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Previous: MORGAN GRENFELL INVESTMENT TRUST, NSAR-B/A, 1995-12-29 |
Next: CT&T FUNDS, 24F-2NT/A, 1995-12-29 |
<PAGE>
================================================================================
MORGAN GRENFELL
================================================================================
INVESTMENT TRUST
================================================================================
ANNUAL REPORT
================================================================================
October 31, 1995
<PAGE>
================================================================================
Dear Fellow Shareholder:
The Morgan Grenfell Investment Trust continues to experience substantial growth
in aggregate net assets, having reached the $1 billion dollar plateau in July
1995 and totaling $1.17 billion as of October 31, 1995. With a total of 12 funds
now available, the Morgan Grenfell Investment Trust offers a broad array of
investment choices to our clients in both the domestic and international areas.
During the past fiscal year, we have added the following new funds:
. Morgan Grenfell Smaller Companies Fund (U.S. Equity)
. Morgan Grenfell Short-Term Fixed Income Fund (U.S.)
. Morgan Grenfell Short-Term Municipal Bond Fund (U.S.)
. Morgan Grenfell International Equity Fund (EAFE)
We look forward to opening additional international and domestic funds which
will provide greater flexibility and diversification to our clients. The
international and U.S. markets can be expected to provide both challenge and
opportunity. Our specialist investment teams continue their efforts to add value
within their areas of expertise.
Sincerely,
/s/ James E. Minnick
James E. Minnick
President,
Morgan Grenfell Investment Trust
<PAGE>
TABLE OF CONTENTS
================================================================================
Management's Discussion and Analysis of Fund
Performance.............................................................. 5
Schedule of Investments..................................................... 16
Statement of Assets and Liabilities......................................... 49
Statement of Operations..................................................... 52
Statement of Changes in Net Assets.......................................... 54
Financial Highlights........................................................ 57
Notes to Financial Statements............................................... 59
Report of Independent Accountants........................................... 65
Shareholder Voting Results.................................................. 66
Notice to Shareholders...................................................... 67
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
================================================================================
Morgan Grenfell Investment Trust -- October 31, 1995
Municipal Bond Fund
Since the Fund's inception in December 1991, we have sought to provide
shareholders with a high level of current tax exempt income without investing
exclusively in long term bonds in order to obtain that high level of income. We
have focused on purchasing issues with intermediate maturities and early
retirement features, such as sinking funds and pre-payment bond calls.
The rapid decline in interest rates since last fall has caused bond prices
to rise sharply during the last twelve months. Positive total returns were
experienced by the Fund as the increase in principal value augmented the income
received. For the year ended October 31, 1995, the Morgan Grenfell Municipal
Bond Fund provided a total rate of return of 10.90%. For comparison, the Lehman
Brothers seven year General Obligations Bond Index posted a return of 12.69%
over the same period.
Bonds with sinking fund retirements and mortgage prepayment calls continue
to offer attractive opportunities.
================================================================================
MUNICIPAL BOND FUND
================================================================================
AVERAGE ANNUAL TOTAL RETURN
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
1 Year Since Inception
- --------------------------------------------------------------------------------
<S> <C> <C>
Municipal Bond Fund 10.90% 9.46%
- --------------------------------------------------------------------------------
</TABLE>
Comparison of change in the value of a $250,000 investment in the Morgan
Grenfell Municipal Bond Fund, versus the Lehman Brothers 7-Year G.O. Index.
[GRAPH APPEARS HERE]
Municipal Bond Fund
A line graph depicting the total growth (including reinvestment of dividends and
capital gains) of a hypothetical investment of $250,000 in the Morgan Grenfell
Municipal Bond Fund from December 31, 1991 through October 31, 1995 as compared
with the growth of a $250,000 investment in the Lehman Brothers 7 Year General
Obligation Index. The plot points used to draw the line graph were as follows:
<TABLE>
<CAPTION>
Period Ended Growth of $250,000 Growth of $250,000
Invested in Morgan Invested in the Lehman
Grenfell Municipal Brothers 7 Year G.O. Index
Bond Fund
<S> <C> <C>
12/31/91 $250,000 $250,000
10/31/92 $271,838 $263,748
10/31/93 $311,771 $295,108
10/31/94 $311,366 $289,146
10/31/95 $345,305 $325,839
</TABLE>
*Commenced operations on December 13, 1991. Performance begins on December 31,
1991 for comparative data.
Note: Performance data quoted represents past performance and is not predictive
of future performance. Actual return and principal value will fluctuate,
and shares when redeemed may be worth more or less than their original
cost.
Fixed Income Fund
Since the Fund's inception in September 1992, we have sought to provide
shareholders with a high level of current income consistent with reasonable
safety of principal. U.S. Treasury, corporate, mortgage backed, taxable
municipal and tax exempt municipal bonds are all analyzed for possible inclusion
in the portfolio. Relative value assessments are based on relating credit
worthiness and cash flow structure to price. Industry and sector weightings are
subordinated to the evaluation of individual bonds.
For the year ended October 31, 1995, the Morgan Grenfell Fixed Income Fund
provided a total return of 14.53%. For comparison, the Lehman Brothers Aggregate
Bond Index posted a
5
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
================================================================================
Morgan Grenfell Investment Trust -- October 31, 1995
return of 15.66% over the same period. During this period, interest rates fell
sharply as the U.S. economy slowed following a period of rapid growth. Yields of
five-year U.S. Treasury Notes fell from 7.5% to 5.8% causing bond prices to
rise.
The credit quality of the portfolio was strong with 59% of the portfolio
rated AAA and 69% AA or better. We exercised caution all year in the corporate
and mortgage-backed sectors, having been concerned about a lack of supply
causing the yield spreads over the U.S. Treasury bonds to be too narrow.
================================================================================
FIXED INCOME FUND
================================================================================
AVERAGE ANNUAL TOTAL RETURN
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
1 Year Since Inception
- --------------------------------------------------------------------------------
<S> <C> <C>
Fixed Income Fund 14.53% 8.94%
- --------------------------------------------------------------------------------
</TABLE>
Comparison of change in the value of a $250,000 investment in the Morgan
Grenfell Fixed Income Fund, versus the Lehman Brothers Aggregate Bond Index.
[GRAPH APPEARS HERE]
Fixed Income Fund
A line graph depicting the total growth (including reinvestment of dividends and
capital gains) of a hypothetical investment of $250,000 in the Morgan Grenfell
Fixed Income Fund from September 30, 1992 through October 31, 1995 as compared
with the growth of a $250,000 investment in the Lehman Brothers Aggregate Bond
Index. The plot points used to draw the line graph were as follows:
<TABLE>
<CAPTION>
Period Ended Growth of $250,000 Growth of $250,000
Invested in Morgan Invested in Lehman
Grenfell Fixed Brothers Aggregate
Income Fund Bond Index
<S> <C> <C>
9/30/92 $250,000 $250,000
10/31/92 $247,600 $246,675
10/31/93 $290,385 $275,955
10/31/94 $282,922 $265,828
10/31/95 $324,031 $307,430
</TABLE>
*Commenced operations on September 18, 1992. Performance begins on
September 30, 1992 for comparative data.
Note: Performance data quoted represents past performance and is not predictive
of future performance. Actual return and principal value will fluctuate,
and shares when redeemed may be worth more or less than their original
cost.
Short-Term
Municipal Bond Fund
The Morgan Grenfell Short-Term Municipal Bond Fund was opened on March 6,
1995. Since that time, we have acquired a diversified portfolio of short-term
municipal bonds with a very short duration. Over the last three months, the Fund
generated a total return of 1.99%. Since inception, the Fund has generated a
total return of 4.39%. The returns have been achieved by investing in bonds
providing a high level of tax-free income, with limited price volatility due to
their short durations.
================================================================================
SHORT-TERM MUNICIPAL
BOND FUND
================================================================================
AVERAGE ANNUAL TOTAL RETURN
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Since Inception
- --------------------------------------------------------------------------------
<S> <C>
Short-Term Municipal Bond Fund 4.39%
- --------------------------------------------------------------------------------
</TABLE>
Comparison of change in the value of a $250,000 investment in the Morgan
Grenfell Short-Term Municipal Bond Fund, versus the IBC/Donoghue Total Tax-Free
Average.
[GRAPH APPEARS HERE]
Short-Term Municipal Bond Fund
A line graph depicting the total growth (including reinvestment of dividends and
capital gains) of a hypothetical investment of $250,000 in the Morgan Grenfell
Short-Term Municipal Bond Fund from March 31, 1995 through October 31, 1995 as
compared with the growth of a $250,000 investment in the IBC/Donoghue Total
Tax-Free Average. The plot points used to draw the line graph were as follows:
<TABLE>
<CAPTION>
Period Ended Growth of $250,000 Growth of $250,000
Invested in Morgan Invested in IBC/Donoghue
Grenfell Short-Term Total Tax-Free Average
Municipal Bond Fund
<S> <C> <C>
3/31/95 $250,000 $250,000
10/31/95 $259,083 $254,967
</TABLE>
*Commenced operations on March 6, 1995. Performance begins on March 31, 1995
for comparative data.
Note: Performance data quoted represents past performance and is not predictive
of future performance. Actual return and principal value will fluctuate,
and shares when redeemed may be worth more or less than their original
cost.
6
<PAGE>
================================================================================
Short-Term
Fixed Income Fund
The Morgan Grenfell Short-Term Fixed Income Fund was opened on March 13,
1995. In the brief period the Fund has been publicly offering its shares, we
have been purchasing short-term investment grade securities. Over the last three
months, the Fund generated a total return of 1.60%. Since inception, the Fund
has generated a total return of 3.82%. The returns have been achieved by
investing in short-term bonds providing a high level of income, with limited
price volatility due to their short durations.
================================================================================
SHORT-TERM FIXED
INCOME FUND
================================================================================
AVERAGE ANNUAL TOTAL RETURN
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Since Inception
- --------------------------------------------------------------------------------
<S> <C>
Short-Term Fixed Income Fund 3.82%
- --------------------------------------------------------------------------------
</TABLE>
Comparison of change in the value of a $250,000 investment in the Morgan
Grenfell Short-Term Fixed Income Fund, versus the Merrill Lynch 182-Day Treasury
Bill Index.
[GRAPH APPEARS HERE]
Short-Term Fixed Income Fund
A line graph depicting the total growth (including reinvestment of dividends and
capital gains) of a hypothetical investment of $250,000 in the Morgan Grenfell
Short-Term Fixed Income Fund from March 31, 1995 through October 31, 1995 as
compared with the growth of a $250,000 investment in the Merrill Lynch 182-Day
Treasury Bill Index. The plot points used to draw the line graph were as
follows:
<TABLE>
<CAPTION>
Period Ended Growth of $250,000 Growth of $250,000
Invested in Morgan Invested in Merrill Lynch
Grenfell Short-Term 182-Day Treasury
Fixed Income Fund Bill Index
<S> <C> <C>
3/31/95 $250,000 $250,000
10/31/95 $258,882 $259,062
</TABLE>
*Commenced operations on March 13, 1995. Performance begins on March 31, 1995
for comparative data.
Note: Performance data quoted represents past performance and is not predictive
of future performance. Actual return and principal value will fluctuate,
and shares when redeemed may be worth more or less than their original
cost.
Smaller Companies Fund
The Smaller Companies Fund had net assets of $2.6 million as of October 31,
1995. The investment objective of this Fund is to maximize capital appreciation
by investing in equity securities of small capitalization growth oriented
companies located primarily in the United States. Small companies are defined as
those companies ranked according to market capitalization in the bottom 5% to
20% range of the U.S. equity market. This encompasses approximately 1,500
companies with market values ranging from $240 million to $1.5 billion.
Since inception on June 30, 1995 to October 31, 1995, the Fund has
appreciated 5.5%; this compares to the S&P 600 Small Cap Index which gained
7.2%. During this startup phase of the Fund we have implemented a "go slow"
approach to selecting investments which should give us advantageous entry
points. In the short term, this approach has caused the Fund to lag the
benchmark due to a higher than normal cash position.
The Smaller Companies Fund utilizes a team approach with four portfolio
managers/analysts researching the universe for the best investment ideas. This
process allows for expertise across all economic sectors thus optimizing the
research function and enabling a system of control. Along with research and
portfolio management, the team includes a specialized small company trading
capability to maximize our execution strategy.
The closing NAV as of October 31, 1995 was $10.55.
7
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
================================================================================
Morgan Grenfell Investment Trust -- October 31, 1995
================================================================================
SMALLER COMPANIES FUND
================================================================================
AVERAGE ANNUAL TOTAL RETURN
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Since Inception
- --------------------------------------------------------------------------------
<S> <C>
Smaller Companies Fund 5.50%
- --------------------------------------------------------------------------------
</TABLE>
Comparison of change in the value of a $250,000 investment in the Morgan
Grenfell Smaller Companies Fund, versus the S&P 600 Small Cap Index.
[GRAPH APPEARS HERE]
Smaller Companies Fund
A line graph depicting the total growth (including reinvestment of dividends
and capital gains) of a hypothetical investment of $250,000 in the Morgan
Grenfell Smaller Companies Fund from June 30, 1995 through October 31, 1995 as
compared with the growth of a $250,000 investment in the S&P 600 Small Cap
Index. The plot points used to draw the line graph were as follows:
<TABLE>
<CAPTION>
Period Ended Growth of $250,000 Growth of $250,000
Invested in Morgan Invested in S&P
Grenfell Smaller 600 Small Cap Index
Companies Fund
<S> <C> <C>
6/30/95 $250,000 $250,000
10/31/95 $263,748 $267,996
</TABLE>
*Commenced operations on June 30, 1995. Performance begins on June 30, 1995
for comparative data.
Note: Performance data quoted represents past performance and is not predictive
of future performance. Actual return and principal value will fluctuate,
and shares when redeemed may be worth more or less than their original
cost.
International Equity Fund
The International Equity Fund commenced operations on May 15, 1995 and had
total net assets of $2.7 million as of October 31, 1995.
The Fund's investment objective is to maximize capital appreciation by
investing in equity securities of companies located in countries other than the
United States. In general, the Fund will invest in medium to large
capitalization companies; many of them will be household names.
Since inception, the Fund has significantly outperformed its benchmark
(Morgan Stanley EAFE Index) returning 9.50% compared to the benchmark's return
of 2.45%. During this period, most major world stock markets have performed
strongly with the notable exception of Japan. This market performed poorly in
the second quarter against the background of a strong Yen and lack of government
action to stimulate the economy. As evidence emerged that action was being taken
in the third quarter, the market showed strong positive gains in local currency.
However, much of this appreciation was not translated into dollar returns as the
Yen weakened significantly. The Fund has benefited from the currency hedging
strategy during the period.
In Continental Europe, the emphasis has been on the peripheral markets of
Finland, Norway and Sweden. These markets are benefiting from currency
devaluation and, therefore, strong earnings results from their export companies.
In the Pacific-basin ex Japan market, returns have been disappointing.
However, the region looks attractive and is likely to benefit from the strong
U.S. equity market and low U.S. interest rates, as well as an encouraging
outlook for corporate earnings. The price/earnings multiple for the region is
well below its 5 year average.
International equity markets have performed well so far this year. In the
short term, there are several uncertainties and risks for markets, the threat in
the failure of the U.S. budget deficit reduction program, the UK Budget and
increasing LRM tensions. However, world economies have slowed considerably
during 1995, especially in the U.S., UK and core Continental European countries.
Inflation remains at low levels and it is likely that there will be a further
easing of monetary policy in these economies. This is likely to be supportive of
equity markets as more sustainable growth is discounted further. The Fund will
continue to focus on earnings growth and diversification across the major
developing equity markets worldwide.
8
<PAGE>
================================================================================
The total return for the period from inception through October 31, 1995 was
9.50% with a closing NAV of $10.95.
================================================================================
INTERNATIONAL EQUITY FUND
================================================================================
AVERAGE ANNUAL TOTAL RETURN
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Since Inception
- --------------------------------------------------------------------------------
<S> <C>
International Equity Fund 9.50%
- --------------------------------------------------------------------------------
</TABLE>
Comparison of change in the value of a $250,000 investment in the Morgan
Grenfell International Equity Fund, versus the Morgan Stanley EAFE Index.
[GRAPH APPEARS HERE]
International Equity Fund
A line graph depicting the total growth (including reinvestment of dividends and
capital gains) of a hypothetical investment of $250,000 in the Morgan Grenfell
International Equity Fund from May 31, 1995 through October 31, 1995 as compared
with the growth of a $250,000 investment in the Morgan Stanley EAFE Index. The
plot points used to draw the line graph were as follows:
<TABLE>
<CAPTION>
Period Ended Growth of $250,000 Growth of $250,000
Invested in Morgan Invested in Morgan
Grenfell International Stanley EAFE Index
Equity Fund
<S> <C> <C>
5/31/95 $250,000 $250,000
10/31/95 $271,599 $248,902
</TABLE>
*Commenced operations on May 15, 1995. Performance begins on May 31, 1995 for
comparative data.
Note: Performance data quoted represents past performance and is not predictive
of future performance. Actual return and principal value will fluctuate,
and shares when redeemed may be worth more or less than their original
cost.
International Small
Cap Equity Fund
The International Small Cap Equity Fund commenced operations on January 3,
1994 and had total net assets of $90.9 million as of October 31, 1995.
The investment objective of this Fund is to maximize capital appreciation
by investing primarily in equity securities of small capitalization companies
located in countries other than the United States. Small capitalization
companies are defined as those issuers ranked according to market capitalization
in the bottom 20% of the companies listed on a stock exchange, and any stock
listed on a secondary market.
International small cap equities in general continued to underperform their
larger counterparts during the period under review. This extends to nearly 18
months the period of small cap underperformance. This performance continues to
reflect poor investment sentiment rather than investment fundamentals. Small cap
stocks continue to provide superior earnings growth to their larger counterparts
and yet price/earnings valuations are at a discount to large stocks in all major
regions of the non-U.S. world. We do not believe that this situation, which is
historically unusual, will persist and remain positive regarding the outlook. It
is, however, at present difficult to predict what will change the currently
prevailing negative sentiment. Lower interest rates and a more stable U.S.
dollar have so far failed to provide the expected spur. Nonetheless, we remain
positive regarding the outlook for the Fund into 1996.
The Fund outperformed its benchmark (Natwest Markets Euro/Pacific Small Cap
Index) -6.67% to -8.25% during the twelve month period ended October 31, 1995.
All areas of investment decision making (country allocation, stock selection,
currency management and cash/liquidity management) contributed positively. In
particular, stock selection was positive in all major regions of the non-U.S.
world, with Continental Europe and Japan in the forefront. Our currency hedging
strategy out of Yen into U.S. dollars also contributed significantly as the Yen
weakened substantially from its high in April. We have reduced the size of the
currency hedge on two occasions as the U.S. dollar has strengthened, but still
maintain a hedge on 30% of the Fund's Yen assets.
9
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
================================================================================
Morgan Grenfell Investment Trust -- October 31, 1995
The total return for the twelve month period ended October 31, 1995 was
- -6.67%, with a closing NAV of $9.40.
================================================================================
INTERNATIONAL SMALL CAP
EQUITY FUND
================================================================================
AVERAGE ANNUAL TOTAL RETURN
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
1 Year Since Inception
- --------------------------------------------------------------------------------
<S> <C> <C>
International Small Cap Equity Fund -6.67% -1.88%
- --------------------------------------------------------------------------------
</TABLE>
Comparison of change in the value of a $250,000 investment in the Morgan
Grenfell International Small Cap Equity Fund, versus the Natwest Markets
Euro/Pacific Small Cap Index.
[GRAPH APPEARS HERE]
International Small Cap Equity Fund
A line graph depicting the total growth (including reinvestment of dividends and
capital gains) of a hypothetical investment of $250,000 in the Morgan Grenfell
International Small Cap Equity Fund from January 31, 1994 through October 31,
1995 as compared with the growth of a $250,000 investment in the Natwest Markets
Euro/Pacific Small Cap Index. The plot points used to draw the line graph were
as follows:
<TABLE>
<CAPTION>
Period Ended Growth of $250,000 Growth of $250,000
Invested in Morgan Invested in Natwest
Grenfell International Markets Euro/Pacific
Small Cap Equity Fund Small Cap Index
<S> <C> <C>
1/31/94 $250,000 $250,000
10/31/94 $248,781 $268,522
10/31/95 $232,188 $246,368
</TABLE>
*Commenced operations on January 3, 1994. Performance begins on January 31,
1994 for comparative data.
Note: Performance data quoted represents past performance and is not predictive
of future performance. Actual return and principal value will fluctuate,
and shares when redeemed may be worth more or less than their original
cost.
European Small Cap Equity Fund
The European Small Cap Equity Fund commenced operations on November 1, 1994
and had total net assets of $9.3 million as of October 31, 1995.
The objective of the Fund is to maximize capital appreciation by investing
primarily in equity securities of small capitalization companies located on the
continent of Europe. Small capitalization companies are defined as those
issuers, ranked according to market capitalization in the bottom 20% of the
companies listed on a stock exchange, or any stock listed on a secondary market.
From its inception, the Fund has outperformed its benchmark (the Natwest
Markets European Small Cap Index) 15.66% to 10.16%. The performance of the
Continental European portfolio was driven largely by the strong share price
performance of small cap growth stocks in the last quarter, which feature
heavily in the Fund, as investors increasingly sought out companies that could
grow due to trends unrelated to the economy in general.
There are strong reasons to be optimistic about the sustainability and
extent of the European economic upturn. Inflationary risks have reduced since
the first half of the year with commodity prices falling back and with the
corporate sector continuing to match pay rises with restructuring. The outlook
for interest rates has thus improved suggesting an extended business cycle. It
is however likely that the growth rates achieved by "fiscal looseners" (Germany,
the Netherlands and the UK) will increasingly diverge from those achieved by the
"fiscal tighteners" (France, Italy, Spain and Sweden) where budgetary problems
remain persistent. In these countries the outlook for consumer expenditure
remains bleak. Overall, however, we believe that growth will remain positive in
all countries aggregating at just below 3% in both 1996 and 1997.
Given this positive economic background, we believe that the risk of
investing in the small company sector remains low. European small company
valuations are still very attractive, particularly in Continental Europe where
they are trading at a price/earnings discount of some 15-20%. The market remains
highly inefficient with
10
<PAGE>
================================================================================
plenty of opportunities to purchase high growth companies on low price/
earnings. It remains our strategy to invest almost wholly in growth companies
where the growth rate, in our view, is not fully reflected in the share price.
The total return for the period November 1, 1994 to October 31, 1995 was
15.66%, with a closing NAV of $11.55.
================================================================================
EUROPEAN SMALL CAP
EQUITY FUND
================================================================================
AVERAGE ANNUAL TOTAL RETURN
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Since Inception
- --------------------------------------------------------------------------------
<S> <C>
European Small Cap Equity Fund 15.66%
- --------------------------------------------------------------------------------
</TABLE>
Comparison of change in the value of a $250,000 investment in the Morgan
Grenfell European Small Cap Equity Fund, versus the Natwest Markets European
Small Cap Index.
[GRAPH APPEARS HERE]
European Small Cap Equity Fund
A line graph depicting the total growth (including reinvestment of dividends and
capital gains) of a hypothetical investment of $250,000 in the Morgan Grenfell
European Small Cap Equity Fund from November 30, 1994 through October 31, 1995
as compared with the growth of a $250,000 investment in the Natwest Markets
European Small Cap Index. The plot points used to draw the line graph were as
follows:
<TABLE>
<CAPTION>
Period Ended Growth of $250,000 Growth of $250,000
Invested in Morgan Invested in Natwest
Grenfell European Markets European
Small Cap Equity Fund Small Cap Index
<S> <C> <C>
11/30/94 $250,000 $250,000
10/31/95 $296,258 $275,368
</TABLE>
*Commenced operations on November 1, 1994. Performance begins on November 30,
1994 for comparative data.
Note: Performance data quoted represents past performance and is not predictive
of future performance. Actual return and principal value will fluctuate,
and shares when redeemed may be worth more or less than their original
cost.
Emerging Markets
Equity Fund
The Emerging Markets Equity Fund commenced operations on February 2, 1994
and had net assets of $93.3 million as of October 31, 1995.
The investment objective of this Fund is to maximize capital appreciation
by investing primarily in equity securities of issuers located in countries
which have yet to reach the level of maturity associated with developed markets.
The twelve month period ended October 31, 1995 saw a volatile market
period, but one in which the overall returns were minimal. The Fund's
performance was -21.00% over the period, while the performance of the Fund's
benchmark (the Barings Emerging Markets Index) was -21.97%.
Low sentiment and volume were characteristics of the period, with movements
in individual country indices tending to be sharp. In Latin America the
Brazilian economy remained subject to very tight monetary restrictions, while in
Mexico the delay in economic recovery led to renewed weakness in the Peso. South
East Asia saw concerns of overheating in Thailand and Malaysia but continues to
exhibit very strong economic growth.
The case for diversification of pension fund assets into emerging markets
remains based around the superior growth rates expected from those countries.
The focus of the Mexican government has remained on ensuring low inflation in
the medium term through economic deregulation and free trade. The continuity of
economic policy in Mexico, and the recent election success of similar policies
in Brazil, Peru and Argentina gives confidence that recovery from the current
low levels of sentiment is soundly based.
The closing NAV of the Emerging Markets Equity Fund on October 31, 1995
was $8.11.
11
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
================================================================================
Morgan Grenfell Investment Trust -- October 31, 1995
================================================================================
EMERGING MARKETS
EQUITY FUND
================================================================================
AVERAGE ANNUAL TOTAL RETURN
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
1 Year Since Inception
- --------------------------------------------------------------------------------
<S> <C> <C>
Emerging Markets Equity Fund -21.00% -7.73%
- --------------------------------------------------------------------------------
</TABLE>
Comparison of change in the value of a $250,000 investment in the Morgan
Grenfell Emerging Markets Equity Fund, versus the Barings Emerging Markets
Index.
[GRAPH APPEARS HERE]
Emerging Markets Equity Fund
A line graph depicting the total growth (including reinvestment of dividends and
capital gains) of a hypothetical investment of $250,000 in the Morgan Grenfell
Emerging Markets Equity Fund from February 28, 1994 through October 31, 1995
as compared with the growth of a $250,000 investment in the Barings Emerging
Markets Index. The plot points used to draw the line graph were as follows:
<TABLE>
<CAPTION>
Period Ended Growth of $250,000 Growth of $250,000
Invested in Morgan Invested in Barings
Grenfell Emerging Emerging Markets
Markets Equity Fund Index
<S> <C> <C>
2/28/94 $250,000 $250,000
10/31/94 $275,274 $273,855
10/31/95 $217,467 $213,689
</TABLE>
*Commenced operations on February 2, 1994. Performance begins on February 28,
1994 for comparative data.
Note: Performance data quoted represents past performance and is not predictive
of future performance. Actual return and principal value will fluctuate,
and shares when redeemed may be worth more or less than their original
cost.
Global Fixed Income Fund
The Global Fixed Income Fund commenced operations on January 3, 1994 and
had total net assets of $139.3 million as of October 31, 1995. The investment
objective of this Fund is to maximize total return, emphasizing current income
while providing opportunities for capital growth consistent with reasonable
risk. The Fund invests primarily in high grade debt obligations of the U.S. and
foreign governments and their agencies, obligations of international and
supranational entities, and high grade fixed income obligations of U.S. and
foreign corporate issuers. The Fund uses currency hedging techniques as a means
of protecting the U.S. dollar value of foreign assets. The Fund fell 0.60% in
the third quarter, but has returned 13.88% for the year ended October 31, 1995.
The most important development in the world financial markets during the
last twelve months has been the stabilization and the reappreciation of the U.S.
dollar. By the end of October, the dollar had retraced all of its first quarter
decline against the Japanese Yen. Coordinated G3 intervention in support of the
dollar proved effective and the bullish environment for the dollar proved
supportive for the high yielding European currencies against the Deutschemark.
European bond markets outperformed during the third quarter, particularly the
high yielding markets of Italy, Sweden and Spain, which benefited from currency
strength and a relaxation of political tensions during the summer months.
Looking forward, we believe the core Europe markets stand to register the
strongest returns, due to the modest growth and subdued inflation outlook that
will continue into 1996. The Fund is therefore overweight in the German, French
and Danish markets. The U.S. bond market rally slowed in the third quarter as
increasing consumer confidence and industrial production made recession less
likely and the market consequently scaled back its rate reduction expectations.
We expect U.S. bond yields to remain at around current levels for the rest of
the year and we retain a broadly neutral U.S. bond market position. The Japanese
bond market, despite strong domestic and governmental support, remains
vulnerable to a sell off from current low yields.
The total return for the twelve month period ended October 31, 1995 is
13.88% compared with 15.20% for the Fund's benchmark (the Salomon World
Government Bond Index, unhedged), with a closing NAV per share of $10.99.
12
<PAGE>
================================================================================
================================================================================
GLOBAL FIXED INCOME FUND
================================================================================
AVERAGE ANNUAL TOTAL RETURN
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
1 Year Since Inception
- --------------------------------------------------------------------------------
<S> <C> <C>
Global Fixed Income Fund 13.88% 6.51%
- --------------------------------------------------------------------------------
</TABLE>
Comparison of change in the value of a $250,000 investment in the Morgan
Grenfell Global Fixed Income Fund, versus the Salomon World Government Bond
Index, Unhedged, in U.S. $ terms.
[GRAPH APPEARS HERE]
Global Fixed Income Fund
A line graph depicting the total growth (including reinvestment of dividends and
capital gains) of a hypothetical investment of $250,000 in the Morgan Grenfell
Global Fixed Income Fund from January 31, 1994 through October 31, 1995 as
compared with the growth of a $250,000 investment in the Salomon World
Government Bond Index, Unhedged, in U.S. Terms. The plot points used to draw the
line graph were as follows:
<TABLE>
<CAPTION>
Period Ended Growth of $250,000 Growth of $250,000
Invested in Morgan Invested in Salomon World
Grenfell Global Government Bond Index,
Fixed Income Fund Unhedged, in U.S. $ terms
<S> <C> <C>
1/31/94 $250,000 $250,000
10/31/94 $244,334 $256,622
10/31/95 $278,247 $295,629
</TABLE>
*Commenced operations on January 3, 1994. Performance begins on January 31,
1994 for comparative data.
Note: Performance data quoted represents past performance and is not predictive
of future performance. Actual return and principal value will fluctuate,
and shares when redeemed may be worth more or less than their original
cost.
International
Fixed Income Fund
The International Fixed Income Fund commenced operations on March 15, 1994
and had total net assets of $27.6 million as of October 31, 1995.
The Fund's objective is identical to that of the Global Fixed Income Fund
with the exception being that the International Fixed Income Fund does not
invest in U.S. dollar denominated bonds as a means of achieving its objective.
The Fund uses currency hedging techniques as a means of protecting the U.S.
dollar value of foreign assets.
The Fund returned 14.66% for the year ended October 31, 1995 compared to
16.36% for the Fund's benchmark (the Salomon World Government Bond Index, non-
U.S., Hedged). We do not believe the recent outperformance of the high yielding
European markets will continue as political and budgetary uncertainties reassert
themselves. Core European bond markets by contrast, should benefit from subdued
inflation, deficit reduction and stable politics. We believe France will make
the spending cuts necessary to meet the Maastricht criteria, and therefore the
Fund will retain its overweight position in core markets relative to high
yielding markets in Europe.
The Fund's underweight position in Japan reflects our belief that Japanese
bond yields will rise as the Yen's depreciation makes domestic equities and
overseas asset classes more attractive to Japanese investors.
The total return for the twelve month period ended October 31, 1995 is
14.66%, with a closing NAV per share of $11.34.
13
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
================================================================================
Morgan Grenfell Investment Trust -- October 31, 1995
================================================================================
INTERNATIONAL FIXED INCOME FUND
================================================================================
AVERAGE ANNUAL TOTAL RETURN
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
1 Year Since Inception
- --------------------------------------------------------------------------------
<S> <C> <C>
International Fixed Income Fund 14.66% 8.35%
- --------------------------------------------------------------------------------
</TABLE>
Comparison of change in the value of a $250,000 investment in the Morgan
Grenfell International Fixed Income Fund, versus the Salomon World Government
Bond Index, Non-U.S., Hedged, and the Salomon World Government Bond Index, Non-
U.S., Unhedged.
[GRAPH APPEARS HERE]
International Fixed Income Fund
A line graph depicting the total growth (including reinvestment of dividends and
capital gains) of a hypothetical investment of $250,000 in the Morgan Grenfell
International Fixed Income Fund from March 31, 1994 through October 31, 1995 as
compared with the growth of a $250,000 investment in the Salomon World
Government Bond Index, Non-U.S., Hedged and the Salomon World Government Bond
Index, Non-U.S., Unhedged. The plot points used to draw the line graph were as
follows:
<TABLE>
<CAPTION>
Period Ended Growth of $250,000 Growth of $250,000 Growth of $250,000
Invested in Morgan Invested in Salomon Invested in Salomon
Grenfell International Fixed World Government World Government
Income Fund Bond Index, Bond Index,
Non-U.S., Hedged Non-U.S., Unhedged
<S> <C> <C> <C>
3/31/94 $250,000 $250,000 $250,000
10/31/94 $246,785 $244,931 $265,103
10/31/95 $282,963 $285,002 $306,645
</TABLE>
*Commenced operations on March 15, 1994. Performance begins on March 31,
1994 for comparative data.
Note: Performance data quoted represents past performance and is not predictive
of future performance. Actual return and principal value will fluctuate,
and shares when redeemed may be worth more or less than their original
cost.
Emerging Markets
Debt Fund
The Emerging Markets Debt Fund commenced operations on August 4, 1994 and
had total net assets of $84 million as of October 31, 1995.
Emerging markets recovered their poise in the second quarter of 1995. The
U.S. administration's backing for Mexico and the Mexican stabilization plan
returned confidence to the market and positive sentiment was reinforced by
improving fundamentals in most emerging market countries.
The Brazilian economy continues to grow at a healthy rate despite a
slowdown in the pace of growth as a result of the Mexican crisis. The reform
process continues and should enable some improvement in the fiscal position in
1996. Brazil remains the Fund's largest weighting. Political turmoil in
Argentina has damaged the fragile financial and economic environment.
Argentinean Brady bonds have been extremely volatile over the past twelve months
and have underperformed. Polish assets have performed extremely well as
investors have bought Brady bonds in anticipation of an investment grade rating.
Over the next six months we expect to see emerging markets sovereign
spreads contract on the back of a continuation of the process of reform in Latin
America and Eastern Europe and active debt management on the part of key
sovereigns. However, we have recently reduced our weighting to Latin America as
we believe that concerns over the prospect for growth in Mexico and Argentina in
1996 will cause spreads to widen, presenting us with better investment
opportunities.
The total return for the twelve month period ended October 31, 1995 was
4.85% against 8.01% for the Fund's benchmark (the J.P. Morgan Emerging Market
Bond Index), with a closing NAV per share of $10.55.
14
<PAGE>
================================================================================
================================================================================
EMERGING MARKETS DEBT FUND
================================================================================
AVERAGE ANNUAL TOTAL RETURN
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
1 Year Since Inception
- --------------------------------------------------------------------------------
<S> <C> <C>
Emerging Markets Debt Fund 4.85% 5.48%
- --------------------------------------------------------------------------------
</TABLE>
Comparison of change in the value of a $250,000 investment in the Morgan
Grenfell Emerging Markets Debt Fund, versus the J.P. Morgan Emerging Markets
Bond Index.
[GRAPH APPEARS HERE]
Emerging Markets Debt Fund
A line graph depicting the total growth (including reinvestment of dividends and
capital gains) of a hypothetical investment of $250,000 in the Morgan Grenfell
Emerging Markets Debt Fund from August 31, 1994 through October 31, 1995 as
compared with the growth of a $250,000 investment in the J.P. Morgan Emerging
Markets Bond Index. The plot points used to draw the line graph were as follows:
<TABLE>
<CAPTION>
Period Ended Growth of $250,000 Growth of $250,000
Invested in Morgan Invested in J.P. Morgan
Grenfell Emerging Markets Bond Index
Markets Debt Fund
<S> <C> <C>
8/31/94 $250,000 $250,000
10/31/94 $249,510 $245,306
10/31/95 $261,611 $264,955
</TABLE>
*Commenced operations on August 4, 1994. Performance begins on August 31,
1994 for comparative data.
Note: Performance data quoted represents past performance and is not predictive
of future performance. Actual return and principal value will fluctuate,
and shares when redeemed may be worth more or less than their original
cost.
15
<PAGE>
SCHEDULE OF INVESTMENTS
================================================================================
Morgan Grenfell Investment Trust -- October 31, 1995
<TABLE>
<CAPTION>
MUNICIPAL BOND FUND
- ----------------------------------------------------------------------------------------------------
Face Amount Market Value
Description (000) (000)
- ----------------------------------------------------------------------------------------------------
<S> <C> <C>
MUNICIPAL BONDS (98.7%)
ALABAMA (2.6%)
Mobile, Certificate of Participation,
Affordable Housing
6.000%, 02/01/98 $ 275 $ 273
6.200%, 02/01/99 350 346
6.300%, 02/01/00 400 394
6.750%, 02/01/04 4,950 4,819
-------
5,832
-------
ALASKA (0.3%)
Anchorage, Certificate of
Participation, series B
(Asset Guaranty)
5.100%, 04/01/96 710 713
-------
ARIZONA (0.3%)
Maricopa County, Hospital RB,
Samaritan Health Service (ETM)
7.625%, 01/01/08 550 641
-------
ARKANSAS (4.0%)
Drew County, Public Facilities Board,
Single Family Mortgage RB,
series A-2 (FNMA)
7.900%, 08/01/11 488 528
Fayetteville, Public Facilities Board,
Single Family Mortgage RB
7.250%, 04/01/11 1,590 1,763
Little Rock, Capital Improvement,
series 1995A
5.950%, 02/01/12 700 712
Lonoke County,
Residential Housing RB,
Single Family Mortgage,
series 1993 B
7.375%, 04/01/11 392 407
Mississippi County,
Public Facilities Board,
Mortgage RB, series 1
7.200%, 07/15/10 1,000 1,110
North Little Rock,
Residential Housing Facilities RB,
series 1991-1
12/01/10 (C) 7,765 2,796
Saline County, Residential
Housing Facilities,
Single Family Mortgage RB
7.875%, 03/01/11 1,035 1,114
Stuttgart, Public Facilities Board,
Single Family Mortgage RB,
series B
7.750%, 09/01/11 353 372
-------
8,802
-------
<CAPTION>
- ----------------------------------------------------------------------------------------------------
Face Amount Market Value
Description (000) (000)
- ----------------------------------------------------------------------------------------------------
<S> <C> <C>
CALIFORNIA (2.7%)
Los Angeles,
Multi-Family Housing RB,
Earthquake Rehabilitation Projects,
series B, Mandatory Put
12/01/07 @ 100 (FNMA)
5.850%, 12/01/26 (B) $ 480 $ 477
Napa, Housing Facility RB,
Napa Park Apartments,
series A (GNMA)
7.500%, 06/20/00 601 596
Pleasant Hill, Multi-Family
Housing RB,
Ellinwood Apartments Project,
series A, Mandatory
Put 10/01/05 @ 100 (FNMA)
5.300%, 10/01/20 3,165 3,184
Sacramento County,
Multi-Family Housing RB,
Fairway II Apartments, Mandatory
Put 08/01/05 @ 100 (FNMA)
5.350%, 08/01/25 1,000 1,005
Santa Clara, Housing Authority
RB (GNMA)
7.500%, 06/20/00 749 749
-------
6,011
-------
COLORADO (1.7%)
Boulder County, Refunding and
Improvement RB,
National Center Atmosphere
6.900%, 12/01/07 1,200 1,279
Commerce City, Single Family
Mortgage RB, series A
6.875%, 03/01/12 750 782
Logan County, Single Family
Mortgage RB, series A
8.500%, 11/01/11 385 412
State Housing Finance Authority,
Single Family Mortgage RB,
series A
5.000%, 06/01/04 295 286
Vail, Single Family Mortgage RB,
series 1992 A
8.125%, 06/01/10 610 645
Westminster,
Multi-Family Housing RB,
Semper Village Apartments,
Mandatory Put 09/01/06 @ 100
(AXA Reinsurance)
5.950%, 09/01/15 500 500
-------
3,904
-------
</TABLE>
16
<PAGE>
================================================================================
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------
Face Amount Market Value
Description (000) (000)
- ----------------------------------------------------------------------------------------------------
<S> <C> <C>
DELAWARE (3.6%)
New Castle County,
Single Family Mortgage RB
10.250%, 11/01/05 $ 360 $ 388
State Economic Development
Authority RB,
Wilmington Friends School Project
6.300%, 07/01/96 40 40
6.300%, 07/01/97 45 45
6.300%, 07/01/98 45 45
6.300%, 07/01/99 50 50
6.300%, 07/01/00 50 50
6.300%, 07/01/01 55 55
6.300%, 07/01/02 60 60
6.300%, 07/01/03 60 61
6.300%, 07/01/04 65 66
6.300%, 07/01/05 70 71
6.300%, 07/01/06 75 76
6.300%, 07/01/07 80 81
6.300%, 07/01/08 85 86
6.300%, 07/01/09 90 91
6.300%, 07/01/10 95 96
6.300%, 07/01/11 100 101
6.300%, 07/01/12 110 111
6.300%, 07/01/13 115 116
State Health Facilities Authority RB,
Medical Center of Delaware,
series B, Mandatory Put
10/01/06 @ 101 (MBIA)
6.500%, 10/01/13 3,750 4,261
State Housing Authority
Residential Mortgage RB, series A
8.750%, 06/01/17 830 848
Sussex County, Economic
Development RB,
Gateway Partnership VI Project A,
Mandatory Put 05/01/97 @ 100
7.850%, 12/01/16 (A) 500 500
Wilmington, Special Obligation Bonds,
Wilmington Trust Center
8.500%, 04/01/04 655 671
-------
7,969
-------
FLORIDA (3.8%)
Dunedin, Health Facility Authority RB,
Mease Hospital Incorporated (ETM)
7.600%, 10/01/08 165 190
Fernando Apartments,
Elderly Housing RB,
Section 8 Assistance
9.750%, 10/01/11 790 844
Miami Beach, Housing Authority,
Elderly Housing RB,
First Mortgage Section 8 1995
6.625%, 01/15/09 1,200 1,239
<CAPTION>
- ----------------------------------------------------------------------------------------------------
Face Amount Market Value
Description (000) (000)
- ----------------------------------------------------------------------------------------------------
<S> <C> <C>
Miramar, Water Improvement
Assessment RB (FGIC)
5.125%, 10/01/20 $6,020 $6,073
State Housing Finance Authority RB,
Home Ownership Mortgage
1987 G2 (GNMA)
8.595%, 11/01/18 (B) 90 92
-------
8,438
-------
GEORGIA (3.3%)
Augusta, Housing Rehabilitation
Agency RB,
Bon Air Project, series C
7.000%, 09/01/05 1,000 1,083
Dekalb County, Housing
Authority RB, Macon Apartments
6.400%, 05/01/05 785 806
Fulton County,
Housing Authority Single
Family Mortgage RB (GNMA)
6.200%, 03/01/13 (B) 2,180 2,212
Marietta, Housing Authority
Multi-Family RB, Ridge Pointe
Apartments, series A, Mandatory
Put 06/01/05 @ 100 (FNMA)
5.700%, 06/01/25 1,000 1,016
Marietta, Housing Authority
Multi-Family RB, series A,
Mandatory Put 06/01/01 @ 100
(New England Mutual Life
Guaranty)
6.000%, 06/01/07 1,000 1,025
Saint Mary's, Housing Authority
Multi-Family RB, Cumberland
Oaks Apartments, series A (FNMA)
7.250%, 09/01/05 695 738
Saint Mary's, Housing Authority
Multi-Family RB, Pines
Apartments, series C (FNMA)
7.250%, 10/01/05 305 323
State Residential Finance
Housing RB, series A
6.750%, 06/01/16 (B) 250 258
-------
7,461
-------
HAWAII (0.2%)
Honolulu, Housing Authority
Multi-Family RB,
Waipahu Towers Project,
series A (GNMA)
6.900%, 06/20/05 (B) 410 429
-------
</TABLE>
17
<PAGE>
SCHEDULE OF INVESTMENTS
================================================================================
Morgan Grenfell Investment Trust -- October 31, 1995
MUNICIPAL BOND FUND
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------
Face Amount Market Value
Description (000) (000)
- ----------------------------------------------------------------------------------------------------
<S> <C> <C>
IDAHO (0.4%)
State Housing Agency, Single
Family Mortgage RB, series F
5.800%, 07/01/07 (B) $ 1,000 $ 1,011
-------
ILLINOIS (9.5%)
Alsip, Multi-Family Housing RB,
Mandatory Put 11/01/03 @ 100
5.125%, 11/01/15 (A) 500 492
Alton, Hospital Facilities RB,
Alton Memorial Hospital
Project (ETM)
7.000%, 07/01/05 255 281
Bolingbrook, Hospital Authority RB,
Hinsdale & Sanitarium Hospital
Project (ETM)
7.250%, 08/01/08 950 1,077
Bolingbrook, Mortgage RB,
Capital Appreciation series 1
01/01/11 (C) 12,960 4,503
Countryside,
Multi-Family Housing RB,
Countryside Partners Ltd, series A,
Mandatory Put 07/01/03 @ 100
5.250%, 07/01/23 (A) 250 243
Des Plains, Hospital Facilities RB,
Holy Family Hospital (ETM)(FGIC)
7.000%, 01/01/07 235 262
Development Finance Authority RB
6.050%, 11/15/99 325 336
6.875%, 11/15/05 875 933
Development Finance Authority,
Fund for Child Care Facilities
Project, series A
7.400%, 09/01/04 2,800 3,094
Health Facilities Authority,
Lutheran Social Services RB
6.125%, 08/15/10 1,100 997
6.125%, 08/15/20 1,350 1,169
Health Facilities Authority,
Mercy Health Center RB (ETM)
7.100%, 06/01/09 535 601
7.500%, 09/01/09 135 154
Health Facilities Authority,
Mercy Hospital & Medical
Center RB (ETM)
10.000%, 01/01/15 1,070 1,462
Health Facilities Authority,
Morris Hospital RB
6.125%, 12/01/23 1,000 926
Quincy, Single Family Mortgage RB
6.875%, 03/01/10 850 886
<CAPTION>
- ----------------------------------------------------------------------------------------------------
Face Amount Market Value
Description (000) (000)
- ----------------------------------------------------------------------------------------------------
<S> <C> <C>
Village of Buffalo Grove,
Economic Development Project RB,
Country Line Partners
5.450%, 08/15/02 $1,940 $ 1,959
Village of Graylake, Multi-Family
Housing RB, Country Squire
Village Apartments, series A (FHA)
6.000%, 06/01/05 1,475 1,501
Western Illinois University RB (ETM)
7.400%, 04/01/09 130 148
-------
21,024
-------
INDIANA (1.3%)
Indianapolis, Economic
Development RB, Knob in the
Woods Project, Mandatory Put
10/01/04 @ 100 (FNMA)
6.375%, 12/01/24 (B) 2,635 2,889
-------
IOWA (2.5%)
Davenport, Hospital Facility RB (ETM)
7.200%, 07/01/09 100 111
Finance Authority, Small Business
Development RB, Terrance Center
Association, L.P. Project (Guaranty
Agreement with Central Life
Assurance)
7.500%, 03/01/22 1,550 1,740
Henry County, Health Center
Project RB
6.750%, 06/01/17 3,795 3,619
-------
5,470
-------
KANSAS (0.7%)
Johnson County, Single Family
Mortgage RB
5.625%, 05/01/02 245 250
Labette And Cowley Counties,
Single Family Mortgage RB, series A
9.500%, 04/01/13 210 227
Reno County, Single Family Mortgage
Revenue Refunding Bonds, series B
8.700%, 09/01/11 480 519
Wichita, Hospital RB (ETM)
7.000%, 03/01/06 160 177
Wichita, Single Family Mortgage RB,
series A
7.100%, 09/01/09 395 412
-------
1,585
-------
</TABLE>
18
<PAGE>
================================================================================
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------
Face Amount Market Value
Description (000) (000)
- ----------------------------------------------------------------------------------------------------
<S> <C> <C>
KENTUCKY (0.9%)
Nelson County, Industrial
Building RB, Mabex Universal
Corporation Project
6.500%, 04/01/05 (A) (B) $2,000 $ 2,143
-------
LOUISIANA (4.4%)
Housing Finance Agency,
Collateralized Single Family
Housing RB (GNMA)
8.050%, 11/01/14 (B) 490 510
Iberia, Single Family Mortgage RB
7.375%, 01/01/11 1,005 1,080
Public Facilities Authority,
Hospital RB, Southern Baptist
Hospital (ETM)
8.000%, 05/15/12 175 210
Public Facilities Authority,
Multi-Family Housing RB,
Beau Terre Project, Mandatory
Put 06/01/05 @ 100 (FNMA)
5.800%, 06/01/25 400 407
Public Facilities Authority,
Multi-Family Housing RB,
Carlyle Apartments, Mandatory
Put 06/15/05 @ 100
(AXA Reinsurance)
5.950%, 06/15/19 1,440 1,501
Public Facilities Authority,
Multi-Family Housing RB,
Oakleigh Apartment Project
(AXA Reinsurance)
5.750%, 03/15/03 295 306
5.850%, 03/15/04 315 326
5.950%, 03/15/05 330 342
Public Facilities Authority,
Single Family Mortgage RB,
series A
7.375%, 10/01/12 755 768
Public Facilities Authority,
Single Family Mortgage RB,
series C
8.450%, 12/01/12 968 1,038
Public Facilities Authority,
Single Family Mortgage RB,
series C (GNMA)
8.800%, 04/01/13 995 1,045
Public Facilities Authority,
Student Loan RB,
Senior series A-2 RB
6.750%, 09/01/06 (B) 2,000 2,121
-------
9,654
-------
<CAPTION>
- ----------------------------------------------------------------------------------------------------
Face Amount Market Value
Description (000) (000)
- ----------------------------------------------------------------------------------------------------
<S> <C> <C>
MAINE (0.2%)
State Housing Authority RB,
series B
8.400%, 11/15/07 (B) $ 300 $ 311
-------
MARYLAND (4.0%)
Baltimore, Industrial Development
Authority RB,
Gay Street Project (AMBAC)
10.350%, 12/01/13 4,605 4,717
Cecil County, Economic
Development RB, Northeast
Plaza Association, series A
6.875%, 08/23/08 1,760 1,901
Cecil County, Economic
Development RB, Northeast
Plaza Association, series B
6.875%, 12/01/10 525 566
Frederick County, Economic
Development RB, Mortgage
Revenue Refunding, series A (FHA)
5.900%, 02/01/05 400 403
Prince George's County,
Emerson House Project RB, series A
6.400%, 10/15/05 1,200 1,248
-------
8,835
-------
MICHIGAN (0.9%)
Petoskey, Hospital Finance
Authority RB (ETM)
6.700%, 03/01/07 235 257
State Hospital Finance Authority RB,
St. Joseph Mercy Hospital
Project (ETM)
7.000%, 07/01/05 175 193
State Hospital Finance
Authority RB, St. Lawrence
Hospital Project (ETM)
7.500%, 05/01/07 515 589
Wayne County, Building Authority,
Capital Improvement Bonds,
series 1992 A, Limited Tax GO,
Pre-Refunded 03/01/02 @ 102
8.000%, 03/01/17 750 897
-------
1,936
-------
MISSISSIPPI (2.8%)
Mississippi Home Corporation,
Residual RB, Capital Appreciation,
series 1992-I
09/15/16 (C) 21,100 4,906
</TABLE>
19
<PAGE>
SCHEDULE OF INVESTMENTS
================================================================================
Morgan Grenfell Investment Trust -- October 31, 1995
<TABLE>
<CAPTION>
MUNICIPAL BOND FUND
- ----------------------------------------------------------------------------------------------------
Face Amount Market Value
Description (000) (000)
- ----------------------------------------------------------------------------------------------------
<S> <C> <C>
Mississippi Home Corporation,
Single Family RB, Mortgage Access
Program, series 1994 A (GNMA)
4.500%, 06/01/99 (B) $ 530 $ 521
5.000%, 06/01/04 (B) 850 850
-------
6,277
-------
MISSOURI (1.7%)
Kansas City, Industrial Development
Authority, Multi-Family Housing RB,
Coves North Duplexes, Mandatory
Put 09/01/05 @ 100 (FNMA)
5.600%, 08/01/25 2,780 2,804
Saint Louis County, Convention
And Sports Center RB, series B
6.500%, 08/15/01 775 838
-------
3,642
-------
MONTANA (0.8%)
Missoula County,
Missoula Community Hospital RB
(ETM)(AMBAC)
7.125%, 06/01/07 435 488
State Higher Education Student Loan
Program RB, Senior series A
5.750%, 12/01/12 (B) 1,350 1,308
-------
1,796
-------
NEBRASKA (0.9%)
Hall County,
Hospital Authority RB (ETM)
8.000%, 01/01/07 205 240
State Higher Education Student
Loan Program RB, Senior series A
5.250%, 06/01/02 (B) 1,695 1,685
-------
1,925
-------
NEVADA (0.4%)
Single Family Housing Authority RB,
series B
6.450%, 10/01/07 (B) 910 918
-------
NEW JERSEY (4.3%)
Economic Development Authority,
Economic Growth RB, series H-2
5.000%, 10/01/05 (A) (B) 860 851
Education Facilities Authority RB,
Caldwell College, series A
7.250%, 07/01/25 1,200 1,215
<CAPTION>
- ----------------------------------------------------------------------------------------------------
Face Amount Market Value
Description (000) (000)
- ----------------------------------------------------------------------------------------------------
<S> <C> <C>
Jersey City, Redevelopment
Authority RB, Dixon Mill
Apartments Project, Mandatory
Put 05/01/00 @ 100 (FNMA)
6.100%, 05/01/12 $1,150 $1,192
Mansfield Township, Board of
Education Certificate of
Participation (MBIA)
5.500%, 03/01/07 1,840 1,921
State Housing Finance Authority RB,
series A, Section 8 Assistance
6.700%, 11/01/04 3,000 3,145
Woodbury, Bond Anticipation Notes
5.700%, 03/01/96 1,209 1,217
-------
9,541
-------
NEW MEXICO (1.1%)
Albuquerque, Municipal
Collateralized Mortgage
Obligation, Class B-2 (FGIC)
05/15/11 (C) 1,562 506
Sandoval County, Gross Receipts
Tax RB (Intel Guaranty)
6.100%, 11/01/99 115 117
6.200%, 11/01/00 120 123
6.250%, 11/01/01 130 134
6.350%, 11/01/02 140 144
6.400%, 11/01/03 145 150
6.450%, 11/01/04 155 161
7.150%, 11/01/10 705 754
Santa Fe, Single Family Mortgage
Authority RB, series 1991
8.450%, 12/01/11 236 254
-------
2,343
-------
NEW YORK (3.8%)
Mechanicville, Multi-Family Housing
RB, Elderly Housing (FHA)
6.900%, 08/01/22 2,500 2,600
Rochester, Housing Authority
Mortgage RB, Section 8 Assistance,
Crossroads Apartments
7.300%, 07/01/05 3,565 3,792
UFA Development Corporation,
Mortgage RB, Loretto Utica
Project (FHA)
5.150%, 07/01/03 2,000 1,970
-------
8,362
-------
</TABLE>
20
<PAGE>
================================================================================
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------
Face Amount Market Value
Description (000) (000)
- ----------------------------------------------------------------------------------------------------
<S> <C> <C>
NORTH CAROLINA (0.1%)
Asheville, Housing Development
Corporation RB, Section 8 Assistance,
Asheville Gardens, Pre-Refunded
11/01/09 @ 100
10.500%, 05/01/11 $ 155 $ 212
-------
OHIO (2.9%)
Housing Finance Authority,
Single Family Mortgage RB,
series A (GNMA)
8.400%, 02/01/20 (B) 800 850
Ohio Capital for Housing Mortgage
RB, Section 8 Assistance,
Project E (MBIA) (FHA)
5.700%, 01/01/05 510 515
Student Loan Funding
Corporation, series A (GTD)
5.500%, 12/01/01 (B) 4,960 5,041
-------
6,406
-------
OKLAHOMA (1.1%)
Bryan County, Single Family
Mortgage RB, series A
8.600%, 07/01/10 335 354
Cleveland County, Home Loan
Authority, Single Family
Mortgage RB, series 1992
8.375%, 08/01/12 1,290 1,364
Payne County, Housing
Finance Authority, Single
Family Mortgage RB, series A
5.625%, 09/01/02 70 71
8.625%, 03/01/11 500 528
-------
2,317
-------
PENNSYLVANIA (10.4%)
Allegheny County,
Hospital Development
Authority RB, South Side Hospital
8.500%, 06/01/01 490 508
8.750%, 06/01/10 2,890 3,002
Allegheny County,
Industrial Development
Authority RB
6.000%, 10/01/04 (A) (B) 1,000 1,008
Allegheny County, Residential
Finance Authority Mortgage
RB (GNMA)
6.500%, 11/01/14 645 660
<CAPTION>
- ----------------------------------------------------------------------------------------------------
Face Amount Market Value
Description (000) (000)
- ----------------------------------------------------------------------------------------------------
<S> <C> <C>
Allentown, Hospital Authority RB,
Sacred Heart Hospital of
Allentown, series A
6.200%, 11/15/03 $ 700 $ 726
6.500%, 11/15/08 3,400 3,464
Borough of Tarentum,
Guaranteed Electric RB, series A
5.500%, 09/01/08 645 605
Bucks County, Industrial
Development Authority RB,
Women's Humane Society
7.100%, 12/01/09 600 604
Dauphin County, General
Authority RB, WW15 Term,
Mandatory Tender 06/01/09 @ 100
6.850%, 06/01/26 700 750
Falls Township, Hospital Authority
RB, Delaware Valley Medical
Center (FHA)
6.900%, 08/01/11 3,685 4,040
Lehigh County, General Purpose
Authority RB, Muhlenberg
Continuing Care, Mandatory
Put 03/15/02 @ 100
7.800%, 03/15/20 (A) 1,920 2,076
Montgomery County,
Higher Education & Health
Authority RB, Northwestern
Corporation
6.250%, 06/01/99 680 703
Montgomery County, Industrial
Development Authority RB,
BMHR Associate Project
6.750%, 11/15/04 (A) 250 260
Montgomery County,
Industrial Development
Authority RB, Emergency
Care Research Institute Project
6.400%, 06/01/03 465 478
Philadelphia, Hospital And Higher
Education Authority RB,
Northwestern Corporation
6.250%, 06/01/99 765 791
Philadelphia, Hospital And Higher
Education Facilities RB,
Jeanes Health System Project
6.200%, 07/01/00 1,360 1,399
Philadelphia, Industrial
Development Authority RB,
National Board of Medical
Examiners Project
6.750%, 05/01/12 1,500 1,613
</TABLE>
21
<PAGE>
SCHEDULE OF INVESTMENTS
================================================================================
Morgan Grenfell Investment Trust -- October 31, 1995
MUNICIPAL BOND FUND
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------
Face Amount Market Value
Description (000) (000)
- ----------------------------------------------------------------------------------------------------
<S> <C> <C>
State Housing Authority,
Single Family Mortgage RB,
series 1991-31A
7.000%, 10/01/05 (B) $ 230 $ 245
-------
22,932
-------
RHODE ISLAND (0.2%)
State Industrial Facilities RB,
Crystal Thermoplastics Project,
series A (IRBA Guaranty)
6.900%, 08/01/14 (B) 380 394
-------
SOUTH CAROLINA (2.8%)
Housing Finance & Development
Authority, Multi-Family RB,
Bryton Point Apartments Project,
Mandatory Put
06/01/05 @ 100 (FNMA)
5.700%, 06/01/25 6,050 6,126
-------
SOUTH DAKOTA (0.5%)
Student Loan Assistance RB,
series A (GTD)
7.600%, 08/01/04 (B) 510 545
7.700%, 08/01/07 (B) 500 534
-------
1,079
-------
TENNESSEE (0.1%)
Greeneville, Health & Education
Facility Board RB, Southern
Advent Hospital (ETM)
8.700%, 10/01/09 240 300
-------
TEXAS (10.0%)
Bexar County, Housing Finance
Corporation Residual Bonds,
Capital Appreciation
03/01/15 (C) 1,765 499
Brazos, Higher Education
Authority RB
6.500%, 06/01/04 (B) 500 527
Collin County, Housing Finance
Corporation, Multi-Family
Mortgage RB, Preston Bend
Apartments Project, Mandatory Put
09/01/03 @ 100 (AXA Reinsurance)
6.500%, 09/01/22 500 523
Denison, Hospital Authority RB,
Texoma Medical Center (ETM)
7.125%, 07/01/08 100 112
Duncanville, Hospital Development
Authority RB, Methodist Hospital
Dallas Project (ETM)
9.000%, 01/01/10 555 693
<CAPTION>
- ----------------------------------------------------------------------------------------------------
Face Amount Market Value
Description (000) (000)
- ----------------------------------------------------------------------------------------------------
<S> <C> <C>
Fort Worth, Housing Finance
Corporation RB
8.500%, 10/01/11 $ 495 $ 535
Grand Prairie, Multi-Family
Mortgage RB, Windsor Housing
Foundation, Project A,
Sugar Creek Apartments
6.000%, 02/01/05 760 760
Northeast Hospital Authority
RB (ETM)
8.000%, 07/01/08 275 326
Odessa, Housing Authority,
Multi-Family Mortgage RB,
Section 8 Assist Project, series A
5.875%, 10/01/03 900 882
Odessa, Housing Authority,
Multi-Family Mortgage RB,
Section 8 Assist Project, series B
5.875%, 10/01/03 1,720 1,686
6.375%, 10/01/11 2,735 2,615
Odessa, Single Family Mortgage RB,
series A (FNMA)
8.450%, 11/01/11 382 403
South Plains, Regional Housing
Authority RB, Section 8 Assistance
Project, series A (HUD Section 8)
6.000%, 08/01/00 75 76
6.500%, 08/01/05 325 330
6.900%, 08/01/09 500 509
Southeast Hospital Financing
Agency RB, Memorial Hospital
System Project (ETM)
8.500%, 12/01/08 220 266
7.500%, 12/01/09 365 422
State Department of Housing &
Community RB,
Capital Appreciation
03/01/15 (C) 40,530 10,739
State Housing Authority RB,
series A (GNMA)
7.350%, 01/01/11 70 73
Thomason, Health Facilities
Development Corporation,
El Paso County Hospital
District GO (MBIA)
7.200%, 08/15/98 65 66
-------
22,042
-------
UTAH (1.9%)
Brigham City, Special Assessment
Improvement District Number 22
9.000%, 08/01/04 270 287
Hilldale, General Obligation
Electric Bonds
7.500%, 12/15/03 (B) 545 576
</TABLE>
22
<PAGE>
================================================================================
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------
Face Amount Market Value
Description (000) (000)
- ----------------------------------------------------------------------------------------------------
<S> <C> <C>
State Finance Agency, Single Family
Mortgage RB, Issue F-1 (AMBAC)
5.850%, 07/01/07 $1,000 $1,026
State Housing Finance Agency,
Single Family Mortgage RB,
series B-2
7.600%, 01/01/22 (B) 255 267
State Municipal Finance Corporation,
Local Government RB
7.300%, 12/01/03 500 531
Weber County, Municipal Building
Authority RB, series 1994
(Asset Guaranty)
6.750%, 12/15/04 1,275 1,396
-------
4,083
-------
WASHINGTON (3.6%)
Clark County, GO, Pre-Refunded
12/01/95 @ 100
7.200%, 12/01/98 100 100
Seattle, Low Income Housing
Assistance Authority RB,
Kin On Project, series A (GNMA)
7.400%, 11/20/36 1,300 1,401
State Housing Finance
Commission RB, series A (FNMA)
7.000%, 07/01/99 220 226
State Housing Finance
Commission RB, series B
(GNMA) (FNMA)
6.900%, 07/16/16 6,030 6,316
-------
8,043
-------
WEST VIRGINIA (1.1%)
Harrison County, Municipal
Collateralized Mortgage Obligation
Bonds, series B (AMBAC)
10/20/10 (C) 2,822 953
Marshall County, Capital
Appreciation RB (MBIA)
05/01/14 (C) 3,000 761
Raleigh Fayette & Nicholas
Counties, Municipal
Collateralized Mortgage
Obligation Bonds, series B
(AMBAC)
06/20/10 (C) 2,167 723
-------
2,437
-------
WISCONSIN (0.4%)
State Housing And Economic
Development Authority RB,
series B
6.625%, 09/01/20 (B) 600 609
<CAPTION>
- ----------------------------------------------------------------------------------------------------
Face Amount Market Value
Description (000) (000)
- ----------------------------------------------------------------------------------------------------
<S> <C> <C>
Whitewater, Waterworks System RB
7.500%, 07/01/16 $ 250 $ 283
--------
892
--------
WYOMING (0.5%)
City of Cheyenne, Federal Mineral
Royalty RB, Second Lien
6.200%, 06/01/09 1,000 1,000
--------
Total Municipal Bonds
(Cost $212,352,632) 218,125
--------
Total Investments (98.7% of Net Assets)
(Cost $212,352,632) $218,125
========
</TABLE>
(A) Securities are held in connection with a letter of credit issued
by a major commercial bank.
(B) Income on bond may be subject to Alternative Minimum Tax.
(C) Zero Coupon Bond.
ETM Escrowed to Maturity.
GO General Obligation Bond.
RB Revenue Bond.
The following organizations have provided underlying credit support for
the securities as defined in the Schedule of Investments:
AMBAC American Municipal Bond Assurance Corporation.
AXA Reinsurance
FGIC Federal Guaranty Insurance Corporation.
FHA Federal Housing Association.
FNMA Federal National Mortgage Association.
GNMA Government National Mortgage Association.
GTD Guaranteed Student Loans.
HUD Housing & Urban Development
MBIA Municipal Bond Insurance Association.
The accompanying notes are an integral part of the financial statements.
FIXED INCOME FUND
<TABLE>
<S> <C> <C>
CORPORATE OBLIGATIONS (16.9%)
Aegon NV
8.000%, 08/15/06 $ 4,000 $ 4,360
Associated Estates Realty
8.375%, 04/15/00 17,000 17,848
Bear Stearns
6.625%, 01/15/04 1,430 1,407
Fairfax Financial Holdings
8.250%, 10/01/15 7,615 7,701
Kemper
9.000%, 03/02/98 MTN 2,000 2,103
6.875%, 09/15/03 6,275 6,204
Lehman Brothers
8.875%, 11/01/98 900 955
</TABLE>
23
<PAGE>
SCHEDULE OF INVESTMENTS
================================================================================
Morgan Grenfell Investment Trust -- October 31, 1995
FIXED INCOME FUND
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------
Face Amount Market Value
Description (000) (000)
- ----------------------------------------------------------------------------------------------------
<S> <C> <C>
7.125%, 07/15/02 $ 4,160 $ 4,212
11.625%, 05/15/05 2,485 3,237
Navistar Financial Corporation
Owner Trust series 1995-B,
class A2
5.940%, 10/15/98 1,000 999
Paine Webber
9.250%, 12/15/01 3,900 4,329
8.390%, 07/24/02 MTN 1,000 1,064
7.875%, 02/15/03 3,000 3,143
6.900%, 08/15/03 MTN 1,250 1,217
Prudential Funding
6.750%, 09/15/23 2,000 1,808
Prudential Insurance America
6.875%, 04/15/03 10,000 9,825
Swiss Bank Corporation
7.000%, 10/15/15 500 494
The Equitable
7.300%, 12/01/03 4,500 4,573
Vesta Insurance Group
8.750%, 07/15/25 7,750 8,128
--------
Total Corporate Obligations
(Cost $80,774,507) 83,607
--------
ASSET BACKED SECURITIES (3.4%)
Autobond Receivables Corporate
series 1993-k
6.350%, 02/15/99 1,809 1,791
Carco Auto Loan Master Trust
series 1995-3, class A (C)
6.030%, 05/15/00 3,150 3,149
Caterpillar Financial Asset Trust
series 1995-A, class A2
6.100%, 08/25/01 6,350 6,360
National Collegiate Trust Gate
Receivable 1995-S1
8.830%, 09/20/11 2,925 3,232
Standard Credit Card Master Trust
series 1995-5, class A (C)
6.070%, 05/07/00 2,000 2,002
--------
Total Asset Backed Securities
(Cost $16,238,894) 16,534
--------
MORTGAGE BACKED SECURITIES (6.4%)
Countrywide Mortgage Backed
Securities 1994-C A8
6.500%, 03/25/24 1,265 1,092
General Electric Capital Mortgage
Services series 1993-14 A7
6.500%, 11/25/23 1,065 935
General Electric Capital Mortgage
Services series 1994-18 A2
7.000%, 08/25/24 1,157 1,154
Housing Securities Incorporated
series 1994-1, class A5
5.500%, 08/25/03 3,790 3,754
Prudential Home Mortgage
series 1988-5A (C)
10.524%, 08/25/18 854 788
Prudential Home Mortgage
series 1993-1 A1
7.500%, 02/25/23 7,845 7,856
Prudential Home Mortgage
series 1993-61 A1
6.500%, 12/25/08 3,400 3,390
Prudential Home Mortgage
series 1994-12 A7
6.050%, 04/25/24 3,999 3,261
Prudential Home Mortgage
series 1994-17 A5
6.250%, 04/25/24 5,700 4,929
Sears Mortgage Securities
series 1992-3, class T8
7.000%, 07/25/20 1,085 1,083
Vanderbilt Mortgage Finance
series 1994-A, class A1
7.000%, 07/10/19 3,315 3,357
--------
Total Mortgage Backed Securities
(Cost $31,071,492) 31,599
--------
U.S. GOVERNMENT AGENCY OBLIGATIONS (17.7%)
Federal Home Loan Mortgage
Corporation REMIC series 1360,
class PK
10.000%, 12/15/20 2,200 2,470
Federal Home Loan Mortgage
Corporation REMIC series 1577,
class PG
5.500%, 03/15/21 400 382
Federal Home Loan Mortgage
Corporation REMIC series 1622,
class G
6.250%, 11/15/22 10,000 8,970
Federal Home Loan Mortgage
Corporation REMIC series 1625,
class BA
5.000%, 11/15/00 1,000 992
Federal Home Loan Mortgage
Corporation REMIC series 1712,
class PC
5.500%, 02/15/03 2,500 2,470
Federal Home Loan Mortgage
Corporation REMIC series 1773,
class E
</TABLE>
24
<PAGE>
================================================================================
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------
Face Amount Market Value
Description (000) (000)
- ----------------------------------------------------------------------------------------------------
<S> <C> <C>
8.500%, 04/15/23 $ 2,910 $ 3,035
Federal Home Loan Mortgage
Corporation REMIC
series 33, class C
8.000%, 09/15/18 6,755 6,801
Federal Home Loan Mortgage
Corporation REMIC series 70,
class C
9.000%, 09/15/20 1,004 1,055
Federal National Mortgage
Association REMIC
series 1989-74J
9.800%, 10/25/19 2,500 2,745
Federal National Mortgage
Association REMIC
series 1989-79D
9.000%, 11/25/19 1,350 1,463
Federal National Mortgage
Association REMIC
series 1991-137, class E
8.050%, 01/25/20 5,248 5,300
Federal National Mortgage
Association REMIC
series 1992-100, class M
8.500%, 06/25/05 8,000 8,351
Federal National Mortgage
Association REMIC
series 1993-174EA
6.150%, 10/25/07 4,000 3,939
Federal National Mortgage
Association REMIC
series 1994-33, class C
5.000%, 10/25/03 1,000 978
Federal National Mortgage
Association REMIC
series 1995-2, class H
8.500%, 06/25/10 18,200 19,424
Federal National Mortgage
Association REMIC
series G92-22, class Z
7.500%, 06/25/18 6,496 6,487
Federal National Mortgage
Association REMIC
series G92-42, class C
7.000%, 09/25/19 4,814 4,821
Federal National Mortgage
Association REMIC
series X-19C, class G
7.500%, 08/25/21 720 714
Government National Mortgage
Association Pool #413221
8.250%, 05/15/10 2,144 2,253
Guaranteed Export Certificates
series 1994-F
8.187%, 12/15/04 4,705 5,032
--------
Total U.S. Government Agency
Obligations (Cost $85,752,590) 87,682
--------
TAXABLE MUNICIPAL BONDS (29.3%)
ALABAMA (0.1%)
Chattahoochee Valley Water Supply
RB (Asset Guaranty)
8.600%, 10/01/07 200 227
--------
ARIZONA (0.2%)
Pima And Maricopa Counties
Industrial Development Authority,
Multi-Family Housing RB,
Bulk Sale Program (FNMA)
6.500%, 01/01/06 770 774
--------
CALIFORNIA (6.7%)
Compton Community
Redevelopment Agency RB,
Series 1995B (CGIC)
5.950%, 08/01/96 1,785 1,785
Compton Community
Redevelopment Agency RB,
Series 1995B (CGIC)
6.150%, 08/01/97 2,310 2,313
Desert Hospital Corporation
Gross RB, series A
8.400%, 07/01/03 2,655 2,509
Desert Hospital Corporation
Gross RB, series A
9.000%, 07/01/13 5,945 5,878
Los Angeles County Pension
Obligation Bonds, series A (FSA)
8.570%, 06/30/05 4,275 4,767
Los Angeles County Pension
Obligation Bond,
series A (AMBAC)
8.620%, 06/30/06 200 225
San Diego County Pension
Obligation RB, Series A (FSA)
6.240%, 08/15/02 2,000 1,928
San Francisco City and County
Redevelopment Agency,
Section 8 Housing RB,
series B (MBIA) (FHA)
7.500%, 07/01/24 3,860 3,879
State Housing Finance Agency,
Single Family Mortgage RB,
series 1995 (AMBAC)
7.900%, 08/01/07 9,000 9,777
--------
33,061
--------
</TABLE>
25
<PAGE>
SCHEDULE OF INVESTMENTS
================================================================================
Morgan Grenfell Investment Trust -- October 31, 1995
<TABLE>
<CAPTION>
FIXED INCOME FUND
- ----------------------------------------------------------------------------------------------------
Face Amount Market Value
Description (000) (000)
- ----------------------------------------------------------------------------------------------------
<S> <C> <C>
COLORADO (0.0%)
Adams County Single Family
Mortgage RB, series A-1 (FSA)
8.700%, 12/01/08 $ 95 $ 99
--------
CONNECTICUT (0.9%)
State Health And Educational RB,
Nursing Home Program,
AHF/Hartford Project
8.450%, 11/01/99 1,000 1,051
State Health And Educational RB,
Sheridan Woods Center Project
7.950%, 11/01/05 1,755 1,878
State Health and Educational RB,
Sheridan Woods Center Project
8.730%, 11/01/17 1,150 1,366
--------
4,295
--------
FLORIDA (0.3%)
Sarasota Water and Sewer
Utility RB, series A (FGIC)
4.450%, 10/01/96 1,665 1,643
--------
GEORGIA (0.8%)
Atlanta Urban Residential
Finance Authority RB,
Series 1994 (FNMA) (A)
0.000%, 10/01/16 21,000 4,016
--------
HAWAII (0.6%)
Honolulu City and County
Mortgage RB, Hale
Pauahi Project,
series A (MBIA) (FHA)
7.250%, 07/01/28 3,000 3,128
--------
IDAHO (0.7%)
Sand Creek Partnership
Multi-Family Housing RB
8.250%, 12/01/18 3,675 3,275
--------
KANSAS (0.2%)
Olathe Labette County Single
Family Mortgage RB,
series 1993A (A)
0.000%, 02/01/16 2,985 745
--------
MARYLAND (0.8%)
Baltimore GO, series B (FGIC)
8.100%, 10/15/10 1,775 2,004
Baltimore GO, series B (FGIC)
8.700%, 10/15/15 1,875 2,149
--------
4,153
--------
<CAPTION>
- ----------------------------------------------------------------------------------------------------
Face Amount Market Value
Description (000) (000)
- ----------------------------------------------------------------------------------------------------
<S> <C> <C>
MASSACHUSETTS (1.8%)
Plymouth County Correctional
Facility
10.400%, 04/01/22 $5,100 $ 5,877
State Housing Finance
Agency RB, series C (FHA)
10.900%, 08/01/20 2,630 2,821
--------
8,698
--------
MICHIGAN (1.2%)
Beaumont Properties RB,
Prerefunded 01/01/99 @ 101
(Escrow State and Local
Government Securities)
10.500%, 01/01/19 3,000 3,408
Muskegon County Unlimited Tax
General Obligation Notes
6.750%, 12/01/95 1,050 1,051
7.000%, 06/01/96 1,000 1,005
7.250%, 12/01/96 650 657
--------
6,121
--------
MISSOURI (0.8%)
St Louis Housing Finance
Corporation, Section 8
Housing RB, Kendelwood
Project, series A
8.000%, 08/15/15 1,845 1,845
8.100%, 08/15/22 2,210 2,209
--------
4,054
--------
NEW JERSEY (0.8%)
State Economic Development
Authority RB, series R2 (B)
6.800%, 12/01/02 1,525 1,536
State Economic Development
Authority RB, State Contract
7.100%, 09/15/02 2,500 2,522
--------
4,058
--------
NEW YORK (2.7%)
Erie County Industrial
Development Agency RB,
Journeys End Project, series A,
Mandatory Tender
01/01/00 @ 100
9 .750%, 01/01/15 1,875 1,961
Haverstraw Stony Point
Central School District Bond
Anticipation Notes
7.280%, 02/14/96 2,520 2,526
</TABLE>
26
<PAGE>
================================================================================
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------
Face Amount Market Value
Description (000) (000)
- ----------------------------------------------------------------------------------------------------
<S> <C> <C>
Monroe County Industrial
Development Agency RB,
Nationwide Precision
Products (B) (C)
6.300%, 12/01/04 $2,275 $2,275
Montgomery County Industrial
Development Authority,
Central National Bank
Project RB (B) (C)
5.900%, 05/01/25 3,750 3,750
New York City Industrial
Development Agency RB,
series B (MBIA)
8.100%, 09/01/06 1,975 2,197
Port Authority RB,
Ninetieth series
5.950%, 10/01/02 700 667
--------
13,376
--------
OKLAHOMA (0.9%)
Oklahoma City Airport Trust RB,
Federal Bureau Prisons Project
9.800%, 11/01/14 2,250 2,568
Oklahoma City Airport Trust RB,
Senior 16
9.875%, 07/01/12 1,005 1,107
Oklahoma County Home Finance
Capital Appreciation RB (A)
0.000%, 07/01/12 3,450 901
--------
4,576
--------
PENNSYLVANIA (2.6%)
Allegheny County Sanitary
Authority Sewer RB,
series A (MBIA)
6.600%, 06/01/97 975 987
Allegheny County Sanitary
Authority Sewer RB,
series A (MBIA)
6.800%, 12/01/97 3,795 3,871
Dauphin County General
Authority Health Center,
Tressler Project, series B,
Optional Put 09/01/96 @ 100
7.000%, 09/01/10 1,375 1,376
Harrisburg Authority Resource
Recovery RB, series B (Municipal
Government Guaranteed)
6.000%, 09/01/98 315 309
6.875%, 09/01/03 515 495
7.750%, 09/01/13 3,145 3,173
<CAPTION>
- ----------------------------------------------------------------------------------------------------
Face Amount Market Value
Description (000) (000)
- ----------------------------------------------------------------------------------------------------
<S> <C> <C>
Harrisburg Higher Education
Assistance Authority
10.500%, 12/01/17 $ 2,100 $ 2,384
--------
12,595
--------
RHODE ISLAND (0.3%)
Port Authority Economic
Development Corporation RB,
Central Falls Detention Center,
series A
8.200%, 01/15/08 1,269 1,401
--------
TENNESSEE (1.8%)
LaFollette Properties,
Multi-Family Housing
Physical Bonds, LaFollette
Garden Apartments Project
9.600%, 12/01/08 1,000 1,100
Memphis-Shelby County
Industrial Development
Board RB, Cleo Project B (B)
9.100%, 02/01/04 2,200 2,273
Shelby County Collateralized
Mortgage Obligation,
series 1991A, class A-1 (FGIC)
8.140%, 10/15/04 1,818 1,870
Shelby County Collateralized
Mortgage Obligation,
series 1991A, class A-2 (FGIC)
8.900%, 04/15/05 3,600 3,731
--------
8,974
--------
TEXAS (4.3%)
Cameron County Housing
Finance Corporation, Single
Family Mortgage RB,
series 1990 A (CMO) (FGIC)
10.210%, 09/01/10 2,385 2,564
Cameron County Housing
Finance Corporation, Single
Family Mortgage RB, series A
(CMO) (FGIC)
10.450%, 09/01/11 945 1,094
Dallas County Housing Finance
Corporation RB
6.750%, 12/01/03 285 281
State Department of Housing &
Community Affairs RB,
series B
9.500%, 03/01/16 15,270 16,378
</TABLE>
27
<PAGE>
SCHEDULE OF INVESTMENTS
================================================================================
Morgan Grenfell Investment Trust -- October 31, 1995
<TABLE>
<CAPTION>
FIXED INCOME FUND
- ----------------------------------------------------------------------------------------------------
Face Amount Market Value
Description (000) (000)
- ----------------------------------------------------------------------------------------------------
<S> <C> <C>
Tarrant County Housing Finance
Corporation, Single Family
Mortgage RB (MBIA)
6.650%, 07/15/16 $ 750 $ 761
--------
21,078
--------
UTAH (0.0%)
State Housing Finance Agency,
Single Family Mortgage RB,
series D-1
9.850%, 07/01/10 300 330
--------
WEST VIRGINIA (0.8%)
Huntingdon RB (CMO)
9.050%, 01/15/12 1,541 1,703
Kanawha and Putnam Counties
Charleston and Huntington
West Virginia (AMBAC) (A)
0.000%, 12/01/16 9,835 2,348
--------
4,051
--------
Total Taxable Municipal Bonds
(Cost $139,913,811) 144,728
--------
TAX-EXEMPT MUNICIPAL BONDS (11.0%)
ALABAMA (0.1%)
Mobile GO (ETM)
10.875%, 11/01/07 205 291
--------
CALIFORNIA (2.9%)
Los Angeles Multi-Family RB,
Earthquake Rehabilitation Project,
series A, Mandatory Put
12/01/05 @ 100 (FNMA)
5 .650%, 12/01/25 5,000 4,994
Los Angeles Multi-Family RB,
Earthquake Rehabilitation Project,
series B, Mandatory Put
12/01/07 @ 100 (FNMA)
5 .850%, 12/01/26 3,770 3,746
Sacramento County Multi-Family
Housing Fairway RB, Fairway II
Apartments, Series 1995A,
Mandatory Put 08/01/05 @ 100
(FNMA)
5.350%, 08/01/25 920 925
San Diego Multi-Family
Housing RB, Orange Glen
Apartments, issue A (FHLMC)
5.500%, 08/01/05 760 756
<CAPTION>
- ----------------------------------------------------------------------------------------------------
Face Amount Market Value
Description (000) (000)
- ----------------------------------------------------------------------------------------------------
<S> <C> <C>
Santa Clara Multi-Family Housing
Authority RB, Elena Gardens
Apartment Project,
series A (GNMA)
5.600%, 06/20/05 $ 240 $ 240
Vista Multi-Family Housing
Authority RB, Pepperwood
Apartment Project, series 1995A,
Mandatory Put 06/01/05 @ 100
(FNMA)
5.700%, 06/01/25 3,500 3,570
--------
14,231
--------
COLORADO (0.5%)
Boulder County National Center
Atmosphere RB
6.900%, 12/01/07 380 405
Westminster Multi-Family
Housing RB, Semper Village
Apartments, Mandatory Put
09/01/06 @ 100 (AXA
Reinsurance)
5.950%, 09/01/15 1,925 1,925
--------
2,330
--------
DELAWARE (0.7%)
State Health Facility Authority RB,
Beebe Medical Center Project
6.800%, 06/01/24 3,545 3,607
--------
DISTRICT OF COLUMBIA (0.9%)
GO, series A (AMBAC)
5.875%, 06/01/05 3,885 4,045
National Rehabilitation Hospital
RB, Medlantic Project,
series A (MBIA)
7.125%, 11/01/04 500 552
--------
4,597
--------
FLORIDA (0.0%)
Dade County Governmental
Leasing Company, Certificate
of Participation
8.500%, 04/01/07 45 49
--------
GEORGIA (0.3%)
State Residential Finance
Authority, Home Ownership
Mortgage RB, series A (D)
6.750%, 06/01/16 1,275 1,318
--------
</TABLE>
28
<PAGE>
================================================================================
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------
Face Amount Market Value
Description (000) (000)
- ----------------------------------------------------------------------------------------------------
<S> <C> <C>
ILLINOIS (0.4%)
State Health Facilities
Authority RB, Lutheran
Social Services
6.125%, 08/15/20 $2,150 $1,862
State Health Facilities Authority
RB, Sydney R Forkosh
Memorial Hospital Project,
Pre-Refunded 07/01/02 @ 100
7.000%, 07/01/07 145 160
--------
2,022
--------
KENTUCKY (0.3%)
Greater Kentucky Housing
Assistance Corporation,
Section 8 Housing RB, series A
(MBIA) (FHA)
6.250%, 01/01/05 1,505 1,569
--------
LOUISIANA (1.6%)
Iberia Home Mortgage Authority,
Single Family Mortgage RB
7.375%, 01/01/11 170 183
State Public Facilities Authority,
Multi-Family Housing RB,
Beau Terre Project, Mandatory
Put 06/01/05 @ 100 (FNMA)
5.800%, 06/01/25 350 356
State Public Facilities Authority,
Multi-Family Housing RB,
Edgewood Apartments,
Mandatory Put 06/01/05 @ 100
(FNMA)
5.800%, 06/01/25 6,530 6,627
State Public Facilities Authority,
Multi-Family Housing RB,
Oakleigh Apartments, series A,
Mandatory Put 03/15/05 @ 100
(AXA Reinsurance)
5.950%, 03/15/19 915 953
--------
8,119
--------
NEW YORK (0.7%)
State Dormitory Authority,
Long Island University RB
(Asset Guaranty)
6.000%, 09/01/08 3,500 3,754
--------
PENNSYLVANIA (0.5%)
Borough of Tarentum Electric RB,
series 1993 A
5.875%, 09/01/18 745 702
Borough of Tarentum Water RB,
series 1993 B
5.875%, 09/01/18 450 424
Philadelphia Water and Sewer
Authority RB, series 10 (ETM)
7.350%, 09/01/04 1,000 1,165
--------
2,291
--------
UTAH (1.9%)
Salt Lake City Housing Authority
Multi-Family RB, Housing
Development Project, series A
6.000%, 04/01/25 2,500 2,428
6.125%, 04/01/30 3,750 3,679
Salt Lake County Multi-Family
Housing Authority RB, James
Pointe Apartment Project,
series B2, Mandatory Put
10/01/05 @ 100
(Asset Guaranty)
5.500%, 10/01/25 1,100 1,110
Salt Lake County Multi-Family
Housing Authority RB,
Stillwater Apartment Project,
series A2, Mandatory Put
10/01/05 @ 100
(Asset Guaranty)
5.500%, 10/01/25 2,160 2,179
--------
9,396
--------
WASHINGTON (0.2%)
King County Housing Authority,
Multi-Family Mortgage RB,
Section 8 Elderly Housing,
series A
7.000%, 08/01/03 750 817
--------
Total Tax-Exempt Municipal Bonds
(Cost $53,390,307) 54,391
--------
U. S. TREASURY OBLIGATIONS (13.5%)
United States Treasury Note
6.875%, 02/28/97 3,300 3,352
7.875%, 01/15/98 10,025 10,478
4.750%, 08/31/98 49,000 47,794
7.875%, 11/15/04 4,375 4,928
--------
Total U. S. Treasury Obligations
(Cost $66,010,713) 66,552
--------
</TABLE>
29
<PAGE>
SCHEDULE OF INVESTMENTS
================================================================================
Morgan Grenfell Investment Trust -- October 31, 1995
FIXED INCOME FUND
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------
Face Amount Market Value
Description (000) (000)
- ----------------------------------------------------------------------------------------------------
<S> <C> <C>
CASH EQUIVALENTS (0.1%)
SEI Daily Income Trust
Government II Portfolio
5.500%, 11/07/95 $ 597 $ 597
--------
Total Cash Equivalents
(Cost $597,345) 597
--------
REPURCHASE AGREEMENT (2.0%)
J.P. Morgan Securities 5.81%, dated
10/31/95, matures 11/01/95,
repurchase price $9,993,096
(collateralized by U.S. Treasury
Note, par value $10,000,000, 6.125%,
due 07/31/96, market value
$10,192,289) 9,991 9,991
--------
Total Repurchase Agreement
(Cost $9,991,483) 9,991
--------
Total Investments (100.3% of Net Assets)
(Cost $483,741,142) $495,681
========
</TABLE>
(A) Zero Coupon Bond
(B) Securities are held in connection with a letter of credit issued
by a major commercial bank.
(C) Variable Rate Security - The rate reflected on the Schedule of
Investments is the rate in effect at October 31, 1995.
(D) Income on bond may be subject to Alternative Minimum Tax.
CMO Collateralized Mortgage Obligation
ETM Escrowed to Maturity
GO General Obligation
MTN Medium Term Note
REMIC Real Estate Mortgage Investment Conduit
RB Revenue Bond
The following organizations have provided underlying credit support
for certain securities as defined in the Schedule of Investments:
AMBAC American Municipal Bond Assurance Company
AXA Reinsurance
CGIC Capital Guaranty Insurance Company
FGIC Financial Guaranty Insurance Corporation
FHA Federal Housing Authority
FHLMC Federal Home Loan Mortgage Corporation
FNMA Federal National Mortgage Association
FSA Financial Security Assurance
GNMA Government National Mortgage Association
MBIA Municipal Bond Insurance Association
The accompanying notes are an integral part of the financial statements.
SHORT-TERM
MUNICIPAL BOND FUND
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------
Face Amount Market Value
Description (000) (000)
- ----------------------------------------------------------------------------------------------------
<S> <C> <C>
MUNICIPAL BONDS (98.9%)
ALABAMA (5.0%)
Pell City, Industrial Development
Board RB, Shelby Steel Fabricators,
series A
7.700%, 09/01/01 (A) (B) $ 180 $ 185
--------
ALASKA (1.1%)
Anchorage, Certificate of
Participation, series B
(Asset Guaranty)
5.100%, 04/01/96 40 40
--------
CALIFORNIA (2.7%)
Port Hueneme, Redevelopment
Agency RB, Century Community
Redevelopment Project, series A,
Pre-Refunded 05/01/96 @ 102
(AMBAC)
7.000%, 05/01/10 15 16
Sacramento, Municipal Utility District
Electric RB, series S, Pre-Refunded
02/01/97 @ 102 (FGIC)
6.625%, 02/01/17 10 11
San Diego Housing Authority,
Multi-Family Mortgage RB,
Hillside Gardens Apartments,
series A (FNMA)
4.900%, 05/01/96 75 74
--------
101
--------
COLORADO (10.9%)
El Paso County, Residual RB,
Capital Appreciation, series C
07/10/14 (B) (C) 1,000 242
State Housing Finance Authority,
Single Family Mortgage RB,
series E
6.250%, 12/01/09 (B) 90 91
Student Obligation Board Authority,
Student Loan RB, series B (GTD)
5.400%, 12/01/95 (B) 75 75
--------
408
--------
CONNECTICUT (2.0%)
Stratford, GO (ETM)
6.250%, 03/01/96 75 76
--------
FLORIDA (1.3%)
Miami, Parking Facility RB, series A
5.500%, 10/01/96 50 51
--------
</TABLE>
30
<PAGE>
================================================================================
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------
Face Amount Market Value
Description (000) (000)
- ----------------------------------------------------------------------------------------------------
<S> <C> <C>
KANSAS (0.4%)
Johnson County, Single Family
Mortgage RB
5.625%, 05/01/02 $ 15 $ 15
--------
KENTUCKY (1.7%)
University of Kentucky, Hospital RB,
series A, Pre-Refunded
08/01/96 @ 103
7.500%, 08/01/97 60 63
--------
MASSACHUSETTS (11.8%)
Boston, series A, GO (MBIA)
5.900%, 07/01/96 50 51
State Health & Educational Facilities
Authority RB, Williams College,
series C (ETM)
6.250%, 07/01/96 25 25
State Housing Finance Authority,
Single Family Mortgage RB, series 8
7.000%, 06/01/99 205 216
State Industrial Finance RB, Brandeis
University, series C (MBIA)
6.400%, 10/01/96 55 56
State Water Resource Authority RB,
series A
5.600%, 07/15/96 50 51
State Water Resource Authority RB,
Series A (ETM)
5.750%, 12/01/96 40 41
--------
440
--------
MISSISSIPPI (4.9%)
Business Finance Corporation,
Industrial Development RB,
The Taylor Group Incorporated Project
5.000%, 05/01/96 (A) (B) 90 90
5.200%, 05/01/97 (A) (B) 95 95
--------
185
--------
NEBRASKA (3.8%)
Investment Financial Authority,
Multi-Family Mortgage RB,
Park Drive Apartments Project,
Mandatory Put 06/01/97 @ 100
4.750%, 06/01/05 (A) 140 140
--------
NEW HAMPSHIRE (2.0%)
State Housing Finance Authority,
Single Family Mortgage RB,
Exchangeable yearly on 07/01
6.125%, 01/01/18 (A) (B) 75 75
--------
<CAPTION>
- ----------------------------------------------------------------------------------------------------
Face Amount Market Value
Description (000) (000)
- ----------------------------------------------------------------------------------------------------
<S> <C> <C>
NEW MEXICO (9.4%)
Albuquerque, Municipal
Collateralized Mortgage Obligation,
Class B-2 (FGIC)
05/15/11 (C) $539 $174
Albuquerque, Municipal
Collateralized Mortgage Obligation,
Single Family Mortgage,
Class B-1 (FSA)
7.650%, 08/15/07 64 68
Sandoval County,
Gross Receipts Tax RB
6.000%, 11/01/98 105 107
--------
349
--------
NEW YORK (1.2%)
State Medical Care Facilities,
Hospital & Nursing Home Insured
Mortgage, series A (FHA)
6.700%, 08/15/01 40 44
--------
OKLAHOMA (3.1%)
Housing Finance Agency,
Single Family Mortgage RB,
Class A (GNMA)
7.997%, 08/01/18 (B) 110 114
--------
PENNSYLVANIA (13.4%)
Butler County, Hospital Authority RB,
Butler Memorial Hospital
7.500%, 07/01/96 50 51
Dauphin County, General
Authority RB, RR1 Term,
Mandatory Put 12/01/95 @ 100
6.000%, 06/01/26 80 80
Philadelphia, Industrial Development
Authority RB, Huff Paper
Company Project
6.100%, 12/15/97 (B) 40 40
State Certificate of Participation
6.200%, 06/01/96 100 100
State Housing Finance Agency,
Single Family Mortgage RB, series K
6.000%, 10/01/96 200 202
Western Westmoreland,
Municipal Authority RB (MGG)
6.150%, 10/15/97 25 25
--------
498
--------
</TABLE>
31
<PAGE>
SCHEDULE OF INVESTMENTS
================================================================================
Morgan Grenfell Investment Trust -- October 31, 1995
SHORT-TERM MUNICIPAL
BOND FUND
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------
Face Amount Market Value
Description (000) (000)
- ----------------------------------------------------------------------------------------------------
<S> <C> <C>
PUERTO RICO (2.7%)
Commonwealth Public
Improvement, GO
6.000%, 07/01/96 (A) $ 50 $ 50
Electric Power Authority RB,
series M (BIG)
6.700%, 07/01/96 50 51
--------
101
--------
SOUTH DAKOTA (3.0%)
State Housing Development
Authority RB
6.125%, 05/01/08 110 111
--------
TEXAS (14.7%)
South Plains, Regional Housing
Authority Mortgage RB, Section 8
Assisted Project, series 8 (HUD)
6.000%, 08/01/00 170 171
Southeast Housing Finance Corp
Residual RB, Capital Appreciation,
series B
12/01/16 (C) 1,100 229
Tarrant County, Housing Finance
Corporation, Multi-Family Housing
RB, Summit Lake Project (FNMA),
Mandatory Put 10/01/97 @ 100
7.375%, 10/01/07 140 145
--------
545
--------
UTAH (1.1%)
Salt Lake City, Industrial
Development RB, Hermes
Association Project
5.900%, 09/01/96 (A) 40 41
--------
WASHINGTON (1.4%)
State Public Power Supply RB,
System Nuclear Project-No. 3,
series B
6.900%, 07/01/96 50 51
--------
WISCONSIN (1.3%)
Wisconsin State GO, series 4
3.000%, 11/01/95 50 50
--------
Total Municipal Bonds
(Cost $3,658,324) 3,683
--------
CASH EQUIVALENTS (0.5%)
SEI Institutional Tax Free Portfolio 19 19
--------
<CAPTION>
- ----------------------------------------------------------------------------------------------------
Face Amount Market Value
Description (000) (000)
- ----------------------------------------------------------------------------------------------------
<S> <C> <C>
Total Cash Equivalents
(Cost $18,566) $ 19
--------
Total Investments (99.4% of Net Assets)
(Cost $3,676,890) $ 3,702
========
</TABLE>
(A) Securities are held in connection with a letter of credit issued
by a major commercial bank.
(B) Income on bond may be subject to Alternative Minimum Tax.
(C) Zero Coupon Bond
ETM Escrowed to Maturity
GO General Obligation Bond
RB Revenue Bond
The following organizations have provided underlying credit support
for the securities as defined in the Schedule of Investments:
AMBAC American Municipal Bond Assurance Corporation
BIG Bond Investors Guaranty Insurance Company
FGIC Federal Guaranty Insurance Company
FHA Federal Housing Association
FNMA Federal National Mortgage Association
FSA Financial Security Assurance
GNMA Government National Mortgage Association
GTD Guaranteed Student Loans
HUD Housing & Urban Development Section B
MBIA Municipal Bond Insurance Association
MGG Municipal Government Guaranteed
The accompanying notes are an integral part of the financial statements.
SHORT-TERM
FIXED INCOME FUND
<TABLE>
<S> <C> <C>
ASSET BACKED SECURITIES (18.8%)
Carco Auto Loan Master Trust
series 1995-3, class A (A)
6.030%, 05/15/00 $ 50 $ 50
Caterpillar Financial Asset Trust
series 1995-A, class A2
6.100%, 08/25/01 150 150
Ford Credit Auto Lease Trust
series 1995-1, class A2
6.350%, 10/15/98 150 152
Navistar Financial Corporation
Owner Trust series 1995-B, class A2
5.940%, 10/15/98 150 150
Premier Auto Trust series 1993-5,
class A2
4.220%, 03/02/99 72 71
Sears Credit Account Trust
series 1991-C, class A
8.650%, 07/15/98 100 102
</TABLE>
32
<PAGE>
================================================================================
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------
Face Amount Market Value
Description (000) (000)
- ----------------------------------------------------------------------------------------------------
<S> <C> <C>
Standard Credit Card Master Trust
series 1991-1, class A
8.500%, 08/07/97 $100 $ 102
-------
Total Asset Backed Securities
(Cost $774,979) 777
-------
MORTGAGE BACKED SECURITIES (11.9%)
Green Tree Financial Corporation
series 1993-1A1
4.900%, 04/15/18 52 51
Green Tree Financial Corporation
series 1994-1A1
5.600%, 04/15/19 91 91
Green Tree Financial Corporation
series 1995-1A1
7.250%, 06/15/25 51 52
Green Tree Financial Corporation
series 1995-4A1
6.050%, 07/15/25 60 60
Housing Securities Incorporated
series 1994-1, class A5
5.500%, 08/25/03 100 99
Vanderbilt Mortgage Finance
series 1994-A, class A1
7.000%, 07/10/19 138 140
-------
Total Mortgage Backed Securities
(Cost $491,134) 493
-------
CORPORATE OBLIGATIONS (2.5%)
Lehman Brothers
7.000%, 05/15/97 100 101
-------
Total Corporate Obligations
(Cost $100,428) 101
-------
U.S. GOVERNMENT AGENCY OBLIGATIONS (22.0%)
Federal Home Loan Mortgage
Corporation REMIC series 1101KA
7.250%, 09/15/18 76 76
Federal Home Loan Mortgage
Corporation REMIC series 1190F
7.500%, 09/15/18 59 59
Federal Home Loan Mortgage
Corporation REMIC series 1215E
6.750%, 02/15/04 123 122
Federal Home Loan Mortgage
Corporation REMIC series 1306G
7.800%, 05/15/12 91 92
Federal Home Loan Mortgage
Corporation REMIC series 1332D
6.000%, 02/15/13 52 52
Federal National Mortgage
Association REMIC series 1989-85D
7.600%, 05/25/18 66 66
Federal National Mortgage
Association REMIC series 1990-87G
7.500%, 05/25/12 103 103
Federal National Mortgage
Association REMIC series 1991-137E
8.050%, 01/25/20 66 67
Federal National Mortgage
Association REMIC series 1992-161A
6.500%, 12/25/13 59 58
Federal National Mortgage
Association REMIC series G92-35A
7.000%, 10/25/15 98 98
Federal National Mortgage
Association REMIC series G92-42C
7.000%, 09/25/19 52 52
Federal National Mortgage Association
REMIC series 1991-165H
7.500%, 04/25/20 65 66
-------
Total U.S. Government Agency
Obligations (Cost $910,413) 911
-------
TAXABLE MUNICIPAL BONDS (39.3%)
Dallas County, Texas Housing Finance
Corporation
6.625%, 12/01/13 200 193
Dauphin County, Pennsylvania
General Authority Health Center,
Tressler Lutheran, series B, Optional
Put 09/01/96 @ 100
7.000%, 09/01/10 270 269
Gainesville, Florida Utility
Systems Revenue Bonds
4.875%, 04/01/96 170 169
Hillard, Ohio Housing
Development Corporation,
Sturbridge Green, series B (FHA)
7.750%, 01/01/97 75 75
North Washington, Colorado Fire
Protection District General
Obligation, Series A
6.300%, 11/01/95 115 115
Ohio Capital Corporation Housing
Revenue Bonds, series 1995N
(FHA) (MBIA)
6.875%, 07/01/97 90 90
Plainfield, Indiana Quaker School
Building Corporation
6.100%, 07/01/96 135 135
</TABLE>
33
<PAGE>
SCHEDULE OF INVESTMENTS
================================================================================
Morgan Grenfell Investment Trust -- October 31, 1995
SHORT-TERM
FIXED INCOME FUND
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------
Face Amount (000)/ Market Value
Description Shares (000)
- ----------------------------------------------------------------------------------------------------
<S> <C> <C>
Rome, New York Housing
Development Revenue Bonds,
Section 8 Housing, series B
(MBIA) (FHA)
7.750%, 07/01/01 $ 70 $ 71
San Francisco, California
Redevelopment Agency, Section 8
Housing, series C (MBIA) (FHA)
6.375%, 01/01/00 180 181
Snake River, Colorado Water District
General Obligation (Asset Guaranty)
6.250%, 12/15/96 180 180
Utah School District Finance
Cooperative, series A, Mandatory
Put 02/15/96 @ 100
5.400%, 02/15/10 150 150
-------
Total Taxable Municipal Bonds
(Cost $1,626,422) 1,628
-------
CASH EQUIVALENTS (4.9%)
SEI Daily Income Trust
Government II Portfolio 204 204
-------
Total Cash Equivalents
(Cost $203,902) 204
-------
REPURCHASE AGREEMENT (5.3%)
Lehman Brothers Securities 5.53%,
dated 10/31/95, matures 11/01/95,
repurchase price $218,629
(collateralized by U.S. Treasury
Note, par value $214,224, 7.875%,
due 04/15/98, market value
$225,438) 219 219
-------
Total Repurchase Agreement
(Cost $218,596) 219
-------
Total Investments
(104.7% of Net Assets) (Cost $4,325,874) $ 4,333
=======
</TABLE>
(A) Variable rate security - The rate reflected on the Schedule
of Investments is the rate in effect at October 31, 1995.
REMIC Real Estate Mortgage Investment Conduit
The following organizations have provided underlying credit support
for the securities as defined in the Schedule of Investments:
FHA Federal Housing Authority Insured
MBIA Municipal Bond Insurance Association
The accompanying notes are an integral part of the financial statements.
SMALLER COMPANIES
FUND
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------
Market Value
Description Shares (000)
- ----------------------------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS (84.9%)
AGRICULTURE (3.6%)
Barefoot 1,500 $ 18
Delta & Pine Land 2,000 78
-------
96
-------
AIR TRANSPORTATION (1.0%)
Atlantic Southeast Airlines 1,000 25
-------
APPAREL/TEXTILES (0.9%)
Mohawk Industries* 1,500 23
-------
BANKS (7.7%)
Baybanks 1,000 81
Dime Bancorp* 5,000 53
First Bell Bancorp* 1,000 13
Glendale Federal Savings Bank* 2,000 32
Long Island Bancorp 1,000 23
-------
202
-------
BUILDING & CONSTRUCTION (2.6%)
Lennar 3,000 69
-------
COMMUNICATIONS EQUIPMENT (4.1%)
American Radio Systems* 1,000 23
Dionex* 1,000 53
Mercury Interactive* 1,500 31
-------
107
-------
COMPUTERS & SERVICES (1.7%)
Ceridian* 600 26
Micros Systems* 500 19
-------
45
-------
CONSUMER PRODUCTS (1.5%)
Nine West Group* 900 40
-------
ELECTRICAL TECHNOLOGY (0.5%)
Komag* 250 14
-------
FINANCIAL SERVICES (1.3%)
Credit Acceptance* 1,400 33
-------
FOOD, BEVERAGE & TOBACCO (0.5%)
Robert Mondavi, Class A* 500 14
-------
HEALTHCARE (1.7%)
Gensia Pharmaceutical* 3,000 13
Gilead Sciences* 500 10
</TABLE>
34
<PAGE>
================================================================================
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------
Market Value
Description Shares (000)
- ----------------------------------------------------------------------------------------------------
<S> <C> <C>
Immulogic Pharmaceutical* 700 $ 8
Uromed* 1,300 14
-------
45
-------
HOUSEHOLD FURNITURE & FIXTURES (0.9%)
Leggett and Platt 1,000 24
-------
LUMBER & WOOD PRODUCTS (0.6%)
Triangle Pacific* 1,000 16
-------
MACHINERY (3.0%)
Camco International 1,000 23
PRI Automation* 1,500 55
-------
78
-------
MANUFACTURING (1.0%)
West Marine* 900 27
-------
MEASURING DEVICES (2.0%)
CEM* 4,000 53
-------
MEDICAL PRODUCTS & SERVICES (1.7%)
American Oncology Resources* 1,300 46
-------
MISCELLANEOUS BUSINESS SERVICES (2.6%)
Adobe Systems 400 23
Platinum Technology* 1,100 20
Rational Software* 700 11
The Bisys Group* 500 14
-------
68
-------
MISCELLANEOUS MANUFACTURING (3.0%)
Blyth Industries* 500 25
Department 56* 1,200 55
-------
80
-------
PAPER & PAPER PRODUCTS (3.3%)
Bowater 1,000 44
Potlatch 1,000 42
-------
86
-------
PETROLEUM & FUEL PRODUCTS (6.7%)
Benton Oil & Gas* 750 9
BJ Services* 1,500 35
Coda Energy* 2,500 19
Devon Energy 2,000 43
Diamond Shamrock R&M 1,000 26
Parker & Parsley Petroleum 1,000 19
United Meridian* 1,500 25
-------
176
-------
<CAPTION>
- ----------------------------------------------------------------------------------------------------
Shares Market Value
Description Face Amount (000)/Shares (000)
- ----------------------------------------------------------------------------------------------------
<S> <C> <C>
PRINTING & PUBLISHING (2.5%)
New England Business Service 3,500 $ 67
-------
RETAIL (9.5%)
Big B 400 6
Boston Chicken* 1,000 33
Creative Computers* 1,100 32
Daka International* 600 18
Damark International* 2,200 13
DF&R Restaurants* 900 27
Family Dollar Stores 1,750 27
Garden Ridge* 900 32
Global Directmail* 300 8
Petsmart* 700 23
Sonic* 1,500 33
-------
252
-------
SEMI-CONDUCTORS/INSTRUMENTS (5.8%)
Integrated Process Equipment* 1,100 41
MEMC Electronic Materials* 2,500 80
Oak Technology* 600 33
-------
154
-------
TELEPHONES & TELECOMMUNICATION (7.2%)
Cascade Communications* 800 57
Highwaymaster Communications* 1,000 8
Paging Network* 3,000 69
Pairgain Technologies* 600 26
Vanguard Cellular System, Class A* 1,300 29
-------
189
-------
TOWING & TUGBOAT SERVICE (2.5%)
Tidewater 2,500 66
TRUCKING (2.2%)
American Freightways* 1,000 13
TNT Freightways 2,500 45
-------
58
-------
WHOLESALE (3.3%)
Computervision* 2,700 32
Daisytek International* 1,000 28
FTP Software* 1,000 27
-------
87
-------
Total Common Stocks
(Cost $2,103,640) 2,240
-------
COMMERCIAL PAPER (16.2%)
Associates
5.801%, 11/01/95 $ 428 428
-------
</TABLE>
35
<PAGE>
SCHEDULE OF INVESTMENTS
================================================================================
Morgan Grenfell Investment Trust -- October 31, 1995
SMALLER COMPANIES
FUND
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------
Market Value
Description Shares (000)
- ----------------------------------------------------------------------------------------------------
<S> <C> <C>
Total Commercial Paper
(Cost $428,000) $ 428
-------
Total Investments (101.1% of Net Assets)
(Cost $2,531,640) $ 2,668
=======
* Non-income producing security.
The accompanying notes are an integral part of the financial statements.
INTERNATIONAL EQUITY FUND
FOREIGN COMMON STOCKS (95.0%)
AUSTRALIA (2.4%)
Mim Holdings 31,000 $ 41
Western Mining 4,000 26
-------
67
-------
FINLAND (1.3%)
Valmet `A' 1,300 36
-------
FRANCE (6.9%)
Castorama 467 76
Christian Dior 850 84
Cie de Saint Gobain 12 1
Sanofi 450 29
-------
190
-------
GERMANY (2.7%)
Veba 1,800 74
-------
HONG KONG (5.4%)
Cheung Kong 5,000 28
Hutchison Whampoa 22,000 121
-------
149
-------
ITALY (1.4%)
Telecom Italia Mobile SPA* 22,000 37
-------
JAPAN (33.3%)
Autobac Seven 100 9
Canon 4,000 68
DDI 8 65
Hitachi 7,000 72
Ito Yokado 1,000 55
Mitsubishi 5,000 55
Mitsubishi Estate 6,000 64
Mitsubishi Heavy Industries 10,000 77
Nishimatsu Construction 6,000 67
NKK* 23,000 56
Nomura Securities 4,000 73
<CAPTION>
- ----------------------------------------------------------------------------------------------------
Market Value
Description Shares (000)
- ----------------------------------------------------------------------------------------------------
<S> <C> <C>
Sankyo 3,000 $ 66
Shin Etsu Chemical 3,000 61
Teijin 13,000 60
Tokio Marine & Fire Insurance 6,000 62
-------
910
-------
MALAYSIA (2.4%)
Genting Berhad 4,000 35
United Engineers 5,000 31
-------
66
-------
NETHERLANDS (5.7%)
Aegon 879 33
Elsevier 6,200 81
Polygram 660 41
-------
155
-------
SINGAPORE (4.1%)
Jardine Matheson Holdings 6,800 41
Overseas Chinese Banking Foreign 6,000 71
-------
112
-------
SPAIN (1.8%)
Centros Comerciales Pryca 1,100 23
Empresa Nacional de Electricidad 520 26
-------
49
-------
SWEDEN (6.6%)
Astra AB, series A 2,400 88
Ericsson 4,400 94
-------
182
-------
SWITZERLAND (3.1%)
BBC Brown Boveri Bearer 35 41
Roche Holding 6 43
-------
84
-------
UNITED KINGDOM (17.9%)
British Telecommunications 9,400 56
Dixons Group 24,300 147
General Electric 18,100 90
Glaxo Wellcome 8,200 111
Williams Holdings 17,400 86
-------
490
-------
Total Foreign Common Stocks
(Cost $2,462,698) 2,601
-------
FOREIGN PREFERRED STOCK (1.5%)
GERMANY (1.5%)
SAP 275 42
-------
</TABLE>
36
<PAGE>
================================================================================
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------
Market Value
Description Shares (000)
- ----------------------------------------------------------------------------------------------------
<S> <C> <C>
Total Foreign Preferred Stock
(Cost $44,914) $ 42
-------
Total Investments (96.5% of Net Assets)
(Cost $2,507,612) $ 2,643
=======
* Non-Income producing security.
The accompanying notes are an integral part of the financial statements.
INTERNATIONAL SMALL
CAP EQUITY FUND
FOREIGN COMMON STOCKS (85.6%)
AUSTRALIA (1.9%)
Adelaide Bank 195,000 $ 525
Biota Holdings 180,000 233
Burswood Property Trust 400,000 515
Gasgoyne Gold Mine 1,659 2
Savage Resources 231,000 167
Shomega 200,000 244
-------
1,686
-------
AUSTRIA (0.8%)
Austria Mikro Systeme International 1,100 204
Wolford 3,690 496
-------
700
-------
BELGIUM (0.3%)
Quick Restaurants 2,500 229
-------
DENMARK (1.2%)
Martin Gruppen 6,650 359
Martin Gruppen New* 2,260 122
Oticon Holding AS, series A 6,040 613
-------
1,094
-------
FINLAND (0.1%)
Benefon Oy 2,500 70
-------
FRANCE (3.5%)
Airfeu SA 2,824 109
Assystem* 3,370 224
Bertrand Faure 2,500 79
Brioche Pasquier 1,628 214
But SA 1,338 341
CIPE France SA 3,600 211
Deveaux SA 2,483 184
Filipacchi Medias 16 2
Grand Optical-Photoservice 3,408 365
<CAPTION>
- ----------------------------------------------------------------------------------------------------
Market Value
Description Shares (000)
- ----------------------------------------------------------------------------------------------------
<S> <C> <C>
Guilbert SA 3,447 $ 414
Hermes International 1,482 261
MGI Coutier 2,084 124
NRJ SA 10 1
Sidel 689 239
Sylea 3,300 248
Union Financiere de France
Banque SA 1,742 133
-------
3,149
-------
GERMANY (2.8%)
Ahlers (Adolf) 620 132
Boss (Hugo) 379 317
CeWe Color Holding 1,393 406
Jil Sander 662 555
Kiekert* 11,600 730
Marschollek Lauten 308 207
Stohr & Company 1,500 199
-------
2,546
-------
HONG KONG (1.7%)
ASM Pacific Technology 95,000 90
Chen Hsong 230,000 134
China Resources Development 200,000 89
East Asiatic Company 320,000 43
Four Seas Mercantile 250,000 73
Gold Peak 310,000 150
Grand Hotel Holdings A 200,000 73
Harbour Centre 161,000 179
Hon Kwok Land Investment 402,000 122
Hong Kong Aircraft Engineering 44,800 115
Liu Chong Hing Bank 140,000 172
Regal Hotels International 800,000 150
TVE Holdings 250,000 76
Wing Hang Bank 16,000 52
Winsor Industrial 73,000 66
-------
1,584
-------
INDONESIA (1.0%)
Bukaka Teknik Utama* 50,000 74
Clipan Finance 67,500 157
Fastfood Indonesia 31,000 27
PT Aneka Kimia Ray* 45,000 127
PT Bank Niaga 25,000 89
Sari Husada 30,000 149
Tigaraksa Satria 40,000 141
Trias Sentosa 60,000 132
-------
896
-------
ITALY (4.0%)
De Rigo Spa ADR* 13,500 278
Gewiss 69,750 875
</TABLE>
37
<PAGE>
SCHEDULE OF INVESTMENTS
================================================================================
Morgan Grenfell Investment Trust -- October 31, 1995
INTERNATIONAL SMALL
CAP EQUITY FUND
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------
Market Value
Description Shares (000)
- ----------------------------------------------------------------------------------------------------
<S> <C> <C>
Industria Machine* 62,300 $ 435
Industrie Natuzzi Spa ADR 36,012 1,441
Saes Getters 18,120 346
Saes Getters Di Risp 27,580 234
-------
3,609
-------
JAPAN (38.4%)
Aichi 47,000 372
Aiwa 18,000 391
Alpine Electronics 37,000 514
Arcland Sakamoto 20,000 258
Belluna 12,000 224
Beltecno 10,000 139
Bridgestone 55,000 597
Cesar 50,000 356
Chubu Sekiwa Real Estate 30,000 396
Chudenko 8,000 292
Chuo Warehouse 20,000 215
Circle K* 15,000 572
Daishowa Paper 60,000 441
Daiwabo Information Systems 16,000 458
Enix 11,000 398
Fast Retailing 9,200 449
Fuji Machine Manufacturing 14,000 527
Fujitsu Business Systems 20,000 504
Fuso Lexel 23,000 169
H.I.S. 12,100 467
Higashi Nihon House 15,000 201
Hitachi Medical 30,000 381
Honma Golf* 16,000 396
Hosoda 10,000 67
Ichiken 40,000 358
IO Data Device 6,000 428
Itoki Crebio 52,000 388
Izumi 21,000 398
Japan Digital Lab 20,000 401
Japan Industry Land 14,000 523
Juken Sangyo 33,000 381
Kaneshita Construction 31,000 391
Kansai Sekiwa 31,000 515
Kanto Seino Transportation 8,000 227
Kawasumi Labs 20,000 272
Maezawa Kaisei 10,000 391
Mars Engineering 5,000 364
Maruco 12,400 710
Ministop 23,000 558
Misumi 20,000 700
Mitsuba Electric 37,000 376
Mitsui High Tech 25,000 677
Mitsui Home 25,000 354
Mitsumi Electric 37,000 897
Nichiha 25,000 416
Nichii Gakkan* 11,000 480
Nihon Dempa Kogyo 12,000 307
Nippon Kanzai 12,000 340
Nippon Thompson 68,000 555
Nissin 11,000 538
Nitto Electric Works 31,000 424
OSG 57,000 401
Paramount Bed 6,000 432
Paris Miki 18,000 570
Plenus 6,000 283
PS 25,000 420
Ricoh Elemex 25,000 320
Ryohin Keikaku 7,000 460
Ryoyo Electro 16,000 374
Sansei Yusoki 22,000 217
Santen Pharmaceutical 20,500 485
Sanyo Shinpan 8,000 571
Satori Electric 10,000 464
Seijo 16,500 516
Seikagaku Engineering 10,000 257
Sekiwa Real Estate 40,000 293
Senshukai 200 4
Shimachu 19,000 502
Shinki* 13,000 447
Shinko Electric 11,000 479
Sintokogio 56,000 416
SK Kaken 9,000 202
Stamina Foods 27,000 343
Takada Kiko Steel 43,000 414
Tanseisha 25,000 236
TKC 20,100 440
Tohoku Misawa Home 31,000 355
Tokin 30,000 463
Towa Pharmaceutical 7,000 329
Trusco Nakayama 22,800 430
Wakita & Company 31,000 403
Xebio 16,000 594
Yagi 8,000 94
Yamae Hisano 25,000 284
Yonkyu 10,000 259
Yoshinoya D&C 40 634
Yukiguni Maitake 18,000 345
-------
34,889
-------
MALAYSIA (1.5%)
Cycle And Carr Bin 60,000 248
George Kent 59,500 112
Hock Hua Bank 40,000 118
IOI Properties 60,000 126
Muhibbah Engineering 40,000 145
Nylex Berhad 80,000 235
Public Finance 95,000 179
RJ Reynolds Berhad 50,000 102
Shah Alam Properties 50,000 123
-------
1,388
-------
</TABLE>
38
<PAGE>
================================================================================
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------
Market Value
Description Shares (000)
- ----------------------------------------------------------------------------------------------------
<S> <C> <C>
NETHERLANDS (2.4%)
Aalberts Industries 3,800 $ 223
Gucci* 24,500 696
IHC Caland 10,548 300
OPG Apoth Coop 9,400 228
Otra 1,057 218
Randstad Holdings 6,590 297
Sphinx Kon Gustavsberg 9,188 255
-------
2,217
-------
NORWAY (4.0%)
Awilco AS, series B 27,200 269
Industri Investor 78,000 198
Multisoft AS 6,750 163
Nera AS 14,830 531
Sensonor AS* 54,000 460
Storli AS, series A 10,000 162
Sysdeco Group AS* 21,700 484
System Etiketterin 26,349 508
Tandberg AS* 7,500 78
Tandberg New* 7,700 80
Tomra Systems 75,740 478
Transocean 15,386 235
-------
3,646
-------
PHILIPPINES (0.2%)
Bacnotan Cement 50,000 48
Belle Resources* 200,000 30
First Philippine Holdings 32,111 68
Union Bank of Philippines* 12,000 14
-------
160
-------
PORTUGAL (0.3%)
TVI - Televisao Industries* 54,000 253
-------
SINGAPORE (1.6%)
Amtek Engineering 80,000 164
Comfort Group 37,000 31
Courts Singapore 135,000 212
Flextech Holdings 100,000 55
Jurong Engineering 50,000 294
Seksun Precision Engineering 100,000 71
Sembawang Maritime 25,000 85
Singap Ship & Engine 75,000 192
ST Capital 100,000 120
Tiger Medicals 35,000 54
Venture Manufacturing 70,000 214
-------
1,492
-------
SOUTH KOREA (0.3%)
Daesung Industrial 1,000 83
Halla Engineering &
Construction Rights* 768 --
Halla Engineering & Construction* 3,200 160
Korean Express EDR 2,600 56
-------
299
-------
SPAIN (0.7%)
Cortefiel 12,000 354
Empresas Nacional de Cellulosa* 7,600 139
Energia E Ind Aragonesas* 30,500 156
-------
649
-------
SWEDEN (2.8%)
Allgon AB, series B 5,000 76
Assa Abloy, series B* 23,747 157
Elekta Instrument AB, series B 5,400 224
Hoganas AB, series B* 21,160 570
Kalmar 31,500 513
Kanthal, series B 11,900 197
Sintercast* 15,860 826
-------
2,563
-------
SWITZERLAND (1.9%)
Bossard Holding 108 193
Edipresse SA 1,348 376
Fust 1,170 294
Kardex PC 1,155 327
Sarna Kunst Holdings 95 108
Swiss Log Holdings 1,160 347
Zehnder Holdings 208 112
-------
1,757
-------
THAILAND (0.4%)
KCE Electronics 50,000 143
Muramoto Electronics 16,800 55
Serm Suk* 6,040 77
Srithai Superware 12,000 82
-------
357
-------
UNITED KINGDOM (13.8%)
Albright & Wilson 60,000 151
Allders 15,500 43
Allied Colloids 40,000 84
Alumasc Group 50,909 356
Amersham International 13,000 198
Argos 50,000 405
Avon Rubber 15,000 124
Baynes (Charles) 140,000 228
BBA Group 85,000 361
Blick 17,000 133
BM Group 225,000 133
</TABLE>
39
<PAGE>
SCHEDULE OF INVESTMENTS
================================================================================
Morgan Grenfell Investment Trust -- October 31, 1995
INTERNATIONAL SMALL
CAP EQUITY FUND
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------
Market Value
Description Shares (000)
- ----------------------------------------------------------------------------------------------------
<S> <C> <C>
BMG Charles Sydney 96,459 $ 137
Bunzl 100,000 318
Business Post Group 75,000 420
Charter 17,500 230
Compass Group 40,000 272
Courtaulds Textile 32,500 211
Cowie Group 20,000 94
Crabtree Group 25,000 146
CRT Group 73,333 139
Daily Mail & General Trust A 15,000 257
Dalgety 50,000 336
Devro International 35,000 135
Diploma 15,000 103
Domino Printing 12,500 94
Fairey Group 24,150 194
Firstbus 81,550 178
Forth Ports 37,500 365
Glynwed International 55,000 292
Great Portland Estates 38,000 97
Halma 40,000 108
Henlys 35,000 283
Hepworth 60,000 274
Ibstock 210,000 212
Ideal Hardware 44,000 322
Isa International 100,000 232
Laird Group 25,000 165
London Clubs International 44,500 288
MAI 40,000 208
Marston Thompson 50,000 240
Menvier-Swain 49,500 220
MFI Furniture 105,000 236
Misys 23,076 218
Moorfield Estates 253,705 106
Morrison(W) Supermarket 25,000 59
My Holdings 264,032 292
Perkins Food 55,000 63
Pizza Express 100,000 305
Protean 46,945 185
Rugby Group 120,000 203
Sanderson Holding 25,000 77
Security Services 12,500 186
Sheffield Insulation 38,500 125
Smith (David S.) Holding 27,500 251
Spirax-Sarco Engineering 40,000 382
Stakis 150,000 184
Stat-Plus Group 40,000 131
Staveley Industries 60,000 202
Sunleigh 1,700,000 60
Tibbett & Britten Group 8,000 56
Trafford Park Estates 120,000 178
Ulster Television 20,000 302
-------
12,587
-------
Total Foreign Common Stocks
(Cost $76,409,819) 77,820
-------
FOREIGN PREFERRED STOCKS (3.2%)
GERMANY (3.2%)
Berentzen - Gruppe 9,370 263
Fielmann 9,200 504
Hach 575 296
Mobel Walther 918 405
Puma 1,686 467
Rhoen Klinikum 3,900 324
Rhoen Klinikum Rights 3,900 75
Sto Vorzug 494 265
Villeroy & Boch 1,704 322
-------
2,921
-------
Total Foreign Preferred Stocks
(Cost $2,661,161) 2,921
-------
COMMON STOCK (0.0%)
UNITED STATES (0.0%)
Pixtech 1,860 19
-------
Total Common Stock
(Cost $18,693) 19
-------
Total Investments (88.8% of Net Assets)
(Cost $79,089,673) $80,760
=======
</TABLE>
* Non-income producing security.
ADR American Depository Receipts.
EDR European Depository Receipts.
PC Participating Certificates.
The accompanying notes are an integral part of the financial statements.
EUROPEAN SMALL
CAP EQUITY FUND
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------
Market Value
Description Shares (000)
- ----------------------------------------------------------------------------------------------------
<S> <C> <C>
FOREIGN COMMON STOCKS (85.1%)
AUSTRIA (3.0%)
Austria Mikro Systeme International 724 $ 134
Wolford 1,099 148
-------
282
-------
BELGIUM (0.7%)
Quick Restaurants 722 66
-------
DENMARK (2.8%)
Martin Gruppen* 1,200 65
Oticon Holding AS, series A 1,952 198
-------
263
-------
</TABLE>
40
<PAGE>
================================================================================
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------
Market Value
Description Shares (000)
- ----------------------------------------------------------------------------------------------------
<S> <C> <C>
FINLAND (0.4%)
Benefon Oy 1,300 $ 36
-------
FRANCE (7.9%)
Airfeu SA 967 37
Assystem* 910 60
Bertrand Faure 730 23
Brioche Pasquier 481 63
But SA 250 64
CIPE France SA 1,069 63
Deveaux SA 500 37
Filipacchi Medias 3 --
Grand Optical-Photoservice 625 67
Guilbert SA 819 99
Hermes International 415 73
MGI Coutier 580 34
Sidel 186 65
Sylea 300 23
Union Financiere de France Banque SA 423 32
-------
740
-------
GERMANY (6.3%)
Boss (Hugo) 60 50
CeWe Color Holding 398 116
Jil Sander 156 131
Kiekert* 2,700 170
Marschollek Lauten 72 48
Stohr & Company 528 70
-------
585
-------
ITALY (6.9%)
De Rigo ADR 3,000 62
Gewiss 11,836 147
Industria Machine* 17,000 119
Industrie Natuzzi Spa ADR 3,564 143
Saes Getters 6,350 121
Saes Getters Di Risp 4,000 34
Saes Getters Priv 1,500 16
-------
642
-------
NETHERLANDS (6.2%)
Aalberts Industries 1,896 111
Gucci* 5,350 152
OPG Apoth Coop 2,826 69
Otra 375 77
Randstad Holdings 2,028 92
Sphinx Kon Gustavsberg 2,790 77
-------
578
-------
NORWAY (9.8%)
Awilco AS, series B 7,210 71
Multisoft AS 2,000 48
<CAPTION>
- ----------------------------------------------------------------------------------------------------
Market Value
Description Shares (000)
- ----------------------------------------------------------------------------------------------------
<S> <C> <C>
Nera AS 4,260 $154
Sensonor AS* 15,181 129
Storli AS, series A 2,800 45
Sysdeco Group AS* 5,750 128
System Etiketterin 6,551 126
Tandberg AS* 2,000 21
Tandberg New* 2,100 22
Tomra Systems 15,966 101
Transocean 4,768 73
-------
918
-------
SPAIN (2.0%)
Cortefiel 1,885 56
Empresas Nacional de Cellulosa* 1,949 36
Energia E Ind Aragonesas* 7,454 38
Uralita* 5,387 54
-------
184
-------
SWEDEN (7.6%)
Allgon AB, series B 2,500 38
Assa Abloy, series B* 6,638 44
Elekta Instrument AB, series B 800 33
Hoganas AB, series B 6,187 167
Kalmar 7,590 123
Kanthal, series B 5,200 86
Sintercast* 4,090 217
-------
708
-------
SWITZERLAND (2.2%)
Edipresse SA 164 46
Fust 142 36
Kardex PC 274 77
Sarna Kunst Holdings 1 1
Zehnder Holdings 90 48
-------
208
-------
UNITED KINGDOM (29.3%)
Albright & Wilson 15,000 38
Allied Colloids 25,000 53
Amersham International 3,000 46
Argos 22,000 177
BBA Group 32,000 136
Bradford Property Trust 8,000 23
Capital Shopping Centers 12,500 40
Charter 5,000 66
Compass Group 11,000 75
Courtaulds Textile 7,500 49
Daily Mail & General Trust A 4,800 82
Dalgety 20,000 134
Devro International 22,000 85
Diploma 16,000 110
Fairey Group 7,500 60
Glynwed International 22,000 117
</TABLE>
41
<PAGE>
SCHEDULE OF INVESTMENTS
================================================================================
Morgan Grenfell Investment Trust -- October 31, 1995
EUROPEAN SMALL
CAP EQUITY FUND
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------
Market
Description Shares Value (000)
- ----------------------------------------------------------------------------------------------------
<S> <C> <C>
Great Portland Estates 18,000 $ 46
Halma 33,333 90
Hepworth 25,000 114
Ibstock 65,000 66
Laird Group 19,200 127
London Clubs International* 9,750 63
MAI 15,000 78
MFI Furniture 55,000 123
Monument Oil & Gas 55,000 51
Morrison(W) Supermarket 12,000 28
Rugby Group 40,000 68
Scapa Group 10,000 37
Security Services 7,500 111
Smith (David S.) Holding 9,700 89
Spirax-Sarco Engineering 15,000 143
Stakis 35,000 43
Staveley Industries 14,000 47
Tibbett & Britten Group 8,000 56
Wilson Holdings 25,000 57
-------
2,728
-------
Total Foreign Common Stocks
(Cost $6,988,891) 7,938
-------
FOREIGN PREFERRED STOCKS (10.7%)
GERMANY (10.7%)
Berentzen - Gruppe 4,380 123
Fielmann 2,100 115
Hach 135 69
Mobel Walther 323 142
Puma 600 166
Rhoen Klinikum 1,810 151
Rhoen Klinikum Rights* 1,810 35
Sto Vorzug 196 105
Villeroy & Boch 512 97
-------
1,003
-------
Total Foreign Preferred Stocks
(Cost $873,035) 1,003
-------
COMMON STOCK (0.0%)
UNITED STATES (0.0%)
Pixtech 400 4
-------
Total Common Stock
(Cost $4,020) 4
-------
Total Investments (95.8% of Net Assets)
(Cost $7,865,946) $ 8,945
=======
* Non-income producing security.
ADR American Depository Receipts
PC Participating Certificates
The accompanying notes are an integral part of the financial statements.
<CAPTION>
EMERGING MARKETS
EQUITY FUND
- ----------------------------------------------------------------------------------------------------
Market
Description Shares Value (000)
- ----------------------------------------------------------------------------------------------------
<S> <C> <C>
FOREIGN COMMON STOCKS (84.8%)
ARGENTINA (3.3%)
Astra Cia Argentina, series B 600,000 $ 887
Nobleza Piccardo, series B 220,000 847
Quilmes Industrial SA ADR 33,000 578
YPF SA ADR 45,000 771
-------
3,083
-------
BRAZIL (4.6%)
Casa Anglo Bras SA 2,260,000 141
Cemig Rights* 1,185,147 25
Centrais Eletrica* 712,000 482
Cia Energetica de Minas 24,820,000 532
Eletrobras 1,500,000 426
Makro Atacadista GDR* 65,000 585
Moihno Santista* 100,000 74
Souza Cruz 110,000 787
Telebras ADR* 20,000 805
Telepar Tel Parana 1,500,000 468
-------
4,325
-------
CHILE (1.0%)
Cia Telecomunicacion Chile ADR 4,000 288
Laboratorio Chile ADR 25,000 300
Maderas Y Sintecticos ADR 20,000 358
-------
946
-------
COLOMBIA (1.6%)
Banco de Bogota 109,776 509
Cadenalco ADR 25,000 325
Suramericana 38,386 677
-------
1,511
-------
GREECE (1.5%)
Aluminum of Greece 4,000 198
Ergo Bank 12,450 537
Hellenic Bottling 9,825 314
Hellenic Sugar 900 11
Lavipharm* 9,920 86
Papastratos Cig 7,500 233
-------
1,379
-------
HUNGARY (0.2%)
Gedeon Richter GIC 12,000 180
-------
INDIA (3.9%)
Asok Leyland GDR 31,000 310
Bajaj Auto* 28,750 679
East India Hotels* 50,000 759
Grasim Industries 18,000 319
India Rayon GDR 26,000 311
</TABLE>
42
<PAGE>
================================================================================
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------
Market
Description Shares Value (000)
- ----------------------------------------------------------------------------------------------------
<S> <C> <C>
Indian Aluminum GDR 24,000 $ 143
Indian Hotels ADR* 16,200 300
Larsen & Toubro 50,000 399
Mahangar Telephone* 70,000 324
Usha Beltron GDR 23,000 69
-------
3,613
-------
INDONESIA (5.8%)
Astra International 284,000 569
Bimantara Citra* 410,000 316
Bk Danamon 280,000 407
Bunas Finance 50,000 26
Duta Pertiwi Nusan 100,000 119
Gudang Garam 50,000 435
Indofood 133,000 615
Indosat 25,000 85
Panin Bank 197,000 217
Pt Aneka Kimia Ray 57,000 161
Pt Darya Vaia Laboratoria 320,000 539
Pt Enseval Putera 76,000 57
Pt Indah Kiat Pulp & Paper 489,984 480
Pt Tempo Scan Pacific 90,000 484
Semen Gresik 56,000 146
Tigaraksa Satria 104,000 367
Tjiwi Kimia 114,000 211
Trias Sentosa 85,000 187
-------
5,421
-------
MALAYSIA (15.8%)
Arab Malaysian Finance 56,666 199
Berjaya Sports 500,000 1,043
Commerce Asset Holdings 80,000 394
DCB Holdings 250,000 709
Edaran Otomobil 90,000 709
Genting Berhad 100,000 862
Land and General 255,000 592
Leader Universal 250,000 674
Malayan Banking 150,000 1,210
Malaysian Indl Development 200,000 390
Nylex Berhad 200,000 586
Petronas Gas* 200,000 677
Renong Berhad 300,000 458
Resorts World Berhad 240,000 1,171
RJ Reynolds Berhad* 380,000 778
Sime Darby Malaysia 250,000 625
Telekom Malaysia 190,000 1,363
Tenaga Nasional Berhad 200,000 756
UMW Holdings Berhad 200,000 476
United Engineers 180,000 1,119
-------
14,791
-------
<CAPTION>
- ----------------------------------------------------------------------------------------------------
Market
Description Shares Value (000)
- ----------------------------------------------------------------------------------------------------
<S> <C> <C>
MEXICO (9.0%)
Apasco 100,000 $ 370
Bufete Industrial ADR* 24,000 336
Cifra SA ADR 790,000 845
Corporacion Geo SA ADR* 8,750 94
Corporacion Geo SA GDS* 11,250 118
Empaques Ponderosa ADS* 47,000 399
Empresas Ica Sociedad
Controladora ADR 145,000 1,450
Grupo Financiero Banamex,
series B* 150,000 259
Grupo Financiero Banamex,
series L* 7,500 12
Grupo Financiero Bancomer,
series B* 1,365,000 356
Grupo Financiero Bancomer,
series L* 50,555 12
Grupo Herdez, series A* 800,000 201
Grupo Industria Bimbo, series A 105,000 404
Grupo Industria Saltillo, series A 40,000 533
Grupo Televisa ADR 16,000 276
Interceramica* 130,000 151
Kimberly Clark, series A 40,000 527
Nacional de Drogas, series B 10,000 34
Nacional de Drogas, series L 255,000 813
Sigma Alimentos, series B 60,000 416
Telefonos de Mexico ADR,
series L 16,000 440
Transport Marititime de Mexico,
series L* 51,000 375
-------
8,421
-------
PAKISTAN (0.4%)
Engro Chemicals* 75,000 298
Pakistan Telecom* 699 65
-------
363
-------
PERU (1.7%)
Cervecer Back&John T* 127,000 228
Cia Embotelladora Pacfico* 380,000 196
Cpt Telefonica Del Peru, series B 347,685 622
Explosivos, series C* 54,351 146
Explosivos, series T* 54,351 81
Seguros Fenix 25,408 287
-------
1,560
-------
PHILIPPINES (1.8%)
Aboitiz Equity Ventures* 1,628,600 310
Bacnotan Consolidated 46,000 301
Belle Resources* 2,100,000 319
C & P Homes* 282,000 182
Filinvest Land* 62,500 17
</TABLE>
43
<PAGE>
SCHEDULE OF INVESTMENTS
================================================================================
Morgan Grenfell Investment Trust -- October 31, 1995
EMERGING MARKETS
EQUITY FUND
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------
Market
Description Shares Value (000)
- ----------------------------------------------------------------------------------------------------
<S> <C> <C>
First Philippene Holdings 83,200 $ 176
Manila Electric 8,000 60
Philippine Long Distance 2,000 112
Philippine Long Distance ADR 3,300 185
-------
1,662
-------
POLAND (0.2%)
Bank Przemsl* 3,100 96
Debica* 8,000 111
-------
207
-------
PORTUGAL (1.6%)
Banco Portugal de Invest 340 5
Barbosa E Almeida 4,444 135
Cimentos de Portugal 25,890 422
Jeronimo Martins 6,000 319
Portugal Telecom* 18,000 341
Semapa* 12,000 115
TVI - Televisao Industries* 31,680 148
-------
1,485
-------
SOUTH AFRICA (11.9%)
Anglo American Gold Investment 11,900 961
Anglovaal, series N 24,700 940
Cadbury Schweps SA 34,500 530
C.G. Smith Foods 38,250 750
Debeers Centenary Linked Units 34,500 953
JCI 118,000 947
Malbak 152,500 1,014
Metro Cash & Carry 135,000 481
Metropolitan Life 40,500 489
Rembrandt Group 109,000 994
Reunert 195,000 1,149
South African Brewery 27,500 903
Southern Life 104,000 984
-------
11,095
-------
SOUTH KOREA (4.9%)
Daewoo* 168 2
Dong-Ah Construction 4,836 194
Dong-Ah Construction ADR* 12,000 291
Hanil Bank* 9,700 117
Hyundai Engineering 12,446 657
Hyundai Motor GDR* 19,000 333
Hyundai Motor GDS* 2,000 35
Korea Electric Power 7,500 309
Korean Air* 5,000 176
Lg Chemical 21,000 318
Pohang Iron & Steel 850 74
Pohang Iron & Steel ADR 11,000 281
Samsung Electronics GDR* 323 37
Samsung Electronics GDS* 17,902 1,145
Samsung Electronics GDS New* 254 27
Samsung New 1/2 Non-Voting* 2,354 121
Samsung New 1/2 Voting* 63 7
Shinhan Bank 18,000 372
Shinhan Bank New* 1,836 37
-------
4,533
-------
TAIWAN (1.5%)
Advanced Semiconductor
Engineering GDR* 30,000 382
GVC GDR* 13,730 119
Hocheng GDR 33,129 273
President Enterprise GDS* 32,069 361
Siliconware Precision GDR* 14,804 234
-------
1,369
-------
THAILAND (8.1%)
Advanced Info Service 66,000 1,049
Electricity Generating* 288,000 984
Finance One 105,000 647
Italian-Thai Development 30,000 339
Krung Thai Bank 350,000 1,392
PTT Exploration 89,500 811
Siam Cement 8,000 436
Srithai Superware 50,000 342
Thai Carbon Black 4,875 22
Thai Farmers Bank 40,000 331
Thai Military Bank 300,000 1,180
-------
7,533
-------
TURKEY (1.6%)
Arcelik 1,050,000 174
Borusan Borv 705,000 223
Bossa* 871,000 82
Kartonsan Karton 340,000 131
Mardin Cimento 1,000,000 234
Netas 410,380 142
T Sise Cam* 1,100,000 195
Tire Kutsan* 750,000 136
Trakya Cam 1,338,748 193
-------
1,510
-------
UNITED KINGDOM (0.6%)
Antofagasta Holdings 125,000 593
-------
UNITED STATES (1.6%)
Five Arrow Chile Fund 75,000 221
Genisis Chile Fund 6,600 252
Mauritius Fund* 64,000 703
Oryx Fund* 35,000 298
-------
1,474
-------
</TABLE>
44
<PAGE>
================================================================================
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------
Shares/ Market
Description Face Amount (000)(1) Value (000)
- ----------------------------------------------------------------------------------------------------
<S> <C> <C>
VENEZUELA (2.2%)
Mavesa SA ADR 259,166 $ 1,069
Sider ADR* 500,000 977
-------
2,046
-------
Total Foreign Common Stocks
(Cost $82,584,469) 79,100
-------
FOREIGN PREFERRED STOCKS (7.3%)
BRAZIL (7.1%)
Banco Bradesco 63,522,315 581
Bardella SA 2,000 291
Brahma 1,971,951 756
Brasmotor 1,000,000 234
Cesp Cia Energetica ADR* 40,000 380
Confab Industries 404,200 214
Eletrobras* 1,500,000 427
Ind Bebidas Antartica 4,920 476
Ind Villares 1,000,000 229
Inepar Ind Construction 250,000,000 234
Iochpe-Maxion 1,000,000 312
Marcopolo SA* 1,600,000 280
Metalurgica Schulz 9,600,000 344
Petrobras 3,466,666 299
Refripar 314,714,330 743
Sade Videsa* 16,200,000 219
Sadia Concordia 262,500 207
Weg 860,000 429
-------
6,655
-------
PORTUGAL (0.1%)
Barbosa E Almeida* 2,222 67
-------
SOUTH KOREA (0.1%)
Jinro* 7,270 108
-------
Total Foreign Preferred Stocks
(Cost $6,322,919) 6,830
-------
FOREIGN CONVERTIBLE BONDS (2.5%)
INDONESIA (0.0%)
Modernland Realty
6.000%, 01/06/03 20 21
-------
SOUTH KOREA (0.4%)
Large Electronics
3.250%, 12/31/06 $ 300 374
-------
TAIWAN (2.1%)
Acer
4.000%, 06/10/01 $ 380 1,188
<CAPTION>
- ----------------------------------------------------------------------------------------------------
Face Amount Market
Description (000)(1) Value (000)
- ----------------------------------------------------------------------------------------------------
<S> <C> <C>
Formosa Chemical & Fibre
1.750%, 07/19/01 $280 $ 267
Tung Ho Steel
4.000%, 07/26/01 $300 355
U-Ming Marine
1.500%, 02/07/01 $140 139
-------
1,949
-------
Total Foreign Convertible Bonds
(Cost $2,196,117) 2,344
-------
Total Investments
(94.6% of Net Assets)
(Cost $91,103,505) $88,274
=======
* Non-income producing security.
ADR American Depository Receipt.
ADS American Depository Shares.
GDR Global Depository Receipt.
GDS Global Depository Shares.
GIC Global Investment Certificate.
(1) In local currency unless otherwise indicated.
The accompanying notes are an integral part of the financial statements.
GLOBAL FIXED
INCOME FUND
FOREIGN BONDS (57.3%)
CANADA (5.2%)
Government of Canada
6.500%, 06/01/04 4,600 $ 3,205
9.000%, 12/01/04 4,950 4,034
-------
7,239
-------
DENMARK (7.1%)
Kingdom of Denmark
9.000%, 11/15/00 28,000 5,552
7.000%, 12/15/04 24,800 4,301
-------
9,853
-------
FRANCE (7.1%)
Government of France
6.000%, 10/25/25 14,000 2,233
Government of France OAT
8.500%, 11/25/02 15,000 3,331
6.750%, 10/25/03 21,600 4,331
-------
9,895
-------
</TABLE>
45
<PAGE>
SCHEDULE OF INVESTMENTS
================================================================================
Morgan Grenfell Investment Trust -- October 31, 1995
GLOBAL FIXED
INCOME FUND
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------
Face Amount Market
Description (000)(1) Value (000)
- ----------------------------------------------------------------------------------------------------
<S> <C> <C>
GERMANY (21.9%)
Bundesobligation
6.375%, 05/20/98 5,700 $ 4,214
Deutschland Republic
5.250%, 10/20/98 6,800 4,904
8.750%, 07/20/00 3,200 2,569
8.875%, 12/20/00 3,600 2,916
8.250%, 09/20/01 2,600 2,060
LKB Baden Wurttenberg
6.000%, 05/10/99 3,000 2,200
Republic of Austria
8.000%, 06/17/02 4,900 3,793
Westdeutsche Landesbank
6.375%, 07/15/03 3,000 2,108
6.250%, 09/15/03 3,000 2,085
World Bank
7.125%, 04/12/05 5,000 3,665
-------
30,514
-------
JAPAN (11.3%)
Government of Japan
6.700%, 06/20/00 259,000 3,079
6.000%, 12/20/01 89,000 5,756
4.500%, 06/20/03 278,000 3,033
4.700%, 12/20/04 355,000 3,935
-------
15,803
-------
UNITED KINGDOM (4.7%)
Republic of Finland
8.000%, 04/07/03 1,380 2,139
United Kingdom Treasury
9.750%, 08/27/02 850 1,484
9.500%, 10/25/04 1,670 2,901
-------
6,524
-------
Total Foreign Bonds
(Cost $77,098,194) 79,828
-------
FOREIGN CURRENCY OPTION (0.5%)
UNITED STATES (0.5%)
Japanese Yen Put*
01/10/96 5,500 749
-------
Total Foreign Currency Option
(Cost $131,450) 749
-------
CORPORATE OBLIGATIONS (3.2%)
UNITED STATES (3.2%)
General Electric Capital
8.125%, 02/23/07 4,000 4,440
-------
Total Corporate Obligations
(Cost $4,278,549) 4,440
--------
U. S. TREASURY OBLIGATIONS (27.0%)
UNITED STATES (27.0%)
U.S. Treasury Bond
5.750%, 10/31/00 3,200 3,175
11.625%, 11/15/04 1,420 1,965
9.875%, 11/15/15 1,236 1,697
U.S. Treasury Note
6.875%, 04/30/97 3,250 3,290
5.125%, 03/31/98 4,000 3,930
5.125%, 12/31/98 (2) 3,200 3,146
7.875%, 08/15/01 (2) 5,300 5,790
7.500%, 11/15/01 5,000 5,406
6.375%, 08/15/02 (2) 3,700 3,777
6.250%, 02/15/03 1,100 1,112
7.250%, 08/15/04 (2) 4,000 4,329
--------
37,617
--------
Total U. S. Treasury Obligations
(Cost $36,513,888) 37,617
--------
Total Investments (88.0% of Net Assets)
(Cost $118,022,081) $122,634
========
</TABLE>
* Non-income producing security.
(1) In local currency unless otherwise indicated.
(2) Securities segregated to collateralize forward exchange contracts
with an aggregate market value of approximately $17,040,705.
The accompanying notes are an integral part of the financial statements.
INTERNATIONAL
FIXED INCOME FUND
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------
Face Amount Market
Description (000)(1) Value (000)
- ----------------------------------------------------------------------------------------------------
<S> <C> <C>
FOREIGN BONDS (92.5%)
AUSTRIA (3.2%)
Government of Austria
5.000%, 01/22/01 JY 80,000 $ 892
-------
CANADA (10.1%)
Government of British Columbia
9.000%, 06/21/04 905 718
Government of Canada
8.500%, 04/01/02 1,500 1,183
Government of Ontario
7.750%, 12/08/03 1,200 876
-------
2,777
-------
</TABLE>
46
<PAGE>
================================================================================
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------
Face Amount Market
Description (000)(1) Value (000)
- ----------------------------------------------------------------------------------------------------
<S> <C> <C>
DENMARK (9.4%)
Kingdom of Denmark
9.000%, 11/15/00 6,300 $ 1,249
7.000%, 12/15/04 (2) 7,800 1,353
-------
2,602
-------
FINLAND (4.1%)
Republic of Finland
7.500%, 01/27/00 1,500 1,138
-------
FRANCE (13.6%)
France Telecom
9.000%, 07/27/01 5,400 1,210
Government of France
8.500%, 04/25/03 3,500 776
5.500%, 04/25/04 2,900 532
6.000%, 10/25/25 3,200 510
Government of France OAT
6.750%, 10/25/03 3,600 722
-------
3,750
-------
GERMANY (26.6%)
African Development Bank
7.250%, 10/21/99 500 378
Bayer Landesbank
6.000%, 02/16/04 1,500 1,021
Bundesobligation
6.375%, 05/20/98 590 436
Deutschland Republic
6.375%, 08/14/98 1,250 925
8.750%, 07/20/00 1,800 1,446
KFW International Finance
7.250%, 12/03/97 1,050 784
LKB Baden Wurttenberg
6.625%, 08/20/03 1,100 792
Norddeutsche Landesbank
6.000%, 01/05/04 1,500 1,017
Treuhandanstalt
7.750%, 10/01/02 700 541
-------
7,340
-------
JAPAN (14.6%)
Government of Japan
6.700%, 06/20/00 77,000 916
6.000%, 12/20/01 40,000 471
4.500%, 06/20/03 85,000 927
4.700%, 12/20/04 110,000 1,219
Japanese Development Bank
5.000%, 10/01/99 45,000 499
-------
4,032
-------
<CAPTION>
- ----------------------------------------------------------------------------------------------------
Face Amount Market
Description (000)(1) Value (000)
- ----------------------------------------------------------------------------------------------------
<S> <C> <C>
UNITED KINGDOM (7.8%)
Abbey National
8.000%, 04/02/03 340 525
Halifax
7.750%, 12/03/98 300 477
United Kingdom Treasury
8.500%, 07/16/07 710 1,154
-------
2,156
-------
UNITED STATES (3.1%)
Federal National Mortgage Association
6.000%, 08/23/00 DM 1,200 867
-------
Total Foreign Bonds (Cost $24,479,159) 25,554
-------
FOREIGN CURRENCY OPTION (0.7%)
JAPAN (0.7%)
Japanese Yen Put*
01/10/96 $ 1,350 184
-------
Total Foreign Currency Option
(Cost $32,265) 184
-------
Total Investments (93.2% of Net Assets)
(Cost $24,511,424) $25,738
=======
* Non-income producing security.
DM German Mark.
JY Japanese Yen.
(1) In local currency unless otherwise indicated.
(2) Securities segregated to collateralize forward exchange contracts
with an aggregate market value of approximately $1,352,885.
The accompanying notes are an integral part of the financial statements.
EMERGING MARKETS
DEBT FUND
FOREIGN BONDS (78.0%)
ARGENTINA (10.9%)
Argentina BOCON
5.906%, 04/01/01 $ 5,260 $ 3,487
Government of Argentina FRN
6.813%, 03/31/05 4,050 2,395
5.000%, 03/31/23 3,500 1,667
6.875%, 03/31/23 3,000 1,688
-------
9,237
-------
</TABLE>
47
<PAGE>
SCHEDULE OF INVESTMENTS
================================================================================
Morgan Grenfell Investment Trust -- October 31, 1995
EMERGING MARKETS
DEBT FUND
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------
Face Amount Market
Description (000)(1) Value (000)
- ----------------------------------------------------------------------------------------------------
<S> <C> <C>
BRAZIL (26.3%)
Government of Brazil
8.000%, 04/15/14 $11,037 $ 5,586
4.250%, 04/15/24 3,010 1,452
Government of Brazil FRN
6.688%, 01/01/01 5,178 4,414
6.812%, 04/15/06 7,600 5,026
6.875%, 04/15/12 5,000 2,738
Petroleo Brazil FRN
10.213%, 06/08/98 3,000 3,053
-------
22,269
-------
BULGARIA (3.8%)
Government of Bulgaria FRN
6.750%, 07/28/11 6,000 2,640
6.750%, 07/28/24 1,050 529
-------
3,169
-------
ECUADOR (3.1%)
Government of Ecuador PDI
6.812%, 02/27/15 7,915 2,611
-------
MEXICO (17.0%)
Cemex SA
8.875%, 06/10/98 4,000 3,693
Government of Mexico FRN
6.250%, 12/31/19 2,800 1,645
Government of Mexico FRN, series A
6.766%, 12/31/19 4,500 3,009
Government of Mexico FRN, series B
6.250%, 12/31/19 5,500 3,231
Government of Mexico FRN, series C
6.969%, 12/31/19 1,250 836
Government of Mexico FRN, series D
6.875%, 12/31/19 2,850 1,906
-------
14,320
-------
PANAMA (4.3%)
Government of Panama FRN
7.250%, 05/10/02 4,500 3,668
-------
PHILIPPINES (3.7%)
Government of Philippines FRN,
series B
5.000%, 06/01/08 4,050 3,088
-------
POLAND (4.4%)
Government of Poland
2.750%, 10/27/24 750 348
Government of Poland FRN
3.750%, 10/27/14 5,250 3,367
-------
3,715
-------
VENEZUELA (4.5%)
Government of Venezuela
6.750%, 03/31/20 500 258
Government of Venezuela FRN
6.813%, 12/18/07 7,250 3,570
-------
3,828
-------
Total Foreign Bonds
(Cost $66,067,744) 65,905
-------
LOAN PARTICIPATIONS (7.1%)
GERMANY (2.9%)
Russian Loan Agreement (2)
(Participation: J.P. Morgan) (3) DM 10,000 2,452
-------
MOROCCO (4.2%)
Morocco R&C Loan (2)
(Participation: J.P. Morgan) (3)
01/01/09 $6,000 3,570
-------
Total Loan Participations
(Cost $6,111,672) 6,022
-------
U. S. TREASURY OBLIGATIONS (2.1%)
UNITED STATES (2.1%)
U.S. Treasury Strip Principal Only
02/15/20 8,600 1,735
-------
Total U. S. Treasury Obligations
(Cost $1,605,653) 1,735
-------
Total Investments (87.2% of Net Assets)
(Cost $73,785,069) $73,662
=======
</TABLE>
FRN Floating Rate Note
DM Deutsche Marks
(1) In U.S. Dollars unless otherwise indicated.
(2) Non-income producing security. Security is in default.
(3) Participations were acquired through the financial institutions
indicated parenthetically. See Note 6.
The accompanying notes are an integral part of the financial statements.
48
<PAGE>
STATEMENT OF ASSETS AND LIABILITIES (000)
================================================================================
Morgan Grenfell Investment Trust -- October 31, 1995
<TABLE>
<CAPTION>
------------- --------------- ---------------- ------------
SHORT-TERM SHORT-TERM
MUNICIPAL FIXED MUNICIPAL FIXED
BOND INCOME BOND INCOME
FUND FUND FUND FUND
------------- --------------- ---------------- ------------
<S> <C> <C> <C> <C>
ASSETS:
Investment securities (Cost $212,353,
$483,741, $3,677 and $4,326,
respectively) $218,125 $495,681 $3,702 $4,333
Cash 81 72 -- --
Dividend and interest receivable 3,685 6,772 56 43
Investment securities sold -- 4,876 -- 100
Capital shares sold 1,019 88 -- --
Other assets 2 2 -- --
-------- -------- -------- --------
Total assets 222,912 507,491 3,758 4,476
-------- -------- -------- --------
LIABILITIES:
Income distribution payable 1,024 2,609 16 19
Investment securities purchased 385 10,218 -- 300
Investment advisory fees payable 66 126 1 1
Administration fees payable 21 47 2 2
Accrued expenses and other liabilities 358 270 15 14
-------- -------- -------- --------
Total liabilities 1,854 13,270 34 336
-------- -------- -------- --------
NET ASSETS:
Capital shares (unlimited
authorization -- $0.001 par value) 216,849 479,195 3,684 4,133
Accumulated net realized gain (loss)
on investments (1,564) 3,085 15 --
Net unrealized appreciation
(depreciation) on investments 5,772 11,940 25 7
Undistributed net investment
income (loss) 1 1 -- --
-------- -------- -------- --------
Net assets $221,058 $494,221 $3,724 $4,140
======== ======== ======== ========
Outstanding shares of beneficial
interest 20,346 46,521 367 413
NET ASSET VALUE, OFFERING PRICE AND
REDEMPTION PRICE PER SHARE $10.86 $10.62 $10.13 $10.01
======== ======== ======== ========
</TABLE>
The accompanying notes are an integral part of the financial statements.
49
<PAGE>
STATEMENT OF ASSETS AND LIABILITIES (000)
================================================================================
Morgan Grenfell Investment Trust -- October 31, 1995
<TABLE>
<CAPTION>
------------- --------------- ---------------- ------------
INTERNATIONAL EUROPEAN
SMALLER INTERNATIONAL SMALL CAP SMALL CAP
COMPANIES EQUITY EQUITY EQUITY
FUND FUND FUND FUND
------------- --------------- ---------------- ------------
<S> <C> <C> <C> <C>
ASSETS:
Investment securities (Cost $2,532,
$2,508, $79,090, $7,866, $91,104, $118,022
$24,511, and $73,785, respectively) $2,668 $2,643 $80,760 $8,945
Cash -- 57 8,622 434
Foreign currency (Cost $87, $1,798,
$44, $577, $1,403, and $175, respectively) -- 87 1,791 44
Dividend and interest receivable 1 3 117 17
Investment securities sold 35 -- 883 135
Capital shares sold -- -- -- --
Other assets -- 12 245 11
------- ------- ------- -------
Total assets 2,704 2,802 92,418 9,586
------- ------- ------- -------
LIABILITIES:
Investment securities purchased 61 53 1,372 208
Investment advisory fees payable -- -- 63 3
Administration fees payable 1 3 9 6
Accrued expenses and other liabilities 4 8 57 33
------- ------- ------- -------
Total liabilities 66 64 1,501 250
------- ------- ------- -------
NET ASSETS:
Capital shares (unlimited
authorization -- $0.001 par value) 2,500 2,502 91,504 8,131
Accumulated net realized gain (loss)
on investments (6) (6) (2,681) 30
Net unrealized appreciation
(depreciation) on forward foreign
currency contracts, foreign currency,
and translation of other assets and
liabilities in foreign currency -- 9 170 (21)
Net unrealized appreciation
(depreciation) on investments 136 135 1,670 1,079
Undistributed net investment
income (loss) 8 98 254 117
------- ------- ------- -------
Net assets $2,638 $2,738 $90,917 $9,336
======= ======= ======= =======
Outstanding shares of beneficial
interest 250 250 9,672 809
NET ASSET VALUE, OFFERING PRICE AND
REDEMPTION PRICE PER SHARE $10.55 $10.95 $9.40 $11.55
======= ======= ======= =======
</TABLE>
The accompanying notes are an integral part of the financial statements.
50
<PAGE>
================================================================================
<TABLE>
<CAPTION>
------------- --------------- ---------------- ------------
EMERGING GLOBAL INTERNATIONAL EMERGING
MARKETS FIXED FIXED MARKETS
EQUITY INCOME INCOME DEBT
FUND FUND FUND FUND
------------- --------------- ---------------- ------------
<S> <C> <C> <C> <C>
ASSETS:
Investment securities (Cost $2,532,
$2,508, $79,090, $7,866, $91,104, $118,022
$24,511, and $73,785, respectively) $88,274 $122,634 $25,738 $73,662
Cash 7,615 4,036 867 7,621
Foreign currency (Cost $87, $1,798,
$44, $577, $1,403, and $175, respectively) 574 1,385 175 --
Dividend and interest receivable 80 3,245 791 1,529
Investment securities sold 308 -- -- 5,132
Capital shares sold -- 9,922 12 1
Other assets 2 -- 51 --
------- ------- ------- -------
Total assets 96,853 141,222 27,634 87,945
------- ------- ------- -------
LIABILITIES:
Investment securities purchased 3,136 1,276 -- 3,363
Investment advisory fees payable 71 46 6 74
Administration fees payable 8 12 6 8
Accrued expenses and other liabilities 350 551 19 62
------- ------- ------- -------
Total liabilities 3,565 1,885 31 3,507
------- ------- ------- -------
NET ASSETS:
Capital shares (unlimited
authorization -- $0.001 par value) 95,072 130,056 24,778 81,013
Accumulated net realized gain (loss)
on investments 947 808 255 (1,686)
Net unrealized appreciation
(depreciation) on forward foreign
currency contracts, foreign currency,
and translation of other assets and
liabilities in foreign currency (15) (462) 52 (62)
Net unrealized appreciation
(depreciation) on investments (2,830) 4,612 1,227 (123)
Undistributed net investment
income (loss) 114 4,323 1,291 5,296
------- -------- ------- -------
Net assets $93,288 $139,337 $27,603 $84,438
======= ======== ======= =======
Outstanding shares of beneficial
interest 11,499 12,675 2,434 8,006
NET ASSET VALUE, OFFERING PRICE AND
REDEMPTION PRICE PER SHARE $8.11 $10.99 $11.34 $10.55
======= ======== ======= =======
</TABLE>
51
<PAGE>
STATEMENT OF OPERATIONS (000)
================================================================================
Morgan Grenfell Investment Trust--For the period ended October 31, 1995
<TABLE>
<CAPTION>
------------- --------------- ---------------- ------------ -------------
SHORT-TERM SHORT-TERM
MUNICIPAL FIXED MUNICIPAL FIXED SMALLER
BOND INCOME BOND INCOME COMPANIES
FUND FUND FUND (1) FUND (2) FUND (3)
------------- --------------- ---------------- ------------ -------------
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME:
Interest $11,762 $27,656 $101 $86 $ 15
Dividends -- -- -- -- 4
Less: Foreign taxes withheld -- -- -- -- --
------- ------- ------- ------- -------
Total Investment Income 11,762 27,656 101 86 19
------- ------- ------- ------- -------
EXPENSES:
Investment advisory fees 748 1,506 8 5 9
Investment advisory fee reduction (152) (355) (8) (5) (9)
Administration fees 228 456 13 13 4
Custodian fees 17 40 5 5 2
Transfer agent fees 11 12 8 8 3
Professional fees 63 148 2 1 1
Registration & filing fees 38 109 4 4 1
Printing fees 6 20 1 1 --
Trustee fees 15 30 1 1 --
Pricing fees 9 14 -- -- --
Other fees 31 41 1 -- --
------- ------- ------- ------- -------
Total expenses 1,014 2,021 35 33 11
Less: Reimbursement from Advisor -- -- (24) (26) --
------- ------- ------- ------- -------
Total Net expenses 1,014 2,021 11 7 11
------- ------- ------- ------- -------
NET INVESTMENT INCOME/(LOSS) 10,748 25,635 90 79 8
------- ------- ------- ------- -------
NET REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS AND FOREIGN
CURRENCY TRANSACTIONS:
Net realized gain (loss) on investments:
Security transactions (1,331) 8,122 15 -- (6)
Option transactions -- -- -- -- --
Net realized gain (loss) on forward
foreign currency contracts and
foreign currency transactions -- -- -- -- --
Net change in unrealized appreciation
(depreciation) on forward foreign
currency contracts, foreign currency,
and translation of other assets and
liabilities in foreign currency -- -- -- -- --
Net change in unrealized appreciation
(depreciation) on investments 9,806 18,803 25 7 136
------- ------- ------- ------- -------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS $19,223 $52,560 $130 $86 $138
======= ======= ======= ======= =======
</TABLE>
(1) Short-Term Municipal Bond Fund commenced operations on 3/6/95.
(2) Short-Term Fixed Income Fund commenced operations on 3/13/95.
(3) Smaller Companies Fund commenced operations on 6/30/95.
(4) International Equity Fund commenced operations on 5/15/95.
(5) European Small Cap Equity Fund commenced operations on 11/1/94.
The accompanying notes are an integral part of the financial statements.
52
<PAGE>
================================================================================
<TABLE>
<CAPTION>
------------- --------------- ------------ ------------ --------- -------------- -----------
INTERNATIONAL EUROPEAN EMERGING GLOBAL INTERNATIONAL EMERGING
INTERNATIONAL SMALL CAP SMALL CAP MARKETS FIXED FIXED MARKETS
EQUITY EQUITY EQUITY EQUITY INCOME INCOME DEBT
FUND (4) FUND FUND (5) FUND FUND FUND FUND
------------- --------------- ------------ ------------- --------- ------------- -----------
<S> <C> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME:
Interest $ 4 $ 149 $ 37 $ 57 $ 5,590 $1,407 $6,518
Dividends 28 1,109 187 1,191 -- -- --
Less: Foreign taxes withheld (2) (169) (26) (134) (21) (11) --
-------- -------- -------- -------- -------- -------- --------
Total Investment Income 30 1,089 198 1,114 5,569 1,396 6,518
-------- -------- -------- -------- -------- -------- --------
EXPENSES:
Investment advisory fees 8 657 79 658 463 118 811
Investment advisory fee reduction (8) (151) (78) (200) (78) (81) (129)
Administration fees 11 98 50 94 105 69 69
Custodian fees 5 125 20 172 79 32 80
Transfer agent fees 5 12 10 12 12 11 11
Professional fees 1 15 3 19 38 9 28
Registration & filing fees 1 26 4 33 40 8 30
Printing fees -- 2 -- 3 5 1 3
Trustee fees -- 6 1 6 8 2 5
Pricing fees 2 26 9 20 3 3 3
Other fees -- 5 1 5 6 2 5
-------- -------- -------- -------- -------- -------- --------
Total expenses 25 821 99 822 681 174 916
Less: Reimbursement from Advisor (14) -- -- -- -- -- --
-------- -------- -------- -------- -------- -------- --------
Total Net expenses 11 821 99 822 681 174 916
-------- -------- -------- -------- -------- -------- --------
NET INVESTMENT INCOME/(LOSS) 19 268 99 292 4,888 1,222 5,602
-------- -------- -------- -------- -------- -------- --------
NET REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS AND FOREIGN
CURRENCY TRANSACTIONS:
Net realized gain (loss) on
investments:
Security transactions (6) (2,508) 30 974 1,456 455 (1,684)
Option transactions -- (158) -- -- (76) (21) --
Net realized gain (loss) on forward
foreign currency contracts and
foreign currency transactions 79 1 28 (86) (112) 48 (75)
Net change in unrealized appreciation
(depreciation) on forward foreign
currency contracts, foreign
currency, and translation of other
assets and liabilities in foreign
currency 9 160 (21) (17) (207) 312 (42)
Net change in unrealized appreciation
(depreciation) on investments 135 (1,776) 1,079 (14,288) 4,323 861 (35)
-------- -------- -------- -------- -------- -------- --------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS $236 ($4,013) $1,215 ($13,125) $10,272 $2,877 $3,766
======== ======== ======== ======= ======= ======== ========
</TABLE>
53
<PAGE>
STATEMENT OF CHANGES IN NET ASSETS (000)
================================================================================
Morgan Grenfell Investment Trust--For the periods ended October 31,
<TABLE>
<CAPTION>
----------------------- ----------------------- ---------- ----------- -----------
SHORT- SHORT-
TERM TERM
MUNICIPAL FIXED MUNICIPAL FIXED SMALLER
BOND INCOME BOND INCOME COMPANIES
FUND FUND FUND (1) FUND (2) FUND (3)
---------------------- ------------------------ ---------- ----------- -----------
1995 1994 1995 1994 1995 1995 1995
---------- ----------- ----------- ------------ ---------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment income (loss) $ 10,748 $ 8,832 $ 25,635 $ 11,691 $ 90 $ 79 $ 8
Net realized gain (loss) from
security transactions (1,331) (225) 8,122 (5,035) 15 -- (6)
Net realized gain (loss) on forward
foreign currency contracts
and foreign currency transactions -- -- -- -- -- -- --
Net change in unrealized appreciation
(depreciation) on forward foreign
currency contracts, foreign currency,
and translation of other assets and
liabilities in foreign currency -- -- -- -- -- -- --
Net change in unrealized appreciation
(depreciation) on investments 9,806 (9,060) 18,803 (11,071) 25 7 136
--------- --------- --------- --------- --------- --------- ---------
Net increase (decrease) in net assets
from operations 19,223 (453) 52,560 (4,415) 130 86 138
--------- --------- --------- --------- --------- --------- ---------
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income (10,750) (8,833) (25,636) (11,687) (90) (79) --
Net realized gains -- (4,818) (31) (1,476) -- -- --
--------- --------- --------- --------- --------- --------- ---------
Total Distributions (10,750) (13,651) (25,667) (13,163) (90) (79) --
--------- --------- --------- --------- --------- --------- ---------
CAPITAL SHARE TRANSACTIONS (1):
Proceeds from shares issued 92,766 55,419 301,939 121,986 5,282 4,206 2,500
Shares issued in lieu of cash
distributions 7,570 11,224 20,565 11,406 74 54 --
Cost of shares repurchased (53,428) (34,884) (94,732) (24,175) (1,672) (127) --
--------- --------- --------- --------- --------- --------- ---------
INCREASE IN NET ASSETS FROM
CAPITAL SHARE TRANSACTIONS 46,908 31,759 227,772 109,217 3,684 4,133 2,500
--------- --------- --------- --------- --------- --------- ---------
Net increase in net assets 55,381 17,655 254,665 91,639 3,724 4,140 2,638
--------- --------- --------- --------- --------- --------- ---------
NET ASSETS:
Beginning of period 165,677 148,022 239,556 147,917 -- -- --
--------- --------- --------- --------- --------- --------- ---------
End of period $221,058 $165,677 $494,221 $239,556 $3,724 $4,140 $2,638
========= ========= ========= ========= ========= ========= =========
(1) CAPITAL SHARE TRANSACTIONS:
Shares issued 8,743 5,160 29,571 11,895 526 421 250
Shares issued in lieu of cash
distributions 714 1,042 2,007 1,113 7 5 --
Shares repurchased (5,094) (3,248) (9,177) (2,397) (166) (13) --
--------- --------- --------- --------- --------- --------- ---------
Net increase in capital shares 4,363 2,954 22,401 10,611 367 413 250
========= ========= ========= ========= ========= ========= =========
</TABLE>
(1) Short-Term Municipal Bond Fund commenced operations on 3/6/95.
(2) Short-Term Fixed Income Fund commenced operations on 3/13/95.
(3) Smaller Companies Fund commenced operations on 6/30/95.
(4) International Equity Fund commenced operations on 5/15/95.
The accompanying notes are an integral part of the financial statements.
54
<PAGE>
===============================================================================
<TABLE>
<CAPTION>
------------- --------------- ------------ ---------------- --------------------
INTERNATIONAL EUROPEAN EMERGING GLOBAL
INTERNATIONAL SMALL CAP SMALL CAP MARKETS FIXED
EQUITY EQUITY EQUITY EQUITY INCOME
FUND (4) FUND (5) FUND (6) FUND (7) FUND (8)
------------- --------------- ------------ ---------------- --------------------
1995 1995 1994 1995 1995 1994 1995 1994
------------- ------- ------- ------------ ------- -------- --------- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment income (loss) $ 19 $ 268 $ 156 $ 99 $ 292 $ (38) $ 4,888 $ 1,345
Net realized gain (loss) from
security transactions (6) (2,666) 1,405 30 974 3,140 1,380 (572)
Net realized gain (loss) on forward
foreign currency contracts
and foreign currency transactions 79 1 99 28 (86) 65 (112) (576)
Net change in unrealized appreciation
(depreciation) on forward foreign
currency contracts, foreign currency,
and translation of other assets and
liabilities in foreign currency 9 160 10 (21) (17) 2 (207) (255)
Net change in unrealized appreciation
(depreciation) on investments 135 (1,776) (2,588) 1,079 (14,288) 2,848* 4,323 289
------- ------- ------- ------- ------- ------- ------- -------
Net increase (decrease) in net assets
from operations 236 (4,013) (918) 1,215 (13,125) 6,017 10,272 231
------- ------- ------- ------- ------- ------- ------- -------
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income -- (270) -- (10) (119) -- (1,222) --
Net realized gains -- (1,420) -- -- (3,167) -- -- --
------- ------- ------- ------- ------- ------- ------- -------
Total Distributions -- (1,690) -- (10) (3,286) -- (1,222) --
------- ------- ------- ------- ------- ------- ------- -------
CAPITAL SHARE TRANSACTIONS (1):
Proceeds from shares issued 2,502 33,284 78,979 8,121 61,891 59,099 82,695 65,332
Shares issued in lieu of cash
distributions -- 1,671 -- 10 3,286 -- 902 --
Cost of shares repurchased (1) (7,133) (9,264) (1) (12,370) (8,225) (7,225) (11,649)
INCREASE IN NET ASSETS FROM
CAPITAL SHARE TRANSACTIONS 2,501 27,822 69,715 8,130 52,807 50,874 76,372 53,683
------- ------- ------- ------- ------- ------- ------- -------
Net increase in net assets 2,737 22,119 68,797 9,335 36,396 56,891 85,422 53,914
------- ------- ------- ------- ------- ------- ------- -------
NET ASSETS:
Beginning of period 1 68,798 1 1 56,892 1 53,915 1
------- ------- ------- ------- ------- ------- ------- -------
End of period $2,738 $90,917 $68,798 $9,336 $93,288 $56,892 $139,337 $53,915
======= ======= ======= ======= ======= ======= ======== =======
(1) CAPITAL SHARE TRANSACTIONS:
Shares issued 250 3,585 7,527 808 7,411 5,966 7,804 6,657
Shares issued in lieu of cash
distributions -- 178 -- 1 365 -- 94 --
Shares repurchased -- (738) (880) -- (1,451) (792) (694) (1,186)
------- ------- ------- ------- ------- ------- ------- -------
Net increase in capital shares 250 3,025 6,647 809 6,325 5,174 7,204 5,471
======= ======= ======= ======= ======= ======= ======= =======
</TABLE>
(5) International Small Cap Equity Fund commenced operations on 1/3/94.
(6) European Small Cap Equity Fund commenced operations on 11/1/94.
(7) Emerging Markets Equity Fund commenced operations on 2/2/94.
(8) Global Fixed Income Fund commenced operations on 1/3/94.
* Net of $112,000 change in accrued foreign withholding taxes.
55
<PAGE>
STATEMENT OF CHANGES IN NET ASSETS (000)
================================================================================
Morgan Grenfell Investment Trust--For the periods ended October 31,
<TABLE>
<CAPTION>
---------------------- ----------------------
INTERNATIONAL EMERGING
FIXED MARKETS
INCOME DEBT
FUND (9) FUND (10)
---------------------- ----------------------
1995 1994 1995 1994
---------- ---------- ---------- ----------
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment income (loss) $1,222 $ 440 $ 5,602 $ 209
Net realized gain (loss) from
security transactions 434 (179) (1,684) 39
Net realized gain (loss) on forward
foreign currency contracts
and foreign currency transactions 48 (343) (75) 7
Net change in unrealized appreciation
(depreciation) on forward foreign
currency contracts, foreign currency,
and translation of other assets and
liabilities in foreign currency 312 (260) (42) (20)
Net change in unrealized appreciation
(depreciation) on investments 861 366 (35) (88)
--------- --------- --------- ---------
Net increase (decrease) in net assets
from operations 2,877 24 3,766 147
--------- --------- --------- ---------
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income (76) -- (447) --
Net realized gains -- -- (41) --
--------- --------- --------- ---------
Total Distributions (76) -- (488) --
--------- --------- --------- ---------
CAPITAL SHARE TRANSACTIONS (1):
Proceeds from shares issued 10,597 15,124 64,746 16,100
Shares issued in lieu of cash
distributions 60 -- 488 --
Cost of shares repurchased (1,093) -- (322) --
--------- --------- --------- ---------
INCREASE IN NET ASSETS FROM
CAPITAL SHARE TRANSACTIONS 9,564 15,124 64,912 16,100
--------- --------- --------- ---------
Net increase in net assets 12,365 15,148 68,190 16,247
--------- --------- --------- ---------
NET ASSETS:
Beginning of period 15,238 90 16,248 1
--------- --------- --------- ---------
End of period $27,603 $15,238 $84,438 $16,248
========= ========= ========= =========
(1) CAPITAL SHARE TRANSACTIONS:
Shares issued 996 1,523 6,391 1,595
Shares issued in lieu of cash
distributions 6 -- 51 --
Shares repurchased (100) -- (31) --
--------- --------- --------- ---------
Net increase in capital shares 902 1,523 6,411 1,595
========= ========= ========= =========
</TABLE>
(9) International Fixed Income Fund commenced operations on 3/15/94.
(10) Emerging Markets Debt Fund commenced operations on 8/4/94.
The accompanying notes are an integral part of the financial statements.
56
<PAGE>
FINANCIAL HIGHLIGHTS
================================================================================
Morgan Grenfell Investment Trust--For the periods ended October 31,
For a Share Outstanding Throughout each Period
<TABLE>
<CAPTION>
Net Distributions
Net Asset Net Realized Distributions from
Value Investment and from Net Realized Net Asset Net Assets
Beginning Income/ Unrealized Investment Capital Value End Total End of
of Period (Loss) Gains (Losses) Income Gains of Period Return Period (000)
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
- --------------------
MUNICIPAL BOND FUND:
- --------------------
1995 $10.37 $ 0.61 $ 0.49) $(0.61) $ -- $10.86 10.90% $221,058
1994 11.36 0.60 (0.61) (0.60) (0.38) 10.37 (0.15) 165,677
1993 10.56 0.67 0.84 (0.67) (0.04) 11.36 14.68 148,022
1992 (1) 10.00 0.60 0.56 (0.60) -- 10.56 13.42+ 94,700
- ------------------
FIXED INCOME FUND:
- ------------------
1995 $ 9.93 $ 0.70 $ 0.69 $(0.70) $ -- $10.62 14.53% $494,221
1994 10.95 0.64 (0.91) (0.64) (0.11) 9.93 (2.58) 239,556
1993 9.92 0.64 1.03 (0.64) -- 10.95 17.28 147,917
1992(2) 10.00 0.06 0.08 (0.06) -- 9.92 (1.61)+ 25,528
- -------------------------------
SHORT-TERM MUNICIPAL BOND FUND:
- -------------------------------
1995(3) $10.00 $ 0.30 $ 0.13 $(0.30) -- $10.13 4.39%+ $ 3,724
- -----------------------------
SHORT-TERM FIXED INCOME FUND:
- -----------------------------
1995(4) $10.00 $ 0.37 $ 0.01 $(0.37) $ -- $10.01 3.82%+ $ 4,140
- -----------------------
SMALLER COMPANIES FUND:
- -----------------------
1995(5) $10.00 $ 0.03 $ 0.52 $ -- $ -- $10.55 5.50%+ $ 2,638
- --------------------------
INTERNATIONAL EQUITY FUND:
- --------------------------
1995(6) $10.00 $ 0.08 $ 0.87 $ -- $ -- $10.95 9.50%+ $ 2,738
- ------------------------------------
INTERNATIONAL SMALL CAP EQUITY FUND:
- ------------------------------------
1995 $10.35 $ 0.03 $(0.72) $(0.04) $(0.22) $ 9.40 (6.67%) $90,917
1994(7) 10.00 0.02 $ 0.33 -- -- 10.35 3.50+ 68,798
- -------------------------------
EUROPEAN SMALL CAP EQUITY FUND:
- -------------------------------
1995(8) $10.00 $ 0.12 $ 1.44 $(0.01) $ -- $11.55 15.66%+ $9,336
<CAPTION>
Ratio of
Ratio of Ratio of Net Investment
Net Expenses Income/(Loss)
Ratio of Investment to Average to Average
Expenses Income/(Loss) Net Assets Net Assets Portfolio
to Average to Average (Excluding (Excluding Turnover
Net Assets Net Assets Waivers) Waivers) Rate
- -----------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
- --------------------
MUNICIPAL BOND FUND:
- --------------------
1995 0.54% 5.75% 0.62% 5.67% 63%
1994 0.54 5.60 0.67 5.47 94
1993 0.55 5.94 0.75 5.74 160
1992 (1) 0.55 6.31 0.79 6.07 143
- ------------------
FIXED INCOME FUND:
- ------------------
1995 0.54%* 6.81% 0.63% 6.72% 182%
1994 0.54 6.22 0.66 6.10 251
1993 0.55 6.01 0.72 5.84 196
1992(2) 0.55 5.24 1.66 4.13 148
- -------------------------------
SHORT-TERM MUNICIPAL BOND FUND:
- -------------------------------
1995(3) 0.52% 4.60% 2.16% 2.96% 62%
- -----------------------------
SHORT-TERM FIXED INCOME FUND:
- -----------------------------
1995(4) 0.52% 5.86% 2.84% 3.54% 90%
- -----------------------
SMALLER COMPANIES FUND:
- -----------------------
1995(5) 1.25% 0.94% 2.28% (0.09%) 23%
- --------------------------
INTERNATIONAL EQUITY FUND:
- --------------------------
1995(6) 0.90% 1.55% 2.73% (0.28%) 19%
- ------------------------------------
INTERNATIONAL SMALL CAP EQUITY FUND:
- ------------------------------------
1995 1.25% 0.41% 1.48% 0.18% 62%
1994 (7) 1.25% 0.34% 1.67% (0.08)% 41%
- -------------------------------
EUROPEAN SMALL CAP EQUITY FUND:
- -------------------------------
1995(8) 1.25% 1.25% 2.24% 0.26% 34%
</TABLE>
+ Returns are for the period indicated and have not been annualized.
(1) Municipal Bond Fund commenced operations on 12/13/91. All ratios for the
period have been annualized.
(2) Fixed Income Fund commenced operations on 9/18/92. All ratios for the
period have been annualized.
(3) Short-Term Municipal Bond Fund commenced operations on 3/6/95. All
ratios for the period have been annualized.
(4) Short-Term Fixed Income Fund commenced operations on 3/13/95. All ratios
for the period have been annualized.
(5) Smaller Companies Fund commenced operations on 6/30/95. All ratios for
the period have been annualized.
(6) International Equity Fund commenced operations on 5/15/95. All ratios
for the period have been annualized.
(7) International Small Cap Equity Fund commenced operations on 1/3/94. All
ratios for the period have been annualized.
(8) European Small Cap Equity Fund commenced operations on 11/1/94. All
ratios for the period have been annualized.
The accompanying notes are an integral part of the financial statements.
57
<PAGE>
FINANCIAL HIGHLIGHTS
================================================================================
Morgan Grenfell Investment Trust--For the periods ended October 31,
For a Share Outstanding Throughout each Period
<TABLE>
<CAPTION>
Net Distributions
Net Asset Net Realized Distributions from
Value Investment and from Net Realized Net Asset Net Assets
Beginning Income/ Unrealized Investment Capital Value End Total End of
of Period (Loss) Gains (Losses) Income Gains of Period Return Period (000)
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
- -----------------------------
EMERGING MARKETS EQUITY FUND:
- -----------------------------
1995 $11.00 $ 0.04 $(2.29) $(0.02) $(0.62) $ 8.11 (21.00%) $ 93,288
1994(9) 10.00 (0.01) 1.01 -- -- 11.00 10.00+ 56,892
- -------------------------
GLOBAL FIXED INCOME FUND:
- -------------------------
1995 $ 9.85 $ 0.35 $ 0.99 $(0.20) -- $10.99 13.88% $139,337
1994(10) 10.00 0.25 $(0.40) -- -- 9.85 (1.50)+ 53,915
- --------------------------------
INTERNATIONAL FIXED INCOME FUND:
- --------------------------------
1995 $ 9.94 $ 0.42 $ 1.03 $(0.05) -- $11.34 14.66% $ 27,603
1994(11) 10.00 0.29 $(0.35) -- -- 9.94 (0.60)+ 15,238
- ---------------------------
EMERGING MARKETS DEBT FUND:
- ---------------------------
1995 $10.19 $ 0.65 $(0.17) $(0.11) $(0.01) $10.55 4.85% $ 84,438
1994(12) 10.00 0.13 $ 0.06 -- -- 10.19 1.90+ 16,248
<CAPTION>
Ratio of
Ratio of Ratio of Net Investment
Net Expenses Income/(Loss)
Ratio of Investment to Average to Average
Expenses Income/(Loss) Net Assets Net Assets Portfolio
to Average to Average (Excluding (Excluding Turnover
Net Assets Net Assets Waivers) Waivers) Rate
- ------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
- -----------------------------
EMERGING MARKETS EQUITY FUND:
- -----------------------------
1995 1.25% 0.44% 1.55% 0.14% 49%
1994(9) 1.36 (0.12) 1.79 (0.55) 45
- -------------------------
GLOBAL FIXED INCOME FUND:
- -------------------------
1995 0.78% 5.61% 0.87% 5.52% 147%
1994(10) 0.85% 5.71 1.28 5.28 173
- --------------------------------
INTERNATIONAL FIXED INCOME FUND:
- --------------------------------
1995 0.78% 5.51% 1.15% 5.14% 187%
1994(11) 0.85 5.66 1.42 5.09 130%
- ---------------------------
EMERGING MARKETS DEBT FUND:
- ---------------------------
1995 1.79% 10.97% 2.05% 10.71% 266%
1994(12) 1.90 7.04 2.60 6.34 52
</TABLE>
+ Returns are for the period indicated and have not been annualized.
(9) Emerging Markets Equity Fund commenced operations on 2/2/94. All ratios
for the period have been annualized.
(10) Global Fixed Income Fund commenced operations on 1/3/94. All ratios for
the period have been annualized.
(11) International Fixed Income Fund commenced operations on 3/15/94. All
ratios for the period have been annualized.
(12) Emerging Markets Debt Fund commenced operations on 8/4/94. All ratios
for the period have been annualized.
The accompanying notes are an integral part of the financial statements.
58
<PAGE>
NOTES TO FINANCIAL STATEMENTS
================================================================================
Morgan Grenfell Investment Trust -- October 31, 1995
1. ORGANIZATION
Morgan Grenfell Investment Trust (the "Trust") was organized as a Delaware
business trust on September 13, 1993. The Trust is registered under the
Investment Company Act of 1940, as amended, as an open-end management investment
company consisting of seventeen investment portfolios (Municipal Bond Fund,
Fixed Income Fund, Short-Term Municipal Bond Fund, Short-Term Fixed Income Fund,
Large Cap Growth Fund, and Smaller Companies Fund (collectively the "Domestic
Funds"); International Equity Fund, Global Equity Fund, European Equity Fund,
Pacific Basin Equity Fund, International Small Cap Equity Fund, European Small
Cap Equity Fund, Japanese Small Cap Equity Fund, Emerging Markets Equity Fund,
Global Fixed Income Fund, International Fixed Income Fund and Emerging Markets
Debt Fund (formerly Emerging Markets Fixed Income Fund) (collectively the
"International Funds"). The Domestic Funds and International Funds are hereafter
referred to collectively as the "Funds". At October 31, 1995, the Large Cap
Growth Fund, Global Equity Fund, European Equity Fund, Pacific Basin Equity Fund
and Japanese Small Cap Equity Fund had not yet commenced operations.
On December 28, 1994, pursuant to plans of reorganization approved by the
Municipal Bond Fund and the Fixed Income Fund shareholders on December 5, 1994,
all of the assets of the Morgan Grenfell Municipal Bond Fund and the Morgan
Grenfell Fixed Income Fund (formerly part of The Advisors' Inner Circle Fund)
were transferred to the Municipal Bond Fund and Fixed Income Fund (the
"Portfolios"), newly formed portfolios of the Trust, in exchange for shares of
the Portfolios and assumption of stated liabilities of the two funds. The
Municipal Bond Fund reorganization was accomplished by a tax-free exchange of
the Municipal Bond Fund's net assets (valued at $149,509,966) for 14,567,909
shares of the corresponding Portfolio. The Fixed Income Fund reorganization was
accomplished by a tax-free exchange of the Fixed Income Fund's net assets
(valued at $273,285,174) for 27,846,079 shares of the corresponding Portfolio.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies followed by the
Funds.
Security Valuation--Securities listed on a securities exchange for which
market quotations are readily available are valued at the last quoted sales
price on the principal exchange on which they are traded on the valuation date
or, if there is no such reported sale on the valuation date, at the most recent
quoted bid price. Unlisted securities for which market quotations are readily
available are valued at the most recent quoted bid price. Certain debt and fixed
income investments owned by the Funds are valued at prices supplied by
independent pricing agents selected by Morgan Grenfell Capital Management, Inc.
and Morgan Grenfell Investment Services Limited (the "Advisors"), which prices
reflect broker-dealer supplied valuations and electronic data processing
techniques. Short-term investments are valued at amortized cost which
approximates market value. Other securities for which market value is not
readily available or securities whose market value does not, in the opinion of
the applicable Advisor, reflect fair value are valued at fair value using
methods determined in good faith by the valuation committee of the Board of
Trustees.
Income Taxes--It is the intention of each Fund to continue to qualify as a
regulated investment company and to distribute all of its taxable income.
Accordingly, no provision for Federal income taxes is considered necessary.
The International Funds may be subject to taxes imposed by countries in
which they invest with respect to their investments in issuers existing or
operating in such countries. Such taxes are generally based on either income
earned or repatriated. The International Funds accrue such taxes when the
related income is earned.
Net Asset Value Per Share--The net asset value per share is calculated on a
daily basis by dividing the assets of each Fund, less its liabilities, by the
number of outstanding shares of the Fund.
Repurchase Agreements--Securities pledged as collateral for repurchase
agreements are held by the custodian banks until maturity of the repurchase
agreements. Provisions of the repurchase agree-
59
<PAGE>
NOTES TO FINANCIAL STATEMENTS (Continued)
================================================================================
Morgan Grenfell Investment Trust -- October 31, 1995
ments and procedures adopted by the Trust require that the market value of the
collateral, including accrued interest thereon, is sufficient in the event of
default by the counterparty.
The Funds may also invest in tri-party repurchase agreements. Securities
held as collateral for tri-party repurchase agreements are maintained in a
segregated account by the broker's custodian bank until maturity of the
repurchase agreement. Provisions of the agreements require that the market value
of the collateral, including accrued interest thereon, is sufficient in the
event of default.
If the counterparty defaults and the value of the collateral declines or if
the counterparty enters an insolvency proceeding, realization of the collateral
by the Funds may be delayed or limited.
Foreign Currency Translation--The books and records of the International
Funds are maintained in U.S. dollars. Foreign currency amounts are translated
into U.S. dollars on the following basis: (I) market value of investment
securities, other assets and liabilities at the current rate of exchange; and
(II) purchases and sales of investment securities, income and expenses at the
relevant rates of exchange prevailing on the respective dates of such
transactions.
The International Funds do not isolate that portion of gains and losses on
investments in securities which is due to changes in the foreign exchange rates
from that which is due to changes in market prices of such securities. The
International Funds do isolate the effect of fluctuations in foreign currency
rates when determining the gain or loss upon sale or maturity of foreign
currency denominated debt obligations pursuant to the Federal income tax
regulations. Such amounts are categorized as foreign currency gain or loss for
both financial reporting and income tax reporting purposes.
The International Funds report gains and losses on foreign currency related
transactions as realized and unrealized gains and losses for financial reporting
purposes, whereas such gains and losses, to the extent realized, are treated as
ordinary income or loss for Federal income tax purposes.
Forward Foreign Currency Contracts--The International Funds enter into
forward foreign currency contracts as hedges against portfolio positions as well
as for non-hedging purposes. The aggregate principal amounts of the contracts
are not recorded as the Funds do not intend to hold the contracts to maturity.
All commitments are "marked-to-market" daily at the applicable foreign exchange
rate and any resulting unrealized gains or losses are recorded currently. The
Funds realize gains or losses at the time forward contracts are extinguished,
except that gains or losses on certain open contracts are required to be
recognized for U.S. Federal income tax purposes at the close of the Fund's
taxable year and are generally treated as ordinary income for such purposes.
Foreign Currency Options--The premium paid by a Fund for the purchase of an
option is included in the Fund's Schedule of Investments as an investment and
subsequently marked to market to reflect the current market value of the option.
For an option held by a Fund on the stipulated expiration date, the Fund
realizes a loss. If the Fund enters into a closing sale transaction, it realizes
a gain or loss, depending on whether the proceeds from the sale are greater or
less than the cost of the purchased option. If the Fund exercises a purchased
put option, it realizes a gain or loss from the sale of the underlying
investment and proceeds from such sale will be decreased by the premium
originally paid. If the Fund exercises a purchased call option, the cost of the
underlying investment which the Fund purchases upon exercise will be increased
by the premium originally paid. Certain foreign currency options may be required
to be marked to market for Federal income tax purposes at the close of a Fund's
taxable year, giving rise to a gain or loss that may, depending upon whether
certain elections are made, be capital or ordinary in character.
Distributions--Distributions from net investment income and net realized
capital gains are determined in accordance with U.S. Federal income tax
regulations, which may differ from those amounts determined under generally
accepted accounting principles. These book/tax differences are either temporary
or permanent in nature. To the extent these differences are permanent, they are
charged or credited to paid in capital in the period that the difference arises.
Accordingly, the following permanent differences primarily attributable to
realized foreign exchange gains and losses, have been reclassified from
accumulated net realized gain (loss) on foreign currency transactions to
undistributed net investment income:
60
<PAGE>
================================================================================
<TABLE>
<CAPTION>
(000)
------
<S> <C>
International Equity Fund $ 79
International Small Cap Equity Fund (1)
European Small Cap Equity Fund 28
Emerging Markets Equity Fund (86)
Global Fixed Income Fund (112)
International Fixed Income Fund 48
Emerging Markets Debt Fund (75)
</TABLE>
These reclassifications have no effect on net assets or net asset values per
share.
Expenses--Expenses that are directly related to one of the Funds are
charged directly to that Fund. Other operating expenses of the Trust are
prorated to the Funds on the basis of relative net assets. Morgan Grenfell
Capital Management, Inc. absorbed all expenses of organizing the Trust.
All organizational costs incurred with the start of the Municipal Bond Fund
and the Fixed Income Fund are being amortized on a straight line basis over a
period of sixty months.
Other--Security transactions are accounted for on the date the security is
purchased or sold (trade date). Costs used in determining net realized capital
gains and losses on the sale of investment securities are those of the specific
securities sold adjusted for the accretion and amortization of original issue
discounts and purchase premiums during the respective holding period. Original
issue discounts and purchase premiums on securities held by the Funds are
accreted and amortized ratably to maturity using the effective interest method.
Dividend income is recognized on the ex-dividend date and interest income is
recognized using the accrual method.
3. ADMINISTRATION, INVESTMENT ADVISORY, AND DISTRIBUTION AGREEMENTS
The Trust has entered into an administration agreement with SEI Financial
Management Corporation (the "Administrator"), pursuant to which the
Administrator receives an annual fee based on the aggregate average daily net
assets of all the Funds as follows: 0.15% up to $300,000,000; 0.12% from
$300,000,000 up to $500,000,000; 0.10% from $500,000,000 up to $1,000,000,000;
and 0.08% in excess of $1,000,000,000. Each Fund pays the Administrator a
minimum annual fee that equals (after a one-year phase in period) the following:
$50,000 for the Municipal Bond Fund, Fixed Income Fund, Short-Term Municipal
Bond Fund, Short-Term Fixed Income Fund and Smaller Companies Fund; $75,000 for
the International Equity Fund, Global Fixed Income Fund and International Fixed
Income Fund; and $100,000 for the International Small Cap Equity Fund, European
Small Cap Equity Fund, Emerging Markets Equity Fund, and Emerging Markets Debt
Fund.
The Administrator generally assists in all matters relating to the
administration of the Funds, including the coordination and monitoring of any
third parties furnishing services to the Funds, preparation and maintenance of
financial accounting records, and the provision of necessary office space,
equipment and personnel to perform administrative and clerical functions.
Under advisory agreements with the Trust, Morgan Grenfell Capital
Management, Inc. serves as the Advisor for the Domestic Funds and Morgan
Grenfell Investment Services Limited serves as the Advisor for the International
Funds. For these services, the Advisors are entitled to a monthly fee at an
annual rate of each Fund's average daily net assets as follows:
<TABLE>
<S> <C>
Municipal Bond Fund 0.40%
Fixed Income Fund 0.40%
Short-Term Municipal Bond Fund 0.40%
Short-Term Fixed Income Fund 0.40%
Smaller Companies Fund 1.00%
International Equity Fund 0.70%
International Small Cap Equity Fund 1.00%
European Small Cap Equity Fund 1.00%
Emerging Markets Equity Fund 1.00%
Global Fixed Income Fund 0.50%*
International Fixed Income Fund 0.50%*
Emerging Markets Debt Fund 1.50%**
</TABLE>
*0.60% prior to April 3, 1995
**1.60% prior to September 6, 1995
The Advisors have voluntarily agreed to reduce their advisory fees and/or
reimburse each Fund to the extent necessary to limit the Fund's operating
expenses to a specified percentage of its average net assets as follows:
61
<PAGE>
NOTES TO FINANCIAL STATEMENTS (Continued)
================================================================================
Morgan Grenfell Investment Trust -- October 31, 1995
<TABLE>
<S> <C>
Municipal Bond Fund 0.55%
Fixed Income Fund 0.55%
Short-Term Municipal Bond Fund 0.55%
Short-Term Fixed Income Fund 0.55%
Smaller Companies Fund 1.25%
International Equity Fund 0.90%
International Small Cap Equity Fund 1.25%
European Small Cap Equity Fund 1.25%
Emerging Markets Equity Fund 1.25%
Global Fixed Income Fund 0.75%*
International Fixed Income Fund 0.75%*
Emerging Markets Debt Fund 1.50%**
</TABLE>
*0.85% prior to April 3, 1995
**1.90% prior to September 6, 1995
Certain officers and/or Trustees of the Trust are affiliated with the
Administrator or Advisors.
SEI Financial Services Company (the "Distributor") serves as the
distributor of shares of the Funds pursuant to a distribution agreement with the
Trust and assists in the sale of shares of the Funds. The Advisors, and not the
Trust, are responsible for payment of any expenses or fees incurred in the
marketing and distribution of shares of the Trust.
4. FORWARD FOREIGN CURRENCY CONTRACTS
The International Funds enter into forward foreign currency exchange contracts
as hedges against portfolio positions as well as for non-hedging purposes. Such
contracts, which protect the value of the Fund's investment securities against a
decline in the value of the hedged currency, do not eliminate fluctuations in
the underlying prices of the securities. They simply establish an exchange rate
at a future date. Also, although such contracts tend to minimize the risk of
loss due to a decline in the value of a hedged currency, at the same time they
tend to limit any potential gain that might be realized should the value of such
foreign currency increase.
The following forward foreign currency contracts were outstanding at
October 31, 1995:
<TABLE>
<CAPTION>
IN UNREALIZED
CURRENCY TO EXCHANGE APPRECIATION
MATURITY (DELIVER)/RECEIVE FOR (DEPRECIATION)
DATE (000) (000) (000)
- ------------------------------------ ----------------- -------- --------------
<S> <C> <C> <C> <C>
INTERNATIONAL EQUITY FUND:
- --------------------------
FOREIGN CURRENCY SALES:
12/27/95 JY (29,500) $ 300 $ 9
======
INTERNATIONAL SMALL CAP EQUITY FUND:
- ------------------------------------
FOREIGN CURRENCY SALES:
01/05/96 FF (11,400) $ 2,319 $ (11)
01/18/96 JY (1,040) 10,483 188
------
$ 177
======
EUROPEAN SMALL CAP EQUITY FUND:
- -------------------------------
FOREIGN CURRENCY SALES:
11/22/95 FF (2,750) $ 541 $ (22)
======
GLOBAL FIXED INCOME FUND:
- -------------------------
FOREIGN CURRENCY SALES:
01/25/96 CA (5,000) $ 3,734 $ 2
11/20/95-01/25/96 DM (16,330) 11,332 (293)
12/15/95-02/20/96 DK (57,500) 10,333 (197)
11/20/95-01/25/96 FF (32,200) 6,555 (28)
------
$ (516)
------
FOREIGN CURRENCY PURCHASES:
11/20/95-01/25/96 DM 16,250 $11,333 $ 246
01/25/96 IL 12,110,000 7,440 77
11/20/95-01/25/96 JY 1,066,000 10,910 (362)
------
$ ( 39)
------
$ (555)
======
INTERNATIONAL FIXED INCOME FUND:
- --------------------------------
FOREIGN CURRENCY SALES:
11/20/95-02/20/96 CA (3,040) $ 2,237 $ (32)
11/20/95-01/25/96 DM (11,755) 8,291 (74)
11/20/95-01/25/96 DK (15,180) 2,708 (71)
11/20/95-01/25/96 FF (13,800) 2,798 (22)
11/20/95-12/15/95 UK (713) 1,127 1
11/20/95-12/15/95 JY (192,750) 2,033 140
------
$ (58)
------
FOREIGN CURRENCY PURCHASES:
11/20/95-01/25/96 DM 4,515 $ 3,117 $ 100
11/20/95 JY 109,500 1,102 (28)
1/25/96 IL 2,190 1,340 19
------
$ 91
------
$ 33
======
</TABLE>
62
<PAGE>
================================================================================
<TABLE>
<CAPTION>
IN UNREALIZED
CURRENCY TO EXCHANGE APPRECIATION
MATURITY (DELIVER)/RECEIVE FOR (DEPRECIATION)
DATE (000) (000) (000)
- ------------------------------------ ----------------- -------- --------------
<S> <C> <C> <C> <C>
EMERGING MARKETS FIXED INCOME FUND:
- -----------------------------------
FOREIGN CURRENCY SALES:
11/07/95 CH (580) $ 505 $ (6)
11/07/95-11/20/95 DM (2,770) 1,971 2
------
$ (4)
======
FOREIGN CURRENCY PURCHASES:
11/20/95 DM 570 $ 407 $ (2)
------
$ (6)
======
</TABLE>
Currency Legend
CA Canadian Dollar
CH Swiss Franc
DM German Mark
DK Danish Kroner
FF French Franc
IL Italian Lira
JY Japanese Yen
UK British Pound Sterling
At October 31, 1995, the Global Fixed Income Fund and International Fixed
Income Fund had unrealized gains on closed but unsettled forward foreign
currency contracts of $74,391 and $17,383, respectively, scheduled to settle
between November 20, 1995 and January 25, 1996.
5. INVESTMENT TRANSACTIONS
The cost of security purchases and the proceeds from the sale of securities,
other than short-term investments and U.S. Government securities, during the
period ended October 31, 1995, were as follows:
<TABLE>
<CAPTION>
PURCHASES SALES
(000) (000)
--------- --------
<S> <C> <C>
Municipal Bond Fund $164,644 $115,462
Fixed Income Fund 362,412 188,171
Short-Term Municipal Bond Fund 4,652 1,640
Short-Term Fixed Income Fund 1,777 221
Smaller Companies Fund 2,492 382
International Equity Fund 2,974 489
International Small Cap Equity Fund 62,325 38,751
European Small Cap Equity Fund 10,234 2,478
Emerging Markets Equity Fund 75,556 30,462
Global Fixed Income Fund 144,774 102,095
International Fixed Income Fund 47,251 38,244
Emerging Markets Debt Fund 175,680 113,062
</TABLE>
The cost of U.S. Government security purchases and the proceeds from the sale of
U.S. Government securities, during the period ended October 31, 1995, were as
follows:
<TABLE>
<CAPTION>
PURCHASES SALES
(000) (000)
--------- --------
<S> <C> <C>
Fixed Income Fund $499,593 $433,441
Short-Term Fixed Income Fund 671 240
Global Fixed Income Fund 34,835 12,887
</TABLE>
For Federal income tax purposes, the cost of securities owned at
October 31, 1995 and the net realized gains or losses on securities sold for the
period then ended was not materially different from the amounts reported for
financial reporting purposes. The aggregate gross unrealized appreciation and
depreciation at October 31, 1995, for each Fund is as follows:
<TABLE>
<CAPTION>
NET
UNREALIZED
APPRECIATED DEPRECIATED APPRECIATION/
SECURITIES SECURITIES (DEPRECIATION)
(000) (000) (000)
----------- ----------- --------------
<S> <C> <C> <C>
Municipal Bond Fund $ 6,357 $ (585) $ 5,772
Fixed Income Fund 12,716 (776) 11,940
Short-Term Municipal Bond Fund 28 (3) 25
Short-Term Fixed Income Fund 8 (1) 7
Smaller Companies Fund 187 (51) 136
International Equity Fund 213 (78) 135
International Small Cap Equity Fund 9,173 (7,503) 1,670
European Small Cap Equity Fund 1,444 (365) 1,079
Emerging Markets Equity Fund 7,021 (9,851) (2,830)
Global Fixed Income Fund 5,433 (821) 4,612
International Fixed Income Fund 1,426 (199) 1,227
Emerging Markets Debt Fund 1,282 (1,405) (123)
</TABLE>
At October 31, 1995 the following Funds had available realized capital losses
to offset future net capital gains through the fiscal year ended 2003:
<TABLE>
<CAPTION>
(000)
------
<S> <C>
Municipal Bond Fund $1,556
Smaller Companies Fund 6
International Equity Fund 6
International Small Cap Fund 2,367
Emerging Markets Debt Fund 526
</TABLE>
63
<PAGE>
NOTES TO FINANCIAL STATEMENTS (Concluded)
================================================================================
Morgan Grenfell Investment Trust -- October 31, 1995
6. LOAN PARTICIPATIONS/ASSIGNMENTS
The Emerging Markets Debt Fund (the "Fund") invests in U.S. dollar-denominated
fixed and floating rate loans ("Loans") arranged through private negotiations
between a foreign sovereign entity and one or more financial institutions
("Lenders"). The Fund invests in such Loans in the form of participations in
Loans ("Participations") or assignments of all or a portion of loans from third
parties ("Assignments"). Participations typically result in the Fund having a
contractual relationship only with the Lender, not with the sovereign borrower.
The Fund has the right to receive payments of principal, interest and any fees
to which it is entitled only from the Lender selling the Participation and only
upon receipt by the Lender of the payments from the borrower. In connection with
purchasing Participations, the Fund generally has no right to enforce compliance
by the borrower with the terms of the loan agreement relating to the Loan, nor
any rights of set-off against the borrower, and the Fund will not benefit
directly from any collateral supporting the Loan in which it has purchased the
Participation. As a result, the Fund assumes the credit risk of both the
borrower and the Lender that is selling the Participation. The Fund may have
difficulty disposing of Participations and Assignments because the market for
such instruments is not highly liquid.
7. CONCENTRATION OF RISKS
The Municipal Bond Fund and Short-Term Municipal Bond Fund invest primarily in a
diversified portfolio of municipal securities, including municipal bonds and
debentures, rated Baa or better by Moody's Investors Service, Inc. ("Moody's")
or BBB or better by Standard & Poor's Ratings Group ("S&P"), or, if not rated,
determined by the Advisor to be of comparable quality. Although the Municipal
Bond Fund and Short-Term Municipal Bond Fund maintain diversified portfolios,
the municipal bond issuers' abilities to meet their obligations may be affected
by economic developments in a specific state or region.
The Fixed Income Fund and Short-Term Fixed Income Fund invest primarily in
fixed income securities rated Baa or better by Moody's or BBB or better by S&P
or, if not rated, determined by the Advisor to be of comparable quality.
Although the Fixed Income Fund and Short-Term Fixed Income Fund maintain
diversified portfolios, the ability of the issuers of the Fund's portfolio
securities to meet their obligations may be affected by changing business and
economic conditions.
Each International Fund invests in securities of foreign issuers in various
countries. These investments may involve certain considerations and risks not
typically associated with investments in the United States, as a result of,
among other factors, the possibility of future political and economic
developments and the level of governmental supervision and regulation of
securities markets in the respective countries. Global Fixed Income,
International Fixed Income and Emerging Markets Debt Fund invest in debt
securities, the market value of which may change in response to interest rate
changes. Also, the ability of the issuers of debt securities held by the Funds
to meet their obligations may be affected by economic and political developments
in a specific country, industry, or region.
64
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
================================================================================
To the Shareholders and Board of Trustees
Morgan Grenfell Investment Trust
In our opinion, the accompanying statements of assets and liabilities, including
the schedules of investments and the related statements of operations and of
changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of the Short-Term Municipal Bond Fund,
Short-Term Fixed Income Fund, Smaller Companies Fund, International Equity Fund,
International Small Cap Equity Fund, European Small Cap Equity Fund, Emerging
Markets Equity Fund, Global Fixed Income Fund, International Fixed Income Fund,
and Emerging Markets Debt Fund series of Morgan Grenfell Investment Trust, (the
"Trust") at October 31, 1995, the results of each of their operations, the
changes in each of their net assets and the financial highlights for each of the
periods indicated, and the financial position of the Municipal Bond Fund and
Fixed Income Fund series of the Trust at October 31, 1995, and the results of
each of their operations, the changes in each of their net assets and the
financial highlights for the year then ended, in conformity with generally
accepted accounting principles. These financial statements and financial
highlights (hereafter referred to as "financial statements") are the
responsibility of the Trust's management; our responsibility is to express an
opinion on these financial statements based on our audits. We conducted our
audits of these financial statements in accordance with generally accepted
auditing standards which require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements, assessing the
accounting principles used and significant estimates made by management, and
evaluating the overall financial statement presentation. We believe that our
audits, which included confirmation of securities at October 31, 1995 by
correspondence with the custodians and brokers and the application of
alternative auditing procedures where confirmations from brokers were not
received, provide a reasonable basis for the opinion expressed above. The
statements of changes in net assets for the year ended October 31, 1994 and the
financial statements and financial highlights for the years ended October 31,
1994 and October 31, 1993, and the period ended October 31, 1992 of the
Municipal Bond Fund and Fixed Income Fund were audited by other independent
accountants whose reported dated December 14, 1994 expressed an unqualified
opinion on those financial statements.
PRICE WATERHOUSE LLP
1177 Avenue of the Americas
New York, NY 10036
December 11, 1995
65
<PAGE>
SHAREHOLDERS VOTING RESULTS (Unaudited)
================================================================================
On December 5, 1994, special meetings of the shareholders of Morgan Grenfell
Fixed Income Fund and Morgan Grenfell Municipal Bond Fund were held to act upon
proposals to reorganize these Funds as series of the Trust. At this time, these
Funds were series of The Advisors' Inner Circle Fund, a Massachusetts business
trust. Shareholders approved both reorganizations as follows:
<TABLE>
<CAPTION>
MORGAN GRENFELL MORGAN GRENFELL
MUNICIPAL BOND FIXED INCOME
FUND FUND
--------------- ---------------
<S> <C> <C>
Votes For 12,843,562.044 10,915,446.078
Votes Against 237,684.000 745.254
Abstentions -- --
Broker Non-Votes -- --
Votes Withheld 9,029,063.254 5,065,022.904
</TABLE>
At the special meetings held on December 5, 1994, the shareholders of Morgan
Grenfell Fixed Income Fund and Morgan Grenfell Municipal Bond Fund also ratified
the Trustees' selection of Price Waterhouse LLP as the independent public
accountants of the series of the Trust into which these Funds were reorganized
(for the fiscal year ended October 31, 1995). Shareholders ratified these
selections as follows:
<TABLE>
<CAPTION>
MORGAN GRENFELL MORGAN GRENFELL
MUNICIPAL BOND FIXED INCOME
FUND FUND
--------------- ---------------
<S> <C> <C>
Votes For 13,081,246.044 10,910,395.720
Votes Against -- 5,050.358
Abstentions -- 745.254
Broker Non-Votes -- --
Votes Withheld 9,029,063.254 5,065,022.904
</TABLE>
66
<PAGE>
NOTICE TO SHAREHOLDERS (Unaudited)
================================================================================
Morgan Grenfell Investment Trust--For the period ended October 31, 1995
TAXPAYERS FILING ON A CALENDAR YEAR BASIS WILL RECEIVE TAX INFORMATION FOR THE
1995 CALENDAR YEAR AFTER YEAR END.
Dear Morgan Grenfell Shareholders:
For the fiscal year ended October 31, 1995, each portfolio is designating
by this notice long-term capital gains, qualifying dividends and exempt income
with regard to distributions paid during the year as follows:
<TABLE>
<CAPTION>
(A)
Long Term (B) (C) (E) (F)
Capital Gains Income Total (D) Tax Foreign
Distributions Distributions Distributions Qualifying Exempt Tax
FUND (Tax Basis)+ (Tax Basis)+ (Tax Basis)+ Dividends (1) Interest Credit (2)
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Municipal Bond Fund 0.00% 100.00% 100.00% 0.00% 100.00% 0.00%
Fixed Income Fund 0.00% 100.00% 100.00% 0.00% 0.00% 0.00%
Short-Term Municipal Bond Fund 0.00% 100.00% 100.00% 0.00% 100.00% 0.00%
Short-Term Fixed Income Fund 0.00% 100.00% 100.00% 0.00% 0.00% 0.00%
Smaller Companies Fund 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
International Equity Fund 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
International Small Cap Equity Fund 50.91% 49.09% 100.00% 0.00% 0.00% 59.52%
European Small Cap Equity Fund 0.00% 100.00% 100.00% 0.00% 0.00% 0.00%
Emerging Markets Equity Fund 14.55% 85.45% 100.00% 0.00% 0.00% 105.15%
Global Fixed Income Fund 0.00% 100.00% 100.00% 0.00% 0.00% 0.00%
International Fixed Income Fund 0.00% 100.00% 100.00% 0.00% 0.00% 0.00%
Emerging Markets Debt Fund 0.00% 100.00% 100.00% 0.00% 0.00% 0.00%
</TABLE>
+ As determined for Federal tax purposes.
(1) Qualifying dividends represent dividends which qualify for the
corporate dividends received deduction.
(2) See attached notice which details the per share amount of foreign
taxes paid by country and the per share amount of each dividend that
represents income derived from sources within each country.
* Items (A) and (B) are based on a percentage of the Fund's total
distributions.
** Items (D), (E) and (F) are based on a percentage of income
distributions of the Fund.
Please consult your tax adviser for proper treatment of this information.
67
<PAGE>
NOTICE TO SHAREHOLDERS (Unaudited)
==============================================================================
Morgan Grenfell International Small Cap Equity Fund
Morgan Grenfell Emerging Markets Equity Fund
TAXPAYERS FILING ON A CALENDAR YEAR BASIS WILL RECEIVE TAX INFORMATION FOR THE
1995 CALENDAR YEAR AFTER YEAR END.
The Morgan Grenfell International Small Cap Equity Fund and Morgan Grenfell
Emerging Markets Equity Fund have made an election under Section 853 of the
Internal Revenue Code (the "Code") to provide a foreign tax deduction or credit
to their shareholders for the fiscal year ended October 31, 1995. The
information provided below is pertinent to taxpayers who meet the following two
criteria: 1) file a U.S. Federal Income Tax Return and 2) held shares of the
Fund on the dividend record date of December 30, 1994 and satisfy the applicable
requirements of the code.
The amount per share of income from and foreign taxes paid to each country is
listed in the following schedule:
<TABLE>
<CAPTION>
MORGAN GRENFELL INTERNATIONAL MORGAN GRENFELL EMERGING
SMALL CAP EQUITY FUND MARKETS EQUITY FUND
Country Gross Dividend Foreign Taxes Paid Country Gross Dividend Foreign Taxes Paid
----------- -------------- ------------------ ----------- -------------- ------------------
<S> <C> <C> <C> <C> <C>
Australia 0.0044 0.0020 Argentina 0.0013 0.0000
Austria 0.0003 0.0001 Brazil 0.0183 0.0129
Belgium 0.0002 0.0001 Chile 0.0007 0.0002
Finland 0.0004 0.0002 Columbia 0.0006 0.0000
France 0.0033 0.0000 Greece 0.0008 0.0000
Germany 0.0085 0.0054 Hungary 0.0001 0.0000
Hong Kong 0.0016 0.0000 India 0.0001 0.0000
Indonesia 0.0013 0.0006 Indonesia 0.0007 0.0002
Italy 0.0008 0.0003 Malaysia 0.0096 0.0073
Japan 0.0103 0.0040 Mexico 0.0019 0.0000
Malaysia 0.0021 0.0012 Peru 0.0006 0.0001
Netherlands 0.0025 0.0010 Philippines 0.0002 0.0001
Norway 0.0008 0.0003 Portugal 0.0008 0.0005
Philippines 0.0000 0.0000 South Africa 0.0023 0.0010
Singapore 0.0008 0.0004 South Korea 0.0009 0.0002
South Korea 0.0001 0.0000 Switzerland 0.0001 0.0000
Spain 0.0010 0.0003 Taiwan 0.0009 0.0002
Sweden 0.0003 0.0001 Thailand 0.0037 0.0017
Switzerland 0.0033 0.0013 Turkey 0.0013 0.0000
Thailand 0.0007 0.0000 Venezuela 0.0001 0.0000
United Kingdom 0.0183 0.0074 United Kingdom 0.0002 0.0001
United States 0.0052 0.0000 United States 0.0026 0.0000
------- ------- ------- -------
0.0662 0.0247 0.0478 0.0245
</TABLE>
68
<PAGE>
STATEMENT OF ASSETS AND LIABILITIES
================================================================================
Morgan Grenfell Investment Trust - October 31, 1995
<TABLE>
<CAPTION>
------- -------- ------- ---------
Pacific Japanese
Global European Basin Small Cap
Equity Equity Equity Equity
Fund Fund Fund Fund
------- -------- ------- ---------
<S> <C> <C> <C> <C>
Assets:
Cash $1,000 $1,000 $1,000 $1,000
------ ------ ------ ------
Total assets 1,000 1,000 1,000 1,000
------ ------ ------ ------
Liabilities: - - - -
------ ------ ------ ------
Net Assets: $1,000 $1,000 $1,000 $1,000
====== ====== ====== ======
Shares of beneficial interest issued
and outstanding (unlimited authorization-
based on $0.001 par value) 100 100 100 100
====== ====== ====== ======
Net asset value, offering price and
redemption price per share $10.00 $10.00 $10.00 $10.00
====== ====== ====== ======
</TABLE>
The Funds have not commenced operations as of October 31, 1995.
The accompanying notes are an integral part of the financial statement.
<PAGE>
NOTES TO FINANCIAL STATEMENT
Morgan Grenfell Investment Trust - October 31, 1995
1. ORGANIZATION
Morgan Grenfell Investment Trust (the "Trust") was organized as a Delaware
business Trust on September 13, 1993. The Trust is registered under the
Investment Company Act of 1940, as amended, as an open-end management investment
company consisting of seventeen investment portfolios (Municipal Bond Fund,
Fixed Income Fund, Short-Term Municipal Bond Fund, Short-Term Fixed Income Fund,
Large Cap Growth Fund, Smaller Companies Fund, International Equity Fund, Global
Equity Fund, European Equity Fund, Pacific Basin Equity Fund, International
Small Cap Equity Fund, European Small Cap Equity Fund, Japanese Small Cap Equity
Fund, Emerging Markets Equity Fund, Global Fixed Income Fund, International
Fixed Income Fund and Emerging Markets Debt Fund. These financial statements
relate only to the Global Equity Fund, European Equity Fund, Pacific Basin
Equity Fund and Japanese Small Cap Equity Fund (hereafter referred to as the
"Funds"). At October 31, 1995, the Funds had no operations other than the sale
of initial shares to SEI Financial Management Corporation (the "Administrator"),
a wholly-owned subsidiary of SEI Corporation on December 29, 1993. Morgan
Grenfell Investment Services Limited (the "Advisor") absorbed all expenses of
organizing the Trust.
2. ADMINISTRATION, INVESTMENT ADVISORY, AND DISTRIBUTION AGREEMENTS
The Trust has entered into an administration with SEI Financial Management
Corporation (the "Administrator"), pursuant to which, upon commencement of
operations of each Fund, the Administrator will receive a monthly fee based on
the aggregate average daily net assets of all the Funds as follows: 0.15% up to
$300,000,000; 0.12% from $300,000,000 up to $500,000,000; 0.10% from
$500,000,000 up to $1,000,000,000; and 0.08% in excess of $1,000,000,000. Each
funds will pay the Administrator a minimum annual fee that equals (after a one
year phase in period) the following: $75,000 each for the Global Equity Fund,
European Equity Fund and Pacific Basin Equity Fund and $100,000 for the Japanese
Small Cap Equity Fund.
The Administrator generally assists in all matters relating to the
administration of the Funds, including the coordination and monitoring of any
third parties furnishing services to the Funds, preparation and maintenance of
financial accounting records, and the provision of necessary office space,
equipment and personnel to perform administrative and clerical functions.
Under an advisory agreement with the Trust, Morgan Grenfell Investment
Services Limited (the "Advisor") serves as the Advisor for the Funds. For these
services, the Advisor is entitled to a monthly fee, upon commencement of
operations of each Fund, at an annual rate of each Fund's average daily net
assets as follows:
<TABLE>
<S> <C>
Global Equity Fund 0.70%
European Equity Fund 0.70%
Pacific Basin Equity Fund 0.70%
Japanese Small Cap Equity Fund 1.00%
</TABLE>
<PAGE>
NOTES TO FINANCIAL STATEMENT
Morgan Grenfell Investment Trust - October 31, 1995
The Advisor has voluntarily agreed to reduce its advisory fee and/or reimburse
for certain expenses to the extent necessary to limit the Fund's operating
expenses to a specified percentage of its average net assets as follows:
<TABLE>
<S> <C>
Global Equity Fund 0.90%
European Equity Fund 0.90%
Pacific Basin Equity Fund 0.90%
Japanese Small Cap Equity Fund 1.25%
</TABLE>
Certain officers and/or Trustees of the Trust are affiliated with the
Administrator or Advisor.
SEI Financial Services Company (the "Distributor") serves as the distributor
of shares of the Funds pursuant to a distribution agreement with the Trust and
assists in the sale of shares of the Funds. The Advisor, and not the Trust, is
responsible for payment of any expenses or fees incurred in the marketing and
distribution of shares of the Trust.
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
To the Shareholders and Board of Trustees
Morgan Grenfell Investment Trust
In our opinion, the accompanying statement of assets and liabilities presents
fairly, in all material aspects, the financial position of the Global Equity
Fund, European Equity Fund, Pacific Basin Equity Fund and Japanese Small Equity
Fund (separate portfolios of Morgan Grenfell Investment Trust, hereafter
referred to as the "Trust") at October 31, 1995, in conformity with generally
accepted accounting principles. This financial statement is the responsibility
of the Trust's management; our responsibility is to express an opinion on this
financial statement based on our audit. We conducted our audit of this financial
statement in accordance with generally accepted auditing standards which require
that we plan and perform the audit to obtain reasonable assurance about whether
the financial statement is free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures in
the financial statement, assessing the accounting principles used and
significant estimates made by management, and evaluating the overall financial
statement presentation. We believe that our audit provides a reasonable basis
for the opinion expressed above.
PRICE WATERHOUSE LLP
1177 Avenue of the Americas
New York, NY 10036
December 11, 1995
<TABLE> <S> <C>
<PAGE>
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<CIK> 0000912035
<NAME> MORGAN GRENFELL INVESTMENT TRUST
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<INVESTMENTS-AT-VALUE> 2,643
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<ASSETS-OTHER> 156
<OTHER-ITEMS-ASSETS> 0
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<PAYABLE-FOR-SECURITIES> 53
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<OTHER-ITEMS-LIABILITIES> 11
<TOTAL-LIABILITIES> 64
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 2,502
<SHARES-COMMON-STOCK> 250
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<ACCUMULATED-NII-CURRENT> 19
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 73
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 144
<NET-ASSETS> 236
<DIVIDEND-INCOME> 26
<INTEREST-INCOME> 4
<OTHER-INCOME> 0
<EXPENSES-NET> (11)
<NET-INVESTMENT-INCOME> 19
<REALIZED-GAINS-CURRENT> 73
<APPREC-INCREASE-CURRENT> 144
<NET-CHANGE-FROM-OPS> 236
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<PER-SHARE-NAV-BEGIN> 10.00
<PER-SHARE-NII> .08
<PER-SHARE-GAIN-APPREC> .87
<PER-SHARE-DIVIDEND> 0
<PER-SHARE-DISTRIBUTIONS> 0
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<PER-SHARE-NAV-END> 10.95
<EXPENSE-RATIO> .90
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<PAGE>
<ARTICLE> 6
<CIK> 0000912035
<NAME> MORGAN GRENFELL INVESTMENT TRUST
<SERIES>
<NUMBER> 5
<NAME> INTERNATIONAL SMALL CAP EQUITY
<MULTIPLIER> 1,000
<S> <C>
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<PERIOD-END> OCT-31-1995
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<INVESTMENTS-AT-VALUE> 80,760
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<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 92,418
<PAYABLE-FOR-SECURITIES> 1,372
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 129
<TOTAL-LIABILITIES> 1,501
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 91,504
<SHARES-COMMON-STOCK> 9,672
<SHARES-COMMON-PRIOR> 6,647
<ACCUMULATED-NII-CURRENT> 254
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> (2,681)
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 1,840
<NET-ASSETS> 90,917
<DIVIDEND-INCOME> 940
<INTEREST-INCOME> 149
<OTHER-INCOME> 0
<EXPENSES-NET> (821)
<NET-INVESTMENT-INCOME> 268
<REALIZED-GAINS-CURRENT> (2,665)
<APPREC-INCREASE-CURRENT> (1,616)
<NET-CHANGE-FROM-OPS> (4,013)
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<DISTRIBUTIONS-OF-INCOME> (270)
<DISTRIBUTIONS-OF-GAINS> (1,420)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 33,284
<NUMBER-OF-SHARES-REDEEMED> (7,133)
<SHARES-REINVESTED> 1,671
<NET-CHANGE-IN-ASSETS> 90,917
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
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<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 972
<AVERAGE-NET-ASSETS> 65,762
<PER-SHARE-NAV-BEGIN> 10.35
<PER-SHARE-NII> .03
<PER-SHARE-GAIN-APPREC> (.72)
<PER-SHARE-DIVIDEND> (.04)
<PER-SHARE-DISTRIBUTIONS> (.22)
<RETURNS-OF-CAPITAL> 0
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<EXPENSE-RATIO> 1.25
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</TABLE>
<TABLE> <S> <C>
<PAGE>
<ARTICLE> 6
<CIK> 0000912035
<NAME> MORGAN GRENFELL INVESTMENT TRUST
<SERIES>
<NUMBER> 7
<NAME> EUROPEAN SMALL CAP EQUITY
<MULTIPLIER> 1,000
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> OCT-31-1995
<PERIOD-START> NOV-01-1994
<PERIOD-END> OCT-31-1995
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<INVESTMENTS-AT-VALUE> 8,945
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<OTHER-ITEMS-ASSETS> 0
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<OTHER-ITEMS-LIABILITIES> 42
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<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 8,131
<SHARES-COMMON-STOCK> 809
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<ACCUMULATED-NII-CURRENT> 117
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 30
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 1,058
<NET-ASSETS> 9,336
<DIVIDEND-INCOME> 161
<INTEREST-INCOME> 37
<OTHER-INCOME> 0
<EXPENSES-NET> (99)
<NET-INVESTMENT-INCOME> 99
<REALIZED-GAINS-CURRENT> 58
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<NET-CHANGE-FROM-OPS> 1,215
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<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 808
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<NET-CHANGE-IN-ASSETS> 9,335
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
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<OVERDIST-NET-GAINS-PRIOR> 0
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<GROSS-EXPENSE> 177
<AVERAGE-NET-ASSETS> 7,948
<PER-SHARE-NAV-BEGIN> 10.00
<PER-SHARE-NII> .12
<PER-SHARE-GAIN-APPREC> 1.44
<PER-SHARE-DIVIDEND> (.01)
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<PER-SHARE-NAV-END> 11.55
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<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<PAGE>
<ARTICLE> 6
<CIK> 0000912035
<NAME> MORGAN GRENFELL INVESTMENT TRUST
<SERIES>
<NUMBER> 8
<NAME> EMERGING MARKETS EQUITY
<MULTIPLIER> 1,000
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> OCT-31-1995
<PERIOD-START> NOV-01-1994
<PERIOD-END> OCT-31-1995
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<TOTAL-ASSETS> 96,853
<PAYABLE-FOR-SECURITIES> 3,136
<SENIOR-LONG-TERM-DEBT> 0
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<TOTAL-LIABILITIES> 3,565
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<PAID-IN-CAPITAL-COMMON> 95,072
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<ACCUMULATED-NII-CURRENT> 135
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<ACCUMULATED-NET-GAINS> 926
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> (2,845)
<NET-ASSETS> 93,288
<DIVIDEND-INCOME> 1,057
<INTEREST-INCOME> 57
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<EXPENSES-NET> (822)
<NET-INVESTMENT-INCOME> 292
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<TABLE> <S> <C>
<PAGE>
<ARTICLE> 6
<CIK> 0000912035
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<SERIES>
<NUMBER> 9
<NAME> GLOBAL FIXED INCOME
<MULTIPLIER> 1,000
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> OCT-31-1995
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<TABLE> <S> <C>
<PAGE>
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<SERIES>
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<S> <C>
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<FISCAL-YEAR-END> OCT-31-1995
<PERIOD-START> NOV-01-1994
<PERIOD-END> OCT-31-1995
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<SHARES-REINVESTED> 60
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<ACCUMULATED-NII-PRIOR> 440
<ACCUMULATED-GAINS-PRIOR> (522)
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
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<GROSS-EXPENSE> 174
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<PER-SHARE-DIVIDEND> (.05)
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