/15/2027................ 1,300 1,327
Independent National Mortgage
Corporation, 1995-F A5, 8.25%,
Due 5/25/2010................. 600 623
Independent National Mortgage
Corporation, 1995W A2, 7.25%
Due 2/25/2026................. 1,500 1,435
The Money Store Home Equity
Trust, 7.66%, Due 8/15/2026... 1,500 1,508
Residential Asset Securitization
Trust, 1996-A3 A11, 7.50%,
Due 7/25/2011................. 976 994
Residential Funding Mortgage 1,
1993-S28 A4, 6.35%,
Due 8/25/2023................. 300 296
--------
TOTAL NON-AGENCY
MORTGAGE-BACKED
OBLIGATIONS............... 11,064
--------
CORPORATE BONDS -- 10.13%
FINANCIAL -- 5.12%
American General Financial,
7.25%, Due 5/15/2005.......... 410 418
Associates Corporation of
North America 7.50%,
Due 5/15/1999................. 80 82
BankAmerica Corporation, 7.50%,
Due 3/15/1997................. 960 966
BankAmerica Corporation, 9.75%,
Due 7/1/2000.................. 600 664
BankAmerica Corporation, 7.20%,
Due 4/15/2006................. 1,280 1,294
Bankers Trust New York, 8.25%,
Due 5/1/2005.................. 740 795
BanPonce, 7.30%,
Due 6/5/2002.................. 640 657
Capital One Bank, 6.73%,
Due 6/4/1998.................. 2,500 2,516
</TABLE>
See accompanying notes
27
<PAGE> 29
AMR INVESTMENT SERVICES TRUST BALANCED PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Par
Amount Value
-------- --------
(dollars in thousands)
<S> <C> <C>
Chase Manhattan Corporation,
7.625%, Due 1/15/2003......... $ 200 $ 209
Chase Manhattan Corporation,
8.625%, Due 5/1/2002.......... 700 763
Chemical Banking Corporation,
FRN, 6.2125%,
Due 6/15/2000................. 2,300 2,309
Chemical New York Corporation,
9.75%, Due 6/15/2099.......... 900 975
Countrywide Funding Corporation,
7.20%, Due 1/15/2006.......... 2,190 2,218
Dean Witter Discover, 6.875%,
Due 3/1/2003.................. 1,290 1,298
First Union Corporation, 7.05%,
Due 8/1/2005.................. 840 841
Fleet Mortgage Group,
Incorporated, 6.125%,
Due 8/15/1997................. 930 932
Ford Motor Credit Company,
9.25%, Due 6/15/1998.......... 1,000 1,048
Ford Motor Credit Company,
7.95%, Due 5/17/1999.......... 2,000 2,080
Ford Motor Credit Company,
8.20%, Due 2/15/2002.......... 1,510 1,611
General Motors Acceptance
Corporation, 6.65%,
Due 5/24/2000................. 2,700 2,719
General Motors Acceptance
Corporation, 6.75%,
Due 6/17/2002................. 1,140 1,146
Health & Rehab, FRN, 6.9875%,
Due 7/13/1999................. 1,000 997
International Business Machines,
Incorporated, 7.00%,
Due 10/30/2025................ 1,290 1,242
Lehman Brothers Holding,
Incorporated, 7.41%,
Due 5/25/1999................. 500 510
Lehman Brothers, 6.625%,
Due 2/15/2000................. 570 568
Lehman Brothers, Incorporated,
5.04%, Due 12/15/2003......... 1,000 1,004
National Bank Of Detroit,
7.125%, Due 5/15/2007......... 700 701
NationsBank Corporation, 7.00%,
Due 9/15/2001................. 750 764
Paine Webber, 7.625%,
Due 10/15/2008................ 2,200 2,227
PNC Funding Corporation, 6.125%,
Due 9/1/2003.................. 1,000 961
<CAPTION>
Par
Amount Value
-------- --------
(dollars in thousands)
<S> <C> <C>
Salomon Incorporated, 7.05%,
Due 1/15/1998................. $ 800 $ 807
Salomon Incorporated, 7.00%,
Due 1/20/1998................. 390 394
Salomon Incorporated, 5.53%,
Due 1/30/1998................. 1,500 1,487
Salomon Incorporated, 6.04%,
Due 7/9/1998.................. 625 622
Salomon Incorporated, 6.70%,
Due 12/1/1998................. 390 393
Salomon Incorporated, 5.395%,
Due 4/5/1999.................. 500 497
Society National Bank, 7.25%,
Due 6/1/2005.................. 800 813
St. Paul Companies, 9.375%,
Due 6/15/1997................. 600 613
Taubman Realty Group, 8.00%, Due
6/15/1999..................... 2,000 2,038
Taubman Realty Group, 5.75%,
Due 11/3/1997................. 1,500 1,498
Travelers/Aetna P & C, 6.75%,
Due 4/15/2001................. 1,300 1,312
Westpac Banking Corporation,
7.875%, Due 10/15/2002........ 800 847
--------
TOTAL FINANCIAL............. 45,836
--------
INDUSTRIAL -- 3.17%
American Home Products, 7.70%,
Due 2/15/2000................. 450 469
Atlantic Richfield Corporation,
8.50%, Due 4/1/2012........... 870 999
Atlantic Richfield Corporation,
8.75%, Due 3/1/2032........... 610 714
The Boeing Company, 8.625%, Due
11/15/2031.................... 620 724
Capital Cities/ABC, 8.875%,
Due 12/15/2000................ 1,000 1,086
CIT Group Holdings, 6.375%,
Due 5/21/1999................. 750 755
Coca-Cola Company, 6.625%,
Due 10/1/2002................. 1,000 1,007
Columbia/HCA Health, 7.69%, Due
6/15/2025..................... 730 756
Dresser Industries, 6.25%,
Due 6/1/2000.................. 2,000 1,996
E.I. DuPont de Nemours &
Company, 6.75%,
Due 10/15/2002................ 1,000 1,013
Exxon Capital Corporation,
7.45%, Due 12/15/2001......... 1,000 1,046
</TABLE>
See accompanying notes
28
<PAGE> 30
AMR INVESTMENT SERVICES TRUST BALANCED PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Par
Amount Value
-------- --------
(dollars in thousands)
<S> <C> <C>
Heinz H.J. Company, 5.50%,
Due 9/15/1997................. $ 520 $ 519
Legrand, 8.50%, Due 2/15/2025... 820 917
Lockheed Martin Corporation,
7.45%, Due 6/15/2004.......... 1,390 1,442
The May Department Store
Company, 9.75%,
Due 2/15/2021................. 400 468
News America Holdings, 9.25%,
Due 2/1/2013.................. 710 800
Occidential Petroleum
Corporation, 8.50%, Due
9/15/2004..................... 2,000 2,109
Pepsico Incorporated, 7.00%,
Due 11/15/1996................ 550 550
Philip Morris Companies,
Incorporated, 8.25%,
Due 10/15/2003................ 640 685
Philip Morris Companies,
Incorporated, 8.375%,
Due 1/15/2017................. 625 640
Pohang Iron & Steel, 7.375%,
Due 5/15/2005................. 750 763
RJR Nabisco, 8.75%, Due
8/15/2005..................... 1,000 996
RJR Nabisco, 8.00%, Due
7/15/2001..................... 1,750 1,761
Sears Roebuck Acceptance, 6.82%,
Due 10/17/2002................ 2,710 2,724
Sysco Corporation, 7.00%,
Due 5/1/2006.................. 1,000 1,012
Tenneco, Incorporated, 10.00%,
Due 8/1/1998.................. 1,000 1,063
Texaco Cap, MTN, 6.19%,
Due 7/9/2003.................. 750 727
WMX Technologies, 6.22%,
Due 4/30/2004................. 590 631
--------
TOTAL INDUSTRIAL............ 28,372
--------
UTILITY -- 0.32%
General Telephone Southwest,
Incorporated, 8.50%,
Due 11/15/2031................ 600 677
Pacific Bell Telephone, 8.70%,
Due 6/15/2001................. 670 727
Southern California Edison
Company, 8.25%,
Due 2/1/2000.................. 1,425 1,501
--------
TOTAL UTILITY............... 2,905
--------
<CAPTION>
Par
Amount Value
-------- --------
(dollars in thousands)
<S> <C> <C>
FOREIGN BONDS -- 1.52%
ABN AMRO, 7.27%,
Due 5/31/2005................. $ 690 $ 704
ANZ Banking, 6.25%,
Due 2/1/2004.................. 770 737
BCH Cayman Islands Limited,
7.70%, Due 7/15/2006.......... 850 875
Hanson Overseas, 7.375%,
Due 1/15/2003................. 600 617
Hydro-Quebec, 7.375%,
Due 2/1/2003.................. 400 414
Hydro-Quebec, 9.40%,
Due 2/1/2021.................. 1,800 2,160
Hydro-Quebec, 8.875%,
Due 3/1/2026.................. 1,200 1,376
Kansallis-Osake-Pankki Bank,
10.00%, Due 5/1/2002.......... 810 924
Korea Development Bank, 5.875%,
Due 12/1/1998................. 100 99
Korea Development Bank, 6.25%,
Due 5/1/2000.................. 770 765
Midland Bank PLC, 7.625%,
Due 6/15/2006................. 910 946
Province of Newfoundland,
9.875%, Due 6/1/2020.......... 250 314
Province of Quebec, 8.80%,
Due 4/15/2003................. 335 371
Province of Quebec, 5.735%,
Due 3/2/2026.................. 890 864
Santander Financial Issuance
Limited, 7.75%,
Due 5/15/2005................. 250 260
Santander Financial Issuance
Limited, 7.00%,
Due 4/1/2006.................. 460 457
Svenska Handelsbanken, 8.35%,
Due 7/15/2004................. 740 804
Swiss Bank Corporation, 7.50%,
Due 7/15/2025................. 950 957
--------
TOTAL FOREIGN BONDS......... 13,644
--------
TOTAL CORPORATE BONDS....... 90,757
--------
<CAPTION>
Shares
--------
<S> <C> <C>
COMMON STOCK -- 56.85%
FOREIGN STOCKS -- 1.19%
Arthur Guinness & Sons, ADR..... 24,700 885
British Petroleum PLC, ADR...... 10,000 1,286
British Telecom PLC, ADR........ 22,300 1,285
</TABLE>
See accompanying notes
29
<PAGE> 31
AMR INVESTMENT SERVICES TRUST BALANCED PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
-------- --------
(dollars in thousands)
<S> <C> <C>
Ciba-Geigy AG................... 30,000 $ 1,855
Elf Aquitane SA................. 36,100 1,449
Hanson PLC, ADR................. 301,300 1,921
Imperial Tobacco Group PLC...... 30,000 350
Royal Dutch Petroleum Company,
New York Registry............. 10,000 1,654
--------
TOTAL FOREIGN STOCKS........ 10,685
--------
CONSUMER STAPLES -- 9.05%
DEPARTMENT AND MAIL ORDER -- 1.37%
J.C. Penney Company,
Incorporated.................. 96,075 5,044
K Mart Corporation.............. 359,600 3,506
The May Department Store
Company....................... 32,500 1,540
Sears Roebuck & Company......... 45,000 2,177
--------
TOTAL DEPARTMENT AND MAIL
ORDER..................... 12,267
--------
DISTILLERS AND BREWERS - 0.66%
Anheuser-Busch Companies,
Incorporated.................. 123,000 4,736
Brown-Foreman, Incorporated..... 26,700 1,155
--------
TOTAL DISTILLERS AND
BREWERS................... 5,891
--------
DRUGS AND HOSPITAL SUPPLY - 2.50%
American Home Products
Corporation................... 82,100 5,029
Baxter International,
Incorporated.................. 55,000 2,289
Bristol-Myers Squibb Company.... 48,600 5,139
Horizon / CMS Healthcare
Corporation................... 120,675 1,252
Merck & Company, Incorporated... 35,000 2,594
Pharmacia & Upjohn,
Incorporated.................. 47,300 1,703
Warner Lambert, Incorporated.... 68,700 4,371
--------
TOTAL DRUGS AND
HOSPITAL SUPPLY........... 22,377
--------
FOOD PROCESSING - 0.23%
Archer Daniels Midland Company.. 94,500 2,055
--------
TOTAL FOOD PROCESSING....... 2,055
--------
FOODS - 0.16%
Nabisco Holdings Corporation,
Class A....................... 37,900 1,412
--------
TOTAL FOODS................. 1,412
--------
<CAPTION>
Shares Value
-------- --------
(dollars in thousands)
<S> <C> <C>
LEISURE - 0.36%
Hasbro, Incorporated............ 35,200 $ 1,368
King World Productions,
Incorporated (non-income
producing).................... 11,200 403
Toys R Us, Incorporated......... 44,500 1,507
--------
TOTAL LEISURE............... 3,278
--------
PHOTOGRAPHY - 1.14%
Eastman Kodak Company........... 127,900 10,200
--------
TOTAL PHOTOGRAPHY........... 10,200
--------
PUBLISHING - 0.26%
A.H. Belo, Incorporated, Class
A............................. 60,700 2,367
--------
TOTAL PUBLISHING............ 2,367
--------
TOBACCO - 2.37%
American Brands, Incorporated... 91,400 4,364
Philip Morris Companies,
Incorporated.................. 152,389 14,115
RJR Nabisco Holdings............ 95,700 2,763
--------
TOTAL TOBACCO............... 21,242
--------
TOTAL CONSUMER STAPLES...... 81,089
--------
INTEREST SENSITIVE - 21.77%
BANKS - 7.37%
Bank America Corporation........ 152,000 13,908
Bank of Boston Corporation...... 40,000 2,560
Bankers Trust Company
New York...................... 19,400 1,639
Chase Manhattan Corporation..... 196,200 16,824
Corestates Financial
Corporation................... 16,000 778
First Chicago NBD............... 130,681 6,665
First of America Bank
Corporation................... 50,000 2,719
First Security Corporation...... 60,000 1,763
First Union Corporation......... 20,000 1,455
Fleet Financial Group,
Incorporated.................. 25,000 1,247
J.P. Morgan & Company,
Incorporated.................. 33,000 2,850
Norwest Corporation............. 183,900 8,069
PNC Bank Corporation............ 115,000 4,169
Wells Fargo and Company......... 5,000 1,336
--------
TOTAL BANKS................. 65,982
--------
BUILDING AND MATERIALS - 0.42%
PPG Industries, Incorporated.... 66,500 3,791
--------
TOTAL BUILDING AND
MATERIALS................. 3,791
--------
</TABLE>
See accompanying notes
30
<PAGE> 32
AMR INVESTMENT SERVICES TRUST BALANCED PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
-------- --------
(dollars in thousands)
<S> <C> <C>
FINANCE - 0.68%
Beneficial Corporation.......... 35,000 $ 2,048
Household International,
Incorporated.................. 30,000 2,655
Paine Webber Group,
Incorporated.................. 58,900 1,384
--------
TOTAL FINANCE............... 6,087
--------
INSURANCE - LIFE AND MULTI-
LINE - 2.58%
Aetna Incorporated.............. 75,600 5,056
American Financial Group,
Incorporated.................. 12,600 452
American General Corporation.... 26,000 969
Aon Corporation................. 114,300 6,601
Lincoln National Corporation.... 45,000 2,183
Old Republic International
Corporation................... 121,000 2,995
Travelers Corporation........... 89,503 4,856
--------
TOTAL INSURANCE - LIFE AND
MULTI-LINE................ 23,112
--------
INSURANCE - PROPERTY AND
CASUALTY - 1.32%
Allstate Corporation............ 113,300 6,359
Chubb Corporation............... 20,000 1,000
St. Paul Companies.............. 60,000 3,263
TIG Holdings, Incorporated...... 42,000 1,213
--------
TOTAL INSURANCE - PROPERTY
AND
CASUALTY.................. 11,835
--------
SAVINGS AND LOAN - 0.48%
Great Western Financial
Corporation................... 75,000 2,100
H.F. Ahmanson & Company......... 70,000 2,196
--------
TOTAL SAVINGS AND LOAN...... 4,296
--------
UTILITIES - ELECTRIC - 3.56%
Central and Southwest
Corporation................... 48,500 1,285
CMS Energy Corporation.......... 60,000 1,898
DTE Energy Company.............. 83,700 2,521
Edison International............ 80,000 1,580
Entergy Corporation............. 383,000 10,724
Illinova Corporation............ 60,000 1,635
Northeast Utilities............. 287,400 3,090
Potomac Electric Power.......... 23,900 612
PP&L Resources, Incorporated.... 25,000 584
<CAPTION>
Shares Value
-------- --------
(dollars in thousands)
<S> <C> <C>
Public Service Enterprise Group,
Incorporated.................. 45,400 $ 1,220
Rochester Gas and Electric,
Incorporated.................. 30,000 559
Unicom Corporation.............. 238,100 6,191
--------
TOTAL UTILITIES -
ELECTRIC.................. 31,899
--------
UTILITIES - NATURAL GAS - 1.95%
Consolidated Natural Gas
Company....................... 149,200 7,926
Panenergy Corporation........... 193,500 7,450
Peoples Energy Corporation...... 58,000 2,045
--------
TOTAL UTILITIES -
NATURAL GAS............... 17,421
--------
UTILITIES - TELEPHONE - 1.35%
AT&T Corporation................ 30,000 1,046
NYNEX Corporation............... 32,000 1,424
Pacific Telesis Group,
Incorporated.................. 96,500 3,281
SBC Communications.............. 14,400 700
US West, Incorporated........... 184,200 5,595
--------
TOTAL UTILITIES -
TELEPHONE................. 12,046
--------
MISCELLANEOUS - INTEREST
SENSITIVE - 2.06%
American Express Company........ 205,600 9,663
Dean Witter Discover & Company.. 22,600 1,331
Federal Home Loan Mortgage
Corporation................... 20,800 2,101
Federal National Mortgage
Association................... 117,200 4,585
Fund American Enterprises,
Incorporated.................. 8,800 789
--------
TOTAL MISCELLANEOUS -
INTEREST SENSITIVE........ 18,469
--------
TOTAL INTEREST
SENSITIVE................. 194,938
--------
CONSUMER CYCLICALS - 3.55%
AUTOMOBILE AND TRUCK - 3.27%
Dana Corporation................ 208,200 6,168
Eaton Corporation............... 25,000 1,494
Ford Motor Company.............. 408,200 12,756
General Motors Corporation...... 164,800 8,879
--------
TOTAL AUTOMOBILE AND
TRUCK..................... 29,297
--------
</TABLE>
See accompanying notes
31
<PAGE> 33
AMR INVESTMENT SERVICES TRUST BALANCED PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
-------- --------
(dollars in thousands)
<S> <C> <C>
ELECTRICAL HOUSEHOLD
EQUIPMENT - 0.13%
Whirlpool Corporation........... 24,400 $ 1,153
--------
TOTAL ELECTRICAL HOUSEHOLD
EQUIPMENT................. 1,153
--------
TIRE AND RUBBER - 0.15%
Goodyear Tire & Rubber Company.. 28,800 1,321
--------
TOTAL TIRE AND RUBBER....... 1,321
--------
TOTAL CONSUMER CYCLICALS.... 31,771
--------
INTERMEDIATE GOODS & SERVICES - 13.37%
CHEMICALS - 1.60%
ARCO Chemical Company........... 35,000 1,671
Dow Chemical.................... 27,000 2,099
E.I. DuPont de Nemours &
Company....................... 27,000 2,504
Eastman Chemical Company........ 38,900 2,052
FMC Corporation (non-income
producing).................... 58,300 4,292
Olin Corporation................ 40,000 1,700
--------
TOTAL CHEMICALS............. 14,318
--------
FOREST PRODUCTS - 1.28%
Boise Cascade Corporation....... 46,700 1,448
Georgia-Pacific Corporation..... 15,000 1,125
International Paper Company..... 55,000 2,351
Louisiana Pacific Corporation... 59,200 1,236
Mead Corporation................ 12,000 681
Millenium Chemicals,
Incorporated.................. 31,172 631
Union Camp Corporation.......... 40,000 1,950
Weyerhaeuser Company............ 45,000 2,064
--------
TOTAL FOREST PRODUCTS....... 11,486
--------
METALS - ALUMINUM - 0.39%
Alumax, Incorporated............ 43,000 1,381
Aluminum Company of America..... 36,000 2,111
--------
TOTAL METALS - ALUMINUM..... 3,492
--------
NATURAL GAS TRANSMISSION - 0.20%
Coastal Corporation............. 40,700 1,750
--------
TOTAL NATURAL GAS
TRANSMISSION.............. 1,750
--------
OIL - 6.40%
Amoco Corporation............... 120,500 9,128
Ashland, Incorporated........... 50,000 2,125
Atlantic Richfield
Corporation................... 15,000 1,988
<CAPTION>
Shares Value
-------- --------
(dollars in thousands)
<S> <C> <C>
Chevron Corporation............. 30,000 $ 1,973
Exxon Corporation............... 62,600 5,548
Louisiana Land and Exploration
Company....................... 25,400 1,445
Mobil Corporation............... 10,000 1,168
Phillips Petroleum Company...... 217,300 8,909
Tenneco, Incorporated........... 205,000 10,148
Texaco, Incorporated............ 82,900 8,425
Ultramar Corporation............ 70,000 2,004
Union Pacific Resources Group,
Incorporated.................. 78,600 2,162
Union Texas Petroleum Holdings,
Incorporated.................. 105,700 2,259
--------
TOTAL OIL................... 57,282
--------
OIL SERVICE - 0.45%
Baker Hughes, Incorporated...... 113,200 4,033
--------
TOTAL OIL SERVICE........... 4,033
--------
TRANSPORTATION - 1.71%
Conrail, Incorporated........... 17,500 1,665
CSX Corporation................. 120,300 5,188
Norfolk Southern Corporation.... 77,100 6,872
Ryder Systems, Incorporated..... 55,000 1,636
--------
TOTAL TRANSPORTATION........ 15,361
--------
MISCELLANEOUS - INTERMEDIATE
GOODS & SERVICES - 1.34%
Browning-Ferris Industries...... 71,500 1,877
Dresser Industries,
Incorporated.................. 146,700 4,823
Federal-Mogul Corporation....... 46,200 1,034
GATX Corporation................ 40,000 1,910
LTV Corporation................. 30,200 310
Mapco, Incorporated............. 33,800 1,052
USX-US Steel Group.............. 35,400 965
--------
TOTAL MISCELLANEOUS -
INTERMEDIATE GOODS &
SERVICES.................. 11,971
--------
TOTAL INTERMEDIATE GOODS &
SERVICES.................. 119,693
--------
CAPITAL GOODS - 7.92%
AEROSPACE - 4.27%
Allegheny Teledyne,
Incorporated.................. 23,100 494
Coltec Industries, Incorporated
(non-income producing)........ 120,700 2,082
Harsco Corporation.............. 30,000 1,916
Lockheed Martin Corporation..... 102,299 9,169
</TABLE>
See accompanying notes
32
<PAGE> 34
AMR INVESTMENT SERVICES TRUST BALANCED PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
-------- --------
(dollars in thousands)
<S> <C> <C>
Northrop Corporation............ 25,000 $ 2,019
Raytheon Company................ 209,300 10,308
Rockwell International
Corporation................... 40,000 2,200
Textron, Incorporated........... 70,100 6,221
Thiokol Corporation............. 45,400 1,901
United Technologies
Corporation................... 15,000 1,931
--------
TOTAL AEROSPACE............. 38,241
--------
ELECTRICAL EQUIPMENT - 1.32%
General Electric Corporation.... 25,000 2,419
Honeywell, Incorporated......... 40,300 2,504
ITT Industries, Incorporated.... 119,500 2,778
Sunbeam-Oster Company........... 57,500 1,416
Westinghouse Electric
Corporation................... 157,400 2,695
--------
TOTAL ELECTRICAL
EQUIPMENT................. 11,812
--------
ELECTRONICS - INDUSTRIAL - 0.29%
Advanced Micro Devices.......... 72,700 1,290
Lam Research Corporation........ 25,000 609
Teradyne, Incorporated.......... 43,400 689
--------
TOTAL ELECTRONICS -
INDUSTRIAL................ 2,588
--------
MACHINERY - 0.37%
Caterpillar Tractor Company..... 8,600 590
Deere and Company............... 42,000 1,754
Tecumseh Products Company....... 17,900 1,007
--------
TOTAL MACHINERY............. 3,351
--------
NEWSPAPERS-PUBLISHING &
PRINTING - 0.15%
Gannett Company................. 17,800 1,351
--------
TOTAL NEWSPAPERS-PUBLISHING
& PRINTING................ 1,351
--------
<CAPTION>
Shares Value
-------- --------
(dollars in thousands)
<S> <C> <C>
OFFICE EQUIPMENT - 1.52%
Apple Computer, Incorporated.... 23,400 $ 538
International Business Machines
Corporation................... 26,900 3,470
Storage Tech Group.............. 45,200 1,927
Xerox Corporation............... 164,700 7,638
--------
TOTAL OFFICE EQUIPMENT...... 13,573
--------
TOTAL CAPITAL GOODS......... 70,916
--------
TOTAL COMMON STOCK.......... 509,092
--------
<CAPTION>
Par
Amount
--------
<S> <C> <C>
SHORT-TERM INVESTMENTS (NOTE A) - 2.53%
Bank Brussells Lambert Euro TD,
6.00%, Due 11/1/1996.......... $ 8,453 8,453
Bank of Tokyo Mitsubishi,
Limited, YCD, 5.60%, Due
11/14/1996.................... 10,000 10,000
Dai-Ichi Kangyo Bank, Limited,
BA, 5.45%, Due 11/20/1996..... 4,200 4,200
--------
TOTAL SHORT-TERM
INVESTMENTS............... 22,653
--------
TOTAL INVESTMENTS - 100.59%
(COST $764,769)............... 900,785
--------
LIABILITIES, NET OF OTHER
ASSETS - (0.59%).............. (5,303)
--------
TOTAL NET ASSETS - 100%......... $895,482
=========
</TABLE>
- ---------------
Based on the cost of investments of $766,140 for federal income tax purposes at
October 31, 1996, the aggregate gross unrealized appreciation was $143,793, the
aggregate gross unrealized depreciation was $9,148, and the net unrealized
appreciation of investments was $134,645.
(A) Rates associated with short-term investments represent yield to maturity.
ABBREVIATIONS:
ADR - American Depositary Receipt
AG - Company
BA - Bankers Acceptance
FRN - Floating Rate Note
MTN - Medium Term Note
PLC - Public Limited Corporation
SA - Company
TBA - To Be Announced
TD - Time Deposit
YCD - Yankee Certificate of Deposit
See accompanying notes
33
<PAGE> 35
AMR INVESTMENT SERVICES TRUST GROWTH AND INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
---------- ----------
(dollars in thousands)
<S> <C> <C>
COMMON STOCK - 97.08%
FOREIGN STOCKS - 3.20%
Arthur Guinness & Sons,
ADR....................... 197,000 $ 7,057
British Petroleum PLC,
ADR....................... 33,000 4,244
British Telecom PLC, ADR.... 40,100 2,310
Ciba-Geigy AG............... 35,000 2,164
Elf Aquitane SA............. 48,100 1,930
Exel Limited................ 150,000 5,700
Hanson PLC, ADR............. 1,021,400 6,511
Imperial Tobacco Group
PLC....................... 108,400 1,265
Royal Dutch Petroleum
Company, New York
Registry.................. 27,000 4,465
----------
TOTAL FOREIGN STOCKS.... 35,646
----------
CONSUMER STAPLES - 16.67%
DEPARTMENT AND MAIL ORDER - 2.12%
J.C. Penney Company,
Incorporated.............. 272,600 14,312
K Mart Corporation.......... 359,400 3,504
The May Department Store
Company................... 60,000 2,843
Sears Roebuck & Company..... 60,000 2,903
----------
TOTAL DEPARTMENT AND
MAIL ORDER............ 23,562
----------
DISTILLERS AND BREWERS - 1.35%
Anheuser-Busch Companies,
Incorporated.............. 197,200 7,592
Brown-Foreman,
Incorporated.............. 171,400 7,413
----------
TOTAL DISTILLERS AND
BREWERS............... 15,005
----------
DRUGS AND HOSPITAL SUPPLY - 4.19%
American Home Products
Corporation............... 109,300 6,694
Baxter International,
Incorporated.............. 65,000 2,705
Bristol-Myers Squibb
Company................... 159,700 16,888
Horizon / CMS Healthcare
Corporation............... 509,700 5,288
Merck & Company,
Incorporated.............. 60,000 4,447
Pharmacia & Upjohn,
Incorporated.............. 87,800 3,160
Warner Lambert,
Incorporated.............. 116,300 7,400
----------
TOTAL DRUGS AND HOSPITAL
SUPPLY................ 46,582
----------
<CAPTION>
Shares Value
---------- ----------
(dollars in thousands)
<S> <C> <C>
FOOD PROCESSING - 0.18%
Archer Daniels Midland
Company................... 81,900 $ 1,781
Heinz H.J. Company.......... 5,000 178
----------
TOTAL FOOD PROCESSING... 1,959
----------
FOODS - 0.71%
Nabisco Holdings
Corporation, Class A...... 212,900 7,931
----------
TOTAL FOODS............. 7,931
----------
LEISURE - 1.28%
Hasbro, Incorporated........ 203,400 7,907
King World Productions,
Incorporated (non-income
producing)................ 66,900 2,408
Toys R Us, Incorporated..... 116,700 3,953
----------
TOTAL LEISURE........... 14,268
----------
PHOTOGRAPHY - 1.57%
Eastman Kodak Company....... 218,600 17,433
----------
TOTAL PHOTOGRAPHY....... 17,433
----------
PUBLISHING - 0.82%
A.H. Belo, Incorporated,
Class A................... 235,600 9,188
----------
TOTAL PUBLISHING........ 9,188
----------
TOBACCO - 4.32%
American Brands,
Incorporated.............. 138,900 6,632
Philip Morris Companies,
Incorporated.............. 346,600 32,104
RJR Nabisco Holdings........ 322,520 9,313
----------
TOTAL TOBACCO........... 48,049
----------
MISCELLANEOUS - CONSUMER STAPLES - 0.13%
Gibson Greetings,
Incorporated.............. 90,550 1,415
----------
TOTAL MISCELLANEOUS -
CONSUMER STAPLES...... 1,415
----------
TOTAL CONSUMER
STAPLES............... 185,392
----------
INTEREST SENSITIVE - 33.40%
BANKS - 10.35%
Bank America Corporation.... 272,700 24,952
Bank of Boston
Corporation............... 52,000 3,328
Bankers Trust Company
New York.................. 92,000 7,774
Chase Manhattan
Corporation............... 290,614 24,920
</TABLE>
See accompanying notes
34
<PAGE> 36
AMR INVESTMENT SERVICES TRUST GROWTH AND INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
---------- ----------
(dollars in thousands)
<S> <C> <C>
Corestates Financial
Corporation............... 33,000 $ 1,605
First Chicago NBD........... 227,965 11,626
First of America Bank
Corporation............... 70,000 3,806
First Security
Corporation............... 120,500 3,540
First Union Corporation..... 17,000 1,237
Fleet Financial Group,
Incorporated.............. 55,000 2,743
J.P. Morgan & Company,
Incorporated.............. 92,600 7,998
NationsBank Corporation..... 130,000 12,253
PNC Bank Corporation........ 219,600 7,961
Wells Fargo and Company..... 5,000 1,336
----------
TOTAL BANKS............. 115,079
----------
BUILDING AND MATERIALS - 0.58%
PPG Industries,
Incorporated.............. 113,100 6,447
----------
TOTAL BUILDING AND
MATERIALS............. 6,447
----------
FINANCE - 0.84%
Beneficial Corporation...... 60,000 3,510
Household International,
Incorporated.............. 45,000 3,983
Paine Webber Group,
Incorporated.............. 79,300 1,864
----------
TOTAL FINANCE........... 9,357
----------
INSURANCE - LIFE AND MULTI-LINE - 4.42%
Aetna, Incorporated......... 170,400 11,396
American Financial Group,
Incorporated.............. 47,950 1,720
American General
Corporation............... 61,000 2,272
Aon Corporation............. 181,400 10,476
Lincoln National
Corporation............... 80,000 3,880
Old Republic International
Corporation............... 370,900 9,180
TransAmerica Corporation.... 50,000 3,794
Travelers Corporation....... 118,344 6,420
----------
TOTAL INSURANCE - LIFE
AND MULTI-LINE........ 49,138
----------
INSURANCE - PROPERTY AND CASUALTY - 1.55%
Allstate Corporation........ 182,825 10,261
Chubb Corporation........... 5,000 250
St. Paul Companies.......... 76,500 4,160
TIG Holdings,
Incorporated.............. 88,000 2,541
----------
TOTAL INSURANCE -
PROPERTY AND
CASUALTY.............. 17,212
----------
<CAPTION>
Shares Value
---------- ----------
(dollars in thousands)
<S> <C> <C>
SAVINGS AND LOAN - 0.52%
Great Western Financial
Corporation............... 100,000 $ 2,800
H.F. Ahmanson & Company..... 95,000 2,981
----------
TOTAL SAVINGS AND
LOAN.................. 5,781
----------
UTILITIES - ELECTRIC - 6.33%
Central And Southwest
Corporation............... 175,000 4,638
CMS Energy Corporation...... 130,000 4,111
DTE Energy Company.......... 233,800 7,043
Edison International........ 187,500 3,703
Entergy Corporation......... 774,600 21,689
Illinova Corporation........ 90,000 2,453
New York State Electric &
Gas Corporation........... 70,000 1,461
Northeast Utilities......... 480,900 5,170
Peco Energy Company......... 100,000 2,525
Potomac Electric Power...... 48,500 1,243
PP&L Resources,
Incorporated.............. 65,000 1,519
Public Service Enterprise
Group, Incorporated....... 172,100 4,625
Rochester Gas and Electric,
Incorporated.............. 45,000 838
Unicom Corporation.......... 359,300 9,342
----------
TOTAL UTILITIES -
ELECTRIC.............. 70,360
----------
UTILITIES - NATURAL GAS - 2.89%
Consolidated Natural Gas
Company................... 273,300 14,519
Panenergy Corporation....... 399,500 15,381
Peoples Energy
Corporation............... 65,000 2,291
----------
TOTAL UTILITIES -
NATURAL GAS........... 32,191
----------
UTILITIES - TELEPHONE - 1.99%
AT&T Corporation............ 47,500 1,657
NYNEX Corporation........... 100,000 4,450
Pacific Telesis Group,
Incorporated.............. 160,200 5,447
SBC Communications.......... 19,400 943
US West, Incorporated....... 318,900 9,687
----------
TOTAL UTILITIES -
TELEPHONE............. 22,184
----------
MISCELLANEOUS - INTEREST SENSITIVE - 3.93%
American Express Company.... 347,000 16,309
Dean Witter Discover &
Company................... 56,200 3,309
</TABLE>
See accompanying notes
35
<PAGE> 37
AMR INVESTMENT SERVICES TRUST GROWTH AND INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
---------- ----------
(dollars in thousands)
<S> <C> <C>
Federal Home Loan Mortgage
Corporation............... 78,600 $ 7,939
Federal National Mortgage
Association............... 317,900 12,438
Fund American Enterprises,
Incorporated.............. 41,375 3,708
----------
TOTAL MISCELLANEOUS -
INTEREST SENSITIVE.... 43,703
----------
TOTAL INTEREST
SENSITIVE............. 371,452
----------
CONSUMER
CYCLICALS - 5.64%
AUTOMOBILE AND TRUCK - 5.05%
Dana Corporation............ 414,800 12,288
Eaton Corporation........... 76,800 4,589
Ford Motor Company.......... 739,100 23,097
General Motors
Corporation............... 300,800 16,206
----------
TOTAL AUTOMOBILE AND
TRUCK................. 56,180
----------
ELECTRICAL HOUSEHOLD EQUIPMENT - 0.23%
Whirlpool Corporation....... 55,000 2,599
----------
TOTAL ELECTRICAL
HOUSEHOLD EQUIPMENT... 2,599
----------
TIRE AND RUBBER - 0.36%
Goodyear Tire & Rubber
Company................... 87,000 3,991
----------
TOTAL TIRE AND RUBBER... 3,991
----------
TOTAL CONSUMER
CYCLICALS............. 62,770
----------
INTERMEDIATE GOODS & SERVICES - 23.90%
CHEMICALS - 2.82%
ARCO Chemical Company....... 60,000 2,865
Dow Chemical................ 40,000 3,110
E.I. DuPont de Nemours &
Company................... 47,000 4,359
Eastman Chemical Company.... 101,775 5,369
FMC Corporation (non-income
producing)................ 178,200 13,120
Olin Corporation............ 60,000 2,550
----------
TOTAL CHEMICALS......... 31,373
----------
FOREST PRODUCTS - 2.10%
Boise Cascade Corporation... 110,000 3,410
Georgia-Pacific
Corporation............... 50,000 3,750
International Paper
Company................... 80,000 3,420
Louisiana Pacific
Corporation............... 111,400 2,325
<CAPTION>
Shares Value
---------- ----------
(dollars in thousands)
<S> <C> <C>
Mead Corporation............ 24,000 $ 1,362
Millenium Chemicals,
Incorporated.............. 82,672 1,674
Union Camp Corporation...... 77,300 3,768
Weyerhaeuser Company........ 80,000 3,670
----------
TOTAL FOREST PRODUCTS... 23,379
----------
METALS - ALUMINUM - 0.49%
Alumax, Incorporated........ 74,800 2,403
Aluminum Company of
America................... 52,000 3,049
----------
TOTAL METALS -
ALUMINUM.............. 5,452
----------
NATURAL GAS TRANSMISSION - 0.43%
Coastal Corporation......... 111,200 4,782
----------
TOTAL NATURAL GAS
TRANSMISSION.......... 4,782
----------
OIL - 12.58%
Amoco Corporation........... 207,700 15,733
Ashland, Incorporated....... 90,000 3,825
Atlantic Richfield
Corporation............... 145,400 19,266
Chevron Corporation......... 55,000 3,616
Exxon Corporation........... 117,100 10,378
Louisiana Land and
Exploration Company....... 113,325 6,445
Mobil Corporation........... 21,500 2,510
Phillips Petroleum
Company................... 399,300 16,371
Tenneco, Incorporated....... 375,700 18,597
Texaco, Incorporated........ 210,000 21,341
Ultramar Corporation........ 120,000 3,435
Union Pacific Resources
Group, Incorporated....... 267,700 7,362
Union Texas Petroleum
Holdings, Incorporated.... 360,800 7,712
USX-Marathon Group.......... 150,000 3,281
----------
TOTAL OIL............... 139,872
----------
OIL SERVICE - 0.59%
Baker Hughes,
Incorporated.............. 185,200 6,598
----------
TOTAL OIL SERVICE....... 6,598
----------
TRANSPORTATION - 2.53%
Conrail, Incorporated....... 35,000 3,329
CSX Corporation............. 209,100 9,017
Norfolk Southern
Corporation............... 145,600 12,977
Ryder Systems,
Incorporated.............. 93,000 2,767
----------
TOTAL TRANSPORTATION.... 28,090
----------
</TABLE>
See accompanying notes
36
<PAGE> 38
AMR INVESTMENT SERVICES TRUST GROWTH AND INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
---------- ----------
(dollars in thousands)
<S> <C> <C>
MISCELLANEOUS - INTERMEDIATE GOODS &
SERVICES - 2.36%
Browning-Ferris
Industries................ 129,300 $ 3,394
Dresser Industries,
Incorporated.............. 229,800 7,555
Federal-Mogul Corporation... 96,100 2,150
GATX Corporation............ 70,000 3,343
Mapco, Incorporated......... 224,600 6,991
LTV Corporation............. 67,400 691
USX-US Steel Group.......... 76,200 2,076
----------
TOTAL MISCELLANEOUS -
INTERMEDIATE GOODS &
SERVICES.............. 26,200
----------
TOTAL INTERMEDIATE GOODS
& SERVICES............ 265,746
----------
CAPITAL GOODS - 14.27%
AEROSPACE - 8.46%
Allegheny Teledyne,
Incorporated.............. 266,323 5,693
Coltec Industries,
Incorporated (non-income
producing)................ 465,700 8,033
Harsco Corporation.......... 55,000 3,513
Lockheed Martin
Corporation............... 231,994 20,792
Northrop Corporation........ 45,000 3,634
Raytheon Company............ 484,200 23,847
Rockwell International
Corporation............... 60,000 3,300
Textron, Incorporated....... 170,900 15,167
Thiokol Corporation......... 149,200 6,248
United Technologies
Corporation............... 30,000 3,863
----------
TOTAL AEROSPACE......... 94,090
----------
ELECTRICAL EQUIPMENT - 1.86%
General Electric
Corporation............... 7,700 745
Honeywell, Incorporated..... 91,200 5,666
ITT Industries,
Incorporated.............. 208,800 4,855
Sunbeam-Oster Company....... 201,100 4,952
Westinghouse Electric
Corporation............... 260,700 4,464
----------
TOTAL ELECTRICAL
EQUIPMENT............. 20,682
----------
<CAPTION>
Shares Value
---------- ----------
(dollars in thousands)
<S> <C> <C>
ELECTRONICS - INDUSTRIAL - 0.40%
Advanced Micro Devices...... 135,000 $ 2,396
Lam Research Corporation.... 30,000 731
Teradyne, Incorporated...... 85,200 1,353
----------
TOTAL ELECTRONICS -
INDUSTRIAL............ 4,480
----------
MACHINERY - 0.93%
Caterpillar Tractor
Company................... 17,900 1,228
Deere and Company........... 90,000 3,758
Tecumseh Products Company... 94,400 5,310
----------
TOTAL MACHINERY......... 10,296
----------
OFFICE EQUIPMENT - 2.62%
Apple Computer,
Incorporated.............. 47,700 1,097
International Business
Machines Corporation...... 54,400 7,018
Storage Tech Group.......... 92,400 3,939
Xerox Corporation........... 369,200 17,122
----------
TOTAL OFFICE
EQUIPMENT............. 29,176
----------
TOTAL CAPITAL
GOODS................. 158,724
----------
TOTAL COMMON STOCK...... 1,079,730
----------
<CAPTION>
Par
Amount
----------
<S> <C> <C>
SHORT-TERM INVESTMENTS (NOTE A) - 3.07%
Bank Brussells Lambert
Eurodollar TD, 6.00%,
Due 11/1/1996............. $ 14,112 14,112
Bank of Tokyo-Mitsubishi,
Limited, YCD, 5.60%,
Due 11/14/1996............ 20,000 20,000
----------
TOTAL SHORT-TERM
INVESTMENTS........... 34,112
----------
TOTAL INVESTMENTS - 100.15%
(COST $880,481)........... 1,113,842
----------
LIABILITIES, NET OF OTHER
ASSETS - (0.15%).......... (1,685)
----------
TOTAL NET ASSETS - 100%..... $1,112,157
==========
</TABLE>
See accompanying notes
37
<PAGE> 39
AMR INVESTMENT SERVICES TRUST GROWTH AND INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 1996
- --------------------------------------------------------------------------------
Based on the cost of investments of $882,056 for federal income tax purposes at
October 31, 1996, the aggregate gross unrealized appreciation was $250,652, the
aggregate gross unrealized depreciation was $18,866, and the net unrealized
appreciation of investments was $231,786.
(A) Rates associated with short-term investments represent yield to maturity.
ABBREVIATIONS:
ADR - American Depositary Receipt
AG - Company
PLC - Public Limited Corporation
SA - Company
TD - Time Deposit
YCD - Yankee Certificate of Deposit
See accompanying notes
38
<PAGE> 40
AMR INVESTMENT SERVICES TRUST INTERNATIONAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
--------- --------
(dollars in thousands)
<S> <C> <C>
AUSTRALIA COMMON STOCK - 5.25%
Australia & New Zealand Banking
Group........................... 799,577 $ 4,673
Brambles Industries, Limited...... 192,200 3,186
Burns Philip & Company, Limited... 400,000 634
CSR, Limited...................... 460,000 1,547
Coles Myer Limited Australian..... 361,000 1,320
GIO Australia Holdings, Limited... 470,271 1,212
Goodman Fielder Limited........... 1,150,000 1,350
News Corporation, Limited......... 210,000 1,196
News Corporation Preferred
Rights.......................... 155,000 682
Pacific Dunlop, Limited........... 401,000 890
Pioneer International, Limited.... 860,000 2,292
QBE Insurance Group, Limited...... 429,197 2,274
--------
TOTAL AUSTRALIA COMMON
STOCKS...................... 21,256
--------
AUSTRIA COMMON STOCKS -- 1.22%
Boehler-Uddeholm.................. 27,500 2,057
Evn Energie-Versorgung
Niederroesterreich AG........... 3,960 537
Mayr-Melnhof Karton AG............ 16,000 786
VA Technologie AG................. 11,000 1,539
--------
TOTAL AUSTRIA COMMON STOCKS... 4,919
--------
BELGIUM COMMON STOCKS -- 0.88%
Arbed, SA (non-income
producing)...................... 2,200 258
GIB Holdings, Limited, NPV........ 14,800 624
Groupe Bruxelles Lambert, SA...... 11,759 1,461
Solvay Et Cie, NPV................ 2,000 1,197
--------
TOTAL BELGIUM COMMON STOCKS... 3,540
--------
CANADA COMMON STOCKS -- 2.61%
Anderson Exploration Limited...... 115,000 1,338
Bank of Nova Scotia............... 62,439 1,967
Canadian Imperial Bank of
Commerce........................ 60,000 2,494
IMASCO, Limited................... 119,000 2,764
Noranda, Incorporated............. 62,500 1,375
Wascana Energy, Incorporated (non-
income producing)............... 60,000 631
--------
TOTAL CANADA COMMON STOCKS.... 10,569
--------
DENMARK COMMON STOCKS -- 1.07%
Den Danske Bank................... 16,000 1,148
Novo Nordisk AS "B"............... 8,000 1,332
Unidanmark AS, "A"................ 40,000 1,845
--------
TOTAL DENMARK COMMON STOCKS... 4,325
--------
FINLAND COMMON STOCKS -- 2.78%
Enso-Gutzeit OY................... 170,000 1,332
Huhtamaki Group I Free............ 28,100 1,222
Merita Bank, Limited.............. 785,000 2,321
Metsa-Serla OY.................... 100,000 695
Nokia OY "A"...................... 55,700 2,574
UPM-Kymmene OY.................... 152,500 3,096
--------
TOTAL FINLAND COMMON STOCKS... 11,240
--------
<CAPTION>
Shares Value
---------- --------
(dollars in thousands)
<S> <C> <C>
FRANCE COMMON STOCKS -- 8.20%
Adecco SA......................... 3,855 $ 1,093
Alcatel Alsthom CG................ 20,000 1,707
Assurances Generales de France.... 11,850 350
Axa SA............................ 18,542 1,159
Banque Nationale de Paris......... 66,213 2,480
Bongrain SA....................... 1,870 758
Credit Lyonnais-CDI (non-income
producing)...................... 9,100 249
Elf Aquitaine SA.................. 67,300 5,386
Groupe Danone..................... 8,950 1,226
La Farge-Coppee SA................ 63,323 3,803
La France SA...................... 9,000 2,229
Pechiney SA....................... 18,800 808
Peugot SA......................... 11,000 1,148
Rhone-Poulenc "A"................. 50,000 1,483
Sa Des Galeries Lafayette......... 162 58
Saint Gobain...................... 11,234 1,517
Thomson CSF....................... 10,900 340
Total Petroleum Company "B"....... 43,954 3,441
Usinor Sacilor.................... 170,000 2,524
Valeo SA.......................... 23,600 1,417
--------
TOTAL FRANCE COMMON STOCKS.... 33,176
--------
GERMANY -- 5.73%
PREFERRED STOCK -- 1.18%
Herlitz AG........................ 8,947 984
RWE AG............................ 42,000 1,420
Spar Handels AG................... 25,600 316
Volkswagen AG..................... 6,800 2,065
--------
TOTAL GERMANY PREFERRED
STOCKS...................... 4,785
--------
COMMON STOCKS -- 4.55%
BASF AG........................... 49,000 1,567
BAYER AG.......................... 150,625 5,694
Commerzbank AG.................... 40,000 897
Deutsche Bank AG.................. 30,000 1,395
Hoechst AG........................ 16,000 603
Karstadt AG....................... 6,500 2,371
Mannesmann AG..................... 1,840 717
Muenchener Rueckversicherungs AG.. 300 585
Muenchener Rueckversicherungs
AG -- Reg....................... 137 332
Muenchener Rueckversicherungs
AG -- Warrants.................. 37 8
Varta AG (non-income producing)... 1,520 277
Veba AG........................... 54,200 2,895
Volkswagen AG..................... 2,650 1,050
--------
TOTAL GERMANY COMMON STOCKS... 18,391
--------
TOTAL GERMANY................. 23,176
--------
</TABLE>
See accompanying notes
39
<PAGE> 41
AMR INVESTMENT SERVICES TRUST INTERNATIONAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
------------ --------
(dollars in thousands)
<S> <C> <C>
HONG KONG COMMON STOCK -- 5.60%
Cheung Kong Holdings, Limited..... 235,000 $ 1,884
Dickson Concepts (International)
Limited......................... 360,000 1,201
Hang Lung Development Company,
Limited......................... 710,000 1,405
Hong Kong Electric Holdings....... 292,900 938
Hong Kong Land (SGD).............. 515,000 1,148
Hong Kong Telecommunications,
Limited......................... 1,432,400 2,529
HSBC Holdings, Limited............ 114,500 2,332
Hutchinson Whampoa, Limited....... 200,000 1,397
Jardine Matheson Holdings,
Limited......................... 575,800 3,253
National Mutual Of Asia,
Limited......................... 1,700,000 1,429
New World Development Company,
Limited......................... 507,000 2,951
Peregrine Investments Holdings,
Limited......................... 550,000 886
Peregrine Investments Holdings,
Limited Warrants................ 55,000 10
South China Morning Post
(Holdings), Limited............. 1,100,000 939
Sun Hung Kai Properties,
Limited......................... 100 1
Swire Pacific Limited "A"......... 40,000 353
--------
TOTAL HONG KONG COMMON
STOCKS...................... 22,656
--------
IRELAND COMMON STOCKS -- 0.57%
Jefferson Smurfit................. 851,542 2,301
--------
TOTAL IRELAND COMMON STOCKS... 2,301
--------
ITALY -- 2.55%
PREFERRED STOCK -- 0.19%
Concessioni E Costruzioni
Autostrade...................... 525,000 777
--------
TOTAL ITALY PREFERRED STOCK... 777
--------
COMMON STOCKS -- 2.36%
Danieli Group Risp................ 473,960 1,507
Fiat SPA.......................... 600,000 1,605
Olivetti Ing C, & Co.............. 940,000 273
Sasib SPA......................... 500,000 866
STET Risp Non Convertible......... 550,000 1,901
Telecom Italia, SPA............... 250,000 557
Telecom Italia, SPA Non
Convertible Risp................ 100,000 191
Sta Finanziaria Telefonica
Torino.......................... 1,000,000 2,664
--------
TOTAL ITALY COMMON STOCKS..... 9,564
--------
TOTAL ITALY................... 10,341
--------
JAPAN COMMON STOCKS -- 11.74%
Aisin Seiki Company, Limited...... 87,000 1,262
Bridgestone Corporation........... 54,000 912
Canon, Incorporated............... 70,000 1,342
Chudenko Corporation.............. 19,000 583
<CAPTION>
Shares Value
--------- --------
(dollars in thousands)
<S> <C> <C>
Daibiru Corporation............... 100,000 $ 1,134
Daicel Chemical................... 120,000 608
Daikin Industries................. 70,000 665
Dainippon Ink & Chemical.......... 57,000 244
Daiwa House Industry Company,
Limited......................... 103,000 1,431
East Japan Railway Company........ 270 1,242
Fuji Photo Film................... 150,000 4,312
Hitachi Koki Company, Limited..... 70,000 588
Hitachi, Limited.................. 305,000 2,708
KAO Corporation................... 146,000 1,720
Kirin Brewery Company, Limited.... 37,000 381
Matsushita Electric Industrial
Company......................... 75,000 1,200
MOS Food Services................. 79,000 1,653
Nichicon Corporation.............. 114,000 1,423
Nichido Fire & Marine Insurance... 240,000 1,498
Nintendo Company, Limited......... 37,300 2,387
Nippon Fire And Marine
Insurance....................... 287,000 1,514
Nippon Telegraph & Telephone
Corporation..................... 143 1,000
Promise Company, Limited.......... 39,000 1,821
Ryosan Company.................... 12,000 273
Sekisui Chemical Company,
Limited......................... 227,000 2,535
Sony Corporation.................. 51,800 3,111
Sumitomo Marine & Fire
Insurance....................... 255,000 1,829
Sumitomo Rubber Industries........ 220,000 1,559
Suzuki Motor Company, Limited..... 167,000 1,703
TDK Corporation................... 21,000 1,233
Toyo Seikan Kaisha................ 58,000 1,836
Yodogawa Steel Works.............. 274,000 1,783
--------
TOTAL JAPAN COMMON STOCKS..... 47,490
--------
MEXICO COMMON STOCKS -- 0.13%
Alfa, SA.......................... 125,000 513
--------
TOTAL MEXICO COMMON STOCKS.... 513
--------
MALAYSIA COMMON STOCKS -- 1.19%
Arab Malaysian Finance............ 390,000 2,099
Golden Hope Plantations BHD....... 17,000 29
Kedah Cement Holdings BHD......... 636,000 1,178
Malaysian International Shipping
Corporation BHD................. 505,666 1,511
--------
TOTAL MALAYSIA COMMON
STOCKS...................... 4,817
--------
NETHERLANDS COMMON STOCKS -- 7.91%
ABN AMRO Holdings NV.............. 79,145 4,476
Aegon NV.......................... 40,000 2,036
Akzo Nobel NV..................... 44,775 5,645
Fortis Amev NV.................... 76,054 2,274
Hollandsche Beton Groep NV........ 17,104 3,176
Internationale Nederlanden
Groep NV........................ 214,570 6,693
Koninklijke Bijenkorf Beheer NV... 14,000 978
</TABLE>
See accompanying notes
40
<PAGE> 42
AMR INVESTMENT SERVICES TRUST INTERNATIONAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
---------- --------
(dollars in thousands)
<S> <C> <C>
Phillips Electronics.............. 96,500 $ 3,403
Royal PTT Nederland NV............ 49,480 1,791
Unilever NV....................... 10,000 1,521
--------
TOTAL NETHERLANDS COMMON
STOCKS...................... 31,993
--------
<CAPTION>
Par
Amount
------
<S> <C> <C>
NEW ZEALAND -- 1.21%
FOREIGN BONDS -- 0.01%
Brierley Investments Limited
Subordinated Convertible 9%, Due
6/30/1998....................... $ 63 53
--------
TOTAL NEW ZEALAND BONDS....... 53
--------
<CAPTION>
Shares
------
<S> <C> <C>
COMMON STOCK -- 1.20%
Brierley Investments, Limited..... 1,400,000 1,277
Fisher & Paykel, Limited.......... 210,000 768
Fletcher Challenge Paper.......... 382,500 693
Fletcher Challenge Building....... 775,250 2,100
--------
TOTAL NEW ZEALAND COMMON
STOCKS...................... 4,838
--------
TOTAL NEW ZEALAND............. 4,891
--------
NORWAY COMMON STOCKS -- 3.07%
Den Norsk Bank Series A........... 565,000 1,879
Hafslund AS, Series B............. 99,500 734
Kvaerner Industries AS............ 49,789 1,882
Norsk Hydro AS.................... 40,000 1,845
Nycomed AS, Series B.............. 270,500 3,649
Saga Petroleum, Series B Free..... 100,000 1,569
Unitor AS......................... 80,000 878
--------
TOTAL NORWAY COMMON STOCKS.... 12,436
--------
SINGAPORE COMMON STOCKS -- 0.48%
Inchcape Berhad................... 175,000 569
Neptune Orient Lines.............. 300,000 251
Sembawang Corporation............. 258,000 1,108
--------
TOTAL SINGAPORE COMMON
STOCKS...................... 1,928
--------
SPAIN COMMON STOCKS -- 4.15%
Banco Espana Credito SA........... 7,000 44
Banco Popular Espanol............. 7,000 1,339
Banco Santander SA................ 50,000 2,569
Iberdrola SA...................... 350,357 3,724
Repsol SA (BR).................... 77,000 2,516
Telefonica de Espana.............. 297,000 5,964
Uralita (non-income producing).... 79,250 622
--------
TOTAL SPAIN COMMON STOCKS..... 16,778
--------
SWEDEN COMMON STOCKS -- 4.10%
Assidoman AB...................... 48,000 1,188
Astra AB, "B" Free................ 48,000 2,194
Electrolux AB "B"................. 43,000 2,397
Esselte AB, Class "A"............. 2,000 44
Esselte AB, Class "B"............. 17,000 381
<CAPTION>
Shares Value
----------- --------
(dollars in thousands)
<S> <C> <C>
Fastighets AB Tornet.............. 9,170 $ 117
Marieberg Tidnings................ 77,267 1,883
Nordbanken AS..................... 28,500 751
Skandia Forsakrings AB............ 23,100 649
SKF AB, "B" Free.................. 55,000 1,219
Sparbanken Sverige AB "A"......... 91,700 1,453
Stora Kopparsbergs
Bergslags, "A".................. 42,100 552
Stora Kopparsbergs
Bergslags, "B".................. 25,800 332
Svedala Industries, "A" Free...... 80,000 1,255
Svenska Cellulosa, "B" Free....... 59,000 1,240
Svenska Handelsbanken, "A"........ 3,200 79
Volvo AB.......................... 40,000 832
--------
TOTAL SWEDEN COMMON STOCKS.... 16,566
--------
SWITZERLAND COMMON STOCKS -- 6.69%
BBC AG Series "A"................. 1,100 1,365
Ciba-Geigy AG..................... 5,000 6,185
Distefora Holding AG.............. 16,400 216
Forbo Holding AG-R................ 2,000 798
Gerbrueder Sulzer AG.............. 1,800 1,028
Holderbank Financial Glarus-B..... 1,350 938
Nestle SA......................... 3,800 4,145
Schindler Holding AG.............. 840 860
Schindler Holding AG Warrants..... 300 1
SGS Holding SA (Reg).............. 4,200 1,792
SIG AG............................ 1,540 3,707
SGS Holding SA (BR)............... 240 547
Sulzer AG......................... 4,365 2,323
Swiss Reinsurance Company......... 2,925 3,151
--------
TOTAL SWITZERLAND COMMON
STOCKS...................... 27,056
--------
UNITED KINGDOM COMMON STOCKS -- 11.80%
Albert Fisher Group, PLC.......... 262,500 171
Associated British Foods
Group, PLC...................... 62,000 426
Barclays, PLC..................... 27,900 438
Barratt Developments, PLC......... 350,000 1,456
BAT Industries, PLC............... 490,000 3,415
British Gas....................... 550,000 1,715
British Telecommunications........ 409,000 2,368
BTR, PLC.......................... 450,000 1,887
Burton Group, PLC................. 335,000 814
Coats Viyella, PLC................ 700,000 1,744
Commercial Union, PLC............. 172,500 1,822
English China Claylord Group...... 134,022 410
Grand Metropolitan, PLC........... 303,742 2,293
Hanson, PLC....................... 620,000 815
Hillsdown Holdings, PLC........... 830,000 2,372
Hyder, PLC........................ 164,000 1,891
Imperial Tobacco Group............ 62,000 362
Kwik Save Group, PLC.............. 136,200 706
London Pacific Group, PLC......... 130,000 494
National Power, PLC............... 50,000 331
National Westminster Bank, PLC.... 119,100 1,361
</TABLE>
See accompanying notes
41
<PAGE> 43
AMR INVESTMENT SERVICES TRUST INTERNATIONAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
--------- --------
(dollars in thousands)
<S> <C> <C>
Northern Foods, PLC............... 300,000 $ 972
Peninsular & Orient Steam
Company......................... 41,800 411
PowerGen, PLC..................... 249,990 2,076
Reckitt & Coleman, PLC............ 171,679 1,988
Redland, PLC...................... 220,000 1,508
Rolls Royce, PLC.................. 107,600 445
Royal & Sun Alliance Insurance
Group........................... 205,000 1,407
Safeway, PLC...................... 309,677 1,838
Salvesen, (Christian), PLC........ 290,000 1,504
Shell Transportation &
Trading, PLC.................... 45,000 738
Southern Electric, PLC............ 55,900 586
Tate & Lyle, PLC.................. 105,000 816
Tesco, PLC........................ 340,173 1,842
Thames Water Group, PLC........... 129,800 1,172
Unilever, PLC..................... 120,000 2,523
WPP Group, PLC.................... 169,500 629
--------
TOTAL UNITED KINGDOM COMMON
STOCKS...................... 47,746
--------
FOREIGN SECURITIES DENOMINATED IN U.S. DOLLARS -- 1.15%
Dairy Farm International.......... 908,000 549
G P Batteries International
Limited......................... 137,000 397
G P Batteries Warrants Expiration
11/15/2000...................... 34,250 26
Jardine Strategic................. 920,000 2,999
Millenium Chemicals
Incorporated.................... 8,857 179
Telmex ADR........................ 17,000 519
--------
TOTAL FOREIGN SECURITIES
DENOMINATED IN U.S.
DOLLARS..................... 4,669
--------
<CAPTION>
Par
Amount
----------
<S> <C> <C>
UNITED STATES -- 6.14%
FOREIGN BONDS -- 0.12%
New World China Convertible Bond,
4.00%, Due 12/31/1999........... $ 481 481
--------
TOTAL UNITED STATES FOREIGN
BONDS....................... 481
--------
<CAPTION>
Par
Amount Value
--------- --------
(dollars in thousands)
<S> <C> <C>
UNITED STATES GOVERNMENT OBLIGATIONS (NOTE B) -- 6.02%
U. S. Treasury Bill, 5.01%,
Due 11/7/1996................... $ 5,011 $ 5,006
U. S. Treasury Bill, 5.02%,
Due 11/14/1996.................. 6,411 6,398
U. S. Treasury Bill, 5.05%,
Due 11/21/1996.................. 581 579
U. S. Treasury Bill, 5.16%,
Due 11/29/1996.................. 4,587 4,569
U. S. Treasury Bill, 4.92%,
Due 12/5/1996................... 962 957
U. S. Treasury Bill, 5.12%,
Due 12/12/1996.................. 401 399
U. S. Treasury Bill, 4.83%,
Due 12/26/1996.................. 302 300
U. S. Treasury Bill, 4.92%,
Due 1/2/1997.................... 10 10
U. S. Treasury Bill, 4.94%,
Due 1/9/1997.................... 6,174 6,114
--------
TOTAL UNITED STATES U. S.
GOVERNMENT
BONDS....................... 24,332
--------
TOTAL UNITED STATES........... 24,813
--------
TOTAL INVESTMENTS -- 96.22%
(COST $335,924)................. 389,195
--------
OTHER ASSETS, NET OF
LIABILITIES -- 3.78%............ 15,301
--------
TOTAL NET ASSETS -- 100%.......... $404,496
========
</TABLE>
See accompanying notes
42
<PAGE> 44
AMR INVESTMENT SERVICES TRUST INTERNATIONAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 1996
- --------------------------------------------------------------------------------
(A) Based on the cost of investments of $336,065 for federal income tax purposes
at October 31, 1996, the aggregate gross unrealized appreciation was
$66,481, the aggregate gross unrealized depreciation was $13,351, and the
net unrealized appreciation of investments was $53,130.
(B) Rates associated with United States Government Bonds represent yield to
maturity from time of purchase.
ABBREVIATIONS:
ADR -- American Depository Receipt
AB -- Company (Sweden)
AG -- Company (Switzerland, Germany)
AS -- Company (Denmark, Norway)
BHD -- Berhard (Malaysia)
BR -- Bearer (Spain, Switzerland)
CG -- Company General (France)
HG -- Holding (Switzerland)
NPV -- No Par Value (Belgium)
NV -- Company (Netherlands)
ORD -- Ordinary (Netherlands, France, Australia)
OY -- Company (Sweden)
PLC -- Public Limited Corporation (UK, Hong Kong)
SA -- Company (Switzerland, Spain, Mexico, France, Belgium)
SGD -- Singapore Dollars (Hong Kong)
SPA -- Company (Italy)
VZA -- Vorzugsaktie -- Preferred (Germany)
43
<PAGE> 45
AMR INVESTMENT SERVICES TRUST INTERNATIONAL EQUITY PORTFOLIO
INDUSTRY DIVERSIFICATION
October 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Percent of
Net Assets
----------
<S> <C>
Consumer Goods & Services......................................................... 19.59%
Energy............................................................................ 4.42%
Capital Goods..................................................................... 9.60%
Basic Industry.................................................................... 31.49%
Financing, Insurance & Real Estate................................................ 20.13%
Utilities......................................................................... 4.23%
Transportation.................................................................... 0.85%
Short Term Investments............................................................ 6.02%
Other Assets/Liabilities.......................................................... 3.67%
------
NET ASSETS.............................................................. 100.00%
======
</TABLE>
44
<PAGE> 46
AMR INVESTMENT SERVICES TRUST LIMITED-TERM INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Par
Amount Value
-------- --------
(dollars in thousands)
<S> <C> <C>
CERTIFICATES OF DEPOSIT -- 5.24%
Advanta National Bank CD, 6.43%,
Dated 4/30/1996, Due
4/30/1998..................... $ 9,000 $ 9,078
--------
TOTAL CERTIFICATES OF
DEPOSIT................... 9,078
--------
U.S. GOVERNMENT & AGENCY
OBLIGATIONS -- 54.20%
Federal Home Loan Mortgage
Corporation, 1647 PE, 6.00%,
Due 8/15/2006................. 7,535 7,470
Federal Home Loan Mortgage
Corporation, M H-1 A REMIC,
10.15%, Due 4/15/2006......... 173 174
Government National Mortgage
Association, Pool #780285,
9.50%, Due 12/15/2017......... 24,250 26,367
Government National Mortgage
Association, Pool #780426,
9.50%, Due 11/15/2017......... 26,257 28,549
Government National Mortgage
Association, Pool #780173,
9.50%, Due 12/15/2019......... 12,324 13,386
Government National Mortgage
Association, Pool #780010,
9.50%, Due 3/15/2023.......... 12,001 13,040
U.S. Treasury Notes, 5.75%, Due
8/15/2003..................... 5,000 4,869
--------
TOTAL U.S. GOVERNMENT &
AGENCY
OBLIGATIONS............... 93,855
--------
CORPORATE OBLIGATIONS -- 20.60%
INDUSTRIAL -- 9.39%
Cox Communications, Incorporated
6.94%, Due 10/1/2001.......... 8,000 8,096
Philip Morris, Incorporated
7.25%,
Due 9/15/2001................. 8,000 8,168
--------
TOTAL INDUSTRIAL............ 16,264
--------
BANK FUNDING -- 11.21%
Ford Motor Credit Corporation,
5.75%, Due 1/25/2001.......... 8,000 7,775
Smith Barney Holdings, 5.875%,
Due 2/01/2001................. 5,000 4,874
Southtrust Bank Of Alabama,
5.58%, Due 2/6/2006, Puttable
2001, Dated 2/6/1996.......... 7,000 6,768
--------
TOTAL BANK FUNDING.......... 19,417
--------
TOTAL CORPORATE
OBLIGATIONS............... 35,681
--------
<CAPTION>
Par
Amount Value
-------- --------
(dollars in thousands)
<S> <C> <C>
ASSET-BACKED SECURITIES -- 5.94%
Case Equipment Loan Trust,
Series 1993-B, 5.10%, Due
5/15/1999..................... $ 2,241 $ 2,221
Corestates 1996-1, 6.75%, Due
2/15/2005..................... 8,000 8,065
--------
TOTAL ASSET-BACKED
SECURITIES................ 10,286
--------
NON-AGENCY MORTGAGE BACKED OBLIGATIONS -- 13.37%
Collateralized Mortgage
Obligation Trust, 56 A, 9.00%,
Due 5/1/2014.................. 194 200
Residential Funding Securities
Corporation, 1995-1 KS1,
6.7125%, Due 6/25/2025........ 3,872 3,892
Resolution Trust Corporation,
1992-MH3 B1, 7.25%, Due
12/15/2011.................... 7,301 7,347
Resolution Trust Corporation,
1992-7 A3, 6.97312%, Due
3/25/2022..................... 2,784 2,755
Resolution Trust Corporation,
1992-6 A 3, 6.97312%, Due
3/25/2022..................... 2,767 2,806
Resolution Trust Corporation,
1992-1 A1, 6.3860%, Due
5/25/2028..................... 2,983 3,017
Resolution Trust Corporation,
1992-4 A2, 6.2696%, Due
7/25/2028..................... 3,086 3,132
--------
TOTAL NON-AGENCY MORTGAGE
BACKED OBLIGATIONS........ 23,149
SHORT-TERM INVESTMENTS
(NOTE A) -- 1.40%
Bank Brussels Lambert, Euro TD,
5.5625%, Due 11/1/1996........ 2,430 2,430
--------
TOTAL SHORT-TERM
INVESTMENTS............... 2,430
--------
TOTAL INVESTMENTS -- 100.75%
(COST $173,958)............... 174,479
--------
LIABILITIES, NET OF OTHER
ASSETS -- (0.75%)............. (1,302)
--------
TOTAL NET ASSETS -- 100%........ $173,177
========
</TABLE>
See accompanying notes
45
<PAGE> 47
AMR INVESTMENT SERVICES TRUST LIMITED-TERM INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 1996
- --------------------------------------------------------------------------------
Based on the cost of investments of $173,958 for federal income tax purposes at
October 31, 1996, the aggregate gross unrealized appreciation was $927, the
unrealized depreciation was $406, and the net unrealized appreciation of
investments was $521.
(A) Rates associated with short-term investments represent yield to maturity.
ABBREVIATIONS:
CD -- Certificate of Deposit
REMIC -- Real Estate Mortgage Investment Conduit
TD -- Time Deposit
See accompanying notes
46
<PAGE> 48
AMR INVESTMENT SERVICES TRUST
STATEMENTS OF ASSETS AND LIABILITIES
October 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Growth and International Limited-Term
Balanced Income Equity Income
Portfolio Portfolio Portfolio Portfolio
-------- ---------- ------------- ------------
(in thousands)
<S> <C> <C> <C> <C>
ASSETS:
Investments in securities at value (cost -- $764,769;
$880,481; $335,924; $173,958, respectively)........... $900,785 $1,113,842 $389,195 $174,479
Cash, including foreign currency........................ - - 14,651 -
Unrealized appreciation on foreign currency contracts... - - 484 -
Dividends and interest receivable....................... 6,586 2,193 993 1,278
Reclaims receivable..................................... - - 566 -
Receivable for investments sold......................... 120 241 235 -
Deferred organization costs............................. 34 34 34 34
Other assets............................................ 1 - - -
-------- ---------- -------- --------
TOTAL ASSETS........................................ 907,526 1,116,310 406,158 175,791
-------- ---------- -------- --------
LIABILITIES:
Payable for investments purchased....................... 10,606 3,040 678 2,508
Payable for portfolio redemptions....................... 538 126 43 -
Management and investment advisory fees payable
(Note 2).............................................. 803 904 496 37
Accrued organization costs.............................. 43 43 35 43
Other liabilities....................................... 54 40 410 26
-------- ---------- -------- --------
TOTAL LIABILITIES................................... 12,044 4,153 1,662 2,614
-------- ---------- -------- --------
NET ASSETS APPLICABLE TO INVESTORS' BENEFICIAL INTERESTS.... $895,482 $1,112,157 $404,496 $173,177
======== ========== ======== ========
</TABLE>
See accompanying notes
47
<PAGE> 49
AMR INVESTMENT SERVICES TRUST
STATEMENTS OF OPERATIONS
Year Ended October 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Growth and International Limited-Term
Balanced Income Equity Income
Portfolio Portfolio Portfolio Portfolio
-------- ---------- ------------- ------------
(in thousands)
<S> <C> <C> <C> <C>
INVESTMENT INCOME:
Interest income.................................................... $ 24,184 $ 2,577 $ 1,389 $12,656
Dividend income (net of foreign taxes of $762 in International
Equity Portfolio)................................................ 15,597 28,031 8,527 -
Income derived from securities lending, net........................ 89 60 54 7
-------- -------- ------- -------
TOTAL INVESTMENT INCOME........................................ 39,870 30,668 9,970 12,663
-------- -------- ------- -------
EXPENSES:
Management and investment advisory fees (Note 2)................... 2,845 3,154 1,458 454
Custodian fees..................................................... 121 93 317 46
Professional fees.................................................. 59 57 20 19
Other expenses..................................................... 80 80 40 42
-------- -------- ------- -------
TOTAL EXPENSES................................................. 3,105 3,384 1,835 561
-------- -------- ------- -------
NET INVESTMENT INCOME.................................................. 36,765 27,284 8,135 12,102
-------- -------- ------- -------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized gain (loss) on investments............................ 67,731 77,846 9,600 (3,216)
Net realized gain on foreign currency transactions................. - - 1,572 -
Change in net unrealized appreciation of investments............... 27,670 94,294 38,592 458
Change in net unrealized depreciation of foreign currency contracts
and translations................................................. - - (7,840) -
-------- -------- ------- -------
NET GAIN (LOSS) ON INVESTMENTS................................. 95,401 172,140 41,924 (2,758)
-------- -------- ------- -------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS................... $132,166 $199,424 $50,059 $ 9,344
======== ======== ======= =======
</TABLE>
See accompanying notes
48
<PAGE> 50
AMR INVESTMENT SERVICES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
Year Ended October 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Growth and International Limited-Term
Balanced Income Equity Income
Portfolio Portfolio Portfolio Portfolio
---------- ---------- ------------- ------------
(in thousands)
<S> <C> <C> <C> <C>
INCREASE IN NET ASSETS:
OPERATIONS:
Net investment income............................................. $ 36,765 $ 27,284 $ 8,135 $ 12,102
Net realized gain (loss) on investments and foreign currency
transactions.................................................... 67,731 77,846 11,172 (3,216)
Change in net unrealized appreciation of investments and foreign
currency translations........................................... 27,670 94,294 30,752 458
---------- ---------- -------- ---------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS............ 132,166 199,424 50,059 9,344
---------- ---------- -------- ---------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS:
Contributions..................................................... 1,029,398 1,053,593 397,164 292,820
Withdrawals....................................................... (266,082) (140,860) (42,727) (128,987)
---------- ---------- -------- ---------
NET INCREASE IN NET ASSETS RESULTING FROM TRANSACTIONS IN
INVESTORS'
BENEFICIAL INTERESTS.......................................... 763,316 912,733 354,437 163,833
---------- ---------- -------- ---------
NET INCREASE IN NET ASSETS...................................... 895,482 1,112,157 404,496 173,177
---------- ---------- -------- ---------
NET ASSETS:
Beginning of year................................................. - - - -
---------- ---------- -------- ---------
END OF YEAR....................................................... $ 895,482 $1,112,157 $404,496 $ 173,177
========== ========== ======== =========
- ------------------------------------------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS:
- ------------------------------------------------------------------------------------------------------------------
RATIOS:
Net investment income to average net assets....................... 4.26% 2.81% 2.50% 6.67%
Expenses to average net assets.................................... 0.36% 0.35% 0.56% 0.31%
Portfolio turnover rate........................................... 76% 40% 19% 304%
Average commission rate paid...................................... $ 0.0409 $ 0.0412 $ 0.0192 -
</TABLE>
See accompanying notes
49
<PAGE> 51
AMR INVESTMENT SERVICES TRUST
NOTES TO FINANCIAL STATEMENTS
October 31, 1996
- --------------------------------------------------------------------------------
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
AMR Investment Services Trust (the "Trust") is registered under the
Investment Company Act of 1940, as amended, as a no-load, open-end, management
investment company which was organized as a trust under the laws of the State of
New York pursuant to a Declaration of Trust dated as of June 27, 1995 and
amended on August 11, 1995. Beneficial interests in the Trust are divided into
seven separate series, each having distinct investment objectives and policies,
as follows: AMR Investment Services Balanced Portfolio, AMR Investment Services
Growth and Income Portfolio, AMR Investment Services International Equity
Portfolio, AMR Investment Services Limited-Term Income Portfolio, AMR Investment
Services Money Market Portfolio, AMR Investment Services Municipal Money Market
Portfolio, and AMR Investment Services U.S. Treasury Money Market Portfolio.
These financial statements and notes to the financial statements relate to the
Balanced, Growth and Income, International Equity and Limited-Term Income
Portfolios (each a "Portfolio" and collectively the "Portfolios"). The assets of
each Portfolio belong only to that Portfolio, and the liabilities of each
Portfolio are borne solely by that Portfolio and no other. The Trust commenced
active operations on November 1, 1995.
AMR Investment Services, Inc. (the "Manager") is a wholly-owned subsidiary
of AMR Corporation, the parent company of American Airlines, Inc. ("American"),
and was organized in 1986 to provide business management, advisory,
administrative and asset management consulting services.
The following is a summary of the significant accounting policies followed
by the Portfolios.
Security Valuation
Equity securities that are primarily traded on domestic securities
exchanges are valued at the last quoted sales price on a designated exchange
prior to the close of trading on the New York Stock Exchange (the "Exchange")
or, lacking any current sales, on the basis of the last current bid price prior
to the close of trading on the Exchange. Portfolio securities that are primarily
traded on foreign securities exchanges are generally valued at the preceding
closing values of such securities on their respective exchanges where primarily
traded. Over-the-counter equity securities are valued on the basis of the last
bid price on that date prior to the close of trading. Debt securities (other
than short-term securities) normally will be valued on the basis of prices
provided by a pricing service and may take into account appropriate factors such
as institution-size trading in similar groups of securities, yield, quality,
coupon rate, maturity, type of issue, trading characteristics and other market
data. In some cases, the prices of debt securities may be determined using
quotes obtained from brokers. Securities for which market quotations are not
readily available are valued at fair value, as determined in good faith and
pursuant to procedures approved by the Board. Investment grade short-term
obligations with 60 days or less to maturity are valued using the amortized cost
method.
Security Transactions and Investment Income
Security transactions are recorded on the trade date of the security
purchase or sale. Dividend income is recorded on the ex-dividend date except
certain dividends from foreign securities which are recorded as soon as the
information is available to the Portfolios. Interest income is earned from
settlement date, recorded on the accrual basis, and adjusted, if necessary, for
amortization of premiums or accretion of discounts on investment grade
short-term securities and zero coupon instruments. For
50
<PAGE> 52
AMR INVESTMENT SERVICES TRUST
NOTES TO FINANCIAL STATEMENTS
October 31, 1996
(Continued)
- --------------------------------------------------------------------------------
financial and tax reporting purposes, realized gains and losses are determined
on the basis of specific lot identification.
Currency Translation
All assets and liabilities initially expressed in foreign currency values
are converted into U.S. dollar values at the bid price of such currencies
against U.S. dollars as last quoted by a recognized dealer. Income, expenses and
purchases and sales of investments are translated into U.S. dollars at the rate
of exchange prevailing on the respective dates of such transactions. The
Portfolios include that portion of the results of operations resulting from
changes in foreign exchange rates with net realized and unrealized gain on
investments, as appropriate.
Forward Foreign Currency Contracts
The International Equity Portfolio may enter into forward foreign currency
contracts to hedge the exchange rate risk on investment transactions or to hedge
the value of portfolio securities denominated in foreign currencies. Forward
foreign currency contracts are valued at the forward exchange rate prevailing on
the day of valuation.
Federal Income and Excise Taxes
The Portfolios will be treated as partnerships for federal income tax
purposes. As such, each investor in a Portfolio will be taxed on its share of
the Portfolio's ordinary income and capital gains. It is intended that each
Portfolio's assets will be managed in such a way that an investor in the
Portfolio will be able to satisfy the requirements of sub-chapter M of the
Internal Revenue Code. Accordingly, no provision for United States federal
income or excise tax is necessary.
Deferred Organization Expenses
Expenses incurred by a Portfolio in connection with its organization are
being amortized on a straight-line basis over a five-year period.
2. TRANSACTIONS WITH AFFILIATES
Management Agreement
The Trust and the Manager are parties to a Management Agreement which
obligates the Manager to provide or oversee the provision of all administrative,
investment advisory and portfolio management services. Investment assets of the
Balanced, Growth and Income, and International Equity Portfolios ("Variable NAV
Portfolios") are managed by multiple investment advisers which have entered into
separate investment advisory agreements with the Manager. As compensation for
performing the duties required under the Management Agreement, the Manager
receives from the Portfolios an annualized fee equal to .10% of the average
daily net assets of the Variable NAV Portfolios plus amounts paid by the
51
<PAGE> 53
AMR INVESTMENT SERVICES TRUST
NOTES TO FINANCIAL STATEMENTS
October 31, 1996
(Continued)
- --------------------------------------------------------------------------------
Manager to the investment advisors hired by the Manager to direct investment
activities of the Portfolios. Management fees are paid as follows (dollars in
thousands):
<TABLE>
<CAPTION>
Amount paid to Net Amount
Management Management Investment Paid to
Fee Rate Fee Advisors Manager
---------- ---------- -------------- ----------
<S> <C> <C> <C> <C>
Balanced Portfolio.......................................... .225%-.70% $2,845 $2,005 $840
Growth and Income Portfolio................................. .225%-.70% 3,154 2,182 972
International Equity Portfolio.............................. .50%-.90% 1,458 1,132 326
</TABLE>
The Manager serves as the sole investment adviser to the Limited-Term
Income Portfolio. Pursuant to the Management Agreement, the Manager receives
from the Limited-Term Income Portfolio an annualized fee equal to .25% of the
average daily net assets of the Portfolio.
Other
Certain officers or trustees of the Trust are also officers of the Manager
or American. The Trust makes no direct payments to its officers. Unaffiliated
trustees and their spouses are provided free unlimited air transportation on
American. However, the Trust compensates each Trustee with payments in an amount
equal to the Trustee's income tax on the value of this free airline travel. For
the year ended October 31, 1996, the cost of air transportation was not material
to any of the Portfolios.
3. INVESTMENT TRANSACTIONS
Investment transactions for the year ended October 31, 1996 (excluding
short-term investments) are as follows (in thousands):
<TABLE>
<CAPTION>
Growth and International Limited-Term
Balanced Income Equity Income
Portfolio Portfolio Portfolio Portfolio
-------- ---------- ------------- ------------
<S> <C> <C> <C> <C>
Purchases................................................ $647,086 $536,001 $ 139,871 $523,969
Proceeds from sales...................................... $632,770 $365,851 $ 57,351 $547,409
</TABLE>
52
<PAGE> 54
AMR INVESTMENT SERVICES TRUST
NOTES TO FINANCIAL STATEMENTS
October 31, 1996
(Continued)
- --------------------------------------------------------------------------------
4. COMMITMENTS
In order to protect itself against a decline in the value of particular
foreign currencies against the U.S. dollar, the International Equity Portfolio
has entered into forward contracts to deliver or receive foreign currency in
exchange for U.S. dollars as described below. The Portfolio bears the market
risk that arises from changes in foreign exchange rates, and accordingly, the
unrealized gain (loss) on these contracts is reflected in the accompanying
financial statements. The Portfolio also bears the credit risk if the
counterparty fails to perform under the contract. At October 31, 1996, the
Portfolio had outstanding forward foreign currency contracts as follows:
At October 31, 1996, the Portfolio had outstanding forward foreign currency
contracts as follows:
<TABLE>
<CAPTION>
Contracts to Deliver
- ---------------------- Settlement Unrealized
(amounts in thousands) Date Value Gain/(Loss)
---------- ------- -----------
<S> <C> <C> <C> <C>
2,900 AUD............................................................ 1/10/97 $ 2,291 $ (8)
10,000 DEM............................................................ 6/19/97 6,681 190
300,000 ESP............................................................ 12/2/96 2,349 15
34,000 FRF............................................................ 6/19/97 6,715 83
21,700 FRF............................................................ 6/19/97 4,286 (29)
195,000 JPY............................................................ 12/20/96 1,721 289
2,750 NLG............................................................ 11/14/96 1,623 145
3,900 NLG............................................................ 11/14/96 2,302 219
18,500 SEK............................................................ 9/16/97 2,828 (36)
------- -----
Total contracts to deliver
(Receivable amount $31,665).............................................. $30,796 $ 869
======= =====
Contracts to Receive
- ------------------
(amounts in thousands)
10,000 DEM............................................................ 6/19/97 $ 6,681 $(229)
195,000 JPY............................................................ 12/24/96 1,721 (101)
6,650 NLG............................................................ 11/14/96 3,925 (56)
------- -----
Total contracts to receive
(Payable amount $12,712)................................................. $12,327 $(385)
======= =====
</TABLE>
5. SECURITIES LENDING
The Portfolios participate in a securities lending program under which
securities are loaned to selected institutional investors for a fee. All such
loans require collateralization with cash, securities of the U.S. Government and
its agencies or letters of credit that at all times equal at least 100% of the
market value of the loaned securities plus accrued interest. At October 31, 1996
there were no outstanding securities loans for any of the Portfolios.
53
<PAGE> 55
ANNUAL
REPORT
OCTOBER 31,1996
AMERICAN
ADDVANTAGE FUNDS (R)
-INSTITUTIONAL CLASS-
P.O. Box 619003
Dallas/Fort Worth Airport, Texas [AMERICAN LOGO]
75261-9003 AMERICAN
(800)967-9009 AADVANTAGE
FUNDS (R)
-PLANAHEAD CLASS-(R) MONEY MARKET FUND
P.O. Box 4580
Chicago, Illinois 60680-4580 MUNICIPAL MONEY MARKET FUND
(800) 388-3344
U.S. TREASURY MONEY MARKET FUND
-PLATINUM CLASS-(SM)
P.O. Box 619003
Dallas/Fort Worth Airport, Texas
75261-9003
(800)967-9009
<PAGE> 56
Dear Fellow Shareholder:
We are pleased to report to you on the performance of the American
AAdvantage Money Market Funds and to provide you with a copy of the Annual
Report for the year ended October 31, 1996.
Money Market Fund
For the twelve months ended October 31, 1996, the total return of the
Institutional Class of the American AAdvantage Money Market Fund was 5.57%.
Lipper Analytical Services ranked the Institutional Class among the top ten best
performing Institutional Money Market Funds out of its universe of 158 funds for
that period. For the five years ended October 31, 1996, the Institutional Class
maintained its Lipper ranking as the best performing Institutional Money Market
Fund out of 85 such funds. Similarly, during the twelve months ended October 31,
1996, the PlanAhead Class outperformed its benchmark, the Lipper Money Market
Instrument Average, while the Platinum Class met its benchmark.
After the Federal Reserve lowered interest rates on January 31, 1996 by 25
basis points, the economy grew in the first and second quarter by 2.0% and 4.2%,
respectively. During this period of economic expansion, our expectations were
that the Fed would adhere to a neutral to restrictive monetary policy.
Consequently, the weighted average maturity of the portfolio was maintained at
or near a neutral posture.
The Fund achieved its superior performance during this period of relatively
stable monetary policy by investing in variable rate securities that were
indexed to the London Interbank Offering Rate, reset on a quarterly basis and
had final maturities of 397 days or less. During this period of improving
economic momentum, we established a strategy of overweighting improving credits
to increase yield. This strategy proved to be successful.
Municipal Money Market Fund
The Institutional Class of the Municipal Money Market Fund achieved a total
return of 3.59% for the twelve months ended October 31, 1996. Lipper Analytical
Services ranked the Institutional Class as the 4th best performing Institutional
Tax-Exempt Money Market Fund out of its universe of 75 such funds during this
period. Likewise, the PlanAhead Class outperformed this Lipper benchmark, the
Lipper Tax-Exempt Money Market Funds Average, while the Platinum Class
underperformed this benchmark. Since its inception, the Municipal Money Market
Fund has invested exclusively in high credit worthy municipal issuers that are
further credit enhanced either by a bank letter of credit or bond insurance.
U.S. Treasury Money Market Fund
For the twelve months ended October 31, 1996, the Institutional Class of
the U.S. Treasury Money Market Fund had a total return of 5.29% and was ranked
among the top 20% in the Lipper universe of 101 Institutional Treasury Funds.
During the same one year period, the PlanAhead Class also outperformed its
Lipper benchmark, the Lipper U.S. Treasury Money Market Funds Average, while the
Platinum Class underperformed this benchmark. The Fund continued to be rated
"AAAm" by Standard and Poor's Corporation its highest money market funds' rating
category.
As always, we appreciate your confidence and support and we will continue
to strive to provide you with above average returns.
Sincerely,
/s/ WILLIAM F. QUINN
William F. Quinn
President
American AAdvantage Funds
<PAGE> 57
REPORT OF ERNST & YOUNG LLP, INDEPENDENT AUDITORS
Shareholders and Board of Trustees
American AAdvantage Money Market Fund
American AAdvantage Municipal Money Market Fund
American AAdvantage U.S. Treasury Money Market Fund
We have audited the accompanying statements of assets and liabilities of
the American AAdvantage Money Market Fund, the American AAdvantage Municipal
Money Market Fund, the American AAdvantage U.S. Treasury Money Market Fund
(collectively, "the Funds") (separate funds comprising the American AAdvantage
Funds) as of October 31, 1996, and the related statements of operations for the
year then ended, the statements of changes in net assets for each of the two
years in the period then ended and the financial highlights for each of the
periods indicated therein. These financial statements and financial highlights
are the responsibility of the Funds' management. Our responsibility is to
express an opinion on these financial statements and financial highlights based
on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of investments owned as of
October 31, 1996, by correspondence with the custodian. An audit also includes
assessing the accounting principles used and significant estimates made by
management, as well as evaluating the overall financial statement presentation.
We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred
to above present fairly, in all material respects, the financial position of
each of the respective American AAdvantage Funds at October 31, 1996, the
results of their operations for the year then ended, the changes in their net
assets for each of the two years in the period then ended, and the financial
highlights for each of the periods indicated therein, in conformity with
generally accepted accounting principles.
/s/ ERNST & YOUNG
Dallas, Texas
December 20, 1996
2
<PAGE> 58
AMERICAN AADVANTAGE FUNDS
STATEMENTS OF ASSETS AND LIABILITIES
October 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
U.S.
Money Municipal Treasury
Market Money Market Money Market
Fund Fund Fund
-------------- ------------ ------------
(in thousands, except share and per share
amounts)
<S> <C> <C> <C>
ASSETS:
Investment in Portfolio, at value................................ $ 1,642,180 $ 52,433 $ 80,006
-------------- ----------- -----------
TOTAL ASSETS................................................. 1,642,180 52,433 80,006
-------------- ----------- -----------
LIABILITIES:
Dividends payable................................................ 7,679 123 302
Management and administrative services fees payable (Note 2)..... 440 88 98
Other liabilities................................................ 251 14 36
-------------- ----------- -----------
TOTAL LIABILITIES............................................ 8,370 225 436
-------------- ----------- -----------
NET ASSETS........................................................... $ 1,633,810 $ 52,208 $ 79,570
============== =========== ===========
ANALYSIS OF NET ASSETS:
Paid-in-capital.................................................. 1,633,810 52,208 79,570
-------------- ----------- -----------
NET ASSETS........................................................... $ 1,633,810 $ 52,208 $ 79,570
============== =========== ===========
Shares outstanding (no par value):
Institutional Class.............................................. 1,406,938,475 6,104 25,594,915
============== =========== ===========
PlanAhead Class.................................................. 106,889,907 2,339,633 1,822,270
============== =========== ===========
Platinum Class................................................... 119,981,224 49,862,571 52,152,937
============== =========== ===========
Net asset value per share:
Institutional Class.............................................. $ 1.00 $ 1.00 $ 1.00
============== =========== ===========
PlanAhead Class.................................................. $ 1.00 $ 1.00 $ 1.00
============== =========== ===========
Platinum Class................................................... $ 1.00 $ 1.00 $ 1.00
============== =========== ===========
</TABLE>
See accompanying notes
3
<PAGE> 59
AMERICAN AADVANTAGE FUNDS
STATEMENTS OF OPERATIONS
Year Ended October 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
U.S.
Money Municipal Treasury
Market Money Market Money Market
Fund Fund Fund
------- ------------ ------------
(in thousands)
<S> <C> <C> <C>
INVESTMENT INCOME ALLOCATED FROM PORTFOLIO:
Allocated interest income............................................... $83,708 $1,394 $4,460
Allocated Portfolio expenses (net of reimbursement of $29 for the
Municipal Money Market Fund).......................................... (2,587) (47) (164)
------ ------ ------
NET INVESTMENT INCOME ALLOCATED FROM PORTFOLIO...................... 81,121 1,347 4,296
------ ------ ------
FUND EXPENSES:
Administrative service fees (Note 2):
Institutional Class................................................... 670 - 16
PlanAhead Class....................................................... 33 - 1
Platinum Class........................................................ 384 185 249
Transfer agent fees:
Institutional Class................................................... 54 - 2
PlanAhead Class....................................................... 62 1 1
Professional fees....................................................... 79 5 13
Registration fees and expenses.......................................... 98 21 33
Distribution fees - Platinum Class...................................... 192 93 124
Service Fees - PlanAhead Class.......................................... 164 2 3
Other expenses.......................................................... 15 1 2
------ ------ ------
TOTAL FUND EXPENSES................................................. 1,751 308 444
------ ------ ------
NET INVESTMENT INCOME....................................................... 79,370 1,039 3,852
------ ------ ------
REALIZED GAIN ALLOCATED FROM PORTFOLIO:
Net realized gain on investments........................................ 69 - 36
------ ------ ------
NET GAIN ON INVESTMENTS............................................. 69 - 36
------ ------ ------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS........................ $79,439 $1,039 $3,888
====== ====== ======
</TABLE>
See accompanying notes
4
<PAGE> 60
AMERICAN AADVANTAGE FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
Year Ended October 31,
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Money Market Municipal Money U.S. Treasury Money
Fund Market Fund Market Fund
---------------------------- --------------------- ----------------------
1996 1995 1996 1995 1996 1995
------------ ------------ -------- --------- --------- ---------
(in thousands)
<S> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income........... $ 79,370 $ 91,590 $ 1,039 $ 682 $ 3,852 $ 3,700
Net realized gain on
investments................... 69 19 - - 36 8
------------ ------------ -------- --------- --------- ---------
NET INCREASE IN NET
ASSETS RESULTING FROM
OPERATIONS.............. 79,439 91,609 1,039 682 3,888 3,708
------------ ------------ -------- --------- --------- ---------
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Institutional Class........... (72,480) (86,432) (1) (194) (1,633) (3,301)
Mileage Class................. (19) (4,257) - (483) - (390)
PlanAhead Class............... (3,324) (901) (28) (5) (57) (9)
Platinum Class................ (3,547) - (1,010) - (2,162) -
Net realized gain on
investments:
Institutional Class........... (62) (18) - - (15) (7)
Mileage Class................. - (1) - - - (1)
PlanAhead Class............... (3) - - - - -
Platinum Class................ (4) - - - (21) -
------------ ------------ -------- --------- --------- ---------
NET DISTRIBUTIONS TO
SHAREHOLDERS............ (79,439) (91,609) (1,039) (682) (3,888) (3,708)
------------ ------------ -------- --------- --------- ---------
CAPITAL SHARE TRANSACTIONS:
Proceeds from sales of shares... 12,974,461 12,531,768 120,311 189,500 199,981 389,427
Reinvestment of dividends and
distributions................. 52,065 54,680 915 668 3,266 2,823
Cost of shares redeemed......... (12,741,031) (13,189,189) (88,592) (191,043) (178,363) (411,339)
------------ ------------ -------- --------- --------- ---------
NET INCREASE (DECREASE)
IN NET ASSETS FROM
CAPITAL SHARE
TRANSACTIONS............ 285,495 (602,741) 32,634 (875) 24,884 (19,089)
------------ ------------ -------- --------- --------- ---------
NET INCREASE (DECREASE) IN NET
ASSETS............................ 285,495 (602,741) 32,634 (875) 24,884 (19,089)
NET ASSETS:
Beginning of year............... 1,348,315 1,951,056 19,574 20,449 54,686 73,775
------------ ------------ -------- --------- --------- ---------
END OF YEAR..................... $ 1,633,810 $ 1,348,315 $ 52,208 $ 19,574 $ 79,570 $ 54,686
============ ============ ======== ========= ========= =========
</TABLE>
See accompanying notes
5
<PAGE> 61
AMERICAN AADVANTAGE FUNDS
NOTES TO FINANCIAL STATEMENTS
October 31, 1996
- --------------------------------------------------------------------------------
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
American AAdvantage Funds (the "Trust") is organized as a Massachusetts
business trust and is registered under the Investment Company Act of 1940, as
amended, as a no-load, open-end, management investment company with eight
separate funds: the American AAdvantage Balanced Fund, the American AAdvantage
Growth and Income Fund, the American AAdvantage International Equity Fund, the
American AAdvantage Limited-Term Income Fund, the American AAdvantage Money
Market Fund, the American AAdvantage Municipal Money Market Fund, American
AAdvantage Short-Term Income Fund and the American AAdvantage U.S. Treasury
Money Market Fund. These financial statements relate to the Money Market,
Municipal Money Market and U.S. Treasury Money Market Funds (each a "Fund" and
collectively, the "Funds"). The American AAdvantage Short-Term Income Fund had
not commenced active operations at October 31, 1996. The Trust commenced sales
of a second class of shares of the Funds, designated as "Mileage Class" shares,
on November 1, 1991 for the Money Market Fund, November 1, 1993 for the U.S.
Treasury Money Market Fund and on November 10, 1993 for the Municipal Money
Market Fund. At the same time, the existing shares of each Fund were
redesignated as "Institutional Class" shares. The Trust commenced sales on
August 1, 1994 of a third class of shares of the Funds, designated as "PlanAhead
Class" shares and on November 7, 1995 a fourth class of shares of the Funds,
designated as "Platinum Class" shares. The Mileage Class of each Fund was
terminated on November 15, 1995.
Each Fund invests all of its investable assets in the corresponding
portfolio of the AMR Investment Services Trust, an open-end diversified
management investment company, as follows:
<TABLE>
<S> <C> <C>
AMERICAN AADVANTAGE: -) INVESTS ASSETS IN -) AMR INVESTMENT SERVICES TRUST:
Money Market Fund Money Market Portfolio
Municipal Money Market Fund Municipal Money Market Portfolio
U.S. Treasury Money Market Fund U.S. Treasury Money Market Portfolio
</TABLE>
Each AMR Investment Services Portfolio has the same investment objectives
as its corresponding Fund. The value of such investment reflects each Fund's
proportionate interest in the net assets of the corresponding portfolio (93.05%,
64.53% and 88.22% at October 31, 1996 of the AMR Investment Services Trust Money
Market, Municipal Money Market and U.S. Treasury Money Market Portfolios) (each
a "Portfolio" and collectively the "Portfolios", respectively). The financial
statements of the Portfolios are included elsewhere in this report and should be
read in conjunction with the Funds' financial statements.
AMR Investment Services, Inc. (the "Manager") is a wholly-owned subsidiary
of AMR Corporation, the parent company of American Airlines, Inc. ("American"),
and was organized in 1986 to provide business management, advisory,
administrative and asset management consulting services to the Trust and other
investors.
The following is a summary of the significant accounting policies followed
by the Funds.
Valuation of Investments
Valuation of securities by the Portfolios is discussed in Note 1 of the
Portfolios' Notes to Financial Statements which are included elsewhere in this
report.
6
<PAGE> 62
AMERICAN AADVANTAGE FUNDS
NOTES TO FINANCIAL STATEMENTS
October 31, 1996 (Continued)
- --------------------------------------------------------------------------------
Investment Income and Dividends to Shareholders
Each Fund records its share of net investment income and realized gain and
loss in the Portfolio each day. All net investment income and realized gain and
loss of each Portfolio are allocated pro rata among the corresponding Fund and
other investors in each Portfolio at the time of such determination. The Funds
generally declare dividends daily from net investment income and net short-term
capital gain, if any, payable monthly.
Dividends are determined in accordance with income tax principles which may
treat certain transactions differently than generally accepted accounting
principles.
Federal Income and Excise Taxes
It is the policy of each of the Funds to comply with the requirements of
the Internal Revenue Code applicable to regulated investment companies and to
distribute substantially all net investment income as well as any net realized
capital gains on the sale of investments. Therefore, no federal income or excise
tax provision is required.
All dividends paid by the Municipal Money Market Fund were
"exempt -- interest dividends", and therefore 100% free of any regular Federal
income tax. Approximately 35% of interest earned was derived from investments in
certain private activity bonds for purposes of the Federal alternative minimum
tax calculation.
Expenses
Expenses directly attributable to a Fund are charged to that Fund's
operations. Expenses directly attributable to a Class of shares are charged to
that Class. Expenses incurred by the Trust with respect to any two or more of
the Funds are allocated in proportion to the net assets of each Fund, except
where allocations of direct expenses to each Fund can otherwise be made fairly.
Each share of each Fund, regardless of class, bears equally those expenses that
are allocated to the Fund as a whole.
Valuation of Shares
The price per share is calculated separately for each class of each Fund on
each day on which shares are offered for sale and orders accepted or upon
receipt of a redemption request. With respect to a class of a Fund, price per
share is computed by dividing the value of the Class's pro rata allocation of
the Fund's investments and other assets, less liabilities, by the number of
Class shares outstanding.
2. TRANSACTIONS WITH AFFILIATES
Administrative Services Agreement
The Manager and the Trust entered into an Administrative Service Agreement
which obligates the Manager to provide or oversee administrative and management
services to the Funds. As compensation for performing the duties required under
the Administrative Services Agreement, the Manager receives an annualized fee of
.05% of the average daily net assets of the Institutional and PlanAhead Classes
of each of the Funds and .50% of the average daily net assets of the Platinum
Classes of each of the Funds.
7
<PAGE> 63
AMERICAN AADVANTAGE FUNDS
NOTES TO FINANCIAL STATEMENTS
October 31, 1996 (Continued)
- --------------------------------------------------------------------------------
Distribution Plan
The Trust has adopted a "defensive" Distribution Plan in accordance with
Rule 12b-1 under the Investment Company Act of 1940, pursuant to which no fees
may be charged to the Funds for distribution purposes. However, the plan
authorizes the fees received by the Manager and the investment advisers hired by
the Manager to be used for distribution purposes. Under this plan, the Trust
does not intend to compensate the Manager or any other party, either directly or
indirectly, for the distribution of Trust shares.
Other
Certain officers or trustees of the Trust are also officers of the Manager
or American. The Trust makes no direct payments to its officers. Unaffiliated
trustees and their spouses are provided free unlimited air transportation on
American. However, the Trust compensates each Trustee with payments in an amount
equal to the Trustee's income tax on the value of this free airline travel. For
the year ended October 31, 1996, the cost of air transportation was not material
to any of the Funds. At October 31, 1996, AMR Corporation and subsidiary
companies and Employee Benefit Trusts thereof owned 6% of the Institutional
Class of the Municipal Money Market Fund.
3. CAPITAL SHARE TRANSACTIONS
The tables below summarize the activity in capital shares for each Class of
the Funds (in thousands). Each share is valued at $1.00:
<TABLE>
<CAPTION>
Institutional Mileage PlanAhead Platinum
Year Ended October 31, 1996 Class Class Class Class
- --------------------------- ------------- -------- --------- --------
<S> <C> <C> <C> <C>
Money Market Fund
- -----------------
Shares sold......................................................... 12,617,528 654 177,716 178,563
Reinvestment of dividends........................................... 46,010 -- 2,969 3,086
Shares redeemed..................................................... (12,462,640) (100,940) (115,783) (61,668)
----------- -------- -------- -------
Net increase (decrease) in capital share transactions............... 200,898 (100,286) 64,902 119,981
=========== ======== ======== =======
</TABLE>
<TABLE>
<CAPTION>
Institutional Mileage PlanAhead Platinum
Municipal Money Market Fund Class Class Class Class
- --------------------------- ------------- -------- --------- --------
<S> <C> <C> <C> <C>
Shares sold......................................................... 1,491 -- 6,330 112,490
Reinvestment of dividends........................................... -- -- 23 892
Shares redeemed..................................................... (1,492) (19,438) (4,143) (63,519)
----------- -------- -------- -------
Net increase (decrease) in capital share transactions............... (1) (19,438) 2,210 49,863
=========== ======== ======== =======
</TABLE>
<TABLE>
<CAPTION>
Institutional Mileage PlanAhead Platinum
U.S. Treasury Money Market Fund Class Class Class Class
- ------------------------------- ------------- -------- --------- --------
<S> <C> <C> <C> <C>
Shares sold......................................................... 51,499 26 4,149 144,307
Reinvestment of dividends........................................... 1,225 -- 49 1,992
Shares redeemed..................................................... (74,313) (6,998) (2,906) (94,146)
----------- -------- -------- -------
Net increase (decrease) in capital share transactions............... (21,589) (6,972) 1,292 52,153
=========== ======== ======== =======
</TABLE>
8
<PAGE> 64
AMERICAN AADVANTAGE FUNDS
NOTES TO FINANCIAL STATEMENTS
October 31, 1996 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Institutional Mileage PlanAhead
Year Ended October 31, 1995 Class Class Class
- --------------------------- ------------- -------- ----------
<S> <C> <C> <C>
Money Market Fund
- -----------------
Shares sold..................................................................... 12,106,153 297,557 128,058
Reinvestment of dividends....................................................... 50,158 3,863 659
Shares redeemed................................................................. (12,843,415) (259,020) (86,754)
---------- -------- --------
Net increase (decrease) in capital share transactions........................... (687,104) 42,400 41,963
========== ======== ========
</TABLE>
<TABLE>
<CAPTION>
Institutional Mileage PlanAhead
Municipal Money Market Fund Class Class Class
- --------------------------- ------------- -------- ----------
<S> <C> <C> <C>
Shares sold..................................................................... 146,600 42,208 692
Reinvestment of dividends....................................................... 223 440 5
Shares redeemed................................................................. (156,552) (33,923) (568)
---------- -------- --------
Net increase (decrease) in capital share transactions........................... (9,729) 8,725 129
========== ======== ========
</TABLE>
<TABLE>
<CAPTION>
Institutional Mileage PlanAhead
U.S. Treasury Money Market Fund Class Class Class
- ------------------------------- ------------- -------- ----------
<S> <C> <C> <C>
Shares sold..................................................................... 371,049 16,404 1,974
Reinvestment of dividends....................................................... 2,455 362 6
Shares redeemed................................................................. (393,927) (15,962) (1,450)
---------- -------- --------
Net increase (decrease) in capital share transactions........................... (20,423) 804 530
========== ======== ========
</TABLE>
9
<PAGE> 65
AMERICAN AADVANTAGE MONEY MARKET FUND
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout the period)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Institutional Class
--------------------------------------------------------------------
Year Ended October 31,
--------------------------------------------------------------------
1996 1995 1994(1) 1993 1992
---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of
period............................ $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
---------- ---------- ---------- ---------- ----------
Net investment income........... 0.05(5) 0.06 0.04 0.03 0.04
Less dividends from net
investment income............. (0.05) (0.06) (0.04) (0.03) (0.04)
---------- ---------- ---------- ---------- ----------
Net asset value, end of period...... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
========== ========== ========== ========== ==========
Total return (annualized)........... 5.57% 5.96% 3.85% 3.31% 4.41%
========== ========== ========== ========== ==========
Ratios/supplemental data:
Net assets, end of period (in
thousands).................... $1,406,939 $1,206,041 $1,893,144 $2,882,947 $2,223,829
Ratios to average net assets
(annualized):
Expenses................... 0.24%(5) 0.23% 0.21% 0.23% 0.26%
Net investment income...... 5.41%(5) 5.79% 3.63% 3.23% 4.06%
<CAPTION>
PlanAhead Class Platinum Class
-------------------------------------- --------------
Year Ended October Period Period
31, Ended Ended
--------------------- October 31, October 31,
1996 1995 1994(1)(2)(3) 1996(2)(4)
-------- ------- ------------- --------------
<S> <C> <C> <C> <C>
Net asset value, beginning of
period............................ $ 1.00 $ 1.00 $1.00 $ 1.00
-------- ------- ------------- --------------
Net investment income........... 0.05 (5) 0.05 0.01 0.05(5)
Less dividends from net
investment income............. (0.05) (0.05) (0.01) (0.05)
-------- ------- ------------- --------------
Net asset value, end of period...... $ 1.00 $ 1.00 $1.00 $ 1.00
======== ======= ============ ===========
Total return (annualized)........... 5.21% 5.60% 3.73% 4.85%
======== ======= ============ ===========
Ratios/supplemental data:
Net assets, end of period (in
thousands).................... $106,890 $41,989 $ 25 $119,981
Ratios to average net assets
(annualized):
Expenses................... 0.58% (5) 0.55% 0.70% 0.94%(5)
Net investment income...... 5.06% (5) 5.56% 4.42% 4.63%(5)
</TABLE>
- ---------------
(1) Average shares outstanding for the period rather than end of period shares
were used to compute net investment income per share.
(2) The PlanAhead Class commenced active operations on August 1, 1994. The
Platinum Class commenced active operations on November 7, 1995.
(3) Total return for the PlanAhead Class for the period ended October 31, 1994
reflects Institutional Class returns from November 1, 1993 through July 31,
1994 and returns of the PlanAhead Class from August 1, 1994 (commencement of
operations) through October 31, 1994. Due to the different expense
structures between the classes, total return would vary from the results
shown had the PlanAhead Class been in operation for the entire year.
10
<PAGE> 66
AMERICAN AADVANTAGE MONEY MARKET FUND
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout the period)
- --------------------------------------------------------------------------------
(4) Total return for the Platinum Class for the period ended October 31, 1996
reflects Institutional Class returns from November 1, 1995 through November
6, 1995 and returns of the Platinum Class from November 7, 1995
(commencement of operations) through October 31, 1996. Due to the different
expense structures between the classes, total return would vary from the
results shown had the Platinum Class been in operation for the entire year.
(5) The per share amounts and ratios reflect income and expenses assuming
inclusion of the Fund's proportionate share of the income and expenses of
the AMR Investment Services Trust Money Market Portfolio.
11
<PAGE> 67
AMERICAN AADVANTAGE MUNICIPAL MONEY MARKET FUND
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout the period)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Institutional Class
----------------------------------
Year Ended
October 31, Period Ended
------------------ October 31,
1996 1995 1994(1)
------ ------ ------------
<S> <C> <C> <C>
Net asset value, beginning of period................................. $ 1.00 $ 1.00 $ 1.00
------ ------ ------
Net investment income............................................ 0.04(5) 0.04 0.02
Less dividends from net investment income........................ (0.04) (0.04) (0.02)
------ ------ ------
Net asset value, end of period....................................... $ 1.00 $ 1.00 $ 1.00
------ ------ ------
Total return (annualized)(3)......................................... 3.59% 3.75% 2.44%
====== ====== ======
Ratios/Supplemental Data:
Net assets, end of period (in thousands)......................... $ 6 $ 7 $9,736
Ratios to average net assets (annualized)(3):
Expenses.................................................... 0.27%(5) 0.35% 0.30%
Net investment income....................................... 3.49%(5) 3.70% 2.38%
<CAPTION>
PlanAhead Class Platinum Class
------------------------------------- --------------
Year Ended
October 31, Period Ended Period Ended
----------- October 31, October 31,
1996 1995 1994(1) 1996(1)(2)
---- ----- ------------ --------------
<S> <C> <C> <C> <C>
Net asset value, beginning of period................................. $ 1.00 $ 1.00 $ 1.00 $ 1.00
------ ------ ------- --------
Net investment income............................................ 0.03 (5) 0.03 0.01 0.03(5)
Less dividends from net investment income........................ (0.03) (0.03) (0.01) (0.03)
------ ------ ------- --------
Net asset value, end of period....................................... $ 1.00 $ 1.00 $ 1.00 $ 1.00
====== ====== ======= ========
Total return (annualized)(3)......................................... 3.27% 3.39% 2.35% 2.88%
====== ====== ======= ========
Ratios/Supplemental Data:
Net assets, end of period (in thousands)......................... $2,340 $ 129 $ - $ 49,862
Ratios to average net assets (annualized)(3):
Expenses.................................................... 0.62% (5) 0.72% 0.77% 0.97%(5)
Net investment income....................................... 3.12% (5) 3.32% 2.49% 2.72%(5)
</TABLE>
- ---------------
(1) The Institutional Class commenced active operations on November 10, 1993.
The PlanAhead Class commenced active operations on August 1, 1994. The
Platinum Class commenced active operations on November 7, 1995.
(2) Total return for the Platinum Class for the period ended October 31, 1996
reflects Institutional Class returns from November 1, 1995 through November
6, 1995 and returns of the Platinum Class from November 7, 1995
(commencement of operations) through October 31, 1996. Due to the different
expense structures between the classes, total return would vary from the
results shown had the Platinum Class been in operation for the entire year.
(3) Operating results of each class of the Municipal Money Market Fund exclude
fees waived by the Manager. Had the Fund paid such fees, the ratio of
expenses and net investment income to average net assets for the
Institutional Class would have been as follows:
<TABLE>
<CAPTION>
Institutional Class PlanAhead Class
-------------------------------- ---------------------------------
Year Ended Year Ended Platinum Class
October 31, October 31, ----------------
------------- Period Ended ------------- Period Ended Period Ended
1996 1995 October 31, 1994 1996 1995 October 31, 1994 October 31, 1996
----- ----- ---------------- ----- ----- ---------------- ----------------
<S> <C> <C> <C> <C> <C> <C> <C>
Ratio of expenses to
average net assets
(annualized)............. 0.33% 0.55% 0.50% 0.67% 0.92% 0.97% 1.02%
Ratio of net investment
income to average net
assets (annualized)...... 3.43% 3.50% 2.18% 3.07% 3.12% 2.29% 2.67%
</TABLE>
12
<PAGE> 68
AMERICAN AADVANTAGE MUNICIPAL MONEY MARKET FUND
FINANCIAL HIGHLIGHTS
YEAR ENDED OCTOBER 31, 1996
- --------------------------------------------------------------------------------
(4) Total return for the PlanAhead Class for the period ended October 31, 1994
reflects Institutional Class returns from November 10, 1993 through July 31,
1994 and returns of the PlanAhead Class from August 1, 1994 (commencement of
operations) through October 31, 1994. Due to the different expense
structures between the classes, total return would vary from the results
shown had the PlanAhead Class been in operation for entire year.
(5) The per share amounts and ratios reflect income and expenses assuming
inclusion of the Fund's proportionate share of the income and expenses of
the AMR Investment Services Trust Municipal Money Market Portfolio.
13
<PAGE> 69
AMERICAN AADVANTAGE U.S. TREASURY MONEY MARKET FUND
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout the period)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Institutional Class
-----------------------------------------------------------
Year Ended October 31, Period Ended
------------------------------------------- October 31,
1996 1995 1994(1) 1993 1992(2)
------- ------- ------- -------- ------------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period..................... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
------- ------- ------ -------- -------
Net investment income................................ 0.05 (7) 0.06 0.04 0.03 0.02
Less dividends from net investment income............ (0.05) (0.06) (0.04) (0.03) (0.02)
------- ------- ------ -------- -------
Net asset value, end of period........................... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
======= ======= ====== ======== =======
Total return (annualized)................................ 5.29% 5.67% 3.70% 3.07% 3.61%
======= ======= ====== ======== =======
Ratios/Supplemental Data:
Net assets, end of period (in thousands)............. $25,595 $47,184 $67,607 $136,813 $ 91,453
Ratios to average net assets (annualized)(5):
Expenses......................................... 0.32%(7) 0.32% 0.25% 0.23% 0.27%(6)
Net investment income............................ 5.16%(7) 5.49% 3.44% 2.96% 3.46%(6)
<CAPTION>
PlanAhead Class Platinum Class
------------------------------------ --------------
Year Ended October
31, Period Ended Period Ended
------------------ October 31, October 31,
1996 1995 1994(1)(2)(3) 1996(2)(4)
------ ------ ------------- --------------
<S> <C> <C> <C> <C>
Net asset value, beginning of period..................... $ 1.00 $ 1.00 $ 1.00 $ 1.00
------ ------ ------ -------
Net investment income................................ 0.05 (7) 0.05 0.01 0.04(7)
Less dividends from net investment income............ (0.05) (0.05) (0.01) (0.04)
------ ------ ------ -------
Net asset value, end of period........................... $ 1.00 $ 1.00 $ 1.00 $ 1.00
====== ====== ====== =======
Total return (annualized)................................ 4.94% 5.19% 3.58% 4.58%
====== ====== ====== =======
Ratios/Supplemental Data:
Net assets, end of period (in thousands)............. $1,822 $ 530 $ - $ 52,153
Ratios to average net assets (annualized)(5):
Expenses......................................... 0.67% (7) 0.76% 0.75% 1.00%(7)
Net investment income............................ 4.74% (7) 5.19% 3.94% 4.35%(7)
</TABLE>
- ---------------
(1) Average shares outstanding for the period rather than end of period shares
were used to compute net investment income per share.
(2) The Institutional Class commenced active operations on March 2, 1992. The
PlanAhead Class commenced active operations on August 1, 1994. The Platinum
Class commenced active operations on November 7, 1995.
(3) Total return for the PlanAhead Class for the period ended October 31, 1994
reflects Institutional Class returns from November 1, 1993 through July 31,
1994 and returns of the PlanAhead Class from August 1, 1994 (commencement of
operations) through October 31, 1994. Due to the different expense
structures between the classes, total return would vary from the results
shown had the PlanAhead Class been in operation for the entire year.
(4) Total return for the Platinum Class for the period ended October 31, 1996
reflects Institutional Class returns from November 1, 1995 through November
6, 1995 and returns of the Platinum Class from November 7, 1995
(commencement of operations) through October 31, 1996. Due to the different
expense structures between the classes, total return would vary from the
results shown had the Platinum Class been in operation for the entire year.
14
<PAGE> 70
AMERICAN AADVANTAGE MUNICIPAL MONEY MARKET FUND
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout the period)
- --------------------------------------------------------------------------------
(5) The method of determining average net assets was changed from a monthly
average to a daily average starting with the period ended October 31, 1994.
(6) Estimated based on expected annual expenses and actual average net assets.
(7) The per share amounts and ratios reflect income and expenses assuming
inclusion of the Fund's proportionate share of the income and expenses of
the AMR Investment Services Trust U.S. Treasury Money Market Portfolio.
15
<PAGE> 71
REPORT OF ERNST & YOUNG LLP, INDEPENDENT AUDITORS
Shareholders and Board of Trustees
AMR Investment Services Money Market Portfolio
AMR Investment Services Municipal Money Market Portfolio
AMR Investment Services U.S. Treasury Money Market Portfolio
We have audited the accompanying statements of assets and liabilities of
the AMR Investment Services Money Market Portfolio, the AMR Investment Services
Municipal Money Market Portfolio, and the AMR Investment Services U.S. Treasury
Money Market Portfolio (collectively, "the Portfolios") (separate portfolios
comprising the AMR Investment Services Trust), including the schedules of
investments as of October 31, 1996, and the related statements of operations,
the statements of changes in net assets, and the financial highlights for the
year then ended. These financial statements and financial highlights are the
responsibility of the Portfolios' management. Our responsibility is to express
an opinion on these financial statements and financial highlights based on our
audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of investments owned as of
October 31, 1996, by correspondence with the custodian. An audit also includes
assessing the accounting principles used and significant estimates made by
management, as well as evaluating the overall financial statement presentation.
We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred
to above present fairly, in all material respects, the financial position of
each of the portfolios of the AMR Investment Services Trust at October 31, 1996,
the results of their operations, the changes in their net assets, and the
financial highlights for the year then ended, in conformity with generally
accepted accounting principles.
/s/ ERNST & YOUNG
Dallas, Texas
December 20, 1996
16
<PAGE> 72
AMR INVESTMENT SERVICES TRUST MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Par
Amount Value
------- ----------
(dollars in thousands)
<S> <C> <C>
EURODOLLAR TIME DEPOSITS (NOTE A) - 9.16%
Bank Brussells Lambert, 6.00%,
Due 11/1/1996................ $85,000 $ 85,000
Fuji Bank, 5.84375%, Due
11/1/1996.................... 57,000 57,000
Skandinaviska Enskilda Banken,
5.75%, Due 11/1/1996......... 19,662 19,662
----------
TOTAL EURODOLLAR TIME
DEPOSITS................. 161,662
----------
CERTIFICATES OF DEPOSIT (NOTE
A) - 22.61%
FOREIGN BANKS - 21.25%
Banca CRT S.p.A., New York,
Variable Rate, 5.65625%, Due
3/10/1997.................... 75,000 75,000
Industrial Bank of Japan, New
York, Variable Rate,
5.50219%, Due 8/27/1997...... 25,000 25,000
Industrial Bank of Japan, New
York, Variable Rate, 5.54%,
Due 8/5/1997................. 80,000 80,000
Postipankki, Limited, New York,
Variable Rate Demand,
5.5225%, Due 9/26/1997 (Note
C)........................... 90,000 90,000
Sanwa Bank, Limited, New York,
Variable Rate, 5.59594%, Due
2/6/1997..................... 72,000 72,000
Sanwa Bank, Limited, New York,
Variable Rate, 5.49219%, Due
2/27/1997.................... 33,000 33,000
----------
TOTAL FOREIGN BANKS........ 375,000
----------
DOMESTIC BANKS - 1.36%
Banco Popular de Puerto Rico,
Variable Rate, 5.725%, Due
4/4/1997 (Note B)............ 24,000 24,000
----------
TOTAL DOMESTIC
BANKS.................... 24,000
----------
TOTAL CERTIFICATES OF
DEPOSIT.................. 399,000
----------
PROMISSORY NOTES (NOTES A AND C) - 16.71%
Goldman Sachs Group L.P.,
Variable Rate Demand,
5.57547%, Due 4/4/1997....... 18,000 18,000
Goldman Sachs Group L.P.,
Variable Rate Demand,
5.50516%, Due 4/18/1997...... 50,000 50,000
<CAPTION>
Par
Amount Value
------- ----------
(dollars in thousands)
<S> <C> <C>
Goldman Sachs Group L.P.,
Variable Rate Demand,
5.50516%, Due 4/18/1997...... $12,000 $ 12,000
Goldman Sachs Group L.P.,
Variable Rate Demand,
5.46219%, Due 5/19/1997...... 25,000 25,000
Heller Financial, Incorporated,
Variable Rate Demand, 5.75%,
Due 12/20/1996............... 65,000 65,000
Heller Financial, Incorporated,
Variable Rate Demand,
5.63125%, Due 1/27/1997...... 10,000 10,000
Heller Financial, Incorporated,
Variable Rate Demand, 5.705%,
Due 3/11/1997................ 25,000 25,000
Jackson National Life Insurance
FA #F-1041-1, Variable Rate
Demand, 5.57078%, Due
9/2/1997..................... 90,000 90,000
----------
TOTAL PROMISSORY NOTES..... 295,000
----------
BANK NOTES (NOTE A) - 5.44%
Advanta Bank USA, Variable
Rate, 5.66125%, Due
1/9/1997..................... 25,000 25,000
Advanta Bank USA, Variable
Rate, 5.65625%, Due
7/15/1997.................... 25,000 24,999
Advanta National Bank, Variable
Rate, 5.825%, Due
4/4/1997..................... 11,000 11,000
Advanta National Bank, Variable
Rate, 5.73125%, Due
4/10/1997.................... 10,000 10,001
Advanta National Bank, Variable
Rate, 5.825%, Due 10/1/1997.. 25,000 25,000
----------
TOTAL BANK NOTES........... 96,000
----------
COMMERCIAL PAPER (NOTE A) - 7.70%
Aristar, Incorporated, 5.42%,
Due 11/14/1996............... 9,175 9,157
Aristar, Incorporated, 5.44%,
Due 11/14/1996............... 35,000 34,932
BanPonce Financial Corporation,
5.52%, Due 11/14/1996........ 12,000 11,976
Finova Capital Corporation,
5.33%, Due 11/14/1996........ 10,000 9,981
</TABLE>
See accompanying notes
17
<PAGE> 73
AMR INVESTMENT SERVICES TRUST MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Par
Amount Value
------- ----------
(dollars in thousands)
<S> <C> <C>
Finova Capital Corporation,
5.33%, Due 11/14/1996........ $50,000 $ 49,904
Finova Capital Corporation,
5.34%, Due 11/14/1996........ 20,000 19,962
----------
TOTAL COMMERCIAL PAPER..... 135,912
----------
VARIABLE RATE MEDIUM-TERM NOTES
(NOTE A) - 37.85%
American Honda Finance
Corporation, 144A, 5.53125%,
Due 1/27/1997................ 70,000 69,992
American Honda Finance
Corporation, 144A, 5.58078%,
Due 2/7/1997................. 10,000 10,000
Bank of Boston Corporation,
5.56125%, Due 1/24/1997...... 50,000 50,000
Bank of Boston Corporation,
5.55125%, Due 1/24/1997...... 15,000 15,000
Bank of Boston Corporation,
5.55125%, Due 1/29/1997...... 5,000 5,000
BanPonce Corporation, 5.91250%,
Due 2/3/1997................. 40,000 40,019
BanPonce Financial Corporation,
6.0125%, Due 11/25/1996...... 5,000 5,001
BanPonce Financial Corporation,
6.0625%, Due 1/7/1997........ 10,000 10,007
Bear Stearns Companies,
Incorporated, 5.55469%, Due
1/17/1997.................... 25,000 25,000
CS First Boston, Incorporated,
144A, 5.53906%, Due
5/11/1997.................... 58,000 58,000
General Motors Acceptance
Corporation, Variable Rate
Demand, 5.50%, Due 2/23/1998
(Note D)..................... 70,000 70,000
<CAPTION>
Par
Amount Value
------- ----------
(dollars in thousands)
<S> <C> <C>
General Motors Acceptance
Corporation, Variable Rate
Demand, 5.48734%, Due
10/22/1998 (Note D).......... $25,000 $ 25,000
Merrill Lynch & Company,
Incorporated, 5.50906%, Due
2/12/1997.................... 30,000 30,000
Salomon Incorporated, 5.73125%,
Due 10/31/1997............... 95,000 95,000
Sanwa Business Credit
Corporation, 144A, 5.62125%,
Due 1/10/1997................ 25,000 25,000
Sanwa Business Credit
Corporation, 144A, 5.62125%,
Due 1/10/1997................ 25,000 25,000
Sanwa Business Credit
Corporation, 144A, 5.61906%,
Due 2/10/1997................ 10,000 9,999
Sanwa Business Credit
Corporation, 144A, 5.65203%,
Due 3/4/1997................. 20,000 19,996
Sears Roebuck Acceptance
Corporation, 5.51078%, Due
10/2/1997.................... 80,000 80,000
----------
TOTAL VARIABLE RATE
MEDIUM-TERM NOTES.......... 668,014
----------
TOTAL INVESTMENTS - 99.47%
(COST $1,755,588)............ 1,755,588
----------
OTHER ASSETS, NET OF
LIABILITIES - 0.53%.......... 9,334
----------
TOTAL NET ASSETS - 100%........ $1,764,922
==========
</TABLE>
- ---------------
Based on the cost of investments of $1,755,588 for federal income tax purposes
at October 31, 1996, there was no unrealized appreciation or depreciation of
investments.
(A) Rates associated with money market securities represent yield to maturity or
yield to next reset date.
(B) Obligation is subject to a same day credit quality put back to issuer.
(C) Obligation is subject to an unconditional put back to the issuer with seven
calendar days notice.
(D) Obligation is subject to an unconditional put back to the issuer with thirty
calendar days notice.
ABBREVIATION:
L.P. - Limited Partnership
See accompanying notes
18
<PAGE> 74
AMR INVESTMENT SERVICES TRUST MUNICIPAL MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Par
Amount Value
------- ----------
(dollars in thousands)
<S> <C> <C>
COMMERCIAL PAPER (NOTE A) - 4.25%
City of Burlington, Kansas
Customized Purchase Pollution
Control Refunding and
Improvement Revenue Bonds
Series 1985B, 3.60%, Due
9/1/2015, LOC Societe
Generale..................... $ 1,400 $ 1,400
Carbon County Industrial
Developement Authority
Resource Recovery Bonds
(Panther Creek Project)
Series 1991A, 3.60%, Due
12/1/2017, LOC National
Westminster Bank, PLC........ 750 750
Toledo, Lucas County, Ohio Port
Authority Port Facility
Refunding Revenue Bonds (CSX
Transportation, Incorporated
Project) Series 1992, 3.55%,
Due 12/15/2021, LOC Bank of
Nova Scotia.................. 1,300 1,300
----------
TOTAL COMMERCIAL PAPER..... 3,450
----------
MUNICIPAL BONDS (NOTE A) - 92.24%
ALABAMA - 4.52%
Birmingham Baptist Medical
Centers - Alabama Special
Care Facilities Financing
Authority Revenue Bonds
(Senior Living Communities,
Incorporated Project) Series
1990A, 3.70%, Due 9/1/2020,
LOC Fuji Bank, Limited,
VRDO......................... 3,190 3,190
Birmingham Baptist Medical
Centers - Alabama Medical
Clinic Board Revenue Bonds
(Western Medical System, Inc.
Project), Series 1990A,
3.70%, Due 6/1/2028, LOC Fuji
Bank, Limited, VRDO.......... 480 480
----------
TOTAL ALABAMA.............. 3,670
----------
ARIZONA - 2.95%
Industrial Development
Authority of Apache County,
Arizona Pollution Control
Revenue (Tucson Electric
Power Company) Series 1981B,
3.65%, Due 10/1/2021, LOC
Bank of Tokyo-Mitsubishi,
Limited, VRDO................ 2,400 2,400
----------
TOTAL ARIZONA.............. 2,400
----------
<CAPTION>
Par
Amount Value
------- ----------
(dollars in thousands)
<S> <C> <C>
ARKANSAS - 1.48%
Little River County, Arkansas
Solid Waste Disposal Revenue
Bonds (Georgia-Pacific
Corporation Project) Series
1991, 3.70%, Due 11/1/2026,
LOC Sumitomo Bank, Limited,
VRDO......................... $ 1,200 $ 1,200
----------
TOTAL ARKANSAS............. 1,200
----------
CALIFORNIA - 7.93%
California Pollution Control
Financing Authority Solid
Waste Disposal Revenue
Bonds(Taormina Industries,
Incorporated Project) Series
1994B, 3.70%, Due 8/1/2014,
LOC Sanwa Bank, Limited,
VRDO......................... 1,000 1,000
California Statewide Community
Development Authority
Industrial Development
Revenue Bonds (Nichirin-Flex
U.S.A., Incorporated Project)
Series 1989, 3.55%, Due
10/1/2004, LOC Dai-Ichi
Kangyo Bank, Limited, VRDO... 2,500 2,500
County of Sacramento,
California Revenue Bonds
Series 1985A, 3.60%, Due
4/15/2007, LOC Dai-Ichi
Kangyo Bank, Limited, VRDO... 200 200
County of Sacramento,
California Revenue Bonds
Series 1985B, 3.60%, Due
4/15/2007, LOC Dai-Ichi
Kangyo Bank, Limited, VRDO... 100 100
Los Angeles County Industrial
Development Authority (Gary
A. Brandy), 4.10%, Due
12/1/2007, LOC Dai-Ichi
Kangyo Bank, Limited, VRDO... 345 345
Los Angeles County Industrial
Development Authority
(Bicara, Limited Project)
Series 1987A-II, 4.10%, Due
12/1/2007, LOC Dai-Ichi
Kangyo Bank, Limited, VRDO... 600 600
Southeast Resource Recovery
Facilities Authority
California Lease Revenue
Bonds Series 1995A, 3.55%,
Due 12/1/2018, LOC Industrial
Bank of Japan, Limited,
VRDO......................... 1,700 1,700
----------
TOTAL CALIFORNIA........... 6,445
----------
</TABLE>
19
<PAGE> 75
AMR INVESTMENT SERVICES TRUST MUNICIPAL MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Par
Amount Value
------- ----------
(dollars in thousands)
<S> <C> <C>
COLORADO - 2.22%
Adams County, Colorado
Industrial Development
Revenue Bonds (City View Park
Project) Series 1985, 3.60%,
Due 12/1/2015, LOC Barclays
Bank PLC, VRDO............... $ 1,800 $ 1,800
----------
TOTAL COLORADO............. 1,800
----------
CONNECTICUT - 0.25%
Connecticut Development
Authority Solid Waste
Disposal Facility Revenue
Bonds (Exeter Energy Project)
Series 1989A, 3.60%, Due
12/1/2019, LOC Sanwa Bank,
Limited, VRDO................ 200 200
----------
TOTAL CONNECTICUT.......... 200
----------
FLORIDA - 6.52%
Broward County, Florida Housing
Finance Authority Multifamily
Housing Revenue
Bonds(Parkview Partnership
Limited), 3.75%, Due
12/1/2010, LOC Fuji Bank,
Limited, VRDO................ 1,000 1,000
City of Naples, Florida
Hospital Revenue Bonds
(Naples Community Hospital,
Incorporated Project) Series
1992, 3.70%, Due 11/1/2022,
LOC Mellon Bank, N.A.,
VRDO......................... 100 100
Dade County, Florida Capital
Asset Acquisition Special
Obligation Bonds Series 1990,
3.90%, Due 10/1/2010, LOC
Sanwa Bank, Limited, VRDO.... 1,700 1,700
Lee County, Florida Industrial
Development Authority Revenue
Bonds (Christian & Missionary
Alliance Foundation - Shell
Point Village Project),
Series 1985, 3.625%, Due
4/1/2010, LOC Banque Paribas,
VRDO......................... 2,500 2,500
----------
TOTAL FLORIDA.............. 5,300
----------
GEORGIA - 6.36%
Clayton County, Georgia Housing
Authority Multifamily Housing
Revenue Refunding Bonds
(Chateau Forest Apartments
Project) Series 1990E, 3.55%,
Due 1/1/2021, Bond
Insurance - Financial
Security Assurance, VRDO..... 570 570
<CAPTION>
Par
Amount Value
------- ----------
(dollars in thousands)
<S> <C> <C>
Industrial Development
Authority of Cartersville
(Sekisui Jushi America
Incorporated Project) Series
1992, 4.05%, Due 6/1/2012,
LOC Sanwa Bank, Limited,
VRDO......................... $ 1,100 $ 1,100
Thomaston-Upson County
Industrial Development
Revenue Authority (Yamaha
Music Manufacturing,
Incorporated) Series 1988,
4.05%, Due 8/1/2018, LOC Bank
of Tokyo-Mitsubishi, Limited,
VRDO......................... 3,500 3,500
----------
TOTAL GEORGIA.............. 5,170
----------
HAWAII - 0.74%
Hawaii Housing Finance &
Development Corporation
(Pohulani Rental Housing
Development Project) Rental
Housing System Revenue Bonds
Series 1990B, 3.60%, Due
7/1/2025, LOC Industrial Bank
of Japan, Limited,
VRDO......................... 500 500
Hawaii State Housing Finance &
Development Corporation
Revenue Rental Housing System
(Kamakee Vista Rental Housing
Development Project) Series
1990A, 3.60%, Due 7/1/2025,
LOC Industrial Bank of Japan,
Limited, VRDO................ 100 100
----------
TOTAL HAWAII............... 600
----------
ILLINOIS - 3.19%
Illinois Development Finance
Authority (Illinois Power
Project) Series 1987D, 3.55%,
Due 3/1/2017, LOC Bank of
Tokyo-Mitsubishi, Limited,
VRDO......................... 900 900
Illinois Housing Development
Authority Multi-Family
Mortgage - Revenue Bonds
(Hyde Park Project) Series
1989, 4.05%, Due 2/1/2024,
LOC Sumitomo Bank, Limited,
VRDO......................... 1,265 1,265
Oswego, Illinois Industrial
Development Revenue Bonds
(Griffith Laboratories World
Wide, Incorporated Project)
Series 1995, 3.65%, Due
7/1/2025, LOC ABN AMRO Bank,
N.V., VRDO................... 430 430
----------
TOTAL ILLINOIS............. 2,595
----------
</TABLE>
20
<PAGE> 76
AMR INVESTMENT SERVICES TRUST MUNICIPAL MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Par
Amount Value
------- ----------
(dollars in thousands)
<S> <C> <C>
INDIANA - 4.01%
Fort Wayne Industrial Economic
Development Revenue Bonds
(ND-Tech Corporation Project)
Series 1989, 3.65%, Due
7/1/2009, LOC Societe
Generale, VRDO............... $ 600 $ 600
Indianapolis, Indiana Resource
Recovery Revenue Bonds (Ogden
Martin System) Series 1987,
3.65%, Due 12/1/2016, LOC
Swiss Bank Corporation,
VRDO......................... 400 400
Princeton Industrial
Development Revenue Bonds
(Orion Electric America,
Incorporated Project) Series
1987, 3.80%, Due 4/30/2017,
LOC Bank of Tokyo-Mitsubishi,
Limited, VRDO................ 455 455
Seymour Economic Development
Revenue Bonds (Kobelco Metal
Powder of America,
Incorporated Project) Series
1987, 4.05%, Due 12/15/1997,
LOC Industrial Bank of Japan,
Limited,
VRDO......................... 600 600
Shelbyville, Indiana Economic
Development Revenue Bonds
(Nippisun Indiana Corporation
Project) Series 1991, 4.25%,
Due 9/1/2006, LOC Industrial
Bank of Japan, Limited,
VRDO......................... 1,200 1,200
----------
TOTAL INDIANA.............. 3,255
----------
IOWA - 0.95%
Dubuque, Iowa Industrial
Development Revenue Bonds
(Swiss Valley Farms Company
Project Series 1987), 3.90%,
Due 12/1/2001, LOC Rabobank
Nederland, VRDO.............. 770 770
----------
TOTAL IOWA................. 770
----------
KENTUCKY - 3.44%
Bowling Green Industrial
Building Revenue Bonds (TWN
Fastener, Incorporated
Project) Series 1988, 4.05%,
Due 3/1/2008, LOC Industrial
Bank of Japan, Limited,
VRDO......................... 900 900
<CAPTION>
Par
Amount Value
------- ----------
(dollars in thousands)
<S> <C> <C>
Georgetown, Kentucky Public
Project Revenue Bond Series
1986, 4.00%, Due 12/1/2006,
LOC Bank of Tokyo-Mitsubishi,
Limited, VRDO................ $ 300 $ 300
Hopkinsville Industrial
Development Revenue Bonds
(American Precision
Machinery, Incorporated
Project) Series 1990, 3.75%,
Due 5/1/2000, LOC Bank of
Tokyo-Mitsubishi, Limited,
VRDO......................... 1,400 1,400
Hopkinsville, Kentucky
Industrial Building Revenue
Refunding Bonds (Co Par,
Incorporated Project) Series
1994A, 4.05%, Due 4/1/2004,
LOC Dai-Ichi Kangyo Bank,
Limited, VRDO................ 100 100
Shelbyville, Kentucky
Industrial Building Revenue
Bonds (Ichikoh Manufacturing,
Incorporated Project) Series
1987, 4.05%, Due 10/1/1997
LOC Industrial Bank of Japan,
Limited, VRDO................ 100 100
----------
TOTAL KENTUCKY............. 2,800
----------
LOUISIANA - 4.20%
Louisiana Public Facilities
Authority Capital Facilities
Revenue Bonds Series 1985A,
3.90%, Due 12/1/2005, LOC
Sumitomo Bank, Limited,
VRDO......................... 1,210 1,210
Louisiana Public Facilities
Authority Revenue
Bonds(College & University
Equipment & Capital
Facilities) Series 1985A,
3.55%, Due 9/1/2010, Bond
Insurance - Financial
Guaranty Insurance Company,
VRDO......................... 2,200 2,200
----------
TOTAL LOUISIANA............ 3,410
----------
MICHIGAN - 0.25%
Kent Hospital Finance Authority
(Butterworth Hospital
Project) Series 1991A, 3.85%,
Due 1/15/2020, LOC Sanwa
Bank, Limited, VRDO.......... 200 200
----------
TOTAL MICHIGAN............. 200
----------
</TABLE>
21
<PAGE> 77
AMR INVESTMENT SERVICES TRUST MUNICIPAL MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Par
Amount Value
------- ----------
(dollars in thousands)
<S> <C> <C>
MISSOURI - 4.43%
Barry County, Missouri
Industrial Development
Authority, Industrial Revenue
Bonds (George's Processing,
Incorporated Project) Series
1987, 3.60%, Due 4/1/2000,
LOC Sumitomo Bank, Limited,
VRDO......................... $ 2,200 $ 2,200
Missouri Higher Education Loan
Authority Revenue Bonds
Series 1988A, 3.60%, Due
6/1/2017, LOC National
Westminster Bank, PLC,
VRDO......................... 1,400 1,400
----------
TOTAL MISSOURI............. 3,600
----------
NEBRASKA - 1.11%
Lancaster County, Nebraska
Industrial Revenue Bonds
(Sun-Husker Foods,
Incorporated Project), Series
1989, 4.05%, Due 8/15/2009,
LOC Bank of Tokyo-Mitsubishi,
Limited, VRDO................ 900 900
----------
TOTAL NEBRASKA............. 900
----------
NEVADA - 4.55%
Clark County, Nevada Industrial
Development Revenue Bonds
Pollution Control Refunding
Revenue Bonds (Nevada Power
Company Project) Series
1995A, 3.75%, Due 10/1/2030,
LOC Barclays Bank, PLC,
VRDO......................... 700 700
Clark County, Nevada Industrial
Development Revenue Bonds
Pollution Control Refunding
Revenue Bonds (Nevada Power
Company Project) Series
1995C, 3.60%, Due 10/1/2030,
LOC Barclays Bank, PLC,
VRDO......................... 3,000 3,000
----------
TOTAL NEVADA............... 3,700
----------
NEW JERSEY - 3.33%
New Jersey Health Care
Facilities Financing
Authority Revenue
Bonds(Carrier Foundation
Project)Series 1985C, 3.80%,
Due 7/1/2005, Bond Insurance
Financial Guaranty Insurance
Corporation, VRDO............ 2,705 2,705
----------
TOTAL NEW JERSEY........... 2,705
----------
<CAPTION>
Par
Amount Value
------- ----------
(dollars in thousands)
<S> <C> <C>
OHIO - 1.84%
Saint Mary's, Ohio Industrial
Development Revenue
Bonds(Setex Incorporated
Project), Series 1988, 4.05%,
Due 12/1/2001, LOC Industrial
Bank of Japan Limited,
VRDO......................... $ 1,500 $ 1,500
----------
TOTAL OHIO................. 1,500
----------
PENNSYLVANIA - 7.53%
Cambria County Industrial
Development Authority
Resource Recovery Revenue
Bonds(Cambria Cogen Company
Project) Series 1989 V-1,
3.65%, Due 9/1/2019, LOC ABN
AMRO Bank, N.V., VRDO........ 1,000 1,000
Cambria County Industrial
Development Authority
Resource Recovery Revenue
Bonds(Cambria Cogen Company
Project) Series 1989 V-2,
3.65%, Due 9/1/2019, LOC ABN
AMRO Bank, N.V., VRDO........ 900 900
Cambria County Industrial
Development Authority
Resource Recovery Revenue
Bonds(Cambria Cogen Company
Project) Series 1991 V-1,
3.65%, Due 9/1/2019, LOC ABN
AMRO Bank, N.V., VRDO........ 1,150 1,150
Emmaus, Pennsylvania General
Authority Revenue Bonds
(Saucon Valley School
District) Series 1989 D,
Subseries D-12, 3.60%, Due
3/1/2024, LOC Canadian
Imperial Bank of Commerce,
VRDO......................... 400 400
Emmaus, Pennsylvania General
Authority Local Government
Revenue Bonds, (Bond Pod
Program) Series 1989H
Subseries H-8, 3.60%, Due
3/1/2024, LOC Canadian
Imperial Bank of Commerce,
VRDO......................... 400 400
Gettysburg Area Industrial
Development Authority
Industrial Development
Refunding Bonds (Dal-Tile
Corporation) Series 1987B,
3.75%, Due 3/1/2004, LOC
Credit Suisse, VRDO.......... 1,670 1,670
</TABLE>
22
<PAGE> 78
AMR INVESTMENT SERVICES TRUST MUNICIPAL MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Par
Amount Value
------- ----------
(dollars in thousands)
<S> <C> <C>
Northumberland County
Industrial Development
Authority Resource Recovery
Revenue Bonds (Foster Wheeler
Mt. Carmel, Incorporated
Project) Series 1987A, 3.70%,
Due 2/1/2010, LOC Union Bank
of Switzerland, VRDO......... $ 600 $ 600
----------
TOTAL PENNSYLVANIA......... 6,120
----------
TENNESSEE - 0.98%
Blount County Industrial
Development Revenue Bonds
(Advanced Crystal Technology,
Incorporated Project) Series
1988, 4.05%, Due 8/1/2008,
LOC Industrial Bank of Japan,
Limited, VRDO................ 500 500
Covington, Tennessee Industrial
Development Board Industrial
Development Revenue Bonds
(Charms Company Project)
Series 1992, 3.65%, Due
6/1/2027, LOC Societe
Generale, VRDO............... 300 300
----------
TOTAL TENNESSEE............ 800
----------
TEXAS - 4.92%
Brazos River Authority, Texas
Pollution Control Revenue
Refunding Bonds (Coll.
Utility Company Project)
Series 1996B, 3.70%, Due
6/1/2030, Bond Insurance
AMBAC, VRDO.................. 2,600 2,600
Brazos River Authority, Texas
Pollution Control Revenue
Refunding Bonds (Texas
Utilities Electric Company)
Series 1995 B, 3.70%, Due
6/1/2030, LOC Union Bank of
Switzerland, VRDO............ 400 400
Harris County, Texas Industrial
Development Revenue Bonds
(Zeon Chemicals Project)
Series 1989, 4.05%, Due
2/1/2009, LOC Industrial Bank
of Japan, Limited, VRDO...... 600 600
Harris County, Texas Industrial
Development Revenue Bonds
(Chusei "USA" Project) Series
1991C, 4.05%, Due 8/1/2001,
LOC Bank of Tokyo-Mitsubishi,
Limited, VRDO................ 100 100
Montgomery County, Texas
Industrial Development
Revenue Bonds(Dal-Tile
Corporation Project) Series
1986B, 3.75%, Due 12/1/2003,
LOC Credit Suisse, VRDO...... 300 300
----------
TOTAL TEXAS................ 4,000
----------
<CAPTION>
Par
Amount Value
------- ----------
(dollars in thousands)
<S> <C> <C>
UTAH - 3.57%
Housing Authority of Provo
City, Utah Multifamily Rental
Housing Revenue Refunding
Bonds(Branbury Park Project)
Series 1987A, 3.75%, Due
12/15/2010, LOC Dai-Ichi
Kangyo Bank, Limited VRDO.... $ 1,600 $ 1,600
Housing Authority of Provo
City, Utah Multifamily Rental
Housing Revenue Refunding
Bonds(Branbury Park Project)
Series 1987B, 3.956%, Due
12/15/2010, LOC Dai-Ichi
Kangyo, Bank, Limited,
VRDO......................... 300 300
Utah State Board of Regents
Student Loan Revenue
Bonds(Bond Insurance-AMBAC
Indemnity Corporation) Series
1988C, 3.60%, Due 11/1/2013,
Dresdner Bank A.G., VRDO..... 1,000 1,000
----------
TOTAL UTAH................. 2,900
----------
VIRGINIA - 1.11%
Alexandria Industrial
Development Authority
Resource Recovery Revenue
Bonds (Alexandria/ Arlington
Waste-To-Energy Facility)
Series 1986A, 3.65%, Due
12/1/2016, LOC Swiss Bank
Corporation, VRDO............ 700 700
Virginia Housing Development
Authority (AHC Service
Corporation) Series 1987A,
3.60%, Due 9/1/2017, LOC Bank
of Tokyo-Mitsubishi, Limited,
VRDO......................... 200 200
----------
TOTAL VIRGINIA............. 900
----------
WASHINGTON - 6.15%
Port Angeles Industrial
Development Corporation
(Daishowa America Project)
Series 1992, 4.05%, Due
8/1/2007, LOC Industrial Bank
of Japan, Limited, VRDO...... 200 200
Port Angeles Industrial
Development Corporation
Revenue Bonds Series 1992B,
4.05%, Due 12/1/2007, LOC
Industrial Bank Of Japan,
Limited, VRDO................ 200 200
Port Everett Revenue Bonds
Series 1986, 4.05%, Due
12/1/2006, LOC Sumitomo Bank,
Limited, VRDO................ 1,200 1,200
Washington Student Loan Finance
Association Revenue Bonds
Series 1987A, 3.70%, Due
12/1/2002, LOC Sanwa Bank,
Limited, VRDO................ 2,400 2,400
</TABLE>
23
<PAGE> 79
AMR INVESTMENT SERVICES TRUST MUNICIPAL MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Par
Amount Value
------- ----------
(dollars in thousands)
<S> <C> <C>
Washington Student Loan Finance
Association Revenue Bonds
Series 1987B, 3.70%, Due
12/1/2002, LOC Sanwa Bank,
Limited, VRDO................ $ 1,000 $ 1,000
----------
TOTAL WASHINGTON........... 5,000
----------
WEST VIRGINIA - 1.37%
Marion County, West Virginia
Solid Waste Disposal Facility
(Grant Town Cogeneration
Project) Series 1990B, 3.60%,
Due 10/1/2017, LOC National
Westminster Bank, PLC,
VRDO......................... 115 115
Marion County, West Virginia
Solid Waste Disposal Facility
(Grant Town Cogeneration
Project) Series 1990C, 3.60%,
Due 10/1/2017, LOC National
Westminster Bank, PLC,
VRDO......................... 1,000 1,000
----------
TOTAL WEST VIRGINIA........ 1,115
----------
<CAPTION>
Par
Amount Value
------- ----------
(dollars in thousands)
<S> <C> <C>
WISCONSIN - 2.34%
Lacrosse, Wisconsin Industrial
Development Revenue Bonds
(Dairyland Power Cooperative
Project) Series 1984B, 3.70%,
Due 2/1/2015, LOC Rabobank
Nederland, VRDO.............. $ 1,900 $ 1,900
----------
TOTAL WISCONSIN............ 1,900
----------
TOTAL MUNICIPAL
BONDS.................... 74,955
----------
OTHER INVESTMENTS - 3.24%
Lehman Municipal Money Market
Fund......................... 2,630 2,630
----------
TOTAL OTHER INVESTMENTS.... 2,630
----------
TOTAL INVESTMENTS - 99.73%
(COST $81,035)............... 81,035
----------
OTHER ASSETS, NET OF
LIABILITIES - 0.27%.......... 223
----------
TOTAL NET ASSETS - 100%........ $ 81,258
==========
</TABLE>
- ---------------
Based on the cost of investments of $81,035 for federal income tax purposes at
October 31, 1996, there was no unrealized appreciation or depreciation of
investments.
(A) Rates associated with money market securities represent yield to maturity or
yield to next reset date.
ABBREVIATIONS:
LOC - Letter of Credit
PLC - Public Limited Corporation
VRDO - Variable Rate Demand Obligation
24
<PAGE> 80
AMR INVESTMENT SERVICES TRUST U.S. TREASURY MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Par
Amount Value
-------- ----------
(dollars in thousands)
<S> <C> <C>
REPURCHASE AGREEMENTS (NOTES A AND B) - 100.02%
BA Securities, 5.52%, Dated
10/31/1996, Due 11/1/1996
with a maturing value of
$20,003. (Collateralized by
$18,120 U.S. Treasury Notes,
due 2/15/2025, market
value - $20,416)............ $ 20,000 $ 20,000
Goldman Sachs Tri-Party
Treasury Repo, 5.54%, Dated
10/31/1996, Due 11/1/1996.
(Collateral held at The Bank
of New York Company,
Incorporated by $38,656 U.S.
Treasury Notes, due
11/30/1999, market value -
$41,820).................... 41,000 41,000
Morgan Stanley Tri-Party
Government National Mortgage
Association Repo, 5.58%,
Dated 10/31/1996, Due
11/1/1996 (Collateral held
at The Bank of New York
Company, Incorporated, by
$30,275 Government National
Mortgage Association, 6.00%,
due 10/20/2026, market
value - $30,474)............ 29,714 29,714
<CAPTION>
Par
Amount Value
-------- ----------
(dollars in thousands)
<S> <C> <C>
----------
TOTAL U S TREASURY
REPURCHASE AGREEMENTS... $ 90,714
----------
TOTAL INVESTMENTS -
100.02% - (COST - $90,714).. 90,714
----------
LIABILITIES, NET OF OTHER
ASSETS - (0.02%)............ (22)
----------
TOTAL NET ASSETS - 100%....... $ 90,692
==========
</TABLE>
- ---------------
Based on the cost of investments of $90,714 for federal income tax purposes at
October 31, 1996, there was no unrealized appreciation or depreciation of
investments.
(A) Rates associated with money market securities represent yield to maturity.
(B) Repurchase agreements are fully collateralized by U.S. Treasury or
Government agency securities. All collateral is held at the Portfolio's
custodian bank, NationsBank of Texas, N.A., or at subcustodian banks, as
indicated. The collateral is monitored daily by the Portfolio so that its
market value exceeds the carrying value of the repurchase agreement.
25
<PAGE> 81
AMR INVESTMENT SERVICES TRUST
STATEMENTS OF ASSETS AND LIABILITIES
October 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
U.S.
Money Municipal Treasury
Market Money Market Money Market
Portfolio Portfolio Portfolio
---------- ------------ ------------
(in thousands)
<S> <C> <C> <C>
ASSETS:
Investments in securities at value (cost - $1,755,588; $81,035;
$90,714, respectively) *..................................... $1,755,588 $ 81,035 $ 90,714
Cash........................................................... - - 17
Dividends and interest receivable.............................. 9,671 274 14
Deferred organization costs.................................... 34 34 34
---------- -------- --------
TOTAL ASSETS............................................... 1,765,293 81,343 90,779
---------- -------- --------
LIABILITIES:
Management and investment advisory fees payable (Note 2)....... 237 4 11
Accrued organization costs..................................... 43 43 43
Other liabilities.............................................. 91 38 33
---------- -------- --------
TOTAL LIABILITIES.......................................... 371 85 87
---------- -------- --------
NET ASSETS APPLICABLE TO INVESTORS' BENEFICIAL INTERESTS........... $1,764,922 $ 81,258 $ 90,692
========== ======== ========
</TABLE>
- ---------------
* Includes repurchase agreements of $90,714 for the U.S. Treasury Money Market
Portfolio.
See accompanying notes
26
<PAGE> 82
AMR INVESTMENT SERVICES TRUST
STATEMENTS OF OPERATIONS
Year Ended October 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Municipal
Money Money U.S. Treasury
Market Market Money Market
Portfolio Portfolio Portfolio
--------- --------- -------------
(in thousands)
<S> <C> <C> <C>
INVESTMENT INCOME:
Interest income........................................................ $89,923 $ 2,275 $ 4,915
------- ------- -------
TOTAL INVESTMENT INCOME............................................ 89,923 2,275 4,915
------- ------- -------
EXPENSES:
Management and investment advisory fees (Note 2)....................... 2,393 92 137
Custodian fees......................................................... 193 7 11
Professional fees...................................................... 84 2 6
Organization costs..................................................... 8 8 8
Other expenses......................................................... 107 17 19
------- ------- -------
TOTAL EXPENSES..................................................... 2,785 126 181
------- ------- -------
Less fees waived (Note 2).......................................... - 47 -
------- ------- -------
NET EXPENSES....................................................... 2,785 79 181
------- ------- -------
NET INVESTMENT INCOME...................................................... 87,138 2,196 4,734
------- ------- -------
REALIZED GAIN ON INVESTMENTS:
Net realized gain on investments....................................... 73 - 39
------- ------- -------
NET GAIN ON INVESTMENTS............................................ 73 - 39
------- ------- -------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS....................... $87,211 $ 2,196 $ 4,773
======= ======= =======
</TABLE>
See accompanying notes
27
<PAGE> 83
AMR INVESTMENT SERVICES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
Year Ended October 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Municipal
Money U.S. Treasury
Money Market Market Money Market
Portfolio Portfolio Portfolio
------------ --------- -------------
(in thousands)
<S> <C> <C> <C>
INCREASE IN NET ASSETS:
OPERATIONS:
Net investment income................................................... $ 87,138 $ 2,196 $ 4,734
Net realized gain on investments........................................ 73 - 39
----------- --------- ---------
TOTAL INCREASE IN NET ASSETS RESULTING FROM OPERATIONS.............. 87,211 2,196 4,773
----------- --------- ---------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS:
Contributions........................................................... 14,620,176 189,085 275,202
Withdrawals............................................................. (12,942,465) (110,023) (189,283)
----------- --------- ---------
NET INCREASE IN NET ASSETS RESULTING FROM TRANSACTIONS IN INVESTORS'
BENEFICIAL INTERESTS.............................................. 1,677,711 79,062 85,919
----------- --------- ---------
NET INCREASE IN NET ASSETS.................................................. 1,764,922 81,258 90,692
----------- -------- --------
NET ASSETS:
Beginning of year....................................................... - - -
----------- --------- ---------
END OF YEAR............................................................. $ 1,764,922 $ 81,258 $ 90,692
=========== ========= =========
FINANCIAL HIGHLIGHTS:
RATIOS:
Net investment income to average net assets*............................ 5.45% 3.59% 5.18%
Expenses to average net assets*......................................... 0.17% 0.13% 0.20%
</TABLE>
* Ratios to average net assets exclude fees waived by the Manager. Had the
Municipal Money Market Portfolio paid such fees, the ratios of net investment
income and expenses to average net assets would have been 3.51% and .21%,
respectively.
See accompanying notes
28
<PAGE> 84
AMR INVESTMENT SERVICES TRUST
NOTES TO FINANCIAL STATEMENTS
October 31, 1996
- --------------------------------------------------------------------------------
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
AMR Investment Services Trust (the "Trust") is registered under the
Investment Company Act of 1940, as amended, as a no-load, open-end, management
investment company which was organized as a trust under the laws of the State of
New York pursuant to a Declaration of Trust dated as of June 27, 1995 and
amended on August 11, 1995. Beneficial interests in the Trust are divided into
seven separate series, each having distinct investment objectives and policies,
as follows: AMR Investment Services Balanced Portfolio, AMR Investment Services
Growth and Income Portfolio, AMR Investment Services International Equity
Portfolio, AMR Investment Services Limited-Term Income Portfolio, AMR Investment
Services Money Market Portfolio, AMR Investment Services Municipal Money Market
Portfolio, and AMR Investment Services U.S. Treasury Money Market Portfolio
These financial statements and notes to the financial statements relate to the
Money Market, Municipal Money Market and U.S. Treasury Money Market Portfolios
(each a "Portfolio" and collectively the "Portfolios"). The assets of each
Portfolio belong only to that Portfolio, and the liabilities of each Portfolio
are borne solely by that Portfolio and no other. The Trust commenced active
operations on November 1, 1995.
AMR Investment Services, Inc. (the "Manager") is a wholly-owned subsidiary
of AMR Corporation, the parent company of American Airlines, Inc. ("American"),
and was organized in 1986 to provide business management, advisory,
administrative and asset management consulting services.
The following is a summary of the significant accounting policies followed
by the Portfolios.
Security Valuation
Securities of the Portfolios are valued using the amortized cost method. In
the event that a deviation of 1/2 of 1% or more exists between the $1.00 per
share price of the Portfolios, calculated at amortized cost, and the price per
share calculated by reference to market quotations, or if there is any other
deviation which the Board believes would result in a material dilution to
shareholders or purchasers, the Board will promptly consider the appropriate
action which should be initiated.
Security Transactions and Investment Income
Security transactions are recorded on the trade date of the security
purchase or sale. Interest income is earned from settlement date, recorded on
the accrual basis, and adjusted, if necessary, for amortization of premiums or
accretion of discounts on investment grade short-term securities and zero coupon
instruments. For financial and tax reporting purposes, realized gains and losses
are determined on the basis of specific lot identification.
Federal Income and Excise Taxes
The Portfolios will be treated as partnerships for federal income tax
purposes. As such, each investor in a Portfolio will be taxed on its share of
the Portfolio's ordinary income and capital gains. It is intended that each
Portfolio's assets will be managed in such a way that an investor in the
Portfolio will be able to satisfy the requirements of sub-chapter M of the
Internal Revenue Code. Accordingly, no provision for United States federal
income or excise tax is necessary.
29
<PAGE> 85
AMR INVESTMENT SERVICES TRUST
NOTES TO FINANCIAL STATEMENTS
October 31, 1996
- --------------------------------------------------------------------------------
Repurchase Agreements
Under the terms of a repurchase agreement, securities are acquired by a
Portfolio from a securities dealer or a bank which are subject to resale at a
later date. Repurchase agreements are fully collateralized by U.S. Treasury or
Government agency securities. All collateral is monitored daily by each
Portfolio so that the collateral's market value exceeds the carrying value of
the repurchase agreement.
Deferred Organization Expenses
Expenses incurred by a Portfolio in connection with its organization are
being amortized on a straight-line basis over a five-year period.
2. TRANSACTIONS WITH AFFILIATES
Management Agreement
The Trust and the Manager are parties to a Management Agreement which
obligates the Manager to provide or oversee the provision of all administrative,
investment advisory and portfolio management services. The Manager serves as the
sole investment adviser to each of the Portfolios. As compensation for
performing the duties required under the Management Agreement, the Manager
receives from the Portfolios .15% of the average daily net assets of each of the
Portfolios. During the year ended October 31, 1996, the Manager waived
management fees totaling $47,000 for the Municipal Money Market Portfolio.
Other
Certain officers or trustees of the Trust are also officers of the Manager
or American. The Trust makes no direct payments to its officers. Unaffiliated
trustees and their spouses are provided free unlimited air transportation on
American. However, the Trust compensates each Trustee with payments in an amount
equal to the Trustee's income tax on the value of this free airline travel. For
the year ended October 31, 1996, the cost of air transportation was not material
to any of the Portfolios.
30
