AMERICAN AADVANTAGE FUNDS
N-30D, 1997-06-26
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<PAGE>   1
 
                           AMERICAN AADVANTAGE FUNDS (R)
 
                            - Institutional Class -
                                P.O. Box 619003
                        Dallas/Fort Worth Airport, Texas
                                   75261-9003
                                 (800) 967-9009
 
                             - PlanAhead Class (R) -
                                 P.O. Box 4580
                          Chicago, Illinois 60680-4580
                                 (800) 388-3344
 
                               - AMR Class (sm) -
                                P.O. Box 619003
                        Dallas/Fort Worth Airport, Texas
                                   75261-9003
                                 (800) 967-9009
 
                                    SEMI-
                                    ANNUAL
                                    REPORT
                                APRIL 30, 1997

                          [AMERICAN AADVANTAGE LOGO]

                        AMERICAN AADVANTAGE FUNDS (R)


                        BALANCED FUND
 
                        GROWTH AND INCOME FUND
 
                        INTERNATIONAL EQUITY FUND
 
                        LIMITED-TERM INCOME FUND

                                      
                                  MANAGED BY
                        AMR INVESTMENT SERVICES, INC.
 
 
<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 Semi-Annual Report for the
six months ended April 30, 1997.
 
  Balanced Fund
 
     The Balanced Fund's total return for the six months ending April 30, 1997
was 6.27% for the AMR Class, 6.17% for the Institutional Class and 6.08% for the
PlanAhead Class. These returns lagged the Lipper Balanced Index total return of
6.95%.
 
     The Fund modestly reduced its holdings in stocks from 57% at October 31,
1996 to 55% at April 30, 1997, as interest rates rose during the period and bond
yields became more attractive. The bond segment's 1.33% return closely tracked
the Lehman Corp/Govt Index return of 1.30%. Meanwhile, the stock market marched
to new highs until a caution flag in the form of a market reversal in March and
April passed. By the end of April, the market had regained its momentum.
 
     A small number of large cap stocks, particularly technology and consumer
related stocks, dominated the S&P 500 Index return. The Fund's value investment
style of purchasing stocks with lower than market price-to-earnings ratios and
higher than market growth rates resulted in stock selection much different than
that of the top performers in the S&P 500 Index. As a result, the Fund's stock
segment returned 10.42% for the six month period versus the S&P 500 Index return
of 14.65%. The Fund modestly underweighted the consumer staples and technology
sectors which were the two top performers in the S&P 500 Index. On the other
hand, the Fund overweighted the financial sector which positively contributed to
performance. Banks continue to provide positive earnings growth given cost
savings resulting from industry consolidation. The Fund further benefited from
superior stock selection in the healthcare sector which has rebounded. The Fund
also overweighted energy stocks which continued to perform well despite the
downturn in oil and gas prices over the period. The Fund's performance was
penalized by the decision to overweight utilities as the electric utilities are
suffering due to deregulation and uncertainties surrounding nuclear plant
exposure.
 
  Growth and Income Fund
 
     The Growth and Income Fund's total return for the six months ending April
30, 1997 was 9.46% for the AMR Class, 9.34% for the Institutional Class and
9.14% for the PlanAhead Class. These returns fell behind the Lipper Growth and
Income Index total return average of 11.13%.
 
     Since the Fund utilizes the same investment managers and the same approach
to stock selection as the Balanced Fund, it also benefited from overweighted
positions in financial and energy stocks but suffered from overweighting in
utilities.
 
  International Equity Fund
 
     The International Equity Fund continued to post strong results on an
absolute and relative basis for the six months ended April 30, 1997. The Fund's
total return for the six month period was 9.64% for the AMR Class, 9.53% for the
Institutional Class and 9.38% for the PlanAhead Class, compared to an 8.75%
return for the Lipper International Index.
 
     Relative to the EAFE Index (the Morgan Stanley Capital International
Europe, Australia and Far East Index), which returned 1.72% for the six month
period, the Fund added value through both good country and stock selection.
<PAGE>   3
 
     In Europe, returns were strong, primarily in Germany and the German block
of countries, as investors reacted positively to the view that European Monetary
Union (EMU) would likely happen. Returns for US based investors were tempered
somewhat due to a strengthening US dollar versus most of the major European
currencies. EMU admittance guidelines handcuffed fiscal policy in most countries
and necessitated the need for low interest rates to combat sluggish growth.
Despite the strengthening US dollar, the Fund added value in Europe through both
stock selection and country weighting. The Fund continues to underweight the two
largest European countries (the United Kingdom and Germany), while overweighting
the smaller markets. Over the past six months, successful overweightings of the
Dutch, Finnish, Norwegian and Spanish markets, combined with positive stock
selection in Italy and the Netherlands, positively impacted the Fund's returns.
 
     The underweighting of the Japanese market added the most value relative to
the EAFE index. Japan's return of a negative 13.1% for the six months ended
April 30 ranked it last among the 20 markets that comprise the EAFE Index. While
economic growth grew at close to 3% during the most recent quarter, it was
concentrated primarily in the export sector as the Japanese Yen continued to
weaken. Market participants shrugged off the stronger economic figures and
focused on the continued banking crisis, the slow pace of deregulation and the
effect an increase in the consumption tax would have on an already weak
consumer. Due to its poor returns, Japan's average weight in the Index fell to
just over 32%; however, the Fund's average weighting for Japanese stocks was
just over 13% for the period. In addition, the Japanese stocks held by the Fund
were concentrated in export companies which also contributed significantly to
the Fund's outperformance.
 
     The outlook for Japan remains cautious. Despite the poor performance in the
Japanese market, valuation levels for stocks remain high relative to other parts
of the world. As a result, the Fund's weightings in Japan continue to be
significantly below the EAFE Index weighting.
 
  Limited-Term Income Fund
 
     For the six months ended April 30, 1997, the total return of the
Limited-Term Income Fund was 2.55% for the AMR Class, 2.42% for the
Institutional Class and 2.28% for the PlanAhead Class. These results represent
an outperformance of the Lipper Short-Term Investment Grade Debt Average of
2.19% for the six months.
 
     This six month period was characterized by a moderate rise in interest
rates. The two year Treasury note's yield increased by approximately 50 basis
points, in response to a strengthening economy in the fourth quarter of 1996 and
the first quarter of 1997. The Federal Reserve acted to raise rates 25 basis
points on March 25, 1997, to preempt the potential inflationary impact of a
persistently strong economy with labor cost pressures building. In this period,
the duration of the Fund was largely neutral or short to that of its benchmark.
On April 30, the portfolio's weighted average duration was 1.5 years.
 
     The Fund successfully managed its duration during these six months,
shortening in response to a strengthening economy. This contributed to achieving
superior performance relative to our benchmark. The Fund also realized
significant incremental income in many of the sectors the Fund invests in,
particularly mortgage-backed securities.
 
                                        2
<PAGE>   4
 
     As always, we appreciate your confidence and support and we will continue
to strive to provide you with above average long-term returns.
 
                                            Sincerely,
 
                                            /s/ WILLIAM F. QUINN

                                            William F. Quinn
                                            President
                                            American AAdvantage Funds
 
                                        3
<PAGE>   5
 
RESULTS OF SHAREHOLDER MEETING
 
     A special meeting of shareholders of the American AAdvantage Funds (the
"Funds") was held on December 16, 1996. The following matters were voted on at
the meeting.
 
     (1) The shareholders of the Funds voted to elect the Board of Trustees of
the Funds.
 
<TABLE>
<CAPTION>
                                                                 FOR         AGAINST       ABSTAIN     NON-VOTING
                                                                 ---        ----------     -------     ----------
<S>                                                         <C>             <C>          <C>           <C>
Alan Feld................................................   1,150,566,394            0     1,146,557   781,804,336
Ben Fortson..............................................   1,150,540,502            0     1,172,449   781,804,336
John Justin..............................................   1,150,094,973            0     1,617,978   781,804,336
Stephen O'Sullivan.......................................   1,150,564,964            0     1,147,987   781,804,336
William Quinn............................................   1,150,565,690            0     1,147,261   781,804,336
Roger Staubach...........................................   1,150,142,317            0     1,570,634   781,804,336
Kneeland Youngblood, M.D.................................   1,150,444,918            0     1,268,033   781,804,336
</TABLE>
 
     (2) The shareholders of the Funds approved a Supplement to the Management
Agreement of the Funds relating to securities lending activities.
 
<TABLE>
<CAPTION>
AMERICAN AADVANTAGE:                                             FOR         AGAINST       ABSTAIN     NON-VOTING
- --------------------                                             ---        ----------     -------     ----------
<S>                                                         <C>             <C>          <C>           <C>
Balanced Fund............................................      56,348,864        8,888         6,116     2,512,233
Growth and Income Fund...................................      57,204,541        5,123         7,195     2,371,184
International Equity Fund................................      24,566,122        4,972         5,394     2,079,345
Limited-Term Income Fund.................................      16,888,524        1,201         2,768       867,008
Money Market Fund........................................     710,782,908   73,808,698   109,622,527   744,640,764
Municipal Money Market Fund..............................      49,935,919       44,766             0     2,232,106
U.S. Government Money Market Fund........................      52,432,449       35,927             0    27,101,747
</TABLE>
 
     (3) The shareholders of the American AAdvantage Money Market Fund approved
the elimination of the fundamental investment restriction of the Money Market
Fund to invest in other investment companies.
 
<TABLE>
<CAPTION>
AMERICAN AADVANTAGE:                                             FOR         AGAINST       ABSTAIN     NON-VOTING
- --------------------                                             ---        ----------     -------     ----------
<S>                                                         <C>             <C>          <C>           <C>
Money Market Fund........................................     781,380,939    3,506,222   109,326,972   744,640,764
</TABLE>
 
                                        4
<PAGE>   6
 
AMERICAN AADVANTAGE FUNDS
STATEMENTS OF ASSETS AND LIABILITIES
April 30, 1997
(Unaudited)
================================================================================
 
<TABLE>
<CAPTION>
                                                                          Growth and    International   Limited-Term
                                                             Balanced       Income         Equity          Income
                                                           ------------   -----------   -------------   ------------
                                                              (in thousands, except share and per share amounts)
<S>                                                        <C>            <C>           <C>             <C>
ASSETS:
    Investment in Portfolio, at value....................  $  1,002,473   $ 1,260,097     $   564,097   $   218,224
    Receivable for fund shares sold......................         2,207         4,834           2,239           180
    Receivable for expense reimbursement.................             -             1               -             1
                                                           ------------   -----------     -----------   -----------
        TOTAL ASSETS.....................................     1,004,680     1,264,932         566,336       218,405
                                                           ------------   -----------     -----------   -----------
LIABILITIES:
    Payable for fund shares redeemed.....................         3,447           155              49            47
    Accrued organization costs...........................             -             -               3             -
    Dividends payable....................................             -             -               -            27
    Management fees payable (Note 2).....................           280            76              97           128
    Other liabilities....................................            77            76              31            16
                                                           ------------   -----------     -----------   -----------
        TOTAL LIABILITIES................................         3,804           307             180           218
                                                           ------------   -----------     -----------   -----------
NET ASSETS...............................................  $  1,000,876    $1,264,625     $   566,156   $   218,187
                                                           ============   ===========     ===========   ===========
ANALYSIS OF NET ASSETS:                                                              
    Paid-in-capital......................................       815,883       934,250         473,559       227,921
    Accumulated undistributed investment income..........        11,992         8,927           3,905            15
    Accumulated net realized gain (loss).................        41,259        64,013           4,078        (9,108)
    Unrealized appreciation (depreciation) of                                        
      investments........................................       131,742       257,435          84,614          (641)
                                                           ------------   -----------     -----------   -----------
NET ASSETS...............................................  $  1,000,876    $1,264,625     $   566,156   $   218,187
                                                           ============   ===========     ===========   ===========
Shares outstanding (no par value):
    Institutional Class..................................    22,075,574     3,936,987       9,884,504    15,902,327
                                                           ============   ===========     ===========   ===========
    PlanAhead Class......................................     2,115,637     1,233,248         814,939       470,071
                                                           ============   ===========     ===========   ===========
    AMR Class............................................    45,692,740    63,195,472      25,274,674     6,386,316
                                                           ============   ===========     ===========   ===========
Net asset value, offering and redemption price per share:
    Institutional Class..................................  $      14.31   $     18.47     $     15.71   $      9.59
                                                           ============   ===========     ===========   ===========
    PlanAhead Class......................................  $      14.20   $     18.28     $     15.59   $      9.59
                                                           ============   ===========     ===========   ===========
    AMR Class............................................  $      14.33   $     18.50     $     15.75   $      9.58
                                                           ============   ===========     ===========   ===========
</TABLE>
 
                             See accompanying notes
 
                                        5
<PAGE>   7
 
AMERICAN AADVANTAGE FUNDS
STATEMENTS OF OPERATIONS
Six Months Ended April 30, 1997
(Unaudited)
================================================================================
 
<TABLE>
<CAPTION>
                                                                          Growth and    International    Limited-Term
                                                              Balanced      Income         Equity           Income
                                                              --------    ----------    -------------    ------------
                                                                                  (in thousands)
<S>                                                           <C>         <C>           <C>              <C>
INVESTMENT INCOME ALLOCATED FROM PORTFOLIO:
    Interest income.........................................  $13,729      $  1,048        $ 1,171         $ 7,520
    Dividend income (net of foreign taxes of $751 in
      International Equity Fund)............................    7,906        16,492          5,346               -
    Income derived from securities lending, net.............      100            82            136               -
    Portfolio expenses......................................   (1,617)       (2,039)        (1,352)           (307)
                                                              -------      --------        -------         -------
        NET INVESTMENT INCOME ALLOCATED FROM PORTFOLIO......   20,118        15,583          5,301           7,213
                                                              -------      --------        -------         -------
FUND EXPENSES:
    Administrative service fees (Note 2):
      Institutional Class...................................      386            93            117             179
      PlanAhead Class.......................................       31            24             13               5
    Transfer agent fees:
      Institutional Class...................................        7             7              6              10
      PlanAhead Class.......................................        8            10              4               2
      AMR Class.............................................        1             -              -               -
    Professional fees.......................................       24            24              5               3
    Registration fees and expenses..........................       25            25             20               5
    Service Fees -- PlanAhead Class.........................       31            24             13               5
    Other expenses..........................................        7             7              4               1
                                                              -------      --------        -------         -------
        TOTAL FUND EXPENSES.................................      520           214            182             210
                                                              -------      --------        -------         -------
NET INVESTMENT INCOME.......................................   19,598        15,369          5,119           7,003
                                                              -------      --------        -------         -------
REALIZED AND UNREALIZED GAIN (LOSS) ALLOCATED FROM
  PORTFOLIO:
    Net realized gain (loss) on investments and foreign
      currency transactions.................................   41,587        65,362          4,856            (912)
    Change in net unrealized appreciation or depreciation of
      investments and foreign currency translations.........   (4,246)       24,413         31,025          (1,173)
                                                              -------      --------        -------         -------
        NET GAIN (LOSS) ON INVESTMENTS......................   37,341        89,775         35,881          (2,085)
                                                              -------      --------        -------         -------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS........  $56,939      $105,144        $41,000         $ 4,918
                                                              =======      ========        =======         =======
</TABLE>
 
                             See accompanying notes
 
                                        6
<PAGE>   8
 
AMERICAN AADVANTAGE FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
================================================================================
<TABLE>
<CAPTION>
                                            Balanced                  Growth and Income             International Equity
                                  ----------------------------   ----------------------------   ----------------------------
                                    Six Months                     Six Months                     Six Months
                                      Ended        Year Ended        Ended        Year Ended        Ended        Year Ended
                                  April 30, 1997   October 31,   April 30, 1997   October 31,   April 30, 1997   October 31,
                                   (Unaudited)        1996        (Unaudited)        1996        (Unaudited)        1996
                                  --------------   -----------   --------------   -----------   --------------   -----------
                                                                        (in thousands)
<S>                               <C>              <C>           <C>              <C>           <C>              <C>
INCREASE (DECREASE) IN NET
 ASSETS:
OPERATIONS:
   Net investment income........    $   19,598      $ 35,844       $   15,369     $   26,800       $  5,119       $  7,898
   Net realized gain (loss) on
     investments and foreign
     currency transactions......        41,587        67,577           65,362         77,475          4,856         11,093
   Change in net unrealized
     appreciation or
     depreciation of investments
     and foreign currency
     translations...............        (4,246)       27,642           24,413         93,955         31,025         30,557
                                    ----------      --------       ----------     ----------       --------       --------
       NET INCREASE IN NET
        ASSETS RESULTING FROM
        OPERATIONS..............        56,939       131,063          105,144        198,230         41,000         49,548
                                    ----------      --------       ----------     ----------       --------       --------
DISTRIBUTIONS TO SHAREHOLDERS:
   Net investment income:
     Institutional Class........       (11,595)      (10,135)          (1,615)        (1,936)        (1,369)          (608)
     PlanAhead Class............          (803)         (238)            (343)          (143)          (157)           (31)
     AMR Class..................       (23,794)      (22,970)         (25,654)       (20,011)        (7,262)        (5,125)
   Net realized gain on
     investments:
     Institutional Class........       (22,827)       (7,867)          (5,181)        (2,653)        (1,859)          (546)
     PlanAhead Class............        (1,633)         (187)          (1,190)          (202)          (230)           (31)
     AMR Class..................       (44,091)      (16,814)         (72,372)       (25,694)        (8,971)        (4,170)
                                    ----------      --------       ----------     ----------       --------       --------
       NET DISTRIBUTIONS TO
        SHAREHOLDERS............      (104,743)      (58,211)        (106,355)       (50,639)       (19,848)       (10,511)
                                    ----------      --------       ----------     ----------       --------       --------
CAPITAL SHARE TRANSACTIONS:
   Proceeds from sales of
     shares.....................       114,840       169,963          109,881        208,797        154,423        126,546
   Reinvestment of dividends and
     distributions..............       104,257        57,693          105,754         50,139         19,534         10,164
   Cost of shares redeemed......       (63,099)     (206,839)         (55,584)       (86,256)       (29,981)       (31,126)
                                    ----------      --------       ----------     ----------       --------       --------
       NET INCREASE (DECREASE)
        IN NET ASSETS FROM
        CAPITAL SHARE
        TRANSACTIONS............       155,998        20,817          160,051        172,680        143,976        105,584
                                    ----------      --------       ----------     ----------       --------       --------
NET INCREASE (DECREASE) IN NET
 ASSETS.........................       108,194        93,669          158,840        320,271        165,128        144,621
                                    ----------      --------       ----------     ----------       --------       --------
NET ASSETS:
   Beginning of period..........       892,682       799,013        1,105,785        785,514        401,028        256,407
                                    ----------      --------       ----------     ----------       --------       --------
   END OF PERIOD*...............    $1,000,876      $892,682       $1,264,625     $1,105,785       $566,156       $401,028
                                    ==========      ========       ==========     ==========       ========       ========
   * Includes undistributed net
     investment income of.......    $   11,992      $ 28,578       $    8,927     $   21,170       $  3,905       $  7,574
                                    ==========      ========       ==========     ==========       ========       ========
 
<CAPTION>
                                      Limited-Term Income
                                  ----------------------------
                                    Six Months
                                      Ended        Year Ended
                                  April 30, 1997   October 31,
                                   (Unaudited)        1996
                                  --------------   -----------
 
<S>                               <C>              <C>
INCREASE (DECREASE) IN NET
 ASSETS:
OPERATIONS:
   Net investment income........     $  7,003       $ 11,662
   Net realized gain (loss) on
     investments and foreign
     currency transactions......         (912)        (3,194)
   Change in net unrealized
     appreciation or
     depreciation of investments
     and foreign currency
     translations...............       (1,173)           469
                                     --------       --------
       NET INCREASE IN NET
        ASSETS RESULTING FROM
        OPERATIONS..............        4,918          8,937
                                     --------       --------
DISTRIBUTIONS TO SHAREHOLDERS:
   Net investment income:
     Institutional Class........       (4,818)        (7,273)
     PlanAhead Class............         (128)          (155)
     AMR Class..................       (2,057)        (4,272)
   Net realized gain on
     investments:
     Institutional Class........            -              -
     PlanAhead Class............            -              -
     AMR Class..................            -              -
                                     --------       --------
       NET DISTRIBUTIONS TO
        SHAREHOLDERS............       (7,003)       (11,700)
                                     --------       --------
CAPITAL SHARE TRANSACTIONS:
   Proceeds from sales of
     shares.....................       59,412         76,269
   Reinvestment of dividends and
     distributions..............        6,829         11,656
   Cost of shares redeemed......      (17,823)      (117,354)
                                     --------       --------
       NET INCREASE (DECREASE)
        IN NET ASSETS FROM
        CAPITAL SHARE
        TRANSACTIONS............       48,418        (29,429)
                                     --------       --------
NET INCREASE (DECREASE) IN NET
 ASSETS.........................       46,333        (32,192)
                                     --------       --------
NET ASSETS:
   Beginning of period..........      171,854        204,046
                                     --------       --------
   END OF PERIOD*...............     $218,187       $171,854
                                     ========       ========
   * Includes undistributed net
     investment income of.......     $     15       $     15
                                     ========       ========
</TABLE>
 
                             See accompanying notes
 
                                        7
<PAGE>   9
 
AMERICAN AADVANTAGE FUNDS
NOTES TO FINANCIAL STATEMENTS
April 30, 1997
(Unaudited)
================================================================================
 
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 nine 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 S&P
500 Index Fund, the American AAdvantage Short-Term Income Fund and the American
AAdvantage U.S. Government 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 April 30, 1997.
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>
    <S>                             <C>                                         <C>
    AMERICAN AADVANTAGE:                    > INVESTS ASSETS IN >               AMR INVESTMENT SERVICES TRUST:
    Balanced Fund                                                               Balanced Portfolio
    Growth and Income Fund                                                      Growth and Income Portfolio
    International Equity Fund                                                   International Equity Portfolio
    Limited-Term Income Fund                                                    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 (99.71%,
99.41%, 95.74% and 99.52% at April 30, 1997 of the AMR Investment Services
Balanced, Growth and Income, International Equity and Limited-Term Income
Portfolios, respectively) (each a "Portfolio" and collectively the
"Portfolios"). 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.
 
                                        8
<PAGE>   10
 
AMERICAN AADVANTAGE FUNDS
NOTES TO FINANCIAL STATEMENTS
April 30, 1997
(Unaudited) (Continued)
================================================================================
 
     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 (loss) in the Portfolio each day. All net investment income and
realized and unrealized gain (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 April 30, 1997, the Limited-Term Income Fund had a
capital loss carryforward 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' pro rata allocation of the
Fund's investments and other assets, less liabilities, by the number of Class
shares outstanding.
 
                                        9
<PAGE>   11
 
AMERICAN AADVANTAGE FUNDS
NOTES TO FINANCIAL STATEMENTS
April 30, 1997
(Unaudited) (Continued)
================================================================================
 
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 six months ended April 30, 1997, the cost of air transportation was not
material to any of the Funds. At April 30, 1997, AMR Corporation and subsidiary
companies and Employee Benefit Trusts thereof owned 100% of AMR Class shares of
the Funds. During the six months ended April 30, 1997, the Manager waived
service fees totaling $1,147 for the Limited-Term Income Fund.
 
3. CAPITAL SHARE TRANSACTIONS
 
     The tables below summarize the activity in capital shares for each Class of
the Funds (in thousands):
 
<TABLE>
<CAPTION>
Six Months Ended April 30, 1997                     Institutional Class      PlanAhead Class         AMR Class
- -------------------------------                     --------------------    -----------------    ------------------
Balanced Fund                                       Shares      Amount      Shares    Amount     Shares     Amount
- -------------                                       -------    ---------    ------    -------    ------    --------
<S>                                                 <C>        <C>          <C>       <C>        <C>       <C>
Shares sold.....................................      1,600     $ 23,409      898     $12,890     5,480    $ 78,541
Reinvestment of dividends.......................      2,402       33,940      173       2,432     4,801      67,885
Shares redeemed.................................     (1,610)     (23,402)    (153)     (2,173)   (2,582)    (37,524)
                                                     ------     --------     ----     -------    ------    --------

Net increase in capital shares outstanding......      2,392     $ 33,947      918     $13,149     7,699    $108,902
                                                     ======     ========     ====     =======    ======    ========
</TABLE>
 
                                       10
<PAGE>   12
 
AMERICAN AADVANTAGE FUNDS
NOTES TO FINANCIAL STATEMENTS
April 30, 1997
(Unaudited) (Continued)
================================================================================

<TABLE>
<CAPTION>
                                                    Institutional Class      PlanAhead Class         AMR Class
                                                    --------------------    -----------------    ------------------
Growth and Income Fund                              Shares      Amount      Shares    Amount     Shares     Amount
- ----------------------                              -------    ---------    ------    -------    ------    --------
<S>                                                 <C>        <C>          <C>       <C>        <C>       <C>
Shares sold.....................................        671     $ 12,451      397     $ 7,215     4,842    $ 90,215
Reinvestment of dividends.......................        343        6,205       85       1,523     5,410      98,026
Shares redeemed.................................     (1,465)     (27,615)    (126)     (2,287)   (1,381)    (25,682)
                                                     ------     --------     ----     -------    ------    --------
Net increase (decrease) in capital shares
  outstanding...................................       (451)    $ (8,959)     356     $ 6,451     8,871    $162,559
                                                     ======     ========     ====     =======    ======    ========
</TABLE>
 
<TABLE>
<CAPTION>
                                                     Institutional Class      PlanAhead Class         AMR Class
                                                     --------------------    -----------------    ------------------
International Equity Fund                            Shares      Amount      Shares    Amount     Shares     Amount
- -------------------------                            -------    ---------    ------    -------    ------    --------
<S>                                                  <C>        <C>          <C>       <C>        <C>       <C>
Shares sold......................................     6,317      $ 98,003      458     $ 7,043    3,192     $ 49,377
Reinvestment of dividends........................       194         2,953       23         348    1,067       16,233
Shares redeemed..................................      (823)      (12,747)    (145)     (2,238)    (962)     (14,996)
                                                      -----      --------     ----     -------    -----     --------
Net increase in capital shares outstanding.......     5,688      $ 88,209      336     $ 5,153    3,297     $ 50,614
                                                      =====      ========     ====     =======    =====     ========
</TABLE>
 
<TABLE>
<CAPTION>
                                                       Institutional Class     PlanAhead Class         AMR Class
                                                       --------------------    ----------------    -----------------
Limited-Term Income Fund                               Shares      Amount      Shares    Amount    Shares    Amount
- ------------------------                               -------    ---------    ------    ------    ------    -------
<S>                                                    <C>        <C>          <C>       <C>       <C>       <C>
Shares sold........................................      5,499     $ 53,251     148      $1,423      492     $ 4,738
Reinvestment of dividends..........................        482        4,649      13         123      214       2,057
Shares redeemed....................................     (1,335)     (12,850)    (41)       (397)    (474)     (4,576)
                                                        ------     --------     ---      ------     ----     -------
Net increase in capital shares outstanding.........      4,646     $ 45,050     120      $1,149      232     $ 2,219
                                                        ======     ========     ===      ======     ====     =======
</TABLE>
 
<TABLE>
<CAPTION>
                                                                                          PlanAhead
Year Ended October 31, 1996                   Institutional Class    Mileage Class          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 shares
  outstanding...............................    1,767    $ 24,381      (74)  $(1,035)     805   $11,430      (826)  $(13,959)
                                               ======    ========     ====   =======    =====   =======   =======   ========
</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................................    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 shares
  outstanding..............................     (112)   $ (2,532)   (139)   $(2,214)    573    $ 9,582     9,999   $167,844
                                              ======    ========    ====    =======   =====    =======   =======   ========
</TABLE>
 
                                       11
<PAGE>   13
 
AMERICAN AADVANTAGE FUNDS
NOTES TO FINANCIAL STATEMENTS
April 30, 1997
(Unaudited) (Continued)
================================================================================
 
<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 shares
  outstanding..............................    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 shares
  outstanding.............................   (2,727)   $(26,676)    (60)   $  (583)    191    $ 1,854      (427)  $ (4,024)
                                             ======    ========    ====    =======   =====    =======   =======   ========
</TABLE>
 
                                       12
<PAGE>   14
 
                      (This page intentionally left blank)
 
                                       13
<PAGE>   15
 
AMERICAN AADVANTAGE BALANCED FUND
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout the period)
================================================================================
 
<TABLE>
<CAPTION>
                                                                    Institutional Class
                                           ----------------------------------------------------------------------
                                           Six Months
                                              Ended                       Year Ended October 31,
                                            April 30,    --------------------------------------------------------
                                             1997(1)     1996(1)(2)   1995(1)(3)   1994(4)      1993       1992
                                           -----------   ----------   ----------   --------   --------   --------
                                           (Unaudited)
<S>                                        <C>           <C>          <C>          <C>        <C>        <C>
Net asset value, beginning of period.....   $  15.14      $  13.95     $  12.36    $  13.23   $  11.99   $  11.60
                                            --------      --------     --------    --------   --------   --------
Income from investment operations:
    Net investment income................       0.28(11)      0.59(11)      0.54       0.57       0.49       0.55
    Net gains (losses) on securities
      (both realized and unrealized).....       0.64(11)      1.61(11)      1.71      (0.54)      1.57       0.41
                                            --------      --------     --------    --------   --------   --------
Total from investment operations.........       0.92          2.20         2.25        0.03       2.06       0.96
                                            --------      --------     --------    --------   --------   --------
Less distributions:
    Dividends from net investment
      income.............................      (0.59)        (0.57)       (0.52)      (0.56)     (0.52)     (0.56)
    Distributions from net realized gains
      on securities......................      (1.16)        (0.44)       (0.14)      (0.34)     (0.30)     (0.01)
                                            --------      --------     --------    --------   --------   --------
Total distributions......................      (1.75)        (1.01)       (0.66)      (0.90)     (0.82)     (0.57)
                                            --------      --------     --------    --------   --------   --------
Net asset value, end of period...........   $  14.31      $  15.14     $  13.95    $  12.36   $  13.23   $  11.99
                                            ========      ========     ========    ========   ========   ========
Total return (annualized)(5)(6)..........     12.44%        16.46%       19.39%     (0.08)%     19.19%      8.75%
                                            ========      ========     ========    ========   ========   ========
Ratios and supplemental data:
    Net assets, end of period (in
      thousands).........................   $315,921      $298,009     $249,913    $222,873   $532,543   $370,087
    Ratios to average net assets
      (annualized)(7)(8)(9):
        Expenses.........................      0.60%(11)     0.62%(11)     0.63%      0.36%      0.34%      0.35%
        Net investment income............      3.93%(11)     4.00%(11)     4.30%      4.77%      4.91%      5.31%
    Portfolio turnover rate(10)..........          -             -          73%         48%        83%        80%
</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) Total return reflects accrual for the maximum shareholder services fee of
     .30% for periods prior to August 1, 1994.
 
 (6) 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.
 
 (7) 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.
 
 (8) 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.
 
 (9) Operating results of the PlanAhead Class in the year and period indicated
     below excluded fees waived by the Manager. Results prior to expenses waived
     were as follows:
 
<TABLE>
<CAPTION>
                                                                        Year Ended        August 1, 1994 to
                                                                     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>
 
(10) 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 six months ended April 30, 1997 and for
     the year ended October 31, 1996 is shown in the Statement of Changes in Net
     Assets of the AMR Investment Services Trust 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 Balanced Portfolio.
 
                                       14
<PAGE>   16
 
================================================================================
 
<TABLE>
<CAPTION>
                   PlanAhead Class                                             AMR Class
- ------------------------------------------------------   ------------------------------------------------------
Six Months                                               Six Months
   Ended      Year Ended October 31,    August 1, 1994      Ended      Year Ended October 31,    August 1, 1994
 April 30,    -----------------------   to October 31,    April 30,    -----------------------   to October 31,
  1997(1)     1996(1)(2)   1995(1)(3)      1994(4)         1997(1)     1996(1)(2)   1995(1)(3)      1994(4)
- -----------   ----------   ----------   --------------   -----------   ----------   ----------   --------------
(Unaudited)                                              (Unaudited)
<C>           <C>          <C>          <C>              <C>           <C>          <C>          <C>
  $ 15.03      $ 13.90       $12.35        $ 12.35        $  15.18      $  13.98     $  12.36       $  12.35
  -------      -------       ------        -------        --------      --------     --------       --------
     0.27(11)     0.57(11)     0.54           0.12            0.30(11)      0.63(11)      0.58          0.14
                                                                                     
     0.63(11)     1.56(11)     1.67          (0.12)           0.63(11)      1.61(11)      1.71         (0.13)
  -------      -------       ------        -------        --------      --------     --------       --------
     0.90         2.13         2.21              -            0.93          2.24         2.29           0.01
  -------      -------       ------        -------        --------      --------     --------       --------

    (0.57)       (0.56)       (0.52)             -           (0.62)        (0.60)       (0.53)             -

    (1.16)       (0.44)       (0.14)             -           (1.16)        (0.44)       (0.14)             -
  -------      -------       ------        -------        --------      --------     --------       --------
    (1.73)       (1.00)       (0.66)             -           (1.78)        (1.04)       (0.67)             -
  -------      -------       ------        -------        --------      --------     --------       --------
  $ 14.20      $ 15.03       $13.90        $ 12.35        $  14.33      $  15.18     $  13.98       $  12.36
  =======      =======       ======        =======        ========      ========     ========       ========
   12.26%       16.01%       19.06%        (0.16)%          12.65%        16.77%       19.77%        (0.08)%
  =======      =======       ======        =======        ========      ========     ========       ========


  $30,034      $18,000       $5,450        $   528        $654,921      $576,673     $542,619       $393,504


    0.92%(11)    0.97%(11)    0.99%          0.92%          0.35%(11)      0.37%(11)    0.38%          0.36%
    3.61%(11)    3.64%(11)    3.70%          4.04%          4.18%(11)      4.26%(11)    4.54%          4.65%
       -            -           73%            48%             -              -           73%            48%
</TABLE>
 
                                       15
<PAGE>   17
 
AMERICAN AADVANTAGE GROWTH AND INCOME FUND
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout the period)
================================================================================
 
<TABLE>
<CAPTION>
                                                                      Institutional Class
                                              --------------------------------------------------------------------
                                              Six Months
                                                 Ended                      Year Ended October 31,
                                               April 30,     -----------------------------------------------------
                                                1997(1)      1996(1)(2)    1995(1)   1994(3)     1993     1992(4)
                                              -----------    ----------    -------   -------   --------   --------
                                              (Unaudited)
<S>                                           <C>            <C>           <C>       <C>       <C>        <C>
Net asset value, beginning of period........    $ 18.50       $ 15.91      $ 14.19   $ 14.63   $  12.79   $  12.10
                                                -------       -------      -------   -------   --------   --------
Income from investment operations:
  Net investment income.....................       0.21(11)      0.42(11)     0.41      0.43       0.36       0.39
  Net gains on securities (both realized and                              
    unrealized).............................       1.48(11)      3.15(11)     2.28      0.08       2.21       0.77
                                                -------       -------      -------   -------   --------   --------
Total from investment operations............       1.69          3.57         2.69      0.51       2.57       1.16
                                                -------       -------      -------   -------   --------   --------
Less distributions:
  Dividends from net investment income......      (0.41)        (0.41)       (0.43)    (0.41)     (0.37)     (0.39)
  Distributions from net realized gains on
    securities..............................      (1.31)        (0.57)       (0.54)    (0.54)     (0.36)     (0.08)
                                                -------       -------      -------   -------   --------   --------
Total distributions.........................      (1.72)        (0.98)       (0.97)    (0.95)     (0.73)     (0.47)
                                                -------       -------      -------   -------   --------   --------
Net asset value, end of period..............    $ 18.47       $ 18.50      $ 15.91    $14.19    $ 14.63   $  12.79
                                                =======       =======      =======   =======   ========   ========
Total return (annualized)(5)(6).............     18.84%        23.37%       20.69%     3.36%     21.49%     10.00%
                                                =======       =======      =======   =======   ========   ========
Ratios and supplemental data:
  Net assets, end of period (in
    thousands)..............................    $72,713       $81,183      $71,608   $22,737    477,088   $339,739
  Ratios to average net assets
    (annualized)(7)(8)(9):
    Expenses................................      0.62%(11)     0.62%(11)    0.62%     0.33%      0.34%      0.36%
    Net investment income...................      2.34%(11)     2.55%(11)    2.84%     3.28%      3.12%      3.57%
    Portfolio turnover rate(10).............         -             -           26%       23%        30%        35%
</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) Total return reflects accrual for the maximum shareholder services fee of
     .30% for periods prior to August 1, 1994.
 
 (6) 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.
 
 (7) 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.
 
 (8) 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.
 
 (9) Operating results of the PlanAhead Class in the years and period indicated
     below excluded fees waived by the Manager. Results prior to expenses waived
     were as follows:
 
<TABLE>
<CAPTION>
                                                                Year Ended         Year Ended      August 1, 1994 to
                                                             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>
 
(10) 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 six months ended
     April 30, 1997 and for the year ended October 31, 1996 is shown in the
     Statement of Changes in Net Assets of the AMR Investment Services Trust
     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 Growth and Income Portfolio.
 
                                       16
<PAGE>   18

================================================================================
 
<TABLE>
<CAPTION>
                  PlanAhead Class                                           AMR Class
- ---------------------------------------------------   -----------------------------------------------------
Six Months                               August 1,    Six Months                                 August 1,
   Ended      Year Ended October 31,      1994 to        Ended        Year Ended October 31,      1994 to
 April 30,    -----------------------   October 31,    April 30,      -----------------------   October 31,
  1997(1)     1996(1)(2)     1995(1)      1994(3)       1997(1)       1996(1)(2)     1995(1)      1994(3)
- -----------   -----------    --------   -----------   -----------     ----------     --------   -----------
(Unaudited)                                           (Unaudited)
<C>           <C>            <C>        <C>           <C>             <C>            <C>        <C>
  $ 18.33       $ 15.81       $ 14.17     $13.99      $    18.56      $    15.95     $  14.20    $  13.99
  -------       -------       -------     ------      ----------      ----------     --------    --------

     0.19(11)      0.39(11)      0.40       0.05            0.24(11)        0.47(11)      0.44       0.11
                                                                                     
     1.45(11)      3.10(11)      2.22       0.13            1.48(11)        3.15(11)      2.30       0.10
  -------       -------       -------     ------      ----------      ----------     --------    --------
     1.64          3.49          2.62       0.18            1.72            3.62         2.74        0.21
  -------       -------       -------     ------      ----------      ----------     --------    --------

    (0.38)        (0.40)        (0.44)         -           (0.47)          (0.44)       (0.45)          -

    (1.31)        (0.57)        (0.54)         -           (1.31)          (0.57)       (0.54)          -
  -------       -------       -------     ------      ----------      ----------     --------    --------
    (1.69)        (0.97)        (0.98)         -           (1.78)          (1.01)       (0.99)          -
  -------       -------       -------     ------      ----------      ----------     --------    --------
  $ 18.28       $ 18.33       $ 15.81     $14.17      $    18.50      $    18.56      $ 15.95    $  14.20
  =======       =======       =======     ======      ==========      ==========     ========    ========
   18.42%        22.98%        20.14%      3.21%          19.08%          23.66%       21.03%       3.43%
  =======       =======       =======     ======      ==========      ==========     ========    ========


  $22,545       $16,084       $ 4,821     $   56      $1,169,367      $1,008,518     $706,884    $505,892


    0.95%(11)     0.94%(11)     0.99%      0.95%           0.35%(11)       0.36%(11)    0.38%       0.37%
    1.98%(11)     2.16%(11)     2.23%      1.50%           2.59%(11)       2.80%(11)    3.20%       3.18%
       -             -            26%        23%              -               -           26%         23%
</TABLE>
 
                                       17
<PAGE>   19
 
AMERICAN AADVANTAGE INTERNATIONAL EQUITY FUND
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout the period)
================================================================================
 
<TABLE>
<CAPTION>
                                                                 Institutional Class
                                       ------------------------------------------------------------------------
                                       Six Months
                                          Ended                        Year Ended October 31,
                                        April 30,     ---------------------------------------------------------
                                         1997(1)      1996(1)      1995(1)    1994(2)(3)    1993(4)      1992
                                       -----------    -------      -------    ----------    -------    --------
                                       (Unaudited)
<S>                                    <C>            <C>          <C>        <C>           <C>        <C>
Net asset value, beginning of
  period.............................   $  15.01      $ 13.29       $12.87     $ 12.07      $  8.93    $  10.13
                                        --------      -------      -------     -------      -------    --------
Income from investment operations:
    Net investment income............       0.14(10)     0.28(10)     0.27        0.32         0.17        0.12
    Net gains (losses) on securities
      (both realized and
      unrealized)....................       1.27(10)     1.95(10)     0.68        1.10         3.09       (1.31)
                                        --------      -------      -------     -------      -------    --------
Total from investment operations.....       1.41         2.23         0.95        1.42         3.26       (1.19)
                                        --------      -------      -------     -------      -------    --------
Less distributions:
    Dividends from net investment
      income.........................      (0.30)       (0.27)       (0.21)      (0.17)       (0.12)      (0.01)
    Distributions from net realized
      gains on securities............      (0.41)       (0.24)       (0.32)      (0.45)           -           -
                                        --------      -------      -------     -------      -------    --------
Total distributions..................      (0.71)       (0.51)       (0.53)      (0.62)       (0.12)      (0.01)
                                        --------      -------      -------     -------      -------    --------
Net asset value, end of period.......   $  15.71      $ 15.01       $13.29     $ 12.87      $ 12.07    $   8.93
                                        ========      =======      =======     =======      =======    ========
Total return (annualized)(5)(6)......     19.12%       17.27%        7.90%      11.77%       36.56%    (12.07)%
                                        ========      =======      =======     =======      =======    ========
Ratios and supplemental data:
    Net assets, end of period (in
      thousands).....................   $155,321      $62,992      $25,757     $23,115      $66,652    $ 38,837
    Ratios to average net assets
      (annualized)(7)(8):
        Expenses.....................      0.85%(10)    0.85%(10)    0.85%       0.61%        0.78%       1.17%
        Net investment income........      2.22%(10)    2.19%(10)    2.37%       2.74%        2.00%       2.04%
    Portfolio turnover rate(9).......          -            -          21%         37%          61%         21%
</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) Total return reflects accrual for the maximum shareholder services fee of
     .30% for periods prior to August 1, 1994.
 
 (6) 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.
 
 (7) 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.
 
 (8) 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.
 
 (9) 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 six
     months ended April 30, 1997 and for the year ended October 31, 1996 is
     shown in the Statement of Changes in Net Assets of the AMR Investment
     Services Trust included elsewhere in this report.
 
(10) 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 International Equity Portfolio.
 
                                       18
<PAGE>   20

================================================================================
 
<TABLE>
<CAPTION>
                  PlanAhead Class                                            AMR Class
- ----------------------------------------------------    ----------------------------------------------------
Six Months                                August 1,     Six Months                                August 1,
   Ended       Year Ended October 31,      1994 to         Ended       Year Ended October 31,      1994 to
 April 30,     ----------------------    October 31,     April 30,     ----------------------    October 31,
  1997(1)      1996(1)       1995(1)     1994(2)(3)       1997(1)      1996(1)       1995(1)     1994(2)(3)
- -----------    --------      --------    -----------    -----------    --------      --------    -----------
(Unaudited)                                             (Unaudited)
<C>            <C>           <C>         <C>            <C>            <C>           <C>         <C>
  $ 14.90       $ 13.20       $12.85       $ 12.61       $  15.06      $  13.31      $  12.87     $  12.61
  -------       -------       ------       -------       --------      --------      --------     --------

     0.12(10)      0.26(10)     0.24          0.06           0.16(10)      0.31(10)      0.30         0.05


     1.26(10)      1.92(10)     0.64          0.18           1.27(10)      1.98(10)      0.68         0.21
  -------       -------       ------       -------       --------      --------      --------     --------
     1.38          2.18         0.88          0.24           1.43          2.29          0.98         0.26
  -------       -------       ------       -------       --------      --------      --------     --------


    (0.28)        (0.24)       (0.21)            -          (0.33)        (0.30)        (0.22)           -

    (0.41)        (0.24)       (0.32)            -          (0.41)        (0.24)        (0.32)           -
  -------       -------       ------       -------       --------      --------      --------     --------
    (0.69)        (0.48)       (0.53)            -          (0.74)        (0.54)        (0.54)           -
  -------       -------       ------       -------       --------      --------      --------     --------
  $ 15.59       $ 14.90       $13.20       $ 12.85       $  15.75      $  15.06      $  13.31     $  12.87
  =======       =======       ======       =======       ========      ========      ========     ========
   18.81%        16.95%        7.37%        11.60%         19.34%        17.72%         8.18%       11.77%
  =======       =======       ======       =======       ========      ========      ========     ========


  $12,704       $ 7,138       $1,456       $   375       $398,131      $330,898      $227,939     $165,524


    1.16%(10)     1.17%(10)    1.33%         1.25%          0.59%(10)     0.57%(10)     0.60%        0.63%
    1.70%(10)     1.76%(10)    2.08%         1.86%          2.18%(10)     2.49%(10)     2.65%        1.41%
        -             -          21%           37%              -             -           21%          37%
</TABLE>
 
                                       19
<PAGE>   21
 
AMERICAN AADVANTAGE LIMITED-TERM INCOME FUND
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout the period)
================================================================================
 
<TABLE>
<CAPTION>
                                                                     Institutional Class
                                            ---------------------------------------------------------------------
                                            Six Months
                                               Ended                       Year Ended October 31,
                                             April 30,     ------------------------------------------------------
                                               1997          1996         1995       1994       1993       1992
                                            -----------    --------     --------   --------   --------   --------
                                            (Unaudited)
<S>                                         <C>            <C>          <C>        <C>        <C>        <C>
Net asset value, beginning of period......   $   9.68      $   9.82     $   9.67   $  10.23   $  10.13   $  10.07
                                             --------      --------     --------   --------   --------   --------
Income from investment operations:
    Net investment income.................       0.33 (7)      0.62 (7)     0.62       0.52       0.58       0.75
    Net gains (losses) on securities (both
      realized and unrealized)............      (0.09)(7)     (0.14)(7)     0.15      (0.46)      0.15       0.06
                                             --------      --------     --------   --------   --------   --------
Total from investment operations..........       0.24          0.48         0.77       0.06       0.73       0.81
                                             --------      --------     --------   --------   --------   --------
Less distributions:
    Dividends from net investment
      income..............................      (0.33)        (0.62)       (0.62)     (0.52)     (0.58)     (0.75)
    Distributions from net realized gains
      on securities.......................          -             -            -      (0.10)     (0.05)         -
                                             --------      --------     --------   --------   --------   --------
Total distributions.......................      (0.33)        (0.62)       (0.62)     (0.62)     (0.63)     (0.75)
                                             --------      --------     --------   --------   --------   --------
Net asset value, end of period............   $   9.59      $   9.68     $   9.82   $   9.67   $  10.23   $  10.13
                                             ========      ========     ========   ========   ========   ========
Total return (annualized)(1)(2)...........      4.88%         5.10%        8.18%      0.42%      7.20%      7.94%
                                             ========      ========     ========   ========   ========   ========
Ratios and supplemental data:
    Net assets, end of period (in
      thousands)..........................   $152,477      $108,929     $137,293   $112,141   $238,874   $209,928
    Ratios to average net assets
      (annualized)(3)(4)(5):
        Expenses..........................      0.57%(7)      0.60%(7)     0.60%      0.31%      0.26%      0.27%
        Net investment income.............      6.72%(7)      6.41%(7)     6.36%      5.26%      5.76%      7.40%
    Portfolio turnover rate(6)............          -             -         183%        94%       176%       133%
</TABLE>
 
- ---------------
 
(1) Total return reflects accrual for the maximum shareholder services fee of
    .30% for periods prior to August 1, 1994.
(2) 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.
(3) 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.
(4) 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.
(5) Operating results of the PlanAhead Class in the years and periods indicated
    below excluded fees waived by the Manager. Results prior to expenses waived
    were as follows:
 
<TABLE>
<CAPTION>
                                            Six Months Ended      Year Ended         Year Ended      August 1, 1994 to
                                             April 30, 1997    October 31, 1996   October 31, 1995   October 31, 1994
                                            ----------------   ----------------   ----------------   -----------------
                                              (Unaudited)
   <S>                                      <C>                <C>                <C>                <C>
   Ratio of expenses to average net assets
     (annualized)..........................      0.91%              0.94%              1.06%               1.00%
   Ratio of net investment income to
     average net assets (annualized).......      6.37%              6.02%              5.94%               4.89%
</TABLE>
 
(6) 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 six
    months ended April 30, 1997 and for the year ended October 31, 1996 is shown
    in the Statement of Changes in Net Assets of the AMR Investment Services
    Trust included elsewhere in this report.
(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 Limited-Term Income Portfolio.
 
                                       20
<PAGE>   22

================================================================================
 
<TABLE>
<CAPTION>
                PlanAhead Class                                          AMR Class
- ------------------------------------------------     --------------------------------------------------
Six Months          Year Ended        August 1,      Six Months           Year Ended         August 1,
   Ended           October 31,         1994 to          Ended            October 31,          1994 to
 April 30,      ------------------   October 31,      April 30,      --------------------   October 31,
   1997          1996        1995       1994            1997          1996         1995        1994
- -----------     ------      ------   -----------     -----------     -------      -------   -----------
(Unaudited)                                          (Unaudited)
<C>             <C>         <C>      <C>             <C>             <C>          <C>       <C>
  $  9.68       $ 9.82      $ 9.68     $  9.78         $  9.67       $  9.81      $  9.68     $  9.78
  -------       ------      ------     -------         -------       -------      -------     -------

     0.31 (7)     0.60 (7)    0.59        0.13            0.34 (7)      0.65 (7)     0.64        0.14

    (0.09)(7)    (0.14)(7)    0.14       (0.10)          (0.09)(7)     (0.14)(7)     0.13       (0.10)
  -------       ------      ------     -------         -------       -------      -------     -------
     0.22         0.46        0.73        0.03            0.25          0.51         0.77        0.04
  -------       ------      ------     -------         -------       -------      -------     -------

    (0.31)       (0.60)      (0.59)      (0.13)          (0.34)        (0.65)       (0.64)      (0.14)

        -            -           -           -               -             -            -           -
  -------       ------      ------     -------         -------       -------      -------     -------
    (0.31)       (0.60)      (0.59)      (0.13)          (0.34)        (0.65)       (0.64)      (0.14)
  -------       ------      ------     -------         -------       -------      -------     -------
  $  9.59       $ 9.68      $ 9.82     $  9.68         $  9.58       $  9.67      $  9.81     $  9.68
  =======       ======      ======     =======         =======       =======      =======     =======
    4.59%        4.83%       7.83%       0.45%           5.14%         5.38%        8.22%       0.59%
  =======       ======      ======     =======         =======       =======      =======     =======


  $ 4,510       $3,399      $1,576     $   403         $61,200       $59,526      $64,595     $53,445


    0.85% (7)    0.85% (7)   0.83%       0.79%           0.31% (7)     0.33% (7)    0.36%       0.33%
    6.43% (7)    6.11% (7)   6.16%       5.10%           6.98% (7)     6.66% (7)    6.60%       5.77%
        -            -        183%         94%               -             -         183%         94%
</TABLE>
 
                                       21
<PAGE>   23
 
AMR INVESTMENT SERVICES BALANCED PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 1997
(Unaudited)
================================================================================
 
<TABLE>
<CAPTION>
                                   Par
                                  Amount       Value
                                 --------    ----------
                                 (dollars in thousands)
<S>                              <C>         <C>
U.S. GOVERNMENT & AGENCY
  OBLIGATIONS - 21.97%

FEDERAL HOME LOAN MORTGAGE
  CORPORATION - 0.74%
7.15%, Due 6/27/2000...........  $  2,114    $    2,116
7.75%, Due 5/22/2006...........     2,299         2,305
7.61%, Due 5/24/2006...........     2,999         3,006
                                             ----------
    TOTAL FEDERAL HOME LOAN
      MORTGAGE CORPORATION.....                   7,427
                                             ----------
FEDERAL NATIONAL MORTGAGE
  ASSOCIATION - 0.31%
6.36%, Due 8/16/2000...........     2,090         2,079
7.78%, Due 5/22/2006...........     1,000         1,001
                                             ----------
    TOTAL FEDERAL NATIONAL
      MORTGAGE
      ASSOCIATION..............                   3,080
                                             ----------
U.S. TREASURY BILLS - 0.69%
6.10%, Due 7/10/1997...........     7,000         6,922
                                             ----------
    TOTAL U.S. TREASURY
      BILLS....................                   6,922
                                             ----------
U.S. TREASURY BONDS - 4.87%
11.625%, Due 11/15/2004........     4,000         5,144
10.375%, Due 11/15/2012........     7,405         9,293
11.25%, Due 2/15/2015..........     2,800         3,994
8.75%, Due 5/15/2017...........     3,430         4,047
8.125%, Due 8/15/2019..........     5,585         6,238
8.75%, Due 8/15/2020...........     2,525         3,005
7.25%, Due 8/15/2022...........    10,000        10,203
6.25%, Due 8/15/2023...........     1,650         1,492
6.75%, Due 8/15/2026...........     5,740         5,548
                                             ----------
    TOTAL U.S. TREASURY
      BONDS....................                  48,964
                                             ----------
U.S. TREASURY COUPON STRIPS - 1.45%
Due 11/15/2008.................       796           361
Due 5/15/2011..................     4,000         1,506
Due 2/15/2017..................    13,000         3,206
Due 8/15/2018..................     4,000           887
Due 11/15/2018.................    23,000         5,013

<CAPTION>
                                   Par
                                  Amount       Value
                                 --------    ----------
                                 (dollars in thousands)
<S>                              <C>         <C>
Due 8/15/2019..................  $ 11,500    $    2,376
Due 11/15/2019.................     6,000         1,218
                                             ----------
    TOTAL U.S. TREASURY COUPON
      STRIPS...................                  14,567
                                             ----------
U.S. TREASURY NOTES - 13.91%
5.125%, Due 3/31/1998..........     1,000           993
5.625%, Due 11/30/1998.........     6,000         5,949
5.75%, Due 12/31/1998..........     9,600         9,534
5.00%, Due 2/15/1999...........    11,670        11,426
5.875%, Due 2/28/1999..........     9,160         9,100
5.875%, Due 3/31/1999..........     2,750         2,731
7.125%, Due 2/29/2000..........    17,450        17,755
5.50%, Due 4/15/2000...........     1,000           975
5.875%, Due 6/30/2000..........       960           944
6.125%, Due 7/31/2000..........     2,000         1,980
6.125%, Due 9/30/2000..........     4,630         4,578
8.50%, Due 11/15/2000..........     5,500         5,842
5.625%, Due 11/30/2000.........     3,000         2,916
6.375%, Due 3/31/2001..........     2,500         2,485
6.25%, Due 4/30/2001...........     7,130         7,059
7.50%, Due 11/15/2001..........     3,000         3,107
7.50%, Due 5/15/2002...........     4,000         4,158
6.375%, Due 8/15/2002..........     8,250         8,175
6.25%, Due 2/15/2003...........     4,300         4,223
5.75%, Due 8/15/2003...........     3,000         2,862
5.875%, Due 2/15/2004..........     4,000         3,828
7.25%, Due 5/15/2004...........     2,000         2,062
7.875%, Due 11/15/2004.........     3,000         3,203
6.50%, Due 5/15/2005...........     7,000         6,902
6.50%, Due 8/15/2005...........     2,000         1,969
5.875%, Due 11/15/2005.........     5,000         4,719
5.625%, Due 2/15/2006..........     5,000         4,630
6.50%, Due 10/15/2006..........     4,000         3,931
6.25%, Due 2/15/2007...........     2,000         1,934
                                             ----------
    TOTAL U.S. TREASURY
      NOTES....................                 139,970
                                             ----------
    TOTAL U.S. GOVERNMENT &
      AGENCY OBLIGATIONS.......                 220,930
                                             ----------
</TABLE>
 
                             See accompanying notes
 
                                       22
<PAGE>   24
 
AMR INVESTMENT SERVICES BALANCED PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 1997
(Unaudited)
================================================================================
 
<TABLE>
<CAPTION>
                                   Par
                                  Amount       Value
                                 --------    ----------
                                 (dollars in thousands)
<S>                              <C>         <C>
 
U.S. AGENCY MORTGAGE-BACKED
OBLIGATIONS - 4.31%

FEDERAL HOME LOAN MORTGAGE
  CORPORATION - 0.84%
Series 1194G, 6.50%,
  Due 10/15/2006...............  $  1,499    $    1,470
Pool #E20271, 7.00%
  Due 11/1/2011................     1,542         1,529
Series 1250F, 7.00%,
  Due 4/15/2019................       707           708
Pool #C00436, 7.50%,
  Due 12/1/2025................     4,733         4,707
                                             ----------
    TOTAL FEDERAL HOME LOAN
      MORTGAGE CORPORATION.....                   8,414
                                             ----------
FEDERAL NATIONAL MORTGAGE
  ASSOCIATION - 1.97%
Pool #297492, 6.50%,
  Due 10/1/2010................        25            23
Pool #338030, 6.50%,
  Due 4/1/2011.................       296           287
Pool #341332, 6.50%,
  Due 4/1/2011.................       653           633
Pool #341382, 6.50%,
  Due 4/1/2011.................       263           254
Pool #342743, 6.50%,
  Due 4/1/2011.................       678           658
Pool #337195, 6.50%,
  Due 5/1/2011.................     1,300         1,262
Pool #344287, 6.50%,
  Due 5/1/2011.................       478           464
Pool #344429, 6.50%,
  Due 4/1/2011.................       126           123
Series 1349PG, 6.50%,
  Due 5/15/2014................       400           399
Pool #66185, 6.366%,
  Due 7/1/2018.................     1,719         1,672
Series 1992-143G, 6.75%,
  Due 10/25/2018...............       455           455
Series 1989-21G, 10.45%,
  Due 4/25/2019................       191           208
Pool #218949, 7.50%,
  Due 12/1/2023................       862           871
Pool #266196, 7.345%,
  Due 1/1/2024.................     1,377         1,386
TBA, 7.50%, Due 9/23/2024......     1,670         1,658
Pool #306505, 8.00%,
  Due 3/1/2025.................     1,298         1,316
 
<CAPTION>
                                   Par
                                  Amount       Value
                                 --------    ----------
                                 (dollars in thousands)
<S>                              <C>         <C>
Pool #308798, 7.277%,
  Due 4/1/2025.................  $    308    $      318
Pool #303585, 7.00%,
  Due 10/1/2025................       714           692
Pool #339141, 7.00%,
  Due 3/1/2026.................     3,510         3,403
Pool #341041, 7.00%,
  Due 4/1/2026.................        28            27
TBA, 8.00%, Due 11/13/2026.....     3,700         3,750
                                             ----------
    TOTAL FEDERAL NATIONAL
      MORTGAGE ASSOCIATION.....                  19,859
                                             ----------
GOVERNMENT NATIONAL MORTGAGE
  ASSOCIATION - 1.50%
Pool #102932, 10.50%,
  Due 9/15/1998................         5             6
Series 1994-2 Cl O, 7.99125%,
  Due 4/16/2010................     1,309         1,330
Pool #180220, 9.00%,
  Due 10/15/2016...............       841           882
TBA, 8.00%, Due 2/1/2020.......     8,240         8,353
Pool #340063, 7.50%,
  Due 12/15/2022...............        19            19
Pool #339886, 7.50%,
  Due 1/15/2023................       438           434
Pool #345300, 7.00%,
  Due 3/15/2023................       833           806
Pool #344261, 7.50%,
  Due 4/15/2023................       469           465
Pool #320073, 7.00%,
  Due 6/15/2023................        20            19
Pool #341926, 8.00%,
  Due 6/15/2023................        17            17
Pool #352117, 8.00%,
  Due 7/15/2023................     1,063         1,079
Pool #355721, 7.50%,
  Due 7/15/2023................       146           145
Pool #344979, 7.50%,
  Due 8/15/2023................       415           412
Pool #1849, 8.50%,
  Due 8/20/2024................       506           519
TBA, 7.50%, Due 6/1/2025.......       630           625
                                             ----------
    TOTAL GOVERNMENT NATIONAL
      MORTGAGE ASSOCIATION.....                  15,111
                                             ----------
    TOTAL U.S. AGENCY
      MORTGAGE-BACKED
      OBLIGATIONS..............                  43,384
                                             ----------
</TABLE>
 
                             See accompanying notes
 
                                       23
<PAGE>   25
 
AMR INVESTMENT SERVICES BALANCED PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 1997
(Unaudited)
================================================================================
 
<TABLE>
<CAPTION>
                                   Par
                                  Amount       Value
                                 --------    ----------
                                 (dollars in thousands)
<S>                              <C>         <C>
 
ASSET-BACKED SECURITIES - 1.10%
Chase Manhattan Auto Owner
  Trust, 1996-C A3, 5.95%, Due
  11/15/2000...................  $    850    $      844
Chase Manhattan Credit Card
  Master Trust, 1996-4A, 6.73%,
  Due 2/15/2003................     1,550         1,559
Citibank Credit Card Master
  Trust I, 1996-1A, Zero
  Coupon,
  Due 2/7/2003.................     1,410         1,098
ContiMortgage Home Equity
  Loan Trust, 1994-4 A2, 7.96%,
  Due 9/15/2009................     1,418         1,439
NationsBank Auto Owner
  Trust, 1996-A A3, 6.375%,
  Due 7/15/2000................     2,550         2,554
NB Capital Trust II, 7.83%,
  Due 12/15/2026...............     1,580         1,527
Olympic Automobile Receivables
  Trust, 1993-CA, 4.50%,
  Due 2/15/2000................       115           115
  1995-A, 7.875%, Due
  7/15/2001....................       960           976
Sears Credit Account Master
  Trust, 1996-4A, 6.45%,
  Due 10/16/2006...............       440           436
UCFC Home Equity Loan,
  1994-C1 A2, 7.275%,
  Due 6/10/2007................       125           125
Western Financial Grantor
  Trust, 1994-3 A2, 6.65%, Due
  12/1/1999....................       336           337
                                             ----------
    TOTAL ASSET-BACKED
      SECURITIES...............                  11,010
                                             ----------
NON-AGENCY MORTGAGE-BACKED OBLIGATIONS - 0.80%
Citicorp Mortgage Securities,
  Incorporated, 1987-14 A1,
  9.50%, Due 9/25/2002.........       509           513
  1987-5 A1, 8.50%, Due
  4/25/2017....................       582           580
DLJ Mortgage Acceptance
  Corporation, 1994-Q1 2A1,
  4.56029%, Due 3/25/2024......       364           361
General Electric Capital
  Mortgage Services,
  Incorporated, 1992-4A A4,
  8.00%, Due 4/25/2022.........       533           538
Green Tree Financial
  Corporation, 1996-8 A4,
  7.00%, Due 10/15/2027........     1,300         1,310

<CAPTION>
                                   Par
                                  Amount       Value
                                 --------    ----------
                                 (dollars in thousands)
<S>                              <C>         <C>
Independent National Mortgage
  Corporation, 1995-F A5,
  8.25%, Due 5/25/2010.........  $    600    $      620
  1995W A2, 7.25%, Due
  2/25/2026....................     1,500         1,390
The Money Store Home Equity
  Trust, 7.66%, Due 8/15/2026..     1,500         1,502
Residential Asset
  Securitization Trust, 1996-A3
  A11, 7.50%,
  Due 7/25/2011................       934           940
Residential Funding Mortgage 1,
  1993-S28 A4, 6.35%,
  Due 8/25/2023................       300           293
                                             ----------
    TOTAL NON-AGENCY
      MORTGAGE-BACKED
      OBLIGATIONS..............                   8,047
                                             ----------
CORPORATE BONDS - 12.18%
FINANCIAL - 5.65%
American General Financial,
  7.25%, Due 5/15/2005.........       410           408
Associates Corporation of
  North America, 7.50%,
  Due 5/15/1999................        80            81
BankAmerica Corporation,
  9.75%, Due 7/1/2000..........       600           649
  7.20%, Due 4/15/2006.........     1,280         1,268
Bankers Trust New York, 8.25%,
  Due 5/1/2005.................       980         1,030
BanPonce, 8.327%,
  Due 2/1/2027.................     1,000           991
CIT Group Holdings,
  6.375%, Due 5/21/1999........       750           749
Capital One Bank,
  6.73%, Due 6/4/1998..........     2,500         2,505
  8.125%, Due 3/1/2000.........     1,690         1,741
  7.35%, Due 6/20/2000.........       385           389
Chase Manhattan Corporation,
  8.625%, Due 5/1/2002.........       700           746
Chemical Banking Corporation,
  FRN, 6.2125%, Due 6/15/2000..     2,300         2,306
Chemical New York Corporation,
  9.75%, Due 6/15/1999.........       900           954
Chrysler Financial Corporation,
  6.95%, Due 3/25/2002.........     2,700         2,695
First Chicago Capital I,
  6.1125%, Due 2/1/2027........     2,000         1,966
</TABLE>
 
                             See accompanying notes
 
                                       24
<PAGE>   26
 
AMR INVESTMENT SERVICES BALANCED PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 1997
(Unaudited)
- --------------------------------------------------------------------------------
 
<TABLE>
<CAPTION>
                                   Par
                                  Amount       Value
                                 --------    ----------
                                 (dollars in thousands)
<S>                              <C>         <C>
First Chicago NBD, 9.875%, Due
  8/15/2000....................  $  1,000    $    1,087
First Union Corporation, 7.05%,
  Due 8/1/2005.................       840           824
Fleet Financial Group, 7.92%,
  Due 12/11/2026...............     1,180         1,143
Ford Motor Credit Company,
  9.25%, Due 6/15/1998.........     1,000         1,031
  7.95%, Due 5/17/1999.........     2,000         2,050
General Electric Capital
  Corporation, 7.875%, Due
  12/1/2006....................     1,000         1,053
General Motors Acceptance
  Corporation, 5.5625%,
  Due 12/9/1999................     1,500         1,498
Lehman Brothers Holding,
  Incorporated, 7.41%,
  Due 5/25/1999................       500           506
  7.25%, Due 4/15/2003.........     2,030         2,021
Mellon Capital, Incorporated,
  7.72%, Due 12/1/2026.........       890           842
  7.995%, Due 1/15/2027........     1,490         1,448
Mortgage Capital Funding,
  Incorporated, 6.758%, Due
  2/20/2004....................       681           667
National Bank of Detroit,
  7.125%, Due 5/15/2007........       700           685
NationsBank Corporation, 7.00%,
  Due 9/15/2001................     1,000         1,003
Paine Webber, 7.74%, Due
  1/30/2012....................     2,200         2,215
PNC Funding Corporation,
  6.125%, Due 9/1/2003.........     1,000           943
Salomon Incorporated,
  7.05%, Due 1/15/1998.........       800           805
  7.00%, Due 1/20/1998.........       390           392
  5.53%, Due 1/30/1998.........     1,500         1,493
  6.04%, Due 7/9/1998..........       625           622
  6.70%, Due 12/1/1998.........       390           391
Sears Roebuck Acceptance
  Corporation,
  6.82%, Due 10/17/2002........     2,710         2,678
  6.72%, Due 11/5/2003.........     2,200         2,148
Societe General Corporation,
  7.40%, Due 6/1/2006..........       860           855
Society National Bank, 7.25%,
  Due 6/1/2005.................       800           796
</TABLE>
 
<TABLE>
<CAPTION>
                                   Par
                                  Amount       Value
                                 --------    ----------
                                 (dollars in thousands)
<S>                              <C>         <C>
Spieker Properties Corporation,
  8.00%, Due 7/19/2005.........  $    290    $      297
  7.125%, Due 12/1/2006........       260           253
St. Paul Companies, 9.375%, Due
  6/15/1997....................       600           602
Taubman Realty Group, 5.75%,
  Due 11/3/1997................     1,500         1,500
Travelers/Aetna P & C, 6.75%,
  Due 4/15/2001................     1,300         1,289
United Dominion Realty
  Corporation, 7.25%, Due
  1/15/2007....................       700           689
Wells Fargo Capital, 7.96%, Due
  12/15/2026...................     2,000         1,934
Wells Fargo & Company Delivery
  Corporation, 7.96%, Due
  12/15/2026...................     2,569         2,484
                                             ----------
    TOTAL FINANCIAL............                  56,722
                                             ----------
INDUSTRIAL - 4.35%
American Home Products, 7.70%,
  Due 2/15/2000................       450           462
Atlantic Richfield Corporation,
  8.50%, Due 4/1/2012..........     1,270         1,429
Bemis Company, Incorporated,
  6.70% Due 7/1/2005...........     1,000           965
Capital Cities/ABC, 8.875%, Due
  12/15/2000...................     1,000         1,066
Coca-Cola Company, 6.625%, Due
  10/1/2002....................     1,000           985
Coca-Cola Enterprises, 6.70%,
  Due 10/15/2036...............     1,120         1,109
Columbia/HCA Health, 7.50%, Due
  11/15/2095...................       780           738
Dresser Industries, 6.25%, Due
  6/1/2000.....................     2,000         1,977
E.I. DuPont de Nemours &
  Company, 6.75%,
  Due 10/15/2002...............     1,000           991
ERP Operating Limited
  Partnership, 7.95%,
  Due 04/15/2002...............       430           439
Exxon Capital Corporation,
  7.45%, Due 12/15/2001........     1,000         1,025
Heinz H.J. Company, 5.50%, Due
  9/15/1997....................       520           519
Hershey Foods Company,
  6.95%, Due 3/1/2007..........     1,000           979
</TABLE>
 
                             See accompanying notes
 
                                       25
<PAGE>   27
 
AMR INVESTMENT SERVICES BALANCED PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 1997
(Unaudited)
================================================================================
 
<TABLE>
<CAPTION>
                                   Par
                                  Amount       Value
                                 --------    ----------
                                 (dollars in thousands)
<S>                              <C>         <C>
 
Hilton Hotels Corporation,
  7.95%,
  Due 4/15/2007................  $  1,430    $    1,443
International Business
  Machines, Incorporated,
  7.125%, Due 12/1/2096........     1,270         1,154
Keycorp, 7.826%, Due
  12/1/2026....................     2,000         1,917
MGM Grand Hotels, 12%, Due
  5/1/2002.....................     2,000         2,107
The May Department Store
  Company,
  7.625%, Due 8/15/2013........       775           763
  9.75%, Due 2/15/2021.........       400           459
Millennium America,
  Incorporated, 7%, Due
  11/15/2006...................     1,965         1,887
Millipore Corporation, 7.50%,
  Due 4/1/2007.................       700           700
News America Holdings, 8.00%,
  Due 10/17/2016...............       800           777
Oracle Corporation, 6.91%, Due
  2/15/2007....................     1,250         1,215
Petroleum Geo-Services
  Corporation, 7.50%, Due
  3/31/2007....................       640           636
Philip Morris Companies,
  Incorporated,
  8.25%, Due 10/15/2003........     1,940         2,024
  7.20%, Due 2/1/2007..........     3,750         3,642
  8.375%, Due 1/15/2017........       625           626
Phillips 66 Capital 11
  Corporation, 8.00%, Due
  1/15/2037....................     1,270         1,233
Pohang Iron & Steel, 7.375%,
  Due 5/15/2005................     1,520         1,494
Service Corporation
  International, 7.70%, Due
  4/15/2009....................     1,440         1,457
Stop & Shop Companies, 9.75%,
  Due 2/1/2002.................     2,000         2,189
Sysco Corporation, 7.00%, Due
  5/1/2006.....................     1,000           990
Texaco Cap, MTN, 6.19%, Due
  7/9/2003.....................       750           715

<CAPTION>
                                   Par
                                  Amount       Value
                                 --------    ----------
                                 (dollars in thousands)
<S>                              <C>         <C>
Texas Utilities, Incorporated,
  Floating Rate, 5.96875%, Due
  5/1/1999.....................  $  2,700    $    2,702
Walt Disney, Incorporated,
  6.75%, Due 3/30/2006.........     1,000           972
                                             ----------
    TOTAL INDUSTRIAL...........                  43,786
                                             ----------
UTILITY - 0.68%
General Telephone Southwest,
  Incorporated, 8.50%, Due
  11/15/2031...................       600           659
Southern California Edison
  Company, 8.25%, Due
  2/1/2000.....................     1,425         1,474
U.S. West Capital Funding,
  6.85%, Due 1/15/2002.........     1,300         1,287
  6.95%, Due 1/15/2037.........     3,500         3,445
                                             ----------
    TOTAL UTILITY..............                   6,865
                                             ----------
FOREIGN BONDS - 1.50%
BCH Cayman Islands Limited,
  7.70%, Due 7/15/2006.........     2,080         2,100
Enersis SA, 6.90%, Due
  12/1/2006....................       990           946
Hydro-Quebec,
  9.40%, Due 2/1/2021..........     1,280         1,482
  8.875%, Due 3/1/2026.........     1,200         1,326
Korea Development Bank,
  5.875%, Due 12/1/1998........       100            99
  6.25%, Due 5/1/2000..........       770           755
Midland Bank PLC, 7.625%, Due
  6/15/2006....................       910           927
Province of Newfoundland,
  9.875%, Due 6/1/2020.........       250           304
Province of Quebec,
  7.00%, Due 1/30/2007.........     1,750         1,704
  5.735%, Due 3/2/2026.........       890           859
Santander Financial Issuance
  Limited,
  7.75%, Due 5/15/2005.........       250           255
  7.00%, Due 4/1/2006..........       460           446
</TABLE>
 
                             See accompanying notes
 
                                       26
<PAGE>   28
 
AMR INVESTMENT SERVICES BALANCED PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 1997
(Unaudited)
================================================================================
 
<TABLE>
<CAPTION>
                                   Par
                                  Amount       Value
                                 --------    ----------
                                 (dollars in thousands)
<S>                              <C>         <C>
 
Skandinaviska Enskilda Banken,
  Floating Rate, 6.59375%, Due
  6/29/2049....................  $  3,800    $    3,862
                                             ----------
    TOTAL FOREIGN BONDS........                  15,065
                                             ----------
    TOTAL CORPORATE BONDS......                 122,438
                                             ----------
                                   Shares
                                 --------
PREFERRED STOCK - 0.39%
Home Ownership Funding 2,
  Series 144A..................     1,500         1,476
Kenwood Preferred - 144A.......     1,500         1,491
Marquette Preferred - 144A.....     1,000           980
                                             ----------
    TOTAL PREFERRED STOCK......                   3,947
                                             ----------
COMMON STOCK - 55.15%
FOREIGN STOCKS - 1.85%
Arthur Guinness & Sons, ADR....    40,000         1,655
British Petroleum PLC, ADR.....    15,089         2,077
Elf Aquitane SA................    53,100         2,582
Energy Group PLC...............    44,050         1,382
Hanson PLC, ADR................    44,050         1,068
Imperial Tobacco Group PLC.....    30,000           394
Mid Ocean, Limited.............    23,000         1,055
New Holland, N.V...............    42,000           929
Novartis AG....................    15,999         1,054
Royal Dutch Petroleum Company,
  New York Registry............    35,500         6,399
                                             ----------
    TOTAL FOREIGN
      STOCKS...................                  18,595
                                             ----------
 
CONSUMER STAPLES - 8.79%
DEPARTMENT AND MAIL ORDER - 1.32%
J.C. Penney Company,
  Incorporated.................   121,275         5,791
K Mart Corporation.............   359,600         4,900
Sears Roebuck & Company........    45,000         2,160
Tupperware, Incorporated.......    13,700           456
                                             ----------
    TOTAL DEPARTMENT AND MAIL
      ORDER....................                  13,307
                                             ----------
DISTILLERS AND BREWERS - 0.66%
Anheuser-Busch Companies,
  Incorporated.................   122,000         5,239
Brown-Foreman, Incorporated....    26,700         1,348
                                             ----------
    TOTAL DISTILLERS AND
      BREWERS..................                   6,587
                                             ----------
 
<CAPTION>
                                   Par
                                  Amount       Value
                                 --------    ----------
                                 (dollars in thousands)
<S>                              <C>         <C>
DRUGS AND HOSPITAL SUPPLY - 2.14%
American Home Products
  Corporation..................    40,000    $    2,650
Baxter International,
  Incorporated.................    55,000         2,633
Bristol-Myers Squibb Company...    37,400         2,450
Columbia HCA Healthcare
  Corporation..................    86,000         3,010
Foundation Health Systems......    49,500         1,337
Horizon/CMS Healthcare
  Corporation..................   102,275         1,624
Pharmacia & Upjohn,
  Incorporated.................   119,100         3,528
Warner Lambert, Incorporated...    43,400         4,253
                                             ----------
    TOTAL DRUGS AND HOSPITAL
      SUPPLY...................                  21,485
                                             ----------
FOOD PROCESSING - 0.16%
Archer Daniels Midland
  Company......................    28,000           515
I B P Incorporated.............    44,000         1,045
                                             ----------
    TOTAL FOOD PROCESSING......                   1,560
                                             ----------
FOODS - 0.14%
Nabisco Holdings Corporation,
  Class A......................    37,900         1,454
                                             ----------
    TOTAL FOODS................                   1,454
                                             ----------
LEISURE - 0.57%
Hasbro, Incorporated...........    52,800         1,320
Mattel, Incorporated...........   120,800         3,367
Toys R Us, Incorporated........    37,500         1,069
                                             ----------
    TOTAL LEISURE..............                   5,756
                                             ----------
PHOTOGRAPHY - 0.99%
Eastman Kodak Company..........   119,400         9,970
                                             ----------
    TOTAL PHOTOGRAPHY..........                   9,970
                                             ----------
PUBLISHING - 0.30%
A.H. Belo, Incorporated,
  Class A......................    84,700         3,049
                                             ----------
    TOTAL PUBLISHING...........                   3,049
                                             ----------
</TABLE>
 
                             See accompanying notes
 
                                       27
<PAGE>   29
 
AMR INVESTMENT SERVICES BALANCED PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 1997
(Unaudited)
- --------------------------------------------------------------------------------
 
 
<TABLE>
<CAPTION>
                                  Shares       Value   
                                 --------    ----------
                                 (dollars in thousands)
<S>                              <C>         <C>
TOBACCO - 2.51%                                        
American Brands,                   76,400    $    4,107
  Incorporated.................
Philip Morris Companies,
  Incorporated.................   455,967        17,954
RJR Nabisco Holdings...........   105,700         3,145
                                             ----------
    TOTAL TOBACCO..............                  25,206
                                             ----------
    TOTAL CONSUMER STAPLES.....                  88,374
                                             ----------
 
INTEREST SENSITIVE - 20.37%
BANKS - 6.34%
Banc One Corporation...........    21,400           907
BankAmerica Corporation........    99,200        11,594
Bank of Boston Corporation.....    16,200         1,179
Bankers Trust Company
  New York.....................    29,100         2,368
Chase Manhattan Corporation....   155,300        14,385
First Chicago NBD..............   135,681         7,632
First of America Bank
  Corporation..................    27,000         1,796
First Security Corporation.....    60,000         2,138
First Union Corporation........    20,000         1,680
Fleet Financial Group,
  Incorporated.................    38,000         2,318
J.P. Morgan & Company,
  Incorporated.................    24,500         2,496
Norwest Corporation............   183,900         9,172
PNC Bank Corporation...........   115,000         4,729
Wells Fargo and Company........     5,000         1,334
                                             ----------
    TOTAL BANKS................                  63,728
                                             ----------
BUILDING AND MATERIALS - 0.30%
PPG Industries, Incorporated...    56,500         3,072
                                             ----------
    TOTAL BUILDING AND
      MATERIALS................                   3,072
                                             ----------
FINANCE - 0.64%
Beneficial Corporation.........    35,000         2,240
Household International,
  Incorporated.................    25,000         2,200
Paine Webber Group,
  Incorporated.................    58,900         2,003
                                             ----------
    TOTAL FINANCE..............                   6,443
                                             ----------
INSURANCE - LIFE AND
  MULTI-LINE - 2.15%
American Financial Group,
  Incorporated.................    67,900         2,368
American General Corporation...    28,600         1,248

<CAPTION>
                                  Shares       Value   
                                 --------    ----------
                                 (dollars in thousands)
<S>                              <C>         <C>
Aon Corporation................   114,300    $    7,601
Lincoln National Corporation...    45,000         2,520
Old Republic International
  Corporation..................   121,000         3,418
Travelers Corporation..........    80,437         4,454
                                             ----------
    TOTAL INSURANCE - LIFE AND
      MULTI-LINE...............                  21,609
                                             ----------
INSURANCE - PROPERTY AND
  CASUALTY - 1.06%
Allstate Corporation...........    73,300         4,801
Chubb Corporation..............    67,000         3,869
TIG Holdings, Incorporated.....    70,000         1,943
                                             ----------
    TOTAL INSURANCE - PROPERTY
      AND CASUALTY.............                  10,613
                                             ----------
SAVINGS AND LOAN - 0.58%
Great Western Financial
  Corporation..................    75,000         3,150
H.F. Ahmanson & Company........    70,000         2,669
                                             ----------
    TOTAL SAVINGS AND LOAN.....                   5,819
                                             ----------
UTILITIES - ELECTRIC - 3.64%
Central and Southwest
  Corporation..................    48,500           976
CMS Energy Corporation.........    60,000         1,905
DTE Energy Company.............    94,700         2,533
Edison International...........    80,000         1,680
Entergy Corporation............   386,900         9,044
Houston Industries,
  Incorporated.................   101,200         2,024
Illinova Corporation...........    80,000         1,800
Northeast Utilities............   387,200         3,194
Peco Energy Company............    67,000         1,323
Potomac Electric Power.........    35,400           797
PP&L Resources, Incorporated...    24,000           471
Public Service Enterprise
  Group, Incorporated..........    50,400         1,216
Rochester Gas and Electric,
  Incorporated.................    30,000           559
Unicom Corporation.............   418,900         9,111
                                             ----------
    TOTAL UTILITIES -
      ELECTRIC.................                  36,633
                                             ----------
</TABLE>
 
                             See accompanying notes
 
                                       28
<PAGE>   30
 
AMR INVESTMENT SERVICES BALANCED PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 1997
(Unaudited)
================================================================================
<TABLE>
<CAPTION>
                                  Shares       Value   
                                 --------    ----------
                                 (dollars in thousands)
<S>                              <C>         <C>
UTILITIES - NATURAL GAS - 1.05%                        
Consolidated Natural Gas
  Company......................   171,700    $    8,649
Peoples Energy Corporation.....    58,000         1,958
                                             ----------
    TOTAL UTILITIES - NATURAL
      GAS......................                  10,607
                                             ----------
UTILITIES - TELEPHONE - 2.38%
Alltel Corporation.............    57,000         1,796
AT&T Corporation...............   221,600         7,424
NYNEX Corporation..............    46,000         2,381
SBC Communications.............    97,984         5,438
US West, Incorporated..........   194,200         6,821
                                             ----------
    TOTAL UTILITIES -
      TELEPHONE................                  23,860
                                             ----------
MISCELLANEOUS - INTEREST
  SENSITIVE - 2.23%
American Express Company.......   186,800        12,305
Dean Witter Discover &
  Company......................    45,200         1,729
Federal Home Loan Mortgage
  Corporation..................    83,200         2,652
Federal National Mortgage
  Association..................   117,200         4,820
Fund American Enterprises,
  Incorporated.................     8,800           879
                                             ----------
    TOTAL MISCELLANEOUS -
      INTEREST SENSITIVE.......                  22,385
                                             ----------
    TOTAL INTEREST
      SENSITIVE................                 204,769
                                             ----------
CONSUMER CYCLICALS - 4.10%
AUTOMOBILE AND TRUCK - 3.80%
Dana Corporation...............   224,100         7,143
Eaton Corporation..............    25,000         1,872
First Brands Corporation.......   117,100         2,971
Ford Motor Company.............   463,300        16,100
General Motors Corporation.....   175,300        10,145
                                             ----------
    TOTAL AUTOMOBILE AND
      TRUCK....................                  38,231
                                             ----------
ELECTRICAL HOUSEHOLD
  EQUIPMENT - 0.11%
Whirlpool Corporation..........    24,400         1,141
                                             ----------
    TOTAL ELECTRICAL HOUSEHOLD
      EQUIPMENT................                   1,141
                                             ----------
<CAPTION>
                                  Shares       Value   
                                 --------    ----------
                                 (dollars in thousands)
<S>                              <C>         <C>
TIRE AND RUBBER - 0.19%
Goodyear Tire & Rubber
  Company......................    35,800    $    1,884
                                             ----------
    TOTAL TIRE AND
      RUBBER...................                   1,884
                                             ----------
    TOTAL CONSUMER CYCLICALS...                  41,256
                                             ----------
 
INTERMEDIATE GOODS & SERVICES - 12.32%
CHEMICALS - 1.62%
ARCO Chemical Company..........    35,000         1,479
Dow Chemical...................    25,000         2,122
E.I. DuPont de Nemours &
  Company......................    20,000         2,123
Eastman Chemical Company.......    90,100         4,595
FMC Corporation (non-income
  producing)...................    65,600         4,403
Great Lakes Chemical
  Corporation..................    27,000         1,144
Millenium Chemicals,
  Incorporated.................    31,171           553
                                             ----------
    TOTAL CHEMICALS............                  16,419
                                             ----------
FOREST PRODUCTS - 1.04%
Boise Cascade Corporation......    54,700         1,819
Georgia-Pacific Corporation....    15,000         1,170
International Paper Company....    40,000         1,690
Louisiana Pacific
  Corporation..................    59,200         1,103
Mead Corporation...............    22,000         1,235
Union Camp Corporation.........    28,000         1,362
Weyerhaeuser Company...........    45,000         2,059
                                             ----------
    TOTAL FOREST
      PRODUCTS.................                  10,438
                                             ----------
METALS - ALUMINUM - 0.51%
Alumax, Incorporated...........    73,000         2,665
Aluminum Company of America....    30,000         2,096
Newport News Shipbuilding,
  Incorporated.................    23,000           345
                                             ----------
    TOTAL METALS - ALUMINUM....                   5,106
                                             ----------
METALS - MINING - 0.12%
Cyprus Amax Minerals
  Corporation..................    52,000         1,164
                                             ----------
    TOTAL METALS - MINING......                   1,164
                                             ----------
</TABLE>
 
                             See accompanying notes
 
                                       29
<PAGE>   31
 
AMR INVESTMENT SERVICES BALANCED PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 1997
(Unaudited)
================================================================================
 
 
<TABLE>
<CAPTION>
                                  Shares       Value
                                 --------    ----------
                                 (dollars in thousands)
<S>                              <C>         <C>
NATURAL GAS TRANSMISSION - 0.28%
Coastal Corporation............    40,700    $    1,933
El Paso Natural Gas Company....    15,344           892
                                             ----------
    TOTAL NATURAL GAS
      TRANSMISSION.............                   2,825
                                             ----------
OIL - 5.13%
Amoco Corporation..............   120,500        10,077
Atlantic Richfield
  Corporation..................    20,000         2,723
Chevron Corporation............    30,000         2,055
Exxon Corporation..............   125,200         7,089
Louisiana Land and Exploration
  Company......................    60,800         3,040
Mobil Corporation..............    10,000         1,300
Occidental Petroleum
  Corporation..................   105,800         2,341
Oryx Energy Company............    80,200         1,604
Phillips Petroleum Company.....   239,400         9,426
Tenneco, Incorporated..........   110,600         4,410
Ultramar Diamond Shamrock
  Corporation..................    70,000         2,249
Union Pacific Resources Group,
  Incorporated.................   100,600         2,729
Union Texas Petroleum Holdings,
  Incorporated.................   132,700         2,505
                                             ----------
    TOTAL OIL..................                  51,548
                                             ----------
OIL SERVICE - 0.97%
Baker Hughes, Incorporated.....   282,600         9,750
                                             ----------
    TOTAL OIL SERVICE..........                   9,750
                                             ----------
TRANSPORTATION - 1.61%
Burlington Northern,
  Incorporated.................     5,500           433
Conrail, Incorporated..........    15,293         1,747
CSX Corporation................   128,300         5,982
Norfolk Southern Corporation...    89,500         8,044
                                             ----------
    TOTAL
      TRANSPORTATION...........                  16,206
                                             ----------
MISCELLANEOUS - INTERMEDIATE
  GOODS & SERVICES - 1.04%
Browning-Ferris Industries.....    71,500         2,029
Dresser Industries,
  Incorporated.................   146,700         4,383
Federal-Mogul Corporation......    29,200           807

<CAPTION>
                                  Shares       Value   
                                 --------    ----------
                                 (dollars in thousands)
<S>                              <C>         <C>
GATX Corporation...............    40,000    $    2,190
Mapco, Incorporated............    33,800         1,001
                                             ----------
    TOTAL MISCELLANEOUS -
      INTERMEDIATE GOODS &
      SERVICES.................                  10,410
                                             ----------
    TOTAL INTERMEDIATE GOODS &
      SERVICES.................                 123,866
                                             ----------
 
CAPITAL GOODS - 7.72%
AEROSPACE - 3.83%
Coltec Industries, Incorporated
  (non-income producing).......   120,700         2,444
Harsco Corporation.............    50,000         1,844
Lockheed Martin Corporation....   118,738        10,627
Northrop Corporation...........    25,000         2,088
Raytheon Company...............   125,900         5,492
Rockwell International
  Corporation..................    30,000         1,995
Textron, Incorporated..........    82,200         9,155
Thiokol Corporation............    45,400         2,962
United Technologies
  Corporation..................    25,000         1,891
                                             ----------
    TOTAL AEROSPACE............                  38,498
                                             ----------
ELECTRICAL EQUIPMENT - 1.18%
Dover Corporation..............     6,800           360
Honeywell, Incorporated........    40,300         2,846
ITT Industries, Incorporated...   119,500         3,017
MEMC Electronic Materials,
  Incorporated.................    45,600         1,248
Westinghouse Electric
  Corporation..................   258,900         4,401
                                             ----------
    TOTAL ELECTRICAL
      EQUIPMENT................                  11,872
                                             ----------
ELECTRONICS - INDUSTRIAL - 0.13%
Lam Research Corporation.......    16,000           464
VLSI Technology,
  Incorporated.................    44,300           880
                                             ----------
    TOTAL ELECTRONICS -
      INDUSTRIAL...............                   1,344
                                             ----------
MACHINERY - 0.70%
Caterpillar Tractor Company....    13,000         1,157
Deere and Company..............    73,000         3,358
Millipore Corporation..........    41,800         1,578
Tecumseh Products Company......    17,900           967
                                             ----------
    TOTAL MACHINERY............                   7,060
                                             ----------
</TABLE>
 
                             See accompanying notes
 
                                       30
<PAGE>   32
 
AMR INVESTMENT SERVICES BALANCED PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 1997
(Unaudited)
================================================================================
<TABLE>
<CAPTION>
                                  Shares       Value   
                                 --------    ----------
                                 (dollars in thousands)
<S>                              <C>         <C>
OFFICE EQUIPMENT - 1.88%                               
International Business Machines    38,300    $    6,157
  Corporation..................
Storage Tech Group.............    54,200         1,904
Xerox Corporation..............   175,700        10,806
                                             ----------
    TOTAL OFFICE
      EQUIPMENT................                  18,867
                                             ----------
    TOTAL CAPITAL GOODS........                  77,641
                                             ----------
    TOTAL COMMON STOCK.........                 554,501
                                             ----------
                                    Par
                                   Amount
                                 --------
SHORT-TERM INVESTMENTS (NOTE A) - 3.95%
Bank of Tokyo Mitsubishi,
  Limited, New York, BA 5.59%,
  Due 5/28/1997................  $  2,000         1,993
Banque Paribas, Euro TD,
  5.7505%, Due 5/1/1997........     5,418         5,418

<CAPTION>
                                  Shares       Value   
                                 --------    ----------
                                 (dollars in thousands)
<S>                              <C>         <C>
Dai-Ichi Kangyo Bank, Limited,
  Los Angeles, BA, 5.63%, Due
  5/15/1997....................  $  5,700    $    5,688
Dai-Ichi Kangyo Bank, Limited,
  New York, BA, 5.70%, Due
  5/30/1997....................     6,600         6,570
Skandinaviska Enskilda Banken,
  Euro TD, 5.75%, Due
  5/1/1997.....................    20,000        20,000
                                             ----------
    TOTAL SHORT-TERM
      INVESTMENTS..............                  39,669
                                             ----------
TOTAL INVESTMENTS - 99.85%
  (COST $872,176)..............               1,003,926
                                             ----------
OTHER ASSETS, NET OF
  LIABILITIES - 0.15%..........                   1,499
                                             ----------
TOTAL NET ASSETS - 100%........              $1,005,425
                                             ==========
</TABLE>
 
- ---------------
 
Based on the cost of investments of $873,281 for federal income tax purposes at
April 30, 1997, the aggregate gross unrealized appreciation was $149,925, the
aggregate gross unrealized depreciation was $19,280 and the net unrealized
appreciation of investments was $130,645.
 
(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
NV - Company
PLC - Public Limited Corporation
SA - Company
TBA - To Be Announced
TD - Time Deposit
 
                             See accompanying notes
 
                                       31
<PAGE>   33
 
AMR INVESTMENT SERVICES GROWTH AND INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 1997
(Unaudited)
================================================================================
 
<TABLE>
<CAPTION>
                                  Shares       Value
                                ----------   ----------
                                (dollars in thousands)
<S>                             <C>          <C>
COMMON STOCK - 96.00%
FOREIGN STOCKS - 3.39%
Arthur Guinness & Sons, ADR...     127,000   $    5,254
British Petroleum PLC, ADR....      39,293        5,407
Elf Aquitane SA...............     110,100        5,353
Energy Group, PLC.............      91,087        2,857
Hanson PLC, ADR...............      81,087        1,965
Imperial Tobacco Group PLC....     108,400        1,424
Mid Ocean, Limited............      48,000        2,201
New Holland N.V...............     185,000        4,092
Novartis AG...................      19,333        1,274
Royal Dutch Petroleum Company,
  New York
  Registry....................      73,100       13,176
                                             ----------
    TOTAL FOREIGN STOCKS......                   43,003
                                             ----------
CONSUMER STAPLES - 16.76%
DEPARTMENT AND MAIL ORDER - 2.07%
J.C. Penney Company,
  Incorporated................     283,000       13,513
K Mart Corporation............     640,600        8,728
Sears Roebuck & Company.......      60,000        2,880
Tupperware, Incorporated......      31,800        1,057
                                             ----------
    TOTAL DEPARTMENT AND MAIL
      ORDER...................                   26,178
                                             ----------
DISTILLERS AND BREWERS - 1.54%
Anheuser-Busch Companies,
  Incorporated................     293,500       12,584
Brown-Foreman, Incorporated...     137,300        6,934
                                             ----------
    TOTAL DISTILLERS AND
      BREWERS.................                   19,518
                                             ----------
DRUGS AND HOSPITAL SUPPLY - 3.94%
American Home Products
  Corporation.................      50,000        3,313
Baxter International,
  Incorporated................      65,000        3,112
Bristol-Myers Squibb
  Company.....................     166,000       10,873
Columbia HCA Healthcare
  Corporation.................     222,000        7,770
Foundation Health Systems.....     100,800        2,722
Horizon/CMS Healthcare
  Corporation.................     429,200        6,814
Pharmacia & Upjohn,
  Incorporated................     248,400        7,359
Warner Lambert,
  Incorporated................      81,200        7,958
                                             ----------
    TOTAL DRUGS AND HOSPITAL
      SUPPLY..................                   49,921
                                             ----------
</TABLE>
 
<TABLE>
<CAPTION>
                                  Shares       Value
                                ----------   ----------
                                (dollars in thousands)
<S>                             <C>          <C>
FOOD PROCESSING - 0.27%
Archer Daniels Midland
  Company.....................      64,000   $    1,176
Heinz H.J. Company............       5,000          208
I B P Incorporated............      88,000        2,090
                                             ----------
    TOTAL FOOD PROCESSING.....                    3,474
                                             ----------
FOODS - 0.64%
Nabisco Holdings Corporation,
  Class A.....................     212,900        8,170
                                             ----------
    TOTAL FOODS...............                    8,170
                                             ----------
LEISURE - 1.54%
Hasbro, Incorporated..........     305,100        7,628
Mattel, Incorporated..........     339,400        9,461
Toys R Us, Incorporated.......      83,700        2,385
                                             ----------
    TOTAL LEISURE.............                   19,474
                                             ----------
PHOTOGRAPHY - 1.57%
Eastman Kodak Company.........     238,900       19,948
                                             ----------
    TOTAL PHOTOGRAPHY.........                   19,948
                                             ----------
PUBLISHING - 0.67%
A.H. Belo, Incorporated,
  Class A.....................     235,600        8,482
                                             ----------
    TOTAL PUBLISHING..........                    8,482
                                             ----------
TOBACCO - 4.52%
American Brands,
  Incorporated................     166,900        8,971
Philip Morris Companies,
  Incorporated................     969,000       38,154
RJR Nabisco Holdings..........     344,020       10,235
                                             ----------
    TOTAL TOBACCO.............                   57,360
                                             ----------
    TOTAL CONSUMER STAPLES....                  212,525
                                             ----------
INTEREST SENSITIVE - 31.91%
BANKS - 8.77%
Banc One Corporation..........      54,200        2,297
BankAmerica Corporation.......     193,700       22,639
Bank of Boston Corporation....      31,600        2,299
Bankers Trust Company New
  York........................      92,000        7,487
Chase Manhattan Corporation...     289,814       26,844
First Chicago NBD.............     226,965       12,767
First of America Bank
  Corporation.................      52,000        3,458
First Security Corporation....     120,500        4,293
First Union Corporation.......      17,000        1,428
Fleet Financial Group,
  Incorporated................      72,000        4,392
J.P. Morgan & Company,
  Incorporated................      92,600        9,434
NationsBank Corporation.......      80,000        4,830
</TABLE>
 
                             See accompanying notes
 
                                       32
<PAGE>   34
 
AMR INVESTMENT SERVICES GROWTH AND INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 1997
(Unaudited)
================================================================================
 
<TABLE>
<CAPTION>
                                  Shares       Value
                                ----------   ----------
                                (dollars in thousands)
<S>                             <C>          <C>
 
PNC Bank Corporation..........     219,600   $    9,031
                                             ----------
    TOTAL BANKS...............                  111,199
                                             ----------
BUILDING AND MATERIALS - 0.55%
PPG Industries,
  Incorporated................     130,100        7,074
                                             ----------
    TOTAL BUILDING AND
      MATERIALS...............                    7,074
                                             ----------
FINANCE - 0.86%
Beneficial Corporation........      60,000        3,840
Household International,
  Incorporated................      45,000        3,960
Paine Webber Group,
  Incorporated................      91,300        3,104
                                             ----------
    TOTAL FINANCE.............                   10,904
                                             ----------
INSURANCE - LIFE AND MULTI-LINE - 3.86%
American Financial Group,
  Incorporated................     210,150        7,329
American General
  Corporation.................      69,000        3,010
Aon Corporation...............     181,400       12,063
Lincoln National
  Corporation.................      70,000        3,920
Old Republic International
  Corporation.................     370,900       10,478
TransAmerica Corporation......      50,000        4,238
Travelers Corporation.........     142,791        7,907
                                             ----------
    TOTAL INSURANCE - LIFE AND
      MULTI-LINE..............                   48,945
                                             ----------
INSURANCE - PROPERTY AND CASUALTY - 1.39%
Allstate Corporation..........     134,714        8,824
Chubb Corporation.............      85,000        4,909
TIG Holdings, Incorporated....     141,000        3,913
                                             ----------
    TOTAL INSURANCE - PROPERTY
      AND CASUALTY............                   17,646
                                             ----------
SAVINGS AND LOAN - 0.71%
Great Western Financial
  Corporation.................     105,000        4,410
H.F. Ahmanson & Company.......     120,000        4,575
                                             ----------
    TOTAL SAVINGS AND LOAN....                    8,985
                                             ----------
UTILITIES - ELECTRIC - 6.44%
Central and Southwest
  Corporation.................     175,000        3,522
CMS Energy Corporation........     130,000        4,128
DTE Energy Company............     256,800        6,869
Edison International..........     187,500        3,938
Entergy Corporation...........     826,700       19,324
Houston Industries,
  Incorporated................     186,300        3,726
Illinova Corporation..........     170,000        3,825
New York State Electric & Gas
  Corporation.................      70,000        1,470
</TABLE>
 
<TABLE>
<CAPTION>
                                  Shares       Value
                                ----------   ----------
                                (dollars in thousands)
<S>                             <C>          <C>
Northeast Utilities...........     684,600   $    5,648
Peco Energy Company...........     204,000        4,029
Potomac Electric Power........      80,300        1,807
PP&L Resources,
  Incorporated................      52,000        1,021
Public Service Enterprise
  Group, Incorporated.........     172,100        4,152
Rochester Gas and Electric,
  Incorporated................      60,000        1,118
Unicom Corporation............     785,500       17,085
                                             ----------
    TOTAL UTILITIES -
      ELECTRIC................                   81,662
                                             ----------
UTILITIES - NATURAL GAS - 1.39%
Consolidated Natural Gas
  Company.....................     305,300       15,379
Peoples Energy Corporation....      65,000        2,194
                                             ----------
    TOTAL UTILITIES - NATURAL
      GAS.....................                   17,573
                                             ----------
UTILITIES - TELEPHONE - 3.56%
Alltel Corporation............      98,000        3,087
AT&T Corporation..............     438,900       14,703
NYNEX Corporation.............     100,000        5,175
SBC Communications............     165,577        9,190
US West, Incorporated.........     368,900       12,958
                                             ----------
    TOTAL UTILITIES -
      TELEPHONE...............                   45,113
                                             ----------
MISCELLANEOUS - INTEREST SENSITIVE - 4.38%
American Express Company......     355,100       23,392
Dean Witter Discover &
  Company.....................     116,400        4,452
Federal Home Loan Mortgage
  Corporation.................     314,400       10,022
Federal National Mortgage
  Association.................     328,000       13,489
Fund American Enterprises,
  Incorporated................      41,375        4,132
                                             ----------
    TOTAL MISCELLANEOUS -
      INTEREST SENSITIVE......                   55,487
                                             ----------
    TOTAL INTEREST
      SENSITIVE...............                  404,588
                                             ----------
CONSUMER CYCLICALS - 6.67%
AUTOMOBILE AND TRUCK - 6.06%
Dana Corporation..............     457,800       14,592
Eaton Corporation.............      60,000        4,493
First Brands Corporation......     340,500        8,640
Ford Motor Company............     845,800       29,392
General Motors Corporation....     339,700       19,660
                                             ----------
    TOTAL AUTOMOBILE AND
      TRUCK...................                   76,777
                                             ----------
</TABLE>
 
                             See accompanying notes
 
                                       33
<PAGE>   35
 
AMR INVESTMENT SERVICES GROWTH AND INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 1997
(Unaudited)
================================================================================
 
<TABLE>
<CAPTION>
                                  Shares       Value
                                ----------   ----------
                                (dollars in thousands)
<S>                             <C>          <C>
 
ELECTRICAL HOUSEHOLD EQUIPMENT - 0.31%
Whirlpool Corporation.........      85,000   $    3,974
                                             ----------
    TOTAL ELECTRICAL HOUSEHOLD
      EQUIPMENT...............                    3,974
                                             ----------
TIRE AND RUBBER - 0.30%
Goodyear Tire & Rubber
  Company.....................      73,000        3,842
                                             ----------
    TOTAL TIRE AND RUBBER.....                    3,842
                                             ----------
    TOTAL CONSUMER
      CYCLICALS...............                   84,593
                                             ----------
INTERMEDIATE GOODS & SERVICES - 22.90%
CHEMICALS - 2.94%
ARCO Chemical Company.........      95,000        4,014
Dow Chemical..................      50,000        4,244
E.I. DuPont de Nemours &
  Company.....................      40,000        4,245
Eastman Chemical Company......     177,775        9,067
FMC Corporation (non-income
  producing)..................     183,200       12,297
Great Lakes Chemicals
  Corporation.................      49,100        2,081
Millenium Chemicals,
  Incorporated................      82,671        1,466
                                             ----------
    TOTAL CHEMICALS...........                   37,414
                                             ----------
FOREST PRODUCTS - 1.66%
Boise Cascade Corporation.....     124,000        4,123
Georgia-Pacific Corporation...      36,000        2,808
International Paper Company...      80,000        3,380
Louisiana Pacific
  Corporation.................     111,400        2,075
Mead Corporation..............      43,000        2,413
Union Camp Corporation........      52,000        2,529
Weyerhaeuser Company..........      80,000        3,660
                                             ----------
    TOTAL FOREST PRODUCTS.....                   20,988
                                             ----------
METALS - ALUMINUM - 0.74%
Alumax, Incorporated..........     136,800        4,993
Aluminum Company of
  America.....................      52,000        3,634
Newport News Shipbuilding,
  Incorporated................      50,540          758
                                             ----------
    TOTAL METALS - ALUMINUM...                    9,385
                                             ----------
METALS - MINING - 0.18%
Cyprus Amax Minerals
  Corporation.................     100,000        2,238
                                             ----------
    TOTAL METALS - MINING.....                    2,238
                                             ----------
</TABLE>
 
<TABLE>
<CAPTION>
                                  Shares       Value
                                ----------   ----------
                                (dollars in thousands)
<S>                             <C>          <C>
NATURAL GAS TRANSMISSION - 0.69%
Coastal Corporation...........     111,200   $    5,282
El Paso Natural Gas Company...      59,759        3,473
                                             ----------
    TOTAL NATURAL GAS
      TRANSMISSION............                    8,755
                                             ----------
OIL - 10.97%
Amoco Corporation.............     215,900       18,055
Atlantic Richfield
  Corporation.................     159,800       21,753
Chevron Corporation...........      55,000        3,768
Exxon Corporation.............     234,200       13,262
Louisiana Land and Exploration
  Company.....................     181,625        9,081
Mobil Corporation.............      21,500        2,795
Occidental Petroleum
  Corporation.................     178,700        3,954
Oryx Energy Company...........     250,900        5,018
Phillips Petroleum Company....     462,100       18,195
Tenneco, Incorporated.........     226,800        9,044
Texaco, Incorporated..........     143,100       15,097
Ultramar Diamond Shamrock
  Corporation.................     120,000        3,855
Union Pacific Resources Group,
  Incorporated................     267,700        7,261
Union Texas Petroleum
  Holdings, Incorporated......     418,400        7,897
                                             ----------
    TOTAL OIL.................                  139,035
                                             ----------
OIL SERVICE - 1.51%
Baker Hughes, Incorporated....     556,100       19,185
                                             ----------
    TOTAL OIL SERVICE.........                   19,185
                                             ----------
TRANSPORTATION - 2.45%
Burlington Northern,
  Incorporated................       6,900          543
Conrail, Incorporated.........      30,586        3,494
CSX Corporation...............     248,900       11,605
Norfolk Southern
  Corporation.................     171,300       15,396
                                             ----------
    TOTAL TRANSPORTATION......                   31,038
                                             ----------
MISCELLANEOUS - INTERMEDIATE GOODS
  & SERVICES - 1.76%
Browning-Ferris Industries....     129,300        3,669
Dresser Industries,
  Incorporated................     229,800        6,865
Federal-Mogul Corporation.....      39,100        1,080
GATX Corporation..............      72,900        3,991
Mapco, Incorporated...........     224,600        6,654
                                             ----------
    TOTAL MISCELLANEOUS -
      INTERMEDIATE GOODS &
      SERVICES................                   22,259
                                             ----------
    TOTAL INTERMEDIATE GOODS &
      SERVICES................                  290,297
                                             ----------
</TABLE>
 
                             See accompanying notes
 
                                       34
<PAGE>   36
 
AMR INVESTMENT SERVICES GROWTH AND INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 1997
(Unaudited)
================================================================================
 
<TABLE>
<CAPTION>
                                  Shares       Value
                                ----------   ----------
                                (dollars in thousands)
<S>                             <C>          <C>
 
CAPITAL GOODS - 14.37%
AEROSPACE - 7.54%
Coltec Industries,
  Incorporated (non-income
  producing)..................     465,700   $    9,430
Harsco Corporation............     110,000        4,056
Lockheed Martin Corporation...     267,898       23,977
Northrop Corporation..........      55,000        4,593
Raytheon Company..............     262,800       11,465
Rockwell International
  Corporation.................      60,000        3,990
Textron, Incorporated.........     203,800       22,698
Thiokol Corporation...........     166,900       10,890
United Technologies
  Corporation.................      60,000        4,538
                                             ----------
    TOTAL AEROSPACE...........                   95,637
                                             ----------
ELECTRICAL EQUIPMENT - 1.88%
Dover Corporation.............      34,000        1,802
Honeywell, Incorporated.......      91,200        6,441
ITT Industries,
  Incorporated................     208,800        5,272
MEMC Electronic Materials,
  Incorporated................      84,100        2,302
Westinghouse Electric
  Corporation.................     469,200        7,976
                                             ----------
    TOTAL ELECTRICAL
      EQUIPMENT...............                   23,793
                                             ----------
ELECTRONICS - INDUSTRIAL - 0.20%
Lam Research Corporation......      27,000          783
VLSI Technology,
  Incorporated................      90,500        1,799
                                             ----------
    TOTAL ELECTRONICS -
      INDUSTRIAL..............                    2,582
                                             ----------
MACHINERY - 1.46%
Caterpillar Tractor Company...      23,000        2,047
Deere and Company.............     147,000        6,762
Millipore Corporation.........     122,100        4,609
Tecumseh Products Company.....      94,400        5,098
                                             ----------
    TOTAL MACHINERY...........                   18,516
                                             ----------
</TABLE>
 
<TABLE>
<CAPTION>
                                  Shares       Value
                                ----------   ----------
                                (dollars in thousands)
<S>                             <C>          <C>
OFFICE EQUIPMENT - 3.29%
International Business
  Machines Corporation........      74,300   $   11,944
Storage Tech Group............     121,400        4,264
Xerox Corporation.............     413,700       25,443
                                             ----------
    TOTAL OFFICE EQUIPMENT....                   41,651
                                             ----------
    TOTAL CAPITAL
      GOODS...................                  182,179
                                             ----------
    TOTAL COMMON
      STOCK...................                1,217,185
                                             ----------
                                       Par
                                    Amount
                                ----------
SHORT-TERM INVESTMENTS (NOTE A) - 3.70%
Industrial Bank of Japan, Limited,
  New York, BA, 5.51%, Due
  5/27/1997...................  $   15,000       14,939
Skandinaviska Enskilda Banken,
  Euro TD, 5.75%, Due
  5/1/1997....................      31,949       31,949
                                             ----------
    TOTAL SHORT-TERM
      INVESTMENTS.............                   46,888
                                             ----------
TOTAL INVESTMENTS - 99.70%
  (COST $1,006,155)...........                1,264,073
                                             ----------
OTHER ASSETS, NET OF
  LIABILITIES - 0.30%.........                    3,759
                                             ----------
TOTAL NET ASSETS - 100%.......               $1,267,832
                                             ==========
</TABLE>
 
- ---------------
 
Based on the cost of investments of $1,007,708 for federal income tax purposes
at April 30, 1997, the aggregate gross unrealized appreciation was $287,133, the
aggregate gross unrealized depreciation was $30,768, and the net unrealized
appreciation of investments was $256,365.
 
(A) Rates associated with short-term investments represent yield to maturity.
 
ABBREVIATIONS:
 
ADR - American Depositary Receipt
AG - Company
BA - Bankers Acceptance
NV - Company
PLC - Public Limited Corporation
SA - Company
TD - Time Deposit
 
                             See accompanying notes
 
                                       35
<PAGE>   37
 
AMR INVESTMENT SERVICES INTERNATIONAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 1997
(Unaudited)
================================================================================
 
<TABLE>
<CAPTION>
                                Shares         Value
                               ---------    -----------
                                (dollars in thousands)
<S>                            <C>          <C>
AUSTRALIA COMMON STOCKS - 4.19%
Australia & New Zealand
  Banking Group..............    843,442    $     5,400
Brambles Industries,
  Limited....................    179,000          3,247
Burns Philip & Company,
  Limited....................    400,000            667
CSR, Limited.................    633,000          2,345
Coles Myer, Limited
  Australian.................    323,000          1,574
Davids, Limited..............    688,173            667
GIO Australia Holdings,
  Limited....................    486,509          1,445
Goodman Fielder, Limited.....  1,150,000          1,510
News Corporation, Limited....    210,000            970
News Corporation Preferred
  Rights.....................    230,000            879
North, Limited...............    136,000            481
Pioneer International,
  Limited....................    960,000          3,167
QBE Insurance Group,
  Limited....................    429,197          2,459
                                            -----------
    TOTAL AUSTRALIA COMMON
      STOCKS.................                    24,811
                                            -----------
AUSTRIA COMMON STOCKS - 0.88%
Boehler-Uddeholm.............     31,185          2,250
Evn Energie-Versorgung
  Niederroesterreich AG......      3,960            491
Mayr-Melnhof Karton AG.......     16,000            758
VA Technologie AG............     11,000          1,710
                                            -----------
    TOTAL AUSTRIA COMMON
      STOCKS.................                     5,209
                                            -----------
BELGIUM COMMON STOCKS - 0.41%
GIB Holdings, Limited, NPV...     22,000            955
Solvay Et Cie, NPV...........      2,500          1,498
                                            -----------
    TOTAL BELGIUM COMMON
      STOCKS.................                     2,453
                                            -----------
CANADA COMMON STOCKS - 1.97%
Anderson Exploration,
  Limited....................    115,000          1,329
Bank of Nova Scotia..........     67,839          2,575
Canadian Imperial Bank of
  Commerce...................    120,000          2,756
IMASCO, Limited..............    119,000          3,240
Noranda, Incorporated........     70,500          1,488
Oshawa Group, Limited........     16,700            262
                                            -----------
    TOTAL CANADA COMMON
      STOCKS.................                    11,650
                                            -----------
</TABLE>
 
<TABLE>
<CAPTION>
                                Shares         Value
                               ---------    -----------
                                (dollars in thousands)
<S>                            <C>          <C>
DENMARK COMMON STOCKS - 0.98%
Den Danske Bank..............     16,000    $     1,384
Novo Nordisk AS, "B".........     10,400          1,029
Teledanmark AS, "B"..........     16,700            803
Unidanmark AS, "A"...........     52,200          2,582
                                            -----------
    TOTAL DENMARK COMMON
      STOCKS.................                     5,798
                                            -----------
FINLAND COMMON STOCKS - 2.40%
Enso-Gutzeit OY..............    187,000          1,545
Huhtamaki Group I Free.......     25,000          1,083
Merita Bank, Limited.........    785,000          2,549
Metsa-Serla OY, "B"..........    100,000            749
Nokia OY, "A"................     48,500          3,024
UPM-Kymmene OY...............    231,400          5,292
                                            -----------
    TOTAL FINLAND COMMON
      STOCKS.................                    14,242
                                            -----------
FRANCE COMMON STOCKS - 7.84%
Adecco SA....................      3,855          1,287
Alcatel Alsthom CG...........     43,100          4,793
Axa SA.......................     37,542          1,695
Banque Nationale de Paris....     90,500          3,861
Bertrande Faure..............     29,500          1,413
Bongrain SA..................      2,370            897
Elf Aquitaine SA.............     75,500          7,322
Groupe Danone................     14,700          2,141
La Farge-Coppee SA...........     86,208          5,654
Pechiney SA..................     35,858          1,339
Pernod-Ricard................     49,107          2,523
Peugot SA....................      9,100            906
Rhone-Poulenc, "A"...........     50,000          1,682
Sa Des Galeries Lafayette....        162             65
Saint Gobain.................     11,739          1,573
Scor SA......................     26,000          1,016
Schneider SA.................     12,600            710
Total Petroleum Company,
  "B"........................     49,900          4,138
Usinor Sacilor...............    191,856          2,899
Valeo SA.....................      8,350            515
                                            -----------
    TOTAL FRANCE COMMON
      STOCKS.................                    46,429
                                            -----------
GERMANY - 5.10%
PREFERRED STOCKS - 0.72%
Herlitz AG...................      8,947            902
Spar Handels AG..............      3,400             44
Volkswagen AG................      6,800          3,338
                                            -----------
    TOTAL GERMANY PREFERRED
      STOCKS.................                     4,284
                                            -----------
</TABLE>
 
                             See accompanying notes
 
                                       36
<PAGE>   38
 
AMR INVESTMENT SERVICES INTERNATIONAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 1997
(Unaudited)
================================================================================
 
<TABLE>
<CAPTION>
                                Shares         Value
                               ---------    -----------
                                (dollars in thousands)
<S>                            <C>          <C>
 
COMMON STOCKS - 4.38%
BASF AG......................     49,900    $     1,925
BAYER AG.....................    162,925          6,481
Commerzbank AG...............    143,000          3,856
Deutsche Bank AG.............     36,000          1,900
Hoechst AG...................     29,300          1,150
Karstadt AG..................      6,500          1,951
Mannesmann AG................      1,940            763
Muenchener Rueckversicherungs
  AG.........................        300            494
Varta AG (non-income
  producing).................      1,520            233
Veba AG......................     69,200          3,591
Viag AG......................      4,350          1,939
Volkswagen AG................      2,650          1,680
                                            -----------
    TOTAL GERMANY COMMON
      STOCKS.................                    25,963
                                            -----------
    TOTAL GERMANY............                    30,247
                                            -----------
HONG KONG COMMON STOCKS - 4.21%
Cheung Kong Holdings,
  Limited....................    235,000          2,063
China Light and Power
  Company....................    789,000          3,555
Dickson Concepts
  (International), Limited...    643,000          2,374
Hang Lung Development
  Company, Limited...........  1,268,000          2,341
Hong Kong Electric
  Holdings...................    308,400          1,091
Hong Kong Telecommunications,
  Limited....................  1,790,400          3,074
HSBC Holdings, Limited.......    114,500          2,897
Hutchinson Whampoa,
  Limited....................    200,000          1,485
National Mutual of Asia,
  Limited....................  1,700,000          1,756
New Asia Realty and Trust
  Company, Limited...........    135,000            498
New World Development
  Company, Limited...........    459,000          2,649
Peregrine Investments
  Holdings, Limited..........    550,000            845
Peregrine Investments
  Holdings, Limited
  Warrants...................     55,000              8
Swire Pacific, Limited,
  "A"........................     40,000            309
                                            -----------
    TOTAL HONG KONG COMMON
      STOCKS.................                    24,945
                                            -----------
IRELAND COMMON STOCKS - 0.50%
Jefferson Smurfit............  1,199,242          2,936
                                            -----------
    TOTAL IRELAND COMMON
      STOCKS.................                     2,936
                                            -----------
</TABLE>
 
<TABLE>
<CAPTION>
                                Shares         Value
                               ---------    -----------
                                (dollars in thousands)
<S>                            <C>          <C>
ITALY - 2.61%
PREFERRED STOCK - 0.17%
Concessioni E Costruzioni
  Autostrade.................    525,000    $     1,012
                                            -----------
    TOTAL ITALY PREFERRED
      STOCK..................                     1,012
                                            -----------
COMMON STOCKS - 2.44%
Burgo (Cartiere) SPA.........    220,000          1,217
Danieli Group Risp...........    473,960          1,705
Fiat SPA.....................    700,000          2,310
Instituto Nazionale Delle
  Assicurazioni..............    770,000          1,032
Merloni Elettrodomestici
  SPA........................    185,500            467
Olivetti Ing C & Co..........    711,000            208
Sasib SPA....................    500,000            929
Sta Finanziaria Telefonica
  Torino.....................  1,015,000          3,765
STET Risp Non Convertible....    550,000          2,601
Telecom Italia, SPA Non
  Convertible Risp...........    110,000            237
                                            -----------
    TOTAL ITALY COMMON
      STOCKS.................                    14,471
                                            -----------
    TOTAL ITALY..............                    15,483
                                            -----------
JAPAN COMMON STOCKS - 11.65%
Aisin Seiki Company,
  Limited....................    123,000          1,783
Aoyama Trading Company.......     18,000            508
Bridgestone Corporation......     54,000          1,149
Canon, Incorporated..........     74,000          1,755
Chudenko Corporation.........     28,000            715
Daibiru Corporation..........    143,000          1,577
Daicel Chemical..............    184,000            693
Daikin Industries............     14,000            110
Dainippon Ink & Chemical.....     57,000            213
Daiwa House Industry Company,
  Limited....................    166,000          1,857
East Japan Railway Company...        313          1,354
Fuji Photo Film..............    193,000          7,376
Hitachi Koki Company,
  Limited....................     70,000            444
Hitachi, Limited.............    383,000          3,471
Isuzu Motors, Limited........     67,000            252
KAO Corporation..............    180,000          2,099
Kioto Manufacturing Company,
  Limited....................    108,000            655
Kirin Brewery Company,
  Limited....................     38,000            329
Matsushita Electric
  Industrial Company.........    226,000          3,615
MOS Food Services............     89,000          1,206
NKK Corporation..............    461,000            995
Nichicon Corporation.........    234,000          2,563
</TABLE>
 
                             See accompanying notes
 
                                       37
<PAGE>   39
 
AMR INVESTMENT SERVICES INTERNATIONAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 1997
(Unaudited)
================================================================================
 
<TABLE>
<CAPTION>
                                Shares         Value
                               ---------    -----------
                                (dollars in thousands)
<S>                            <C>          <C>
 
Nichido Fire & Marine
  Insurance..................    304,000    $     1,636
Nintendo Company, Limited....     37,300          2,727
Nippon Fire and Marine
  Insurance..................    287,000          1,131
Nippon Telegraph & Telephone
  Corporation................        193          1,361
Promise Company, Limited.....     77,000          3,185
Ryosan Company...............     12,000            254
Sekisui Chemical Company,
  Limited....................    332,000          3,192
Shionogi & Company...........     36,000            240
Sony Corporation.............     88,800          6,465
Sumitomo Marine & Fire
  Insurance..................    402,000          2,474
Sumitomo Rubber Industries...    124,000            811
Suzuki Motor Company,
  Limited....................    193,000          2,053
TDK Corporation..............     25,000          1,802
Toyo Seikan Kaisha...........    121,000          2,221
Yamanouchi Pharmaceutical....    110,000          2,349
Yamato Kogyo Company,
  Limited....................     35,000            303
Yodogawa Steel Works.........    375,000          2,122
                                            -----------
    TOTAL JAPAN COMMON
      STOCKS.................                    69,045
                                            -----------
MEXICO COMMON STOCKS - 0.16%
Alfa, SA.....................    175,000            945
                                            -----------
    TOTAL MEXICO COMMON
      STOCKS.................                       945
                                            -----------
MALAYSIA COMMON STOCKS - 1.19%
Arab Malaysian Finance.......    780,000          1,709
Bolton Properties............    909,000          1,441
Golden Hope Plantations
  BHD........................    752,000          1,192
Hicom Holdings BHD...........    195,300            432
Kedah Cement Holdings BHD....    729,000          1,133
Malaysian International
  Shipping Corporation BHD...    505,666          1,138
                                            -----------
    TOTAL MALAYSIA COMMON
      STOCKS.................                     7,045
                                            -----------
NETHERLANDS COMMON STOCKS - 7.02%
ABN AMRO Holdings NV.........     58,900          4,048
Aegon NV.....................     40,000          2,834
Akzo Nobel NV................     55,030          7,090
Fortis Amev NV...............     76,054          2,869
Hollandsche Beton Groep NV...     15,804          3,432
Internationale Nederlanden
  Groep NV...................    242,845          9,536
Koninklijke Bijenkorf Beheer
  NV.........................     17,400          1,148
</TABLE>
 
<TABLE>
<CAPTION>
                                Shares         Value
                               ---------    -----------
                                (dollars in thousands)
<S>                            <C>          <C>
Phillips Electronics.........    114,900    $     5,998
Royal PTT Nederland NV.......     76,480          2,717
Unilever NV..................     10,000          1,945
                                            -----------
    TOTAL NETHERLANDS COMMON
      STOCKS.................                    41,617
                                            -----------
                                     Par
                                  Amount
                               ---------
NEW ZEALAND - 1.00%
FOREIGN BONDS - 0.01%
Brierley Investments, Limited
  Subordinated Convertible,
  9.00%, Due 6/30/1998.......  $      63             53
                                            -----------
    TOTAL NEW ZEALAND FOREIGN
      BONDS..................                        53
                                            -----------
                                  Shares
                               ---------
COMMON STOCKS - 0.99%
Brierley Investments,
  Limited....................  1,400,000          1,233
Fisher & Paykel, Limited.....    210,000            754
Fletcher Challenge Paper.....    382,500            849
Fletcher Challenge
  Building...................    775,250          2,177
Lion Nathan, Limited.........    355,000            854
                                            -----------
    TOTAL NEW ZEALAND COMMON
      STOCKS.................                     5,867
                                            -----------
    TOTAL NEW ZEALAND........                     5,920
                                            -----------
NORWAY COMMON STOCKS - 2.14%
Den Norsk Bank, Series A.....    462,200          1,668
Kvaerner Industries AS.......     49,789          2,475
Norsk Hydro AS...............     40,000          1,949
Nycomed AS, Series B.........    278,500          4,009
Saga Petroleum, Series B
  Free.......................    100,000          1,615
Unitor AS....................     80,000            977
                                            -----------
    TOTAL NORWAY COMMON
      STOCKS.................                    12,693
                                            -----------
SINGAPORE COMMON STOCKS - 0.78%
Hong Kong Land...............    869,149          1,808
Inchcape Berhad..............    275,000            960
Sembawang Corporation........    258,000          1,115
Singapore Finance, Limited...     27,000             40
Van Der Horst................    240,000            690
                                            -----------
    TOTAL SINGAPORE COMMON
      STOCKS.................                     4,613
                                            -----------
SPAIN COMMON STOCKS - 3.76%
Banco Espana Credito SA......      7,000             62
Banco Popular Espanol........      7,000          1,486
Banco Santander SA...........     40,860          3,077
Iberdrola SA.................    329,957          3,727
Repsol SA (BR)...............    120,100          5,040
Telefonica de Espana.........    308,600          7,912
</TABLE>
 
                             See accompanying notes
 
                                       38
<PAGE>   40
 
AMR INVESTMENT SERVICES INTERNATIONAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 1997
(Unaudited)
================================================================================
 
<TABLE>
<CAPTION>
                                Shares         Value
                               ---------    -----------
                                (dollars in thousands)
<S>                            <C>          <C>
 
Uralita (non-income
  producing).................    119,250    $       992
                                            -----------
    TOTAL SPAIN COMMON
      STOCKS.................                    22,296
                                            -----------
SWEDEN COMMON STOCKS - 3.20%
Assidoman AB.................     48,000          1,202
Astra AB, "B" Free...........     20,700            822
Electrolux AB, "B"...........     44,100          2,529
Esselte AB, Class "A"........      2,000             43
Esselte AB, Class "B"........     17,000            388
Fastighets AB Tornet.........      1,970             21
Marieberg Tidnings...........     77,267          1,802
Nordbanken AS................     29,900            918
Pharmacia & Upjohn,
  Incorporated...............     24,400            703
Skandia Forsakrings AB.......     23,100            668
SKF AB, "B" Free.............     97,300          2,108
Sparbanken Sverige AB, "A"...     91,700          1,636
Stora Kopparsbergs Bergslags,
  "A"........................     42,100            582
Stora Kopparsbergs Bergslags,
  "B"........................     25,800            354
Svedala Industries, "A"
  Free.......................     90,000          1,652
Svenska Cellulosa, "B"
  Free.......................     53,900          1,154
Svenska Handelsbanken, "A"...      3,200             88
Volvo AB.....................     90,000          2,266
                                            -----------
    TOTAL SWEDEN COMMON
      STOCKS.................                    18,936
                                            -----------
SWITZERLAND COMMON STOCKS - 6.50%
ABB AG.......................      1,100          1,333
Ciba Specialty Chemicals
  AG.........................      2,453            211
Forbo Holding AG.............      3,280          1,322
Holderbank Financial
  Glarus-B...................      2,030          1,580
Nestle SA....................      7,065          8,583
Novartis AG..................      5,332          7,028
Schindler Holding AG.........      1,110          1,345
SGS Holding SA (Reg).........      4,200          1,633
SGS Holding SA (BR)..........        240            497
SIG AG.......................      1,540          4,228
Sulzer AG (Reg)..............      1,800          1,240
Sulzer AG (Part Cert)........      4,907          3,377
Swiss Reinsurance Company....      4,316          4,997
Zurich Versicherungs.........      3,400          1,117
                                            -----------
    TOTAL SWITZERLAND COMMON
      STOCKS.................                    38,491
                                            -----------
UNITED KINGDOM COMMON STOCKS - 17.11%
Albert Fisher Group, PLC.....    262,500            168
Allied Domecq, PLC...........    516,910          3,661
Associated British Foods
  Group, PLC.................     42,400            367
</TABLE>
 
<TABLE>
<CAPTION>
                                Shares         Value
                               ---------    -----------
                                (dollars in thousands)
<S>                            <C>          <C>
Bank of Scotland.............    166,700    $     1,001
Barclays, PLC................     27,900            520
Barratt Developments, PLC....    350,000          1,474
BAT Industries, PLC..........    672,800          5,688
BG, PLC......................  1,150,000          3,340
British Telecommunications...    503,500          3,697
BTR, PLC.....................  1,315,600          5,390
Burmah Castrol, PLC..........    124,800          2,050
Burton Group, PLC............    335,000            829
Chubb Security...............    167,200          1,215
Coats Viyella, PLC...........  1,573,000          3,357
Commercial Union, PLC........    172,500          1,910
Cortaulds, PLC...............    285,000          1,538
Energy Group, PLC............    124,000            981
English China Claylord
  Group......................    139,544            464
Grand Metropolitan, PLC......    500,800          4,193
Hanson, PLC..................    468,500          2,269
Harrisons & Crosfield, PLC...  1,391,800          2,766
Hillsdown Holdings, PLC......  1,013,100          2,984
Hyder, PLC...................    238,000          3,315
Imperial Chemical Industries,
  PLC........................     27,000            307
Imperial Tobacco Group.......    195,100          1,282
Kwik Save Group, PLC.........    198,900            976
Lex Service..................    350,000          2,002
London Pacific Group, PLC....    130,000            451
National Grid Group, PLC.....    203,053            736
National Power, PLC..........     50,000            433
National Westminster Bank,
  PLC........................    326,400          3,866
Northern Foods, PLC..........    500,000          1,700
Peninsular & Orient Steam
  Company....................    162,350          1,582
PowerGen, PLC................    351,790          3,693
Racal Electronics, PLC.......    203,300            787
Reckitt & Coleman, PLC.......    355,527          4,831
Redland, PLC.................    877,900          4,986
Rolls Royce, PLC.............    201,400            792
Royal & Sun Alliance
  Insurance Group............    263,200          2,086
Safeway, PLC.................    309,677          1,711
Salvesen (Christian), PLC....    449,977          1,898
Scottish Hydro-Electric,
  PLC........................     78,750            503
Shell Transportation &
  Trading, PLC...............     45,000            796
Southern Electric, PLC.......    109,846            780
Storehouse...................    109,900            390
Tate & Lyle, PLC.............    276,600          2,062
Tesco, PLC...................    343,819          1,992
Thames Water Group, PLC......    189,800          2,086
Unilever, PLC................    127,300          3,351
</TABLE>
 
                             See accompanying notes
 
                                       39
<PAGE>   41
 
AMR INVESTMENT SERVICES INTERNATIONAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 1997
(Unaudited)
================================================================================
 
<TABLE>
<CAPTION>
                                Shares         Value
                               ---------    -----------
                                (dollars in thousands)
<S>                            <C>          <C>
 
WPP Group, PLC...............    300,000    $     1,229
Wace Group, PLC..............    719,700            882
                                            -----------
    TOTAL UNITED KINGDOM
      COMMON STOCKS..........                   101,367
                                            -----------
UNITED STATES - 11.65%
FOREIGN SECURITIES DENOMINATED IN U.S. DOLLARS - 2.31%
Cho Hung Bank GDR............    405,800          2,201
Dairy Farm International.....    908,000            672
G P Batteries International,
  Limited....................    137,000            404
G P Batteries Warrants
  Expiration 11/15/2000......     34,250             34
Jardine Matheson Holdings,
  Limited....................    797,000          4,384
Jardine Strategic............  1,325,000          4,505
Jardine Strategic Holdings
  Warrants...................     66,250             24
Telmex ADR...................     35,000          1,444
                                            -----------
    TOTAL FOREIGN SECURITIES
      DENOMINATED IN U.S.
      DOLLARS................                    13,668
                                            -----------
 
<CAPTION>
                                  Par
                                Amount
                               ---------
<S>                            <C>          <C>
UNITED STATES GOVERNMENT AND AGENCY OBLIGATIONS (NOTE
A) - 6.64%
Federal Farm Credit Banks,
  Discount Note, 5.33%, Due
  5/19/1997..................  $   3,485          3,475
Federal Home Loan Mortgage
  Corporation, Discount Note,
  5.36%, Due 5/13/1997.......      4,855          4,846
</TABLE>
 
<TABLE>
<CAPTION>
                                  Par
                                Amount
                               ---------
<S>                            <C>          <C>
  Discount Note, 5.41%, Due
  5/14/1997..................  $   3,005    $     2,999
  Discount Note, 5.40%, Due
  5/15/1997..................      5,800          5,787
Federal National Mortgage
  Association, Discount Note,
  5.40%, Due 5/2/1997........      5,780          5,778
Student Loan Mortgage
  Association, Discount Note,
  5.40%, Due 5/7/1997........      5,800          5,794
U.S. Treasury Bill,
  5.13%, Due 5/8/1997........        329            329
  4.97%, Due 5/15/1997.......      9,185          9,166
  4.71%, Due 6/5/1997........      1,203          1,197
                                            -----------
    TOTAL UNITED STATES
      GOVERNMENT AND AGENCY
      OBLIGATIONS............                    39,371
                                            -----------
SHORT-TERM INVESTMENTS (NOTE B) - 2.70%
Bank of New York, TD,
  5.4375%, Due 5/2/1997......      9,000          9,000
Nestle Capital Corporation,
  CP, 5.525%, Due 5/2/1997...      7,000          6,997
                                            -----------
    TOTAL SHORT-TERM
      INVESTMENTS............                    15,997
                                            -----------
  TOTAL UNITED STATES........                    69,036
                                            -----------
TOTAL INVESTMENTS -
  97.25% (COST $492,869).....                   576,207
                                            -----------
OTHER ASSETS, NET OF
  LIABILITIES - 2.75%........                    16,293
                                            -----------
TOTAL NET ASSETS - 100%......               $   592,500
                                            ===========
</TABLE>
 
                             See accompanying notes
 
                                       40
<PAGE>   42
 
AMR INVESTMENT SERVICES INTERNATIONAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 1997
(Unaudited)
================================================================================
 
Based on the cost of investments of $493,013 for federal income tax purposes at
April 30, 1997, the aggregate gross unrealized appreciation was $102,432, the
aggregate gross unrealized depreciation was $19,238, and the net unrealized
appreciation of investments was $83,194.
(A) Rates associated with United States Government Bonds represent yield to
maturity from time of purchase.
(B) Rates associated with short-term investments represent yield to maturity or
yield to next reset date.
 
ABBREVIATIONS:
 
AB - Company (Sweden)
ADR - American Depository Receipt (United States)
AG - Company (Austria, Germany, Switzerland)
AS - Company (Denmark, Norway, Sweden)
BHD - Berhard (Malaysia)
BR - Bearer (Spain, Switzerland)
CG - Company General (France)
CP - Commercial paper (United States)
GDR - Global Depository Receipt (United States)
NPV - No Par Value (Belgium)
NV - Company (Netherlands)
OY - Company (Finland)
PLC - Public Limited Corporation (UK)
SA - Company (France, Mexico, Spain, Switzerland)
SPA - Company (Italy)
TD - Time Deposit (United States)
 
                             See accompanying notes
 
                                       41
<PAGE>   43
 
AMR INVESTMENT SERVICES INTERNATIONAL EQUITY PORTFOLIO
INDUSTRY DIVERSIFICATION
April 30, 1997
(Unaudited)
================================================================================
 
<TABLE>
<CAPTION>
                                                              Percent of
                                                              Net Assets
                                                              ----------
<S>                                                           <C>
Basic Industry..............................................     29.05%
Capital Goods...............................................      9.66%
Consumer Goods & Services...................................     21.25%
Energy......................................................      4.60%
Financing, Insurance & Real Estate..........................     18.23%
Transportation..............................................      1.25%
Utilities...................................................      3.87%
Short Term Investments......................................      9.34%
          Other Assets/Liabilities..........................      2.75%
                                                                ------
          NET ASSETS........................................    100.00%
                                                                ======
</TABLE>
 
                             See accompanying notes
 
                                       42
<PAGE>   44
 
AMR INVESTMENT SERVICES LIMITED-TERM INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 1997
(Unaudited)
================================================================================
 
<TABLE>
<CAPTION>
                                    Par
                                   Amount       Value
                                 ----------    --------
                                 (dollars in thousands)
<S>                              <C>           <C>
CERTIFICATES OF DEPOSIT - 4.09%
Advanta National Bank, CD,
  6.43%, Dated 4/30/1996, Due
  4/30/1998....................  $    9,000    $  8,959
                                               --------
    TOTAL CERTIFICATES OF
      DEPOSIT..................                   8,959
                                               --------
U.S. GOVERNMENT & AGENCY
  OBLIGATIONS - 45.25%
Federal Home Loan Bank, 6.25%,
  Due 6/26/1998, Callable
  6/26/1997....................       5,500       5,504
Federal Home Loan Mortgage
  Corporation, M H-1 A REMIC,
  10.15%, Due 4/15/2006........         135         135
Federal National Mortgage
  Association, Series 1997-20
  F, 5.99761%, Due 3/25/2027...      19,725      19,666
Government National Mortgage
  Association,
  Pool #780426, 9.50%,
  Due 11/15/2017...............      24,218      26,274
  Pool #780285, 9.50%,
  Due 12/15/2017...............      22,100      23,976
  Pool #780173, 9.50%,
  Due 12/15/2019...............      11,040      11,954
  Pool #780010, 9.50%,
  Due 3/15/2023................      10,841      11,702
                                               --------
    TOTAL U.S. GOVERNMENT &
      AGENCY OBLIGATIONS.......                  99,211
                                               --------
CORPORATE OBLIGATIONS - 16.71%
BANK FUNDING - 5.76%
Bank of America, 12.50%, Due
  4/1/2001.....................       5,000       5,917
Southtrust Bank of Alabama,
  5.58%, Due 2/6/2006, Puttable
  2/6/2001.....................       7,000       6,698
                                               --------
    TOTAL BANK FUNDING.........                  12,615
                                               --------
FOREIGN BONDS - 10.95%
Allied Irish Banks, Euro
  Subordinated Bank Note,
  Variable Rate, 5.93750%, Due
  9/7/2006.....................       9,000       9,014
Argentaria, Euro Subordinated
  Bank Note, Variable Rate,
  5.95703%, Due 9/28/2007......      10,000       9,992
</TABLE>
 
<TABLE>
<CAPTION>
                                    Par
                                   Amount       Value
                                 ----------    --------
                                 (dollars in thousands)
<S>                              <C>           <C>
Merita Bank, Euro Subordinated
  Bank Note, Variable Rate,
  5.90%, Due 5/30/2003.........  $    5,000    $  5,004
                                               --------
    TOTAL FOREIGN BONDS........                  24,010
                                               --------
    TOTAL CORPORATE
      OBLIGATIONS..............                  36,625
                                               --------
ASSET-BACKED SECURITIES - 10.45%
Citibank Credit Card Master
  Trust, Series 1997 3-B,
  6.989%, Due 2/10/2004........      10,000       9,954
Corestates 1996-1, 6.75%, Due
  2/15/2005....................       8,000       8,028
Saxon Asset Securities Trust,
  Series 1996-2A2, 6.475%, Due
  11/25/2020...................       5,000       4,938
                                               --------
    TOTAL ASSET-BACKED
      SECURITIES...............                  22,920
                                               --------
NON-AGENCY MORTGAGE BACKED OBLIGATIONS - 20.20%
Citicorp Mortgage Securities,
  1993-3A4, 6.55%, Due
  1/25/2008....................      10,300       9,987
Collateralized Mortgage
  Obligation Trust, 56 A,
  9.00%, Due 5/1/2014..........         152         156
Prudential Home Mortgage
  Securities, 1993-20 A6,
  6.50%, Due 6/25/2008.........       8,502       8,327
Residential Funding Securities
  Corporation, 1995-1 KS1,
  6.3375%, Due 6/25/2025.......       3,005       3,024
Resolution Funding Mortgage
  Securities, 1992-S36 A3,
  6.40%, Due 11/25/2007........       6,077       5,915
Resolution Trust Corporation,
  1992-MH3 B1, 7.25%, Due
  12/15/2011...................       6,379       6,387
  1992-7 A3, 7.91842%, Due
  3/25/2022....................       2,559       2,518
  1992-6 A3, 7.71968%, Due
  1/25/2026....................       2,511       2,535
  1992-1 A1, 6.4398%, Due
  5/25/2028....................       2,577       2,600
  1992-4 A2, 7.01227%, Due
  7/25/2028....................       2,792       2,834
                                               --------
    TOTAL NON-AGENCY MORTGAGE
      BACKED OBLIGATIONS.......                  44,283
                                               --------
</TABLE>
 
                             See accompanying notes
 
                                       43
<PAGE>   45
 
AMR INVESTMENT SERVICES LIMITED-TERM INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 1997
(Unaudited)
================================================================================
 
<TABLE>
<CAPTION>
                                    Par
                                   Amount       Value
                                 ----------    --------
                                 (dollars in thousands)
<S>                              <C>           <C>
 
SHORT-TERM INVESTMENTS
(NOTE A) - 2.71%
Merrill Lynch Tri-Party
  Government Repurchase
  Agreement, 5.40%, Due
  5/1/1997 (Collateral held at
  The Chase Manhattan Bank,
  N.A. by FICO Strip Coupons,
  Due 5/30/2000 to 11/2/2008,
  RFCO Strip Coupons, Due
  4/15/2021, $3,284 FHLMC, 0%,
  Due 11/29/2019 - Market
  Value: $6,065)...............  $    5,945    $  5,945
                                               --------
    TOTAL SHORT-TERM
      INVESTMENTS..............                   5,945
                                               --------
TOTAL INVESTMENTS - 99.41%
  (COST $218,600)..............                 217,943
                                               --------
OTHER ASSETS, NET OF
  LIABILITIES - 0.59%..........                   1,290
                                               --------
TOTAL NET ASSETS - 100%........                $219,233

</TABLE>
                                               ========
 
- ---------------
 
Based on the cost of investments of $218,600 for federal income tax purposes at
April 30, 1997, the aggregate gross unrealized appreciation was $197, the
unrealized depreciation was $854, and the net unrealized depreciation of
investments was $657.
 
(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
 
                                       44
<PAGE>   46
 
AMR INVESTMENT SERVICES TRUST PORTFOLIOS
STATEMENTS OF ASSETS AND LIABILITIES
April 30, 1997
(Unaudited)
================================================================================
 
<TABLE>
<CAPTION>
                                                                          Growth and    International    Limited-Term
                                                             Balanced       Income         Equity           Income
                                                            ----------    ----------    -------------    ------------
                                                                                 (in thousands)
<S>                                                         <C>           <C>           <C>              <C>
ASSETS:
    Investments in securities at value (cost - $872,176;
      $1,006,155; $492,869; $218,600, respectively).......  $1,003,926    $1,264,073      $576,207         $217,943
    Cash, including foreign currency......................           -            -         21,607                -
    Unrealized appreciation on foreign currency
      contracts...........................................           -            -          2,088                -
    Dividends and interest receivable.....................       7,853        2,476          2,632            1,510
    Reclaims receivable...................................           -            -            618                -
    Receivable for investments sold.......................      14,073        8,192            246                -
    Deferred organization costs...........................          30           30             30               30
                                                            ----------    ----------      --------         --------
        TOTAL ASSETS......................................   1,025,882    1,274,771        603,428          219,483
                                                            ----------    ----------      --------         --------
LIABILITIES:
    Payable for investments purchased.....................      19,238        5,458          9,845                -
    Management and investment advisory fees payable
      (Note 2)............................................       1,092        1,370            777              178
    Accrued organization costs............................          41           41             33               41
    Other liabilities.....................................          86           70            273               31
                                                            ----------    ----------      --------         --------
        TOTAL LIABILITIES.................................      20,457        6,939         10,928              250
                                                            ----------    ----------      --------         --------
NET ASSETS APPLICABLE TO INVESTORS' BENEFICIAL
  INTERESTS...............................................  $1,005,425    $1,267,832      $592,500         $219,233
                                                            ==========    ==========      ========         ========
</TABLE>
 
                             See accompanying notes
 
                                       45
<PAGE>   47
 
AMR INVESTMENT SERVICES TRUST PORTFOLIO
STATEMENTS OF OPERATIONS
Six Months Ended April 30, 1997
(Unaudited)
================================================================================
 
<TABLE>
<CAPTION>
                                                                          Growth and    International    Limited-Term
                                                              Balanced      Income         Equity           Income
                                                              --------    ----------    -------------    ------------
                                                                                  (in thousands)
<S>                                                           <C>         <C>           <C>              <C>
INVESTMENT INCOME:
    Interest income.........................................  $13,768      $  1,053        $ 1,206         $ 7,557
    Dividend income (net of foreign taxes of $784 in
      International Equity
      Portfolio)............................................    7,929        16,590          5,539               -
  Income derived from securities lending,
    net.....................................................      100            83            142               -
                                                              -------      --------        -------         -------
        TOTAL INVESTMENT INCOME.............................   21,797        17,726          6,887           7,557
                                                              -------      --------        -------         -------
EXPENSES:
    Management and investment advisory fees (Note 2)........    1,489         1,926          1,135             259
    Custodian fees..........................................       60            46            218              23
    Professional fees.......................................       39            40             12               9
    Organization costs......................................        4             4              4               4
    Other expenses..........................................       30            34             23              13
                                                              -------      --------        -------         -------
        TOTAL EXPENSES......................................    1,622         2,050          1,392             308
                                                              -------      --------        -------         -------
NET INVESTMENT INCOME.......................................   20,175        15,676          5,495           7,249
                                                              -------      --------        -------         -------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
    Net realized gain (loss) on
      investments...........................................   41,706        65,763          6,344            (916)
    Net realized loss on foreign currency transactions......        -             -         (1,371)              -
    Change in net unrealized appreciation or depreciation of
      investments...........................................   (4,265)       24,557         59,431          (1,178)
    Change in net unrealized depreciation of foreign
      currency contracts and translations...................        -             -        (28,041)              -
                                                              -------      --------        -------         -------
        NET GAIN (LOSS) ON INVESTMENTS......................   37,441        90,320         36,363          (2,094)
                                                              -------      --------        -------         -------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS........  $57,616      $105,996        $41,858         $ 5,155
                                                              =======      ========        =======         =======
</TABLE>
 
                             See accompanying notes
 
                                       46
<PAGE>   48
 
AMR INVESTMENT SERVICES TRUST PORTFOLIOS
STATEMENTS OF CHANGES IN NET ASSETS
================================================================================
<TABLE>
<CAPTION>
                                             Balanced                  Growth and Income             International Equity
                                   ----------------------------   ----------------------------   ----------------------------
                                     Six Months                     Six Months                     Six Months
                                       Ended        Year Ended        Ended        Year Ended        Ended        Year Ended
                                   April 30, 1997   October 31,   April 30, 1997   October 31,   April 30, 1997   October 31,
                                    (Unaudited)        1996        (Unaudited)        1996        (Unaudited)        1996
                                   --------------   -----------   --------------   -----------   --------------   -----------
                                                                         (in thousands)
<S>                                <C>              <C>           <C>              <C>           <C>              <C>
INCREASE IN NET ASSETS:
OPERATIONS:
   Net investment income.........    $   20,175     $   36,765      $   15,676     $   27,284       $  5,495      $    8,135
   Net realized gain (loss) on
     investments and foreign
     currency transactions.......        41,706         67,731          65,763         77,846          4,973          11,172
   Change in net unrealized
     appreciation or depreciation
     of investments and foreign
     currency translations.......        (4,265)        27,670          24,557         94,294         31,390          30,752
                                     ----------     ----------      ----------     ----------       --------      ----------
       NET INCREASE IN NET ASSETS
        RESULTING FROM
        OPERATIONS...............        57,616        132,166         105,996        199,424         41,858          50,059
                                     ----------     ----------      ----------     ----------       --------      ----------
TRANSACTIONS IN INVESTORS'
 BENEFICIAL INTERESTS:
   Contributions.................       217,489      1,029,398         215,459      1,053,593        196,875         397,164
   Withdrawals...................      (165,162)      (266,082)       (165,780)      (140,860)       (50,729)        (42,727)
                                     ----------     ----------      ----------     ----------       --------      ----------
       NET INCREASE IN NET ASSETS
        RESULTING FROM
        TRANSACTIONS IN
        INVESTORS' BENEFICIAL
        INTERESTS................        52,327        763,316          49,679        912,733        146,146         354,437
                                     ----------     ----------      ----------     ----------       --------      ----------
NET INCREASE IN NET ASSETS.......       109,943        895,482         155,675      1,112,157        188,004         404,496
                                     ----------     ----------      ----------     ----------       --------      ----------
NET ASSETS:
   Beginning of period...........       895,482              -       1,112,157              -        404,496               -
                                     ----------     ----------      ----------     ----------       --------      ----------
   END OF PERIOD.................    $1,005,425     $  895,482      $1,267,832     $1,112,157       $592,500      $  404,496
                                     ==========     ==========      ==========     ==========       ========      ==========
 
- ------------------------------------------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS:
- ------------------------------------------------------------------------------------------------------------------
RATIOS:
   Expenses to average net assets
     (annualized)................         0.34%          0.36%           0.34%          0.35%          0.57%           0.56%
   Net investment income to
     average net assets
     (annualized)................         4.19%          4.26%           2.60%          2.81%          2.27%           2.50%
   Portfolio turnover rate.......           45%            76%             19%            40%             6%             19%
   Average commission rate paid..    $   0.0428     $   0.0409      $   0.0430     $   0.0412       $ 0.0141      $   0.0192
 
<CAPTION>
                                       Limited-Term Income
                                   ----------------------------
                                     Six Months
                                       Ended        Year Ended
                                   April 30, 1997   October 31,
                                    (Unaudited)        1996
                                   --------------   -----------
                                          (in thousands)
<S>                                <C>              <C>
INCREASE IN NET ASSETS:
OPERATIONS:
   Net investment income.........     $  7,249       $  12,102
   Net realized gain (loss) on
     investments and foreign
     currency transactions.......         (916)         (3,216)
   Change in net unrealized
     appreciation or depreciation
     of investments and foreign
     currency translations.......       (1,178)            458
                                      --------       ---------
       NET INCREASE IN NET ASSETS
        RESULTING FROM
        OPERATIONS...............        5,155           9,344
                                      --------       ---------
TRANSACTIONS IN INVESTORS'
 BENEFICIAL INTERESTS:
   Contributions.................       66,222         292,820
   Withdrawals...................      (25,321)       (128,987)
                                      --------       ---------
       NET INCREASE IN NET ASSETS
        RESULTING FROM
        TRANSACTIONS IN
        INVESTORS' BENEFICIAL
        INTERESTS................       40,901         163,833
                                      --------       ---------
NET INCREASE IN NET ASSETS.......       46,056         173,177
                                      --------       ---------
NET ASSETS:
   Beginning of period...........      173,177               -
                                      --------       ---------
   END OF PERIOD.................     $219,233       $ 173,177
                                      ========       =========
- ---------------------------------
FINANCIAL HIGHLIGHTS:
- ---------------------------------
RATIOS:
   Expenses to average net assets
     (annualized)................        0.30%           0.31%
   Net investment income to
     average net assets
     (annualized)................        6.96%           6.67%
   Portfolio turnover rate.......          91%            304%
   Average commission rate paid..            -               -
</TABLE>
 
                             See accompanying notes
 
                                       47
<PAGE>   49
 
AMR INVESTMENT SERVICES TRUST
NOTES TO FINANCIAL STATEMENTS
April 30, 1997
(Unaudited)
================================================================================
 
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. Government 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 Trust's Board of Trustees. 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
 
                                       48
<PAGE>   50
 
AMR INVESTMENT SERVICES TRUST
NOTES TO FINANCIAL STATEMENTS
April 30, 1997
(Unaudited) (Continued)
================================================================================
 
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.
 
  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
 
                                       49
<PAGE>   51

 
AMR INVESTMENT SERVICES TRUST
NOTES TO FINANCIAL STATEMENTS
April 30, 1997
(Unaudited) (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%     $1,489         $1,009          $480
Growth and Income Portfolio.................................  .225%-.70%      1,926          1,324           602
International Equity Portfolio..............................  .25%-.90%       1,135            893           242
</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 six months ended April 30, 1997, the cost of air transportation was not
material to any of the Portfolios.
 
3.  INVESTMENT TRANSACTIONS
 
     Investment transactions for the six months ended April 30, 1997 (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................................................   $469,521    $265,579      $146,613        $225,986
Proceeds from sales......................................   $421,047    $218,446      $ 26,221        $183,944
</TABLE>
 
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 April 30, 1997, the
Portfolio had outstanding forward foreign currency contracts as follows:
 
                                       50
<PAGE>   52
 
AMR INVESTMENT SERVICES TRUST
NOTES TO FINANCIAL STATEMENTS
April 30, 1997
(Unaudited) (Continued)
================================================================================
 
<TABLE>
<CAPTION>
 Contracts to Deliver                                                  Settlement             Unrealized
 --------------------                                                     Date       Value    Gain/(Loss)
(amounts in thousands)                                                 ----------   -------   -----------
<S>      <C>                                                           <C>          <C>       <C>
  3,500  AUD.........................................................    1/12/98    $ 2,734     $     1
  1,246  DEM.........................................................     5/5/97        720           -
 10,000  DEM.........................................................    6/19/97      5,796       1,075
300,000  ESP.........................................................    12/2/97      2,064         246
 34,000  FRF.........................................................    6/19/97      5,849         949
 21,700  FRF.........................................................    6/19/97      3,733         524
 18,500  SEK.........................................................    9/16/97      2,372         420
                                                                                    -------     -------
Total contracts to deliver
(Receivable amount $26,483)..........................................               $23,268     $ 3,215
                                                                                    =======     =======
Contracts to Receive
- ------------------
(amounts in thousands)
 10,000  DEM.........................................................    6/19/97    $ 5,796     $(1,113)
   135   GBP.........................................................     5/1/97        219          (1)
     53  GBP.........................................................     5/2/97         86           -
     13  GBP.........................................................     5/6/97         22           -
   378   HKD.........................................................     5/1/97         49           -
   256   IEP.........................................................     5/1/97        384         (13)
  1,402  NLG.........................................................     5/5/97        720           -
                                                                                    -------     -------
Total contracts to receive
(Payable amount $8,403)..............................................               $ 7,276     $(1,127)
                                                                                    =======     =======
</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 April 30, 1997,
securities with a market value of approximately $197,882,000, $136,652,000 and
$82,376,000 were loaned by the Balanced, Growth and Income and International
Equity Portfolios, respectively. The non-cash collateral for these loans totaled
$64,387,000, $45,973,000 and $5,197,000, respectively and the cash collateral
for these loans totaled $138,016,000, $94,968,000 and $81,479,000 for the
Balanced, Growth and Income and International Equity Portfolios, respectively.
 
                                       51
<PAGE>   53
                           AMERICAN AADVANTAGE FUNDS (R)


 
                            - Institutional Class -
                                P.O. Box 619003
                        Dallas/Fort Worth Airport, Texas
                                   75261-9003
                                 (800) 967-9009
 
                             - PlanAhead Class(R) -
                                 P.O. Box 4580
                          Chicago, Illinois 60680-4580
                                 (800) 388-3344
 
                             - Platinum Class(sm) -
                                P.O. Box 619003
                        Dallas/Fort Worth Airport, Texas
                                   75261-9003
                                 (800) 967-9009



                                    SEMI-
                                    ANNUAL
                                    REPORT
                                APRIL 30, 1997

                           [AMERICAN AADVANTAGE LOGO]


                           AMERICAN AADVANTAGE FUNDS (R)
 
                         MONEY MARKET FUND
 
                         MUNICIPAL MONEY MARKET FUND
 
                         U.S. GOVERNMENT MONEY MARKET FUND




                                      MANAGED BY
                             AMR INVESTMENT SERVICES, INC.
 
 
<PAGE>   54
 
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 Semi-Annual
Report for the six months ended April 30, 1997. We also would like to announce
that the American AAdvantage Money Market Fund, Municipal Money Market Fund, and
the U.S. Government Money Market Fund have all received 'AAA', 'V-1+' ratings by
Fitch Investors Service as of April 10, 1997.
 
  Money Market Fund
 
     For the six month period ended April 30, 1997, the Institutional Class of
the American AAdvantage Money Market Fund was the 8th best performing fund out
of 169 Institutional Money Funds as reported by Lipper Analytical Services, with
an annualized total return of 5.43%. Similarly, during this period, the
PlanAhead Class ranked in the 12th percentile out of 304 funds in its respective
category, the Lipper Money Market Instrument Funds' Average. The Platinum Class
underperformed this benchmark during the period.
 
     The economy experienced GDP growth in the fourth quarter of 1996 and the
first quarter of 1997 of 3.8% and 5.6%, respectively. This rapid growth, coupled
with lower than expected inflation throughout 1996 and into the beginning of
1997, caused the Federal Reserve to struggle with the concept of a very healthy
economy with little evidence to date of accelerating inflation. Consequently,
the weighted average maturity of the portfolio was maintained at or near a
neutral posture. At the FOMC meeting on March 25, the Federal Reserve chose to
raise the Fed Funds rate 25 basis points in order to preemptively guard against
a potential acceleration of inflation. On March 25, the Fund's weighted average
maturity was 30 days.
 
     One of the factors contributing to the Fund's superior performance during
this period was the decision to invest primarily in variable rate obligations
indexed to the London Interbank Offering Rate that reset on a quarterly basis
with final maturities of 397 days or less.
 
  Municipal Money Market Fund
 
     The Institutional Class of the American AAdvantage Municipal Money Market
Fund achieved an annualized total return of 3.37% for the six months ended April
30, 1997. Lipper Analytical Services ranked the Institutional Class as the 9th
best performing Institutional Tax-Exempt Money Market Fund out of its universe
of 77 such funds during this period. Likewise, during this period, the PlanAhead
Class ranked in the 16th percentile out of 139 funds in its respective category,
the Lipper Tax-Exempt Money Market Funds Average. The Platinum Class
underperformed this benchmark during the period. Since its inception, the
American AAdvantage 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. Government Money Market Fund
 
     Effective March 1, 1997, the American AAdvantage U.S. Treasury Money Market
Fund changed its investment policies and name and became the American AAdvantage
U.S. Government Money Market Fund.
 
     For the six months ended April 30, 1997, the Institutional Class of the
American AAdvantage U.S. Government Money Market Fund had an annualized total
return of 5.19% and was ranked 15th out of its Lipper universe of 109
Institutional U.S. Government Funds. During the same six month period, the
<PAGE>   55
 
PlanAhead Class ranked in the 12th percentile out of 101 funds in its respective
category, the Lipper U.S. Government Money Market Funds' Average. The Platinum
Class underperformed this benchmark during the period.
 
     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>   56
 
RESULTS OF SHAREHOLDER MEETING
 
     A special meeting of shareholders of the American AAdvantage Funds (the
"Funds") was held on December 16, 1996. The following matters were voted on at
the meeting.
 
     (1) The shareholders of the Funds voted to elect the Board of Trustees of
the Funds.
 
<TABLE>
<CAPTION>
                                                                 FOR         AGAINST       ABSTAIN     NON-VOTING
                                                                 ---        ----------     -------     ----------
<S>                                                         <C>             <C>          <C>           <C>
Alan Feld................................................   1,150,566,394            0     1,146,557   781,804,336
Ben Fortson..............................................   1,150,540,502            0     1,172,449   781,804,336
John Justin..............................................   1,150,094,973            0     1,617,978   781,804,336
Stephen O'Sullivan.......................................   1,150,564,964            0     1,147,987   781,804,336
William Quinn............................................   1,150,565,690            0     1,147,261   781,804,336
Roger Staubach...........................................   1,150,142,317            0     1,570,634   781,804,336
Kneeland Youngblood, M.D.................................   1,150,444,918            0     1,268,033   781,804,336
</TABLE>
 
     (2) The shareholders of the Funds approved a Supplement to the Management
Agreement of the Funds relating to securities lending activities.
 
<TABLE>
<CAPTION>
                  AMERICAN AADVANTAGE:                           FOR         AGAINST       ABSTAIN     NON-VOTING
                  --------------------                           ---        ----------     -------     ----------
<S>                                                         <C>             <C>          <C>           <C>
Balanced Fund............................................      56,348,864        8,888         6,116     2,512,233
Growth and Income Fund...................................      57,204,541        5,123         7,195     2,371,184
International Equity Fund................................      24,566,122        4,972         5,394     2,079,345
Limited-Term Income Fund.................................      16,888,524        1,201         2,768       867,008
Money Market Fund........................................     710,782,908   73,808,698   109,622,527   744,640,764
Municipal Money Market Fund..............................      49,935,919       44,766             0     2,232,106
U.S. Government Money Market Fund........................      52,432,449       35,927             0    27,101,747
</TABLE>
 
     (3) The shareholders of the American AAdvantage Money Market Fund approved
the elimination of the fundamental investment restriction of the Money Market
Fund to invest in other investment companies.
 
<TABLE>
<CAPTION>
                  AMERICAN AADVANTAGE:                           FOR         AGAINST       ABSTAIN     NON-VOTING
                  --------------------                           ---        ----------     -------     ----------
<S>                                                         <C>             <C>          <C>           <C>
Money Market Fund........................................     781,380,939    3,506,222   109,326,972   744,640,764
</TABLE>
 
                                        3
<PAGE>   57
 
AMERICAN AADVANTAGE FUNDS
STATEMENTS OF ASSETS AND LIABILITIES
April 30, 1997
(Unaudited)
================================================================================
 
<TABLE>
<CAPTION>
                                                                                                  U.S.
                                                                  Money         Municipal      Government
                                                                  Market       Money Market   Money Market
                                                              --------------   ------------   ------------
                                                               (in thousands, except share and per share
                                                                                amounts)
<S>                                                           <C>              <C>            <C>
ASSETS:
    Investment in Portfolio, at value.......................  $    1,547,380   $    63,697    $    100,748
                                                              --------------   -----------    ------------
        TOTAL ASSETS........................................       1,547,380        63,697         100,748
                                                              --------------   -----------    ------------
LIABILITIES:
    Dividends payable.......................................           7,233           160             387
    Management and administrative services fees payable
      (Note 2)..............................................             502            94              90
    Other liabilities.......................................             345            15              25
                                                              --------------   -----------    ------------
        TOTAL LIABILITIES...................................           8,080           269             502
                                                              --------------   -----------    ------------
NET ASSETS..................................................  $    1,539,300   $    63,428    $    100,246
                                                              ==============   ===========    ============
ANALYSIS OF NET ASSETS:
    Paid-in-capital.........................................       1,539,300        63,428         100,246
                                                              --------------   -----------    ------------
NET ASSETS..................................................  $    1,539,300   $    63,428    $    100,246
                                                              ==============   ===========    ============
Shares outstanding (no par value):
    Institutional Class.....................................   1,204,970,322     2,045,363      27,471,027
                                                              ==============   ===========    ============
    PlanAhead Class.........................................     181,323,657     7,479,870      23,589,526
                                                              ==============   ===========    ============
    Platinum Class..........................................     153,006,180    53,903,047      49,185,144
                                                              ==============   ===========    ============
Net asset value per share, offering and redemption price 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
 
                                        4
<PAGE>   58
 
AMERICAN AADVANTAGE FUNDS
STATEMENTS OF OPERATIONS
Six Months Ended April 30, 1997
(Unaudited)
================================================================================
 
<TABLE>
<CAPTION>
                                                               Money     Municipal     U.S. Government
                                                              Market    Money Market    Money Market
                                                              -------   ------------   ---------------
                                                                           (in thousands)
<S>                                                           <C>       <C>            <C>
INVESTMENT INCOME ALLOCATED FROM PORTFOLIO:
    Interest income.........................................  $46,031      $1,158          $2,454
    Portfolio expenses (net of reimbursement of $6 for the
      Municipal Money Market Fund)..........................   (1,374)        (52)            (83)
                                                              -------      ------          ------
        NET INVESTMENT INCOME ALLOCATED FROM PORTFOLIO......   44,657       1,106           2,371
                                                              -------      ------          ------
FUND EXPENSES:
    Administrative service fees (Note 2):
      Institutional Class...................................      343           -               6
      PlanAhead Class.......................................       32           2               4
      Platinum Class........................................      365         138             127
    Transfer agent fees:
      Institutional Class...................................       27           -               1
      PlanAhead Class.......................................       44           1               1
      Platinum Class........................................        1           -               1
    Professional fees.......................................       51           4               7
    Registration fees and expenses..........................       51          25              14
    Distribution fees - Platinum Class......................      183          69              63
    Service fees - PlanAhead Class..........................      161           8              19
    Other expenses..........................................       15           4               5
                                                              -------      ------          ------
        TOTAL FUND EXPENSES.................................    1,273         251             248
                                                              -------      ------          ------
NET INVESTMENT INCOME.......................................   43,384         855           2,123
                                                              -------      ------          ------
REALIZED GAIN ALLOCATED FROM PORTFOLIO:
    Net realized gain on investments........................       25           -               5
                                                              -------      ------          ------
        NET GAIN ON INVESTMENTS.............................       25           -               5
                                                              -------      ------          ------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS........  $43,409      $  855          $2,128
                                                              =======      ======          ======
</TABLE>
 
                             See accompanying notes
 
                                        5
<PAGE>   59
 
AMERICAN AADVANTAGE FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
================================================================================
 
<TABLE>
<CAPTION>
                                                                           Municipal                     U.S. Government
                                        Money Market                      Money Market                     Money Market
                               -------------------------------   ------------------------------   ------------------------------
                                  Six Months                        Six Months                       Six Months
                                    Ended             Year            Ended            Year            Ended            Year
                                  April 30,          Ended          April 30,          Ended         April 30,          Ended
                                     1997         October 31,          1997         October 31,         1997         October 31,
                                 (Unaudited)          1996         (Unaudited)         1996         (Unaudited)         1996
                               ----------------   ------------   ----------------   -----------   ----------------   -----------
                                                                        (in thousands)
<S>                            <C>                <C>            <C>                <C>           <C>                <C>
INCREASE (DECREASE) IN NET
  ASSETS:
OPERATIONS:
    Net investment income....    $    43,384      $     79,370       $    855        $  1,039        $   2,123        $   3,852
    Net realized gain on
      investments............             25                69              -               -                5               36
                                 -----------      ------------       --------        --------        ---------        ---------
          NET INCREASE IN
          NET ASSETS
          RESULTING FROM
          OPERATIONS.........         43,409            79,439            855           1,039            2,128            3,888
                                 -----------      ------------       --------        --------        ---------        ---------
DISTRIBUTIONS TO
  SHAREHOLDERS:
    Net investment income:
      Institutional Class....        (36,723)          (72,480)           (32)             (1)            (633)          (1,633)
      Mileage Class..........              -               (19)             -               -                -                -
      PlanAhead Class........         (3,258)           (3,324)          (100)            (28)            (369)             (57)
      Platinum Class.........         (3,403)           (3,547)          (723)         (1,010)          (1,121)          (2,162)
    Net realized gain on
      investments:
      Institutional Class....            (21)              (62)             -               -               (2)             (15)
      PlanAhead Class........             (2)               (3)             -               -                -                -
      Platinum Class.........             (2)               (4)             -               -               (3)             (21)
                                 -----------      ------------       --------        --------        ---------        ---------
          NET DISTRIBUTIONS
          TO SHAREHOLDERS....        (43,409)          (79,439)          (855)         (1,039)          (2,128)          (3,888)
                                 -----------      ------------       --------        --------        ---------        ---------
CAPITAL SHARE TRANSACTIONS:
    Proceeds from sales of
      shares.................      9,872,492        12,974,461         74,455         120,311          127,543          199,981
    Reinvestment of dividends
      and distributions......         29,364            52,065            813             915            1,619            3,266
    Cost of shares
      redeemed...............     (9,996,366)      (12,741,031)       (64,048)        (88,592)        (108,486)        (178,363)
                                 -----------      ------------       --------        --------        ---------        ---------
          NET INCREASE
          (DECREASE) IN
          NET ASSETS FROM
          CAPITAL SHARE
          TRANSACTIONS.......        (94,510)          285,495         11,220          32,634           20,676           24,884
                                 -----------      ------------       --------        --------        ---------        ---------
NET INCREASE (DECREASE) IN
  NET ASSETS.................        (94,510)          285,495         11,220          32,634           20,676           24,884
NET ASSETS:
    Beginning of period......      1,633,810         1,348,315         52,208          19,574           79,570           54,686
                                 -----------      ------------       --------        --------        ---------        ---------
    END OF PERIOD............    $ 1,539,300      $  1,633,810       $ 63,428        $ 52,208        $ 100,246        $  79,570
                                 ===========      ============       ========        ========        =========        =========
</TABLE>
 
                             See accompanying notes
 
                                        6
<PAGE>   60
 
                      (This page intentionally left blank)
 
                                        7
<PAGE>   61
 
AMERICAN AADVANTAGE FUNDS
NOTES TO FINANCIAL STATEMENTS
April 30, 1997
(Unaudited)
================================================================================
 
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 nine 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 S&P
500 Index Fund, the American AAdvantage Short-Term Income Fund and the American
AAdvantage U.S. Government Market Fund. These financial statements relate to the
Money Market, Municipal Money Market and U.S. Government Money Market Funds
(each a "Fund" and collectively, the "Funds"). Prior to March 1, 1997 the
American AAdvantage U.S. Government Money Market Fund was known as the American
AAdvantage U.S. Treasury Money Market Fund and operated under different
investment policies. The American AAdvantage Short-Term Income Fund had not
commenced active operations at April 30, 1997. 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.
Government 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. Government Money Market Fund                               U.S. Government 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 (93.11%,
69.60% and 88.91% at April 30, 1997 of the AMR Investment Services Money Market,
Municipal Money Market and U.S. Government Money Market Portfolios,
respectively) (each a "Portfolio" and collectively the "Portfolios"). 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.
 
                                        8
<PAGE>   62
 
AMERICAN AADVANTAGE FUNDS
NOTES TO FINANCIAL STATEMENTS
April 30, 1997
(Unaudited) (Continued)
- --------------------------------------------------------------------------------
 
     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 gain
(loss) in the Portfolio each day. All net investment income and realized gain
(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 53% 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.
 
                                        9
<PAGE>   63
 
AMERICAN AADVANTAGE FUNDS
NOTES TO FINANCIAL STATEMENTS
April 30, 1997
(Unaudited) (Continued)
================================================================================
 
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.
 
  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 six months ended April 30, 1997, the cost of air transportation was not
material to any of the Funds.
 
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   PlanAhead   Platinum
Six Months Ended April 30, 1997                                   Class         Class      Class
- -------------------------------                               -------------   ---------   --------
<S>                                                           <C>             <C>         <C>
Money Market Fund
- -----------------
Shares sold.................................................     9,620,883     159,282     92,327
Reinvestment of dividends...................................        23,364       2,729      3,271
Shares redeemed.............................................    (9,846,216)    (87,577)   (62,573)
                                                               -----------    --------    -------
Net increase (decrease) in capital shares outstanding.......      (201,969)     74,434     33,025
                                                               ===========    ========    =======
 
<CAPTION>
                                                              Institutional   PlanAhead   Platinum
                Municipal Money Market Fund                       Class         Class      Class
                ---------------------------                   -------------   ---------   --------
<S>                                                           <C>             <C>         <C>
Shares sold.................................................         5,021      16,123     53,311
Reinvestment of dividends...................................            25          76        712
Shares redeemed.............................................        (3,007)    (11,059)   (49,982)
                                                               -----------    --------    -------
Net increase in capital shares outstanding..................         2,039       5,140      4,041
                                                               ===========    ========    =======
</TABLE>
 
                                       10
<PAGE>   64
 
AMERICAN AADVANTAGE FUNDS
NOTES TO FINANCIAL STATEMENTS
April 30, 1997
(Unaudited) (Continued)
================================================================================
 
<TABLE>
<CAPTION>
                                                                          Institutional      PlanAhead   Platinum  
U.S. Government Money Market Fund                                             Class            Class      Class    
- ---------------------------------                                          ------------      ---------   --------  
<S>                                                                        <C>                <C>         <C>       
Shares sold.................................................                    49,244         53,425     24,874   
Reinvestment of dividends...................................                       404             84      1,131   
Shares redeemed.............................................                   (47,771)       (31,742)   (28,973)  
                                                                           -----------       --------    -------   
Net increase (decrease) in capital shares outstanding.......                     1,877         21,767     (2,968)  
                                                                           ===========       ========    =======   
</TABLE>
 
<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 shares outstanding.......       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 shares outstanding.......            (1)    (19,438)     2,210     49,863
                                                               ===========    ========   ========    =======
</TABLE>
 
<TABLE>
<CAPTION>
                                                              Institutional   Mileage    PlanAhead   Platinum
U.S. Government 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 shares outstanding.......       (21,589)     (6,972)     1,292     52,153
                                                               ===========    ========   ========    =======
</TABLE>
 
                                       11
<PAGE>   65
 
AMERICAN AADVANTAGE MONEY MARKET FUND
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout the period)
================================================================================
 
<TABLE>
<CAPTION>
                                                                     Institutional Class
                                    -------------------------------------------------------------------------------------
                                       Six Months
                                         Ended                                Year Ended October 31,
                                       April 30,         ----------------------------------------------------------------
                                          1997              1996           1995         1994         1993         1992
                                    ----------------     ----------     ----------   ----------   ----------   ----------
                                      (Unaudited)
<S>                                 <C>                  <C>            <C>          <C>          <C>          <C>
Net asset value, beginning of
  period..........................     $     1.00        $     1.00     $     1.00   $     1.00   $     1.00   $     1.00
                                       ----------        ----------     ----------   ----------   ----------   ----------
    Net investment income.........           0.03(3)           0.05(3)        0.06         0.04         0.03         0.04
    Less dividends from net
      investment income...........          (0.03)            (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   $     1.00
                                       ==========        ==========     ==========   ==========   ==========   ==========
Total return (annualized).........          5.43%             5.57%          5.96%        3.85%        3.31%        4.41%
                                       ==========        ==========     ==========   ==========   ==========   ==========
Ratios and supplemental data:
    Net assets, end of period (in
      thousands)..................     $1,204,970        $1,406,939     $1,206,041   $1,893,144   $2,882,947   $2,223,829
    Ratios to average net assets
      (annualized):
        Expenses..................          0.23%(3)          0.24%(3)       0.23%        0.21%        0.23%        0.26%
        Net investment income.....          5.36%(3)          5.41%(3)       5.79%        3.63%        3.23%        4.06%
</TABLE>
 
- ---------------
 
(1) 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.
 
(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) 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 Money Market Portfolio.
 
                                       12
<PAGE>   66
 
AMERICAN AADVANTAGE MONEY MARKET FUND
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout the period)
================================================================================
 
<TABLE>
<CAPTION>
                     PlanAhead Class                                 Platinum Class
- ---------------------------------------------------------     -----------------------------
Six Months                                     August 1,      Six Months        November 7,
   Ended          Year Ended October 31,        1994 to          Ended            1995 to
 April 30,        -----------------------     October 31,      April 30,        October 31,
   1997             1996           1995         1994(1)          1997             1996(2)
- -----------       --------        -------     -----------     -----------       -----------
(Unaudited)                                                   (Unaudited)
<C>               <C>             <C>         <C>             <C>               <C>

 $   1.00         $   1.00        $  1.00        $1.00         $   1.00          $   1.00
 --------         --------        -------        -----         --------          --------
     0.03 (3)         0.05 (3)       0.05         0.01             0.02 (3)          0.05 (3)

    (0.03)           (0.05)         (0.05)       (0.01)           (0.02)            (0.05)
 --------         --------        -------        -----         --------          --------
 $   1.00         $   1.00        $  1.00        $1.00         $   1.00          $   1.00
 ========         ========        =======        =====         ========          ========
    5.10%            5.21%          5.60%        3.73%            4.71%             4.85%
 ========         ========        =======        =====         ========          ========

 $181,324         $106,890        $41,989        $  25         $153,006          $119,981

    0.55% (3)        0.58% (3)      0.55%        0.70%            0.94% (3)         0.94% (3)
    5.05% (3)        5.06% (3)      5.56%        4.42%            4.66% (3)         4.63% (3)
</TABLE>
 
                                       13
<PAGE>   67
 
AMERICAN AADVANTAGE MUNICIPAL MONEY MARKET FUND
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout the period)
================================================================================
 
<TABLE>
<CAPTION>
                                                                   Institutional Class
                                              --------------------------------------------------------------
                                                 Six Months                                     November 10,
                                                   Ended            Year Ended October 31,        1993 to
                                                 April 30,          ----------------------      October 31,
                                                    1997              1996          1995            1994
                                              ----------------      --------      --------      ------------
                                                (Unaudited)
<S>                                           <C>                   <C>           <C>           <C>
Net asset value, beginning of period........       $ 1.00             $ 1.00        $ 1.00         $ 1.00
                                                 --------             ------        ------         ------
    Net investment income...................         0.02 (4)           0.04 (4)      0.04           0.02
    Less dividends from net investment
      income................................        (0.02)             (0.04)        (0.04)         (0.02)
                                                 --------             ------        ------         ------
Net asset value, end of period..............       $ 1.00             $ 1.00        $ 1.00         $ 1.00
                                                 ========             ======        ======         ======
Total return (annualized)(3)................         3.37%              3.59%         3.75%          2.44%
                                                 ========             ======        ======         ======
Ratios and supplemental data:
    Net assets, end of period (in
      thousands)............................       $2,045             $    6        $    7         $9,736
    Ratios to average net assets
      (annualized)(3):
         Expenses...........................        0.31% (4)          0.27% (4)      0.35%          0.30%
         Net investment income..............        3.39% (4)          3.49% (4)      3.70%          2.38%
</TABLE>
 
- ---------------
 
(1) 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.
 
(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 in the
    years and periods indicated below excluded fees waived by the Manager. Had
    the Fund paid such fees, the ratio of expenses and net investment income to
    average net assets for each class would have been as follows:
 
<TABLE>
<CAPTION>
                                                                  Institutional Class
                                             --------------------------------------------------------------
                                                Six Months                                     November 10,
                                                  Ended            Year Ended October 31,        1993 to
                                                April 30,          ----------------------      October 31,
                                                   1997              1996          1995            1994
                                             ----------------      --------      --------      ------------
                                               (Unaudited)
   <S>                                       <C>                   <C>           <C>           <C>
   Ratio of expenses to average net assets
     (annualized)..........................        0.33%              0.33%         0.55%          0.50%
   Ratio of net investment income to
     average net assets (annualized).......        3.37%              3.43%         3.50%          2.18%
</TABLE>
 
(4) 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 Municipal Money Market Portfolio.
 
                                       14
<PAGE>   68
 
AMERICAN AADVANTAGE MUNICIPAL MONEY MARKET FUND
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout the period)
================================================================================
 
<TABLE>
<CAPTION>
                     PlanAhead Class                                     Platinum Class
- ---------------------------------------------------------     ------------------------------------
   Six Months           Year Ended           August 1,           Six Months         November 7,
     Ended              October 31,           1994 to              Ended              1995 to
   April 30,         -----------------      October 31,          April 30,          October 31,
      1997            1996       1995         1994(1)               1997              1996(2)
- ----------------     ------     ------     --------------     ----------------    ----------------
  (Unaudited)                                                   (Unaudited)
<C>                  <C>        <C>        <C>                <C>                 <C>
     $ 1.00          $ 1.00     $ 1.00         $ 1.00             $  1.00             $  1.00
    -------          ------     ------         ------             -------             -------
       0.02 (4)        0.03 (4)   0.03           0.01                0.01 (4)            0.03 (4)

      (0.02)          (0.03)     (0.03)         (0.01)              (0.01)              (0.03)
    -------          ------     ------         ------             -------             -------
     $ 1.00          $ 1.00     $ 1.00         $ 1.00             $  1.00             $  1.00
    =======          ======     ======         ======             =======             =======
       3.09%           3.27%      3.39%          2.35%               2.65%               2.88%
    =======          ======     ======         ======             =======             =======

     $7,480          $2,340     $  129         $    -             $53,903             $49,862

       0.59% (4)       0.62% (4)  0.72%          0.77%               1.02%(4)            0.97%(4)
       3.06% (4)       3.12% (4)  3.32%          2.49%               2.63%(4)            2.72%(4)
</TABLE>
 
<TABLE>
<CAPTION>
                    PlanAhead Class                                       Platinum Class
- --------------------------------------------------------     ----------------------------------------
   Six Months         Year Ended           August 1,            Six Months            November 7,
     Ended            October 31,           1994 to               Ended                 1995 to
   April 30,         -------------        October 31,           April 30,             October 31,
      1997           1996     1995           1994                  1997                  1996
- ----------------     ----     ----     -----------------     ----------------     -------------------
  (Unaudited)                                                  (Unaudited)
<C>                  <C>      <C>      <C>                   <C>                  <C>
     0.61%           0.67%    0.92%         0.97%                 1.04%                 1.02%

     3.04%           3.07%    3.12%         2.29%                 2.61%                 2.67%
</TABLE>
 
                                       15
<PAGE>   69
 
AMERICAN AADVANTAGE U.S. GOVERNMENT MONEY MARKET FUND
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout the period)
================================================================================
 
<TABLE>
<CAPTION>
                                                                      Institutional Class
                                         -----------------------------------------------------------------------------
                                         Six Months Ended             Year Ended October 31,            March 2, 1992
                                             April 30,       ----------------------------------------   to October 31,
                                              1997(1)         1996        1995      1994       1993          1992
                                         -----------------   -------     -------   -------   --------   --------------
                                            (Unaudited)
<S>                                      <C>                 <C>         <C>       <C>       <C>        <C>
Net asset value, beginning of period...       $  1.00        $  1.00     $  1.00   $  1.00   $   1.00       $  1.00
                                             --------        -------     -------   -------   --------       -------
    Net investment income..............          0.03 (5)       0.05 (5)    0.06      0.04       0.03          0.02
    Less dividends from net investment
      income...........................         (0.03)         (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       $  1.00
                                             ========        =======     =======   =======   ========       =======
Total return (annualized)..............         5.19%           5.29%       5.67%     3.70%      3.07%         3.61%
                                             ========        =======     =======   =======   ========       =======
Ratios and supplemental data:
    Net assets, end of period (in
      thousands).......................       $27,471        $25,595     $47,184   $67,607   $136,813       $91,453
    Ratios to average net assets
      (annualized)(4):
        Expenses.......................         0.29% (5)      0.32% (5)    0.32%     0.25%      0.23%         0.27% (6)
        Net investment income..........         5.12% (5)      5.16% (5)    5.49%     3.44%      2.96%         3.46% (6)
</TABLE>
 
- ---------------
 
(1) Prior to March 1, 1997, the American AAdvantage U.S. Government Money Market
    Fund was known as the American AAdvantage U.S. Treasury Money Market Fund
    and operated under different investment policies.
 
(2) 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.
 
(3) 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.
 
(4) 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.
 
(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 U.S. Government Money Market Portfolio.
 
(6) Estimated based on expected annual expenses and actual average net assets.
 
                                       16
<PAGE>   70
 
AMERICAN AADVANTAGE MUNICIPAL MONEY MARKET FUND
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout the period)
================================================================================
 
<TABLE>
<CAPTION>
                   PlanAhead Class                                Platinum Class
- -----------------------------------------------------   -----------------------------------
                      Year Ended
Six Months Ended      October 31,      August 1, 1994   Six Months Ended   November 7, 1995
   April 30,       -----------------   to October 31,      April 30,        to October 31,
    1997(1)         1996       1995       1994(2)           1997(1)            1996(3)
- ----------------   ------     ------   --------------   ----------------   ----------------
  (Unaudited)                                             (Unaudited)
<C>                <C>        <C>      <C>              <C>                <C>
    $  1.00        $ 1.00     $ 1.00       $ 1.00           $  1.00            $  1.00
   --------        ------     ------       ------          --------           --------
       0.02 (5)      0.05 (5)   0.05         0.01              0.02 (5)           0.04 (5)
          
      (0.02)        (0.05)     (0.05)       (0.01)            (0.02)             (0.04)
   --------        ------     ------       ------          --------           --------
    $   1.0        $ 1.00     $ 1.00      $  1.00           $  1.00            $  1.00
   ========        ======     ======       ======          ========           ========
       4.91%         4.94%      5.19%        3.58%             4.47%              4.58%
   ========        ======     ======       ======          ========           ========

           
    $23,590        $1,822     $  530       $    -           $49,185            $52,153


       0.53%(5)     0.67%(5)    0.76%        0.75%             1.01%(5)           1.00%(5)
       4.90%(5)     4.74%(5)    5.19%        3.94%             4.41%(5)           4.35%(5)
</TABLE>
 
                                       17
<PAGE>   71
 
AMR INVESTMENT SERVICES MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 1997
(Unaudited)
================================================================================
 
<TABLE>
<CAPTION>
                                  Par
                                 Amount        Value
                               ----------    ----------
<S>                            <C>           <C>
                                (dollars in thousands)
EURODOLLAR TIME DEPOSITS (NOTE A) - 7.63%

Banque Paribas, 5.75%, Due
  5/1/1997...................  $   65,000    $   65,000

Skandinaviska Enskilda
  Banken, 5.75%, Due
  5/1/1997...................      63,121        63,121
                                             ----------
    TOTAL EURODOLLAR TIME
      DEPOSITS...............                   128,121
                                             ----------
CERTIFICATES OF DEPOSIT (NOTE A) - 30.66%

FOREIGN BANKS - 26.79%

Banca CRT S.p.A., New York,
  Variable Rate, 5.47656%,
  Due 2/20/1998..............      15,000        14,999
  5.81641%, Due 4/9/1998.....      80,000        80,000

Industrial Bank of Japan,
  Limited, New York, Variable
  Rate, 5.5725%, Due
  8/5/1997...................      80,000        80,000

  5.49438%, Due 8/27/1997....      25,000        25,000

Instituto Bancario San Paolo

  S.p.A., Variable Rate,
  5.62250%, Due 5/22/1998....      80,000        80,000

Norinchukin Bank, 5.76%, Due
  6/2/1997...................      80,000        80,000

Postipankki, Limited, New
  York, Variable Rate Demand,
  5.69828%, Due 9/26/1997
  (Note C)...................      90,000        90,000
                                             ----------
    TOTAL FOREIGN BANKS......                   449,999
                                             ----------
DOMESTIC BANKS - 3.87%

Banco Popular de Puerto Rico,
  Variable Rate, 5.81641%,
  Due 4/9/1998 (Note B)......      40,000        40,000

Corestates Bank N.A.,
  Variable Rate, 5.75250%,
  Due 4/3/1998...............      25,000        25,000
                                             ----------
    TOTAL DOMESTIC BANKS.....                    65,000
                                             ----------
    TOTAL CERTIFICATES OF
      DEPOSIT................                   514,999
                                             ----------
 
PROMISSORY NOTES (NOTES A AND C) - 14.88%

General American Life
  Insurance Company,
  5.77001%, Due 11/21/1997...      80,000        80,000
 
<CAPTION>
                                  Par
                                 Amount        Value
                               ----------    ----------
<S>                            <C>           <C>
                                (dollars in thousands)
Goldman Sachs Group L.P.,
  Variable Rate Demand,
  5.81984%, Due 10/24/1997...  $   80,000    $   80,000

Jackson National Life
  Insurance Company, Variable
  Rate Demand, 5.55906%, Due
  9/2/1997...................      90,000        90,000
                                             ----------
    TOTAL PROMISSORY NOTES...                   250,000
                                             ----------
COMMERCIAL PAPER (NOTE A) - 5.36%

Bankers Trust New York
  Corporation, Variable Rate,
  5.52250%, Due 11/3/1997....      90,000        90,000
                                             ----------
    TOTAL COMMERCIAL PAPER...                    90,000
                                             ----------
VARIABLE RATE MEDIUM-TERM NOTES
  (NOTE A) - 40.96%

American Honda Finance
  Corporation, 144A, 5.8225%,
  Due 4/6/1998...............      25,000        24,996
  5.8225%, Due 4/8/1998......      50,000        49,986

Bear Stearns Companies,
  Incorporated, 5.45781%, Due
  2/13/1998..................      70,000        70,000

Caterpillar Financial
  Services Corporation,
  5.76250%, Due 4/13/1998....      42,000        42,000

General Motors Acceptance
  Corporation, Demand,
  5.47266%, Due 2/23/1998
  (Note D)...................      70,000        70,000
  Demand, 5.79594%, Due
  10/22/1998 (Note D)........      25,000        25,000

Lehman Brothers Holdings,
  Incorporated, 5.64062%, Due
  12/5/1997 (Note C).........     100,000       100,000

Merrill Lynch & Company,
  Incorporated, 5.46906%, Due
  3/3/1998...................      38,000        37,994

Salomon Incorporated,
  6.05156%, Due 10/31/1997...      95,000        95,000
</TABLE>
 
                             See accompanying notes
 
                                       18
<PAGE>   72
 
AMR INVESTMENT SERVICES MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 1997
(Unaudited)
================================================================================
 
<TABLE>
<CAPTION>
                                  Par
                                 Amount        Value
                               ----------    ----------
<S>                            <C>           <C>
                                (dollars in thousands)
 
Sanwa Business Credit
  Corporation, 144A,
  5.53906%, Due 10/6/1997....  $   22,000    $   22,000
  5.81641%, Due 1/12/1998....      38,000        38,000
  5.46266%, Due 2/24/1998....      33,000        33,000

Sears Roebuck Acceptance
  Corporation, 5.69828%, Due
  10/2/1997..................      80,000        80,000
                                             ----------
    TOTAL VARIABLE RATE
      MEDIUM-TERM NOTES......                   687,976
                                             ----------
TOTAL INVESTMENTS - 99.49%
  (COST $1,671,096)..........                 1,671,096
                                             ----------
OTHER ASSETS, NET OF
  LIABILITIES - 0.51%........                     8,645
                                             ----------
TOTAL NET ASSETS - 100%......                $1,679,741
                                             ==========


</TABLE>

- ---------------
 
Based on the cost of investments of $1,671,096 for federal income tax purposes
at April 30, 1997, 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
 
                                       19
<PAGE>   73
 
AMR INVESTMENT SERVICES MUNICIPAL MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 1997
(Unaudited)
================================================================================
 
<TABLE>
<CAPTION>
                                   Par
                                  Amount        Value
                                 --------    -----------
                                 (dollars in thousands)
<S>                              <C>         <C>
COMMERCIAL PAPER (NOTE A) - 1.76%
City of Burlington, Kansas
  Customized Purchase Pollution
  Control Refunding and
  Improvement Revenue Bonds,
  Series 1985B, 3.35%,
  Due 6/3/97, matures 9/1/2015,
  LOC Societe Generale.........   $ 1,600     $    1,600
                                              ----------
    TOTAL COMMERCIAL PAPER.....                    1,600
                                              ----------
 
MUNICIPAL BONDS (NOTE A) - 92.58%
ALASKA - 3.75%
Alaska Industrial Development &
  Export Authority Refunding
  Revenue Bonds (American
  President Lines), Series
  1991, 4.30%, Due 11/1/2009,
  LOC Industrial Bank Japan,
  Limited, VRDO................     3,405          3,405
                                              ----------
    TOTAL ALASKA...............                    3,405
                                              ----------
ARIZONA - 2.64%
  Apache County Arizona
  Industrial Development
  Authority Pollution Control
  Revenue (Tucson Electric
  Power Company), Series 1981B,
  4.65%, Due 10/1/2021, LOC
  Bank of Tokyo-Mitsubishi,
  Limited, VRDO................     2,400          2,400
                                              ----------
    TOTAL ARIZONA..............                    2,400
                                              ----------
ARKANSAS - 2.42%
Independence County Arkansas
  Industrial Development
  Revenue Bonds (Townsends
  Arkansas, Incorporated
  Project), Series 1996, 4.60%,
  Due 11/1/2016, LOC Rabobank
  Nederland, VRDO..............     1,000          1,000
Little River County, Arkansas
  Solid Waste Disposal Revenue
  Bonds (Georgia-Pacific
  Corporation Project), Series
  1991, 4.80%, Due 11/1/2026,
  LOC Sumitomo Bank, Limited,
  VRDO.........................     1,200          1,200
                                              ----------
    TOTAL ARKANSAS.............                    2,200
                                              ----------
<CAPTION>
                                   Par
                                  Amount        Value
                                 --------    -----------
                                 (dollars in thousands)
<S>                              <C>        <C>
CALIFORNIA - 7.92%
California Pollution Control
  Financing Authority Solid
  Waste Disposal Revenue
  Bonds(Taormina Industries,
  Incorporated Project), Series
  1994B, 4.55%, 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, 4.55%,
  Due 10/1/2004, LOC Dai-Ichi
  Kangyo Bank, Limited, VRDO...     2,500          2,500
County of Sacramento,
  California Revenue Bonds,
  Series 1985A, 4.75%, Due
  4/15/2007, LOC Dai-Ichi
  Kangyo Bank, Limited, VRDO...       200            200
County of Sacramento,
  California Revenue Bonds,
  Series 1985B, 4.75%, Due
  4/15/2007, LOC Dai-Ichi
  Kangyo Bank, Limited, VRDO...       100            100
Los Angeles County Industrial
  Development Authority (Gary
  A. Bandy), 4.75%, 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, 4.75%, Due
  12/1/2007, LOC Dai-Ichi
  Kangyo Bank, Limited, VRDO...       550            550
Los Angeles Multifamily Housing
  Revenue Bonds (Channel
  Gateway Apartments Project),
  Series 1989B, 4.10%, Due
  8/1/2019, LOC Fuji Bank,
  Limited, Los Angeles, VRDO...     2,500          2,500
                                              ----------
    TOTAL CALIFORNIA...........                    7,195
                                              ----------
COLORADO - 1.98%
Adams County, Colorado
  Industrial Development
  Revenue Bonds (City View Park
  Project), Series 1985, 4.05%,
  Due 12/1/2015, LOC Barclays
  Bank, PLC, VRDO..............     1,800          1,800
                                              ----------
    TOTAL COLORADO.............                    1,800
                                              ----------
</TABLE>
 
                             See accompanying notes
 
                                       20
<PAGE>   74
 
AMR INVESTMENT SERVICES MUNICIPAL MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 1997
(Unaudited)
================================================================================
 
<TABLE>
<CAPTION>
                                   Par
                                  Amount        Value
                                 --------    -----------
                                 (dollars in thousands)
<S>                              <C>         <C>
 
CONNECTICUT - 2.31%
Connecticut Development
  Authority Solid Waste
  Disposal Facility Revenue
  Bonds (Exeter Energy
  Project), Series 1989C,
  4.60%, Due 12/1/2019, LOC
  Sanwa Bank, Limited, VRDO....  $ 1,400    $    1,400
Connecticut Development
  Authority Solid Waste
  Disposal Facility Revenue
  Bonds (Exeter Energy
  Project), Series 1989A,
  4.60%, Due 12/1/2019, LOC
  Sanwa Bank, Limited, VRDO....      700           700
                                            ----------
    TOTAL CONNECTICUT..........                  2,100
                                            ----------
FLORIDA - 2.97%
Broward County, Florida Housing
  Finance Authority Multifamily
  Housing Revenue
  Bonds(Parkview Partnership
  Limited), 4.75%, Due
  12/1/2010, LOC Fuji Bank,
  Limited, VRDO................    1,000         1,000
Dade County, Florida Capital
  Asset Acquisition Special
  Obligation Bonds, Series
  1990, 4.30%, Due 10/1/2010,
  LOC Sanwa Bank, Limited,
  VRDO.........................    1,700         1,700
                                            ----------
    TOTAL FLORIDA..............                  2,700
                                            ----------
GEORGIA - 5.06%
Industrial Development
  Authority of Cartersville
  (Sekisui Jushi America,
  Incorporated Project), Series
  1992, 4.40%, Due 6/1/2012,
  LOC Sanwa Bank, Limited,
  VRDO.........................    1,100         1,100
Thomaston-Upson County
  Industrial Development
  Revenue Authority (Yamaha
  Music Manufacturing,
  Incorporated Project), Series
  1988, 4.40%, Due 8/1/2018,
  LOC Bank of Tokyo-Mitsubishi,
  Limited, VRDO................    3,500         3,500
                                            ----------
    TOTAL GEORGIA..............                  4,600
                                            ----------
HAWAII - 2.20%
Department of Budget and
  Finance of the State of
  Hawaii, Special Purpose
  Revenue Bonds (G.N. Wilcox
  Memorial Hospital Project),
  Series 1988, 4.65%, Due
  7/1/2018, LOC Fuju Bank,
  Limited, VRDO................    2,000         2,000
                                            ----------
    TOTAL HAWAII...............                  2,000
                                            ----------
<CAPTION>
                                   Par
                                  Amount        Value
                                 --------    -----------
                                 (dollars in thousands)
<S>                              <C>        <C>
ILLINOIS - 2.85%
Illinois Development Finance
  Authority (Illinois Power
  Project), Series 1987D,
  4.90%, Due 3/1/2017, LOC Bank
  of Tokyo-Mitsubishi, Limited,
  VRDO.........................   $   900     $      900
Illinois Housing Development
  Authority Multifamily
  Mortgage - Revenue Bonds
  (Hyde Park Project), Series
  1989, 4.95%, Due 2/1/2024,
  LOC Sumitomo Bank, Limited,
  VRDO.........................     1,260          1,260
Oswego, Illinois Industrial
  Development Revenue Bonds
  (Griffith Laboratories World
  Wide, Incorporated Project),
  Series 1995, 4.55%, Due
  7/1/2025, LOC ABN AMRO Bank,
  N.V., VRDO...................       430            430
                                              ----------
    TOTAL ILLINOIS.............                    2,590
                                              ----------
INDIANA - 3.58%
Fort Wayne Industrial Economic
  Development Revenue Bonds
  (ND-Tech Corporation
  Project), Series 1989, 4.55%,
  Due 7/1/2009, LOC Societe
  Generale, VRDO...............     1,000          1,000
Princeton Industrial
  Development Revenue Bonds
  (Orion Electric America,
  Incorporated Project), Series
  1987, 4.70%, 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, 4.40%, 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, 5.15%,
  Due 9/1/2006, LOC Industrial
  Bank of Japan, Limited,
  VRDO.........................     1,200          1,200
                                              ----------
    TOTAL INDIANA..............                    3,255
                                              ----------
</TABLE>
 
                             See accompanying notes
 
                                       21
<PAGE>   75
 
AMR INVESTMENT SERVICES MUNICIPAL MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 1997
(Unaudited)
================================================================================
 
<TABLE>
<CAPTION>
                                   Par
                                  Amount        Value
                                 --------    -----------
                                 (dollars in thousands)
<S>                              <C>         <C>
 
IOWA - 0.74%
Dubuque, Iowa Industrial
  Development Revenue Bonds
  (Swiss Valley Farms Company
  Project), Series 1987, 4.10%,
  Due 12/1/2001, LOC Rabobank
  Nederland, VRDO..............  $   670    $      670
                                            ----------
    TOTAL IOWA.................                    670
                                            ----------
KENTUCKY - 2.75%
Bowling Green Industrial
  Building Revenue Bonds (TWN
  Fastener, Incorporated
  Project), Series 1988, 4.40%,
  Due 3/1/2008, LOC Industrial
  Bank of Japan, Limited,
  VRDO.........................      900           900
Hopkinsville Industrial
  Development Revenue Bonds
  (American Precision
  Machinery, Incorporated
  Project), Series 1990, 4.15%,
  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, 4.95%, 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, 4.40%, Due 10/1/1997,
  LOC Industrial Bank of Japan,
  Limited, VRDO................      100           100
                                            ----------
    TOTAL KENTUCKY.............                  2,500
                                            ----------
LOUISIANA - 6.70%
Jefferson Parish Louisiana
  Hospital District #1 (West
  Jefferson Medical Center
  Project), Series 1986, 4.10%,
  Due 1/1/2026, LOC Rabobank
  Nederland, VRDO..............    1,185         1,185
Louisiana Public Facilities
  Authority Hospital Equipment
  Revenue (CP Program), Series
  1985, 4.00%, Due 12/1/2000,
  LOC MBIA, VRDO...............      600           600
Louisiana Housing Finance
  Agency Multifamily Revenue
  Refunding Bonds (New
  Orleanian Project), Series
  1988, 4.90%, Due 12/1/2025,
  LOC Sumitomo Bank, Limited,
  VRDO.........................      870           870

<CAPTION>
                                   Par
                                  Amount        Value
                                 --------    -----------
                                 (dollars in thousands)
<S>                              <C>        <C>
Louisiana Public Facilities
  Authority Capital Facilities
  Revenue Bonds, Series 1985A,
  4.30%, Due 12/1/2005, LOC
  Sumitomo Bank, Limited,
  VRDO.........................   $ 1,210     $    1,210
Louisiana State General
  Obligation Refunding Bonds,
  Series 1987A, 6.60%, Due
  8/1/1997, LOC MBIA...........     2,200          2,216
                                              ----------
    TOTAL LOUISIANA............                    6,081
                                              ----------
MISSOURI - 1.54%
Missouri Higher Education Loan
  Authority Revenue Bonds,
  Series 1988A, 4.60%, Due
  6/1/2017, LOC National
  Westminster Bank, PLC,
  VRDO.........................     1,400          1,400
                                              ----------
    TOTAL MISSOURI.............                    1,400
                                              ----------
MONTANA - 0.66%
Forsythe, Montana Pollution
  Control Revenue Bonds
  (Portland General Electric
  Company Colstrip Project),
  Series 1983C, 4.50%, Due
  6/1/2013, LOC Banque National
  de Paris, VRDO...............       600            600
                                              ----------
    TOTAL MONTANA..............                      600
                                              ----------
NEBRASKA - 0.99%
Lancaster County, Nebraska
  Industrial Revenue Bonds
  (Sun-Husker Foods,
  Incorporated Project), Series
  1989, 4.40%, Due 8/15/2009,
  LOC Bank of Tokyo-Mitsubishi,
  Limited, VRDO................       900            900
                                              ----------
    TOTAL NEBRASKA.............                      900
                                              ----------
NEVADA - 4.08%
Clark County, Nevada Industrial
  Development Revenue Bonds
  Pollution Control Refunding
  Revenue Bonds (Nevada Power
  Company Project), Series
  1995A, 4.15%, Due 10/1/2030,
  LOC Barclays Bank, PLC,
  VRDO.........................       700            700
</TABLE>
 
                             See accompanying notes
 
                                       22
<PAGE>   76
 
AMR INVESTMENT SERVICES MUNICIPAL MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 1997
(Unaudited)
================================================================================
 
<TABLE>
<CAPTION>
                                   Par
                                  Amount        Value
                                 --------    -----------
                                 (dollars in thousands)
<S>                              <C>         <C>
 
Clark County, Nevada Industrial
  Development Revenue Bonds
  Pollution Control Refunding
  Revenue Bonds (Nevada Power
  Company Project), Series
  1995C, 4.05%, Due 10/1/2030,
  LOC Barclays Bank, PLC,
  VRDO.........................  $ 3,000    $    3,000
                                            ----------
    TOTAL NEVADA...............                  3,700
                                            ----------
NEW JERSEY - 5.98%
Mercer County, New Jersey
  Improvement Authority
  Refunding Revenue Solid Waste
  Bonds, Series 1992 A, 6.70%,
  Due 4/1/2013.................    2,500         2,503
New Jersey Health Care
  Facilities Financing
  Authority Revenue
  Bonds(Carrier Foundation
  Project), Series 1985C,
  4.40%, Due 7/1/2005, LOC Bond
  Insurance Financial Guaranty
  Insurance Corporation,
  VRDO.........................    2,930         2,930
                                            ----------
    TOTAL NEW JERSEY...........                  5,433
                                            ----------
NEW YORK - 5.07%
New York, New York General
  Obligation Bonds, Series
  1993B-2, 4.25%, Due
  8/15/2019, LOC Morgan
  Guaranty Trust, VRDO.........    1,100         1,100
New York, New York General
  Obligation Bonds, Series
  1994B-4, 4.25%, Due
  8/15/2023, LOC Union Bank of
  Switzerland, VRDO............    1,000         1,000
New York State Local Government
  Assistance Corporation,
  Series 1995 B, 4.40%, Due
  4/1/2025, LOC Bank of Nova
  Scotia, VRDO.................    2,500         2,500
                                            ----------
    TOTAL NEW YORK.............                  4,600
                                            ----------
OHIO - 1.65%
Saint Mary's, Ohio Industrial
  Development Revenue Bonds
  (Setex, Incorporated
  Project), Series 1988, 4.40%,
  Due 12/1/2001, LOC Industrial
  Bank of Japan, Limited,
  VRDO.........................    1,500         1,500
                                            ----------
    TOTAL OHIO.................                  1,500
                                            ----------
 
<CAPTION>
                                   Par
                                  Amount        Value
                                 --------    -----------
                                 (dollars in thousands)
<S>                              <C>        <C>
PENNSYLVANIA - 6.74%
Cambria County Industrial
  Development Authority
  Resource Recovery Revenue
  Bonds(Cambria Cogen Company
  Project), Series 1989 V-1,
  4.60%, 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,
  4.60%, 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,
  4.60%, Due 9/1/2019, LOC ABN
  AMRO Bank, N.V., VRDO........     2,150          2,150
Gettysburg Area Industrial
  Development Authority
  Industrial Development
  Refunding Bonds (Dal-Tile
  Corporation), Series 1987B,
  4.15%, Due 3/1/2004, LOC
  Credit Suisse, VRDO..........     1,470          1,470
Northumberland County
  Industrial Development
  Authority Resource Recovery
  Revenue Bonds (Foster Wheeler
  Mt. Carmel, Incorporated
  Project), Series 1987A,
  4.10%, Due 2/1/2010, LOC
  Union Bank of Switzerland,
  VRDO.........................       600            600
                                              ----------
    TOTAL PENNSYLVANIA.........                    6,120
                                              ----------
TENNESSEE - 0.88%
Blount County Industrial
  Development Revenue Bonds
  (Advanced Crystal Technology,
  Incorporated Project), Series
  1988, 4.40%, Due 8/1/2008,
  LOC Industrial Bank of Japan,
  Limited, VRDO................       500            500
</TABLE>
 
                             See accompanying notes
 
                                       23
<PAGE>   77
AMR INVESTMENT SERVICES MUNICIPAL MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 1997
(Unaudited)
================================================================================
 
<TABLE>
<CAPTION>
                                   Par
                                  Amount        Value
                                 --------    -----------
                                 (dollars in thousands)
<S>                              <C>         <C>
 
Covington, Tennessee Industrial
  Development Board Industrial
  Development Revenue Bonds
  (Charms Company Project),
  Series 1992, 4.50%, Due
  6/1/2027, LOC Societe
  Generale, VRDO...............  $   300    $      300
                                            ----------
    TOTAL TENNESSEE............                    800
                                            ----------
TEXAS - 2.86%
Harris County, Texas Industrial
  Development Revenue Bonds
  (Zeon Chemicals Project),
  Series 1989, 4.40%, 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, 4.95%, 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, 4.15%, Due 12/1/2003,
  LOC Credit Suisse, VRDO......      300           300
Texas Higher Education
  Authority Inc., Educational
  Facility Revenue Bonds,
  Series 1985B, 4.00%, Due
  12/1/2025, LOC FGIC, VRDO....    1,595         1,595
                                            ----------
    TOTAL TEXAS................                  2,595
                                            ----------
UTAH - 3.63%
Housing Authority of Provo
  City, Utah Multifamily Rental
  Housing Revenue Refunding
  Bonds(Branbury Park Project),
  Series 1987A, 4.80%, Due
  12/1/2010, LOC Dai-Ichi
  Kangyo Bank, Limited VRDO....    2,000         2,000
Housing Authority of Provo
  City, Utah Multifamily Rental
  Housing Revenue Refunding
  Bonds (Branbury Park
  Project), Series 1987B,
  4.90%, Due 12/1/2010, LOC
  Dai-Ichi Kangyo, Bank,
  Limited, VRDO................      300           300
 
<CAPTION>
                                   Par
                                  Amount        Value
                                 --------    -----------
                                 (dollars in thousands)
<S>                              <C>        <C>
Utah State Board of Regents
  Student Loan Revenue
  Bonds(Bond Insurance-AMBAC
  Indemnity Corporation),
  Series 1988C, 4.60%, Due
  11/1/2013, LOC Dresdner Bank
  A.G., VRDO...................   $ 1,000     $    1,000
                                              ----------
    TOTAL UTAH.................                    3,300
                                              ----------
VIRGINIA - 0.22%
Virginia Housing Development
  Authority (AHC Service
  Corporation), Series 1987A,
  4.50%, Due 9/1/2017, LOC Bank
  of Tokyo-Mitsubishi, Limited,
  VRDO.........................       200            200
                                              ----------
    TOTAL VIRGINIA.............                      200
                                              ----------
WASHINGTON - 9.18%
Pierce County, Washington
  Economic Development
  Corporation Dock & Warf
  Facilities Revenue Bonds (SCS
  Industries Project), Series
  1995, 4.60%, Due 7/1/2030,
  LOC Bank of Nova Scotia,
  VRDO.........................     3,585          3,585
Port Angeles Industrial
  Development Corporation
  (Daishowa America Project),
  Series 1992, 4.40%, Due
  8/1/2007, LOC Industrial Bank
  of Japan, Limited, VRDO......       200            200
Port Angeles Industrial
  Development Corporation
  Revenue Bonds, Series 1992B,
  4.40%, Due 12/1/2007, LOC
  Industrial Bank Of Japan,
  Limited, VRDO................       300            300
Port Everett Revenue Bonds,
  Series 1986, 4.40%, Due
  12/1/2006, LOC Sumitomo Bank,
  Limited, VRDO................     1,150          1,150
Washington Student Loan Finance
  Association Revenue Bonds,
  Series 1987A, 4.70%, Due
  12/1/2002, LOC Sanwa Bank,
  Limited, VRDO................     2,100          2,100
Washington Student Loan Finance
  Association Revenue Bonds,
  Series 1987B, 4.70%, Due
  12/1/2002, LOC Sanwa Bank,
  Limited, VRDO................     1,000          1,000
                                              ----------
    TOTAL WASHINGTON...........                    8,335
                                              ----------
</TABLE>
 
                             See accompanying notes
 
                                       24
<PAGE>   78
 
AMR INVESTMENT SERVICES MUNICIPAL MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 1997
(Unaudited)
================================================================================
 
<TABLE>
<CAPTION>
                                   Par
                                  Amount        Value
                                 --------    -----------
                                 (dollars in thousands)
<S>                              <C>         <C>
 
WEST VIRGINIA - 1.23%
Marion County, West Virginia
  Solid Waste Disposal Facility
  (Grant Town Cogeneration
  Project), Series 1990B,
  4.60%, 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,
  4.60%, Due 10/1/2017, LOC
  National Westminster Bank,
  PLC,
  VRDO.........................    1,000         1,000
                                            ----------
    TOTAL WEST VIRGINIA........                  1,115
                                            ----------
    TOTAL MUNICIPAL
      BONDS....................                 84,094
                                            ----------
 
<CAPTION>
                                   Par
                                  Amount        Value
                                 --------    -----------
                                 (dollars in thousands)
<S>                              <C>        <C>
OTHER INVESTMENTS - 5.33%
Alliance Capital Management
  Institutional Reserves
  Tax-Free Portfolio(#38)......   $ 4,016     $    4,016
Provident Institutional Funds
  Municipal Cash Fund..........       828            828
                                              ----------
    TOTAL OTHER
      INVESTMENTS..............                    4,844
                                              ----------
TOTAL INVESTMENTS - 99.67%
  (COST $90,538)...............                   90,538
                                              ----------
OTHER ASSETS, NET OF
  LIABILITIES - 0.33%..........                      296
                                              ----------
TOTAL NET ASSETS - 100%........               $   90,834
                                              ==========
</TABLE>
 
- ---------------
 
Based on the cost of investments of $90,538 for federal income tax purposes at
April 30, 1997, 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:
 
AG - Company
FGIC - Financial Guaranty Insurance Company
LOC - Letter of Credit
MBIA - Municipal Bond Investors Assurance
NV - Company
PLC - Public Limited Corporation
VRDO - Variable Rate Demand Obligation
 
                             See accompanying notes
 
                                       25
<PAGE>   79
 
AMR INVESTMENT SERVICES U.S. GOVERNMENT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 1997
(Unaudited)
================================================================================
 
<TABLE>
<CAPTION>
                                    Par
                                   Amount        Value
                                  --------     ---------
                                  (dollars in thousands)
<S>                               <C>          <C>
U.S. TREASURY REPURCHASE
  AGREEMENTS (NOTES A
  AND B) - 64.80%
Goldman Sachs Tri-Party
  Government Repurchase
  Agreement, 5.54%, Due 5/1/1997
  (Collateral held at The Bank
  of New York Company,
  Incorporated by Federal Home
  Loan Mortgage Corporation
  7.00%, Due 12/1/2001 through
  Federal National Mortgage
  Association 8.00%, Due
  4/1/2027 - Market Value
  $27,760)......................   $27,216      $ 27,216
Merrill Lynch Tri-Party
  Government Repurchase
  Agreement, 5.60%, Due 5/1/1997
  (Collateral held at The Chase
  Manhattan Bank, N.A. by
  Government National Mortgage
  Association 6.00%, Due
  4/15/2024 through Government
  National Mortgage Association
  8.00%, Due 6/15/2024 - Market
  Value $27,542)................    27,000        27,000
UBS Securities Tri-Party
  Government National Mortgage
  Association Repurchase
  Agreement, 5.53%, Due 5/1/1997
  (Collateral held at The Chase
  Manhattan Bank, N.A. by
  Government National Mortgage
  Association 7.00%, Due
  4/15/2027 - Market Value
  $19,382.......................    19,000        19,000
                                                --------
    TOTAL U.S. TREASURY
      REPURCHASE AGREEMENTS.....                  73,216
                                                --------
 
<CAPTION>
                                    Par
                                   Amount        Value
                                  --------     ---------
                                  (dollars in thousands)
<S>                               <C>         <C>
U.S. GOVERNMENT AGENCY
  INSTRUMENTS (NOTE A) - 35.26%
Federal Home Loan Bank Discount
  Corporation, 5.34%, Due
  6/4/1997......................   $10,000      $  9,950
Federal Home Loan Mortgage
  Corporation, Discount Note,
  5.30%, Due 5/23/1997..........    20,000        19,936
  Discount Note,
  5.34%, Due 6/2/1997...........    10,000         9,953
                                   -------      --------
    TOTAL U.S. GOVERNMENT AGENCY
      INSTRUMENTS...............                  39,839
                                                --------
TOTAL INVESTMENTS - 100.06%
  (COST - $113,055).............                 113,055
                                                --------
LIABILITIES, NET OF OTHER
  ASSETS - (0.06%)..............                     (71)
                                                --------
TOTAL NET ASSETS - 100%.........                $112,984
                                                ========
 
</TABLE>
 
- ---------------
 
    Based on the cost of investments of $113,055 for federal income tax
    purposes at April 30, 1997, 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.
 
                             See accompanying notes
 
                                       26
<PAGE>   80
 
AMR INVESTMENT SERVICES TRUST PORTFOLIOS
STATEMENTS OF ASSETS AND LIABILITIES
April 30, 1997
(Unaudited)
================================================================================
 
<TABLE>
<CAPTION>
                                                                Money        Municipal      U.S. Government
                                                                Market      Money Market     Money Market
                                                              ----------    ------------    ---------------
                                                                             (in thousands)
<S>                                                           <C>           <C>             <C>
ASSETS:
    Investments in securities at value (cost - $1,671,096;
      $90,538; $113,055, respectively)*.....................  $1,671,096      $90,538          $113,055
    Cash....................................................           -            -                 5
    Dividends and interest receivable.......................       9,604          361                12
    Deferred organization costs.............................          30           30                30
    Other assets............................................           -           13                 -
                                                              ----------      -------          --------
        TOTAL ASSETS........................................   1,680,730       90,942           113,102
                                                              ----------      -------          --------
LIABILITIES:
    Management and investment advisory fees payable (Note
      2)....................................................         878           67                53
    Accrued organization costs..............................          41           41                41
    Other liabilities.......................................          70            -                24
                                                              ----------      -------          --------
        TOTAL LIABILITIES...................................         989          108               118
                                                              ----------      -------          --------
NET ASSETS APPLICABLE TO INVESTORS' BENEFICIAL INTERESTS....  $1,679,741      $90,834          $112,984
                                                              ==========      =======          ========
</TABLE>
 
- ---------------
 
* Includes repurchase agreements of $73,216 for the U.S. Government Money Market
  Portfolio.
 
                             See accompanying notes
 
                                       27
<PAGE>   81
 
AMR INVESTMENT SERVICES TRUST PORTFOLIOS
STATEMENTS OF OPERATIONS
Six Months Ended April 30, 1997
(Unaudited)
================================================================================
 
<TABLE>
<CAPTION>
                                                                         Municipal    U.S. Government
                                                               Money       Money           Money
                                                              Market      Market          Market
                                                              -------    ---------    ---------------
                                                                          (in thousands)
<S>                                                           <C>        <C>          <C>
INVESTMENT INCOME:
    Interest income.........................................  $49,440     $1,664          $2,760
                                                              -------     ------          ------
        TOTAL INVESTMENT INCOME.............................   49,440      1,664           2,760
                                                              -------     ------          ------
EXPENSES:
    Management and investment advisory fees (Note 2)........    1,324         69              76
    Custodian fees..........................................       70          3               4
    Professional fees.......................................       51          -               -
    Organization costs......................................        4          4               4
    Other expenses..........................................       26          6               9
                                                              -------     ------          ------
        TOTAL EXPENSES......................................    1,475         82              93
                                                              -------     ------          ------
        Less fees waived (Note 2)...........................        -          8               -
                                                              -------     ------          ------
        NET EXPENSES........................................    1,475         74              93
                                                              -------     ------          ------
NET INVESTMENT INCOME.......................................   47,965      1,590           2,667
                                                              -------     ------          ------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
    Net realized gain on investments........................       26          -               6
                                                              -------     ------          ------
        NET GAIN ON INVESTMENTS.............................       26          -               6
                                                              -------     ------          ------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS........  $47,991     $1,590          $2,673
                                                              =======     ======          ======
</TABLE>
 
                             See accompanying notes
 
                                       28
<PAGE>   82
 
AMR INVESTMENT SERVICES TRUST PORTFOLIOS
STATEMENTS OF CHANGES IN NET ASSETS
================================================================================
 
<TABLE>
<CAPTION>
                                              Money Market               Municipal Money Market      U.S. Government Money Market
                                      -----------------------------   ----------------------------   ----------------------------
                                        Six Months                      Six Months                     Six Months
                                          Ended         Year Ended        Ended        Year Ended        Ended        Year Ended
                                      April 30, 1997   October 31,    April 30, 1997   October 31,   April 30, 1997   October 31,
                                       (Unaudited)         1996        (Unaudited)        1996        (Unaudited)        1996
                                      --------------   ------------   --------------   -----------   --------------   -----------
                                                                            (in thousands)
<S>                                   <C>              <C>            <C>              <C>           <C>              <C>
INCREASE IN NET ASSETS:
OPERATIONS:
    Net investment income...........   $     47,965    $     87,138      $ 1,590        $   2,196      $   2,667       $   4,734
    Net realized gain on
      investments...................             26              73            -                -              6              39
                                       ------------    ------------      -------        ---------      ---------       ---------
        TOTAL INCREASE IN NET ASSETS
          RESULTING FROM
          OPERATIONS................         47,991          87,211        1,590            2,196          2,673           4,773
                                       ------------    ------------      -------        ---------      ---------       ---------
TRANSACTIONS IN INVESTORS'
  BENEFICIAL INTERESTS:
    Contributions...................      9,970,909      14,620,176       85,647          189,085        136,810         275,202
    Withdrawals.....................    (10,104,081)    (12,942,465)     (77,661)        (110,023)      (117,191)       (189,283)
                                       ------------    ------------      -------        ---------      ---------       ---------
        NET INCREASE (DECREASE) IN
          NET ASSETS RESULTING FROM
          TRANSACTIONS IN INVESTORS'
          BENEFICIAL INTERESTS......       (133,172)      1,677,711        7,986           79,062         19,619          85,919
                                       ------------    ------------      -------        ---------      ---------       ---------
NET INCREASE (DECREASE) IN NET
  ASSETS............................        (85,181)      1,764,922        9,576           81,258         22,292          90,692
                                       ------------    ------------      -------        ---------      ---------       ---------
NET ASSETS:
    Beginning of period.............      1,764,922               -       81,258                -         90,692               -
                                       ------------    ------------      -------        ---------      ---------       ---------
    END OF PERIOD...................   $  1,679,741    $  1,764,922      $90,834        $  81,258      $ 112,984       $  90,692
                                       ============    ============      =======        =========      =========       =========
- --------------------------------------------------------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS:
- --------------------------------------------------------------------------------------------------------------------------------
 
RATIOS:
    Expenses to average net assets
      (annualized)*.................          0.17%           0.17%        0.16%            0.13%          0.18%           0.20%
    Net investment income to average
      net assets (annualized)*......          5.41%           5.45%        3.48%            3.59%          5.22%           5.18%

</TABLE>
 
- ---------------
 
* Operating results of the Municipal Money Market Portfolio in the year and
  period indicated below excluded fees waived by the Manager. Results prior to
  expenses waived were as follows:
 
<TABLE>
<CAPTION>
                                                              Six Months Ended
                                                               April 30, 1997        Year Ended
                                                                (Unaudited)       October 31, 1996
                                                              ----------------    ----------------
<S>                                                           <C>                 <C>
Ratio of expenses to average net assets (annualized)........       0.18%               0.21%
Ratio of net investment income to average net assets
  (annualized)..............................................       3.46%               3.51%
</TABLE>
 
                             See accompanying notes
 
                                       29
<PAGE>   83
 
AMR INVESTMENT SERVICES TRUST
NOTES TO FINANCIAL STATEMENTS
April 30, 1997
(Unaudited)
================================================================================
 
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. Government Money Market Portfolio.
These financial statements and notes to the financial statements relate to the
Money Market, Municipal Money Market and U.S. Government Money Market Portfolios
(each a "Portfolio" and collectively the "Portfolios"). Prior to March 1, 1997,
the American AAdvantage U.S. Government Money Market Portfolio was known as the
American AAdvantage U.S. Treasury Money Market Portfolio and operated under
different investment policies. 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 Trust's Board of Trustees (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
 
                                       30
<PAGE>   84
 
AMR INVESTMENT SERVICES TRUST
NOTES TO FINANCIAL STATEMENTS
April 30, 1997
Unaudited)
================================================================================
 
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.
 
  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 six months ended April 30, 1997, the Manager waived
management fees totaling $7,534 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 six months ended April 30 , 1997, the cost of air transportation was not
material to any of the Portfolios.
 
                                       31


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