<PAGE> 1
AMERICAN
AADVANTAGE FUNDS
- --------------------------------------------------------------------------------
ANNUAL REPORT
October 31, 1999
EQUITY FUNDS
Balanced Fund
Large Cap Value Fund
Small Cap Value Fund
International Equity Fund
BOND FUNDS
Intermediate Bond Fund
Short-Term Bond Fund
Managed by AMR Investments
<PAGE> 2
ABOUT AMR INVESTMENTS
- --------------------------------------------------------------------------------
AMR Investments is an experienced provider of investment advisory services to
institutional and retail markets. We act as manager of the American AAdvantage
Funds, a family of diversified mutual funds, and offer customized fixed income
portfolio management services.
Our clients include defined benefit plans, defined contribution plans,
foundations, endowments, corporations, and other institutional investors.
AMR Investments is a wholly owned subsidiary of AMR~Corporation, the parent
company of American Airlines, Inc.
Incorporated in 1986, we are directly responsible for the investment management
and oversight of AMR Corporation's defined benefit and defined contribution
plans, as well as its fixed income investments.
CONTENTS
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<TABLE>
<S> <C>
President's Message................................................1
Equity Funds
Balanced Fund..................................................39
Large Cap Value Fund...........................................47
Small Cap Value Fund...........................................51
International Equity Fund......................................57
Bond Funds
Intermediate Bond Fund.........................................62
Short-Term Bond Fund...........................................65
Additional Information...................................Back Cover
</TABLE>
<PAGE> 3
[BILL QUINN PICTURE]
FELLOW SHAREHOLDER:
We are pleased to present you with the Annual Report for the American
AAdvantage Funds for the twelve months ended October 31, 1999.
There were several highlights during the past fiscal year for the American
AAdvantage Funds. Our International Equity Fund's Institutional Class produced
solid above-average total returns on an absolute basis at 19.98% for the one
year period and is continuing to exceed its benchmarks for the three-year,
five-year, and since inception periods. The Small Cap Value Fund was introduced
earlier in the year and we believe there is significant long-term performance
potential within this Fund.
This past year's performance of our Balanced and Large Cap Value Funds was
a disappointment. However, we believe that there are sound reasons for our
continued value investment stance since value has outperformed growth over
time*. These Funds have maintained their value investment discipline since
inception and they continue to strive towards achieving strong sustainable
returns with below-average volatility. Using a bottom-up approach to equity
investing, the investment advisers select companies with below-average
price-to-earnings and price-to-book ratios, which they feel, are likely to post
above-average growth in earnings per share. Our investment advisers do not chase
after trends or mimic a particular index to achieve their performance goals;
instead they use sound research to select companies with value characteristics
that they believe will provide the best results for our shareholders.
It is important to mention that on a longer-term basis our equity funds have
provided strong returns, although there have been periods when their returns
have diverged significantly, sometimes positively and other times negatively,
from those of the overall market. We are continuing to focus on achieving strong
long-range results, encouraging our investors to remain as confident in our
approach as we are and not to be influenced by shorter-term trends. While it's
impossible to predict the future direction of the markets with any degree of
certainty, we believe the current environment presents more upside potential for
value investors than we have seen in the past several years. We will continue to
remain true to our investment discipline, a style that has served our
shareholders well for many years and trust that it will once again return to
favor in the very near future. For investors who seek to diversify their
portfolio, our Intermediate and Short-Term Bond Funds offer lower volatility
alternatives to the equity market, even though rising interest rates took their
toll on bond funds in general this year.
1
<PAGE> 4
We also encourage our shareholders to take advantage of our new client service
initiatives to continually improve our service and to keep you better informed.
In addition to increasing our staff, we have been diligently refining our
website to provide you with the most up-to-date information possible. You can
locate us at AAFUNDS.COM.
Sincerely,
/s/ WILLIAM F. QUINN
William F. Quinn
President
American AAdvantage Funds
* Source: Comparison of S&P 500/BARRA Value Index to S&P 500/BARRA Growth Index
from January 1975 through October 1999 using a monthly buy and hold strategy.
2
<PAGE> 5
DOMESTIC EQUITY MARKET OVERVIEW
- --------------------------------------------------------------------------------
What a difficult year for value investing!
One of the major trends that persisted throughout much of 1998 and 1999 was
the dominance of growth over value across the capitalization spectrum. The style
debate during the past fiscal year was won very convincingly by growth. During
the first quarter, large caps continued to outpace their smaller counterparts
and growth outperformed value. The difficult environment for small cap stocks
continued as investors favored "safer" and more liquid large cap names. This
bias against value was powered by huge gains in the high priced technology and
telecommunications sectors, as well as investor frenzy surrounding internet-
related issues. Stocks in these sectors continued to prosper and defy their
lofty valuations. The revival of small cap stocks was one of the major themes
during the second quarter, as small and mid-sized companies were the biggest
beneficiaries of a shift in investor focus from pricey large cap stocks that
appeared less attractive in a rising interest rate environment. This reversed a
trend that had persisted for the past several quarters. The market advance was
broad-based, as investors looked beyond the high-flying blue chip growth and
technology stocks, with both the small caps and economically sensitive stocks
participating in the market's strength. The shift from growth to value started
in April, with the Dow Jones Industrial Average (DJIA) as a market leader,
helped primarily by the market rotation into cyclical, energy and industrial
related issues.
The U.S. equity markets suffered broad-based declines during the third
quarter as most major indices ended the period in negative territory. Market
leadership was concentrated in the technology sector, which was the only sector
in the S&P 500 Index to post positive returns in the quarter. The majority of
stocks in the remaining sectors trended lower due to concerns of higher interest
rates and slowing profit growth. Equity markets in July began on a losing note,
as investors sold off on the prospects of an impending hike in interest rates.
Domestic stocks continued to slide in August, as investors reacted to the
release of stronger than expected economic data and a quarter point interest
rate hike by the Fed. Despite the strength in the technology sector during the
month of September, the S&P 500 Index suffered its third straight monthly loss
for the first time since late 1990. The dominance of the largest stocks in the
S&P 500 Index is illustrated in the table below. During the Funds' fiscal year,
the twelve largest contributors accounted for nearly 50% of the S&P 500's total
return.
<TABLE>
<CAPTION>
PERCENTAGE CUMULATIVE
OF CONTRIBUTION TO CONTRIBUTION TO
COMPANY NAME THE S&P 500 THE S&P 500
------------ ------------------ ---------------
<S> <C> <C>
Microsoft Corp. 8.8% 8.8%
General Electric Co. 7.3% 16.1%
Cisco Systems Inc. 5.9% 22.0%
Intel Corp. 5.0% 27.0%
Wal-Mart Stores 4.5% 31.5%
Citigroup, Inc. 3.6% 35.1%
Lucent Technologies,
Inc. 2.9% 38.0%
Sun Microsystems,
Inc. 2.6% 40.6%
MCI Worldcom, Inc. 2.4% 43.0%
Nortel Networks,
Corp. 2.4% 45.4%
Home Depot, Inc. 2.1% 47.5%
American
International Group 2.1% 49.6%
</TABLE>
The growth phenomenon was driven primarily by strength in the technology
sector, which was the biggest winner during the twelve-month period, with a 66%
return for the sector within the S&P 500 Index. Some notable gainers were Cisco
Systems (up 134.92%), Sun Microsystems (up 190.74%), and Texas Instruments (up
181.52%).
3
<PAGE> 6
PERFORMANCE OVERVIEW
AMERICAN AADVANTAGE BALANCED FUND (SM)
- --------------------------------------------------------------------------------
[BHMS LOGO]
<TABLE>
<S> <C> <C> <C>
[IA LOGO] [GSB LOGO] [HOTCHKIS AND WILEY LOGO] [BRANDYWINE LOGO]
</TABLE>
The Balanced Fund's Institutional Class annualized total return for the
twelve months ended October 31, 1999 was 0.53%. This return trailed the Lipper
Balanced Index return of 12.57% for the period.
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT
FOR THE PERIOD FROM 10/31/89 THROUGH 10/31/99
<TABLE>
<CAPTION>
LIPPER LEHMAN
INSTITUTIONAL BALANCED S&P 500 BARRA VALUE GOV./CORP.
CLASS INDEX INDEX INDEX INDEX
------------- -------- ------- ----------- ----------
<S> <C> <C> <C> <C> <C>
11/89 10000.00 10000.00 10000.00 10000.00 10000.00
10/90 9476.00 9620.00 9251.00 8802.00 10550.00
10/91 11878.00 12331.00 12353.00 11502.00 12172.00
10/92 12918.00 13436.00 13581.00 12456.00 13451.00
10/93 15396.00 15598.00 15602.00 15467.00 15288.00
10/94 15372.00 15502.00 16213.00 15804.00 14579.00
10/95 18305.00 18229.00 20489.00 19442.00 16935.00
10/96 21228.00 20873.00 25418.00 24226.00 17847.00
10/97 25372.00 25099.00 33590.00 31422.00 19420.00
10/98 27589.00 27800.00 40983.00 35111.00 21414.00
10/99 27625.00 31294.00 51520.00 41785.00 21273.00
<CAPTION>
BALANCED
COMPOSITE
INDEX
---------
<S> <C>
11/89 10000.00
10/90 9904.00
10/91 12326.00
10/92 13586.00
10/93 15527.00
10/94 15427.00
10/95 18707.00
10/96 21459.00
10/97 25858.00
10/98 30334.00
10/99 34933.00
</TABLE>
<TABLE>
<CAPTION>
ANNUALIZED TOTAL RETURNS
--------------------------- VALUE OF
PERIODS ENDED 10/31/99 $10,000
--------------------------- 10/31/89-
1 YEAR 5 YEARS 10 YEARS 10/31/99
------ ------- -------- ---------
<S> <C> <C> <C> <C>
Institutional
Class(1)............... 0.53% 12.84% 10.90% $28,146
PlanAhead Class(1,2)... 0.22% 12.50% 10.73% $27,705
AMR Class(1,2)......... 0.83% 13.16% 11.06% $28,550
Lipper Balanced Index.. 12.57% 15.08% 12.08% $31,294
S&P 500 Index.......... 25.71% 26.01% 17.81% $51,520
Barra Value Index...... 19.01% 21.47% 15.37% $41,785
Lehman Gov./Corp.
Index................. (0.66)% 7.85% 7.84% $21,273
Balanced Composite
Index*................ 15.16% 18.75% 13.82% $34,933
</TABLE>
1 Past performance is not predictive of future performance.
2 Fund performance represents the total returns achieved by
the Institutional Class from 10/31/89 up to 8/1/94, the inception date of
the PlanAhead and AMR Classes and the returns of the PlanAhead and AMR
Classes since inception of these Classes. Expenses of the PlanAhead Class
are higher than those of the Institutional Class. Therefore, total returns
shown may be higher than they would have been had the PlanAhead Class been
in existence since 10/31/89. Expenses of the AMR Class are lower than those
of the Institutional Class. As a result, total returns shown may be lower
than they would have been had the AMR Class been in existence since
10/31/89.
* 60% S&P 500 Index, 40% Lehman Gov't. Corp. Index
The Fund underperformed mainly due to its value discipline used for
investing in stocks. Value and growth cycle in and out of favor and,
unfortunately, the Fund has recently experienced a period where value was not
the favored approach. The Annual Report highlights the short-term performance of
the Fund, but we believe a fund's success should be measured over many years
rather than one particular twelve-month period. The Fund's ultimate goal is to
provide competitive results over the long-term.
The Fund had a number of good stock selections to compensate for some
disappointments. These performers include: Alltel Corp (up 81.33%), and Chase
Manhattan (up 56.71%).
TOP TEN EQUITY HOLDINGS AS OF OCTOBER 31, 1999
<TABLE>
<CAPTION>
% OF EQUITIES
-------------
<S> <C>
Honeywell, Inc. 2.4%
Ford Motor Co. 2.3%
Chase Manhattan Corp. 2.2%
Washington Mutual, Inc. 1.9%
Bank of America Corp. 1.8%
Philip Morris Cos. 1.7%
GTE Corp. 1.7%
Bank One Corp. 1.6%
SBC Communications, Inc. 1.6%
Gannett, Inc. 1.5%
----
Total 18.7%
Top Ten Equity Holdings as % of
Total Net Assets 10.4%
</TABLE>
Unfortunately, the big winners in this year's market have generally been
the high-flying technology stocks that represent a large portion of the overall
market. As we discussed earlier, we find these stocks to be extremely overpriced
and therefore do not own them.
The Fund had a number of poor performing stocks during the year that
detracted from the Fund's overall returns. These individual declines include
Mattel, Inc. (down 62.34%), Raytheon Co. (down 50.29%), and Waste Management
(down 63.31%) for the twelve-month period. It is important to distinguish
between stocks that went down due to a decline in underlying business value and
those that our investment advisers believe went down without good reason. In
some cases, there were negative
4
<PAGE> 7
PERFORMANCE OVERVIEW
AMERICAN AADVANTAGE BALANCED FUND -- (CONTINUED)
- --------------------------------------------------------------------------------
earnings developments, such as in Waste Management, which had internal
organization difficulties when key senior management became ill, leaving the
company without direction. In other cases, stocks that the Fund owned such as
Kmart, experienced fourteen consecutive quarters of increased earnings, yet
little positive effect on its share price. Many of the major bank regionals were
down 15% to 20% or more this year primarily due to the market's perception that
rising interest rates result in lower earnings. However, banks have become
increasingly less sensitive to interest rate fluctuations through sophisticated
hedging techniques as well as changes in the composition of revenues toward
service and fee income. The same situation of companies being overly punished
for no logical reason applies to many other traditional value sectors such as
selected retailers and tobacco. As of October 31, 1999, the Portfolio's asset
allocation was 55.4% equity, 40.1% fixed income, and 4.5% cash. Due to bond
yields rising nearly every month this past year, the Fund's fixed income
holdings decreased slightly in value. This caused the bond sector performance to
slightly lag its benchmark, the Lehman Gov./Corp. Index.
PORTFOLIO STATISTICS AS OF OCTOBER 31, 1999
<TABLE>
<CAPTION>
EQUITY: FUND S&P 500
------- ------------ -------------
<S> <C> <C>
Price/Earnings Ratio 17.9 30.1
Price/Book Ratio 3.5 8.9
Wtd. Avg. Mkt. Cap ($) 28.2 Billion 116.2 Billion
</TABLE>
<TABLE>
<CAPTION>
LEHMAN
FIXED INCOME: FUND GOV./CORP.
------------- -------- ----------
<S> <C> <C>
Avg. Credit Quality Aa2 Aa1
Wtd. Avg. Duration 4.6 yrs. 5.4 yrs.
</TABLE>
Despite the Fund's performance deficit, our investment advisers' strategy
remains one of sticking with the value philosophy and being selective when the
market creates potential opportunities. At the close of this difficult fiscal
year end, it is important to mention that since inception, the Fund's
Institutional Class has achieved a strong absolute annualized total return of
10.42%.
5
<PAGE> 8
PERFORMANCE OVERVIEW
AMERICAN AADVANTAGE LARGE CAP VALUE FUND (SM)
- --------------------------------------------------------------------------------
[BHMS LOGO]
<TABLE>
<S> <C> <C> <C>
[IA [GSB LOGO] [HOTCHKIS AND WILEY [BRANDYWINE LOGO]
LOGO] LOGO]
</TABLE>
The Large Cap Value Fund's Institutional Class total return for the twelve
months ended October 31, 1999 was 1.72%. This return lagged the Lipper Multi-
Cap Value Index return of 9.89% for the period.
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT
FOR THE PERIOD FROM 10/31/89 THROUGH 10/31/99
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT
<TABLE>
<CAPTION>
LIPPER MULTI-CAP
INSTITUTIONAL CLASS VALUE INDEX S&P 500 INDEX BARRA VALUE INDEX
------------------- ---------------- ------------- -----------------
<S> <C> <C> <C> <C>
11/89 10000.00 10000.00 10000.00 10000.00
10/90 8648.00 8693.00 9251.00 8802.00
10/91 11574.00 11424.00 12353.00 11502.00
10/92 12731.00 12583.00 13581.00 12456.00
10/93 15467.00 15080.00 15602.00 15467.00
10/94 15963.00 15652.00 16213.00 15804.00
10/95 19213.00 18798.00 20489.00 19442.00
10/96 23588.00 22661.00 25418.00 24226.00
10/97 30099.00 29294.00 33590.00 31422.00
10/98 31908.00 30703.00 40983.00 35111.00
10/99 32329.00 33739.00 51520.00 41785.00
</TABLE>
<TABLE>
<CAPTION>
ANNUALIZED TOTAL RETURNS
--------------------------- VALUE OF
PERIODS ENDED 10/31/99 $10,000
--------------------------- 10/31/89-
1 YEAR 5 YEARS 10 YEARS 10/31/99
------ ------- -------- ---------
<S> <C> <C> <C> <C>
Institutional Class(1)...... 1.72% 15.57% 12.67% $32,951
PlanAhead Class(1,2)........ 1.41% 15.17% 12.46% $32,343
AMR Class(1,2).............. 1.97% 15.87% 12.82% $33,404
Lipper Multi-Cap Value
Index*..................... 9.89% 16.60% 12.93% $33,739
S&P 500 Index............... 25.71% 26.01% 17.81% $51,520
Barra Value Index........... 19.01% 21.47% 15.37% $41,785
</TABLE>
* The Fund was reclassified from its previous Lipper category,
the Lipper Growth and Income Index, during the past year.
1 Past performance is not indicative of future performance.
2 Fund performance represents the total returns achieved by
the Institutional Class from 10/31/89 up to 8/1/94, the inception date of
the PlanAhead and AMR Classes and the returns of the PlanAhead and AMR
Classes since inception of these Classes. Expenses of the PlanAhead Class
are higher than those of the Institutional Class. Therefore, total returns
shown may be higher than they would have been had the PlanAhead Class been
in existence since 10/31/89. Expenses of the AMR Class are lower than those
of the Institutional Class. As a result, total returns shown may be lower
than they would have been had the AMR Class been in existence since
10/31/89.
PORTFOLIO STATISTICS AS OF OCTOBER 31, 1999
<TABLE>
<CAPTION>
FUND S&P 500
------------ -------------
<S> <C> <C>
Price/Earnings Ratio 18.0 30.1
Price/Book Ratio 3.6 8.9
Wtd. Avg. Mkt. Cap ($) 28.8 Billion 116.2 Billion
</TABLE>
Since the Fund utilizes the same investment managers and the same approach
to stock selection as the Balanced Fund, it also suffered from the absence of
growth stocks and from being underweighted in the technology sector. As we
discussed earlier, we find these stocks to be extremely overpriced and therefore
do not own them. The Fund had a number of poor performing stocks during the year
that detracted from the Fund's overall returns. These individual declines
include Mattel, Inc. (down 62.34%), Raytheon Co. (down 50.29%), and Waste
Management (down 63.31%) for the twelve-month period. It is important to
distinguish between stocks that went down due to a decline in underlying
business value and those that our investment advisers believe went down without
good reason. In some cases, there were negative earnings developments, such as
in Waste Management, which had internal organization difficulties when key
senior management became ill, leaving the company without direction. In other
cases, stocks that the Fund owned such as Kmart, experienced fourteen
consecutive quarters of increased earnings, yet little positive effect on its
share price. Many of the major bank regionals were down 15% to 20% or more this
year primarily due to the market's perception that rising interest rates result
in lower earnings. However, banks have become increasingly less sensitive to
interest rate fluctuations through sophisticated hedging techniques as well as
changes in the composition of revenues toward service and fee income. The same
situation of companies being overly punished for no logical reason applies to
many other traditional value sectors such as selected retailers and tobacco.
TOP TEN HOLDINGS AS OF OCTOBER 31, 1999
<TABLE>
<S> <C>
Honeywell, Inc. 2.4%
Ford Motor Co. 2.3%
Washington Mutual Inc. 1.9%
Chase Manhattan Corp. 1.9%
Philip Morris Cos 1.9%
Bank of America Corp. 1.8%
GTE Corp. 1.8%
SBC Communications, Inc. 1.7%
Gannett, Inc. 1.6%
Bank One Corp. 1.6%
</TABLE>
6
<PAGE> 9
PERFORMANCE OVERVIEW
AMERICAN AADVANTAGE SMALL CAP VALUE FUND (SM)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
[HOTCHKIS AND WILEY LOGO] [BRANDYWINE LOGO]
</TABLE>
The newest fund in the American AAdvantage Fund family is the Small Cap
Value Fund, which was introduced in January 1999. Unfortunately, the timing of
the Fund's launch was less than ideal, as both small cap stocks and value stocks
struggled in 1999, as evidenced by the negative returns generated by the Fund
and its Lipper Index for the ten month period ended October 31, 1999. The
Institutional Class of the Fund's total return of -9.30% for the ten months
ended October 31, 1999, lagged the Lipper Small Cap Value Index's total return
of -4.87%. Given its value approach, the Fund's largest sector underweighting is
technology at 7.76%, as compared to the sector weighting of the Russell 2000
Index of 23.09%. The underweighting in the technology sector was the largest
detractor from the Fund's performance.
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT
FOR THE PERIOD FROM 12/31/98* THROUGH 10/31/99
<TABLE>
<CAPTION>
LIPPER SMALL CAP VALUE
MILEAGE FUND INDEX RUSSELL 2000 INDEX
------------ ---------------------- ------------------
<S> <C> <C> <C>
12/89 10000.00 10000.00 10000.00
10/99 9084.00 9513.00 10279.00
</TABLE>
* Inception of Institutional Class of Fund
<TABLE>
<CAPTION>
AGGREGATE TOTAL RETURNS
PERIODS ENDED 10/31/99 VALUE OF
-------------------------- $10,000
SINCE 12/31/98-
3 MO. YTD INCEP 10/31/99
-------- ------ ------ ---------
<S> <C> <C> <C> <C>
Institutional Class(1).... (12.70)% (9.30)% (9.30)% $ 9,070
PlanAhead Class(1,2)...... (12.81)% (9.50)% (9.50)% $ 9,050
AMR Class(1,2)............ (12.69)% (9.20)% (9.20)% $ 9,080
Lipper Small Cap Value
Index.................... (9.10)% (4.87)% (4.87)% $ 9,513
Russell 2000 Index........ (3.29)% 2.79 % 2.79 % $10,279
</TABLE>
1 Past performance is not indicative of future performance.
2 Fund performance represents the total returns achieved by
the Institutional Class from 12/31/98 up to 3/1/99, the inception date of
the PlanAhead and AMR Classes and the returns of the PlanAhead and AMR
Classes since inception of these Classes. Expenses of the PlanAhead Class
are higher than those of the Institutional Class. Therefore, total returns
shown may be higher than they would have been had the PlanAhead Class been
in existence since 12/31/98. Expenses of the AMR Class are lower than those
of the Institutional Class. As a result, total returns shown may be lower
than they would have been had the AMR Class been in existence since
12/31/98.
TOP TEN HOLDINGS AS OF OCTOBER 31, 1999
<TABLE>
<S> <C>
Triton Energy Ltd. 2.6%
Creative Technology Ltd. 2.2%
R G S Energy Group, Inc. 2.0%
Ralcorp Holdings, Inc. 1.9%
CMP Group Inc. 1.8%
Pittston Brinks Group 1.8%
AK Steel Holdings Corp. 1.7%
Earthgrains Co. 1.6%
Enhance Financial Services Group, Inc. 1.6%
Total Renal Care Holdings, Inc. 1.6%
</TABLE>
PORTFOLIO STATISTICS AS OF OCTOBER 31, 1999
<TABLE>
<CAPTION>
FUND RUSSELL 2000
------------ ------------
<S> <C> <C>
Price/Earnings Ratio 12.0 31.6
Price/Book Ratio 1.7 4.5
Wtd. Avg. Mkt. Cap ($) 647 Million 868 Million
</TABLE>
Small cap stocks and, in particular, value stocks have remained out of
favor during the past ten months. The valuation gap between large and small cap
stocks and between growth and value stocks has continued to widen. Shares of
small cap companies have not performed well this year and continue to trail the
broad market. Small capitalization stocks typically sell at a premium because of
higher earnings projections. As indicated on the Multiple Expansion Chart below,
small cap stocks are showing higher earnings growth than the top 50 S&P 500
holdings. In addition, the P/E ratios in the columns for Mid-Cap and Small-Cap
are well below those of the S&P 500 Top 50 column. Our investment advisers feel
small cap securities are currently selling at an unprecedented discount, which
creates a noteworthy opportunity for the Fund.
MULTIPLE EXPANSION
<TABLE>
<CAPTION>
S&P S&P
S&P 500 MIDCAP SMCAP
TOP 50 400 600
------- ------ -----
<S> <C> <C> <C>
Avg Mkt Cap ($ mil) 123,735 2,159 566
Avg EPS Growth -- Past 3 Years 15.5% 14.6% 18.6%
Est. EPS Growth -- Next 4
Quarters 18.8% 15.7% 23.6%
Est. 3-5 Yr EPS Gr Rate 17.8% 18.6% 20.3%
Cap-Wtd. 1999E P/E Ratio 31.3x 20.0x 19.7x
Cap-Wtd. 2000E P/E Ratio 26.9x 16.5x 14.8x
</TABLE>
Source: Bear Stearns
EPS -- Earnings Per Share
7
<PAGE> 10
INTERNATIONAL EQUITY MARKET OVERVIEW
- --------------------------------------------------------------------------------
It seems like much longer, but it was only twelve months ago that world
markets and economies had just emerged from a worldwide crisis. There were
concerns around the globe (Russia, Hong Kong, Malaysia and Brazil) as well as in
the U.S. (bailout of Long Term Capital Management). Central banks around the
world cut interest rates to pump liquidity into the markets, and the terms
deflation and recession were being used and defined in numerous publications.
What a change a year can make! Since then, world markets and economies have
turned 180 degrees. The threats of recession and deflation have given way to
fears of too much growth given interest rate levels, and inflation. As a result,
central banks have started to unwind the interest rate cuts made late in 1998.
In the Euro-zone, a weaker Euro and corporate restructurings have boosted
exports and driven growth stronger. In the UK, stronger consumer spending has
fueled inflationary fears as the UK has experienced twenty-nine straight
quarters of growth. In Japan, positive growth in the second quarter of 1999
officially marked the end to Japan's longest post-war recession. From a return
standpoint, while most of the attention remains focused on the U.S. market, it
may surprise most investors that international returns as a whole were quite
competitive. Among the international regions/markets, returns were strongest in
Asia, and among the major markets, Japan was by far the strongest performer. The
Japanese market was up approximately 60% for the last twelve months, as signs of
a nascent recovery led investors to reallocate assets into that country.
8
<PAGE> 11
PERFORMANCE OVERVIEW
AMERICAN AADVANTAGE INTERNATIONAL EQUITY FUND(SM)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C> <C>
[TEMPLETON LOGO] [IA LOGO] [HOTCHKIS AND WILEY LOGO] [LAZARD LOGO]
</TABLE>
The International Equity Fund's total return for the twelve-month period
was 19.98% for the Institutional Class, compared to a 23.04% return for the
Lipper International Index and a 23.36% return for the MSCI EAFE Index.
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT
FOR THE PERIOD FROM 8/7/91* THROUGH 10/31/99
<TABLE>
<CAPTION>
LIPPER INTERNATIONAL
INSTITUTIONAL CLASS INDEX EAFE INDEX
------------------- -------------------- ----------
<S> <C> <C> <C>
8/91 10000.00 10000.00 10000.00
10/91 10132.00 10314.00 10676.00
10/92 8909.00 9792.00 9286.00
10/93 12166.00 13127.00 12804.00
10/94 13578.00 14638.00 14132.00
10/95 14575.00 14569.00 14124.00
10/96 16992.00 16412.00 15645.00
10/97 20125.00 16602.00 16414.00
10/98 20828.00 19474.00 18044.00
10/99 24841.00 23961.00 22259.00
</TABLE>
<TABLE>
<CAPTION>
ANNUALIZED TOTAL RETURNS
------------------------ VALUE
PERIODS ENDED 10/31/99 OF
------------------------ $10,000
SINCE 8/7/91-
1 YR. 5 YR. INCEP. 10/31/99
------ ------ ------ --------
<S> <C> <C> <C> <C>
Institutional Class(1)... 19.98% 13.50% 12.10% $25,613
PlanAhead Class(1,2)..... 19.68% 13.14% 11.87% $25,176
AMR Class(1,2)........... 20.27% 13.81% 12.29% $25,970
Lipper Int'l. Index...... 23.04% 10.35% 9.63% $23,961
EAFE Index............... 23.36% 9.52% 6.96% $22,259
</TABLE>
1 Past performance is not indicative of future performance.
2 Fund performance represents the total returns achieved by
the Institutional Class from 8/7/91 up to 8/1/94, the inception date of the
PlanAhead and AMR Classes and the returns of the PlanAhead and AMR Classes
since inception of these Classes. Expenses of the PlanAhead Class are higher
than those of the Institutional Class. Therefore, total returns shown may be
higher than they would have been had the PlanAhead Class been in place since
8/7/91. Expenses of the AMR Class are lower than those of the Institutional
Class. As a result, total returns shown may be lower than they would have
been had the AMR Class been in place since 8/7/91.
The underweighting of the strong Japanese market was the primary factor in
the underperformance of the Fund relative to its two indices. The Fund's
Japanese weighting was 12.2%, as compared to the average weighting of 23.3% in
the EAFE Index during the past year. Despite the underweighting of this market,
Japanese stock selection was very strong. Overweightings of stocks such as NTT
Mobile, Nintendo, Sumitomo Trust and Sony contributed to the strong stock
selection.
TOP TEN HOLDINGS AS OF OCTOBER 31, 1999
<TABLE>
<S> <C>
Total Petroleum (France) 2.8%
Banque Nationale de Paris (France) 2.0%
Nintendo (Japan) 2.0%
Philips Electronics (Netherlands) 1.9%
Telefonica de Espana (Spain) 1.7%
Veba AG (Germany) 1.6%
Ing Groep NV (Netherlands) 1.6%
Sony Corp. (Japan) 1.4%
NTT Mobile Communications (Japan) 1.4%
National Westminster Bank (UK) 1.4%
</TABLE>
In Europe, performance attribution was flip-flopped as country selection
was positive and stock selection was negative. Overweighting the strong Finnish
market and underweighting the weak German and Swiss markets were the primary
drivers of positive country selection for the Fund.
COUNTRY ALLOCATION AS OF OCTOBER 31, 1999
[COUNTRY ALLOCATION CHART]
9
<PAGE> 12
PERFORMANCE OVERVIEW
AMERICAN AADVANTAGE INTERNATIONAL EQUITY FUND(SM) -- (CONTINUED)
- --------------------------------------------------------------------------------
COUNTRY ALLOCATION AS OF OCTOBER 31, 1999
<TABLE>
<CAPTION>
FUND EAFE
----- -----
<S> <C> <C>
France 10.9% 9.5%
Germany 8.3% 9.7%
Netherlands 6.5% 5.4%
Italy 3.5% 3.8%
Spain 2.9% 2.7%
Finland 2.7% 2.1%
Ireland 1.3% 0.5%
Austria 0.7% 0.3%
Portugal 0.6% 0.5%
Belgium 0.0% 1.2%
----- -----
EURO 37.4% 35.7%
UK 20.6% 20.2%
Switzerland 4.2% 6.3%
Sweden 3.3% 2.3%
Norway 1.0% 0.4%
Denmark 0.6% 0.8%
----- -----
OTHER NON-EURO 9.1% 9.8%
JAPAN 13.2% 28.5%
Australia 3.6% 2.4%
Hong Kong 3.0% 2.2%
Singapore 2.2% 1.0%
New Zealand 1.3% 0.2%
Malaysia 0.2% 0.0%
South Korea 0.2% 0.0%
----- -----
OTHER ASIA 10.4% 5.8%
Canada 2.9% 0.0%
Mexico 0.4% 0.0%
Other 6.0% 0.0%
----- -----
OTHER 9.3% 0.0%
</TABLE>
Fund stock selection was weak in Finland, Germany, Sweden and the UK, which
offset good selections in Italy and the Netherlands. However, the term "weak"
may be too strong a term in describing the poor stock selection. The stocks held
by the Fund did not perform particularly poorly, but rather it was the stocks
the Fund did not hold or in which it was underweighted that did particularly
well. Several of these stocks were in the telecommunications sector in wireless
businesses that had exceptionally strong performance. However, given their
recent performance, many of these types of stocks have not presented good value
for the Fund and either were not owned or were scaled back during the year. Some
examples are: Nokia in Finland (up over 150%), Mannesmann and Deutsche Telekom
in Germany (up over 60%), Ericsson of Sweden (up almost 90%), and in the UK,
Vodafone (up 75%), and British Telecom (up 42%). Turning to the positives, while
there were a number of good stock selections in Italy, in the Netherlands an
overweighting of Philips Electronics (up over 90% and a top Fund holding for
most of the year) added value for the time period.
10
<PAGE> 13
U.S. FIXED INCOME MARKET OVERVIEW
- --------------------------------------------------------------------------------
The twelve-month period ended October 31, 1999 began during an unusual
environment in the fixed-income markets. The markets were in the midst of a
liquidity crunch caused by the collapse of several emerging Asian economies and
from fears of default by the Russian government. The U.S. Federal Reserve Bank,
responding to the crises, rapidly reduced the Fed Funds rate by 75 basis points
during the 50 days ending November 17, 1998, thereby decreasing the rate to
4.75%. The dramatic reduction in rates was viewed as essential to maintain
liquidity in the markets and to offer breathing room for the suffering
economies. Other central banks throughout the world led similar campaigns.
The international crisis clearly made its mark on the U.S. Treasury market
as a flight to quality during the fourth quarter of 1998 drove the 30-year
Treasury Bond yield to 4.70%. Treasury Bond yields had not been at such levels
since the 1960's. Despite a dramatic round of international upheaval at the end
of 1998, the U.S. economy continued to crank out impressive growth with little
evidence of inflation. Unemployment continued to hover at levels below 4.5% and
consumer confidence rapidly rebounded from its Asian-spooked dip.
With global recovery beginning to develop, the first ten months of 1999
witnessed an unwinding of the unusual market conditions. Treasury Bond prices
began to ease and yields were up over 1.5% to 6.50%. The Treasury curve regained
its upward-sloping posture, and credit spreads (i.e. the yield difference
between Treasury and non-Treasury securities) began their descent. The Federal
Reserve Bank responded by gradually withdrawing its 75 basis points of Fed Funds
easings. As of October 31, 1999, the Fed added 50 basis points back to the Fed
Funds rate, and the remaining 25 basis points did arrive after tightening
occurred as expected at the November 16 Federal Open Market Committee (FOMC)
meeting.
The only impediment to the recovery process was the uncertainty related to
Y2K. In preparation for year-end, many organizations issued bonds during the
third quarter of 1999 to pre-fund their cash needs. As such, the ensuing flood
of debt issuance from June through August of 1999 temporarily halted the
recovery of credit spreads as investors hesitantly digested the new securities.
The U.S. fixed-income markets produced a wide variety of total returns
during the twelve months ended October 31, 1999. According to the Lehman
Brothers Aggregate Index, U.S. Treasury securities produced a total return of
(1.72%), reflecting the gradual rise in interest rates. The government agency
sector produced total returns of 0.22% and the corporate sector returned 0.61%,
reflecting the benefit of tightening spreads as interest rates rose. The
asset-backed sector produced total returns of 2.94% due to improving credit
spreads and more importantly, to its relatively short duration. Finally, the
mortgage-backed sector realized the benefits of short duration, improving
spreads, and declining refinancing rates, producing a total return of 2.99%. The
"Aa" rated corporate sector produced a 0.60% total return followed by 0.06% and
1.65% for the "A" and "Baa" sectors, respectively. The "Baa" sector widened the
most during the global crisis of 1998, but it regained significant ground during
1999, as evidenced by its relatively higher total returns.
11
<PAGE> 14
PERFORMANCE OVERVIEW
AMERICAN AADVANTAGE INTERMEDIATE BOND FUND (SM)
- --------------------------------------------------------------------------------
[AMR INVESTMENTS LOGO]
[BHMS LOGO]
The Intermediate Bond Fund's Institutional Class total return for the
twelve months ended October 31, 1999 was -0.83% for the Institutional Class,
1.09% below the return of its benchmark, the Lipper Intermediate Investment
Grade Debt Index.
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT
FOR THE PERIOD FROM 9/15/97* THROUGH 10/31/99
[COMPARISON OF CHANGE IN VALUE CHART]
<TABLE>
<CAPTION>
INSTITUTIONAL CLASS LIPPER LEHMAN GOV./CORP. LEHMAN AGGREGATE
------------------- INTERMEDIATE INDEX INDEX
INVESTMENT GRADE ----------------- ----------------
AVERAGE
----------------
<S> <C> <C> <C> <C>
9/97 10000.00 10000.00 10000.00 10000.00
10/97 10241.00 10095.00 10160.00 10295.00
10/98 11319.00 10799.00 11203.00 11254.00
10/99 11158.00 10741.00 11129.00 11314.00
</TABLE>
* Inception of Institutional Class of Fund
<TABLE>
<CAPTION>
ANNUALIZED TOTAL
RETURNS
PERIODS ENDED 10/31/99 VALUE OF
------------------------ $10,000
SINCE 9/15/97-
YTD 1 YR. INCEP. 10/31/99
------ ------ ------ ---------
<S> <C> <C> <C> <C>
Institutional Class(1) (1.74)% (0.83)% 5.13% $11,121
PlanAhead Class(1,2) (1.94)% (0.98)% 4.91% $11,074
AMR Class(1,2) (1.97)% (1.06)% 5.01% $11,095
Lipper Intermediate Inv. Gr.
Avg (0.97)% (0.07)% 4.68% $10,791
Lehman Gov/Corp Index (1.49)% (0.66)% 5.27% $11,129
Lehman Aggregate Index (0.34)% 0.53% 5.86% $11,314
</TABLE>
1 Past performance is not indicative of future performance.
2 Fund performance represents the total returns achieved by
the Institutional Class from 9/15/97 up to 3/1/98, the inception date of the
PlanAhead Class and 3/1/99, the inception date of the AMR Class and the
returns of the PlanAhead and AMR Class since inception of each Class.
Expenses of the PlanAhead Class are higher than those of the Institutional
Class. Therefore, total returns shown may be higher than they would have
been had the PlanAhead Class been in existence since 9/15/97. Expenses of
the AMR Class are lower than those of the Institutional Class. As a result,
total returns shown may be lower than they would have been had the AMR Class
been in existence since 9/15/97.
This underperformance was primarily due to the Fund's longer duration
earlier in the year. As interest rates rose, the Fund's longer duration affected
total returns adversely. However, the impact of the Fund's longer duration was
partially offset by strong credit selection in the corporate sector which helped
the Fund's performance as many of its holdings were upgraded during the year.
Performance also benefited from good sector selection within the Fund's
corporate holdings. In particular, the oil and gas holdings performed well as
crude oil prices rose, and the telecommunications holdings performed well due to
merger activity and to their affiliation with the technology sector.
TOP TEN HOLDINGS AS OF OCTOBER 31, 1999
<TABLE>
<S> <C>
FNMA Pool #458001 2.1%
GMAC Coml Mtg Sec Inc 1.9%
Travelers Property Casualty Corp. 1.6%
Coca Cola Co. 1.6%
Union Oil Co. of CA Petroleum 1.5%
Occidental Petroleum Corp. 1.4%
Transamerica Financial Corp. 1.4%
FNMA Pool #100292 1.3%
GNMA Pool #338365 1.3%
EOP Operating Ltd Partnership 1.3%
</TABLE>
PORTFOLIO STATISTICS AS OF OCTOBER 31, 1999
<TABLE>
<CAPTION>
FUND LEHMAN AGGREGATE
------- ----------------
<S> <C> <C>
Average Credit Quality Aa2 Aaa
Weighted Average Duration 5.0yrs 5.0yrs
Weighted Average Coupon 7.0% 6.8%
</TABLE>
12
<PAGE> 15
PERFORMANCE OVERVIEW
AMERICAN AADVANTAGE SHORT-TERM BOND FUND(SM)
- --------------------------------------------------------------------------------
[AMR INVESTMENTS LOGO]
The Short-Term Bond Fund's total return for the twelve months ended October
31, 1999 was 2.56% for the Institutional Class. The return of the Institutional
Class underperformed the Fund's benchmark, the Linked Lipper Investment Grade
Debt Average, by 0.36%.
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT
FOR THE PERIOD FROM 10/31/89 THROUGH 10/31/99
COMPARISON OF CHANGE IN VALUE CHART
<TABLE>
<CAPTION>
LINKED LIPPER MERRILL LYNCH 1-3 LEHMAN GOV./CORP.
INSTITUTIONAL FUND INVESTMENT GRADE YR INDEX INDEX
------------------ ---------------- ----------------- -----------------
<S> <C> <C> <C> <C>
11/89 10000.00 10000.00 10000.00 10000.00
10/90 10751.00 10785.00 10820.00 10550.00
10/91 12027.00 11993.00 12056.00 12172.00
10/92 12982.00 12891.00 13057.00 13451.00
10/93 13917.00 13721.00 13840.00 15288.00
10/94 13979.00 13739.00 14013.00 14579.00
10/95 15074.00 14928.00 15274.00 16935.00
10/96 15760.00 15605.00 16190.00 17847.00
10/97 16690.00 16550.00 17251.00 19420.00
10/98 17766.00 17531.00 18560.00 21414.00
10/99 18230.00 18043.00 19159.00 21273.00
</TABLE>
<TABLE>
<CAPTION>
ANNUALIZED TOTAL
RETURNS
-----------------------
PERIODS ENDED VALUE OF
10/31/99 $10,000
----------------------- 10/31/89-
1 YR. 5 YR. 10 YR. 10/31/99
------ ----- ------ ---------
<S> <C> <C> <C> <C>
Institutional Class(1) 2.56% 5.73% 6.32% $18,464
PlanAhead Class(1,2) 2.21% 5.46% 6.19% $18,235
AMR Class(1,2) 2.83% 5.97% 6.46% $18,707
Linked Lipper Average* 2.92% 5.60% 6.08% $18,043
Merrill Lynch 1-3 yr. Index 3.25% 6.45% 6.78% $19,159
Lehman Gov/Corp. Index (0.66)% 7.85% 7.84% $21,273
</TABLE>
1 Past performance is not predictive of future performance.
2 Fund performance represents the total returns achieved by
the Institutional Class from 10/31/89 up to 8/1/94, the inception date of
the PlanAhead and AMR Classes and the returns of the PlanAhead and AMR
Classes since inception of these Classes. Expenses of the PlanAhead Class
are higher than those of the Institutional Class. Therefore, total returns
shown may be higher than they would have been had the PlanAhead Class been
in place since 10/31/89. Expenses of the AMR Class are lower than those of
the Institutional Class. As a result, total returns shown may be lower than
they would have been had the AMR Class been in existence since 10/31/89.
* The Linked Lipper Average is created by linking the Lipper
Short-Term (1-5 year) Investment Grade Debt Average from 10/31/89 through
12/31/95, the Lipper Short-Intermediate Investment Grade Debt Average from
1/1/96 through 7/31/96 and the Lipper Short-Term (1-3 Year) Investment Grade
Debt Average since 8/1/96.
As with the Intermediate Bond Fund, the Short-Term Bond Fund's
underperformance was due primarily to a slightly longer duration, which affected
performance adversely as interest rates rose. However, strong performance was
provided by the Fund's overweight position in corporate and mortgage-backed
securities. In particular, the oil and gas sector performed well as crude oil
prices rose.
TOP TEN HOLDINGS AS OF OCTOBER 31, 1999
<TABLE>
<S> <C>
GNMA Pool #780173 7.2%
Quebec Province of CDA 4.3%
Fort James Corp 4.1%
Citibank Credit Card Master Trust 4.1%
Associates Corp North America 4.0%
Merrill Lynch & Co., Inc. 4.0%
Philip Morris Co., Inc. 4.0%
Heller Financial Inc. 4.0%
Ford Motor Credit Auto Owner Trust 4.0%
Premier Auto Trust 4.0%
</TABLE>
Additionally, the Fund's holdings in the telecommunications sector
performed well due to merger activity and to its affiliation with the technology
sector. Mortgage-backed securities provided some of the highest total returns of
the fixed-income markets due to their relatively short duration and the slowdown
in refinancing activity.
PORTFOLIO STATISTICS AS OF OCTOBER 31, 1999
<TABLE>
<CAPTION>
MERRILL
LYNCH
FUND 1-3YR
------- -------
<S> <C> <C>
Average Credit Quality Aa3 Aa2
Weighted Average Duration 2.3 yrs 1.7 yrs
Weighted Average Coupon 6.9% 6.0%
</TABLE>
13
<PAGE> 16
[AMERICAN EAGLE LOGO]
14
<PAGE> 17
REPORT OF ERNST & YOUNG LLP, INDEPENDENT AUDITORS
Shareholders and Board of Trustees
American AAdvantage Balanced Fund
American AAdvantage Large Cap Value Fund
American AAdvantage Small Cap Value Fund
American AAdvantage International Equity Fund
American AAdvantage Intermediate Bond Fund
American AAdvantage Short-Term Bond Fund
We have audited the accompanying statements of assets and liabilities of
the American AAdvantage Balanced Fund, the American AAdvantage Large Cap Value
Fund, the American AAdvantage Small Cap Value Fund, the American AAdvantage
International Equity Fund, the American AAdvantage Intermediate Bond Fund, and
the American AAdvantage Short-Term Bond Fund (collectively, "the Funds")
(separate funds comprising the American AAdvantage Funds) as of October 31,
1999, and the related statements of operations, the statements of changes in net
assets and the financial highlights for each of the periods indicated therein.
These financial statements and financial highlights are the responsibility of
the Funds' management. Our responsibility is to express an opinion on these
financial statements and financial highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of investments owned as of
October 31, 1999, by correspondence with the custodian. An audit also includes
assessing the accounting principles used and significant estimates made by
management, as well as evaluating the overall financial statement presentation.
We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred
to above present fairly, in all material respects, the financial position of
each of the respective American AAdvantage Funds at October 31, 1999, the
results of their operations, the changes in their net assets, and the financial
highlights for each of the periods indicated therein, in conformity with
generally accepted accounting principles.
/s/ ERNST & YOUNG
Dallas, Texas
December 17, 1999
15
<PAGE> 18
AMERICAN AADVANTAGE FUNDS
STATEMENTS OF ASSETS AND LIABILITIES
October 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LARGE CAP SMALL CAP INTERNATIONAL INTERMEDIATE SHORT-TERM
BALANCED VALUE VALUE EQUITY BOND BOND
----------- ----------- ---------- ------------- ------------ ----------
(IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
<S> <C> <C> <C> <C> <C> <C>
ASSETS:
Investment in Portfolio, at
value...................... $ 1,003,965 $ 1,450,058 $ 66,958 $ 1,266,874 $ 252,914 $ 73,490
Receivable for fund shares
sold....................... 53 57 -- 4,328 1,138 15
Receivable for expense
reimbursement.............. 1 -- 18 -- -- 3
----------- ----------- ---------- ----------- ---------- ----------
TOTAL ASSETS............. 1,004,019 1,450,115 66,976 1,271,202 254,052 73,508
----------- ----------- ---------- ----------- ---------- ----------
LIABILITIES:
Payable for fund shares
redeemed................... 684 500 123 5,896 563 15
Accrued organization costs... -- -- -- -- 1 --
Dividends payable............ -- -- -- -- -- 12
Management fees payable (Note
2)......................... 36 16 -- 142 44 18
Other liabilities............ 92 107 -- 46 26 24
----------- ----------- ---------- ----------- ---------- ----------
TOTAL LIABILITIES........ 812 623 123 6,084 634 69
----------- ----------- ---------- ----------- ---------- ----------
NET ASSETS....................... $ 1,003,207 $ 1,449,492 $ 66,853 $ 1,265,118 $ 253,418 $ 73,439
=========== =========== ========== =========== ========== ==========
ANALYSIS OF NET ASSETS:
Paid-in-capital.............. $ 884,493 $ 1,139,819 $ 72,506 $ 979,332 $ 265,528 $ 85,830
Accumulated undistributed
investment income (loss)... 32,644 29,488 316 19,521 -- 15
Accumulated net realized gain
(loss)..................... 57,812 211,187 1,150 101,140 (3,569) (11,201)
Unrealized net appreciation
(depreciation) of
investments................ 28,258 68,998 (7,119) 165,125 (8,541) (1,205)
----------- ----------- ---------- ----------- ---------- ----------
NET ASSETS....................... $ 1,003,207 $ 1,449,492 $ 66,853 $ 1,265,118 $ 253,418 $ 73,439
=========== =========== ========== =========== ========== ==========
Shares outstanding (no par
value):
Institutional Class.......... 10,722,590 2,409,376 233,456 31,095,179 21,420,465 541,239
=========== =========== ========== =========== ========== ==========
PlanAhead Class.............. 1,778,280 1,091,525 8,137 3,168,578 160,494 176,155
=========== =========== ========== =========== ========== ==========
AMR Class.................... 64,600,421 73,740,451 7,124,540 30,961,262 4,870,902 7,188,888
=========== =========== ========== =========== ========== ==========
Net asset value, offering and
redemption price per share:
Institutional Class.......... $ 13.01 $ 18.69 $ 9.07 $ 19.36 $ 9.58 $ 9.30
=========== =========== ========== =========== ========== ==========
PlanAhead Class.............. $ 12.79 $ 18.41 $ 9.05 $ 19.13 $ 9.63 $ 9.30
=========== =========== ========== =========== ========== ==========
AMR Class.................... $ 13.02 $ 18.77 $ 9.08 $ 19.46 $ 9.58 $ 9.29
=========== =========== ========== =========== ========== ==========
</TABLE>
See accompanying notes
- --------------------------------------------------------------------------------
16
<PAGE> 19
AMERICAN AADVANTAGE FUNDS
STATEMENTS OF OPERATIONS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LARGE CAP SMALL CAP INTERNATIONAL INTERMEDIATE SHORT-TERM
BALANCED VALUE VALUE EQUITY BOND BOND
-------- --------- ---------------- ------------- ------------ ----------
DECEMBER 31,
YEAR ENDED 1998 TO
OCTOBER 31, 1999 OCTOBER 31, 1999 YEAR ENDED OCTOBER 31, 1999
-------------------- ---------------- -----------------------------------------
(IN THOUSANDS)
<S> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME ALLOCATED FROM
PORTFOLIO:
Interest income.............. $28,168 $ 1,338 $ 195 $ 2,716 $ 15,216 $ 6,405
Dividend income (net of
foreign taxes of $80, $185
and $3,085 in Balanced,
Large Cap Value and
International Equity
Portfolios,
respectively).............. 16,324 42,921 310 25,948 -- --
Income derived from
securities lending, net.... 393 158 8 807 86 17
Income derived from
commission recapture....... 16 41 7 34 -- --
Portfolio expenses (net of
reimbursement of $48 for
the Small Cap Value Fund).. (3,426) (5,605) (204) (4,080) (681) (283)
------- -------- ------- -------- -------- -------
NET INVESTMENT INCOME
ALLOCATED FROM
PORTFOLIO.............. 41,475 38,853 316 25,425 14,621 6,139
------- -------- ------- -------- -------- -------
FUND EXPENSES:
Administrative service fees
(Note 2):
Institutional Class........ 372 300 4 1,282 552 30
PlanAhead Class............ 86 73 -- 133 4 6
Transfer agent fees:
Institutional Class........ 11 11 -- 40 13 4
PlanAhead Class............ 25 21 -- 27 1 2
AMR Class.................. 15 38 1 12 1 1
Professional fees............ 12 37 5 24 5 --
Registration fees and
expenses................... 95 153 20 113 27 44
Service Fees -- PlanAhead
Class (Note 2)............. 86 73 -- 133 4 6
Other expenses............... 88 105 9 51 22 8
------- -------- ------- -------- -------- -------
TOTAL FUND EXPENSES...... 790 811 39 1,815 629 101
------- -------- ------- -------- -------- -------
Less reimbursement of
fund expenses (Note
2)..................... -- -- 39 -- -- 2
------- -------- ------- -------- -------- -------
Net fund expenses........ 790 811 -- 1,815 629 99
------- -------- ------- -------- -------- -------
NET INVESTMENT INCOME............ 40,685 38,042 316 23,610 13,992 6,040
------- -------- ------- -------- -------- -------
REALIZED AND UNREALIZED GAIN
(LOSS) ALLOCATED FROM
PORTFOLIO:
Net realized gain (loss) on
investments and foreign
currency transactions...... 59,690 220,458 1,150 104,779 (3,529) (1,984)
Change in net unrealized
appreciation or
depreciation of investments
and foreign currency
translations............... (89,410) (202,512) (7,119) 74,457 (12,515) (1,464)
------- -------- ------- -------- -------- -------
NET GAIN (LOSS) ON
INVESTMENTS............ (29,720) 17,946 (5,969) 179,236 (16,044) (3,448)
------- -------- ------- -------- -------- -------
NET INCREASE (DECREASE) IN NET
ASSETS RESULTING FROM
OPERATIONS..................... $10,965 $ 55,988 $(5,653) $202,846 $ (2,052) $ 2,592
======= ======== ======= ======== ======== =======
</TABLE>
See accompanying notes
- --------------------------------------------------------------------------------
17
<PAGE> 20
AMERICAN AADVANTAGE FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SMALL CAP
VALUE
BALANCED LARGE CAP VALUE ------------ INTERNATIONAL EQUITY
------------------------- ------------------------- DECEMBER 31, -----------------------
YEAR ENDED OCTOBER 31, YEAR ENDED OCTOBER 31, 1998 TO YEAR ENDED OCTOBER 31,
------------------------- ------------------------- OCTOBER 31, -----------------------
1999 1998 1999 1998 1999 1999 1998
----------- ----------- ----------- ----------- ------------ ----------- ---------
(IN THOUSANDS)
<S> <C> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET
ASSETS:
OPERATIONS:
Net investment income..... $ 40,685 $ 38,503 $ 38,042 $ 39,566 $ 316 $ 23,610 $ 19,062
Net realized gain (loss)
on investments and
foreign currency
transactions............. 59,690 84,921 220,458 192,254 1,150 104,779 25,471
Change in net unrealized
appreciation or
depreciation of
investments and foreign
currency translations.... (89,410) (34,989) (202,512) (126,548) (7,119) 74,457 (18,604)
----------- ----------- ----------- ----------- -------- ----------- ---------
NET INCREASE (DECREASE)
IN NET ASSETS
RESULTING FROM
OPERATIONS........... 10,965 88,435 55,988 105,272 (5,653) 202,846 25,929
----------- ----------- ----------- ----------- -------- ----------- ---------
DISTRIBUTIONS TO
SHAREHOLDERS:
Net investment income:
Institutional Class...... (4,851) (5,493) (3,324) (4,185) -- (8,848) (4,914)
PlanAhead Class.......... (1,276) (1,472) (680) (491) -- (885) (477)
AMR Class................ (32,289) (34,157) (36,457) (29,335) -- (11,220) (9,771)
Net realized gain on
investments: --
Institutional Class...... (11,656) (19,670) (18,859) (16,184) -- (12,587) (6,986)
PlanAhead Class.......... (3,360) (5,247) (4,305) (2,302) -- (1,378) (735)
AMR Class................ (71,876) (108,479) (175,479) (105,652) -- (14,358) (12,707)
----------- ----------- ----------- ----------- -------- ----------- ---------
DISTRIBUTIONS TO
SHAREHOLDERS......... (125,308) (174,518) (239,104) (158,149) -- (49,276) (35,590)
----------- ----------- ----------- ----------- -------- ----------- ---------
CAPITAL SHARE TRANSACTIONS:
Proceeds from sales of
shares................... 154,703 163,258 294,285 344,005 87,288 910,810 635,921
Reinvestment of dividends
and distributions........ 124,968 173,853 238,847 157,512 -- 46,261 34,569
Cost of shares redeemed... (235,337) (129,631) (772,411) (239,129) (14,782) (796,386) (426,422)
----------- ----------- ----------- ----------- -------- ----------- ---------
NET INCREASE (DECREASE)
IN NET ASSETS FROM
CAPITAL SHARE
TRANSACTIONS......... 44,334 207,480 (239,279) 262,388 72,506 160,685 244,068
----------- ----------- ----------- ----------- -------- ----------- ---------
NET INCREASE (DECREASE) IN
NET ASSETS.................. (70,009) 121,397 (422,395) 209,511 66,853 314,255 234,407
----------- ----------- ----------- ----------- -------- ----------- ---------
NET ASSETS:
Beginning of period....... 1,073,216 951,819 1,871,887 1,662,376 -- 950,863 716,456
----------- ----------- ----------- ----------- -------- ----------- ---------
END OF PERIOD*............ $ 1,003,207 $ 1,073,216 $ 1,449,492 $ 1,871,887 $ 66,853 $ 1,265,118 $ 950,863
=========== =========== =========== =========== ======== =========== =========
* Includes undistributed
net investment income
(loss) of............... $ 32,644 $ 30,375 $ 29,488 $ 31,907 $ 316 $ 19,521 $ 16,864
=========== =========== =========== =========== ======== =========== =========
<CAPTION>
INTERMEDIATE BOND SHORT-TERM BOND
---------------------- ----------------------
YEAR ENDED OCTOBER 31, YEAR ENDED OCTOBER 31,
---------------------- ----------------------
1999 1998 1999 1998
---------- --------- --------- ----------
(IN THOUSANDS)
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET
ASSETS:
OPERATIONS:
Net investment income..... $ 13,992 $ 12,158 $ 6,040 $ 6,420
Net realized gain (loss)
on investments and
foreign currency
transactions............. (3,529) 5,667 (1,984) (447)
Change in net unrealized
appreciation or
depreciation of
investments and foreign
currency translations.... (12,515) 2,100 (1,464) 365
---------- --------- -------- ---------
NET INCREASE (DECREASE)
IN NET ASSETS
RESULTING FROM
OPERATIONS........... (2,052) 19,925 2,592 6,338
---------- --------- -------- ---------
DISTRIBUTIONS TO
SHAREHOLDERS:
Net investment income:
Institutional Class...... (12,413) (12,157) (737) (1,349)
PlanAhead Class.......... (95) (1) (146) (244)
AMR Class................ (1,484) -- (5,375) (4,827)
Net realized gain on
investments:
Institutional Class...... (5,683) (276) -- --
PlanAhead Class.......... (3) -- -- --
AMR Class................ -- -- -- --
---------- --------- -------- ---------
DISTRIBUTIONS TO
SHAREHOLDERS......... (19,678) (12,434) (6,258) (6,420)
---------- --------- -------- ---------
CAPITAL SHARE TRANSACTIONS:
Proceeds from sales of
shares................... 175,425 55,413 26,934 37,611
Reinvestment of dividends
and distributions........ 19,685 12,589 6,064 6,183
Cost of shares redeemed... (98,832) (112,872) (73,124) (18,534)
---------- --------- -------- ---------
NET INCREASE (DECREASE)
IN NET ASSETS FROM
CAPITAL SHARE
TRANSACTIONS......... 96,278 (44,870) (40,126) 25,260
---------- --------- -------- ---------
NET INCREASE (DECREASE) IN
NET ASSETS.................. 74,548 (37,379) (43,792) 25,178
---------- --------- -------- ---------
NET ASSETS:
Beginning of period....... 178,870 216,249 117,231 92,053
---------- --------- -------- ---------
END OF PERIOD*............ $ 253,418 $ 178,870 $ 73,439 $ 117,231
========== ========= ======== =========
* Includes undistributed
net investment income
(loss) of............... $ -- $ -- $ 15 $ 15
========== ========= ======== =========
</TABLE>
See accompanying notes
- --------------------------------------------------------------------------------
18
<PAGE> 21
AMERICAN AADVANTAGE FUNDS
NOTES TO FINANCIAL STATEMENTS
October 31, 1999
- --------------------------------------------------------------------------------
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. These financial
statements and notes to the financial statements relate to the American
AAdvantage Balanced Fund, the American AAdvantage Large Cap Value Fund, the
American AAdvantage Small Cap Value Fund, the American AAdvantage International
Equity Fund, the American AAdvantage Intermediate Bond Fund, and the American
AAdvantage Short-Term Bond Fund (each a "Fund" and collectively, the "Funds"),
each a series of the Trust. The Trust commenced sales of additional classes of
shares of the Funds (other than the Intermediate Bond and Small Cap Value 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
(other than the Intermediate Bond and the Small Cap Value Funds) was terminated
on November 1, 1995. Prior to March 1, 1998, the American AAdvantage Large Cap
Value Fund was known as the American AAdvantage Growth and Income Fund. The
following funds commenced operations as follows:
<TABLE>
<CAPTION>
COMMENCEMENT OF
FUND CLASS OPERATIONS
- ---- ------------- ------------------
<S> <C> <C>
Intermediate Bond.......................................... Institutional September 15, 1997
Intermediate Bond.......................................... PlanAhead March 2, 1998
Intermediate Bond.......................................... AMR March 1, 1999
Small Cap Value............................................ Institutional December 31, 1998
Small Cap Value............................................ PlanAhead March 1, 1999
Small Cap Value............................................ AMR March 1, 1999
</TABLE>
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
Large Cap Value Fund Large Cap Value Portfolio
Small Cap Value Fund Small Cap Value Portfolio
International Equity Fund International Equity Portfolio
Intermediate Bond Fund Intermediate Bond Portfolio
Short-Term Bond Fund Short-Term Bond 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 (99.67%,
99.43%, 99.92%, 94.39%, 99.80% and 98.84% at October 31, 1999 of the AMR
Investment Services Balanced, Large Cap Value, Small Cap Value, International
Equity, Intermediate Bond and Short-Term Bond 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.
- --------------------------------------------------------------------------------
19
<PAGE> 22
AMERICAN AADVANTAGE FUNDS
NOTES TO FINANCIAL STATEMENTS -- CONTINUED
October 31, 1999
- --------------------------------------------------------------------------------
AMR Investment Services, Inc. (the "Manager") is a wholly-owned subsidiary
of AMR Corporation, the parent company of American Airlines, Inc. ("American"),
and was organized in 1986 to provide business management, advisory,
administrative and asset management consulting services to the Trust and other
investors.
The following is a summary of the significant accounting policies followed
by the Funds.
Valuation of Investments
Valuation of securities by the Portfolios is discussed in Note 1 of the
Portfolios' Notes to Financial Statements which are included elsewhere in this
report.
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 is 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,
Large Cap Value, Small Cap Value and International Equity Funds normally will be
declared and paid annually. The Intermediate Bond and Short-Term Bond Funds
generally declare dividends from net investment income daily, payable monthly.
Distributions, if any, of net realized capital gains normally will be paid
annually after the close of the fiscal year in which realized.
Dividends are determined in accordance with income tax principles which may
treat certain transactions differently than generally accepted accounting
principles.
Federal Income and Excise Taxes
It is the policy of each of the Funds to comply with the requirements of
the Internal Revenue Code applicable to regulated investment companies and to
distribute substantially all net investment income as well as any net realized
capital gains on the sale of investments. Therefore, no federal income or excise
tax provision is required. At October 31, 1999, capital loss carryforward
positions for federal income tax purposes were as follows:
<TABLE>
<CAPTION>
FUND AMOUNT EXPIRES
- ---- ----------- ---------
<S> <C> <C>
Intermediate Bond........................................... $ 2,919,000 2007
Short-Term Bond............................................. 11,190,000 2001-2007
</TABLE>
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
- --------------------------------------------------------------------------------
20
<PAGE> 23
AMERICAN AADVANTAGE FUNDS
NOTES TO FINANCIAL STATEMENTS -- CONTINUED
October 31, 1999
- --------------------------------------------------------------------------------
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.
Use of Estimates
The preparation of financial statements in conformity with generally
accepted accounting principles requires management to make estimates and
assumptions that affect the amounts reported in the financial statements and
accompanying notes. Actual results may differ from those estimated.
2. TRANSACTIONS WITH AFFILIATES
Administrative Service 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.
Services Agreement
The Manager and the Trust entered into a Service Agreement which obligates
the Manager to oversee additional shareholder servicing of the PlanAhead Class.
As compensation for performing the duties required under the Service Agreement,
the Manager receives 0.25% based on the daily net assets of the PlanAhead Class.
During the year ended October 31, 1999, the Manager waived service fees totaling
$2,196 for the Plan Ahead Class of the Short-Term Bond Fund.
Other
Certain officers or trustees of the Trust are also current or former
officers or employees of the Manager or American. The Trust makes no direct
payments to its officers. Unaffiliated trustees and their spouses are provided
unlimited air transportation on American. However, the Trust compensates each
Trustee with payments in an amount equal to the Trustee's income tax on the
value of this free airline travel. For the year ended October 31, 1999, the cost
of air transportation was not material to any of the Funds.
- --------------------------------------------------------------------------------
21
<PAGE> 24
AMERICAN AADVANTAGE FUNDS
NOTES TO FINANCIAL STATEMENTS -- CONTINUED
October 31, 1999
- --------------------------------------------------------------------------------
3. CAPITAL SHARE TRANSACTIONS
The tables below summarize the activity in capital shares for each Class of
the Funds (in thousands):
Year Ended October 31, 1999
<TABLE>
<CAPTION>
INSTITUTIONAL CLASS PLANAHEAD CLASS AMR CLASS
-------------------- ------------------ --------------------
BALANCED FUND SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
------------- ------- --------- ------ -------- ------- ---------
<S> <C> <C> <C> <C> <C> <C>
Shares sold.................................. 637 $ 8,411 1,136 $ 15,650 9,622 $ 130,642
Reinvestment of dividends.................... 1,219 16,191 352 4,612 7,862 104,165
Shares redeemed.............................. (1,132) (15,319) (2,548) (34,367) (13,753) (185,651)
------ -------- ------ -------- ------- ---------
Net increase (decrease) in capital shares
outstanding................................ 724 $ 9,283 (1,060) $(14,105) 3,731 $ 49,156
====== ======== ====== ======== ======= =========
</TABLE>
<TABLE>
<CAPTION>
INSTITUTIONAL CLASS PLANAHEAD CLASS AMR CLASS
-------------------- -------------------- --------------------
LARGE CAP VALUE FUND SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
-------------------- ------- --------- ------- --------- ------- ---------
<S> <C> <C> <C> <C> <C> <C>
Shares sold................................ 1,239 $ 24,990 1,152 $ 20,546 12,447 $ 248,749
Reinvestment of dividends.................. 1,148 21,967 146 4,944 11,050 211,936
Shares redeemed............................ (10,325) (204,961) (2,186) (42,638) (26,527) (524,812)
------- --------- ------- --------- ------- ---------
Net decrease in capital shares
outstanding.............................. (7,938) $(158,004) (888) $ (17,148) (3,030) $ (64,127)
======= ========= ======= ========= ======= =========
</TABLE>
<TABLE>
<CAPTION>
INSTITUTIONAL CLASS PLANAHEAD CLASS AMR CLASS
-------------------- -------------------- --------------------
SMALL CAP VALUE FUND SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
-------------------- ------- --------- ------- --------- ------- ---------
<S> <C> <C> <C> <C> <C> <C>
Shares sold................................ 233 $ 2,335 19 $ 200 8,631 $ 84,753
Reinvestment of dividends.................. -- -- -- -- -- --
Shares redeemed............................ -- -- (11) (112) (1,507) (14,670)
------- --------- ------- --------- ------- ---------
Net increase in capital shares
outstanding.............................. 233 $ 2,335 8 $ 88 7,124 $ 70,083
======= ========= ======= ========= ======= =========
</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................................ 36,646 $ 663,358 5,989 $ 108,367 7,608 $ 139,085
Reinvestment of dividends.................. 1,098 18,726 116 1,955 1,494 25,580
Shares redeemed............................ (30,785) (560,125) (5,696) (103,404) (7,309) (132,857)
------- --------- ------- --------- ------- ---------
Net increase in capital shares
outstanding.............................. 6,959 $ 121,959 409 $ 6,918 1,793 $ 31,808
======= ========= ======= ========= ======= =========
</TABLE>
<TABLE>
<CAPTION>
INSTITUTIONAL CLASS PLANAHEAD CLASS AMR CLASS
-------------------- -------------------- --------------------
INTERMEDIATE BOND FUND SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
---------------------- ------- --------- ------- --------- ------- ---------
<S> <C> <C> <C> <C> <C> <C>
Shares sold................................ 11,139 $ 111,974 333 $ 3,405 6,123 $ 60,046
Reinvestment of dividends.................. 1,818 18,104 10 97 153 1,484
Shares redeemed............................ (8,557) (83,470) (185) (1,826) (1,405) (13,536)
------- --------- ------- --------- ------- ---------
Net increase in capital shares
outstanding.............................. 4,400 $ 46,608 158 $ 1,676 4,871 $ 47,994
======= ========= ======= ========= ======= =========
</TABLE>
- --------------------------------------------------------------------------------
22
<PAGE> 25
AMERICAN AADVANTAGE FUNDS
NOTES TO FINANCIAL STATEMENTS -- CONTINUED
October 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INSTITUTIONAL CLASS PLANAHEAD CLASS AMR CLASS
-------------------- -------------------- --------------------
SHORT-TERM BOND FUND SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
-------------------- ------- --------- ------- --------- ------- ---------
<S> <C> <C> <C> <C> <C> <C>
Shares sold................................ 432 $ 4,072 114 $ 1,073 2,308 $ 21,789
Reinvestment of dividends.................. 58 549 14 137 571 5,378
Shares redeemed............................ (1,866) (17,585) (338) (3,203) (5,572) (52,336)
------- --------- ------- --------- ------- ---------
Net decrease in capital
shares outstanding....................... (1,376) $ (12,964) (210) $ (1,993) (2,693) $ (25,169)
======= ========= ======= ========= ======= =========
</TABLE>
Year Ended October 31, 1998
<TABLE>
<CAPTION>
INSTITUTIONAL CLASS PLANAHEAD CLASS AMR CLASS
-------------------- -------------------- --------------------
BALANCED FUND SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
------------- ------- --------- ------- --------- ------- ---------
<S> <C> <C> <C> <C> <C> <C>
Shares sold................................ 311 $ 4,507 1,325 $ 19,901 9,561 $ 138,850
Reinvestment of dividends.................. 1,792 24,512 496 6,705 10,442 142,636
Shares redeemed............................ (1,264) (19,259) (1,127) (16,805) (6,540) (93,567)
------- --------- ------- --------- ------- ---------
Net increase in capital shares
outstanding.............................. 839 $ 9,760 694 $ 9,801 13,463 $ 187,919
======= ========= ======= ========= ======= =========
</TABLE>
<TABLE>
<CAPTION>
INSTITUTIONAL CLASS PLANAHEAD CLASS AMR CLASS
-------------------- ------------------ -------------------
LARGE CAP VALUE FUND SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
-------------------- ------- --------- ------ -------- ------ ---------
<S> <C> <C> <C> <C> <C> <C>
Shares sold.................................. 3,629 $ 76,949 1,359 $ 28,766 11,020 $ 238,290
Reinvestment of dividends.................... 978 19,751 139 2,773 6,666 134,988
Shares redeemed.............................. (3,546) (74,564) ( 907) (18,695) (6,887) (145,870)
------ -------- ----- -------- ------ ---------
Net increase in capital shares outstanding... 1,061 $ 22,136 591 $ 12,844 10,799 $ 227,408
====== ======== ===== ======== ====== =========
</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.................................. 24,063 $ 379,746 8,870 $ 127,776 7,532 $ 128,399
Reinvestment of dividends.................... 686 10,935 73 1,156 1,408 22,478
Shares redeemed.............................. (14,183) (206,694) (7,369) (102,036) (6,868) (117,692)
------- --------- ------ --------- ------ ---------
Net increase in capital shares outstanding... 10,566 $ 183,987 1,574 $ 26,896 2,072 $ 33,185
======= ========= ====== ========= ====== =========
</TABLE>
<TABLE>
<CAPTION>
INSTITUTIONAL CLASS PLANAHEAD CLASS
-------------------- -------------------
INTERMEDIATE BOND FUND SHARES AMOUNT SHARES AMOUNT
---------------------- ------- --------- ------ ---------
<S> <C> <C> <C> <C>
Shares sold.................................. 5,402 $ 55,384 3 $ 29
Reinvestment of dividends.................... 1,204 12,589 -- --
Shares redeemed.............................. (10,855) (112,872) -- --
------- --------- ------ ---------
Net increase (decrease) in capital shares
outstanding................................ (4,249) $ (44,899) 3 $ 29
======= ========= ====== =========
</TABLE>
<TABLE>
<CAPTION>
INSTITUTIONAL CLASS PLANAHEAD CLASS AMR CLASS
-------------------- ------------------- -------------------
SHORT-TERM BOND FUND SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
-------------------- ------- --------- ------ --------- ------ ---------
<S> <C> <C> <C> <C> <C> <C>
Shares sold.................................. 381 $ 3,680 183 $ 1,771 3,338 $ 32,160
Reinvestment of dividends.................... 114 1,099 24 233 504 4,851
Shares redeemed.............................. (962) (9,258) (350) (3,379) (613) (5,897)
------- --------- ------ --------- ------ ---------
Net increase (decrease) in capital shares
outstanding................................ (467) $ (4,479) (143) $ (1,375) 3,229 $ 31,114
======= ========= ====== ========= ====== =========
</TABLE>
- --------------------------------------------------------------------------------
23
<PAGE> 26
AMERICAN AADVANTAGE BALANCED FUND
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout the period)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INSTITUTIONAL CLASS
----------------------------------------------------------------
YEAR ENDED OCTOBER 31,
----------------------------------------------------------------
1999(A) 1998(A) 1997(A) 1996(A)(B) 1995(A)(C)
-------- -------- -------- ---------- ----------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period........................ $ 14.56 $ 16.18 $ 15.14 $ 13.95 $ 12.36
-------- -------- -------- -------- --------
Income from investment operations:
Net investment income.................................... 0.50(E) 0.51(E) 0.63(E) 0.59(E) 0.54
Net gains (losses) on securities (both realized and
unrealized)............................................ (0.39)(E) 0.76(E) 2.16(E) 1.61(E) 1.71
-------- -------- -------- -------- --------
Total from investment operations............................ 0.11 1.27 2.79 2.20 2.25
-------- -------- -------- -------- --------
Less distributions:
Dividends from net investment income..................... (0.49) (0.63) (0.59) (0.57) (0.52)
Distributions from net realized gains on securities...... (1.17) (2.26) (1.16) (0.44) (0.14)
-------- -------- -------- -------- --------
Total distributions......................................... (1.66) (2.89) (1.75) (1.01) (0.66)
-------- -------- -------- -------- --------
Net asset value, end of period.............................. $ 13.01 $ 14.56 $ 16.18 $ 15.14 $ 13.95
======== ======== ======== ======== ========
Total return................................................ 0.53% 9.04% 20.04% 16.46% 19.39%
======== ======== ======== ======== ========
Ratios and supplemental data:
Net assets, end of period (in thousands)................. $139,519 $145,591 $148,176 $298,009 $249,913
Ratios to average net assets (annualized):
Expenses............................................. 0.59%(E) 0.59%(E) 0.60%(E) 0.62%(E) 0.63%
Net investment income................................ 3.55%(E) 3.54%(E) 3.88%(E) 4.00%(E) 4.30%
Decrease reflected in above expense ratio due to
absorption of expenses by the Manager.................. -- -- -- -- --
Portfolio turnover rate(D)............................... 90% 87% 105% 76% 73%
</TABLE>
- ---------------
(A) 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.
(B) Capital Guardian Trust Company was replaced by Brandywine Asset Management,
Inc. as an investment adviser to the Balanced Fund on April 1, 1996.
(C) GSB Investment Management, Inc. was added as an investment adviser to the
Balanced Fund as of January 1, 1995.
(D) On November 1, 1995, the American AAdvantage Balanced Fund invested all of
its investable assets in its corresponding Portfolio. Portfolio turnover
rate since November 1, 1995 is that of the Portfolio.
(E) 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.
- --------------------------------------------------------------------------------
24
<PAGE> 27
AMERICAN AADVANTAGE BALANCED FUND
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout the period)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PLANAHEAD CLASS AMR CLASS
- --------------------------------------------------- ------------------------------------------------------
YEAR ENDED OCTOBER 31, YEAR ENDED OCTOBER 31,
- ------------------------------------------------------------------ ------------------------------------------------------
1999(A) 1998(A) 1997(A) 1996(A)(B) 1995(A)(C) 1999(A) 1998(A) 1997(A) 1996(A)(B) 1995(A)(C)
- ------- ------- ------- ---------- ---------- -------- -------- -------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
$ 14.35 $ 16.03 $ 15.03 $ 13.90 $12.35 $ 14.57 $ 16.23 $ 15.18 $ 13.98 $ 12.36
- ------- ------- ------- ------- ------ -------- -------- -------- -------- --------
0.44(E) 0.47(E) 0.63(E) 0.57(E) 0.54 0.54(E) 0.55(E) 0.70(E) 0.63(E) 0.58
(0.39)(E) 0.75(E) 2.10(E) 1.56(E) 1.67 (0.39)(E) 0.76(E) 2.13(E) 1.61(E) 1.71
- ------- ------- ------- ------- ------ -------- -------- -------- -------- --------
0.05 1.22 2.73 2.13 2.21 0.15 1.31 2.83 2.24 2.29
- ------- ------- ------- ------- ------ -------- -------- -------- -------- --------
(0.44) (0.64) (0.57) (0.56) (0.52) (0.53) (0.71) (0.62) (0.60) (0.53)
(1.17) (2.26) (1.16) (0.44) (0.14) (1.17) (2.26) (1.16) (0.44) (0.14)
- ------- ------- ------- ------- ------ -------- -------- -------- -------- --------
(1.61) (2.90) (1.73) (1.00) (0.66) (1.70) (2.97) (1.78) (1.04) (0.67)
- ------- ------- ------- ------- ------ -------- -------- -------- -------- --------
$ 12.79 $ 14.35 $ 16.03 $ 15.03 $13.90 $ 13.02 $ 14.57 $ 16.23 $ 15.18 $ 13.98
======= ======= ======= ======= ====== ======== ======== ======== ======== ========
0.22% 8.73% 19.75% 16.01% 19.06% 0.83% 9.34% 20.36% 16.77% 19.77%
======= ======= ======= ======= ====== ======== ======== ======== ======== ========
$22,753 $40,717 $34,354 $18,000 $5,450 $840,935 $886,908 $769,289 $576,673 $542,619
0.90%(E) 0.89%(E) 0.90%(E) 0.97%(E) 0.99% 0.34%(E) 0.33%(E) 0.34%(E) 0.37%(E) 0.38%
3.21%(E) 3.23%(E) 3.52%(E) 3.64%(E) 3.70% 3.81%(E) 3.79%(E) 4.09%(E) 4.26%(E) 4.54%
-- -- -- -- 0.10% -- -- -- -- --
90% 87% 105% 76% 73% 90% 87% 105% 76% 73%
</TABLE>
- --------------------------------------------------------------------------------
25
<PAGE> 28
AMERICAN AADVANTAGE LARGE CAP VALUE FUND
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout the period)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INSTITUTIONAL CLASS
------------------------------------------------------------
YEAR ENDED OCTOBER 31,
------------------------------------------------------------
1999(A)(E) 1998(A) 1997(A) 1996(A)(B) 1995(A)
---------- -------- -------- ---------- -------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period...................... $ 20.93 $ 21.63 $ 18.50 $ 15.91 $ 14.19
------- -------- -------- ------- -------
Income from investment operations:
Net investment income................................... 0.38(D) 0.40(D) 0.42(D) 0.42(D) 0.41
Net gains (losses) on securities (both realized and
unrealized)........................................... 0.04(D) 0.89(D) 4.43(D) 3.15(D) 2.28
------- -------- -------- ------- -------
Total from investment operations.......................... 0.42 1.29 4.85 3.57 2.69
------- -------- -------- ------- -------
Less distributions:
Dividends from net investment income.................... (0.40) (0.41) (0.41) (0.41) (0.43)
Distributions from net realized gains on securities..... (2.26) (1.58) (1.31) (0.57) (0.54)
------- -------- -------- ------- -------
Total distributions....................................... (2.66) (1.99) (1.72) (0.98) (0.97)
------- -------- -------- ------- -------
Net asset value, end of period............................ $ 18.69 $ 20.93 $ 21.63 $ 18.50 $ 15.91
======= ======== ======== ======= =======
Total return.............................................. 1.72% 6.28% 28.05% 23.37% 20.69%
======= ======== ======== ======= =======
Ratios and supplemental data:
Net assets, end of period (in thousands)................ $45,039 $216,548 $200,887 $81,183 $71,608
Ratios to average net assets (annualized):
Expenses.............................................. 0.59%(D) 0.57%(D) 0.61%(D) 0.62%(D) 0.62%
Net investment income................................. 1.94%(D) 1.86%(D) 2.10%(D) 2.55%(D) 2.84%
Decrease reflected in above expense ratio due to
absorption of expenses by the Manager................. -- -- -- -- --
Portfolio turnover rate(C )............................. 33% 40% 35% 40% 26%
</TABLE>
- ---------------
(A) 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.
(B) Capital Guardian Trust Company was replaced by Brandywine Asset Management,
Inc. as an investment adviser to the Large Cap Value Fund on April 1, 1996.
(C) On November 1, 1995, the American AAdvantage Large Cap Value Fund invested
all of its investable assets in its corresponding Portfolio. Portfolio
turnover rate since November 1, 1995 is that of the Portfolio.
(D) 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 Large Cap Value Portfolio.
(E) Prior to March 1, 1999, the Large Cap Value Fund was known as the Growth
and Income Fund.
- --------------------------------------------------------------------------------
26
<PAGE> 29
AMERICAN ADVANTAGE GROWTH AND INCOME FUND
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout the period)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PLAN AHEAD CLASS AMR CLASS
- --------------------------------------------- ---------------------------------------------------------------------------------
YEAR ENDED OCTOBER 31, YEAR ENDED OCTOBER 31,
- --------------------------------------------- ---------------------------------------------------------------------------------
1999(A)(E) 1998(A) 1997(A) 1996(A)(B) 1995(A) 1999(A)(E) 1998(A) 1997(A) 1996(A B) 1995(A)
- ---------- ------- ------- ---------- ------- ----------- ---------- ---------- ---------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
$ 20.67 $ 21.38 $ 18.33 $ 15.81 $ 14.17 $ 21.03 $ 21.70 $ 18.56 $ 15.95 $ 14.20
------- ------- ------- ------- ------- ---------- ---------- ---------- ---------- --------
0.35(D) 0.35(D) 0.35(D) 0.39(D) 0.40 0.49(D) 0.46(D) 0.45(D) 0.47(D) 0.44
0.01(D) 0.86(D) 4.39(D) 3.10(D) 2.22 (0.02)(D) 0.89(D) 4.47(D) 3.15(D) 2.30
------- ------- ------- ------- ------- ---------- ---------- ---------- ---------- --------
0.36 1.21 4.74 3.49 2.62 0.47 1.35 4.92 3.62 2.74
------- ------- ------- ------- ------- ---------- ---------- ---------- ---------- --------
(0.36) (0.34) (0.38) (0.40) (0.44) (0.47) (0.44) (0.47) (0.44) (0.45)
(2.26) (1.58) (1.31) (0.57) (0.54) (2.26) (1.58) (1.31) (0.57) (0.54)
------- ------- ------- ------- ------- ---------- ---------- ---------- ---------- --------
(2.62) (1.92) (1.69) (0.97) (0.98) (2.73) (2.02) (1.78) (1.01) (0.99)
------- ------- ------- ------- ------- ---------- ---------- ---------- ---------- --------
$ 18.41 $ 20.67 $ 21.38 $ 18.33 $ 15.81 $ 18.77 $ 21.03 $ 21.70 $ 18.56 $ 15.95
======= ======= ======= ======= ======= ========== ========== ========== ========== ========
1.41% 5.94% 27.64% 22.98% 20.14% 1.97% 6.56% 28.40% 23.66% 21.03%
======= ======= ======= ======= ======= ========== ========== ========== ========== ========
$20,095 $40,907 $29,684 $16,084 $ 4,821 $1,384,358 $1,614,432 $1,431,805 $1,008,518 $706,884
0.90%(D) 0.86%(D) 0.93%(D) 0.94%(D) 0.99% 0.34%(D) 0.31%(D) 0.34%(D) 0.36%(D) 0.38%
1.62%(D) 1.58%(D) 1.85%(D) 2.16%(D) 2.23% 2.17%(D) 2.12%(D) 2.45%(D) 2.80%(D) 3.20%
-- -- -- 0.02% 0.09% -- -- -- -- --
33% 40% 35% 40% 26% 33% 40% 35% 40% 26%
</TABLE>
- --------------------------------------------------------------------------------
27
<PAGE> 30
AMERICAN AADVANTAGE SMALL CAP VALUE FUND
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout the period)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INSTITUTIONAL CLASS PLANAHEAD CLASS AMR CLASS
------------------- ---------------- ----------------
DECEMBER 31, 1998
TO MARCH 1 TO MARCH 1 TO
OCTOBER 31, 1999 OCTOBER 31, 1999 OCTOBER 31, 1999
------------------- ---------------- ----------------
<S> <C> <C> <C>
Net asset value, beginning of period...................... $ 10.00 $ 9.13 $ 9.13
------- ------ -------
Income from investment operations:
Net investment income(A)................................ 0.07 0.02 0.04
Net gains (losses) on securities (both realized and
unrealized)(A)........................................ (1.00) (0.10) (0.09)
------- ------ -------
Total from investment operations.......................... (0.93) (0.08) (0.05)
------- ------ -------
Less distributions:
Dividends from net investment income.................... -- -- --
Distributions from net realized gains on securities..... -- -- --
------- ------ -------
Total distributions....................................... -- -- --
------- ------ -------
Net asset value, end of period............................ $ 9.07 $ 9.05 $ 9.08
======= ====== =======
Total return (not annualized)............................. (9.30)% (0.88)% (0.55)%
======= ====== =======
Ratios and supplemental data:
Net assets, end of period (in thousands)................ $ 2,117 $ 74 $64,662
Ratios to average net assets (annualized)(A):
Expenses.............................................. 0.96% 1.28% 0.70%
Net investment income................................. 0.84% 0.57% 1.14%
Decrease reflected in above expense ratio due to
absorption of expenses by the Manager............... 1.23% 0.18% 0.24%
Portfolio Turnover Rate(B)............................ 31% 31% 31%
</TABLE>
- ---------------
(A) 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 Small Cap Value Portfolio.
(B) The American AAdvantage Small Cap Value Fund invests all of its investable
assets in its corresponding Portfolio. Portfolio turnover rate is that of
the Portfolio.
- --------------------------------------------------------------------------------
28
<PAGE> 31
[AMERICAN EAGLE LOGO]
- --------------------------------------------------------------------------------
29
<PAGE> 32
AMERICAN AADVANTAGE INTERNATIONAL EQUITY FUND
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout the period)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INSTITUTIONAL CLASS
-------------------------------------------------------------
YEAR ENDED OCTOBER 31,
-------------------------------------------------------------
1999(A)(B) 1998(A) 1997(A) 1996(A) 1995(A)
----------- -------- -------- ------- -------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period........................ $ 16.93 $ 17.08 $ 15.01 $ 13.29 $ 12.87
-------- -------- -------- ------- -------
Income from investment operations:
Net investment income.................................... 0.35(D) 0.33(D) 0.34(D) 0.28(D) 0.27
Net gains on securities (both realized and unrealized)... 2.92(D) 0.34(D) 2.44(D) 1.95(D) 0.68
-------- -------- -------- ------- -------
Total from investment operations............................ 3.27 0.67 2.78 2.23 0.95
-------- -------- -------- ------- -------
Less distributions:
Dividends from net investment income..................... (0.35) (0.34) (0.30) (0.27) (0.21)
Distributions from net realized gains on securities...... (0.49) (0.48) (0.41) (0.24) (0.32)
-------- -------- -------- ------- -------
Total distributions......................................... (0.84) (0.82) (0.71) (0.51) (0.53)
-------- -------- -------- ------- -------
Net asset value, end of period.............................. $ 19.36 $ 16.93 $ 17.08 $ 15.01 $ 13.29
======== ======== ======== ======= =======
Total return................................................ 19.98% 4.19% 19.08% 17.27% 7.90%
======== ======== ======== ======= =======
Ratios and supplemental data:
Net assets, end of period (in thousands)................. $601,923 $408,581 $231,793 $62,992 $25,757
Ratios to average net assets (annualized):
Expenses............................................. 0.64%(D) 0.80%(D) 0.83%(D) 0.85%(D) 0.85%
Net investment income................................ 2.00%(D) 2.05%(D) 2.35%(D) 2.19%(D) 2.37%
Portfolio turnover rate(C)............................... 63% 24% 15% 19% 21%
</TABLE>
- ---------------
(A) 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.
(B) Morgan Stanley Asset Management, Inc. was replaced by Lazard Asset
Management and Independence Investment Associates as investment advisor to
the International Equity Fund on March 1, 1999.
(C) On November 1,1995, the American AAdvantage International Equity Fund
invested all of its investable assets in its corresponding Portfolio.
Portfolio turnover rate since November 1, 1995 is that of the Portfolio.
(D) 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.
- --------------------------------------------------------------------------------
30
<PAGE> 33
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PLANAHEAD CLASS AMR CLASS
- ------------------------------------------------------------- ---------------------------------------------------------------
YEAR ENDED OCTOBER 31, YEAR ENDED OCTOBER 31,
- ------------------------------------------------------------- ---------------------------------------------------------------
1999(A)(B) 1998(A) 1997(A) 1996(A) 1995(A) 1999(A)(B) 1998(A) 1997(A) 1996(A) 1995(A)
- ---------- ------- ------- ------- ------- --------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
$ 16.75 $ 16.92 $ 14.90 $ 13.20 $12.85 $ 17.01 $ 17.15 $ 15.06 $ 13.31 $ 12.87
------- ------- ------- ------- ------ -------- -------- -------- -------- --------
0.30(D) 0.31(D) 0.30(D) 0.26(D) 0.24 0.39(D) 0.37(D) 0.37(D) 0.31(D) 0.30
2.89(D) 0.31(D) 2.41(D) 1.92(D) 0.64 2.94(D) 0.34(D) 2.46(D) 1.98(D) 0.68
------- ------- ------- ------- ------ -------- -------- -------- -------- --------
3.19 0.62 2.71 2.18 0.88 3.33 0.71 2.83 2.29 0.98
------- ------- ------- ------- ------ -------- -------- -------- -------- --------
(0.32) (0.31) (0.28) (0.24) (0.21) (0.39) (0.37) (0.33) (0.30) (0.32)
(0.49) (0.48) (0.41) (0.24) (0.32) (0.49) (0.48) (0.41) (0.24) (0.32)
------- ------- ------- ------- ------ -------- -------- -------- -------- --------
(0.81) (0.79) (0.69) (0.48) (0.53) (0.88) (0.85) (0.74) (0.54) (0.54)
------- ------- ------- ------- ------ -------- -------- -------- -------- --------
$ 19.13 $ 16.75 $ 16.92 $ 14.90 $13.20 $ 19.46 $ 17.01 $ 17.15 $ 15.06 $ 13.31
======= ======= ======= ======= ====== ======== ======== ======== ======== ========
19.68% 3.94% 18.71% 16.95% 7.37% 20.27% 4.44% 19.39% 17.72% 8.18%
======= ======= ======= ======= ====== ======== ======== ======== ======== ========
$60,602 $46,242 $20,075 $ 7,138 $1,456 $602,593 $496,040 $464,588 $330,898 $227,939
0.93%(D) 1.08%(D) 1.14%(D) 1.17%(D) 1.33% 0.39%(D) 0.53%(D) 0.58%(D) 0.57%(D) 0.60%
1.71%(D) 1.72%(D) 1.95%(D) 1.76%(D) 2.08% 2.25%(D) 2.26%(D) 2.51%(D) 2.49%(D) 2.65%
63% 24% 15% 19% 21% 63% 24% 15% 19% 21%
</TABLE>
- --------------------------------------------------------------------------------
31
<PAGE> 34
AMERICAN AADVANTAGE INTERMEDIATE BOND FUND
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout the period)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INSTITUTIONAL CLASS PLAN AHEAD CLASS AMR CLASS
----------------------------------------- ------------------------- -----------
SEPTEMBER 15, YEAR MARCH 2 MARCH 1
YEAR ENDED TO ENDED TO TO
OCTOBER 31, OCTOBER 31, OCTOBER 31, OCTOBER 31, OCTOBER 31,
1999 1998 1997 1999 1998 1999
----------- ----------- ------------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of
period.............................. $ 10.50 $ 10.17 $ 10.00 $ 10.55 $ 10.25 $ 9.95
-------- -------- -------- -------- -------- --------
Income from investment operations:
Net investment income(A).......... 0.56 0.59 0.07 0.53 0.37 0.39
Net gains (losses) on securities
(both realized and
unrealized)(A).................. (0.63) 0.34 0.17 (0.63) 0.30 (0.37)
-------- -------- -------- -------- -------- --------
Total from investment operations.... (0.07) 0.93 0.24 (0.10) 0.67 0.02
-------- -------- -------- -------- -------- --------
Less distributions:
Dividends from net investment
income.......................... (0.56) (0.59) (0.07) (0.53) (0.37) (0.39)
Distributions from net realized
gains on securities............. (0.29) (0.01) -- (0.29) -- --
-------- -------- -------- -------- -------- --------
Total distributions................. (0.85) (0.60) (0.07) (0.82) (0.37) (0.39)
-------- -------- -------- -------- -------- --------
Net asset value, end of period...... $ 9.58 $ 10.50 $ 10.17 $ 9.63 $ 10.55 $ 9.58
======== ======== ======== ======== ======== ========
Total return (not annualized)....... (0.83)% 9.37% 2.41% (0.98)% 6.63% (0.17)%
======== ======== ======== ======== ======== ========
Ratios and supplemental data:
Net assets, end of period (in
thousands)...................... $205,218 $178,840 $216,249 $ 1,545 $ 30 $ 46,655
Ratios to average net assets
(annualized)(A):
Expenses........................ 0.55% 0.57% 0.59% 0.85% 0.86% 0.30%
Net investment income........... 5.62% 5.74% 5.63% 5.32% 5.21% 6.12%
Portfolio turnover rate(B)........ 123% 181% 47% 123% 181% 123%
</TABLE>
- ---------------
(A)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 Intermediate Bond Portfolio.
(B)The American AAdvantage Intermediate Bond Fund invests all of its investable
assets in its corresponding Portfolio. Portfolio turnover rate is that of the
Portfolio.
- --------------------------------------------------------------------------------
32
<PAGE> 35
[AMERICAN EAGLE LOGO]
- --------------------------------------------------------------------------------
33
<PAGE> 36
AMERICAN AADVANTAGE SHORT-TERM BOND FUND
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout the period)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INSTITUTIONAL CLASS
----------------------------------------------------
YEAR ENDED OCTOBER 31,
----------------------------------------------------
1999 1998(A) 1997 1996 1995
------ ------- ------- -------- --------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period....................... $ 9.63 $ 9.63 $ 9.68 $ 9.82 $ 9.67
------ ------- ------- -------- --------
Income from investment operations:
Net investment income.................................. 0.53 (C) 0.62 (C) 0.64 (C) 0.62 (C) 0.62
Net gains (losses) on securities (both realized and
unrealized).......................................... (0.29)(C) -- (C) (0.05)(C) (0.14)(C) 0.15
------ ------- ------- -------- --------
Total from investment operations........................... 0.24 0.62 0.59 0.48 0.77
------ ------- ------- -------- --------
Less distributions:
Dividends from net investment income................... (0.57) (0.62) (0.64) (0.62) (0.62)
Distributions from net realized gains on securities.... -- -- -- -- --
------ ------- ------- -------- --------
Total distributions........................................ (0.57) (0.62) (0.64) (0.62) (0.62)
------ ------- ------- -------- --------
Net asset value, end of period............................. $ 9.30 $ 9.63 $ 9.63 $ 9.68 $ 9.82
====== ======= ======= ======== ========
Total return............................................... 2.56% 6.60% 6.29% 5.10% 8.18%
====== ======= ======= ======== ========
Ratios and supplemental data:
Net assets, end of period (in thousands)............... $5,034 $18,453 $22,947 $108,929 $137,293
Ratios to average net assets (annualized):
Expenses............................................... 0.62%(C) 0.65%(C) 0.57%(C) 0.60%(C) 0.60%
Net investment income.................................. 5.92%(C) 6.43%(C) 6.67%(C) 6.41%(C) 6.36%
Decrease reflected in above expense ratio due to
absorption of expenses by the Manager................ -- -- -- -- --
Portfolio turnover rate(B)............................. 115% 74% 282% 304% 183%
</TABLE>
- ---------------
(A) Prior to March 1, 1998, the American AAdvantage Short-Term Bond Fund was
known as the American AAdvantage Limited-Term Income Fund.
(B) On November 1, 1995, the American AAdvantage Short-Term Bond Fund invested
all of its investable assets in its corresponding Portfolio. Portfolio
turnover rate since November 1, 1995 is that of the Portfolio.
(C) 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 Short-Term Bond Portfolio.
- --------------------------------------------------------------------------------
34
<PAGE> 37
AMERICAN AADVANTAGE SHORT-TERM BOND FUND
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout the period)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PLANAHEAD CLASS AMR CLASS
- ----------------------------------------------------------- ---------------------------------------------------------------
YEAR ENDED OCTOBER 31, YEAR ENDED OCTOBER 31,
- ----------------------------------------------------------- ---------------------------------------------------------------
1999 1998(A) 1997 1996 1995 1999 1998(A) 1997 1996 1995
- ------ ------- ------ ------ ------ ------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
$ 9.64 $ 9.63 $ 9.68 $ 9.82 $ 9.68 $ 9.62 $ 9.62 $ 9.67 $ 9.81 $ 9.68
- ------ ------ ------ ------ ------ ------- ------- ------- ------- -------
0.54 (C) 0.60(C) 0.61(C) 0.60(C) 0.59 0.59(C) 0.65(C) 0.66(C) 0.65(C) 0.64
(0.33)(C) 0.01(C) (0.05)(C) (0.14)(C) 0.14 (0.33)(C) --(C) (0.05)(C) (0.14)(C) 0.13
- ------ ------ ------ ------ ------ ------- ------- ------- ------- -------
0.21 0.61 0.56 0.46 0.73 0.26 0.65 0.61 0.51 0.77
- ------ ------ ------ ------ ------ ------- ------- ------- ------- -------
(0.55) (0.60) (0.61) (0.60) (0.59) (0.59) (0.65) (0.66) (0.65) (0.64)
-- -- -- -- -- -- -- -- -- --
- ------ ------ ------ ------ ------ ------- ------- ------- ------- -------
(0.55) (0.60) (0.61) (0.60) (0.59) (0.59) (0.65) (0.66) (0.65) (0.64)
- ------ ------ ------ ------ ------ ------- ------- ------- ------- -------
$ 9.30 $ 9.64 $ 9.63 $ 9.68 $ 9.82 $ 9.29 $ 9.62 $ 9.62 $ 9.67 $ 9.81
====== ====== ====== ====== ====== ======= ======= ======= ======= =======
2.21% 6.50% 6.01% 4.83% 7.83% 2.83% 6.93% 6.57% 5.38% 8.22%
====== ====== ====== ====== ====== ======= ======= ======= ======= =======
$1,638 $3,722 $5,096 $3,399 $1,576 $66,767 $95,056 $64,010 $59,526 $64,595
0.84%(C) 0.85%(C) 0.85%(C) 0.85%(C) 0.83% 0.35%(C) 0.34%(C) 0.32%(C) 0.33%(C) 0.36%
5.75%(C) 6.24%(C) 6.36%(C) 6.11%(C) 6.16% 6.26%(C) 6.71%(C) 6.90%(C) 6.66%(C) 6.60%
0.09% 0.08% 0.05% 0.09% 0.23% -- -- -- -- --
115% 74% 282% 304% 183% 115% 74% 282% 304% 183%
</TABLE>
- --------------------------------------------------------------------------------
35
<PAGE> 38
SPECIAL MEETING OF SHAREHOLDERS (UNAUDITED)
A special meeting of shareholders of the American AAdvantage Balanced Fund
("Balanced Fund"), American AAdvantage Large Cap Value Fund ("Large Cap Value
Fund"), American AAdvantage Small Cap Value Fund ("Small Cap Value Fund"), and
the American AAdvantage International Equity Fund ("International Fund") (the
"Funds") was held on August 9, 1999. The following matters were voted on at the
meeting:
(1) Approved a change to the fundamental investment restrictions to allow the
purchase and sale of futures contracts and options on futures contracts.
<TABLE>
<CAPTION>
FOR AGAINST ABSTAIN NON-VOTING
-------------- ----------- ---------- --------------
<S> <C> <C> <C> <C>
Balanced Fund......................................... 66,589,365.358 65,555.944 6,801.825 12,688,031.112
Large Cap Value Fund.................................. 78,675,261.757 214,879.367 10,651.017 4,363,025.239
Small Cap Value Fund.................................. 3,273,674.500 0.000 0.000 71,110.121
International Fund.................................... 36,437,508.011 222,777.318 3,693.735 25,771,503.939
</TABLE>
(2) Approved a change to the fundamental investment restrictions to allow the
borrowing of money from AMR Investment Services, Inc. and any of its
affiliates under certain limited circumstances.
<TABLE>
<CAPTION>
FOR AGAINST ABSTAIN NON-VOTING
-------------- ----------- ---------- --------------
<S> <C> <C> <C> <C>
Balanced Fund......................................... 66,597,742.516 50,808.639 13,171.970 12,688,031.112
Large Cap Value Fund.................................. 78,685,540.478 201,246.198 14,005.465 4,363,025.239
Small Cap Value Fund.................................. 3,273,674.500 0.000 0.000 71,110.121
International Fund.................................... 36,441,047.767 215,724.844 7,206.453 25,771,503.939
</TABLE>
(3) The shareholders of the Funds authorized the Balanced, Large Cap Value,
Small Cap Value, and International Equity Portfolios (the "Portfolios") of
the AMR Investment Services Trust to vote on the following at a special
meeting of interest holders of the Portfolios.
(a) To change the Portfolios' fundamental investment restrictions to allow
the purchase and sale of futures contracts and options on futures
contracts.
<TABLE>
<CAPTION>
FOR AGAINST ABSTAIN NON-VOTING
-------------- ----------- ---------- --------------
<S> <C> <C> <C> <C>
Balanced Fund......................................... 66,589,365.358 65,555.944 6,801.825 12,688,031.112
Large Cap Value Fund.................................. 78,675,110.137 214,879.367 10,802.637 4,363,025.239
Small Cap Value Fund.................................. 3,273,674.500 0.000 0.000 71,110.121
International Fund.................................... 36,437,508.011 222,777.318 3,693.735 25,771,503.939
</TABLE>
(b) To change the Portfolios' fundamental investment restrictions to allow
the borrowing of money from AMR Investment Services, Inc. and any of
its affiliates under certain limited circumstances.
<TABLE>
<CAPTION>
FOR AGAINST ABSTAIN NON-VOTING
-------------- ----------- ---------- --------------
<S> <C> <C> <C> <C>
Balanced Fund......................................... 66,597,742.516 50,808.639 13,171.970 12,688,031.112
Large Cap Value Fund.................................. 78,686,077.279 200,861.017 13,853.845 4,363,025.239
Small Cap Value Fund.................................. 3,273,674.500 0.000 0.000 71,110.121
International Fund.................................... 36,441,047.767 215,724.844 7,206.453 25,771,503.939
</TABLE>
- --------------------------------------------------------------------------------
36
<PAGE> 39
AMERICAN AADVANTAGE FUNDS
ADDITIONAL SHAREHOLDER INFORMATION -- (Unaudited)
- --------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS:
Pursuant to provisions of the Internal Revenue Code, the Funds have
designated the following amounts as long-term capital gain distributions for the
fiscal year ended October 31, 1999:
<TABLE>
<CAPTION>
LARGE CAP INTERNATIONAL
BALANCED FUND VALUE FUND EQUITY FUND
-------------- ------------- --------------
<S> <C> <C> <C>
Institutional Class:
Amount of Distribution $ 8,249,852.95 $3,464,272.79 $38,935,080.34
Dividend Rate per Share $ 0.7799 $ 2.7993 $ 1.2708
PlanAhead Class:
Amount of Distribution $ 1,500,283.11 $4,058,051.08 $ 3,940,766.27
Dividend Rate per Share $ 0.7799 $ 2.7993 $ 1.2708
AMR Class:
Amount of Distribution $49,148,228.73 $192,009,427.18 $41,672,287.54
Dividend Rate per Share $ 0.7799 $ 2.7993 $ 1.2708
</TABLE>
The International Equity Fund has elected to pass through the credit for taxes
paid in foreign countries. The Fund will notify shareholders in January 2000 of
amounts for use in preparing 1999 income tax returns.
- --------------------------------------------------------------------------------
37
<PAGE> 40
REPORT OF ERNST & YOUNG LLP, INDEPENDENT AUDITORS
Shareholders and Board of Trustees
AMR Investment Services Balanced Portfolio
AMR Investment Services Large Cap Value Portfolio
AMR Investment Services Small Cap Value Portfolio
AMR Investment Services International Equity Portfolio
AMR Investment Services Intermediate Bond Portfolio
AMR Investment Services Short-Term Bond Portfolio
We have audited the accompanying statements of assets and liabilities of
the AMR Investment Services Balanced Portfolio, the AMR Investment Services
Large Cap Value Portfolio, the AMR Investment Services Small Cap Value
Portfolio, the AMR Investment Services International Equity Portfolio, the AMR
Investment Services Intermediate Bond Portfolio, and the AMR Investment Services
Short-Term Bond Portfolio (collectively, "the Portfolios") (separate portfolios
comprising the AMR Investment Services Trust), including the schedules of
investments, as of October 31, 1999, and the related statements of operations,
the statements of changes in net assets, and the financial highlights for each
of the periods indicated therein. These financial statements and financial
highlights are the responsibility of the Portfolios' management. Our
responsibility is to express an opinion on these financial statements and
financial highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of investments owned as of
October 31, 1999, by correspondence with the custodian. An audit also includes
assessing the accounting principles used and significant estimates made by
management, as well as evaluating the overall financial statement presentation.
We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred
to above present fairly, in all material respects, the financial position of
each of the portfolios of the AMR Investment Services Trust at October 31, 1999,
the results of their operations, the changes in their net assets, and the
financial highlights for each of the periods indicated therein, in conformity
with generally accepted accounting principles.
/s/ ERNST & YOUNG
Dallas, Texas
December 17, 1999
- --------------------------------------------------------------------------------
38
<PAGE> 41
AMR INVESTMENT SERVICES BALANCED PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
AMOUNT VALUE
-------- -----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
U.S. TREASURY OBLIGATIONS - 11.14%
U.S. TREASURY NOTES - 4.58%
6.25%, Due 5/31/2000............. $ 1,000 $ 1,005
6.00%, Due 8/15/2000............. 2,000 2,007
5.625%, Due 11/30/2000........... 1,500 1,500
6.375%, Due 3/31/2001............ 1,500 1,512
5.625%, Due 5/15/2001............ 1,000 998
6.38%, Due 9/30/2001............. 1,500 1,515
6.25%, Due 10/31/2001............ 5,810 5,855
7.50%, Due 11/15/2001............ 1,000 1,031
5.88%, Due 11/30/2001............ 1,000 1,001
7.50%, Due 5/15/2002............. 1,500 1,556
6.00%, Due 7/31/2002............. 950 953
6.375%, Due 8/15/2002............ 1,250 1,265
6.25%, Due 8/31/2002............. 4,720 4,763
6.25%, Due 2/15/2003............. 1,000 1,009
5.25%, Due 8/15/2003............. 1,000 976
4.75%, Due 2/15/2004............. 1,000 954
6.00%, Due 8/15/2004............. 260 261
7.875%, Due 11/15/2004........... 2,000 2,154
6.50%, Due 8/15/2005............. 1,000 1,018
5.875%, Due 11/15/2005........... 1,000 989
5.625%, Due 2/15/2006............ 1,000 975
6.50%, Due 10/15/2006............ 7,500 7,634
6.625%, Due 5/15/2007............ 3,520 3,612
4.75%, Due 11/15/2008............ 1,755 1,587
----------
TOTAL U.S. TREASURY NOTES.... 46,130
----------
U.S. TREASURY COUPON STRIP - 0.39%
Due 2/15/2009.................... 7,000 3,885
----------
TOTAL U.S. TREASURY COUPON
STRIP...................... 3,885
----------
U.S. TREASURY BONDS - 6.17%
10.75%, Due 2/15/2003............ 3,060 3,485
14.00%, Due 11/15/2011........... 2,750 3,928
10.375%, Due 11/15/2012.......... 5,130 6,387
7.25%, Due 5/15/2016............. 3,500 3,772
8.125%, Due 8/15/2019............ 9,130 10,753
7.25%, Due 8/15/2022............. 7,635 8,329
6.25%, Due 8/15/2023............. 3,880 3,798
6.00%, Due 2/15/2026............. 2,555 2,424
6.375%, Due 8/15/2027............ 6,475 6,451
6.125%, Due 11/15/2027........... 3,520 3,400
6.50%, Due 11/15/2026............ 1,850 1,871
5.25%, Due 11/15/2028............ 2,975 2,558
5.25%, Due 2/15/2029............. 5,760 4,982
----------
TOTAL U. S. TREASURY BONDS... 62,138
----------
TOTAL U.S. TREASURY
OBLIGATIONS................ 112,153
----------
U.S. AGENCY MORTGAGE-BACKED OBLIGATIONS - 6.60%
FEDERAL HOME LOAN MORTGAGE CORPORATION - 4.14%
5.75%, Due 6/15/2001............. 7,005 6,970
5.25%, Due 4/25/2002............. 4,015 3,923
</TABLE>
<TABLE>
<CAPTION>
PAR
AMOUNT VALUE
-------- -----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
5.73%, Due 8/11/2003............. $ 1,000 $ 976
5.13%, Due 9/15/2003............. 4,220 4,035
5.81%, Due 8/17/2005............. 1,250 1,207
5.85%, Due 1/22/2008............. 1,000 944
5.82%, Due 3/30/2009............. 1,000 938
6.50%, Due 3/25/2011............. 1,750 1,733
6.00%, Due 3/1/2013.............. 549 528
6.00%, Due 5/1/2014.............. 1,948 1,873
6.50%, Due 5/1/2029.............. 2,459 2,359
6.50%, Due 6/1/2029.............. 395 379
TBA 7.50%, Due 12/1/2099......... 10,650 10,690
TBA 8.00%, Due 12/1/2099......... 5,000 5,108
----------
TOTAL FEDERAL HOME LOAN
MORTGAGE CORPORATION....... 41,663
----------
FEDERAL NATIONAL MORTGAGE ASSOCIATION - 1.86%
5.125%, Due 2/13/2004............ 1,088 1,033
Series 1989-21 G, 10.45%, Due
4/25/2019...................... 76 82
Pool # 306505, 8.00%, Due
3/1/2025....................... 326 332
TBA, 6.09%, Due 9/27/2027........ 2,500 2,224
5.98%, Due 11/12/2027............ 2,500 2,190
5.96%, Due 9/11/2028............. 1,000 872
Pool # 323706, 7.00%, Due
4/1/2029....................... 1,957 1,967
TBA, 7.00%, Due 1/1/2099......... 5,920 5,813
TBA, 6.50%, Due 12/1/2099........ 4,280 4,197
----------
TOTAL FEDERAL NATIONAL
MORTGAGE ASSOCIATION....... 18,710
----------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION - 0.60%
Pool # 466318, 7.00%, Due
1/15/2028...................... 2,288 2,245
Pool # 491467, 6.50%, Due
5/15/2029...................... 498 476
TBA, 7.00%, Due 12/15/2099....... 2,275 2,232
TBA, 6.00%, Due 12/15/2099....... 1,130 1,126
----------
TOTAL GOVERNMENT NATIONAL
MORTGAGE ASSOCIATION....... 6,079
----------
TOTAL U.S. AGENCY
MORTGAGE-BACKED
OBLIGATIONS................ 66,452
----------
ASSET-BACKED SECURITIES - 1.41%
Amresco Commercial Mortgage
Funding I, Series 1997-C1 A3,
7.19%, Due 6/17/2029........... 1,510 1,502
Asset Securitization Corporation,
Series 1997-D5 A1C, 6.75%, Due
2/14/2041...................... 2,000 1,928
Chase Commercial Mortgage
Securities Corporation, Series
1997-1 A2, 7.37%, Due
2/19/2007...................... 1,100 1,106
Commercial Mortgage Asset Trust,
7.546%, Due 12/17/2009......... 2,000 2,017
</TABLE>
See accompanying notes
- --------------------------------------------------------------------------------
39
<PAGE> 42
AMR INVESTMENT SERVICES BALANCED PORTFOLIO
SCHEDULE OF INVESTMENTS -- CONTINUED
October 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
AMOUNT VALUE
-------- -----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
Ditech Home Owner Trust, 6.71%,
Due 8/15/2018.................. $ 2,225 $ 2,213
Firstplus Home Loan Owner Trust,
6.32%, Due 8/10/2016........... 3,000 2,964
LB Commercial Conduit Mortgage
Trust, 6.21%, Due 10/15/2008... 2,440 2,287
Olympic Automobile Receivable,
7.875%, Due 7/15/2001.......... 180 181
----------
TOTAL ASSET-BACKED
SECURITIES................. 14,198
----------
NON-AGENCY MORTGAGE-BACKED OBLIGATIONS - 1.09%
CitiCorp Mortgage Securities,
Incorporated, 6.92%, Due
8/25/2027...................... 159 159
Credit Suisse First Boston
Mortgage, 7.24%, Due
6/20/2029...................... 400 396
CountryWide, Incorporated, 8.25%,
Due 5/25/2010.................. 527 536
7.50%, Due 7/25/2011........... 416 419
DLJ Mortgage Acceptance
Corporation, 4.56%, Due
3/25/2024...................... 77 76
Green Tree Financial Corporation,
7.00%, Due 10/15/2027.......... 915 918
6.68%, Due 1/15/2029........... 1,150 1,147
Home Equity Loan Trust, 6.223%,
Due 6/25/2011.................. 860 850
The Money Store Home Equity
Trust, 7.66%, Due 8/15/2026.... 1,500 1,471
Mortgage Capital Funding,
Incorporated, 6.758%, Due
2/20/2004...................... 599 597
Nomura Asset Securities
Corporation, 8.15%, Due
4/4/2027....................... 2,500 2,589
Residential Funding Mortgage
Securities I, 6.78%, Due
7/25/2010...................... 880 877
6.35%, Due 8/25/2023........... 22 22
Securitized Multiple Asset,
7.72%, Due 4/15/2005........... 1,624 383
Southern Pacific Secured Asset
Trust, 6.27%, Due 3/25/2019.... 550 545
----------
TOTAL NON-AGENCY
MORTGAGE-BACKED
OBLIGATIONS................ 10,985
----------
CORPORATE BONDS - 19.46%
BANKS - 2.27%
Amsouth Bancorporation, 6.125%,
Due 3/1/2009................... 2,000 1,804
Bank of America Corporation,
8.125%, Due 2/1/2002........... 600 619
6.60%, Due 5/15/2010........... 1,600 1,486
Capital One Bank MTN, 7.35%, Due
6/20/2000...................... 800 804
7.08%, Due 10/30/2001.......... 1,000 997
</TABLE>
<TABLE>
<CAPTION>
PAR
AMOUNT VALUE
-------- -----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
Chase Manhattan Corporation,
8.625%, Due 5/1/2002........... $ 700 $ 732
6.00%, Due 11/1/2005........... 1,650 1,571
CitiCorp, Incorporated, 7.125%,
Due 5/15/2006.................. 1,170 1,164
Citigroup, Incorporated, 6.875%,
Due 2/15/2098.................. 910 785
First Union Corporation, 7.10%,
Due 8/15/2004.................. 840 844
Firstar Corporation, 6.50%, Due
7/15/2002...................... 1,000 994
Inter-American Development Bank,
5.375%, Due 11/18/2008......... 1,280 1,165
Osuuspankkien Kesk, 6.012%, Due
9/29/2049...................... 1,750 1,715
PNC Funding Corporation, 6.125%,
Due 9/1/2003................... 1,520 1,476
6.875%, Due 7/15/2007.......... 1,000 972
Popular, Incorporated, 6.20%, Due
4/30/2001...................... 1,150 1,137
Skandinaviska Enskilda Banken,
6.594%, Due 6/29/2049.......... 3,800 3,705
Wells Fargo & Company, 6.625%,
Due 8/15/2001.................. 900 894
----------
TOTAL BANKS.................. 22,864
----------
FINANCE - 6.18%
American General Finance
Corporation, MTN, 5.75%, Due
11/23/2001..................... 1,200 1,179
Associates Corporation of North
America, 6.00%, Due
4/15/2003...................... 2,000 1,950
AT&T Capital Corporation, 6.875%,
Due 1/16/2001.................. 1,020 1,023
5.86%, Due 4/26/2002........... 650 629
CIT Group, Incorporated, 5.25%,
Due 2/15/2004.................. 630 595
CNA Financial Corporation, 6.95%,
Due 1/15/2018.................. 1,675 1,492
Countrywide Funding Corporation,
MTN, 6.85%, Due 6/15/2004...... 2,135 2,118
6.25%, Due 4/15/2009........... 1,800 1,660
Credit Suisse First Boston,
6.48%, Due 4/11/2030........... 2,500 2,372
CS First Boston Mortgage
Securities Corporation, 6.60%,
Due 6/15/2027.................. 2,600 2,585
EOP Operating Limited
Partnership, 144a, 6.38%, Due
2/15/2012 (Note A)............. 1,120 1,099
Finova Capital Corporation,
7.125%, Due 5/17/2004.......... 2,450 2,423
Ford Motor Credit Company,
6.125%, Due 4/28/2003.......... 2,125 2,080
7.375%, Due 10/28/2009......... 3,315 3,345
</TABLE>
See accompanying notes
- --------------------------------------------------------------------------------
40
<PAGE> 43
AMR INVESTMENT SERVICES BALANCED PORTFOLIO
SCHEDULE OF INVESTMENTS -- CONTINUED
October 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
AMOUNT VALUE
-------- -----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
General Electric Capital
Corporation, 7.375%, Due
9/15/2004........................ $ 1,000 $ 1,028
7.875%, Due 12/1/2006.......... 1,000 1,049
General Motors Acceptance
Corporation, 5.625%, Due
2/15/2001...................... 3,645 3,605
5.91%, Due 3/11/2002........... 1,700 1,673
Goldman Sachs Group, LP, 6.65%,
Due 5/15/2009.................. 750 714
Household Finance Corporation,
6.50%, Due 11/15/2008.......... 2,485 2,344
Lehman Brothers Holdings,
Incorporated, 6.50%, Due
10/1/2002...................... 530 522
7.00%, Due 10/1/2002........... 2,000 1,995
6.625%, Due 4/1/2004........... 830 808
Merrill Lynch & Company,
Incorporated, 6.00%, Due
2/12/2003...................... 1,000 977
Merrill Lynch Mortgage Investors,
Incorporated, 7.12%, Due
6/18/2029...................... 660 658
The Money Store Trust, 7.55%, Due
2/15/2020...................... 1,170 1,172
Paine Webber Group, Incorporated
MTN, 7.74%, Due 1/30/2012...... 2,200 2,165
PMI Group, Incorporated, 6.75%,
Due 11/15/2006................. 2,000 1,963
Provident Companies,
Incorporated, 7.25%,
3/15/2028...................... 2,070 1,829
Salomon, Incorporated, 6.25%, Due
5/15/2003...................... 2,750 2,690
Simon Property Group,
Incorporated, 144a, 6.625%, Due
6/15/2003 (Note A)............. 1,675 1,610
Texaco, Incorporated MTN, 6.19%,
Due 7/9/2003................... 750 736
Transamerica Finance Corporation
MTN, 6.125%, Due 11/01/2001.... 2,475 2,431
7.25%, Due 8/15/2002........... 2,285 2,296
Travelers Property Casualty
Corporation, 6.75%, Due
4/15/2001...................... 2,600 2,614
US West Capital Funding,
Incorporated, 144a (Note A)
6.875%, Due 8/15/2001.......... 650 650
6.50%, Due 11/15/2018.......... 2,500 2,215
----------
TOTAL FINANCE................ 62,294
----------
FOREIGN - 1.52%
Foreningsbk Kredit, 6.656%, Due
12/29/2049..................... 3,250 3,219
Korea Development Bank, 7.625%,
Due 10/1/2002.................. 2,000 1,987
Nordbanken AB MTN, 6.412%, Due
10/29/2049..................... 3,000 2,945
Pohang Iron & Steel, Limited,
7.50%, Due 8/1/2002............ 1,200 1,182
</TABLE>
<TABLE>
<CAPTION>
PAR
AMOUNT VALUE
-------- -----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
Province of Quebec, 5.75%, Due
2/15/2009...................... $ 1,750 $ 1,591
7.50%, Due 7/15/2023........... 880 879
7.50%, Due 9/15/2029........... 720 722
Rio Tinto Canada, Incorporated,
6.00%, Due 8/26/2003........... 2,865 2,769
----------
TOTAL FOREIGN................ 15,294
----------
INDUSTRIAL - 7.67%
Akzo Nobel, Incorporated, 6.00%,
Due 11/15/2003................. 2,880 2,778
Albertsons, Incorporated, 6.375%,
Due 6/1/2000................... 1,000 1,002
Atlantic Richfield Corporation,
8.50%, Due 4/1/2012............ 1,270 1,405
Bemis, Incorporated, 6.70%, Due
7/1/2005....................... 1,000 987
Boise Cascade Office Products
Company, 7.05%, Due
5/15/2005...................... 795 751
Capital Cities ABC, Incorporated,
8.875%, Due 12/15/2000......... 1,000 1,023
Coca Cola Company, 6.625%, Due
10/1/2002...................... 1,000 997
6.75%, Due 9/15/2028........... 1,060 955
Comdisco, Incorporated, 5.95%,
Due 4/30/2002.................. 840 812
Conoco, Incorporated, 5.90%, Due
4/15/2004...................... 330 318
6.95%, Due 4/15/2029........... 1,945 1,812
Crown Cork & Seal, Incorporated,
7.125%, Due 9/1/2002........... 2,500 2,493
DaimlerChrysler North America,
7.20%, Due 9/1/2009............ 1,010 1,011
E.I. DuPont de Nemours & Company,
6.75%, Due 10/15/2002.......... 1,000 1,008
Exxon Corporation, 7.45%, Due
12/15/2001..................... 1,000 1,022
Federated Department Stores,
Incorporated, 6.79%, Due
7/15/2027...................... 1,405 1,372
Ford Motor Company, 9.00%, Due
9/15/2001...................... 1,000 1,043
6.63%, Due 10/1/2028........... 1,600 1,429
General Motors Corporation,
6.75%, Due 5/01/2028........... 2,200 1,994
Hershey Foods Corporation, 6.95%,
Due 3/1/2007................... 1,000 988
Ingersoll Rand Company, 6.34%,
Due 12/3/2001.................. 2,100 2,085
International Business Machines,
Incorporated, 5.625%, Due
4/12/2004...................... 850 817
Kroger Company, 8.00%, Due
9/15/2029...................... 830 833
May Department Stores Company,
7.625%, 8/15/2013.............. 1,890 1,949
McDonalds Corporation MTN, 6.50%,
Due 8/1/2007................... 1,000 968
Merck & Company, Incorporated,
5.95%, Due 12/1/2028........... 2,550 2,186
</TABLE>
See accompanying notes
- --------------------------------------------------------------------------------
41
<PAGE> 44
AMR INVESTMENT SERVICES BALANCED PORTFOLIO
SCHEDULE OF INVESTMENTS -- CONTINUED
October 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
AMOUNT VALUE
-------- -----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
Motorola Incorporated, 5.80%, Due
10/15/2008..................... $ 2,270 $ 2,076
Norfolk Southern Corporation,
7.05%, Due 5/1/2037............ 1,140 1,134
Occidental Petroleum Corporation,
6.40%, Due 4/1/2003............ 1,035 1,004
6.50%, Due 4/1/2005............ 520 501
Paramount Communications,
Incorporated, 5.875%, Due
7/15/2000...................... 2,140 2,132
8.25%, Due 8/1/2022............ 2,200 2,235
Petroleum Geological Services,
7.125%, Due 3/30/2028.......... 910 815
Philip Morris Companies,
Incorporated, 8.25%, Due
10/15/2003..................... 2,840 2,901
8.375%, Due 1/15/2017.......... 343 346
Praxair, Incorporated, 6.15%, Due
4/15/2003...................... 3,800 3,696
Raytheon Corporation, 5.70%, Due
11/1/2003...................... 1,310 1,236
6.15%, Due 11/1/2008........... 1,540 1,395
Rite Aid Corporation, 144a,
6.00%, Due 12/15/2005 (Note
A)............................. 1,250 862
Safeway, Incorporated, 5.875%,
Due 11/15/2001................. 2,470 2,424
Sara Lee Corporation, 6.00%, Due
1/15/2008...................... 1,200 1,126
Sears Roebuck Acceptance
Corporation MTN, 6.71%, Due
9/17/2003...................... 2,710 2,653
Service Corporation
International, 6.00%, Due
12/15/2005..................... 1,885 1,460
Sysco Corporation, 7.00%, Due
5/1/2006....................... 1,000 997
Texaco Capital, Incorporated,
5.70%, Due 3/01/2009........... 1,000 914
Time Warner Incorporated Pass
Through Asset Trust Securities
(PATS), 1997-1, 144a, 6.10%,
Due 12/30/1999 (Note A)........ 800 794
Time Warner, Incorporated, 8.18%,
Due 8/15/2007.................. 760 797
Tribune Company, 5.50%, Due
10/6/2008...................... 1,000 898
Tyco International Group, SA,
6.125%, Due 6/15/2001.......... 700 691
6.875%, Due 1/15/2029.......... 1,430 1,262
USA Waste Services, Incorporated,
7.00%, Due 7/15/2028........... 1,270 920
Viacom, Incorporated, 7.75%, Due
6/1/2005....................... 1,075 1,094
Walt Disney Company, 6.75%, Due
3/30/2006...................... 1,000 996
Williams Companies, Incorporated,
6.125%, Due 2/1/2001........... 1,830 1,816
6.50%, Due 8/1/2006............ 1,170 1,108
7.625%, Due 7/15/2019.......... 305 297
</TABLE>
<TABLE>
<CAPTION>
PAR
AMOUNT VALUE
-------- -----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
WMX Technologies, Incorporated,
6.65%, Due 5/15/2005........... $ 1,200 $ 1,181
Xerox Corporation MTN, 5.25%, Due
12/15/2003..................... 1,500 1,427
----------
TOTAL INDUSTRIAL............. 77,226
----------
TRANSPORTATION - 0.39%
CSX Corporation, 6.25%, Due
10/15/2008..................... 1,985 1,832
NWA Trust, 11.30%, Due
6/21/2014...................... 1,867 2,114
----------
TOTAL TRANSPORTATION......... 3,946
----------
UTILITY - 1.43%
AT&T Corporation, 6.00%, Due
3/15/2009...................... 1,750 1,619
6.50%, Due 3/15/2029........... 1,435 1,271
Cox Communications, Incorporated,
7.00%, Due 8/15/2001........... 800 803
El Paso Energy Corporation,
6.625%, Due 7/15/2001.......... 280 279
Electric Lightwave, Incorporated,
6.05%, Due 5/15/2004........... 2,000 1,928
GTE Corporation, 7.83%, Due
5/1/2023....................... 715 704
Niagara Mohawk Power Corporation,
7.25%, Due 10/1/2002........... 1,323 1,323
Norman Energy Corporation,
6.375%, Due 11/1/2003.......... 1,550 1,491
KN Energy, Incorporated, 6.45%,
Due 11/30/2001................. 1,700 1,682
Sprint Capital Corporation,
6.90%, Due 5/1/2019............ 1,530 1,428
6.875%, Due 11/15/2028......... 790 723
MCI Worldcom, Incorporated,
7.75%, Due 4/1/2007............ 500 519
6.95%, Due 8/15/2028........... 690 647
----------
TOTAL UTILITY................ 14,417
----------
TOTAL CORPORATE BONDS........ 196,041
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES
-------
<S> <C> <C>
PREFERRED STOCK - 0.12%
Home Ownership Funding
Corporation II, Series 144a
(Note A)....................... 1,500 1,248
----------
TOTAL PREFERRED STOCK........ 1,248
----------
COMMON STOCK - 55.39%
BASIC MATERIALS - 4.91%
ALUMINUM - 0.81%
Alcoa, Incorporated.............. 24,500 1,488
Reynolds Metals Company.......... 111,000 6,709
----------
TOTAL ALUMINUM PRODUCTS...... 8,197
----------
CHEMICALS - 1.67%
Airgas, Incorporated+............ 173,450 1,648
</TABLE>
See accompanying notes
- --------------------------------------------------------------------------------
42
<PAGE> 45
AMR INVESTMENT SERVICES BALANCED PORTFOLIO
SCHEDULE OF INVESTMENTS -- CONTINUED
October 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
-------- -----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
Air Products and Chemicals,
Incorporated................... 44,305 $ 1,218
CK Witco Corporation............. 68,113 639
Dow Chemical Company............. 38,300 4,529
Eastman Chemical Company......... 28,000 1,080
FMC Corporation+................. 25,200 1,025
Hercules, Incorporated........... 60,000 1,444
Imperial Chemical Industries,
PLC............................ 40,000 1,607
Lyondell Chemical Company........ 187,800 2,277
Millenium Chemicals,
Incorporated................... 73,671 1,363
----------
TOTAL CHEMICALS.............. 16,830
----------
CONSTRUCTION - 0.56%
Armstrong World Industries,
Incorporated................... 37,000 1,383
DeBeers Construction Mines,
Limited........................ 115,100 3,115
Hanson PLC, ADR.................. 29,850 1,155
----------
TOTAL CONSTRUCTION........... 5,653
----------
CONTAINERS/PACKAGING - 0.16%
Bemis, Incorporated.............. 47,300 1,653
----------
TOTAL CONTAINERS/
PACKAGING.................. 1,653
----------
PAPER & FOREST PRODUCTS - 1.39%
Champion International
Corporation.................... 44,500 2,573
Georgia Pacific Corporation...... 50,000 1,194
Georgia Pacific Group............ 51,000 2,024
International Paper Company...... 78,526 4,132
Mead Corporation................. 50,000 1,800
Weyerhaeuser Company............. 37,800 2,256
----------
TOTAL PAPER & FOREST
PRODUCTS................... 13,979
----------
STEEL - 0.32%
USX-US Steel Group............... 126,300 3,229
----------
TOTAL STEEL.................. 3,229
----------
TOTAL BASIC MATERIALS........ 49,541
----------
CAPITAL GOODS - 5.91%
AEROSPACE/DEFENSE - 0.95%
Cordant Technologies,
Incorporated................... 111,275 3,470
Lockheed Martin Corporation...... 116,900 2,338
Northrop Grumman Corporation..... 68,400 3,753
----------
TOTAL AEROSPACE/ DEFENSE..... 9,561
----------
ELECTRICAL EQUIPMENT - 2.04%
Emerson Electrical Company....... 52,800 3,171
Honeywell, Incorporated.......... 129,700 13,675
Koninklijke Philips Electronics
NV............................. 28,740 2,987
Rockwell International
Corporation.................... 15,000 727
----------
TOTAL ELECTRICAL EQUIPMENT... 20,560
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
-------- -----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
MACHINERY-DIVERSIFIED - 0.85%
Deere and Company................ 50,000 $ 1,812
Dover Corporation................ 91,000 3,873
Kaydon Corporation............... 43,050 1,068
New Holland NV................... 119,600 1,816
----------
TOTAL MACHINERY-
DIVERSIFIED................ 8,569
----------
MANUFACTURING (DIVERSIFIED) - 1.59%
Eaton Corporation................ 7,000 527
Harsco Corporation............... 55,200 1,625
ITT Industries, Incorporated..... 81,200 2,776
Tenneco, Incorporated............ 226,700 3,627
Textron, Incorporated............ 96,300 7,433
----------
TOTAL MANUFACTURING
(DIVERSIFIED).............. 15,988
----------
WASTE MANAGEMENT - 0.48%
Waste Management, Incorporated... 263,131 4,835
----------
TOTAL WASTE MANAGEMENT....... 4,835
----------
TOTAL CAPITAL GOODS.......... 59,513
----------
COMMUNICATION SERVICE - 3.73%
TELEPHONE - 3.15%
Alltel Corporation............... 33,600 2,797
Bell Atlantic Corporation........ 45,656 2,965
GTE Corporation.................. 124,900 9,368
SBC Communications,
Incorporated................... 177,668 9,050
US West, Incorporated............ 121,500 7,419
----------
TOTAL TELEPHONE.............. 31,599
----------
TELEPHONE LONG DISTANCE - 0.58%
AT&T Corporation................. 61,350 2,868
BCE, Incorporated................ 50,000 3,013
----------
TOTAL TELEPHONE LONG
DISTANCE................... 5,881
----------
TOTAL COMMUNICATION
SERVICE.................... 37,480
----------
CONSUMER STAPLES - 4.64%
BEVERAGES-ALCOHOLIC - 0.66%
Anheuser-Busch Companies,
Incorporated................... 92,600 6,650
----------
TOTAL BEVERAGES-ALCOHOLIC.... 6,650
----------
FOODS - 0.57%
Sara Lee Company................. 213,400 5,775
----------
TOTAL FOODS.................. 5,775
----------
HOUSEHOLD PRODUCTS (NON-DURABLE) - 0.93%
Fort James Corporation........... 240,800 6,336
Kimberly Clark Corporation....... 47,700 3,011
----------
TOTAL HOUSEHOLD PRODUCTS
(NON-DURABLE).............. 9,347
----------
</TABLE>
See accompanying notes
- --------------------------------------------------------------------------------
43
<PAGE> 46
AMR INVESTMENT SERVICES BALANCED PORTFOLIO
SCHEDULE OF INVESTMENTS -- CONTINUED
October 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
-------- -----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
HOUSEWARES - 0.41%
Fortune Brands, Incorporated..... 35,800 $ 1,269
Newell Rubbermaid, Incorporated.. 81,700 2,829
----------
TOTAL HOUSEWARES............. 4,098
----------
PRINTING - 0.20%
DeLuxe Corporation............... 70,000 1,978
----------
TOTAL PRINTING............... 1,978
----------
RESTAURANTS - 0.49%
Wendy's International,
Incorporated................... 206,100 4,921
----------
TOTAL RESTAURANTS............ 4,921
----------
TOBACCO - 1.38%
Gallaher Group PLC, ADR.......... 119,400 2,828
Imperial Tobacco Group PLC....... 74,500 1,555
Philip Morris Companies,
Incorporated................... 378,450 9,532
----------
TOTAL TOBACCO................ 13,915
----------
TOTAL CONSUMER STAPLES....... 46,684
----------
CONSUMER-CYCLICALS - 8.40%
AUTO PARTS & EQUIPMENT - 0.83%
Dana Corporation................. 176,600 5,221
Delphi Automotive Systems
Corporation.................... 49,666 816
Meritor Automotive,
Incorporated................... 31,200 528
TRW, Incorporated................ 41,000 1,758
----------
TOTAL AUTO PARTS &
EQUIPMENT.................. 8,323
----------
AUTOMOBILES - 1.81%
Ford Motor Company............... 232,700 12,769
General Motors Corporation....... 77,800 5,465
----------
TOTAL AUTOMOBILES............ 18,234
----------
HOUSEHOLD FURNISHINGS & APPLIANCES - 0.43%
Leggett & Platt, Incorporated.... 110,100 2,443
Whirlpool Corporation............ 27,800 1,937
----------
TOTAL HOUSEHOLD FURNISHINGS &
APPLIANCES................. 4,380
----------
LEISURE TIME (PRODUCTS) - 1.81%
American Greetings............... 290,200 7,509
Hasbro, Incorporated............. 281,387 5,804
Mattel, Incorporated............. 367,900 4,921
----------
TOTAL LEISURE TIME
(PRODUCTS)................. 18,234
----------
PUBLISHING - 0.83%
Gannett, Incorporated............ 108,900 8,399
----------
TOTAL PUBLISHING............. 8,399
----------
RETAIL - 1.88%
Federated Department Stores,
Incorporated+.................. 38,000 1,622
J.C. Penney Company,
Incorporated................... 139,400 3,537
K Mart Corporation+.............. 298,900 3,008
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
-------- -----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
May Department Stores Company.... 40,200 $ 1,394
Sears Roebuck & Company.......... 194,300 5,477
Sherwin Williams Company......... 50,800 1,137
Toys R Us, Incorporated+......... 193,900 2,739
----------
TOTAL RETAIL................. 18,914
----------
SERVICES - 0.49%
Cendant Corporation+............. 202,400 3,340
Pittston Company................. 83,200 1,596
----------
TOTAL SERVICES............... 4,936
----------
TEXTILES (APPAREL) - 0.32%
Liz Claiborne, Incorporated...... 65,000 2,600
Russell Corporation.............. 43,600 662
----------
TOTAL TEXTILES (APPAREL)..... 3,262
----------
TOTAL CONSUMER-CYCLICALS..... 84,682
----------
ENERGY - 3.16%
OIL & GAS - 0.82%
Baker Hughes, Incorporated....... 131,000 3,660
Halliburton Company.............. 78,300 2,951
Ultramar Diamond Shamrock
Corporation.................... 65,500 1,605
----------
TOTAL OIL & GAS.............. 8,216
----------
OIL (DOMESTIC INTEGRATED) - 1.90%
Atlantic Richfield Company....... 60,300 5,619
Conoco, Incorporated............. 51,456 1,396
Occidental Petroleum
Corporation.................... 237,600 5,420
Phillips Petroleum Company....... 108,300 5,036
USX Marathon Group............... 58,700 1,710
----------
TOTAL OIL (DOMESTIC
INTEGRATED)................ 19,181
----------
OIL (INTERNATIONAL INTEGRATED) - 0.44%
Texaco, Incorporated............. 72,400 4,444
----------
TOTAL OIL (INTERNATIONAL
INTEGRATED)................ 4,444
----------
TOTAL ENERGY................. 31,841
----------
FINANCIALS - 13.02%
BANKS - 5.63%
Bank of America Corporation...... 154,378 9,938
Bank One Corporation............. 242,520 9,110
Chase Manhattan Corporation...... 138,900 12,136
First Security Corporation....... 85,000 2,178
First Union Corporation.......... 153,000 6,531
Fleet Boston Corporation......... 1,800 79
KeyCorp.......................... 109,400 3,056
National City Corporation........ 58,000 1,711
PNC Bank Corporation............. 100,700 6,004
UnionBanCal Corporation.......... 13,300 578
US Bancorp....................... 48,000 1,779
Wells Fargo & Company............ 75,000 3,591
----------
TOTAL BANKS.................. 56,691
----------
</TABLE>
See accompanying notes
- --------------------------------------------------------------------------------
44
<PAGE> 47
AMR INVESTMENT SERVICES BALANCED PORTFOLIO
SCHEDULE OF INVESTMENTS -- CONTINUED
October 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
-------- -----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
CONSUMER FINANCE - 0.22%
Household International,
Incorporated................... 48,832 $ 2,179
----------
TOTAL CONSUMER FINANCE....... 2,179
----------
FINANCIAL (DIVERSIFIED) - 2.27%
Ace, Limited..................... 152,400 2,962
CIT Group, Incorporated.......... 149,600 3,572
Citi Group, Incorporated......... 122,457 6,628
Federal Home Loan Mortgage
Corporation.................... 61,000 3,298
Federal National Mortgage
Association.................... 30,000 2,123
Financial Securities Assurance
Holdings, Limited.............. 28,900 1,629
Morgan Stanley Dean Witter
Discover & Company............. 24,200 2,670
----------
TOTAL FINANCIAL
(DIVERSIFIED).............. 22,882
----------
INSURANCE (LIFE/HEALTH) - 0.86%
American General Corporation..... 24,000 1,781
The Hartford Financial Services
Group, Incorporated............ 16,000 829
Lincoln National Corporation..... 131,800 6,079
----------
TOTAL INSURANCE
(LIFE/HEALTH).............. 8,689
----------
INSURANCE (MULTI-LINE) - 0.15%
Loews Corporation................ 20,800 1,474
----------
TOTAL INSURANCE
(MULTI-LINE)............... 1,474
----------
INSURANCE BROKERS - 0.48%
Aon Corporation.................. 135,675 4,816
----------
TOTAL INSURANCE BROKERS...... 4,816
----------
INSURANCE-PROPERTY-CASUALTY - 2.10%
Allstate Corporation............. 213,600 6,141
American Financial Group,
Incorporated................... 52,100 1,543
Chubb Corporation................ 25,800 1,416
Everest Reinsurance.............. 51,000 1,313
MBIA, Incorporated............... 44,300 2,528
Old Republic International
Corporation.................... 59,525 815
Safeco Corporation............... 45,700 1,257
St. Paul Companies,
Incorporated................... 192,900 6,173
----------
TOTAL INSURANCE-
PROPERTY-CASUALTY.......... 21,186
----------
INVESTMENT BANKING/BROKERAGE - 0.26%
Paine Webber Group,
Incorporated................... 64,350 2,622
----------
TOTAL INVESTMENT
BANKING/BROKERAGE.......... 2,622
----------
SAVINGS & LOAN COMPANIES - 1.05%
Washington Mutual, Incorporated.. 295,600 10,623
----------
TOTAL SAVINGS & LOAN
COMPANIES.................. 10,623
----------
TOTAL FINANCIALS............. 131,162
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
-------- -----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
HEALTH CARE - 1.37%
Baxter International,
Incorporated................... 25,000 $ 1,622
Becton Dickinson & Company....... 110,000 2,791
Bristol-Myers Squibb Company..... 40,800 3,134
Merck & Company, Incorporated.... 42,300 3,365
Pharmacia & Upjohn,
Incorporated................... 54,300 2,929
----------
TOTAL HEALTH CARE............ 13,841
----------
TECHNOLOGY - 2.51%
COMPUTERS - 1.19%
Diebold, Incorporated............ 30,000 788
EMC Corporation+................. 30,437 2,222
Ikon Office Solutions,
Incorporated................... 159,000 1,093
International Business Machines
Corporation.................... 21,000 2,066
Seagate Technology+.............. 156,000 4,592
Storage Technology Corporation+.. 77,000 1,213
----------
TOTAL COMPUTERS.............. 11,974
----------
ELECTRONICS - 0.46%
Grainger WW, Incorporated........ 8,350 354
Raytheon Company................. 156,893 4,305
----------
TOTAL ELECTRONICS............ 4,659
----------
SERVICES - 0.86%
Eastman Kodak Company............ 34,000 2,344
Xerox Corporation................ 224,700 6,292
----------
TOTAL SERVICES............... 8,636
----------
TOTAL TECHNOLOGY............. 25,269
----------
TRANSPORTATION - 0.76%
RAILROADS - 0.76%
Burlington Northern,
Incorporated................... 58,400 1,862
CSX Corporation.................. 81,000 3,321
GATX Corporation................. 28,000 929
Norfolk Southern Corporation..... 63,000 1,540
----------
TOTAL RAILROADS.............. 7,652
----------
TOTAL TRANSPORTATION......... 7,652
----------
UTILITIES - 6.98%
ELECTRIC COMPANIES - 5.86%
Central & Southwest
Corporation.................... 377,800 8,382
CMS Energy Corporation........... 160,000 5,900
Dominion Resources,
Incorporated................... 69,000 3,321
DTE Energy Company............... 109,700 3,641
Edison International............. 90,000 2,666
Entergy Corporation.............. 193,400 5,790
GPU, Incorporated................ 45,000 1,527
</TABLE>
See accompanying notes
- --------------------------------------------------------------------------------
45
<PAGE> 48
AMR INVESTMENT SERVICES BALANCED PORTFOLIO
SCHEDULE OF INVESTMENTS -- CONTINUED
October 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
-------- -----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
Illinova Corporation............. 167,900 $ 5,341
Northeast Utilities.............. 238,000 4,953
Potomac Electric Power Company... 55,400 1,520
PP & L Resources, Incorporated... 39,806 1,077
Reliant Energy, Incorporated..... 271,700 7,404
Scana Corporation................ 63,300 1,575
Texas Utilities Company.......... 76,000 2,945
Unicom Corporation............... 77,500 2,969
----------
TOTAL ELECTRIC COMPANIES..... 59,011
----------
NATURAL GAS-DISTRIBUTION-PIPE LINE - 1.12%
Equitable Resources,
Incorporated................... 71,100 2,595
MCN Energy Group, Incorporated... 120,200 2,937
Peoples Energy Corporation....... 46,000 1,748
Sempra Energy.................... 75,400 1,541
Williams Companies,
Incorporated................... 65,369 2,451
----------
TOTAL NATURAL GAS-
DISTRIBUTION-PIPE LINE..... 11,272
----------
TOTAL UTILITIES.............. 70,283
----------
TOTAL COMMON STOCKS.............. 557,948
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
---------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
SHORT-TERM INVESTMENTS - 17.29%
American AAdvantage Money
Market Fund................. 68,624,719 $ 68,625
AMR Investments Enhanced Yield
Business Trust.............. 33,782,959 33,783
AMR Investments Strategic Cash
Business Trust.............. 71,748,278 71,748
----------
TOTAL SHORT-TERM
INVESTMENTS............. 174,156
----------
TOTAL INVESTMENTS - 112.50%
(COST $1,105,330)........... 1,133,181
----------
LIABILITIES, NET OF OTHER
ASSETS - (12.50%)........... (125,925)
----------
TOTAL NET ASSETS - 100%....... $1,007,256
==========
</TABLE>
- ---------------
Based on the cost of investments of $1,107,858 for federal income tax purposes
at October 31, 1999, the aggregate gross unrealized appreciation was $103,365,
the aggregate gross unrealized depreciation was $78,042 and the net unrealized
appreciation of investments was $25,323.
(A) Security exempt from registration under Rule 144a of the Securities Act of
1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers. At the period end,
the value of these securities amounted to $8,478 or 0.84% of net assets.
ABBREVIATIONS:
ADR - American Depositary Receipt
AB - Company
LP - Limited Partnership
MTN - Medium-Term Note
NV - Company
PLC - Public Limited Corporation
SA - Company
TBA - To Be Announced
+ - Non-income Producing
See accompanying notes
- --------------------------------------------------------------------------------
46
<PAGE> 49
AMR INVESTMENT SERVICES LARGE CAP VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
---------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
COMMON STOCKS - 98.09%
BASIC MATERIALS - 9.48%
ALUMINUM - 1.48%
Alcoa, Incorporated........... 66,400 $ 4,034
Reynolds Metals Company....... 289,900 17,521
----------
TOTAL ALUMINUM............ 21,555
----------
CHEMICALS - 3.14%
Airgas, Incorporated+......... 699,975 6,650
Air Products and Chemicals,
Incorporated................ 100,475 2,763
CK Witco Corporation.......... 177,908 1,668
Dow Chemical Company.......... 115,200 13,622
Eastman Chemical Company...... 78,200 3,016
FMC Corporation+.............. 59,800 2,433
Hercules, Incorporated........ 144,000 3,465
Imperial Chemical Industries,
PLC......................... 90,000 3,617
Lyondell Chemical Company..... 446,000 5,408
Millennium Chemicals,
Incorporated................ 171,600 3,175
----------
TOTAL CHEMICALS........... 45,817
----------
CONSTRUCTION - 0.95%
Armstrong World Industries,
Incorporated................ 81,000 3,027
DeBeers Construction Mines,
Limited..................... 302,400 8,184
Hanson PLC, ADR............... 67,187 2,599
----------
TOTAL CONSTRUCTION........ 13,810
----------
PAPER & FOREST PRODUCTS - 3.30%
Champion International
Corporation................. 89,400 5,168
Georgia-Pacific Corporation... 350,900 10,448
International Paper Company... 180,082 9,477
Mead Corporation.............. 132,400 4,766
Westvaco Corporation.......... 420,500 12,484
Weyerhaeuser Company.......... 97,400 5,814
----------
TOTAL PAPER & FOREST
PRODUCTS................ 48,157
----------
STEEL - 0.61%
USX-US Steel Group............ 348,500 8,909
----------
TOTAL STEEL............... 8,909
----------
TOTAL BASIC MATERIALS..... 138,248
----------
CAPITAL GOODS - 11.11%
AEROSPACE/DEFENSE - 1.94%
Cordant Technologies,
Incorporated................ 367,200 11,452
Lockheed Martin Corporation... 302,600 6,052
Northrop Grumman
Corporation................. 195,200 10,712
----------
TOTAL AEROSPACE/
DEFENSE................. 28,216
----------
ELECTRICAL EQUIPMENT - 3.68%
Emerson Electrical Company.... 166,300 9,988
Honeywell, Incorporated....... 323,400 34,098
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
---------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
Koninklijke Philips
Electronics NV.............. 64,280 $ 6,681
Rockwell International
Corporation................. 60,700 2,940
----------
TOTAL ELECTRICAL
EQUIPMENT............... 53,707
----------
MACHINERY-DIVERSIFIED - 1.74%
Deere and Company............. 107,000 3,879
Dover Corporation............. 274,600 11,688
Kaydon Corporation............ 165,350 4,103
New Holland NV................ 376,400 5,716
----------
TOTAL MACHINERY-
DIVERSIFIED............. 25,386
----------
MANUFACTURING (DIVERSIFIED) - 2.95%
Eaton Corporation............. 23,000 1,731
Harsco Corporation............ 162,000 4,769
ITT Industries,
Incorporated................ 256,000 8,752
Tenneco, Incorporated......... 581,800 9,309
Textron, Incorporated......... 238,500 18,409
----------
TOTAL MANUFACTURING
(DIVERSIFIED)........... 42,970
----------
WASTE MANAGEMENT - 0.80%
Waste Management,
Incorporated................ 639,277 11,747
----------
TOTAL WASTE MANAGEMENT.... 11,747
----------
TOTAL CAPITAL GOODS....... 162,026
----------
COMMUNICATION SERVICE - 6.64%
TELEPHONE - 5.70%
Alltel Corporation............ 91,100 7,584
Bell Atlantic Corporation..... 129,440 8,406
GTE Corporation............... 334,500 25,087
SBC Communications,
Incorporated................ 476,554 24,274
US West, Incorporated......... 291,100 17,775
----------
TOTAL TELEPHONE........... 83,126
----------
TELEPHONE LONG DISTANCE - 0.94%
AT&T Corporation.............. 135,000 6,311
BCE, Incorporated............. 123,000 7,411
----------
TOTAL TELEPHONE LONG
DISTANCE................ 13,722
----------
TOTAL COMMUNICATION
SERVICE................. 96,848
----------
CONSUMER STAPLES - 8.84%
BEVERAGES - ALCOHOLIC - 0.94%
Anheuser-Busch Companies,
Incorporated................ 189,700 13,623
----------
TOTAL BEVERAGES -
ALCOHOLIC............... 13,623
----------
FOODS - 1.21%
Sara Lee Company.............. 653,300 17,680
----------
TOTAL FOODS............... 17,680
----------
HOUSEHOLD PRODUCTS (NON-DURABLE) - 1.96%
Fort James Corporation........ 591,000 15,551
</TABLE>
See accompanying notes
- --------------------------------------------------------------------------------
47
<PAGE> 50
AMR INVESTMENT SERVICES LARGE CAP VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS -- CONTINUED
October 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
---------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
Kimberly Clark Corporation.... 205,250 $ 12,956
----------
TOTAL HOUSEHOLD PRODUCTS
(NON-DURABLE)........... 28,507
----------
HOUSEWARES - 0.85%
Fortune Brands,
Incorporated................ 92,600 3,282
Newell Rubbermaid,
Incorporated................ 264,700 9,165
----------
TOTAL HOUSEWARES.......... 12,447
----------
RESTAURANTS - 0.95%
Wendy's International
Incorporated................ 581,700 13,888
----------
TOTAL RESTAURANTS......... 13,888
----------
PRINTING - 0.36%
DeLuxe Corporation............ 186,600 5,271
----------
TOTAL PRINTING............ 5,271
----------
TOBACCO - 2.57%
Gallaher Group PLC, ADR....... 291,200 6,898
Imperial Tobacco Group PLC.... 187,700 3,918
Philip Morris Companies,
Incorporated................ 1,057,550 26,637
----------
TOTAL TOBACCO............. 37,453
----------
TOTAL CONSUMER STAPLES.... 128,869
----------
CONSUMER - CYCLICALS - 14.22%
AUTO PARTS & EQUIPMENT - 1.46%
Dana Corporation.............. 431,300 12,750
Delphi Automotive Systems
Corporation................. 137,982 2,268
Meritor Automotive,
Incorporated................ 84,100 1,424
TRW, Incorporated............. 112,000 4,802
----------
TOTAL AUTO PARTS &
EQUIPMENT............... 21,244
----------
AUTOMOBILES - 3.11%
Ford Motor Company............ 603,900 33,139
General Motors Corporation.... 174,000 12,224
----------
TOTAL AUTOMOBILES......... 45,363
----------
HOUSEHOLD FURNISHINGS & APPLIANCES - 0.99%
Leggett & Platt,
Incorporated................ 420,750 9,335
Whirlpool Corporation......... 72,600 5,059
----------
TOTAL HOUSEHOLD
FURNISHINGS &
APPLIANCES.............. 14,394
----------
LEISURE TIME (PRODUCTS) - 1.91%
Hasbro, Incorporated.......... 672,262 13,865
Mattel, Incorporated.......... 1,046,750 14,000
----------
TOTAL LEISURE TIME
(PRODUCTS).............. 27,865
----------
PUBLISHING - 1.61%
Gannett, Incorporated......... 304,400 23,477
----------
TOTAL PUBLISHING.......... 23,477
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
---------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
RETAIL - 2.99%
Federated Department Stores,
Incorporated+............... 58,000 $ 2,476
J.C. Penney Company,
Incorporated................ 403,600 10,241
K Mart Corporation+........... 712,900 7,174
May Department Stores
Company..................... 108,800 3,774
Sears Roebuck & Company....... 477,200 13,451
Toys R Us, Incorporated+...... 463,800 6,551
----------
TOTAL RETAIL.............. 43,667
----------
SERVICES - 1.46%
Cendant Corporation+.......... 848,675 14,003
Pittston Brinks Group......... 382,700 7,343
----------
TOTAL SERVICES............ 21,346
----------
TEXTILES (APPAREL) - 0.69%
Liz Claiborne, Incorporated... 198,000 7,920
Russell Corporation........... 140,100 2,128
----------
TOTAL TEXTILES
(APPAREL)............... 10,048
----------
TOTAL CONSUMER -
CYCLICALS............... 207,404
----------
ENERGY - 5.77%
OIL & GAS - 1.58%
Baker Hughes, Incorporated.... 361,000 10,085
Halliburton Company........... 217,700 8,205
Ultramar Diamond Shamrock
Corporation................. 192,600 4,719
----------
TOTAL OIL & GAS........... 23,009
----------
OIL (DOMESTIC INTEGRATED) - 3.67%
Atlantic Richfield
Corporation................. 229,400 21,377
Conoco, Incorporated.......... 138,339 3,752
Occidental Petroleum
Corporation................. 582,600 13,291
Phillips Petroleum Company.... 251,300 11,685
USX Marathon Group............ 115,000 3,349
----------
TOTAL OIL (DOMESTIC
INTEGRATED)............. 53,454
----------
OIL (INTERNATIONAL INTEGRATED) - 0.52%
Texaco, Incorporated.......... 124,500 7,641
----------
TOTAL OIL (INTERNATIONAL
INTEGRATED)............. 7,641
----------
TOTAL ENERGY.............. 84,104
----------
FINANCIALS - 23.10%
BANKS - 10.09%
Bank of America Corporation... 405,933 26,132
Bank One Corporation.......... 609,057 22,878
Chase Manhattan Corporation... 314,228 27,456
First Security Corporation.... 247,500 6,342
First Union Corporation....... 435,600 18,595
Fleet Boston Corporation...... 5,000 218
KeyCorp....................... 246,700 6,892
National City Corporation..... 164,000 4,838
PNC Bank Corporation.......... 286,800 17,100
UnionBanCal Corporation....... 41,500 1,803
</TABLE>
See accompanying notes
- --------------------------------------------------------------------------------
48
<PAGE> 51
AMR INVESTMENT SERVICES LARGE CAP VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS -- CONTINUED
October 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
---------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
US Bancorp.................... 129,000 $ 4,781
Wells Fargo & Company......... 210,200 10,063
----------
TOTAL BANKS............... 147,098
----------
CONSUMER FINANCE - 0.43%
Household International,
Incorporated................ 141,663 6,322
----------
TOTAL CONSUMER FINANCE.... 6,322
----------
FINANCIAL (DIVERSIFIED) - 4.46%
Ace Limited................... 553,150 10,752
CIT Group, Incorporated....... 382,200 9,125
CitiGroup, Incorporated....... 329,379 17,828
Federal Home Loan Mortgage
Corporation................. 180,000 9,731
Federal National Mortgage
Association................. 100,000 7,075
Financial Securities Assurance
Holdings, Limited........... 45,000 2,537
Morgan Stanley Dean Witter
Discover & Company.......... 72,900 8,042
----------
TOTAL FINANCIAL
(DIVERSIFIED)........... 65,090
----------
INSURANCE (LIFE/HEALTH) - 1.39%
American General Corporation.. 52,000 3,858
The Hartford Financial
Services Group.............. 40,000 2,073
Lincoln National
Corporation................. 310,200 14,308
----------
TOTAL INSURANCE
(LIFE/HEALTH)........... 20,239
----------
INSURANCE (MULTI-LINE) - 0.24%
Loews Corporation............. 48,100 3,409
----------
TOTAL INSURANCE
(MULTI-LINE)............ 3,409
----------
INSURANCE BROKERS - 0.63%
Aon Corporation............... 259,500 9,212
----------
TOTAL INSURANCE BROKERS... 9,212
----------
INSURANCE - PROPERTY - CASUALTY - 3.52%
Allstate Corporation.......... 543,928 15,638
American Financial Group,
Incorporated................ 90,640 2,685
Chubb Corporation............. 82,300 4,516
MBIA, Incorporated............ 145,000 8,274
Safeco Corporation............ 134,400 3,696
St. Paul Companies,
Incorporated................ 517,500 16,560
----------
TOTAL INSURANCE PROPERTY -
CASUALTY................ 51,369
----------
INVESTMENT BANKING/BROKERAGE - 0.46%
Paine Webber Group,
Incorporated................ 165,200 6,732
----------
TOTAL INVESTMENT
BANKING/BROKERAGE....... 6,732
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
---------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
SAVINGS & LOAN COMPANIES - 1.88%
Washington Mutual,
Incorporated................ 764,700 $ 27,481
----------
TOTAL SAVINGS & LOAN
COMPANIES............... 27,481
----------
TOTAL FINANCIALS.......... 336,952
----------
HEALTH CARE - 2.39%
Becton Dickinson & Company.... 344,900 8,752
Bristol-Myers Squibb Company.. 92,300 7,090
Merck & Company,
Incorporated................ 128,000 10,184
Pharmacia & Upjohn,
Incorporated................ 163,800 8,835
----------
TOTAL HEALTH CARE......... 34,861
----------
TECHNOLOGY - 4.27%
COMPUTERS - 1.98%
Diebold, Incorporated......... 75,000 1,969
EMC Corporation+.............. 69,968 5,108
Ikon Office Solutions,
Incorporated................ 399,000 2,743
International Business
Machines Corporation........ 52,200 5,135
Seagate Technology+........... 369,100 10,865
Storage Technology
Corporation+................ 194,000 3,056
----------
TOTAL COMPUTERS........... 28,876
----------
ELECTRONICS - 0.77%
Raytheon Company.............. 410,800 11,271
----------
TOTAL ELECTRONICS......... 11,271
----------
SERVICES - 1.52%
Eastman Kodak Company......... 95,000 6,549
Xerox Corporation............. 555,700 15,560
----------
TOTAL SERVICES............ 22,109
----------
TOTAL TECHNOLOGY.......... 62,256
----------
TRANSPORTATION - 1.39%
RAILROADS - 1.39%
Burlington Northern,
Incorporated................ 158,600 5,055
CSX Corporation............... 250,000 10,250
GATX Corporation.............. 31,120 1,033
Norfolk Southern
Corporation................. 160,000 3,910
----------
TOTAL RAILROADS........... 20,248
----------
TOTAL TRANSPORTATION...... 20,248
----------
UTILITIES - 10.88%
ELECTRIC COMPANIES - 9.15%
Central and Southwest
Corporation................. 806,000 17,883
CMS Energy Corporation........ 421,000 15,524
DTE Energy Company............ 271,500 9,010
Edison International.......... 202,500 5,999
Entergy Corporation........... 522,100 15,630
GPU, Incorporated............. 130,000 4,412
Illinova Corporation.......... 437,900 13,931
</TABLE>
See accompanying notes
- --------------------------------------------------------------------------------
49
<PAGE> 52
AMR INVESTMENT SERVICES LARGE CAP VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS -- CONTINUED
October 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
---------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
Northeast Utilities........... 554,500 $ 11,541
Potomac Electric Power
Company..................... 153,400 4,209
PP&L Resources, Incorporated.. 134,347 3,636
Reliant Energy,
Incorporated................ 555,600 15,140
Scana Corporation............. 200,000 4,975
Texas Utilities Company....... 130,000 5,038
Unicom Corporation............ 170,700 6,540
----------
TOTAL ELECTRIC
COMPANIES............... 133,468
----------
NATURAL GAS - DISTRIBUTION - PIPE LINE - 1.73%
Equitable Resources,
Incorporated................ 185,100 6,756
MCN Energy Group,
Incorporated................ 221,500 5,413
Peoples Energy Corporation.... 68,000 2,584
Sempra Energy................. 160,000 3,270
Williams Companies,
Incorporated................ 190,368 7,139
----------
TOTAL NATURAL GAS -
DISTRIBUTION - PIPE
LINE.................... 25,162
----------
TOTAL UTILITIES........... 158,630
----------
TOTAL COMMON STOCKS....... 1,430,446
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
---------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
SHORT-TERM INVESTMENTS - 4.63%
American AAdvantage Money
Market Fund................. 22,864,239 $ 22,864
AMR Investments Enhanced Yield
Business Trust.............. 17,312,122 17,312
AMR Investments Strategic Cash
Business Trust.............. 27,350,987 27,351
----------
TOTAL SHORT-TERM
INVESTMENTS............. 67,527
----------
TOTAL INVESTMENTS - 102.72%
(COST $1,429,136)........... 1,497,973
----------
LIABILITIES, NET OF OTHER
ASSETS - (2.72%)............ (39,659)
----------
TOTAL NET ASSETS - 100%....... $1,458,314
==========
</TABLE>
- ---------------
Based on the cost of investments of $1,433,972 for federal income tax purposes
at October 31, 1999, the aggregate gross unrealized appreciation was $240,021,
the aggregate gross unrealized depreciation was $176,020, and the net unrealized
appreciation of investments was $64,001.
ABBREVIATIONS:
ADR - American Depositary Receipt
NV - Company
PLC - Public Limited Corporation
+ - Non-income Producing
See accompanying notes
- --------------------------------------------------------------------------------
50
<PAGE> 53
AMR INVESTMENT SERVICES SMALL CAP VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
---------- --------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
COMMON STOCKS - 93.93%
BASIC MATERIALS - 9.71%
AGRICULTURAL PRODUCTS - 1.80%
Universal Corporation............ 18,100 $ 426
Veterinary Centers of America,
Incorporated+.................. 66,400 780
-------
TOTAL AGRICULTURAL
PRODUCTS................... 1,206
-------
CHEMICALS - 3.19%
Agrium, Incorporated............. 20,900 176
Albemarle Corporation............ 20,600 366
CK Witco Corporation............. 22,900 215
Cytec Industries,
Incorporated+.................. 18,200 470
Ethyl Corporation................ 36,500 150
General Chemical Group,
Incorporated................... 3,400 8
Gentek, Incorporated............. 3,400 30
Georgia Gulf Corporation......... 5,900 127
International Specialty
Products+...................... 13,500 102
Lilly Industries, Incorporated... 1,700 23
NL Industries, Incorporated...... 22,700 262
Omnova Solutions, Incorporated+.. 18,300 128
Schulman A., Incorporated........ 5,300 82
-------
TOTAL CHEMICALS.............. 2,139
-------
CONSTRUCTION - 0.61%
Centex Construction Products,
Incorporated................... 2,600 92
Texas Industries, Incorporated... 8,900 319
-------
TOTAL CONSTRUCTION........... 411
-------
CONTAINERS/PACKAGING (PAPER) - 0.30%
ACX Technologies, Incorporated+.. 12,400 97
Rock-Tenn Company................ 6,600 101
-------
TOTAL CONTAINERS/ PACKAGING
(PAPER).................... 198
-------
PAPER & FOREST PRODUCTS - 0.83%
Boise Cascade Office Products
Corporation+................... 32,800 336
Buckeye Technologies,
Incorporated+.................. 9,300 141
Glatfelter P H Company........... 5,300 77
-------
TOTAL PAPER & FOREST
PRODUCTS................... 554
-------
STEEL - 2.98%
AK Steel Holdings Corporation.... 60,612 1,049
Carpenter Technology
Corporation.................... 4,100 100
Cleveland Cliffs, Incorporated... 2,100 63
Commercial Metals Company........ 6,100 199
Curtiss-Wright Corporation....... 1,600 58
Imco Recycling, Incorporated..... 2,100 31
Quanex Corporation............... 6,100 132
Rouge Industries, Incorporated... 3,600 20
Ucar International,
Incorporated+.................. 17,500 342
-------
TOTAL STEEL.................. 1,994
-------
TOTAL BASIC MATERIALS........ 6,502
-------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
---------- --------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
CAPITAL GOODS - 12.20%
AEROSPACE/DEFENSE - 1.33%
Alliant Techsystems,
Incorporated+.................. 6,700 $ 412
Aviation Sales Company+.......... 1,500 26
Precision Castparts
Corporation.................... 11,300 333
Triumph Group, Incorporated+..... 5,000 120
-------
TOTAL AEROSPACE/ DEFENSE..... 891
-------
CONTAINERS - METAL & GLASS - 0.14%
Silgan Holdings, Incorporated+... 6,100 94
-------
TOTAL CONTAINERS - METAL &
GLASS...................... 94
-------
ELECTRICAL EQUIPMENT - 0.97%
The Carbide/Graphite Group+...... 32,000 224
Magnetek, Incorporated+.......... 5,100 35
Stoneridge, Incorporated+........ 17,000 264
Woodward Governor Company........ 4,800 127
-------
TOTAL ELECTRICAL EQUIPMENT... 650
-------
MACHINERY - DIVERSIFIED - 3.34%
Agco Corporation................. 11,100 119
Aviall, Incorporated+............ 600 5
Avteam, Incorporated+............ 101,400 475
Columbus McKinnon Corporation.... 6,000 72
Denison International PLC+....... 47,800 439
Detroit Diesel Corporation....... 10,500 191
JLK Direct Distributing,
Incorporated+.................. 500 4
Milacron, Incorporated........... 16,200 266
Nacco Industries, Incorporated... 2,900 134
Tecumseh Products Company........ 7,100 340
Timken Company................... 10,700 192
-------
TOTAL MACHINERY -
DIVERSIFIED................ 2,237
-------
MANUFACTURING (DIVERSIFIED) - 2.49%
Ametek Aerospace Products,
Incorporated................... 4,000 79
Barnes Group, Incorporated....... 6,900 140
Carlisle Companies,
Incorporated................... 10,400 346
GenCorp, Incorporated............ 18,300 208
Graco, Incorporated.............. 3,300 111
Griffon Corporation+............. 5,800 43
Harsco Corporation............... 4,200 124
Hawk Corporation+................ 64,200 273
Kaman Corporation................ 10,300 113
Standex International
Corporation.................... 5,500 114
Wyman Gordon Company+............ 5,900 116
-------
TOTAL MANUFACTURING
(DIVERSIFIED).............. 1,667
-------
</TABLE>
See accompanying notes
- --------------------------------------------------------------------------------
51
<PAGE> 54
AMR INVESTMENT SERVICES SMALL CAP VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS - CONTINUED
October 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
---------- --------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
MANUFACTURING (SPECIALIZED) - 2.02%
Albany International
Corporation.................... 7,600 $ 115
Flowserve Corporation............ 6,100 103
JLG Industries, Incorporated..... 18,900 242
Lincoln Electric Holdings,
Incorporated................... 15,900 356
Modine Manufacturing Company..... 2,200 55
Regal Beloit Corporation......... 5,500 120
Reliance Steele & Aluminum
Company........................ 3,300 69
Stone and Webster,
Incorporated................... 14,600 226
Watts Industries, Incorporated... 5,100 70
-------
TOTAL MANUFACTURING
(SPECIALIZED).............. 1,356
-------
METAL FABRICATORS - 0.58%
Circor International,
Incorporated+.................. 2,550 24
Kennametal, Incorporated......... 4,900 141
Metals USA, Incorporated+........ 16,700 124
Mueller Industries,
Incorporated+.................. 700 22
RTI International Metals,
Incorporated+.................. 4,000 29
Wolverine Tube, Incorporated+.... 3,700 51
-------
TOTAL METAL FABRICATORS...... 391
-------
OFFICE EQUIPMENT & SUPPLIES - 0.31%
Knoll, Incorporated+............. 5,200 144
McGrath Rentcorp................. 1,000 17
The Standard Register Company.... 2,100 46
-------
TOTAL OFFICE EQUIPMENT &
SUPPLIES................... 207
-------
TRUCKS & PARTS - 0.62%
Titan International,
Incorporated................... 57,700 415
-------
TOTAL TRUCKS & PARTS......... 415
-------
WASTE MANAGEMENT - 0.40%
Safety-Kleen Corporation+........ 23,200 265
-------
TOTAL WASTE MANAGEMENT....... 265
-------
TOTAL CAPITAL GOODS.......... 8,173
-------
CONSUMER STAPLES - 8.16%
DISTRIBUTORS (FOOD & HEALTH) - 0.85%
Herbalife International,
Incorporated................... 10,000 148
Nu Skin Enterprises,
Incorporated+.................. 38,300 424
-------
TOTAL DISTRIBUTORS (FOOD &
HEALTH).................... 572
-------
FOODS - 5.41%
Earthgrains Company.............. 44,700 1,020
Interstate Bakeries
Corporation.................... 1,500 30
J & J Snack Foods Corporation+... 38,700 745
Michael Foods, Incorporated...... 4,600 117
RalCorp Holdings, Incorporated+.. 61,000 1,190
Sanderson Farms, Incorporated.... 600 6
Suiza Foods Corporation+......... 14,300 516
-------
TOTAL FOODS.................. 3,624
-------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
---------- --------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
HOUSEHOLD PRODUCTS (NON-DURABLE) - 0.06%
Libbey, Incorporated............. 400 $ 11
Stepan Chemical Company.......... 1,200 29
-------
TOTAL HOUSEHOLD PRODUCTS
(NON-DURABLE).............. 40
-------
PERSONAL CARE - 0.03%
Natures Sunshine Products,
Incorporated................... 2,900 21
-------
TOTAL PERSONAL CARE.......... 21
-------
RESTAURANTS - 1.39%
CBRL Group, Incorporated......... 33,700 451
CKE Restaurants, Incorporated.... 22,700 153
Landry's Seafood Restaurant,
Incorporated+.................. 4,900 37
Luby's Cafeterias,
Incorporated................... 9,800 116
Ryan's Family Steak Houses,
Incorporated+.................. 16,500 173
-------
TOTAL RESTAURANTS............ 930
-------
SERVICES (EMPLOYMENT) - 0.24%
C D I Corporation+............... 3,500 93
Personal Group of America,
Incorporated+.................. 10,100 68
-------
TOTAL SERVICES
(EMPLOYMENT)............... 161
-------
SPECIALTY PRINTING - 0.08%
Merrill Corporation.............. 2,600 54
-------
TOTAL SPECIALTY PRINTING..... 54
-------
TOBACCO - 0.10%
General Cigar Holdings,
Incorporated+.................. 3,500 20
Schweitzer Mauduit International,
Incorporated................... 4,200 50
-------
TOTAL TOBACCO................ 70
-------
TOTAL CONSUMER STAPLES....... 5,472
-------
CONSUMER CYCLICALS - 24.62%
AUTO PARTS & EQUIPMENT - 2.85%
Applied Industrial Technologies,
Incorporated................... 700 11
Arvin Industries, Incorporated... 10,200 291
Bandag, Incorporated............. 4,700 97
Borg-Warner Automotive,
Incorporated................... 2,700 107
Cooper Tire & Rubber Company..... 1,700 28
Discount Auto Parts,
Incorporated+.................. 1,300 18
Dura Automotive Systems,
Incorporated+.................. 7,600 142
Intermet Corporation............. 10,800 109
Mark IV Industries,
Incorporated................... 8,900 171
Mascotech, Incorporated.......... 19,600 285
Meritor Automotive,
Incorporated................... 12,300 208
</TABLE>
See accompanying notes
- --------------------------------------------------------------------------------
52
<PAGE> 55
AMR INVESTMENT SERVICES SMALL CAP VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS - CONTINUED
October 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
---------- --------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
Standard Motor Products,
Incorporated................... 1,000 $ 16
Standard Products Company........ 4,200 153
Tower Automotive, Incorporated+.. 16,500 269
-------
TOTAL AUTO PARTS &
EQUIPMENT.................. 1,905
-------
BUILDING MATERIALS - 0.35%
Apogee Enterprises,
Incorporated................... 3,500 22
Hexcel Corporation+.............. 16,300 88
NCI Building Systems,
Incorporated+.................. 8,000 127
-------
TOTAL BUILDING MATERIALS..... 237
-------
CONSUMER (JEWELRY/NOVELTIES) - 0.25%
Department 56, Incorporated+..... 7,200 137
Franklin Covey Company+.......... 4,000 32
-------
TOTAL CONSUMER
(JEWELRY/NOVELTIES)........ 169
-------
FOOTWEAR - 0.54%
Brown Shoe Company,
Incorporated................... 7,900 141
Reebok International Limited+.... 15,800 155
Wolverine World Wide,
Incorporated................... 6,600 68
-------
TOTAL FOOTWEAR............... 364
-------
GAMING LOTTERY & PARIMUTUEL - 1.40%
American Coin Merchandising+..... 96,900 291
Anchor Gaming+................... 2,400 146
Boyd Gaming Corporation+......... 26,400 172
Gtech Holdings Corporation+...... 16,400 330
-------
TOTAL GAMING LOTTERY &
PARIMUTUEL................. 939
-------
HOMEBUILDING - 7.19%
Champion Enterprises,
Incorporated+.................. 12,700 116
Clayton Homes, Incorporated...... 18,200 184
D.R.Horton, Incorporated......... 28,000 331
Del Webb Corporation+............ 7,300 161
Fleetwood Enterprises,
Incorporated................... 14,600 318
Kaufman & Broad Home
Corporation.................... 21,300 427
Lennar Corporation............... 53,700 883
Oakwood Homes Corporation........ 21,200 62
Palm Harbor Homes,
Incorporated+.................. 8,300 140
Pulte Corporation................ 40,100 807
Ryland Group, Incorporated....... 6,300 130
Skyline Corporation.............. 4,800 119
Standard Pacific Corporation..... 12,600 135
Toll Brothers, Incorporated+..... 48,000 840
U S Home Corporation+............ 5,700 160
-------
TOTAL HOMEBUILDING........... 4,813
-------
LEISURE TIME (PRODUCTS) - 0.27%
Arctic Cat, Incorporated......... 5,400 51
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
---------- --------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
Coachmen Industries,
Incorporated................... 7,100 $ 104
Winnebago Industries,
Incorporated................... 1,500 26
-------
TOTAL LEISURE TIME
(PRODUCTS)................. 181
-------
LODGING-HOTELS - 0.26%
Prime Hospitality Corporation+... 22,600 177
-------
TOTAL LODGING-HOTELS......... 177
-------
PUBLISHING - 0.23%
Playboy Enterprises,
Incorporated+.................. 5,900 151
-------
TOTAL PUBLISHING............. 151
-------
RETAIL - 2.70%
Dress Barn+...................... 6,900 123
Hughes Supply, Incorporated...... 10,000 217
Micro Warehouse, Incorporated+... 12,500 152
The Neiman Marcus Group,
Incorporated+.................. 22,700 543
7-Eleven, Incorporated+.......... 63,100 126
Systemax, Incorporated+.......... 15,200 124
Tech Data Corporation+........... 28,000 527
-------
TOTAL RETAIL................. 1,812
-------
RETAIL SPECIALTY - 2.11%
Cato Corporation................. 500 6
Cole National Corporation+....... 3,100 20
Friedmans, Incorporated.......... 84,800 509
Furniture Brands International,
Incorporated+.................. 3,900 75
Genesco, Incorporated+........... 1,000 13
Goody's Family Clothing,
Incorporated+.................. 14,200 144
Musicland Stores Corporation+.... 15,300 120
Office Max, Incorporated......... 49,600 251
Payless Shoesource,
Incorporated+.................. 600 27
Pier 1 Imports, Incorporated..... 42,200 251
-------
TOTAL RETAIL SPECIALTY....... 1,416
-------
SERVICES - 4.40%
Advo, Incorporated+.............. 9,300 164
Amerco+.......................... 9,600 283
Avis Rent A Car, Incorporated+... 13,300 238
Central Garden & Pet Company+.... 3,500 25
Cort Business Services
Corporation+................... 1,600 32
Dollar Thrifty Automotive Group,
Incorporated+.................. 1,800 30
Firstservice Corporation+........ 1,400 16
Interpool, Incorporated.......... 12,100 92
Mac Gray Corporation+............ 38,200 179
NCH Corporation.................. 1,400 67
Ogden Corporation................ 3,700 34
Pittston Brinks Group............ 59,500 1,142
Service Experts, Incorporated+... 700 4
Staff Leasing, Incorporated...... 1,000 9
Stewart Enterprises,
Incorporated................... 47,500 226
</TABLE>
See accompanying notes
- --------------------------------------------------------------------------------
53
<PAGE> 56
AMR INVESTMENT SERVICES SMALL CAP VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS - CONTINUED
October 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
---------- --------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
Sylvan Learning Systems,
Incorporated+.................. 20,400 $ 264
Trammell Crow Company+........... 2,600 38
Unifirst Corporation............. 8,600 105
-------
TOTAL SERVICES............... 2,948
-------
TEXTILES (APPAREL) - 1.04%
Kellwood Company................. 10,600 187
Nautica Enterprises,
Incorporated+.................. 12,100 182
Oxford Industries,
Incorporated................... 1,000 22
Russell Corporation.............. 20,000 304
-------
TOTAL TEXTILES (APPAREL)..... 695
-------
TEXTILES (SPECIALTY) - 1.03%
Burlington Industries,
Incorporated+.................. 23,100 85
Guilford Mills, Incorporated..... 3,800 33
Interface, Incorporated.......... 13,200 54
Mohawk Industries,
Incorporated+.................. 4,500 103
Pillowtex Corporation............ 600 2
Springs Industries,
Incorporated................... 7,200 287
Unifi, Incorporated+............. 10,500 126
-------
TOTAL TEXTILES (SPECIALTY)... 690
-------
TOTAL CONSUMER - CYCLICALS... 16,497
-------
ENERGY - 4.02%
OIL & GAS (DRILLING & EQUIPMENT) - 1.60%
Friede Goldman International,
Incorporated+.................. 8,200 76
National Oilwell,
Incorporated+.................. 6,600 90
Oceaneering International,
Incorporated+.................. 2,800 38
Offshore Logistics,
Incorporated+.................. 1,400 13
Pride International,
Incorporated+.................. 6,300 87
R & B Falcon Corporation+........ 21,300 265
Seacor Smit, Incorporated+....... 3,200 146
Seitel, Incorporated+............ 10,200 81
Tidewater, Incorporated.......... 6,900 207
Varco International,
Incorporated+.................. 6,500 69
Veritas DGC, Incorporated+....... 400 6
-------
TOTAL OIL & GAS (DRILLING &
EQUIPMENT)................. 1,078
-------
OIL & GAS (EXPLORATION/PRODUCTION) - 2.42%
Triton Energy Limited+........... 97,800 1,620
-------
TOTAL OIL & GAS (EXPLORATION/
PRODUCTION)................ 1,620
-------
TOTAL ENERGY................. 2,698
-------
FINANCIALS - 14.79%
BANKS (REGIONAL) - 1.95%
Corus Bankshares, Incorporated... 7,500 206
First Citizens Bancshares,
Incorporated................... 4,700 357
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
---------- --------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
First Midwest BanCorp,
Incorporated................... 16,800 $ 687
Hamilton Bancorp, Incorporated+.. 3,500 56
-------
TOTAL BANKS (REGIONAL)....... 1,306
-------
CONSUMER FINANCE - 0.13%
Advanta Corporation.............. 4,800 85
-------
TOTAL CONSUMER FINANCE....... 85
-------
FINANCIAL (DIVERSIFIED) - 1.24%
Amresco, Incorporated+........... 16,800 49
Arcadia Financial Limited+....... 16,400 66
Freedom Securities Corporation... 1,500 22
Landamerica Financial Group,
Incorporated................... 5,400 100
MMI Companies, Incorporated...... 8,100 66
Professionals Group,
Incorporated+.................. 1,500 36
Resource Bancshares Mortgage
Group, Incorporated............ 4,600 26
Stewart Information Services
Corporation.................... 2,800 42
Ventas, Incorporated............. 86,600 422
-------
TOTAL FINANCIAL
(DIVERSIFIED).............. 829
-------
INSURANCE (LIFE/HEALTH) - 1.52%
Amerus Life Holdings,
Incorporated................... 6,100 147
Delphi Financial Group,
Incorporated................... 8,600 275
Liberty Financial Companies,
Incorporated................... 20,400 491
National Western Life Insurance
Company+....................... 1,200 103
Scottish Annuity & Life.......... 400 4
-------
TOTAL INSURANCE (LIFE/
HEALTH).................... 1,020
-------
INSURANCE (MULTI-LINE) - 1.76%
Esg Re Limited................... 85,800 665
Stancorp Financial Group,
Incorporated................... 20,100 510
-------
TOTAL INSURANCE (MULTI-
LINE)...................... 1,175
-------
INSURANCE BROKERS - 0.06%
Stirling Cooke Brown Holdings.... 15,200 42
-------
TOTAL INSURANCE BROKERS...... 42
-------
INSURANCE - PROPERTY - CASUALTY - 6.14%
Acceptance Insurance Company+.... 1,800 26
Capital Re Corporation........... 5,600 79
Commerce Group, Incorporated..... 11,700 297
Enhance Financial Services Group,
Incorporated................... 55,600 1,015
Everest Reinsurance Holdings,
Incorporated................... 3,700 95
</TABLE>
See accompanying notes
- --------------------------------------------------------------------------------
54
<PAGE> 57
AMR INVESTMENT SERVICES SMALL CAP VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS - CONTINUED
October 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
---------- --------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
Fidelity National Financial,
Incorporated................... 9,200 $ 144
Fremont General Corporation...... 32,400 279
Frontier Insurance Group,
Incorporated................... 14,800 131
Harleysville Group,
Incorporated................... 12,400 212
Horace Mann Educators
Corporation.................... 27,700 781
IPC Holdings Limited............. 12,400 211
Orion Cap Corporation............ 4,800 235
Radian Group, Incorporated....... 1,800 95
Reliance Group Holdings,
Incorporated................... 48,800 174
RLI Corporation.................. 1,500 50
Selective Insurance Group,
Incorporated................... 11,800 221
State Auto Financial
Corporation.................... 3,200 37
Trenwick Group, Incorporated..... 1,690 34
-------
TOTAL INSURANCE -
PROPERTY - CASUALTY........ 4,116
-------
SAVINGS & LOAN COMPANIES - 1.99%
Bank United Corporation.......... 11,100 433
BankAtlantic Bancorp,
Incorporated................... 18,340 93
Coastal Bancorp, Incorporated.... 200 4
Downey Financial Corporation..... 5,200 115
First Republic Bank San
Francisco+..................... 4,200 105
FirstFed Financial
Corporation+................... 8,500 136
Washington Federal,
Incorporated................... 10,700 244
Webster Financial Corporation.... 7,200 206
-------
TOTAL SAVINGS & LOAN
COMPANIES.................. 1,336
-------
TOTAL FINANCIALS............. 9,909
-------
HEALTH CARE - 4.38%
Bacou USA, Incorporated+......... 3,100 49
Beverly Enterprises,
Incorporated+.................. 176,200 694
First Health Group
Corporation+................... 1,200 28
Genesis Health Ventures,
Incorporated+.................. 5,300 9
Ocular Sciences, Incorporated+... 900 17
Omnicare, Incorporated........... 41,900 388
Pediatrix Medical Group,
Incorporated+.................. 4,000 36
Quorum Health Group,
Incorporated+.................. 32,000 256
Safeskin Corporation+............ 9,100 76
Sierra Health Services,
Incorporated+.................. 11,400 83
Sola International,
Incorporated+.................. 4,600 64
Steris Corporation+.............. 13,600 181
Total Renal Care Holdings,
Incorporated+.................. 134,100 981
Twinlab Corporation+............. 700 6
Universal Health Services,
Incorporated+.................. 2,400 71
-------
TOTAL HEALTH CARE............ 2,939
-------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
---------- --------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
TECHNOLOGY - 7.33%
COMMUNICATIONS EQUIPMENT - 0.20%
Cable Design Technologies
Corporation+................... 5,600 $ 108
Superior Telecommunications,
Incorporated................... 1,500 23
-------
TOTAL COMMUNICATIONS
EQUIPMENT.................. 131
-------
COMPUTERS (PERIPHERALS) - 3.05%
Creative Technology, Limited..... 116,100 1,393
Hutchinson Technology,
Incorporated+.................. 12,000 306
Radisys Corporation+............. 6,500 345
-------
TOTAL COMPUTERS
(PERIPHERALS).............. 2,044
-------
COMPUTERS SOFTWARE/SERVICES - 2.99%
Avant! Corporation+.............. 11,100 143
Fair Issac & Company,
Incorporated................... 17,600 680
JDA Software Group,
Incorporated+.................. 48,900 440
Saga Systems, Incorporated+...... 5,100 74
THQ, Incorporated+............... 16,200 666
-------
TOTAL COMPUTERS
SOFTWARE/SERVICES.......... 2,003
-------
ELECTRONICS (COMPONENT DISTRIBUTION) - 0.30%
Avnet Incorporated............... 237 13
Cellstar Corporation+............ 25,300 179
Pioneer Standard Electronics,
Incorporated................... 500 7
-------
TOTAL ELECTRONICS (COMPONENT
DISTRIBUTION).............. 199
-------
ELECTRONICS (INSTRUMENT) - 0.05%
Bio Rad Laboratories,
Incorporated+.................. 1,500 36
-------
TOTAL ELECTRONICS
(INSTRUMENT)............... 36
-------
ELECTRONICS - SEMICONDUCTORS - 0.15%
General Semiconductor,
Incorporated+.................. 6,000 63
Neomagic Corporation+............ 5,000 40
-------
TOTAL ELECTRONICS -
SEMICONDUCTORS............. 103
-------
SERVICES (COMPUTER SYSTEMS) - 0.59%
CHS Electronics, Incorporated+... 4,700 4
Inacom Corporation+.............. 81,791 394
-------
TOTAL SERVICES (COMPUTER
SYSTEMS)................... 398
-------
TOTAL TECHNOLOGY............. 4,914
-------
</TABLE>
See accompanying notes
- --------------------------------------------------------------------------------
55
<PAGE> 58
AMR INVESTMENT SERVICES SMALL CAP VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS - CONTINUED
October 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
---------- --------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
TRANSPORTATION - 2.56%
MARINE - 1.11%
Knightsbridge Tankers Limited.... 48,300 $ 743
-------
TOTAL MARINE................. 743
-------
RAILROADS - 0.47%
Westinghouse Air Brake Company... 11,000 202
Wisconsin Central Transportation
Corporation+................... 8,300 115
-------
TOTAL RAILROADS.............. 317
-------
TRUCKERS - 0.98%
Arkansas Best Corporation+....... 3,300 46
Arnold Industries,
Incorporated................... 10,500 105
Consolidated Freightways
Corporation+................... 9,600 76
J. B. Hunt Transport Services,
Incorporated................... 1,300 17
Landstar Systems,
Incorporated+.................. 2,600 105
Roadway Express, Incorporated.... 400 8
Rollins Truck Leasing
Corporation.................... 11,000 106
Us Freightways Corporation....... 500 23
Yellow Corporation+.............. 10,000 170
-------
TOTAL TRUCKERS............... 656
-------
TOTAL TRANSPORTATION......... 1,716
-------
UTILITIES - 6.16%
ELECTRIC COMPANIES - 5.46%
Central Hudson Gas & Electric
Corporation.................... 5,300 198
Cleco Corporation................ 6,500 215
CMP Group, Incorporated.......... 43,400 1,156
El Paso Electric Company+........ 12,000 109
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
---------- --------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
Public Service Company........... 28,900 $ 517
R G S Energy Group,
Incorporated................... 49,100 1,224
The United Illuminating Company.. 4,600 238
-------
TOTAL ELECTRIC COMPANIES..... 3,657
-------
NATURAL GAS - DISTRIBUTION - PIPE LINE - 0.70%
MDU Resources Group,
Incorporated................... 5,200 122
UGI Corporation.................. 14,600 350
-------
TOTAL NATURAL GAS -
DISTRIBUTION - PIPE LINE... 472
-------
TOTAL UTILITIES.............. 4,129
-------
TOTAL COMMON STOCK........... 62,949
-------
SHORT-TERM INVESTMENTS - 18.00%
American AAdvantage Money Market
Fund........................... 4,077,534 4,078
AMR Investments Enhanced Yield
Business Trust................. 449,386 449
AMR Investments Strategic Cash
Business Trust................. 7,533,059 7,533
-------
TOTAL SHORT-TERM
INVESTMENTS................ 12,060
-------
TOTAL INVESTMENTS - 111.93%
(COST $82,088)............. 75,009
-------
LIABILITIES, NET OF OTHER
ASSETS - (11.93%).............. (7,995)
-------
TOTAL NET ASSETS - 100%.......... $67,014
=======
</TABLE>
- ---------------
Based on the cost of investments of $82,195 for federal income tax purposes at
October 31, 1999, the aggregate gross unrealized appreciation was $3,613, the
aggregate gross unrealized depreciation was $10,799, and the net unrealized
depreciation of investments was $7,186.
ABBREVIATIONS:
PLC - Public Limited Corporation
+ - Non-income Producing
See accompanying notes
- --------------------------------------------------------------------------------
56
<PAGE> 59
AMR INVESTMENT SERVICES INTERNATIONAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
---------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
AUSTRALIA COMMON STOCKS - 3.56%
Australia & New Zealand
Banking Group............... 1,409,182 $ 9,293
Broken Hill Property.......... 391,460 4,043
Cable and Wireless Optus...... 1,544,000 3,532
Goldfield, Limited............ 227,448 155
Mayne Nickless, Limited....... 965,000 2,613
News Corporation Preferred
Rights...................... 345,000 2,334
News Corporation, Limited..... 210,000 1,518
Pioneer International,
Limited..................... 5,338,445 11,669
QBE Insurance Group, Limited.. 2,002,088 8,357
Westralian Sands.............. 360,594 850
WMC, Limited.................. 785,000 3,367
----------
TOTAL AUSTRALIA COMMON
STOCKS.................. 47,731
----------
AUSTRIA - 0.69%
PREFERRED STOCKS - 0.28%
Bank Austria AG, 144a (Note
A).......................... 76,000 3,776
----------
TOTAL AUSTRIA PREFERRED
STOCKS.................. 3,776
----------
COMMON STOCKS - 0.41%
Boehler-Uddeholm.............. 70,465 2,948
Evn Energie-Versorgung
Niederoesterreich AG........ 7,960 1,142
Mayr-Melnhof Karton AG........ 16,000 712
VA Technologie AG............. 11,000 735
----------
TOTAL AUSTRIA COMMON
STOCKS.................. 5,537
----------
TOTAL AUSTRIA............. 9,313
----------
CANADA COMMON STOCKS - 2.90%
Alcan Aluminum, Limited....... 105,000 3,444
Anderson Exploration,
Limited..................... 170,000 2,190
Canadian Imperial Bank of
Commerce.................... 205,010 4,418
Clarica Life Insurance
Company, 144a (Note A)...... 97,837 1,583
IMASCO, Limited............... 231,810 6,225
Manulife Financial
Corporation................. 576,888 6,942
Methanex Corporation.......... 275,000 767
Newbridge Network............. 98,400 1,917
Noranda, Incorporated......... 357,525 4,715
Ranger Oil, Limited........... 589,010 2,262
Renaissance Energy............ 140,000 1,694
Transcanada Pipelines,
Limited..................... 234,000 2,823
----------
TOTAL CANADA COMMON
STOCKS.................. 38,980
----------
DENMARK COMMON STOCKS - 0.52%
Tele Danmark AS............... 63,500 3,852
Unidanmark AS, "A"............ 40,000 3,111
----------
TOTAL DENMARK COMMON
STOCKS.................. 6,963
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
---------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
FINLAND COMMON STOCKS - 2.73%
Enso-Gutzeit OY, "R".......... 212,000 $ 2,785
Nokia AB OY................... 49,500 5,661
Merita Bank, Limited.......... 1,522,070 8,815
Metra OY, "B"................. 105,000 1,987
Metsa-Serla OY, "B"........... 100,000 905
Metso OYJ..................... 179,664 2,030
UPM-Kymmene OY................ 460,330 14,515
----------
TOTAL FINLAND COMMON
STOCKS.................. 36,698
----------
FRANCE COMMON STOCKS - 10.94%
Alcatel Alsthom CG............ 107,153 16,725
Axa SA........................ 110,172 15,528
Banque Nationale de Paris..... 296,959 26,062
BIC SA........................ 106,834 5,221
CSF (Thomson)................. 251,277 8,531
La Farge-Coppee SA............ 40,723 3,916
Michelin (CGDE)............... 45,475 1,979
Pechiney SA................... 51,800 2,896
Pernod-Ricard................. 73,197 4,939
Rhone-Poulenc, "A"............ 256,910 14,365
Saint Gobain.................. 31,298 5,428
Total Petroleum Company, "B".. 268,173 36,220
Vivendi....................... 66,325 5,023
----------
TOTAL FRANCE COMMON
STOCKS.................. 146,833
----------
GERMANY - 8.28%
PREFERRED STOCKS - 0.31%
Dyckerhoff AG................. 140,990 4,223
----------
TOTAL GERMANY PREFERRED
STOCKS.................. 4,223
----------
COMMON STOCKS - 7.97%
Adidas Salomon AG............. 15,000 1,085
Allianz AG.................... 17,805 5,418
BASF AG....................... 57,000 2,561
BAYER AG...................... 60,000 2,453
BBS Kraftfahrzeugtechnik...... 15,260 321
Boss (Hugo) AG................ 26,400 3,524
Buderus AG.................... 252,850 4,252
Celanese AG................... 32,484 512
Commerzbank AG................ 131,005 4,991
Daimler Chrysler AG........... 60,455 4,702
Deutsche Bank AG.............. 46,000 3,297
Dragerwerk AG................. 150,805 1,601
Hoechst AG.................... 391,465 17,219
Krones AG..................... 105,000 2,869
Merck KGAA.................... 94,000 3,241
Metro AG...................... 128,555 6,905
Muenchener Rueckversicherung
AG, DEM 10, 144a (Note A)... 22,576 5,173
</TABLE>
See accompanying notes
- --------------------------------------------------------------------------------
57
<PAGE> 60
AMR INVESTMENT SERVICES INTERNATIONAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS - CONTINUED
October 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
---------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
Muenchener Rueckversicherung
AG, DEM 5, 144a (Note A).... 293 $ 12
SGL Carbon.................... 37,795 2,417
Siemens AG NPV................ 46,220 4,146
Thyssen Krupp AG.............. 183,000 4,328
Veba AG....................... 387,602 20,940
Volkswagen AG................. 52,500 3,101
Vossloh AG.................... 92,915 1,924
----------
TOTAL GERMANY COMMON
STOCKS.................. 106,992
----------
TOTAL GERMANY............. 111,215
----------
HONG KONG COMMON STOCKS - 3.00%
Asia Satellite
Telecommunications Holdings,
Limited..................... 275,000 648
Cheung Kong Holdings,
Limited..................... 655,000 5,964
Hang Lung Development Company,
Limited..................... 3,073,000 3,303
Hong Kong Electric Holdings... 793,400 2,425
HSBC Holdings................. 377,265 4,540
Hutchinson Whampoa, Limited... 300,000 3,012
National Mutual of Asia,
Limited..................... 1,700,000 1,466
New World Development Company,
Limited..................... 1,134,000 2,146
South China Morning Post...... 7,682,000 5,685
Swire Pacific................. 1,445,700 7,164
Television Broadcast.......... 721,000 3,851
----------
TOTAL HONG KONG COMMON
STOCKS.................. 40,204
----------
IRELAND COMMON STOCKS - 1.29%
Allied Irish Banks............ 538,151 6,731
Greencore Group............... 1,589,190 4,560
Jefferson Smurfit............. 2,336,992 6,067
----------
TOTAL IRELAND COMMON
STOCKS.................. 17,358
----------
ITALY - 3.53%
PREFERRED STOCKS - 0.24%
Concessioni E Contruzioni
Autostrade.................. 425,000 3,203
----------
TOTAL ITALY PREFERRED
STOCKS.................. 3,203
----------
COMMON STOCKS - 3.29%
BCA Naz Del Lavoro............ 770,000 2,606
Burgo (Cartiere) SPA.......... 119,420 879
Eni SPA....................... 2,684,375 15,687
Fiat SPA...................... 77,499 2,452
Instituto Nazionale Delle
Assicurazioni............... 1,000,000 3,032
Sao Paolo Imi SPA............. 137,280 1,778
STET Telecom Italia........... 1,539,170 13,282
Telecom Italia SPA............ 812,500 3,988
Unione Immobiliare............ 1,000,000 514
----------
TOTAL ITALY COMMON
STOCKS.................. 44,218
----------
TOTAL ITALY............... 47,421
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
---------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
JAPAN COMMON STOCKS - 13.15%
Asahi Breweries............... 415,000 $ 5,897
Best Denki Company............ 300,000 3,090
Canon, Incorporated........... 180,000 5,088
Fuji Bank..................... 478,000 6,550
Hitachi Zosen Corporation..... 212,000 177
Hitachi, Limited.............. 225,000 2,430
Industrial Bank of Japan...... 411,000 5,553
Japan Tobacco................. 381 4,199
Kanamoto Company.............. 310,000 2,064
KAO Corporation............... 217,000 6,612
Kokusai Electric.............. 506,000 6,303
Makita Corporation............ 105,000 1,007
Matsushita Electric Industrial
Company..................... 164,000 3,449
Matsuzakaya Company........... 500,000 1,845
Nichicon Corporation.......... 244,000 5,284
Nintendo Company, Limited..... 160,100 25,390
Nippon Telephone & Telegraph
Company..................... 285 4,370
NTT Mobile Communication...... 664 17,624
Okumura Corporation........... 700,000 2,515
Orix Corporation.............. 85,100 11,416
Promise Company, Limited, 144a
(Note A).................... 108,200 7,258
Sankyo Company................ 284,000 8,082
Showa Sangyo Company.......... 850,000 1,873
Sony Corporation.............. 116,200 18,105
Sumitomo Trust & Banking...... 906,000 9,254
TDK Corporation............... 85,000 8,316
Yamato Kogyo Company,
Limited..................... 120,000 555
Yodogawa Steel Works.......... 541,000 2,229
----------
TOTAL JAPAN COMMON
STOCKS.................. 176,535
----------
MALAYSIA COMMON STOCKS - 0.16%
Golden Hope Plantations BHD... 2,603,000 2,082
----------
TOTAL MALAYSIA COMMON
STOCKS.................. 2,082
----------
MEXICO COMMON STOCKS - 0.43%
Alfa, SA...................... 436,000 1,670
Consorcio Grupo Dina Sa De C
V........................... 590,000 369
Grupo Mexico SA............... 547,300 1,977
Industrias Penoles............ 401,100 1,262
Vitro SA...................... 335,000 438
----------
TOTAL MEXICO COMMON
STOCKS.................. 5,716
----------
NETHERLANDS COMMON STOCKS - 6.50%
ABN AMRO Holdings NV.......... 365,630 8,835
Akzo Nobel NV................. 321,536 13,836
Fortis NV, 144a (Note A)...... 178,320 6,134
</TABLE>
See accompanying notes
- --------------------------------------------------------------------------------
58
<PAGE> 61
AMR INVESTMENT SERVICES INTERNATIONAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS - CONTINUED
October 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
---------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
Hollandsche Beton Groep NV.... 281,645 $ 2,753
Ing Groep NV.................. 339,984 20,040
Kon KPN NV.................... 200,345 10,274
Philips Electronics........... 236,866 24,273
TNT Post Groep NV............. 42,500 1,081
----------
TOTAL NETHERLANDS COMMON
STOCKS.................. 87,226
----------
NEW ZEALAND COMMON STOCKS - 1.27%
Brierley Investments,
Limited..................... 1,753,762 399
Carter Holt Harvey, Limited... 1,205,889 1,526
Fisher & Paykel, Limited...... 880,000 2,673
Fletcher Challenge Building... 2,564,979 3,168
Fletcher Challenge Forest..... 2,778,284 1,139
Fletcher Challenge Paper...... 765,000 500
Telecom Corporation of New
Zealand..................... 1,905,985 7,660
----------
TOTAL NEW ZEALAND COMMON
STOCKS.................. 17,065
----------
PORTUGAL COMMON STOCKS - 0.62%
Portugal Telecom.............. 183,563 8,180
----------
TOTAL PORTUGAL COMMON
STOCKS.................. 8,180
----------
NORWAY COMMON STOCKS - 1.01%
Den Norsk Bank, Series A...... 810,000 3,139
Kvaerner Industries AS........ 211,773 3,995
Kvaerner Industries AS........ 25,200 382
Norsk Hydro AS................ 90,000 3,591
Nycomed AS, Series B.......... 324,320 1,984
Unitor AS..................... 80,000 500
----------
TOTAL NORWAY COMMON
STOCK................... 13,591
----------
SINGAPORE COMMON STOCKS - 2.18%
Development Bank of Singapore
Group Holdings.............. 540,795 6,111
Inchcape Motors............... 325,000 383
Creative Technology........... 439,100 5,120
Overseas Chinese Bank......... 411,650 3,093
United OverSeas Bank.......... 1,918,300 14,527
----------
TOTAL SINGAPORE COMMON
STOCK................... 29,234
----------
SPAIN COMMON STOCKS - 2.91%
Argentaria C/P HIP............ 240,790 5,340
Banco Popular Espanol......... 28,000 1,883
Endesa SA..................... 218,445 4,369
Iberdrola SA.................. 200,357 2,919
Repsol SA (RG)................ 111,000 2,287
Telefonica de Espana.......... 1,356,427 22,298
----------
TOTAL SPAIN COMMON
STOCKS.................. 39,096
----------
SOUTH KOREA COMMON STOCKS - 0.09%
Korea Electric Power
Corporation................. 40,860 1,196
----------
TOTAL SOUTH KOREA COMMON
STOCKS.................. 1,196
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
---------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
SWEDEN COMMON STOCKS - 3.34%
Assidoman AB.................. 72,800 $ 1,299
Astrazeneca................... 27,847 1,256
Autoliv Incorporated.......... 125,000 3,975
Electrolux AB, "B"............ 868,600 17,291
Esselte AB, Class "A"......... 2,000 13
Esselte AB, Class "B"......... 17,000 113
Foreningssparbk............... 208,000 3,308
Granges AB.................... 15,000 287
Meto AG....................... 19,000 150
Nordbanken AS................. 295,500 1,722
SKF AB, "B" Free.............. 80,000 1,622
Stora Enso OY, Series A....... 62,062 814
Stora Enso OY, Series R....... 152,602 2,028
Svedala Industries, "A"
Free........................ 90,000 1,584
Svenska Handelsbanken......... 249,590 3,454
Volvo AB...................... 231,710 5,977
----------
TOTAL SWEDEN COMMON
STOCK................... 44,893
----------
SWITZERLAND COMMON STOCKS - 4.21%
ABB AG........................ 68,046 6,855
Geberit, AG, 144a (Note A).... 25,632 7,553
Novartis AG................... 6,429 9,620
Saurer AG..................... 9,281 3,898
Schweitz Ruckversiche......... 800 1,659
Sig Schweitz Industries AG.... 17,804 10,516
Sulzer AG..................... 13,386 9,400
Zurich Allied AG.............. 12,414 7,031
----------
TOTAL SWITZERLAND COMMON
STOCK................... 56,532
----------
UNITED KINGDOM COMMON STOCKS - 20.55%
Allied Domecq, PLC............ 780,144 4,365
Allied Zurich................. 939,332 11,406
Arriva........................ 205,000 1,076
Astrazeneca................... 191,166 8,633
BAA, PLC...................... 576,880 4,212
BG, PLC....................... 529,411 2,936
BP Amoco...................... 883,130 8,564
British Aerospace............. 1,559,685 9,213
British American Tobacco
Industries, PLC............. 1,291,732 8,563
British Energy, PLC........... 616,691 4,200
British Telecommunications.... 593,058 10,744
Cadbury Schweppes............. 500,820 3,254
Coats Viyella, PLC............ 2,024,530 1,553
Commercial Union, PLC......... 359,010 5,225
Cookson Group, PLC............ 3,911,165 11,994
Cortaulds Textiles, PLC....... 150,000 298
Debenhams Retail.............. 83,750 355
Diageo........................ 501,843 5,097
Fairview Holdings, PLC........ 37,500 84
General Electric.............. 435,000 4,729
GKN, PLC...................... 68,600 1,102
Granada Group................. 603,610 4,784
Great Universal Stores, PLC... 445,000 3,366
Halifax Group, PLC............ 282,500 3,602
Hanson, PLC................... 1,093,185 8,503
</TABLE>
See accompanying notes
- --------------------------------------------------------------------------------
59
<PAGE> 62
AMR INVESTMENT SERVICES INTERNATIONAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS - CONTINUED
October 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
---------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
Imperial Chemical Industries,
PLC......................... 633,695 $ 6,296
Inchcape, PLC................. 50,000 249
Invensys...................... 3,135,575 15,384
Lloyds TSB Group, PLC......... 497,099 6,868
Marks & Spencer............... 500,000 2,305
Medeva, PLC................... 3,067,023 7,801
National Grid Group, PLC...... 255,000 1,895
National Power, PLC........... 360,000 2,440
National Westminster Bank,
PLC......................... 776,277 17,502
Next, PLC..................... 190,000 2,047
Northern Foods, PLC........... 1,000,000 1,559
PowerGen, PLC................. 273,000 2,406
Prudential Corporation........ 336,665 5,270
Reckitt & Colman, PLC......... 467,306 5,659
Reed International, PLC....... 855,340 5,011
Royal & Sun Alliance Insurance
Group....................... 607,381 4,131
Safeway, PLC.................. 509,677 1,606
Scapa Group................... 471,000 1,059
Shell Transportation & Trading
Company, PLC................ 535,000 4,091
Storehouse.................... 1,480,000 1,749
Tate & Lyle, PLC.............. 405,000 2,648
Tesco, PLC.................... 2,938,727 8,716
Thames Water Group, PLC....... 173,983 2,512
TI Group, PLC................. 1,476,740 9,935
Tomkins....................... 1,831,048 6,188
Transport Development Group... 28,260 99
Unilever, PLC................. 342,522 3,176
United News & Media PLC....... 611,012 5,850
Vickers Group................. 1,043,333 4,263
Williams, PLC................. 1,813,491 9,076
----------
TOTAL UNITED KINGDOM
COMMON STOCK............ 275,649
----------
UNITED STATES - 12.90%
FOREIGN SECURITIES DENOMINATED IN U.S. DOLLARS - 1.48%
G P Batteries International,
Limited..................... 436,000 603
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
---------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
Kookmin Bank GDR, 144a (Note
A).......................... 83,356 $ 1,315
Jardine Matheson Holding,
Limited..................... 871,000 3,745
New Holland NV................ 240,000 3,645
Nova Chemical Corporation,
ADR......................... 23,400 459
Sk Telecom, Limited........... 169,281 2,211
Stolt-Nielsen SA, "B"......... 76,000 1,192
Telmex ADR.................... 78,000 6,669
----------
TOTAL FOREIGN SECURITIES
DENOMINATED IN U.S.
DOLLARS................. 19,839
----------
</TABLE>
<TABLE>
<S> <C> <C>
SHORT TERM INVESTMENTS - 11.42%
American AAdvantage Money
Market Fund................. 70,946,458 70,946
AMR Investments Enhanced Yield
Business Trust.............. 48,040,302 48,040
AMR Investments Strategic Cash
Business Trust.............. 34,326,040 34,326
----------
TOTAL SHORT TERM
INVESTMENTS............. 153,312
----------
TOTAL UNITED STATES....... 173,151
----------
TOTAL INVESTMENTS - 106.76%
(COST $1,261,729)........... 1,432,862
----------
LIABILITIES, NET OF OTHER
ASSETS - (6.76%)............ (90,737)
----------
TOTAL NET ASSETS - 100%....... $1,342,125
==========
</TABLE>
- ---------------
Based on the cost of investments of $1,263,144 for federal income tax purposes
at October 31, 1999, the aggregate gross unrealized appreciation was $249,360,
the aggregate gross unrealized depreciation was $79,642, and the net unrealized
appreciation of investments was $169,718.
(A) Security exempt from registration under Rule 144a of the Securities Act of
1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers. At the period end,
the value of these securities amounted to $32,804 or 2.44% of net assets.
ABBREVIATIONS:
AB - Company (Finland, Sweden)
ADR - American Depository Receipt (United States)
AG - Company (Austria, Germany, Sweden, Switzerland)
AS - Company (Denmark, Norway, Sweden)
BHD - Berhard (Malaysia)
CG - Company General (France)
GDR - Global Depository Receipt (United States)
NV - Company (Netherlands, United States)
OY - Company (Finland, Sweden)
PLC - Public Limited Corporation (United Kingdom)
RG - (Spain)
SA - Company (France, Mexico, Spain, United States)
SPA - Company (Italy)
See accompanying notes
- --------------------------------------------------------------------------------
60
<PAGE> 63
AMR INVESTMENT SERVICES INTERNATIONAL EQUITY PORTFOLIO
INTERNATIONAL EQUITY INDUSTRY DIVERSIFICATION
October 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PERCENT OF
NET ASSETS
----------
<S> <C>
Capital Equipment........................................... 12.57%
Consumer Goods.............................................. 19.32%
Energy...................................................... 9.85%
Finance..................................................... 23.25%
Gold Mines.................................................. 0.01%
Materials................................................... 10.21%
Multi-Industry.............................................. 5.11%
Services.................................................... 15.02%
Short-Term Investments...................................... 11.42%
Other Assets (Liabilities).................................. (6.76%)
-------
NET ASSETS........................................ 100.00%
=======
</TABLE>
See accompanying notes
- --------------------------------------------------------------------------------
61
<PAGE> 64
AMR INVESTMENT SERVICES INTERMEDIATE BOND PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
AMOUNT VALUE
---------- --------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
U.S. TREASURY OBLIGATIONS - 19.20%
U.S. TREASURY BONDS - 14.35%
10.75%, Due 2/15/2003....................................... $ 6,820 $ 7,766
10.375%, Due 11/15/2012..................................... 4,235 5,273
8.125%, Due 8/15/2019....................................... 6,315 7,438
6.25%, Due 8/15/2023........................................ 7,000 6,851
6.875%, Due 8/15/2025....................................... 3,000 3,156
6.125%, Due 11/15/2027...................................... 6,075 5,868
--------
TOTAL U.S. TREASURY BONDS............................... 36,352
--------
U.S. TREASURY NOTES - 4.85%
6.25%, Due 8/31/2002........................................ 4,830 4,874
6.625%, Due 5/15/2007....................................... 7,230 7,420
--------
TOTAL U.S. TREASURY NOTES............................... 12,294
--------
TOTAL U.S. TREASURY OBLIGATIONS......................... 48,646
--------
U.S. AGENCY MORTGAGE-BACKED OBLIGATIONS - 22.77%
FEDERAL HOME LOAN MORTGAGE CORPORATION - 12.22%
Pool #067224, 8.50%, Due 8/1/2009........................... 1,132 1,177
Pool #190954, 7.00%, Due 8/1/2009........................... 2,823 2,837
Pool #359454, 9.00%, Due 8/1/2010........................... 2,129 2,236
Pool #009439, 8.75%, Due 7/1/2011........................... 2,588 2,708
Pool #323915, 9.50%, Due 11/1/2012.......................... 2,571 2,717
Gold Pool #E00540, 6.00%, Due 3/1/2013...................... 591 569
Gold Pool #E69244, 6.00%, Due 3/1/2013...................... 1,195 1,151
Gold Pool #E00669, 6.00%, Due 5/1/2014...................... 1,948 1,873
Pool #458001, 9.50%, Due 12/1/2014.......................... 4,918 5,215
Pool #100292, 10.00%, Due 9/1/2018.......................... 3,034 3,319
Pool #458000, 9.50%, Due 5/1/2027........................... 1,902 2,016
Gold Pool #C26472, 6.50%, Due 5/1/2029...................... 1,316 1,262
Gold Pool #C27089, 6.50%, Due 6/1/2029...................... 2,469 2,368
Pool #100293, 9.50%, Due 8/1/2029........................... 1,446 1,533
--------
TOTAL FEDERAL HOME LOAN MORTGAGE CORPORATION............ 30,981
--------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION - 10.55%
Pool #780085, 11.50%, Due 8/15/2018......................... 732 825
Pool #330551, 7.00%, Due 11/15/2022......................... 2,104 2,076
Pool #338365, 8.00%, Due 12/15/2022......................... 3,176 3,260
Pool #344185, 7.50%, Due 12/15/2022......................... 1,978 1,991
Pool #343600, 7.50%, Due 4/15/2023.......................... 2,987 3,007
Pool #346652, 7.50%, Due 7/15/2023.......................... 2,803 2,821
Pool #356688, 7.00%, Due 7/15/2023.......................... 2,125 2,096
Pool #001429, 7.50%, Due 10/20/2023......................... 2,754 2,763
Pool #386441, 8.00%, Due 8/15/2024.......................... 1,696 1,737
Pool #380601, 8.00%, Due 9/15/2024.......................... 2,298 2,353
Pool #780570, 7.00%, Due 5/15/2027.......................... 978 959
Pool #491467, 6.50%, Due 5/15/2029.......................... 2,986 2,855
--------
TOTAL GOVERNMENT NATIONAL MORTGAGE ASSOCIATION.......... 26,743
--------
TOTAL U.S. AGENCY MORTGAGE-BACKED OBLIGATIONS........... 57,724
--------
ASSET-BACKED SECURITIES - 1.02%
Ford Credit Auto Owner Trust, 1998-C A4, 5.81%, Due
3/15/2002................................................. 2,600 2,587
--------
TOTAL ASSET-BACKED SECURITIES........................... 2,587
--------
COMMERCIAL MORTGAGE-BACKED OBLIGATIONS - 1.93%
General Motors Acceptance Corporation Commercial Mortgage
Securities, Incorporated, 6.869%, Due 8/15/2007........... 5,000 4,894
--------
TOTAL COMMERCIAL MORTGAGE-BACKED OBLIGATIONS............ 4,894
--------
</TABLE>
See accompanying notes
- --------------------------------------------------------------------------------
62
<PAGE> 65
AMR INVESTMENT SERVICES INTERMEDIATE BOND PORTFOLIO
SCHEDULE OF INVESTMENTS -- CONTINUED
October 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
AMOUNT VALUE
---------- --------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
CORPORATE OBLIGATIONS - 52.37%
FINANCIAL - 23.32%
Aetna Services, Incorporated, 6.75%, Due 8/15/2001.......... $ 2,500 $ 2,494
A T & T Capital Corporation, 5.86%, Due 4/26/2002........... 1,300 1,258
Bank of America Corporation,
9.20%, Due 5/15/2003...................................... 2,300 2,467
7.20%, Due 4/15/2006...................................... 1,280 1,272
6.60%, Due 5/15/2010...................................... 3,350 3,110
Chase Manhattan Corporation, 7.125%, Due 6/15/2009.......... 2,200 2,190
CIT Group, Incorporated, 5.50%, Due 2/15/2004............... 660 624
CitiCorp,
7.125%, Due 5/15/2006..................................... 1,605 1,596
7.20%, Due 6/15/2007...................................... 2,400 2,393
Citigroup, Incorporated, 6.875%, Due 2/15/2098.............. 810 699
Countrywide Home Loan, Incorporated, 6.85%, Due 6/15/2004... 1,360 1,349
EOP Operating Limited Partnership,
6.50%, Due 1/15/2004...................................... 3,250 3,126
6.38%, Due 2/15/2012...................................... 1,315 1,290
First Union Bank of North Carolina, 5.80%, Due 12/1/2008.... 3,000 2,701
Ford Motor Credit Corporation, Variable Rate, 6.125%, Due
4/28/2003................................................. 2,490 2,437
Ford Motor Credit Corporation, 7.375%, Due 10/28/2009....... 1,175 1,186
General Motors Acceptance Corporation, 5.91%, Due
3/11/2002................................................. 2,000 1,968
Goldman Sachs Group, Incorporated, 6.65%, Due 7/15/2007..... 985 937
Mellon Bank, National Association, 7.375%, Due 5/15/2007.... 3,000 3,027
PNC Funding Corporation, 6.875%, Due 7/15/2007.............. 2,255 2,193
Sears Roebuck Acceptance Corporation,
6.93%, Due 10/03/2002..................................... 2,000 1,985
6.72%, Due 11/5/2003...................................... 2,200 2,152
Simon Property Group, Incorporated
6.625%, Due 6/15/2003..................................... 1,950 1,874
7.125%, Due 2/9/2009...................................... 3,000 2,783
Swiss Bank Corporation, 7.375%, Due 7/15/2015............... 3,000 2,937
Transamerica Financial Corporation, 7.25%, Due 8/15/2002.... 3,430 3,446
Travelers Property Casualty Corporation, 6.75%, Due
4/15/2001................................................. 4,000 4,022
Wells Fargo and Company, 6.875%, Due 7/15/2004.............. 1,600 1,589
--------
TOTAL FINANCIAL......................................... 59,105
--------
INDUSTRIAL - 20.59%
Cendant Corporation, 7.75%, Due 12/1/2003................... 3,000 2,993
Coca Cola Company, Incorporated, 6.00%, Due 3/15/2001....... 4,000 3,984
Cooper Industries, Incorporated, 6.70%, Due 9/22/2005....... 2,000 1,955
DaimlerChrysler North America Holding Corporation, 7.20%,
Due 9/1/2009.............................................. 1,515 1,517
Federated Department Stores, Incorporated, 6.79%, Due
7/15/2027................................................. 1,475 1,440
Fort James Corporation, 6.625%, Due 9/15/2004............... 2,000 1,948
General Motors, Incorporated, 7.70%, Due 4/15/2016.......... 3,000 3,053
Ingersoll Rand, Company, 6.34%, Due 12/3/2001............... 2,000 1,985
J. C. Penny and Company, 7.375%, Due 6/15/2004.............. 2,000 1,995
Loews Corporation, 6.75%, Due 12/15/2006.................... 2,000 1,924
Martin Marietta Material, Incorporated, 6.90%, Due
8/15/2007................................................. 1,500 1,487
Norfolk Southern Corporation, 7.05%, Due 5/1/2037........... 1,300 1,293
Occidental Petroleum Corporation,
6.40%, Due 4/1/2003....................................... 1,645 1,596
6.50%, Due 4/1/2005....................................... 3,710 3,575
Paramount Communications, 8.25%, Due 8/1/2022............... 2,750 2,794
Philip Morris Companies, Incorporated, 7.20%, Due
2/1/2007.................................................. 2,000 1,910
Phillips Petroleum Company, 6.375%, Due 3/30/2009........... 3,000 2,835
Raytheon Corporation, 7.00%, Due 11/1/2028.................. 1,125 992
Service Corporation, International, 6.00%, Due 12/15/2005... 2,575 1,995
Time Warner Incorporated Pass Through Asset Trust Securities
(PATS), 1997-1, 6.10%, Due 12/30/2001..................... 2,820 2,798
</TABLE>
See accompanying notes
- --------------------------------------------------------------------------------
63
<PAGE> 66
AMR INVESTMENT SERVICES INTERMEDIATE BOND PORTFOLIO
SCHEDULE OF INVESTMENTS -- CONTINUED
October 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
AMOUNT VALUE
---------- --------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
Union Oil Company of California, 7.20%, Due 5/15/2005....... $ 3,800 $ 3,802
Waste Management, Incorporated,
6.65%, Due 5/15/2005...................................... 1,375 1,354
7.00%, Due 7/15/2028...................................... 1,500 1,087
Williams Companies, Incorporated,
6.50%, Due 8/1/2006....................................... 1,515 1,435
7.625%, Due 7/15/2029..................................... 455 443
--------
TOTAL INDUSTRIAL........................................ 52,190
--------
SOVEREIGN - 0.78%
Province of Quebec, 5.75%, Due 2/15/2009.................... 2,170 1,973
--------
TOTAL SOVEREIGN......................................... 1,973
--------
UTILITIES - 7.68%
Alabama Power Company, 7.125%, Due 8/15/2004................ 2,800 2,813
Appalachian Power Company, 6.60%, Due 5/1/2009.............. 1,545 1,447
GTE Corporation, 7.83%, Due 5/1/2023........................ 750 739
Noram Energy Corporation, 6.375%, Due 11/1/2003............. 1,780 1,713
Puget Sound Power & Light Company, 7.75%, Due 2/1/2007...... 3,000 3,061
Sprint Capital Corporation,
6.125%, Due 11/15/2008.................................... 3,000 2,782
6.90%, Due 5/1/2019....................................... 2,235 2,086
Western Resources, Incorporated, 6.875%, Due 8/1/2004....... 2,000 1,898
WorldCom Incorporated, 6.40%, Due 8/15/2005................. 3,000 2,914
--------
TOTAL UTILITIES......................................... 19,453
--------
TOTAL CORPORATE OBLIGATIONS............................. 132,721
--------
SHORT-TERM INVESTMENTS - 13.01%
</TABLE>
<TABLE>
<CAPTION>
SHARES
----------
<S> <C> <C>
American AAdvantage Money Market Fund....................... 5,987,105 5,987
AMR Investments Enhanced Yield Business Trust............... 9,296,751 9,297
AMR Investments Strategic Cash Business Trust............... 17,676,603 17,677
--------
TOTAL SHORT-TERM INVESTMENTS............................ 32,961
--------
TOTAL INVESTMENTS - 110.30% (COST $288,090)............. 279,533
--------
LIABILITIES, NET OF OTHER ASSETS - (10.30%)............. (26,105)
--------
TOTAL NET ASSETS - 100%................................. $253,428
========
</TABLE>
- ---------------
Based on the cost of investments of $288,738 for federal income tax purposes at
October 31, 1999, the aggregate gross unrealized appreciation was $268, the
unrealized depreciation was $9,473, and the net unrealized depreciation of
investments was $9,205.
See accompanying notes
- --------------------------------------------------------------------------------
64
<PAGE> 67
AMR INVESTMENT SERVICES SHORT-TERM BOND PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
AMOUNT VALUE
---------- -------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
U.S. AGENCY MORTGAGE-BACKED OBLIGATIONS - 22.66%
FEDERAL HOME LOAN MORTGAGE CORPORATION - 8.42%
REMIC, M H-1 A, 10.15%, Due 4/15/2006..................... $ 22 $ 22
Pool #E44213, 7.00%, Due 1/1/2008......................... 2,818 2,838
Pool #555436, 8.50%, Due 1/1/2019......................... 2,390 2,492
Pool #A01417, 10.00%, Due 3/1/2021........................ 840 911
-------
TOTAL FEDERAL HOME LOAN MORTGAGE CORPORATION............ 6,263
-------
FEDERAL NATIONAL MORTGAGE ASSOCIATION - 4.43%
Pool #050763, 7.00%, Due 7/1/2008......................... 1,265 1,271
Pool #002499, 10.00%, Due 3/1/2016........................ 1,872 2,024
-------
TOTAL FEDERAL NATIONAL MORTGAGE ASSOCIATION............. 3,295
-------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION - 9.81%
Pool #780173, 9.50%, Due 12/15/2019....................... 5,015 5,381
Pool #001429, 7.50%, Due 10/20/2023....................... 1,907 1,913
-------
TOTAL GOVERNMENT NATIONAL MORTGAGE ASSOCIATION.......... 7,294
-------
TOTAL U.S. AGENCY MORTGAGE-BACKED OBLIGATIONS........... 16,852
-------
CORPORATE OBLIGATIONS - 55.56%
FINANCIAL - 23.11%
Aetna Services, Incorporated, 6.75%, Due 8/15/2001.......... 2,000 1,996
Associates Corporation of North America, 6.45%, Due
10/15/2001................................................ 3,000 2,995
CitiCorp, 8.625%, Due 12/1/2002............................. 2,000 2,094
EOP Operating Limited Partnership, 144a, 6.375%, Due
1/15/2002 (Note A)........................................ 1,000 983
Heller Financial, Incorporated, 5.875%, Due 11/1/2000....... 3,000 2,978
Merrill Lynch and Company, Variable Rate, 5.05%, Due
6/27/2000................................................. 3,000 2,991
PHH Corporation, 5.92%, Due 9/18/2000....................... 2,000 1,994
Simon Property Group Incorporated, 144a, 6.625%, Due
6/15/2003 (Note A)........................................ 1,200 1,153
-------
TOTAL FINANCIAL......................................... 17,184
-------
INDUSTRIAL - 21.59%
Cendant Corporation, 7.75%, Due 12/1/2003................... 1,590 1,586
Fort James Corporation, 8.375%, Due 11/15/2001.............. 3,000 3,083
Occidental Petroleum Corporation, 6.75%, Due 11/15/2002..... 2,500 2,481
Philip Morris Companies, Incorporated, 7.25%, Due
1/15/2003................................................. 3,000 2,985
Union Camp Corporation, 9.54%, Due 12/15/2000............... 2,000 2,062
Union Oil Company of California, 6.375%, Due 2/1/2004....... 2,880 2,793
Weyerhaeuser Company, 9.05%, Due 2/1/2003................... 1,000 1,059
-------
TOTAL INDUSTRIAL........................................ 16,049
-------
UTILITY - 6.58%
Sprint Capital Corporation, 5.70%, Due 11/15/2003........... 2,000 1,918
Texas Utilities Electric Company, 7.375%, Due 8/1/2001...... 1,000 1,010
WorldCom Incorporated, 6.25%, Due 8/15/2003................. 2,000 1,963
-------
TOTAL UTILITY........................................... 4,891
-------
FOREIGN - 4.28%
Province of Quebec, 8.80%, Due 4/15/2003.................... 3,000 3,179
-------
TOTAL FOREIGN........................................... 3,179
-------
TOTAL CORPORATE OBLIGATIONS............................. 41,303
-------
ASSET-BACKED SECURITIES - 14.73%
Citibank Credit Card Master Trust I, Series 1997-3 B,
6.989%, Due 2/10/2004..................................... 3,000 3,017
Ford Credit Auto Owner Trust, 1999-B A4, 5.80%, Due
6/15/2002................................................. 3,000 2,972
Honda Auto Receivables Grantor Trust, 144a 1998-A A, 5.50%,
Due 7/15/2004 (Note A).................................... 2,040 2,004
Premier Auto Trust, 1999-2 A3, 5.49%, Due 2/10/2003......... 3,000 2,956
-------
TOTAL ASSET-BACKED SECURITIES........................... 10,949
-------
</TABLE>
See accompanying notes
- --------------------------------------------------------------------------------
65
<PAGE> 68
AMR INVESTMENT SERVICES SHORT-TERM BOND PORTFOLIO
SCHEDULE OF INVESTMENTS -- CONTINUED
October 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
AMOUNT VALUE
---------- -------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
NON-AGENCY MORTGAGE BACKED OBLIGATIONS - 2.02%
Resolution Trust Corporation, 1992-1 A1, 7.014%, Due
5/25/2028................................................. $ 493 $ 493
1992-4 A2, 7.091%, Due 7/25/2028.......................... 1,012 1,008
-------
TOTAL NON-AGENCY MORTGAGE BACKED OBLIGATIONS............ 1,501
-------
</TABLE>
<TABLE>
<CAPTION>
SHARES
---------
<S> <C> <C>
SHORT-TERM INVESTMENTS - 7.22%
American AAdvantage Money Market Fund....................... 3,545,459 3,545
AMR Investments Strategic Cash Business Trust............... 1,819,010 1,819
-------
TOTAL SHORT-TERM INVESTMENTS............................ 5,364
-------
TOTAL INVESTMENTS - 102.19% (COST $77,200).................. 75,969
-------
LIABILITIES, NET OF OTHER ASSETS - (2.19%).................. (1,618)
-------
TOTAL NET ASSETS - 100%..................................... $74,351
=======
</TABLE>
- ---------------
Based on the cost of investments of $77,200 for federal income tax purposes at
October 31, 1999, the aggregate gross unrealized appreciation was $61, the
unrealized depreciation was $1,292, and the net unrealized depreciation of
investments was $1,231.
(A) Security exempt from registration under Rule 144a of the Securities Act of
1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers. At the period end,
the value of these securities amounted to $4,140 or 5.57% of net assets.
See accompanying notes
- --------------------------------------------------------------------------------
66
<PAGE> 69
AMR INVESTMENT SERVICES TRUST PORTFOLIOS
STATEMENTS OF ASSETS AND LIABILITIES
October 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHORT-
LARGE CAP SMALL CAP INTERNATIONAL INTERMEDIATE TERM
BALANCED VALUE VALUE EQUITY BOND BOND
---------- ---------- --------- ------------- ------------ ----------
(IN THOUSANDS)
<S> <C> <C> <C> <C> <C> <C>
ASSETS:
Investments in securities
at value (cost - $1,105,330;
$1,429,136; $82,088;
$1,261,729; $288,090;
$77,200,
respectively)*........... $1,133,181 $1,497,973 $75,009 $1,432,862 $279,533 $ 75,969
Cash, including foreign
currency................. - - - 42 - -
Dividends and interest
receivable............... 7,390 2,647 77 2,257 4,134 1,070
Reclaims receivable........ - - - 349 - -
Receivable for investments
sold..................... 13,362 12,259 1 112 - 1,194
Deferred organization
costs, net............... - - - - 16 -
Other assets............... - 21 48 - - -
---------- ---------- ------- ---------- -------- --------
TOTAL ASSETS........... 1,153,933 1,512,900 75,135 1,435,622 283,683 78,233
---------- ---------- ------- ---------- -------- --------
LIABILITIES:
Payable for investments
purchased................ 40,289 8,620 - 9,018 3,200 2,014
Payable upon return of
securities loaned........ 105,531 44,663 7,982 82,366 26,973 1,819
Management and investment
advisory fees payable
(Note 2)................. 758 1,193 121 1,460 56 12
Accrued organization
costs.................... 12 12 - 12 11 12
Unrealized depreciation on
foreign currency
contracts................ - - - 430 - -
Other liabilities.......... 87 98 18 211 15 25
---------- ---------- ------- ---------- -------- --------
TOTAL LIABILITIES...... 146,677 54,586 8,121 93,497 30,255 3,882
---------- ---------- ------- ---------- -------- --------
NET ASSETS APPLICABLE TO
INVESTORS' BENEFICIAL
INTERESTS.................... $1,007,256 $1,458,314 $67,014 $1,342,125 $253,428 $ 74,351
========== ========== ======= ========== ======== ========
</TABLE>
See accompanying notes
- --------------------------------------------------------------------------------
67
<PAGE> 70
AMR INVESTMENT SERVICES TRUST PORTFOLIOS
STATEMENTS OF OPERATIONS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LARGE CAP SMALL CAP INTERNATIONAL INTERMEDIATE SHORT-TERM
BALANCED VALUE VALUE EQUITY BOND BOND
-------- --------- ----------------- ------------- ------------ ----------
DECEMBER 31, 1998
YEAR ENDED TO
OCTOBER 31, 1999 OCTOBER 31, 1999 YEAR ENDED OCTOBER 31, 1999
-------------------- ----------------- -----------------------------------------
(IN THOUSANDS)
<S> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME:
Interest income..................... $ 28,261 $ 1,345 $ 197 $ 2,901 $ 15,237 $ 6,471
Dividend income (net of foreign
taxes of $80, $185 and $3,285 in
Balanced, Large Cap Value and
International Equity Portfolios,
respectively)..................... 16,379 43,155 313 27,676 - -
Income derived from commission
recapture (Note 6)................ 16 41 7 31 - -
Income derived from securities
lending, net (Note 5)............. 394 159 8 865 86 17
-------- -------- ------- -------- -------- -------
TOTAL INVESTMENT INCOME......... 45,050 44,700 525 31,473 15,323 6,488
-------- -------- ------- -------- -------- -------
EXPENSES:
Management and investment advisory
fees (Note 2)..................... 3,082 5,148 194 4,039 624 241
Custodian fees...................... 222 227 33 205 44 32
Professional fees................... 32 83 8 49 3 -
Other expenses...................... 102 177 18 66 11 13
-------- -------- ------- -------- -------- -------
TOTAL EXPENSES.................. 3,438 5,635 253 4,359 682 286
-------- -------- ------- -------- -------- -------
Less fees waived (Note 2)........... - - 48 - - -
-------- -------- ------- -------- -------- -------
NET EXPENSES.................... 3,438 5,635 205 4,359 682 286
-------- -------- ------- -------- -------- -------
NET INVESTMENT INCOME................... 41,612 39,065 320 27,114 14,641 6,202
-------- -------- ------- -------- -------- -------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS:
Net realized gain (loss) on
investments....................... 59,889 221,657 1,165 123,477 (3,537) (2,000)
Net realized loss on foreign
currency transactions............. - - - (11,539) - -
Change in net unrealized
appreciation or depreciation of
investments....................... (89,697) (203,626) (7,079) (17,423) (12,531) (1,482)
Change in net unrealized
appreciation of foreign currency
contracts and translations........ - - - 97,151 - -
-------- -------- ------- -------- -------- -------
NET GAIN (LOSS) ON
INVESTMENTS................... (29,808) 18,031 (5,914) 191,666 (16,068) (3,482)
-------- -------- ------- -------- -------- -------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS............. $ 11,804 $ 57,096 $(5,594) $218,780 $ (1,427) $ 2,720
======== ======== ======= ======== ======== =======
</TABLE>
See accompanying notes
- --------------------------------------------------------------------------------
68
<PAGE> 71
AMR INVESTMENT SERVICES TRUST PORTFOLIOS
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SMALL CAP
BALANCED LARGE CAP VALUE VALUE INTERNATIONAL EQUITY
----------------------- ------------------------ -------------- -----------------------
YEAR ENDED YEAR ENDED DECEMBER 31, YEAR ENDED
OCTOBER 31, OCTOBER 31, 1998 OCTOBER 31,
----------------------- ------------------------ TO OCTOBER 31 -----------------------
1999 1998 1999 1998 1999 1999 1998
---------- ---------- ---------- ----------- -------------- ---------- ----------
(IN THOUSANDS)
<S> <C> <C> <C> <C> <C> <C> <C>
INCREASE IN NET ASSETS:
OPERATIONS:
Net investment income.......... $ 41,612 $ 39,355 $ 39,065 $ 40,696 $ 320 $ 27,114 $ 21,857
Net realized gain (loss) on
investments and foreign
currency transactions........ 59,888 85,245 221,657 193,378 1,165 111,938 27,616
Change in net unrealized
appreciation or depreciation
of investments and foreign
currency translations........ (89,696) (35,136) (203,626) (127,017) (7,079) 79,728 (19,922)
---------- ---------- ---------- ----------- ------- ---------- ----------
NET INCREASE (DECREASE) IN
NET ASSETS RESULTING FROM
OPERATIONS................. 11,804 89,464 57,096 107,057 (5,594) 218,780 29,551
---------- ---------- ---------- ----------- ------- ---------- ----------
TRANSACTIONS IN INVESTORS'
BENEFICIAL INTERESTS:
Contributions.................. 155,233 166,037 296,048 359,223 90,405 948,727 678,114
Withdrawals.................... (238,306) (130,643) (797,887) (231,823) (17,797) (853,527) (441,193)
---------- ---------- ---------- ----------- ------- ---------- ----------
NET INCREASE (DECREASE) IN
NET ASSETS RESULTING FROM
TRANSACTIONS IN INVESTORS'
BENEFICIAL INTERESTS....... (83,073) 35,394 (501,839) 127,400 72,608 95,200 236,921
---------- ---------- ---------- ----------- ------- ---------- ----------
NET INCREASE (DECREASE) IN NET
ASSETS.......................... (71,269) 124,858 (444,743) 234,457 67,014 313,980 266,472
---------- ---------- ---------- ----------- ------- ---------- ----------
NET ASSETS:
Beginning of period............ 1,078,525 953,667 1,903,057 1,668,600 - 1,028,145 761,673
---------- ---------- ---------- ----------- ------- ---------- ----------
END OF PERIOD.................. $1,007,256 $1,078,525 $1,458,314 $ 1,903,057 $67,014 $1,342,125 $1,028,145
========== ========== ========== =========== ======= ========== ==========
- --------------------------------------------------------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS:
- --------------------------------------------------------------------------------------------------------------------------------
RATIOS:
Expenses to average net assets
(annualized)................. 0.32% 0.32% 0.32% 0.31% 0.72% 0.37% 0.53%
Net investment income to
average net assets
(annualized)................. 3.82% 3.80% 2.19% 2.12% 1.13% 2.27% 2.29%
Portfolio turnover rate........ 90% 87% 33% 40% 31% 63% 24%
Decrease reflected in above
expense ratio due to
absorption of expenses by the
Manager...................... - 0.01% - 0.01% 0.17% - -
<CAPTION>
INTERMEDIATE BOND SHORT-TERM BOND
------------------- -------------------
YEAR ENDED YEAR ENDED
OCTOBER 31, OCTOBER 31,
------------------- -------------------
1999 1998 1999 1998
-------- -------- -------- --------
(IN THOUSANDS)
<S> <C> <C> <C> <C>
INCREASE IN NET ASSETS:
OPERATIONS:
Net investment income.......... $ 14,641 $ 12,760 $ 6,202 $ 6,614
Net realized gain (loss) on
investments and foreign
currency transactions........ (3,536) 5,668 (2,001) (453)
Change in net unrealized
appreciation or depreciation
of investments and foreign
currency translations........ (12,532) 2,101 (1,481) 373
-------- -------- -------- --------
NET INCREASE (DECREASE) IN
NET ASSETS RESULTING FROM
OPERATIONS................. (1,427) 20,529 2,720 6,534
-------- -------- -------- --------
TRANSACTIONS IN INVESTORS'
BENEFICIAL INTERESTS:
Contributions.................. 174,791 55,600 35,387 30,059
Withdrawals.................... (98,940) (113,440) (74,093) (19,825)
-------- -------- -------- --------
NET INCREASE (DECREASE) IN
NET ASSETS RESULTING FROM
TRANSACTIONS IN INVESTORS'
BENEFICIAL INTERESTS....... 75,851 (57,840) (38,706) 10,234
-------- -------- -------- --------
NET INCREASE (DECREASE) IN NET
ASSETS.......................... 74,424 (37,311) (35,986) 16,768
-------- -------- -------- --------
NET ASSETS:
Beginning of period............ 179,004 216,315 110,337 93,569
-------- -------- -------- --------
END OF PERIOD.................. $253,428 $179,004 $ 74,351 $110,337
======== ======== ======== ========
- ------------------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS:
- ----------------------------------------------------------------------------------------------------
RATIOS:
Expenses to average net assets
(annualized)................. 0.28% 0.29% 0.29% 0.32%
Net investment income to
average net assets
(annualized)................. 5.91% 6.03% 6.29% 6.74%
Portfolio turnover rate........ 123% 181% 115% 74%
Decrease reflected in above
expense ratio due to
absorption of expenses by the
Manager...................... - - - -
</TABLE>
See accompanying notes
- --------------------------------------------------------------------------------
69
<PAGE> 72
AMR INVESTMENT SERVICES TRUST
NOTES TO FINANCIAL STATEMENTS
October 31, 1999
- --------------------------------------------------------------------------------
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
separate series, each having distinct investment objectives and policies. These
financial statements relate to the AMR Investment Services Balanced Portfolio,
the AMR Investment Services Large Cap Value Portfolio, the AMR Investment
Services Small Cap Value Portfolio, the AMR Investment Services International
Equity Portfolio, the AMR Investment Services Intermediate Bond Portfolio and
the AMR Investment Services Short-Term Bond Portfolio, (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. The AMR Investment Services Intermediate Bond Portfolio commenced active
operations on March 2, 1998. The AMR Investment Services Small Cap Value
Portfolio commenced active operations on December 31, 1998. Prior to March 1,
1999, the AMR Investment Services Large Cap Value Portfolio was known as the AMR
Investment Services Growth and Income Portfolio.
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 (the "Board").
Investment grade short-term obligations with 60 days or less to maturity are
valued using the amortized cost method.
Security Transactions and Investment Income
Security transactions are recorded on the trade date of the security
purchase or sale. Dividend income is recorded on the ex-dividend date except
certain dividends from foreign securities which are recorded as soon as the
information is available to the Portfolios. Interest income is earned from
settlement date, recorded on the accrual basis, and adjusted, if necessary, for
amortization of premiums or accretion of discounts on investment grade
short-term securities and zero coupon
- --------------------------------------------------------------------------------
70
<PAGE> 73
AMR INVESTMENT SERVICES TRUST
NOTES TO FINANCIAL STATEMENTS -- CONTINUED
October 31, 1999
- --------------------------------------------------------------------------------
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.
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 held at the Portfolio's
custodian bank, State Street Bank and Trust Company, or at subcustodian banks.
The 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 the Balanced, Large Cap Value, International Equity,
Intermediate Bond and Short-Term Bond Portfolios in connection with their
organization are being amortized on a straight-line basis over a five-year
period.
Use of Estimates
The preparation of financial statements in conformity with generally
accepted accounting principles requires management to make estimates and
assumptions that affect the amounts reported in the financial statements and
accompanying notes. Actual results may differ from those estimated.
- --------------------------------------------------------------------------------
71
<PAGE> 74
AMR INVESTMENT SERVICES TRUST
NOTES TO FINANCIAL STATEMENTS -- CONTINUED
October 31, 1999
- --------------------------------------------------------------------------------
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, Large Cap Value, Small Cap Value, International Equity and
Intermediate Bond 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 Balanced, Large
Cap Value, Small Cap Value and International Equity Portfolios an annualized fee
equal to .10% of the average daily net assets plus amounts paid by the Manager
to the investment advisors hired by the Manager to direct investment activities
of the Portfolios. The manager receives an annualized fee of .25% of the average
daily net assets of the Intermediate Bond Portfolio and pays a portion of their
fee to the investment advisor hired by the Manager to direct investment
activities of the Portfolio. Management fees are paid as follows (dollars in
thousands):
<TABLE>
<CAPTION>
AMOUNTS PAID TO NET AMOUNTS
MANAGEMENT MANAGEMENT INVESTMENT RETAINED BY
FEE RATE FEE ADVISORS MANAGER
---------- ---------- --------------- -----------
<S> <C> <C> <C> <C>
Balanced Portfolio................................. .225%-.70% $3,082 $1,971 $1,111
Large Cap Value Portfolio.......................... .225%-.70% 5,148 3,345 1,803
Small Cap Value Portfolio.......................... .50%-.70% 194 165 29
International Equity Portfolio..................... .25%-.70% 4,039 2,847 1,192
Intermediate Bond Portfolio........................ .25% 624 223 401
</TABLE>
The Manager serves as the sole investment adviser to the Short-Term Bond
Portfolio. Pursuant to the Management Agreement, the Manager receives from the
Portfolio an annualized fee equal to .25% of the average daily net assets of the
Short-Term Bond Portfolio. During the year ended October 31, 1999, the Manager
waived management fees totaling $29,000 for the Small Cap Value Portfolio.
Other
Certain officers or trustees of the Trust are also current or former
officers or employers of the Manager or American. The Trust makes no direct
payments to its officers. Unaffiliated trustees and their spouses are provided
free unlimited air transportation on American. However, the Trust compensates
each Trustee with payments in an amount equal to the Trustee's income tax on the
value of this free airline travel. For the year ended October 31, 1999, the cost
of air transportation was not material to any of the Portfolios.
Reimbursement of Expenses
For the year ended October 31, 1999, the Manager reimbursed expenses
totaling $19,000 for the Small Cap Value Portfolio.
- --------------------------------------------------------------------------------
72
<PAGE> 75
AMR INVESTMENT SERVICES TRUST
NOTES TO FINANCIAL STATEMENTS -- CONTINUED
October 31, 1999
- --------------------------------------------------------------------------------
3. INVESTMENT TRANSACTIONS
Investment transactions for the year ended October 31, 1999 (excluding
short-term investments) are as follows (in thousands):
<TABLE>
<CAPTION>
LARGE CAP SMALL CAP INTERNATIONAL INTERMEDIATE SHORT-TERM
BALANCED VALUE VALUE EQUITY BOND BOND
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
---------- ---------- --------- ------------- ------------ ----------
<S> <C> <C> <C> <C> <C> <C>
Purchases.................. $ 950,441 $ 575,335 $79,242 $810,633 $376,973 $106,228
Proceeds from sales........ $1,004,215 $1,024,566 $10,379 $706,688 $288,009 $131,302
</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 October 31, 1999, the
Portfolio had outstanding forward foreign currency contracts as follows:
<TABLE>
<CAPTION>
SETTLEMENT UNREALIZED
CONTRACTS TO DELIVER DATE VALUE GAIN/(LOSS)
-------------------- ---------- ------- -----------
(AMOUNTS IN THOUSANDS)
<C> <S> <C> <C> <C>
24,128 Deutsche Mark.............................................. 11/30/99 $12,995 $ 856
8,500 Pound Sterling............................................. 11/30/99 13,948 (252)
------- -------
Total contracts to deliver (Receivable amount $27,547).............. $26,943 $ 604
======= =======
CONTRACTS TO RECEIVE
- --------------------------------------------------------------------
(AMOUNTS IN THOUSANDS)
23,333 Deutsche Mark.............................................. 11/30/99 $12,566 $(1,130)
680 Euro Currency.............................................. 11/30/99 716 (2)
24,128 Pound Sterling............................................. 11/30/99 13,948 98
------- -------
Total contracts to receive (Payable amount $28,264)................. $27,230 $(1,034)
======= =======
</TABLE>
The Portfolios may purchase securities with delivery or payment to occur at
a later date. At the time the Portfolios enter into a commitment to purchase a
security, the transaction is recorded and the value of the security is reflected
in the net asset value. The value of the security may vary with market
fluctuations. No interest accrues to the Portfolios until payment takes place.
5. SECURITIES LENDING
The Portfolios participate in a securities lending program under which
securities are loaned to selected institutional investors. 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. The Portfolios may
bear the risk of delay in recovery of, or even loss of rights in, the securities
loaned should the borrower of securities fail financially. The Portfolios
receive the interest on the collateral less any fees and rebates paid to agents
and transferees of securities. The Portfolios also continue to receive interest
on the securities loaned, and any gain or loss in the market price of securities
loaned that may occur during the term of the loan will be for the account of the
Portfolio.
- --------------------------------------------------------------------------------
73
<PAGE> 76
AMR INVESTMENT SERVICES TRUST
NOTES TO FINANCIAL STATEMENTS -- CONTINUED
October 31, 1999
- --------------------------------------------------------------------------------
At October 31, 1999, securities with a market value of approximately
$108,076,738, $43,902,273, $7,604,984, $79,212,908, $29,847,198 and $1,791,367
were loaned by the Balanced, Large Cap Value, Small Cap Value, International
Equity, Intermediate Bond and Short Term Bond Portfolios, respectively. The
Custodian for each Portfolio held investments in the AMR Investments Strategic
Cash Business Trust and in the AMR Investments Enhanced Yield Business Trust
(collectively, the "Business Trusts") totaling $105,531,258, $44,663,109,
$7,982,445, $82,366,342, $26,973,380 and $1,819,010 for the Balanced, Large Cap
Value, Small Cap Value, International Equity, Intermediate Bond and Short Term
Bond Portfolios, respectively. In addition, the Custodian held non-cash
collateral totaling $3,941,400, $59,904 and $3,173,305 for the Balanced,
International Equity and Intermediate Bond Portfolios, respectively. The Manager
serves as Trustee and as investment adviser to the Business Trusts. The Manager
receives from the Business Trusts annualized fees equal to 0.10% of the average
daily net assets of the Business Trusts.
6. COMMISSION RECAPTURE
The Portfolios of the Trust have established brokerage commission recapture
arrangements with certain brokers or dealers. If a Portfolio investment adviser
chooses to execute a transaction through a participating broker, the broker
rebates a portion of the commission back to the Portfolio. Any collateral
benefit received through participation in the commission recapture program is
directed exclusively to the Portfolios.
- --------------------------------------------------------------------------------
74
<PAGE> 77
[AMERICAN EAGLE LOGO]
<PAGE> 78
[AMERICAN EAGLE LOGO]
<PAGE> 79
AMERICAN
AADVANTAGE FUNDS
- --------------------------------------------------------------------------------
To obtain more information about the Funds:
<TABLE>
<CAPTION>
By E-mail: On the Internet:
<S> <C>
[email protected] VISIT OUR WEBSITE AT WWW.AAFUNDS.COM
</TABLE>
<TABLE>
<CAPTION>
By Telephone: By Mail:
<S> <C> <C> <C>
INSTITUTIONAL CLASS INSTITUTIONAL CLASS
AMR CLASS PlanAhead Class(R) AMR CLASS PlanAhead Class(R)
Call (800) 967-9009 CALL (800) 388-3344 American AAdvantage Funds American AAdvantage Funds
P.O. BOX 619003 P.O. Box 219643
DFW AIRPORT, TX 75261-9003 Kansas City, MO 64121-9643
</TABLE>
FUND SERVICE PROVIDERS:
<TABLE>
<S> <C> <C> <C>
CUSTODIAN TRANSFER AGENT INDEPENDENT AUDITORS DISTRIBUTOR
STATE STREET BANK AND TRUST National Financial Data Services ERNST & YOUNG LLP SWS Financial Services
BOSTON, MASSACHUSETTS Kansas City, Missouri DALLAS, TEXAS Dallas, Texas
</TABLE>
This report is prepared for shareholders of the American AAdvantage Funds and
may be distributed to others only if preceded or accompanied by a current
prospectus.
American Airlines is not responsible for investments made in the American
AAdvantage Funds. American AAdvantage Funds is a registered service mark of AMR
Corporation. American AAdvantage Balanced Fund, American AAdvantage Large Cap
Value Fund, American AAdvantage International Equity Fund, American AAdvantage
Intermediate Bond Fund, American AAdvantage Short-Term Bond Fund and American
AAdvantage Small Cap Value Fund are service marks of AMR Investment Services,
Inc.
<PAGE> 80
- --------------------------------------------------------------------------------
American AAdvantage Funds
P.O. Box 619003
DFW Airport, TX 75261-9003
<PAGE> 81
AMERICAN
AADVANTAGE FUNDS(R)
- --------------------------------------------------------------------------------
ANNUAL REPORT
OCTOBER 31, 1999
MONEY MARKET FUNDS
MONEY MARKET FUND
MUNICIPAL MONEY MARKET FUND
U.S. GOVERNMENT MONEY MARKET FUND
MANAGED BY AMR INVESTMENTS
<PAGE> 82
ABOUT AMR INVESTMENTS
AMR Investments is an experienced provider of investment advisory services to
institutional and retail markets. We act as manager of the American
AAdvantage Funds, a family of diversified mutual funds, and offer customized
fixed income portfolio management services.
Our clients include defined benefit plans, defined contribution plans,
foundations, endowments, corporations, and other institutional investors.
AMR Investments is a wholly owned subsidiary of AMR Corporation, the parent
company of American Airlines, Inc.
Incorporated in 1986, we are directly responsible for the investment management
and oversight of AMR Corporation's defined benefit and defined contribution
plans, as well as its fixed income investments.
CONTENTS
<TABLE>
<S> <C>
President's Message .......................................... 1
Money Market Funds
Money Market Funds .......................................... 21
Municipal Money Market Fund ................................. 23
U.S. Government Money Market Fund ........................... 27
Additional Information ............................... Back Cover
</TABLE>
American AAdvantage Funds October 31, 1999
<PAGE> 83
[BILL QUINN PICTURE]
DEAR FELLOW SHAREHOLDER:
We are pleased to present you with the Annual Report for the American
AAdvantage Money Market Funds for the twelve months ended October 31, 1999. It
gives us great pleasure to mention that our Money Market Fund Institutional
Class sustained its number one ranking this fiscal year for the ten-year period
out of 44 Institutional Money Market Funds, according to Lipper Analytical
Services. In addition, our Municipal Money Market and Government Money Market
Funds, both exceeded their benchmarks for the year.
We would like to encourage our shareholders to take advantage of our new
client service initiatives to continually improve our service and to keep you
better informed. In addition to increasing our staff, we have been diligently
refining our website to provide you with the most up-to-date information
possible. You can locate us at AAFUNDS.COM.
Sincerely,
/s/ WILLIAM F. QUINN
William F. Quinn
President
American AAdvantage Funds
1
<PAGE> 84
MONEY MARKET OVERVIEW
AMERICAN AADVANTAGE MONEY MARKET FUND (SM)
- --------------------------------------------------------------------------------
A year ago the Fed had just completed the last of three 25 basis point
eases, decreasing the Fed Funds rate to 4.75%. There were many concerns over
which direction the U.S. economy was headed and how the U.S. economy would be
affected by the global liquidity crunch caused by the collapse of several
emerging economies and several hedge funds. Global market uncertainty caused
premiums (the yield difference between Treasury and non-Treasury securities) to
increase and it appeared as if U.S. Treasuries were the only safe haven. The
ensuing flight to quality drove the 30-year Treasury Bond yield to 4.70% during
the fourth quarter of 1998, the lowest level in almost thirty years. However, it
didn't take long for the economy to show signs of continued solid growth, with
moderate inflation pressures and a significant global economic recovery. This
scenario of strong growth and low inflation has continued its course throughout
most of 1999. The Federal Reserve Bank responded to this renewed global economic
expansion by gradually reversing its 75 basis points of Fed Funds easing in
1998. As of October 31, 1999, the Fed had added 50 basis points back to the Fed
Funds rate.
The Money Market Funds have been well positioned during this time of rising
rates by maintaining shorter average weighted maturities than their respective
benchmarks. The Funds continued to invest in three month LIBOR variable rate
securities that reset quarterly, while also maintaining liquidity going into the
end of the year.
2
<PAGE> 85
PERFORMANCE OVERVIEW
AMERICAN AADVANTAGE MONEY MARKET FUND (SM)
- --------------------------------------------------------------------------------
[AMR INVESTMENTS LOGO]
For the twelve months ended October 31, 1999, the total return of the
Institutional Class of the Money Market Fund was 5.09%. The Fund outperformed
the Lipper Institutional Money Market Average return of 4.85% by 24 basis
points. Lipper Analytical Services ranked the Institutional Class of the Fund in
the 11th percentile out of its universe of 194 Institutional Money Market Funds
for the twelve month period.
INSTITUTIONAL CLASS TOTAL RETURN AS OF OCTOBER 31, 1999(1)
<TABLE>
<CAPTION>
LIPPER INSTITUTIONAL
AMERICAN AADVANTAGE MONEY MARKET
MONEY MARKET FUND FUND AVERAGE
<S> <C> <C>
1 Year............... 5.09 4.85
3 Years*............. 5.44 5.17
5 Years*............. 5.57 5.31
10 Years*............ 5.50 5.20
</TABLE>
<TABLE>
<CAPTION>
ANNUALIZED TOTAL RETURNS
-----------------------------
AS OF 10/31/99
-----------------------------
1 YEAR 5 YEARS 10 YEARS
------ ------- --------
<S> <C> <C> <C>
PlanAhead Class(1,2)........ 4.79% 5.24% 5.32%
Platinum Class(1,2)......... 4.33% 4.98% 5.20%
</TABLE>
* Annualized
1 Past performance is not indicative of future performance.
An investment in the American AAdvantage Money Market Fund is neither
insured nor guaranteed by the Federal Deposit Insurance Corporation or any
other government agency. Although the Fund seeks to preserve the value of an
investment at $1.00 per share, it is possible to lose money by investing in
this Fund.
2 Fund performance represents the total returns achieved by
the Institutional Class from 9/1/87 up to 8/1/94, the inception date of the
PlanAhead Class and the returns of the PlanAhead and Platinum Classes since
inception of these Classes. Expenses of the PlanAhead and Platinum Classes
are higher than those of the Institutional Class. Therefore, total returns
shown are higher than they would have been had the PlanAhead and Platinum
Classes been in place since 9/1/87.
PORTFOLIO STATISTICS AS OF OCTOBER 31, 1999
<TABLE>
<CAPTION>
INSTITUTIONAL PLANAHEAD PLATINUM
CLASS CLASS CLASS
------------- --------- --------
<S> <C> <C> <C>
7-day Current Yield* 5.42% 5.12% 4.65%
7-day Effective Yield* 5.57% 5.25% 4.76%
30-day Yield* 5.33% 5.03% 4.57%
Weighted Average Maturity 36 Days
Fitch Rating AAA
</TABLE>
* Annualized
TOP TEN HOLDINGS AS OF OCTOBER 31, 1999
<TABLE>
<S> <C>
Merrill Lynch Tri-Party Repo 9.4%
General Electric Capital Corp 4.2%
Skandinaviska Enskilda Banken 4.2%
Wells Fargo Company 4.1%
American Express Centurion Bank 4.0%
First Union National 3.9%
National City Bank 3.9%
Landesbank Hessen Thuringen 3.8%
Banco Popular de Puerto Rico 3.6%
Svenska Handelsbanken 3.6%
</TABLE>
3
<PAGE> 86
PERFORMANCE OVERVIEW
AMERICAN AADVANTAGE MUNICIPAL MONEY MARKET FUND (SM)
- --------------------------------------------------------------------------------
[AMR INVESTMENTS LOGO]
For the twelve months ended October 31, 1999, the total return of the
Institutional Class of the American AAdvantage Municipal Money Market Fund was
2.92%. The Fund outperformed the Lipper Institutional Tax-Exempt Money Market
Average by 4 basis points, which returned 2.88%.
INSTITUTIONAL CLASS TOTAL RETURN AS OF OCTOBER 31, 1999(1)
<TABLE>
<CAPTION>
AMERICAN AADVANTAGE LIPPER INSTITUTIONAL
MUNICIPAL MONEY TAX-EXEMPT MONEY
MARKET FUND MARKET AVERAGE
<S> <C> <C>
1 Year............... 2.92 2.88
3 Years*............. 3.30 3.15
5 Years*............. 3.45 3.26
Since Inception*..... 3.28 3.10
</TABLE>
<TABLE>
<CAPTION>
ANNUALIZED TOTAL RETURNS
---------------------------------
AS OF 10/31/99
---------------------------------
SINCE
1 YEAR 5 YEARS INCEP.
------ ------- ------------
<S> <C> <C> <C>
PlanAhead Class(1,2).... 2.68% 3.15% 3.02%
Platinum Class(1,2)..... 2.27% 2.89% 2.81%
</TABLE>
* Annualized
1 Past performance is not indicative of future performance.
An investment in the American AAdvantage Municipal Money Market Fund is
neither insured nor guaranteed by the Federal Deposit Insurance Corporation
or any other government agency. Although the Fund seeks to preserve the
value of an investment at $1.00 per share, it is possible to lose money by
investing in this Fund.
2 Fund performance represents the total returns achieved by
the Institutional Class from 11/10/93 up to 8/1/94, the inception date of
the PlanAhead Class and 11/8/95, the inception date of the Platinum Class
and the returns of the PlanAhead and Platinum Classes since inception of
these Classes. Expenses of the PlanAhead and Platinum Classes are higher
than those of the Institutional Class. Therefore, total returns shown are
higher than they would have been had the PlanAhead and Platinum Classes been
in place since 11/10/93.
Lipper Analytical Services ranked the Institutional Class of the Fund in
the 42nd percentile out of its universe of 89 Institutional Municipal Money
Market Funds for the twelve-month period.
PORTFOLIO STATISTICS AS OF OCTOBER 31, 1999
<TABLE>
<CAPTION>
INSTITUTIONAL PLANAHEAD PLATINUM
CLASS CLASS CLASS
------------- --------- --------
<S> <C> <C> <C>
7-day Current Yield* 3.17% 2.98% 2.52%
7-day Effective Yield* 3.22% 3.03% 2.55%
30-day Yield* 3.12% 2.93% 2.46%
Weighted Average Maturity 22 Days
Fitch Rating AAA
</TABLE>
TOP TEN HOLDINGS AS OF OCTOBER 31, 1999
<TABLE>
<S> <C>
Montgomery County, PA 4.8%
Missouri Higher Ed Student Loan 4.6%
Austin TX Utility Systems 4.3%
Thomaston-Upson County, GA 4.2%
Palm Beach County, FL Hlth Facs 4.0%
Brazos River Authority, TX 3.8%
Texas Small Bus Indl Dev Corp 3.3%
Pierce County, WA Economic Dev 3.0%
Cornell Twp MI Economic Dev Corp 2.9%
Arizona Health Facilities 2.9%
</TABLE>
4
<PAGE> 87
PERFORMANCE OVERVIEW
AMERICAN AADVANTAGE U.S. GOVERNMENT MONEY MARKET FUND (SM)
- --------------------------------------------------------------------------------
[AMR INVESTMENTS LOGO]
For the twelve months ended October 31, 1999, the total return of the
Institutional Class of the U.S. Government Money Market Fund was 4.94%. The Fund
outperformed the Lipper Institutional U.S. Government Money Market Average by 18
basis points, which returned 4.76%. Lipper Analytical Services ranked the
Institutional Class of the Fund in the 18th percentile out of its universe of 94
Institutional Government Money Market Funds for the twelve-month period.
INSTITUTIONAL CLASS TOTAL RETURN AS OF OCTOBER 31, 1999(1)
<TABLE>
<CAPTION>
LIPPER INSTITUTIONAL
AMERICAN AADVANTAGE U.S. GOVERNMENT
U.S. GOVERNMENT MONEY MARKET
MONEY MARKET FUND AVERAGE
<S> <C> <C>
1 Year............... 4.94 4.76
3 Years*............. 5.26 5.11
5 Years*............. 5.35 5.24
Since Inception*..... 4.69 4.55
</TABLE>
<TABLE>
<CAPTION>
ANNUALIZED TOTAL RETURNS
---------------------------------
AS OF 10/31/99
---------------------------------
SINCE
1 YEAR 5 YEARS INCEP.
------ ------- ------------
<S> <C> <C> <C>
PlanAhead Class(1,2).... 4.56% 4.98% 4.43%
Platinum Class(1,2)..... 4.09% 4.73% 4.29%
</TABLE>
* Annualized
1 Past performance is not indicative of future performance.
An investment in the American AAdvantage U.S.-Government Money Market Fund
is neither insured nor guaranteed by the Federal Deposit Insurance
Corporation or any other government agency. Although the Fund seeks to
preserve the value of an investment at $1.00 per share, it is possible to
lose money by investing in this Fund.
2 Fund performance represents the total returns achieved by
the Institutional Class from 3/1/92 up to 8/1/94, the inception date of the
PlanAhead Class and 11/8/95, the inception date of the Platinum Class and
the returns of the PlanAhead and Platinum Classes since inception of these
Classes. Expenses of the PlanAhead and Platinum Classes are higher than
those of the Institutional Class. Therefore, total returns shown are higher
than they would have been had the PlanAhead and Platinum Classes been in
existence since 3/1/92.
PORTFOLIO STATISTICS AS OF OCTOBER 31, 1999
<TABLE>
<CAPTION>
INSTITUTIONAL PLANAHEAD PLATINUM
CLASS CLASS CLASS
------------- --------- --------
<S> <C> <C> <C>
7-day Current Yield* 5.20% 4.73% 4.35%
7-day Effective Yield* 5.33% 4.84% 4.44%
30-day Yield* 5.12% 4.71% 4.28%
Weighted Average Maturity 27 Days
Fitch Rating AAA
</TABLE>
* Annualized
5
<PAGE> 88
REPORT OF ERNST & YOUNG LLP, INDEPENDENT AUDITORS
Shareholders and Board of Trustees
American AAdvantage Money Market Fund
American AAdvantage Municipal Money Market Fund
American AAdvantage U.S. Government Money Market Fund
We have audited the accompanying statements of assets and liabilities of
the American AAdvantage Money Market Fund, the American AAdvantage Municipal
Money Market Fund, and the American AAdvantage U.S. Government Money Market Fund
(collectively, "the Funds") (separate funds comprising the American AAdvantage
Funds) as of October 31, 1999, and the related statements of operation, the
statements of changes in net assets and the financial highlights for each of the
periods indicated therein. These financial statements and financial highlights
are the responsibility of the Funds' management. Our responsibility is to
express an opinion on these financial statements and financial highlights based
on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of investments owned as of
October 31, 1999, by correspondence with the custodian. An audit also includes
assessing the accounting principles used and significant estimates made by
management, as well as evaluating the overall financial statement presentation.
We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred
to above present fairly, in all material respects, the financial position of
each of the respective American AAdvantage Funds at October 31, 1999, the
results of their operations, the changes in their net assets, and the financial
highlights for each of the periods indicated therein, in conformity with
generally accepted accounting principles.
/s/ ERNST & YOUNG
Dallas, Texas
December 17, 1999
6
<PAGE> 89
AMERICAN AADVANTAGE FUNDS
STATEMENTS OF ASSETS AND LIABILITIES
October 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
U.S.
MUNICIPAL GOVERNMENT
MONEY MARKET MONEY MARKET MONEY MARKET
-------------- ------------ ------------
(IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
<S> <C> <C> <C>
ASSETS:
Investment in Portfolio, at value..................... $ 2,841,489 $ 91,730 $ 177,088
Receivable for expense reimbursement.................. -- 5 2
Receivable for shares of beneficial interest sold..... 61 -- --
-------------- ----------- -----------
TOTAL ASSETS...................................... 2,841,550 91,735 177,090
-------------- ----------- -----------
LIABILITIES:
Dividends payable..................................... 2,255 -- 254
Payable for shares of beneficial interest redeemed.... 800 -- --
Management and administrative services fees payable
(Note 2)............................................ 549 40 42
Other liabilities..................................... 438 37 23
-------------- ----------- -----------
TOTAL LIABILITIES................................. 4,042 77 319
-------------- ----------- -----------
NET ASSETS................................................ $ 2,837,508 $ 91,658 $ 176,771
============== =========== ===========
ANALYSIS OF NET ASSETS:
Paid-in-capital....................................... 2,837,508 91,658 176,771
-------------- ----------- -----------
NET ASSETS................................................ $ 2,837,508 $ 91,658 $ 176,771
============== =========== ===========
Shares outstanding (no par value):
Institutional Class................................... 1,652,323,214 745,535 32,426,582
============== =========== ===========
PlanAhead Class....................................... 343,531,573 9,794,804 59,959,629
============== =========== ===========
Platinum Class........................................ 841,652,909 81,117,615 84,384,806
============== =========== ===========
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
- --------------------------------------------------------------------------------
7
<PAGE> 90
AMERICAN AADVANTAGE FUNDS
STATEMENTS OF OPERATIONS
Year Ended October 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
U.S.
MONEY MUNICIPAL GOVERNMENT
MARKET MONEY MARKET MONEY MARKET
------ ------------ ------------
(IN THOUSANDS)
<S> <C> <C> <C>
INVESTMENT INCOME ALLOCATED FROM PORTFOLIO:
Interest income......................................... $120,149 $3,378 $10,353
Portfolio expenses...................................... (2,619) (151) (251)
-------- ------ -------
NET INVESTMENT INCOME ALLOCATED FROM PORTFOLIO...... 117,530 3,227 10,102
-------- ------ -------
FUND EXPENSES:
Administrative service fees (Note 2):
Institutional Class................................... 1,138 1 4
PlanAhead Class....................................... 322 14 87
Platinum Class........................................ 4,619 488 457
Transfer agent fees:
Institutional Class................................... 81 -- 2
PlanAhead Class....................................... 133 9 27
Platinum Class........................................ 61 8 5
Professional fees....................................... 28 -- --
Registration fees and expenses.......................... 266 51 95
Distribution fees - Platinum Class (Note 2)............. 2,100 213 208
Service fees - PlanAhead Class (Note 2)................. 804 34 217
Other expenses.......................................... 411 55 43
-------- ------ -------
TOTAL FUND EXPENSES................................. 9,963 873 1,145
-------- ------ -------
LESS REIMBURSEMENT OF FUND EXPENSES (NOTE 2)................ -- 11 --
-------- ------ -------
NET FUND EXPENSES........................................... 9,963 862 1,145
-------- ------ -------
NET INVESTMENT INCOME....................................... 107,567 2,365 8,957
-------- ------ -------
REALIZED GAIN ALLOCATED FROM PORTFOLIO:
Net realized gain on investments........................ 21 -- 5
-------- ------ -------
NET GAIN ON INVESTMENTS............................. 21 -- 5
-------- ------ -------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS........ $107,588 $2,365 $ 8,962
======== ====== =======
</TABLE>
See accompanying notes
- --------------------------------------------------------------------------------
8
<PAGE> 91
AMERICAN AADVANTAGE FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
Year Ended October 31,
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MUNICIPAL U.S. GOVERNMENT
MONEY MARKET MONEY MARKET MONEY MARKET
--------------------------- --------------------- ---------------------
1999 1998 1999 1998 1999 1998
------------ ------------ --------- --------- --------- ---------
(IN THOUSANDS)
<S> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income................ $ 107,567 $ 102,115 $ 2,365 $ 2,700 $ 8,957 $ 7,101
Net realized gain on investments..... 21 38 -- 10 5 --
------------ ------------ --------- --------- --------- ---------
NET INCREASE IN
NET ASSETS
RESULTING FROM
OPERATIONS..................... 107,588 102,153 2,365 2,710 8,962 7,101
------------ ------------ --------- --------- --------- ---------
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Institutional Class................ (56,850) (60,857) (22) (199) (1,752) (1,643)
PlanAhead Class.................... (15,089) (12,056) (357) (333) (3,876) (1,945)
Platinum Class..................... (35,628) (29,202) (1,986) (2,168) (3,329) (3,513)
Net realized gain on investments:
Institutional Class................ (10) (24) -- -- (1) --
PlanAhead Class.................... (3) (4) -- (2) (2) --
Platinum Class..................... (8) (10) -- (8) (2) --
------------ ------------ --------- --------- --------- ---------
DISTRIBUTIONS TO SHAREHOLDERS.. (107,588) (102,153) (2,365) (2,710) (8,962) (7,101)
------------ ------------ --------- --------- --------- ---------
CAPITAL SHARE TRANSACTIONS:
Proceeds from sales of shares........ 12,428,857 12,479,014 217,716 277,194 535,485 445,222
Reinvestment of dividends and
distributions...................... 81,879 78,917 2,307 2,809 4,694 5,150
Cost of shares redeemed.............. (11,948,212) (12,090,198) (230,537) (251,672) (580,692) (335,519)
------------ ------------ --------- --------- --------- ---------
NET INCREASE (DECREASE) IN NET
ASSETS FROM CAPITAL SHARE
TRANSACTIONS................... 562,524 467,733 (10,514) 28,331 (40,513) 114,853
------------ ------------ --------- --------- --------- ---------
NET INCREASE (DECREASE) IN NET ASSETS.... 562,524 467,733 (10,514) 28,331 (40,513) 114,853
NET ASSETS:
Beginning of period.................. 2,274,984 1,807,251 102,172 73,841 217,284 102,431
------------ ------------ --------- --------- --------- ---------
END OF PERIOD........................ $ 2,837,508 $ 2,274,984 $ 91,658 $ 102,172 $ 176,771 $ 217,284
============ ============ ========= ========= ========= =========
</TABLE>
See accompanying notes
- --------------------------------------------------------------------------------
9
<PAGE> 92
AMERICAN AADVANTAGE FUNDS
NOTES TO FINANCIAL STATEMENTS
October 31, 1999
- --------------------------------------------------------------------------------
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. These financial
statements and notes to the financial statements relate to the American
AAdvantage Money Market, American AAdvantage Municipal Money Market and American
AAdvantage U.S. Government Money Market Funds (each a "Fund" and collectively,
the "Funds"), each a series of the Trust. The Trust commenced sales on August 1,
1994 of a second class of shares of the Funds, designated as "PlanAhead Class"
shares and on November 7, 1995 a third class of shares of the Funds, designated
as "Platinum Class" 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:
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 Trust 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
(85.88%, 76.35% and 83.86% at October 31, 1999 of the AMR Investment Services
Trust 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.
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 is 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.
- --------------------------------------------------------------------------------
10
<PAGE> 93
AMERICAN AADVANTAGE FUNDS
NOTES TO FINANCIAL STATEMENTS -- CONTINUED
October 31, 1999
- --------------------------------------------------------------------------------
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.
100% of dividends paid by the Municipal Money Market Fund were
"exempt-interest dividends" which are free of any regular federal income tax.
Approximately 40% 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.
Use of Estimates
The preparation of financial statements in conformity with generally
accepted accounting principles requires management to make estimates and
assumptions that affect the amounts reported in the financial statements and
accompanying notes. Actual results may differ from those estimated.
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 received the following fees
based on average daily net assets of the Funds:
<TABLE>
<CAPTION>
ANNUALIZED FEE
--------------
<S> <C>
Institutional Class -
Money Market Fund......................................... 0.10%
Municipal Money Market Fund............................... 0.10%
U.S. Government Money Market Fund......................... 0.01%
PlanAhead Class - All Funds................................. 0.10%
Platinum Class - All Funds.................................. 0.10%
</TABLE>
- --------------------------------------------------------------------------------
11
<PAGE> 94
AMERICAN AADVANTAGE FUNDS
NOTES TO FINANCIAL STATEMENTS -- CONTINUED
October 31, 1999
- --------------------------------------------------------------------------------
The Manager and the Trust entered into a separate Administrative Service
Agreement with respect to the Platinum Classes of the Funds. As compensation for
providing administrative services, the Manager receives an annual fee of .45% of
the average daily net assets of each of the Platinum Classes of the Funds.
Distribution Plan
The Trust, except for the Platinum Class of the Funds, has adopted a
"defensive" Distribution Plan (the "Plan") in accordance with Rule 12b-1 under
the Investment Company Act of 1940 (the "Act"), 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.
A separate Distribution Plan (the "Distribution Plan") has been adopted
pursuant to Rule 12b-1 under the Act for the Platinum Classes of the Funds.
Under the Distribution Plan, as compensation for distribution assistance, the
Manager receives an annual fee of .25% of the average daily net assets of each
Class. The fee will be payable without regard to whether the amount of the fee
is more or less than the actual expenses incurred in a particular month by the
Manager for distribution assistance. During the year ended October 31, 1999, the
Manager waived distribution fees totaling $11,059 for the Platinum Class of the
Municipal Money Market Fund.
Services Agreement
The Manager and the Trust entered into a Service Agreement which obligates
the Manager to oversee additional shareholder servicing of the PlanAhead Class.
As compensation for performing the duties required under the Service Agreement,
the Manager receives 0.25% based on the daily net assets of the PlanAhead Class.
Other
Certain officers or trustees of the Trust are also current or former
officers or employees of the Manager or American. The Trust makes no direct
payments to its officers. Unaffiliated trustees and their spouses are provided
free unlimited air transportation on American. However, the Trust compensates
each Trustee with payments in an amount equal to the Trustee's income tax on the
value of this free airline travel. For the year ended October 31, 1999, the cost
of air transportation was not material to any of the Funds.
- --------------------------------------------------------------------------------
12
<PAGE> 95
AMERICAN AADVANTAGE FUNDS
NOTES TO FINANCIAL STATEMENTS -- CONTINUED
October 31, 1999
- --------------------------------------------------------------------------------
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:
Year Ended October 31, 1999
<TABLE>
<CAPTION>
MONEY MARKET FUND INSTITUTIONAL CLASS PLANAHEAD CLASS PLATINUM CLASS
----------------- ------------------- --------------- --------------
<S> <C> <C> <C>
Shares sold........................................... 9,673,989 1,260,471 1,494,397
Reinvestment of dividends............................. 33,083 13,768 35,028
Shares redeemed....................................... (9,296,748) (1,219,466) (1,431,998)
---------- ---------- ----------
Net increase in capital shares outstanding............ 410,324 54,773 97,427
========== ========== ==========
</TABLE>
<TABLE>
<CAPTION>
MUNICIPAL MONEY MARKET FUND INSTITUTIONAL CLASS PLANAHEAD CLASS PLATINUM CLASS
--------------------------- ------------------- --------------- --------------
<S> <C> <C> <C>
Shares sold........................................... 2,679 45,874 169,163
Reinvestment of dividends............................. 22 326 1,959
Shares redeemed....................................... (2,802) (49,879) (177,856)
---------- ---------- ----------
Net decrease in capital shares outstanding............ (101) (3,679) (6,734)
========== ========== ==========
</TABLE>
<TABLE>
<CAPTION>
U.S. GOVERNMENT MONEY MARKET FUND INSTITUTIONAL CLASS PLANAHEAD CLASS PLATINUM CLASS
--------------------------------- ------------------- --------------- --------------
<S> <C> <C> <C>
Shares sold........................................... 168,473 246,538 120,474
Reinvestment of dividends............................. 906 512 3,276
Shares redeemed....................................... (175,956) (286,959) (117,777)
---------- ---------- ----------
Net increase (decrease) in capital shares
outstanding......................................... (6,577) (39,909) 5,973
========== ========== ==========
</TABLE>
Year Ended October 31, 1998
<TABLE>
<CAPTION>
MONEY MARKET FUND INSTITUTIONAL CLASS PLANAHEAD CLASS PLATINUM CLASS
----------------- ------------------- --------------- --------------
<S> <C> <C> <C>
Shares sold........................................... 10,013,078 1,167,759 1,298,177
Reinvestment of dividends............................. 38,783 11,508 28,626
Shares redeemed....................................... (9,933,511) (1,079,696) (1,076,991)
---------- ---------- ----------
Net increase in capital shares outstanding............ 118,350 99,571 249,812
========== ========== ==========
</TABLE>
<TABLE>
<CAPTION>
MUNICIPAL MONEY MARKET FUND INSTITUTIONAL CLASS PLANAHEAD CLASS PLATINUM CLASS
--------------------------- ------------------- --------------- --------------
<S> <C> <C> <C>
Shares sold........................................... 32,535 42,978 201,681
Reinvestment of dividends............................. 195 324 2,290
Shares redeemed....................................... (32,252) (39,418) (180,002)
---------- ---------- ----------
Net increase in capital shares outstanding............ 478 3,884 23,969
========== ========== ==========
</TABLE>
<TABLE>
<CAPTION>
U.S. GOVERNMENT MONEY MARKET FUND INSTITUTIONAL CLASS PLANAHEAD CLASS PLATINUM CLASS
--------------------------------- ------------------- --------------- --------------
<S> <C> <C> <C>
Shares sold........................................... 127,960 204,783 112,479
Reinvestment of dividends............................. 1,003 396 3,751
Shares redeemed....................................... (119,907) (109,356) (106,256)
---------- ---------- ----------
Net increase in capital shares outstanding............ 9,056 95,823 9,974
========== ========== ==========
</TABLE>
- --------------------------------------------------------------------------------
13
<PAGE> 96
AMERICAN AADVANTAGE MONEY MARKET FUND
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout the period)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INSTITUTIONAL CLASS
--------------------------------------------------------------
YEAR ENDED OCTOBER 31,
--------------------------------------------------------------
1999 1998 1997 1996 1995
---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period............... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
---------- ---------- ---------- ---------- ----------
Net investment income.......................... 0.05(A) 0.06(A) 0.06(A) 0.05(A) 0.06
Less dividends from net investment income...... (0.05) (0.06) (0.06) (0.05) (0.06)
---------- ---------- ---------- ---------- ----------
Net asset value, end of period..................... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
========== ========== ========== ========== ==========
Total return....................................... 5.09% 5.63% 5.60% 5.57% 5.96%
========== ========== ========== ========== ==========
Ratios and supplemental data:
Net assets, end of period (in thousands)....... $1,652,323 $1,241,999 $1,123,649 $1,406,939 $1,206,041
Ratios to average net assets (annualized):
Expenses................................... 0.24%(A) 0.23%(A) 0.23%(A) 0.24%(A) 0.23%
Net investment income...................... 4.99%(A) 5.49%(A) 5.46%(A) 5.41%(A) 5.79%
</TABLE>
- ---------------
(A) The per share amounts and ratios reflect income and expenses assuming
inclusion of the Fund's proportionate share of the income and expenses of
the AMR Investment Services Trust Money Market Portfolio.
(B) Total return for the Platinum Class for the period ended October 31, 1996
reflects Institutional Class returns from November 1, 1995 through November
6, 1995 and returns of the Platinum Class from November 7, 1995
(commencement of operations) through October 31, 1996. Due to the different
expense structures between the classes, total return would vary from the
results shown had the Platinum Class been in operation for the entire year.
- --------------------------------------------------------------------------------
14
<PAGE> 97
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PLANAHEAD CLASS PLATINUM CLASS
- ----------------------------------------------------------- ---------------------------------------------------
NOVEMBER 7,
YEAR ENDED OCTOBER 31, YEAR ENDED OCTOBER 31, 1995 TO
- ----------------------------------------------------------- ----------------------------------- OCTOBER 31,
1999 1998 1997 1996 1995 1999 1998 1997 1996
- -------- -------- -------- -------- ------- -------- -------- -------- -----------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
$ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -------- -------- -------- -------- ------- -------- -------- -------- --------
0.05(A) 0.05(A) 0.05(A) 0.05(A) 0.05 0.04(A) 0.05(A) 0.05(A) 0.05(A)
(0.05) (0.05) (0.05) (0.05) (0.05) (0.04) (0.05) (0.05) (0.05)
- -------- -------- -------- -------- ------- -------- -------- -------- --------
$ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
======== ======== ======== ======== ======= ======== ======== ======== ========
4.79% 5.31% 5.28% 5.21% 5.60% 4.33% 4.89% 4.87% 4.85%(B)
======== ======== ======== ======== ======= ======== ======== ======== ========
$343,532 $288,759 $189,189 $106,890 $41,989 $841,653 $744,226 $494,413 $119,981
0.53%(A) 0.53%(A) 0.54%(A) 0.58%(A) 0.55% 0.97%(A) 0.94%(A) 0.93%(A) 0.94%(A)
4.69%(A) 5.18%(A) 5.17%(A) 5.06%(A) 5.56% 4.24%(A) 4.78%(A) 4.80%(A) 4.63%(A)
</TABLE>
- --------------------------------------------------------------------------------
15
<PAGE> 98
AMERICAN AADVANTAGE MUNICIPAL MONEY MARKET FUND
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout the period)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INSTITUTIONAL CLASS
-------------------------------------------------
YEAR ENDED OCTOBER 31,
-------------------------------------------------
1999 1998 1997 1996 1995
------ ------ ------ ------ ------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period........................ $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
------ ------ ------ ------ ------
Net investment income................................... 0.03(A) 0.03(A) 0.04(A) 0.04(A) 0.04
Less dividends from net investment income............... (0.03) (0.03) (0.04) (0.04) (0.04)
------ ------ ------ ------ ------
Net asset value, end of period.............................. $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
====== ====== ====== ====== ======
Total return................................................ 2.92% 3.46% 3.52% 3.59% 3.75%
====== ====== ====== ====== ======
Ratios and supplemental data:
Net assets, end of period (in thousands)................ $ 745 $ 847 $ 369 $ 6 $ 7
Ratios to average net assets (annualized):
Expenses............................................ 0.39%(A) 0.33%(A) 0.31%(A) 0.27% 0.35%
Net investment income............................... 2.91%(A) 3.35%(A) 3.49%(A) 3.49% 3.70%
Decrease reflected in above expense ratio due to
absorption of expenses by the Manager................. -- -- 0.01% 0.06% 0.20%
</TABLE>
- ---------------
(A) The per share amounts and ratios reflect income and expenses assuming
inclusion of the Fund's proportionate share of the income and expenses of
the AMR Investment Services Trust Municipal Money Market Portfolio.
(B) 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.
- --------------------------------------------------------------------------------
16
<PAGE> 99
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PLANAHEAD CLASS PLATINUM CLASS
- ----------------------------------------------- -------------------------------------------
NOVEMBER 7,
YEAR ENDED OCTOBER 31, YEAR ENDED OCTOBER 31, 1995 TO
- ----------------------------------------------- ----------------------------- OCTOBER 31,
1999 1998 1997 1996 1995 1999 1998 1997 1996
- ------ ------- ------ ------ ------ ------- ------- ------- -----------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
$ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- ------ ------- ------ ------ ------ ------- ------- ------- -------
0.03(A) 0.03(A) 0.03(A) 0.03(A) 0.03 0.02(A) 0.03(A) 0.03(A) 0.03(A)
(0.03) (0.03) (0.03) (0.03) (0.03) (0.02) (0.03) (0.03) (0.03)
- ------ ------- ------ ------ ------ ------- ------- ------- -------
$ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
====== ======= ====== ====== ====== ======= ======= ======= =======
2.68% 3.17% 3.24% 3.27% 3.39% 2.27% 2.75% 2.79% 2.88%(B)
====== ======= ====== ====== ====== ======= ======= ======= =======
$9,795 $13,474 $9,590 $2,340 $ 129 $81,118 $87,852 $63,883 $49,862
0.65%(A) 0.64%(A) 0.60%(A) 0.62%(A) 0.72% 1.04%(A) 1.04%(A) 1.03%(A) 0.97%(A)
2.61%(A) 3.07%(A) 3.18%(A) 3.12%(A) 3.32% 2.24%(A) 2.69%(A) 2.75%(A) 2.72%(A)
-- -- 0.01% 0.05% 0.20% 0.01% 0.03% 0.01% 0.05%
</TABLE>
- --------------------------------------------------------------------------------
17
<PAGE> 100
AMERICAN AADVANTAGE U.S. GOVERNMENT MONEY MARKET FUND
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout the period)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INSTITUTIONAL CLASS
-------------------------------------------------------
YEAR ENDED OCTOBER 31,
-------------------------------------------------------
1999 1998 1997(B) 1996 1995
------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period...................... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
------- ------- ------- ------- -------
Net investment income................................. 0.05(A) 0.05(A) 0.05(A) 0.05(A) 0.06
Less dividends from net investment income............. (0.05) (0.05) (0.05) (0.05) (0.06)
------- ------- ------- ------- -------
Net asset value, end of period............................ $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
======= ======= ======= ======= =======
Total return.............................................. 4.94% 5.47% 5.36% 5.29% 5.67%
======= ======= ======= ======= =======
Ratios and supplemental data:
Net assets, end of period (in thousands).............. $32,427 $39,004 $29,946 $25,595 $47,184
Ratios to average net assets (annualized)(D):
Expenses.......................................... 0.19%(A) 0.30%(A) 0.27%(A) 0.32%(A) 0.32%
Net investment income............................. 4.83%(A) 5.34%(A) 5.24%(A) 5.16%(A) 5.49%
</TABLE>
- ---------------
(A) The per share amounts and ratios reflect income and expenses assuming
inclusion of the Fund's proportionate share of the income and expenses of
the AMR Investment Services Trust U.S. Government Money Market Portfolio.
(B) 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.
(C) 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.
(D) Operating results of the Platinum Class excluded fees waived by the Manager
during the year ended October 31, 1998. The ratio of expenses to average
net assets was 1.02% and the ratio of net investment income to average net
assets was 4.62% prior to expenses waived.
- --------------------------------------------------------------------------------
18
<PAGE> 101
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PLANAHEAD CLASS PLATINUM CLASS
- ------------------------------------------------------- -----------------------------------------------
NOVEMBER 7,
YEAR ENDED OCTOBER 31, YEAR ENDED OCTOBER 31, 1995 TO
- ------------------------------------------------------- ------------------------------- OCTOBER 31,
1999 1998 1997(B) 1996 1995 1999 1998 1997(B) 1996
- ------- ------- ------- ------- ------- ------- ------- ------- -----------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
$ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- ------- ------- ------- ------- ------- ------- ------- ------- -------
0.05 (A) 0.05(A) 0.05(A) 0.05(A) 0.05 0.04(A) 0.05(A) 0.05(A) 0.04(A)
(0.05) (0.05) (0.05) (0.05) (0.05) (0.04) (0.05) (0.05) (0.04)
- ------- ------- ------- ------- ------- ------- ------- ------- -------
$ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
======= ======= ======= ======= ======= ======= ======= ======= =======
4.56% 5.13% 5.08% 4.94% 5.19% 4.09% 4.71% 4.61%() 4.58%(C)
======= ======= ======= ======= ======= ======= ======= ======= =======
$59,960 $99,869 $ 4,046 $ 1,822 $ 530 $84,385 $78,412 $68,439 $52,153
0.56% (A) 0.57%(A) 0.52%(A) 0.67%(A) 0.76% 1.01%(A) 1.01%(A) 0.99%(A) 1.00%(A)
4.45% (A) 5.01%(A) 5.00%(A) 4.74%(A) 5.19% 4.01%(A) 4.62%(A) 4.53%(A) 4.35%(A)
</TABLE>
- --------------------------------------------------------------------------------
19
<PAGE> 102
REPORT OF ERNST & YOUNG LLP, INDEPENDENT AUDITORS
Shareholders and Board of Trustees
AMR Investment Services Money Market Portfolio
AMR Investment Services Municipal Money Market Portfolio
AMR Investment Services U.S. Government Money Market Portfolio
We have audited the accompanying statements of assets and liabilities of
the AMR Investment Services Money Market Portfolio, the AMR Investment Services
Municipal Money Market Portfolio, and the AMR Investment Services U.S.
Government Money Market Portfolio (collectively, "the Portfolios") (separate
portfolios comprising the AMR Investment Services Trust), including the
schedules of investments, as of October 31, 1999, and the related statements of
operations, the statements of changes in net assets, and the financial
highlights for each of the periods indicated therein. These financial statements
and financial highlights are the responsibility of the Portfolios' management.
Our responsibility is to express an opinion on these financial statements and
financial highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of investments owned as of
October 31, 1999, by correspondence with the custodian. An audit also includes
assessing the accounting principles used and significant estimates made by
management, as well as evaluating the overall financial statement presentation.
We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred
to above present fairly, in all material respects, the financial position of
each of the portfolios of the AMR Investment Services Trust at October 31, 1999,
the results of their operations, the changes in their net assets, and the
financial highlights for each of the periods indicated therein, in conformity
with generally accepted accounting principles.
/s/ ERNST & YOUNG
Dallas, Texas
December 17, 1999
- --------------------------------------------------------------------------------
20
<PAGE> 103
AMR INVESTMENT SERVICES MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
AMOUNT VALUE
-------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
REPURCHASE AGREEMENTS (NOTES A AND E) - 9.36%
Merrill Lynch Tri-Party Government Repurchase Agreement,
5.27%, Due 11/1/1999...................................... $309,498 $ 309,498
----------
TOTAL REPURCHASE AGREEMENTS............................. 309,498
----------
TIME DEPOSITS (NOTE A) - 4.23%
Skandinaviska Enskilda Banken, 5.27%, Due 11/1/1999......... 140,000 140,000
----------
TOTAL TIME DEPOSITS..................................... 140,000
----------
CERTIFICATES OF DEPOSIT (NOTE A) - 35.12%
FOREIGN BANKS - 8.83%
Canadian Imperial Bank, Variable Rate, 5.482%, Due
6/5/2000.................................................. 47,520 47,491
Landesbank Hessen Thuringen, Variable Rate, 6.069%, Due
10/2/2000................................................. 125,000 124,923
Svenska Handelsbanken, Variable Rate, 6.174%, Due
10/13/2000................................................ 120,000 119,894
----------
TOTAL FOREIGN BANKS..................................... 292,308
----------
DOMESTIC BANKS - 26.29%
American Express Centurion Bank, Variable Rate, 5.62%, Due
5/19/2000................................................. 132,000 132,000
Banco Popular de Puerto Rico, Variable Rate, 5.42%, Due
5/10/2000 (Note D)........................................ 120,000 120,000
Bank One, NA, Variable Rate, 6.157%, Due 10/20/2000......... 100,000 99,913
Branch Banking & Trust Company, Variable Rate, 6.264%, Due
4/28/2000................................................. 9,000 9,005
First Union National Bank, Variable Rate,
6.127%, Due 4/19/2000..................................... 130,000 130,000
5.605%, Due 9/25/2000..................................... 10,000 10,000
5.667%, Due 11/13/2000.................................... 15,000 15,020
Key Bank, NA, Variable Rate,
6.189%, Due 1/28/2000..................................... 50,000 50,003
5.438%, Due 2/18/2000..................................... 38,000 38,003
6.197%, Due 4/20/2000..................................... 40,000 40,011
Mellon Bank, NA, Variable Rate, 5.482%, Due 8/30/2000....... 96,000 95,978
National City Bank, Variable Rate, 5.482%, Due 8/30/2000.... 130,000 129,947
----------
TOTAL DOMESTIC BANKS.................................... 869,880
----------
TOTAL CERTIFICATES OF DEPOSIT........................... 1,162,188
----------
PROMISSORY NOTES (NOTE A) - 13.63%
Combined Insurance Company of America, Variable Rate,
5.619%, Due 11/10/1999 (Note C)........................... 50,000 50,000
First Allmerica Financial Life Insurance Company, Variable
Rate, 5.44%, Due 11/5/1999 (Note C)....................... 90,000 90,000
Goldman Sachs Group, L.P., Variable Rate, 5.51%, Due
3/15/2000 (Note B)........................................ 86,000 86,000
Jackson National Life Insurance Company, Variable Rate,
5.73%, Due 9/1/2000 (Note B).............................. 100,000 100,000
Security Life of Denver Insurance Company, Variable Rate,
5.565%, Due 11/8/1999 (Note C)............................ 60,000 60,000
5.557%, Due 11/8/1999 (Note C)............................ 65,000 65,000
----------
TOTAL OTHER PROMISSORY NOTES............................ 451,000
----------
COMMERCIAL PAPER (NOTE A) - 5.96%
General Electric Capital Corporation, Variable Rate, 5.45%,
Due 12/10/1999............................................ 140,000 140,000
Park Avenue Receivable Corporation, 5.35%, Due 11/16/1999... 57,336 57,209
----------
TOTAL COMMERCIAL PAPER.................................. 197,209
----------
VARIABLE RATE MEDIUM-TERM NOTES (NOTE A) - 33.32%
AB Spintab, 5.539%, Due 12/30/1999.......................... 87,000 87,006
American Honda Finance Corporation, 144a, (Note F)
5.481%, Due 2/23/2000..................................... 20,000 20,000
6.136%, Due 4/17/2000..................................... 65,000 64,991
5.461%, Due 6/12/2000..................................... 30,000 29,991
BankAmerica Corporation, 5.73%, Due 11/18/1999.............. 10,000 10,001
Bank One Corporation,
5.52%, Due 6/20/2000...................................... 23,945 23,944
5.70%, Due 11/24/2000..................................... 17,000 17,031
Caterpillar Financial Services Corporation, 5.452%, Due
11/16/1999................................................ 15,000 15,000
</TABLE>
See accompanying notes
- --------------------------------------------------------------------------------
21
<PAGE> 104
AMR INVESTMENT SERVICES MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS -- CONTINUED
October 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
AMOUNT VALUE
-------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
Chase Manhattan Corporation,
6.397%, Due 4/20/2000..................................... $ 25,000 $ 25,029
5.563%, Due 5/31/2000..................................... 12,000 12,007
Citicorp Incorporated, 5.432%, Due 11/10/2000............... 15,000 15,001
Citigroup, Incorporated, 5.442%, Due 2/3/2000............... 10,000 10,004
Fleet National Bank,
6.339%, Due 4/26/2000..................................... 30,000 30,024
5.602%, Due 5/15/2000..................................... 50,000 50,056
5.335%, Due 8/10/2000..................................... 30,000 29,993
6.276%, Due 10/10/2000.................................... 10,000 10,012
Ford Motor Credit Company, 5.499%, Due 10/2/2000............ 95,000 94,915
General Motors Acceptance Corporation,
5.362%, Due 2/2/2000 (Note C)............................. 115,000 115,000
5.45%, Due 2/24/2000...................................... 10,000 10,000
Goldman Sachs Group, L.P., 144a, (Note F)
6.291%, Due 1/31/2000..................................... 16,000 16,002
5.464%, Due 2/4/2000...................................... 9,000 9,002
6.285%, Due 11/1/2000..................................... 50,000 50,000
J.P. Morgan & Company, Incorporated,
5.47%, Due 3/2/2000....................................... 25,000 25,001
6.074%, Due 4/6/2000...................................... 25,000 25,001
Merrill Lynch & Company, Incorporated, 6.134%, Due
7/3/2000.................................................. 20,000 20,013
Morgan Stanley Dean Witter Company,
5.541%, Due 2/23/2000..................................... 25,000 25,008
5.563%, Due 2/28/2000..................................... 50,000 50,019
5.809%, Due 6/27/2000..................................... 10,120 10,141
6.04%, Due 11/13/2000..................................... 67,000 67,363
Wells Fargo & Company, 5.409%, Due 3/10/2000................ 135,000 134,974
----------
TOTAL VARIABLE RATE MEDIUM-TERM NOTES................... 1,102,529
----------
TOTAL INVESTMENTS - 101.62% (COST $3,362,424)............... 3,362,424
----------
LIABILITIES, NET OF OTHER ASSETS - (1.62%).................. (53,582)
----------
TOTAL NET ASSETS - 100%..................................... $3,308,842
==========
</TABLE>
- ---------------
Based on the cost of investments of $3,362,424 for federal income tax purposes
at October 31, 1999, 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 an unconditional put back to the issuer with seven
calendar days notice.
(C) Obligation is subject to an unconditional put back to the issuer with ninety
calendar days notice.
(D) Obligation is subject to a credit quality put back to the issuer with seven
calendar days notice.
(E) Collateral held at Chase Manhattan Bank by U.S. Treasury Bills, Due
12/30/1999 to 9/14/2000-Market Value $315,689.
(F) Security exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers. At the period end,
the value of these securities amounted to $189,986 or 5.74% of net assets.
ABBREVIATION:
AB - Company
L.P. - Limited Partnership
NA - National Association
See accompanying notes
- --------------------------------------------------------------------------------
22
<PAGE> 105
AMR INVESTMENT SERVICES MUNICIPAL MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
AMOUNT VALUE
---------- ---------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
MUNICIPAL OBLIGATIONS - 88.43%
COMMERCIAL PAPER (NOTE A) - 21.22%
Brazos River, Texas Pollution Control Revenue Refunding
Bonds (Texas Utilities Electric Company Project), Series
1995A, 7.05%, Due 11/16/1999, LOC Canadian Imperial Bank
of Commerce............................................... $ 4,500 $ 4,500
City of Austin, Texas Combined Utility Systems Commercial
Paper Notes (Travis and Williamson Counties Project),
3.05%, Due 11/18/1999, LOC Morgan Guaranty Trust.......... 5,200 5,200
The Economic Development Corporation of the Township of
Cornell Michigan Environmental Improvement Revenue Bonds,
(Mead-Escanala Paper Company Project), Series 1986, 3.10%,
Due 3/6/2000, LOC Credit Suisse........................... 3,500 3,500
Montgomery County, Pennsylvania Industrial Development
Pollution Control Revenue Bonds (Peco Energy Project),
Series 1996, 3.45%, Due 2/28/2000, LOC Canadian Imperial
Bank of Commerce.......................................... 5,800 5,800
Palm Beach County, Florida Health Facilities Authority
Pooled Hospital Loan Program, 3.05%, Due 2/9/2000, Bond
Insurance MBIA, SPA Credit Suisse......................... 4,800 4,800
Toledo-Lucas County, Ohio Port Facility Refunding Revenue
Bonds (CSX Transportation, Incorporated), Series 1992,
3.40%, Due 12/10/1999, LOC Bank of Nova Scotia............ 1,700 1,700
--------
TOTAL COMMERCIAL PAPER.................................. 25,500
--------
VARIABLE RATE DEMAND OBLIGATIONS (NOTE A) - 67.21%
ARIZONA - 8.40%
Arizona Health Facilities Authority Revenue Bonds (Pooled
Loan Program), Bond Insurance - FGIC, 3.55%, Due
10/1/2015, LOC Chase Manhattan Bank....................... 3,495 3,495
Maricopa County, Arizona Pollution Control Corporation
Pollution Control Revenue Bonds (El Paso Electric Company
Project, Palo Verde), 3.55%, Due 12/1/2014, LOC Barclays
Bank...................................................... 2,200 2,200
Maricopa County, Arizona Pollution Control Corporation
Pollution Control Revenue Bonds Series E, 3.50%, Due
5/1/2029, LOC BankAmerica................................. 1,700 1,700
Pima County, Arizona Industrial Development Authority
(Tucson Electric Power Company Retirement Project), 3.45%,
Due 10/1/2022, LOC Societe Generale....................... 2,700 2,700
--------
TOTAL ARIZONA........................................... 10,095
--------
CALIFORNIA - 1.75%
California Pollution Control Finance Authority Resource
Recovery Revenue Bonds (Wadham Energy Limited
Partnership), Series 1987A, 3.90%, Due 1/11/2017, LOC
Banque Paribas............................................ 1,800 1,800
San Francisco, California City and County Redevelopment
Finance Authority (Yerba Gardens Project), Series 1995,
3.45%, Due 9/1/2006, LOC Bank of Tokyo-Mitsubishi,
Limited................................................... 300 300
--------
TOTAL CALIFORNIA........................................ 2,100
--------
COLORADO - 1.58%
Moffat County, Colorado Pollution Control Revenue Bonds (Ute
Electric Company Project), Bond Insurance - AMBAC
Indemnity Corporation, Series 1984, 3.60%, Due 7/1/2010,
SPA Societe Generale...................................... 1,900 1,900
--------
TOTAL COLORADO.......................................... 1,900
--------
GEORGIA - 5.76%
Clayton County, Georgia Housing Authority (Kimberly Forest
Apartments Project), Series B, Bond Insurance - Financial
Security Assurance, 3.55%, Due 1/1/2021, SPA Societe
Generale.................................................. 1,015 1,015
Savannah Georgia Port Authority Revenue Bonds (ACES Pier One
Imports Project), Southeast Series 1986, 3.57%, Due
12/1/2026, LOC Bank One................................... 900 900
Thomaston-Upson County Industrial Development Revenue
Authority (Yamaha Music Manufacturing, Incorporated
Project), Series 1988, 4.00%, Due 8/1/2018, LOC Bank of
Tokyo-Mitsubishi, Limited................................. 5,000 5,000
--------
TOTAL GEORGIA........................................... 6,915
--------
ILLINOIS - 1.25%
City of Chicago, Illinois Multi-Family Housing Revenue Bonds
(Waveland Associates Project), Series 1985 A, 3.60%, Due
11/1/2010, LOC Union Bank of Switzerland.................. 1,500 1,500
--------
TOTAL ILLINOIS.......................................... 1,500
--------
</TABLE>
See accompanying notes
- --------------------------------------------------------------------------------
23
<PAGE> 106
AMR INVESTMENT SERVICES MUNICIPAL MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS -- CONTINUED
October 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
AMOUNT VALUE
---------- ---------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
INDIANA - 0.83%
Fort Wayne, Indiana Industrial Economic Development Revenue
Bonds (ND-Tech Corporation Project), Series 1989, 3.55%,
Due 7/1/2009, LOC Societe Generale........................ $ 1,000 $ 1,000
--------
TOTAL INDIANA........................................... 1,000
--------
IOWA - 2.83%
Dubuque, Iowa Industrial Development Revenue Bonds (Swiss
Valley Farms Company Project), Series 1987, 3.65%, Due
12/1/2001, LOC Rabobank Nederland Bank.................... 1,050 1,050
Polk County, Iowa Hospital Equipment and Improvement, Bond
Insurance - MBIA, 3.55%, Due 12/1/2005, SPA Bank of New
York Company, Incorporated................................ 2,355 2,355
--------
TOTAL IOWA.............................................. 3,405
--------
MARYLAND - 2.50%
Montgomery County, Maryland Housing Opportunities Community
(Draper Lane Apartments), Bond Insurance - FGIC, Series I,
3.60%, Due 2/16/2026, SPA Barclays Bank................... 3,000 3,000
--------
TOTAL MARYLAND.......................................... 3,000
--------
MICHIGAN - 1.13%
City of Detroit, Michigan Sewer Disposal Revenue Bonds, Bond
Insurance - MBIA, Series 1998 B, 3.55%, Due 7/1/2023, SPA
Morgan Guaranty........................................... 1,355 1,355
--------
TOTAL MICHIGAN.......................................... 1,355
--------
MISSOURI - 4.58%
Missouri Higher Education Loan Authority Revenue Bonds,
Series 1988A, 3.55%, Due 6/1/2017, LOC National
Westminster Bank, PLC..................................... 5,500 5,500
--------
TOTAL MISSOURI.......................................... 5,500
--------
NEBRASKA - 0.83%
Lancaster County, Nebraska Industrial Development Revenue
Bonds (Sun Husker Foods, Incorporated Project), Series
1989, 4.00%, Due 8/15/2009, LOC Bank of Tokyo-Mitsubishi,
Limited................................................... 1,000 1,000
--------
TOTAL NEBRASKA.......................................... 1,000
--------
NORTH CAROLINA - 2.39%
Wake County, North Carolina Industrial Facilities &
Pollution Control Financing Authority Revenue Bonds,
(Carolina Power and Light Company Project), 3.65%, Due
3/1/2017, LOC First Union................................. 2,870 2,870
--------
TOTAL NORTH CAROLINA.................................... 2,870
--------
OHIO - 3.50%
Ohio State Air Quality Development Authority Revenue Bonds
(JMG-Funding Limited Partnership Project), Series 1994A,
3.55%, Due 4/01/2029, LOC Societe Generale................ 3,300 3,300
Ohio State Air Quality Development Authority Revenue Bonds
(Cincinnati Gas and Electric Project), Series 1994B,
3.45%, Due 9/1/2030, LOC Canadian Bank of Commerce........ 900 900
--------
TOTAL OHIO.............................................. 4,200
--------
OREGON - 2.50%
State of Oregon (Toyo Tanso USA), Series CXLVII, 3.73%, Due
2/1/2012, LOC Bank of Tokyo - Mitsubishi, Limited......... 3,000 3,000
--------
TOTAL OREGON............................................ 3,000
--------
PENNSYLVANIA - 5.52%
Gettysburg Area Industrial Development Authority Refunding
Bonds (Dal-Tile Corporation), Series 1987A, 3.60%, Due
3/1/2004, LOC Credit Suisse............................... 30 30
Gettysburg Area Industrial Development Authority Refunding
Bonds (Dal-Tile Corporation), Series 1987B, 3.70%, Due
3/1/2004, LOC Credit Suisse............................... 1,155 1,155
Northumberland County, Pennsylvania Industrial Development
Authority Resource Recovery Revenue Bonds (Foster Wheeler
Mt. Carmel, Incorporated Project), Series 1987A, 3.65%,
Due 2/1/2010, LOC Union Bank of Switzerland............... 1,000 1,000
Northumberland County, Pennsylvania Industrial Development
Authority Resource Recovery Revenue Bonds (Foster Wheeler
Mt. Carmel, Incorporated Project), Series 1987B, 3.65%,
Due 2/1/2010, LOC Union Bank of Switzerland............... 1,245 1,245
</TABLE>
See accompanying notes
- --------------------------------------------------------------------------------
24
<PAGE> 107
AMR INVESTMENT SERVICES MUNICIPAL MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS -- CONTINUED
October 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
AMOUNT VALUE
---------- ---------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
Schuykill County, Pennsylvania Industrial Development
Authority Revenue Bonds, 3.50%, Due 12/1/2002, LOC Mellon
Bank, N.A. ................................................. $ 3,200 $ 3,200
--------
TOTAL PENNSYLVANIA...................................... 6,630
--------
TENNESSEE - 0.92%
Knox County, Tennessee Industrial Development Authority
Revenue Bonds (Professional Plaza Project), 3.70%, Due
12/1/2014, LOC Bank Boston................................ 1,100 1,100
--------
TOTAL TENNESSEE......................................... 1,100
--------
TEXAS - 4.31%
Texas Higher Education Authority, Incorporated Educational
Facilities Revenue Bonds, Series 1985 B, 3.55%, Due
12/1/2025, Bond Insurance FGIC............................ 1,175 1,175
Texas Small Business Industrial Development Corporation
Revenue Bond (Texas Public Facilities Capital Access),
3.60%, Due 7/1/2026, LOC National Westminster Bank, PLC... 4,000 4,000
--------
TOTAL TEXAS............................................. 5,175
--------
UTAH - 0.83%
Utah State Board of Regents Student Loan Revenue Bonds, Bond
Insurance-AMBAC Indemnity Corporation, Series 1988C,
3.55%, Due 11/1/2013, SPA Dresdner Bank AG................ 1,000 1,000
--------
TOTAL UTAH.............................................. 1,000
--------
VERMONT - 1.25%
Vermont, Industrial Development Authority (Ryegate Project),
Series 1990, 3.70%, Due 12/1/2015, LOC ABN/AMRO Holding,
N.V. ..................................................... 1,500 1,500
--------
TOTAL VERMONT........................................... 1,500
--------
VIRGINIA - 3.45%
King George County, Virginia Industrial Development
Authority Facilities Revenue Bonds (Birchwood Partners
Project), 3.60%, Due 11/1/2025, LOC Credit Suisse......... 2,050 2,050
King George County, Virginia Industrial Development
Authority Facilities Revenue Bonds (Birchwood Partners
Project), 3.60%, Due 4/1/2026, LOC Credit Suisse.......... 2,100 2,100
--------
TOTAL VIRGINIA.......................................... 4,150
--------
WASHINGTON - 9.02%
Pierce County, Washington Economic Development Corporation
Dock & Wharf Facilities Revenue Bonds (SCS Industries
Project), Series 1995, 3.55%, Due 7/1/2030, LOC Bank of
Nova Scotia............................................... 3,585 3,585
Port Kalama, Washington Public Corp Port Facility Revenue
Bonds (Con Agra Incorporated Project), 3.55%, Due
1/1/2004, LOC Morgan Guaranty Trust....................... 1,155 1,155
Port of Vancouver Washington Adjustable Tender Refunding
Revenue Bonds (United Grain Corporation of Oregon
Project), Series 1984, 3.50%, Due 12/1/2009, LOC Bank of
America................................................... 3,100 3,100
Washington State Housing Finance Authority, Community
Nonprofit Housing Revenue Bonds (Nikkei Manor Project),
3.55%, Due 10/1/2021, LOC Bank of America................. 3,000 3,000
--------
TOTAL WASHINGTON........................................ 10,840
--------
WEST VIRGINIA - 0.83%
Marion County, West Virginia Solid Waste Disposal Facility
Revenue Bonds, Series 1990C, 3.55%, Due 10/1/2017,
National Westminster Bank, PLC............................ 1,000 1,000
--------
TOTAL WEST VIRGINIA..................................... 1,000
--------
WISCONSIN - 1.25%
Wisconsin State Health and Education Facilities Authority
Revenue Bonds (Felician Services Project), Bond
Insurance - AMBAC Indemnity Corporation, Series A, 3.55%,
Due 1/1/2020, SPA First Chicago NBD Corporation........... 1,500 1,500
--------
TOTAL WISCONSIN......................................... 1,500
--------
TOTAL VARIABLE RATE DEMAND OBLIGATIONS.................. 80,735
--------
TOTAL MUNICIPAL OBLIGATIONS................................. 106,235
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
---------
<S> <C> <C>
OTHER INVESTMENTS - 6.33%
Alliance Capital Management Institutional Reserves Tax-Free
Portfolio................................................. 2,650,032 2,650
Federated Municipal Obligations Fund........................ 4,871,438 4,871
</TABLE>
See accompanying notes
- --------------------------------------------------------------------------------
25
<PAGE> 108
AMR INVESTMENT SERVICES MUNICIPAL MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS -- CONTINUED
October 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
---------- ---------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
Provident Institutional Funds Municipal Cash................ 91,901 $ 92
--------
TOTAL OTHER INVESTMENTS................................. 7,613
--------
TOTAL INVESTMENTS- 94.76% (COST $113,848)................... 113,848
--------
OTHER ASSETS, NET OF LIABILITIES - 5.24%.................... 6,296
--------
TOTAL NET ASSETS- 100%...................................... $120,144
========
</TABLE>
- ---------------
Based on the cost of investments of $113,848 for federal income tax purposes at
October 31, 1999, 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
SPA - Support Agreement
See accompanying notes
- --------------------------------------------------------------------------------
26
<PAGE> 109
AMR INVESTMENT SERVICES U.S. GOVERNMENT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
AMOUNT VALUE
-------- ---------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
REPURCHASE AGREEMENTS (NOTES A AND B) - 18.08%
Merrill Lynch Tri-Party Government Repurchase Agreement,
5.27%, Due 11/1/1999 (Collateral held at The Chase
Manhattan Bank by Federal Home Loan Mortgage Corporation,
6.25%, Due 3/9/2004 through Federal National Mortgage
Association, 6.25%, Due 5/15/2029 - Market
Value - $38,950).......................................... $38,184 $ 38,184
--------
TOTAL REPURCHASE AGREEMENTS............................. 38,184
--------
U.S. GOVERNMENT AGENCY INSTRUMENTS (NOTE A) - 81.43%
Federal Home Loan Bank,
Discount Note, 5.29%, Due 11/12/1999...................... 25,000 24,960
Discount Note, 5.61%, Due 1/21/2000....................... 15,000 14,813
Variable Rate MTN, 5.13%, Due 2/3/2000.................... 25,000 24,997
Variable Rate MTN, 5.40%, Due 10/6/2000................... 15,000 14,992
Federal Home Loan Mortgage Corporation
Discount Note, 5.66%, Due 1/10/2000....................... 10,000 9,892
Discount Note, 5.65%, Due 2/4/2000........................ 15,000 14,780
Federal National Mortgage Association,
Discount Note, 5.68%, Due 1/21/2000....................... 10,000 9,874
Variable Rate MTN, 5.16%, Due 5/5/2000.................... 25,000 24,994
Variable Rate MTN, 5.33%, Due 9/6/2000.................... 7,650 7,645
Student Loan Marketing Association, Variable Rate MTN,
5.16%, Due 2/7/2000....................................... 25,000 24,996
--------
TOTAL U.S. GOVERNMENT AGENCY INSTRUMENTS................ 171,943
--------
TOTAL INVESTMENTS - 99.51% (COST $210,127).................. 210,127
--------
OTHER ASSETS, NET OF LIABILITIES - 0.49%.................... 1,036
--------
TOTAL NET ASSETS - 100%..................................... $211,163
========
</TABLE>
- ---------------
Based on the cost of investments of $210,127 for federal income tax purposes at
October 31, 1999, 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) Repurchase agreements are fully collateralized by U.S. Treasury or
Government agency securities. All collateral is held at the Portfolio's
custodian bank, State Street Bank and Trust Company, 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.
ABBREVIATIONS:
MTN - Medium Term Note
See accompanying notes
- --------------------------------------------------------------------------------
27
<PAGE> 110
AMR INVESTMENT SERVICES TRUST PORTFOLIOS
STATEMENTS OF ASSETS AND LIABILITIES
October 31, 1999
- --------------------------------------------------------------------------------
<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 - $3,362,424;
$113,848; $210,127, respectively)*.................... $3,362,424 $113,848 $210,127
Dividends and interest receivable....................... 21,905 400 1,075
Receivable for investments sold......................... - 5,910 -
Other assets............................................ 120 5 -
---------- -------- --------
TOTAL ASSETS........................................ 3,384,449 120,163 211,202
---------- -------- --------
LIABILITIES:
Payable for investments purchased....................... 75,245 - -
Management and investment advisory fees payable (Note
2).................................................... 252 7 17
Accrued organization costs.............................. 12 12 16
Other liabilities....................................... 98 - 6
---------- -------- --------
TOTAL LIABILITIES................................... 75,607 19 39
---------- -------- --------
NET ASSETS APPLICABLE TO INVESTORS' BENEFICIAL INTERESTS.... $3,308,842 $120,144 $211,163
========== ======== ========
</TABLE>
- ---------------
* Includes repurchase agreements of $309,498 and $38,184 for the Money Market
and U.S. Government Money Market Portfolios, respectively.
See accompanying notes
- --------------------------------------------------------------------------------
28
<PAGE> 111
AMR INVESTMENT SERVICES TRUST PORTFOLIOS
STATEMENTS OF OPERATIONS
Year Ended October 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
U.S.
MONEY MUNICIPAL GOVERNMENT
MARKET MONEY MARKET MONEY MARKET
-------- ------------ ------------
(IN THOUSANDS)
<S> <C> <C> <C>
INVESTMENT INCOME:
Interest income......................................... $135,171 $4,277 $11,929
-------- ------ -------
TOTAL INVESTMENT INCOME............................. 135,171 4,277 11,929
-------- ------ -------
EXPENSES:
Management and investment advisory fees (Note 2)........ 2,587 130 238
Custodian fees.......................................... 116 50 28
Professional fees....................................... 86 6 8
Other expenses.......................................... 160 5 16
-------- ------ -------
TOTAL EXPENSES...................................... 2,949 191 290
-------- ------ -------
NET INVESTMENT INCOME....................................... 132,222 4,086 11,639
-------- ------ -------
REALIZED GAIN ON INVESTMENTS:
Net realized gain on investments........................ 23 - 5
-------- ------ -------
NET GAIN ON INVESTMENTS............................. 23 - 5
-------- ------ -------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS........ $132,245 $4,086 $11,644
======== ====== =======
</TABLE>
See accompanying notes
- --------------------------------------------------------------------------------
29
<PAGE> 112
AMR INVESTMENT SERVICES TRUST PORTFOLIOS
STATEMENTS OF CHANGES IN NET ASSETS
Year Ended October 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MUNICIPAL MONEY U.S. GOVERNMENT
MONEY MARKET MARKET MONEY MARKET
-------------------------- --------------------- ---------------------
1999 1998 1999 1998 1999 1998
------------ ----------- --------- --------- --------- ---------
(IN THOUSANDS)
<S> <C> <C> <C> <C> <C> <C>
INCREASE IN NET ASSETS:
OPERATIONS:
Net investment income............................. $ 132,222 $ 118,252 $ 4,086 $ 4,395 $ 11,639 $ 9,710
Net realized gain on investments.................. 23 41 - 12 5 -
------------ ----------- --------- --------- --------- ---------
TOTAL INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS................................... 132,245 118,293 4,086 4,407 11,644 9,710
------------ ----------- --------- --------- --------- ---------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS:
Contributions..................................... 13,198,063 5,610,180 284,110 168,434 567,268 319,177
Withdrawals....................................... (12,487,660) (5,233,609) (295,057) (146,527) (619,812) (208,604)
------------ ----------- --------- --------- --------- ---------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM TRANSACTIONS IN INVESTORS'
BENEFICIAL INTERESTS......................... 710,403 376,571 (10,947) 21,907 (52,544) 110,573
------------ ----------- --------- --------- --------- ---------
NET INCREASE (DECREASE) IN NET ASSETS................ 842,648 494,864 (6,861) 26,314 (40,900) 120,283
------------ ----------- --------- --------- --------- ---------
NET ASSETS:
BEGINNING OF PERIOD............................... 2,466,194 1,971,330 127,005 100,691 252,063 131,780
------------ ----------- --------- --------- --------- ---------
END OF PERIOD..................................... $ 3,308,842 $ 2,466,194 $ 120,144 $ 127,005 $ 211,163 $ 252,063
============ =========== ========= ========= ========= =========
- ---------------------------------------------------------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS:
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS:
Expenses to average net assets (annualized)....... 0.11% 0.16% 0.15% 0.19% 0.12% 0.17%
Net investment income to average net assets
(annualized).................................... 5.11% 5.56% 3.13% 3.55% 4.89% 5.45%
</TABLE>
See accompanying notes
- --------------------------------------------------------------------------------
30
<PAGE> 113
AMR INVESTMENT SERVICES TRUST
NOTES TO FINANCIAL STATEMENTS
October 31, 1999
- --------------------------------------------------------------------------------
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
separate series, each having distinct investment objectives and policies. These
financial statements relate to the AMR Investment Services Money Market
Portfolio, the AMR Investment Services Municipal Money Market Portfolio and the
AMR Investment Services U.S. Government Money Market Portfolio (each a
"Portfolio" and collectively the "Portfolios"). The assets of each Portfolio
belong only to that Portfolio, and the liabilities of each Portfolio are borne
solely by that Portfolio and no other. The Trust commenced active operations on
November 1, 1995.
AMR Investment Services, Inc. (the "Manager") is a wholly-owned subsidiary
of AMR Corporation, the parent company of American Airlines, Inc. ("American"),
and was organized in 1986 to provide business management, advisory,
administrative and asset management consulting services.
The following is a summary of the significant accounting policies followed
by the Portfolios.
Security Valuation
Securities of the portfolio 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 Money Market Portfolios, calculated at amortized cost, and
the price per share calculated by reference to market quotations, or if there is
any other deviation which the Board believes would result in a material dilution
to shareholders or purchasers, the Board will promptly consider the appropriate
action which should be initiated.
Security Transactions and Investment Income
Security transactions are recorded on the trade date of the security
purchase or sale. Dividend income is recorded on the ex-dividend date except
certain dividends from foreign securities which are recorded as soon as the
information is available to the Portfolios. Interest income is earned from
settlement date, recorded on the accrual basis, and adjusted, if necessary, for
amortization of premiums or accretion of discounts on investment grade
short-term securities and zero coupon instruments. For financial and tax
reporting purposes, realized gains and losses are determined on the basis of
specific lot identification.
Federal Income and Excise Taxes
The Portfolios will be treated as partnerships for federal income tax
purposes. As such, each investor in a Portfolio will be taxed on its share of
the Portfolio's ordinary income and capital gains. It is intended that each
Portfolio's assets will be managed in such a way that an investor in the
Portfolio will be able to satisfy the requirements of sub-chapter M of the
Internal Revenue Code.
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 held at the Portfolio's
custodian bank, State Street Bank and Trust Company, or at subcustodian banks.
The
- --------------------------------------------------------------------------------
31
<PAGE> 114
AMR INVESTMENT SERVICES TRUST
NOTES TO FINANCIAL STATEMENTS -- CONTINUED
October 31, 1999
- --------------------------------------------------------------------------------
collateral is monitored daily by each Portfolio so that the collateral's market
value exceeds the carrying value of the repurchase agreement.
Use of Estimates
The preparation of financial statements in conformity with generally
accepted accounting principles requires management to make estimates and
assumptions that affect the amounts reported in the financial statements and
accompanying notes. Actual results may differ from those estimated.
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 .10% of the average daily net assets of each of the
Portfolios.
Other
Certain officers or trustees of the Trust are also current or former
officers or employees of the Manager or American. The Trust makes no direct
payments to its officers. Unaffiliated trustees and their spouses are provided
free unlimited air transportation on American. However, the Trust compensates
each Trustee with payments in an amount equal to the Trustee's income tax on the
value of this free airline travel. For the year ended October 31, 1999, the cost
of air transportation was not material to any of the Portfolios.
- --------------------------------------------------------------------------------
32
<PAGE> 115
[AMERICAN EAGLE LOGO]
<PAGE> 116
[AMERICAN EAGLE LOGO]
<PAGE> 117
[AMERICAN AADVANTAGE FUNDS LOGO]
<TABLE>
<CAPTION>
=====================================================================================================================
TO OBTAIN MORE INFORMATION ABOUT THE FUNDS:
[E-MAIL PICTURE] [INTERNET PICTURE]
BY E-MAIL: ON THE INTERNET:
<S> <C>
[email protected] Visit our website at www.aafunds.com
- ---------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
[TELEPHONE PICTURE] [MAIL PICTURE]
BY TELEPHONE: BY MAIL:
<S> <C> <C> <C>
Institutional Class Institutional Class
Platinum Class- PlanAhead Class Platinum Class- PlanAhead Class
--------------- --------------- --------------- ---------------
Call (800) 967-9009 Call (800) 388-3344 American AAdvantage Funds American AAdvantage Funds
P.O. Box 619003 P.O. Box 219643
DFW Airport, TX 757261-9003 Kansas City, MO 64121-9643
</TABLE>
FUND SERVICE PROVIDERS:
<TABLE>
<CAPTION>
- --------------------------- -------------------------------- -------------------- ----------------------
CUSTODIAN TRANSFER AGENT INDEPENDENT AUDITORS DISTRIBUTOR
<S> <C> <C> <C>
STATE STREET BANK AND TRUST NATIONAL FINANCIAL DATA SERVICES ERNST & YOUNG LLP SWS FINANCIAL SERVICES
Boston, Massachusetts Kansas City, Missouri Dallas, Texas Dallas, Texas
</TABLE>
This report is prepared for shareholders of the American AAdvantage Funds and
may be distributed to others only if preceded or accompanied by a current
prospectus.
- --------------------------------------------------------------------------------
American Airlines is not responsible for investments made in the American
AAdvantage Funds. American AAdvantage Funds is a registered service mark of AMR
Corporation. American AAdvantage Money Market Fund, American AAdvantage
Municipal Money Market Fund, and American AAdvantage U.S. Government Money
Market Fund are service marks of AMR Investment Services, Inc.
<PAGE> 118
- -------------------------------------------------------------------------------
American AAdvantage Funds
P.O. Box 619003
DFW Airport, TX 75261-9003
511707
