MORGAN
GRENFELL
INVESTMENT
TRUST
ANNUAL
REPORT
OCTOBER 31, 1996
<PAGE>
Dear Fellow Shareholder:
On behalf of the Board of Trustees of the Morgan Grenfell Investment Trust, I
would like to express our appreciation for your continued support of our mutual
funds. Our goal, as always, remains to provide a broad range of funds, each with
specialist management teams delivering strong investment results.
The performance for each of our funds for the twelve month period ended October
31, 1996 is described in the pages that follow. This period represented dramatic
appreciation in the U.S. markets, with growth also experienced in the
international markets. Our domestic and international funds performed well
during this period, generally adding value to their relative benchmarks.
This period also saw the addition of another fund to our selection of funds --
the European Equity Fund, which commenced operations on September 3, 1996. Since
this Fund has been in operation for less than six months, a further discussion
in the Management Discussion and Analysis will be forthcoming in the Trust's
Semi-Annual review in April 1997.
As of October 31, 1996, total assets amounted to more than $1.5 billion for the
thirteen funds now available. We continue to search for ways to further enhance
our shareholders' value by offering new funds to provide greater flexibility and
diversification. Again, thank you for your support and trust.
Sincerely,
/S/ SIGNATURE
James E. Minnick
President,
Morgan Grenfell Investment Trust
<PAGE>
TABLE OF CONTENTS
================================================================================
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND
PERFORMANCE......................................................... 5
STATEMENT OF NET ASSETS................................................ 17
STATEMENT OF OPERATIONS................................................ 56
STATEMENT OF CHANGES IN NET ASSETS..................................... 58
FINANCIAL HIGHLIGHTS................................................... 61
NOTES TO FINANCIAL STATEMENTS.......................................... 63
REPORT OF INDEPENDENT ACCOUNTANTS...................................... 70
NOTICE TO SHAREHOLDERS................................................. 71
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1996
MUNICIPAL BOND FUND
Since the Morgan Grenfell Municipal Bond 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 this
high level of income. We have focused on purchasing issues with intermediate
maturities and early retirement features, such as sinking funds and prepayment
bond calls. Credit quality is restricted to investment grade equivalent
securities and approximately 40% of the portfolio has the highest quality rating
of AAA.
Interest rates rose slightly during the fiscal year ended October 31, 1996,
as evidenced by the modest rise in the yield on the five year AAA General
Obligation from 4.43% to 4.60%. Nonetheless, the Fund's net asset value rose
from $10.86 to $10.99 during this period. Adding this increase in principal
value to the income received, a total return of 6.90% was generated by the Fund
for the period. For comparison, the Lehman Brothers Seven Year General
Obligations Index posted a return of 4.75% over the same time period.
========================================================
MUNICIPAL BOND FUND
========================================================
AVERAGE ANNUAL TOTAL RETURN
- --------------------------------------------------------
Annualized Annualized
1 Year 3 Year Inception
Return Return to Date
- --------------------------------------------------------
Municipal Bond Fund 6.90% 5.79% 8.93%
- --------------------------------------------------------
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.
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, 1996 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:
Period Ended Growth of $250,000 Growth of $250,000
Invested in Morgan Invested in the Lehman
Grenfell Municipal Brothers 7 Year G.0. Index
Bond Fund
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
10/31/96 $369,131 $341,316
*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 Morgan Grenfell Fixed Income 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 creditworthiness and cash flow structure to price. Industry
and sector weightings are subordinated to the evaluation of individual bonds.
For the fiscal year ended October 31, 1996, the Fixed Income Fund provided
a total return of 6.27%. For comparison, the Lehman Brothers Aggregate Bond
Index posted a return of 5.83%
5
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MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1996
over the same period. During this period, interest rates rose modestly as the
U.S. economy grew more quickly following a period of slow growth. Yields of
Five-Year U.S. Treasury Notes rose from 5.8% to 6.1%, causing bond prices to
decline.
The credit quality of the portfolio was strong with 64% of the portfolio
rated AAA. We continue to exercise caution in the corporate and mortgage-backed
sectors, being concerned about a lack of supply causing the yield spreads over
U.S. Treasury bonds to be too narrow.
========================================================
FIXED INCOME FUND
========================================================
AVERAGE ANNUAL TOTAL RETURN
- --------------------------------------------------------
Annualized Annualized
1 Year 3 Year Inception
Return Return to Date
- --------------------------------------------------------
Fixed Income Fund 6.27% 5.85% 8.29%
- --------------------------------------------------------
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.
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, 1996 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:
Period Ended Growth of $250,000 Growth of $250,000
Invested in Morgan Invested in Lehman
Grenfell Fixed Brothers Aggregate
Income Fund Bond Index
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
10/31/96 $344,348 $325,353
*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 commenced operations on
March 6, 1995. Since that time, we have acquired a diversified portfolio of
short-term municipal bonds with a very short duration. For the fiscal year ended
October 31, 1996, the Fund generated a total return of 5.90%. This compares
favorably with the IBC/Donoghue Total Tax-Free Average's return of 3.05% for the
same period. The Fund's return has been achieved by investing in bonds providing
a high level of tax-free income, with limited price volatility due to their
short maturities.
===========================================================
SHORT-TERM MUNICIPAL BOND FUND
===========================================================
AVERAGE ANNUAL TOTAL RETURN
- -----------------------------------------------------------
1 Year Annualized
Return Inception to Date
- -----------------------------------------------------------
Short-Term Municipal Bond Fund 5.90% 6.24%
- -----------------------------------------------------------
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.
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, 1996 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:
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
3/31/95 $250,000 $250,000
10/31/95 $259,083 $254,967
10/31/96 $274,369 $262,743
*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
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SHORT-TERM
FIXED INCOME FUND
The Morgan Grenfell Short-Term Fixed Income Fund commenced operations 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. For the
fiscal year ended October 31, 1996, the Fund generated a total return of 6.09%.
This compares with the Merrill Lynch 182-Day Treasury Bill Index's return of
5.50% for the same period. The Fund's return has been achieved by investing in
short-term bonds providing a high level of income, with limited price volatility
due to their short maturities.
============================================================
SHORT-TERM FIXED INCOME FUND
============================================================
AVERAGE ANNUAL TOTAL RETURN
- ------------------------------------------------------------
1 Year Annualized
Return Inception to Date
- ------------------------------------------------------------
Short-Term Fixed Income Fund 6.09% 6.09%
- ------------------------------------------------------------
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.
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, 1996 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:
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
3/31/95 $250,000 $250,000
10/31/95 $258,882 $259,062
10/31/96 $274,648 $273,311
*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 Morgan Grenfell Smaller Companies Fund commenced operations on June 30,
1995. For the fiscal year ended October 31, 1996, the Fund appreciated 24.58%
versus the S&P 600 Small Cap Index which gained 20.44% over the same period.
Small-cap companies outperformed large-cap companies in the early part of
the fiscal year. Through the remaining part of the fiscal year ended October 31,
1996, however, small-cap stocks underperformed large-cap stocks, and the S&P
Small Cap 600 Index gained 20.44% versus the S&P 500 Index which gained 24.10%.
For the last three years, small-cap companies have underperformed large-cap
companies. We continue to strongly believe that small-cap stocks remain
attractive relative to large-cap stocks.
As of October 31, 1996, the Fund had assets of $4.1 million. The Advisor's
SmallCap management team currently has total assets under management in both the
MicroCap and SmallCap sectors in excess of $670 million. The investment
objective of the Fund is to maximize capital appreciation by investing in equity
securities of small capitalization companies domiciled primarily in the United
States. Small companies are defined as those companies ranked according to
market capitalization in the bottom 20 percent of the Wilshire 5000 Index. This
encompasses approximately 6,000 companies with market values ranging from $10
million to $1.8 billion.
The Fund utilizes a team approach with three co-portfolio managers
researching the universe of U.S. small-cap equities for the best investment
ideas. This process allows for expertise across all economic sectors thus
providing diversification of investments and
7
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1996
minimization of risk. Along with research and portfolio management
capabilities, the team includes a specialized small company trading expert to
optimize its execution strategy.
The structure of the U.S. economy, with its high level of entrepreneurial
activity and venture capital backing, is expected to continue to provide
investors with many attractive investment opportunities as early stage private
companies transition into public ownership.
The Fund's closing NAVon October 31, 1996 was $13.10.
============================================================
SMALLER COMPANIES FUND
============================================================
AVERAGE ANNUAL TOTAL RETURN
- ------------------------------------------------------------
1 Year Annualized
Return Inception to Date
- ------------------------------------------------------------
Smaller Companies Fund 24.58% 22.69%
- ------------------------------------------------------------
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.
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, 1996 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:
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
6/30/95 $250,000 $250,000
10/31/95 $263,748 $267,996
10/31/96 $328,577 $322,774
*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 Morgan Grenfell International Equity Fund commenced operations on May
15, 1995. As of October 31, 1996, the Fund had assets of $3.4 million. For the
fiscal year then ended, the Fund provided a total return of 12.70% versus a
10.48% return for the MSCI EAFE Index, the Fund's benchmark.
The index suggests a year of solid if unspectacular progress, but closer
inspection reveals spectacular performance differentials, even within geographic
regions. The most notable negative performer has been the Japanese market where
modest local gains have been negated by a steadily weakening Yen. Within the
portfolio, Yen positions have been unhedged for much of the year. While there
are signs that the Japanese economy is improving, domestic investors remain
uncommitted despite extremely low short-term interest rates.
In other areas of the Far East, the Fund's returns have been strong, most
notably in Hong Kong and Malaysia, buoyed in part by the sustained strength of
U.S. capital markets, by continued growth and little expectation of political
instability. Among the smaller markets, the Thai and Korean markets continue to
suffer from internal economic woes. The resource driven markets of Australia
(and Canada) have enjoyed strong runs. The Fund remains heavily overweight in
the Pacific ex-Japan, with positions in Japan below the index weighting.
8
<PAGE>
In Continental Europe, peripheral markets have been strongest whereas the
core markets of Germany and France have lagged, reflecting no real pick-up in
business activity. In the UK, low inflation and strong growth tended to dominate
over political concerns, and combined with a robust currency have provided
dollar investors, such as the Fund, with a return of over 20%. Currency
considerations and a looser monetary policy lead us to favor Continental Europe
going forward.
The global economy in 1996 can be characterized by modest and arguably
sustainable growth in an environment of low inflation. In that environment, the
Fund will continue to focus on growth opportunities world-wide.
============================================================
INTERNATIONAL EQUITY FUND
============================================================
AVERAGE ANNUAL TOTAL RETURN
- ------------------------------------------------------------
1 Year Annualized
Return Inception to Date
- ------------------------------------------------------------
International Equity Fund 12.70% 15.46%
- ------------------------------------------------------------
COMPARISON OF CHANGE IN THE VALUE OF A $250,000 INVESTMENT IN THE MORGAN
GRENFELL INTERNATIONAL EQUITY FUND, VERSUS THE MORGAN STANLEY EAFE INDEX.
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, 1996 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:
Period Ended Growth of $250,000 Growth of $250,000
Invested in Morgan Invested in Morgan
Grenfell International Stanley EAFE Index
Equity Fund
5/31/95 $250,000 $250,000
10/31/95 $271,599 $248,971
10/31/96 $306,092 $275,063
*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 Morgan Grenfell International Small Cap Equity Fund commenced
operations on January 3, 1994 and had assets of $106.7 million as of October 31,
1996.
The investment objective of the 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 25% of the companies listed on a stock exchange, and any stock
listed on a secondary market.
9
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1996
For the fiscal year ended October 31, 1996, the Fund provided a total
return of 6.43% versus a 10.85% return for the NatWest Markets Euro/Pacific
Small Cap Index, the Fund's benchmark. Stock selection, country allocation and
cash/liquidity management produced negative results compared to the benchmark,
while currency management provided positive returns.
International small cap equities in general underperformed in the first two
months of the fiscal year under review. In the first six months of 1996,
however, sentiment improved and small cap stocks outperformed larger cap stocks
by just over 5% (the Natwest Markets Euro/Pacific Small Cap Index rose 9.8%
while the MSCI EAFE large cap index rose only 4.7%). Relative performance during
this period was boosted by reductions in interest rates which increased
expectations for growth, especially in Continental Europe, where economic
performance has been weak. The Japanese economy was also expected to recover and
this helped investment sentiment in relation to Japanese markets. Small
capitalization stocks, which are highly sensitive to changes in expectations of
economic growth rates, performed accordingly and there seemed to be signs that
investors were reassessing the prospects for the asset class during this period.
In the last four months of the period, however, small cap stocks
underperformed as worries over the future level of U.S. interest rates worried
investors world-wide. Doubts over both the timing and the strength of recovery
in Japan and, to a lesser extent, Continental Europe combined to impact
negatively on small cap stocks in these two regions. Small cap stocks
underperformed large cap stocks by 4.6% in this period, falling 5.2% in value.
For the fiscal year ended October 31, 1996, stock selection was strong for
the Fund in the United Kingdom and the smaller Far Eastern markets but weak in
Continental Europe and Japan. Our currency hedging strategy out of the Yen and
into U.S. Dollars also contributed significantly to return as the Yen weakened
over the period. We maintained a hedge on 30% of the Fund's Yen assets until
February when the hedge was halved to 15% where it remained until the end of
April. In May the hedge was removed since we took the view that the risks of
further Yen weakness against the U.S. Dollar had diminished. This has proved not
to be the case with some further Yen weakness since May (Yen/U.S. $ rate has
weakened from about 108 Yen at the end of May to 114 Yen at the end of October),
causing weak local currency returns in that market.
As of October 31, 1996, the Fund's closing NAV was $9.96.
10
<PAGE>
=============================================================
INTERNATIONAL SMALL CAP
EQUITY FUND
=============================================================
AVERAGE ANNUAL TOTAL RETURN
- -------------------------------------------------------------
1 Year Annualized
Return Inception to Date
- -------------------------------------------------------------
International Small Cap Equity Fund 6.43% 0.99%
- -------------------------------------------------------------
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.
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,
1996 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:
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
1/31/94 $250,000 $250,000
10/31/94 $248,781 $268,522
10/31/95 $232,188 $246,368
10/31/96 $247,117 $273,149
*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 Morgan Grenfell European Small Cap Equity Fund commenced operations on
November 1, 1994 and had assets of $9.9 million as of October 31, 1996.
The objective of the Fund is to maximize capital appreciation by investing
primarily in equity securities of small capitalization com-panies located in
Europe. Small capitalization companies are defined as those issuers, ranked
according to market capitalization in the bottom 25% of the companies listed on
a European stock exchange, or any stock listed on a secondary market.
For the fiscal year ended October 31, 1996, the Fund provided a total
return of 10.06% versus a 15.98% return for the Natwest Markets European Small
Cap Index, the Fund's benchmark.
The Fund's performance in the UK was very strong but weak in Continental
Europe. Performance suffered, particularly in the last four months of the year
as technology stocks, to which the Fund is heavily exposed, suffered from
negative investor sentiment. Several stock-specific disappointments also
impacted returns.
The last two months of 1995 were dull ones for small cap stocks but in the
first half of 1996 there was some strong outperformance from small caps relative
to their large cap counterparts as investors recognized their attractive
relative growth rates and valuations. Relative performance was also boosted by
reductions in interest rates which increased expectations for growth, especially
in Continental Europe. Small capitalization stocks, which are highly sensitive
to changes in expectations of economic growth rates, performed well against this
background. During the first half of 1996, small cap stocks (Natwest Markets
European Small Cap Index) outperformed large cap stocks (MSCI Europe Index) by
4.8%, rising by 11.4%.
In the four months since June, doubts over the future level of interest
rates and economic growth in the U.S. reversed sentiment towards small cap
stocks throughout Europe. In this later period, European small cap stocks
underperformed large cap stocks by 4.6%, rising only 1.7%.
Given the positive economic outlook for 1997, we believe that the risk of
investing in the small cap sector remains low. We believe that European small
cap valuations are still very attractive, particularly in Continental Europe
11
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1996
where they trade at a 14% discount to largecap stocks. For 1997, we expect
underlying earnings growth for small cap stocks to be 5% above large caps. In
addition, we believe that the markets remain inefficient, especially in
Continental Europe, with plenty of opportunities to purchase high growth
companies where the growth rate is not fully reflected in the share price.
As of October 31, 1996, the Fund's closing NAV was $12.54.
============================================================
EUROPEAN SMALL CAP
EQUITY FUND
============================================================
AVERAGE ANNUAL TOTAL RETURN
- ------------------------------------------------------------
1 Year Annualized
Return Inception to Date
- ------------------------------------------------------------
European Small Cap Equity Fund 10.06% 12.85%
- ------------------------------------------------------------
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.
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, 1996
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:
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
11/30/94 $250,000 $250,000
10/31/95 $296,258 $275,368
10/31/96 $326,061 $319,372
*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 Morgan Grenfell Emerging Markets Equity Fund commenced operations on
February 2, 1994 and had assets of $88.3 million as of October 31, 1996.
The investment objective of the 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, 1996 was somewhat disappointing
for emerging markets, with the Morgan Stanley MSCI Emerging Markets Free Index
returning 4.31%. The Fund in the same period returned 10.02%.
The volatility of individual emerging markets remained very high during the
year. Within the Far Eastern region, for instance, Malaysian stocks returned
26.48%, while Thai stocks declined 29.45%. Generally, Asian returns were less
than expected due to a downturn in the electronics cycle, a stronger U.S. dollar
that adversely affected export competitiveness, and disappointing political
developments in the Indian sub-continent.
In Latin America, there was a significant bounce back from very oversold
levels as governments maintained their commitment to a tight monetary policy.
The main markets of Brazil, Mexico and Argentina rose by 33.03%, 24.38% and
33.21%, respectively.
South Africa declined 8.27% over the period, and was badly affected by the
devaluation of its currency. Emerging Europe generated mixed returns, with
strength in some of the Central European markets, particularly Poland which
returned 42.06%.
12
<PAGE>
We believe that the outlook for the emerging equity markets remains strong,
based on the higher economic growth rates that are being delivered. The Fund
continues to be broadly diversified at the country level, and continues to add
value mainly through successful stock selection.
The closing NAV of the Fund on October 31, 1996 was $8.80.
===========================================================
EMERGING MARKETS EQUITY FUND
===========================================================
AVERAGE ANNUAL TOTAL RETURN
- -----------------------------------------------------------
1 Year Annualized
Return Inception to Date
- -----------------------------------------------------------
Emerging Markets Equity Fund 10.02% -1.62%
- -----------------------------------------------------------
COMPARISON OF CHANGE IN THE VALUE OF A $250,000 INVESTMENT IN
THE MORGAN GRENFELL EMERGING MARKETS EQUITY FUND, VERSUS THE MORGAN STANLEY MSCI
EMERGING MARKETS FREE INDEX, AND THE ING BARINGS EMERGING MARKETS INDEX.
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, 1996 as
compared with the growth of a $250,000 investment in the Morgan Stanley MSCI
Emerging Markets Free Index and the ING Barings Emerging Markets Index. The plot
points used to draw the line graph were as follows:
Period Growth of $250,000 Growth of $250,000 Growth of $250,000
Ended Invested in Morgan Invested in Morgan Invested in ING
Grenfell Emerging Stanley MSCI Barings Emerging
Markets Equity Fund Emerging Markets Markets Index
Free Index
2/28/94 $250,000 $250,000 $250,000
10/31/94 $275,274 $262,694 $277,024
10/31/95 $217,467 $207,922 $216,162
10/31/96 $239,257 $216,884 $243,399
*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.
Effective November 1, 1995, the Fund changed its benchmark index from the
ING Barings Emerging Markets Index to the Morgan Stanely MSCI Emerging Markets
Free Index. The Fund made this change because the new benchmark reflects a
broader range of emerging markets that is more reflective of the Fund's
investment universe. For this reason, the Fund's management believes that the
new benchmark is a more meaningful reference for shareholders.
GLOBAL FIXED INCOME FUND
The Morgan Grenfell Global Fixed Income Fund commenced operations on
January 3, 1994 and had assets of $149.9 million as of October 31, 1996. The
investment objective of the 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.
For the fiscal year ended October 31, 1996, the Fund provided a total
return of 6.60% versus a 5.38% return for the Salomon World Government Bond
Index, (unhedged), the Fund's benchmark.
Global bond markets posted more moderate gains during the twelve month
period ended October 31, 1996, following a very strong year for global markets
in 1995. The overall returns were held back by the performance of the U.S.
market, which disappointed because of the twin factors of nervousness over
possible signs of inflationary economic growth and pre-election uncertainties.
Outside the U.S., however, a general background of economic weakness and
continued easy monetary policy enabled bond markets to post strong positive
gains.
Through most of the period, the Fund has been significantly underweight the
U.S. market, both because of possible downside risk related to the possibility
of the Fed tightening and because of our perception of greater opportunity
elsewhere, particularly in the higher yielding European markets. During 1996,
yields
13
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1996
in Southern European and Scandinavian bond markets significantly converged
with yields in the "core" markets of Germany and France. At the end of October,
the Fund's overweight position in European markets continued to be focused in
Italy, Spain, Sweden and Denmark, with an additional overweight position in the
UK gilt market, the only high yielding European market not to have benefited so
far from the convergence theme. The Fund has also taken a 9% weighting in
Canada, in the expectation that the market will continue its strong performance
on the back of the Bank of Canada's easy monetary policy and sustained currency
strength.
Over the last twelve months, the U.S. dollar has risen against most major
currencies, which has reduced the value of overseas bond holdings in dollar
terms. However, throughout the period the Fund has had a hedging strategy such
that the Fund had more dollar currency exposure than the benchmark, and was
therefore less disadvantaged by the dollar's rise. This pro-dollar strategy was
still in place on the Fund at fiscal year end.
The closing NAV of the Fund on October 31, 1996 was $11.26.
============================================================
GLOBAL FIXED INCOME FUND
============================================================
AVERAGE ANNUAL TOTAL RETURN
- ------------------------------------------------------------
1 Year Annualized
Return Inception to Date
- ------------------------------------------------------------
Global Fixed Income Fund 6.60% 6.54%
- ------------------------------------------------------------
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).
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, 1996 as
compared with the growth of a $250,000 investment in the Salomon World
Government Bond Index. The plot points used to draw the line graph were as
follows:
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
1/31/94 $250,000 $250,000
10/31/94 $244,334 $256,622
10/31/95 $278,247 $295,629
10/31/96 $296,612 $311,534
*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 Morgan Grenfell International Fixed Income Fund commenced operations on
March 15, 1994 and had assets of $21.2 million as of October 31, 1996.
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 its foreign assets.
The Fund returned 6.82% for the year ended October 31, 1996, compared with
5.47% for the Salomon World Government Bond Index, non-U.S. Unhedged.
14
<PAGE>
Throughout the period, most overseas economies continued to exhibit signs
of weak economic growth, and bond markets posted reasonable returns. With the
exception of a period of caution in late summer in anticipation of the
resolution of domestic budgetary negotiations, the Fund followed a strategy of
moving money from the core European markets of Germany and France into the
higher yielding markets of Scandinavia and Southern Europe, where central banks
have been cutting interest rates. The market's central scenario of European
monetary union going ahead has led to a significant convergence of yield spreads
across much of Europe. Exposure to the German market has been reduced from
around 37% of portfolio value earlier in the year to 14% at the end of October,
and the Fund has benefited from its holdings in more peripheral European
markets. In the fourth quarter of 1996, the Fund started to build a significant
position in the Canadian market, with an 11% holding at the end of October. The
Bank of Canada has been cutting interest rates in response to tight fiscal
policy, and, backed by a strong currency, we expect further outperformance by
the Canadian market.
The Fund's investments have been made exclusively in foreign markets,
therefore the rise in the dollar in the fiscal year reduced their value in
dollar terms. Some of the Fund's international bond holdings were hedged back in
to the U.S. dollar which protected their value and contributed to the
underperformance of the unhedged index. At the end of the fiscal year, 13% of
the Fund's holdings were hedged back to the U.S. dollar.
The closing NAV of the Fund on October 31, 1996 was $11.30.
=============================================================
INTERNATIONAL FIXED INCOME FUND
=============================================================
AVERAGE ANNUAL TOTAL RETURN
- -------------------------------------------------------------
1 Year Annualized
Return Inception to Date
- -------------------------------------------------------------
International Fixed Income Fund 6.82% 7.77%
- -------------------------------------------------------------
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 UNHEDGED.
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, 1996 as
compared with the growth of a $250,000 investment in the Salomon World
Government Bond Index, Non-U.S. and the Salomon World Government Bond Index,
Non-U.S., Hedged. The plot points used to draw the line graph were as follows:
Period Ended Growth of $250,000 Growth of $250,000 Growth of $250,000
Invested in Morgan Invested in Salomon Invested in Salomon
Grenfell Fixed World Government World Government
Income Fund Bond Index, Bond Index,
Non-U.S. Non-U.S., Hedged
3/31/94 $250,000 $250,000 $250,000
10/31/94 $246,785 $265,103 $244,931
10/31/95 $282,963 $305,372 $284,487
10/31/96 $302,261 $322,076 $320,845
*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.
Effective January 1, 1996, the Fund adopted the Salomon World Government
Bond Index, non-U.S. Unhedged as its benchmark. Before this, the Fund had been
managed against both the Hedged and Unhedged versions of the Salomon World
Government Bond non-U.S. Index. Concentrating on the unhedged index enables
shareholders to benefit most fully from the diversification benefits of overseas
bonds, while the benchmark is the industry standard for many investment funds
similar to the Fund.
15
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1996
EMERGING MARKETS
DEBT FUND
The Morgan Grenfell Emerging Markets Debt Fund commenced operations on
August 4, 1994 and had assets of $102.4 million as of October 31, 1996.
For the fiscal year ended October 31, 1996, the Fund provided a total
return of 38.42% versus a 44.49% return for the JP Morgan Emerging Market Bond
Index Plus, the Fund's benchmark.
Despite continuing weakness in the U.S. Treasury market, emerging debt
markets registered strong returns in 1996. Over the past six months, economic
growth has continued to accelerate throughout Latin America, facilitating
attempts at structural economic and social reform. The strongest Latin American
market has been Venezuela, where attempts to float the currency and reduce the
budget deficit have proved successful. The Fund remains overweight in Venezuelan
assets. The Fund's largest underweight position in Latin America is in Mexico,
where the positive news associated with the restructuring of debt obligations to
international creditors has now been priced into Mexican Bradys.
Russian loans have been the best performing emerging debt market over the
six month period ended October 31, 1996, benefiting from President Yeltsin's
re-election and continuing economic reform along IMF guidelines. The Fund had a
5% position in Russian loans.
Over the next six months we expect to see emerging markets sovereign
spreads contract as economic reform continues, growth strengthens and Brady
countries pursue a policy of restructuring their outstanding debt obligations.
The closing NAV of the Fund on October 31, 1996 was $13.36.
============================================================
EMERGING MARKETS DEBT FUND
============================================================
AVERAGE ANNUAL TOTAL RETURN
- ------------------------------------------------------------
1 Year Annualized
Return Inception to Date
- ------------------------------------------------------------
Emerging Markets Debt Fund 38.42% 19.08%
- ------------------------------------------------------------
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, AND THE J.P. MORGAN EMERGING MARKETS BOND INDEX PLUS.
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, 1996 as
compared with the growth of a $250,000 investment in the J.P. Morgan Emerging
Markets Bond Index and in the J.P. Morgan Emerging Markets Bond Plus Index. The
plot points used to draw the line graph were as follows:
Period Growth of $250,000 Growth of $250,000 Growth of $250,000
Ended Invested in Morgan Invested in J.P. Morgan Invested in J.P.Morgan
Grenfell Emerging Emerging Markets Emerging Markets
Markets Debt Fund Bond Index Bond Plus Index
8/31/94 $250,000 $250,000 $250,000
10/31/94 $249,510 $245,306 $249,581
10/31/95 $261,611 $264,955 $268,225
10/31/96 $362,122 $370,645 $387,558
*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.
Effective December 31, 1995, the Fund changed its benchmark index from the
JP Morgan Markets Bond Index to the JP Morgan Emerging Markets Bond Index Plus.
The Fund made this change because the new benchmark reflects more emerging
market debt instruments (such as Brady bonds and non-performing loans) and
includes more countries than the old benchmark. For these reasons, the Fund's
management believes that the new benchmark is a more meaningful reference
for shareholders.
16
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1996
MUNICIPAL BOND FUND
- --------------------------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
MUNICIPAL BONDS -- 98.2%
ALABAMA -- 3.5%
Birmingham, Medical Clinic
Board, RB, ETM
8.300%, 07/01/08 $ 317 $ 358
Mobile, Certificate of Participation,
Affordable Housing
6.000%, 02/01/98 275 274
6.200%, 02/01/99 350 349
6.300%, 02/01/00 400 398
6.750%, 02/01/04 4,950 4,907
State Housing Finance Authority,
Multi-Family Housing, Club
Apartments, Series 1, RB
5.650%, 06/01/08 2,500 2,522
--------
8,808
--------
ARKANSAS -- 3.2%
Drew County, Public Facilities
Board, Single Family Mortgage,
Series A-2, RB, FNMA
7.900%, 08/01/11 415 446
Fayetteville, Public Facilities
Board, Single Family
Mortgage, RB
7.250%, 04/01/11 1,335 1,484
Little Rock, Capital Improvement,
Series 1995A, RB
5.950%, 02/01/12 375 380
Lonoke County, Residential Housing,
Single Family Mortgage,
Series 1993 B, RB
7.375%, 04/01/11 297 307
Mississippi County, Public Facilities
Board, Mortgage, Series 1, RB
7.200%, 07/15/10 1,000 1,103
North Little Rock, Residential
Housing Facilities,
Series 1991-1, RB
0.00%, 12/01/10 (A) 7,765 3,116
Saline County, Residential
Housing Facilities, Single
Family Mortgage, RB
7.875%, 03/01/11 865 922
State Housing Development
Agency, RB, ETM
8.375%, 07/01/10 60 72
Stuttgart, Public Facilities Board,
Single Family Mortgage,
Series B, RB
7.750%, 09/01/11 292 306
--------
8,136
--------
- ---------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- ---------------------------------------------------------------
CALIFORNIA -- 5.5%
Los Angeles, Community
Redevelopment Agency,
Angelus Plaza Project,
Series A, RB, FNMA
7.400%, 06/15/10 $1,000 $ 1,095
Los Angeles, Community
Redevelopment Agency,
Monterey Hills Project B, RB
8.650%, 12/01/22 330 368
Los Angeles, Multi-Family
Housing, Earthquake
Rehabilitation Projects,
Series B, RB, FNMA, AMT
5.850%, 12/01/07 (B) 4,650 4,726
Napa, Housing Facility, Napa Park
Apartments, Series A, RB, GNMA
3.049%, 06/20/00 472 478
Pleasant Hill, Multi-Family Housing,
Ellinwood Apartments Project,
Series A, RB, FNMA
5.300%, 10/01/05 (B) 3,165 3,201
Santa Clara County, Housing
Authority, RB, GNMA
3.410%, 06/20/00 574 575
Vista, California Multi-Family
Housing Authority, Pepperwood
Apartment Project, Series 1995A,
RB, FNMA
5.700%, 06/01/05 (B) 3,255 3,332
--------
13,775
--------
COLORADO -- 1.9%
Boulder County, Boulder
Community Hospital RB, ETM
7.000%, 07/01/09 35 38
Commerce City, Single Family
Mortgage, Series A, RB
6.875%, 03/01/12 620 646
State Housing Finance
Authority, AMT, RB
5.750%, 11/01/04 175 175
State Student Loan, Series C,
AMT, RB
7.150%, 09/01/06 990 1,069
Vail, Single Family Mortgage,
Series 1992 A, RB
8.125%, 06/01/10 470 493
Westminster, Multi-Family
Housing, Semper Village
Apartments, RB, AXA
5.950%, 09/01/06 (B) 2,225 2,289
--------
4,710
--------
17
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1996
- --------------------------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
Delaware -- 2.0%
New Castle County, Single
Family Mortgage, RB
10.250%, 11/01/05 $ 295 $ 309
Seaford, Economic Development
Authority, Seaford Association
Project, RB
6.375%, 01/01/04 2,800 2,762
State Economic Development
Authority, Wilmington Friends
School Project, RB
6.300%, 07/01/00 50 51
6.300%, 07/01/01 55 56
6.300%, 07/01/02 60 61
6.300%, 07/01/03 60 61
6.300%, 07/01/04 65 66
6.300%, 07/01/05 70 72
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 97
6.300%, 07/01/11 100 101
6.300%, 07/01/12 110 111
6.300%, 07/01/13 115 116
State Housing Authority, Single
Family Mortgage, RB
8.750%, 06/01/17 830 840
--------
5,037
--------
FLORIDA -- 3.9%
Altamonte Springs, Health Facility
Authority, RB, ETM
8.750%, 10/01/09 190 232
Dade County, Certificate of
Participation, Government Leasing
Corporation, Series B
8.500%, 04/01/07 45 44
Dade County, Certificate of
Participation, Government Leasing
Corporation, Series C
9.000%, 04/01/20 300 293
Dunedin, Health Facility Authority,
Mease Hospital Incorporated,
RB, ETM
7.600%, 10/01/08 380 423
Fernando Apartments, Elderly
Housing, Section 8 Assistance, RB
9.750%, 10/01/11 767 815
Miami Beach, Housing Authority,
Elderly Housing,
Section 8 1995, RB
6.625%, 01/15/09 1,200 1,247
- --------------------------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
Miramar, Water Improvement
Assessment, RB, FGIC
5.125%, 10/01/20 $5,675 $ 5,661
Orange County, Housing Finance
Authority, Series B , AMT, RB, GNMA
8.100%, 11/01/21 950 1,015
--------
9,730
--------
GEORGIA -- 3.8%
Atlanta, Housing Development
Corporation, Bedford Tower
Section 8-A, RB, HUD, FHA
6.350%, 01/01/23 1,295 1,321
Augusta, Housing Rehabilitation
Agency, Bon Air Project,
Series C, RB
7.000%, 09/01/05 1,000 1,076
Dekalb County, Housing Authority,
Macon Apartments, RB
6.400%, 05/01/05 785 805
Fulton County, Housing Authority,
Single Family Mortgage, RB,
GNMA, AMT
6.200%, 03/01/13 2,180 2,224
Marietta, Housing Authority,
Multi-Family, Ridge Pointe
Apartments, Series A, RB, FNMA
5.700%, 06/01/05 (B) 1,475 1,516
Marietta, Housing Authority,
Multi-Family, Series A, RB, New
England Mutual Life Guaranty
6.000%, 06/01/01 (B) 1,000 1,024
Saint Mary's, Housing Authority,
Multi-Family, Cumberland Oaks
Apartments, Series A, RB FNMA
7.250%, 09/01/05 650 687
Saint Mary's, Housing Authority,
Multi-Family, Pines Apartments,
Series C, RB, FNMA
7.250%, 10/01/05 285 300
State Residential Finance Housing,
Series A, RB, AMT
6.750%, 06/01/16 640 654
--------
9,607
--------
HAWAII -- 0.2%
Honolulu, Housing Authority,
Multi-Family, Waipahu Towers
Project, Series A, RB, GNMA, AMT
6.900%, 06/20/05 395 412
--------
IDAHO -- 0.4%
State Housing Agency, Single Family
Mortgage, Series F, RB, AMT
5.800%, 07/01/07 1,000 1,016
--------
18
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1996
- --------------------------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
ILLINOIS -- 12.3%
Alton, Hospital Facilities, Alton
Memorial Hospital Project, RB, ETM
7.000%, 07/01/05 $ 405 $ 433
Bolingbrook, Hospital Authority,
Hinsdale Sanitarium Hospital
Project, RB, ETM
7.250%, 08/01/08 1,035 1,133
Bolingbrook, Mortgage, Capital
Appreciation Series 1, RB
0.000%, 01/01/11 (A) 9,670 3,590
City of Fairfield, Economic
Development, Wayne County
Center Project, RB
6.000%, 12/15/05 545 551
Des Plains, Hospital Facilities,
Holy Family Hospital Project,
RB, ETM, FGIC
7.000%, 01/01/07 155 161
7.000%, 01/01/07 220 237
Des Plains, Hospital Facilities,
Holy Family Hospital Project,
RB, ETM, MBIA
7.000%, 01/01/07 110 115
Development Finance Authority,
Catholic Health, Series A, RB,
Connie Lee Insured
5.150%, 02/15/06 1,010 996
Development Finance Authority,
Debt Restructure, East Saint Louis,
RB, Moral Obligation
6.050%, 11/15/99 325 332
6.875%, 11/15/05 875 923
Development Finance Authority,
Fund For Child Care Facilities
Project, Series A, RB
7.400%, 09/01/04 2,600 2,844
Development Finance Authority,
Industrial Development, Orleans
Place Project, Series A, RB, Asset
Guaranty, AMT
5.000%, 11/01/00 3,800 3,767
Greater Peoria, Airport Authority,
GO, AMBAC, AMT
6.500%, 12/01/05 100 108
6.700%, 12/01/07 250 270
6.600%, 12/01/06 575 621
Health Facilities Authority, Lutheran
Social Services, RB
6.125%, 08/15/10 1,100 1,024
6.125%, 08/15/20 3,500 3,146
Health Facilities Authority, Mercy
Health Center, RB, ETM
7.100%, 06/01/09 725 806
7.500%, 09/01/09 300 357
- --------------------------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
Health Facilities Authority, Mercy
Hospital & Medical Center, RB, ETM
10.000%, 01/01/15 $2,150 $ 2,900
Health Facilities Authority, Sydney
R. Forkosh Memorial Hospital,
Pre-refunded @ 100, RB
7.000%, 07/01/02 (E) 195 209
Quincy, Single Family Mortgage, RB
6.875%, 03/01/10 695 724
Rockford-Concord Commons,
Housing Finance Authority,
Series A, RB, FHA
5.550%, 11/01/06 595 604
6.150%, 11/01/22 1,845 1,845
Village of Buffalo Grove, Economic
Development Project, Country
Line Partners, RB
5.450%, 08/15/02 1,665 1,671
Village of Graylake, Multi-Family
Housing, Country Squire Village
Apartments, Series A, RB, FHA
6.000%, 06/01/05 1,365 1,394
Western Illinois University, RB, ETM
7.400%, 04/01/09 125 137
--------
30,898
--------
INDIANA -- 1.5%
Indianapolis, Economic Development,
Knob in the Woods Project, RB,
FNMA, AMT
6.375%, 10/01/04 (B) 3,500 3,728
--------
IOWA -- 0.8%
Davenport, Home Ownership
Mortgages, Series 1994 RB
4.000%, 03/01/03 295 291
Davenport, Hospital Facility, RB, ETM
7.200%, 07/01/09 100 110
State Finance Authority, Small
Business Development, Terrance
Center Association, L.P. Project,
RB, Guaranty Agreement with
Central Life Assurance Company
7.500%, 03/01/22 1,550 1,721
--------
2,122
--------
KANSAS -- 0.6%
Johnson County, Single Family
Mortgage, RB
5.625%, 05/01/02 30 31
Labette and Cowley Counties,
Single Family Mortgage,
Series A, RB
9.500%, 04/01/13 135 144
19
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1996
- --------------------------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
Reno County, Single Family
Mortgage Revenue Refunding
Bond, Series B
8.700%, 09/01/11 $ 405 $ 434
Saline County, Single Family
Mortgage, Series A, RB
9.500%, 10/01/11 290 307
Wichita, Hospital, RB, ETM
7.000%, 03/01/06 325 348
Wichita, Single Family Mortgage,
Series A, RB
7.100%, 09/01/09 330 345
--------
1,609
--------
KENTUCKY -- 1.0%
Greater Kentucky Housing
Assistance Corporation, Section 8
Assisted, Project A, RB, MBIA, FHA
7.625%, 01/01/25 425 443
Nelson County, Kentucky Industrial
Development, RB, AMT (LOC)
6.500%, 04/01/05 2,000 2,133
State Turnpike Authority, RB, ETM
7.100%, 07/01/02 10 11
6.625%, 07/01/08 25 27
--------
2,614
--------
LOUSIANA -- 6.0%
Housing Finance Authority, Single
Family Housing, RB, GNMA, AMT
8.050%, 11/01/14 420 434
Iberia, Single Family Mortgage, RB
7.375%, 01/01/11 1,015 1,101
Public Facilities Authority, Hospital,
Southern Baptist Hospital, RB, ETM
8.000%, 05/15/12 610 705
Public Facilities Authority, Multi-
Family Housing, Beau Terre
Project, RB, FNMA
5.800%, 06/01/05 (B) 750 759
Public Facilities Authority, Multi-
Family Housing, Carlyle
Apartments, RB, AXA
5.950%, 06/15/05 (B) 1,440 1,499
Public Facilities Authority, Multi-
Family Housing, Edgewood
Apartments, RB, FNMA
5.800%, 06/01/05 (B) 7,155 7,244
Public Facilities Authority, Multi-
Family Housing, Oakleigh
Apartment Project, RB, AXA
5.750%, 03/15/03 295 306
5.850%, 03/15/04 315 326
5.950%, 03/15/05 330 342
- --------------------------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
Public Facilities Authority, Multi-
Family Housing, River View,
RB, CGLIC
6.000%, 07/01/97 (B) $ 940 $ 942
Public Facilities Authority, Single
Family Mortgage, Series A, RB
7.375%, 10/01/12 650 657
Public Facilities Authority, Single
Family Mortgage, Series C, RB
8.450%, 12/01/12 817 869
--------
15,184
--------
MAINE -- 0.1%
State Housing Authority, Series B,
RB, AMT
8.400%, 11/15/07 280 288
--------
MARYLAND -- 1.6%
Cecil County, Economic Development,
Northeast Plaza Association,
Series A, RB
6.875%, 01/15/08 1,760 1,912
Cecil County, Economic Development,
Northeast Plaza Association,
Series B, RB
6.875%, 01/15/10 525 570
Frederick County, Economic
Development, Mortgage Revenue
Refunding Bond, Series A, RB, FHA
5.900%, 02/01/05 365 369
Prince George's County, Multi-Family
Mortgage, Emerson House Project,
Series A, RB
6.400%, 10/15/05 1,200 1,247
--------
4,098
--------
MICHIGAN -- 0.8%
Detroit, Water Supply Systems,
RB, ETM
8.875%, 01/01/05 400 465
Petoskey, Hospital Finance Authority,
RB, ETM
6.700%, 03/01/07 345 366
Saginaw, Hospital Finance Authority,
St Lukes Hospital, RB, ETM
7.500%, 11/01/10 250 286
State Hospital Finance Authority,
St. Joseph Mercy Hospital
Project, RB, ETM
7.000%, 07/01/05 265 284
State Hospital Finance Authority,
St. Lawrence Hospital Project,
RB, ETM
7.500%, 05/01/07 625 691
--------
2,092
--------
20
<PAGE>
- --------------------------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
MINNESOTA -- 1.0%
Cambridge, Mortgage Revenue,
Health Care Center, Series A, RB,
GNMA
5.400%, 11/20/05 $ 685 $ 694
City of Fridley, Community
Development, RB (LOC)
5.375%, 09/01/01 (B) 1,225 1,231
Dakota County, Housing &
Redevelopment Authority, Single
Family Mortgage, RB, FNMA,
GNMA, AMT
5.550%, 10/01/02 130 131
Dakota County, Housing &
Redevelopment Authority, Single
Family Mortgage, RB, FNMA,
GNMA, AMT
5.750%, 10/01/04 150 151
Rochester, St. Mary's Hospital,
RB, ETM
5.750%, 10/01/07 300 308
--------
2,515
--------
MISSISSIPPI -- 0.8%
Mississippi Home Corporation,
Single Family, Mortgage Access
Program, Series 1994 A, RB,
GNMA, AMT
5.000%, 06/01/04 730 734
State Business Finance, Industrial
Development, RB, AMT (LOC)
5.450%, 09/01/01 285 286
5.600%, 09/01/02 305 307
5.800%, 09/01/04 340 342
5.900%, 09/01/05 360 362
--------
2,031
--------
MISSOURI -- 1.4%
Kansas City, Industrial Development
Authority, Multi-Family Housing,
Coves North Duplexes, RB, FNMA
5.600%, 09/01/05 (B) 2,780 2,822
Saint Louis County, Convention and
Sports Center, Series B, RB
6.500%, 08/15/01 775 824
--------
3,646
--------
MONTANA -- 0.2%
Missoula County Community
Hospital, RB ETM, AMBAC
7.125%, 06/01/07 475 516
--------
- --------------------------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
NEBRASKA -- 0.9%
Hall County, Hospital Authority,
RB, ETM
8.000%, 01/01/07 $ 210 $ 238
Investment Finance Authority,
Multi-Family Housing, Old
Cheney Apartments, Series A,
RB, FNMA
5.500%, 12/01/05 (B) 2,000 2,013
--------
2,251
--------
NEVADA -- 1.2%
Single Family Housing Authority,
Series B, RB, AMT
6.450%, 10/01/07 910 959
State Housing Division, RB,
AMT, FNMA
5.900%, 04/01/06 1,020 1,024
5.700%, 10/01/06 1,090 1,079
--------
3,062
--------
NEW JERSEY -- 1.1%
Church Street Corporation, Elderly
Housing Section 8 Assistance 1994,
RB, HUD Section 8
5.000%, 03/01/01 265 262
Deptford Township, Fire District
Number 1, GO
5.850%, 10/15/07 200 210
Economic Development Authority,
Economic Growth, Series H-2,
RB, National Westminster,
AMT (LOC)
5.000%, 10/01/05 775 764
Education Facilities Authority,
Caldwell College, Series A, RB,
7.250%, 07/01/25 1,200 1,206
Mansfield Township, Board of
Education Certificate of
Participation, MBIA
5.500%, 03/01/07 185 191
State Highway Authority, Garden
State Parkway, RB, ETM
6.500%, 01/01/11 105 113
--------
2,746
--------
NEW MEXICO -- 1.2%
Albuquerque, Class B-2, FGIC
0.00%, 05/15/11 (A) 3,539 1,212
Bernalillo County, Multi-Family
Housing, Sunchase Apartments,
Series A, RB, AXA
5.800%, 11/01/06 (B) 1,500 1,539
21
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1996
MUNICIPAL BOND FUND
- --------------------------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
Roswell, Airport, RB, AMT
8.500%, 11/01/98 $ 130 $ 130
Santa Fe, Single Family Mortgage
Authority, Series 1991, RB
8.450%, 12/01/11 189 201
--------
3,082
--------
NEW YORK -- 2.2%
NewYork State Dormitory Authority,
Long Island University, RB,
Asset Guaranty
6.000%, 09/01/08 3,450 3,597
UFA Development Corporation,
Mortgage, Loretto Utica Project,
RB, FHA
5.150%, 07/01/03 2,000 2,005
--------
5,602
--------
NORTH CAROLINA -- 0.3%
Vance County, Industrial Facilities
Authority RB, Optional Put
09/01/97, AMT (LOC)
4.700%, 09/01/00 720 722
--------
OHIO -- 1.6%
Cuyahoga County, Deaconess
Hospital Project, RB, ETM
6.750%, 11/01/09 224 240
Housing Finance Authority,
Single Family Mortgage, Series A,
RB, GNMA, AMT
8.400%, 02/01/20 705 738
Lucas-Palmer, Housing Development
Corporation, Palmer Gardens
Section 8, RB, MBIA, FHA
5.900%, 07/01/07 295 293
Marion County, Community
Hospital of Springfield, RB
5.000%, 05/15/98 1,400 1,405
Ohio Capital Corporation for
Housing Mortgage, Section 8
Assistance, Project E, RB,
MBIA, FHA
5.700%, 01/01/05 480 487
State Mortgage, RB, FHA
5.600%, 08/01/06 505 503
State Water Development
Authority, RB, ETM
9.375%, 12/01/10 205 253
--------
3,919
--------
- --------------------------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
OKLAHOMA -- 1.5%
Bryan County, Single Family
Mortgage, Series A, RB
8.600%, 07/01/10 $ 510 $ 534
Cleveland County, Home Loan
Authority, Single Family
Mortgage, Series 1992, RB
8.375%, 08/01/12 1,160 1,215
Housing Finance Authority, RB,
GNMA, AMT
7.997%, 08/01/18 215 221
McAlester, Publc Works Authority,
RB, FSA
8.250%, 12/01/04 125 149
8.250%, 12/01/05 750 895
8.250%, 12/01/06 185 228
Payne County, Housing Finance
Authority, Single Family Mortgage,
Series A, RB
8.625%, 03/01/11 465 487
--------
3,729
--------
PENNSYLVANIA -- 15.2%
Allegheny County, Hospital
Development Authority, St.
Margaret Memorial Hospital,
Project A, RB
9.800%, 07/01/10 1,000 1,007
Allegheny County, Industrial
Development Authority, RB
Integra Bank of Pittsburgh,
AMT (LOC)
6.000%, 10/01/04 1,000 1,003
Allegheny County, Residential
Finance Authority, Mortgage,
RB, GNMA
6.500%, 11/01/14 625 641
Allentown, Hospital Authority,
Sacred Heart Hospital of
Allentown, Series A, RB
6.200%, 11/15/03 700 723
6.500%, 11/15/08 2,200 2,261
Bucks County, Industrial
Development Authority, Women's
Humane Society, RB
7.100%, 12/01/09 600 601
Chester County, Health & Education
Authority, Series 1996 B, RB (LOC)
4.900%, 08/01/99 (B) 590 590
Dauphin County, General
Authority, WW15 Term, RB
6.850%, 06/01/09 (C) 700 746
22
<PAGE>
- --------------------------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
Delaware County, Mercy Health
Care, Series B, RB
6.000%, 11/15/07 $3,500 $ 3,478
Falls Township, Hospital Authority,
Delaware Valley Medical Center,
RB, FHA
6.900%, 08/01/11 4,060 4,405
Fayette County, Hospital Authority,
Uniontown Hospital, RB, Connie
Lee Insured
5.200%, 06/15/04 280 279
5.400%, 06/15/06 1,120 1,117
5.450%, 06/15/07 600 596
5.550%, 06/15/08 1,420 1,411
5.650%, 06/15/09 1,505 1,496
Horizon Health System Authority,
Horizon Hospital, Series 1996 RB
6.350%, 05/15/26 2,700 2,646
Lehigh County, General Purpose,
Muhlenberg Continuing Care,
RB, (LOC)
7.800%, 03/15/02 (B) 2,320 2,474
Montgomery County, Higher
Education & Health Authority,
Northwestern Corporation, RB,
6.250%, 06/01/99 525 536
Montgomery County, Industrial
Development Authority, BMHR
Associate Project, RB, (LOC)
6.750%, 11/15/04 250 259
Montgomery County, Industrial
Development Authority, Emergency
Care Research Institute Project, RB
6.400%, 06/01/03 605 622
Philadelphia, Hospital & Higher
Education Authority, Northwestern
Corporation, RB
6.250%, 06/01/99 590 602
Philadelphia, Hospital & Higher
Education Facility Authority,
Pennslyvania Hospital Medical
Center, Series 1996, RB
6.350%, 07/01/07 4,325 4,428
Philadelphia, Industrial Development
Authority, Jeanes Physician's Office,
Series A, RB
9.375%, 07/01/10 965 979
Philadelphia, Industrial Development
Authority, National Board of
Medical Examiners Project, RB
6.750%, 05/01/12 550 591
Philadelphia, St. Agnes
Hospital, RB, ETM
6.750%, 08/15/01 55 60
- --------------------------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
Pittsburgh, GO, Partial Pre-
refunded 03/01/97 @ 102, FGIC
7.000%, 03/01/01 $ 370 $ 380
Pottsville, Hospital Authority,
Pottsville Hospital & Warner
Clinic, RB
7.250%, 07/01/24 605 625
State Highway, GO
5.500%, 10/01/97 1,645 1,661
State Housing Authority, Single
Family Mortgage, RB, AMT
7.000%, 10/01/05 230 244
State, GO
5.500%, 10/01/97 1,610 1,625
Upper Gwynedd-Towamencin,
Municipal Authority, Water &
Sewer, RB, ETM, MBIA
5.700%, 10/15/97 20 20
Wayne & Pike, Joint School Authority,
RB, ETM, MBIA
6.000%, 12/01/07 240 244
--------
38,350
--------
RHODE ISLAND -- 0.2%
State Industrial Facilities, Crystal
Thermoplastics Project, Series A,
RB, IRBA, AMT
6.900%, 08/01/14 380 391
--------
SOUTH CAROLINA -- 1.7%
State Housing Finance Authority,
Multi-Family Housing, RB
5.700%, 06/01/05 (B) 3,050 3,191
State Housing Finance &
Development Authority, Multi-
Family Housing, Runaway Bay
Apartments Project, RB
5.500%, 12/01/05 1,000 1,010
--------
4,201
--------
SOUTH DAKOTA -- 0.4%
Student Loan Assistance, Series A,
RB, GTD, AMT
7.700%, 08/01/07 500 531
7.600%, 08/01/04 510 542
--------
1,073
--------
TENNESSEE -- 0.7%
Greeneville, Health & Education
Facility Board, Southern Advent
Hospital, RB, ETM
8.700%, 10/01/09 350 421
Shelby County, Health & Housing
Board, RB, Asset Guaranty
6.500%, 10/01/07 1,325 1,386
--------
1,807
--------
23
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1996
MUNICIPAL BOND FUND
- --------------------------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
TEXAS -- 6.6%
Bexar County, Housing Finance
Corporation Residual Bond,
Capital Appreciation
0.00%, 03/01/15 (A) $1,765 $ 532
Brazos, Higher Education Authority,
RB, GTD, AMT
6.500%, 06/01/04 500 525
Bryon, Higher Education Authority,
Allen Academy, Series A, RB
7.300%, 12/01/16 1,750 1,754
Collin County, Housing Finance
Corporation, Multi-Family Mortgage,
Preston Bend Apartments Project,
RB, AXA
6.500%, 09/01/03 (B) 1,000 1,038
Denison, Hospital Authority, Texoma
Medical Center, RB, ETM
7.125%, 07/01/08 125 139
Duncanville, Hospital Development
Authority, Methodist Hospital
Project, RB, ETM
9.000%, 01/01/10 665 800
Grand Prairie, Multi-Family
Mortgage, Project A, Sugar Creek
Apartments, RB
6.000%, 02/01/05 715 719
Gregg County, Housing Finance
Corporation, Multi-Family Housing,
Summer Lake Project, Series A,
RB, AXA
6.400%, 03/01/06 (B) 500 516
Harris County, Housing Finance
Corporation, Multi-Family Housing,
Colonial House Apartments
Project, RB, (LOC)
5.600%, 09/01/99 (B) 235 239
Harris County, Housing Finance, RB,
Series 1996, AMT, FSA
5.700%, 06/01/06 280 280
Houston, Housing Finance
Corporation, 1996-A2, RB,
0.000%, 06/01/14 (A) 1,830 504
Northeast Hospital Authority,
RB, ETM
8.000%, 07/01/08 425 486
Odessa, Housing Authority, Multi-
Family Mortgage, Section 8 Assist
Project, Series A, RB
5.875%, 10/01/03 810 799
Odessa, Housing Authority, Multi-
Family Mortgage, Section 8 Assist
Project, Series B, RB
6.375%, 10/01/11 2,735 2,626
- --------------------------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
Odessa, Housing Authority, Multi-
Family Mortgage, Section 8 Assist
Project, Series B, RB, HUD Section 8
5.875%, 10/01/03 $1,575 $ 1,553
Odessa, Single Family Mortgage,
Series A, RB, FNMA
8.450%, 11/01/11 328 343
Panhandle, Housing Finance
Corporation, Single Family
Mortgage, Series A, RB, AMT,
GNMA
7.500%, 05/01/24 440 463
South Plains, Regional Housing
Authority, Section 8 Assistance
Project, Series A, RB, HUD
6.000%, 08/01/00 65 66
6.500%, 08/01/05 325 330
6.900%, 08/01/09 500 510
Southeast Hospital Financing Agency,
Memorial Hospital System Project,
RB, ETM
8.500%, 12/01/08 335 395
7.500%, 12/01/09 890 991
Thomason, Health Facilities
Development Corporation, El Paso
County Hospital District, GO, MBIA
7.200%, 08/15/98 25 25
Travis County, Housing Finance,
Series 1996, RB, AMT, FSA
5.700%, 06/01/06 955 956
--------
16,589
--------
UTAH -- 1.8%
Brigham City, Special Assessment
Bond, District Number 22
9.000%, 08/01/04 270 285
Hilldale, Electric Bonds, GO, AMT
7.500%, 12/15/03 500 540
Salt Lake City, Industrial
Development, Hermes Association
Project, RB, (LOC)
5.900%, 09/01/97 295 299
5.900%, 09/01/99 200 206
State Finance Agency, Single Family
Mortgage, Issue F-1, RB, AMBAC
5.850%, 07/01/07 1,000 1,030
State Housing Finance Agency,
Single Family Mortgage, Series B-2,
RB, FHA, AMT
7.600%, 01/01/22 290 305
State Municipal Finance Corporation,
Local Government, RB
7.300%, 12/01/03 500 521
24
<PAGE>
- --------------------------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
Weber County, Municipal Building
Authority, Series 1994, RB,
Asset Guaranty
6.750%, 12/15/04 $1,275 $ 1,380
--------
4,566
--------
VIRGINIA -- 3.8%
Alexandria, Redevelopment &
Housing Authority, Multi-Family
Housing, United Dominion-
Parkwood Court, RB, AMT
6.625%, 05/01/06 (B) 2,990 3,095
Loudon County, Industrial
Development Authority, RB, AMT
6.000%, 01/01/04 1,000 999
Newport News, Industrial
Development Authority,
Mennonwood Communities,
Series 1996, RB, GNMA
7.250%, 08/01/16 1,185 1,258
Portsmouth, Redevelopment &
Housing Authority,
Series 1996A, RB, FNMA
6.200%, 09/01/16 1,255 1,244
6.300%, 09/01/26 2,940 2,911
--------
9,507
--------
WASHINGTON -- 3.2%
King County, Housing Authority,
Elderly Housing, Section 8
Assisted, RB
7.000%, 08/01/03 225 236
King County, Housing
Authority, Multi-Family Mortgage,
Section 8 Assisted Housing,
Series A, RB
7.000%, 08/01/03 750 804
Seattle, Low Income Housing
Assistance Authority, Kin On
Project, Series A, RB, GNMA
7.400%, 11/20/36 1,500 1,618
State Housing Finance Commission,
Series A, RB, FNMA
7.000%, 07/01/99 185 188
State Housing Finance Commission,
Series B, RB, GNMA, FNMA
6.900%, 07/01/16 5,015 5,247
--------
8,093
--------
WEST VIRGINIA -- 1.4%
Harrison County, Single Family
Mortgage, Series B, AMBAC
0.000%, 10/20/10 (A) 2,822 1,058
- --------------------------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
Marshall County, Capital
Appreciation, RB, MBIA
0.000%, 05/01/14 (A) $3,000 $ 814
Mason County, First Mortgage, Point
Pleasant Haven, RB (LOC)
6.200%, 12/01/05 850 872
Raleigh Fayette & Nicholas Counties,
Single Family Mortgage, Series B,
AMBAC
0.000%, 06/20/10 (A) 2,167 772
--------
3,516
--------
WISCONSIN -- 0.3%
Prairie Farm, Public School District,
Barron & Dunn Counties, GO
7.000%, 04/01/11 215 222
7.000%, 04/01/12 210 216
Whitewater, Waterworks System, RB
7.500%, 07/01/16 250 283
--------
721
--------
WYOMING -- 0.4%
City of Cheyenne, Federal Mineral
Royalty, Second Lien, RB
6.200%, 06/01/09 1,000 1,030
--------
Total Municipal Bonds
(Cost $242,720) 247,529
--------
Tax-Exempt Asset-Backed Securities -- 0.9%
FHA Insured Trust, Series 1996-1,
Class A-2, Private Placement
6.750%, 02/01/13 606 605
7.000%, 07/01/22 1,713 1,709
--------
Total Tax-Exempt Asset-Backed Securities
(Cost $2,320) 2,314
--------
CASH EQUIVALENT -- 0.0%
SEI Institutional Tax Free
Portfolio 5 5
--------
Total Cash Equivalent
(Cost $5) 5
--------
Total Investments -- 99.1%
(Cost $245,045) 249,848
--------
25
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1996
MUNICIPAL BOND FUND
- --------------------------------------------------------------------------------
MARKET VALUE
DESCRIPTION (000)
- --------------------------------------------------------------------------------
Other Assets and Liabilities -- 0.9%
Interest receivable $ 4,241
Investment advisory fees payable (57)
Administration fees payable (22)
Other assets and liabilities (1,858)
--------
Total Other Assets and Liabilities, Net 2,304
--------
NET ASSETS:
Capital shares (unlimited
authorization -- $0.001 par
value) based on 22,948,463
outstanding shares of
beneficial interest 245,144
Undistributed net investment income 19
Accumulated net realized gain
on investments 2,186
Net unrealized appreciation
on investments 4,803
--------
Total Net Assets -- 100.0% $252,152
========
Net Asset Value, Offering and
Redemption Price Per Share $ 10.99
========
(A) ZERO COUPON BOND.
(B) MANDATORY PUT SECURITY. THE MANDATORY PUT DATE IS SHOWN AS THE MATURITY
DATE ON THE STATEMENT OF NET ASSETS.
(C) MANDATORY TENDER SECURITY. THE MANDATORY TENDER DATE IS SHOWN AS THE
MATURITY DATE ON THE STATEMENT OF NET ASSETS.
(D) VARIABLE RATE SECURITY. THE RATE REPORTED ON THE STATEMENT OF NET ASSETS
IS THE RATE IN EFFECT AS OF OCTOBER 31, 1996.
(E) PRE-REFUNDED SECURITY. THE PRE-REFUNDED DATE IS SHOWN AS THE MATURITY DAT
ON THE STATEMENT OF NET ASSETS.
AMT INCOME FROM SECURITY MAY BE SUBJECT TO ALTERNATIVE MINIMUM TAX.
ETM ESCROWED TO MATURITY
GO GENERAL OBLIGATION
LOC SECURITIES ARE HELD IN CONNECTION WITH A LETTER OF CREDIT ISSUED BY A
MAJOR COMMERCIAL BANK. RB REVENUE BOND THE FOLLOWING ORGANIZATIONS HAVE
PROVIDED UNDERLYING CREDIT SUPPORT FOR THE SECURITIES AS DEFINED IN THE
STATEMENT OF NET ASSETS.
AMBAC AMERICAN MUNICIPAL BOND ASSURANCE COMPANY
ASSET GUARANTY ASSET GUARANTY
AXA AXA REINSURANCE
BIGI BOND INVESTORS GUARANTY INSURANCE CORPORATION
CGLIC CONNECTICUT GENERAL LIFE INSURANCE COMPANY
FGIC FEDERAL GUARANTY INSURANCE CORPORATION
FHA FEDERAL HOUSING AUTHORITY
FNMA FEDERAL NATIONAL MORTGAGE ASSOCIATION
FSA FINANCIAL SECURITY ASSISTANCE
GEMIC GENERAL ELECTRIC MORTGAGE INSURANCE COMPANY
GNMA GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
GTD GUARANTEED STUDENT LOANS
- --------------------------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
HUD HOUSING & URBAN DEVELOPMENT
INTEL INTEL GUARANTY
IRBA IRBA GUARANTY
MBIA MUNICIPAL BOND INVESTORS ASSURANCE
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
FIXED INCOME FUND
CORPORATE OBLIGATIONS -- 19.0%
American United Life Insurance,
144A
7.750%, 03/30/26 $ 9,050 $ 8,620
Associated Estates Realty
8.375%, 04/15/00 19,880 20,650
Equitable Life Assurance Society
6.950%, 12/01/05 7,090 7,019
Fairfax Financial Holdings
8.250%, 10/01/15 5,100 5,253
Goldman Sachs, 144A
6.750%, 02/15/06 13,750 13,362
Legg Mason
6.500%, 02/15/06 1,000 954
Lehman Brothers
7.500%, 08/01/03 (B) 8,665 8,914
Lehman Brothers, MTN
6.710%, 10/12/99 4,750 4,786
8.750%, 03/15/05 5,800 6,344
11.625%, 05/15/05 4,735 6,031
Nationsbank
7.500%, 09/15/06 12,365 12,782
Paine Webber
6.750%, 02/01/06 10,400 10,010
Prudential Funding
6.750%, 09/15/23 2,000 1,755
Security Benefit, 144A
8.750%, 05/15/16 4,000 4,253
Security Pacific Trust, MTN
7.300%, 10/15/05 5,000 5,025
7.375%, 10/15/06 2,455 2,476
Union Central Life Insurance,
144A
8.200%, 11/01/26 10,790 10,734
United Dominion Realty
Trust, MTN
7.950%, 07/12/06 6,500 6,793
Vesta Insurance Group
8.750%, 07/15/25 7,960 8,388
--------
Total Corporate Obligations
(Cost $140,655) 144,149
--------
26
<PAGE>
- --------------------------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
ASSET-BACKED SECURITIES -- 0.5%
Ford Credit Auto Lease Trust,
Series 1995-1 A2
6.350%, 10/15/98 $ 2,039 $ 2,051
Navistar Financial Trust, Series
1995-B, Class A2
5.940%, 10/15/98 527 530
Structured Asset Securities,
Series 1996-CFL, Class A1C
5.944%, 02/25/28 1,100 1,080
--------
Total Asset-Backed Securities
(Cost $3,639) 3,661
--------
MORTGAGE-BACKED OBLIGATIONS -- 17.3%
Access Financial Manufacturing
Housing Contract Trust,
Series 1995-1, Class A3
7.100%, 05/15/21 260 261
Associates Manufactured Housing,
Series 1996-1, Class A5
7.600%, 03/15/27 4,200 4,326
BankAmerica Manufactured
Housing Contract, Series 1996-1,
Class A4
7.300%, 10/10/26 14,068 14,494
Chase Mortgage Finance,
Series 1994 B Class A1
6.750%, 02/25/25 340 337
Chase Mortgage Finance,
Series 1994-G, Class A3
6.750%, 04/25/25 8,796 8,841
Countrywide Mortgage Backed
Securities, Series 1994-C, Class A8
6.500%, 03/25/24 1,265 1,061
Equitable, 1996-1, Class C1, 144A
7.520%, 05/15/06 5,000 5,102
First Boston Mortgage Securities,
REMIC, Series 1992-4, Class A4
7.500%, 10/25/22 2,400 2,427
General Electric Capital Mortgage
Services, Series 1993-14, Class A7
6.500%, 11/25/23 1,275 1,115
General Electric Capital Mortgage
Services, Series 1994-18, Class A2
7.000%, 08/25/24 798 798
Green Tree Finance Series 1996-2,
Class A4
7.200%, 04/15/27 7,000 7,033
Green Tree Finance Series 1996-2,
Class B1
7.550%, 04/15/27 7,100 7,191
Green Tree Financial, Series 1994-6,
Class A5
8.250%, 01/15/20 5,000 5,355
- --------------------------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
Green Tree Financial, Series 1996-4,
Class A6
7.400%, 06/15/27 $ 3,150 $ 3,217
Green Tree Financial,
Series 1996-8, Class A6
7.600%, 09/25/26 2,500 2,547
Housing Securities Incorporated,
Series 1994-1, Class A5
5.500%, 08/25/03 3,073 3,056
J.P. Morgan Commercial Mortgage
Finance, Series 1996 C2 Class A
6.470%, 11/25/27 271 270
Merrill Lynch Mortgage Investors,
Series 1991-1, Class A
7.650%, 01/15/12 2,034 2,080
Merrill Lynch Mortgage Investors,
Series 1995-C1, Class A, 144A,
ERISA Adjustable, Rate (A)
7.152%, 05/25/15 (D) 8,227 8,372
Merrill Lynch Mortgage Investors,
Series 1996 C1, Class A1
7.150%, 04/25/28 9,809 10,003
Midland Realty Acceptance,
Series 1996-C1, Class A1
7.315%, 04/25/03 6,719 6,875
Oakwood Mortgage Investors,
Series 1996-B, Class A3
7.100%, 10/15/26 3,350 3,408
Oakwood Mortgage Investors,
Series 1996-B, Class A4
7.350%, 10/15/26 5,000 5,105
Prudential Home Mortgage,
Series 1993-1, Class A1
7.500%, 02/25/23 5,702 5,728
Prudential Home Mortgage,
Series 1993-61, Class A1
6.500%, 12/25/08 2,320 2,321
Prudential Home Mortgage,
Series 1994-12, Class A7
6.050%, 04/25/24 3,999 3,241
Prudential Home Mortgage,
Series 1994-17, Class A5
6.250%, 04/25/24 5,700 4,888
Vanderbilt Mortgage Finance,
Series 1994-A, Class A1
7.000%, 07/10/19 1,803 1,813
Vendee Mortgage Trust,
Series 1995-3, Class 1B
7.250%, 10/15/10 10,000 10,112
--------
Total Mortgage-Backed Obligations
(Cost $129,018) 131,377
--------
27
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1996
FIXED INCOME FUND
- --------------------------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 16.1%
Drexel Burnham Lambert Trust,
Series T, Class 3
8.450%, 01/20/19 $ 2,639 $ 2,717
Federal Home Loan Mortgage
Corporation, REMIC,
Pool #1462, Class PT
7.500%, 01/15/03 5,000 5,114
Federal Home Loan Mortgage
Corporation, REMIC,
Pool# 1650, Class D
5.400%, 04/15/24 2,000 1,981
Federal Home Loan Mortgage
Corporation, REMIC, Series 1275,
Class VB
7.000%, 05/15/99 850 859
Federal Home Loan Mortgage
Corporation, REMIC, Series 1324,
Class VD
7.000%, 06/15/05 825 846
Federal Home Loan Mortgage
Corporation, REMIC, Series 1360,
Class PK
10.000%, 12/15/20 2,200 2,450
Federal Home Loan Mortgage
Corporation, REMIC, Series 1513,
Class AA
6.500%, 11/15/00 4,824 4,828
Federal Home Loan Mortgage
Corporation, REMIC, Series 1528,
Class A
6.500%, 12/15/00 7,557 7,552
Federal Home Loan Mortgage
Corporation, REMIC, Series 1577,
Class PG
5.500%, 03/15/21 1,900 1,819
Federal Home Loan Mortgage
Corporation, REMIC, Series 1622,
Class G
6.250%, 11/15/22 10,000 8,855
Federal Home Loan Mortgage
Corporation, REMIC, Series 1625,
Class BA
5.000%, 11/15/00 44 44
Federal Home Loan Mortgage
Corporation, REMIC, Series 1640,
Class V
6.500%, 12/15/98 808 807
Federal Home Loan Mortgage
Corporation, REMIC, Series 1667,
Class PC
5.500%, 06/15/04 3,000 2,966
- --------------------------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
Federal Home Loan Mortgage
Corporation, REMIC, Series 1712,
Class PC
5.500%, 02/15/03 $ 2,735 $ 2,724
Federal Home Loan Mortgage
Corporation, REMIC, Series 1803,
Class A
6.000%, 12/15/08 5,500 5,042
Federal Home Loan Mortgage
Corporation, REMIC, Series 33,
Class C
8.000%, 09/15/18 2,507 2,514
Federal Home Loan Mortgage
Corporation, REMIC, Series 70,
Class C
9.000%, 09/15/20 772 823
Federal Home Loan Mortgage
Corporation, Series 1604 Class G
5.750%, 01/15/08 500 483
Federal Home Loan Mortgage
Corporation, Series 1661, Class PG
6.000%, 03/15/08 250 244
Federal National Mortgage
Association, REMIC,
Series 1989-74, Class J
9.800%, 10/25/19 2,500 2,740
Federal National Mortgage
Association, REMIC,
Series 1989-79D
9.000%, 11/25/19 1,350 1,465
Federal National Mortgage
Association, REMIC,
Series 1991-137, Class E
8.050%, 01/25/20 2,526 2,553
Federal National Mortgage
Association, REMIC,
Series 1992-100, Class M
8.500%, 06/25/05 8,000 8,233
Federal National Mortgage
Association, REMIC,
Series 1992-43, Class E
7.500%, 04/25/22 3,420 3,401
Federal National Mortgage
Association, REMIC,
Series 1993-174, Class C
5.750%, 12/25/03 750 744
Federal National Mortgage
Association, REMIC,
Series 1993-174, Class EA
6.150%, 10/25/07 4,000 3,932
Federal National Mortgage
Association, REMIC,
Series 1993-192, Class E
5.950%, 11/25/07 1,000 975
28
<PAGE>
- --------------------------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
Federal National Mortgage
Association, REMIC,
Series 1994-33, Class C
5.000%, 10/25/03 $ 1,900 $ 1,881
Federal National Mortgage
Association, REMIC,
Series 1995-2, Class H
8.500%, 06/25/10 18,200 19,044
Federal National Mortgage
Association, REMIC,
Series 94-92, Class DE
7.500%, 07/25/07 5,267 5,238
Federal National Mortgage
Association, REMIC,
Series G92-22, Class Z
7.500%, 06/25/18 2,405 2,402
Federal National Mortgage
Association, REMIC,
Series G92-42, Class C
7.000%, 09/25/19 1,924 1,929
Federal National Mortgage
Association, REMIC,
Series X-19C, Class G
7.500%, 08/25/21 720 719
Federal National Mortgage
Association, Series 1994-28,
Class O
6.500%, 06/25/24 3,600 3,243
Federal National Mortgage
Association, Series 1996-12,
Class C
6.500%, 03/25/23 6,575 6,151
Federal National Mortgage
Association, Series 1996-23,
Class D
6.500%, 10/25/23 2,650 2,478
Federal National Mortgage
Association, Series X-225b,
Class VB
5.050%, 10/25/04 175 174
Government National Mortgage
Association, Pool #413221
8.250%, 05/15/10 1,955 2,052
--------
Total U.S. Government Agency Obligations
(Cost $121,223) 122,022
--------
TAXABLE MUNICIPAL BONDS -- 19.6%
Allegheny County, Pennsylvania
Sanitation Authority, Series A,
RB, MBIA
6.600%, 06/01/97 975 981
- --------------------------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
Atlanta, Georgia Urban
Redevelopment Finance Authority,
Series 1994, FNMA
0.000%, 10/01/16 (A) $21,000 $ 4,384
Beaumont Properties, Michigan
Series B, RB, Pre-refunded @ 101
10.500%, 01/01/99 (E) 3,000 3,278
Belmont, California
Redevelopment Agency,
Tax Allocation Bond, MBIA
7.550%, 08/01/11 895 886
BFC Finance, GSA Lease
7.375%, 12/01/17 7,975 7,879
California Desert Hospital
Corporation, Series A, RB
8.700%, 07/01/08 200 194
California State Housing Finance
Authority, Single Family
Housing, Series 1995, RB,
AMBAC
7.900%, 08/01/07 8,885 9,229
Cameron County, Texas Housing
Finance Corporation Series A,
RB, FGIC
10.450%, 09/01/11 945 1,073
Cameron County, Texas Housing
Finance Corporation, Series 1990A
Class 1-B, RB, FGIC
10.210%, 09/01/10 1,945 1,987
Chattahoochee Valley, Alabama
Water Supply, RB, Asset Guaranty
8.600%, 10/01/07 200 223
City of Huntingdon, West Virginia
Single Family Mortgage, RB
9.050%, 01/15/12 1,233 1,343
Connecticut State Health and
Education, Nursing Home Program,
AHF/Hartford Project, RB
8.450%, 11/01/99 830 866
Connecticut State Health and
Education, Sheridan Woods
Center Project, RB
7.950%, 11/01/05 1,755 1,836
8.730%, 11/01/17 1,150 1,279
County of Monroe, New York
Nationwide Precision Products,
Series 1994B, RB (LOC)
5.800%, 12/01/04 (D) 2,095 2,095
Dauphin County, Pennsylvania
General Authority, Tressler Project,
Series B, Optional
Put 09/01/96 @ 100, RB
7.000%, 09/01/10 1,320 1,320
29
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1996
FIXED INCOME FUND
- --------------------------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
Delaware State Housing Authority
Series B, RB, AMBAC
6.750%, 07/01/14 $ 955 $ 942
Desert Hospital Corporation,
Series A, RB
8.400%, 07/01/03 2,655 2,609
Dove Valley, Arapahoe County,
Colorado, GO (LOC)
6.000%, 11/01/97 (B) 700 700
Erie County, New York Industrial
Development Agency, Journeys
End Project, Series A, RB (LOC)
9.750%, 01/01/00 (C) 1,840 1,901
Harrisburg Resource Recovery
Authority, Series 1993 B, RB
6.875%, 09/01/03 515 494
7.750%, 09/01/13 3,145 3,137
Harrisburg, Pennsylvania Resource
Recovery Authority,
Series 1993 B, RB
6.000%, 09/01/98 215 212
Hofstra University, RB, MBIA
7.700%, 07/01/15 3,895 3,958
Kanawha and Putnam Counties,
West Virginia, Charleston and
Huntington, AMBAC,
0.00%, 12/01/16 (A) 7,220 1,834
La Follete Properties, Multi-family
Housing, Georgia Limited
Partnership, La Follete Garden
Apartment, Physical Bond
9.600%, 12/01/08 965 965
Lake Mills, Iowa, Lake Mills
Investors Ltd, First Mortgage
Bonds, Mercy Health Center,
Series 1995, RB, Private
Placement
7.450%, 11/01/99 250 248
7.600%, 11/01/00 280 277
7.600%, 11/01/01 360 354
7.750%, 11/01/02 385 378
7.850%, 11/01/03 410 399
7.850%, 11/01/04 410 396
7.900%, 11/01/05 450 433
8.000%, 11/01/06 590 568
8.000%, 11/01/07 610 582
Los Angeles County, California,
Fairplex, RB (LOC)
10.500%, 06/01/15 400 412
Los Angeles, Caifornia
Community Redevelopment
Agency, Angelus Project, FNMA
6.200%, 12/15/96 200 200
- --------------------------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
Massachusetts State Housing
Finance Agency, Series C,
RB, FHA
10.900%, 08/01/20 $ 2,605 $ 2,697
Mayor and City Council of
Baltimore, Maryland Public
Improvement, 1995A Series B,
GO, FGIC
8.100%, 10/15/10 1,775 1,968
Mayor and City Council of
Baltimore, Public Improvement,
1995A Series B, GO, FGIC
8.700%, 10/15/15 1,875 2,123
Mercer County, New Jersey,
Stadium Project Anticipation
Note, Taxable
5.770%, 04/15/97 2,000 2,000
Mississippi Home Residential,
Series 1993 B, RB, Taxable
0.000%, 12/01/12 (A) 9,000 2,869
Montgomery County, New York
Industrial Development Authority,
Central National Bank Project,
RB, (LOC)
5.500%, 05/01/25 (D) 3,750 3,750
Muskegon County,
Unlimited Tax, GO
7.250%, 12/01/96 650 651
New Jersey State Economic
Development Authority,
Series 1992 R2, RB (LOC)
6.800%, 12/01/02 1,350 1,345
New Jersey State Economic
Development Authority, State
Contract, RB
7.100%, 09/15/02 2,500 2,494
New Orleans, Lousianna, Single
Family Mortgage Authority, RB,
Series A, Zero Coupon Bond, MBIA
0.000%, 10/01/15 (A) 6,975 1,439
New York City Industrial
Development Authority, Civic
Facility, Series B, RB, MBIA
8.100%, 09/01/06 1,860 2,037
New York City Mortgage Loan Trust,
1996-A2, 144A
6.750%, 06/25/11 3,970 3,817
New York City Mortgage Loan Trust,
1996-A3, 144A
6.750%, 09/25/19 9,250 8,455
Ohio, Capital For Housing,
Georgetown Village Project,
Series 1996 C, RB, FHA, Taxable
7.625%, 07/01/22 1,250 1,256
30
<PAGE>
- --------------------------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
Oklahoma City, Oklahoma Airport
Trust, Federal Aviation Authority,
Senior Lien, Series 16, RB
9.875%, 07/01/12 $1,005 $ 1,078
Oklahoma City, Oklahoma Airport
Trust, Federal Bureau Prisons
Project, RB
9.800%, 11/01/14 2,650 3,001
Oklahoma County, Oklahoma
Home Finance Authority, RB
0.000%, 07/01/12 (A) 3,450 897
Olathe Labette County, Kansas
Single Family Mortgage,
Series 1993 A
0.000%, 02/01/16 (A) 675 190
Palm Springs, California Desert
Hospital, RB
9.000%, 07/01/13 5,945 5,767
Panhandle, Texas, Regional Housing
Finance, Series 1996, Zero
Coupon Bond
0.000%, 10/01/11 (A) 1,460 482
Pima and Maricopa Counties,
Arizona Industrial Development
Authority, Multi-Family Housing,
Series 1993B, RB, FNMA
6.500%, 01/01/06 710 706
Plymouth County Massachusetts
Correctional Facility, Certificate
of Participation
10.400%, 04/01/22 5,100 5,744
Port Authority, Ninetieth Series,
RB Taxable
5.950%, 10/01/02 700 664
Rhode Island Port Authority
Economic Development Corporation,
Central Falls Detention Center,
Series A, RB
8.200%, 01/15/08 1,208 1,317
Sacramento, California, Municipal
Utility Electric, RB
5.250%, 11/15/96 2,500 2,500
San Diego County, California
Pension Obligation, Series A, FSA
6.240%, 08/15/02 2,000 1,920
San Francisco, California
Redevelopment Agency,
Series 1995B, RB, MBIA/FHA
7.500%, 07/01/24 3,860 3,879
Sand Creek, Idaho Limited
Partnership, Multi-Family
Housing, RB
8.250%, 12/01/18 3,630 3,471
- --------------------------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
Southwestern, Illinois, Development
Authority, Sports Facility
Project, RB, 144A
9.200%, 02/01/13 $ 4,000 $ 4,170
Tarrant County, Texas Housing
Finance Authority, Single Family
Mortgage, Series 1993, RB, MBIA
6.650%, 07/15/16 635 641
Texas State Department of Housing
& Community Affairs, Single
Family Mortgage, Series 1994B, RB
9.500%, 03/01/16 14,630 15,343
Utah State Housing Authority,
Series D-1, RB
9.850%, 07/01/10 235 251
--------
Total Taxable Municipal Bonds
(Cost $145,346) 148,774
--------
TAX-FREE MUNICIPAL BONDS -- 1.4%
Beckley, West Virginia, Nursing
Facility, Beckley Health Corp,
RB (LOC) Nationsbank Texas
5.550%, 09/01/08 245 242
Chester County, Health & Education
Authority, Series 1996 B, RB (LOC)
4.900%, 08/01/99 (B) 235 235
Houston, Texas, Housing Finance
Corporation, 1996-A1, RB
8.000%, 06/01/14 5,000 5,406
Los Angeles, California, Earthquake
Rehabilitation, Series A, RB,
AMT, FNMA
5.700%, 12/01/06 (B) 2,000 1,997
Mansfield Township, Board of
Education Certificate of
Participation, (MBIA)
5.500%, 03/01/07 1,650 1,702
Peoria, Illinois, Multi-Family Housing,
Section 8 Assisted, RB, FHA, MBIA
5.500%, 07/01/07 1,030 1,038
--------
Total Tax-Free Municipal Bonds
(Cost $10,619) 10,620
--------
U.S. TREASURY OBLIGATIONS -- 20.8%
U.S. Treasury Bond
8.125%, 08/15/19 18,190 21,065
31
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1996
FIXED INCOME FUND
- --------------------------------------------------------------------------------
MARKET VALUE
DESCRIPTION (000)
- --------------------------------------------------------------------------------
U.S. Treasury Notes
6.125%, 08/31/98 $14,250 $ 14,345
6.875%, 08/31/99 86,285 88,417
6.750%, 04/30/00 2,020 2,067
5.750%, 08/15/03 32,635 31,789
--------
Total U.S. Treasury Obligations
(Cost $155,144) 157,683
--------
REPURCHASE AGREEMENT -- 3.2%
J.P. Morgan Securities 5.19%,
dated 10/31/96, matures
11/01/96, repurchase price
$25,364,783 (collateralized by
U.S. Treasury Note, par value
$23,000,000, 7.25%, due 08/15/04,
market value $24,596,817) 24,113 24,113
--------
Total Repurchase Agreement
(Cost $24,113) 24,113
--------
CASH EQUIVALENT -- 2.1%
SEI Daily Income Trust
Government II Fund 15,605 15,605
--------
Cash Equivalent
(Cost $15,605) 15,605
--------
Total Investments -- 100.0%
(Cost $745,362) 758,004
--------
Other Assets and Liabilities -- 0.0%
Investment securities purchased (32,506)
Investment securities sold 24,380
Interest receivable 8,387
Investment advisory fees payable (165)
Administration fees payable (64)
Other assets and liabilities (33)
--------
Total Other Assets and Liabilities, Net (1)
--------
- --------------------------------------------------------------------------------
MARKET VALUE
DESCRIPTION (000)
- --------------------------------------------------------------------------------
NET ASSETS:
Capital shares (unlimited
authorization -- $0.001 par
value) based on 72,145,934
outstanding shares of
beneficial interest $745,984
Accumulated net realized loss
on investments (623)
Net unrealized appreciation
on investments 12,642
--------
Total Net Asset -- 100.0% $758,003
========
Net Asset Value, Offering and
Redemption Price Per Share $10.51
========
(A) ZERO COUPON BOND.
(B) MANDATORY PUT SECURITY. THE MANDATORY PUT DATE IS SHOWN AS THE MATURITY
DATE ON THE STATEMENT OF NET ASSETS.
(C) MANDATORY TENDER SECURITY. THE MANDATORY TENDER DATE IS SHOWN AS THE
MATURITY DATE ON THE STATEMENT OF NET ASSETS.
(D) VARIABLE RATE SECURITY. THE RATE REPORTED ON THE STATEMENT OF NET ASSETS
IS THE RATE IN EFFECT AS OF OCTOBER 31, 1996.
(E) PRE-REFUNDED SECURITY. THE PRE-REFUNDED DATE IS SHOWN AS THE
MATURITY DATE ON THE STATEMENT OF NET ASSETS.
AMT INCOME FROM SECURITY MAY BE SUBJECT TO ALTERNATIVE MINIMUM TAX.
GO GENERAL OBLIGATION
RB REVENUE BOND
REMIC REAL ESTATE MORTGAGE INVESTMENT CONDUIT
LOC SECURITIES ARE HELD IN CONNECTION WITH A LETTER OF CREDIT ISSUED BY A
MAJOR COMMERCIAL BANK.
THE FOLLOWING ORGANIZATIONS HAVE PROVIDED UNDERLYING CREDIT SUPPORT FOR THE
SECURITIES AS DEFINED IN THE STATEMENT OF NET ASSETS.
AMBAC AMERICAN MUNICIPAL BOND ASSURANCE COMPANY ASSET GUARANTY ASSET GUARANTY
AXA AXA REINSURANCE
CGIC CAPITAL GUARANTY INSURANCE CORPORATION
FGIC FEDERAL GUARANTY INSURANCE CORPORATION
FHA FEDERAL HOUSING AUTHORITY
FNMA FEDERAL NATIONAL MORTGAGE ASSOCIATION
FSA FINANCIAL SECURITY ASSISTANCE
MBIA MUNICIPAL BOND INVESTORS ASSURANCE
STRIPS SEPARATELY TRADING OF REGISTERED INTEREST AND PRINCIPAL OF SECURITIES
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
32
<PAGE>
SHORT-TERM MUNICIPAL BOND FUND
- --------------------------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
MUNICIPAL BONDS -- 103.5%
ARKANSAS -- 5.0%
City of Rogers, Sales and Use Tax,
Series 1996, RB
5.000%, 11/01/15 $ 450 $ 453
--------
CALIFORNIA -- 1.8%
Los Angeles, Housing
Redevelopment Agency,
Monterey Hills Redevelopment
Project B, RB
5.500%, 12/01/05 150 152
Sacramento, Municipal Utility
District, Electric Revenue, Series S,
Pre-refunded @ 102, RB, FGIC
6.625%, 02/01/97 (E) 10 10
San Francisco, Multi-Family
Housing, RB, FNMA
5.000%, 02/15/97 5 5
--------
167
--------
COLORADO -- 9.3%
El Paso County, Capital Appreciation,
Series C, RB, AMT, (A)
0.000%, 07/10/14 1,000 265
Housing Finance Authority, Single
Family Program, Series E, RB, AMT
6.250%, 12/01/09 80 81
Logan County, Single Family
Mortgage, Series A, RB,
8.500%, 11/01/11 315 325
Snake River Water District GO,
Asset Gty
6.250%, 12/15/96 180 180
--------
851
--------
DELAWARE -- 7.5%
Dover Water & Sewer,
Series A, RB, MBIA
6.900%, 07/01/97 25 25
Dover, Water & Sewer, Series B,
RB, MBIA
7.200%, 07/01/01 20 20
State Economic Development
Authority, Wilmington Friends
School, RB
6.300%, 07/01/97 45 45
6.300%, 07/01/98 45 45
6.300%, 07/01/99 50 51
Sussex County, Economic
Development, Gateway
Partnership VI Project A, RB (LOC)
7.850%, 05/01/97 (B) 495 495
--------
681
--------
- --------------------------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
DISTRICT OF COLUMBIA -- 1.5%
Housing Finance Agency Single Family
Housing, Series E-2, RB, GNMA,
AMT
7.100%, 12/01/98 $ 135 $ 139
--------
FLORIDA -- 2.8%
Dade County, Florida, GO
6.600%, 06/01/00 250 255
--------
ILLINOIS -- 1.5%
Addison, Alton, Pekin, Granite City,
Series 1989-B, FSA
7.580%, 11/01/09 110 111
Macomb, Elderly Housing RB, HUD
7.250%, 09/01/98 35 36
--------
147
--------
INDIANA -- 1.4%
Reid Memorial Hospital,
Indiana RB, ETM
6.250%, 05/01/00 130 131
--------
IOWA -- 0.4%
Clinton, Industrial Development, RB
5.500%, 08/01/98 35 35
--------
KANSAS -- 1.3%
Saline County, Single Family
Mortgage, Series A, RB,
9.500%, 10/01/11 115 122
--------
LOUISIANA -- 2.0%
Public Facility Authority, River View,
Mandatory Put @ 100, RB, CONN
6.000%, 07/01/97 (B) 180 180
--------
MASSACHUSETTS -- 6.6%
Boston, Water & Sewer RB, Series A ,
Callable and Partial Cross-Over
11/01/96 @ 102, FGIC
7.875%, 11/01/13 400 408
State Housing Finance Agency, Single
Family, Series 8, RB
7.000%, 06/01/99 190 197
--------
605
--------
MICHIGAN -- 2.6%
Kalamazoo, Hospital Finance
Authority, RB, ETM
7.000%, 07/01/01 75 79
State Building Authority, Series 2,
ETM, RB, MBIA
7.400%, 04/01/01 50 53
State Hospital Finance Authority, RB
5.000%, 01/01/97 100 100
--------
232
--------
33
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1996
SHORT-TERM MUNICIPAL BOND FUND
- --------------------------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
MISSOURI -- 0.8%
St. Louis County, Single Family, RB,
AMBAC
9.250%, 10/01/16 $ 65 $ 68
--------
NEVADA -- 1.0%
State Housing Division Multi Unit
Housing, AMT, RB, FNMA
6.450%, 10/01/04 35 37
State Housing Division Multi-Unit
Housing, AMT, RB, FNMA
5.700%, 10/01/97 50 50
--------
87
--------
NEW HAMPSHIRE -- 3.2%
State Housing Finance Authority,
Single Family, Exchangeable Yearly,
RB, AMT, (LOC)
6.125%, 01/01/18 295 295
--------
NEW MEXICO -- 4.9%
Albuquerque, Class B-1, FSA
7.650%, 08/15/07 46 49
Albuquerque, Class B-2, FGIC
0.000%, 05/15/11 (A) 839 287
Sandoval County, Gross Receipts
Tax Revenue, RB, Intel
6.000%, 11/01/98 105 109
--------
445
--------
NEW YORK -- 0.2%
State Medical Care Facility, Finance
Agency, Hospital & Nursing Home,
RB, FHA
6.700%, 08/15/01 15 16
--------
OHIO -- 3.9%
Barberton, Hospital Improvement
RB, ETM
6.500%, 07/15/00 50 51
Housing Finance Agency, Single
Family, Adjustable Rate, RB, BIGI
5.750%, 04/01/16 (D) 305 307
--------
358
--------
OKLAHOMA -- 2.7%
State Housing Finance Agency, Single
Family, Class A, RB, AMT, GNMA
7.997%, 08/01/18 55 56
Tulsa, Airport Improvement,
ETM, FGIC
6.200%, 06/01/00 190 194
--------
250
--------
- --------------------------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
OREGON -- 1.1%
State GO, AMT
7.100%, 01/01/02 $ 100 $ 101
--------
PENNSYLVANIA -- 23.0%
Allegheny County, Hospital
Development Authority,
Prerefunded @ 100
8.625%, 06/01/97 (E) 110 113
Beaver County, Pennsylvania
Hospital Authority, St. Francis
Hospital, RB, ETM
7.750%, 07/15/01 115 130
Chester County, Hospital Authority,
RB, ETM
7.500%, 07/01/09 10 11
Dauphin County, GO, ETM, MBIA
9.750%, 10/15/97 5 5
Delaware County, Industrial
Development Authority, Resource-
Recovery Project, RB (LOC)
8.100%, 12/01/13 10 10
East Pennsboro, GO, ETM
6.000%, 03/01/02 60 61
Erie County, Hospital Authority
Health Center Facility, Manchester
Presbyterian Project, RB (LOC)
7.500%, 09/15/06 25 25
Harrisburg, GO, ETM, MBIA
9.750%, 04/15/99 20 21
Montgomery County, Redevelopment
Authority, Multi-Family Housing,
Gwynedd-Oxford Project, Series A,
RB, Mandatory Put @ 100, CONN
6.125%, 12/01/96 (B) 185 185
Pennsylvania State, GO
5.100%, 12/01/96 100 100
7.000%, 12/01/96 65 65
5.000%, 07/01/97 130 130
5.500%, 10/01/97 400 404
6.650%, 05/15/98 115 116
5.000%, 07/01/98 5 5
Philadelphia Industrial
Development Authority, Huff
Paper Project, AMT
6.100%, 12/15/97 40 40
Philadelphia, St. Agnes Hospital,
RB,ETM
6.750%, 08/15/01 195 212
State Highway, GO
5.000%, 07/01/98 5 5
5.000%, 07/01/98 40 40
State Housing Finance Agency, Single
Family Mortgage, Ser 1992-33, RB
5.700%, 04/01/98 135 136
34
<PAGE>
- --------------------------------------------------------------------------------
FACE AMOUN MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
Wayne Pike, Joint School Authority,
RB, ETM, MBIA
6.000%, 12/01/07 $ 285 $ 290
--------
2,104
--------
TENNESSEE -- 1.1%
Hamilton County, Industrial
Development, Ridgemont/
Mountain Brook Apartments,
Mandatory Put @ 100, RB (LOC)
6.250%, 10/01/97 (B) 95 96
--------
TEXAS -- 10.5%
Bell County, Health Facility
Development Corporation, RB,
Mandatory Put @100
4.750%, 10/01/98 (B) 100 100
North Central, Health Facility
Development Corporation Young
Memorial Project, RB
4.700%, 02/15/97 105 105
5.000%, 02/15/98 360 360
South Plains, Regional Housing
Authority, Section 8 Assistance
Project, Series A, HUD Section 8, RB,
6.000%, 08/01/00 145 146
Southeast Texas, Housing Finance
Residual Revenue, Series B, RB,
0.000%, 12/01/16 (A) 1,100 245
--------
956
--------
WASHINGTON -- 0.4%
Clark County, Public Utility
District 001, RB, ETM
10.250%, 01/01/99 35 37
--------
WISCONSIN -- 7.0%
State Health Facilities
Authority, RB, MBIA
9.125%, 07/01/05 325 328
State Housing & Economic
Development Authority, Series B,
RB, AMT
6.625%, 09/01/20 310 312
--------
640
--------
Total Municipal Bonds
(Cost $9,411) 9,451
--------
CASH EQUIVALENT -- 0.0%
SEI Institutional Tax Free Portfolio 5 5
--------
Total Cash Equivalent
(Cost $5) 5
--------
Total Investments -- 103.5%
(Cost $9,416) $ 9,456
--------
Other Assets and Liabilities -- (3.5%)
Investment securities purchased (450)
Interest receivable 170
Receivable due from advisor 4
Administration fees payable (4)
Other assets and liabilities (44)
--------
Total Other Assets and Liabilities, Net (324)
--------
NET ASSETS:
Capital shares (unlimited authorization
-- $0.001 par value) based on
901,430 outstanding shares of
beneficial interest 9,071
Accumulated net realized gain
on investments 21
Net unrealized appreciation
on investments 40
--------
Total Net Assets -- 100.0% $ 9,132
=========
Net Asset Value, Offering and
Redemption Price Per Share $ 10.13
=========
(A) ZERO COUPON BOND
(B) MANDATORY PUT SECURITY. THE MANDATORY PUT DATE IS SHOWN AS THE MATURITY
DATE ON THE STATEMENT OF NET ASSETS.
(C) MANDATORY TENDER SECURITY. THE MANDATORY TENDER DATE IS SHOWN AS THE
MATURITY DATE ON THE STATEMENT OF NET ASSETS.
(D) VARIABLE RATE SECURITY. THE RATE REFLECTED ON THE STATEMENT OF NET ASSETS
IS THE RATE IN EFFECT AT OCTOBER 31, 1996.
(E) PRE-REFUNDED SECURITY. THE PRE-REFUNDED DATE IS SHOWN AS THE MATURITY
DATE ON THE STATEMENT OF NET ASSETS.
AMT ALTERNATIVE MINIMUM TAX
ETM ESCROWED TO MATURITY
GO GENERAL OBLIGATION
LOC SECURITIES ARE HELD IN CONNECTION WITH A LETTER OF CREDIT ISSUED BY A
MAJOR COMMERCIAL BANK
RB REVENUE BOND
THE FOLLOWING ORGANIZATIONS HAVE PROVIDED UNDERLYING CREDIT SUPPORT FOR THE
SECURITIES AS DEFINED IN THE STATEMENT OF NET ASSETS.
AMBAC AMERICAN MUNICIPAL BOND ASSURANCE COMPANY
BIGI BOND INVESTORS GUARANTY ASSURANCE CORPORATION
CONN CONNECTICUT GENERAL LIFE
FGIC FEDERAL GUARANTY INSURANCE CORPORATION
FHA FEDERAL HOUSING AUTHORITY
FNMA FEDERAL NATIONAL MORTGAGE ASSOCIATION
FSA FINANCIAL SECURITY ASSISTANCE
GNMA GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
HUD HOUSING & URBAN DEVELOPMENT
INTEL INTEL GUARANTY
MBIA MUNICIPAL BOND INVESTORS ASSURANCE
MGG MUNICIPAL GOVERNMENT GUARANTEED
ASSET GTY ASSET GUARANTEE
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
35
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1996
SHORT-TERM FIXED INCOME FUND
- --------------------------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
ASSET-BACKED SECURITIES -- 7.5%
Ford Credit Auto Lease Trust,
Series 1995-1, Class A2
6.350%, 10/15/98 $ 117 $ 118
Navistar Financial Corporation
Owner Trust, Series 1995-B, Class A2
5.940%, 10/15/98 79 80
Premier Auto Trust, Tranche 1993-5,
Class A2
4.220%, 03/02/99 34 34
Union Federal Savings Bank Grantor
Trust, Pool 1993-A, Class A
4.525%, 05/15/99 280 278
--------
Total Asset-Backed Securities
(Cost $509) 510
--------
MORTGAGE-BACKED OBLIGATIONS -- 4.8%
General Electric Capital Mortgage
Services, Series 1994-18, Class A2
7.000%, 08/25/24 53 53
Green Tree Financial Corporation,
Series 1994-1, Class A1
5.600%, 04/15/19 31 32
Green Tree Financial Corporation,
Series 1995-4, Class A1
6.050%, 07/15/25 20 20
Housing Securities Incorporated,
Series 1994-1, Class A5
5.500%, 08/25/03 81 81
Merrill Lynch Mortgage Investors,
Series 1993A, Class A2
6.100%, 02/15/20 46 47
Security Pacific Home Equity Loan
Series1991-2, Class A
8.100%, 06/15/20 11 12
Vanderbilt Mortgage Finance,
Series 1994-A, Class A1
7.000%, 07/10/19 75 76
--------
Total Mortgage-Backed Obligations
(Cost $320) 321
--------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 20.7%
Federal Home Loan Mortgage
Corporation, REMIC, Series 1190,
Class F
7.500%, 09/15/18 3 3
Federal Home Loan Mortgage
Corporation, REMIC, Series 1215,
Class E
6.750%, 02/15/04 52 52
- --------------------------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000)/SHARES (000)
- --------------------------------------------------------------------------------
Federal Home Loan Mortgage
Corporation, REMIC, Series 1306,
Class G
7.800%, 05/15/12 $ 42 $ 43
Federal Home Loan Mortgage
Corporation, REMIC, Series 1452
Class G
6.500%, 08/15/07 502 501
Federal Home Loan Mortgage
Corporation, REMIC, Series 1464,
Class BC
6.100%, 04/15/14 250 250
Federal Home Loan Mortgage
Corporation, REMIC, Series 1607,
Class B
4.350%, 06/15/03 -- 1
Federal National Mortgage Association,
REMIC, Series 1989-85, Class D
7.600%, 05/25/18 29 29
Federal National Mortgage Association,
REMIC, Series 1991-137, Class E
8.050%, 01/25/20 31 32
Federal National Mortgage Association,
REMIC, Series 1991-165, Class H
7.500%, 04/25/20 30 31
Federal National Mortgage Association,
REMIC, Series 1991-55, Class E
7.500%, 02/25/05 19 20
Federal National Mortgage Association,
REMIC, Series 1992-131, Class EA
6.500%, 03/25/17 82 82
Federal National Mortgage Association,
REMIC, Series 1992-37, Class PC
6.000%, 03/25/15 87 87
Federal National Mortgage Association,
REMIC, Series G92-35, Class BA
4.000%, 01/25/18 248 245
Federal National Mortgage Association,
REMIC, Series G92-42, Class C
7.000%, 09/25/19 20 21
--------
Total U.S. Government Agency Obligations
(Cost $1,396) 1,397
--------
TAXABLE MUNICIPAL BONDS -- 62.8%
Baltimore County, Maryland,
Mortgage RB, GNMA
7.000%, 01/20/00 35 35
Bell County, Texas, RB Weekly
Floater (LOC)
6.200%, 12/01/19 (A) 350 350
Bryon, Texas Higher Education
Authority, Allen Academy,
Series B, RB
6.500%, 12/01/99 50 50
36
<PAGE>
- --------------------------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
City of Morgantown, Kentucky RB,
Weekly Floater (LOC)
6.200%, 12/01/99 (B) $200 $ 200
Dallas County, Texas Housing
Finance Corporation, Single Family
Mortgage, RB
6.625%, 12/01/13 160 153
Dauphin County, General Authority,
Tressler Project, Series B, Optional
Put 09/01/96 @ 100 RB
7.000%, 09/01/10 260 260
Dove Valley, Arapahoe County,
Colorado Unlimited Tax General
Obligation (Taxable) 6.000%
11/1/2020 Mandatory (LOC)
Put 11/1/97 @ 100
6.000%, 11/01/20 300 300
Fairfax County, Virginia,
Redevelopment and Housing
Authority Bond, GNMA
7.875%, 09/20/99 125 128
5th Ave Housing, Indiana
Development RB, FNMA
8.100%, 01/01/03 60 61
Hillard, Ohio Housing Development
Corporation, Series 1995B, RB, FHA
7.750%, 01/01/97 35 35
Indianola, Mississippi Housing
Development, Section 8 Eastover
Apartments, MBIA/FHA
6.600%, 01/01/99 90 90
Kansas City, Kansas Sewer Revenue
Bond, AMBAC
8.375%, 05/01/01 100 102
Lake Mills, Iowa Lake Mills Investors
Ltd, First Mortgage Bonds Mercy
Health Center, Series 1995
7.150%, 11/01/98 235 234
7.050%, 11/01/97 215 215
Lewiston, Maine Multi-Family
Housing, RB, FNMA/FHA
6.450%, 02/15/97 20 20
Massachusetts State Housing Finance
Agency, Series C, RB, FHA,
Pre-refunded @ 102
10.900%, 08/01/97 (C) 145 150
Mesquite, Texas Health Facilities, RB
6.625%, 02/15/97 130 130
Moorhead, Mississippi Housing
Development, Section 8 Moorhead
Manor, Series A, RB, MBIA/FHA
6.600%, 07/01/97 30 30
6.600%, 07/01/98 30 30
6.600%, 07/01/99 35 35
- --------------------------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
Passaic County, New Jersey Waste
Utility, RB, MBIA
6.250%, 09/03/97 $246 $ 247
Prince Georges County, Maryland
Housing RB, GNMA
5.750%, 10/20/98 45 45
Prince Georges County, Maryland
Housing, RB, GNMA
5.500%, 06/20/98 60 59
Riverside, California Certificate of
Participation, Tyler Mall Parking
10.000%, 04/01/10 400 422
Rome, New York Housing Development
Section 8, Series B, RB, MBIA/FHA
7.750%, 07/01/01 45 45
Sacramento, California Utility
Electric RB
5.250%, 11/15/96 425 425
San Francisco, California
Redevelopment Agency, Series 1995-C,
RB, MBIA/FHA
6.375%, 01/01/00 125 125
Texas State Department of Housing
& Community Affairs, RB
7.250%, 07/01/99 260 263
--------
Total Taxable Municipal Bonds
(Cost $4,235) 4,239
--------
CASH EQUIVALENTS -- 7.7%
SEI Daily Income Trust
Government II Fund 300 300
SEI Daily Income Trust
Treasury II Fund 222 222
--------
Total Cash Equivalents
(Cost $522) 522
--------
Total Investments -- 103.5%
(Cost $6,982) 6,989
--------
Other Assets and Liabilities -- (3.5%)
Investment securities purchased (300)
Interest receivable 89
Receivable due from advisor 4
Administration fees payable (4)
Other assets and liabilities (27)
--------
Total Other Assets and Liabilities, Net (238)
--------
37
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1996
SHORT-TERM FIXED INCOME FUND
- --------------------------------------------------------------------------------
MARKET VALUE
DESCRIPTION (000)
- --------------------------------------------------------------------------------
NET ASSETS:
Capital shares (unlimited
authorization -- $0.001 par
value) based on 675,342
outstanding shares of
beneficial interest $ 6,771
Accumulated net realized loss
on investments (27)
Net unrealized appreciation
on investments 7
--------
Total Net Assets--100.0% $ 6,751
========
Net Assets Value, Offering and
Redemption Price Per Share $ 10.00
========
GO GENERAL OBLIGATION
LOC SECURITIES ARE HELD IN CONNECTION WITH A LETTER OF CREDIT BY A MAJOR
COMMERCIAL BANK
RB REVENUE BOND
REMIC REAL ESTATE MORTGAGE INVESTMENT CONDUIT
THE FOLLOWING ORGANIZATIONS HAVE PROVIDED UNDERLYING CREDIT SUPPORT FOR THE
SECURITIES AS DEFINED IN THE STATEMENT OF NET ASSETS.
AMBAC AMERICAN MUNICIPAL BOND ASSURANCE COMPANY
FHA FEDERAL HOUSING AUTHORITY
FNMA FEDERAL NATIONAL MORTGAGE ASSOCIATION
GNMA GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
MBIA MUNICIPAL BOND INVESTORS ASSURANCE
(A) MANDATORY PUT SECURITY. THE MANDATORY PUT DATE IS SHOWN AS THE MATURITY
DATE ON THE STATEMENT OF NET ASSETS.
(B) VARIABLE RATE SECURITY. THE RATE REPORTED ON THE STATEMENT OF NET ASSETS
IS THE RATE IN EFFECT AS OF OCTOBER 31, 1996.
(C) PRE-REFUNDED SECURITY. THE PRE-REFUNDED DATE IS SHOWN AS THE MATURITY DATE
ON THE STATEMENT OF NET ASSETS.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
SMALLER COMPANIES FUND
- --------------------------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
COMMON STOCKS -- 87.7%
AIR TRANSPORTATION -- 1.0%
Atlantic Southeast Airlines 1,250 $ 26
Midwest Express Holdings* 500 17
--------
43
--------
CREDIT SENSITIVE -- 10.0%
Bank Plus* 2,800 31
Bank United, Class A* 500 13
Credit Acceptance* 2,300 62
Dime Bancorp* 5,000 74
First Alliance 600 16
Glendale Federal Savings Bank* 2,000 37
Lennar 3,700 82
Long Island Bancorp 1,000 30
Triangle Pacific* 3,050 65
--------
410
--------
BUILDING & CONSTRUCTION SUPPLIES -- 0.3%
Miller Industries* 600 14
--------
COMMUNICATIONS EQUIPMENT -- 0.9%
Checkpoint Systems* 1,600 36
--------
CONSUMER -- 12.7%
Baby Superstore* 1,400 38
Damark International* 4,600 41
Genesco* 810 7
Micro Warehouse* 2,900 67
Mohawk Industries* 1,900 46
Robert Mondavi, Class A* 700 20
Rock Bottom Restaurants* 800 8
Service Merchandise* 3,900 23
Sonic* 3,500 80
Sports Authority* 3,375 82
Taco Cabana Incorporated, Class A* 700 4
WestPoint Stevens* 2,900 77
Williams-Sonoma* 1,100 30
--------
523
--------
ENVIRONMENTAL SERVICES -- 0.9%
Philip Environment* 3,500 36
--------
HEALTHCARE -- 1.9%
Gensia Pharmaceutical* 5,500 27
Quorum Health Group* 500 14
Renal Care Group* 500 19
Value Health* 1,100 19
--------
79
--------
HOUSEHOLD FURNITURE & FIXTURES -- 0.2%
Furniture Brands International* 700 9
--------
38
<PAGE>
- --------------------------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
PROCESS INDUSTRIES -- 4.3%
Bowater 1,300 $ 46
PH Glatfelter 2,520 48
NuCo2* 3,350 44
Rayonier 1,000 40
--------
178
--------
ENERGY -- 12.8%
BJ Services* 2,100 94
Benton Oil & Gas* 1,350 33
Devon Energy 3,300 115
Marine Drilling Company* 1,900 26
Parker & Parsley Petroleum 1,500 43
Seacor Holdings* 650 35
Seagull Energy* 2,100 45
Tidewater 1,350 59
United Meridian* 1,500 71
--------
521
--------
SERVICE -- 17.4%
American Radio Systems* 2,000 61
Barnett* 1,850 44
Caribiner International * 800 36
Central Parking 1,900 66
Chancellor, Class A* 950 31
Daisytek International* 1,300 50
Delta & Pine Land 3,690 133
Mail Boxes Etc.* 1,600 33
Paging Network* 2,500 43
Premiere Technologies* 400 6
Henry Schein* 2,300 91
True North Communications 2,000 47
US Freightways 2,500 55
Vanguard Cellular Systems, Class A* 1,300 22
--------
718
--------
TECHNOLOGY -- 24.5%
Ade* 1,200 11
Actel* 4,450 80
Analog Devices* 2,500 65
Ariel* 170 2
CEM* 3,000 29
Camco International 1,000 39
Cytyc* 400 5
Digex * 1,600 18
Envoy* 2,300 85
Geoworks* 1,800 37
HCIA* 700 19
Micrel* 2,500 51
PCD * 5,000 55
PRI Automation* 2,770 98
Rational Software* 3,200 123
- --------------------------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
Sandisk* 4,000 $ 53
Sawtek* 600 18
Siebel Systems* 1,200 65
Sierra Semiconductor* 5,000 65
Sipex* 745 18
Speedfam International* 180 3
Synopsys* 1,500 68
--------
1,007
--------
TESTING LABORATORIES -- 0.8%
Clintrials Research* 900 33
--------
Total Common Stocks
(Cost $3,107) 3,607
--------
COMMERCIAL PAPER -- 12.6%
Northern Trust
5.201%, 11/01/96 $519 519
--------
Total Commercial Paper
(Cost $519) 519
--------
Total Investments -- 100.3%
(Cost $3,626) 4,126
--------
OTHER ASSETS AND LIABILITIES -- (0.3%)
Investment securities purchased (89)
Investment securities sold 82
Receivable due from advisor 2
Administration fees payable (4)
Other assets and liabilities (2)
--------
Total Other Assets and Liabilities, Net (11)
--------
NET ASSETS:
Capital shares (unlimited
authorization -- $0.001 par value)
based on 314,254 outstanding
shares of beneficial interest 3,279
Undistributed net investment loss (9)
Accumulated net realized gain on
investments 345
Net unrealized appreciation
on investments 500
--------
Total Net Assets -- 100.0% $ 4,115
========
Net Asset Value, Offering and
Redemption Price Per Share $ 13.10
========
* NON-INCOME PRODUCING SECURITY
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
39
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1996
INTERNATIONAL EQUITY FUND
- --------------------------------------------------------------------------------
MARKET VALUE
DESCRIPTION SHARES (000)
- --------------------------------------------------------------------------------
FOREIGN COMMON STOCKS -- 95.4%
AUSTRALIA -- 2.3%
M.I.M. Holdings 31,000 $ 40
Mayne Nickless 6,000 40
--------
80
--------
FINLAND -- 1.2%
Valmet `A` 2,600 40
--------
FRANCE -- 3.1%
Carrefour 90 50
Total `B' 700 55
--------
105
--------
GERMANY -- 1.3%
Adidas 550 46
--------
HONG KONG -- 6.8%
Cheung Kong Holdings 5,000 40
Guoco Group 4,000 21
Hong Kong Land 13,000 29
HSBC Holdings 1,200 25
Hutchison Whampoa 6,000 42
Road King Infrastructure* 10,000 7
Shangri-La Asia 18,000 26
Sun Hung Kai Properties 2,000 23
Wharf Holdings 5,000 21
--------
234
--------
ITALY -- 1.3%
Telecom Italia 22,000 46
--------
JAPAN -- 33.3%
Autobac Seven 100 8
Canon 4,000 77
DDI 8 60
Hitachi 7,000 62
Ito Yokado 1,000 50
Matsushita Electric 2,000 32
Minebea 5,000 42
Mitsubishi 5,000 56
Mitsubishi Estate 6,000 75
Mitsubishi Heavy Industries 10,000 77
Mitsubishi Materials 3,000 13
Nippon Telegraph & Telephone 2 14
Nishimatsu Construction 6,000 55
NKK 23,000 58
Nomura Securities 4,000 66
NSK 6,000 40
Sankyo 3,000 74
Shin Etsu Chemical 3,000 52
Sony 600 36
- --------------------------------------------------------------------------------
MARKET VALUE
DESCRIPTION SHARES (000)
- --------------------------------------------------------------------------------
Sumitomo Bank 2,000 $ 35
Suzuki Motor 3,000 31
Teijin 13,000 60
Tokio Marine & Fire Insurance 6,000 66
--------
1,139
--------
MALAYSIA -- 4.5%
Genting Berhad 5,000 37
IOI 4,000 6
Malayan Banking 2,000 20
Sime Darby 7,000 25
Sungei Way Holdings 2,000 11
United Engineers 7,000 55
--------
154
--------
NETHERLANDS -- 8.7%
Aegon 1,158 59
Elsevier 7,000 116
Gucci 800 55
Hunter Douglas 459 33
Polygram 710 33
--------
296
--------
SINGAPORE -- 1.2%
Jurong Ship Yard 2,000 9
Overseas Chinese Banking Foreign 2,800 32
--------
41
--------
SPAIN -- 1.9%
Banco Popular 180 34
Telefonica de Espana 1,500 30
--------
64
--------
SWEDEN -- 7.5%
Astra AB, Series A 2,000 92
Ericsson LM, Series B 4,400 119
Securitas AB, Series B 1,800 47
--------
258
--------
SWITZERLAND -- 6.7%
Adecco 220 62
Roche Holdings 6 46
Sandoz Pharmaceutical 105 122
--------
230
--------
UNITED KINGDOM -- 15.6%
British Biotech* 8,000 29
British Telecommunications 10,900 63
Courtaulds 6,500 48
Dixons Group 9,000 80
40
<PAGE>
- --------------------------------------------------------------------------------
SHARES/ MARKET VALUE
DESCRIPTION FACE AMOUNT (000) (000)
- --------------------------------------------------------------------------------
General Electric 18,100 $ 112
Glaxo Wellcome 5,000 79
National Westminster 8,000 91
Securicor 7,000 32
--------
534
--------
Total Foreign Common Stocks
(Cost $2,966) 3,267
--------
FOREIGN PREFERRED STOCK -- 1.1%
GERMANY -- 1.1%
SAP 275 37
--------
Total Foreign Preferred Stock
(Cost $45) 37
--------
DEMAND DEPOSIT -- 0.7%
UNITED STATES -- 0.7%
Northern Trust
3.500%, 11/01/96 $ 22 22
--------
Total Demand Deposit
(Cost $22) 22
--------
Total Investments -- 97.2%
(Cost $3,033) 3,326
--------
Other Assets and Liabilities -- 2.8%
Foreign currency (Cost $113) 113
Receivable due from advisor 7
Administration fees payable (6)
Other assets and liabilities (17)
--------
Total Other Assets and Liabilities, Net 97
--------
NET ASSETS:
Portfolio shares (unlimited
authorization -- $.001 par value)
based on 288,186 outstanding
shares of beneficial interest 2,935
Undistributed net investment income 39
Accumulated net realized gain on
investments 156
Net unrealized appreciation on investments 293
--------
Total Net Assets-- 100.0% $ 3,423
========
Net Asset Value, Offering and
Redemption Price Per Share $ 11.88
========
* NON-INCOME PRODUCING SECURITY.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
EUROPEAN EQUITY FUND
- --------------------------------------------------------------------------------
MARKET VALUE
DESCRIPTION SHARES (000)
- --------------------------------------------------------------------------------
FOREIGN COMMON STOCKS -- 96.7%
BELGIUM -- 0.1%
G.I.B. Holdings 400 $ 15
--------
DENMARK -- 2.7%
Bang & Olufsen 6,200 230
Novo Nordisk, Series B 1,470 245
--------
475
--------
FINLAND -- 0.7%
Pohjola 6,300 132
--------
FRANCE -- 13.5%
BIC 850 128
Carrefour 480 266
Cetelem 600 128
Cie de Saint Gobain 1,272 172
Grand Optical-Photoservice 1,300 189
Imetal SA 900 140
LVMH Moet Hennessy 950 218
Sanofi 3,040 275
Scor 3,800 146
Seita 4,435 179
SGS-Thomson Microelectronics* 4,200 223
Total Series B 2,400 188
Usinor Sacilor 11,100 165
--------
2,417
--------
GERMANY -- 7.0%
Adidas 1,600 135
BASF 5,520 177
Bayerische Motoren Werke 300 176
Beiersdorf 1,800 90
Hoechst 5,000 188
Siemens 3,000 155
Volkswagen 850 337
--------
1,258
--------
ITALY -- 6.2%
Edison 37,000 220
ENI SPA 30,000 144
Parmalat Finanziaria 216,000 310
Pirelli* 70,000 124
STET 10,000 35
Telecom Italia 130,000 269
--------
1,102
--------
NETHERLANDS -- 10.2%
ABN-Amro Holdings 4,996 282
Aegon 2,534 129
Ahold 4,856 283
ASM Lithography Holdings* 2,100 76
Elsevier 13,000 216
Hunter Douglas 2,000 141
ING Groep 6,600 206
41
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1996
EUROPEAN EQUITY FUND
- --------------------------------------------------------------------------------
MARKET VALUE
DESCRIPTION SHARES (000)
- --------------------------------------------------------------------------------
Koninklijke PTT Nederland 4,784 $ 173
Nutricia Vernigde Bedrijven 1,430 201
Wegener 1,525 128
--------
1,835
--------
NORWAY -- 0.6%
Unitor Ship Services 10,000 110
--------
SPAIN -- 4.6%
Autopistas Cesa 400 5
Banco Popular 1,200 229
Empresa Nacional de Electricidad 3,500 214
Gas Natural 1,000 175
Telefonica de Espana 10,000 201
--------
824
--------
SWEDEN -- 9.9%
Assa Abloy, Series B 13,600 209
Astra AB, Series B 4,460 204
Cardo 7,500 184
Ericsson LM, Series B 8,000 217
Securitas, Series B 6,000 155
Skanska, Series B 5,500 235
Sparbanken Sverige AB, Series A 12,000 190
SSAB, Series A 13,000 189
Trygg-Hansa AB 10,700 194
--------
1,777
--------
SWITZERLAND -- 6.5%
Asea Brown Boveri 160 198
Roche Holdings 35 265
Sandoz Pharmaceutical 340 394
Societe Generale de Surveillance 55 125
Winterthur 290 173
--------
1,155
--------
UNITED KINGDOM -- 34.7%
Abbey National 17,000 177
Albright & Wilson 22,500 70
Associated British Foods 16,000 110
Bass 9,500 122
BAT Industries 11,000 77
BICC 23,090 110
Blue Circle Industries 26,000 169
British Aerospace 9,722 184
British Airways 17,000 153
British Biotech* 15,460 57
British Telecommunications 50,500 292
Commercial Union 11,562 122
Cortaulds 16,000 119
De La Rue 10,000 96
Emap 10,000 116
General Cable* 14,500 50
General Electric 24,000 148
- --------------------------------------------------------------------------------
SHARES/ MARKET VALUE
DESCRIPTION FACE AMOUNT (000) (000)
- --------------------------------------------------------------------------------
Glaxo Wellcome 22,500 $ 353
Granada Group 14,500 209
Grand Metropolitan 14,000 106
Guinness 14,000 100
Hammerson 22,000 137
HSBC Holdings 5,800 122
Lasmo 52,000 181
Logica 10,000 130
Lucas Varity* 19,000 77
Medeva 22,000 95
Morrison Supermarket 32,760 86
Next 18,000 164
Prudential 21,000 159
Redland 19,500 134
Reuters 11,000 137
Rolls Royce 29,500 122
Scottish Power 16,970 87
Securicor 26,845 122
Sedgwick Group 60,520 123
Shell Transportation & Trading 21,000 344
Smiths Industries 7,500 100
Standard Chartered Bank 11,000 119
Sun Alliance Group 27,605 189
Tate & Lyle 15,000 116
Tomkins 32,000 134
Vendome Units 9,700 91
Vodafone Group 20,000 77
Williams Holdings 16,740 99
Wolseley 16,000 124
--------
6,209
--------
Total Foreign Common Stocks
(Cost $13,778) 17,309
--------
FOREIGN PREFERRED STOCKS -- 2.2%
FINLAND -- 0.9%
Nokia AB, Series A 3,400 157
--------
GERMANY -- 1.3%
Rhoen Klinikum 700 83
SAP 1,100 148
--------
231
--------
Total Foreign Preferred Stocks
(Cost $194) 388
--------
DEMAND DEPOSIT -- 0.5%
UNITED STATES -- 0.5%
Northern Trust
3.500%, 11/01/96 $ 97 97
--------
Total Demand Deposit
(Cost $97) 97
--------
42
<PAGE>
- --------------------------------------------------------------------------------
MARKET VALUE
DESCRIPTION (000)
- --------------------------------------------------------------------------------
Total Investments -- 99.4%
(Cost $14,069) $ 17,794
--------
OTHER ASSETS AND LIABILITIES -- 0.6%
Foreign currency (Cost $196) 201
Investment advisory fee payable (4)
Administration fees payable (2)
Other assets and liabilities (87)
--------
Total Other Assets and Liabilities, Net 108
--------
NET ASSETS:
Capital shares (unlimited
authorization -- $.001 par value)
based on 1,689,559 outstanding
shares of beneficial interest 13,947
Undistributed net
investment income 19
Accumulated net realized gain
on investments 206
Net unrealized appreciation on forward
foreign currency contracts, foriegn
currency, and translation of other
assets and liabilities in foreign currency 5
Net unrealized appreciation
on investments 3,725
--------
Total Net Assets -- 100.0% $ 17,902
========
Net Asset Value, Offering and
Redemption Price Per Share $ 10.60
========
*NON-INCOME PRODUCING SECURITY
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
INTERNATIONAL SMALL CAP EQUITY FUND
- --------------------------------------------------------------------------------
MARKET VALUE
DESCRIPTION SHARES (000)
- --------------------------------------------------------------------------------
FOREIGN COMMON STOCKS -- 90.3%
AUSTRALIA -- 2.1%
Adelaide Brighton 377,983 $ 494
Capral Aluminum 153,912 458
Foodland Associated 60,632 262
McPherson's* 123,203 313
Savage Resources 748,277 741
Savage Resources Warrants* 21,548 5
--------
2,273
--------
AUSTRIA -- 1.3%
Austria Mikro Systeme
International 1,344 86
Wolford 9,656 1,274
--------
1,360
--------
BELGIUM -- 0.2%
Quick Restaurants 3,576 239
--------
DENMARK -- 2.2%
Martin Gruppen 13,564 721
Oticon Holding AS, Series A 10,028 1,613
--------
2,334
--------
FINLAND -- 0.9%
Cultor Oy, Series 1* 14,800 678
Cultor Oy, Series 2* 5,000 227
--------
905
--------
FRANCE -- 4.2%
Airfeu SA 6,403 200
Altran Technologies SA 970 290
Brioche Pasquier 1,686 237
CIPE France SA 6,150 755
Deveaux SA 9,562 1,208
Fininfo 1,662 172
Genset ADR* 16,902 294
Grand Optical-Photoservice 3,529 513
Guilbert SA 3,622 576
Jet Multimedia 1,540 205
--------
4,450
--------
GERMANY -- 3.1%
Adidas 4,393 370
Boss (Hugo) 419 506
Cewe Color Holding 2,922 759
Eff-eff Fritz Fuss GmbH 4,962 193
Jil Sander 808 534
Kiekert 17,608 513
Marschollek Lauten 3,190 451
Marschollek Lauten Rights* 3,190 51
--------
3,377
--------
43
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1996
INTERNATIONAL SMALL CAP EQUITY FUND
- --------------------------------------------------------------------------------
MARKET VALUE
DESCRIPTION SHARES (000)
- --------------------------------------------------------------------------------
HONG KONG -- 3.6%
China Overseas Land &
Investment 1,810,000 $ 673
China Resources Development 374,000 421
East Asiatic Company 299,000 35
Four Seas Mercantile 234,000 106
Gold Peak 709,000 440
Grand Hotel Holdings 542,000 228
Harbour Centre 197,000 268
HKR International 517,000 655
Hon Kwok Land Investment 823,900 269
Hong Kong Aircraft Engineering 42,000 107
Jardine International Motor 94,000 118
Liu Chong Hing Bank 131,000 191
Wing Hang Bank 68,000 274
--------
3,785
--------
INDONESIA -- 0.6%
Bukaka Teknik Utama `F' 70,000 59
Clipan Finance `F' 67,500 28
Fastfood Indonesia `F' 31,000 49
Panin Bank `F' 50,000 50
PT Aneka Kimia Ray `F' 144,000 82
Sari Husada `F' 15,000 81
Tempo Scan Pacific `F' 37,500 62
Tigaraksa Satria `F' 72,000 128
Wicaksana Overseas `F' 80,000 93
--------
632
--------
ITALY -- 3.9%
De Rigo ADR* 45,695 497
Gewiss 83,981 1,022
Industria Machine 64,506 256
Industrie Natuzzi Spa ADR 37,400 1,697
Saes Getters 18,761 342
Saes Getters Di Risp 28,557 352
--------
4,166
--------
JAPAN -- 38.6%
Aderans 23,000 558
Aichi 56,000 460
Arcland Sakamoto 40,000 552
Beltecno 35,000 375
Bridgestone 58,000 607
Cesar 75,000 562
Chubu Sekiwa Real Estate 42,000 554
Chuo Warehouse 35,000 366
Circle K 20,000 835
CKD 37,000 292
CSK 19,000 560
Daishowa Paper 75,000 443
Daiwabo Information Systems 26,000 471
Enix 18,700 455
- --------------------------------------------------------------------------------
MARKET VALUE
DESCRIPTION SHARES (000)
- --------------------------------------------------------------------------------
Fuji Machine Manufacturing 24,000 $ 568
Fujitec 40,000 415
H.I.S. 9,900 526
Honma Golf 21,190 419
Ines 42,000 720
Itoki Crebio 61,000 488
Japan Industry Land 21,000 606
Juken Sangyo 47,000 401
Kaneshita Construction 42,000 443
Kansai Sekiwa 37,000 524
Kanto Seino Transportation 24,000 696
Kawasho Lease System 21,500 251
Kawasumi Labs 38,000 454
Kojima* 15,000 451
Maezawa Kaisei 16,000 556
Mars Engineering 9,400 388
Maruco 15,400 636
Maspro Denkoh 24,000 549
Meitec 35,200 724
Ministop 28,000 712
Misumi 16,000 366
Mitsuba Electric 47,000 496
Mitsui High Tec 25,000 506
Mitsui Home 35,000 468
Nichiha 36,000 665
Nichii Gakkan 15,000 725
Nippon Denwa Shset 60,000 654
Nippon Kanzai 21,000 576
Nippon Thompson 89,000 635
Nissin 17,520 479
Nissin Electric 94,000 575
Nitto Electric Works 56,000 970
Nitto Kohki 20,000 659
OSG 89,000 588
Paramount Bed 10,300 712
PS 32,700 532
Ricoh Elemex 52,000 732
Ryoyo Electro 22,000 391
Sakai Chemical Industry 112,000 604
Sakai Moving Service* 10,000 411
Sansei Yusoki 38,000 468
Sanyo Shinpan 7,500 456
Satori Electric 19,000 578
Seijo 20,900 483
Sekiwa Real Estate 42,000 349
Shimachu 19,000 523
Shimadzu 112,000 660
Shin Nikkei 80,000 514
Shinki 23,000 607
Sintokogio 61,000 504
Stamina Foods 5,000 39
Takada Kiko Steel 41,000 357
Takuma 47,000 537
Tanseisha 47,000 537
44
<PAGE>
- --------------------------------------------------------------------------------
MARKET VALUE
DESCRIPTION SHARES (000)
- --------------------------------------------------------------------------------
Terumo 70,000 $ 899
Tohoku Misawa Home 35,000 440
Tokai Carbon 131,000 614
Toyo Shutter 80,000 598
Trusco Nakayama 33,000 662
Tsudakoma 94,000 522
Wakita 38,000 484
Xebio 18,700 608
Yamae Hisano 38,000 378
--------
41,178
--------
MALAYSIA -- 1.9%
Cycle and Carr Bin 40,000 231
Hock Hua Bank `F' 56,000 191
IOI Properties 102,000 339
Metacorp 28,000 85
Muhibbah Engineering 38,000 141
Nylex Berhad 120,000 264
Public Finance `F' 135,250 209
RJ Reynolds Berhad 66,000 192
Road Builder 71,000 365
--------
2,017
--------
NETHERLANDS -- 3.0%
Aalberts Industries 3,999 469
Gucci 32,136 2,201
IHC Caland 9,827 549
--------
3,219
--------
NORWAY -- 4.1%
Hitec AS* 114,781 389
NCL Holdings* 463,612 960
Nera AS 15,355 553
Norman Data Defence* 15,998 309
Sensonor AS* 32,141 232
Sysdeco Group AS* 54,550 163
System Etiketterin 44,218 631
Tomra Systems 78,910 1,120
--------
4,357
--------
PHILIPPINES -- 0.2%
Bacnotan Consolidated 7,500 31
First Philippine Holdings 69,533 140
Union Bank of Philippines* 35,880 41
--------
212
--------
SINGAPORE -- 1.6%
Amtek Engineering 159,000 277
Courts Singapore 120,000 159
GP Batteries International 80,000 232
Haw Par Brothers International 71,000 144
Haw Par Brothers International
Warrants* 7,600 6
- --------------------------------------------------------------------------------
MARKET VALUE
DESCRIPTION SHARES (000)
- --------------------------------------------------------------------------------
Hong Leong Finance 19,000 $ 58
Jurong Engineering 47,000 140
Singap Tech Ship & Engine 142,000 225
Tiger Medicals 33,000 50
Venture Manufacturing 244,000 444
--------
1,735
--------
SPAIN -- 0.3%
Cortefiel 13,000 363
--------
SWEDEN -- 2.3%
Elekta Instrument AB, Series B 10,544 375
Hoganas AB, Series B 21,910 678
Kalmar 32,615 507
Sintercast, Series A* 22,257 700
Trio* 47,015 201
--------
2,461
--------
SWITZERLAND -- 0.5%
Fust 1,091 265
Kardex PC 1,077 313
--------
578
--------
THAILAND -- 0.4%
Hana Microelectric `F' 29,000 147
Regional Container Line `F' 6,600 69
Robinson Department Store `F' 23,000 39
Serm Suk `F' 5,640 116
Srithai Superware 11,200 57
--------
428
--------
UNITED KINGDOM -- 15.3%
Albright & Wilson 55,968 175
Allied Colloids 37,312 88
Alumasc Group 47,488 263
Amersham International 12,126 206
Applied Distribution Group 93,280 104
Argos 39,130 491
Ashtead Group 66,404 252
Associated British Ports 62,218 275
Azlan Group 8,100 96
Baynes (Charles) 130,592 283
BBA Group 79,288 462
Bunzl 93,280 360
Capital Group 20,300 137
Capital Shopping Centres 51,820 286
Charter 16,324 217
Compass Group 37,312 370
Courtaulds Textile 30,316 138
Cowie Group 86,052 503
Daily Mail & General Trust A 16,044 349
Dalgety 46,640 236
Devro International 71,826 311
Fairey Group 40,717 453
45
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1996
INTERNATIONAL SMALL CAP EQUITY FUND
- --------------------------------------------------------------------------------
MARKET VALUE
DESCRIPTION SHARES (000)
- --------------------------------------------------------------------------------
Firstbus 108,417 $ 322
Forth Ports 34,980 357
General Cable* 120,000 418
Glynwed International 65,804 377
Great Portland Estates 35,446 109
Henlys 40,950 385
Hepworth 55,968 270
Ibstock 326,480 321
ISA International 93,280 316
Laird Group 46,640 349
London Clubs 83,020 426
MFI Furniture 153,044 501
Mirror Group 96,731 366
Misys 24,604 363
Pillar Property Investment 155,544 497
Rotork 75,977 342
Rugby Group 111,936 184
Scapa Group 53,170 223
Securicor 80,361 364
S.I.G. 98,178 411
Smith (David S) Holding 77,237 395
Spirax-Sarco Engineering 37,312 445
Stagecoach Holdings 56,701 524
Staveley Industries 55,968 189
Trinity Holdings 76,676 324
United News & Media 23,880 262
Vickers 103,636 489
Vitec Group 35,376 404
Vosper Thornycroft 20,382 274
--------
16,262
--------
Total Foreign Common Stocks
(Cost $91,736) 96,331
--------
FOREIGN PREFERRED STOCKS -- 5.9%
GERMANY -- 5.9%
Berentzen-Gruppe 32,946 1,191
Fielmann 54,097 2,252
Hach 791 319
Mobel Walther 18,333 1,134
Puma 22,882 677
Rhone Klinikum 3,574 423
Sto Vorzug 561 273
--------
6,269
--------
Total Foreign Preferred Stocks
(Cost $5,842) 6,269
--------
COMMON STOCK -- 0.1%
UNITED STATES -- 0.1%
PixTech* 33,724 148
--------
- --------------------------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
Total Common Stock
(Cost $340) $ 148
--------
DEMAND DEPOSIT -- 3.3%
UNITED STATES -- 3.3%
Northern Trust
3.500%, 11/01/96 $3,562 3,562
--------
Total Demand Deposit
(Cost $3,562) 3,562
--------
Total Investments -- 99.6%
(Cost $101,480) 106,310
--------
Other Assets and Liabilities -- 0.4%
Investment advisory fee payable (66)
Administration fee payable (10)
Other assets and liabilities 475
--------
Total Other Assets and Liabilities, Net 399
--------
NET ASSETS:
Capital shares (unlimited
authorization -- $.001 par value)
based on 10,709,554 outstanding
shares of beneficial interest 101,643
Undistributed net investment income 1,335
Accumulated net realized loss on
investments (1,100)
Net unrealized appreciation on forward
foreign currency contracts, foriegn
currency, and translation of other assets
and liabilities in foreign currency 1
Net unrealized appreciation on investments 4,830
--------
Total Net Assets -- 100.0% $106,709
========
Net Asset Value, Offering and
Redemption Price Per Share $ 9.96
========
*NON-INCOME PRODUCING SECURITY
ADR AMERICAN DEPOSITORY RECEIPT
F FOREIGN SHARES
PC PARTICIPATING CERTIFICATE
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
46
<PAGE>
EUROPEAN SMALL CAP EQUITY FUND
- --------------------------------------------------------------------------------
MARKET VALUE
DESCRIPTION SHARES (000)
- --------------------------------------------------------------------------------
FOREIGN COMMON STOCKS -- 79.5%
AUSTRIA -- 1.9%
Austria Mikro Systeme International 868 $ 55
Wolford 978 129
--------
184
--------
BELGIUM -- 0.5%
Quick Restaurants 722 48
--------
DENMARK -- 3.7%
Martin Gruppen 1,200 64
Oticon Holding AS, Series A 1,842 296
--------
360
--------
FINLAND -- 1.8%
Cultor Oy, Series 1* 2,900 133
Cultor Oy, Series 2* 990 45
--------
178
--------
FRANCE -- 8.3%
Airfeu SA 1,527 48
Altran Technologies SA 204 61
Brioche Pasquier 481 67
CIPE France SA 1,073 132
Deveaux SA 676 85
Fininfo 332 34
Genset ADR* 3,400 59
Grand Optical-Photoservice 1,155 168
Guilbert SA 830 132
Jet Multimedia 237 32
--------
818
--------
GERMANY -- 5.8%
Adidas 950 80
Biotest 2,000 58
Cewe Color Holding 128 33
Effeff Fritz Fuss GmbH 1,170 46
Marschollek Lauten 720 102
Marschollek Lauten Rights* 720 11
Puma* 8,367 247
--------
577
--------
ITALY -- 6.6%
De Rigo ADR* 7,650 83
Gewiss 11,836 144
Industria Machine 17,000 68
Industrie Natuzzi Spa ADR 3,694 168
Saes Getters 6,350 116
Saes Getters Di Risp 4,000 49
Saes Getters Priv 1,500 22
--------
650
--------
- --------------------------------------------------------------------------------
MARKET VALUE
DESCRIPTION SHARES (000)
- --------------------------------------------------------------------------------
NETHERLANDS -- 4.4%
Aalberts Industries 1,925 $ 226
Gucci 3,100 212
--------
438
--------
NORWAY -- 7.9%
Hitec AS* 24,714 84
NCL Holdings* 99,815 207
Norman Data Defence* 3,600 69
Sensonor AS* 6,681 48
Sysdeco Group AS* 11,363 34
System Etiketterin 7,651 109
Tomra Systems 15,966 227
--------
778
--------
SPAIN -- 0.5%
Cortefiel 1,885 53
--------
SWEDEN -- 5.7%
Elekta Instrument AB, Series B 2,311 82
Hoganas AB, Series B 6,187 191
Kalmar 7,590 118
Sintercast, Series A* 4,090 129
Trio* 10,850 46
--------
566
--------
SWITZERLAND -- 0.8%
Kardex PC 274 80
--------
UNITED KINGDOM -- 31.6%
Albright & Wilson 20,000 63
Allied Colloids 25,000 59
Amersham International 3,000 51
Argos 8,480 106
Assocociated British Ports 6,700 30
BBA Group 14,953 87
Bradford Properties 12,000 46
Bunzl 19,750 76
Capita Group 4,150 28
Capital Shopping Centres 12,500 69
Charter 5,000 67
Compass Group 7,750 77
Courtaulds Textile 7,500 34
Cowie Group 15,433 90
Daily Mail & General Trust A 3,850 84
Dalgety 12,500 63
Devro International 24,200 105
Fairey Group 8,750 97
Forth Ports 6,800 69
General Cable* 56,600 197
Glynwed 13,250 76
Henlys 8,900 84
Hepworth 15,900 77
47
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1996
EUROPEAN SMALL CAP EQUITY FUND
- --------------------------------------------------------------------------------
SHARES/ MARKET VALUE
DESCRIPTION FACE AMOUNT (000) (000)
- --------------------------------------------------------------------------------
Ibstock 108,333 $ 107
Laird Group 9,697 73
London Clubs 19,500 100
MFI Furniture 30,900 101
Mirror Group 13,400 51
Misys 4,400 65
Pillar Property Investment 22,750 73
Rugby Group 40,000 66
Scapa Group 20,000 84
Securicor 21,591 98
S.I.G. 20,900 88
Smith (David W.) Holding 15,650 80
Spirax-Sarco Engineering 7,647 91
Stagecoach Holdings 6,163 57
Trinity Holdings 18,400 78
Vickers 13,000 61
Vitec Group 4,800 55
Vosper Thornycroft 3,600 48
--------
3,111
--------
Total Foreign Common Stocks
(Cost $6,371) 7,841
--------
FOREIGN PREFERRED STOCKS -- 12.2%
GERMANY -- 12.2%
Berentzen-Gruppe 5,256 190
Boss (Hugo) 132 159
Fielmann 7,312 304
Hach 135 54
Jil Sander 156 103
Mobel Walther 4,048 250
Rhoen Klinikum 1,172 139
--------
1,199
--------
Total Foreign Preferred Stocks
(Cost $1,035) 1,199
--------
COMMON STOCK -- 0.3%
UNITED STATES -- 0.3%
PixTech* 5,960 26
--------
Total Common Stock
(Cost $60) 26
--------
DEMAND DEPOSIT -- 6.8%
UNITED STATES -- 6.8%
Northern Trust
3.500%, 11/01/96 $675 675
--------
Total Demand Deposit
(Cost $675) 675
--------
- --------------------------------------------------------------------------------
MARKET VALUE
DESCRIPTION SHARES (000)
- --------------------------------------------------------------------------------
Total Investments -- 98.8%
(Cost $8,141) $ 9,741
--------
OTHER ASSETS AND LIABILITIES -- 1.2%
Receivable due from advisor 4
Administration fee payable (8)
Other assets and liabilities 119
--------
Other Assets and Liabilities, Net 115
--------
NET ASSETS:
Capital shares (unlimited
authorization -- $.001 par value)
based on 785,684 outstanding shares
of beneficial interest 7,810
Undistributed net investment income 151
Accumulated net realized gain on
investments 295
Net unrealized appreciation on investments 1,600
--------
Total Net Assets -- 100.0% $ 9,856
========
Net Asset Value, Offering and
Redemption Price Per Share $ 12.54
========
*NON-INCOME PRODUCING SECURITY
ADR AMERICAN DEPOSITORY RECEIPT
PC PARTICIPATING CERTIFICATE
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
EMERGING MARKETS EQUITY FUND
FOREIGN COMMON STOCKS -- 89.7%
ARGENTINA -- 1.4%
Disco* 35,000 $ 788
YPF SA ADR 19,000 432
--------
1,220
--------
BOTSWANA -- 0.8%
KYS* 395,000 141
Sechaba Investment 800,000 549
--------
690
--------
BRAZIL -- 8.1%
Centrais Eletrica* 590,000 649
Cia Energetica de Minas 36,000 1,148
Eletrobras 1,500,000 466
Elevadores Atlas* 68,000 741
Makro Atacadista GDR* 82,000 763
Makro Atacadista GDS* 18,000 167
48
<PAGE>
- --------------------------------------------------------------------------------
MARKET VALUE
DESCRIPTION SHARES (000)
- --------------------------------------------------------------------------------
Multicanal Participacoes ADR* 25,000 $ 350
Telecom Brasileiras ADR 14,040 1,046
Telemig* 208,113 25
TV Filme* 55,000 825
Vale Rio Doce ADR 47,000 999
--------
7,179
--------
CANADA -- 1.1%
Black Swan Gold* 360,000 271
Boron Chemical Warrants* 750,000 699
--------
970
--------
CHILE -- 2.9%
Cervecerias Unidas ADR 43,200 875
Cia Telecomunicacion Chile ADR 8,000 789
Enersis ADR 30,000 881
--------
2,545
--------
COLOMBIA -- 1.1%
Cadenalco ADR 25,000 313
Suramericana 38,386 711
--------
1,024
--------
CROATIA -- 0.8%
Zagrebacka Banka GDR* 38,000 736
--------
GREECE -- 1.1%
Ergo Bank 7,350 432
Goody's 9,800 192
Hellenic Bottling 9,825 317
--------
941
--------
HUNGARY -- 2.0%
Egis Gyogyszer EDR 10,600 625
OTP Bank 14,953 260
OTP Bank GDR* 13,000 224
Richter Gedeon 12,000 646
--------
1,755
--------
INDIA -- 5.5%
Asea Brown Boveri India* 25,000 555
Bajaj Auto 13,750 370
East India Hotels 50,000 766
Grasim Industries 1,300 15
Gujarat Ambuja Cement 59,800 414
Hindalco Industries 12,500 207
Larsen & Toubro 90,000 567
Mahangar Telephone 150,000 955
Oriental Bank of Commerce 206,500 416
State Bank of India 86,000 558
--------
4,823
--------
INDONESIA -- 5.1%
Bank Danamon `F' 200,000 159
Bimantara Citra `F' 503,500 568
- --------------------------------------------------------------------------------
MARKET VALUE
DESCRIPTION SHARES (000)
- --------------------------------------------------------------------------------
Bukaka Teknik Utama `F' 280,000 $ 238
Duta Pertiwi Nusan `F' 435,000 388
Gudang Garam `F' 100,000 399
Panin Bank `F' 197,000 197
PT Enseval Putera `F' 76,000 40
PT Indah Kiat Pulp & Paper `F' 414,245 325
PT Tempo Scan Pacific `F' 180,000 298
Telekomunikasi `F' 1,000,000 1,493
Tjiwi Kimia `F' 26,136 27
Wicaksana Overseas `F' 300,000 348
--------
4,480
--------
ISRAEL -- 1.6%
Blue Square Stores* 100,000 797
Tadiran Telecommunications* 27,000 621
--------
1,418
--------
MALAYSIA -- 16.4%
Amway (Malaysia)* 60,000 359
Berjaya Sports 500,000 1,880
DCB Holdings 220,000 753
Ekran Berhad* 240,000 1,007
Gadek 120,000 998
Land and General 150,000 327
Magnum 400,000 690
Malayan Banking 135,000 1,336
Malaysian Resources 135,000 518
MBF Capital 500,000 689
Perusahaan Otomobil 150,000 950
Resorts World Berhad 120,000 689
RJ Reynolds Berhad 180,000 524
Sime Darby 200,000 709
Telekom Malaysia 120,000 1,059
UMW Holdings Berhad 160,000 735
United Engineers 160,000 1,267
--------
14,490
--------
MEXICO -- 8.5%
Corporacion Geo SA ADR* 8,750 158
Corporacion Geo SA GDS* 11,250 208
Empaques Ponderosa* 1,128,000 496
Empresas Ica Sociedad
Controladora ADR 71,000 923
Grupo Fernandez Editores,
Series B* 1,500,000 337
Grupo Financiero Bancomer,
Series B* 1,265,000 542
Grupo Financiero Bancomer,
Series L* 50,555 17
Grupo Industria Bimbo,
Series A 105,000 527
Grupo Industria Saltillo,
Series A 200,000 585
49
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1996
EMERGING MARKETS EQUITY FUND
- --------------------------------------------------------------------------------
MARKET VALUE
DESCRIPTION SHARES (000)
- --------------------------------------------------------------------------------
Industrias Campos Hermanos* 193,000 $ 601
Nacional de Drogas, Series B 20,000 63
Nacional de Drogas, Series L 276,000 793
Sigma Alimentos, Series B 60,000 528
Telefonos de Mexico ADR,
Series L 57,000 1,739
--------
7,517
--------
PAKISTAN -- 0.5%
Engro Chemicals 110,000 376
Pakistan Telecom* 699 52
--------
428
--------
PERU -- 1.1%
CPT Telefoncia del Peru ADS 10,000 206
CPT Telefonica del Peru, Series B 347,685 736
--------
942
--------
PHILIPPINES -- 2.1%
Ayala Land, Series B 168,000 179
Ayala, Series B 120,000 114
Bacnotan Consolidated 37,714 158
Belle Corporation* 2,100,000 560
First Philippine Holdings 99,840 202
Manila Electric 31,200 230
Metro Bank & Trust 8,750 193
Philippine Long Distance 2,000 120
Philippine National Bank 7,000 81
--------
1,837
--------
POLAND -- 1.5%
Bank Przemyslowo 8,420 584
Bank Rozwoju Eksportu 8,500 253
Bydgosk Fabryka Kabli* 32,500 227
Elektrim Spolka Akeyjna 32,000 268
--------
1,332
--------
PORTUGAL -- 1.5%
Banco Portugal de Invest 340 4
Barbosa E Almeida 13,332 270
Cimentos de Portugal 9,890 208
Jeronimo Martins 4,000 365
Semapa 24,000 359
TVI - Televisao Industries* 31,680 95
--------
1,301
--------
SOUTH AFRICA -- 10.1%
Anglo American Gold Investment 16,100 1,404
Anglovaal, Series N 23,500 719
Cadbury Schwepes SA 33,500 522
DeBeers Centenary Linked Units 47,850 1,413
Fedsure Holdings 80,000 531
Malbak 151,500 717
- --------------------------------------------------------------------------------
MARKET VALUE
DESCRIPTION SHARES (000)
- --------------------------------------------------------------------------------
Metropolitian Life 29,000 $ 495
Rembrandt Group 79,000 691
Rustenburg Platinum Holdings 32,900 510
Smith Foods 40,750 626
South African Brewery 31,300 814
Southern Life 43,000 465
--------
8,907
--------
SOUTH KOREA -- 4.1%
Daesung Industrial 3,300 228
Daesung Industrial New 2,077 134
Dong-Ah Construction 6,120 176
Dong-Ah Construction ADR* 1,338 19
Dong-Ah Construction EDR* 15,186 216
Dong-Ah Construction New* 539 14
Hyundai Engineering 13,428 390
Korea Electric Power 15,500 457
LG Information & Communication 1,600 163
Pohang Iron & Steel ADR 11,000 228
Samchully 4,000 328
Samsung Display Devices 2,600 164
Samsung Electronics GDR 1/2
Voting New* 335 15
Samsung Electronics GDR 20,256 436
Samsung Electronics GDS* 1,237 57
Samsung Electronics
Non-voting GDS* 6,104 127
Shinhan Bank 19,836 391
Sungmi Telecom 220 48
--------
3,591
--------
TAIWAN -- 2.8%
Asia Cement GDS 46,031 990
China Steel 41,000 795
President Enterprises GDS* 47,530 737
--------
2,522
--------
THAILAND -- 6.1%
Advanced Info Service `F' 100,000 1,357
Dhana Siam Finance &
Securities `F' 40,000 106
Electricity Generating `F' 138,000 401
Finance One `F' 105,000 297
Krung Thai Bank `F' 200,000 541
PTT Exploration `F' 89,500 1,285
Siam Commercial Bank `F' 80,000 728
Srithai Superware `F' 50,000 253
Thai Farmers Bank `F' 60,000 459
Thai Farmers Bank Warrants* `F' 7,500 11
--------
5,438
--------
50
<PAGE>
- --------------------------------------------------------------------------------
SHARES/ MARKET VALUE
DESCRIPTION FACE AMOUNT (000)(1) (000)
- --------------------------------------------------------------------------------
TURKEY -- 1.9%
Ardem 3,000,000 $ 460
Hurriyet Gazetecilik* 2,800,000 143
Kerevitas Gida Sanayii* 2,600,000 170
T Siemens* 1,000,000 270
T Sise Cam* 3,018,260 301
Vakif Fin Kiralama 7,200,000 314
--------
1,658
--------
UNITED KINGDOM -- 0.6%
Antofagasta Holdings 90,000 520
--------
UNITED STATES -- 1.0%
Mauritius Fund* 64,000 512
Oryx Fund* 35,000 368
--------
880
--------
Total Foreign Common Stocks
(Cost $75,163) 79,144
--------
FOREIGN PREFERRED STOCKS -- 7.2%
BRAZIL -- 7.2%
Brasmotor 900,000 306
CIA Lorenz 15,750,000 322
Dixie Toga 1,050,000 787
Eletrobras 1,500,000 486
Ind Bebidas Antartica 3,220 439
Metalurgica Schulz 9,400,000 101
OSA 98,000,000 715
Telerj* 8,626,000 831
Unibanco 22,846,000 634
Usiminas Gerais 915,200,000 962
Weg 1,700,000 770
--------
6,353
--------
Total Foreign Preferred Stocks
(Cost $6,096) 6,353
--------
FOREIGN CONVERTIBLE BONDS -- 2.1%
INDONESIA -- 0.0%
Modernland Realty
6.000%, 01/06/03 20 21
--------
TAIWAN -- 2.1%
Far East Department Stores
3.000%, 07/06/01 $661 707
Nanya Plastic
1.750%, 07/19/01 $520 559
Yang Ming Marine
2.000%, 10/06/01 $520 580
--------
1,846
--------
- --------------------------------------------------------------------------------
FACE AMOUNT MARKET
DESCRIPTION (000)(1) VALUE (000)
- --------------------------------------------------------------------------------
Total Foreign Convertible Bonds
(Cost $1,847) $ 1,867
--------
DEMAND DEPOSIT -- 3.8%
UNITED STATES -- 3.8%
Northern Trust
3.500%, 11/01/96 3,375 3,375
--------
Total Demand Deposit
(Cost $3,375) 3,375
--------
Total Investments -- 102.8%
(Cost $86,481) 90,739
--------
OTHER ASSETS AND LIABILITIES -- (2.8%)
Capital share redeemed (3,232)
Foreign currency (Cost $1,289) 1,088
Investment advisory fee payable (27)
Administration fee payable (8)
Other assets and liabilities (281)
--------
Other Assets and Liabilities, Net (2,460)
--------
NET ASSETS:
Capital shares (unlimited
authorization -- $.001 par value)
based on 10,037,483 outstanding
shares of beneficial interest 81,877
Undistributed net investment loss (175)
Accumulated net realized gain on
investments 2,323
Net unrealized appreciation on
forward foreign currency contracts,
foriegn currency, and translation
of other assets and liabilities in
foreign currency 39
Net unrealized appreciation
on investments (2) 4,215
--------
Total Net Assets -- 100.0% $ 88,279
========
Net Asset Value, Offering and Redemption
Price Per Share $ 8.80
========
*NON-INCOME PRODUCING SECURITY
ADR AMERICAN DEPOSITORY RECEIPT
ADS AMERICAN DEPOSITORY SHARES
EDR EUROPEAN DEPOSITORY RECEIPT
F FOREIGN SHARES
GDR GLOBAL DEPOSITORY RECEIPT
GDS GLOBAL DEPOSITORY SHARES
(1) IN LOCAL CURRENCY UNLESS OTHERWISE INDICATED
(2) NET OF $43,000 ACCRUED FOREIGN WITHHOLDING TAXES.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
52
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1996
GLOBAL FIXED INCOME FUND
- --------------------------------------------------------------------------------
FACE AMOUNT MARKET
DESCRIPTION (000)(1) VALUE (000)
- --------------------------------------------------------------------------------
FOREIGN BONDS -- 66.9%
CANADA -- 9.1%
Government of Canada
8.750%, 12/01/05 10,000 $ 8,677
9.000%, 12/01/04 5,700 5,006
--------
13,683
--------
DENMARK -- 8.5%
Kingdom of Denmark
7.000%, 12/15/04 28,000 4,941
8.000%, 03/15/06 42,400 7,846
--------
12,787
--------
FINLAND -- 4.7%
Republic of Finland
8.000%, 04/07/03 UK 4,200 6,979
--------
GERMANY -- 5.8%
Deutschland Republic
5.250%, 10/20/98 (2) 6,800 4,628
Westdeutsche Landesbank
6.250%, 09/15/03 6,000 4,053
--------
8,681
--------
ITALY -- 10.5%
European Bank Reconstruction &
Development
9.750%, 07/28/00 7,500,000 5,375
European Investment Bank
9.600%, 01/26/01 5,000,000 3,580
Republic of Italy
9.500%, 02/01/01 9,500,000 6,742
--------
15,697
--------
JAPAN -- 11.3%
Government of Japan
7.200%, 12/20/00 590,000 6,386
3.600%, 12/22/03 (2) 515,000 4,939
4.100%, 06/21/04 570,000 5,627
--------
16,952
--------
SPAIN -- 4.3%
Government of Spain
8.400%, 04/30/01 780,000 6,434
--------
SWEDEN -- 5.8%
Kingdom of Sweden
10.250%, 05/05/00 31,000 5,331
13.000%, 06/15/01 17,700 3,384
--------
8,715
--------
- --------------------------------------------------------------------------------
FACE AMOUNT MARKET
DESCRIPTION (000)(1) VALUE (000)
- --------------------------------------------------------------------------------
UNITED KINGDOM -- 6.4%
Abbey National
8.000%, 04/02/03 2,000 $ 3,301
United Kingdom Treasury
7.500%, 12/07/06 2,500 4,033
8.500%, 07/16/07 1,300 2,240
--------
9,574
--------
UNITED STATES -- 0.5%
International Bank for Reconstruction
& Development
9.750%, 01/23/16 530 679
--------
Total Foreign Bonds
(Cost $96,285) 100,181
--------
FOREIGN CURRENCY OPTION -- 0.1%
JAPAN -- 0.1%
Japanese Yen Put*
Strike 112.97, 04/23/97 7,400 130
--------
Total Foreign Currency Option
(Cost $94) 130
--------
CORPORATE OBLIGATIONS -- 1.7%
UNITED STATES -- 1.7%
General Electric Capital
8.125%, 02/23/07 2,370 2,592
--------
Total Corporate Obligations
(Cost $2,525) 2,592
--------
U.S. TREASURY OBLIGATIONS -- 27.9%
U.S. Treasury Bond
8.500%, 02/15/20 2,270 2,731
7.125%, 02/15/23 2,830 2,961
U.S. Treasury Notes
5.750%, 09/30/97 7,300 7,318
5.500%, 11/15/98 5,410 5,382
6.375%, 05/15/99 2,100 2,125
7.125%, 09/30/99 3,130 3,229
6.125%, 09/30/00 2,970 2,979
6.375%, 09/30/01 3,600 3,640
7.500%, 11/15/01 2,090 2,214
6.500%, 08/15/05 1,900 1,920
6.875%, 05/15/06 3,620 3,749
7.000%, 07/15/06 3,500 3,655
--------
Total U.S. Treasury Obligations
(Cost $41,081) 41,903
--------
52
<PAGE>
- --------------------------------------------------------------------------------
FACE AMOUNT MARKET
DESCRIPTION (000)(1) VALUE (000)
- --------------------------------------------------------------------------------
DEMAND DEPOSIT -- 0.7%
UNITED STATES -- 0.7%
Northern Trust
3.500%, 11/01/96 1,012 $ 1,012
--------
Total Demand Deposit
(Cost $1,012) 1,012
--------
Total Investments -- 97.3%
(Cost $140,997) 145,818
--------
OTHER ASSETS AND LIABILITIES -- 2.7%
Interest receivable 4,017
Investment advisory fee payable (46)
Administration fee payable (13)
Other assets and liabilities 141
--------
Other Assets and Liabilities, Net 4,099
--------
NET ASSETS:
Capital shares (unlimited
authorization -- $.001 par
value) based on 13,317,750
outstanding shares of beneficial interest 137,402
Undistributed net investment income 5,297
Accumulated net realized gain
on investments 3,250
Net unrealized depreciation on
forward foreign currency contracts,
foriegn currency, and translation
of other assets and liabilities in
foreign currency (853)
Net unrealized appreciation on investments 4,821
--------
Total Net Assets -- 100.0% $149,917
========
Net Asset Value, Offering and
Redemption Price Per Share $ 11.26
=========
*NON-INCOME PRODUCING SECURITY
UK BRITISH POUND STERLING
(1) IN LOCAL CURRENCY UNLESS OTHERWISE INDICATED
(2) SECURITIES SEGREGATED TO COLLATERALIZE FORWARD EXCHANGE CONTRACTS WITH
AN AGGREGATE MARKET VALUE OF $9,566,542.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
INTERNATIONAL FIXED INCOME FUND
- --------------------------------------------------------------------------------
FACE MARKET VALUE
DESCRIPTION AMOUNT (000)(1) (000)
- --------------------------------------------------------------------------------
FOREIGN BONDS -- 96.1%
CANADA -- 11.2%
British Columbia
9.000%, 06/21/04 500 $ 433
Government of Canada
8.750%, 12/01/05 1,200 1,041
Providence of Ontario
7.500%, 01/19/06 1,125 892
--------
2,366
--------
DENMARK -- 11.2%
Kingdom of Denmark
7.000%, 12/15/04 4,000 706
8.000%, 03/15/06 (2) 9,000 1,665
--------
2,371
--------
GERMANY -- 13.9%
African Development Bank
7.250%, 10/21/99 600 427
Deutschland Bundesrepublik
7.250%, 10/21/02 700 506
German Unity Fund
8.000%, 01/21/02 700 522
KFW International Finance
7.250%, 12/03/97 1,050 721
LKB Baden Wurttenberg
6.625%, 08/20/03 1,100 762
--------
2,938
--------
ITALY -- 12.9%
European Investment Bank
9.600%, 01/26/01 400,000 286
European Bank for Reconstruction
& Development
9.750%, 07/28/00 1,000,000 717
Republic of Italy
10.500%, 11/01/00 1,200,000 875
9.500%, 02/01/01 1,225,000 869
--------
2,747
--------
JAPAN -- 19.1%
Asian Development Bank
5.000%, 02/05/03 40,000 410
Government of Japan
7.200%, 12/20/00 (2) 95,000 1,028
3.600%, 12/22/03 110,000 1,055
4.100%, 06/21/04 100,000 987
Japan Development Bank
5.000%, 10/01/99 15,000 146
World Bank
4.750%, 12/20/04 40,000 411
--------
4,037
--------
SPAIN -- 5.3%
Government of Spain
8.400%, 04/30/01 135,000 1,114
--------
SWEDEN -- 7.7%
Kingdom of Sweden
10.250%, 05/05/00 3,900 671
13.000%, 06/15/01 5,000 956
--------
1,627
--------
53
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1996
INTERNATIONAL FIXED INCOME FUND
- --------------------------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000)(1) (000)
- --------------------------------------------------------------------------------
UNITED KINGDOM -- 14.8%
Abbey National
8.000%, 04/02/03 520 $ 858
British Telecom PLC
7.125%, 09/15/03 410 656
Halifax 6.5% 2/16/04
6.500%, 02/16/04 500 760
United Kingdom Treasury
8.500%, 07/16/07 500 862
--------
3,136
--------
Total Foreign Bonds
(Cost $19,468) 20,336
--------
FOREIGN CURRENCY OPTION -- 0.1%
Japanese Yen Put*
Strike 112.97, 04/23/97 1,100 19
--------
Total Foreign Currency Option
(Cost $14) 19
--------
DEMAND DEPOSIT -- 1.3%
UNITED STATES -- 1.3%
Northern Trust
3.500%, 11/01/96 274 274
--------
Total Demand Deposit
(Cost $274) 274
--------
Total Investments -- 97.5%
(Cost $19,756) 20,629
--------
OTHER ASSETS AND LIABILITIES -- 2.5%
Interest receivable 638
Investment advisory fee payable (3)
Administration fee payable (6)
Other assets and liabilities (103)
--------
Other Assets and Liabilities, Net 526
--------
NET ASSETS:
Capital shares (unlimited
authorization -- $.001 par value)
based on 1,872,027 outstanding
shares of beneficial interest 18,224
Undistributed net investment income 1,144
Accumulated net realized gain on
investments 1,065
Net unrealized depreciation on
forward foreign currency contracts,
foriegn currency, and translation of
other assets and liabilities in
foreign currency (151)
Net unrealized appreciation on investments 873
--------
Total Net Assets -- 100.0% $ 21,155
========
Net Asset Value, Offering and
Redemption Price Per Share $ 11.30
========
*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 $2,693,607.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
EMERGING MARKETS DEBT FUND
- --------------------------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000)(1) (000)
- --------------------------------------------------------------------------------
FOREIGN BONDS -- 81.7%
ARGENTINA -- 17.9%
Government of Argentina FRN
6.625%, 03/31/05 $10,878 $ 8,961
6.438%, 03/31/23 2,200 1,592
Government of Argentina
5.250%, 03/31/23 13,100 7,778
--------
18,331
--------
BRAZIL -- 24.3%
Government of Brazil
8.000%, 04/15/14 5,350 3,706
5.000%, 04/15/24 7,110 4,248
Government of Brazil FRN
6.688%, 01/01/01 591 568
6.500%, 04/15/06 1,850 1,570
6.563%, 04/15/12 2,200 1,576
6.500%, 04/15/24 5,550 4,072
Government of Brazil MYDFA
6.688%, 09/15/07 5,000 4,181
Petroleo Brazil FRN
10.000%, 10/17/06 5,000 4,959
--------
24,880
--------
BULGARIA -- 1.6%
Government of Bulgaria FRN
6.688%, 07/28/24 3,250 1,629
--------
ECUADOR -- 4.9%
Government of Ecuador
3.250%, 02/28/25 3,500 1,536
Government of Ecuador FRN
6.500%, 02/28/25 1,950 1,275
Government of Ecuador PDI
6.500%, 02/27/15 3,987 2,208
--------
5,019
--------
MEXICO -- 4.4%
Government of Mexico FRN, Series A
6.453%, 12/31/19 500 411
Government of Mexico FRN, Series B
6.391%, 12/31/19 900 740
Government of Mexico FRN, Series D
6.453%, 12/31/19 1,510 1,242
Government of Mexico, Series B
6.250%, 12/31/19 3,000 2,108
--------
4,501
--------
NIGERIA -- 1.7%
Government of Nigeria
6.250%, 11/15/20 2,750 1,708
--------
PANAMA -- 4.7%
Government of Panama FRB
3.424%, 07/17/14 5,000 3,281
54
<PAGE>
- --------------------------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000)(1) (000)
- --------------------------------------------------------------------------------
Government of Panama PDI
6.750%, 07/17/16 $ 2,016 $ 1,495
--------
4,776
--------
PHILIPPINES -- 4.6%
Government of Philippines
FRN, Series B
5.000%, 06/01/08 5,200 4,771
--------
POLAND -- 4.6%
Government of Poland
3.000%, 10/27/24 4,600 2,496
Government of Poland FRN
6.500%, 10/27/24 2,290 2,187
--------
4,683
--------
SOUTH AFRICA -- 1.9%
Republic of South Africa
12.000%, 02/28/05 ZAR 11,000 1,929
--------
VENEZUELA -- 11.1%
Government of Venezuela
6.750%, 03/31/20 500 354
Government of Venezuela FRB
6.500%, 03/31/07 750 622
Government of Venezuela FRN
6.625%, 12/18/07 12,750 10,455
--------
11,431
--------
Total Foreign Bonds
(Cost $78,085) 83,658
--------
LOAN PARTICIPATIONS -- 9.3%
MOROCCO -- 4.9%
Morocco R&C Loan FRN
(Participation: J.P. Morgan) (3)
6.594%, 01/01/09 6,350 5,024
--------
RUSSIA -- 4.4%
Russian Loan Agreement (2)
(Participation: J.P. Morgan)(3) 6,200 4,534
--------
Total Loan Participations
(Cost $8,231) 9,558
--------
FOREIGN PROMISSARY NOTES -- 3.0%
Government of Nigeria
8.000%, 01/05/10 6,200 3,110
--------
Total Foreign Promissary Notes
(Cost $2,858) 3,110
--------
- --------------------------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000)(1) (000)
- --------------------------------------------------------------------------------
DEMAND DEPOSIT -- 4.1%
UNITED STATES -- 4.1%
Northern Trust
3.500%, 11/01/96 $4,152 $ 4,152
--------
Total Demand Deposit
(Cost $4,152) 4,152
--------
Total Investments -- 98.1%
(Cost $93,326) 100,478
--------
OTHER ASSETS AND LIABILITIES -- 1.9%
Interest receivable 1,734
Investment securities sold 1,156
Investment advisory fee payable (85)
Administration fee payable (9)
Other assets and liabilities (843)
--------
Other Assets and Liabilities, Net 1,953
--------
NET ASSETS:
Capital shares (unlimited
authorization -- $0.001 par
value) based on 7,668,266
outstanding shares of beneficial interest 79,964
Undistributed net investment income 6,592
Accumulated net realized gain on
investments 8,728
Net unrealized depreciation on
foreign currency translation of other
assets and liabilities in foreign currency (5)
Net unrealized appreciation on investments 7,152
--------
Total Net Assets -- 100.0% $102,431
========
Net Asset Value, Offering and
Redemption Price Per Share $ 13.36
========
FRB FLOATING RATE BOND
FRN FLOATING RATE NOTE
MYDFA MULTI-YEAR DEPOSIT FINANCE AGREEMENT
PDI PAST DUE INCOME
ZAR SOUTH AFRICAN RAND
(1) IN U.S. DOLLARS UNLESS OTHERWISE INDICATED.
(2) NON-INCOME PRODUCING SECURITY. SECURITY IS IN DEFAULT.
(3) PARTICIPATIONS WERE ACQUIRED THROUGH FINANCIAL INSTITUTIONS INDICATED
PARENTHETICALLY. SEE NOTE. 6.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
55
<PAGE>
STATEMENT OF OPERATIONS (000)
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- FOR THE PERIOD ENDED OCTOBER 31, 1996
<TABLE>
<CAPTION>
--------- --------- ---------- ---------- --------- ------------
SHORT-TERM SHORT-TERM
MUNICIPAL FIXED MUNICIPAL FIXED SMALLER INTERNATIONAL
BOND INCOME BOND INCOME COMPANIES EQUITY
FUND FUND FUND FUND FUND FUND
--------- --------- ---------- ---------- --------- ------------
<S> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME:
Interest $14,073 $42,605 $ 277 $ 418 $ 25 $ 5
Dividends -- -- -- -- 10 46
Less: Foreign taxes withheld -- -- -- -- -- (4)
------- ------- ------ ------ ------ -----
Total Investment Income 14,073 42,605 277 418 35 47
------- ------- ------ ------ ------ -----
EXPENSES:
Investment advisory fees 931 2,411 19 26 34 22
Investment advisory fee reduction (139) (370) (19) (26) (34) (22)
Administration fees 254 656 46 46 38 63
Custodian fees 12 31 -- -- 3 7
Transfer agent fees 20 34 8 9 10 10
Professional fees 77 222 1 2 1 1
Registration & filing fees 52 183 -- -- 1 1
Printing fees 16 44 -- -- -- --
Trustee fees 16 42 -- -- -- --
Pricing fees 20 24 -- -- -- --
Other expenses 14 29 -- -- -- 10
------- ------- ------ ------ ------ -----
Total expenses 1,273 3,306 55 57 53 92
Less: Reimbursement from Advisor -- -- (30) (23) (10) (64)
------- ------- ------ ------ ------ -----
Total Net Expenses 1,273 3,306 25 34 43 28
------- ------- ------ ------ ------ -----
NET INVESTMENT INCOME (LOSS) 12,800 39,299 252 384 (8) 19
------- ------- ------ ------ ------ -----
NET REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS AND FOREIGN
CURRENCY TRANSACTIONS:
Net realized gain (loss) on investments:
Security transactions 3,750 (617) 21 (27) 351 162
In-kind redemption -- -- -- -- -- --
Option transactions -- -- -- -- -- --
Net realized gain (loss) on forward
foreign currency contracts and
foreign currency transactions -- -- -- -- -- 30
Net change in unrealized appreciation
(depreciation) on forward foreign
currency contracts, foreign currency,
and translation of other assets and
liabilities in foreign currency -- -- -- -- -- (9)
Net change in unrealized appreciation
(depreciation) on investments (969) 702 15 -- 364 158
------- ------- ------ ------ ------ -----
NET INCREASE IN NET ASSETS
FROM OPERATIONS $15,581 $39,384 $ 288 $ 357 $ 707 $ 360
======= ======= ====== ====== ====== =====
--------- ------------- --------- -------- ------ -------------
INTERNATIONAL EUROPEAN EMERGING GLOBAL INTERNATIONAL
EUROPEAN SMALL CAP SMALL CAP MARKETS FIXED FIXED
EQUITY EQUITY EQUITY EQUITY INCOME INCOME
FUND (1) FUND FUND FUND FUND FUND
--------- ------------- --------- -------- ------ -------------
<S> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME:
Interest $ 1 $ 194 $ 36 $ 39 $9,437 $1,850
Dividends 17 1,842 218 1,951 -- --
Less: Foreign taxes withheld (5) (216) (25) (120) (148) (32)
------ ------ ---- ------ ------ ------
Total Investment Income 13 1,820 229 1,870 9,289 1,818
------ ------ ---- ------ ------ ------
EXPENSES:
Investment advisory fees 20 1,137 103 994 756 150
Investment advisory fee reduction (14) (150) (103) (268) (60) (83)
Administration fees 3 124 100 110 166 75
Custodian fees 3 197 26 313 135 45
Transfer agent fees 2 15 10 14 17 11
Professional fees 3 41 3 34 50 8
Registration & filing fees 5 22 2 14 30 3
Printing fees 1 8 1 7 10 2
Trustee fees -- 8 1 7 11 2
Pricing fees 2 14 11 13 11 --
Other expenses -- 5 -- 5 8 12
------ ------ ---- ------ ------ ------
Total expenses 25 1,421 154 1,243 1,134 225
Less: Reimbursement from Advisor -- -- (25) -- -- --
------ ------ ---- ------ ------ ------
Total Net Expenses 25 1,421 129 1,243 1,134 225
------ ------ ---- ------ ------ ------
NET INVESTMENT INCOME (LOSS) (12) 399 100 627 8,155 1,593
------ ------ ---- ------ ------ ------
NET REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS AND FOREIGN
CURRENCY TRANSACTIONS:
Net realized gain (loss) on investments:
Security transactions 206 1,581 295 2,393 2,718 919
In-kind redemption -- 1,159 -- -- -- --
Option transactions -- -- -- -- 670 174
Net realized gain (loss) on forward
foreign currency contracts and
foreign currency transactions 31 1,161 33 (584) (2,158) (153)
Net change in unrealized appreciation
(depreciation) on forward foreign
currency contracts, foreign currency,
and translation of other assets and
liabilities in foreign currency 5 (169) 21 54 (391) (203)
Net change in unrealized appreciation
(depreciation) on investments 775 3,160 521 7,045* 209 (354)
------ ------ ---- ------ ------ ------
NET INCREASE IN NET ASSETS
FROM OPERATIONS $1,005 $7,291 $970 $9,535 $9,203 $1,976
====== ====== ==== ====== ====== ======
---------
EMERGING
MARKETS
DEBT
FUND
---------
<S> <C>
INVESTMENT INCOME:
Interest $ 8,798
Dividends --
Less: Foreign taxes withheld --
-------
Total Investment Income 8,798
-------
EXPENSES:
Investment advisory fees 1,134
Investment advisory fee reduction (314)
Administration fees 101
Custodian fees 135
Transfer agent fees 13
Professional fees 25
Registration & filing fees 12
Printing fees 5
Trustee fees 8
Pricing fees 10
Other expenses 4
-------
Total expenses 1,133
Less: Reimbursement from Advisor --
-------
Total Net Expenses 1,133
-------
NET INVESTMENT INCOME (LOSS) 7,665
-------
NET REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS AND FOREIGN
CURRENCY TRANSACTIONS:
Net realized gain (loss) on investments:
Security transactions 10,414
In-kind redemption --
Option transactions --
Net realized gain (loss) on forward
foreign currency contracts and
foreign currency transactions (53)
Net change in unrealized appreciation
(depreciation) on forward foreign
currency contracts, foreign currency,
and translation of other assets and
liabilities in foreign currency 57
Net change in unrealized appreciation
(depreciation) on investments 7,275
-------
NET INCREASE IN NET ASSETS
FROM OPERATIONS $25,358
=======
<FN>
(1) EUROPEAN EQUITY FUND COMMENCED OPERATIONS ON 9/03/96.
*NET OF $43,000 CHANGE IN ACCRUED FOREIGN WITHHOLDING TAXES.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
</FN>
</TABLE>
57
STATEMENT OF CHANGES IN NET ASSETS (000)
================================================================================
MORGAN GRENFELL INVESTMENT TRUST--FOR THE PERIODS ENDED OCTOBER 31,
<TABLE>
<CAPTION>
-------------- ------------- -------------- --------------
SHORT-TERM SHORT-TERM
MUNICIPAL FIXED MUNICIPAL FIXED
BOND INCOME BOND INCOME
FUND FUND FUND (2) FUND (3)
-------------- ------------- -------------- --------------
1996 1995 1996 1995 1996 1995 1996 1995
---- ---- ---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment income (loss) $ 12,800 $ 10,748 $ 39,299 $ 25,635 $ 252 $ 90 $ 384 $ 79
Net realized gain (loss) from
security transactions 3,750 (1,331) (617) 8,122 21 15 (27) --
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 (969) 9,806 702 18,803 15 25 -- 7
-------- -------- -------- -------- ------ ------ ------ ------
Net increase (decrease) in net assets
from operations 15,581 19,223 39,384 52,560 288 130 357 86
-------- -------- -------- -------- ------ ------ ------ ------
Distributions to Shareholders:
Net investment income (12,782) (10,750) (39,300) (25,636) (252) (90) (384) (79)
Net realized gains -- -- (3,091) (31) (15) -- -- --
-------- -------- -------- -------- ------ ------ ------ ------
Total Distributions (12,782) (10,750) (42,391) (25,667) (267) (90) (384) (79)
-------- -------- -------- -------- ------ ------ ------ ------
Capital Share Transactions (1):
Proceeds from shares issued 63,066 92,766 406,477 301,939 7,467 5,282 9,087 4,206
Shares issued in lieu of cash
distributions 10,998 7,570 40,193 20,565 219 74 331 54
Cost of shares repurchased (45,769) (53,428) (179,881) (94,732) (2,299) (1,672) (6,780) (127)
-------- -------- -------- -------- ------ ------ ------ ------
Increase (Decrease) in Net Assets from
Capital Share Transactions 28,295 46,908 266,789 227,772 5,387 3,684 2,638 4,133
-------- -------- -------- -------- ------ ------ ------ ------
Net increase (decrease) in net assets 31,094 55,381 263,782 254,665 5,408 3,724 2,611 4,140
-------- -------- -------- -------- ------ ------ ------ ------
Net Assets:
Beginning of period 221,058 165,677 494,221 239,556 3,724 -- 4,140 --
-------- -------- -------- -------- ------ ------ ------ ------
End of period $252,152 $221,058 $758,003 $494,221 $9,132 $3,724 $6,751 $4,140
======== ======== ======== ======== ====== ====== ====== ======
(1) Capital Share Transactions:
Shares issued 5,794 8,743 39,016 29,571 740 526 908 421
Shares issued in lieu of cash
distributions 1,008 714 3,842 2,007 22 7 33 5
Shares repurchased (4,200) (5,094) (17,233) (9,177) (228) (166) (679) (13)
-------- -------- -------- -------- ------ ------ ------ ------
Net increase (decrease) in capital shares 2,602 4,363 25,625 22,401 534 367 262 413
======== ======== ======== ======== ====== ====== ====== ======
<FN>
(2) SHORT-TERM MUNICIPAL BOND FUND COMMENCED OPERATIONS ON 3/6/95.
(3) SHORT-TERM FIXED INCOME FUND COMMENCED OPERATIONS ON 3/13/95.
(4) SMALLER COMPANIES FUND COMMENCED OPERATIONS ON 6/30/95.
(5) INTERNATIONAL EQUITY FUND COMMENCED OPERATIONS ON 5/15/95.
(6) EUROPEAN EQUITY FUND COMMENCED OPERATIONS ON 9/03/96.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
</FN>
------------- --------------- ----------- --------------
INTERNATIONAL
SMALLER INTERNATIONAL EUROPEAN SMALL CAP
COMPANIES EQUITY EQUITY EQUITY
FUND (4) FUND (5) FUND (6) FUND
------------- --------------- ----------- --------------
1996 1995 1996 1995 1996 1996 1995
---- ---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment income (loss) $ (8) $ 8 $ 19 $ 19 $ (12) $ 399 $ 268
Net realized gain (loss) from
security transactions 351 (6) 162 (6) 206 2,740 (2,666)
Net realized gain (loss) on forward
foreign currency contracts
and foreign currency transactions -- -- 30 79 31 1,161 1
Net change in unrealized appreciation
(depreciation) on forward foreign
currency contracts, foreign currency,
and translation of other assets and
liabilities in foreign currency -- -- (9) 9 5 (169) 160
Net change in unrealized appreciation
(depreciation) on investments 364 136 158 135 775 3,160 (1,776)
------ ------ ------ ------ ------- -------- -------
Net increase (decrease) in net assets
from operations 707 138 360 236 1,005 7,291 (4,013)
------ ------ ------ ------ ------- -------- -------
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income (9) -- (108) -- -- (479) (270)
Net realized gains -- -- -- -- -- -- (1,420)
------ ------ ------ ------ ------- -------- -------
Total Distributions (9) -- (108) -- -- (479) (1,690)
------ ------ ------ ------ ------- -------- -------
CAPITAL SHARE TRANSACTIONS (1):
Proceeds from shares issued 783 2,500 325 2,502 16,896 52,024 33,284
Shares issued in lieu of cash
distributions 9 -- 108 -- -- 458 1,671
Cost of shares repurchased (13) -- -- (1) -- (43,502) (7,133)
------ ------ ------ ------ ------- -------- -------
INCREASE (DECREASE) IN NET ASSETS FROM
CAPITAL SHARE TRANSACTIONS 779 2,500 433 2,501 16,896 8,980 27,822
------ ------ ------ ------ ------- -------- -------
Net increase (decrease) in net assets 1,477 2,638 685 2,737 17,901 15,792 22,119
------ ------ ------ ------ ------- -------- -------
NET ASSETS:
Beginning of period 2,638 -- 2,738 1 1 90,917 68,798
------ ------ ------ ------ ------- -------- -------
End of period $4,115 $2,638 $3,423 $2,738 $17,902 $106,709 $90,917
====== ====== ====== ====== ======= ======== =======
(1) CAPITAL SHARE TRANSACTIONS:
Shares issued 64 250 28 250 1,690 5,092 3,585
Shares issued in lieu of cash
distributions 1 -- 10 -- -- 47 178
Shares repurchased (1) -- -- -- -- (4,102) (738)
------ ------ ------ ------ ------- -------- -------
Net increase (decrease) in capital
shares 64 250 38 250 1,690 1,037 3,025
====== ====== ====== ====== ======= ======== =======
--------- ------------
EUROPEAN EMERGING
SMALL CAP MARKETS
EQUITY EQUITY
FUND FUND
--------- -------------
1995 1996 1995
---- ---- ----
<S> <C> <C> <C>
OPERATIONS:
Net investment income (loss) $ 99 $ 627 $ 292
Net realized gain (loss) from
security transactions 30 2,393 974
Net realized gain (loss) on forward
foreign currency contracts
and foreign currency transactions 28 (584) (86)
Net change in unrealized appreciation
(depreciation) on forward foreign
currency contracts, foreign currency,
and translation of other assets and
liabilities in foreign currency (21) 54 (17)
Net change in unrealized appreciation
(depreciation) on investments 1,079 7,045* (14,288)
------ ------- -------
Net increase (decrease) in net assets
from operations 1,215 9,535 (13,125)
------ ------- -------
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income (10) (332) (119)
Net realized gains -- (1,017) (3,167)
------ ------- -------
Total Distributions (10) (1,349) (3,286)
------ ------- -------
CAPITAL SHARE TRANSACTIONS (1):
Proceeds from shares issued 8,121 33,310 61,891
Shares issued in lieu of cash
distributions 10 1,350 3,286
Cost of shares repurchased (1) (47,855) (12,370)
------ ------- -------
INCREASE (DECREASE) IN NET ASSETS FROM
CAPITAL SHARE TRANSACTIONS 8,130 (13,195) 52,807
------ ------- -------
Net increase (decrease) in net assets 9,335 (5,009) 36,396
------ ------- -------
NET ASSETS:
Beginning of period 1 93,288 56,892
------ ------- -------
End of period $9,336 $88,279 $93,288
====== ======= =======
(1) CAPITAL SHARE TRANSACTIONS:
Shares issued 808 3,766 7,411
Shares issued in lieu of cash
distributions 1 165 365
Shares repurchased -- (5,393) (1,451)
------ ------- -------
Net increase (decrease) in capital
shares 809 (1,462) 6,325
====== ======= =======
<FN>
* NET OF $43,000 CHANGE IN ACCRUED FOREIGN WITHHOLDING TAXES.
</FN>
</TABLE>
58 & 59
<PAGE>
STATEMENT OF CHANGES IN NET ASSETS (000)
================================================================================
MORGAN GRENFELL INVESTMENT TRUST--FOR THE PERIODS ENDED OCTOBER 31,
<TABLE>
<CAPTION>
------------------- ---------------- -----------------
GLOBAL INTERNATIONAL EMERGING
FIXED FIXED MARKETS
INCOME INCOME DEBT
FUND FUND FUND
------------------- ---------------- -----------------
1996 1995 1996 1995 1996 1995
--------- --------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment income $ 8,155 $ 4,888 $ 1,593 $1,222 $ 7,665 $ 5,602
Net realized gain (loss) from
security transactions 3,388 1,380 1,093 434 10,414 (1,684)
Net realized gain (loss) on forward
foreign currency contracts
and foreign currency transactions (2,158) (112) (153) 48 (53) (75)
Net change in unrealized appreciation
(depreciation) on forward foreign
currency contracts, foreign currency,
and translation of other assets and
liabilities in foreign currency (391) (207) (203) 312 57 (42)
Net change in unrealized appreciation
(depreciation) on investments 209 4,323 (354) 861 7,275 (35)
-------- -------- ------- ------- -------- -------
Net increase (decrease) in net assets
from operations 9,203 10,272 1,976 2,877 25,358 3,766
-------- -------- ------- ------- -------- -------
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income (5,023) (1,222) (1,587) (76) (6,316) (447)
Net realized gains (946) -- (283) -- -- (41)
-------- -------- ------- ------- -------- -------
Total Distributions (5,969) (1,222) (1,870) (76) (6,316) (488)
-------- -------- ------- ------- -------- -------
CAPITAL SHARE TRANSACTIONS (1):
Proceeds from shares issued 55,202 82,695 7,725 10,597 67,563 64,746
Shares issued in lieu of cash
distributions 5,007 902 1,681 60 6,316 488
Cost of shares repurchased (52,863) (7,225) (15,960) (1,093) (74,928) (322)
-------- -------- ------- ------- -------- -------
INCREASE (DECREASE) IN NET ASSETS FROM
CAPITAL SHARE TRANSACTIONS 7,346 76,372 (6,554) 9,564 (1,049) 64,912
-------- -------- ------- ------- -------- -------
Net increase (decrease) in net assets 10,580 85,422 (6,448) 12,365 17,993 68,190
-------- -------- ------- ------- -------- -------
NET ASSETS:
Beginning of period 139,337 53,915 27,603 15,238 84,438 16,248
-------- -------- ------- ------- -------- -------
End of period $149,917 $139,337 $21,155 $27,603 $102,431 $84,438
======== ======== ======= ======= ======== =======
(1) CAPITAL SHARE TRANSACTIONS:
Shares issued 5,070 7,804 719 996 5,922 6,391
Shares issued in lieu of cash
distributions 463 94 155 6 587 51
Shares repurchased (4,891) (694) (1,436) (100) (6,847) (31)
-------- -------- ------- ------- -------- -------
Net increase (decrease) in capital shares 642 7,204 (562) 902 (338) 6,411
======== ======== ======= ======= ======== =======
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
60
<PAGE>
FINANCIAL HIGHLIGHTS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST--FOR THE PERIODS ENDED OCTOBER 31,
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
RATIO OF
NET DISTRIBUTIONS NET
NET ASSET NET REALIZED DISTRIBUTIONS FROM RATIO OF INVESTMENT
VALUE INVESTMENT AND FROM NET REALIZED NET ASSET NET ASSETS EXPENSES INCOME/(LOSS)
BEGINNING INCOME/ UNREALIZED INVESTMENT CAPITAL VALUE END TOTAL END OF TO AVERAGE TO AVERAGE
OF PERIOD (LOSS) GAINS (LOSSES) INCOME GAINS OF PERIOD RETURN PERIOD (000) NET ASSETS NET ASSETS
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
- --------------------
MUNICIPAL BOND FUND:
- --------------------
1996 $10.86 $0.60 $ 0.13 $(0.60) $ -- $10.99 6.90% $252,152 0.55% 5.50%
1995 10.37 0.61 0.49 (0.61) -- 10.86 10.90 221,058 0.54 5.75
1994 11.36 0.60 (0.61) (0.60) (0.38) 10.37 (0.15) 165,677 0.54 5.60
1993 10.56 0.67 0.84 (0.67) (0.04) 11.36 14.68 148,022 0.55 5.94
1992(1) 10.00 0.60 0.56 (0.60) -- 10.56 13.42+ 94,700 0.55 6.31
- -------------------
FIXED INCOME FUND:
- -------------------
1996 $10.62 $0.68 $(0.04) $(0.68) $(0.07) $10.51 6.27% $758,003 0.55% 6.52%
1995 9.93 0.70 0.69 (0.70) -- 10.62 14.53 494,221 0.54 6.81
1994 10.95 0.64 (0.91) (0.64) (0.11) 9.93 (2.58) 239,556 0.54 6.22
1993 9.92 0.64 1.03 (0.64) -- 10.95 17.28 147,917 0.55 6.01
1992(2) 10.00 0.06 (0.08) (0.06) -- 9.92 (1.61)+ 25,528 0.55 5.24
- --------------------------------
SHORT-TERM MUNICIPAL BOND FUND:
- --------------------------------
1996 $10.13 $0.54 $0.04 $(0.54) $(0.04) $10.13 5.90% $9,132 0.53% 5.34%
1995(3) 10.00 0.30 0.13 (0.30) -- 10.13 4.39+ 3,724 0.52 4.60
- ------------------------------
SHORT-TERM FIXED INCOME FUND:
- ------------------------------
1996 $10.01 $0.60 $(0.01) $(0.60) $ -- $10.00 6.09% $6,751 0.53% 6.00%
1995(4) 10.00 0.37 0.01 (0.37) -- 10.01 3.82+ 4,140 0.52 5.86
- -----------------------
SMALLER COMPANIES FUND:
- -----------------------
1996 $10.55 $(0.02) $2.61 $(0.04) $ -- $13.10 24.58% $4,115 1.25% (0.23)%
1995(5) 10.00 0.03 0.52 -- -- 10.55 5.50+ 2,638 1.25 0.94
- --------------------------
INTERNATIONAL EQUITY FUND:
- --------------------------
1996 $10.95 $0.11 $1.25 $(0.43) $ -- $11.88 12.70% $3,423 0.90% 0.72%
1995(6) 10.00 0.08 0.87 -- -- 10.95 9.50+ 2,738 0.90 1.55
- ---------------------
EUROPEAN EQUITY FUND:
- ---------------------
1996(7) $10.00 $ -- $0.60 $ -- $ -- $10.60 6.00%+ $17,902 0.90% (0.41)%
- ------------------------------------
INTERNATIONAL SMALL CAP EQUITY FUND:
- ------------------------------------
1996 $ 9.40 $0.03 $ 0.57 $(0.04) $ -- $ 9.96 6.43% $106,709 1.25% 0.35%
1995 10.35 0.03 (0.72) (0.04) (0.22) 9.40 (6.67) 90,917 1.25 0.41
1994(8) 10.00 0.02 0.33 -- -- 10.35 3.50+ 68,798 1.25 0.34
RATIO OF
RATIO OF NET INVESTMENT
EXPENSES INCOME/(LOSS)
TO AVERAGE TO AVERAGE
NET ASSETS NET ASSETS
(EXCLUDING (EXCLUDING
WAIVERS WAIVERS PORTFOLIO AVERAGE
AND AND TURNOVER COMMISSION
REIMBURSEMENTS) REIMBURSEMENTS) RATE RATE*
- ------------------------------------------------------------
<S> <C> <C> <C>
- --------------------
MUNICIPAL BOND FUND:
- --------------------
1996 0.61% 5.44% 66% N/A
1995 0.62 5.67 63 --
1994 0.67 5.47 94 --
1993 0.75 5.74 160 --
1992(1) 0.79 6.07 143 --
- ------------------
FIXED INCOME FUND:
- ------------------
1996 0.61% 6.46% 176% N/A
1995 0.63 6.72 182 --
1994 0.66 6.10 251 --
1993 0.72 5.84 196 --
1992(2) 1.66 4.13 148 --
- -------------------------------
SHORT-TERM MUNICIPAL BOND FUND:
- -------------------------------
1996 1.58% 4.29% 129% N/A
1995(3) 2.16 2.96 62 --
- -----------------------------
SHORT-TERM FIXED INCOME FUND:
- -----------------------------
1996 1.29% 5.24% 124% N/A
1995(4) 2.84 3.54 90 --
- -----------------------
SMALLER COMPANIES FUND:
- -----------------------
1996 2.55% (1.53)% 141% $0.0560
1995(5) 2.28 (0.09) 23 --
- --------------------------
INTERNATIONAL EQUITY FUND:
- --------------------------
1996 3.59% (1.97)% 39% $0.0221
1995(6) 2.73 (0.28) 19 --
- ---------------------
EUROPEAN EQUITY FUND:
- ---------------------
1996(7) 1.40% (0.91)% 5% $0.0324
- ------------------------------------
INTERNATIONAL SMALL CAP EQUITY FUND:
- ------------------------------------
1996 1.38% 0.22% 47% $0.0170
1995 1.48 0.18 62 --
1994(8) 1.67 (0.08) 41 --
<FN>
+ 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) EUROPEAN EQUITY FUND COMMENCED OPERATIONS ON 9/3/96 ALL RATIOS FOR THE
PERIOD HAVE BEEN ANNUALIZED.
(8) INTERNATIONAL SMALL CAP EQUITY FUND COMMENCED OPERATIONS ON 1/3/94. ALL
RATIOS FOR THE PERIOD HAVE BEEN ANNUALIZED.
* AVERAGE COMMISSION RATE PAID PER SHARE FOR SECURITY PURCHASES AND SALES
DURING THE PERIOD. PRESENTATION OF THE RATE IS ONLY REQUIRED FOR FISCAL
YEARS BEGINNING AFTER SEPTEMBER 1, 1995.
</FN>
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
61
<PAGE>
FINANCIAL HIGHLIGHTS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST--FOR THE PERIODS ENDED OCTOBER 31,
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
RATIO OF
NET DISTRIBUTIONS NET
NET ASSET NET REALIZED DISTRIBUTIONS FROM RATIO OF INVESTMENT
VALUE INVESTMENT AND FROM NET REALIZED NET ASSET NET ASSETS EXPENSES INCOME/(LOSS)
BEGINNING INCOME/ UNREALIZED INVESTMENT CAPITAL VALUE END TOTAL END OF TO AVERAGE TO AVERAGE
OF PERIOD (LOSS) GAINS (LOSSES) INCOME GAINS OF PERIOD RETURN PERIOD (000) NET ASSETS NET ASSETS
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
- -------------------------------
EUROPEAN SMALL CAP EQUITY FUND:
- -------------------------------
1996 $11.55 $0.12 $1.03 $(0.12) $(0.04) $12.54 10.06% $9,856 1.25% 0.96%
1995(1) 10.00 0.12 1.44 (0.01) -- 11.55 15.66+ 9,336 1.25 1.25
- -----------------------------
EMERGING MARKETS EQUITY FUND:
- -----------------------------
1996 $ 8.11 $ 0.06 $ 0.75 $(0.03) $(0.09) $ 8.80 10.02% $88,279 1.25% 0.63%
1995 11.00 0.04 (2.29) (0.02) (0.62) 8.11 (21.00) 93,288 1.25 0.44
1994(2) 10.00 (0.01) 1.01 -- -- 11.00 10.00+ 56,892 1.36 (0.12)
- -------------------------
GLOBAL FIXED INCOME FUND:
- -------------------------
1996 $10.99 $0.59 $0.12 $(0.37) $(0.07) $11.26 6.60% $149,917 0.75% 5.39%
1995 9.85 0.35 0.99 (0.20) -- 10.99 13.88 139,337 0.78 5.61
1994(3) 10.00 0.25 (0.40) -- -- 9.85 (1.50)+ 53,915 0.85 5.71
- --------------------------------
INTERNATIONAL FIXED INCOME FUND:
- --------------------------------
1996 $11.34 $0.86 $(0.12) $(0.66) $(0.12) $11.30 6.82% $21,155 0.75% 5.41%
1995 9.94 0.42 1.03 (0.05) -- 11.34 14.66 27,603 0.78 5.51
1994(4) 10.00 0.29 $(0.35) -- -- 9.94 (0.60)+ 15,238 0.85 5.66
- ----------------------------
EMERGING MARKETS DEBT FUND:
- ----------------------------
1996 $10.55 $1.21 $ 2.60 $(1.00) $ -- $13.36 38.42% $102,431 1.50% 10.15%
1995 10.19 0.65 (0.17) (0.11) (0.01) 10.55 4.85 84,438 1.79 10.97
1994(5) 10.00 0.13 0.06 -- -- 10.19 1.90+ 16,248 1.90 7.04
RATIO OF
RATIO OF NET INVESTMENT
EXPENSES INCOME/(LOSS)
TO AVERAGE TO AVERAGE
NET ASSETS NET ASSETS
(EXCLUDING (EXCLUDING
WAIVERS WAIVERS PORTFOLIO AVERAGE
AND AND TURNOVER COMMISSION
REIMBURSEMENTS) REIMBURSEMENTS) RATE RATE*
- ------------------------------------------------------------
<S> <C> <C> <C>
- -------------------------------
EUROPEAN SMALL CAP EQUITY FUND:
- -------------------------------
1996 2.50% (0.29)% 49% $0.0327
1995(1) 2.24 0.26 34 --
- -----------------------------
EMERGING MARKETS EQUITY FUND:
- -----------------------------
1996 1.52% 0.36% 69% $0.0003
1995 1.55 0.14 49 --
1994(2) 1.79 (0.55) 45 --
- -------------------------
GLOBAL FIXED INCOME FUND:
- -------------------------
1996 0.79% 5.35% 223% N/A
1995 0.87 5.52 147 --
1994(3) 1.28 5.28 173 --
- --------------------------------
INTERNATIONAL FIXED INCOME FUND:
- --------------------------------
1996 1.03% 5.13% 235% N/A
1995 1.15 5.14 187 --
1994(4) 1.42 5.09 130 --
- ----------------------------
EMERGING MARKETS DEBT FUND:
- ----------------------------
1996 1.92% 9.73% 227% N/A
1995 2.05 10.71 266 --
1994(5) 2.60 6.34 52 --
<FN>
+ RETURNS ARE FOR THE PERIOD INDICATED AND HAVE NOT BEEN ANNUALIZED.
(1) EUROPEAN SMALL CAP EQUITY FUND COMMENCED OPERATIONS ON 11/1/94. ALL RATIOS
FOR THE PERIOD HAVE BEEN ANNUALIZED.
(2) EMERGING MARKETS EQUITY FUND COMMENCED OPERATIONS ON 2/2/94. ALL RATIOS FOR
THE PERIOD HAVE BEEN ANNUALIZED.
(3) GLOBAL FIXED INCOME FUND COMMENCED OPERATIONS ON 1/3/94. ALL RATIOS FOR THE
PERIOD HAVE BEEN ANNUALIZED.
(4) INTERNATIONAL FIXED INCOME FUND COMMENCED OPERATIONS ON 3/15/94. ALL RATIOS
FOR THE PERIOD HAVE BEEN ANNUALIZED.
(5) EMERGING MARKETS DEBT FUND COMMENCED OPERATIONS ON 8/4/94. ALL RATIOS FOR
THE PERIOD HAVE BEEN ANNUALIZED.
* AVERAGE COMMISSION RATE PAID PER SHARE FOR SECURITY PURCHASES AND
SALES DURING THE PERIOD. PRESENTATION OF THE RATE IS ONLY REQUIRED FOR
FISCAL YEARS BEGINNING AFTER SEPTEMBER 1, 1995.
</FN>
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
62
<PAGE>
NOTES TO FINANCIAL STATEMENTS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1996
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 eighteen investment portfolios (Morgan Grenfell Municipal
Bond Fund, Morgan Grenfell Fixed Income Fund, Morgan Grenfell Short-Term
Municipal Bond Fund, Morgan Grenfell Short-Term Fixed Income Fund, Morgan
Grenfell Large Cap Growth Fund, Morgan Grenfell Smaller Companies Fund and
Morgan Grenfell Microcap Fund (collectively the "Domestic Funds"); Morgan
Grenfell International Equity Fund, Morgan Grenfell European Equity Fund, Morgan
Grenfell Global Equity Fund, Morgan Grenfell European Equity Fund, Morgan
Grenfell Pacific Basin Equity Fund, Morgan Grenfell International Small Cap
Equity Fund, Morgan Grenfell European Small Cap Equity Fund, Morgan Grenfell
Japanese Small Cap Equity Fund, Morgan Grenfell Emerging Markets Equity Fund,
Morgan Grenfell Global Fixed Income Fund, Morgan Grenfell International Fixed
Income Fund and Morgan Grenfell Emerging Markets Debt Fund (collectively the
"International Funds"). The Domestic Funds and International Funds are hereafter
referred to collectively as the "Funds". At October 31, 1996, the Large Cap
Growth Fund, Microcap Fund, Global Equity Fund, Pacific Basin Equity Fund and
Japanese Small Cap Equity Fund had not yet commenced operations. The Funds'
prospectuses provide a description of each Fund's investment objectives,
policies and strategies.
On December 28, 1994, pursuant to plans of reorganization approved by the
Municipal Bond Fund shareholders 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
respectively (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 preparation of financial statements in accordance with generally accepted
accounting principles requires Trust management to make estimates and
assumptions that affect the reported amounts and disclosures in the financial
statements. Actual results could differ from those estimates. 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. 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.
63
<PAGE>
NOTES TO FINANCIAL STATEMENTS (Continued)
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1996
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 agreements 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 Statement of Net Assets 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.
64
<PAGE>
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:
(000)
------
International Equity Fund $ 30
European Equity Fund 31
International Small Cap Equity Fund 1,161
European Small Cap Equity Fund 33
Emerging Markets Equity Fund (584)
Global Fixed Income Fund (2,158)
International Fixed Income Fund (153)
Emerging Markets Debt Fund (53)
These reclassifications have no effect on net assets on net asset values
per share.
In addition, during the year ended October 31, 1996, the International
Small Cap Equity Fund transferred securities at their market value to a
shareholder in order to meet a redemption of the Fund's shares by the
shareholder. The International Small Cap Equity Fund recorded a realized gain of
$1,159,245 in connection with the transfer. Such realized gains are not taxable
for Federal income tax purposes. Accordingly, the International Small Cap Equity
Fund reclassified $1,159,245 to paid-in-capital. The net asset value of the
International Small Cap Equity Fund was not affected by this reclassification.
EXPENSES--Expenses that are directly related to a Fund 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 each for the Municipal Bond Fund, Fixed Income Fund, Short-Term
Municipal Bond Fund, Short-Term Fixed Income Fund and Smaller Companies Fund;
$75,000 each for the International Equity Fund, European Equity Fund, Global
Fixed Income Fund and International Fixed Income Fund; and $100,000 each 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.
65
<PAGE>
NOTES TO FINANCIAL STATEMENTS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1996
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 (collectively referred to as "Advisors). 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:
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%
European 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%
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:
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%
European 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 0.65%*
International Fixed Income Fund 0.65%*
Emerging Markets Debt Fund 1.50%
*0.75% PRIOR TO OCTOBER 31, 1996.
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.
During the year ended October 31, 1996, certain portfolios of the Trust
purchased securities from and sold securities to other portfolios of the Trust
or other accounts managed by the Advisor at market value.
4. FORWARD FOREIGN CURRENCY CONTRACTS
The International Funds enter into forward foreign currency exchange contracts
for hedging against portfolio positions denominated in foreign currencies 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,
1996:
CURRENCY TO IN UNREALIZED
(DELIVER)/ EXCHANGE APPRECIATION
MATURITY RECEIVE FOR (DEPRECIATION)
DATE (000) (000) (000)
- --------------- ------------- -------- ------------
GLOBAL FIXED INCOME FUND:
- -------------------------
FOREIGN CURRENCY SALES:
11/15-12/19/96 CA (11,700) $ 8,539 $(202)
12/19/96-02/20/97 DM (13,150) 8,851 116
12/19/96-02/20/97 DK (31,400) 5,390 (38)
01/03/97 IL(10,310,000) 6,724 (48)
12/19/96-02/20/97 SK (59,400) 8,969 (100)
12/19/96-02/20/97 UK (6,100) 9,631 (221)
-----
(493)
-----
FOREIGN CURRENCY PURCHASES:
12/19/96-02/20/97 DM 19,700 $12,943 157
12/19/96 IL 6,600,000 4,307 33
12/19/96 JY 800,000 7,547 (468)
02/20/97 UK 2,800 4,563 (43)
-----
(321)
-----
$(814)
=====
66
<PAGE>
CURRENCY TO IN UNREALIZED
(DELIVER)/ EXCHANGE APPRECIATION
MATURITY RECEIVE FOR (DEPRECIATION)
DATE (000) (000) (000)
--------------- ------------- -------- ------------
INTERNATIONAL FIXED INCOME FUND:
- --------------------------------
FOREIGN CURRENCY SALES:
11/15/96-01/16/97 CA (2,000) $1,474 $ (23)
12/19/96-02/20/97 DM (1,440) 966 9
12/19/96 DK (6,560) 1,150 19
12/19/96 ES (3,200) 623 (5)
12/19/96 IL (2,230,000) 1,455 (11)
12/19/96 JY (71,000) 648 20
01/16-02/20/97 SK (11,100) 1,679 (16)
12/19/96-02/20/97 UK (820,000) 1,294 (31)
-----
(38)
-----
FOREIGN CURRENCY PURCHASES:
12/19/96-02/20/97 DM 1,500 $ 984 14
12/19/96-01/16/97 DK 2,000 808 3
12/19/96 ES 8,600 1,707 (20)
12/19/96 IL 2,070,000 1,353 8
12/19/96-02/20/97 JY 213,600 1,978 (91)
02/20/97 UK 395 643 (5)
-----
(91)
-----
$(129)
=====
CURRENCY LEGEND
- ---------------
CA Canadian Dollar IL Italian Lira
DM German Mark JY Japanese Yen
DK Danish Kroner SK Swedish Krona
ES Spanish Peseta UK British Pound Sterling
At October 31, 1996, the Global Fixed Income Fund, International Fixed
Income Fund and Emerging Markets Debt Fund had unrealized losses on closed but
unsettled forward foreign currency contracts of $65,868, $22,059, and $4,132
respectively, scheduled to settle between November 15, 1996 and February 20,
1997.
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, 1996, were as follows:
PURCHASES SALES
(000) (000)
--------- --------
Municipal Bond Fund $168,226 $144,360
Fixed Income Fund 486,517 386,740
Short-Term Municipal Bond Fund 7,426 4,388
Short-Term Fixed Income Fund 11,714 10,572
Smaller Companies Fund 4,753 4,165
International Equity Fund 1,567 1,197
European Equity Fund 7,215 899
International Small Cap Equity Fund 66,687 50,678
European Small Cap Equity Fund 4,739 5,362
Emerging Markets Equity Fund 66,646 76,815
Global Fixed Income Fund 283,429 264,510
International Fixed Income Fund 68,785 70,230
Emerging Markets Debt Fund 174,434 161,229
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, 1996,
were as follows:
PURCHASES SALES
(000) (000)
--------- --------
Fixed Income Fund $682,508 $557,405
Short-Term Fixed Income Fund 14,724 6,834
Global Fixed Income Fund 55,187 52,193
Emerging Markets Debt Fund 1,410 3,163
For Federal income tax purposes, the cost of securities owned at
October 31, 1996 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, 1996 for each
Fund is as follows:
67
<PAGE>
NOTES TO FINANCIAL STATEMENTS (CONCLUDED)
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1996
NET
UNREALIZED
APPRECIATED DEPRECIATED APPRECIATION/
SECURITIES SECURITIES (DEPRECIATION)
(000) (000) (000)
----------- ----------- -------------
Municipal Bond Fund $ 5,170 $ (367) $ 4,803
Fixed Income Fund 14,794 (2,152) 12,642
Short-Term Municipal
Bond Fund 54 (14) 40
Short-Term Fixed Income Fund 19 (12) 7
Smaller Companies Fund 648 (148) 500
International Equity Fund 412 (119) 293
European Equity Fund 3,955 (230) 3,725
International Small Cap
Equity Fund 15,310 (10,480) 4,830
European Small Cap
Equity Fund 2,242 (642) 1,600
Emerging Markets
Equity Fund 12,163 (7,948) 4,215*
Global Fixed Income Fund 5,186 (365) 4,821
International Fixed
Income Fund 982 (109) 873
Emerging Markets
Debt Fund 7,465 (313) 7,152
* NET OF $43,000 ACCRUED FOREIGN WITHHOLDING TAXES.
At October 31, 1996 the following Funds had available realized capital
losses to offset future net capital gains:
(000) EXPIRATION DATE
----- ---------------
Fixed Income Fund $530 2004
Short-Term Fixed Income Fund 26 2004
International Small Cap Equity Fund 859 2003
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 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. 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, the market value of which may change in response to
interest rate changes. 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 in a specific industry or region.
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 Fund,
International Fixed Income Fund 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.
68
<PAGE>
8. IN KIND TRANSFER OF SECURITIES
During the period ended October 31, 1996, the European Equity Fund issued
1,689,459 shares of beneficial interest in exchange for portfolio securities
from certain accounts managed by Morgan Grenfell Investment Services, Limited at
their current value of $16,894,593.
The tax basis of the securities exchanged for shares of beneficial interest
of the European Equity Fund was carried over and included $2,949,576 of
unrealized gain.
9. SALE OF CERTAIN INVESTMENTS IN UNLISTED SECURITIES
On September 17, 1996, the International Small Cap Equity Fund and the European
Small Cap Equity Fund sold certain investments in unlisted securities to
Deutsche Bank AG, an indirect parent of the Advisors, at their value as of
August 30, 1996. The cost of securities sold, the proceeds from sale to Deutsche
Bank and the net realized gain (loss) from the transactions are as follows:
COST OF PROCEEDS NET REALIZED
SECURITIES SOLD FROM SALE GAIN/(LOSS)
--------------- --------- ------------
International Small Cap
Equity Fund $625,651 $644,240 $ 18,589
European Small Cap
Equity Fund 750,145 392,960 (357,185)
In addition, Deutsche Bank agreed to pay approximately $16,000 and $20,000
to the International Small Cap Equity Fund and the European Small Cap Equity
Fund, respectively, as interest at the applicable short-term interest rates
calculated on the cost of the securities sold for the period they were held by
each Fund before the sale. Deutsche Bank has also agreed to indemnify each of
these Funds for any related loss plus reasonable interest if it is subsequently
determined based upon findings by an independent third party that there were any
irregularities in the purchase of these securities or if the August 30, 1996
valuation for these securities is found to be inadequate.
69
<PAGE>
REPORT OF INDEPENDENT ACCOUNTS
================================================================================
To the Shareholders and Board of Trustees
Morgan Grenfell Investment Trust
In our opinion, the accompanying statements of net assets, 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, European 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, 1996, 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, 1996, the results of each of
their operations for the year then ended, and the changes in each of their net
assets and the financial highlights for each of the two years in the period then
ended, in conformity with generally accepted accounting principles. These
financial statements and financial highlights (hereafter referred to as
"financial statements") are the responsibility fo 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, 1996 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
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 report dated
December 14, 1994 expressed an unqualified opinion on those financial
highlights.
PRICEWATERHOUSE LLP
1177 Avenue of the Americas
New York, NY 10036
December 23, 1996
70
<PAGE>
NOTICE TO SHAREHOLDERS (UNAUDITED)
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1996
TAXPAYERS FILING ON A CALENDAR YEAR BASIS WILL RECEIVE TAX INFORMATION FOR THE
1996 CALENDAR YEAR AFTER YEAR END.
Dear Morgan Grenfell Shareholders:
For the fiscal year ended October 31, 1996, each portfolio is hereby
designating long-term capital gains, qualifying dividends and exempt income with
regard to distributions paid during the year as follows:
<TABLE>
<CAPTION>
(A) (B)
LONG TERM ORDINARY (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% 94.48% 0.00%
Short-Term Fixed Income Fund 0.00% 100.00% 100.00% 0.00% 0.00% 0.00%
Smaller Companies Fund 0.00% 100.00% 100.00% 91.67% 0.00% 0.00%
International Equity Fund 0.00% 100.00% 100.00% 0.00% 0.00% 1.83%
European Equity Fund 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
International Small Cap Equity Fund 0.00% 100.00% 100.00% 0.00% 0.00% 36.89%
European Small Cap Equity Fund 0.00% 100.00% 100.00% 0.00% 0.00% 23.09%
Emerging Markets Equity Fund 33.92% 66.08% 100.00% 0.00% 0.00% 39.15%
Global Fixed Income Fund 1.74% 98.26% 100.00% 0.00% 0.00% 0.00%
International Fixed Income Fund 0.58% 99.42% 100.00% 0.00% 0.00% 0.00%
Emerging Markets Debt Fund 0.00% 100.00% 100.00% 0.00% 0.00% 0.00%
<FN>
- ------------
+ 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 ORDINARY
INCOME DISTRIBUTIONS OF THE FUND.
</FN>
</TABLE>
PLEASE CONSULT YOUR TAX ADVISER FOR PROPER TREATMENT OF THIS INFORMATION.
<PAGE>
NOTICE TO SHAREHOLDERS (UNAUDITED)
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1996
TAXPAYERS FILING ON A CALENDAR YEAR BASIS WILL RECEIVE TAX INFORMATION FOR THE
1996 CALENDAR YEAR AFTER YEAR END.
The Morgan Grenfell International Equity Fund, International Small Cap Equity
Fund, European Small Cap Equity Fund and 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, 1996. 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
29, 1995 and satisfy the applicable requirements of the Code.
The amount per share of income from, and foreign taxes paid to, each country
(expressed in U.S. dollars) is listed in the following schedule:
MORGAN GRENFELL INTERNATIONAL EQUITY FUND
GROSS FOREIGN
COUNTRY DIVIDEND TAXES PAID
- ------- -------- ----------
Australia 0.0060 0.0001
France 0.0606 0.0000
Germany 0.0449 0.0010
Hong Kong 0.0167 0.0000
Japan 0.0038 0.0001
Malaysia 0.0090 0.0004
Netherlands 0.0158 0.0004
Singapore 0.0092 0.0004
Spain 0.0048 0.0002
Switzerland 0.0006 0.0000
Thailand 0.0045 0.0000
United Kingdom 0.2081 0.0053
United States 0.0554 0.0000
------ ------
0.4394 0.0079
MORGAN GRENFELL EUROPEAN SMALL CAP EQUITY FUND
GROSS FOREIGN
COUNTRY DIVIDEND TAXES PAID
- ------- -------- ----------
Austria 0.0010 0.0001
Belgium 0.0008 0.0002
Finland 0.0003 0.0002
France 0.0147 0.0000
Germany 0.0248 0.0077
Italy 0.0032 0.0004
Netherlands 0.0113 0.0021
Norway 0.0027 0.0006
Spain 0.0030 0.0007
Sweden 0.0023 0.0015
Switzerland 0.0103 0.0021
United Kingdom 0.0584 0.0122
United States 0.0154 0.0000
------ ------
0.1482 0.0278
MORGAN GRENFELL INTERNATIONAL SMALL CAP EQUITY FUND
GROSS FOREIGN
COUNTRY DIVIDEND TAXES PAID
- ------- -------- ----------
Australia 0.0047 0.0017
Austria 0.0003 0.0001
Belgium 0.0001 0.0000
Finland 0.0003 0.0001
France 0.0024 0.0000
Germany 0.0062 0.0032
Hong Kong 0.0028 0.0000
Indonesia 0.0011 0.0003
Italy 0.0007 0.0001
Japan 0.0089 0.0025
Malaysia 0.0019 0.0009
Netherlands 0.0020 0.0006
Norway 0.0007 0.0002
Singapore 0.0007 0.0002
South Korea 0.0001 0.0000
Spain 0.0009 0.0002
Sweden 0.0003 0.0001
Switzerland 0.0026 0.0008
Thailand 0.0009 0.0002
United Kingdom 0.0160 0.0047
United States 0.0054 0.0000
------ ------
0.0590 0.0159
MORGAN GRENFELL EMERGING MARKETS EQUITY FUND
GROSS FOREIGN
COUNTRY DIVIDEND TAXES PAID
- ------- -------- ----------
Argentina 0.0014 0.0000
Brazil 0.0127 0.0055
Chile 0.0007 0.0002
Colombia 0.0009 0.0000
Greece 0.0008 0.0000
Hungary 0.0001 0.0000
India 0.0002 0.0000
Indonesia 0.0006 0.0001
Malaysia 0.0066 0.0037
Mexico 0.0017 0.0000
Peru 0.0008 0.0000
Philippines 0.0002 0.0001
Portugal 0.0006 0.0002
South Africa 0.0026 0.0004
South Korea 0.0005 0.0000
Taiwan 0.0008 0.0001
Thailand 0.0026 0.0007
Turkey 0.0015 0.0000
Venezuela 0.0001 0.0000
United Kingdom 0.0001 0.0000
United States 0.0036 0.0000
------ ------
0.0391 0.0110
72
<PAGE>
MORGAN
GRENFELL
INVESTMENT
TRUST
- ----------
ANNUAL
REPORT
OCTOBER 31, 1996
TRUSTEES AND OFFICERS
James E. Minnick,
PRESIDENT, CHIEF EXECUTIVE OFFICER AND
CHAIRMAN OF THE BOARD OF TRUSTEES
Patrick W. Disney,
SENIOR VICE PRESIDENT AND TRUSTEE
Paul K. Freeman, TRUSTEE
Graham E. Jones, TRUSTEE
Hugh G. Lynch, TRUSTEE
William N. Searcy, TRUSTEE
Edward T. Tokar, TRUSTEE
David W. Baldt,
VICE PRESIDENT
James H. Grifo,
VICE PRESIDENT
Martin A. Hall,
VICE PRESIDENT
Neil P. Jenkins,
VICE PRESIDENT
Ian D. Kelson,
VICE PRESIDENT
John G. Alshefski,
TREASURER, PRINCIPAL ACCOUNTING OFFICER,
CHIEF FINANCIAL OFFICER
Mark G. Arthus,
SECRETARY AND COMPLIANCE OFFICER
INVESTMENT ADVISORS
Morgan Grenfell Capital Management, Inc.
Morgan Grenfell Investment Services Limited
ADMINISTRATOR AND SHAREHOLDER SERVICING AGENT
SEI Financial Management Corporation
DISTRIBUTOR
SEI Financial Services Company
CUSTODIANS
The Northern Trust Company
CoreStates Bank, N.A.
TRANSFER AGENT
DST Systems, Inc.
INDEPENDENT ACCOUNTANTS
Price Waterhouse LLP
LEGAL COUNSEL
Hale and Dorr
THIS ANNUAL REPORT AND THE FINANCIAL STATEMENTS CONTAINED HEREIN ARE SUBMITTED
FOR THE GENERAL INFORMATION OF THE SHAREHOLDERS OF THE TRUST AND MUST BE
PRECEDED OR ACCOMPANIED BY A CURRENT PROSPECTUS. INVESTORS SHOULD READ THE
PROSPECTUS CAREFULLY BEFORE INVESTING. SHARES OF THE MORGAN GRENFELL INVESTMENT
TRUST ARE NOT DEPOSITS OR OBLIGATIONS OF, OR GUARANTEED OR ENDORSED BY, ANY
BANK. THE SHARES ARE NOT FEDERALLY INSURED BY THE FEDERAL DEPOSIT INSURANCE
CORPORATION, THE FEDERAL RESERVE BOARD, OR ANY OTHER GOVERNMENT AGENCY.
INVESTMENT IN THE SHARES INVOLVES RISK, INCLUDING THE POSSIBLE LOSS OF
PRINCIPAL. SEI FINANCIAL SERVICES COMPANY, THE DISTRIBUTOR OF THE MORGAN
GRENFELL INVESTMENT TRUST, IS NOT AFFILIATED WITH ANY BANK.
MIT-F-004-03
<PAGE>
STATEMENT OF ASSETS AND LIABILITIES
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST - OCTOBER 31, 1996
-------- ------ ------- ---------
PACIFIC JAPANESE
GLOBAL BASIN SMALL CAP
MICROCAP EQUITY EQUITY EQUITY
FUND FUND FUND FUND
-------- ------ ------- ---------
ASSETS:
Cash $1,100 $1,000 $1,000 $1,000
------ ------ ------ ------
Total Assets 1,100 1,000 1,000 1,000
------ ------ ------ ------
LIABILITIES: - - - -
------ ------ ------ ------
NET ASSETS: $1,100 $1,000 $1,000 $1,000
====== ====== ====== ======
Shares of beneficial interest issued
and outstanding (unlimited
authorization-based on
$0.001 par value) 110 100 100 100
====== ====== ====== ======
NET ASSET VALUE, OFFERING PRICE AND
REDEMPTION PRICE PER SHARE $10.00 $10.00 $10.00 $10.00
====== ====== ====== ======
THE FUNDS HAVE NOT COMMENCED OPERATIONS AS OF OCTOBER 31, 1996.
<PAGE>
NOTES TO FINANCIAL STATEMENTS
MORGAN GRENFELL INVESTMENT TRUST - OCTOBER 31, 1996
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 eighteen investment portfolios (Morgan Grenfell Municipal
Bond Fund, Morgan Grenfell Fixed Income Fund, Morgan Grenfell Short-Term
Municipal Bond Fund, Morgan Grenfell Short-Term Fixed Income Fund, Morgan
Grenfell Large Cap Growth Fund, Morgan Grenfell Smaller Companies Fund, Morgan
Grenfell MicroCap Fund, Morgan Grenfell International Equity Fund, Morgan
Grenfell Global Equity Fund, Morgan Grenfell European Equity Fund, Morgan
Grenfell Pacific Basin Equity Fund, Morgan Grenfell International Small Cap
Equity Fund, Morgan Grenfell European Small Cap Equity Fund, Morgan Grenfell
Japanese Small Cap Equity Fund, Morgan Grenfell Emerging Markets Equity Fund,
Morgan Grenfell Global Fixed Income Fund, Morgan Grenfell International Fixed
Income Fund and Morgan Grenfell Emerging Markets Debt Fund. These financial
statements relate only to the Morgan Grenfell MicroCap Fund, Morgan Grenfell
Global Equity Fund, Morgan Grenfell Pacific Basin Equity Fund and Morgan
Grenfell Japanese Small Cap Equity Fund (hereafter referred to as the "Funds").
At October 31, 1996, the Morgan Grenfell MicroCap Fund had no operations other
than the sale of initial 100 shares to SEI Financial Management Corporation (the
"Administrator"), a wholly-owned subsidiary of SEI Corporation on August 23,
1996 and sale of 10 shares to DST Systems, Inc. (the transfer agent) on October
21, 1996. At October 31, 1996, the Morgan Grenfell Global Equity Fund, Morgan
Grenfell Pacific Basin Equity Fund and Morgan Grenfell Japanese Small Cap Equity
Fund had no operations other than the sale of initial shares to the
Administrator on December 29, 1993. Morgan Grenfell Capital Management, Inc.
(the "Advisor") absorbed all expenses of organizing the Trust.
2. 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 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 fund pays the Administrator a
minimum annual fee that equals (after a one year phase in period) the following:
$50,000 for the MicroCap Fund, $75,000 for the Global 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 advisory agreements with the Trust, Morgan Grenfell Capital
Management, Inc. serves as the Advisor for the MicroCap Fund and Morgan Grenfell
Investment Services Limited serves as the Advisor for the Global Equity Fund,
Pacific Basin Equity Fund and Japanese Small Cap Equity Fund (collectively
referred to as the "Advisors"). 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:
MicroCap Fund 1.50%
Global Equity Fund 0.70%
Pacific Basin Equity Fund 0.70%
Japanese Small Cap Equity Fund 1.00%
The Advisors have voluntarily agreed to reduce their advisory fee to the extent
necessary to limit the Fund's operating expenses to a specified percentage of
its average net assets as follows:
MicroCap Fund 1.75%
Global Equity Fund 0.90%
Pacific Basin Equity Fund 0.90%
Japanese Small Cap Equity Fund 1.25%
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 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.
<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 MicroCap Fund,
Global Equity Fund, Pacific Basin Equity Fund and Japanese Small Cap Equity Fund
(comprising Morgan Grenfell Investment Trust, hereafter referred to as the
"Trust") at October 31, 1996, 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 23, 1996