<PAGE> 1
AMERICAN
AADVANTAGE FUNDS(R)
--------------------------------------------------------------------------------
SEMI-ANNUAL REPORT
APRIL 30, 2000
[AMERICAN AADVANTAGE FUND LOGO]
EQUITY FUNDS [LOGO]
BALANCED FUND
LARGE CAP VALUE FUND
SMALL CAP VALUE FUND
INTERNATIONAL EQUITY FUND
BOND FUNDS [LOGO]
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 AMRCorporation, 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
--------------------------------------------------------------------------------
President's Message .................................... 1
Equity Portfolios
Balanced Portfolio .................................. 32
Large Cap Value Portfolio ........................... 40
Small Cap Value Portfolio ........................... 44
International Equity Portfolio ...................... 51
Bond Portfolios
Intermediate Bond Portfolio ......................... 56
Short-Term Bond Portfolio ........................... 58
Additional Information ................................. Back Cover
American AAdvantage Funds April 30, 2000
<PAGE> 3
FELLOW SHAREHOLDER:
We are pleased to present you with the
[BILL QUINN PICTURE] Semi-Annual Report for the American
AAdvantage Funds for the six months ending
April 30, 2000. This was a volatile time in
investment history, showing that investor
sentiment can have a major impact on the
marketplace. The major market indicators such
as NASDAQ, the S&P 500, and the Russell 2000
rotated sharply during the later part of the
six-month period, creating huge losses for
some and opportunities for others. The "New
Economy" stocks were in favor for the most
part, while value stocks outperformed growth
only during the last two months of the period.
This offered a much deserved reprieve for
value-oriented investors. During these
volatile times, our managers have stayed the
course with their investment strategy to find undervalued securities with
above-average earnings growth potential. When value has been in favor in the
past, our Funds have produced above-average returns while minimizing volatility
and downside risk.
Whatever cycle the remainder of the year delivers, the recent market
turbulence is a good reminder that value funds should always have a place in a
well-diversified portfolio. We advise prudent investors to avoid the temptations
of the current market frenzy and be sure to select achievable and sustainable
long-term goals. Change is forever present in our culture, whether in the
financial markets, business, or in technology. However, we believe that sound
investment principles have not changed. As we move ahead into the next fiscal
period, we believe that applying our understanding of risk and fundamental
long-term investing approaches will benefit the returns of our shareholders.
Because investment styles shift in and out of favor, many of you have asked
for more diversified offerings. In response, we will be introducing several new
funds on August 1, 2000: a Large Cap Growth Fund, an Emerging Markets Fund, and
both Small Cap and International Equity Index Funds. In addition to managing
Fund assets, we are actively improving our client service initiatives. We
enhanced our web site, AAFUNDS.COM, by offering investors access to their
account information, portfolio listings, and the ability to trade fund shares.
These are just a few of the enhancements you will be seeing, along with a more
user-friendly format, which will include market tickers and Fund prices each
evening.
We are always available to provide the information and service you need.
Thank you for your continued support.
Sincerely,
/s/ WILLIAM F. QUINN
William F. Quinn
President
American AAdvantage Funds
1
<PAGE> 4
DOMESTIC EQUITY MARKET OVERVIEW
--------------------------------------------------------------------------------
The U.S. economy continued its record pace of expansion with low
unemployment and low inflation throughout the six-month period. The Fed raised
rates to 6.00% by the end of April with three increases of 0.25%. Despite this,
U.S. stocks surged to record highs late in 1999, only to reverse direction in
January as concerns about a faster growing economy and higher interest rates
sparked a broad-based decline in prices.
The first quarter of the new millennium was marked by unprecedented
volatility, with market indices swinging sharply on a day-to-day basis. After
taking a slight pause in January, high valuation technology and biotech stocks
continued to soar into early March, when a severe rotation resulted in
widespread losses for these growth oriented stocks.
In April, the markets sold off, as investors were unnerved by signs of
stronger economic data and higher inflation, which raised the prospects of
further aggressive hikes in interest rates. In addition, the anti-trust judgment
handed down against Microsoft weighed heavily on the market and dragged the
technology sector down. The broad based S&P 500 Index declined 3.01% for the
month of April, while the NASDAQ market fell 15.57%. The domestic equity market
performance was marked with a sector rotation out of the growth segments during
the period.
Reflecting the increase in market breadth and industry rotation, value
stocks dramatically outperformed growth stocks after March 10th. Unfortunately,
the strong performance came too late to make up for the shortfall experienced by
value investors earlier in the period.
VALUE VS. GROWTH -- GROWTH OF A $10,000 INVESTMENT
[GRAPH]
<TABLE>
<CAPTION>
BARRA VALUE BARRA GROWTH
----------- ------------
<S> <C> <C>
Apr-75 10425.00 10565.00
11016.00 11040.00
11733.00 11322.00
11250.00 10322.00
11144.00 10120.00
10900.00 9700.00
11449.00 10468.00
11736.00 10839.00
11814.00 10569.00
13204.00 11831.00
13348.00 11573.00
13783.00 11952.00
Apr-76 13886.00 11639.00
13864.00 11469.00
14432.00 11991.00
14463.00 11808.00
14533.00 11788.00
15003.00 11983.00
14739.00 11722.00
14955.00 11544.00
15941.00 12031.00
15609.00 11111.00
15385.00 10934.00
15283.00 10739.00
Apr-77 15632.00 10514.00
15558.00 10233.00
16092.00 10862.00
15841.00 10702.00
15267.00 10802.00
15402.00 10716.00
14835.00 10230.00
15341.00 10621.00
15531.00 10609.00
14644.00 9951.00
14603.00 9666.00
15148.00 9819.00
Apr-78 16110.00 10920.00
16306.00 11085.00
15959.00 10975.00
16618.00 11745.00
17283.00 12067.00
17518.00 11815.00
15901.00 10815.00
16403.00 11025.00
16487.00 11328.00
17372.00 11685.00
17018.00 11270.00
18005.00 11896.00
Apr-79 18113.00 11926.00
17901.00 11675.00
18764.00 12056.00
19053.00 12147.00
20154.00 12924.00
20311.00 12891.00
18792.00 12168.00
19606.00 12887.00
19976.00 13109.00
21117.00 13940.00
21261.00 13941.00
19022.00 12662.00
Apr-80 20119.00 13031.00
21298.00 13723.00
21793.00 14210.00
22963.00 15332.00
23303.00 15505.00
23522.00 16176.00
23519.00 16729.00
25034.00 19113.00
24689.00 18274.00
24187.00 17050.00
24524.00 17515.00
25585.00 18092.00
Apr-81 25560.00 17346.00
25795.00 17386.00
25751.00 17118.00
25398.00 17406.00
24240.00 16301.00
23292.00 15300.00
24189.00 16325.00
25345.00 16965.00
24694.00 16481.00
24232.00 16257.00
23396.00 15166.00
23464.00 14928.00
Apr-82 24126.00 15749.00
23535.00 15271.00
23116.00 15017.00
22429.00 14844.00
25484.00 16547.00
25612.00 16818.00
28483.00 18727.00
29494.00 19718.00
29889.00 20112.00
31291.00 20567.00
31967.00 21167.00
33216.00 21874.00
Apr-83 35970.00 23360.00
35977.00 23091.00
36675.00 24412.00
36070.00 23318.00
37466.00 23211.00
37784.00 23636.00
37565.00 23139.00
38553.00 23607.00
38522.00 23378.00
39374.00 22616.00
38441.00 21666.00
38933.00 22123.00
Apr-84 39225.00 22258.00
37103.00 21123.00
37566.00 21769.00
36699.00 21632.00
41209.00 23843.00
41868.00 23495.00
41676.00 23739.00
41567.00 23324.00
42573.00 23923.00
45685.00 25830.00
46275.00 26220.00
46432.00 26157.00
Apr-85 46868.00 25767.00
49442.00 27419.00
50015.00 27940.00
49900.00 27833.00
49855.00 27491.00
48439.00 26485.00
50769.00 27595.00
53490.00 30051.00
55207.00 31893.00
55942.00 31756.00
60182.00 34159.00
63227.00 36168.00
Apr-86 61463.00 36244.00
64887.00 38187.00
65821.00 38885.00
62688.00 36300.00
68994.00 38078.00
64634.00 34187.00
67730.00 36351.00
69247.00 37387.00
67170.00 36516.00
76063.00 41489.00
77120.00 44298.00
79642.00 45281.00
Apr-87 79148.00 44742.00
79861.00 45252.00
83790.00 47542.00
87476.00 50162.00
90529.00 52243.00
88891.00 50890.00
70828.00 39333.00
65537.00 35848.00
69640.00 38888.00
74264.00 39678.00
77665.00 41550.00
76027.00 39926.00
Apr-88 76977.00 40249.00
77924.00 40370.00
81267.00 42364.00
81169.00 42089.00
78937.00 40502.00
81992.00 42341.00
84583.00 43336.00
83779.00 42534.00
84734.00 43534.00
90945.00 46659.00
88981.00 45414.00
91330.00 46358.00
Apr-89 95714.00 48871.00
99342.00 50967.00
98984.00 50595.00
105814.00 56100.00
108142.00 56953.00
106985.00 57095.00
103529.00 56239.00
104450.00 57993.00
106874.00 59379.00
100600.00 54944.00
102642.00 55263.00
103864.00 57467.00
Apr-90 100332.00 56537.00
108319.00 62936.00
106272.00 63144.00
106282.00 62746.00
96929.00 56961.00
92442.00 54022.00
91129.00 54378.00
97353.00 57663.00
99553.00 59497.00
104262.00 61972.00
111060.00 66774.00
112071.00 69299.00
Apr-91 112956.00 69167.00
118344.00 71781.00
112462.00 68781.00
116927.00 72461.00
118622.00 74794.00
117377.00 73156.00
119091.00 74048.00
112445.00 72160.00
122014.00 82328.00
122014.00 79438.00
124491.00 79907.00
122537.00 78053.00
Apr-92 128517.00 78880.00
128876.00 79495.00
127820.00 77850.00
132434.00 81361.00
128593.00 80425.00
130008.00 81374.00
128968.00 82595.00
132463.00 85932.00
134860.00 86499.00
138583.00 85565.00
143364.00 84872.00
147321.00 86068.00
Apr-93 146731.00 82100.00
149475.00 85023.00
151448.00 84301.00
153326.00 82564.00
159337.00 85578.00
159273.00 84268.00
160133.00 87403.00
157267.00 87342.00
159940.00 87953.00
167393.00 89835.00
161334.00 88227.00
154703.00 84151.00
Apr-94 157967.00 84530.00
160589.00 85908.00
156141.00 84078.00
161419.00 86760.00
165987.00 91393.00
160144.00 90086.00
163635.00 92185.00
157008.00 89161.00
158939.00 90704.00
163246.00 92953.00
169580.00 96579.00
174261.00 99611.00
Apr-95 179994.00 102201.00
188004.00 105860.00
189432.00 109904.00
195968.00 113410.00
197634.00 113047.00
204511.00 118631.00
201321.00 119580.00
211870.00 123885.00
217739.00 125285.00
224249.00 130058.00
226357.00 131242.00
231654.00 130691.00
Apr-96 234017.00 133226.00
237550.00 138129.00
236410.00 139855.00
226434.00 133408.00
232683.00 135382.00
242642.00 144778.00
250843.00 147920.00
270033.00 158969.00
265604.00 155297.00
277849.00 167457.00
279877.00 168864.00
270305.00 160843.00
Apr-97 280442.00 173823.00
298025.00 184130.00
309410.00 193466.00
334163.00 208788.00
319059.00 194904.00
337755.00 204844.00
325360.00 198678.00
337756.00 209466.00
345254.00 212043.00
341008.00 219167.00
366583.00 234399.00
385169.00 246518.00
Apr-98 389714.00 248589.00
384219.00 243592.00
387139.00 260960.00
378738.00 260803.00
317837.00 226873.00
337162.00 242051.00
363561.00 262335.00
382503.00 280095.00
395929.00 301410.00
403926.00 319826.00
395242.00 307289.00
407218.00 322162.00
Apr-99 442320.00 321549.00
434491.00 312160.00
451175.00 334511.00
437279.00 323940.00
426216.00 328443.00
409551.00 322860.00
432650.00 345201.00
430097.00 359976.00
446269.00 386614.00
432077.00 360866.00
405073.00 368444.00
447322.00 402525.00
Apr-00 444325.00 382600.00
</TABLE>
---------------
The chart depicts the total returns of a hypothetical $10,000 initial investment
for the S&P 500/Barra Growth Index and the S&P 500/Barra Value Index from April
1975 to April 2000 calculated by BARRA using a monthly buy and hold strategy.
Please note that these indices are unmanaged and cannot be invested in directly.
2
<PAGE> 5
PERFORMANCE OVERVIEW
--------------------------------------------------------------------------------
AMERICAN AADVANTAGE
BALANCED FUND (SM)
[BHMS LOGO]
<TABLE>
<S> <C> <C>
[IA [HOTCHKIS AND WILEY LOGO] [BRANDYWINE LOGO]
LOGO]
</TABLE>
<TABLE>
<S> <C>
Independence 17.6%
Hotchkis and Wiley 26.3%
Brandywine 27.5%
Barrow Hanley 28.6%
</TABLE>
Although the six-month period was a difficult one for value style managers,
beginning March 10th the market dramatically reversed direction away from the
high flying tech stocks to return to valuation fundamentals. This reversal,
which occurred late in the period, was not enough to counteract the growth mania
that investors had for technology stocks throughout the rest of the period.
During April, the Fund continued to bounce back and outperformed both the S&P
500 and the S&P 500/Barra Value Indices for the month. The Balanced Fund's total
return for the six months ended April 30, 2000 was -1.50% for the AMR Class,
-1.55% for the Institutional Class and -1.81% for the PlanAhead Class. These
returns lagged the Lipper Balanced Fund Index return of 5.22% for the period.
Good stock picks like Cordant Technologies (up 82.55%) and Philips
Electronics (up 72.81%) in the industrial sector helped narrow the gap of
underperformance over the period. Most of the positive contribution of the
Fund's performance for the six-month period came from the telecommunication
services and the industrials sectors. These holdings are in sound, established
companies with strong fundamentals and expected above average earnings growth,
which held up well during the market's rotation towards value oriented companies
in March and April. Good stock selection in these sectors helped to make up some
of the relative underperformance due to the Fund's underweight position in
information technology area. Over the course of the six-month period, the Fund's
exposure to information technology increased from 3.2% to 5.5%, versus the S&P
500/Barra Value Index weight of 9.9%.
For the six-month period, the Fund's bond segment returned 1.21%, slightly
underperforming the Lehman Govt./Corp. Index return of 1.49%. During this period
the fixed income market continued to be heavily influenced by stock market
volatility, sustained economic growth, rate moves by the Federal Reserve, and
the U.S. Treasury's buyback program. The Fund's stock segment returned -3.63%
for the six-month period versus the S&P 500/Barra Value Index return of 2.70%.
Although the Fund performance lagged over the period, the investment
objective and approach of the Fund has not changed. The Fund continues to invest
in investment grade bonds and stocks of companies that the managers believe to
be undervalued by the market. The recent shift during the period in investor
sentiment and Fund performance is an indicator that a more favorable market for
value stocks may be upon us.
PORTFOLIO STATISTICS AS OF APRIL 30, 2000
<TABLE>
<CAPTION>
S & P
FUND 500 / BARRA VALUE
---- -----------------
<S> <C> <C>
Price/Earnings Ratio 14.7 20.0
Price/Book Ratio 3.9 4.2
Wtd.Avg.Mkt.cap($) 34.5 Billion 64.6 Billion
</TABLE>
<TABLE>
<CAPTION>
LEHMAN
FIXED INCOME FUND GOV./CORP.
------------ -------- ----------
<S> <C> <C>
Avg. Credit Quality Aa3 Aa2
Wtd. Avg. Duration 4.4 yrs. 5.4 yrs.
</TABLE>
TOP TEN EQUITY HOLDINGS AS OF APRIL 30, 2000
<TABLE>
<CAPTION>
% OF NET ASSETS
---------------
<S> <C>
Ford Motor Co. Del. 1.3%
Honeywell Int. Inc. 1.3%
BP Amoco plc 1.1%
Washington Mut. Inc. 1.0%
United States Treas. Bds. 1.0%
GTE Corp. 1.0%
Bank Amer. Corp. 0.9%
Sears Roebuck & Co. 0.9%
Philip Morris Cos. Inc. 0.9%
Chase Manhattan Corp. New 0.9%
</TABLE>
3
<PAGE> 6
PERFORMANCE OVERVIEW
--------------------------------------------------------------------------------
AMERICAN AADVANTAGE
LARGE CAP VALUE FUND (SM)
[BHMS LOGO]
<TABLE>
<S> <C> <C>
[IA [HOTCHKIS AND WILEY LOGO] [BRANDYWINE LOGO]
LOGO]
</TABLE>
<TABLE>
<S> <C>
Independence 18.0%
Brandywine 27.1%
Hotchkis and Wiley 27.3%
Barrow Hanley 27.6%
</TABLE>
The Large Cap Value Fund's total return for the six months ended April 30,
2000 was -3.53% for the AMR Class, -3.60% for the Institutional Class and -3.73%
for the PlanAhead Class. These returns lagged the Lipper Multi-Cap Value Index
return of 2.29% for the period.
Since the Fund utilized the same investment managers and the same approach
to stock selection as the Balanced Fund, it also suffered from being
underweighted in the higher priced segments of the market, such as technology.
The Fund's managers find these stocks to be extremely overpriced relative to the
rest of the market and therefore do not own them, as this would be contrary to
the Fund's traditional value style. Although the six-month period was a
difficult one for value style managers, beginning March 10th the market
dramatically reversed direction away from the high flying tech stocks to return
to valuation fundamentals. This reversal, which occurred late in the period, was
not enough to counteract the growth mania that investors had for technology
stocks throughout the rest of the period. March was an extremely strong month
for the Fund as it returned over 14%, well above the one month Lipper Multi-Cap
Value, S&P 500, and S&P 500/ Barra Value returns of 10.57%, 9.78% and 10.43%
respectively. Again, in April, the Fund showed strength by returning 0.76% in
the Institutional Class, as compared to the negative returns experienced by the
S&P 500, Barra Value, and Lipper Multi Cap Value Indices of -3.01%, -0.67%, and
-0.19%.
Good stock picks like Cordant Technologies (up 82.55%) and Philips
Electronics (up 72.81%) in the industrial sector helped narrow the gap of
underperformance over the six-month period. Most of the Fund's performance for
the period came from telecommunication services and the industrials sectors.
These holdings are in sound, established companies with strong fundamentals and
expected earnings growth, which held up well during the market's rotation
towards value-oriented companies in March and April. Good stock selection in
these sectors helped to make up some of the relative underperformance due to the
Fund's underweight position in the information technology area. Over the course
of the six-month period, the Fund's exposure to information technology increased
from 4.2% to 5.6% versus the S&P 500/Barra Value Index weight of 9.9%.
Although performance over the period was disappointing, the investment
objective and approach for the Fund have not changed. The Fund continues to
invest in companies that the managers believe are undervalued as compared to the
rest of the market. The recent slide in the NASDAQ and in growth stocks is
causing investors to take notice, and we are optimistic that these favorable
conditions for the Fund will continue.
PORTFOLIO STATISTICS AS OF APRIL 30, 2000
<TABLE>
<CAPTION>
S & P
FUND 500 / BARRA VALUE
---- -----------------
<S> <C> <C>
Price/Earnings Ratio 14.4 20.0
Price/Book Ratio 3.9 4.2
Wtd.Avg.Mkt.cap($) 36.7 Billion 64.6 Billion
</TABLE>
TOP TEN HOLDINGS AS OF APRIL 30, 2000
<TABLE>
<CAPTION>
% OF NET ASSETS
---------------
<S> <C>
BP Amoco plc 2.6%
Ford Motor Co. Del. 2.3%
Honeywell Intl. Inc. 2.1%
Washington Mut. Inc. 1.8%
Philip Morris Cos. Inc. 1.8%
GTE Corp. 1.7%
Bank Amer. Corp. 1.7%
Sears Roebuck & Co. 1.6%
Chase Manhattan Corp. New 1.5%
U.S. West Inc. New 1.4%
</TABLE>
4
<PAGE> 7
PERFORMANCE OVERVIEW
--------------------------------------------------------------------------------
AMERICAN AADVANTAGE
SMALL CAP VALUE FUND (SM)
<TABLE>
<S> <C>
[HOTCHKIS AND WILEY [BRANDYWINE LOGO]
LOGO]
</TABLE>
<TABLE>
<S> <C>
Brandywine 49.7%
Hotchkis and Wiley 50.3%
</TABLE>
The small cap market, which was dominated by the high-flying technology
(mainly Internet) and biotechnology stocks in the early months of the period,
moved rapidly back and forth in March and into April. Investors remained
uncertain about how to evaluate new technology companies in emerging industries,
which, for the most part, have no earnings. The Fed's move to raise interest
rates appeared to do little to slow the economy by April 30th, and perhaps added
to the price volatility. For the six-month period, the Lipper Small Cap Value
Index gained 9.6%, while the Lipper Small Cap Growth Index returned 39.8%.
However, the Lipper Small Cap Value Index gained 4.7% in March and fell 0.6% in
April, which compared quite favorably against the Lipper Small Cap Growth Index,
which generated losses of 7.9% and 12.4%, respectively.
The Fund's deep value investment approach magnified the performance of the
Fund as compared to the Lipper Small Cap Value Index. In general, when small cap
growth stocks were favored, the Fund underperformed the Lipper Small Cap Value
Index and when small cap value stocks were in vogue, the Fund outperformed the
Lipper Index. The Fund's total return for the six months ended April 30, 2000
was 2.77% for the AMR Class, 2.61% for the Institutional Class and 2.59% for the
PlanAhead Class. These returns lagged the Lipper Small Cap Value Fund Index
return of 9.63% for the period. But in March and April, each class of shares
exceeded the returns of the Lipper Small Cap Value Index as value stocks
rebounded. In fact, as compared to the broad-based Russell 2000 Index, the Fund
outperformed by over 17% during the last two months of the period.
From a sector perspective, the Fund was underweighted in technology and
biotechnology since the valuations of companies in these areas were very
extended. Although this underweighting was the most significant cause of the
Fund's underperformance during the six month period, it was the most significant
contributor to the Fund's superior performance in March and April when tech and
biotech stocks declined sharply. Positive performance contributions also came
from the homebuilding and oil services sectors. Homebuilders have rallied, as
new home demand has remained strong despite recent mortgage rate increases.
It appears we may be in the early stages of a recovery for value stocks as
investors seem to be turning their attention back to companies which are
generating solid earnings and are trading at reasonable multiples. We are
encouraged by recent events and remain optimistic about the Fund's future.
PORTFOLIO STATISTICS AS OF APRIL 30, 2000
<TABLE>
<CAPTION>
FUND RUSSELL 2000 VALUE
---- ------------------
<S> <C> <C>
Price/Earnings Ratio 10.6 17.5
Price/Book Ratio 1.6 2.6
Wtd.Avg.Mkt.cap($) 681 Million 976 Million
</TABLE>
TOP TEN HOLDINGS AS OF APRIL 30, 2000
<TABLE>
<CAPTION>
% OF NET ASSETS
---------------
<S> <C>
CMP Group Inc. 1.8%
Toll Bros. Inc. 1.7%
Knightsbridge Tankers Ltd. 1.7%
Tech Data Corp. 1.7%
Pittston Brinks Group 1.7%
R G S Energy Group Inc. 1.5%
Teekay Shipping Corp. 1.5%
Lennar Corp. 1.5%
Pulte Corp. 1.3%
Universal Corp. Va. 1.1%
</TABLE>
5
<PAGE> 8
INTERNATIONAL EQUITY
MARKET OVERVIEW PERFORMANCE OVERVIEW
--------------------------------------------------------------------------------
T
he most widely anticipated event in many years came and went with barely a
notice during the past six months as concerns relating to Y2K, thankfully,
never materialized. However, economic and market events have given investors
plenty to talk about. Within the countries that make up European Monetary Union,
unemployment has fallen almost 1% over the past year as economic growth has
finally shown signs of life. Growth is expected to top 3% in 2000 after reaching
2.3% in 1999. However the upward trend in growth is beginning to send inflation
higher (especially energy prices) and the European Central Bank (ECB) has taken
notice. The ECB raised interest rates 0.75% over the six-month period to 3.25%
and indicated that more rate increases are to be expected. However the big news
out of the Eurozone has been the weakness in the Euro. The Euro weakened over
13% versus the U.S. dollar for the six-month period as investors focused on
better opportunities in the U.S., lack of market reform in the Eurozone, and
lack of confidence in the ECB. The UK has registered positive growth for the
past 30 quarters, unemployment is at a 40 year low and inflation has been slowly
inching higher. The Bank of England has closely tracked the Fed in action with
rates ending the period at 5.75%. As similar as most economies have been
(stronger/strong growth, falling/low unemployment, rising inflation and interest
rates), conditions in Japan are much different. Back to back quarters of
positive growth early in 1999 technically ended Japan's longest post-war
recession. However, Japan slipped back into recession late in 1999. While
forecasts project positive growth in 2000, the forecast is for just less than
1.0%.
The MSCI EAFE Index was especially volatile during the period as many
markets closed 1999 at record levels. In fact, the EAFE Index topped the S&P 500
Index in 1999 for the first time in four years, before moving awkwardly lower
for the first four months of 2000. Although both Finland and Sweden were up over
50% for the period, the prevalent theme was not country selection but sector
selection. Only four sectors had positive returns for the period led by
information technology, which returned almost 60% for the period, while telecom
returned over 20%. The technology sector was led by Nokia, based in Finland, and
Ericcson, based in Sweden, which both returned over 100%. Among the major
markets, the UK was the only market with a negative period, (off almost 4%);
Japan was up over 3% while Germany and France both returned approximately 15%.
Growth stocks, dominated by the higher P/E technology and telecom names,
outperformed value stocks during the period by over 12%. However investors began
to question the valuations of the telecommunications and information technology
stocks, as value stocks returned to favor in March and April.
AMERICAN AADVANTAGE
INTERNATIONAL EQUITY FUND(SM)
<TABLE>
<S> <C> <C>
[TEMPLETON LOGO] [IA [HOTCHKIS AND WILEY
LOGO] LOGO]
</TABLE>
[LAZARD LOGO]
[CHART]
The International Equity Fund's total return for the six months ended April
30, 2000 was 5.76% for the AMR Class, 5.61% for the Institutional Class and
5.42% for the PlanAhead Class. These returns lagged the Lipper International
Fund Index return of 13.59% for the period. In comparison, the MSCI EAFE Index
had a total return of 6.71%, while the MSCI EAFE Value Index rose just 0.45%.
The underperformance relative to the MSCI EAFE Index was primarily a
"sector" story. Deterred by high price-to-earnings ratios in information
technology and telecommunications services stocks, the Fund was underweighted in
those two sectors. When the two sectors performed well during the period, the
Fund lagged on a relative basis. The Fund has a small weighting in Nokia and did
not hold Ericsson, which returned 101.93% and 115.03%, respectively for the
period. These securities alone accounted for 2.2% in relative underperformance
with EAFE. However, when technology and telecommunications performed poorly, the
Fund provided downside protection and dramatically outperformed the EAFE Index
in April by over 2.6%. The Fund had significant holdings in British Telecom
(0.9% of the Fund's assets) and Cookson Group (0.9% of the Fund's assets), a
broad-based basic materials company. The Fund was also overweighted in the
Netherlands and Singapore where there were some excellent values, such as in
Creative Technologies (up 111.80%) and Philips (up 75.73%). Philips is currently
the funds top holding at 2.4%. As of April 30, 2000, the Fund's portfolio was
invested as follows: Europe (70.7%), Asia (26.4%), Canada/ Mexico (2.8%), cash
and other assets (0.1%).
6
<PAGE> 9
PERFORMANCE OVERVIEW (CONTINUED)
--------------------------------------------------------------------------------
AMERICAN AADVANTAGE
INTERNATIONAL EQUITY FUND (CONTINUED)
Although the Fund trailed the Lipper Index for the most recent six-month
time period, the value philosophy of the Fund should allow it to prosper, as
investors have become less tolerant of unprecedented valuations. Many of the
telecommunication and information technology stocks that had strong performance
and either were not owned or underweighted by the Fund, had much of their price
run-up on the promise of huge, yet uncertain future profits.
Looking at performance for the longer time period, the International Equity
Fund continues to receive favorable reviews, including a 4 star overall rating
from Morningstar out of 1,138 International Equity Funds for the period ended
April 30, 2000. The Institutional Class ranked in the 31st percentile out of 274
Foreign Stocks Funds by Morningstar for the five year period ending April 30,
2000.
PORTFOLIO STATISTICS AS OF APRIL 30, 2000
<TABLE>
<CAPTION>
FUND MSCI EAFE
---- ---------
<S> <C> <C>
Price/Earnings Ratio 20.6 31.1
Price/Book Ratio 3.4 4.2
Wtd.Avg.Mkt.cap($) 31.1 Billion 55.9 Billion
</TABLE>
TOP TEN HOLDINGS AS OF APRIL 30, 2000
<TABLE>
<CAPTION>
% OF NET ASSETS
---------------
<S> <C>
Philips Elec. (Kon) 2.4%
Total Fina Elf. 2.4%
Telefonica Ca. 1.8%
Aventis S.A. 1.7%
Alcatel 1.6%
BAE Systems 1.6%
BQE Natl. Paris 1.5%
Canon Inc. 1.5%
Veba AG 1.5%
ING Groep NV 1.4%
</TABLE>
COUNTRY ALLOCATION AS OF APRIL 30, 2000
<TABLE>
<CAPTION>
FUND EAFE
----- -----
<S> <C> <C>
France 11.2% 10.2%
Germany 7.7% 10.0%
Netherlands 7.7% 5.1%
Italy 3.7% 4.2%
Spain 3.5% 2.7%
Finland 2.9% 2.9%
Ireland 1.3% 0.4%
Portugal 1.1% 0.5%
Austria 0.7% 0.2%
Belgium 0.0% 0.9%
----- -----
EURO 39.8% 37.1%
UK 22.4% 19.5%
Switzerland 4.1% 5.7%
Sweden 3.0% 2.8%
Norway 0.8% 0.4%
Denmark 0.6% 0.8%
----- -----
OTHER NON-EURO 8.5% 9.7%
JAPAN 15.0% 27.8%
Australia 3.4% 2.4%
Hong Kong 3.0% 2.3%
Singapore 2.7% 1.0%
New Zealand 1.6% 0.2%
South Korea 0.5% 0.0%
Malaysia 0.2% 0.0%
----- -----
OTHER ASIA 11.4% 5.9%
Canada 2.1% 0.0%
Mexico 0.7% 0.0%
Other 0.1% 0.0%
----- -----
OTHER 2.9% 0.0%
</TABLE>
<TABLE>
<S> <C>
Euro 39.8%
Non-Euro 8.5%
Other 2.9%
Other Asia 11.4%
Japan 15.0%
UK 22.4%
</TABLE>
SECTOR RETURNS
<TABLE>
<CAPTION>
MSCI
FUND EAFE
RTN(%) RTN(%)
------- -------
<S> <C> <C>
Information Technology....... 49.663 58.161
Telecomm Services............ 35.73 22.413
Consumer Discretionary....... 8.734 13.612
Industrials.................. 8.137 4.818
Health Care.................. 2.651 (1.367)
Energy....................... 1.239 (3.885)
Financials................... (3.729) (7.907)
Materials.................... (5.178) (7.862)
Utilities.................... (6.625) (0.869)
Consumer Staples............. (10.711) (13.433)
</TABLE>
7
<PAGE> 10
U.S. FIXED INCOME MARKET OVERVIEW
--------------------------------------------------------------------------------
The six-month period ended April 30, 2000 was an event-filled time for the
fixed income markets. The period began with Y2K on the horizon and with market
participants generally sitting by the sidelines. Fed watchers were kept busy
interpreting signals from Alan Greenspan as economic growth continued. In
November, the Federal Reserve Bank raised the fed funds rate by 25 basis points
to 5.50%. Shortly thereafter, as Y2K proved itself a non-event and the economy
leapt forward, Greenspan maintained the steady pace of Fed tightenings raising
rates to 6.00%, by the end of April.
Unfortunately, the Federal Reserve Banks' tightening activity was only one
of the events that kept the markets on their toes. In January, the U.S. Treasury
announced that, as a result of budget surpluses, they would reduce new treasury
debt issuance and would repurchase outstanding debt. In an effort to shorten the
average life of outstanding debt, the Treasury stated that it would focus its
efforts in the 15 to 30 year sector of the U.S. Treasury yield curve. Therefore,
investors flocked into this sector of the curve and caused the yield curve to
invert.
[CHART]
<TABLE>
<CAPTION>
10/31/1999 4/30/2000
---------- ---------
<S> <C> <C>
5.08 5.81
5.27 6.10
5.38 6.19
1 Yr. 5.41 6.15
5.50 6.28
5.59 6.41
5.69 6.54
5.78 6.67
5.80 6.66
5.81 6.65
5.82 6.64
5.83 6.63
5.85 6.62
5.86 6.61
5.87 6.60
5.89 6.58
5.90 6.57
5.91 6.56
5.92 6.55
5 Yr. 5.94 6.54
5.94 6.52
5.95 6.51
5.95 6.49
5.95 6.48
5.96 6.46
5.96 6.44
5.97 6.43
5.97 6.41
5.97 6.39
5.98 6.38
5.98 6.36
5.99 6.35
5.99 6.33
6.00 6.31
6.00 6.30
6.00 6.28
6.01 6.26
6.01 6.25
6.02 6.23
10 Yr. 6.02 6.22
6.02 6.21
6.02 6.21
6.03 6.21
6.03 6.20
6.03 6.20
6.03 6.20
6.03 6.19
6.03 6.19
6.04 6.19
6.04 6.18
6.04 6.18
6.04 6.18
6.04 6.17
6.04 6.17
6.05 6.17
6.05 6.17
6.05 6.16
6.05 6.16
6.05 6.16
6.06 6.15
6.06 6.15
6.06 6.15
6.06 6.14
6.06 6.14
6.06 6.14
6.07 6.13
6.07 6.13
6.07 6.13
6.07 6.12
6.07 6.12
6.07 6.12
6.08 6.11
6.08 6.11
6.08 6.11
6.08 6.11
6.08 6.10
6.09 6.10
6.09 6.10
6.09 6.09
6.09 6.09
6.09 6.09
6.09 6.08
6.10 6.08
6.10 6.08
6.10 6.07
6.10 6.07
6.10 6.07
6.10 6.06
6.11 6.06
6.11 6.06
6.11 6.05
6.11 6.05
6.11 6.05
6.12 6.05
6.12 6.04
6.12 6.04
6.12 6.04
6.12 6.03
6.12 6.03
6.13 6.03
6.13 6.02
6.13 6.02
6.13 6.02
6.13 6.01
6.13 6.01
6.14 6.01
6.14 6.00
6.14 6.00
6.14 6.00
6.14 5.99
6.15 5.99
6.15 5.99
6.15 5.99
6.15 5.98
6.15 5.98
6.15 5.98
6.16 5.97
6.16 5.97
6.16 5.97
30 Yr. 6.16 5.96
</TABLE>
(source: Bloomberg)
Additionally, as a result of the U.S. Treasury's actions, yield spreads
between treasury and non-treasury securities in those sectors widened
substantially. In fact, spreads widened beyond the levels reached during the
Asian crisis of 1998.
[GRAPH]
<TABLE>
<S> <C>
---------- ---
APRIL 2000 159.00
164.00
169.00
163.00
158.00
148.00
143.00
139.00
131.00
136.00
128.00
122.00
120.00
111.00
109.00
113.00
114.00
113.00
January 2000 113.00
113.00
112.00
110.00
112.00
113.00
116.00
113.00
116.00
117.00
119.00
122.00
128.00
126.00
127.00
136.00
142.00
133.00
131.00
133.00
135.00
129.00
131.00
119.00
118.00
120.00
125.00
122.00
124.00
123.00
120.00
118.00
107.00
102.00
107.00
106.00
104.00
104.00
105.00
100.00
97.00
99.00
102.00
99.00
93.00
95.00
98.00
104.00
January 1999 110.00
108.00
101.00
110.00
101.00
128.00
118.00
128.00
83.00
78.00
70.00
64.00
66.00
66.00
75.00
68.00
66.00
73.00
52.00
50.00
48.00
49.00
50.00
52.00
January 1997 60.00
54.00
56.00
60.00
</TABLE>
The last major event during this period was an announcement, again from the
Treasury Department that the government is considering altering its policy
towards Government Sponsored Entity (GSE) protection. Currently, in the event of
financial crisis, the GSEs may request certain assistance from the federal
government. The government believes that such policies may lead to unrealistic
expectations on behalf of investors. Given the increase in GSE debt outstanding,
the government is, once again, attempting to address its exposure. As a result
of market uncertainty, spreads in the government agency sector widened
substantially.
Overall, the fixed-income markets provided a wide variety of returns during
the six-month period ended April 30, 2000. Despite rising short-term rates, the
treasury sector produced the highest total returns due to the yield curve
inversion. The remaining spread sectors were a distant second with corporates
producing the lowest total returns, as they were the most adversely affected by
rising rates and widening spreads. Additionally, in response to the Fed's
efforts to slow economic growth, higher credit quality sectors outperformed the
lower quality sectors.
<TABLE>
<CAPTION>
TOTAL RETURNS
---------------------
PERIODS ENDED
APRIL 30, 2000
---------------------
SECTOR 6 MONTH 12 MONTH
------ ------- --------
<S> <C> <C>
US Treasury....................... 2.58% 2.23%
US Agency......................... 1.16% 1.19%
Mortgage Backed................... 1.26% 1.85%
Corporate......................... 0.11% (1.01)%
Asset Backed...................... 1.49% 2.39%
CREDIT RATING
-------------
Aaa............................... 0.82% (0.07)%
Aa................................ 0.53% (0.03)%
A................................. 0.31% (0.93)%
Baa............................... (0.58)% (1.93)%
</TABLE>
(source: Lehman Brothers)
8
<PAGE> 11
PERFORMANCE OVERVIEW
--------------------------------------------------------------------------------
AMERICAN AADVANTAGE
INTERMEDIATE BOND FUND (SM)
[AMR INVESTMENTS LOGO]
[BHMS LOGO]
<TABLE>
<S> <C>
AMR Investments 49.3%
Barrow, Hanley, Mawhinney 50.7%
</TABLE>
During the six-month period ended April 30, 2000 the Intermediate Bond Fund
returned 0.60% for the AMR Class and Institutional Class and 0.25% for the
PlanAhead Class. The Fund underperformed the Lipper Intermediate Investment
Grade Debt Index return of 0.99%, due to an underweight position in intermediate
and long-term U.S. Treasury securities. These treasury sectors produced the
highest total returns throughout the period as the yield curve inverted and
spreads widened. Spread represents the yield difference between treasury and
non-treasury securities. In addition, spreads widened in response to the Fed's
effort to slow the economy by aggressively raising interest rates. As such, the
fund's overweight position in non-treasury sectors, including corporates and
mortgagees, caused the fund to underperform. Overall, the cycle of rising
interest rates in the intermediate sector appears to be slowing down, thus
periods of negative fixed-income returns should be behind us.
PORTFOLIO STATISTICS AS OF APRIL 30, 2000
<TABLE>
<CAPTION>
FUND LEHMAN AGGREGATE
------- ----------------
<S> <C> <C>
Average Credit Quality Aa2 Aa1
Weighted Average Duration 4.8yrs 4.9yrs
Weighted Average Coupon 7.4% 6.9%
</TABLE>
TOP TEN HOLDINGS AS OF APRIL 30, 2000
<TABLE>
<CAPTION>
% OF NET ASSETS
---------------
<S> <C>
FNMA Pool #458001 4.4%
FNMA Pool #458000 4.0%
Fed Hm. Ln. P.C. E00669 3.7%
Penney, J.C. Inc. 3.5%
Federal Natl. Mtg. Assn. Mtn. 3.5%
FNMA Pool #100293 2.8%
United States Treas. Bds. 2.7%
Fed Hm. Ln. P.C. C26472 2.5%
Ford Mtr. Cr. Co. 2.4%
FNMA Pool #100292 2.3%
</TABLE>
AMERICAN AADVANTAGE
SHORT-TERM BOND FUND(SM)
[AMR INVESTMENTS LOGO]
<TABLE>
<S> <C>
AMR Investments 100%
</TABLE>
During the six-month period ended April 30, 2000 the Short-Term Bond Fund
returned 1.68% for the AMR Class, 1.66% for the Institutional Class and 1.53%
for the PlanAhead Class. Overall, the Fund slightly underperformed the Linked
Lipper Investment Grade benchmark return of 1.68%, due to an underweight
position in U.S. Treasury securities. The Fund maintained an overweight position
in higher yielding non-treasury securities, which underperformed other
short-term sectors during the period. Treasuries produced the highest total
returns throughout the period due to widening "yield spreads" across all
sectors. "Yield spread" represents the yield difference between treasury and
non-treasury securities.
PORTFOLIO STATISTICS AS OF APRIL 30, 2000
<TABLE>
<CAPTION>
FUND MERRILL LYNCH 1-3YR
------- -------------------
<S> <C> <C>
Average Credit Quality Aa1 Aaa
Weighted Average Duration 2.0yrs 1.7yrs
Weighted Average Coupon 6.9% 6.3%
</TABLE>
TOP TEN HOLDINGS AS OF APRIL 30, 2000
<TABLE>
<CAPTION>
% OF NET ASSETS
---------------
<S> <C>
GNMA Pool #780173 7.1%
Lehman Brothers Hldgs. Inc. 5.0%
Quebec Prov. Cda. 4.8%
Fort James Corp. 4.7%
Heller Finl. Inc. Mtn. Bk. Ent. 4.7%
Citibank Cr. Card. Master Tr. I 4.6%
Ford Cr. Auto Owner Tr. 4.6%
Philip Morris Cos. Inc. 4.5%
Union Oil Co. Calif. 4.2%
Fed. Hm. Ln. P.C. #E44213 3.9%
</TABLE>
9
<PAGE> 12
AMERICAN AADVANTAGE FUNDS
STATEMENTS OF ASSETS AND LIABILITIES
April 30, 2000 (unaudited)
--------------------------------------------------------------------------------
<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...................... $ 880,473 $ 1,053,228 $ 73,138 $ 1,457,206 $ 47,555 $ 63,245
Receivable for fund shares
sold....................... 6 52 1 8,872 -- 1
Receivable for expense
reimbursement.............. 1 -- -- -- -- 4
----------- ----------- ---------- ----------- ---------- ----------
TOTAL ASSETS............. 880,480 1,053,280 73,139 1,466,078 47,555 63,250
----------- ----------- ---------- ----------- ---------- ----------
LIABILITIES:
Payable for fund shares
redeemed................... 716 44 44 9,179 16 35
Accrued organization costs... -- -- -- -- 1 --
Dividends payable............ -- -- -- -- -- 10
Management fees payable (Note
2)......................... 44 13 1 157 3 17
Other liabilities............ 90 114 49 171 36 26
----------- ----------- ---------- ----------- ---------- ----------
TOTAL LIABILITIES........ 850 171 94 9,507 56 88
----------- ----------- ---------- ----------- ---------- ----------
NET ASSETS....................... $ 879,630 $ 1,053,109 $ 73,045 $ 1,456,571 $ 47,499 $ 63,162
=========== =========== ========== =========== ========== ==========
ANALYSIS OF NET ASSETS:
Paid-in-capital.............. $ 879,830 $ 1,062,841 $ 78,438 $ 1,227,357 $ 64,886 $ 76,710
Accumulated undistributed
investment income (loss)... 11,369 7,999 396 9,215 -- 15
Accumulated net realized gain
(loss)..................... (14,210) (3,727) 2,367 63,496 (15,681) (11,778)
Unrealized net appreciation
(depreciation) of
investments and futures
contracts.................. 2,641 (14,004) (8,156) 156,503 (1,706) (1,785)
----------- ----------- ---------- ----------- ---------- ----------
NET ASSETS....................... $ 879,630 $ 1,053,109 $ 73,045 $ 1,456,571 $ 47,499 $ 63,162
=========== =========== ========== =========== ========== ==========
Shares outstanding (no par
value):
Institutional Class.......... 22,901,053 5,467,371 480,572 37,004,292 855,106 465,747
=========== =========== ========== =========== ========== ==========
PlanAhead Class.............. 1,432,973 852,044 25,178 4,884,183 8,522 42,633
=========== =========== ========== =========== ========== ==========
AMR Class.................... 52,339,679 66,469,024 7,531,690 36,650,421 4,229,538 6,407,363
=========== =========== ========== =========== ========== ==========
Net asset value, offering and
redemption price per share:
Institutional Class.......... $ 11.49 $ 14.56 $ 9.09 $ 18.52 $ 9.35 $ 9.15
=========== =========== ========== =========== ========== ==========
PlanAhead Class.............. $ 11.31 $ 14.18 $ 9.09 $ 18.30 $ 9.36 $ 9.15
=========== =========== ========== =========== ========== ==========
AMR Class.................... $ 11.47 $ 14,46 $ 9.09 $ 18,61 $ 9.32 $ 9.13
=========== =========== ========== =========== ========== ==========
</TABLE>
See accompanying notes
--------------------------------------------------------------------------------
10
<PAGE> 13
AMERICAN AADVANTAGE FUNDS
STATEMENTS OF OPERATIONS (UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LARGE CAP SMALL CAP INTERNATIONAL INTERMEDIATE SHORT-TERM
BALANCED VALUE VALUE EQUITY BOND BOND
-------- --------- ---------------- ------------- ------------ ----------
SIX MONTHS ENDED APRIL 30, 2000
-----------------------------------------------------------------------------------
(IN THOUSANDS)
<S> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME ALLOCATED FROM
PORTFOLIO:
Interest income.............. $13,855 $ 1,143 $ 237 $ 3,529 $ 5,527 $ 2,416
Dividend income (net of
foreign taxes of $50, $91
and $2,119 in Balanced,
Large Cap Value and
International Equity
Portfolios,
respectively).............. 7,442 16,661 554 12,038 -- --
Income derived from
securities lending, net.... 143 53 17 265 86 --
Income derived from
commission recapture....... 22 48 1 37 -- --
Portfolio expenses (net of
reimbursement of $21 for
the Small Cap Value Fund).. (1,506) (1,904) (243) (2,857) (240) (96)
-------- --------- ------- -------- -------- -------
NET INVESTMENT INCOME
ALLOCATED FROM
PORTFOLIO.............. 19,956 16,001 566 13,012 5,373 2,320
-------- --------- ------- -------- -------- -------
FUND EXPENSES:
Administrative service fees
(Note 2):
Institutional Class........ 172 28 3 780 144 6
PlanAhead Class............ 24 18 -- 90 1 1
Transfer agent fees:
Institutional Class........ 7 -- -- 83 11 --
PlanAhead Class............ 7 6 -- 17 -- 1
AMR Class.................. 17 29 1 47 -- 1
Professional fees............ 11 20 1 19 2 1
Registration fees and
expenses................... 16 20 13 30 14 13
Service Fees -- PlanAhead
Class (Note 2)............. 24 18 -- 90 1 1
Other expenses............... 31 51 5 41 11 3
-------- --------- ------- -------- -------- -------
TOTAL FUND EXPENSES...... 309 190 23 1,197 184 27
-------- --------- ------- -------- -------- -------
Less reimbursement of
fund expenses (Note
2)..................... -- -- 23 -- -- 1
-------- --------- ------- -------- -------- -------
Net fund expenses........ 309 190 -- 1,197 184 26
-------- --------- ------- -------- -------- -------
NET INVESTMENT INCOME............ 19,647 15,811 566 11,815 5,189 2,294
-------- --------- ------- -------- -------- -------
REALIZED AND UNREALIZED GAIN
(LOSS) ALLOCATED FROM
PORTFOLIO:
Net realized gain (loss) on
investments, futures
contracts and foreign
currency transactions...... (13,124) 2,395 2,429 71,567 (12,112) (577)
Change in net unrealized
appreciation or
depreciation of
investments, futures
contracts, and foreign
currency translations...... (25,617) (83,002) (1,037) (8,622) 6,835 (580)
-------- --------- ------- -------- -------- -------
NET GAIN (LOSS) ON
INVESTMENTS............ (38,741) (80,607) 1,392 62,945 (5,277) (1,157)
-------- --------- ------- -------- -------- -------
NET INCREASE (DECREASE) IN NET
ASSETS RESULTING FROM
OPERATIONS..................... $(19,094) $(64,796) $ 1,958 $ 74,760 $ (88) $ 1,137
======== ========= ======= ======== ======== =======
</TABLE>
See accompanying notes
--------------------------------------------------------------------------------
11
<PAGE> 14
AMERICAN AADVANTAGE FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
BALANCED LARGE CAP VALUE
------------------------- -------------------------
SIX MONTHS SIX MONTHS
ENDED ENDED
APRIL 30, YEAR ENDED APRIL 30, YEAR ENDED
2000 OCTOBER 31, 2000 OCTOBER 31,
(UNAUDITED) 1999 (UNAUDITED) 1999
----------- ----------- ----------- -----------
(IN THOUSANDS)
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income................................... $ 19,647 $ 40,685 $ 15,811 $ 38,042
Net realized gain (loss) on investments, futures,
contracts and foreign currency transactions........... (13,124) 59,690 2,395 220,458
Change in net unrealized appreciation or depreciation of
investments, futures, contracts and foreign currency
translations.......................................... (25,617) (89,410) (83,002) (202,512)
----------- ----------- ----------- -----------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS........................................ (19,094) 10,965 (64,796) 55,988
----------- ----------- ----------- -----------
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Institutional Class................................... (5,437) (4,851) (425) (3,324)
PlanAhead Class....................................... (881) (1,276) (624) (680)
AMR Class............................................. (34,604) (32,289) (36,251) (36,457)
Net realized gain on investments:
Institutional Class................................... (8,250) (11,656) (3,773) (18,859)
PlanAhead Class....................................... (1,500) (3,360) (4,420) (4,305)
AMR Class............................................. (49,148) (71,876) (209,116) (175,479)
----------- ----------- ----------- -----------
NET DISTRIBUTIONS TO SHAREHOLDERS................... (99,820) (125,308) (254,609) (239,104)
----------- ----------- ----------- -----------
CAPITAL SHARE TRANSACTIONS:
Proceeds from sales of shares........................... 193,541 154,703 124,734 294,285
Reinvestment of dividends and distributions............. 99,537 124,968 252,788 238,847
Cost of shares redeemed................................. (297,741) (235,337) (454,500) (772,411)
----------- ----------- ----------- -----------
NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL
SHARE TRANSACTIONS................................ (4,663) 44,334 (76,978) (239,279)
----------- ----------- ----------- -----------
NET INCREASE (DECREASE) IN NET ASSETS....................... (123,577) (70,009) (396,383) (422,395)
----------- ----------- ----------- -----------
NET ASSETS:
Beginning of period..................................... 1,003,207 1,073,216 1,449,492 1,871,887
----------- ----------- ----------- -----------
END OF PERIOD*.......................................... $ 879,630 $1,003,207 $1,053,109 $ 1,449,492
=========== =========== =========== ===========
* Includes undistributed net investment income of....... $ 11,369 $ 32,644 $ 7,999 $ 29,488
=========== =========== =========== ===========
</TABLE>
See accompanying notes
--------------------------------------------------------------------------------
12
<PAGE> 15
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SMALL CAP VALUE INTERNATIONAL EQUITY INTERMEDIATE BOND SHORT-TERM BOND
-------------------------- ------------------------- ------------------------- -------------------------
SIX MONTHS SIX MONTHS SIX MONTHS SIX MONTHS
ENDED DECEMBER 31, ENDED ENDED YEAR ENDED ENDED
APRIL 30, 1998 TO APRIL 30, YEAR ENDED APRIL 30, TO APRIL 30, YEAR ENDED
2000 OCTOBER 31, 2000 OCTOBER 31, 2000 OCTOBER 31, 2000 OCTOBER 31,
(UNAUDITED) 1999 (UNAUDITED) 1999 (UNAUDITED) 1999 (UNAUDITED) 1999
----------- ------------ ----------- ----------- ----------- ----------- ----------- -----------
(IN THOUSANDS)
<S> <C> <C> <C> <C> <C> <C> <C>
$ 566 $ 316 $ 11,815 $ 23,610 $ 5,189 $ 13,992 $ 2,294 $ 6,040
2,429 1,150 71,567 104,779 (12,112) (3,529) (577) (1,984)
(1,037) (7,119) (8,622) 74,457 6,835 (12,515) (580) (1,464)
-------- -------- ----------- ---------- ---------- --------- -------- ---------
1,958 (5,653) 74,760 202,846 (88) (2,052) 1,137 2,592
-------- -------- ----------- ---------- ---------- --------- -------- ---------
(10) -- (9,596) (8,848) (3,644) (12,413) (157) (737)
-- -- (795) (885) (27) (95) (23) (146)
(476) -- (11,730) (11,220) (1,518) (1,484) (2,114) (5,375)
(39) -- (50,293) (12,587) -- (5,683) -- --
(1) -- (5,090) (1,378) -- (3) -- --
(1,172) -- (53,828) (14,358) -- -- -- --
-------- -------- ----------- ---------- ---------- --------- -------- ---------
(1,698) -- (131,332) (49,276) (5,189) (19,678) (2,294) (6,258)
-------- -------- ----------- ---------- ---------- --------- -------- ---------
20,559 87,288 774,486 910,810 32,366 175,425 8,875 26,934
1,697 -- 124,734 46,261 5,163 19,685 1,499 6,064
(16,324) (14,782) (651,195) (796,386) (238,171) (98,832) (19,494) (73,124)
-------- -------- ----------- ---------- ---------- --------- -------- ---------
5,932 72,506 248,025 (160,685) (200,642) 96,278 (9,120) 40,126
-------- -------- ----------- ---------- ---------- --------- -------- ---------
6,192 66,853 191,453 314,255 (205,919) 74,548 (10,277) (43,792)
-------- -------- ----------- ---------- ---------- --------- -------- ---------
66,853 -- 1,265,118 950,863 253,418 178,870 73,439 117,231
-------- -------- ----------- ---------- ---------- --------- -------- ---------
$ 73,045 $ 66,853 $1,456,571 $1,265,118 $ 47,499 $ 253,418 $ 63,162 $ 73,439
======== ======== =========== ========== ========== ========= ======== =========
$ 396 $ 316 $ 9,215 $ 19,521 $ -- $ -- $ 15 $ 15
======== ======== =========== ========== ========== ========= ======== =========
</TABLE>
--------------------------------------------------------------------------------
13
<PAGE> 16
AMERICAN AADVANTAGE FUNDS
NOTES TO FINANCIAL STATEMENTS
April 30, 2000 (unaudited)
--------------------------------------------------------------------------------
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
American AAdvantage Funds (the "Trust") is organized as a Massachusetts
business trust and is registered under the Investment Company Act of 1940, as
amended, as a no load, open-end management investment company. 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 (99.69%,
99.43%, 99.91%, 95.00%, 99.48% and 98.64% at April 30, 2000 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.
--------------------------------------------------------------------------------
14
<PAGE> 17
AMERICAN AADVANTAGE FUNDS
NOTES TO FINANCIAL STATEMENTS -- CONTINUED
April 30, 2000 (unaudited)
--------------------------------------------------------------------------------
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
--------------------------------------------------------------------------------
15
<PAGE> 18
AMERICAN AADVANTAGE FUNDS
NOTES TO FINANCIAL STATEMENTS -- CONTINUED
April 30, 2000 (unaudited)
--------------------------------------------------------------------------------
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 six months ended April 30, 2000, the Manager waived service fees
totaling $591 and $187 for the Plan Ahead Class of the Short-Term Bond Fund and
Small Cap Value Fund, respectively.
Other
Certain officers or trustees of the Trust are also current or former
officers or employees of the Manager or American.
--------------------------------------------------------------------------------
16
<PAGE> 19
AMERICAN AADVANTAGE FUNDS
NOTES TO FINANCIAL STATEMENTS -- CONTINUED
April 30, 2000 (unaudited)
--------------------------------------------------------------------------------
3. CAPITAL SHARE TRANSACTIONS
The tables below summarize the activity in capital shares for each Class of
the Funds (in thousands):
Six Months Ended April 30, 2000
<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................................. 12,950 $ 148,084 467 $ 5,657 3,413 $ 39,800
Reinvestment of dividends................... 1,200 13,533 202 2,252 7,445 83,752
Shares redeemed............................. (1,971) (21,908) (1,015) (11,550) (23,118) (264,283)
------- --------- ------ --------- ------- ---------
Net increase (decrease) in capital shares
outstanding............................... 12,179 $ 139,709 (346) $ (3,641) (12,260) $(140,731)
======= ========= ====== ========= ======= =========
</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................................. 5,615 $ 80,452 886 $ 14,573 2,029 $ 29,709
Reinvestment of dividends................... 221 3,156 306 4,265 17,304 245,367
Shares redeemed............................. (2,778) (46,009) (1,432) (20,934) (26,604) (387,557)
------- --------- ------ --------- ------- ---------
Net increase (decrease) in capital shares
outstanding............................... 3,058 $ 37,599 (240) $ (2,096) (7,271) $(112,481)
======= ========= ====== ========= ======= =========
</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................................. 346 $ 2,985 76 $ 687 1,877 $ 16,887
Reinvestment of dividends................... 6 49 0 2 186 1,646
Shares redeemed............................. (104) (957) (59) (541) (1,656) (14,826)
------- --------- ------ --------- ------- ---------
Net increase in capital shares
outstanding............................... 248 $ 2,077 17 $ 148 407 $ 3,707
======= ========= ====== ========= ======= =========
</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................................. 22,220 $ 419,620 10,535 $ 195,041 8,292 $ 159,825
Reinvestment of dividends................... 2,845 53,490 306 5,685 3,474 65,559
Shares redeemed............................. (19,156) (365,077) (9,125) (170,515) (6,077) (115,603)
------- --------- ------ --------- ------- ---------
Net increase in capital shares
outstanding............................... 5,909 $ 108,033 1,716 $ 30,211 5,689 $ 109,781
======= ========= ====== ========= ======= =========
</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................................. 1,921 $ 18,194 29 $ 276 1,472 $ 13,896
Reinvestment of dividends................... 386 3,641 3 26 159 1,496
Shares redeemed............................. (22,872) (215,014) (184) (1,735) (2,273) (21,422)
------- --------- ------ --------- ------- ---------
Net decrease in capital shares
outstanding............................... (20,565) $(193,179) (152) $ (1,433) (642) $ (6,030)
======= ========= ====== ========= ======= =========
</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................................. 400 $ 3,683 131 $ 1,210 432 $ 3,982
Reinvestment of dividends................... 10 91 2 17 152 1,391
Shares redeemed............................. (485) (4,464) (266) (2,461) (1,366) (12,569)
------- --------- ------ --------- ------- ---------
Net decrease in capital shares
outstanding............................... (75) $ (690) (133) $ (1,234) (782) $ (7,196)
======= ========= ====== ========= ======= =========
</TABLE>
--------------------------------------------------------------------------------
17
<PAGE> 20
AMERICAN AADVANTAGE FUNDS
NOTES TO FINANCIAL STATEMENTS -- CONTINUED
April 30, 2000 (unaudited)
--------------------------------------------------------------------------------
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>
<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>
--------------------------------------------------------------------------------
18
<PAGE> 21
AMERICAN EAGLE LOGO
--------------------------------------------------------------------------------
19
<PAGE> 22
AMERICAN AADVANTAGE BALANCED FUND
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout the period)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INSTITUTIONAL CLASS
-------------------------------------------------------------------------
SIX MONTHS
ENDED
APRIL 30, YEAR ENDED OCTOBER 31,
2000(A F) ----------------------------------------------------------
(UNAUDITED) 1999(A) 1998(A) 1997(A) 1996(A B) 1995(A C)
----------- -------- -------- -------- --------- ---------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period.................. $ 13.01 $ 14.56 $ 16.18 $ 15.14 $ 13.95 $ 12.36
----------- -------- -------- -------- -------- --------
Income from investment operations:
Net investment income.............................. 0.26 0.50(E) 0.51(E) 0.63(E) 0.59(E) 0.54
Net gains (losses) on securities (both realized and
unrealized)...................................... (0.49) (0.39)(E) 0.76(E) 2.16(E) 1.61(E) 1.71
----------- -------- -------- -------- -------- --------
Total from investment operations...................... (0.23) 0.11 1.27 2.79 2.20 2.25
----------- -------- -------- -------- -------- --------
Less distributions:
Dividends from net investment income............... (0.51) (0.49) (0.63) (0.59) (0.57) (0.52)
Distributions from net realized gains on
securities....................................... (0.78) (1.17) (2.26) (1.16) (0.44) (0.14)
----------- -------- -------- -------- -------- --------
Total distributions................................... (1.29) (1.66) (2.89) (1.75) (1.01) (0.66)
----------- -------- -------- -------- -------- --------
Net asset value, end of period........................ $ 11.49 $ 13.01 $ 14.56 $ 16.18 $ 15.14 $ 13.95
=========== ======== ======== ======== ======== ========
Total return.......................................... (1.55)% 0.53% 9.04% 20.04% 16.46% 19.39%
=========== ======== ======== ======== ======== ========
Ratios and supplemental data:
Net assets, end of period (in thousands)........... $ 263,023 $139,519 $145,591 $148,176 $298,009 $249,913
Ratios to average net assets (annualized):
Expenses....................................... 0.61%(E) 0.59%(E) 0.59%(E) 0.60%(E) 0.62%(E) 0.63%
Net investment income.......................... 4.10%(E) 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)......................... 68% 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.
(F) GSB Investment Management, Inc. was removed as an investment adviser to the
Balanced Fund on March 1, 2000.
--------------------------------------------------------------------------------
20
<PAGE> 23
AMERICAN AADVANTAGE BALANCED FUND
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout the period)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PLANAHEAD CLASS AMR CLASS
----------------------------------------------------------------- -----------
SIX MONTHS SIX MONTHS
ENDED ENDED
APRIL 30, YEAR ENDED OCTOBER 31, APRIL 30,
2000(A F) --------------------------------------------------- 2000(A F)
(UNAUDITED) 1999(A) 1998(A) 1997(A) 1996(A B) 1995(A C) (UNAUDITED)
----------- ------- ------- ------- --------- --------- -----------
<S> <C> <C> <C> <C> <C> <C>
$ 12.79 $ 14.35 $ 16.03 $ 15.03 $ 13.90 $12.35 $ 13.02
------- ------- ------- ------- ------- ------ --------
0.24(E) 0.44(E) 0.47(E) 0.63(E) 0.57(E) 0.54 0.27(E)
(0.48)(E) (0.39)(E) 0.75(E) 2.10(E) 1.56(E) 1.67 (0.49)(E)
------- ------- ------- ------- ------- ------ --------
(0.24) 0.05 1.22 2.73 2.13 2.21 (0.22)
------- ------- ------- ------- ------- ------ --------
(0.46) (0.44) (0.64) (0.57) (0.56) (0.52) (0.55)
(0.78) (1.17) (2.26) (1.16) (0.44) (0.14) (0.78)
------- ------- ------- ------- ------- ------ --------
(1.24) (1.61) (2.90) (1.73) (1.00) (0.66) (1.33)
------- ------- ------- ------- ------- ------ --------
$ 11.31 $ 12.79 $ 14.35 $ 16.03 $ 15.03 $13.90 $ 11.47
======= ======= ======= ======= ======= ====== ========
(1.81)% 0.22% 8.73% 19.75% 16.01% 19.06% (1.50)%
======= ======= ======= ======= ======= ====== ========
$16,201 $22,753 $40,717 $34,354 $18,000 $5,450 $600,406
0.92%(E) 0.90%(E) 0.89%(E) 0.90%(E) 0.97%(E) 0.99% 0.35%(E)
3.77%(E) 3.21%(E) 3.23%(E) 3.52%(E) 3.64%(E) 3.70% 4.36%(E)
-- -- -- -- -- 0.10% --
68% 90% 87% 105% 76% 73% 68%
<CAPTION>
AMR CLASS
----------- ------------------------------------------------------
SIX MONTHS
ENDED
APRIL 30, YEAR ENDED OCTOBER 31,
2000(A F) ------------------------------------------------------
(UNAUDITED) 1999(A) 1998(A) 1997(A) 1996(A B) 1995(A C)
----------- -------- -------- -------- --------- ---------
<S> <C> <C> <C> <C> <C>
$ 12.79 $ 14.57 $ 16.23 $ 15.18 $ 13.98 $ 12.36
------- -------- -------- -------- -------- --------
0.24(E) 0.54(E) 0.55(E) 0.70(E) 0.63(E) 0.58
(0.48) (0.39)(E) 0.76(E) 2.13(E) 1.61(E) 1.71
------- -------- -------- -------- -------- --------
(0.24) 0.15 1.31 2.83 2.24 2.29
------- -------- -------- -------- -------- --------
(0.46) (0.53) (0.71) (0.62) (0.60) (0.53)
(0.78) (1.17) (2.26) (1.16) (0.44) (0.14)
------- -------- -------- -------- -------- --------
(1.24) (1.70) (2.97) (1.78) (1.04) (0.67)
------- -------- -------- -------- -------- --------
$ 11.31 $ 13.02 $ 14.57 $ 16.23 $ 15.18 $ 13.98
======= ======== ======== ======== ======== ========
(1.81)% 0.83% 9.34% 20.36% 16.77% 19.77%
======= ======== ======== ======== ======== ========
$16,201 $840,935 $886,908 $769,289 $576,673 $542,619
0.92%(E) 0.34%(E) 0.33%(E) 0.34%(E) 0.37%(E) 0.38%
3.77%(E) 3.81%(E) 3.79%(E) 4.09%(E) 4.26%(E) 4.54%
-- -- -- -- -- --
68% 90% 87% 105% 76% 73%
</TABLE>
--------------------------------------------------------------------------------
21
<PAGE> 24
AMERICAN AADVANTAGE LARGE CAP VALUE FUND
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout the period)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INSTITUTIONAL CLASS
---------------------------------------------------------------------
SIX MONTHS
ENDED
APRIL 30, YEAR ENDED OCTOBER 31,
2000(A F) -------------------------------------------------------
(UNAUDITED) 1999(A E) 1998(A) 1997(A) 1996(A B) 1995(A)
----------- ----------- -------- -------- --------- -------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period.............. $ 18.69 $ 20.93 $ 21.63 $ 18.50 $ 15.91 $ 14.19
------- ------- -------- -------- ------- -------
Income from investment operations:
Net investment income............................ 0.15(D) 0.38(D) 0.40(D) 0.42(D) 0.42(D) 0.41
Net gains (losses) on securities (both realized
and unrealized)................................ (0.89)(D) 0.04(D) 0.89(D) 4.43(D) 3.15(D) 2.28
------- ------- -------- -------- ------- -------
Total from investment operations.................. (0.74) 0.42 1.29 4.85 3.57 2.69
------- ------- -------- -------- ------- -------
Less distributions:
Dividends from net investment income............. (0.34) (0.40) (0.41) (0.41) (0.41) (0.43)
Distributions from net realized gains on
securities..................................... (3.05) (2.26) (1.58) (1.31) (0.57) (0.54)
------- ------- -------- -------- ------- -------
Total distributions............................... (3.39) (2.66) (1.99) (1.72) (0.98) (0.97)
------- ------- -------- -------- ------- -------
Net asset value, end of period.................... $ 14.56 $ 18.69 $ 20.93 $ 21.63 $ 18.50 $ 15.91
======= ======= ======== ======== ======= =======
Total return...................................... (3.60)% 1.72% 6.28% 28.05% 23.37% 20.69%
======= ======= ======== ======== ======= =======
Ratios and supplemental data:
Net assets, end of period (in thousands)......... $79,619 $45,039 $216,548 $200,887 $81,183 $71,608
Ratios to average net assets (annualized):
Expenses....................................... 0.59%(D) 0.59%(D) 0.59%(D) 0.57%(D) 0.61%(D) 0.62%(D)
Net investment income.......................... 2.45%(D) 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)....................... 38% 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.
(F) GSB Investment Management, Inc. was removed as an investment advisor to the
Large Cap Value Fund on March 1, 2000.
--------------------------------------------------------------------------------
22
<PAGE> 25
AMERICAN ADVANTAGE GROWTH AND INCOME FUND
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout the period)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PLAN AHEAD CLASS AMR CLASS
----------------------------------------------------------------- -------------------------------------
SIX MONTHS SIX MONTHS
ENDED ENDED
APRIL 30, YEAR ENDED OCTOBER 31, APRIL 30, YEAR ENDED OCTOBER 31,
2000(A F) --------------------------------------------------- 2000(A F) -----------------------
(UNAUDITED) 1999(A E) 1998(A) 1997(A) 1996(A B) 1995(A) (UNAUDITED) 1999(A E) 1998(A)
----------- --------- ------- ------- --------- ------- ----------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
$ 18.41 $ 20.67 $ 21.38 $ 18.33 $ 15.81 $ 14.17 $ 18.77 $ 21.03 $ 21.70
------- ------- ------- ------- ------- ------- -------- ---------- ----------
0.24(D) 0.35(D) 0.35(D) 0.35(D) 0.39(D) 0.40 0.25(D) 0.49(D) 0.46(D)
(0.99)(D) 0.01(D) 0.86(D) 4.39(D) 3.10(D) 2.22 (0.98)(D) (0.02)(D) 0.89(D)
------- ------- ------- ------- ------- ------- -------- ---------- ----------
(0.75) 0.36 1.21 4.74 3.49 2.62 (0.73) 0.47 1.35
------- ------- ------- ------- ------- ------- -------- ---------- ----------
(0.43) (0.36) (0.34) (0.38) (0.40) (0.44) (0.53) (0.47) (0.44)
(3.05) (2.26) (1.58) (1.31) (0.57) (0.54) (3.05) (2.26) (1.58)
------- ------- ------- ------- ------- ------- -------- ---------- ----------
(3.48) (2.62) (1.92) (1.69) (0.97) (0.98) (3.58) (2.73) (2.02)
------- ------- ------- ------- ------- ------- -------- ---------- ----------
$ 14.18 $ 18.41 $ 20.67 $ 21.38 $ 18.33 $ 15.81 $ 14.46 $ 18.77 $ 21.03
======= ======= ======= ======= ======= ======= ======== ========== ==========
(3.73)% 1.41% 5.94% 27.64% 22.98% 20.14% (3.53)% 1.97% 6.56%
======= ======= ======= ======= ======= ======= ======== ========== ==========
$12,081 $20,095 $40,907 $29,684 $16,084 $ 4,821 $961,409 $1,384,358 $1,614,432
0.92%(D) 0.90%(D) 0.86%(D) 0.93%(D) 0.94%(D) 0.99% 0.35%(D) 0.34%(D) 0.31%(D)
2.11%(D) 1.62%(D) 1.58%(D) 1.85%(D) 2.16%(D) 2.23% 2.74%(D) 2.17%(D) 2.12%(D)
-- -- -- -- 0.02% 0.09% -- -- --
38% 33% 40% 35% 40% 26% 38% 33% 40%
<CAPTION>
AMR CLASS
----------- ----------------------------------
SIX MONTHS
ENDED
APRIL 30, YEAR ENDED OCTOBER 31,
2000(A F) ----------------------------------
(UNAUDITED) 1997(A) 1996(A B) 1995(A)
----------- ---------- ---------- --------
<S> <C> <C> <C>
$ 18.41 $ 18.56 $ 15.95 $ 14.20
------- ---------- ---------- --------
0.24(D) 0.45(D) 0.47(D) 0.44
(0.99) 4.47(D) 3.15(D) 2.30
------- ---------- ---------- --------
(0.75) 4.92 3.62 2.74
------- ---------- ---------- --------
(0.43) (0.47) (0.44) (0.45)
(3.05) (1.31) (0.57) (0.54)
------- ---------- ---------- --------
(3.48) (1.78) (1.01) (0.99)
------- ---------- ---------- --------
$ 14.18 $ 21.70 $ 18.56 $ 15.95
======= ========== ========== ========
(3.73)% 28.40% 23.66% 21.03%
======= ========== ========== ========
$12,081 $1,431,805 $1,008,518 $706,884
0.92%(D) 0.34%(D) 0.36%(D) 0.38%
2.11%(D) 2.45%(D) 2.80%(D) 3.20%
-- -- -- --
38% 35% 40% 26%
</TABLE>
--------------------------------------------------------------------------------
23
<PAGE> 26
AMERICAN AADVANTAGE SMALL CAP VALUE FUND
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout the period)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INSTITUTIONAL CLASS PLANAHEAD CLASS AMR CLASS
---------------------------------- --------------------------------- ---------------------------------
SIX MONTHS SIX MONTHS SIX MONTHS
ENDED DECEMBER 31, 1998 ENDED ENDED
APRIL 30, 2000 TO APRIL 30, 2000 MARCH 1 TO APRIL 30, 2000 MARCH 1 TO
(UNAUDITED) OCTOBER 31, 1999 (UNAUDITED) OCTOBER 31, 1999 (UNAUDITED) OCTOBER 31, 1999
-------------- ----------------- -------------- ---------------- -------------- ----------------
<S> <C> <C> <C> <C> <C> <C>
Net asset value,
beginning of period.... $ 9.07 $10.00 $ 9.05 $9.13 9.08 $ 9.13
------ ------ ------ ----- ------- -------
Income from investment
operations:
Net investment
income(A)............ 0.02 0.07 0.04 0.02 0.08 0.04
Net gains (losses) on
securities (both
realized and
unrealized)(A)....... 0.21 (1.00) 0.19 (0.10) 0.17 (0.09)
------ ------ ------ ----- ------- -------
Total from investment
operations............. 0.23 (0.93) 0.23 (0.08) 0.25 (0.05)
------ ------ ------ ----- ------- -------
Less distributions:
Dividends from net
investment income.... (0.04) -- (0.02) -- (0.07) --
Distributions from net
realized gains on
securities........... (0.17) -- (0.17) -- (0.17) --
------ ------ ------ ----- ------- -------
Total distributions..... (0.21) -- (0.19) -- (0.24) --
------ ------ ------ ----- ------- -------
Net asset value, end of
period................. $ 9.09 $ 9.07 $ 9.09 $9.05 $ 9.09 $ 9.08
====== ====== ====== ===== ======= =======
Total return (not
annualized)............ 2.61% (9.30)% 2.59% (0.88)% 2.77% (0.55)%
====== ====== ====== ===== ======= =======
Ratios and supplemental
data:
Net assets, end of
period (in
thousands)........... $4,369 $2,117 $ 229 $ 74 $68,447 $64,662
Ratios to average net
assets
(annualized)(A):
Expenses............. 0.94% 0.96% 1.19% 1.28% 0.70% 0.70%
Net investment
income............. 1.39% 0.84% 1.35% 0.57% 1.65% 1.14%
Decrease reflected in
above expense ratio
due to absorption
of expenses by the
Manager............ 31% 1.23% 31% 0.18% 31% 0.24%
Portfolio Turnover
Rate(B)............ 0.13% 31% 0.14% 31% 0.12% 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.
--------------------------------------------------------------------------------
24
<PAGE> 27
AMERICAN EAGLE LOGO
--------------------------------------------------------------------------------
25
<PAGE> 28
AMERICAN AADVANTAGE INTERNATIONAL EQUITY FUND
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout the period)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INSTITUTIONAL CLASS
----------------------------------------------------------------------
SIX MONTHS
ENDED
APRIL 30, YEAR ENDED OCTOBER 31,
2000 -------------------------------------------------------
(UNAUDITED) 1999(A B) 1998(A) 1997(A) 1996(A) 1995(A)
----------- --------- -------- -------- ------- -------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period..................... $ 19.36 $ 16.93 $ 17.08 $ 15.01 $ 13.29 $ 12.87
-------- -------- -------- -------- ------- -------
Income from investment operations:
Net investment income................................. 0.16(D) 0.35(D) 0.33(D) 0.34(D) 0.28(D) 0.27
Net gains on securities (both realized and
unrealized)......................................... 0.95(D) 2.92(D) 0.34(D) 2.44(D) 1.95(D) 0.68
-------- -------- -------- -------- ------- -------
Total from investment operations......................... 1.11 3.27 0.67 2.78 2.23 0.95
-------- -------- -------- -------- ------- -------
Less distributions:
Dividends from net investment income.................. (0.31) (0.35) (0.34) (0.30) (0.27) (0.21)
Distributions from net realized gains on securities... (1.64) (0.49) (0.48) (0.41) (0.24) (0.32)
-------- -------- -------- -------- ------- -------
Total distributions...................................... (1.95) (0.84) (0.82) (0.71) (0.51) (0.53)
-------- -------- -------- -------- ------- -------
Net asset value, end of period........................... $ 18.52 $ 19.36 $ 16.93 $ 17.08 $ 15.01 $ 13.29
======== ======== ======== ======== ======= =======
Total return............................................. 5.61% 19.98% 4.19% 19.08% 17.27% 7.90%
======== ======== ======== ======== ======= =======
Ratios and supplemental data:
Net assets, end of period (in thousands).............. $685,168 $601,923 $408,581 $231,793 $62,992 $25,757
Ratios to average net assets (annualized):
Expenses.......................................... 0.70%(D) 0.64%(D) 0.80%(D) 0.83%(D) 0.85%(D) 0.85%
Net investment income............................. 1.55%(D) 2.00%(D) 2.05%(D) 2.35%(D) 2.19%(D) 2.37%
Portfolio turnover rate(C)............................ 26% 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.
--------------------------------------------------------------------------------
26
<PAGE> 29
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PLANAHEAD CLASS AMR CLASS
--------------------------------------------------------------- ------------------------------------
SIX MONTHS SIX MONTHS
ENDED ENDED
APRIL 30, YEAR ENDED OCTOBER 31, APRIL 30, YEAR ENDED OCTOBER 31,
2000 ------------------------------------------------- 2000 --------------------
(UNAUDITED) 1999(A B) 1998(A) 1997(A) 1996(A) 1995(A) (UNAUDITED) 1999(A B) 1998(A)
----------- --------- ------- ------- ------- ------- ------------- --------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
$ 19.13 $ 16.75 $ 16.92 $ 14.90 $ 13.20 $12.85 $ 19.46 $ 17.01 $ 17.15
------- ------- ------- ------- ------- ------ -------- -------- --------
0.13(D) 0.30(D) 0.31(D) 0.30(D) 0.26(D) 0.24 0.19(D) 0.39(D) 0.37(D)
0.94(D) 2.89(D) 0.31(D) 2.41(D) 1.92(D) 0.64 0.96(D) 2.94(D) 0.34(D)
------- ------- ------- ------- ------- ------ -------- -------- --------
1.07 3.19 0.62 2.71 2.18 0.88 1.15 3.33 0.71
------- ------- ------- ------- ------- ------ -------- -------- --------
(0.26) (0.32) (0.31) (0.28) (0.24) (0.21) (0.36) (0.39) (0.37)
(1.64) (0.49) (0.48) (0.41) (0.24) (0.32) (1.64) (0.49) (0.48)
------- ------- ------- ------- ------- ------ -------- -------- --------
(1.90) (0.81) (0.79) (0.69) (0.48) (0.53) (2.00) (0.88) (0.85)
------- ------- ------- ------- ------- ------ -------- -------- --------
$ 18.30 $ 19.13 $ 16.75 $ 16.92 $ 14.90 $13.20 $ 18.61 $ 19.46 $ 17.01
======= ======= ======= ======= ======= ====== ======== ======== ========
5.42% 19.68% 3.94% 18.71% 16.95% 7.37% 5.76% 20.27% 4.44%
======= ======= ======= ======= ======= ====== ======== ======== ========
$89,396 $60,602 $46,242 $20,075 $ 7,138 $1,456 $682,007 $602,593 $496,040
0.98%(D) 0.93%(D) 1.08%(D) 1.14%(D) 1.17%(D) 1.33% 0.44%(D) 0.39%(D) 0.53%(D)
1.41%(D) 1.71%(D) 1.72%(D) 1.95%(D) 1.76%(D) 2.08% 1.85%(D) 2.25%(D) 2.26%(D)
26% 63% 24% 15% 19% 21% 26% 63% 24%
<CAPTION>
AMR CLASS
----------- ------------------------------
SIX MONTHS
ENDED
APRIL 30, YEAR ENDED OCTOBER 31,
2000 ------------------------------
(UNAUDITED) 1997(A) 1996(A) 1995(A)
----------- -------- -------- --------
<S> <C> <C> <C>
$ 19.13 $ 15.06 $ 13.31 $ 12.87
------- -------- -------- --------
0.13(D) 0.37(D) 0.31(D) 0.30
0.94(D) 2.46(D) 1.98(D) 0.68
------- -------- -------- --------
1.07 2.83 2.29 0.98
------- -------- -------- --------
(0.26) (0.33) (0.30) (0.32)
(1.64) (0.41) (0.24) (0.32)
------- -------- -------- --------
(1.90) (0.74) (0.54) (0.54)
------- -------- -------- --------
$ 18.30 $ 17.15 $ 15.06 $ 13.31
======= ======== ======== ========
5.42% 19.39% 17.72% 8.18%
======= ======== ======== ========
$89,396 $464,588 $330,898 $227,939
0.98%(D) 0.58%(D) 0.57%(D) 0.60%
1.41%(D) 2.51%(D) 2.49%(D) 2.65%
26% 15% 19% 21%
</TABLE>
--------------------------------------------------------------------------------
27
<PAGE> 30
AMERICAN AADVANTAGE INTERMEDIATE BOND FUND
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout the period)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INSTITUTIONAL CLASS
-------------------------------------------------
SIX MONTHS
ENDED SEPTEMBER 15,
APRIL 30, YEAR ENDED TO
2000 OCTOBER 31, OCTOBER 31,
(UNAUDITED) 1999 1998 1997
----------- -------- -------- -------------
<S> <C> <C> <C> <C>
Net asset value, beginning of period........................ $ 9.58 $ 10.50 $ 10.17 $ 10.00
------ -------- -------- --------
Income from investment operations:
Net investment income(A).................................. 0.29 0.56 0.59 0.07
Net gains (losses) on securities (both realized and
unrealized)(A).......................................... (0.23) (0.63) 0.34 0.17
------ -------- -------- --------
Total from investment operations............................ 0.06 (0.07) 0.93 0.24
------ -------- -------- --------
Less distributions:
Dividends from net investment income...................... (0.29) (0.56) (0.59) (0.07)
Distributions from net realized gains on securities....... -- (0.29) (0.01) --
------ -------- -------- --------
Total distributions......................................... (0.29) (0.85) (0.60) (0.07)
------ -------- -------- --------
Net asset value, end of period.............................. $ 9.35 $ 9.58 $ 10.50 $ 10.17
====== ======== ======== ========
Total return (not annualized)............................... 0.60% (0.83)% 9.37% 2.41%
====== ======== ======== ========
Ratios and supplemental data:
Net assets, end of period (in thousands).................. $7,997 $205,218 $178,840 $216,249
Ratios to average net assets (annualized)(A):
Expenses................................................ 0.58% 0.55% 0.57% 0.59%
Net investment income................................... 6.34% 5.62% 5.74% 5.63%
Portfolio turnover rate(B)................................ 48% 123% 181% 47%
</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.
--------------------------------------------------------------------------------
28
<PAGE> 31
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PLAN AHEAD CLASS AMR CLASS
--------------------------------------- -------------------------
SIX MONTHS SIX MONTHS
ENDED YEAR MARCH 2 ENDED MARCH 1
APRIL 30, ENDED TO APRIL 30, TO
2000 OCTOBER 31, OCTOBER 31, 2000 OCTOBER 31,
(UNAUDITED) 1999 1998 (UNAUDITED) 1999
----------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C>
$ 9.63 $10.55 $10.25 $ 9.58 $ 9.95
------ ------ ------ ------- -------
0.29 0.53 0.37 0.32 0.39
(0.27) (0.63) 0.30 (0.26) (0.37)
------ ------ ------ ------- -------
0.02 (0.10) 0.67 0.06 0.02
------ ------ ------ ------- -------
(0.29) (0.53) (0.37) (0.32) (0.39)
-- (0.29) -- -- --
------ ------ ------ ------- -------
(0.29) (0.82) (0.37) (0.32) (0.39)
------ ------ ------ ------- -------
$ 9.36 $ 9.63 $10.55 $ 9.32 $ 9.58
====== ====== ====== ======= =======
0.25% (0.98)% 6.63% 0.60% (0.17)%
====== ====== ====== ======= =======
$ 80 $1,545 $ 30 $39,422 $46,655
0.87% 0.85% 0.86% 0.37% 0.30%
6.09% 5.32% 5.21% 6.72% 6.12%
48% 123% 181% 48% 123%
</TABLE>
--------------------------------------------------------------------------------
29
<PAGE> 32
AMERICAN AADVANTAGE SHORT-TERM BOND FUND
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout the period)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INSTITUTIONAL CLASS
-------------------------------------------------------------------
SIX MONTHS
ENDED
APRIL 30, YEAR ENDED OCTOBER 31,
2000 ----------------------------------------------------
(UNAUDITED) 1999 1998(A) 1997 1996 1995
----------- ------ ------- ------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period........ $ 9.30 $ 9.63 $ 9.63 $ 9.68 $ 9.82 $ 9.67
------ ------ ------- ------- -------- --------
Income from investment operations:
Net investment income................... 0.29(C) 0.53(C) 0.62(C) 0.64(C) 0.62(C) 0.62
Net gains (losses) on securities (both
realized and unrealized).............. (0.14)(C) (0.29)(C) --(C) (0.05)(C) (0.14)(C) 0.15
------ ------ ------- ------- -------- --------
Total from investment operations............ 0.15 0.24 0.62 0.59 0.48 0.77
------ ------ ------- ------- -------- --------
Less distributions:
Dividends from net investment income.... (0.30) (0.57) (0.62) (0.64) (0.62) (0.62)
Distributions from net realized gains on
securities............................ -- -- -- -- -- --
------ ------ ------- ------- -------- --------
Total distributions......................... (0.30) (0.57) (0.62) (0.64) (0.62) (0.62)
------ ------ ------- ------- -------- --------
Net asset value, end of period.............. $ 9.15 $ 9.30 $ 9.63 $ 9.63 $ 9.68 $ 9.82
====== ====== ======= ======= ======== ========
Total return................................ 1.66% 2.56% 6.60% 6.29% 5.10% 8.18%
====== ====== ======= ======= ======== ========
Ratios and supplemental data:
Net assets, end of period (in
thousands)............................ $4,259 $5,034 $18,453 $22,947 $108,929 $137,293
Ratios to average net assets
(annualized):
Expenses................................ 0.58%(C) 0.62%(C) 0.65%(C) 0.57%(C) 0.60%(C) 0.60%
Net investment income................... 6.55%(C) 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).............. 27% 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.
--------------------------------------------------------------------------------
30
<PAGE> 33
AMERICAN AADVANTAGE SHORT-TERM BOND FUND
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout the period)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PLANAHEAD CLASS AMR CLASS
--------------------------------------------------------- -------------------------------------------------------------
SIX MONTHS SIX MONTHS
ENDED ENDED
APRIL 30, YEAR ENDED OCTOBER 31, APRIL 30, YEAR ENDED OCTOBER 31,
2000 ------------------------------------------- 2000 -----------------------------------------------
(UNAUDITED) 1999 1998(A) 1997 1996 1995 (UNAUDITED) 1999 1998(A) 1997 1996 1995
----------- ------ ------- ------ ------ ------ ----------- ------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
$ 9.30 $ 9.64 $ 9.63 $ 9.68 $ 9.82 $ 9.68 $ 9.29 $ 9.62 $ 9.62 $ 9.67 $ 9.81 $ 9.68
------ ------ ------ ------ ------ ------ ------- ------- ------- ------- ------- -------
0.27(C) 0.54(C) 0.60(C) 0.61(C) 0.60(C) 0.59 0.31(C) 0.59(C) 0.65(C) 0.66(C) 0.65(C) 0.64
(0.13)(C) (0.33)(C) 0.01(C) (0.05)(C)(0.14)(C) 0.14 (0.16)(C) (0.33)(C) --(C) (0.05)(C) (0.14)(C) 0.13
------ ------ ------ ------ ------ ------ ------- ------- ------- ------- ------- -------
0.14 0.21 0.61 0.56 0.46 0.73 0.15 0.26 0.65 0.61 0.51 0.77
------ ------ ------ ------ ------ ------ ------- ------- ------- ------- ------- -------
(0.29) (0.55) (0.60) (0.61) (0.60) (0.59) (0.31) (0.59) (0.65) (0.66) (0.65) (0.64)
-- -- -- -- -- -- -- -- -- -- -- --
------ ------ ------ ------ ------ ------ ------- ------- ------- ------- ------- -------
(0.29) (0.55) (0.60) (0.61) (0.60) (0.59) (0.31) (0.59) (0.65) (0.66) (0.65) (0.64)
------ ------ ------ ------ ------ ------ ------- ------- ------- ------- -------
$ 9.15 $ 9.30 $ 9.64 $ 9.63 $ 9.68 $ 9.82 $ 9.13 $ 9.29 $ 9.62 $ 9.62 $ 9.67 $ 9.81
====== ====== ====== ====== ====== ====== ======= ======= ======= ======= ======= =======
1.53% 2.21% 6.50% 6.01% 4.83% 7.83% 1.68% 2.83% 6.93% 6.57% 5.38% 8.22%
====== ====== ====== ====== ====== ====== ======= ======= ======= ======= ======= =======
$ 390 $1,638 $3,722 $5,096 $3,399 $1,576 $58,513 $66,767 $95,056 $64,010 $59,526 $64,595
0.85%(C) 0.84%(C) 0.85%(C) 0.85%(C) 0.85%(C) 0.83% 0.34%(C) 0.35%(C) 0.34%(C) 0.32%(C) 0.33%(C) 0.36%
6.21%(C) 5.75%(C) 6.24%(C) 6.36%(C) 6.11%(C) 6.16% 6.81% 6.26%(C) 6.71%(C) 6.90%(C) 6.66%(C) 6.60%
0.15% 0.09% 0.08% 0.05% 0.09% 0.23% -- -- -- -- -- --
27% 115% 74% 282% 304% 183% 27% 115% 74% 282% 304% 183%
</TABLE>
--------------------------------------------------------------------------------
31
<PAGE> 34
AMR INVESTMENT SERVICES BALANCED PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
AMOUNT VALUE
-------- -----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
U.S. TREASURY OBLIGATIONS - 7.14%
U.S. TREASURY NOTES - 2.10%
3.625%, Due 7/15/2002............ $ 2,118 $ 2,114
6.25%, Due 8/31/2002............. 2,000 1,980
6.25%, Due 2/15/2003............. 4,000 3,960
5.75%, Due 8/15/2003............. 3,400 3,314
5.875%, Due 2/15/2004............ 160 156
6.625%, Due 5/15/2007............ 6,495 6,540
6.50%, Due 2/15/2010............. 500 510
----------
TOTAL U.S. TREASURY NOTES.... 18,574
----------
U.S. TREASURY BONDS - 5.04%
10.75%, Due 2/15/2003............ 2,560 2,821
10.375%, Due 11/15/2012.......... 5,130 6,248
8.125%, Due 8/15/2019............ 6,285 7,548
6.375%, Due 8/15/2027............ 8,475 8,663
6.125%, Due 11/15/2027........... 1,020 1,009
5.25%, Due 2/15/2029............. 2,050 1,802
7.75%, Due 4/15/2029............. 5,722 5,736
6.125%, Due 8/15/2029............ 6,000 6,015
6.25%, Due 5/15/2030............. 4,500 4,677
----------
TOTAL U.S. TREASURY BONDS.... 44,519
----------
TOTAL U.S. TREASURY
OBLIGATIONS................ 63,093
----------
U.S. AGENCY MORTGAGE-BACKED OBLIGATIONS - 8.42%
FEDERAL HOME LOAN MORTGAGE CORPORATION - 5.02%
6.04%, Due 6/20/2000............. 5,000 4,950
5.75%, Due 6/15/2001............. 7,005 6,925
5.25%, Due 4/25/2002............. 4,015 3,880
5.13%, Due 9/15/2003............. 4,220 3,960
6.875%, Due 1/15/2005............ 3,850 3,790
5.85%, Due 1/22/2008............. 1,000 913
5.82%, Due 3/30/2009............. 1,000 901
6.625%, Due 9/15/2009............ 1,620 1,543
6.50%, Due 3/25/2011............. 1,750 1,715
6.00%, Due 3/1/2013.............. 520 488
6.00%, Due 5/1/2014.............. 1,869 1,753
6.793%, Due 2/1/2027............. 2,401 2,368
6.50%, Due 5/1/2029.............. 2,409 2,251
6.50%, Due 6/1/2029.............. 388 363
6.50%, Due 7/1/2029.............. 4,565 4,267
8.00%, Due 4/1/2030.............. 4,285 4,285
----------
TOTAL FEDERAL HOME LOAN
MORTGAGE CORPORATION....... 44,352
----------
FEDERAL NATIONAL MORTGAGE ASSOCIATION - 2.36%
Discount Note, Zero Coupon,
7/27/00........................ 5,000 4,925
</TABLE>
<TABLE>
<CAPTION>
PAR
AMOUNT VALUE
-------- -----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
Series 1989-21 G, 10.45%,
Due 4/25/2019.................. $ 68 $ 72
Pool # 306505, 8.00%, Due
3/1/2025....................... 323 323
Pool # 323706, 7.00%, Due
4/1/2029....................... 1,774 1,746
TBA, 6.50%, Due 12/1/2099........ 4,280 4,096
TBA, 7.00%, Due 12/1/2099........ 7,400 7,082
TBA, 8.00%, Due 12/1/2099........ 2,600 2,598
----------
TOTAL FEDERAL
NATIONAL MORTGAGE
ASSOCIATION................ 20,842
----------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION - 1.04%
Pool # 491467, 6.50%, Due
5/15/2029...................... 490 459
TBA, 8.00%, Due 12/1/2099........ 6,600 6,612
TBA, 6.00%, Due 12/15/2099....... 1,130 1,107
TBA, 7.50%, Due 12/15/2099....... 1,055 1,038
----------
TOTAL GOVERNMENT NATIONAL
MORTGAGE ASSOCIATION....... 9,216
----------
TOTAL U.S. AGENCY
MORTGAGE-BACKED
OBLIGATIONS................ 74,410
----------
ASSET-BACKED SECURITIES - 1.37%
Amresco Commercial Mortgage
Funding I, Series 1997-C1 A3,
7.19%, Due 6/17/2029........... 1,510 1,461
Asset Securitization Corporation,
Series 1997-D5 A1C, 6.75%,
Due 2/14/2041.................. 1,760 1,657
Chase Commercial Mortgage
Securities Corporation, Series
1997-1 A2, 7.37%,
Due 2/19/2007.................. 1,100 1,081
Commercial Mortgage Asset Trust,
7.546%, Due 12/17/2009......... 2,000 1,968
Firstplus Home Loan Owner Trust,
6.32%, Due 8/10/2016........... 3,000 2,941
LB Commercial Conduit Mortgage
Trust, 6.21%, Due 10/15/2008... 2,440 2,214
Securitized Multiple Asset,
7.72%, Due 4/15/2005........... 1,624 383
Structured Asset Securities
Corporation.................... 394 395
----------
TOTAL ASSET-BACKED
SECURITIES................. 12,100
----------
NON-AGENCY MORTGAGE-BACKED OBLIGATIONS - 1.25%
CitiCorp Mortgage Securities,
Incorporated,
6.92%, Due 8/25/2027........... 54 54
</TABLE>
See accompanying notes
--------------------------------------------------------------------------------
32
<PAGE> 35
AMR INVESTMENT SERVICES BALANCED PORTFOLIO
SCHEDULE OF INVESTMENTS -- CONTINUED
April 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
AMOUNT VALUE
-------- -----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
Credit Suisse First Boston
Mortgage,
6.91%, Due 1/15/2008........... $ 672 $ 651
7.24%, Due 6/20/2029........... 400 385
CountryWide, Incorporated,
8.25%, Due 5/25/2010........... 426 430
7.50%, Due 7/25/2011........... 377 373
CWMBS Incorporated, 4.80%,
Due 4/25/2028.................. 807 789
DLJ Mortgage Acceptance
Corporation, 4.56%,
Due 3/25/2024.................. 52 52
Green Tree Financial Corporation,
7.00%, Due 10/15/2027.......... 575 575
6.68%, Due 1/15/2029........... 1,150 1,137
Home Equity Loan Trust,
6.223%, Due 6/25/2011.......... 860 845
The Money Store Home Equity
Trust,
7.66%, Due 8/15/2026........... 1,500 1,440
Mortgage Capital Funding,
Incorporated,
6.758%, Due 2/20/2004.......... 563 550
Nomura Asset Securities
Corporation,
8.15%, Due 4/4/2027............ 2,500 2,524
Residential Funding Mortgage
Securities I,
6.78%, Due 7/25/2010........... 880 871
6.35%, Due 8/25/2023........... 9 9
Southern Pacific Secured Asset
Trust,
6.27%, Due 3/25/2019........... 350 345
----------
TOTAL NON-AGENCY
MORTGAGE-BACKED
OBLIGATIONS................ 11,030
----------
CORPORATE BONDS - 20.97%
BANKS - 1.94%
Amsouth Bancorporation,
6.125%, Due 3/1/2009........... 2,000 1,729
Bank of America Corporation,
7.80%, Due 2/15/2010........... 830 828
BankBoston Corporation MTN,
6.125%, Due 3/15/2002.......... 1,540 1,496
Capital One Bank MTN,
7.08%, Due 10/30/2001.......... 1,000 991
Chase Manhattan Corporation,
8.625%, Due 5/1/2002........... 850 865
6.00%, Due 11/1/2005........... 850 784
CitiCorp, Incorporated,
7.125%, Due 5/15/2006.......... 1,170 1,138
Citigroup, Incorporated,
6.875%, Due 2/15/2098.......... 1,360 1,119
First Union Corporation,
6.95%, Due 11/1/2004........... 840 817
</TABLE>
<TABLE>
<CAPTION>
PAR
AMOUNT VALUE
-------- -----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
Firstar Corporation,
6.50%, Due 7/15/2002........... $ 1,000 $ 974
7.125%, Due 12/1/2009.......... 790 746
Inter-American Development Bank,
5.375%, Due 11/18/2008......... 1,280 1,121
PNC Funding Corporation,
6.125%, Due 9/1/2003........... 1,520 1,452
6.875%, Due 7/15/2007.......... 1,000 936
Wells Fargo & Company,
6.625%, Due 8/15/2001.......... 900 870
6.78%, Due 2/2/2005............ 1,400 1,397
----------
TOTAL BANKS.................. 17,263
----------
FINANCE - 6.52%
All State Corporation,
7.20%, Due 12/1/2009........... 2,045 1,926
Associates Corporation of North
America,
6.00%, Due 4/15/2003........... 2,000 1,913
CNA Financial Corporation,
6.95%, Due 1/15/2018........... 1,675 1,295
Countrywide Funding
Corporation, MTN,
6.85%, Due 6/15/2004........... 2,135 2,056
Caterpillar Financial Services,
Corporation,
7.34%, Due 9/30/2003........... 2,525 2,505
Credit Suisse First Boston,
6.48%, Due 4/11/2030........... 2,500 2,305
CS First Boston Mortgage
Securities Corporation,
6.60%, Due 6/15/2027........... 2,600 2,554
EOP Operating Limited
Partnership, 144a,
6.38%, Due 2/15/2012 (Note
A)............................. 1,120 1,089
Ford Motor Credit Company,
5.75%, Due 2/23/2004........... 2,125 1,985
6.11%, Due 6/7/2000............ 5,000 4,969
7.75%, Due 2/15/2007........... 1,225 1,219
7.375%, Due 10/28/2009......... 775 751
GATX Capital Corporation,
7.75%, Due 12/1/2006........... 800 764
General Electric Capital
Corporation,
7.375%, Due 9/15/2004.......... 1,000 999
8.625%, Due 6/15/2008.......... 1,000 1,064
General Motors Acceptance
Corporation,
5.625%, Due 2/15/2001.......... 3,645 3,601
7.48%, Due 2/28/2003........... 1,700 1,692
7.75%, Due 1/19/2010........... 1,775 1,761
Goldman Sachs Group,
Incorporated,
7.80%, Due 1/28/2010........... 1,100 1,083
</TABLE>
See accompanying notes
--------------------------------------------------------------------------------
33
<PAGE> 36
AMR INVESTMENT SERVICES BALANCED PORTFOLIO
SCHEDULE OF INVESTMENTS -- CONTINUED
April 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
AMOUNT VALUE
-------- -----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
Household Finance Corporation,
6.50%, Due 11/15/2008.......... $ 2,485 $ 2,248
6.00%, Due 5/1/2004............ 700 656
Lehman Brothers Holdings,
Incorporated,
6.50%, Due 10/1/2002........... 530 514
7.75%, Due 1/15/2005........... 830 817
Merrill Lynch & Company,
Incorporated,
6.00%, Due 2/12/2003........... 1,000 961
Merrill Lynch Mortgage Investors,
Incorporated,
7.12%, Due 6/18/2029........... 660 637
The Money Store Trust,
7.55%, Due 2/15/2020........... 1,087 1,085
Morgan Stanley Group,
7.125%, Due 1/15/2003.......... 1,200 1,186
Paine Webber Group,
Incorporated MTN,
7.74%, Due 1/30/2012........... 2,200 2,091
PMI Group, Incorporated,
6.75%, Due 11/15/2006.......... 2,000 1,876
Provident Companies,
Incorporated,
7.25%, 3/15/2028............... 2,645 2,228
Simon Property Group,
Incorporated, 144a,
6.625%, Due 6/15/2003 (Note
A)............................. 1,675 1,585
Textron Financial Corporation,
7.125%, Due 12/9/2004.......... 850 831
Transamerica Finance
Corporation MTN,
6.125%, Due 11/01/2001......... 2,475 2,420
7.25%, Due 8/15/2002........... 2,285 2,265
US West Capital Funding,
Incorporated,
6.875%, Due 8/15/2001.......... 650 646
----------
TOTAL FINANCE................ 57,577
----------
FOREIGN - 2.62%
Foreningsbk Kredit,
6.656%, Due 12/29/2049......... 3,250 3,245
Korea Development Bank,
7.125%, Due 9/17/2001.......... 1,000 988
7.625%, Due 10/1/2002.......... 2,000 1,972
LG-Caltex Oil Corporation,
7.14%, Due 10/29/2001.......... 1,500 1,499
Nordbanken AB MTN,
6.412%, Due 10/29/2049......... 3,000 2,976
Osuuspankkien Kesk,
6.012%, Due 9/29/2049.......... 1,750 1,743
Pohang Iron & Steel, Limited,
7.50%, Due 8/1/2002............ 1,200 1,173
</TABLE>
<TABLE>
<CAPTION>
PAR
AMOUNT VALUE
-------- -----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
Province of Quebec,
5.75%, Due 2/15/2009........... $ 1,750 $ 1,552
7.50%, Due 7/15/2023........... 880 862
7.50%, Due 9/15/2029........... 720 701
Rio Tinto Canada, Incorporated,
6.00%, Due 8/26/2003........... 2,865 2,716
Skandinaviska Enskilda Banken,
6.594%, Due 6/29/2049.......... 3,800 3,735
----------
TOTAL FOREIGN................ 23,162
----------
INDUSTRIAL - 7.47%
Akzo Nobel, Incorporated,
6.00%, Due 11/15/2003.......... 2,880 2,704
Albertsons, Incorporated,
6.375%, Due 6/1/2000........... 1,000 999
Amerada Hess Corporation, 7.875%,
Due 10/1/2029.................. 665 621
Ashland, Incorporated,
6.72%, Due 3/7/2003............ 1,800 1,794
Atlantic Richfield Corporation,
9.125%, Due 3/1/2011........... 1,425 1,585
Bemis, Incorporated,
6.70%, Due 7/1/2005............ 1,000 963
Boise Cascade Office Products
Company,
7.05%, Due 5/15/2005........... 795 743
Capital Cities ABC, Incorporated,
8.875%, Due 12/15/2000......... 1,000 1,008
Coca Cola Company,
6.625%, Due 10/1/2002.......... 1,000 979
Comdisco, Incorporated,
5.95%, Due 4/30/2002........... 840 808
Conoco, Incorporated,
6.95%, Due 4/15/2029........... 1,945 1,746
Crown Cork & Seal, Incorporated,
7.125%, Due 9/1/2002........... 2,500 2,387
DaimlerChrysler North America,
7.20%, Due 9/1/2009............ 1,150 1,109
E.I. DuPont de Nemours & Company,
6.75%, Due 10/15/2002.......... 1,000 986
Exxon Corporation,
7.45%, Due 12/15/2001.......... 1,000 1,004
Federated Department Stores,
Incorporated,
6.79%, Due 7/15/2027........... 1,425 1,359
Ford Motor Company,
9.00%, Due 9/15/2001........... 1,000 1,017
6.63%, Due 10/1/2028........... 1,430 1,217
General Motors Corporation,
6.75%, Due 5/01/2028........... 1,200 1,042
Hershey Foods Corporation, 6.95%,
Due 3/1/2007................... 1,000 967
Ingersoll Rand Company,
6.34%, Due 12/3/2001........... 2,100 2,058
</TABLE>
See accompanying notes
--------------------------------------------------------------------------------
34
<PAGE> 37
AMR INVESTMENT SERVICES BALANCED PORTFOLIO
SCHEDULE OF INVESTMENTS -- CONTINUED
April 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
AMOUNT VALUE
-------- -----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
Kroger Company,
8.05%, Due 2/1/2010............ $ 410 $ 396
Liberty Media Corporation,
8.25%, 2/1/2030................ 1,500 1,398
Lockheed Martin Corporation,
8.20%, Due 12/1/2009........... 1,825 1,786
8.50%, Due 12/1/2029........... 435 428
May Department Stores Company,
7.625%, 8/15/2013.............. 1,890 1,855
McDonalds Corporation MTN, 6.50%,
Due 8/1/2007................... 1,000 952
Merck & Company, Incorporated,
5.95%, Due 12/1/2028........... 3,540 2,946
Motorola Incorporated,
5.80%, Due 10/15/2008.......... 2,270 2,034
News America, Incorporated,
7.125%, 4/8/2028............... 135 110
Norfolk Southern Corporation,
7.05%, Due 5/1/2037............ 1,540 1,492
Occidental Petroleum Corporation,
6.50%, Due 4/1/2005............ 1,600 1,483
Paramount Communications,
Incorporated,
5.875%, Due 7/15/2000.......... 2,140 2,134
8.25%, Due 8/1/2022............ 1,900 1,851
Petroleum Geological Services,
7.125%, Due 3/30/2028.......... 600 498
Philip Morris Companies,
Incorporated,
8.25%, Due 10/15/2003.......... 260 252
8.375%, Due 1/15/2017.......... 343 336
Praxair, Incorporated,
6.15%, Due 4/15/2003........... 3,800 3,631
Raytheon Corporation,
6.75%, Due 3/1/2002............ 425 424
5.70%, Due 11/1/2003........... 1,310 1,220
6.15%, Due 11/1/2008........... 2,160 1,863
Rite Aid Corporation, 144a,
6.00%, Due 12/15/2005
(Note A)....................... 1,250 500
Safeway, Incorporated,
5.875%, Due 11/15/2001......... 2,470 2,400
Sara Lee Corporation,
6.00%, Due 1/15/2008........... 1,200 1,095
Sysco Corporation,
7.00%, Due 5/1/2006............ 1,000 976
Time Warner, Incorporated,
6.85%, Due 1/15/2026........... 1,660 1,620
Tosco Corporation,
8.125%, 2/15/2030.............. 1,000 960
Tyco International Group, SA,
6.125%, Due 6/15/2001.......... 700 687
Viacom, Incorporated,
7.75%, Due 6/1/2005............ 1,075 1,066
</TABLE>
<TABLE>
<CAPTION>
PAR
AMOUNT VALUE
-------- -----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
Wal-Mart Stores, Incorporated,
7.55%, Due 2/15/2030........... $ 790 $ 799
Williams Companies, Incorporated,
6.50%, Due 8/1/2006............ 1,170 1,080
WMX Technologies, Incorporated,
6.65%, Due 5/15/2005........... 600 599
----------
TOTAL INDUSTRIAL............. 65,967
----------
TRANSPORTATION - 0.59%
CNF Transportation,
Incorporated................... 1,445 1,425
CSX Corporation,
6.25%, Due 10/15/2008.......... 1,985 1,739
NWA Trust,
11.30%, Due 6/21/2014.......... 1,842 2,031
----------
TOTAL TRANSPORTATION......... 5,195
----------
UTILITY - 1.82%
AT&T Corporation,
6.50%, Due 3/15/2029........... 1,135 964
BellSouth Capital Funding
Corporation,
7.875%, Due 2/15/2030.......... 1,475 1,483
Cox Communications, Incorporated,
7.00%, Due 8/15/2001........... 800 791
El Paso Energy Corporation,
6.625%, Due 7/15/2001.......... 280 276
Electric Lightwave, Incorporated,
6.05%, Due 5/15/2004........... 2,000 1,888
FPL Goup Capital, Incorporated,
7.375%, Due 6/1/2009........... 1,200 1,150
Scana Corporation,
6.59%, Due 2/8/2002............ 1,000 999
Niagara Mohawk Power Corporation,
0.00%, Due 7/1/2010............ 2,300 1,762
KN Energy, Incorporated, 6.45%,
Due 11/30/2001................. 1,700 1,669
Sprint Capital Corporation,
6.90%, Due 5/1/2019............ 1,530 1,363
TCA Cable TV, Incorporated,
6.53%, Due 2/1/2028............ 1,400 1,283
TXU Eastern Funding Corporation,
6.45%, Due 5/15/2005........... 1,400 1,292
MCI Worldcom, Incorporated,
7.75%, Due 4/1/2007............ 500 502
6.95%, Due 8/15/2028........... 690 616
----------
TOTAL UTILITY................ 16,038
----------
TOTAL CORPORATE
BONDS...................... 185,202
----------
</TABLE>
See accompanying notes
--------------------------------------------------------------------------------
35
<PAGE> 38
AMR INVESTMENT SERVICES BALANCED PORTFOLIO
SCHEDULE OF INVESTMENTS -- CONTINUED
April 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
---------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
PREFERRED STOCK - 0.13%
Home Ownership Funding Corporation
II, Series 144a (Note A).......... 1,500 $ 1,170
-------
TOTAL PREFERRED STOCK........... 1,170
-------
COMMON STOCK - 55.61%
BASIC MATERIALS - 6.84%
ALUMINUM - 1.12%
Alcan Aluminum Limited.............. 66,000 2,161
Alcoa, Incorporated................. 20,000 1,298
Reynolds Metals Company............. 96,400 6,411
-------
TOTAL ALUMINUM
PRODUCTS...................... 9,870
-------
CHEMICALS - 2.52%
CK Witco Corporation................ 257,013 3,020
Dow Chemical Company................ 47,200 5,334
Eastman Chemical Company............ 26,900 1,407
FMC Corporation+.................... 30,200 1,757
Hercules, Incorporated.............. 119,600 1,861
Imperial Chemical Industries, PLC... 81,000 2,815
Lyondell Chemical Company........... 230,100 4,228
Millenium Chemicals, Incorporated... 90,271 1,800
-------
TOTAL CHEMICALS................. 22,222
-------
CONSTRUCTION - 0.41%
DeBeers Construction Mines,
Limited........................... 115,100 2,287
Hanson PLC, ADR..................... 36,650 1,341
-------
TOTAL CONSTRUCTION.............. 3,628
-------
PAPER & FOREST PRODUCTS - 2.43%
Champion International
Corporation....................... 47,500 3,123
Georgia Pacific Group............... 104,000 3,822
Georgia Pacific Corporation......... 53,100 1,232
International Paper Company......... 65,826 2,419
Mead Corporation.................... 159,000 5,535
Pactiv Corporation+................. 248,800 2,037
Sappi Limited....................... 180,000 1,271
Weyerhaeuser Company................ 37,800 2,020
-------
TOTAL PAPER & FOREST PRODUCTS... 21,459
-------
STEEL - 0.36%
USX-US Steel Group.................. 126,100 3,160
-------
TOTAL STEEL..................... 3,160
-------
TOTAL BASIC MATERIALS........... 60,339
-------
CAPITAL GOODS - 4.70%
AEROSPACE/DEFENSE - 1.83%
Honeywell International
Incorporated...................... 199,712 11,184
Lockheed Martin Corporation......... 52,600 1,308
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
---------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
Northrop Grumman Corporation........ 52,500 $ 3,721
-------
TOTAL
AEROSPACE/DEFENSE............. 16,213
-------
ELECTRICAL EQUIPMENT - 0.55%
Emerson Electrical Company.......... 42,600 2,338
Koninklijke Philips Electronics
NV................................ 50,960 2,274
Rockwell International
Corporation....................... 5,800 228
-------
TOTAL ELECTRICAL EQUIPMENT...... 4,840
-------
MACHINERY (DIVERSIFIED) - 0.63%
Caterpillar, Incorporated........... 25,000 986
CNH Global N.V. .................... 145,100 1,959
Deere and Company................... 65,000 2,624
-------
TOTAL MACHINERY (DIVERSIFIED)... 5,569
-------
MANUFACTURING (DIVERSIFIED) - 1.18%
Edwards Lifesciences Corporation.... 9,520 143
Harsco Corporation.................. 55,200 1,639
ITT Industries, Incorporated........ 190,400 6,009
PPG Industries, Incorporated........ 13,000 707
Tyco International Limited.......... 42,800 1,966
-------
TOTAL MANUFACTURING
(DIVERSIFIED)................. 10,464
-------
WASTE MANAGEMENT - 0.50%
Waste Management, Incorporated...... 276,879 4,395
-------
TOTAL WASTE
MANAGEMENT.................... 4,395
-------
TOTAL CAPITAL GOODS............. 41,481
-------
COMMUNICATION SERVICE - 3.75%
TELEPHONE - 3.16%
Alltel Corporation.................. 28,800 1,919
Bell Atlantic Corporation........... 48,956 2,901
BellSouth Corporation............... 52,200 2,541
GTE Corporation..................... 124,000 8,401
SBC Communications, Incorporated.... 146,348 6,412
US West, Incorporated............... 78,500 5,588
-------
TOTAL TELEPHONE................. 27,762
-------
TELEPHONE LONG DISTANCE - 0.60%
AT&T Corporation.................... 52,550 2,453
BCE, Incorporated................... 25,000 2,869
-------
TOTAL TELEPHONE LONG DISTANCE... 5,322
-------
TOTAL COMMUNICATION SERVICE..... 33,084
-------
CONSUMER STAPLES - 4.00%
BEVERAGES-ALCOHOLIC - 0.55%
Seagram Limited..................... 91,600 4,946
-------
TOTAL BEVERAGES-ALCOHOLIC....... 4,946
-------
</TABLE>
See accompanying notes
--------------------------------------------------------------------------------
36
<PAGE> 39
AMR INVESTMENT SERVICES BALANCED PORTFOLIO
SCHEDULE OF INVESTMENTS -- CONTINUED
April 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
---------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
ENTERTAINMENT - 0.14%
Fox Entertainment Group,
Incorporated...................... 49,600 $ 1,277
-------
TOTAL ENTERTAINMENT............. 1,277
-------
FOODS - 0.18%
Sara Lee Company.................... 107,000 1,605
-------
TOTAL FOODS..................... 1,605
-------
HOUSEHOLD PRODUCTS (NON-DURABLE) - 0.65%
Fort James Corporation.............. 240,800 5,764
-------
TOTAL HOUSEHOLD PRODUCTS
(NON-DURABLE)................. 5,764
-------
HOUSEWARES - 0.22%
Fortune Brands, Incorporated........ 76,800 1,920
-------
TOTAL HOUSEWARES................ 1,920
-------
PRINTING - 0.16%
DeLuxe Corporation.................. 57,800 1,456
-------
TOTAL PRINTING.................. 1,456
-------
RESTAURANTS - 0.78%
Wendy's International,
Incorporated...................... 308,300 6,898
-------
TOTAL RESTAURANTS............... 6,898
-------
TOBACCO - 1.31%
Gallaher Group PLC, ADR............. 122,400 2,249
Imperial Tobacco Group PLC.......... 96,200 1,311
Philip Morris Companies,
Incorporated...................... 364,900 7,982
-------
TOTAL TOBACCO................... 11,542
-------
TOTAL CONSUMER STAPLES.......... 35,408
-------
CONSUMER-CYCLICALS - 6.88%
AUTO PARTS & EQUIPMENT - 0.93%
Dana Corporation.................... 176,600 5,364
Delphi Automotive Systems
Corporation....................... 7,766 149
Meritor Automotive, Incorporated.... 32,200 483
Tenneco Automotive Incorporated..... 18,060 160
TRW, Incorporated................... 35,900 2,100
-------
TOTAL AUTO PARTS & EQUIPMENT.... 8,256
-------
AUTOMOBILES - 1.88%
Ford Motor Company.................. 215,200 11,769
General Motors Corporation.......... 52,000 4,868
-------
TOTAL AUTOMOBILES............... 16,637
-------
RETAIL - 2.89%
Federated Department Stores,
Incorporated+..................... 68,800 2,339
J.C. Penney Company, Incorporated... 205,400 2,837
K Mart Corporation+................. 403,400 3,278
May Department Stores Company....... 22,700 624
Sears Roebuck & Company............. 220,300 8,069
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
---------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
Target Corporation.................. 71,100 $ 4,733
Toys R Us, Incorporated+............ 237,600 3,623
-------
TOTAL RETAIL.................... 25,503
-------
SERVICES - 0.79%
Cendant Corporation+................ 150,100 2,317
Interpublic Group Companies,
Incorporated...................... 114,400 4,691
-------
TOTAL SERVICES.................. 7,008
-------
TEXTILES (APPAREL) - 0.39%
Liz Claiborne, Incorporated......... 55,000 2,547
Russell Corporation................. 43,600 856
-------
TOTAL TEXTILES (APPAREL)........ 3,403
-------
TOTAL
CONSUMER-CYCLICALS............ 60,807
-------
ENERGY - 5.37%
OIL & GAS - 2.33%
Baker Hughes, Incorporated.......... 192,600 6,127
BP Amoco P.L.C. .................... 186,304 9,501
Halliburton Company................. 88,800 3,924
Ultramar Diamond Shamrock
Corporation....................... 42,100 1,042
-------
TOTAL OIL & GAS................. 20,594
-------
OIL (DOMESTIC INTEGRATED) - 2.61%
Conoco, Incorporated................ 76,900 1,913
Occidental Petroleum Corporation.... 326,100 6,991
Phillips Petroleum Company.......... 141,100 6,693
Sunoco, Incorporated................ 13,000 394
USX Marathon Group.................. 305,000 7,110
-------
TOTAL OIL (DOMESTIC
INTEGRATED)................... 23,101
-------
OIL (INTERNATIONAL INTEGRATED) - 0.43%
Texaco, Incorporated................ 76,400 3,782
-------
TOTAL OIL (INTERNATIONAL
INTEGRATED)................... 3,782
-------
TOTAL ENERGY.................... 47,477
-------
FINANCIALS - 10.94%
BANKS - 4.32%
Bank of America Corporation......... 167,911 8,228
Bank One Corporation................ 96,567 2,945
Chase Manhattan Corporation......... 108,200 7,797
FleetBoston Financial Corporation... 181,300 6,425
First Security Corporation.......... 69,200 977
First Union Corporation............. 141,400 4,507
KeyCorp............................. 93,600 1,732
PNC Bank Corporation................ 87,700 3,826
UnionBanCal Corporation............. 13,300 368
US Bancorp.......................... 70,000 1,422
-------
TOTAL BANKS..................... 38,227
-------
</TABLE>
See accompanying notes
--------------------------------------------------------------------------------
37
<PAGE> 40
AMR INVESTMENT SERVICES BALANCED PORTFOLIO
SCHEDULE OF INVESTMENTS -- CONTINUED
April 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
---------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
CONSUMER FINANCE - 0.15%
Household International,
Incorporated...................... 33,432 $ 1,396
-------
TOTAL CONSUMER FINANCE.......... 1,396
-------
FINANCIAL (DIVERSIFIED) - 1.78%
Ace, Limited........................ 108,000 2,585
CIT Group, Incorporated............. 183,300 3,105
Citi Group, Incorporated............ 76,057 4,521
Federal National Mortgage
Association....................... 30,000 1,809
Morgan Stanley Dean Witter
Discover & Company................ 48,400 3,715
-------
TOTAL FINANCIAL (DIVERSIFIED)... 15,735
-------
INSURANCE (LIFE/HEALTH) - 1.38%
American General Corporation........ 30,300 1,697
The Hartford Financial Services
Group, Incorporated............... 28,000 1,461
Jefferson-Pilot Corporation......... 22,800 1,518
Lincoln National Corporation........ 158,200 5,507
Metlife, Incorporated............... 123,480 2,045
-------
TOTAL INSURANCE
(LIFE/HEALTH)................. 12,228
-------
INSURANCE BROKERS - 0.19%
Aon Corporation..................... 60,875 1,647
-------
TOTAL INSURANCE BROKERS......... 1,647
-------
INSURANCE - PROPERTY - CASUALTY - 1.77%
Allstate Corporation................ 273,800 6,469
MBIA, Incorporated.................. 32,000 1,582
Safeco Corporation.................. 45,700 1,011
St. Paul Companies, Incorporated.... 188,100 6,701
-------
TOTAL INSURANCE -
PROPERTY - CASUALTY........... 15,763
-------
INVESTMENT BANKING/BROKERAGE - 0.34%
Paine Webber Group,
Incorporated...................... 68,350 2,999
-------
TOTAL INVESTMENT
BANKING/BROKERAGE............. 2,999
-------
SAVINGS & LOAN COMPANIES - 0.99%
Washington Mutual, Incorporated..... 340,600 8,707
-------
TOTAL SAVINGS & LOAN
COMPANIES..................... 8,707
-------
TOTAL FINANCIALS................ 96,702
-------
HEALTH CARE - 2.76%
Abbott Laboratories................. 60,000 2,306
Aetna, Incorporated................. 13,600 787
Baxter International,
Incorporated...................... 47,600 3,100
Bristol-Myers Squibb Company........ 73,600 3,859
Eli Lilly & Company................. 64,500 4,987
Johnson & Johnson................... 32,000 2,640
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
---------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
Pfizer, Incorporated................ 83,300 $ 3,509
Pharmacia Corporation............... 37,366 1,866
Watson Pharmaceuticals,
Incorporated+..................... 30,100 1,353
-------
TOTAL HEALTH CARE............... 24,407
-------
TECHNOLOGY - 3.56%
COMPUTERS - 2.72%
ADC Telecommunications,
Incorporated...................... 27,700 1,683
BMC Software, Incorporated.......... 28,500 1,334
Computer Associates International,
Incorporated...................... 74,600 4,164
Diebold, Incorporated............... 25,000 722
First Data Corporation.............. 50,800 2,473
Ikon Office Solutions,
Incorporated...................... 164,700 968
Intel Corporation................... 24,500 3,107
International Business Machines
Corporation....................... 27,200 3,036
Lucent Technologies, Incorporated... 30,400 1,890
Seagate Technology+................. 38,100 1,936
Storage Technology
Corporation+...................... 93,000 1,209
Synopsys, Incorporated.............. 34,000 1,428
-------
TOTAL COMPUTERS................. 23,950
-------
COMMUNICATIONS EQUIPMENT - 0.37%
Motorola, Incorporated.............. 12,900 1,536
Tellabs, Incorporated............... 32,300 1,770
-------
TOTAL COMMUNICATIONS
EQUIPMENT..................... 3,306
-------
SERVICES - 0.48%
Eastman Kodak Company............... 35,000 1,958
Xerox Corporation................... 87,500 2,313
-------
TOTAL SERVICES.................. 4,271
-------
TOTAL TECHNOLOGY................ 31,527
-------
TRANSPORTATION - 0.88%
RAILROADS - 0.88%
Burlington Northern, Incorporated... 89,400 2,157
CNF Transportation, Incorporated.... 52,000 1,452
CSX Corporation..................... 127,900 2,678
Norfolk Southern Corporation........ 84,300 1,486
-------
TOTAL RAILROADS................. 7,773
-------
TOTAL TRANSPORTATION............ 7,773
-------
UTILITIES - 5.92%
ELECTRIC COMPANIES - 4.68%
Central & Southwest Corporation..... 349,100 7,571
CMS Energy Corporation.............. 50,000 950
Dominion Resources, Incorporated.... 20,844 938
DTE Energy Company.................. 123,400 4,026
Dynegy, Incorporated................ 28,600 1,872
Edison International................ 32,600 621
Entergy Corporation................. 231,100 5,879
GPU, Incorporated................... 7,500 211
Northeast Utilities................. 291,600 6,269
</TABLE>
See accompanying notes
--------------------------------------------------------------------------------
38
<PAGE> 41
AMR INVESTMENT SERVICES BALANCED PORTFOLIO
SCHEDULE OF INVESTMENTS -- CONTINUED
April 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
---------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
Potomac Electric Power Company...... 70,400 $ 1,650
PPL Corporation..................... 39,806 950
Reliant Energy, Incorporated........ 254,500 6,776
Scana Corporation................... 36,644 948
Texas Utilities Company............. 79,000 2,661
-------
TOTAL ELECTRIC
COMPANIES..................... 41,322
-------
NATURAL GAS-DISTRIBUTION-PIPE LINE - 1.24%
Equitable Resources, Incorporated... 73,200 3,395
MCN Energy Group, Incorporated...... 136,200 3,396
Peoples Energy Corporation.......... 46,000 1,429
Williams Companies, Incorporated.... 74,069 2,764
-------
TOTAL NATURAL GAS-
DISTRIBUTION-PIPE LINE........ 10,984
-------
TOTAL UTILITIES................. 52,306
-------
TOTAL COMMON STOCK.............. 491,311
-------
</TABLE>
<TABLE>
<CAPTION>
PAR
AMOUNT
------
<S> <C> <C>
SHORT-TERM INVESTMENTS - 15.91%
UNITED STATES TREASURY NOTES - 0.48%
Discount Notes,
5.69%, Due 6/15/2000 (Note B).... $ 160 159
Discount Notes,
5.65%, Due 6/15/2000 (Note B).... 3,990 3,962
</TABLE>
<TABLE>
<CAPTION>
PAR
AMOUNT VALUE
--------- -----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
Discount Notes,
5.725%, Due 6/15/2000 (Note B)... $ 150 $ 149
--------
TOTAL UNITED STATES TREASURY
NOTES........................ 4,270
</TABLE>
<TABLE>
<CAPTION>
SHARES
----------
<S> <C> <C>
OTHER SHORT-TERM INVESTMENTS - 15.43%
American Select Cash Reserve
Fund.......................... 90,711,397 90,711
AMR Investments Enhanced Yield
Business Trust................ 45,494,430 45,494
--------
TOTAL OTHER SHORT-TERM
INVESTMENTS............... 136,205
--------
TOTAL SHORT-TERM
INVESTMENTS............... 140,475
--------
TOTAL INVESTMENTS - 110.82%
(COST $978,705)............... 978,792
--------
LIABILITIES, NET OF OTHER
ASSETS - (10.82%)............. (95,595)
--------
TOTAL NET ASSETS - 100%..... $883,197
========
</TABLE>
---------------
Based on the cost of investments of $980,357 for federal income tax purposes at
April 30, 2000, the aggregate gross unrealized appreciation was $68,420, the
aggregate gross unrealized depreciation was $69,985 and the net unrealized
depreciation of investments was $1,565.
(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 $4,344 or 0.005% of net assets.
(B) At April 30, 2000, securities held as collateral for open futures contracts.
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
--------------------------------------------------------------------------------
39
<PAGE> 42
AMR INVESTMENT SERVICES LARGE CAP VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 2000 (unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
---------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
COMMON STOCK - 95.38%
BASIC MATERIALS - 11.39%
ALUMINUM - 1.53%
Alcoa, Incorporated........... 32,000 $ 2,076
Alcan Aluminum Limited........ 121,000 3,963
Reynolds Metals Company....... 152,900 10,168
----------
TOTAL ALUMINUM............ 16,207
----------
CHEMICALS - 4.26%
CK Witco Corporation.......... 451,308 5,303
Dow Chemical Company.......... 101,600 11,481
Eastman Chemical Company...... 52,000 2,720
FMC Corporation+.............. 58,800 3,421
Hercules, Incorporated........ 241,000 3,751
Imperial Chemical Industries,
PLC......................... 147,200 5,115
Lyondell Chemical Company..... 429,000 7,883
Millennium Chemicals,
Incorporated................ 203,500 4,057
PPG Industries,
Incorporated................ 25,000 1,359
----------
TOTAL CHEMICALS........... 45,090
----------
CONSTRUCTION - 0.81%
DeBeers Construction Mines,
Limited..................... 287,400 5,712
Hanson PLC, ADR............... 79,687 2,914
----------
TOTAL CONSTRUCTION........ 8,626
----------
PAPER & FOREST PRODUCTS - 4.19%
Champion International
Corporation................. 88,400 5,812
Georgia-Pacific Corporation... 371,800 11,576
International Paper Company... 140,282 5,155
Mead Corporation.............. 295,400 10,284
Pactiv Corporation+........... 601,900 4,928
Sappi Limited................. 390,000 2,754
Weyerhaeuser Company.......... 73,300 3,917
----------
TOTAL PAPER & FOREST
PRODUCTS................ 44,426
----------
STEEL - 0.60%
USX-US Steel Group............ 251,700 6,308
----------
TOTAL STEEL............... 6,308
----------
TOTAL BASIC MATERIALS..... 120,657
----------
CAPITAL GOODS - 7.89%
AEROSPACE/DEFENSE - 0.81%
Lockheed Martin Corporation... 77,500 1,928
Northrop Grumman
Corporation................. 93,700 6,641
----------
TOTAL AEROSPACE/
DEFENSE................. 8,569
----------
ELECTRICAL EQUIPMENT - 3.02%
Emerson Electrical Company.... 86,700 4,758
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
---------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
Honeywell International
Incorporated................ 402,850 $ 22,560
Koninklijke Philips
Electronics NV.............. 105,120 4,691
----------
TOTAL ELECTRICAL
EQUIPMENT............... 32,009
----------
MACHINERY (DIVERSIFIED) - 1.06%
Caterpillar, Incorporated..... 54,000 2,130
CNH Global NV................. 366,300 4,945
Deere and Company............. 103,000 4,159
----------
TOTAL MACHINERY
(DIVERSIFIED)........... 11,234
----------
MANUFACTURING (DIVERSIFIED) - 2.12%
Harsco Corporation............ 107,900 3,203
ITT Industries,
Incorporated................ 471,100 14,869
Tyco International Limited.... 94,600 4,346
----------
TOTAL MANUFACTURING
(DIVERSIFIED)........... 22,418
----------
WASTE MANAGEMENT - 0.88%
Waste Management,
Incorporated................ 587,895 9,333
----------
TOTAL WASTE MANAGEMENT.... 9,333
----------
TOTAL CAPITAL GOODS....... 83,563
----------
COMMUNICATION SERVICE - 6.68%
TELEPHONE - 5.71%
Alltel Corporation............ 56,100 3,738
Bell Atlantic Corporation..... 83,840 4,968
Bellsouth Corporation......... 105,000 5,112
GTE Corporation............... 273,600 18,536
SBC Communications,
Incorporated................ 292,122 12,799
US West, Incorporated......... 215,500 15,341
----------
TOTAL TELEPHONE........... 60,494
----------
TELEPHONE LONG DISTANCE - 0.97%
AT&T Corporation.............. 96,400 4,501
BCE, Incorporated............. 50,000 5,737
----------
TOTAL TELEPHONE LONG
DISTANCE................ 10,238
----------
TOTAL COMMUNICATION
SERVICE................. 70,732
----------
CONSUMER STAPLES - 6.92%
BEVERAGES - ALCOHOLIC - 0.99%
Seagram Limited............... 194,000 10,476
----------
TOTAL BEVERAGES -
ALCOHOLIC............... 10,476
----------
FOODS - 0.32%
Sara Lee Company.............. 228,000 3,420
----------
TOTAL FOODS............... 3,420
----------
HOUSEHOLD PRODUCTS (NON-DURABLE) - 1.10%
Fort James Corporation........ 489,600 11,720
----------
TOTAL HOUSEHOLD PRODUCTS
(NON-DURABLE)........... 11,720
----------
</TABLE>
See accompanying notes
--------------------------------------------------------------------------------
40
<PAGE> 43
AMR INVESTMENT SERVICES LARGE CAP VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS -- CONTINUED
April 30, 2000 (unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
---------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
HOUSEWARES - 0.25%
Fortune Brands,
Incorporated................ 105,800 $ 2,645
----------
TOTAL HOUSEWARES.......... 2,645
----------
RESTAURANTS - 1.45%
Wendy's International
Incorporated................ 685,100 15,329
----------
TOTAL RESTAURANTS......... 15,329
----------
PRINTING - 0.32%
DeLuxe Corporation............ 133,000 3,350
----------
TOTAL PRINTING............ 3,350
----------
TOBACCO - 2.49%
Gallaher Group PLC, ADR....... 247,200 4,542
Imperial Tobacco Group PLC.... 208,000 2,834
Philip Morris Companies,
Incorporated................ 867,800 18,983
----------
TOTAL TOBACCO............. 26,359
----------
TOTAL CONSUMER STAPLES.... 73,299
----------
CONSUMER - CYCLICALS - 11.94%
AUTO PARTS & EQUIPMENT - 1.72%
Dana Corporation.............. 393,900 11,965
Delphi Automotive Systems
Corporation................. 21,282 407
Meritor Automotive,
Incorporated................ 81,400 1,221
Tenneco Automotive
Incorporated................ 42,000 373
TRW, Incorporated............. 73,300 4,288
----------
TOTAL AUTO PARTS &
EQUIPMENT............... 18,254
----------
AUTOMOBILES - 2.99%
Ford Motor Company............ 450,500 24,637
General Motors Corporation.... 74,700 6,994
----------
TOTAL AUTOMOBILES......... 31,631
----------
LEISURE TIME (PRODUCTS) - 0.25%
Fox Entertainment Group,
Incorporated................ 104,600 2,693
----------
TOTAL LEISURE TIME
(PRODUCTS).............. 2,693
----------
RETAIL - 5.15%
Federated Department Stores,
Incorporated+............... 115,500 3,927
J.C. Penney Company,
Incorporated................ 463,500 6,402
K Mart Corporation+........... 845,500 6,870
May Department Stores
Company..................... 50,400 1,386
Sears Roebuck & Company....... 474,700 17,386
Target Corporation............ 152,500 10,151
Toys R Us, Incorporated+...... 550,100 8,389
----------
TOTAL RETAIL.............. 54,511
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
---------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
SERVICES - 1.30%
Cendant Corporation+.......... 249,200 $ 3,847
Interpublic Group Companies,
Incorporated................ 242,500 9,942
----------
TOTAL SERVICES............ 13,789
----------
TEXTILES (APPAREL) - 0.53%
Liz Claiborne, Incorporated... 81,000 3,751
Russell Corporation........... 96,700 1,898
----------
TOTAL TEXTILES
(APPAREL)............... 5,649
----------
TOTAL CONSUMER-
CYCLICALS............... 126,527
----------
ENERGY - 10.02%
OIL & GAS - 4.84%
Baker Hughes, Incorporated.... 350,200 11,141
BP Amoco PLC.................. 539,724 27,526
Halliburton Company........... 237,600 10,499
Ultramar Diamond Shamrock
Corporation................. 82,800 2,049
----------
TOTAL OIL & GAS........... 51,215
----------
OIL (DOMESTIC INTEGRATED) - 4.63%
Conoco, Incorporated.......... 148,400 3,691
Occidental Petroleum
Corporation................. 682,000 14,620
Phillips Petroleum Company.... 311,000 14,753
Sunoco, Incorporated.......... 25,700 779
USX Marathon Group............ 650,625 15,168
----------
TOTAL OIL (DOMESTIC
INTEGRATED)............. 49,011
----------
OIL (INTERNATIONAL INTEGRATED) - 0.55%
Texaco, Incorporated.......... 118,400 5,861
----------
TOTAL OIL (INTERNATIONAL
INTEGRATED)............. 5,861
----------
TOTAL ENERGY.............. 106,087
----------
FINANCIALS - 19.17%
BANKS - 7.26%
Bank of America Corporation... 362,533 17,764
Bank One Corporation.......... 136,400 4,160
Chase Manhattan Corporation... 217,328 15,661
First Union Corporation....... 318,500 10,152
FleetBoston Financial
Corporation................. 348,000 12,332
KeyCorp....................... 216,900 4,013
PNC Bank Corporation.......... 206,500 9,009
UnionBanCal Corporation....... 38,800 1,074
US Bancorp.................... 138,000 2,803
----------
TOTAL BANKS............... 76,968
----------
CONSUMER FINANCE - 0.23%
Household International,
Incorporated................ 57,563 2,403
----------
TOTAL CONSUMER FINANCE.... 2,403
----------
FINANCIAL (DIVERSIFIED) - 3.23%
Ace Limited................... 244,000 5,841
</TABLE>
See accompanying notes
--------------------------------------------------------------------------------
41
<PAGE> 44
AMR INVESTMENT SERVICES LARGE CAP VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS -- CONTINUED
April 30, 2000 (unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
---------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
CIT Group, Incorporated....... 428,700 $ 7,261
CitiGroup, Incorporated....... 150,279 8,932
Federal National Mortgage
Association................. 72,400 4,367
Morgan Stanley Dean Witter
Discover & Company.......... 101,800 7,813
----------
TOTAL FINANCIAL
(DIVERSIFIED)........... 34,214
----------
INSURANCE (LIFE/HEALTH) - 2.36%
American General Corporation.. 62,100 3,478
The Hartford Financial
Services Group.............. 56,000 2,922
Jefferson-Pilot Corporation... 47,400 3,155
Lincoln National
Corporation................. 337,600 11,753
Metlife, Incorporated+........ 224,300 3,715
----------
TOTAL INSURANCE
(LIFE/HEALTH)........... 25,023
----------
INSURANCE BROKERS - 0.34%
Aon Corporation............... 132,100 3,575
----------
TOTAL INSURANCE BROKERS... 3,575
----------
INSURANCE - PROPERTY - CASUALTY - 3.23%
Allstate Corporation.......... 594,128 14,036
MBIA, Incorporated............ 64,000 3,164
Safeco Corporation............ 134,400 2,974
St. Paul Companies,
Incorporated................ 393,500 14,018
----------
TOTAL INSURANCE
PROPERTY - CASUALTY..... 34,192
----------
INVESTMENT BANKING/BROKERAGE - 0.68%
Paine Webber Group,
Incorporated................ 164,200 7,204
----------
TOTAL INVESTMENT
BANKING/BROKERAGE....... 7,204
----------
SAVINGS & LOAN COMPANIES - 1.84%
Washington Mutual,
Incorporated................ 761,100 19,456
----------
TOTAL SAVINGS & LOAN
COMPANIES............... 19,456
----------
TOTAL FINANCIALS.......... 203,035
----------
HEALTH CARE - 4.26%
Abbott Laboratories........... 120,000 4,612
Aetna, Incorporated........... 26,200 1,516
Baxter International,
Incorporated................ 86,600 5,640
Bristol-Myers Squibb Company.. 123,500 6,476
Edwards Lifesciences
Corporation................. 17,320 260
Eli Lilly & Company........... 126,000 9,741
Johnson & Johnson............. 57,000 4,702
Pfizer, Incorporated.......... 172,200 7,254
Pharmacia Corporation......... 76,041 3,797
Watson Pharmaceuticals,
Incorporated+............... 24,500 1,101
----------
TOTAL HEALTH CARE......... 45,099
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
---------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
TECHNOLOGY - 6.11%
COMPUTERS - 3.91%
BMC Software, Incorporated.... 63,100 $ 2,954
Computer Assoc. International,
Incorporated................ 156,400 8,729
First Data Corporation........ 104,200 5,073
Ikon Office Solutions,
Incorporated................ 395,500 2,324
Intel Corporation............. 52,000 6,594
International Business
Machines Corporation........ 57,600 6,430
Seagate Technology+........... 80,000 4,065
Storage Technology
Corporation+................ 207,000 2,691
Synopsys, Incorporated+....... 60,000 2,520
----------
TOTAL COMPUTERS........... 41,380
----------
COMMUNICATIONS EQUIPMENT - 1.41%
ADC Telecommunications,
Incorporated................ 68,100 4,137
Lucent Technologies,
Incorporated................ 64,300 3,999
Motorola, Incorporated........ 25,700 3,060
Tellabs, Incorporated+........ 68,300 3,744
----------
TOTAL COMMUNICATIONS
EQUIPMENT............... 14,940
----------
SERVICES - 0.79%
Eastman Kodak Company......... 57,800 3,233
Xerox Corporation............. 196,000 5,182
----------
TOTAL SERVICES............ 8,415
----------
TOTAL TECHNOLOGY.......... 64,735
----------
TRANSPORTATION - 1.43%
RAILROADS - 1.43%
Burlington Northern,
Incorporated................ 184,600 4,453
CNF Transportation,
Incorporated................ 83,000 2,319
CSX Corporation............... 250,100 5,236
Norfolk Southern
Corporation................. 177,000 3,120
----------
TOTAL RAILROADS........... 15,128
----------
TOTAL TRANSPORTATION...... 15,128
----------
UTILITIES - 9.57%
ELECTRIC COMPANIES - 7.55%
Central and Southwest
Corporation................. 536,400 11,633
CMS Energy Corporation........ 130,900 2,487
DTE Energy Company............ 275,600 8,991
Dynegy, Incorporated.......... 31,200 2,042
Edison International.......... 41,400 789
Entergy Corporation........... 539,700 13,729
GPU, Incorporated............. 4,000 112
Northeast Utilities........... 587,100 12,623
Potomac Electric Power
Company..................... 183,400 4,298
PPL Corporation............... 118,047 2,818
Reliant Energy,
Incorporated................ 539,700 14,370
</TABLE>
See accompanying notes
--------------------------------------------------------------------------------
42
<PAGE> 45
AMR INVESTMENT SERVICES LARGE CAP VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS -- CONTINUED
April 30, 2000 (unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
---------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
Scana Corporation............. 78,102 $ 2,021
Texas Utilities Company....... 121,900 4,107
----------
TOTAL ELECTRIC
COMPANIES............... 80,020
----------
NATURAL GAS - DISTRIBUTION - PIPE LINE - 2.02%
Equitable Resources,
Incorporated................ 172,800 8,014
MCN Energy Group,
Incorporated................ 241,500 6,022
Peoples Energy Corporation.... 58,900 1,829
Williams Companies,
Incorporated................ 149,568 5,581
----------
TOTAL NATURAL GAS -
DISTRIBUTION - PIPE
LINE.................... 21,446
----------
TOTAL UTILITIES........... 101,466
----------
TOTAL COMMON STOCK........ 1,010,328
----------
</TABLE>
<TABLE>
<CAPTION>
PAR
AMOUNT
-------
<S> <C> <C>
SHORT-TERM INVESTMENTS - 9.34%
U.S. TREASURY BILLS - 0.38%
U. S. Treasury Bill, 5.65%, Due
6/15/2000 (Note A)............. $ 4,030 4,002
----------
TOTAL U.S. TREASURY BILLS.... 4,002
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
---------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
OTHER SHORT-TERM INVESTMENTS - 8.96%
American Select Cash Reserve
Fund........................ 82,183,749 $ 82,184
----------
AMR Investments Enhanced Yield
Business Trust.............. 12,774,136 12,774
----------
TOTAL OTHER SHORT-TERM
INVESTMENTS............. 94,958
----------
TOTAL SHORT-TERM
INVESTMENTS............. 98,960
----------
TOTAL INVESTMENTS - 104.72%
(COST $1,122,864)........... 1,109,288
----------
LIABILITIES, NET OF OTHER
ASSETS - (4.72%)............ (50,038)
----------
TOTAL NET ASSETS - 100%....... $1,059,250
==========
</TABLE>
------------
Based on the cost of investments of $1,127,087 for federal income tax purposes
at April 30, 2000, the aggregate gross unrealized appreciation was $121,071, the
aggregate gross unrealized depreciation was $138,870, and the net unrealized
depreciation of investments was $17,799.
(A) At April 30, 2000, security held as collateral for open futures contracts
ABBREVIATIONS:
ADR - American Depositary Receipt
NV - Company
PLC - Public Limited Corporation
+ - Non-income producing
See accompanying notes
--------------------------------------------------------------------------------
43
<PAGE> 46
AMR INVESTMENT SERVICES SMALL CAP VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 2000 (unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
-------- -----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
COMMON STOCK - 88.95%
BASIC MATERIALS - 6.29%
AGRICULTURAL PRODUCTS - 1.13%
Universal Corporation............ 43,700 $ 825
----------
TOTAL AGRICULTURAL
PRODUCTS................... 825
----------
CHEMICALS - 3.35%
Agrium, Incorporated............. 20,900 196
Albemarle Corporation............ 20,600 431
CK Witco Corporation............. 22,900 269
Cytec Industries,
Incorporated+.................. 18,200 548
Ethyl Corporation................ 36,500 114
General Chemical Group,
Incorporated................... 3,400 5
Geon Company..................... 5,200 114
W. R. Grace & Company............ 4,100 53
International Specialty
Products+...................... 13,500 79
Lilly Industrial, Incorporated... 5,200 57
NL Industries, Incorporated...... 22,700 369
Omnova Solutions, Incorporated... 18,300 110
Schulman A., Incorporated........ 6,900 89
USEC, Incorporated............... 4,500 21
----------
TOTAL CHEMICALS.............. 2,455
----------
CONSTRUCTION - 0.31%
Centex Construction Products,
Incorporated................... 4,300 133
Centex Corporation............... 2,800 68
Morrison Knudsen Corporation..... 2,600 24
----------
TOTAL CONSTRUCTION........... 225
----------
CONTAINERS/PACKAGING (PAPER) - 0.07%
ACX Technologies, Incorporated+.. 12,400 52
----------
TOTAL CONTAINERS/ PACKAGING
(PAPER).................... 52
----------
PAPER & FOREST PRODUCTS - 0.40%
Buckeye Technologies,
Incorporated+.................. 9,300 178
Glatfelter P H Company........... 5,300 57
Rock Tenn Company................ 6,600 61
----------
TOTAL PAPER & FOREST
PRODUCTS................... 296
----------
STEEL - 1.03%
AK Steel Holdings Corporation.... 24,932 276
Carpenter Technology
Corporation.................... 4,100 82
Commercial Metals Company........ 6,100 179
Imco Recycling, Incorporated..... 2,100 22
Quanex Corporation............... 6,100 100
Ucar International,
Incorporated+.................. 7,300 96
----------
TOTAL STEEL.................. 755
----------
TOTAL BASIC MATERIALS........ 4,608
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
-------- -----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
CAPITAL GOODS - 12.2%
AEROSPACE/DEFENSE - 1.77%
Alliant Techsystems,
Incorporated+.................. 6,700 $ 466
Aviation Sales Company+.......... 1,500 6
Cordant Technologies,
Incorporated................... 2,800 159
Curtiss Wright Corporation....... 1,600 57
Precision Castparts
Corporation.................... 11,300 472
Triumph Group, Incorporated+..... 5,000 134
----------
TOTAL AEROSPACE/ DEFENSE..... 1,294
----------
CONTAINERS (METAL & GLASS) - 0.19%
Ball Corporation................. 1,900 60
Silgan Holdings, Incorporated+... 6,100 79
----------
TOTAL CONTAINERS (METAL &
GLASS)..................... 139
----------
ELECTRICAL EQUIPMENT - 1.47%
Generale Cable Corporation....... 8,700 67
National Service Industries,
Incorporated................... 9,200 198
SLI, Incorporated................ 1,800 26
A O Smith Corporation............ 6,900 142
Tecumseh Products Company........ 11,600 539
Woodward Governor Company........ 4,800 106
----------
TOTAL ELECTRICAL EQUIPMENT... 1,078
----------
MACHINERY (DIVERSIFIED) - 3.79%
Albany International
Corporation.................... 7,752 118
Avteam, Incorporated+............ 100,600 302
Briggs & Stratton Corporation.... 5,800 223
Circor International,
Incorporated................... 2,300 26
Columbus McKinnon Corporation.... 6,000 84
Denison International PLC+....... 47,800 621
Detroit Diesel Corporation....... 10,500 163
JLG Industries, Incorporated..... 21,400 203
JLK Direct Distributing,
Incorporated+.................. 500 4
Lincoln Electric Holdings,
Incorporated................... 15,900 303
Milacron, Incorporated........... 16,200 296
Nacco Industries, Incorporated... 2,900 130
SPS Technologies, Incorporated... 2,800 88
Terex Corporation................ 5,500 86
Westinghouse Air Brake Company... 11,000 124
----------
TOTAL MACHINERY
(DIVERSIFIED).............. 2,771
----------
</TABLE>
See accompanying notes
--------------------------------------------------------------------------------
44
<PAGE> 47
AMR INVESTMENT SERVICES SMALL CAP VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS - (CONTINUED)
April 30, 2000 (unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
-------- -----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
MANUFACTURING (DIVERSIFIED) - 2.92%
Ametek Aerospace Products,
Incorporated................... 4,000 $ 82
Barnes Group, Incorporated....... 6,900 117
Carlisle Companies,
Incorporated................... 10,400 428
GenCorp, Incorporated............ 18,300 184
Gentek, Incorporated............. 3,400 46
Graco, Incorporated.............. 3,300 112
Griffon Corporation+............. 5,800 39
Harsco Corporation............... 4,200 125
Hawk Corporation+................ 64,200 401
Kaman Corporation................ 10,300 109
Myers Industries, Incorporated... 4,000 56
NCH Corporation.................. 1,400 61
Standex International
Corporation.................... 5,500 90
Trinity Industries,
Incorporated................... 3,600 80
U. S. Industries, Incorporated... 17,200 210
----------
TOTAL MANUFACTURING
(DIVERSIFIED).............. 2,140
----------
MANUFACTURING (SPECIALIZED) - 0.95%
Bandag, Incorporated............. 7,500 173
Flowserve Corporation............ 6,100 86
Regal Beloit Corporation......... 5,500 99
Reliance Steele & Aluminum
Company........................ 3,300 76
Stone and Webster,
Incorporated................... 14,600 193
Watts Industries, Incorporated... 5,100 68
----------
TOTAL MANUFACTURING
(SPECIALIZED).............. 695
----------
METAL FABRICATORS - 0.24%
Metals USA, Incorporated......... 16,700 119
Wolverine Tube, Incorporated+.... 3,700 55
----------
TOTAL METAL FABRICATORS...... 174
----------
OFFICE EQUIPMENT & SUPPLIES - 0.30%
New England Business Service,
Incorporated................... 2,800 46
Standard Register Company........ 6,300 82
Wallace Computer Services,
Incorporated................... 8,100 89
----------
TOTAL OFFICE EQUIPMENT &
SUPPLIES................... 217
----------
TRUCKS & PARTS - 0.57%
Titan International,
Incorporated................... 57,700 397
Wabash National Corporation...... 1,400 20
----------
TOTAL TRUCKS & PARTS......... 417
----------
TOTAL CAPITAL GOODS.......... 8,925
----------
CONSUMER STAPLES - 7.77%
DISTRIBUTORS (FOOD & HEALTH) - 0.21%
Bergen Brunswig Corporation...... 26,900 134
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
-------- -----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
Watsco, Incorporated............. 1,600 $ 21
----------
TOTAL DISTRIBUTORS (FOOD &
HEALTH).................... 155
----------
ENTERTAINMENT - 0.05%
Ogden Corporation................ 3,700 36
----------
TOTAL ENTERTAINMENT.......... 36
----------
FOODS - 2.29%
Earthgrains Company.............. 44,700 629
IBP, Incorporated................ 4,300 71
Interstate Bakeries
Corporation.................... 35,400 451
Michael Foods, Incorporated...... 4,600 99
Pilgrims Pride Corporation....... 9,300 69
RalCorp Holdings, Incorporated+.. 25,700 355
Sanderson Farms, Incorporated.... 600 4
----------
TOTAL FOODS.................. 1,678
----------
HOUSEHOLD PRODUCTS (NON-DURABLE) - 3.00%
Bacou USA, Incorporated+......... 3,100 62
Department 56, Incorporated+..... 7,200 66
Furniture Brands International,
Incorporated+.................. 11,200 209
Lennar Corporation............... 53,700 1,000
Libbey, Incorporated............. 400 12
M.D.C. Holdings, Incorporated.... 6,000 114
Mohawk Industries,
Incorporated+.................. 4,500 112
Oneida Limited................... 3,300 63
Palm Harbor Homes,
Incorporated+.................. 8,300 137
Pillowtex Corporation............ 600 3
Skyline Corporation.............. 4,800 98
Springs Industries,
Incorporated................... 7,200 296
Stepan Chemical Company.......... 1,200 26
----------
TOTAL HOUSEHOLD PRODUCTS
(NON-DURABLE).............. 2,198
----------
PERSONAL CARE - 0.44%
Natures Sunshine Products,
Incorporated................... 2,900 25
Nu Skin Enterprises,
Incorporated+.................. 38,300 294
----------
TOTAL PERSONAL CARE.......... 319
----------
RESTAURANTS - 1.47%
Buffets, Incorporated............ 2,600 26
CKE Restaurants, Incorporated.... 22,700 84
IHOP Corporation+................ 41,500 674
Landry's Seafood Restaurant,
Incorporated................... 4,900 42
Luby's Cafeterias,
Incorporated................... 9,800 88
</TABLE>
See accompanying notes
--------------------------------------------------------------------------------
45
<PAGE> 48
AMR INVESTMENT SERVICES SMALL CAP VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS - (CONTINUED)
April 30, 2000 (unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
-------- -----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
Ryan's Family Steak Houses,
Incorporated+.................. 16,500 $ 161
----------
TOTAL RESTAURANTS............ 1,075
----------
SERVICES (EMPLOYMENT) - 0.15%
C D I Corporation+............... 4,800 108
Staff Leasing, Incorporated...... 1,000 4
----------
TOTAL SERVICES
(EMPLOYMENT)............... 112
----------
TOBACCO - 0.16%
General Cigar Holdings,
Incorporated+.................. 3,500 53
Schweitzer Mauduit International,
Incorporated................... 4,200 61
----------
TOTAL TOBACCO................ 114
----------
TOTAL CONSUMER STAPLES....... 5,687
----------
CONSUMER-CYCLICALS - 26.1%
AUTO PARTS & EQUIPMENT - 3.19%
Arvin Industries, Incorporated... 10,200 222
Borg-Warner Automotive,
Incorporated................... 6,700 280
Coachmen Industries,
Incorporated................... 7,100 110
Cooper Tire & Rubber Company..... 17,100 231
Discount Auto Parts,
Incorporated+.................. 1,300 14
Dura Automotive Systems,
Incorporated+.................. 7,600 123
Federal Mogul Corporation........ 18,900 256
Hayes Lemmerz International,
Incorporated+.................. 1,100 17
Intermet Corporation............. 10,800 80
Mark IV Industries,
Incorporated................... 8,900 189
Mascotech, Incorporated.......... 19,600 227
Meritor Automotive,
Incorporated................... 14,400 216
Midas, Incorporated.............. 2,100 53
Modine Manufacturing Company..... 2,200 49
Standard Motor Products,
Incorporated................... 1,000 11
Tower Automotive,
Incorporated+.................. 16,500 258
----------
TOTAL AUTO PARTS &
EQUIPMENT.................. 2,336
----------
AUTO RENTAL - 0.52%
Avis Group Holdings,
Incorporated+.................. 13,300 269
Dollar Thrifty Automotive
Group+......................... 5,400 113
----------
TOTAL AUTO RENTAL............ 382
----------
BUILDING MATERIALS - 1.20%
Comfort Systems USA,
Incorporated................... 7,500 52
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
-------- -----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
Coorstek, Incorporated........... 3,100 $ 140
Dal-Tile International,
Incorporated................... 14,700 143
Lennox International,
Incorporated................... 469 4
NCI Building Systems,
Incorporated+.................. 8,000 153
Nortek, Incorporated............. 2,500 52
Owens Corning.................... 3,000 55
Universal Fastener Products,
Incorporated................... 4,600 62
York International Corporation... 9,000 217
----------
TOTAL BUILDING MATERIALS..... 878
----------
CONSUMER (JEWELRY/NOVELTIES) - 0.05%
Franklin Covey Company+.......... 4,000 36
----------
TOTAL CONSUMER
(JEWELRY/NOVELTIES)........ 36
----------
FOOTWEAR - 0.11%
Wolverine World Wide,
Incorporated................... 6,600 79
----------
TOTAL FOOTWEAR............... 79
----------
GAMING LOTTERY & PARIMUTUEL - 0.73%
American Coin Merchandising+..... 96,900 230
Boyd Gaming Corporation+......... 26,400 134
Churchill Downs, Incorporated.... 6,800 168
----------
TOTAL GAMING LOTTERY &
PARIMUTUEL................. 532
----------
HOMEBUILDING - 6.09%
Champion Enterprises,
Incorporated+.................. 12,700 90
Clayton Homes, Incorporated...... 31,400 298
D.R.Horton, Incorporated......... 52,600 681
Del Webb Corporation+............ 7,300 109
Fleetwood Enterprises,
Incorporated................... 14,600 214
Kaufman & Broad Home
Corporation.................... 21,300 410
Pulte Corporation................ 43,800 942
Ryland Group, Incorporated....... 6,300 127
Standard Pacific Corporation..... 12,600 127
Toll Brothers, Incorporated+..... 58,000 1,258
U S Home Corporation+............ 5,700 204
----------
TOTAL HOMEBUILDING........... 4,460
----------
LEISURE TIME (PRODUCTS) - 2.28%
Anchor Gaming+................... 2,400 97
Arctic Cat, Incorporated......... 5,400 54
CBRL Group, Incorporated......... 45,000 624
Gtech Holdings Corporation+...... 16,400 340
Polaris Industries,
Incorporated................... 12,600 386
Midway Games, Incorporated+...... 10,900 72
</TABLE>
See accompanying notes
--------------------------------------------------------------------------------
46
<PAGE> 49
AMR INVESTMENT SERVICES SMALL CAP VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS - (CONTINUED)
April 30, 2000 (unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
-------- -----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
Sturm Ruger & Company,
Incorporated................... 1,300 $ 13
Winnebago Industries,
Incorporated................... 4,900 83
----------
TOTAL LEISURE TIME
(PRODUCTS)................. 1,669
----------
LODGING-HOTELS - 0.28%
Prime Hospitality Corporation+... 22,600 209
----------
TOTAL LODGING-HOTELS......... 209
----------
PUBLISHING - 0.52%
Playboy Enterprises,
Incorporated+.................. 23,600 381
----------
TOTAL PUBLISHING............. 381
----------
RETAIL - 3.90%
AnnTaylor Stores Corporation..... 1,400 29
Central Garden & Pet Company+.... 3,500 37
Dress Barn+...................... 6,900 135
Finish Line, Incorporated+....... 9,800 104
Hughes Supply, Incorporated...... 10,000 152
Longs Drug Stores Corporation.... 8,600 200
Neiman Marcus Group+............. 22,700 585
7 Eleven, Incorporated+.......... 38,100 143
ShopKo Stores, Incorporated+..... 6,800 122
Systemax, Incorporated+.......... 15,200 117
Tech Data Corporation+........... 29,400 1,233
----------
TOTAL RETAIL................. 2,857
----------
RETAIL SPECIALTY - 3.17%
Brown Shoe, Incorporated......... 7,900 81
Burlington Coat Factory
Warehouse...................... 11,600 174
Cato Corporation................. 6,600 70
Cole National Corporation+....... 3,100 19
Footstar, Incorporated+.......... 11,800 439
Friedmans, Incorporated.......... 84,800 551
Genesco, Incorporated+........... 27,200 352
Goody's Family Clothing,
Incorporated+.................. 14,200 92
Musicland Stores,
Incorporated+.................. 15,300 115
Office Max, Incorporated......... 49,600 279
Regis Corporation................ 12,600 147
----------
TOTAL RETAIL SPECIALTY....... 2,319
----------
SERVICES - 2.68%
Burns International Services
Corporation.................... 4,900 53
Firstservice Corporation+........ 1,400 15
Interpool, Incorporated.......... 12,100 88
Mac Gray Corporation+............ 38,200 115
Navigant Consulting Company...... 2,100 21
Pittston Brinks Group............ 73,900 1,210
Service Corporation
International.................. 15,100 77
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
-------- -----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
Sylvan Learning Systems,
Incorporated+.................. 19,700 $ 297
Unifirst Corporation............. 8,600 83
----------
TOTAL SERVICES............... 1,959
----------
TEXTILES (APPAREL) - 1.22%
Kellwood Company................. 10,600 181
Movado Group, Incorporated....... 2,800 24
Nautica Enterprises,
Incorporated+.................. 12,100 136
Oxford Industries,
Incorporated................... 1,000 17
Quiksilver, Incorporated+........ 22,200 419
Warnaco Group, Incorporated...... 10,600 113
----------
TOTAL TEXTILES (APPAREL)..... 890
----------
TEXTILES (SPECIALTY) - 0.16%
Interface, Incorporated.......... 13,200 48
Westpoint Stevens,
Incorporated................... 3,900 73
----------
TOTAL TEXTILES (SPECIALTY)... 121
----------
TOTAL CONSUMER-CYCLICALS..... 19,108
----------
ENERGY - 0.97%
OIL & GAS (DRILLING & EQUIPMENT) - 0.15%
Friede Goldman International,
Incorporated+.................. 8,200 51
Seitel, Incorporated+............ 10,200 64
----------
TOTAL OIL & GAS (DRILLING &
EQUIPMENT)................. 115
----------
OIL & GAS (EXPLORATION/PRODUCTION) - 0.70%
Triton Energy Limited+........... 14,000 510
----------
TOTAL OIL & GAS (EXPLORATION/
PRODUCTION)................ 510
----------
OIL (INTERNATIONAL INTEGRATED) - 0.12%
Tesoro Petroleum Corporation..... 7,300 86
----------
TOTAL OIL (INTERNATIONAL
INTEGRATED)................ 86
----------
TOTAL ENERGY................. 711
----------
FINANCIALS - 13.97%
BANKS (REGIONAL) - 4.28%
Bank United Corporation.......... 11,100 368
BankAtlantic Bancorp,
Incorporated................... 18,340 69
Citizens Banking Corporation
Michigan....................... 10,700 191
Colonial Bancgroup,
Incorporated................... 25,200 236
Commercial Federal Corporation... 14,500 226
</TABLE>
See accompanying notes
--------------------------------------------------------------------------------
47
<PAGE> 50
AMR INVESTMENT SERVICES SMALL CAP VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS - (CONTINUED)
April 30, 2000 (unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
-------- -----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
Community First Bankshares,
Incorporated................... 12,500 $ 211
Corus Bankshares, Incorporated... 7,500 187
First Charter Corporation........ 4,000 55
First Citizens Bancshares,
Incorporated................... 4,700 297
First Midwest BanCorp,
Incorporated................... 25,200 627
Hamilton Bancorp,
Incorporated+.................. 3,500 64
MAF Bancorp, Incorporated........ 5,400 101
Provident Financial Group,
Incorporated................... 2,400 70
Republic Bancorp, Incorporated... 2,500 25
Riggs National Corporation
Washington, DC................. 700 9
Washington Federal,
Incorporated................... 11,800 206
Webster Financial Corporation
Waterbury...................... 9,000 192
----------
TOTAL BANKS
(REGIONAL)................. 3,134
----------
CONSUMER FINANCE - 0.11%
Advanta Corporation.............. 4,800 82
----------
TOTAL CONSUMER FINANCE....... 82
----------
FINANCIAL (DIVERSIFIED) - 2.14%
Amerco+.......................... 9,600 161
Associates First Capital
Corporation+................... 16,400 -
Glenborough Realty Trust,
Incorporated................... 11,500 170
Kilroy Realty Corporation........ 7,500 181
Landamerica Financial Group,
Incorporated................... 5,400 95
McGrath Rentcorp................. 1,000 16
PFF Bancorp, Incorporated........ 3,100 43
Professionals Group,
Incorporated+.................. 1,650 29
Resource Bancshares Mortgage
Group, Incorporated............ 4,600 23
Stewart Information Services
Corporation.................... 2,800 40
Trammell Crow Company+........... 7,000 91
Tucker Anthony Sutro
Corporation.................... 1,500 25
Ventas, Incorporated............. 176,100 693
----------
TOTAL FINANCIAL
(DIVERSIFIED).............. 1,567
----------
INSURANCE (LIFE/HEALTH) - 1.16%
Amerus Life Holdings,
Incorporated................... 6,100 122
Delphi Financial Group,
Incorporated................... 8,772 253
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
-------- -----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
Liberty Financial Companies,
Incorporated................... 20,400 $ 382
National Western Life Insurance
Company+....................... 1,200 89
Scottish Annuity & Life+......... 400 3
----------
TOTAL INSURANCE (LIFE/
HEALTH).................... 849
----------
INSURANCE (MULTI-LINE) - 2.27%
American Financial Group,
Incorporated................... 2,900 74
Enhance Financial Services Group,
Incorporated................... 76,500 774
Esg Re Limited................... 176,800 707
HCC Insurance Holdings,
Incorporated................... 1,400 16
Radian Group, Incorporated....... 1,800 92
----------
TOTAL INSURANCE
(MULTI-LINE)............... 1,663
----------
INSURANCE BROKERS - 0.13%
E. W. Blanch Holdings,
Incorporated................... 3,000 67
Stirling Cooke Brown Holdings.... 14,300 28
----------
TOTAL INSURANCE BROKERS...... 95
----------
INSURANCE (PROPERTY/CASUALTY) - 3.24%
Commerce Group, Incorporated..... 11,700 345
Everest Reinsurance Group
Limited........................ 3,700 108
Fidelity National Financial,
Incorporated................... 9,200 136
Fremont General Corporation...... 32,400 188
Harleysville Group,
Incorporated................... 12,400 199
Horace Mann Educators
Corporation.................... 40,200 585
IPC Holdings Limited............. 12,400 158
Mercury General Corporation...... 3,000 82
Mutual Risk Management
Limited........................ 17,600 276
Reliance Group Holdings,
Incorporated................... 48,800 134
RLI Corporation.................. 1,500 48
State Auto Financial
Corporation.................... 9,000 90
Trenwick Group, Incorporated..... 1,690 24
----------
TOTAL INSURANCE (PROPERTY/
CASUALTY).................. 2,373
----------
SAVINGS & LOAN COMPANIES - 0.64%
Astoria Financial Corporation.... 2,400 66
Coastal BanCorp, Incorporated.... 200 3
Downey Financial Corporation..... 6,300 188
First Republic Bank San
Francisco+..................... 4,200 82
FirstFed Financial
Corporation+................... 8,500 106
</TABLE>
See accompanying notes
--------------------------------------------------------------------------------
48
<PAGE> 51
AMR INVESTMENT SERVICES SMALL CAP VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS - (CONTINUED)
April 30, 2000 (unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
-------- -----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
Westcorp, Incorporated........... 1,500 $ 21
----------
TOTAL SAVINGS & LOAN
COMPANIES.................. 466
----------
TOTAL FINANCIALS............. 10,229
----------
HEALTH CARE - 4.93%
Apria Healthcare Group,
Incorporated+.................. 8,000 111
Barr Laboratories,
Incorporated+.................. 7,900 341
Beverly Enterprises,
Incorporated+.................. 124,900 421
First Health Group
Corporation+................... 1,200 36
Foundation Health Systems,
Incorporated+.................. 17,000 171
Herbalife International,
Incorporated................... 10,000 101
Magellan Health Services,
Incorporated................... 7,200 27
Ocular Sciences, Incorporated+... 900 15
Omnicare, Incorporated........... 41,900 636
Pediatrix Medical Group+......... 4,000 33
Quorum Health Group,
Incorporated+.................. 32,000 340
Sierra Health Services,
Incorporated+.................. 11,400 41
Sola International,
Incorporated+.................. 4,600 21
Steris Corporation+.............. 13,600 122
Stewart Enterprises,
Incorporated................... 47,500 228
Thermo Cardiosystems,
Incorporated+.................. 10,000 114
Total Renal Care Holdings,
Incorporated+.................. 4,100 12
Twinlab Corporation+............. 700 5
US Oncology, Incorporated........ 20,200 69
Veterinary Centers America,
Incorporated+.................. 56,900 768
----------
TOTAL HEALTH CARE............ 3,612
----------
TECHNOLOGY - 6.40%
COMMUNICATIONS EQUIPMENT - 0.45%
Cable Design Technologies
Corporation+................... 7,900 270
Superior Telecom, Incorporated... 4,545 55
----------
TOTAL COMMUNICATIONS
EQUIPMENT.................. 325
----------
COMPUTERS (PERIPHERALS) - 1.13%
Cellstar Corporation+............ 25,300 145
Creative Technology, Limited+.... 14,800 405
Radisys Corporation+............. 6,750 279
----------
TOTAL COMPUTERS
(PERIPHERALS).............. 829
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
-------- -----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
COMPUTERS (SOFTWARE/SERVICES) - 3.83%
Avant! Corporation+.............. 11,100 $ 200
AVT Corporation.................. 27,600 305
Fair Issac & Company,
Incorporated................... 14,500 614
JDA Software Group,
Incorporated+.................. 44,200 823
Personal Group of America,
Incorporated+.................. 10,100 53
THQ, Incorporated................ 51,900 804
----------
TOTAL COMPUTERS
(SOFTWARE/SERVICES)........ 2,799
----------
ELECTRONICS (INSTRUMENT) - 0.01%
Pioneer Standard Electronics,
Incorporated................... 500 8
----------
TOTAL ELECTRONICS
(INSTRUMENT)............... 8
----------
ELECTRONICS (SEMICONDUCTORS) - 0.02%
Neomagic Corporation+............ 5,000 17
----------
TOTAL ELECTRONICS
(SEMICONDUCTORS)........... 17
----------
SERVICES (COMPUTER SYSTEMS) - 0.96%
Gerber Scientific,
Incorporated................... 13,000 180
Inacom Corporation+.............. 19,300 30
Unova, Incorporated+............. 35,400 496
----------
TOTAL SERVICES (COMPUTER
SYSTEMS)................... 706
----------
TOTAL TECHNOLOGY............. 4,684
----------
TRANSPORTATION - 5.04%
MARINE - 4.02%
Knightsbridge Tankers Limited.... 66,200 1,233
Omi Corporation+................. 46,100 161
Overseas Shipholding Group,
Incorporated................... 17,000 445
Teekay Shipping Corporation...... 33,600 1,102
----------
TOTAL MARINE................. 2,941
----------
RAILROADS - 0.16%
Wisconsin Central Transportation
Corporation+................... 8,300 121
----------
TOTAL RAILROADS.............. 121
----------
TRUCKERS - 0.86%
American Freightways
Corporation.................... 1,300 24
Arkansas Best Corporation+....... 3,300 43
Arnold Industries,
Incorporated................... 10,500 123
Consolidated Freightways
Corporation+................... 9,600 60
Roadway Express, Incorporated.... 400 9
Rollins Truck Leasing
Corporation.................... 11,000 109
Us Freightways Corporation....... 1,500 70
</TABLE>
See accompanying notes
--------------------------------------------------------------------------------
49
<PAGE> 52
AMR INVESTMENT SERVICES SMALL CAP VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS - (CONTINUED)
April 30, 2000 (unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
-------- -----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
Yellow Corporation+.............. 10,000 $ 191
----------
TOTAL TRUCKERS............... 629
----------
TOTAL TRANSPORTATION......... 3,691
----------
UTILITIES - 5.28%
ELECTRIC COMPANIES - 5.28%
CH Energy Group, Incorporated.... 4,700 155
Cleco Corporation................ 5,900 203
CMP Group, Incorporated.......... 45,500 1,317
MDU Resource Group,
Incorporated................... 4,200 92
Public Service Company........... 27,600 497
R G S Energy Group,
Incorporated................... 48,100 1,130
UGI Corporation.................. 13,600 278
United Illuminating Company...... 4,200 193
----------
TOTAL ELECTRIC COMPANIES..... 3,865
----------
TOTAL UTILITIES.............. 3,865
----------
TOTAL COMMON STOCK........... 65,120
----------
</TABLE>
<TABLE>
<CAPTION>
PAR
AMOUNT VALUE
-------- -----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
SHORT-TERM
INVESTMENTS - 25.66%
U.S. TREASURY BILLS - 0.79%
U. S. Treasury Bill, 5.65%, Due
6/15/2000 (Note A)............. $ 580 $ 576
----------
TOTAL U.S. TREASURY BILLS.... 576
----------
SHARES
-------
OTHER SHORT-TERM INVESTMENTS - 24.87%
American Select Cash Reserve
Fund........................... 17,756,856 17,757
AMR Investments Enhanced Yield
Business Trust................. 449,386 449
----------
TOTAL OTHER SHORT-TERM
INVESTMENTS................ 18,206
----------
TOTAL SHORT-TERM
INVESTMENTS................ 18,782
----------
TOTAL INVESTMENTS -
114.61%(COST $90,766)...... 83,902
----------
LIABILITIES, NET OF OTHER
ASSETS - (14.61%).......... (10,698)
----------
TOTAL NET ASSETS - 100%...... $ 73,204
==========
</TABLE>
---------------
Based on the cost of investments of $90,867 for federal income tax purposes at
April 30, 2000, the aggregate gross unrealized appreciation was $6,018, the
aggregate gross unrealized depreciation was $12,983, and the net unrealized
depreciation of investments was $6,965.
(A) At April 30, 2000, security held as collateral for open futures contracts.
ABBREVIATIONS:
PLC - Public Limited Corporation
+ - Non-income Producing
See accompanying notes
--------------------------------------------------------------------------------
50
<PAGE> 53
AMR INVESTMENT SERVICES INTERNATIONAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
---------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
AUSTRALIA COMMON STOCKS - 2.60%
Australia & New Zealand
Banking Group............... 1,817,407 $ 12,556
Broken Hill Property.......... 434,460 4,675
Cable and Wireless Optus...... 1,407,803 4,543
Mayne Nickless, Limited....... 965,000 1,943
News Corporation Preferred
Rights...................... 345,000 3,708
QBE Insurance Group,
Limited..................... 1,995,858 8,377
Westralian Sands.............. 360,594 789
WMC, Limited.................. 785,000 3,257
----------
TOTAL AUSTRALIA COMMON
STOCK................... 39,848
----------
AUSTRIA - 0.62%
PREFERRED STOCK - 0.22%
Bank Austria AG, 144a (Note
A).......................... 76,000 3,380
----------
TOTAL AUSTRIA PREFERRED
STOCK................... 3,380
----------
COMMON STOCK - 0.40%
Boehler-Uddeholm.............. 73,185 2,858
Evn Energie-Versorgung
Niederoesterreich AG........ 4,460 490
Mayr-Melnhof Karton AG........ 16,000 756
VA Technologie AG............. 11,000 656
Wienerberger Baust............ 65,000 1,392
----------
TOTAL AUSTRIA COMMON
STOCK................... 6,152
----------
TOTAL AUSTRIA............. 9,532
----------
CANADA COMMON STOCK - 2.40%
Alcan Aluminum, Limited....... 105,000 3,416
Canadian National Railway
Company..................... 67,300 1,878
Manulife Financial
Corporation................. 622,590 9,770
Newbridge Network............. 98,400 3,523
Noranda, Incorporated......... 333,965 3,167
Ranger Oil, Limited........... 589,010 2,723
Renaissance Energy............ 240,000 2,098
Sun Life Financial Services,
Incorporated................ 645,585 7,690
Transcanada Pipelines,
Limited..................... 351,000 2,501
----------
TOTAL CANADA COMMON
STOCK................... 36,766
----------
DENMARK COMMON STOCK - 0.58%
Nordic Baltic Holdings........ 635,200 3,960
Tele Danmark AS............... 67,600 4,958
----------
TOTAL DENMARK COMMON
STOCK................... 8,918
----------
FINLAND COMMON STOCK - 2.05%
Enso-Gutzeit OY, "R".......... 212,000 2,193
Nokia AB OY................... 67,200 3,864
Metra OY, "B"................. 105,000 1,713
Metsa-Serla OY, "B"........... 100,000 850
Metso OYJ..................... 191,309 2,528
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
---------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
Nordic Baltic Holdings........ 882,300 $ 5,596
Sanitec OYJ AB................ 21,290 248
UPM-Kymmene OY................ 558,185 14,496
----------
TOTAL FINLAND COMMON
STOCK................... 31,488
----------
FRANCE COMMON STOCK - 9.79%
Alcatel Alsthom CG............ 108,653 25,248
Axa SA........................ 117,746 17,500
Banque Nationale de Paris..... 284,485 23,046
BIC SA........................ 108,584 4,334
Pechiney SA................... 51,800 2,275
Pernod-Ricard................. 111,042 5,034
Rhone-Poulenc, "A"............ 471,297 25,983
Saint Gobain.................. 25,284 3,458
Total Petroleum Company, "B".. 244,314 37,157
Vivendi....................... 62,425 6,189
----------
TOTAL FRANCE COMMON
STOCK................... 150,224
----------
GERMANY - 6.63%
PREFERRED STOCK - 0.21%
Dyckerhoff AG................. 148,575 3,249
----------
TOTAL GERMANY PREFERRED
STOCK................... 3,249
----------
COMMON STOCK - 6.42%
Adidas Salomon AG............. 15,000 963
Allianz AG.................... 20,105 7,755
BASF AG....................... 57,000 2,498
BAYER AG...................... 60,000 2,506
Bayer Hypo Vereins............ 127,200 7,766
BBS Kraftfahrzeugtechnik...... 15,260 257
Boss (Hugo) AG................ 26,400 4,162
Buderus AG.................... 98,955 1,712
Commerzbank AG................ 67,240 2,550
Daimler Chrysler AG........... 67,855 3,967
Depfa DT Pfander.............. 4,260 429
Deutsche Bank AG.............. 46,000 3,098
Dragerwerk AG................. 150,805 1,306
Gehe AG....................... 78,800 2,456
Krones AG..................... 105,000 3,052
Merck KGAA.................... 94,000 2,707
Muenchener Rueckversicherung
AG, DEM 10, 144a (Note A)... 22,576 6,635
Muenchener Rueckversicherung
AG, DEM 5, 144a (Note A).... 293 22
SGL Carbon.................... 31,573 2,445
Siemens AG NPV................ 49,920 7,415
Thyssen Krupp AG.............. 338,901 7,134
Veba AG....................... 445,518 22,410
Volkswagen AG................. 52,500 1,985
Vossloh AG.................... 208,350 3,190
----------
TOTAL GERMANY COMMON
STOCK................... 98,420
----------
TOTAL GERMANY............. 101,669
----------
HONG KONG COMMON STOCK - 3.18%
Cheung Kong Holdings,
Limited..................... 330,000 3,940
</TABLE>
See accompanying notes
--------------------------------------------------------------------------------
51
<PAGE> 54
AMR INVESTMENT SERVICES INTERNATIONAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS - CONTINUED
April 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
---------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
Hang Lung Development Company,
Limited..................... 3,073,000 $ 2,387
Henderson Land Development
Company..................... 901,000 3,945
Hong Kong Electric Holdings... 3,036,900 9,494
HSBC Holdings................. 500,065 5,602
Hutchinson Whampoa, Limited... 300,000 4,352
New World Development Company,
Limited..................... 2,107,000 2,854
South China Morning Post...... 7,277,000 7,754
Swire Pacific................. 1,502,700 8,489
----------
TOTAL HONG KONG COMMON
STOCK................... 48,817
----------
IRELAND COMMON STOCK - 1.11%
Allied Irish Banks............ 803,813 8,043
Greencore Group............... 1,582,000 4,397
Jefferson Smurfit............. 2,085,232 4,560
----------
TOTAL IRELAND COMMON
STOCK................... 17,000
----------
ITALY COMMON STOCK - 2.43%
Assic Generali................ 69,999 1,997
BCA Naz Del Lavoro............ 770,000 2,526
Eni SPA....................... 2,207,895 11,005
Fiat SPA...................... 17,624 433
Sao Paolo Imi SPA............. 287,380 4,033
STET Telecom Italia........... 1,237,970 17,350
----------
TOTAL ITALY COMMON
STOCK................... 37,344
----------
JAPAN COMMON STOCK - 13.37%
Asahi Breweries............... 177,000 1,802
Best Denki Company............ 300,000 1,702
Canon, Incorporated........... 501,000 22,901
Circle K Japan Company........ 204,800 7,978
Fuji Bank..................... 497,000 4,139
Fujitsu....................... 137,000 3,879
Hitachi, Limited.............. 225,000 2,686
Industrial Bank of Japan...... 450,000 3,706
Kanamoto Company.............. 310,000 2,197
KAO Corporation............... 319,000 9,711
Komatsu....................... 1,958,000 9,421
Makita Corporation............ 105,000 911
Matsushita Electric Industrial
Company..................... 164,000 4,340
Matsuzakaya Company........... 500,000 1,305
Nintendo Company, Limited..... 124,600 20,753
Nippon Paper Industries....... 328,000 2,076
Nippon Telephone & Telegraph
Company..................... 730 9,051
Nissan Motor Company.......... 1,997,000 9,073
NTT Mobile Communication...... 275 9,186
Okumura Corporation........... 700,000 1,976
Orix Corporation.............. 49,920 7,123
Promise Company, Limited, 144a
(Note A).................... 74,400 6,024
Sakura Bank................... 613,000 4,299
Sankyo Company................ 324,000 7,135
Sanyo Shinpan Finance
Company..................... 144,800 4,422
Showa Sangyo Company.......... 850,000 1,408
Sony Corporation.............. 182,000 20,977
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
---------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
Sumitomo Electrical
Industries.................. 169,000 $ 2,250
Sumitomo Trust & Banking...... 907,000 6,630
TDK Corporation............... 117,000 15,665
Yamato Kogyo Company,
Limited..................... 120,000 385
----------
TOTAL JAPAN COMMON
STOCK................... 205,111
----------
MALAYSIA COMMON STOCK - 0.18%
Golden Hope Plantations BHD... 2,603,000 2,754
----------
TOTAL MALAYSIA COMMON
STOCK................... 2,754
----------
MEXICO COMMON STOCK - 0.06%
Industrias Penoles............ 430,000 886
----------
TOTAL MEXICO COMMON
STOCK................... 886
----------
NETHERLANDS COMMON STOCK - 6.74%
ABN AMRO Holdings NV.......... 364,535 7,524
Akzo Nobel NV................. 440,767 18,086
Ing Groep NV.................. 396,749 21,699
Kon KPN NV.................... 184,700 18,657
Philips Electronics........... 836,660 37,411
----------
TOTAL NETHERLANDS COMMON
STOCK................... 103,377
----------
NEW ZEALAND COMMON STOCK - 1.24%
Carter Holt Harvey, Limited... 1,205,889 1,020
Fisher & Paykel, Limited...... 880,000 2,610
Fletcher Challenge Building... 2,733,475 2,592
Fletcher Challenge Forest..... 132,452 48
Telecom Corporation of New
Zealand..................... 3,024,316 12,793
----------
TOTAL NEW ZEALAND COMMON
STOCK................... 19,063
----------
NORWAY COMMON STOCK - 0.75%
DNB Holdings, AS.............. 810,000 2,843
Kvaerner Industries AS, Series
A........................... 211,043 2,595
Kvaerner Industries AS, Series
B........................... 25,200 254
Norsk Hydro AS................ 90,000 3,294
Nycomed AS, Series B.......... 324,320 2,537
----------
TOTAL NORWAY COMMON
STOCK................... 11,523
----------
PORTUGAL COMMON STOCK - 0.94%
Portugal Telecom.............. 1,283,593 14,352
----------
TOTAL PORTUGAL COMMON
STOCK................... 14,352
----------
SINGAPORE COMMON STOCK - 2.57%
Development Bank of Singapore
Group Holdings.............. 540,795 7,443
Creative Technology........... 406,850 9,889
Overseas Chinese Bank......... 599,650 4,109
United OverSeas Bank.......... 2,590,725 18,056
----------
TOTAL SINGAPORE COMMON
STOCK................... 39,497
----------
SPAIN COMMON STOCK - 3.17%
Banco Popular Espanol......... 84,000 2,273
</TABLE>
See accompanying notes
--------------------------------------------------------------------------------
52
<PAGE> 55
AMR INVESTMENT SERVICES INTERNATIONAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS - CONTINUED
April 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
---------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
e|Endesa SA................... 317,445 $ 6,943
Iberdrola SA.................. 200,357 2,576
Repsol SA (RG)................ 463,800 9,509
Telefonica de Espana.......... 1,222,231 27,265
----------
TOTAL SPAIN COMMON
STOCK................... 48,566
----------
SOUTH KOREA COMMON STOCK - 0.30%
Hyundai Electrical
Industries.................. 210,000 3,330
Korea Electric Power
Corporation................. 40,860 1,197
----------
TOTAL SOUTH KOREA COMMON
STOCK................... 4,527
----------
SWEDEN COMMON STOCK - 2.56%
Assidoman AB.................. 72,800 1,203
Astrazeneca................... 27,847 1,165
Autoliv Incorporated.......... 125,000 3,504
Electrolux AB, "B"............ 949,980 16,076
Esselte AB, Class "A"......... 1,000 6
Esselte AB, Class "B"......... 6,300 39
Foreningssparbk............... 208,000 3,067
Granges AB.................... 15,000 275
Nordic Baltic Holdings........ 411,060 2,566
Stora Enso OY, Series A....... 62,062 638
Stora Enso OY, Series R....... 152,602 1,543
Svedala Industries, "A"
Free........................ 90,000 1,226
Svenska Handelsbanken......... 290,190 3,841
Volvo AB...................... 170,000 4,130
----------
TOTAL SWEDEN COMMON
STOCK................... 39,279
----------
SWITZERLAND COMMON STOCK - 3.36%
ABB AG........................ 101,306 11,394
Clariant...................... 8,700 3,181
Novartis AG................... 6,403 8,965
Saurer AG..................... 9,891 4,887
Schweitz Ruckversiche......... 800 1,288
Sig Schweitz Industries AG.... 18,238 9,169
Sulzer AG..................... 10,920 7,007
Zurich Allied AG.............. 13,214 5,630
----------
TOTAL SWITZERLAND COMMON
STOCK................... 51,521
----------
UNITED KINGDOM - 20.07%
Allied Domecq, PLC............ 2,383,984 11,732
Allied Zurich................. 418,395 4,184
Arriva........................ 205,000 638
Astrazeneca................... 162,410 6,844
BAA, PLC...................... 1,369,300 8,935
BG Group, PLC................. 470,587 2,855
BP Amoco...................... 937,130 8,131
British Aerospace, PLC........ 3,935,973 24,328
British American Tobacco
Industries, PLC............. 828,145 5,184
British Energy, PLC........... 956,691 2,575
British Telecommunications.... 775,453 13,954
Cadbury Schweppes............. 691,520 4,761
Celltech Group................ 644,737 10,694
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
---------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
Commercial Union, PLC......... 357,390 $ 5,151
Cookson Group, PLC............ 3,901,725 11,539
Cortaulds Textiles, PLC....... 75,750 167
Diageo........................ 633,143 5,132
Fairview Holdings, PLC........ 37,500 92
GKN, PLC...................... 221,400 3,083
Granada Group................. 373,310 3,680
Great Universal Stores, PLC... 500,000 3,044
Halifax Group, PLC............ 400,100 3,769
Hanson, PLC................... 1,912,345 14,079
Imperial Chemical Industries,
PLC......................... 1,030,095 8,865
Inchcape, PLC................. 50,000 236
Invensys...................... 1,262,717 6,125
Lasmo, PLC.................... 1,340,000 2,265
Lloyds TSB Group, PLC......... 494,849 4,855
Marconi, PLC.................. 435,000 5,439
Marks & Spencer............... 500,000 1,860
National Grid Group, PLC...... 595,500 4,939
National Power, PLC........... 460,000 2,104
Next, PLC..................... 290,000 2,280
Northern Foods, PLC........... 1,000,000 1,588
PowerGen, PLC................. 373,000 2,358
Prudential Corporation........ 371,665 5,729
Reckitt & Colman, PLC......... 985,686 10,191
Reed International, PLC....... 2,148,340 15,027
Royal & Sun Alliance Insurance
Group....................... 328,881 1,853
Royal Bank of Scotland, PLC... 417,349 6,544
Safeway, PLC.................. 509,677 1,727
Scapa Group................... 471,000 899
Shell Transportation & Trading
Company, PLC................ 535,000 4,406
Stagecoach Holdings........... 1,370,000 1,356
Storehouse.................... 1,480,000 845
Tate & Lyle, PLC.............. 405,000 1,445
Tesco, PLC.................... 4,756,447 16,263
Thames Water Group, PLC....... 173,983 2,197
TI Group, PLC................. 1,707,580 9,325
Tomkins....................... 1,822,768 5,626
Unilever, PLC................. 1,211,015 7,315
United News & Media PLC....... 618,462 8,081
Williams, PLC................. 2,048,837 11,614
----------
TOTAL UNITED KINGDOM...... 307,908
----------
UNITED STATES - 23.87%
FOREIGN SECURITIES DENOMINATED IN U.S. DOLLARS - 1.23%
CNH Global, NV................ 240,000 3,240
G P Batteries International,
Limited..................... 249,000 232
Kookmin Bank GDR, 144a (Note
A).......................... 83,356 886
Jardine Matheson Holding,
Limited..................... 767,000 3,068
Sk Telecom, Limited........... 84,281 2,702
Stolt-Nielsen SA, "B"......... 152,000 2,517
</TABLE>
See accompanying notes
--------------------------------------------------------------------------------
53
<PAGE> 56
AMR INVESTMENT SERVICES INTERNATIONAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS - CONTINUED
April 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
---------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
Telmex ADR.................... 104,000 $ 6,117
----------
TOTAL FOREIGN SECURITIES
DENOMINATED IN U.S.
DOLLARS................. 18,762
----------
SHORT TERM INVESTMENTS - 22.64%
American Select Cash Reserve
Fund........................ 299,267,455 299,267
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
---------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
AMR Investments Enhanced Yield
Business Trust.............. 48,040,302 $ 48,040
----------
TOTAL SHORT TERM
INVESTMENTS............. 347,307
----------
TOTAL UNITED STATES....... 366,069
----------
TOTAL INVESTMENTS - 110.57%
(COST
$1,528,254)................. 1,696,039
----------
LIABILITIES, NET OF OTHER
ASSETS - (10.57%)........... (162,128)
----------
TOTAL NET ASSETS - 100%....... $1,533,911
==========
</TABLE>
---------------
Based on the cost of investments of $1,529,328 for federal income tax purposes
at April 30, 2000, the aggregate gross unrealized appreciation was $270,943, the
aggregate gross unrealized depreciation was $104,232, and the net unrealized
appreciation of investments was $166,711.
(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 $16,947 or 1.10% of net assets.
ABBREVIATIONS:
AB - Company (Finland, Sweden)
ADR - American Depository Receipt (United States)
AG - Company (Austria, Germany, Switzerland)
AS - Company (Denmark, Norway)
BHD - Berhard (Malaysia)
CG - Company General (France)
GDR - Global Depository Receipt (United States)
NPV - No Par Value (Germany)
NV - Company (Netherlands, United States)
OY - Company (Finland, Sweden)
OYJ - Company, Limited (Finland)
PLC - Public Limited Corporation (United Kingdom)
RG - Registered (Spain)
SA - Company (France, Spain, United States)
SPA - Company (Italy)
See accompanying notes
--------------------------------------------------------------------------------
54
<PAGE> 57
AMR INVESTMENT SERVICES INTERNATIONAL EQUITY PORTFOLIO
INTERNATIONAL EQUITY INDUSTRY DIVERSIFICATION
April 30, 2000 (unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PERCENT OF
NET ASSETS
----------
<S> <C>
Consumer Discretionary...................................... 14.49%
Consumer Staples............................................ 8.48%
Energy...................................................... 4.47%
Finance..................................................... 11.54%
Healthcare.................................................. 3.17%
Industrials................................................. 20.29%
Information Technology...................................... 7.99%
Materials................................................... 12.54%
Telecommunication Services.................................. 0.93%
Utilities................................................... 4.03%
Short-Term Investments...................................... 22.64%
Other Assets (Liabilities).................................. (10.57%)
-------
NET ASSETS........................................ 100.00%
=======
</TABLE>
See accompanying notes
--------------------------------------------------------------------------------
55
<PAGE> 58
AMR INVESTMENT SERVICES INTERMEDIATE BOND PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
AMOUNT VALUE
----------- --------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
U.S. TREASURY OBLIGATIONS - 16.07%
U.S. TREASURY BONDS - 10.59%
10.75%, Due 2/15/2003....................................... $ 495 $ 545
7.25%, Due 5/15/2016........................................ 1,000 1,093
8.125%, Due 8/15/2019....................................... 715 859
8.75%, Due 8/15/2020........................................ 1,000 1,278
6.875%, Due 8/15/2025....................................... 750 811
6.125%, Due 11/15/2027...................................... 480 475
--------
TOTAL U.S. TREASURY BONDS............................... 5,061
--------
U.S. TREASURY NOTES - 5.48%
5.25%, Due 8/15/2003........................................ 500 480
5.75%, Due 8/15/2003........................................ 460 448
5.875%, Due 11/15/2004...................................... 500 487
6.625%, Due 5/15/2007....................................... 710 715
6.00%, Due 8/15/2009........................................ 500 488
--------
TOTAL U.S. TREASURY NOTES............................... 2,618
--------
TOTAL U.S. TREASURY OBLIGATIONS......................... 7,679
--------
U.S. AGENCY OBLIGATIONS - 9.52%
Federal Home Loan Mortgage Corporation, 6.875%, Due
1/15/2005................................................. 1,000 984
Federal Home Loan Mortgage Corporation, 5.75%, Due
3/15/2009................................................. 1,000 896
Federal National Mortgage Association, 7.125%, Due
3/15/2007................................................. 1,000 988
Federal National Mortgage Association, 5.875%, Due
11/22/2027................................................ 2,000 1,682
--------
TOTAL U.S. AGENCY OBLIGATIONS........................... 4,550
--------
U.S. AGENCY MORTGAGE-BACKED OBLIGATIONS - 26.54%
FEDERAL HOME LOAN MORTGAGE CORPORATION - 23.05%
Gold Pool #E00540, 6.00%, Due 3/1/2013...................... 560 526
Gold Pool #E69244, 6.00%, Due 3/1/2013...................... 1,112 1,044
Gold Pool #E00669, 6.00%, Due 5/1/2014...................... 1,869 1,753
Pool #458001, 9.50%, Due 12/1/2014.......................... 2,032 2,126
Pool #100292, 10.00%, Due 9/1/2018.......................... 1,056 1,119
Pool #458000, 9.50%, Due 5/1/2027........................... 1,821 1,910
Gold Pool #C26472, 6.50%, Due 5/1/2029...................... 1,289 1,205
Pool #100293, 9.50%, Due 8/1/2029........................... 1,272 1,334
--------
TOTAL FEDERAL HOME LOAN MORTGAGE CORPORATION............ 11,017
--------
FEDERAL NATIONAL MORTGAGE ASSOCIATION - 2.00%
TBA, 7.00%, Due 12/1/2099................................... 1,000 957
--------
TOTAL FEDERAL NATIONAL MORTGAGE ASSOCIATION............. 957
--------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION - 1.49%
Pool #780085, 11.50%, Due 8/15/2018......................... 647 715
--------
TOTAL GOVERNMENT NATIONAL MORTGAGE ASSOCIATION.......... 715
--------
TOTAL U.S. AGENCY MORTGAGE-BACKED OBLIGATIONS........... 12,689
--------
CORPORATE OBLIGATIONS - 35.02%
FINANCIAL - 16.77%
Chase Manhattan Corporation, 7.125%, Due 6/15/2009.......... 500 479
Citigroup, Incorporated, 6.875%, Due 2/15/2098.............. 810 666
Countrywide Home Loan, Incorporated, 6.85%, Due 6/15/2004... 1,000 963
Ford Motor Credit Corporation, 7.375%, Due 10/28/2009....... 1,175 1,139
Goldman Sachs Group, Incorporated, 7.80%, Due 1/28/2010..... 500 492
Mellon Bank, National Association, 7.375%, Due 5/15/2007.... 500 488
PNC Funding Corporation, 6.875%, Due 7/15/2007.............. 1,000 936
Simon Property Group, Incorporated, 144a (Note A) 6.625%,
Due 6/15/2003............................................. 1,000 946
Swiss Bank Corporation, 7.375%, Due 7/15/2015............... 1,000 943
</TABLE>
See accompanying notes
--------------------------------------------------------------------------------
56
<PAGE> 59
AMR INVESTMENT SERVICES INTERMEDIATE BOND PORTFOLIO
SCHEDULE OF INVESTMENTS -- CONTINUED
April 30, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
AMOUNT VALUE
----------- --------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
Wells Fargo and Company, 6.875%, Due 7/15/2004.............. $ 1,000 $ 966
--------
TOTAL FINANCIAL......................................... 8,018
--------
INDUSTRIAL - 16.76%
Atlantic Richfield Company, 9.125%, Due 3/1/2011............ 1,000 1,112
Caterpillar Financial Services, 7.34%, Due 9/30/2003........ 1,000 992
Cendant Corporation, 7.75%, Due 12/1/2003................... 500 493
Federated Department Stores, Incorporated, 6.79%, Due
7/15/2027................................................. 1,000 954
General Motors Corporation, 6.75%, Due 5/1/2028............. 200 174
Honeywell International, Incorporated, 7.50%, Due
3/1/2010.................................................. 200 200
J. C. Penny and Company, 7.375%, Due 6/15/2004.............. 2,000 1,691
Martin Marietta Material, Incorporated, 6.90%, Due
8/15/2007................................................. 500 481
Time Warner, Incorporated, 6.85%, Due 1/15/2026............. 1,015 991
Williams Companies, Incorporated, 6.50%, Due 8/1/2006....... 1,000 923
--------
TOTAL INDUSTRIAL........................................ 8,011
--------
UTILITIES - 1.49%
Sprint Capital Corporation, 6.125%, Due 11/15/2008.......... 800 711
--------
TOTAL UTILITIES......................................... 711
--------
TOTAL CORPORATE OBLIGATIONS............................. 16,740
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
SHORT-TERM INVESTMENTS - 35.31% -----------
<S> <C> <C>
American Select Cash Reserve Fund........................... 14,802,552 14,803
AMR Investments Enhanced Yield Business Trust............... 2,078,704 2,079
--------
TOTAL SHORT-TERM INVESTMENTS............................ 16,882
--------
TOTAL INVESTMENTS - 122.46% (COST $60,242).............. 58,540
--------
LIABILITIES, NET OF OTHER ASSETS - (22.46%)............. (10,735)
--------
TOTAL NET ASSETS - 100%................................. $ 47,805
========
</TABLE>
---------------
Based on the cost of investments of $60,833 for federal income tax purposes at
April 30, 2000, the aggregate gross unrealized appreciation was $19, the
unrealized depreciation was $2,312, and the net unrealized depreciation of
investments was $2,293.
(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 $946 or 1.98% of net assets.
ABBREVIATIONS:
LP - Limited Partnership
MTN - Medium-Term Note
See accompanying notes
--------------------------------------------------------------------------------
57
<PAGE> 60
AMR INVESTMENT SERVICES SHORT-TERM BOND PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
AMOUNT VALUE
---------- -------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
U.S. AGENCY MORTGAGE-BACKED OBLIGATIONS - 26.70%
FEDERAL HOME LOAN MORTGAGE CORPORATION - 12.54%
REMIC, M H-1 A, 10.15%, Due 4/15/2006..................... $ 15 $ 15
Pool #E44213, 7.00%, Due 1/1/2008......................... 2,532 2,492
Pool #A01679, 9.75%, Due 12/1/2016........................ 1,729 1,815
Pool #555436, 8.50%, Due 1/1/2019......................... 2,064 2,087
Pool #100244, 11.00%, Due 7/1/2020........................ 753 827
Pool #A01417, 10.00%, Due 3/1/2021........................ 762 806
-------
TOTAL FEDERAL HOME LOAN MORTGAGE CORPORATION............ 8,042
-------
FEDERAL NATIONAL MORTGAGE ASSOCIATION - 4.39%
Pool #050763, 7.00%, Due 7/1/2008......................... 1,135 1,115
Pool #002499, 10.00%, Due 3/1/2016........................ 1,613 1,701
-------
TOTAL FEDERAL NATIONAL MORTGAGE ASSOCIATION............. 2,816
-------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION - 9.77%
Pool #780173, 9.50%, Due 12/15/2019....................... 4,331 4,559
Pool #001429, 7.50%, Due 10/20/2023....................... 1,740 1,707
-------
TOTAL GOVERNMENT NATIONAL MORTGAGE ASSOCIATION.......... 6,266
-------
TOTAL U.S. AGENCY MORTGAGE-BACKED OBLIGATIONS........... 17,124
-------
CORPORATE OBLIGATIONS - 58.01%
FINANCIAL - 24.32%
Aetna Services, Incorporated, 6.75%, Due 8/15/2001.......... 2,000 1,976
Caterpillar Financial Services Corporation, 5.45%, Due
1/15/2002................................................. 2,000 1,939
EOP Operating Limited Partnership, 144a, 6.375%, Due
1/15/2002 (Note A)........................................ 1,000 970
Heller Financial, Incorporated, 5.875%, Due 11/1/2000....... 3,000 2,982
Lehman Brothers Holdings, Incorporated, 6.551%, Due
6/1/2001.................................................. 3,200 3,200
Merrill Lynch and Company, Variable Rate, 5.05%, Due
6/27/2000................................................. 2,000 1,999
Sears Roebuck Acceptance Corporation
7.13%, Due 6/26/2001...................................... 400 398
6.87%, Due 7/3/2001....................................... 1,000 991
Simon Property Group Incorporated, 144a, 6.625%, Due
6/15/2003 (Note A)........................................ 1,200 1,136
-------
TOTAL FINANCIAL......................................... 15,591
-------
INDUSTRIAL - 24.35%
Cendant Corporation, 7.75%, Due 12/1/2003................... 1,590 1,567
Fort James Corporation, 8.375%, Due 11/15/2001.............. 3,000 3,031
Occidental Petroleum Corporation, 6.75%, Due 11/15/2002..... 2,500 2,416
Philip Morris Companies, Incorporated, 7.25%, Due
1/15/2003................................................. 3,000 2,866
Raytheon Company, 6.75%, Due 3/1/2002....................... 2,000 1,997
Union Oil Company of California, 6.375%, Due 2/1/2004....... 2,880 2,714
Weyerhaeuser Company, 9.05%, Due 2/1/2003................... 1,000 1,025
-------
TOTAL INDUSTRIAL........................................ 15,616
-------
UTILITY - 4.50%
Sprint Capital Corporation, 5.70%, Due 11/15/2003........... 2,000 1,886
Texas Utilities Electric Company, 7.375%, Due 8/1/2001...... 1,000 999
-------
TOTAL UTILITY........................................... 2,885
-------
FOREIGN - 4.84%
Province of Quebec, 8.80%, Due 4/15/2003.................... 3,000 3,101
-------
TOTAL FOREIGN........................................... 3,101
-------
TOTAL CORPORATE OBLIGATIONS............................. 37,193
-------
ASSET-BACKED SECURITIES - 11.69%
Citibank Credit Card Master Trust I, Series 1997-3 B,
6.989%, Due 2/10/2004..................................... 3,000 2,970
Ford Credit Auto Owner Trust, 1999-B A4, 5.80%, Due
6/15/2002................................................. 3,000 2,967
Honda Auto Receivables Grantor Trust, 144a 1998-A A, 5.50%,
Due 7/15/2004 (Note A).................................... 1,585 1,555
-------
TOTAL ASSET-BACKED SECURITIES........................... 7,492
-------
</TABLE>
See accompanying notes
--------------------------------------------------------------------------------
58
<PAGE> 61
AMR INVESTMENT SERVICES SHORT-TERM BOND PORTFOLIO
SCHEDULE OF INVESTMENTS -- CONTINUED
April 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
--------- -------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
SHORT-TERM INVESTMENTS - 2.13%
American Select Cash Reserve Fund........................... 1,366,711 $ 1,367
-------
TOTAL SHORT-TERM INVESTMENTS............................ 1,367
-------
TOTAL INVESTMENTS - 98.53% (COST $64,993)................... 63,176
-------
OTHER ASSETS, NET OF LIABILITIES - 1.47%.................... 942
-------
TOTAL NET ASSETS - 100%..................................... $64,118
=======
</TABLE>
---------------
Based on the cost of investments of $64,993 for federal income tax purposes at
April 30, 2000, the aggregate gross unrealized appreciation was $15, the
unrealized depreciation was $1,832, and the net unrealized depreciation of
investments was $1,817.
(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 $3,661 or 5.71% of net assets.
ABBREVIATIONS:
MTN - Medium-Term Note
See accompanying notes
--------------------------------------------------------------------------------
59
<PAGE> 62
AMR INVESTMENT SERVICES TRUST PORTFOLIOS
STATEMENTS OF ASSETS AND LIABILITIES
April 30, 2000 (unaudited)
--------------------------------------------------------------------------------
<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 - $978,705;
$1,122,864; $90,766;
$1,528,254; $60,242;
$64,993, respectively)..... $ 978,792 $1,109,288 $83,902 $1,696,039 $58,540 $63,176
Cash, including foreign
currency................... - - - 15,167 - -
Dividends and interest
receivable................. 6,388 2,281 125 6,224 700 986
Reclaims receivable.......... - - - 266 - -
Receivable for Variation
Margin on open futures
contracts.................. - - 125 3,005 - -
Receivable for investments
sold....................... 8,725 4,303 21 10,940 - -
Other assets................. - - 69 31 - -
--------- ---------- ------- ---------- ------- -------
TOTAL ASSETS............. 993,905 1,115,872 84,242 1,731,672 59,240 64,162
--------- ---------- ------- ---------- ------- -------
LIABILITIES:
Payable for investments
purchased.................. 23,948 1,773 57 2,637 962 -
Payable upon return of
securities loaned.......... 85,642 53,669 10,804 188,194 10,445 -
Payable for Variation Margin
on open futures
contracts.................. 350 226 - - - -
Management and investment
advisory fees payable (Note
2)......................... 635 800 148 1,461 15 11
Accrued organization costs... 4 10 - 11 - 10
Unrealized depreciation on
foreign currency
contracts.................. - - - 5,458 - -
Other liabilities............ 129 144 29 - 13 23
--------- ---------- ------- ---------- ------- -------
TOTAL LIABILITIES........ 110,708 56,622 11,038 197,761 11,435 44
--------- ---------- ------- ---------- ------- -------
NET ASSETS APPLICABLE TO
INVESTORS' BENEFICIAL
INTERESTS...................... $ 883,197 $1,059,250 $73,204 $1,533,911 $47,805 $64,118
========= ========== ======= ========== ======= =======
</TABLE>
See accompanying notes
--------------------------------------------------------------------------------
60
<PAGE> 63
AMR INVESTMENT SERVICES TRUST PORTFOLIOS
STATEMENTS OF OPERATIONS (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LARGE CAP SMALL CAP INTERNATIONAL INTERMEDIATE SHORT-TERM
BALANCED VALUE VALUE EQUITY BOND BOND
-------- --------- ---------------- ------------- ------------ ----------
SIX MONTHS ENDED APRIL 30, 2000
-----------------------------------------------------------------------------------
(IN THOUSANDS)
<S> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME:
Interest income................... $ 13,882 $ 1,133 $ 238 $ 3,724 $ 5,541 $ 2,447
Dividend income (net of foreign
taxes of $50, $185 and $2,119 in
Balanced, Large Cap Value and
International Equity Portfolios,
respectively)................... 7,466 16,755 554 12,700 - -
Income derived from commission
recapture (Note 6).............. 22 49 1 39 - -
Income derived from securities
lending, net (Note 5)........... 143 54 17 280 86 -
Other Income...................... 17 16 - - - -
-------- -------- ------ -------- -------- -------
TOTAL INVESTMENT INCOME....... 21,530 18,007 810 16,743 5,627 2,447
-------- -------- ------ -------- -------- -------
EXPENSES:
Management and investment advisory
fees (Note 2)................... 1,353 1,729 233 2,576 203 86
Custodian fees.................... 103 128 17 410 23 10
Professional fees................. 13 24 3 15 4 -
Other expenses.................... 41 33 11 14 10 1
-------- -------- ------ -------- -------- -------
TOTAL EXPENSES................ 1,510 1,914 264 3,015 240 97
-------- -------- ------ -------- -------- -------
Less fees waived (Note 2)......... - - 21 - - -
-------- -------- ------ -------- -------- -------
NET EXPENSES.................. 1,510 1,914 243 3,015 240 97
-------- -------- ------ -------- -------- -------
NET INVESTMENT INCOME................. 20,020 16,093 567 13,728 5,387 2,350
-------- -------- ------ -------- -------- -------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS:
Net realized gain (loss) on:
Investments....................... (11,378) 3,564 871 85,477 (12,144) (585)
Foreign currency transactions..... - - - (16,181) - -
Futures contracts................. (1,788) (1,162) 1,561 6,342 - -
Change in net unrealized
appreciation or (depreciation)
of:
Investments....................... (27,766) (82,413) 215 73,908 6,855 (587)
Foreign currency contracts and
translations.................... - - - (83,377) - -
Futures contracts................. 2,069 (1,001) (1,252) 655 - -
-------- -------- ------ -------- -------- -------
NET GAIN (LOSS) ON
INVESTMENTS................. (38,863) (81,012) 1,395 66,824 (5,289) (1,172)
-------- -------- ------ -------- -------- -------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS........... $(18,843) $(64,919) $1,962 $ 80,552 $ 98 $ 1,178
======== ======== ====== ======== ======== =======
</TABLE>
See accompanying notes
--------------------------------------------------------------------------------
61
<PAGE> 64
AMR INVESTMENT SERVICES TRUST PORTFOLIOS
STATEMENTS OF CHANGES IN NET ASSETS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
BALANCED LARGE CAP VALUE SMALL CAP VALUE
------------------------- ------------------------- ----------------------------
SIX MONTHS SIX MONTHS SIX MONTHS
ENDED ENDED ENDED DECEMBER 31,
APRIL 30, YEAR ENDED APRIL 30, YEAR ENDED APRIL 30, 1998
2000 OCTOBER 31, 2000 OCTOBER 31, 2000 TO OCTOBER 31,
(UNAUDITED) 1999 (UNAUDITED) 1999 (UNAUDITED) 1999
----------- ----------- ----------- ----------- ----------- --------------
(IN THOUSANDS)
<S> <C> <C> <C> <C> <C> <C>
INCREASE IN NET ASSETS:
OPERATIONS:
Net investment income............ $ 20,020 $ 41,612 $ 16,093 $ 39,065 $ 567 $ 320
Net realized gain (loss) on
investments, futures contracts
and foreign currency
transactions................... (13,166) 59,888 2,402 221,657 2,432 1,165
Change in net unrealized
appreciation or depreciation of
investments, futures contracts
and foreign currency
translations................... (25,697) (89,696) (83,414) (203,626) (1,037) (7,079)
---------- ---------- ---------- ----------- -------- -------
NET INCREASE (DECREASE) IN NET
ASSETS RESULTING FROM
OPERATIONS................... (18,843) 11,804 (64,919) 57,096 1,962 (5,594)
---------- ---------- ---------- ----------- -------- -------
TRANSACTIONS IN INVESTORS'
BENEFICIAL INTERESTS:
Contributions.................... 193,636 155,233 124,898 296,048 21,172 90,405
Withdrawals...................... (298,852) (238,306) (459,043) (797,887) (16,944) (17,797)
---------- ---------- ---------- ----------- -------- -------
NET INCREASE (DECREASE) IN NET
ASSETS RESULTING FROM
TRANSACTIONS IN INVESTORS'
BENEFICIAL INTERESTS......... (105,216) (83,703) (334,145) (501,839) 4,228 72,608
---------- ---------- ---------- ----------- -------- -------
NET INCREASE (DECREASE) IN NET
ASSETS............................ (124,059) (71,269) (399,064) (444,743) 6,190 67,014
---------- ---------- ---------- ----------- -------- -------
NET ASSETS:
Beginning of period.............. 1,007,256 1,078,525 1,458,314 1,903,057 67,014 -
---------- ---------- ---------- ----------- -------- -------
END OF PERIOD.................... $ 883,197 $1,007,256 $1,059,250 $ 1,458,314 $ 73,204 $67,014
========== ========== ========== =========== ======== =======
---------------------------------------------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS:
---------------------------------------------------------------------------------------------------------------------
RATIOS:
Expenses to average net assets
(annualized)................... 0.33% 0.32% 0.33% 0.32% 0.71% 0.72%
Net investment income to average
net assets (annualized)........ 4.37% 3.82% 2.75% 2.19% 1.65% 1.13%
Portfolio turnover rate.......... 68% 90% 38% 33% 31% 31%
Decrease reflected in above
expense ratio due to absorption
of expenses by the Manager..... - - - - 0.06% 0.17%
<CAPTION>
INTERNATIONAL EQUITY INTERMEDIATE BOND SHORT-TERM BOND
------------------------- ------------------------- -------------------------
SIX MONTHS SIX MONTHS SIX MONTHS
ENDED ENDED ENDED
APRIL 30, YEAR ENDED APRIL 30, YEAR ENDED APRIL 30, YEAR ENDED
2000 OCTOBER 31, 2000 OCTOBER 31, 2000 OCTOBER 31,
(UNAUDITED) 1999 (UNAUDITED) 1999 (UNAUDITED) 1999
----------- ----------- ----------- ----------- ----------- -----------
(IN THOUSANDS)
<S> <C> <C> <C> <C> <C> <C>
INCREASE IN NET ASSETS:
OPERATIONS:
Net investment income............ $ 13,728 $ 27,114 $ 5,387 $ 14,641 $ 2,350 $ 6,202
Net realized gain (loss) on
investments, futures contracts
and foreign currency
transactions................... 75,638 111,938 (12,144) (3,536) (585) (2,001)
Change in net unrealized
appreciation or depreciation of
investments, futures contracts
and foreign currency
translations................... (8,814) 79,728 6,855 (12,532) (587) (1,481)
---------- ---------- -------- -------- -------- --------
NET INCREASE (DECREASE) IN NET
ASSETS RESULTING FROM
OPERATIONS................... 80,552 218,780 98 (1,427) 1,178 2,720
---------- ---------- -------- -------- -------- --------
TRANSACTIONS IN INVESTORS'
BENEFICIAL INTERESTS:
Contributions.................... 799,078 948,727 33,518 174,791 8,905 35,387
Withdrawals...................... (687,844) (853,527) (239,239) (98,940) (20,316) (74,093)
---------- ---------- -------- -------- -------- --------
NET INCREASE (DECREASE) IN NET
ASSETS RESULTING FROM
TRANSACTIONS IN INVESTORS'
BENEFICIAL INTERESTS......... 111,234 95,200 (205,721) 75,851 (11,411) (38,706)
---------- ---------- -------- -------- -------- --------
NET INCREASE (DECREASE) IN NET
ASSETS............................ 191,786 313,980 (205,623) 74,424 (10,233) (35,986)
---------- ---------- -------- -------- -------- --------
NET ASSETS:
Beginning of period.............. 1,342,125 1,028,145 253,428 179,004 74,351 110,337
---------- ---------- -------- -------- -------- --------
END OF PERIOD.................... $1,533,911 $1,342,125 $ 47,805 $253,428 $ 64,118 $ 74,351
========== ========== ======== ======== ======== ========
-----------------------------------
FINANCIAL HIGHLIGHTS:
-----------------------------------
RATIOS:
Expenses to average net assets
(annualized)................... 0.41% 0.37% 0.30% 0.28% 0.28% 0.29%
Net investment income to average
net assets (annualized)........ 1.87% 2.27% 6.65% 5.91% 6.86% 6.29%
Portfolio turnover rate.......... 26% 63% 48% 123% 27% 115%
Decrease reflected in above
expense ratio due to absorption
of expenses by the Manager..... - - - - - -
</TABLE>
See accompanying notes
--------------------------------------------------------------------------------
62
<PAGE> 65
AMR INVESTMENT SERVICES TRUST
NOTES TO FINANCIAL STATEMENTS
April 30, 2000 (unaudited)
--------------------------------------------------------------------------------
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
AMR Investment Services Trust (the "Trust") is registered under the
Investment Company Act of 1940, as amended, as a no-load, open-end management
investment company which was organized as a trust under the laws of the State of
New York pursuant to a Declaration of Trust dated as of June 27, 1995 and
amended on August 11, 1995. Beneficial interests in the Trust are divided into
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
--------------------------------------------------------------------------------
63
<PAGE> 66
AMR INVESTMENT SERVICES TRUST
NOTES TO FINANCIAL STATEMENTS -- CONTINUED
April 30, 2000 (unaudited)
--------------------------------------------------------------------------------
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.
Futures Contracts
The Balanced, Large Cap Value, Small Cap Value and International Equity
Portfolios may enter into financial futures contracts which are contracts to buy
a standard quantity of securities at a specified price on a future date. Upon
entering into a futures contract, the Portfolio is required to deposit with a
financial intermediary an amount ("initial margin") equal to a certain
percentage of the face value indicated in the futures contract. Subsequent
payments ("variation margin") are made or received by the Portfolio dependent
upon the daily fluctuations in the value of the underlying security and are
recorded for financial reporting purposes as unrealized gains or losses by the
Portfolio. When entering into a closing transaction, the Portfolio will realize
a gain or loss equal to the difference between the value of the futures contract
to sell and the futures contract to buy. Futures contracts are valued at the
most recent settlement price established each day by the board of trade or
exchange on which they are traded.
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.
--------------------------------------------------------------------------------
64
<PAGE> 67
AMR INVESTMENT SERVICES TRUST
NOTES TO FINANCIAL STATEMENTS -- CONTINUED
April 30, 2000 (unaudited)
--------------------------------------------------------------------------------
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.
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% $1,353 $ 895 $458
Large Cap Value Portfolio.......................... .225%-.70% 1,729 1,144 585
Small Cap Value Portfolio.......................... .50%-.66% 233 199 34
International Equity Portfolio..................... .25%-.70% 2,576 1,841 735
Intermediate Bond Portfolio........................ .25% 203 68 135
</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 six months ended April 30, 2000, the
Manager waived management fees totaling $21,000 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 six months ended April 30, 2000, the
cost of air transportation was not material to any of the Portfolios.
--------------------------------------------------------------------------------
65
<PAGE> 68
AMR INVESTMENT SERVICES TRUST
NOTES TO FINANCIAL STATEMENTS -- CONTINUED
April 30, 2000 (unaudited)
--------------------------------------------------------------------------------
3. INVESTMENT TRANSACTIONS
Investment transactions for the six months ended April 30, 2000 (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..................... $601,923 $432,605 $20,253 $353,080 $ 74,458 $17,531
Proceeds from sales........... $698,540 $773,874 $19,168 $357,198 $273,915 $25,167
</TABLE>
4. COMMITMENTS
In order to protect itself against a decline in the value of particular
foreign currencies against the U.S. dollar, the International Equity Portfolio
has entered into forward contracts to deliver or receive foreign currency in
exchange for U.S. dollars as described below. The Portfolio bears the market
risk that arises from changes in foreign exchange rates, and accordingly, the
unrealized gain (loss) on these contracts is reflected in the accompanying
financial statements. The Portfolio also bears the credit risk if the
counterparty fails to perform under the contract. At April 30, 2000, 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>
2,208 Euro Currency........................................... 5/31/00 $ 2,012 $ 17
-------- -------
Total contracts to deliver (Receivable amount $2,029).............. $ 2,012 $ 17
======== =======
CONTRACTS TO RECEIVE
--------------------
(AMOUNTS IN THOUSANDS)
5,800 Australian Dollar....................................... 6/28/00 $ 3,389 $ (133)
10,500 Canadian Dollar......................................... 6/28/00 7,101 (65)
60,200 Euro Currency........................................... 6/28/00 54,951 (3,943)
4,200,000 Japanese Yen............................................ 6/28/00 39,307 (665)
19,200 Pound Sterling.......................................... 6/28/00 29,908 (172)
44,500 Swedish Krona........................................... 6/28/00 4,982 (174)
13,000 Swiss Franc............................................. 6/28/00 7,580 (323)
-------- -------
Total contracts to receive (Payable amount $152,693)............... $147,218 $(5,475)
======== =======
</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
--------------------------------------------------------------------------------
66
<PAGE> 69
AMR INVESTMENT SERVICES TRUST
NOTES TO FINANCIAL STATEMENTS -- CONTINUED
April 30, 2000 (unaudited)
--------------------------------------------------------------------------------
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. At
April 30, 2000, the Portfolios had securities on loan as follows:
<TABLE>
<CAPTION>
MARKET VALUE OF
PORTFOLIO SECURITIES ON LOAN NON-CASH COLLATERAL CASH COLLATERAL
--------- ------------------ ------------------- ---------------
<S> <C> <C> <C>
Balanced................................ $ 85,169,091 $ 1,628,620 $ 85,642,012
Large Cap Value......................... 51,978,288 -- 53,669,000
Small Cap Value......................... 10,276,684 -- 10,804,007
International Equity.................... 189,529,428 12,690,662 188,193,719
Intermediate Bond....................... 10,247,031 31,135 10,444,509
</TABLE>
The Custodian for each Portfolio invested the cash collateral in the AMR
Investments Enhanced Yield Business Trust and the American Select Cash Reserve
Fund (the "Funds").
The Manager serves as Trustee and as investment adviser to the Funds. The
Manager receives from the Funds annualized fees equal to 0.10% of the average
daily net assets.
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.
7. FUTURES CONTRACTS
A Summary of obligations under these financial instruments at April 30,
2000 is as follows:
<TABLE>
<CAPTION>
UNREALIZED
MARKET APPRECIATION/
TYPE OF FUTURE EXPIRATION CONTRACTS VALUE (DEPRECIATION)
-------------- ---------- --------- ----------- --------------
<S> <C> <C> <C> <C>
BALANCED PORTFOLIO:
S&P 500 Index......................................... June 2000 229 $83,585,000 $ 2,069,350
LARGE CAP VALUE PORTFOLIO:
S&P 500 Index......................................... June 2000 124 45,260,000 (1,000,685)
SMALL CAP VALUE PORTFOLIO:
Russell 2000.......................................... June 2000 32 8,144,000 (1,251,800)
INTERNATIONAL EQUITY PORTFOLIO:
Hang Seng Index....................................... May 2000 41 4,076,734 53,375
Spain IBEX Index...................................... May 2000 49 5,156,386 89,508
Sweden OMX Index...................................... May 2000 407 6,512,091 349,780
Australia Allord Index................................ June 2000 97 4,434,571 (102,156)
Canada S&P Index...................................... June 2000 125 9,465,479 (29,918)
France CAC Index...................................... June 2000 346 20,263,384 461,236
Germany DAX Index..................................... June 2000 101 17,168,003 (340,439)
Italy MIB Index....................................... June 2000 37 7,702,563 (153,800)
UK FTSE Index......................................... June 2000 383 38,263,483 (560,809)
Japan Nikkei 300 Index................................ June 2000 1,716 50,952,041 888,512
</TABLE>
--------------------------------------------------------------------------------
67
<PAGE> 70
AMERICAN EAGLE LOGO
<PAGE> 71
AMERICAN
AADVANTAGE FUNDS(R)
TO OBTAIN MORE INFORMATION ABOUT THE FUNDS:
[KEYBOARD ICON] [MOUSE ICON]
BY E-MAIL: ON THE INTERNET:
[email protected] Visit our website at www.aafunds.com
[TELEPHONE ICON] [MAILBOX ICON]
BY TELEPHONE: BY MAIL:
Institutional Class American AAdvantage Funds
Call (800) 967-9009 P.O. Box 619003 MD 5645
AMR Class(SM) DFW Airport, TX 75261-9003
Call (800) 433-2434
PlanAhead Class(R)
Call (800) 388-3344
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> 72
--------------------------------------------------------------------------------
American AAdvantage Funds
P.O. Box 619003
DFW Airport, TX 75261-9003
