MORGAN
GRENFELL
INVESTMENT
TRUST
------------------------
ANNUAL
REPORT
(LOGO)
[GRAPHIC OMITTED]
OCTOBER 31, 1997
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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, is to provide a broad range of funds, each with
specialist portfolio management teams delivering strong investment results.
The performance for each of our funds for the twelve month period ended October
31, 1997 is described in the pages that follow. During this period, worldwide
markets experienced substantial growth early followed by extreme market
volatility toward the end of this time period. The majority of our 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 Microcap Fund, which commenced operations on December 18, 1996.
We are very pleased to announce that three of our funds have received at least
four stars by Morningstar for their performance. For the overall and 3 year
periods ended September 30, 1997, the Emerging Markets Debt Fund received 5
stars, Morningstar's highest rating, in the International Bond category of 1,309
funds. For the same quarter end overall, 3 year and 5 year time frames, the
Municipal Bond Fund also received 5 stars in the Municipal National Intermediate
category of 1,374 funds. Morgan Grenfell Fixed Income Fund received a 4 star
rating for the overall, 3 year, and 5 year periods ending September 30, 1997 in
Morningstar's Intermediate Bond category of 1,309 funds. Morningstar ratings
reflect historical risk-adjusted performance. They are subject to change every
month and are calculated from the Fund's 3-year average annual return in excess
of 90-day T-bill returns. The top 10% of the funds in the investment category
receive 5 stars and the next 22.5% receive a 4 star rating.
As of October 31, 1997, total assets in our funds amounted to more than $2
billion. 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 continued support and trust.
Sincerely,
/s/ JAMES E. MINNICK
James E. Minnick
President,
Morgan Grenfell Investment Trust
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TABLE OF CONTENTS
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MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND
PERFORMANCE......................................................... 1
STATEMENT OF NET ASSETS................................................ 18
STATEMENT OF OPERATIONS................................................ 68
STATEMENT OF CHANGES IN NET ASSETS..................................... 70
FINANCIAL HIGHLIGHTS................................................... 73
NOTES TO FINANCIAL STATEMENTS.......................................... 75
REPORT OF INDEPENDENT ACCOUNTANTS...................................... 83
NOTICE TO SHAREHOLDERS................................................. 84
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MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
===============================================================================
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1997
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, at October 31, 1997, approximately 48% of the portfolio had the
highest quality rating of AAA.
Interest rates decreased slightly during the fiscal year ended October 31,
1997, as evidenced by the modest decline in the yield on the five year AAA
General Obligation from 4.40% to 4.16%. Against this favorable backdrop, the net
asset value of the Fund's institutional shares rose from $10.99 to $11.12 during
this period. Adding this increase in principal value to the income received, a
total return of 7.49% was generated by the Fund's institutional shares for the
period. For comparison, the Lehman Brothers Five Year General Obligations Index
posted a return of 6.50% over the same time period.
Effective November 1, 1997, the Fund changed its benchmark index from the
Lehman Brothers Seven Year General Obligations Index to the Lehman Brothers Five
Year General Obligations Index. The Fund made this change because, as a general
matter, the new benchmark is more reflective of the Fund's investment portfolio.
For this reason, the Fund's management believes that the new benchmark is a more
meaningful reference for shareholders.
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MUNICIPAL BOND FUND, INSTITUTIONAL SHARES
===============================================================================
AVERAGE ANNUAL TOTAL RETURN
- -------------------------------------------------------------------------------
Annualized Annualized Annualized
1 Year 3 Year 5 Year Inception
Return Return Return to Date
- -------------------------------------------------------------------------------
Municipal Bond Fund* 7.49% 8.41% 7.85% 8.68%
- -------------------------------------------------------------------------------
COMPARISON OF CHANGE IN THE VALUE OF A $250,000 INVESTMENT IN THE MORGAN
GRENFELL MUNICIPAL BOND FUND, INSTITUTIONAL SHARES, VERSUS THE LEHMAN BROTHERS
5-YEAR G.O. INDEX AND THE LEHMAN BROTHERS 7-YEAR G.O. INDEX.
MORGAN GRENFELL
MUNICIPAL BOND FUND, LEHMAN BROTHERS 5-YEAR LEHMAN BROTHERS 7-YEAR
INSTITUTIONAL SHARES G.O. INDEX G.O. INDEX
12/31/91 250,000 250,000 250,000
10/31/92 271,800 263,300 263,700
10/31/93 311,700 288,200 295,100
10/31/94 311,300 286,600 289,100
10/31/95 345,300 316,200 325,800
10/31/96 369,100 331,400 341,300
10/31/97 396,705 353,020 367,222
*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.
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MUNICIPAL BOND FUND, SERVICE SHARES
===============================================================================
AVERAGE ANNUAL TOTAL RETURN
- -------------------------------------------------------------------------------
Annualized Cumulative
Inception Inception
to Date to Date
- -------------------------------------------------------------------------------
Municipal Bond Fund* 4.89% 1.22%
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COMPARISON OF CHANGE IN THE VALUE OF A $250,000 INVESTMENT IN THE MORGAN
GRENFELL MUNICIPAL BOND FUND, SERVICE SHARES, VERSUS THE LEHMAN BROTHERS 5-YEAR
G.O. INDEX AND THE LEHMAN BROTHERS 7-YEAR G.O. INDEX.
MORGAN GRENFELL
MUNICIPAL BOND FUND, LEHMAN BROTHERS LEHMAN BROTHERS
SERVICE SHARES 5-YEAR G.O. INDEX 7-YEAR G.O. INDEX
7/31/97 250,000 250,000 250,000
10/31/97 253,027 252,444 252,361
*COMMENCED OPERATIONS ON JULY 31, 1997. PERFORMANCE BEGINS ON JULY 31, 1997 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.
1
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MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
===============================================================================
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1997
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, 1997, the Fixed Income Fund provided
a total return of 9.22%. For comparison, the Lehman Brothers Aggregate Bond
Index posted a return of 8.92% over the same period. During this period,
interest rates declined modestly as the U.S. economy grew moderately, but
without any pick-up in price inflation. Yields of Five-Year U.S. Treasury Notes
decreased from 6.1% to 5.7%, causing bond prices to rise.
At October 31, 1997, the credit quality of the portfolio was strong with
66% 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.
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FIXED INCOME FUND
===============================================================================
AVERAGE ANNUAL TOTAL RETURN
- -------------------------------------------------------------------------------
Annualized Annualized Annualized
1 Year 3 Year 5 Year Inception
Return Return Return to Date
- -------------------------------------------------------------------------------
Fixed Income Fund* 9.22% 9.96% 8.72% 8.47%
- -------------------------------------------------------------------------------
COMPARISON OF CHANGE IN THE VALUE OF A $250,000 INVESTMENT IN THE MORGAN
GRENFELL FIXED INCOME FUND, INSTITUTIONAL SHARES, VERSUS THE LEHMAN AGGREGATE
BOND INDEX.
MORGAN GRENFELL LEHMAN AGGREGATE
FIXED INCOME FUND BOND INDEX
9/30/92 250,000 250,000
10/31/92 247,600 246,600
10/31/93 290,300 275,900
10/31/94 282,900 265,800
10/31/95 324,000 307,400
10/31/96 344,300 325,300
10/31/97 376,097 354,374
*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, 1997, the Fund generated a total return of 6.93%. This compares
favorably with the IBC Financial All Tax-Free Average's return of 3.10% 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.
2
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SHORT-TERM MUNICIPAL BOND FUND
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AVERAGE ANNUAL TOTAL RETURN
- -------------------------------------------------------------------------------
1 Year Annualized
Return Inception to Date
- -------------------------------------------------------------------------------
Short-Term Municipal Bond Fund* 6.93% 6.50%
- -------------------------------------------------------------------------------
COMPARISON OF CHANGE IN THE VALUE OF A $250,000 INVESTMENT IN THE MORGAN
GRENFELL SHORT-TERM MUNICIPAL BOND FUND, INSTITUTIONAL SHARES, VERSUS THE IBC
FINANCIAL ALL TAX-FREE AVERAGE.
MORGAN GRENFELL IBC FINANCIAL ALL
SHORT-TERM MUNICIPAL FUND TAX-FREE AVERAGE
3/31/95 250,000 250,000
10/31/95 259,000 254,900
10/31/96 274,300 262,700
10/31/97 293,383 270,888
*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.
SHORT-TERM
FIXED INCOME FUND
The Morgan Grenfell Short-Term Fixed Income Fund commenced operations on
March 13, 1995. Since that time, we have been purchasing short-term investment
grade securities. For the fiscal year ended October 31, 1997, the Fund generated
a total return of 6.61%. This compares favorably with the Merrill Lynch 6-Month
Treasury Bill Index's return of 5.62% 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* 6.61% 6.28%
- -------------------------------------------------------------------------------
COMPARISON OF CHANGE IN THE VALUE OF A $250,000 INVESTMENT IN THE MORGAN
GRENFELL SHORT-TERM FIXED INCOME FUND, INSTITUTIONAL SHARES, VERSUS THE MERRILL
LYNCH 6-MONTH TREASURY BILL INDEX.
MORGAN GRENFELL MERRILL LYNCH
SHORT-TERM 6-MONTH TREASURY
FIXED INCOME FUND BILL INDEX
3/31/95 250,000 250,000
10/31/95 258,800 259,000
10/31/96 274,600 273,300
10/31/97 292,802 288,671
*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
Institutional shares of Morgan Grenfell Smaller Companies Fund achieved a
return of 23.29% for the fiscal year ended October 31, 1997. The Fund
underperformed the S&P 600 Small Cap Index's return of 31.99% for the same
period. The overall bull market in equities continued during the fiscal year,
although there was significant volatility.
The 1997 year-to-date returns of the Smaller Companies Fund have been
marked by very disparate calendar quarters. Small growth stocks, in general,
suffered a poor first quarter. Institutional shares of the Fund were down 9.4%,
comparable with other small cap growth managers, but worse than the -5.6% return
for the S&P 600 Small Cap Index. The second and third quarters were much better
for the stocks of small companies. Institutional shares of the
3
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MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
===============================================================================
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1997
Fund returned 16.6% and 17.0% for these two quarters, versus 18.1% and 16.2% for
the index. However, the month of October witnessed a broad market sell-off.
As of October 31, 1997, the Fund had net assets of $5.7 million. The
Advisor's Small Cap Team had total small cap assets under management of just
under $500 million. The investment objective of the Fund is to maximize capital
appreciation by emphasizing individual selection of stocks with market values
among the smallest 20% of all publicly-traded U.S. companies. This porttion of
the market encompasses over 6,000 companies ranging in market capitalization
from $10 million to $2.4 billion. On October 31, 1997, the weighted average
market capitalization of the Fund's portfolio companies was $994 million; their
median market capitalization was $702 million.
The Fund utilizes a team approach with three sector-specialist portfolio
co-managers. Each co-manager has full investment autonomy and discretion within
his/her sectors of expertise. This approach helps the team and their analysts to
optimally research the large universe of potential investments, and to construct
a well-diversified, yet focused, portfolio.
At October 31, 1997, the Fund was broadly diversified across the main
sectors of the U.S. economy. There were 84 holdings in nine economic sectors.
Five sectors had weightings of 10% or more: Consumer (22%), Health Care (16%),
Credit Sensitive (15%), Technology (15%), and Energy (12%). The Consumer,
Energy, Health Care, and Service sectors were overweighted relative to the S&P
600 Small Cap Index, the Fund's benchmark index. As of October 31, 1997, the
Fund was substantially fully invested with only a 6% cash position.
During the fiscal year, the Federal Reserve Board maintained its steady
interest rate policy while it remained vigilant to the threat of inflation.
Price increases remained subdued. In fact, at October 31, 1997, inflation-
adjusted interest rates exceeded those reached in the last monetary tightening
of 1994.
Cash flows into mutual funds continued to be strong during the fiscal year.
We believe that this trend should continue as individuals assume responsibility
for their own retirement planning. Separately, micro cap equities continued to
gain recognition as a separate asset class and indeed were the top performing
mutual fund category for the third quarter.
The micro cap universe contains over 4,000 companies and provides what we
believe to be an excellent opportunity to find successful companies at an early
stage in their growth cycle.
We expect that the structure of the U.S. economy, with its high level of
entrepreneurial activity and venture capital backing, will continue to provide
investors with many attractive investment opportunities as early stage private
companies shift to public ownership. We also expect that restructuring and
consolidation trends will create many opportunities for smaller company
investors.
Our investment strategy is to continue to find companies with above average
growth selling at reasonable valuations. Our team will continue to focus
primarily on individual stock selection with the goal of providing value-added
performance relative to the universe of U.S. smaller companies.
Our outlook is positive. Many small cap companies trade at similar
valuation levels as large companies, yet are growing earnings at nearly double
the rate of their large counterparts. The Small Cap Team is aware, however, that
an acceleration of economic growth and rising interest rates could derail the
ebullient stock market. So too, could a dramatic slowing of the economy if it
resulted in an economic recession. Among individual securities, earnings
disappointments continue to present the primary investment risk.
4
<PAGE>
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===============================================================================
SMALLER COMPANIES FUND,
INSTITUTIONAL SHARES
===============================================================================
AVERAGE ANNUAL TOTAL RETURN
- -------------------------------------------------------------------------------
1 Year Annualized
Return Inception to Date
- -------------------------------------------------------------------------------
Smaller Companies Fund* 23.29% 22.94%
- -------------------------------------------------------------------------------
COMPARISON OF CHANGE IN THE VALUE OF A $250,000 INVESTMENT IN THE MORGAN
GRENFELL SMALLER COMPANIES FUND, INSTITUTIONAL SHARES, VERSUS THE S&P 600 SMALL
CAP INDEX.
MORGAN GRENFELL
SMALLER COMPANIES FUND,
INSTITUTIONAL SHARES S&P 600 SMALL CAP INDEX
6/30/95 250,000 250,000
10/31/95 263,700 267,900
10/31/96 328,500 323,000
10/31/97 405,102 426,383
*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.
===============================================================================
SMALLER COMPANIES FUND, SERVICE SHARES
===============================================================================
AVERAGE ANNUAL TOTAL RETURN
- -------------------------------------------------------------------------------
Cumulative
Inception to Date
- -------------------------------------------------------------------------------
Smaller Companies Fund* 7.45%
- -------------------------------------------------------------------------------
COMPARISON OF CHANGE IN THE VALUE OF A $250,000 INVESTMENT IN THE MORGAN
GRENFELL SMALLER COMPANIES FUND, SERVICE SHARES, VERSUS THE S&P 600 SMALL CAP
INDEX.
MORGAN GRENFELL
SMALLER COMPANIES FUND, S&P 600 SMALL
SERVICE SHARES CAP INDEX
7/31/95 250,000 250,000
10/31/97 254,156 261,465
*COMMENCED OPERATIONS ON JULY 14, 1997. PERFORMANCE BEGINS ON JULY 31, 1997 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.
MICROCAP FUND
The Morgan Grenfell Microcap Fund commenced operations on December 18,
1996. As such, it has not yet completed its first full year of operations.
The Microcap Fund's institutional shares achieved a return of 26.2% for the
period from inception to October 31, 1997. This return exceeded the 24.3% return
for the same period of the Russell 2000 Index which is representative of small
companies over the same period. The overall bull market in equities continued
during the fiscal year ended October 31, 1997, although there was significant
volatility.
The 1997 year-to-date returns of the Microcap Fund have been marked by very
disparate calendar quarters. Small cap growth stocks, in general, suffered a
poor first quarter. Institutional shares of the Microcap Fund fared relatively
well, down 5.0% vs. -5.2% for the Russell 2000. The second and third quarters
were much better for the stocks of small companies. Institutional shares of the
Fund returned 16.5% and 20.8% for these two quarters, vs. 16.2% and 14.9% for
the Russell 2000. However, the fourth quarter witnessed a broad market sell-off.
The Fund's institutional shares declined 7.1% while the Russell 2000 dropped
4.4%.
As of October 31, 1997, the Fund had net assets of $3.3 million. The
Advisor's Small Cap Team had total micro cap assets under management of over
$100 million. The investment objective of the Fund is to maximize capital
appreciation by emphasizing individual selection of stocks with market values
among the smallest 5% of all publicly-traded U.S. companies. This portion of the
market encompasses over 4,000 companies ranging in market capitalization from
$10 million to $400 million.
5
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
===============================================================================
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1997
On October 31, 1997 the weighted average market capitalization of the Fund's
portfolio companies was $211 million; their median market capitalization was
$155 million.
The Fund utilizes a team approach with three sector-specialist portfolio
co-managers. Each co-manager has full investment autonomy and discretion within
his/her sectors of expertise. This approach helps the team and their analysts to
optimally research the large universe of potential investments, and to construct
a well diversified, yet focused, portfolio.
At October 31, 1997 the Fund was broadly diversified across the main
sectors of the U.S. economy. There were 63 holdings in eight economic sectors.
Six sectors had weightings of 10% or more: Consumer (24%), Credit Sensitive
(15%), Health Care (15%), Technology (14%), Service (12%), and Energy (10%). The
Capital Goods, Consumer, Energy, Health Care, and Technology sectors were
overweighted relative to the Russell 2000, the Fund's benchmark index. As of
October 31, 1997, the Fund was substantially fully invested with only a 1% cash
position.
In the calendar third quarter, small and micro cap stocks led general
domestic equity classes for the first time in over a year, and showed signs of
the beginning of an extended period of outperformance. The Russell 2000
outperformed the S&P 500 (14.9% vs. 7.5%). The last time that occurred was in
the second quarter of 1996, and even then it was by only 50 basis points.
Calendar third quarter's small cap outperformance was by 740 basis points. The
Russell 2000 has not outperformed the S&P 500 for consecutive quarters since the
end of 1993. However, the small and micro cap rally was curtailed in late
October.
The Small Cap Equity Team anticipated a narrowing of the valuation
discrepancy between large caps and small caps for much of 1997. It appeared to
have begun in August when the 7% market correction was led by large
multinationals like Coke (22% decline) and Gillette (25% decline) and did not
carry over into the small cap sector. It is rare for large cap stocks to correct
without affecting small caps. However, the recent weakness in the U.S. equity
market has been less discriminating. In fact, there has been some "flight to
liquidity" in which investors allocate funds to large, stable companies.
During the fiscal year, the Federal Reserve Board maintained its steady
interest rate policy while it remained vigilant to the threat of inflation.
Price increases remained subdued. In fact, at October 31, 1997, inflation-
adjusted interest rates exceeded those reached in the last monetary tightening
of 1994.
Cash flows into mutual funds continued to be strong during the fiscal year.
We believe that this trend will continue as individuals assume responsibility
for their own retirement planning. Separately, micro cap equities continued to
gain recognition as a separate asset class and indeed were the top performing
mutual fund category for the third quarter.
The micro cap universe contains over 4,000 companies and provides what we
believe to be an excellent opportunity to find successful companies at an early
stage in their growth cycle.
We expect that the structure of the U.S. economy, with its high level of
entrepreneurial activity and venture capital backing, will continue to
provide investors with many attractive investment opportunities as early stage
private companies shift to public ownership. We also expect that restructuring
and consolidation trends will create many opportunities for smaller company
investors.
6
<PAGE>
================================================================================
Our investment strategy is to continue to find companies with above average
growth selling at reasonable valuations. Our team will continue to focus
primarily on individual stock selection with the goal of providing value-added
performance relative to the universe of U.S. smaller companies.
Our outlook is positive. Many small cap companies trade at similar
valuation levels as large companies, yet are growing earnings at nearly double
the rate of their large counterparts. The Small Cap Team is aware, however, that
an acceleration of economic growth and rising interest rates could derail the
ebullient stock market. A dramatic slowing of the economy that resulted in an
economic recession could also derail the stock market. Among individual
securities, earnings disappointments continue to present the primary investment
risk.
===============================================================================
MICROCAP FUND, INSTITUTIONAL SHARES
===============================================================================
AVERAGE ANNUAL TOTAL RETURN
- -------------------------------------------------------------------------------
Cumulative
Inception to Date
- -------------------------------------------------------------------------------
Microcap Fund* 26.20%
- -------------------------------------------------------------------------------
COMPARISON OF CHANGE IN THE VALUE OF A $250,000 INVESTMENT IN THE MORGAN
GRENFELL MICROCAP FUND, INSTITUTIONAL SHARES, VERSUS THE FRANK RUSSELL 2000
INDEX.
MORGAN GRENFELL MICROCAP FUND,
INSTITUTIONAL SHARES FRANK RUSSELL 2000 INDEX
12/31/96 250,000 250,000
10/31/97 310,524 302,624
*COMMENCED OPERATIONS ON DECEMBER 18, 1996. PERFORMANCE BEGINS ON DECEMBER 31,
1996 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.
===============================================================================
MICROCAP FUND, SERVICE SHARES
===============================================================================
AVERAGE ANNUAL TOTAL RETURN
- -------------------------------------------------------------------------------
Cumulative
Inception to Date
- -------------------------------------------------------------------------------
Microcap Fund* 3.87%
- -------------------------------------------------------------------------------
COMPARISON OF CHANGE IN THE VALUE OF A $250,000 INVESTMENT IN THE MORGAN
GRENFELL MICROCAP FUND, SERVICE SHARES, VERSUS THE FRANK RUSSELL 2000
INDEX.
MORGAN GRENFELL
MICROCAP FUND, FRANK RUSSELL
SERVICE SHARES 2000 INDEX
8/31/97 250,000 250,000
10/31/97 253,211 256,522
*COMMENCED OPERATIONS ON AUGUST 22, 1997. PERFORMANCE BEGINS ON AUGUST 31, 1997
FOR COMPARATIVE DATA.
NOTE: PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND IS NOT PREDICTIVE
OF FUTURE PERFORMANCE. ACTUAL RETURN AND PRINCIPAL VALUE WILL FLUCTUATE,
AND SHARES WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL
COST.
INTERNATIONAL EQUITY FUND
The International Equity Fund commenced operations on May 15, 1995 and had
net assets of $4.95 million as of October 31, 1997.
The investment objective of the Fund is to maximize capital appreciation by
investing primarily in equity securities of issuers located in countries other
than the United States.
For the fiscal year ended October 31, 1997, the Fund posted a gain of 3.78%
versus a return of 4.63% for the Morgan Stanley MSCI EAFE Index, the Fund's
benchmark index. Since inception, the Fund remains significantly ahead of its
benchmark. While the Fund has underperformed its benchmark during the fiscal
year ended October 31, 1997, stock markets world-wide have been very volatile
during this period.
The period under review has indeed been a volatile one. Outside the
benchmark, in North
7
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
===============================================================================
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1997
America, market returns have been very strong. Periodic concerns about the
prospects for interest rate increases have surfaced, most notably at the end
of the first quarter, when the Federal Reserve did indeed increase rates by
.25%. The increase was not followed by further hikes, and the US macroeconomic
picture has been characterized by a virtuous and almost unprecedented
combination of strong economic growth with seemingly minimal inflationary
pressures, such that strong earnings growth and a strong bond market propelled
the Dow Jones Industrial Average over the 8,000 level.
Outside North America a rather different and varied picture has emerged. In
Japan, the dominant component of the MSCI EAFE Index (32.3% at the start of the
calendar year), the stock market has been highly volatile. After a poor first
few months the market rallied strongly in March as expectations of another solid
year of economic growth rose. In April, domestic consumption taxes were
introduced. At that time, it was thought that the impact would be modest, and in
any case already discounted by the equity market. It now appears, however, that
heightened economic activity in the earlier part of the year may have been
driven by strong final demand ahead of the hike. Whatever the precise reasons,
economic growth forecasts have since been halved, to about 0.75-1.00% for the
year, as domestic demand indicators such as car sales have slumped. Equity
values have also retreated around 25% from the year's highs. They have, in
addition, not been helped by events in South East Asia.
Concerns about the size and significance of current account deficits in the
Southeast Asian economies were to some extent explained by their rapidly growing
and developing nature, and had generally failed to translate into structural
problems explainable by their lack of competitiveness. The heavy regional
dependence upon electronics exports was also masked, arguably, by a volatile
book-to-bill in the US. Only in July did a fully blown and rapid currency crisis
developed in Thailand, in itself a major problem to Thai corporates, many of
which had dollar-denominated debt that easily outweighed the benefits of a more
keenly priced currency. The Thai authorities acted slowly to address the
problem, thereby deepening their difficulties. A domino effect soon developed,
and by the end of the period under review a similar fate had befallen Indonesia,
Malaysia, the Philippines, and to some extent, Singapore. Equity markets
everywhere collapsed. The final market to fall was the one previously deemed to
be the most secure -- Hong Kong. To date, Hong Kong's currency, officially
pegged to the US Dollar, has withstood powerful speculative pressure, although
at the expense of very high short term interest rates, which have hurt earnings
and asset prices. The Fund has progressively lightened its weighting in both
South East Asia and Japan over the year and at October 31, 1997, stood at about
6% underweight relative to its benchmark index. The Fund has also had its
Japanese Yen exposure hedged, which has also benefited performance.
Elsewhere the news has been much better: in Europe, equity markets in all
the major bourses have reached all time highs, driven in part by the US capital
markets, and despite periodic concerns about the dramatically lower prospects
for economic growth in the Far East over the next six or eight quarters.
Interest rates and inflation were also at historically low levels during the
period under review, and despite high unemployment levels in the core
Continental European economies, year-on-year
8
<PAGE>
===============================================================================
economic growth was strong, with a commensurate impact on corporate
profitability.
In the UK, economic growth has been strong for considerably longer, and
while earnings growth was more muted, the inflation picture was reasonably good.
Also, the overall equity valuation was undemanding in international terms. We
continue to favor these areas within the portfolio, and expect returns from
these markets to post solid, if unspectacular, returns in the quarters ahead.
===============================================================================
INTERNATIONAL EQUITY FUND
===============================================================================
AVERAGE ANNUAL TOTAL RETURN
- -------------------------------------------------------------------------------
1 Year Annualized
Return Inception to Date
- -------------------------------------------------------------------------------
International Equity Fund* 3.78% 10.57%
- -------------------------------------------------------------------------------
COMPARISON OF CHANGE IN THE VALUE OF A $250,000 INVESTMENT IN THE MORGAN
GRENFELL INTERNATIONAL EQUITY FUND, INSTITUTIONAL SHARES, VERSUS THE MORGAN
STANLEY MSCI EAFE INDEX.
MORGAN GRENFELL MORGAN STANLEY
INTERNATIONAL EQUITY FUND MSCI EAFE INDEX
5/31/95 250,000 250,000
10/31/95 271,500 248,900
10/31/96 306,000 275,000
10/31/97 317,662 287,799
*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.
EUROPEAN EQUITY FUND
The Morgan Grenfell European Equity Fund commenced operations on September
3, 1996 and had net assets of $39.3 million as of October 31, 1997. The
investment objective of the Fund is to maximize capital appreciation by
investing primarily in equity securities of issuers located in developed
European markets.
European markets performed very strongly during the twelve month period
ended October 31, 1997, with the Fund's benchmark index, the Morgan Stanely
MSCI Europe Index, returning 26.40%. The Fund's return over the same period was
22.48%.
Within the region, market performance was varied over the period. In the
core European markets of France and Germany, where domestic demand remained
relatively weak, market returns underperformed the European index, at 13.09% and
21.06%, respectively. In the peripheral markets, however, growth in domestic
economic activity contributed to strong market gains. Scandinavian markets
delivered very strong returns, with Finland rising 47.44%, and Norway up 32.10%.
Spain and Italy, which both benefited from interest rate cuts and strong inflows
to equity-based mutual funds, returned 38.71% and 34.11% respectively. The UK
also outperformed the European index, returning 28.59% over the period.
We believe that the outlook for European markets remains encouraging.
Accelerating activity in European economies, together with interest rate
convergence in preparation for European Monetary Union, should support strong
and sustainable corporate earnings growth. The Fund remains broadly diversified
at the country level, with an emphasis on high quality growth and economically
sensitive stocks geared to the continuing recovery in European demand.
9
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
===============================================================================
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1997
===============================================================================
EUROPEAN EQUITY FUND
===============================================================================
AVERAGE ANNUAL TOTAL RETURN
- -------------------------------------------------------------------------------
1 Year Annualized
Return Inception to Date
- -------------------------------------------------------------------------------
European Equity Fund* 22.48% 25.26%
- -------------------------------------------------------------------------------
COMPARISON OF CHANGE IN THE VALUE OF A $250,000 INVESTMENT IN THE MORGAN
GRENFELL EUROPEAN EQUITY FUND, INSTITUTIONAL SHARES, VERSUS THE MORGAN STANLEY
MSCI EUROPE INDEX.
MORGAN GRENFELL MORGAN STANLEY MSCI
EUROPEAN EQUITY FUND EUROPE INDEX
9/30/96 250,000 250,000
10/31/96 257,200 255,800
10/31/97 315,110 322,257
*COMMENCED OPERATIONS ON SEPTEMBER 3, 1996. PERFORMANCE BEGINS ON SEPTEMBER 30,
1996 FOR COMPARATIVE DATA.
NOTE:PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND IS NOT PREDICTIVE
OF FUTURE PERFORMANCE. ACTUAL RETURN AND PRINCIPAL VALUE WILL FLUCTUATE,
AND SHARES WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL
COST.
INTERNATIONAL SMALL
CAP EQUITY FUND
The International Small Cap Equity Fund commenced operations on January 3,
1994 and had net assets of $53.4 million as of October 31, 1997.
The investment objective of this Fund is to maximize capital appreciation.
Under normal circumstances, the Fund pursues this objective by investing at
least 65% of its total assets in equity and equity-related securities of small
capitalization companies located in countries other than the United States.
Small capitalization companies are those ranked according to market
capitalization in the bottom 20% of issuers listed on a stock exchange and
companies listed on a secondary market or over-the-counter market.
The Fund outperformed its benchmark index, the NatWest Markets Euro/Pacific
SmallCap Index, falling 10.40% as opposed to a fall of 10.8% for the benchmark
index in the twelve month period ended October 31, 1997.
Asset allocation was positive during the period, with the Fund's
performance benefiting from overweights in the strongly performing markets of
Holland, Italy and Norway and an underweight position in the poorly performing
market of Malaysia.
Overall stock selection was negative for the period, with strong
performance in Japan and the smaller markets of the Far East countered by
underperformance in Australia, Continental Europe and the UK. Two of the most
notable poor performers were Fila, an Italian sportswear manufacturer, which
underperformed due to lower demand in the US basketball market and overstocking
at the retailer level; and Wolford, the Austrian hosiery manufacturer, which
underperformed because of a downgrading of luxury goods stocks with Asian
exposure, despite Wolford's Asian exposure being relatively limited.
International small cap equities underperformed international large cap
equities in the period under review, with the Fund's benchmark index falling
10.8% and the MSCIEAFE Large Cap index rising 4.9% in the period. The smaller
markets of the Far East were the worst performing region, with the MSCI Far East
ex Japan Large Cap index falling 32.8% over the period. The volatility in the
currency markets was a significant reason for underperformance of the
domestically-biased small cap stocks in the region, with the NatWest Far East ex
Japan index falling 38.6%. The only small cap sector which benefited from
currency weakness was the export based electronics sector.
10
<PAGE>
================================================================================
In Japan, expectations of economic growth declined throughout the period,
as consumption dropped sharply after the consumption tax hike at the beginning
of April, whilst weakness in the other markets of the Far East highlighted bank
lending problems and general trading problems in that region. Consequently, the
MSCI Japan Large Cap index fell 18.1% over the 12 month period. Furthermore, the
focus of attention on the large export earners due to the weak Yen has led to
underperformance of 18.5% by the domestically-biased Japanese smaller cap
stocks. This underperformance was exacerbated in recent months by a number of
high profile bankruptcies, which have continued to restrict investor interest to
the high credit stocks.
After an initially weak start, Continental Europe demonstrated strong
performance as a result of the first signs an economic recovery in the region.
However, while this recovery would be expected to primarily benefit the
domestically biased smaller companies, much of the investor interest in the
region was sparked by high domestic mutual fund flows and restructuring and
consolidation stories, which primarily benefited the larger companies. Smaller
company stocks (as measured by the NatWest Markets Europe ex UK Index) rose
16.4%, underperforming the MSCI Europe ex UK Large Cap Index by 8.9%.
The UK showed strong performance throughout much of the period, with the
MSCI UK Large Cap Index rising 28.6%. However, much of this performance was
derived from two sectors: Banks and Pharmaceuticals. The relative underweighting
of these sectors in the NatWest Markets UK index ensured small cap
underperformance, of the order of 29.7%.
The NWM Australia index fell 10.0% in the period, underperforming the
MSCI Australia Index by 3.3%. Much of Australia's poor performance occurred
during October, where the market was affected by negative sentiment throughout
the Pacific Basin.
Despite the overall relative outperformance for international small cap
stocks in October, discounts (based on price-to-earnings ratios) are now
available for small cap stocks relative to large cap stocks in all regions for
1998. Indeed, Japanese small caps now trade at below their historical range
relative to large caps. Furthermore, it still remains the case that earnings at
a topline level are stronger than large cap in every region. This data, along
with October's outperformance of small caps relative to large caps, causes us to
remain positive on the outlook for international smaller companies.
===============================================================================
INTERNATIONAL SMALL CAP
EQUITY FUND
===============================================================================
AVERAGE ANNUAL TOTAL RETURN
- -------------------------------------------------------------------------------
1 Year Annualized Annualized
Return 3 Year Return Inception to Date
- -------------------------------------------------------------------------------
International Small
Cap Equity Fund* -10.40% -3.81% -2.12%
- -------------------------------------------------------------------------------
COMPARISON OF CHANGE IN THE VALUE OF A $250,000 INVESTMENT IN THE MORGAN
GRENFELL INTERNATIONAL SMALL CAP EQUITY FUND, INSTITUTIONAL SHARES, VERSUS THE
NATWEST MARKETS EURO/PACIFIC SMALL CAP INDEX.
MORGAN GRENFELL
INTERNATIONAL SMALL CAP NATWEST MARKETS EURO/PACIFIC
EQUITY FUND SMALL CAP INDEX
1/31/94 250,000 250,000
10/31/94 248,700 268,500
10/31/95 232,100 246,300
10/31/96 247,100 273,100
10/31/97 221,417 246,845
*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.
11
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
===============================================================================
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1997
EUROPEAN SMALL CAP
EQUITY FUND
The European Small Cap Equity Fund commenced operations on November 1, 1994
and had net assets of $9.6 million as of October 31, 1997.
The investment objective of this Fund is to maximize capital appreciation.
Under normal circumstances, the Fund pursues this objective by investing at
least 65% of its total assets in equity and equity-related securities of small
capitalization companies located in European countries. Small capitalization
companies are those ranked according to market capitalization in the bottom 25%
of issuers listed on a European stock exchange and companies listed on a
European secondary market or over-the-counter market.
The Fund underperformed its benchmark index, the NatWest Markets European
Small Cap Index, falling 1.47% as opposed to a rise of 13.47% for the benchmark
index in the twelve month period ended October 31, 1997.
Asset allocation was positive during this period, with the Fund's
performance benefiting from overweights in the strongly performing markets of
Germany, Italy and Norway and an underweight position in the poorly performing
market of France.
Overall stock selection was negative for the period, both in the UK and
Continental Europe. Two of the most notable poor performers were Fila, an
Italian sportswear manufacturer, which underperformed due to lower demand in the
US basketball market and overstocking at the retailer level; and Wolford, the
Austrian hosiery manufacturer, which underperformed because of a downgrading of
luxury goods stocks with Asian exposure, despite Wolford's Asian exposure being
relatively limited.
European small cap equities underperformed large caps in the period under
review, with the Fund's benchmark index rising 13.47% and the MSCI Europe Index
rising 26.4% in the period.
After an initially weak start, Continental Europe demonstrated strong
performance as a result of the first signs of an economic recovery in the
region. The strongest performing large cap markets were Finland, Italy and
Spain, which rose 47.4%, 34.1% and 38.7% respectively as measured by the MSCI
Large Cap Indices. The latter two countries both benefited from lower interest
rates, strong mutual fund inflows, and an increased likelihood of their joining
EMU.
However, while economic recovery in Europe would be expected to primarily
benefit the domestically biased smaller companies, much of the investor interest
in the region was sparked by high domestic mutual fund flows and restructuring
and consolidation stories, which primarily benefited the large companies.
Smaller companies (as measured by the NatWest Markets Europe ex UK Index) rose
16.4%, underperforming the MSCI Europe ex UK Large Cap Index by 8.9%.
Italy, Norway and Spain were the strongest performing countries for smaller
companies, rising 44.4%, 62.7% and 44.2% as measured by the NatWest Indices.
Norway benefited from the strongest economic growth in Europe, which was a
result of strong oil revenues.
The weakest market for smaller companies was France, where economic
recovery continued to be slow, and where sentiment was negatively affected by
the election of a Socialist government, and their proposed introduction of a 35
hour working week, both of which were seen as negatively affecting the country's
chances of meeting the convergence criteria. The NatWest France Index fell 1.8%.
12
<PAGE>
================================================================================
The UK showed strong performance throughout much of the period, with the
MSCI UK Large Cap Index rising 28.6%. However, much of this performance was
derived from two sectors: Banks and Pharmaceuticals. The relative underweighting
of these sectors in the NatWest Markets UK index ensured small cap
underperformance of the order of 20.7%.
Despite the overall relative outperformance for international small cap
stocks in October, discounts (based on price-to-earnings ratios) are now
available for small cap stocks relative to large cap stocks in both Continental
Europe and the UK for 1998. Furthermore, it still remains the case that earnings
at a topline level are stronger than large cap in both these regions. This
data, along with October's outperformance of small caps relative to large caps,
causes us to remain positive on the outlook for European smaller companies.
===============================================================================
EUROPEAN SMALL CAP
EQUITY FUND
===============================================================================
AVERAGE ANNUAL TOTAL RETURN
- -------------------------------------------------------------------------------
1 Year Annualized
Return Inception to Date
- -------------------------------------------------------------------------------
European Small Cap Equity Fund* -1.47% 7.85%
- -------------------------------------------------------------------------------
COMPARISON OF CHANGE IN THE VALUE OF A $250,000 INVESTMENT IN THE MORGAN
GRENFELL EUROPEAN SMALL CAP EQUITY FUND, INSTITUTIONAL SHARES, VERSUS THE
NATWEST MARKETS EUROPEAN SMALL CAP INDEX.
MORGAN GRENFELL
EUROPEAN SMALL CAP NATWEST MARKETS EUROPEAN
EQUITY FUND SMALL CAP INDEX
11/30/94 250,000 250,000
10/31/95 296,200 275,300
10/31/96 326,000 319,300
10/31/97 321,268 345,145
*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 net assets of $94.1 million as of October 31, 1997.
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, 1997 was disappointing for
emerging markets investors, with the MSCI Emerging Markets Free Index returning
- -8.5%. The Fund in the same period returned -10.31%.
In 1996, the volatility of individual countries within regions was high. In
1997, by contrast, there has been a wide divergence of returns between Asia and
the rest of the emerging markets. The currency problems which began in Thailand
in June have since spread to the rest of South East Asia, notably Malaysia,
Indonesia and the Philippines. Currency weakness forced these countries to
abandon the fixed dollar peg and forced up interest rates to punitive levels.
Consequently, earnings downgrades and severely reduced GDP growth forecasts have
impacted these markets. In addition, Northern Asia, notably Korea, has also been
drawn into balance of payment problems. Compounding these problems, the response
of monetary authorities has also been poor with too little
being done to restore credibility to monetary policy. As a result for the year
ended October 31, 1997, Asia was down 37.3% with Malaysia down 58.3%, Thailand
down 51.0% and the Philippines down 54.5% being the worst affected.
13
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
===============================================================================
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1997
In contrast to the weakening fundamentals in Asia, Latin America posted
strong gains for most of the year on the back of improving GDP growth,
particularly in Mexico and Argentina, and steady falls in inflation across the
region. These gains were reduced by worries over Asian currency contagion in
October, particularly in Brazil, but left the region with a respectable return
figure of 19.9% for the fiscal year as a whole.
Emerging Europe/Africa has remained relatively insulated from Asian
problems and emerging markets volatility, though a few regional trends have been
seen. Turkey, up 83.1%, and Hungary, up 85.8%, were the strongest markets during
the fiscal year, both coming from depressed levels with encouraging
privatization programs and increased monetary stability. South Africa was down
5.7% for the fiscal year, but has remained a solid performer in the recent
volatility despite some concerns over the stability of the Rand and the price
of gold.
We believe that the outlook for Asia remains uncertain with an economic
downturn now anticipated for the region as a whole. Continued problems in Korea
and Malaysia lead us to believe that a recovery in economies and improvements in
confidence will be slow in coming. In Latin America, strong fundamentals have
been somewhat ignored by the markets in recent turbulent months. It is our view
that while growth in Brazil will be subdued, the rest of the region will benefit
from an improving economic scenario and strong earnings growth. In Europe and
Africa, pockets of value continue to provide good opportunities. However, the
recent addition of Russia to the MSCI Emerging Markets Free Index does not
change our view that at current levels most of the Russian stocks remain
overpriced and without solid valuation backing.
===============================================================================
EMERGING MARKETS EQUITY FUND
===============================================================================
AVERAGE ANNUAL TOTAL RETURN
- -------------------------------------------------------------------------------
1 Year Annualized Annualized
Return 3 Year Return Inception to Date
- -------------------------------------------------------------------------------
Emerging Markets
Equity Fund* -10.31% -7.96% -4.02%
- -------------------------------------------------------------------------------
COMPARISON OF CHANGE IN THE VALUE OF A $250,000 INVESTMENT IN THE MORGAN
GRENFELL EMERGING MARKETS EQUITY FUND, INSTITUTIONAL SHARES, VERSUS THE MORGAN
STANLEY MSCI EMERGING MARKETS FREE INDEX.
MORGAN GRENFELL MORGAN STANLEY
EMERGING MARKETS MSCI EMERGING MARKETS
EQUITY FUND FREE INDEX
2/28/94 250,000 250,000
10/31/94 275,200 262,600
10/31/95 217,400 207,900
10/31/96 239,200 216,800
10/31/97 214,589 194,545
*COMMENCED OPERATIONS ON FEBRUARY 2, 1994. PERFORMANCE BEGINS ON FEBRUARY 28,
1994 FOR COMPARATIVE DATA.
NOTE: PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND IS NOT PREDICTIVE
OF FUTURE PERFORMANCE. ACTUAL RETURN AND PRINCIPAL VALUE WILL FLUCTUATE,
AND SHARES WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL
COST.
GLOBAL FIXED INCOME FUND
The Morgan Grenfell Global Fixed Income Fund commenced operations on
January 3, 1994 and had net assets of $92.2 million as of October 31, 1997. The
investment objective of the Fund is to maximize total return, emphasizing
current income and, to a lesser extent, providing opportunities for capital
growth consistent with reasonable investment 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 attempting to protect the U.S.
dollar value of foreign assets.
14
<PAGE>
===============================================================================
For the fiscal year ended October 31, 1997, the Fund provided a total
return of 3.34% versus a 2.61% return for the Salomon World Government Bond
Index (unhedged), the Fund's benchmark.
During this period, bond markets performed well in local currency terms,
benefiting from a growing perception that stronger economic growth would not
cause higher inflation due to the pre-emptive action taken in tightening
monetary policy by central banks. In particular, the US market became reassured
that the high levels of domestic demand and tightness of the labor market would
not cause higher inflation. Thus the Fund increased its allocation to the US
bond market over the year. More attractive than the US Treasury market were the
Canadian and Australian markets where the presence of significant output gaps
and an improving fiscal position due to growth enabled these markets to be among
the best performing. The Fund held overweight positions in these markets.
The very low yields available in the Japanese market, less than 2% for a
ten year bond, made the Yen bond market an unattractive proposition for
international investors and the Fund held an underweight position in that
market. However, the domestic bid was strong due to the lack of alternative
attractive asset classes and the Japanese market performed well.
Within Europe it became apparent that a wider range of countries than at
first thought were to be candidates for the first round of EMU membership due to
improvements in the inflation and fiscal positions of countries such as Italy
and Spain. All countries with a yield spread over the German market experienced
yield convergence. The Fund, having moved its bias away from the German market,
benefited from its positions in markets such as Spain, Italy and Sweden. As
growth picked up and interest rate rises came nearer, European markets looked
less attractive and the Fund reduced its overweight allocation to European
markets.
The US dollar continued to rise against all currencies as the US led the
world growth cycle and this reduced the returns of international markets in
dollar terms. The Fund continued to have a pro-dollar hedging strategy and so
was less disadvantaged by the dollar's rise than it would have been otherwise.
===============================================================================
GLOBAL FIXED INCOME FUND
===============================================================================
AVERAGE ANNUAL TOTAL RETURN
- -------------------------------------------------------------------------------
1 Year Annualized Annualized
Return 3 Year Return Inception to Date
- -------------------------------------------------------------------------------
Global Fixed
Income Fund* 3.34% 7.85% 5.69%
- -------------------------------------------------------------------------------
COMPARISON OF CHANGE IN THE VALUE OF A $250,000 INVESTMENT IN THE MORGAN
GRENFELL GLOBAL FIXED INCOME FUND, INSTITUTIONAL SHARES, VERSUS THE SALOMON
WORLD GOVERNMENT BOND INDEX.
MORGAN GRENFELL SALOMON WORLD
GLOBAL FIXED INCOME FUND GOVERNMENT BOND INDEX
1/31/94 250,000 250,000
10/31/94 244,300 256,600
10/31/95 278,200 295,600
10/31/96 296,600 311,500
10/31/97 306,578 319,696
*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.
15
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
===============================================================================
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1997
INTERNATIONAL
FIXED INCOME FUND
The Morgan Grenfell International Fixed Income Fund commenced operations on
March 15, 1994 and had net assets of $27.9 million as of October 31, 1997.
The Fund's objective is identical to that of the Global Fixed Income Fund.
However, unlike the Global Fixed Income Fund, the 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 attempting to protect the U.S. dollar
value of its foreign assets.
The Fund returned 0.82% for the year ended October 31, 1997, compared with
- -0.31% for the Fund's benchmark index, the Salomon World Government Bond Index,
non-U.S., unhedged.
The strength of the US bond market provided a positive background for other
international markets as it underlined the possibility of non-inflationary
growth patterns and returns of international markets were, in local currency
terms, relatively robust. However, the strength of the USdollar over this period
significantly undermined returns in dollar terms, although the pro-dollar stance
of the Fund and its defensive hedging strategy did add to the Fund's
outperformance of its benchmark index.
The main theme of the year was the growing attractiveness of the dollar
bloc markets of Canada and Australia. Economic growth allowed their fiscal
positions to improve while the presence of an output gap enabled inflation to
continue to be subdued. The Fund increased its allocation to these markets over
the year and at the end of its fiscal year, the 23% position in Canada was the
largest position the Fund held.
To offset the increase in dollar bloc markets, the Fund reduced its
allocation in Japan. With yields of below 2% for ten year bonds, the market
remained unattractive to international investors, although the strong domestic
bid helped the Yen bond market to return well.
Within Europe, the Fund moved to a strong bias towards the higher yielding
markets as it became apparent that countries such as Italy were to be strong
candidates for the first round of EMU membership and their markets would thus
benefit from yield convergence. Indeed, at the end of October the Fund held no
German bonds, although keeping a large position in the Danish market, another
core European market with a yield premium for its expected non-participation in
the first round of EMU membership. Instead the Fund had significant holdings in
the higher yielding markets such as Spain, Italy and Sweden at such time.
Europe as a bloc also began to look less attractive as it became apparent
that official interest rates in Germany and other core countries were at the
beginning of an upward cycle and, having been overweight European markets for
sometime, the Fund moved to an underweight position in Europe in October.
16
<PAGE>
================================================================================
===============================================================================
INTERNATIONAL FIXED INCOME FUND
===============================================================================
AVERAGE ANNUAL TOTAL RETURN
- -------------------------------------------------------------------------------
1 Year Annualized Annualized
Return 3 Year Return Inception to Date
- -------------------------------------------------------------------------------
International Fixed
Income Fund* 0.82% 7.28% 5.81%
- -------------------------------------------------------------------------------
COMPARISON OF CHANGE IN THE VALUE OF A $250,000 INVESTMENT IN THE MORGAN
GRENFELL INTERNATIONAL FIXED INCOME FUND, INSTITUTIONAL SHARES, VERSUS THE
SALOMON WGBI, NON-U.S.
MORGAN GRENFELL
INTERNATIONAL FIXED SALOMON
INCOME FUND WGBI, NON-U.S.
3/31/94 250,000 250,000
10/31/94 246,700 265,100
10/31/95 282,900 305,300
10/31/96 302,200 322,000
10/31/97 304,740 321,045
*COMMENCED OPERATIONS ON MARCH 15, 1994. PERFORMANCE BEGINS ON MARCH 31, 1994
FOR COMPARATIVE DATA.
NOTE: PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND IS NOT PREDICTIVE
OF FUTURE PERFORMANCE. ACTUAL RETURN AND PRINCIPAL VALUE WILL FLUCTUATE,
AND SHARES WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL
COST.
EMERGING MARKETS
DEBT FUND
The Emerging Markets Debt Fund commenced operations on August 4, 1994 and
had net assets of $187.6 million as of October 31, 1997.
The investment objective of this Fund is to maximize total return. The Fund
invests primarily in fixed income securities of issuers located in countries
with emerging securities markets.
The total return of institutional shares of the Fund for the fiscal year
ended October 31, 1997 was 12.03%, against 10.82% for the Fund's benchmark
index, the J.P. Morgan Emerging Markets Bond Index Plus.
Until October, emerging debt markets continued to register strong returns
as all markets benefited from strong economic growth and further attempts at
structural reform and debt restructuring. The Fund maintained an overweight
position in Russia throughout the fiscal year as the London Club debt
restructuring neared its conclusion. The Fund generally maintained an
underweight exposure to Brazil due to worries over the fiscal and current
account gaps. The Fund also maintained underweight positions in Algeria and
Jordan.
In October, markets experienced severe price falls as currency devaluations
in Asia caused risk reduction and deleveraging in emerging debt markets. All
markets were affected by indiscriminate selling. Fundamental concerns centered
on Brazil and the sustainability of the Real Plan.
Over the next six months, we expect that confidence will gradually return
to emerging debt markets and spreads will tighten from their current wide
levels. Currently, we expect that the Fund's strategy will be to concentrate
investments in those countries which are least reliant on external financing.
===============================================================================
EMERGING MARKETS DEBT FUND,
INSTITUTIONAL SHARES
===============================================================================
AVERAGE ANNUAL TOTAL RETURN
- -------------------------------------------------------------------------------
1 Year Annualized Annualized
Return 3 Year Return Inception to Date
- -------------------------------------------------------------------------------
Emerging Markets
Debt Fund* 12.03% 17.59% 16.86%
- -------------------------------------------------------------------------------
COMPARISON OF CHANGE IN THE VALUE OF A $250,000 INVESTMENT IN THE MORGAN
GRENFELL EMERGING MARKETS DEBT FUND, INSTITUTIONAL SHARES, VERSUS THE J.P.
MORGAN EMERGING MARKETS BOND PLUS INDEX.
MORGAN GRENFELL J.P. MORGAN
EMERGING MARKETS DEBT FUND, EMERGING MARKETS BOND
INSTITUTIONAL SHARES PLUS INDEX
8/31/94 250,000 250,000
10/31/94 249,500 249,500
10/31/95 261,600 268,200
10/31/96 362,100 387,600
10/31/97 405,685 431,538
*EMERGING MARKETS DEBT FUND INSTITUTIONAL SHARES 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.
17
<PAGE>
STATEMENT OF NET ASSETS
===============================================================================
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1997
MUNICIPAL BOND FUND
- ---------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- ---------------------------------------------------------
MUNICIPAL BONDS -- 97.6%
ALABAMA -- 2.7%
Alabama State Housing Finance
Authority RB, Series I,
Club Apartments
5.650%, 06/01/08 $2,500 $ 2,625
Birmingham, Baptist Medical
Center RB, ETM
8.250%, 07/01/05 20 23
Birmingham, Medical Clinic Board
RB, ETM
8.300%, 07/01/08 443 524
Lauderdale & Florence Counties,
Public Hospital RB, ETM
7.000%, 07/01/07 345 409
Mobile, Certificate of Participation,
Affordable Housing, 1994
6.000%, 02/01/98 275 275
6.200%, 02/01/99 350 350
6.300%, 02/01/00 400 400
6.750%, 02/01/04 4,950 4,969
Morgan County, Decatur
General Hospital RB,
Pre-Refunded @ 102 (D)
7.875%, 03/01/99 85 91
-------
9,666
-------
ARIZONA -- 0.2%
Gila County, Industrial Development
Authority RB, Inspiration
Consolidated Copper,
Pre-Refunded @ 100 (D)
11.250%, 02/15/01 500 603
Maricopa County, Hospital Revenue
Authority RB, Phoenix Baptist
Hospital and Medical Center, ETM
7.125%, 10/01/02 35 38
Maricopa County, Hospital Revenue
Authority RB, Samaritan Health
Services, ETM
6.750%, 01/01/04 10 11
Maricopa County Hospital Revenue
Authority, Sun City Inter-
Community Healthcare RB, ETM
8.625%, 01/01/10 185 228
-------
880
-------
ARKANSAS -- 2.8%
Arkansas State Housing Development
Agency RB, ETM
8.375%, 07/01/10 95 119
Drew County, Public Facilities Board
RB, Single Family Mortgage,
Series A-2, FNMA
7.900%, 08/01/11 361 394
- ---------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- ---------------------------------------------------------
Fayetteville, Public Facilities Board
RB, Single Family Mortgage,
Refunding Series 1993
7.250%, 04/01/11 $1,155 $ 1,237
Jefferson County, Health Care &
Residential Facilities Board RB,
Single Family Mortgage, 1978
Conventional Series, ETM, FSA
7.400%, 12/01/10 130 150
Lonoke County, Residential Housing
Facilities, RB, Single Family
Mortgage, Series 1993 B
7.375%, 04/01/11 220 239
Mississippi County, Public Facilities
Board RB, Mortgage, Series 1
7.200%, 07/15/10 855 951
North Little Rock, Residential
Housing Facilities RB, Capital
Appreciation, Series 1991-1 (A)
0.000%, 12/01/10 7,730 3,247
Rogers County, Sales & Use Tax RB
5.350%, 11/01/11 2,500 2,584
Saline County, Residential Housing
Facilities RB, Single
Family Mortgage
7.875%, 03/01/11 755 817
Stuttgart, Public Facilities Board RB,
Single Family Mortgage, Series B
7.750%, 09/01/11 278 299
-------
10,037
-------
CALIFORNIA -- 7.6%
Emeryville, Redevelopment Agency
RB, Residential Mortgage, ETM
7.500%, 09/01/11 230 269
Fairfield, Certificate of Participation,
Pre-Refunded @ 100 (D)
10.750%, 08/01/00 55 64
Fresno, Housing Authority
RB, AMT, FNMA
5.150%, 08/01/07 330 334
5.150%, 08/01/07 170 172
Fresno, Housing Authority RB,
Creek Park Apartments, Series 1997A
Mandatory Put @ 100, FNMA (B)
4.900%, 11/01/07 1,000 1,000
Fresno, Multi-Family Housing RB,
Woodlands Apartments Project,
Series A 1997, GNMA, AMT
6.650%, 05/20/08 500 545
Los Angeles, Community
Redevelopment Agency RB,
Angelus Plaza Project,
Series A, FNMA
7.400%, 06/15/10 4,000 4,565
18
<PAGE>
- ---------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- ---------------------------------------------------------
Los Angeles, Community
Redevelopment Agency RB,
Monterey Hills Project B
8.650%, 12/01/22 $ 330 $ 383
Los Angeles, Earthquake
Rehabilitation RB, Series A,
AMT, FNMA, Mandatory
Put @ 100 (B)
5.700%, 12/01/06 2,000 2,070
Los Angeles, Earthquake
Rehabilitation RB, Series C,
AMT, FNMA
4.850%, 07/01/02 3,000 3,019
Los Angeles, Multi-Family Housing
RB, Earthquake Rehabilitation
Projects, Series B, Mandatory
Put @ 100, AMT, FNMA (B)
5.850%, 12/01/07 4,650 4,906
Los Angeles, Regional
Airports Lease RB
10.000%, 01/01/01 360 420
Napa, Housing Facility RB, Multi-
Family Housing, Napa Park
Apartments, Series A, GNMA
5.134%, 06/20/00 340 341
Pleasant Hill, Multi-Family Housing
RB, Ellinwood Apartments Project,
Series A, FNMA
Mandatory Put @ 100
5.300%, 10/01/05 3,165 3,303
Sacramento, Municipal Utility
District RB, ETM
8.750%, 04/01/03 85 95
San Jose, Multi-Family Housing RB,
Alamaden Lake Village Project,
Series B, Mandatory Put @ 100,
FGIC, AMT (B)
5.150%, 03/01/01 2,000 2,008
Santa Clara County, Housing
Authority RB, GNMA (C)
7.622%, 06/20/00 413 413
Southern California Home Finance
RB, GNMA, FNMA, AMT
6.900%, 10/01/24 210 222
Vista, Multi-Family Housing
Authority RB, Pepperwood
Apartment Project, Series 1995A,
Mandatory Put @ 100, FNMA (B)
5.700%, 06/01/05 3,225 3,394
-------
27,523
-------
COLORADO -- 2.0%
Boulder County, Boulder Community
Hospital RB, ETM
7.000%, 07/01/09 90 99
- ---------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- ---------------------------------------------------------
Castle Rock Ranch, Public
Improvements Authority RB
5.900%, 12/01/03 $1,000 $ 1,055
Commerce City, Single Family
Mortgage RB, Series A
6.875%, 03/01/12 400 423
Denver County, Housing RB,
Buerger Brothers, Series 1997A,
AMT, FHA
5.100%, 11/01/07 270 271
State Housing Finance Authority RB,
Single Family, Series C 1997
5.000%, 05/01/05 250 252
State Housing Finance Authority
RB, AMT
5.750%, 11/01/04 175 180
5.200%, 12/01/05 955 962
State Student Loan RB,
Series C, AMT
7.150%, 09/01/06 960 1,045
Thornton, GO, ETM, FGIC
7.500%, 12/01/07 140 162
Vail, Single Family Mortgage
RB, Series 1992 A
8.125%, 06/01/10 395 423
Westminster, Multi-Family Housing
RB, Semper Village Apartments,
Mandatory Put @ 100, AXA (B)
5.950%, 09/01/06 2,225 2,347
-------
7,219
-------
DELAWARE -- 0.6%
New Castle County, Single Family
Mortgage RB
10.250%, 11/01/05 170 174
State Economic Development
Authority RB, Peninsula United
6.000%, 05/01/09 40 42
State Economic Development
Authority RB, Wilmington
Friends School Project
6.300%, 07/01/00 50 51
6.300%, 07/01/01 55 57
6.300%, 07/01/02 60 62
6.300%, 07/01/03 60 62
6.300%, 07/01/04 65 68
6.300%, 07/01/05 70 73
6.300%, 07/01/06 75 78
6.300%, 07/01/07 80 83
6.300%, 07/01/08 85 89
6.300%, 07/01/09 90 94
6.300%, 07/01/10 95 99
6.300%, 07/01/11 100 104
6.300%, 07/01/12 110 114
6.300%, 07/01/13 115 119
19
<PAGE>
STATEMENT OF NET ASSETS
===============================================================================
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1997
MUNICIPAL BOND FUND, CONTINUED
- -------------------------------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- -------------------------------------------------------------------------------
State Housing Authority RB, Multi-
Family Mortgage, HUD
6.600%, 07/01/01 $ 65 $ 68
State Housing Authority RB, Single
Family Mortgage
8.750%, 06/01/17 830 832
-------
2,269
-------
FLORIDA -- 3.2%
Altamonte Springs, Health Facility
Authority RB, ETM
8.750%, 10/01/09 220 273
Dade County, Certificate of
Participation, Government
Leasing Corporation, Series B
8.500%, 04/01/07 45 46
Dade County, Certificate of
Participation, Government
Leasing Corporation, Series C
9.000%, 04/01/20 300 310
Dunedin, Health Facility
Authority RB, Mease Hospital
Incorporated, ETM
7.600%, 10/01/08 560 643
Duval County, Housing Finance
Authority RB, Single Family
Mortgage, FGIC, GNMA
7.650%, 09/01/10 140 151
Fernando Apartments, Elderly
Housing RB, Section 8
Assistance, Series B
9.750%, 10/01/11 744 817
Jacksonville, Health Facility
Authority RB, Saint Catherine
Laboure Manor Incorporated, ETM
9.125%, 01/01/03 335 374
Jacksonville, Health Facility Authority
RB, Elderly Housing, Saint Vincent's
Medical Center Incorporated, ETM
9.125%, 01/01/03 370 419
Miami Beach, Housing Authority
RB, Section 8, 1995
6.625%, 01/15/09 1,200 1,280
Miramar, Water Improvement
Assessment RB, FGIC
5.125%, 10/01/20 5,430 5,498
Pinellas County, Housing Finance
Authority RB, Single Family
Mortgage, Series A, AMT, GNMA
6.850%, 03/01/29 1,500 1,624
-------
11,435
-------
- ---------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- ---------------------------------------------------------
GEORGIA -- 1.5%
Augusta, Housing Rehabilitation
Agency RB, Bon Air Project,
Series C
7.000%, 09/01/05 $1,000 $ 1,096
De Kalb, Private Hospital Authority
RB, Wesley Services Incorporated
Project, (LOC)
8.250%, 09/01/15 500 517
Fulton County, Housing Authority
RB, Single Family Mortgage,
Series 1995 A, AMT, GNMA
6.200%, 03/01/13 390 412
Marietta, Housing Authority RB,
Multi-Family Housing,
Ridge Pointe Apartments, Series A,
Mandatory Put @ 100, FNMA (B)
5.700%, 06/01/05 1,475 1,560
Marietta, Housing Authority RB,
Multi-Family Housing,
Series A, Mandatory Put @ 100,
New England Mutual
Life Guaranty (B)
6.000%, 06/01/01 1,000 1,018
Saint Mary's, Housing Authority RB,
Multi-Family, Cumberland Oaks
Apartments, Series A, FNMA
7.250%, 09/01/05 595 634
Saint Mary's, Housing Authority RB,
Multi-Family, Pines Apartments,
Series C, FNMA
7.250%, 10/01/05 255 270
-------
5,507
-------
HAWAII -- 0.1%
Honolulu, Housing Authority RB,
Multi-Family Mortgage Authority,
Waipahu Towers Project, Series A,
AMT, GNMA
6.900%, 06/20/05 350 375
-------
IDAHO -- 0.5%
Idaho State Housing Agency RB,
Single Family Mortgage, Series C1
7.650%, 07/01/10 340 358
Idaho State Housing Agency RB,
Single Family Mortgage,
Series F, AMT
5.800%, 07/01/07 950 1,021
Idaho State Housing & Finance
Association RB, Series B, AMT
5.650%, 07/01/09 475 501
-------
1,880
-------
20
<PAGE>
===============================================================================
- ----------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- ----------------------------------------------------------
ILLINOIS -- 8.1%
Alton, Hospital Facilities RB, Alton
Memorial Hospital Project, ETM
7.000%, 07/01/05 $ 600 $ 661
Bethany, Home & Hospital RB, First
Mortgage Methodist Church,
Pre-Refunded @ 100 (D)
7.750%, 04/01/00 130 139
Bolingbrook, Hospital Authority RB,
Hinsdale Sanitarium Hospital
Project, ETM
7.250%, 08/01/08 1,180 1,341
Bolingbrook, Mortgage RB, Capital
Appreciation Series 1 (A)
0.000%, 01/01/11 6,860 2,727
Chicago, Housing RB, Bryn Mawr
Project, AMT, GNMA
4.950%, 06/01/05 150 151
5.250%, 06/01/08 175 176
5.350%, 06/01/09 175 176
5.450%, 06/01/10 185 187
5.500%, 06/01/11 195 197
5.550%, 06/01/12 200 202
City of Fairfield, Economic
Development RB, Wayne
County Center Project
6.000%, 12/15/05 545 566
Des Plains, Hospital Facilities RB,
Holy Family Hospital Project,
ETM, FGIC
7.000%, 01/01/07 400 439
Des Plains, Hospital Facilities RB,
Holy Family Hospital Project,
ETM, MBIA
7.000%, 01/01/07 240 263
Development Finance Authority RB,
Catholic Health, Series A,
Connie Lee Insured
5.150%, 02/15/06 1,010 1,031
Development Finance Authority
RB, Community Rehabilitation
Providers
6.000%, 7/01/15 1,365 1,387
6.050%, 7/01/19 1,000 1,021
Development Finance Authority RB,
Debt Restructure, East Saint Louis,
Moral Obligation
6.050%, 11/15/99 325 332
6.875%, 11/15/05 875 946
Development Finance Authority RB,
Fund For Child Care Facilities
Project, Series A
7.400%, 09/01/04 2,400 2,643
- ----------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- ----------------------------------------------------------
Greater Peoria, Airport Authority RB,
GO, AMT, AMBAC
6.500%, 12/01/05 $ 100 $ 110
6.600%, 12/01/06 575 635
6.700%, 12/01/07 250 277
Health Facilities Authority RB,
Lutheran Health Systems, Series B,
Partially Pre-Refunded @ 102 (D)
7.375%, 04/01/99 2,000 2,125
Health Facilities Authority RB,
Lutheran Social Services
6.125%, 08/15/10 850 857
Health Facilities Authority RB,
Mercy Health Center, ETM
7.100%, 06/01/09 785 905
7.500%, 09/01/09 340 397
Health Facilities Authority RB,
Sydney R. Forkosh Memorial
Hospital, Pre-Refunded @ 100 (D)
7.000%, 07/01/02 395 425
Health Facilities RB, Michael Reese
Hospital, ETM
6.750%, 12/01/08 190 223
Health Facilities RB, Northwestern
Memorial Hospital, ETM
6.375%, 05/01/03 45 47
Quincy, Single Family Mortgage RB
6.875%, 03/01/10 550 589
Rockford, Housing RB, Faust
Landmark Apartments,
AMT, MBIA, FHA
5.625%, 07/01/07 550 569
Rockford-Concord Commons,
Housing Finance Authority RB,
Series A, FHA
5.550%, 11/01/06 580 610
Rockford-Concord Commons,
Housing Finance Authority RB,
Series A, HUD Section 8
Assisted, FHA
6.150%, 11/01/22 1,845 1,921
Southwestern Development
Authority RB, Wood River
Township Hospital Project, ETM,
Moral Obligation
6.875%, 08/01/03 200 225
Upper Illinois River Valley, Solid
Waste Disposal RB, AMT
6.500%, 02/01/04 1,775 1,839
Village of Buffalo Grove, Economic
Development Project RB,
Country Line Partners
5.450%, 08/15/02 1,365 1,384
21
<PAGE>
STATEMENT OF NET ASSETS
===============================================================================
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1997
MUNICIPAL BOND FUND, CONTINUED
- ----------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- ----------------------------------------------------------
Village of Grayslake, Multi-Family
Housing RB, Country Squire
Village Apartments,
Series A, FHA
6.000%, 06/01/05 $1,245 $ 1,309
Western Illinois University, Series A
RB, ETM
7.400%, 04/01/09 165 188
-------
29,220
-------
INDIANA -- 2.1%
Bond Bank Special Program Waste
Water Treatment RB, Series 1997C
5.100%, 8/01/05 250 255
5.200%, 8/01/07 100 103
5.300%, 8/01/08 290 297
5.400%, 8/01/09 255 262
Indianapolis, Economic
Development RB, Knob
in the Woods Project,
Mandatory Put @ 100,
AMT, FNMA (B)
6.375%, 12/01/04 3,465 3,777
Monroe County, Hospital Authority
RB, Bloomington Project, MBIA
4.750%, 05/01/06 1,000 1,001
State Health Facilities, Kings
Daughters Hospital RB,
Asset Guaranty
5.000%, 08/15/05 260 264
5.100%, 02/15/06 385 390
5.100%, 08/15/06 395 401
5.250%, 02/15/08 400 407
5.350%, 08/15/09 440 448
Vigo County, Hospital Authority
RB, ETM
6.875%, 4/01/04 105 114
-------
7,719
-------
IOWA -- 1.7%
Davenport, Home Ownership
Mortgage Refunding RB, Series 1994
4.000%, 03/01/03 30 30
Davenport, Hospital Facility
RB, ETM
7.200%, 07/01/09 200 229
Des Moines, Lutheran Hospital
RB, ETM, MBIA
9.500%, 11/15/02 50 57
- ----------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- ----------------------------------------------------------
State Finance Authority RB, Small
Business Development, Terrance
Center Association, L.P. Project,
Guaranty Agreement with Central
Life Assurance Company
7.500%, 03/01/22 $1,550 $ 1,719
State Finance Authority RB,
Solid Waste Disposal,
Revenue Series 1997
Mandatory Put @ 100, AMT (B)
6.000%, 06/01/07 4,000 4,105
-------
6,140
-------
KANSAS -- 1.1%
Labette & Cowley Counties, Single
Family Mortgage RB, Series A
9.500%, 04/01/13 85 92
Manhattan, Central Business
District Redevelopment, Tax
Increment RB, Series A, AMT,
Asset Guaranty
5.200%, 12/01/03 500 508
Manhattan, Central Business District
Redevelopment, Tax Increment RB,
Series A, AMT, Asset Guaranty
5.000%, 12/01/02 665 672
Reno County, Single Family
Mortgage Revenue Refunding
Bond, Series B
8.700%, 09/01/11 340 368
Saline County, Single Family
Mortgage RB, Series A
9.500%, 10/01/11 195 209
State Development Authority RB,
Four Seasons Apartments,
AMT, (LOC) (C), Mandatory
Put @ 100 (B)
5.300%, 10/01/07 365 368
5.600%, 10/01/07 1,035 1,043
Wichita, Hospital RB, ETM
7.000%, 03/01/06 470 521
Wichita, Single Family Mortgage
RB, Series A
7.100%, 09/01/09 275 295
-------
4,076
-------
KENTUCKY -- 1.8%
Ashland, Environmental Import RB,
Allied Chemical Project, ETM
5.800%, 03/01/03 1,505 1,565
Greater Kentucky Housing
Assistance Corporation RB,
HUD Section 8 Assisted,
Project A, FHA, MBIA
7.625%, 01/01/25 425 445
22
<PAGE>
===============================================================================
- ----------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- ----------------------------------------------------------
Greater Kentucky Housing
Assistance Corporation RB,
HUD Section 8 Assisted,
Series C, FHA, MBIA
5.350%, 07/01/07 $ 540 $ 547
Lakeland, Wesley Village
Incorporated Housing RB,
HUD Section 8 Assisted, FHA
7.125%, 11/01/02 320 340
Nelson County, Industrial
Development, Series 1995 RB,
AMT, (LOC)
6.500%, 04/01/05 2,000 2,178
Owensboro, Electric, Light & Power
RB, ETM
10.500%, 01/01/04 485 581
State Turnpike Authority RB, ETM
7.100%, 07/01/02 275 293
6.125%, 07/01/07 262 282
6.625%, 07/01/08 165 182
-------
6,413
-------
LOUISIANA -- 4.0%
Housing Finance Authority RB,
Malta Square Project,
AMT, GNMA
6.500%, 09/01/38 1,615 1,700
Housing Finance Authority RB,
Malta Square Project,
AMT, GNMA
6.450%, 09/01/27 630 664
Housing Finance Authority RB,
Single Family Housing,
AMT, GNMA
8.050%, 11/01/14 395 408
Iberia, Single Family Mortgage,
Series 1993 RB
7.375%, 01/01/11 910 1,002
Jefferson Parish, Hospital Service
District # 001 RB, ETM
7.125%, 01/01/02 315 336
Lafourche Parish, Home Mortgage
Authority RB, Single Family
Mortgage, ETM
7.400%, 07/01/10 45 53
Public Facilities Authority
RB, Beau Terre Project,
Mandatory Put @ 100, FNMA (B)
5.800%, 06/01/05 750 792
Public Facilities Authority RB,
Edgewood Apartments,
Mandatory Put @ 100, FNMA (B)
5.800%, 06/01/05 5,155 5,445
- ----------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- ----------------------------------------------------------
Public Facilities Authority RB,
Oakleigh Apartment Project, AXA
5.750%, 03/15/03 $ 295 $ 311
5.850%, 03/15/04 315 332
5.950%, 03/15/05 330 348
Public Facilities Authority RB,
Series A1, Mandatory Put @ 100,
AMBAC (B)
5.000%, 06/01/02 600 611
Public Facilities Authority RB,
Single Family Mortgage, Series A
7.375%, 10/01/12 555 575
Public Facilities Authority RB,
Single Family Mortgage, Series C
8.450%, 12/01/12 691 742
Public Facilities Authority RB,
Southern Baptist Hospital, ETM
8.000%, 05/15/12 1,020 1,237
-------
14,556
-------
MAINE -- 0.1%
State Health & Higher Education
Facilities Authority RB, Cedar
Nursery, Pre-Refunded @
102 (D), FHA
7.900%, 02/01/00 65 71
State Housing Authority RB,
Series B, AMT
8.400%, 11/15/07 245 250
-------
321
-------
MARYLAND -- 1.2%
Cecil County, Economic
Development RB, Northeast
Plaza Association, Series A
6.875%, 01/15/08 1,760 1,956
Cecil County, Economic
Development RB, Northeast
Plaza Association, Series B
6.875%, 01/15/10 525 582
Frederick County, Economic
Development RB, Mortgage
Revenue Refunding Bond,
Series A, FHA
5.900%, 02/01/05 325 338
Prince George's County, Multi-Family
Mortgage RB, Emerson House
Project, Series A
6.400%, 10/15/05 1,200 1,281
-------
4,157
-------
MASSACHUSETTS -- 0.2%
State Health & Education Authority
RB, Beth Israel Hospital, ETM
5.750%, 07/01/06 65 68
23
<PAGE>
STATEMENT OF NET ASSETS
===============================================================================
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1997
MUNICIPAL BOND FUND, CONTINUED
- ----------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- ----------------------------------------------------------
State Health & Education Authority
RB, Massachusetts Institute of
Technology
8.000%, 07/01/00 $ 65 $ 71
State Housing Finance Authority
RB, AMT, MBIA
6.125%, 12/01/11 500 524
-------
663
-------
MICHIGAN -- 1.2%
Battle Creek, Economic
Development RB, Kellogg Project
5.125%, 02/01/09 500 501
Detroit, Water Supply Systems
RB, ETM
8.875%, 01/01/05 900 1,051
Petoskey, Hospital Finance
Authority RB, ETM
6.700%, 03/01/07 530 581
Saginaw, Hospital Finance Authority
RB, St. Lukes Hospital, ETM
7.500%, 11/01/10 285 336
State Building Authority
RB, ETM, MBIA
7.400%, 04/01/01 10 11
State Hospital Finance Authority
RB, Henry Ford Hospital, ETM
9.000%, 05/01/04 210 252
State Hospital Finance Authority
RB, Mount Carmel Mercy
Hospital, ETM
7.500%, 08/01/05 60 67
State Hospital Finance Authority
RB, St. Joseph Mercy Hospital
Project, ETM
7.000%, 07/01/05 345 381
State Hospital Finance Authority
RB, St. Lawrence Hospital
Project, ETM
7.500%, 05/01/07 715 811
State Hospital Finance Authority RB,
William Beaumont Project, ETM
6.200%, 01/01/03 40 42
State Housing RB, Series D,
AMT, AMBAC
5.050%, 12/01/07 100 100
5.150%, 12/01/08 100 100
5.250%, 12/01/09 100 100
5.350%, 12/01/10 100 100
-------
4,433
-------
- ----------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- ----------------------------------------------------------
MINNESOTA -- 0.9%
Cambridge, Mortgage Revenue,
Health Care Center RB,
Series A, GNMA
5.400%, 11/20/05 $ 630 $ 655
City of Fridley, Community
Development RB,
Fridley Business Plaza,
Mandatory Put @ 100, LOC (B)
5.375%, 09/01/01 1,225 1,248
Dakota County, Housing &
Redevelopment Authority RB,
Single-Family Mortgage,
AMT, FNMA, GNMA
5.550%, 10/01/02 130 134
5.750%, 10/01/04 150 155
Monticello, Pollution Control RB,
Northern States Power
5.375%, 02/01/03 450 452
Rochester, St. Mary's
Hospital RB, ETM
5.750%, 10/01/07 420 445
-------
3,089
-------
MISSISSIPPI -- 1.5%
Mississippi Home Corporation
RB, Single-Family Mortgage,
(converts to 7.375% on 12/01/97)
Series I, AMT, GNMA, FNMA
5.200%, 06/01/28 3,055 3,406
Mississippi Home Corporation RB,
Single-Family, Mortgage Access
Program, Series 1994A,
AMT, GNMA
5.000%, 06/01/04 585 604
State GO, ETM
6.200%, 02/01/08 135 148
State Business Finance Industrial
Development RB, AMT, LOC
5.450%, 09/01/01 285 290
5.600%, 09/01/02 305 312
5.800%, 09/01/04 340 351
5.900%, 09/01/05 360 371
-------
5,482
-------
MISSOURI -- 4.2%
Kansas City, Industrial Development
Authority Multi-Family
Housing RB, Coves North
Duplexes, FNMA, Mandatory
Put @ 100 (B)
5.600%, 09/01/05 2,780 2,853
24
<PAGE>
===============================================================================
- ----------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- ----------------------------------------------------------
Kansas City, Industrial Development
Authority Housing RB,
Royal Woods Apartments,
Mandatory Put @ 100,
FNMA (B)(C), AMT
5.600%, 01/01/10 $7,620 $ 7,801
Pacific & Franklin Counties, Clayton
Corporation Project RB, AMT, LOC
5.450%, 05/01/02 900 916
5.950%, 05/01/07 900 929
6.200%, 05/01/12 900 929
6.450%, 05/01/17 900 928
Saint Louis County, Convention &
Sports Center RB, Series B
6.500%, 08/15/01 775 826
Saint Louis, Airport RB, ETM
12.000%, 07/01/03 50 69
-------
15,251
-------
MONTANA -- 0.1%
Missoula County, Community
Hospital RB, ETM, AMBAC
7.125%, 06/01/07 445 496
-------
NEBRASKA -- 0.7%
Hall County, Hospital Authority
RB, ETM
8.000%, 01/01/07 335 384
Investment Finance Authority RB,
Multi-Family Housing, Old
Cheney Apartments, Series A,
Mandatory Put @ 100, FNMA (B)
5.500%, 12/01/05 2,000 2,080
-------
2,464
-------
NEVADA -- 0.7%
State Housing Division RB,
Multi-Family Mortgage,
Saratoga Palms Project,
AMT, FNMA
5.900%, 04/01/06 700 726
State Housing Division RB, Single
Family Mortgage, Series B,
AMT, FHA, VA
6.450%, 10/01/07 835 907
State Housing Division RB, Single
Family Mortgage, Series E, AMT
6.000%, 10/01/09 500 519
State Housing Division RB, Single
Family Mortgage, Series C1,
5.450%, 04/01/10 500 503
-------
2,655
-------
- ----------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- ----------------------------------------------------------
NEW HAMPSHIRE -- 1.4%
State Higher Education & Health
Facilities Authority RB, Crotched
Mountain Rehabilitation Center,
Pre-Refunded @ 102 (D)
7.500%, 01/01/00 $ 110 $ 120
State Higher Education & Health
Facilities Authority RB, Kendal at
Hanover, (LOC)
5.200%, 10/01/06 830 835
5.300%, 10/01/07 625 629
State Higher Education & Health
Facilities Authority RB,
Riverwoods at Exeter, Series B,
LOC, Mandatory Put @ 100 (B)
5.050%, 03/01/03 3,200 3,296
-------
4,880
-------
NEW JERSEY -- 1.5%
Church Street Corporation RB,
Keansburg Elderly Housing, Series
1994, HUD Section 8 Assistance
5.000%, 03/01/01 220 222
Deptford Township, GO,
Fire District # 1
5.600%, 10/15/06 190 202
5.850%, 10/15/07 200 217
Economic Development Authority
RB, National Westminster,
Series H-2, AMT, (LOC)
5.000%, 10/01/05 690 701
Education Facilities Authority RB,
Caldwell College, Series A
7.250%, 07/01/25 1,195 1,258
State Health Care Facility Finance
Authority RB, Community
Memorial Hospital, Series C
8.000%, 07/01/14 205 214
State Health Care Facility Finance
Authority RB, Hackensack
Hospital, ETM
8.750%, 07/01/09 150 180
State Highway Authority RB,
Garden State Parkway, ETM
6.500%, 01/01/11 190 213
State Housing & Mortgage RB,
Presidential Plaza, FHA
6.950%, 05/01/13 640 690
State Turnpike Authority RB, ETM
10.375%, 01/01/03 1,310 1,531
-------
5,428
-------
25
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1997
MUNICIPAL BOND FUND, CONTINUED
- ----------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- ----------------------------------------------------------
NEW MEXICO -- 1.3%
Albuquerque, Class B-2,
CMO, FGIC (A)
0.000%, 05/15/11 $3,624 $ 1,422
Albuquerque, Residential Mortgage
RB, Series A, ETM
7.000%, 03/01/04 625 689
Bernalillo County, Multi-Family
Housing RB, Sunchase
Apartments, Series A,
Mandatory Put @ 100, AXA (B)
5.800%, 11/01/06 1,500 1,592
Roswell, Airport and Marina
Improvement RB, AMT
8.500%, 11/01/98 140 141
Santa Fe, Single Family Mortgage
Authority RB, Series 1991
8.450%, 12/01/11 151 163
State Mortgage RB, FHLMC,
FNMA, GNMA
5.500%, 07/01/17 225 224
5.600%, 07/01/28 500 498
-------
4,729
-------
NEW YORK -- 7.0%
Amherst, Industrial Development
Agency RB, Multi Surface Rink
Complex, (LOC)
4.75%, 10/01/02 210 211
5.15%, 10/01/06 360 361
Capital District, Youth Center Lease
RB, (LOC)
6.000%, 02/01/17 500 514
Nassau County, General
Improvement GO, Series X,
AMBAC
5.000%, 11/01/05 500 514
5.000%, 11/01/06 500 511
New York City, Housing Authority
RB, Series A, AMBAC, HUD
5.450%, 07/01/08 1,655 1,727
New York City, Industrial
Development Agency RB,
Series C, Mandatory Put @ 100,
AMT, (LOC) (B)
7.625%, 11/01/99 2,965 3,025
State Dormitory Authority RB,
Long Island University,
Asset Guaranty
6.000%, 09/01/08 3,450 3,713
State Dormitory Authority RB,
St Mary's Hospital, MBIA
5.250%, 05/01/05 1,335 1,377
- ----------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- ----------------------------------------------------------
State Medical Care Facilities Finance
Agency RB, Hospital & Nursing
Home, Series A, Partially
Pre-Refunded @ 102, FHA (D)
7.900%, 08/15/98 $ 55 $ 57
State Mortgage Agency RB,
AMT, FHA
7.700%, 10/01/21 3,390 3,576
State Power Authority RB,
Series C, ETM
9.500%, 01/01/01 410 437
State Urban Development
Authority RB, AMBAC
5.625%, 01/01/07 5,000 5,294
Syracuse, Housing Authority RB,
Loretto Rest Homes, FHA
5.000%, 08/01/07 2,400 2,412
UFA Development Corporation,
Mortgage RB, Loretto
Utica Project, FHA
5.150%, 07/01/03 1,545 1,586
-------
25,315
-------
NORTH CAROLINA -- 0.2%
Vance County, Industrial Facilities
Authority RB, AMT, (LOC),
Optional Put 9/1/98 @ 100
4.700%, 09/01/00 600 601
-------
OHIO -- 2.2%
Cuyahoga County, Deaconess
Hospital Project RB, ETM
6.750%, 11/01/09 444 490
Cuyahoga County, Multi-Family
Housing RB, Water Street
Association, AMT, FHA, GNMA
6.250%, 12/20/36 1,300 1,368
Lucas-Palmer, Housing
Development Corporation RB,
Palmer Gardens Section 8,
Series A, FHA, MBIA
5.900%, 07/01/07 295 310
Miami County, Hospital Facilities RB,
Pre-Refunded @ 102, MBIA (D)
6.625%, 05/01/99 40 42
Ohio Capital Corporation for
Housing, Mortgage RB, Section 8
Assistance, Project E, FHA, MBIA
5.700%, 01/01/05 450 469
Pike County, Health Services RB
6.750%, 07/01/17 2,000 1,995
State Building Authority RB, Toledo
Government Office Building,
Pre-Refunded @ 100 (D)
10.125%, 04/01/03 470 566
26
<PAGE>
================================================================================
- ----------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- ----------------------------------------------------------
State Mortgage RB, FHA
5.600%, 08/01/06 $ 505 $ 521
State Pollution Control RB,
General Motors
6.500%, 03/01/06 250 252
State Water Development
Authority RB, ETM
9.375%, 12/01/10 350 443
Youngstown State University,
General Receipt RB, Series A
6.200%, 12/15/16 1,580 1,623
-------
8,079
-------
OKLAHOMA -- 1.2%
Cleveland County, Home Loan
Authority RB, Single Family
Mortgage, Series 1992
8.375%, 08/01/12 2,060 2,245
Grand River, Dam Authority
RB, ETM
6.250%, 11/01/08 70 74
McAlester, Public Works
Authority RB, FSA
8.250%, 12/01/04 125 152
8.250%, 12/01/05 750 928
8.250%, 12/01/06 185 232
Payne County, Housing Finance
Authority RB, Single Family
Mortgage, Series A
8.625%, 03/01/11 385 411
State Housing Finance Authority
RB, AMT, GNMA
7.997%, 08/01/18 75 81
Tulsa, Industrial Development
Authority RB, Doctors Medical
Center, Pre-Refunded @ 100 (D)
6.625%, 10/01/03 165 178
-------
4,301
-------
PENNSYLVANIA -- 11.3%
Allegheny County, Greater Pittsburgh
International Airport RB, Series C,
Partially Pre-Refunded @ 102, ETM
AMT, MBIA (D)
8.250%, 01/01/98 725 744
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 RB, GNMA
6.500%, 11/01/14 555 584
- ----------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- ----------------------------------------------------------
Allentown, Hospital Authority RB,
Sacred Heart Hospital of
Allentown, Series A
6.200%, 11/15/03 $ 700 $ 736
Bucks County, Industrial
Development Authority RB,
Women's Humane Society
7.100%, 12/01/09 600 600
Bucks County, Saint Mary's
Hospital Authority RB, ETM
6.625%, 07/01/04 75 81
Chester County, Hospital Authority
RB, Brandywine Hospital
7.000%, 07/01/10 450 457
Dauphin County School Project,
General Authority RB,
WW15 Term, Mandatory
Tender @ 100 (B)
6.850%, 06/01/09 700 753
Delaware River, Port Authority
RB, ETM, GO, (LOC)
6.500%, 01/15/11 15 17
Delaware County, Housing
RB, Dunwoody Village
5.625%, 04/01/09 170 174
Erie, Higher Education
RB, Mercyhurst College
5.750%, 03/15/12 120 122
5.850%, 03/15/17 435 443
Falls Township, Hospital Authority
RB, Delaware Valley Medical
Center, FHA
6.900%, 08/01/11 3,820 4,178
Fayette County, Hospital Authority
RB, Uniontown Hospital,
Connie Lee Insured
5.200%, 06/15/04 280 287
5.400%, 06/15/06 1,120 1,156
5.450%, 06/15/07 600 622
5.550%, 06/15/08 1,420 1,475
5.650%, 06/15/09 1,505 1,563
Geisinger, Health Systems
Authority RB
7.375%, 07/01/02 200 213
Harrisburg, GO, ETM, MBIA
9.750%, 04/15/99 75 80
Hazleton, School District GO,
Series A, FGIC
4.500%, 03/01/05 150 149
4.650%, 03/01/07 615 608
4.750%, 03/01/08 850 840
4.900%, 03/01/09 895 886
5.000%, 03/01/10 735 728
5.000%, 03/01/11 585 575
27
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1997
MUNICIPAL BOND FUND, CONTINUED
- ----------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- ----------------------------------------------------------
Jefferson County, Municipal
Authority RB, ETM, MBIA, GTD
7.000%, 12/01/02 $ 30 $ 32
Kennett Square, GO
4.500%, 02/01/99 400 402
Kennett Square, Sewer Authority
RB, FSA
5.300%, 12/15/27 2,565 2,555
Lancaster, Sewer Authority
RB, ETM
6.000%, 04/01/12 5 5
Lehigh County, General Purpose
RB, Muhlenberg Continuing Care,
Mandatory Put @ 100, (LOC) (B)
7.800%, 03/15/02 2,320 2,465
Lehigh County, Muhlenberg
Hospital Center RB
4.800%, 07/15/00 1,685 1,698
Manheim Township, School
Authority RB, Series 1978,
Pre-Refunded @ 100 (D)
6.625%, 12/01/05 465 522
Monroeville, Hospital Authority RB,
East Suburban Health Center,
Pre-Refunded @ 100 (D)
7.600%, 07/01/04 600 677
Montgomery County, Industrial
Development Authority RB,
BMHR Associate Project, LOC
6.750%, 11/15/04 250 260
Montgomery County, Industrial
Development Authority RB,
Emergency Care Research
Institute Project
6.400%, 06/01/03 535 559
Morrisville, School District RB, GTD
5.500%, 09/01/98 100 101
Philadelphia, Industrial
Development Authority RB,
Jeanes Physician's Office, Series A
9.375%, 07/01/10 930 944
Philadelphia, Industrial
Development Authority RB,
National Board of Medical
Examiners Project
6.750%, 05/01/12 550 596
Philadelphia, St. Agnes Hospital
RB, ETM
6.750%, 08/15/01 355 370
Pittsburgh, Urban Redevelopment
Authority RB, Series C, AMT,
FNMA, GNMA
5.950%, 10/01/29 250 254
- ----------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- ----------------------------------------------------------
Pittsburgh, Urban Redevelopment
Authority RB, Center Triangle,
Private Placement Tax Increment,
Series A, (LOC)
5.125%, 06/01/00 $1,175 $ 1,188
Pottsville, Hospital Authority RB,
Pottsville Hospital & Warner Clinic
7.250%, 07/01/24 605 667
Scranton & Lackawanna Counties,
Health & Welfare Authority RB
6.625%, 04/15/07 285 289
Somerset County, Hospital Authority
RB, Asset Guaranty, Series 1997 B
5.200%, 03/01/10 605 605
5.300%, 03/01/11 145 145
Southeastern Pennsylvania, Greene
School District GO, ETM
9.375%, 07/01/03 10 12
State Higher Education Facilities
Authority RB, University of the
Arts, Series 1997, Asset Guaranty
4.750%, 03/15/05 165 164
4.850%, 03/15/06 270 267
5.100%, 03/15/09 310 307
5.200%, 03/15/10 325 321
5.250%, 03/15/11 345 341
5.300%, 03/15/12 345 342
State Higher Education Facilities
Authority RB, Ursinus College
5.000%, 01/01/02 160 162
5.100%, 01/01/03 180 183
5.200%, 01/01/04 195 198
5.300%, 01/01/05 220 224
5.400%, 01/01/06 245 250
5.850%, 01/01/17 1,275 1,296
State Housing Authority RB, Rental
Housing, FNMA, FHA
5.150%, 07/01/03 400 413
State Housing Authority RB, Single
Family Mortgage, AMT
7.000%, 10/01/05 230 246
Westtown Township, GO
4.500%, 03/01/99 1,500 1,506
York, Housing RB
6.875%, 11/01/09 1,255 1,296
-------
40,936
-------
RHODE ISLAND -- 1.8%
Central Falls, GO,
Pre-Refunded @ 103 (D)
9.250%, 11/15/00 180 211
State Housing & Mortgage Finance
Corporation RB, Home Ownership,
Series 3B, AMT
8.050%, 04/01/22 1,300 1,368
28
<PAGE>
================================================================================
- ----------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- ----------------------------------------------------------
State Industrial Facilities RB, Crystal
Thermoplastics Project, Series A,
AMT, IRBA
6.900%, 08/01/14 $ 380 $ 401
State Turnpike & Bridge
Authority RB
5.350%, 12/01/17 3,700 3,672
West Warwick, GO, Series A,
Asset Guaranty
7.300%, 07/15/08 910 1,048
-------
6,700
-------
SOUTH CAROLINA -- 1.3%
State Housing Finance Authority RB,
Multi-Family Housing,
Bryton Point Apartments
Mandatory Put @ 100, FNMA (B)
5.700%, 06/01/05 3,050 3,279
State Housing Finance Authority RB,
Multi-Family Housing, Runaway
Bay Apartments
5.500%, 12/01/05 1,000 1,044
State Housing Finance Authority
RB, Multi-Family Housing,
Westbury Place, FHA
6.050%, 07/01/27 475 490
-------
4,813
-------
SOUTH DAKOTA -- 0.3%
State Housing Development
Authority RB, Series B,
HUD Section 8
7.000%, 04/01/12 1,000 1,073
-------
TENNESSEE -- 1.2%
Greeneville, Health & Education
Facility Board RB, Southern
Advent Hospital, ETM
8.700%, 10/01/09 375 459
Nashville & Davidson Counties,
Metropolitan Government Health
& Education Facilities Board RB,
Welch Bend Apartments, Series A,
Mandatory Put @ 100, FNMA (B)
5.500%, 01/01/07 2,130 2,210
Nashville & Davidson Counties,
Health & Education Board RB,
CI Homes Project,
Pre-Refunded @ 105 (D)
9.000%, 10/01/07 250 338
Shelby County, Health & Housing
Board RB, Asset Guaranty
6.500%, 10/01/07 1,325 1,416
-------
4,423
-------
- ----------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- ----------------------------------------------------------
TEXAS -- 6.8%
Bell County, Health Facility
Development Corporation RB,
Central Texas Pooled Health,
Investment Agreement Sun Life
Series A, Mandatory Put @ 100 (B)
4.750%, 10/01/98 $ 100 $ 101
Bexar County, Housing Finance
Corporation Residual Bond,
Capital Appreciation (A)
0.000%, 03/01/15 1,765 569
Brazos, Higher Education Authority
RB, AMT, GTD
6.500%, 06/01/04 500 534
Bryon, Higher Education Authority
RB, Allen Academy, Series A
6.500%, 12/01/06 400 412
7.300%, 12/01/16 1,750 1,816
Collin County, Housing Finance
Corporation RB, Multi-Family
Mortgage, Preston Bend
Apartments Project, AXA
Mandatory Put @ 100 (B)
6.500%, 09/01/03 1,000 1,035
De Soto, Housing RB, Colonies
Apartments Project,
Mandatory Put @ 100, FNMA (B)
5.125%, 10/01/07 3,725 3,678
Denison, Hospital Authority RB,
Texoma Medical Center, ETM
7.125%, 07/01/08 145 165
Duncanville, Hospital Development
Authority RB, Methodist Hospital
Project, ETM
9.000%, 01/01/10 700 858
Grand Prairie, Multi-Family
Mortgage RB, Sugar Creek
Apartments, Project A
6.000%, 02/01/05 655 677
Gregg County, Housing Finance
Corporation RB, Summer Lake
Project, Series A, AXA,
Mandatory Put @ 100 (B)
6.400%, 03/01/06 500 531
Gulf Coast, Pollution Control RB,
Pre-Refunded @ 100 (D)
6.500%, 08/01/03 140 151
Harris County, Housing Finance
Corporation RB, Multi-Family
Housing, Colonial House
Apartments Project,
Mandatory Put @ 100, (LOC) (B)
5.600%, 09/01/99 230 235
29
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1997
MUNICIPAL BOND FUND, CONTINUED
- ----------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- ----------------------------------------------------------
Harris County, Housing Finance
RB, Series 1996, AMT, FSA
5.700%, 06/01/06 $ 280 $ 290
Houston, Port Authority RB,
Airport and Marina Improvement
5.750%, 05/01/02 310 316
Houston, Sewer System RB, ETM
5.400%, 10/01/04 50 53
6.375%, 10/01/08 85 97
Houston, Housing Finance
Corporation RB, Series 1996-A1
8.000%, 06/01/14 2,150 2,389
Houston, Housing Finance
Corporation RB,
Series 1996-A2 (A)
0.000%, 06/01/14 1,830 542
Northeast Hospital Authority
RB, ETM
8.000%, 07/01/08 545 634
Odessa, Single Family Mortgage
RB, Series A, FNMA
8.450%, 11/01/11 289 313
Panhandle Plains, Higher Education
Authority RB, Series D, AMT, GTD
5.100%, 09/01/03 210 214
5.250%, 03/01/05 185 189
Panhandle, Housing Finance
Corporation RB, Single Family
Mortgage, Series A, AMT, GNMA
7.500%, 05/01/24 440 465
South Plains, Regional Housing
Authority RB, Section 8 Assistance
Project, Series A, HUD
6.000%, 08/01/00 50 51
6.500%, 08/01/05 325 335
6.900%, 08/01/09 500 518
Southeast Hospital Financing Agency
RB, Memorial Hospital System
Project, ETM
8.500%, 12/01/08 380 462
7.500%, 12/01/09 1,030 1,191
Tarrant County, Housing RB,
Summit Project, Mandatory
Put @ 100 (B), FNMA
5.080%, 09/01/07 2,000 2,008
Texarkana, Housing Finance
Corporation RB, Summerhill,
Series A, GNMA
5.550%, 01/20/07 230 238
Travis County, Housing Finance RB,
Series 1996, AMT, FSA
5.700%, 06/01/06 955 990
- ----------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- ----------------------------------------------------------
Webb County, Certificate of
Participation, Asset Guaranty
5.100%, 10/01/07 $ 750 $ 769
5.200%, 10/01/08 775 795
5.300%, 10/01/09 800 821
-------
24,442
-------
UTAH -- 1.6%
Brigham City, Special Assessment
Bond, District # 22
9.000%, 08/01/04 270 307
Hilldale, Electric Bonds GO, AMT
7.500%, 12/15/03 455 497
Provo, Housing Authority RB, Lookout
Pointe Apartments, GNMA
6.000%, 07/20/08 665 708
Salt Lake City, Industrial
Development Authority RB,
Hermes Associates Project, (LOC)
5.900%, 09/01/99 200 205
State Housing Finance Agency RB,
Single Family Mortgage, Issue
F-1, AMBAC
5.850%, 07/01/07 925 992
State Housing Finance Agency RB,
Single Family Mortgage,
Series B-2, AMT, FHA
7.600%, 01/01/22 215 228
State Housing Finance Agency RB,
Single Family Mortgage
5.500%, 07/01/16 420 419
State Municipal Finance Corporation
RB, Local Government
7.300%, 12/01/03 500 511
State School District Finance
Cooperative RB, Financing Pool,
Mandatory Put @ 100, (LOC) (B)
8.375%, 02/15/01 535 551
Weber County, Municipal Building
Authority RB, Series 1994,
Asset Guaranty
6.750%, 12/15/04 1,275 1,433
-------
5,851
-------
VIRGINIA -- 2.0%
Alexandria, Redevelopment &
Housing Authority RB,
Multi-Family Housing, United
Dominion-Parkwood Court,
Mandatory Put @ 100, AMT (B)
6.625%, 05/01/06 2,990 3,147
30
<PAGE>
================================================================================
- ----------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- ----------------------------------------------------------
King George County, Industrial
Development Authority RB,
King George County Elementary
School Notes, Series A
4.875%, 08/01/98 $ 305 $ 305
Newport News, Industrial
Development Authority RB,
Mennonwood Communities,
Series 1996, GNMA
7.250%, 08/01/16 1,185 1,302
Richmond, Metro Authority
Expressway RB, Partially
Pre-Refunded @ 102,
AMBAC (D), ETM
7.000%, 10/15/00 1,400 1,573
State Housing Development
Authority RB, Multi-Family
Housing, Series D
6.800%, 11/01/09 800 865
-------
7,192
-------
WASHINGTON -- 2.2%
King County, Housing Authority RB,
Elderly Housing, Section 8
Assisted, Series B
7.000%, 08/01/03 225 236
King County, Housing Authority RB,
Multi-Family Mortgage, Section 8
Assisted Housing, Series A
7.000%, 08/01/03 750 801
Seattle, Low Income Housing
Assistance Authority RB,
Kin On Project, Series A, GNMA
7.400%, 11/20/36 1,497 1,693
State Health Care Facilities Authority
RB, Sisters of Providence,
Pre-Refunded @ 102 (D)
7.875%, 10/01/99 940 1,019
State Housing Finance Commission
RB, Series A, FNMA
7.000%, 07/01/99 125 127
State Housing Finance Commission
RB, Series B, FNMA, GNMA
6.900%, 07/01/16 3,720 3,948
-------
7,824
-------
WEST VIRGINIA -- 1.2%
Beckley, Nursing Facility RB, Beckley
Health Corporation, (LOC)
5.550%, 09/01/08 245 247
5.700%, 09/01/09 205 208
- ----------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- ----------------------------------------------------------
Harrison County, Single Family
Mortgage RB, Series B, CMO,
AMBAC (A)
0.000%, 10/20/10 $2,822 $ 1,136
Marshall County, Capital
Appreciation RB, MBIA (A)
0.00%, 05/01/14 3,000 870
Mason County, First Mortgage RB,
Point Pleasant Haven, (LOC)
6.200%, 12/01/05 850 891
Mercer County, Single Family
Housing Authority RB,
ETM, FHA, VA
7.250%, 08/01/10 170 194
Raleigh, Fayette, & Nicholas
Counties, Single Family Mortgage
RB, Series B, CMO, AMBAC (A)
0.000%, 06/20/10 2,167 832
-------
4,378
-------
WISCONSIN -- 1.8%
Oshkosh, Hospital Facilities
Authority RB, Mercy Medical
Center, Pre-Refunded @ 100 (D)
7.375%, 07/01/07 160 180
Pewaukee, Lake Country Industrial
Development RB, AMT, (LOC)
5.800%, 06/01/04 105 109
5.900%, 06/01/05 110 115
6.000%, 06/01/06 140 146
State Health & Education Facilities
Authority RB, Viterbo College
Project, (LOC)
5.250%, 02/01/04 115 116
5.400%, 02/01/05 100 101
5.750%, 02/01/12 525 530
6.000%, 02/01/17 540 554
State Health & Education Facilities
Authority RB, Sisters of
Sorrowful Mother, MBIA
5.200%, 08/15/08 1,670 1,720
5.300%, 08/15/09 1,185 1,222
State Health & Education Facilities
Authority RB, Sisters of
Sorrowful Mother, MBIA
5.100%, 08/15/07 1,135 1,168
West Bend, GO
6.400%, 02/01/05 150 162
Whitewater, Waterworks System RB
7.500%, 07/01/16 250 286
-------
6,409
-------
31
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1997
MUNICIPAL BOND FUND, CONTINUED
- ----------------------------------------------------------
FACE AMOUNT/ VALUE
DESCRIPTION SHARES (000) (000)
- ----------------------------------------------------------
WYOMING -- 0.5%
City of Cheyenne, Federal Mineral
Royalty RB, Second Lien
6.200%, 06/01/09 $1,000 $ 1,054
Community Development Authority
Housing RB, AMT
5.700%, 12/01/07 200 209
Community Development Authority
Housing RB, Series B, AMT
8.125%, 06/01/21 520 548
--------
1,811
--------
Total Municipal Bonds
(Cost $342,037) 353,111
--------
TAX-EXEMPT ASSET-BACKED SECURITIES -- 1.2%
Bridlewood Village Apartments,
Participation Certificate,
Class A, FHA 221
5.600%, 09/01/21 1,867 1,867
FHA Insured Trust, Series 1996-1,
Class A-2, Private Placement
6.750%, 02/01/13 606 605
FHA Insured Trust, Series 1996-1,
Class A-3, Private Placement
7.000%, 02/01/22 1,713 1,709
--------
Total Tax-Exempt
Asset-Backed Securities
(Cost $4,188) 4,181
--------
CASH EQUIVALENT -- 2.0%
SEI Institutional Tax Free
Portfolio 7,190 7,190
--------
Total Cash Equivalent
(Cost $7,190) 7,190
--------
Total Investments -- 100.8%
(Cost $353,415) 364,482
--------
OTHER ASSETS AND LIABILITIES, NET-- (0.8%) (2,829)
--------
NET ASSETS:
Capital shares of Institutional Shares
(unlimited authorization--$0.001
par value) based on 32,497,587
outstanding shares of beneficial interest 350,257
Capital shares of Service Shares
(unlimited authorization--$0.001
par value) based on 17,294
outstanding shares of beneficial interest 191
- ----------------------------------------------------------
DESCRIPTION (000)
- ----------------------------------------------------------
Undistributed net investment income $ 38
Accumulated net realized gain on investments 100
Net unrealized appreciation on investments 11,067
--------
Total Net Assets-- 100.0% $361,653
========
Net Asset Value, Offering and Redemption
Price Per Share--Institutional Shares $11.12
========
Net Asset Value, Offering and Redemption
Price Per Share--Service Shares $11.11
========
(A) ZERO COUPON SECURITY
(B) MANDATORY PUT/TENDER SECURITY. THE MANDATORY PUT/TENDER DATE IS SHOWN AS THE
MATURITY DATE ON THE STATEMENT OF NET ASSETS.
(C) VARIABLE RATE SECURITY. THE RATE REPORTED ON THE STATEMENT OF NET ASSETS IS
THE RATE IN EFFECT AS OF OCTOBER 31, 1997.
(D) 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.
CMO COLLATERALIZED MORTGAGE OBLIGATION
ETM ESCROWED TO MATURITY
GO GENERAL OBLIGATION
GTD GUARANTEED STUDENT LOANS
LOC SECURITIES ARE HELD IN CONNECTION WITH A LETTER OF CREDIT BY A MAJOR
COMMERCIAL BANK.
RB REVENUE BOND
VA VETERANS ADMINISTRATION
THE FOLLOWING ORGANIZATIONS HAVE PROVIDED UNDERLYING CREDIT SUPPORT FOR THE
SECURITIES AS DEFINED IN THE STATEMENT OF NET ASSETS.
AMBAC AMERICAN MUNICIPAL BOND ASSURANCE CORPORATION
ASSET GUARANTY ASSET GUARANTY
AXA AXA REINSURANCE
FGIC FINANCIAL GUARANTY INSURANCE COMPANY
FHA FEDERAL HOUSING ADMINISTRATION
FHLMC FEDERAL HOME LOAN MORTGAGE CORPORATION
FNMA FEDERAL NATIONAL MORTGAGE ASSOCIATION
FSA FINANCIAL SECURITY ASSURANCE
GNMA GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
HUD HOUSING & URBAN DEVELOPMENT
IRBA IRBA GUARANTY
MBIA MUNICIPAL BOND INVESTORS ASSURANCE
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
32
<PAGE>
================================================================================
FIXED INCOME FUND
- ----------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- ----------------------------------------------------------
CORPORATE OBLIGATIONS -- 23.2%
American United
Life Insurance, 144A
7.750%, 03/30/26 $ 9,050 $ 9,095
Associates N.A.
6.700%, 05/29/01 11,830 12,052
BankAmerica
6.625%, 08/01/07 4,039 4,029
BankAmerica Institutional-B, 144A
7.700%, 12/31/26 8,800 8,921
Bank of New York, 144A
7.780%, 12/01/26 4,360 4,420
BFC Finance, GSA Lease
7.375%, 12/01/17 7,975 8,297
Chrysler
7.450%, 02/01/2097 1,325 1,378
Constitution Capital, 144A
9.150%, 04/15/27 720 777
Executive Risk Capital Trust
8.675%, 02/01/27 6,000 6,495
Farmers Insurance Exchange, 144A
8.625%, 05/01/24 9,000 10,215
Florida Property, 144A
7.375%, 07/01/03 5,435 5,693
General Motors Acceptance Corp.
7.125%, 05/01/01 18,000 18,540
Drexel Burnham Lambert Trust,
Series T, Class 3
8.450%, 01/20/19 2,016 2,066
Heller Financial Fuji Bank
6.440%, 10/06/02 15,000 15,094
Hong Kong Shanghai Bank
7.000%, 11/01/06 13,800 13,938
Hong Kong Shanghai
Bank America, 144A
7.808%, 12/15/26 8,325 8,023
Jackson National
Life Insurance, 144A
8.150%, 03/15/27 13,000 14,143
Jefferson Pilot Insurance, 144A
8.140%, 01/15/46 7,330 7,532
Korea Development Bank
7.000%, 07/15/99 7,000 6,913
Lehman Brothers,
Mandatory Put @ 100 (B)
7.500%, 08/01/03 8,665 9,098
Lehman Brothers
8.750%, 03/15/05 2,445 2,745
11.625%, 05/15/05 4,735 6,102
Liberty Mutual Surplus, 144A
8.200%, 05/04/07 4,065 4,477
Life Reinsurance
Capital Tier I, 144A
8.720%, 06/15/27 5,290 5,575
- ----------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- ----------------------------------------------------------
Merrill Lynch, MTN
6.375%, 10/01/01 $ 9,280 $ 9,303
Ohio National Life Insurance, 144A
8.500%, 05/15/26 4,000 4,382
Paine Webber
6.750%, 02/01/06 10,400 10,426
Prudential Funding, 144A
6.750%, 09/15/23 2,000 1,835
Prudential Insurance, 144A
6.875%, 04/15/03 9,920 10,044
7.650%, 07/01/07 10,000 10,638
Republic of Marshall Islands
Private Placement
7.600%, 10/15/01 6,808 6,910
Union Central Life Insurance, 144A
8.200%, 11/01/26 10,790 11,222
World Financial Center,
144A, Tower D
6.950%, 09/01/13 5,000 5,108
--------
Total Corporate Obligations
(Cost $247,439) 255,486
--------
ASSET-BACKED SECURITIES -- 9.4%
Banc One Credit Card Master Trust,
Series 1995-A
6.150%, 07/15/02 13,510 13,585
Barnett Auto Trust, Series 1997-A,
Class A4
6.180%, 09/15/02 16,900 16,869
Chase Manhattan Credit Card Trust,
Series 1996-3, Class A
7.040%, 02/15/05 5,330 5,504
Chemical Master Credit Card Trust,
Series 1996-1, Class A
5.550%, 09/15/03 13,980 13,829
Chemical Master Credit Card
Trust 1, Series 1996-3, Class A
7.090%, 02/15/09 8,905 9,411
First Omni Bank Credit Card Master
Trust, Series 1996-A, Class A
6.650%, 09/15/03 14,855 15,189
First USA Credit Card Master Trust,
Series 1997-6, Class A
6.420%, 03/17/05 8,505 8,638
Union Acceptance, Series 1997-C,
Class A3
6.490%, 01/10/05 20,000 20,104
--------
Total Asset-Backed Securities
(Cost $102,191) 103,129
--------
33
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1997
FIXED INCOME FUND, CONTINUED
- ----------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- ----------------------------------------------------------
MORTGAGE-BACKED OBLIGATIONS -- 27.4%
Access Financial Manufactured
Housing Contract Trust,
Series 1995-1, Class A3
7.100%, 05/15/21 $ 660 $ 683
Access Financial Manufactured
Housing Contract Trust,
Series 1996-1, Class A4
7.300%, 11/15/26 300 313
Associates Manufactured Housing,
Series 1996-1, Class A4
7.300%, 03/15/27 2,460 2,574
Associates Manufactured Housing,
Series 1996-1, Class A5
7.600%, 03/15/27 4,200 4,495
Associates Manufactured Housing,
Series 1997-1, Class A5, 1997-2
6.675%, 03/15/28 10,775 10,809
BankAmerica Manufactured
Housing Contract Series 1996-1,
Class A4
7.300%, 10/10/26 14,068 14,693
Chase Mortgage Finance,
Series 1994-B, Class A1
6.750%, 02/25/25 1,352 1,353
Chase Mortgage Finance,
Series 1994-G, Class A3
6.750%, 04/25/25 11,396 11,394
Countrywide Mortgage
Backed Securities,
Series 1994-C, Class A8
6.500%, 03/25/24 1,265 1,168
First Boston Mortgage Securities,
Series 1992-4, Class A4
7.500%, 10/25/22 2,236 2,257
General Electric Capital Mortgage
Services, Series 1993-14, Class A7
6.500%, 11/25/23 1,275 1,169
General Electric Capital Mortgage
Services, Series 1994-10,
Class A10
6.500%, 03/25/24 2,745 2,696
General Electric Capital Mortgage
Services, Series 1994-18, Class A2
7.000%, 08/25/24 203 202
General Electric Capital Mortgage
Services, Series 1997-7, Class A7
7.500%, 08/25/27 4,051 4,157
Green Tree Financial, Series 1994-6,
Class A5
8.250%, 01/15/20 5,000 5,327
Green Tree Financial, Series 1996-2,
Class A4
7.200%, 04/15/27 7,000 7,279
- ----------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- ----------------------------------------------------------
Green Tree Financial, Series 1996-2,
Class B1
7.550%, 04/15/27 $ 7,100 $ 7,334
Green Tree Financial, Series 1996-4,
Class A6
7.400%, 06/15/27 4,750 4,989
Green Tree Financial, Series 1996-5,
Class A5
7.450%, 07/15/27 4,450 4,682
Green Tree Financial, Series 1996-8,
Class A6
7.600%, 09/25/26 3,900 4,171
Green Tree Financial, Series 1997-3,
Class B1
7.510%, 07/15/28 7,000 7,275
Green Tree Financial, Series 1997-5,
Class A6
6.820%, 05/15/29 9,000 9,153
Green Tree Financial, Series 1997-6,
Class B1
7.170%, 01/15/29 10,800 11,041
Green Tree Home Improvement
Loan Trust, Series 1996-F,
Class HEA3
6.900%, 01/15/28 5,350 5,498
Green Tree Home Improvement
Loan Trust, Series 1997-D,
Class HEA3
6.390%, 09/15/28 5,000 5,021
J.P. Morgan Commercial Mortgage
Finance, Series 1996-C2, Class A
6.470%, 11/25/27 252 255
J.P. Morgan Commercial Mortgage
Finance, Series 1997-C5, Class A2
7.069%, 09/15/29 17,025 17,673
Merrill Lynch Mortgage Investors,
Series 1990-C, Class B, 144A
9.700%, 06/15/10 10,000 10,983
Merrill Lynch Mortgage Investors,
Series 1991-1, Class A
7.650%, 01/15/12 1,329 1,362
Merrill Lynch Mortgage Investors,
Series 1995-C1, Class A (C), 144A
7.137%, 05/25/15 6,476 6,654
Merrill Lynch Mortgage Investors,
Series 1996-C1, Class A1
7.150%, 04/25/28 9,688 9,970
Midland Realty Acceptance,
Series 1996-C1, Class A1
7.315%, 04/25/03 5,726 5,768
Norwest Asset Securities,
Series 1996-2, Class A6
7.000%, 09/15/11 9,000 9,112
34
<PAGE>
================================================================================
- ----------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- ----------------------------------------------------------
Norwest Asset Securities,
Series 1997-14, Class A2
6.750%, 10/25/27 $18,469 $ 18,864
Oakwood Mortgage Investors,
Series 1996-B, Class A3
7.100%, 10/15/26 3,530 3,636
Oakwood Mortgage Investors,
Series 1996-B, Class A4
7.350%, 10/15/26 5,400 5,673
Paine Webber Mortgage Acceptance,
Series 1995-M1, Class A, 144A
6.700%, 01/15/07 20,000 20,372
PNC Mortgage Securities,
Series 1997-6, Class A2
6.600%, 07/25/27 4,300 4,338
Prudential Home Mortgage
Securities, Series 1993-1, Class A1
7.500%, 02/25/23 3,200 3,196
Prudential Home Mortgage
Securities, Series 1993-61,
Class A1
6.500%, 12/25/08 961 960
Prudential Home Mortgage
Securities, Series 1994-12,
Class A7
6.050%, 04/25/24 3,999 3,539
Prudential Home Mortgage
Securities, Series 1994-17,
Class A5
6.250%, 04/25/24 5,700 5,320
Residential Accredit Loans,
Series 1996-QS2, Class A3
7.050%, 03/25/19 5,000 5,056
Residential Accredit Loans,
Series 1996-QS4, Class AI4
7.500%, 08/25/26 8,000 8,054
Residential Asset Securitization
Trust, Series 1996-A5, Class A3
7.750%, 09/25/26 6,000 6,059
Residential Asset Securitization
Trust, Series 1997-A4, Class A3
7.250%, 06/25/27 13,391 13,551
Residential Asset Securitization
Trust, Series 1997-A6, Class A4
7.250%, 09/25/12 9,597 9,746
Residential Funding Mortgage
Securities I, Series 1992-S36,
Class A2
5.700%, 11/25/07 1,010 1,006
Sears Mortgage Securities,
Series 1993-1, Class A6
7.000%, 06/25/19 1,432 1,439
- ----------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- ----------------------------------------------------------
Vanderbilt Mortgage Finance,
Series 1994-A, Class A1
7.000%, 07/10/19 $ 373 $ 378
--------
Total Mortgage-Backed Obligations
(Cost $295,487) 302,697
--------
TAXABLE MUNICIPAL BONDS -- 16.6%
Abag, California, Non-Profit
Corporate Financial Authority,
Certificate of Participation,
Convertible Series 1997B
6.000%, 10/01/27 15,390 15,400
Allegheny County, Pennsylvania
RB (A), FHA 223F
0.000%, 08/01/28 9,555 956
Atlanta, Georgia, Urban
Redevelopment Finance
Authority RB, FNMA (A)
0.000%, 10/01/16 21,000 4,856
Baltimore, Maryland, Mayor &
City Council GO, FGIC
8.100%, 10/15/10 1,775 1,988
8.700%, 10/15/15 1,875 2,168
Belmont, California,
Redevelopment Agency
Tax Allocation Bond, MBIA
7.550%, 08/01/11 895 910
California State Housing Finance
Agency RB, AMBAC
7.900%, 08/01/07 8,040 8,492
8.240%, 02/01/14 1,475 1,556
Cameron County, Texas, Housing
Finance RB, CMO, Series 1990A,
Class 1B, FGIC
10.210%, 09/01/10 1,663 1,743
Cameron County, Texas, Housing
Finance RB, CMO, Series 1990A,
Class 1C, FGIC
10.450%, 09/01/11 945 1,082
Chattahoochee Valley, Alabama,
Water Supply RB, Asset Guaranty
8.600%, 10/01/07 200 225
Connecticut State Health &
Education RB, Nursing
Home Program
8.450%, 11/01/99 675 700
Connecticut State Health &
Education RB, Sheridan
Woods Center
7.950%, 11/01/05 1,755 1,867
8.730%, 11/01/17 1,150 1,292
Dade County, Florida, Aviation
RB, AMBAC
8.650%, 10/01/03 1,000 1,115
35
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1997
FIXED INCOME FUND, CONTINUED
- ----------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- ----------------------------------------------------------
Dade County, Florida, Housing
Finance Agency RB, GNMA (C)
5.600%, 04/01/27 $ 4,000 $ 4,270
Delaware State Housing Authority
RB, AMBAC
6.750%, 07/01/14 955 959
Dove Valley & Arapahoe Counties,
Colorado GO, LOC
Mandatory Put @ 100 (B)
6.000%, 11/01/97 700 700
Erie County, New York, Industrial
Development Authority RB,
Journeys End Project (LOC)
9.750%, 01/01/15 1,800 1,843
Fulton, Missouri, Imperial District
Golf Course GO, MBIA
7.500%, 07/01/07 1,135 1,197
Harrisburg, Pennsylvania, Resource
Recovery Authority RB, MGG
6.000%, 09/01/98 110 110
6.875%, 09/01/03 515 505
7.750%, 09/01/13 3,145 3,200
Harristown, Pennsylvania RB,
Development Special Obligations,
Private Placement, ETM
6.150%, 02/01/16 4,355 4,066
Hofstra University, New York
RB, MBIA
7.700%, 07/01/15 3,895 4,114
Huntingdon, West Virginia, CMO
9.050%, 01/15/12 1,094 1,204
Iowa State Financial
Authority RB, GNMA
7.125%, 10/20/15 1,980 2,027
Kanawha & Putnam Counties,
West Virginia RB, AMBAC (A)
0.000%, 12/01/16 5,330 1,442
La Follete Properties, Multi-Family
Housing, Georgia Limited
Partnership, La Follete Garden
Apartment, Physical Bond,
Private Placement
9.600%, 12/01/08 925 907
Lake Mills, Iowa, Mercy Health
Center First Mortgage RB,
Series 1995, Private Placement
7.450%, 11/01/99 250 250
7.600%, 11/01/00 280 279
7.600%, 11/01/01 360 359
7.750%, 11/01/02 385 384
7.850%, 11/01/03 410 407
7.850%, 11/01/04 410 404
7.900%, 11/01/05 450 440
8.000%, 11/01/06 590 578
8.000%, 11/01/07 610 593
- ----------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- ----------------------------------------------------------
Los Angeles County,
California RB, LOC
10.500%, 06/01/15 $ 400 $ 405
Manatee County, Florida, Single
Family Housing RB,
FNMA, GNMA
7.300%, 11/01/12 1,325 1,395
Michigan State, Beaumont Properties
Incorporated RB, Series B,
Pre-Refunded @ 101 (D)
10.500%, 01/01/99 3,000 3,176
Mississippi State Home
Residential RB, (A)
0.000%, 12/01/08 105 49
0.000%, 12/01/12 9,000 3,049
Mississippi State Home RB, Single
Family Mortgage, GNMA, FNMA
7.750%, 07/01/24 2,850 2,850
Monroe County, New York,
Nationwide Precision Products
Facilities (LOC) (C)
6.000%, 12/01/04 1,895 1,895
Montgomery, Alabama, Industrial
Development Authority RB,
Central National Bank Project,
Variable Rate, LOC
5.700%, 05/01/25 3,705 3,705
New Jersey State Economic
Development Authority RB,
State Contract
7.100%, 09/15/02 2,500 2,531
New Jersey State Economic
Development Authority
RB (LOC) (C)
5.750%, 10/01/15 3,700 3,700
New Mexico State Mortgage
Financial Authority,
Series 1997-C1
7.430%, 07/01/29 3,325 3,470
New Orleans, Louisiana, Single
Family Mortgage Authority
RB, Series A, MBIA, (A)
0.000%, 10/01/15 5,780 1,315
New York City GO,
Pre-Refunded @ 103 (A) (D)
0.000%, 08/01/01 50 41
New York City GO,
Pre-Refunded @ 103 (D)
10.000%, 08/01/01 355 406
New York City GO,
Pre-Refunded @ 102 (A) (D)
0.000%, 11/15/01 260 208
New York City GO,
Pre-Refunded @ 102 (D)
10.500%, 11/15/01 615 716
36
<PAGE>
================================================================================
- ----------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- ----------------------------------------------------------
New York City, Industrial
Development Authority RB,
Civic Facility, Series B, MBIA
8.100%, 09/01/06 $ 1,735 $ 1,917
New York City, Mortgage Loan
Trust 1996-A2, 144A
6.750%, 06/25/11 4,570 4,579
New York City, Mortgage Loan
Trust 1996-A3, 144A
6.750%, 09/25/19 9,250 9,084
New York State Dormitory
Authority RB, Hunts Point
Multi-Service Center SONYMA
5.625%, 07/01/22 3,000 2,985
New York State Housing Finance
Authority RB, Series 1996-C, FHA
8.110%, 11/15/38 2,965 2,995
North Greenbush, New York,
Industrial Development
Authority RB (C), LOC
5.700%, 11/01/08 6,350 6,350
North Miami, Florida, Pension
Funding Special Obligation, FSA
6.850%, 07/01/05 255 259
7.000%, 01/01/08 165 168
7.000%, 07/01/08 170 174
Ohio State Capital For Housing
RB, Georgetown Village Project,
Series 1996-C, FHA
7.625%, 07/01/22 1,250 1,266
Oklahoma City, Oklahoma, Airport
Trust RB, Federal Aviation
Authority, Senior Lien, Series 16
9.875%, 07/01/12 1,005 1,058
Oklahoma City, Oklahoma, Airport
Trust RB, Federal Bureau
Prisons Project
7.500%, 11/01/97 450 450
9.800%, 11/01/14 2,650 3,087
Oklahoma City, Oklahoma, Airport
Trust RB, 17th Series
8.300%, 10/01/12 1,000 1,058
Oklahoma County, Oklahoma,
Home Finance Authority RB (A)
0.000%, 07/01/12 3,450 1,031
Panhandle, Texas, Regional Housing
Finance RB, Series 1996 (A)
0.000%, 10/01/11 1,460 546
Pima & Maricopa Counties, Arizona,
Industrial Development Authority
RB, Series 1993B, FNMA
6.500%, 01/01/06 650 660
- ----------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- ----------------------------------------------------------
Plymouth County, Massachusetts,
Correctional Facility Certificate
of Participation
10.400%, 04/01/22 $ 5,100 $ 5,731
Rhode Island Port Authority
Economic Development RB,
Central Falls Detention Center,
Series A
8.200%, 01/15/08 1,141 1,238
Sand Creek, Idaho, Multi-Family
Housing RB, Limited Partnership
8.250%, 12/01/18 3,575 3,535
Sedgewick & Shawnee Counties,
Kansas, Single Family Housing
RB, GNMA
8.375%, 06/01/18 11,240 12,041
Sedgewick & Shawnee Counties,
Kansas, Single Family Housing
RB, Series A3, GNMA
6.520%, 12/01/12 6,710 6,794
Southwestern Illinois Development
Authority RB, Sports Facility
Project, 144A
9.200%, 02/01/13 2,250 2,413
Tarrant County, Texas, Housing
Finance RB, Single Family
Mortgage, MBIA
6.650%, 07/15/16 515 532
Texas State Department of Housing
& Community Affairs RB,
Single Family Mortgage,
Series 1994B
9.500%, 03/01/16 7,870 8,519
Texas State Department of Housing
& Community Affairs RB,
Foundation, Asmara Project,
Series B
6.400%, 11/01/99 75 75
Utah State Housing Finance Agency
RB, Series D-1
9.850%, 07/01/10 220 235
York, Pennsylvania GO,
Series A, FGIC
6.250%, 02/01/05 1,000 986
--------
Total Taxable Municipal Bonds
(Cost $177,677) 183,265
--------
U.S. GOVERNMENT AGENCY
MORTGAGE-BACKED OBLIGATIONS -- 15.8%
Federal Home Loan Mortgage
Corporation, Pool # 304016
8.000%, 02/01/08 5,243 5,431
37
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1997
FIXED INCOME FUND, CONTINUED
- ----------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- ----------------------------------------------------------
Federal Home Loan Mortgage
Corporation, REMIC,
Series 70, Class C
9.000%, 09/15/20 $ 654 $ 700
Federal Home Loan Mortgage
Corporation, REMIC,
Series 1275, Class VB
7.000%, 05/15/99 579 583
Federal Home Loan Mortgage
Corporation, REMIC,
Series 1324, Class VD
7.000%, 06/15/05 825 842
Federal Home Loan Mortgage
Corporation, REMIC,
Series 1411, Class G
6.500%, 07/15/18 4,500 4,542
Federal Home Loan Mortgage
Corporation, REMIC,
Series 1462, Class PT
7.500%, 01/15/03 5,000 5,122
Federal Home Loan Mortgage
Corporation, REMIC,
Series 1496, Class KB
6.500%, 05/15/08 2,100 2,101
Federal Home Loan Mortgage
Corporation, REMIC,
Series 1562, Class J
7.000%, 05/15/10 9,650 9,927
Federal Home Loan Mortgage
Corporation, REMIC,
Series 1577, Class PG
5.500%, 03/15/21 1,900 1,862
Federal Home Loan Mortgage
Corporation, REMIC,
Series 1604, Class G
5.750%, 01/15/08 500 495
Federal Home Loan Mortgage
Corporation, REMIC,
Series 1622, Class G
6.250%, 11/15/22 10,017 9,561
Federal Home Loan Mortgage
Corporation, REMIC,
Series 1625, Class GB
5.850%, 01/15/08 2,200 2,184
Federal Home Loan Mortgage
Corporation, REMIC,
Series 1633, Class PE
5.750%, 10/15/17 1,500 1,494
Federal Home Loan Mortgage
Corporation, REMIC,
Series 1640, Class V
6.500%, 12/15/98 204 204
- ----------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- ----------------------------------------------------------
Federal Home Loan Mortgage
Corporation, REMIC,
Series 1650, Class D
5.400%, 04/15/24 $ 2,000 $ 1,990
Federal Home Loan Mortgage
Corporation, REMIC,
Series 1661, Class PG
6.000%, 03/15/08 250 249
Federal Home Loan Mortgage
Corporation, REMIC,
Series 1667, Class PC
5.500%, 06/15/04 3,000 2,990
Federal Home Loan Mortgage
Corporation/Government
National Mortgage Association,
REMIC, Series 32, Class PD
6.350%, 03/25/15 2,000 2,001
Federal National Mortgage
Association, Pool # 303387
8.000%, 07/01/02 3,120 3,217
Federal National Mortgage
Association, REMIC,
Series G92-39, Class Q
7.000%, 03/25/01 3,000 3,038
Federal National Mortgage
Association, REMIC,
Series X-19C, Class G
7.500%, 08/25/21 720 737
Federal National Mortgage
Association, REMIC,
Series 1989-74, Class J
9.800%, 10/25/19 2,035 2,214
Federal National Mortgage
Association, REMIC,
Series 1989-79, Class D
9.000%, 11/25/19 1,350 1,471
Federal National Mortgage
Association, REMIC,
Series 1991-137, Class E
8.050%, 01/25/20 521 521
Federal National Mortgage
Association, REMIC,
Series 1992-43, Class E
7.500%, 04/25/22 3,420 3,476
Federal National Mortgage
Association, REMIC,
Series 1992-100M
8.500%, 06/25/05 8,000 8,466
Federal National Mortgage
Association, REMIC,
Series 1993-31, Class G
7.000%, 01/25/03 3,940 4,026
38
<PAGE>
================================================================================
- ----------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- ----------------------------------------------------------
Federal National Mortgage
Association, REMIC,
Series 1993-174, Class C
5.750%, 12/25/03 $ 743 $ 740
Federal National Mortgage
Association, REMIC,
Series 1993-174, Class EA
6.150%, 10/25/07 4,000 4,002
Federal National Mortgage
Association, REMIC,
Series 1993-192, Class E
5.950%, 11/25/07 1,000 994
Federal National Mortgage
Association, REMIC,
Series 1994-28, Class O
6.500%, 03/25/24 3,600 3,399
Federal National Mortgage
Association, REMIC,
Series 1994-34, Class PD
5.500%, 10/25/04 1,000 994
Federal National Mortgage
Association, REMIC,
Series 1994-92, Class DE
7.500%, 07/25/07 6,267 6,562
Federal National Mortgage
Association, REMIC,
Series 1995-2, Class H
8.500%, 06/25/10 18,200 19,839
Federal National Mortgage
Association, REMIC,
Series 1996-12, Class C
6.500%, 03/25/23 6,575 6,455
Federal National Mortgage
Association, REMIC,
Series 1996-23, Class D
6.500%, 10/25/23 2,650 2,601
Federal National Mortgage
Association, REMIC,
Series 1996-40, Class D
3.725%, 09/25/22 1,000 858
Federal National Mortgage
Association, REMIC,
Series 1997-13, Class CB
7.000%, 09/18/03 5,273 5,402
Federal National Mortgage
Association, REMIC,
Series 1997-32A, Class PB
6.500%, 03/25/15 13,759 13,868
Federal National Mortgage
Association, REMIC,
Series 1997-40, Class PE
6.750%, 07/18/19 5,290 5,378
- ----------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- ----------------------------------------------------------
Federal National Mortgage
Association, REMIC,
Series 1997-M2, Class B (C)
7.350%, 02/17/08 $20,800 $ 21,827
Government National Mortgage
Association, Pool # 413221
8.250%, 05/15/10 1,702 1,789
----------
Total U.S. Government Agency
Mortgage-Backed Obligations
(Cost $168,535) 174,152
----------
U.S. TREASURY OBLIGATIONS -- 6.0%
U.S. Treasury Notes
5.875%, 02/15/00 42,874 43,019
5.875%, 11/15/05 1,161 1,158
U.S. Treasury Bonds
6.750%, 08/15/26 20,440 21,925
6.500%, 11/15/26 8 8
----------
Total U.S. Treasury Obligations
(Cost $65,431) 66,110
----------
REPURCHASE AGREEMENT -- 0.7%
J.P. Morgan Securities
5.650%, dated 10/31/97
matures 11/03/97, repurchase
price $7,877,674 (collateralized
by FNMA, par value
$8,048,000, due 11/12/97
market value $8,032,089) 7,874 7,874
----------
Total Repurchase Agreement
(Cost $7,874) 7,874
----------
Total Investments -- 99.1%
(Cost $1,064,634) 1,092,713
----------
OTHER ASSETS AND LIABILITIES, NET-- 0.9% 10,408
----------
NET ASSETS:
Capital shares of Institutional Shares
(unlimited authorization--
$0.001 par value) based on
102,564,735 outstanding shares
of beneficial interest 1,066,458
Undistributed net investment income 292
Accumulated net realized gain
on investments 8,292
Net unrealized appreciation
on investments 28,079
----------
Total Net Assets-- 100.0% $1,103,121
==========
39
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1997
FIXED INCOME FUND, CONTINUED
- ----------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- ----------------------------------------------------------
Net Asset Value, Offering and
Redemption Price Per Share --
Institutional Shares $10.76
==========
(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) VARIABLE RATE SECURITY. THE RATE REPORTED ON THE STATEMENT OF NET ASSETS IS
THE RATE IN EFFECT ON OCTOBER 31, 1997.
(D) PRE-REFUNDED SECURITY. THE PRE-REFUNDED DATE IS SHOWN AS THE MATURITY DATE
ON THE STATEMENT OF NET ASSETS.
CMO COLLATERALIZED MORTGAGE OBLIGATION
ETM ESCROWED TO MATURITY
GO GENERAL OBLIGATION
LOC SECURITIES ARE HELD IN CONNECTION WITH A LETTER OF CREDIT ISSUED BY A MAJOR
COMMERCIAL BANK.
MTN MEDIUM TERM NOTE
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 CORPORATION
ASSET GUARANTY ASSET GUARANTY
FGIC FINANCIAL GUARANTY INSURANCE COMPANY
FHA FEDERAL HOUSING ADMINISTRATION
FHLMC FEDERAL HOME LOAN MORTGAGE CORPORATION
FNMA FEDERAL NATIONAL MORTGAGE ASSOCIATION
GNMA GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
MBIA MUNICIPAL BOND INVESTORS ASSURANCE
MGG MUNICIPAL GOVERNMENT GUARANTEED
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
SHORT-TERM
MUNICIPAL BOND FUND
MUNICIPAL BONDS -- 98.0%
ALABAMA -- 0.4%
Birmingham, Baptist Medical
Clinic RB, ETM
8.125%, 07/01/99 $ 45 $ 47
Hartselle, Medical Clinic Board
Hospital RB, ETM
6.250%, 10/01/02 25 27
-------
74
-------
ARIZONA -- 0.4%
Maricopa County, Hospital Revenue
Authority RB, Phoenix Baptist
Hospital & Medical Center, ETM
7.125%, 10/01/02 65 70
-------
- ----------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- ----------------------------------------------------------
ARKANSAS -- 3.1%
City of Rogers, Sales & Use Tax RB,
Series 1996
5.000%, 11/01/15 $ 450 $ 468
Little Rock, Sewer RB
4.300%, 02/01/99 50 50
Mississippi County, Hospital
Authority RB, AMBAC, ETM
7.250%, 11/01/02 40 43
Pulaski County, Akond Health
Facility Hospital RB,
Pre-Refunded @ 100, MBIA (D)
9.750%, 09/01/99 50 54
10.000%, 09/01/99 5 6
-------
621
-------
CALIFORNIA -- 3.6%
Los Angeles, Housing
Redevelopment Agency RB,
Monterey Hills Redevelopment
Project B
5.500%, 12/01/05 70 73
San Diego, Mercy Hospital and
Medical Center RB, ETM
8.400%, 02/01/99 65 69
Santa Clara, Amberwood
Apartments RB, FNMA
4.750%, 10/01/07 300 300
State Housing Finance Agency (A)
0.000%, 02/01/99 120 112
0.000%, 08/01/99 180 163
-------
717
-------
COLORADO -- 4.0%
Denver, Airport RB, AMT
8.000%, 11/15/17 100 102
El Paso County, Capital Appreciation
RB, Series C, AMT (A)
0.000%, 07/10/14 1,000 286
Garfield, Pitkin, & Eagle Counties,
School District GO, MBIA
4.900%, 12/15/97 25 25
Lafayette, GO, AMBAC
4.600%, 12/01/98 25 25
Logan County, Single Family
Mortgage RB, Series A
8.500%, 11/01/11 255 269
State Housing Finance Authority
RB, Series E, AMT
6.250%, 12/01/09 80 82
-------
789
-------
40
<PAGE>
================================================================================
- ----------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- ----------------------------------------------------------
CONNECTICUT -- 0.7%
State Health & Education Facilities
Authority RB, ETM
7.250%, 07/01/04 $ 75 $ 83
State Resource Recovery RB,
Bridgeport Project A
7.625%, 01/01/09 55 57
-------
140
-------
DELAWARE -- 2.7%
Dover, Water & Sewer RB,
Series B, MBIA
7.200%, 07/01/01 20 20
State Economic Development
Authority RB
4.600%, 05/01/98 325 325
State Economic Development
Authority RB, Wilmington
Friends School
6.300%, 07/01/98 45 45
6.300%, 07/01/99 50 51
State Housing Authority RB, AMT
6.900%, 12/01/97 90 90
-------
531
-------
DISTRICT OF COLUMBIA -- 0.7%
Housing Finance Agency RB,
Single-Family Housing,
Series E-2, AMT, GNMA
7.100%, 12/01/98 130 133
-------
FLORIDA -- 2.8%
Dade County, Guaranteed
Entitlement RB,
Pre-Refunded @ 103, AMBAC (D)
9.750%, 02/01/00 415 463
Lee County, Justice Center Complex
RB, MBIA, ETM
10.750%, 01/01/01 20 22
Orange County, Housing Authority
RB, Series A, CMO, GNMA, AMT
7.250%, 09/01/11 75 81
-------
566
-------
GEORGIA -- 1.2%
Crisp County, Industrial RB,
Colonial Stores, ETM
Pre-Refunded @ 100 (D)
6.300%, 07/01/02 224 242
-------
IDAHO -- 1.2%
Idaho State Housing Agency
RB, Series C1
7.650%, 07/01/10 235 247
-------
- ----------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- ----------------------------------------------------------
ILLINOIS -- 3.7%
Addison, Alton, Pekin, & Granite City,
CMO Series 1989-B, FSA
7.580%, 11/01/09 $ 120 $ 121
Alton, Hospital RB, ETM
6.600%, 09/01/01 85 92
Chicago, School Financial Authority
GO, MBIA
7.500%, 06/01/00 65 66
Macomb, Elderly Housing RB, HUD
7.250%, 09/01/98 15 15
Saint Charles, Industrial RB,
Covington County Project,
Mandatory Put @ 100, (LOC) (B)
5.500%, 09/01/98 190 190
Southwestern Illinois Development
Authority RB, Solid Waste
Recovery, AMT
6.500%, 02/01/04 90 97
State Health Facility Authority RB,
Pre-Refunded @ 100 (D)
6.600%, 08/01/01 45 47
State Housing Development
Authority
5.250%, 08/01/00 45 46
State Toll & Highway RB,
Pre-Refunded @ 100 (D)
6.750%, 07/01/06 50 55
-------
729
-------
INDIANA -- 1.0%
Mishawaka-LaSalle, School
District RB
4.000%, 07/05/99 50 50
North Adams, Community
Schools Certificate of
Participation, MBIA
4.700%, 07/15/99 55 56
Reid Memorial Hospital RB, ETM
6.250%, 05/01/00 95 99
-------
205
-------
IOWA -- 0.3%
Clinton, Industrial Development RB
5.500%, 08/01/98 15 15
State Certificate of Participation,
AMBAC
6.600%, 02/01/98 50 50
-------
65
-------
41
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1997
SHORT-TERM
MUNICIPAL BOND FUND, CONTINUED
- ----------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- ----------------------------------------------------------
KANSAS -- 1.4%
Saline County, Single Family
Mortgage RB, Series A
9.500%, 10/01/11 $ 75 $ 80
Wichita, Hospital RB, MBIA, ETM
10.000%, 04/01/02 155 178
Wichita, Public Building RB,
Pre-Refunded @ 102 (D)
8.375%, 10/01/98 20 21
-------
279
-------
KENTUCKY -- 0.1%
McCracken County, Hospital
RB, ETM
8.250%, 03/01/99 25 26
-------
LOUISIANA -- 0.2%
East Baton Rouge Parish, Hospital
RB, Service District Number 2, ETM
6.200%, 10/01/02 30 31
-------
MASSACHUSETTS -- 3.5%
Boston, City Hospital Project RB,
Pre-Refunded @ 102 (D)
7.650%, 08/15/00 260 289
State Health & Education RB,
Pre-Refunded @ 102 (D)
9.500%, 10/01/99 100 111
State Housing Finance Agency
RB, Single Family Home Project,
Series 8
7.000%, 06/01/99 180 185
State Housing Finance Agency RB,
Single Family Home Project,
Series 21, AMT
6.500%, 12/01/10 105 112
-------
697
-------
MICHIGAN -- 1.2%
Detroit, Sewage Disposal RB, ETM
6.900%, 12/15/99 85 88
Kalamazoo, Hospital Finance
Authority RB, ETM
7.000%, 07/01/01 70 74
State Building Authority RB,
Series 2, ETM, MBIA
7.400%, 04/01/01 75 79
-------
241
-------
MINNESOTA -- 0.4%
St. Paul, Port Authority RB,
Energy Park,
Pre-Refunded @ 102 (D)
8.000%, 12/01/98 75 80
-------
- ----------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- ----------------------------------------------------------
MISSOURI -- 1.2%
St. Louis, Airport RB, ETM
12.000%, 07/01/99 $ 35 $ 39
12.100%, 07/01/00 95 114
12.100%, 07/01/01 30 38
St. Louis County, Single Family
Housing RB, AMBAC
9.250%, 10/01/16 50 55
-------
246
-------
MONTANA -- 0.3%
Washington, School District
RB, FGIC, ETM
5.375%, 02/15/98 50 50
-------
NEBRASKA -- 1.0%
Buffalo County, Good Samaritan
Hospital Project RB, ETM
7.400%, 11/01/00 35 36
State Investment Finance Authority
RB, AMT, GNMA
7.500%, 03/15/15 155 165
-------
201
-------
NEVADA -- 1.4%
Henderson, Local Improvement RB
6.700%, 04/01/00 60 62
Reno, Saint Mary's Hospital RB,
Pre-Refunded @ 102, BIGI (D)
7.750%, 01/01/00 35 38
Reno, Saint Mary's Hospital RB,
Series C, Pre-Refunded @ 102,
BIGI (D)
7.750%, 01/01/00 25 27
State General Obligation
# 18 & 19, ETM
8.300%, 09/01/00 100 111
State Housing RB, Multi-Unit
Housing Division, AMT, FNMA
6.450%, 10/01/04 35 37
-------
275
-------
NEW HAMPSHIRE -- 2.2%
State Higher Education RB,
Pre-Refunded @ 102 (D), LOC
8.000%, 10/01/99 100 109
State Housing Finance Authority RB
7.550%, 07/01/09 55 57
State Housing Finance Authority
RB, Single-Family, Exchangeable
Yearly, AMT, LOC
6.125%, 01/01/18 280 282
-------
448
-------
42
<PAGE>
================================================================================
- ----------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- ----------------------------------------------------------
NEW JERSEY -- 4.3%
Mercer County, State Justice
Complex RB, ETM
6.000%, 01/01/99 $ 95 $ 97
State Turnpike Authority RB,
MBIA, ETM
10.375%, 01/01/03 25 29
State Turnpike Authority RB, ETM
10.375%, 01/01/03 625 731
-------
857
-------
NEW MEXICO -- 3.8%
Albuquerque, CMO Class B-1, FSA
7.650%, 08/15/07 125 135
Albuquerque, CMO Class B-2,
FGIC (A)
0.000%, 05/15/11 1,323 519
Sandoval County, Gross Receipts
Tax RB, Intel
6.000%, 11/01/98 105 107
-------
761
-------
NEW YORK -- 0.9%
New York City, GO,
Pre-Refunded @ 101.50 (D)
7.125%, 12/01/97 25 25
State Finance Agency RB,
Medical Care Facilities, AMBAC
Pre-Refunded @ 100 (D)
8.500%, 12/01/97 70 70
State Housing Finance Agency
RB, ETM
7.375%, 11/01/98 60 61
State Housing Finance Agency
RB, Hospital & Nursing
Home, FHA
6.700%, 08/15/01 15 15
-------
171
-------
NORTH CAROLINA -- 0.5%
Rockingham County, GO
7.200%, 02/01/99 100 101
-------
OHIO -- 6.9%
Barberton, Hospital Improvement
RB, ETM
6.500%, 07/15/00 75 78
Clermont County, Hospital Facilities
RB, ETM
7.375%, 06/01/99 25 26
Hamilton, Hospital Facilities RB, ETM
7.625%, 02/15/01 35 39
Lucas County, Riverside Hospital,
ETM, Project RB
6.950%, 08/01/04 25 27
- ----------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- ----------------------------------------------------------
Miami County, Hospital Facilities
RB, Pre-Refunded @ 102, MBIA (D)
6.625%, 05/01/99 $ 90 $ 95
Middletown, Hospital Improvements
RB, ETM
6.250%, 04/01/99 25 25
Montgomery County, Miami Valley
Hospital Society RB, ETM
10.125%, 01/01/00 45 48
State Housing Finance Agency RB,
Single Family Mortgage, BIGI (C)
5.750%, 04/01/16 305 309
State Housing Finance Agency RB,
Single Family Mortgage,
Series A, AMT, GNMA
8.400%, 02/01/20 630 652
Stark County, Hospital RB, ETM
6.875%, 12/01/06 65 71
-------
1,370
-------
OKLAHOMA -- 2.3%
Bryan County, Single Family
Mortgage RB, Series A
8.600%, 07/01/10 95 100
State Housing Finance Agency
RB, Northpark and Meadowlane
Project, Mandatory Put @
100 (B), FNMA
8.625%, 12/01/97 100 100
State Housing Finance Agency RB,
Class A, AMT, GNMA
7.997%, 08/01/18 15 16
State Industrial Authority RB,
Baptist Medical Center, ETM
7.000%, 07/01/03 75 81
Tulsa, Airport Improvement RB,
ETM, FGIC (D)
6.200%, 06/01/00 160 165
-------
462
-------
OREGON -- 0.6%
Metro Washington Park Zoo GO
5.000%, 01/15/98 25 25
State GO, AMT
7.100%, 01/01/02 100 101
-------
126
-------
PENNSYLVANIA -- 17.6%
Allegheny County, Industrial
Development RB, Commercial
Development Parkway Center,
Mandatory Put @ 100 (B), LOC
5.500%, 12/01/97 15 15
Beaver County, Hospital Authority
RB, St. Francis Hospital, ETM
7.750%, 07/15/01 160 172
43
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1997
SHORT-TERM
MUNICIPAL BOND FUND, CONTINUED
- ----------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- ----------------------------------------------------------
Beaver County, Housing Authority
RB, MBIA
7.875%, 07/01/99 $ 235 $ 235
Bensalem Township, Water & Sewer
Authority RB, ETM
5.700%, 11/01/02 25 27
Butler, Sewer Authority RB, AMBAC
7.100%, 07/01/98 100 101
Cambria County, GO, ETM
8.250%, 06/01/00 10 11
Chartiers Valley, Industrial
Development Authority RB,
Mandatory Put @ 100, (LOC) (B)
5.625%, 12/01/97 30 30
Chester County, Health & Education
Authority RB, Series 1996 B, (LOC),
Mandatory Put @ 100
4.900%, 08/01/99 300 304
Chester County, Hospital Authority
RB, ETM
7.500%, 07/01/09 10 12
Chester County, Hospital Authority
Special GO, ETM
5.750%, 02/01/03 10 10
Chester Upland, School District
Authority RB
5.200%, 09/01/98 25 25
Delaware County, White Horse
Village Project RB, ETM
9.000%, 07/01/99 100 105
Doylestown, Doylestown Hospital
RB, Series C, AMBAC, ETM
6.700%, 07/01/98 30 31
East Pennsboro, GO, ETM
6.000%, 03/01/02 180 188
Emmaus, General Authority RB,
Mandatory Tender @ 100 (B), BIGI
7.900%, 03/15/99 75 79
Emmaus, General Authority RB,
Series F, BIGI, Mandatory
Tender @ 100
7.900%, 03/15/99 60 63
Erie County, Hospital Authority
RB, Manchester Presbyterian
Project, (LOC)
7.500%, 09/15/06 50 51
Erie, Higher Education Building
Authority RB, Mercyhurst College
4.800%, 03/15/00 225 226
Harrisburg, Public Improvements
GO, ETM, MBIA
9.750%, 04/15/99 35 37
Interboro, School District Authority
RB, ETM, MBIA
6.400%, 09/01/01 90 90
- ----------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- ----------------------------------------------------------
Kennedy Township, Public
Improvements GO,
Pre-Refunded @ 100, MBIA (D)
7.850%, 03/03/98 $ 25 $ 25
Lackawanna, Multi-Purpose Stadium
RB, Pre-Refunded @ 103 (D)
8.625%, 08/15/98 45 48
Montgomery County, Higher
Education RB, ETM
8.000%, 07/01/98 10 10
Northeastern Pennsylvania,
Wilkes-Barre General Hospital RB,
Pre-Refunded @ 102 (D)
7.650%, 07/01/99 75 81
Pennsylvania State GO
12.000%, 01/01/98 35 35
6.650%, 05/15/98 115 115
5.000%, 07/01/98 5 5
5.500%, 10/15/98 80 80
Pennsylvania State Highway GO
5.000%, 07/01/98 65 65
Pennsylvania State Housing Finance
Agency RB, Single Family
Mortgage, Series 1992-33
5.700%, 04/01/98 135 136
Philadelphia, Industrial
Development Authority RB,
Huff Paper Project, AMT
6.100%, 12/15/97 40 40
Philadelphia, St. Agnes Hospital
RB, ETM
6.750%, 08/15/01 240 250
Pocono Mountain School District
GO, MBIA, ETM
9.100%, 03/01/02 15 17
Sayre Boro, Hospital Authority
RB, ETM, AMBAC
6.900%, 11/01/02 115 123
Uniontown Area School Authority
RB, ETM
6.300%, 10/01/02 50 53
Upper St. Clair Township, School
Building Authority RB, ETM
6.500%, 02/15/04 10 11
Valley View, Pennsylvania School
Building Authority RB, ETM
6.050%, 02/01/02 55 57
Wayne Pike, Joint School Authority
RB, ETM, MBIA
6.000%, 12/01/07 515 544
-------
3,507
-------
44
<PAGE>
================================================================================
- ----------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- ----------------------------------------------------------
SOUTH CAROLINA -- 1.0%
Charleston, Waterworks & Sewer
RB, ETM
10.125%, 01/01/02 $ 90 $ 103
State Housing Authority RB, FHA
6.250%, 07/01/98 100 101
-------
204
-------
SOUTH DAKOTA -- 0.3%
State Housing Development
Authority RB
5.600%, 05/01/01 50 51
-------
TENNESSEE -- 8.0%
Bristol, Health & Education
Facilities RB, ETM
6.900%, 01/01/07 40 44
Bristol, Industrial Development RB
4.200%, 03/01/98 70 70
Fayetteville & Lincoln Counties,
Industrial Development
Board RB, LOC
4.500%, 06/01/98 330 330
5.000%, 06/01/01 340 343
Mount Pleasant, Industrial
Development Board RB, ETM
7.375%, 03/01/00 130 136
Shelby County Health Educational
& Housing Facility RB,
Asset Guaranty
6.000%, 10/01/02 550 576
State Housing Development
Agency RB, AMT
7.375%, 07/01/23 100 106
-------
1,605
-------
TEXAS -- 9.7%
Bell County, Health Facility
Development Corporation RB,
Investment Agreement Sun Life,
Mandatory Put @ 100 (B)
4.750%, 10/01/98 100 101
Coastal, Industrial Water Authority
RB, MBIA, ETM
7.200%, 12/15/08 50 54
Fort Worth, Housing Financial
Mortgage Services Program RB,
Series A, AMT, GNMA
7.900%, 06/01/01 55 58
Grand Prairie, Housing
RB, AMT, GNMA
8.000%, 07/01/19 205 213
Harris County, Fresh Water Supply
RB, MBIA
6.900%, 03/01/99 100 101
Houston, Housing Finance
Corporation RB, Series 1996-A1
8.000%, 06/01/14 600 667
- ----------------------------------------------------------
FACE AMOUNT/ VALUE
DESCRIPTION SHARES (000) (000)
- ----------------------------------------------------------
North Central, Health Facility
Development Corporation RB,
Young Memorial Project
5.000%, 02/15/98 $ 360 $ 360
Southeast Texas Housing Finance
Residual RB, Series B (A)
0.000%, 12/01/16 1,100 265
South Plains, Regional Housing
Authority RB, Series A, Section 8
Assistance Project, HUD
6.000%, 08/01/00 115 117
-------
1,936
-------
VIRGINIA -- 0.3%
State Housing RB
6.125%, 11/01/09 60 61
-------
WASHINGTON -- 0.3%
Clark County, Public Utility RB,
District 001, ETM
10.250%, 01/01/99 25 26
State Public Power Supply RB,
Nuclear Project # 2
14.375%, 07/01/01 20 24
-------
50
-------
WEST VIRGINIA -- 0.2%
State Board of Regents
RB, ETM, MBIA
6.000%, 04/01/04 45 47
-------
WISCONSIN -- 2.4%
Milwaukee, Public Facility GO
4.500%, 12/01/98 25 25
State Health Facilities Authority
RB, MBIA
9.125%, 07/01/05 325 328
State Housing & Economic
Development Authority RB,
Series B, AMT
6.625%, 09/01/20 130 132
-------
485
-------
WYOMING -- 0.2%
State Community Development
Authority RB, AMT
8.000%, 06/01/08 45 48
-------
Total Municipal Bonds
(Cost $19,263) 19,545
-------
CASH EQUIVALENT -- 0.0%
SEI Institutional Tax Free Portfolio 5 5
-------
Total Cash Equivalent
(Cost $5) 5
-------
Total Investments -- 98.0%
(Cost $19,268) 19,550
-------
45
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1997
SHORT-TERM
MUNICIPAL BOND FUND, CONTINUED
- ----------------------------------------------------------
VALUE
DESCRIPTION (000)
- ----------------------------------------------------------
OTHER ASSETS AND LIABILITIES, NET -- 2.0% $ 400
-------
NET ASSETS:
Capital shares of Institutional Shares
(unlimited authorization--
$0.001 par value) based on 1,941,352
outstanding shares of beneficial interest 19,675
Undistributed net investment income 2
Accumulated net realized loss on investments (9)
Net unrealized appreciation on investments 282
-------
Total Net Assets -- 100.0% $19,950
=======
Net Asset Value, Offering and Redemption
Price Per Share -- Institutional Shares $10.28
=======
(A) ZERO COUPON SECURITY.
(B) MANDATORY PUT/TENDER SECURITY. THE MANDATORY PUT/TENDER DATE IS SHOWN AS THE
MATURITY DATE ON THE STATEMENT OF NET ASSETS.
(C) VARIABLE RATE SECURITY. THE RATE REPORTED ON THE STATEMENT OF NET ASSETS IS
THE RATE IN EFFECT AS OF OCTOBER 31, 1997.
(D) 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.
CMO COLLATERALIZED MORTGAGE OBLIGATION
ETM ESCROWED TO MATURITY
GO GENERAL OBLIGATION
LOC SECURITIES ARE HELD IN CONNECTION WITH A LETTER OF CREDIT 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 CORPORATION
ASSET GUARANTY ASSET GUARANTY
BIGI BOND INVESTORS GUARANTY INSURANCE
FGIC FINANCIAL GUARANTY INSURANCE COMPANY
FHA FEDERAL HOUSING ADMINISTRATION
FNMA FEDERAL NATIONAL MORTGAGE ASSOCIATION
FSA FINANCIAL SECURITY ASSURANCE
GNMA GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
HUD HOUSING & URBAN DEVELOPMENT
INTEL INTEL GUARANTY
MBIA MUNICIPAL BOND INVESTORS ASSURANCE
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
SHORT-TERM
FIXED INCOME FUND
- ----------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- ----------------------------------------------------------
ASSET-BACKED SECURITY -- 0.1%
Premier Auto Trust,
Tranche 1993-5, Class A2
4.220%, 03/02/99 $ 11 $ 11
-------
Total Asset-Backed Security
(Cost $11) 11
-------
MORTGAGE-BACKED OBLIGATIONS -- 14.0%
First Boston Mortgage Securities,
Series 1993-5, Class A3
7.050%, 07/25/23 420 419
General Electric Capital Mortgage
Services, Series 1994-18,
Class A2, CMO
7.000%, 08/25/24 27 27
Green Tree Financial,
Series 1995-6, Class A3
6.650%, 09/15/26 170 172
Green Tree Financial,
Series 1996-2, Class A1
6.100%, 04/15/27 768 771
Green Tree Financial,
Series 1997-3, Class A2
6.490%, 07/15/28 250 254
Green Tree Home Improvement
Loan Trust, Series 1996-C,
Class HIA2
6.900%, 07/15/21 200 203
Merrill Lynch Mortgage Investors,
Series 1990-F, Class A
9.650%, 09/15/10 492 516
Merrill Lynch Mortgage Investors,
Series 1993-A, Class A2
6.100%, 02/15/20 18 19
Vanderbilt Mortgage Finance,
Series 1994-A, Class A1
7.000%, 07/10/19 15 16
-------
Total Mortgage-Backed Obligations
(Cost $2,379) 2,397
-------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 2.3%
Federal Home Loan Bank, Variable
Inflation Linked (C)
3.150%, 02/14/98 305 301
Federal National Mortgage
Association, Variable Inflation
Linked (C)
3.500%, 03/13/98 95 94
-------
Total U.S. Government
Agency Obligations
(Cost $399) 395
-------
46
<PAGE>
================================================================================
- ----------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- ----------------------------------------------------------
U.S. GOVERNMENT MORTGAGE-BACKED
OBLIGATIONS -- 18.7%
Federal Home Loan Mortgage
Corporation, REMIC,
Series 1094, Class J
7.000%, 11/15/19 $ 250 $ 250
Federal Home Loan Mortgage
Corporation, REMIC,
Series 1133, Class G
7.000%, 02/15/20 67 67
Federal Home Loan Mortgage
Corporation, REMIC,
Series 1296, Class G (C)
5.354%, 11/15/97 712 704
Federal Home Loan Mortgage
Corporation, REMIC,
Series 1306, Class G
7.800%, 05/15/12 10 11
Federal Home Loan Mortgage
Corporation, REMIC,
Series 1464, Class BC
6.100%, 04/15/14 15 15
Federal Home Loan Mortgage
Corporation, REMIC, CMO
Series 1763, Class C
7.500%, 09/15/14 184 186
Federal Home Loan Mortgage
Corporation/Government
National Mortgage Association,
REMIC, Series 32, Class PD
6.350%, 03/25/15 1,000 1,000
Federal National Mortgage
Association, REMIC,
Series 1988-17, Class B
9.400%, 10/25/17 365 373
Federal National Mortgage
Association, REMIC,
Series 1989-85, Class D
7.600%, 05/25/18 4 4
Federal National Mortgage
Association, REMIC,
Series 1991-59, Class K
8.000%, 05/25/16 76 77
Federal National Mortgage
Association, REMIC,
Series 1991-137, Class E
8.050%, 01/25/20 6 7
Federal National Mortgage
Association, REMIC,
Series 1991-165, Class H
7.500%, 04/25/20 9 9
- ----------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- ----------------------------------------------------------
Federal National Mortgage
Association, REMIC,
Series 1993-194, Class PE
5.350%, 09/25/02 $ 500 $ 497
-------
Total U.S. Government
Mortgage-Backed Obligations
(Cost $3,192) 3,200
-------
TAXABLE MUNICIPAL BONDS -- 55.1%
Baltimore County, Maryland,
Cross Creek Mortgage RB, GNMA
7.000%, 01/20/00 25 25
Bell County Southern Health Care,
Texas RB, (LOC) (C)
6.050%, 11/06/97 350 350
Bryon, Texas, Higher Education
Authority RB, Series B,
Allen Academy
6.500%, 12/01/99 50 51
Chemung County, New York,
United Cerebral Palsy &
Handicapped Children
Association RB, FHA
6.750%, 02/01/99 55 56
City of Morgantown, Kentucky
RB, (LOC) (C)
6.050%, 11/06/97 200 200
Cuyahoga County, Ohio,
Mortgage RB, Maple Care,
GNMA
7.350%, 08/20/00 280 287
Denver, Colorado, City and
County Housing RB, FHA
6.750%, 05/01/01 80 80
Dove Valley, Arapahoe County,
Colorado GO, Mandatory
Put @ 100, (LOC) (B)
6.000%, 11/01/97 300 300
Fairfax County, Virginia,
Redevelopment and Housing
Authority RB, GNMA
7.875%, 09/20/99 80 82
Fifth Ave Housing, Gary Indiana,
Development RB, FNMA
8.100%, 01/01/03 10 10
Florida State, Housing Finance
Authority RB, Windwood Oaks,
Series R-2, AXA
6.000%, 12/01/97 10 10
Florida State, Housing Finance
Authority, Winwood Oaks,
Series S-2
6.650%, 06/01/01 185 187
47
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1997
SHORT-TERM
FIXED INCOME FUND, CONTINUED
- ----------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- ----------------------------------------------------------
Fresno, California, Housing
RB, (C) (LOC)
6.240%, 11/06/97 $ 385 $ 385
Fresno, California, Housing
RB, GNMA
7.250%, 11/20/02 355 370
Greater Kentucky Housing
Assistance RB, MBIA/FHA
6.500%, 07/01/00 500 507
6.500%, 01/01/01 225 229
6.500%, 07/01/02 195 199
Independence, Michigan,
Economic Development
RB, FHA
6.750%, 08/01/99 95 97
Indianola, Mississippi, Housing
Development RB, Section 8
Eastover Apartments,
MBIA/FHA
6.600%, 01/01/99 55 55
Kansas City, Kansas, Sewer
RB, AMBAC
8.375%, 05/01/01 100 101
Kansas City, Missouri, Industrial
Development Authority RB,
Hilltop Village Apartments,
Series B, FNMA
6.700%, 10/01/02 165 167
Kenton County, Kentucky,
Industrial Development RB, FHA
6.875%, 12/01/98 115 116
King County, Washington,
Low Income Housing Authority
RB, Fred Lind Manor, GNMA
7.250%, 06/20/00 100 102
Lake Mills, Iowa, Lake Mills
Investors Ltd, First Mortgage
Bonds, Mercy Health Center,
Private Placement, Series 1995
7.050%, 11/01/97 215 215
7.150%, 11/01/98 235 236
Maricopa County, Arizona,
Industrial Development
Authority RB, Arcadia
Apartments Project B, (LOC) (C)
6.090%, 11/05/97 200 200
Maury County, Tennessee,
Health & Education Facility
RB, Southern Healthcare,
(LOC) (C)
6.050%, 11/06/97 100 100
- ----------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- ----------------------------------------------------------
Minneapolis, Minnesota, Single
Family Mortgage RB, Home
Ownership Program
6.500%, 04/01/99 $ 465 $ 467
Mississippi Home Corporation,
Residential RB, Series 1993 B (A)
0.000%, 12/01/08 475 223
Moline, Illinois, Housing
Development Mortgage RB,
Highland Manor, FNMA, FHA
7.200%, 03/01/00 145 148
Moorhead, Mississippi, Housing
Development RB, Section 8
Moorhead Manor, Series A, MBIA
6.600%, 07/01/98 30 30
6.600%, 07/01/99 35 35
Nebraska State Finance Authority
RB, Amberwood Apartments,
FNMA
6.300%, 02/01/98 45 45
North Slope Boro, Alaska,
Supplemental Interest Offering
GO, MBIA (A)
0.000%, 06/30/98 485 470
Oshkosh, Wisconsin GO
5.900%, 12/01/99 45 45
Panorama Metro District, Colorado,
Arapahoe County GO, Yearly
Optional Put (LOC)
5.800%, 12/01/19 890 890
Pittsburgh, Pennsylvania, Urban
Redevelopment Authority Tax
Allocation RB, AMBAC
5.500%, 10/01/99 205 203
Prince Georges County, Maryland,
Housing Timber Ridge RB, GNMA
5.500%, 06/20/98 110 110
5.750%, 10/20/98 20 20
Rockford, Illinois, Mortgage RB,
Faust Landmark Apartments,
MBIA, FHA
7.450%, 01/01/03 440 459
Rome, New York, Housing
Development RB, Section 8,
Series B, MBIA/FHA
7.750%, 07/01/01 15 15
San Francisco, California,
Redevelopment Agency RB,
Series 1995-C, MBIA/FHA
6.375%, 01/01/00 55 55
Shawnee, Kansas, Housing RB,
Haverford West Apartments, FNMA
6.750%, 06/01/02 110 111
48
<PAGE>
================================================================================
- ----------------------------------------------------------
FACE AMOUNT/ VALUE
DESCRIPTION SHARES (000) (000)
- ----------------------------------------------------------
Shawnee, Kansas, Housing RB,
Pinegate West Apartments,
(LOC) (C)
6.070%, 11/06/97 $ 425 $ 425
Tarrant County, Texas, Housing
Finance Corporation RB, FNMA
6.550%, 09/01/02 325 327
Texas State Department of Housing
& Community Affairs RB
7.250%, 07/01/99 205 208
6.400%, 01/01/99 165 166
Wilmington, Delaware,
Multi-Family Rent RB,
Prestwyck Apartments,
Series B, FHA
6.625%, 11/01/03 235 234
-------
Total Taxable Municipal Bonds
(Cost $9,319) 9,403
-------
U.S. TREASURY OBLIGATION -- 10.3%
U.S. Treasury Note
6.125%, 05/15/98 1,750 1,756
-------
Total U.S. Treasury Obligation
(Cost $1,750) 1,756
-------
CASH EQUIVALENT -- 0.2%
SEI Daily Income Trust
Government II Fund 35 35
-------
Total Cash Equivalent
(Cost $35) 35
-------
Total Investments -- 100.7%
(Cost $17,085) 17,197
-------
OTHER ASSETS AND LIABILITIES, NET -- (0.7%) (114)
-------
NET ASSETS:
Capital shares of Institutional Shares
(unlimited authorization -- $0.001 par
value) based on 1,698,409 outstanding
shares of beneficial interest 16,984
Distribution in excess of net investment
income (1)
Net realized loss on investments (12)
Net unrealized appreciation on investments 112
-------
Total Net Assets -- 100.0% $17,083
=======
Net Asset Value, Offering and Redemption
Price Per Share -- Institutional Shares $10.06
=======
- ----------------------------------------------------------
VALUE
DESCRIPTION SHARES (000)
- ----------------------------------------------------------
(A) ZERO COUPON SECURITY.
(B) MANDATORY PUT SECURITY. THE MANDATORY PUT DATE IS SHOWN
AS THE MATURITY DATE ON THE STATEMENT OF NET ASSETS.
(C) VARIABLE RATE SECURITY. THE RATE REPORTED ON THE STATEMENT OF NET ASSETS
IS THE RATE IN EFFECT AS OF OCTOBER 31, 1997. THE MATURITY DATE SHOWN IS
THE NEXT RESET DATE.
CMO COLLATERALIZED MORTGAGE OBLIGATION
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 CORPORATION
AXA AXA REINSURANCE
FHA FEDERAL HOUSING ADMINISTRATION
FNMA FEDERAL NATIONAL MORTGAGE ASSOCIATION
GNMA GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
MBIA MUNICIPAL BOND INVESTORS ASSURANCE
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
SMALLER COMPANIES FUND
COMMON STOCKS -- 94.6%
AIR TRANSPORTATION -- 0.6%
ASA Holdings 1,250 $ 35
-------
ADVERTISING -- 0.2%
Marketing Services Group Inc* 2,700 12
-------
CAPITAL GOODS -- 1.7%
Credence Systems* 2,400 71
Innovative Valve Technology* 200 3
Intest Corp* 2,100 26
-------
100
-------
COMPUTERS & SERVICES -- 6.8%
HMT Technology* 2,800 47
In Focus Systems* 2,400 79
Insight Enterprises* 1,500 59
Intuit* 1,400 46
Micron Electronics* 2,600 36
Scansource Inc* 1,200 24
Symantec* 4,500 98
-------
389
-------
49
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1997
SMALLER COMPANIES FUND, CONTINUED
- ----------------------------------------------------------
VALUE
DESCRIPTION SHARES (000)
- ----------------------------------------------------------
CONSUMER -- 15.0%
Damark International* 6,500 $ 76
Delia's* 1,100 23
DM Management* 400 6
Dreyer's Grand Ice Cream 300 12
Factory Card Outlet* 2,700 20
Filene's Basement* 4,300 32
Garden Ridge* 6,135 82
Genesco* 1,110 14
Micro Warehouse* 4,900 73
Mohawk Industries* 2,600 80
Petsmart* 12,900 98
Regal Cinemas* 3,100 71
Robert Mondavi, Class A* 700 36
Service Merchandise* 4,400 18
Viking Office Products* 4,300 103
WestPoint Stevens* 2,800 115
-------
859
-------
DRUGS -- 3.6%
Pathogenesis* 1,600 58
Perrigo* 4,300 66
Sangstat Medical* 2,700 84
-------
208
-------
ENERGY -- 12.1%
BJ Services* 1,400 119
Devon Energy 3,600 161
Lomak Petroleum 4,900 91
Marine Drilling Company* 3,600 107
Northeast Utilities* 3,700 42
Seagull Energy* 4,100 100
United Meridian* 2,100 71
-------
691
-------
ENTERTAINMENT -- 1.5%
Bally Total Fitness Holding* 2,500 44
Royal Caribbean Cruises 900 42
-------
86
-------
ENVIRONMENTAL SERVICES -- 1.7%
Philip Services* 5,498 96
-------
FINANCIAL SERVICES -- 11.2%
Bank Plus* 2,800 34
Bank United, Class A 1,500 63
Dime Bancorp 5,900 142
First Alliance* 1,000 33
Golden State Bancorp* 2,300 76
Lennar 3,700 150
Long Island Bancorp 1,000 44
Triangle Pacific* 3,050 100
-------
642
-------
- ----------------------------------------------------------
VALUE
DESCRIPTION SHARES (000)
- ----------------------------------------------------------
HOUSEHOLD FURNITURE &
FIXTURES -- 2.0%
Furniture Brands International* 6,800 $ 114
-------
LAW ENFORCEMENT PRODUCTS -- 0.3%
Armor Holdings* 1,700 19
-------
LEASING & RENTING -- 2.0%
Rental Service* 4,200 112
-------
MEDICAL PRODUCTS & SERVICES -- 10.8%
ATL Ultrasound* 1,300 56
Collagen 600 12
Cytyc 1,300 31
Health Payment Review* 1,700 41
Hologic* 3,100 79
Lincare Holdings* 900 48
Mentor Corporation 1,700 62
QuadraMed* 2,500 59
Steris* 800 32
Trigon Healthcare* 6,500 159
Vivus* 1,500 40
-------
619
-------
PROCESS INDUSTRIES -- 3.8%
Bowater 1,300 54
NuCo2* 3,150 41
PH Glatfelter 4,100 81
Rayonier 1,000 44
-------
220
-------
REAL ESTATE INVESTMENT TRUSTS -- 2.7%
CCA Prison Realty Trust* 3,500 121
Imperial Credit* 2,000 33
-------
154
-------
SECURITY EQUIPMENT -- 1.5%
Checkpoint Systems* 5,270 84
-------
SERVICE -- 7.5%
American Radio Systems* 2,245 109
Equity International* 2,200 45
Henry Schein* 4,300 141
Paging Network* 2,500 31
US Freightways 3,300 107
-------
433
-------
TECHNOLOGY -- 7.3%
Camco International 700 51
Cognex* 1,200 32
Envoy* 2,300 64
Kemet* 2,800 62
Micrel* 3,000 108
PCD* 5,000 101
-------
418
-------
50
<PAGE>
================================================================================
- ----------------------------------------------------------
SHARES/FACE VALUE
DESCRIPTION AMOUNT (000) (000)
- ----------------------------------------------------------
TELEPHONES &
TELECOMMUNICATION -- 2.3%
Comsat 2,400 $ 55
Ortel* 2,600 61
Premisys Communications* 600 16
-------
132
-------
Total Common Stocks
(Cost $4,576) 5,423
-------
COMMERCIAL PAPER -- 5.9%
Northern Trust
5.553%, 11/03/97 $336 336
-------
Total Commercial Paper
(Cost $336) 336
-------
Total Investments -- 100.5%
(Cost $4,912) 5,759
-------
OTHER ASSETS AND LIABILITIES, NET -- (0.5%) (29)
-------
NET ASSETS:
Capital shares of Institutional Shares
(unlimited authorization--$0.001
par value) based on 388,847
outstanding shares of beneficial interest 4,217
Capital shares of Service Shares
(unlimited authorization--$0.001
par value) based on 424 outstanding
shares of beneficial interest 6
Accumulated net realized gain on investments 660
Net unrealized appreciation on investments 847
-------
Total Net Assets -- 100.0% $ 5,730
=======
Net Asset Value, Offering and Redemption
Price Per Share -- Institutional Shares $14.72
=======
Net Asset Value, Offering and Redemption
Price Per Share -- Service Shares $14.71
=======
* NON-INCOME PRODUCING SECURITY.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
MICROCAP FUND
- ----------------------------------------------------------
VALUE
DESCRIPTION SHARES (000)
- ----------------------------------------------------------
COMMON STOCKS -- 98.7%
BROADCASTING, NEWSPAPERS &
ADVERTISING -- 1.4%
Marketing Services Group Inc* 10,100 $ 47
-------
BUILDING & CONSTRUCTION -- 4.8%
Engle Homes 4,500 67
Washington Homes Inc* 19,600 91
-------
158
-------
BUILDING & CONSTRUCTION
SUPPLIES -- 1.5%
DR Horton 3,200 48
-------
CAPITAL GOODS -- 4.2%
Brunswick Technologies Inc* 1,600 30
Innovative Valve Technology* 2,500 44
Intest Corp* 5,200 64
-------
138
-------
COMMUNICATIONS EQUIPMENT -- 6.2%
DM Management* 2,400 36
Globecomm Systems Inc* 7,100 122
Optek Technology* 2,500 45
-------
203
-------
COMPUTERS & SERVICES -- 2.4%
Scansource Inc* 4,000 79
-------
CONSUMER -- 5.3%
Damark International* 4,600 53
Delia's* 3,100 64
Garden Ridge* 4,200 56
-------
173
-------
CONSUMER PRODUCTS -- 2.4%
Rocky Shoes* 4,500 78
-------
DRUGS -- 4.2%
Arqule* 1,600 34
Scios Nova* 3,800 31
Supergen Inc* 4,200 72
-------
137
-------
FINANCIAL SERVICES -- 4.3%
Pennfed Financial Services 1,400 42
R & G Financial, Class B 3,240 64
Bankunited Financial* 2,700 35
-------
141
-------
HOTELS & LODGING -- 1.9%
Suburban Lodges of America* 2,500 62
-------
MEDICAL PRODUCTS & SERVICES -- 8.1%
Cholestech* 2,000 27
Monarch Dental* 2,050 37
New West Eyeworks* 1,700 15
Novametrix Med System* 7,000 57
51
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1997
MICROCAP FUND, CONTINUED
- ----------------------------------------------------------
VALUE
DESCRIPTION SHARES (000)
- ----------------------------------------------------------
Sabratek* 1,000 $ 32
Thermedics Detection* 2,700 28
Wesley Jessen* 2,400 70
-------
266
-------
MISCELLANEOUS BUSINESS
SERVICES -- 5.9%
Credit Management Solutions* 4,100 59
Dendrite International* 3,300 64
May & Speh* 4,700 59
QuadraMed* 500 12
-------
194
-------
PETROLEUM & FUEL PRODUCTS -- 6.9%
Basin Exploration* 2,000 40
Lomak Petroleum 2,200 41
Mallon Resources Corp* 7,100 75
Virginia Gas 9,000 72
-------
228
-------
PHOTOGRAPHIC EQUIPMENT &
SUPPLIES -- 0.8%
Circon* 1,700 27
-------
PRINTING & PUBLISHING -- 1.1%
IVI Publishing* 9,200 36
-------
PROCESS INDUSTRIES -- 1.5%
NuCo2* 3,800 49
-------
PROFESSIONAL SERVICES -- 3.9%
Corporatefamily Solutions Stock* 3,900 58
Hagler Bailly* 3,400 69
-------
127
-------
REAL ESTATE -- 0.5%
Lasalle Partners* 500 18
-------
RETAIL -- 2.5%
Marks Bros. Jewelers* 2,300 37
Total Entertainment Restaurant* 6,600 46
-------
83
-------
SEMI-CONDUCTORS/INSTRUMENTS -- 2.5%
Stoneridge* 5,000 81
-------
SERVICE -- 6.2%
Lodgenet Entertainment* 3,300 45
Saga Communications
Incorporated, Class A* 2,725 55
Smithway Motor Express,
Class A* 1,700 23
World Access* 3,000 80
-------
203
-------
SPECIALTY CONSTRUCTION -- 5.2%
Hospitality Worldwide Services* 5,000 58
Transcoastal Marine Services* 600 15
Willbros Group Inc* 5,000 98
-------
171
-------
- ----------------------------------------------------------
VALUE
DESCRIPTION SHARES (000)
- ----------------------------------------------------------
SPECIALTY MACHINERY -- 1.7%
International Comfort Products* 7,600 $ 57
-------
TECHNOLOGY -- 5.5%
AFC Cable Systems* 1,500 43
Channell Commercial* 800 10
Datum Inc* 1,300 27
Micrel* 1,700 61
PCD* 2,000 41
-------
182
-------
TELEPHONES &
TELECOMMUNICATION -- 3.9%
American Communications* 5,900 66
Ortel* 2,700 63
-------
129
-------
WHOLESALE -- 3.9%
Insight Enterprises* 2,200 86
Intelligent Electronics* 8,000 43
-------
129
-------
Total Common Stocks
(Cost $2,840) 3,244
-------
Total Investments -- 98.7%
(Cost $2,840) 3,244
-------
OTHER ASSETS AND LIABILITIES, NET -- 1.3% 42
-------
NET ASSETS:
Capital shares of Institutional Shares
(unlimited authorization -- $0.001 par
value) based on 259,613 outstanding shares
of beneficial interest 2,739
Capital shares of Service Shares
(unlimited authorization --
$0.001 par value) based on 761
outstanding shares of beneficial interest 10
Accumulated net realized gain on investments 133
Net unrealized appreciation on investments 404
-------
Total Net Assets -- 100.0% $ 3,286
=======
Net Asset Value, Offering and Redemption
Price Per Share -- Institutional Shares $ 12.62
=======
Net Asset Value, Offering and Redemption
Price Per Share -- Service Shares $ 12.62
=======
* NON-INCOME PRODUCING SECURITY.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
52
<PAGE>
================================================================================
INTERNATIONAL
EQUITY FUND
- ----------------------------------------------------------
VALUE
DESCRIPTION SHARES (000)
- ----------------------------------------------------------
FOREIGN COMMON STOCKS -- 94.2%
AUSTRALIA -- 1.9%
Boral 12,500 $ 33
Mayne Nickless 7,500 34
Westpac Banking 5,000 29
-------
96
-------
DENMARK -- 0.9%
Novo Nordisk, Series B 420 46
-------
FRANCE -- 8.9%
Accor 200 37
Alcatel Alsthom 300 36
Cetelem 275 31
Credit Commerce France 800 45
SGS Thomson Micro Electronics 700 50
Synthelabo 420 49
Total Compaigne, Series B 1,050 117
Usinor Sacilor 2,100 35
Valeo 600 40
-------
440
-------
GERMANY -- 3.2%
Adidas 450 66
SGL Carbon 350 50
Volkswagen 70 42
-------
158
-------
HONG KONG -- 3.1%
Cheung Kong Holdings 5,000 35
China Light & Power 2,000 11
Dao Heng Bank Group 2,000 5
Hang Seng Bank 2,100 18
Hong Kong Land ADR 6,000 14
Hong Kong Telecommunications 6,800 13
Hutchison Whampoa 6,000 42
New World Development 3,000 11
Wharf Holdings 3,000 6
-------
155
-------
ITALY -- 1.7%
Telecom Italia Mobile SPA 11,800 44
Telecom Italia SPA 10,000 40
-------
84
-------
JAPAN -- 22.7%
Bank of Tokyo-Mitsubishi 2,000 26
Bridgestone 2,000 43
Canon 2,000 49
DDI 8 27
Familymart 800 35
H.I.S. 1,000 32
Hitachi 6,000 46
Ito Yokado 1,000 50
Kawasaki Heavy Industries 11,000 26
- ----------------------------------------------------------
VALUE
DESCRIPTION SHARES (000)
- ----------------------------------------------------------
Mabuchi Motor 900 $ 50
Matsushita Electric 2,000 34
Minebea 5,000 50
Mitsubishi 2,000 17
Mitsubishi Estate 5,000 63
Mitsubishi Materials 7,000 20
Nippon Telegraph & Telephone 4 34
NKK 23,000 32
Nomura Securities 1,000 12
NSK 6,000 25
Sankyo 3,000 99
Secom 1,000 65
Shin Etsu Chemical 3,000 73
Sony 600 50
Sony Music Entertainment 1,000 35
Sumitomo Electric 3,000 40
Suzuki Motor 3,000 32
Tokio Marine & Fire Insurance 6,000 60
-------
1,125
-------
MALAYSIA -- 0.4%
Tenaga Nasional Berhad 9,000 19
-------
NETHERLANDS -- 10.0%
Aegon 1,741 137
Ahold 1,300 33
Akzo Nobel 200 35
ASM Lithography 900 65
Getronics 1,200 40
Gucci 720 27
IHC Caland 600 37
Phillips Electronics 1,100 86
Wolters Kluwer 300 37
-------
497
-------
SINGAPORE -- 0.9%
City Developments 2,000 8
DBS Land 3,000 5
Overseas Chinese Banking Foreign 3,360 19
Parkway Holdings 2,000 5
Singapore International
Airlines `F' 1,000 7
-------
44
-------
SPAIN -- 3.3%
Acerinox SA 420 63
Banco Popular Espana 800 47
Telefonica de Espana 1,900 52
-------
162
-------
SWEDEN -- 7.9%
Ericsson LM, Series B 2,800 123
Hennes & Mauritz 1,050 43
Mo Och Domsjo 1,000 27
Nordbanken 1,400 44
53
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1997
INTERNATIONAL
EQUITY FUND, CONTINUED
- ----------------------------------------------------------
SHARES/ VALUE
DESCRIPTION FACE AMOUNT (000) (000)
- ----------------------------------------------------------
Scania AB, Series A 1,245 $ 29
Securitas AB, Series B 1,600 43
Skandia Forrestry 1,000 47
SSAB, Series A 2,000 34
-------
390
-------
SWITZERLAND -- 6.8%
ABB - Asea Brown Boveri Group 30 39
Clariant 50 38
CS Holdings 300 42
Novartis, Registered 89 140
Roche Holdings 4 35
Zurich Insurance 110 45
-------
339
-------
UNITED KINGDOM -- 22.5%
Abbey National 3,700 59
Barclays Bank 2,800 70
Blue Circle Industries 9,500 56
British Airways 12,500 122
British Biotech* 8,000 14
British Telecommunications 7,200 55
General Electric 18,100 116
Glaxo Wellcome 5,000 107
Grand Metropolitan 5,500 50
Kingfisher 4,800 69
Lasmo 7,400 34
National Power 11,000 92
Rolls Royce 24,000 86
Securicor 17,000 77
Shell Transportation & Trading 11,350 80
Standard Chartered Bank 2,667 29
-------
1,116
-------
Total Foreign Common Stocks
(Cost $4,458) 4,671
-------
FOREIGN PREFERRED STOCK -- 1.7%
GERMANY -- 1.7%
SAP* 275 82
-------
Total Foreign Preferred Stock
(Cost $45) 82
-------
DEMAND DEPOSIT -- 2.4%
UNITED STATES -- 2.4%
Northern Trust
3.400%, 11/03/97 $ 119 119
-------
Total Demand Deposit
(Cost $119) 119
-------
Total Investments -- 98.3%
(Cost $4,622) 4,872
-------
OTHER ASSETS AND LIABILITIES, NET-- 1.7% 82
-------
- ----------------------------------------------------------
VALUE
DESCRIPTION SHARES (000)
- ----------------------------------------------------------
NET ASSETS:
Capital shares of Institutional Shares
(unlimited authorization --
$0.001 par value) based on 426,432
outstanding shares of beneficial interest $ 4,470
Undistributed net investment income 59
Accumulated net realized gain on investments 164
Net unrealized appreciation on forward
foreign currency contracts, foreign
currency, and translation of other assets
and liabilities in foreign currency 11
Net unrealized appreciation on investments 250
-------
Total Net Assets -- 100.0% $ 4,954
=======
Net Asset Value, Offering and Redemption
Price Per Share -- Institutional Shares $ 11.62
=======
* NON-INCOME PRODUCING SECURITY.
ADR AMERICAN DEPOSITORY RECEIPT
F FOREIGN SHARES
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
EUROPEAN
EQUITY FUND
FOREIGN COMMON STOCKS -- 92.9%
DENMARK -- 1.2%
Novo Nordisk, Series B 4,500 $ 488
-------
FINLAND -- 2.7%
Pohjola 15,278 585
UPM-Kymmene 20,860 466
-------
1,051
-------
FRANCE -- 11.4%
Alcatel Alsthom 3,500 423
Cap Gemini Sogeti 5,000 397
Carrefour 330 172
Cetelem 3,100 344
Cie de Saint Gobain 2,855 410
Elf Aquitaine 4,000 495
Grand Optical-Photoservice 1,300 209
Lagardere Groupe 15,000 432
Michelin, Series B 5,167 265
SGS-Thomson Microelectronics* 4,500 320
Total, Series B 5,500 611
Usinor Sacilor 24,500 405
-------
4,483
-------
54
<PAGE>
================================================================================
- ----------------------------------------------------------
VALUE
DESCRIPTION SHARES (000)
- ----------------------------------------------------------
GERMANY -- 5.3%
Bayerische Motoren Werke 520 $ 378
Hoechst 8,330 320
SGL Carbon 2,500 357
Siemens 5,000 311
VEBA 6,500 366
Volkswagen 600 357
-------
2,089
-------
ITALY -- 4.8%
Credito Italiano 185,000 494
ENI SPA 52,000 293
Pirelli 60,000 152
Telecom Italia Mobile SPA 150,000 557
Telecom Italia SPA 60,000 377
-------
1,873
-------
NETHERLANDS -- 10.1%
Aegon 7,117 561
Ahold 24,106 617
Akzo Nobel 3,500 617
ASM Lithography 4,200 305
Getronics 9,000 297
ING Groep 10,262 431
Koninklijke PTT Nederland 7,805 298
Phillips Electronics 3,500 274
Polygram 10,000 569
-------
3,969
-------
NORWAY -- 1.5%
Norske Skogindustrier ASA 12,000 379
Unitor Ship Services 12,500 198
-------
577
-------
SPAIN -- 4.9%
Banco Bilbao Vizcaya 19,500 522
Banco Popular 8,800 520
Endesa - Empresa Nacional
de Electricidad 22,000 414
Telefonica de Espana 16,500 450
-------
1,906
-------
SWEDEN -- 9.5%
Assa Abloy, Series B 20,900 478
Astra AB, Series A 12,000 194
Astra AB, Series B 13,333 207
Ericsson LM, Series B 17,000 750
Granges* 32,000 524
Mo Och Domsjo 14,800 402
Scania AB, Series A 16,000 387
Securitas, Series B 8,800 235
- ----------------------------------------------------------
VALUE
DESCRIPTION SHARES (000)
- ----------------------------------------------------------
Sparbanken Sverige AB, Series A 9,500 $ 216
SSAB, Series A 20,000 341
-------
3,734
-------
SWITZERLAND -- 6.6%
ABB - Asea Brown Boveri Group 300 391
Compagnie Financiere Richemont AG 118 142
Novartis 580 910
Roche Holdings 75 660
Winterthur 500 510
-------
2,613
-------
UNITED KINGDOM -- 34.9%
Abbey National 23,000 366
Albright & Wilson 22,500 61
Associated British Foods 31,000 250
Barclays Bank 17,000 426
Bass 12,500 174
BBA Group 49,318 333
BG 42,550 187
BICC 23,090 64
Blue Circle Industries 51,000 300
British Aerospace 14,722 391
British Airways 33,000 322
British Biotech* 18,460 32
British Telecommunications 89,900 683
BTR 63,000 213
Commercial Union 18,562 262
De La Rue 11,400 81
Emap 12,000 172
General Cable* 55,500 114
General Electric 52,000 332
Glaxo Wellcome 43,500 933
Granada Group 19,500 269
Grand Metropolitan 16,000 144
Guinness 25,000 224
Hammerson 43,000 349
HSBC Holdings 7,224 180
J Sainsbury 15,611 130
Kingfisher 21,000 302
Lasmo 89,000 411
Morrison Supermarket 32,760 108
National Power 29,000 242
Next 28,000 334
Northern Rock* 28,000 226
Prudential 35,000 374
Rank Group 54,000 302
Redland 51,500 296
Reuters 19,000 206
Rolls Royce 56,500 203
Royal Sun Alliance 44,605 428
Securicor 51,845 234
Sedgwick Group 81,520 172
55
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1997
EUROPEAN
EQUITY FUND, CONTINUED
- ----------------------------------------------------------
SHARES/ VALUE
DESCRIPTION FACE AMOUNT (000) (000)
- ----------------------------------------------------------
Shell Transportation & Trading 130,000 $ 922
Smithkline Beecham 33,000 313
Smiths Industries 11,500 167
Standard Chartered Bank 8,528 93
Tate & Lyle 28,000 214
Tomkins 63,000 324
United News & Media 21,000 264
Vendome 31,200 190
Vodafone Group 39,000 213
Wolseley 25,000 208
-------
13,738
-------
Total Foreign Common Stocks
(Cost $30,649) 36,521
-------
FOREIGN PREFERRED STOCK -- 1.2%
FINLAND -- 1.2%
Nokia AB, Series A 5,500 482
-------
Total Foreign Preferred Stock
(Cost $377) 482
-------
DEMAND DEPOSIT -- 4.1%
UNITED STATES -- 4.1%
Northern Trust
3.400%, 11/03/97 $ 1,604 1,604
-------
Total Demand Deposit
(Cost $1,604) 1,604
-------
Total Investments -- 98.2%
(Cost $32,630) 38,607
-------
OTHER ASSETS AND LIABILITIES, NET -- 1.8% 723
-------
NET ASSETS:
Capital shares of Institutional Shares
(unlimited authorization --
$0.001 par value) based on 3,070,932
outstanding shares of beneficial interest 29,888
Undistributed net investment income 713
Accumulated net realized gain on investments 2,749
Net unrealized appreciation on forward
foreign currency contracts, foreign
currency, and translation of other assets
and liabilities in foreign currency 3
Net unrealized appreciation on investments 5,977
-------
Total Net Assets -- 100.0% $39,330
=======
Net Asset Value, Offering and Redemption
Price Per Share -- Institutional Shares $ 12.81
=======
*NON-INCOME PRODUCING SECURITY
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
IINTERNATIONAL SMALL
CAP EQUITY FUND
- ----------------------------------------------------------
VALUE
DESCRIPTION SHARES (000)
- ----------------------------------------------------------
FOREIGN COMMON STOCKS AND WARRANTS -- 88.1%
AUSTRALIA -- 2.2%
Adelaide Brighton 225,526 $ 248
McPherson's 223,203 314
Novus Petroleum 100,000 327
Savage Resources 523,277 302
Savage Resources Warrants* 21,548 1
-------
1,192
-------
AUSTRIA -- 1.1%
Wolford 7,846 570
-------
DENMARK -- 1.2%
William Demant Holdings 13,845 647
-------
FINLAND -- 1.1%
Cultor Oy, Series 1 6,345 344
Cultor Oy, Series 2 5,000 266
-------
610
-------
FRANCE -- 8.3%
Altran Technologies SA 1,773 473
Brioche Pasquier 4,211 459
Deveaux SA 4,781 473
Fininfo 3,712 451
Genset ADR* 35,179 669
Grand Optical-Photoservice 3,529 569
Imetal 4,000 430
Manutan 8,118 563
Stedim 3,700 329
-------
4,416
-------
GERMANY -- 1.0%
Cewe Color Holding 2,248 523
-------
HONG KONG -- 3.1%
Chen Hsong Holdings 316,000 123
Gold Peak Industries 1,059,000 644
HKR International 605,660 400
Hong Kong Aircraft Engineering 128,000 329
Wing Hang Bank 56,600 146
-------
1,642
-------
INDONESIA -- 0.2%
Bank Panin Indonesia Warrants* 47,142 1
Fastfood Indonesia `F' 31,000 34
Tigaraksa Satria `F' 48,000 44
Wicaksana Overseas `F' 134,400 21
-------
100
-------
ITALY -- 5.2%
Gewiss 36,570 714
Industrie Natuzzi SPA ADR 37,400 837
Saes Getters 18,761 336
56
- ----------------------------------------------------------
VALUE
DESCRIPTION SHARES (000)
- ----------------------------------------------------------
Saes Getters Di Risp 28,557 $ 301
Simint SPA* 80,275 603
-------
2,791
-------
JAPAN -- 20.7%
Aderans 12,000 323
Aiwa 15,000 335
Chubu Sekiwa Real Estate 26,700 211
Circle K Japan 11,800 603
Dainippon Screen 33,000 268
Disco Corporation 6,000 193
Fuji Machine Manufacturing 22,000 645
Fujimi 6,000 331
H.I.S. 5,000 162
Ibiden 59,000 981
Kaneshita Construction 24,000 161
Kanto Seino Transportation 15,000 317
Meitec 13,500 399
Ministop 12,300 357
Misumi 10,400 169
Mitsui High Tec 28,000 632
Mitsumi Electric 17,000 334
NGK Spark Plug Co. 33,000 230
Nichii Gakkan 8,000 326
Nidec 700 28
Nitto Kohki 8,000 143
OSG 67,000 390
Otsuka Kagu 4,900 322
Ricoh Elemex 15,000 122
Shimamura 11,000 297
Shinko Electric 15,000 623
Sumitomo Bakelite 60,000 417
Sumitomo Sitix 34,000 605
Sumitomo Sp Metals 34,000 651
Tsudakoma 19,000 63
World 7,000 259
Yasunaga 18,000 150
-------
11,047
-------
MALAYSIA -- 0.3%
MBM Resources 90,000 48
Road Builder 48,000 56
United Plantations Berhad 37,000 51
-------
155
-------
NETHERLANDS -- 6.4%
Aalberts Industries 20,194 530
ASM Lithography Holding NV 11,750 854
Baan* 18,184 1,288
IHC Caland 11,989 738
-------
3,410
-------
- ----------------------------------------------------------
VALUE
DESCRIPTION SHARES (000)
- ----------------------------------------------------------
NORWAY -- 3.2%
Ekornes ASA 58,000 $ 529
NCL Holdings* 82,000 313
Tomra Systems 33,425 858
-------
1,700
-------
SINGAPORE -- 1.1%
GP Batteries International 80,000 234
Venture Manufacturing 109,000 374
-------
608
-------
SPAIN -- 2.4%
Azkoyen SA 6,114 673
Baron de Ley* 30,770 582
-------
1,255
-------
SWEDEN -- 2.5%
Assa Abloy, Series B 37,665 861
Cardo 18,358 498
-------
1,359
-------
SWITZERLAND -- 6.2%
Ares Serono, Series B 313 593
Kardex 1,785 476
Kudelski 96 363
Selecta-Gruppe* 3,819 535
SIG Schweizerische Industrie 200 539
Sairgroup 424 569
Valora Holdings 1,165 250
-------
3,325
-------
THAILAND -- 0.1%
Serm Suk `F' (1) 5,640 52
-------
UNITED KINGDOM -- 21.8%
Allied Colloids 63,618 108
Argos 25,865 274
Arriva 79,553 475
Assocociated British Ports 37,416 178
Azlan Group 12,487 14
Azlan Group Rights 24,974 10
BBA Group 83,486 563
Bunzl 98,218 409
Capita Group 67,729 350
Capital Shopping 37,936 276
Charter 15,091 213
Compass Group 27,861 297
Daily Mail & General Trust,
Series A 13,966 401
Devro International 95,252 591
Fairey Group 35,443 366
Forth Ports 36,831 405
57
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1997
INTERNATIONAL SMALL
CAP EQUITY FUND, CONTINUED
- ----------------------------------------------------------
SHARES/ VALUE
DESCRIPTION FACE AMOUNT (000) (000)
- ----------------------------------------------------------
General Cable* 94,065 $ 193
Glynwed International 43,497 180
Henlys 35,646 254
Hepworth 43,872 174
Ibstock 384,113 340
Laird Group 49,109 352
London Clubs 76,749 400
MFI Furniture 115,125 232
Mirror Group 106,050 351
Nycomed Amersham 6,903 266
Pillar Property Investment 125,946 552
Rotork 83,297 402
Scapa Group 50,415 201
Securicor 72,330 327
SIG 103,374 484
Smith (David S) Holdings 24,270 93
Spirax-Sarco Engineering 32,479 371
Stagecoach Holdings 47,205 577
Trinity Holdings 62,430 333
United News & Media 14,742 185
UPF Group 15,082 18
Vitec Group 21,838 236
Vosper Thornycroft 15,219 207
-------
11,658
-------
Total Foreign Common Stocks
and Warrants
(Cost $45,736) 47,060
-------
FOREIGN PREFERRED STOCKS -- 3.6%
GERMANY -- 3.6%
Boss (Hugo) 790 1,001
Marschollek Lauten 2,507 576
Rhoen Klinikum 3,574 339
-------
1,916
-------
Total Foreign Preferred Stocks
(Cost $1,427) 1,916
-------
FOREIGN CONVERTIBLE BOND -- 0.4%
JAPAN -- 0.4%
Nippon Densan
1.000%, 09/30/03 JY200 224
-------
Total Foreign Convertible Bond
(Cost $197) 224
-------
- ----------------------------------------------------------
FACE AMOUNT (000)/ VALUE
DESCRIPTION SHARES (000)
- ----------------------------------------------------------
DEMAND DEPOSIT -- 6.7%
UNITED STATES -- 6.7%
Northern Trust
3.400%, 11/03/97 $3,572 $ 3,572
-------
Total Demand Deposit
(Cost $3,572) 3,572
-------
Total Investments -- 98.8%
(Cost $50,932) 52,772
-------
OTHER ASSETS AND LIABILITIES, NET -- 1.2% 623
-------
NET ASSETS:
Capital shares of Institutional Shares
(unlimited authorization -- $0.001
par value) based on 6,060,094
outstanding shares of beneficial interest 58,069
Undistributed net investment income 577
Accumulated net realized loss
on investments (7,105)
Net unrealized appreciation on forward
foreign currency contracts, foreign
currency, and translation of other
assets and liabilities in foreign currency 14
Net unrealized appreciation on investments 1,840
-------
Total Net Assets -- 100.0% $53,395
=======
Net Asset Value, Offering and Redemption
Price Per Share -- Institutional Shares $ 8.81
=======
*NON-INCOME PRODUCING SECURITY
ADR AMERICAN DEPOSITORY RECEIPT
F FOREIGN SHARES
JY JAPANESE YEN
PC PARTICIPATING CERTIFICATE
(1) SECURITY FAIR VALUED USING METHODS DETERMINED IN GOOD FAITH BY THE
VALUATION COMMITTEE OF THE BOARD OF TRUSTEES.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
EUROPEAN SMALL
CAP EQUITY FUND
FOREIGN COMMON STOCKS -- 90.9%
AUSTRIA -- 1.4%
AMS Austria Mikros 600 $ 39
Wolford 1,378 100
-------
139
-------
DENMARK -- 1.9%
William Demant Holdings 3,880 181
-------
58
<PAGE>
================================================================================
- ----------------------------------------------------------
VALUE
DESCRIPTION SHARES (000)
- ----------------------------------------------------------
FINLAND -- 2.2%
Cultor Oy, Series 1 2,900 $ 157
Cultor Oy, Series 2 990 53
-------
210
-------
FRANCE -- 9.0%
Altran Technologies SA 175 47
Brioche Pasquier 961 105
CIPE France 2,550 64
Deveaux SA 676 67
Fininfo 332 40
Genset ADR* 6,800 129
Grandoptical Photo Service 1,155 186
Imetal 733 79
Manutan 1,860 129
Stedim 275 24
-------
870
-------
GERMANY -- 4.1%
Boewe Systec AG 3,509 104
Cewe Color Holding 624 145
Eff-Eff Fritz Fuss 1,170 40
Rhoen Klinikum* 1,172 111
-------
400
-------
ITALY -- 8.3%
Gewiss 8,890 174
Industria Machine 17,000 80
Industrie Natuzzi SPA ADR 10,418 233
Saes Getters 6,350 114
Saes Getters Di Risp 5,500 58
Simint SPA* 18,200 137
-------
796
-------
NETHERLANDS -- 9.7%
Aalberts Industries 9,721 255
ASM Lithography Holding NV 1,980 144
Baan* 3,220 228
Gucci 1,095 40
IHC Caland 2,885 177
Koninklijke Van Ommeren 2,533 91
-------
935
-------
NORWAY -- 4.2%
Ekornes ASA 11,230 102
NCL Holdings* 18,750 72
Sensonor ASA* 5,846 30
Tomra Systems ASA 7,796 200
-------
404
-------
- ----------------------------------------------------------
VALUE
DESCRIPTION SHARES (000)
- ----------------------------------------------------------
SPAIN -- 3.5%
Azkoyen SA 1,870 $ 206
Baron de Ley* 6,900 130
-------
336
-------
SWEDEN -- 6.1%
Assa Abloy, Series B 7,880 180
Cardo 5,407 147
Hoganas AB, Series B 3,240 120
Kalmar 7,590 133
-------
580
-------
SWITZERLAND -- 7.6%
Ares Serono, Series B 67 127
Kardex 330 88
Kudelski 24 91
Selecta-Gruppe* 845 118
SIG Schweizerisch Industrie 41 111
Sairgroup 91 122
Valora Holdings 362 78
-------
735
-------
UNITED KINGDOM -- 32.9%
Allied Colloids 35,456 60
Argos 9,354 99
Arriva 17,357 104
BBA Group 16,752 113
Bradford Properties 14,229 70
Bunzl 40,869 170
Capita Group 19,649 102
Capital Shopping 14,197 103
Charter 5,925 83
Compass Group 7,750 83
Daily Mail & General Trust,
Series A 3,420 98
Dennis Group 14,478 77
Devro International 19,855 123
Fairey Group 9,652 100
Forth Ports 8,053 89
General Cable* 56,600 116
Glynwed International 14,616 61
Henlys 10,545 75
Hepworth 17,539 69
Ibstock 108,333 96
Laird Group 23,603 169
London Clubs 16,547 86
MFI Furniture 26,698 54
Mirror Group 37,560 124
Nycomed Amersham 1,461 56
Pillar Property Investment 30,205 132
Scapa Group 22,061 88
Securicor 25,581 116
SIG 23,055 108
Smith (David S) Holdings 6,658 25
Spirax-Sarco Engineering 8,436 96
59
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1997
EUROPEAN SMALL
CAP EQUITY FUND, CONTINUED
- ----------------------------------------------------------
SHARES/ VALUE
DESCRIPTION FACE AMOUNT (000) (000)
- ----------------------------------------------------------
Stagecoach Holdings 9,446 $ 116
UPF Group 4,109 5
Vitec Group 5,295 57
Vosper Thornycroft 3,867 53
-------
3,176
-------
Total Foreign Common Stocks
(Cost $7,427) 8,762
-------
FOREIGN PREFERRED STOCKS -- 4.7%
GERMANY -- 4.7%
Boss (Hugo) 167 212
Jil Sander 140 61
Marschollek Lauten 792 182
-------
455
-------
Total Foreign Preferred Stocks
(Cost $315) 455
-------
DEMAND DEPOSIT -- 3.4%
UNITED STATES -- 3.4%
Northern Trust
3.400%, 11/03/97 $331 331
-------
Total Demand Deposit
(Cost $331) 331
-------
Total Investments -- 99.0%
(Cost $8,073) 9,548
-------
OTHER ASSETS AND LIABILITIES, NET -- 1.0% 93
-------
NET ASSETS:
Capital shares of Institutional Shares
(unlimited authorization -- $0.001
par value) based on 817,277
outstanding shares of beneficial interest 8,213
Undistributed net investment income 41
Accumulated net realized loss
on investments (90)
Net unrealized appreciation on forward
foreign currency contracts, foreign
currency, and translation of other
assets and liabilities in foreign currency 2
Net unrealized appreciation on investments 1,475
-------
Total Net Assets -- 100.0% $ 9,641
=======
Net Asset Value, Offering and Redemption
Price Per Share -- Institutional Shares $ 11.80
=======
*NON-INCOME PRODUCING SECURITY
ADR AMERICAN DEPOSITORY RECEIPT
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
EMERGING MARKETS
EQUITY FUND
- ----------------------------------------------------------
VALUE
DESCRIPTION SHARES (000)
- ----------------------------------------------------------
FOREIGN COMMON STOCKS -- 86.0%
ARGENTINA -- 5.3%
Banco Galicia ADR 22,200 $ 538
Disco ADR* 11,200 454
Perez Companc B 171,600 1,071
Quilmes ADR 50,300 622
Siderar A 95,000 469
Telecom Argentina ADR 46,700 1,182
YPF ADR 21,300 682
-------
5,018
-------
BOTSWANA -- 0.0%
Kgolo Ya Sechaba 395,000 42
-------
BRAZIL -- 7.4%
Eletrobras 1,716,400 724
Elevadores Atlas 34,000 530
Light 2 --
Makro ADR 18,000 180
Telebras ADR 37,300 3,786
Unibanco GDR* 34,000 926
Vale Rio Doce ADR 46,100 836
-------
6,982
-------
CANADA -- 0.9%
Atacama Minerals* 696,700 811
-------
CHILE -- 3.9%
CCU ADR 25,100 612
CTC ADR 25,700 713
Embotella Andina ADR A 25,100 602
Enersis ADR 34,300 1,132
Quinenco ADR* 43,000 629
-------
3,688
-------
COLOMBIA -- 1.2%
Cadenalco ADR 76,300 720
Suramericana 19,186 427
-------
1,147
-------
CZECH REPUBLIC -- 0.1%
Elektrarny Opatovice 580 74
Zivnobanka Investicni Fond 4,060 51
-------
125
-------
GREECE -- 1.8%
Alpha Credit Bank 5,100 337
Attica Enterprises 30,300 320
Ergo Bank 8,378 500
Goody's 16,660 266
Titan Cement Company 6,160 301
-------
1,724
-------
60
<PAGE>
================================================================================
- ----------------------------------------------------------
VALUE
DESCRIPTION SHARES (000)
- ----------------------------------------------------------
HONG KONG -- 2.7%
China Telecom* 80,000 $ 128
China Travel International
Investment 1,665,000 684
Citic Pacific 250,000 1,197
Shanghai Industrial Holdings 79,000 352
Union Bank of Hong Kong 133,000 167
-------
2,528
-------
HUNGARY -- 2.4%
North American Business
Industries* 19,700 535
OTP Bank 23,053 735
Richter Gedeon 6,860 632
Zagrebacka Banka GDR 11,970 382
-------
2,284
-------
INDIA -- 8.1%
Asea Brown Boveri 18,333 322
Bajaj Auto 26,325 419
Bharat Heavy Electricals 61,000 630
BSES Limited 57,000 286
East India Hotels 24,000 258
Hindalco Industries 21,500 561
Hindustan Lever 21,000 743
Hindustan Petroleum 50,000 657
ITC Limited 50,000 773
Mahindra & Mahindra 21,000 209
Oriental Bank of Commerce 200 --
Ranbaxy Laboratories 100 2
Reliance Industries 330,000 1,711
State Bank of India 71,000 514
Sterlite Industries 12,000 59
Tata Engineering &
Locomotive Co.* 50,000 438
-------
7,582
-------
INDONESIA -- 2.6%
Aneka Tambang* 517,000 202
Bank Dagang Nasional
Indonesia `F' 1,670,000 233
Bank Panin Indonesia `F' (3) 590,994 135
Bank Panin Indonesia Warrants* 84,426 2
Bimantara Citra 208,500 192
Citra Marga Nusaphala Persada 2,536,000 724
Indah Kiat Pulp & Paper 56 --
Indah Kiat Pulp & Paper Warrants* 8 --
Kalbe Farma 626,000 384
Telekomunikasi Indonesia 534,000 498
Tempo Scan Pacific 62,500 45
-------
2,415
-------
ISRAEL -- 1.6%
Bank Leumi Le-Israel 376,000 577
- ----------------------------------------------------------
VALUE
DESCRIPTION SHARES (000)
- ----------------------------------------------------------
Blue Square Chain Investments
& Properties* 70,000 $ 642
Tadiran ADR 7,500 283
-------
1,502
-------
MALAYSIA -- 4.9%
Amway 60,000 119
Berjaya Sports Toto 250,000 683
Edaran Otomobil Nasional 55,000 173
IOI Corp. 500,000 427
Lingkaran Trans Kota* 250,000 240
Magnum 450,000 353
Malayan Banking 80,000 310
Malaysian Assurance Alliance 57,000 103
Malaysian Resources 148,000 88
Rothmans of Pall Mall 50,000 402
Sime Darby 250,000 360
Telekom Malaysia 150,000 390
Tenaga Nasional 250,000 541
United Engineers 160,000 380
-------
4,569
-------
MEXICO -- 15.3%
Alfa, Series A 87,000 642
Cemex, Series B* 114,900 505
Corporacion Geo SA ADR* 8,750 190
Corporacion Geo SA GDS* 31,350 666
Desc ADR 11,400 386
Femsa, Series B 183,100 1,299
Grupo Carso ADR 65,000 796
Grupo Financiero Bancomer,
Series B* 2,694,000 1,313
Grupo Industrial Bimbo,
Series A 114,400 864
Grupo Mexico, Series B 206,100 804
Grupo Modelo, Series C 156,800 1,184
Kimberly Clark, Series A 228,900 1,011
Panamco Beverage, Class A 55,800 1,730
Sigma Alimentos, Series B 68,700 945
Telefonos de Mexico ADR, Series L 48,700 2,106
-------
14,441
-------
PAKISTAN -- 0.8%
Engro Chemicals 15,000 46
Hub Power GDR* 14,000 469
Hub Power* 26,000 34
Muslim Commercial Bank* 123,000 126
Pakistan State Oil* 7,500 79
Pakistan Telecom A 28,000 23
-------
777
-------
PERU -- 1.5%
Alicorp SA, Class T* 422,113 438
Banco Wiese ADR 49,300 274
Telefonica de Peru ADR 34,300 677
-------
1,389
-------
61
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1997
EMERGING MARKETS
EQUITY FUND, CONTINUED
- ----------------------------------------------------------
VALUE
DESCRIPTION SHARES (000)
- ----------------------------------------------------------
PHILIPPINES -- 0.6%
Belle Corporation* 1,866,000 $ 171
Belle Corporation Warrants* 213,800 --
Manila Electric - B 9,360 29
Philippine Long Distance 7,500 188
SM Prime Holdings 783,000 139
-------
527
-------
POLAND -- 1.5%
Bank Przemyslowo-Handlowy 8,420 438
Bank Rozwoju Eksportu 8,500 154
Bydgoska Fabryka Kabli* 32,500 266
Debica 9,100 241
Elektrim Spolka Akeyjna 32,000 302
-------
1,401
-------
PORTUGAL -- 1.6%
Jeronimo Martins & Filho 5,599 366
Portugal Telecom 9,860 405
Semapa 16,800 388
Soares Da Costa* 7,900 61
Telecel Comunicacaoes Pessoais* 3,010 272
TVI - Televisao Independente* (3) 31,680 --
-------
1,492
-------
SOUTH AFRICA -- 9.9%
ABSA 108,700 644
AECI 71,600 309
Anglo American Gold Investment 12,700 565
Anglovaal - N Shares 23,500 357
Barlow 60,000 605
Cadbury Schweppes 254,800 464
CG Smith Foods 29,050 417
De Beers Centenary Linked Units 33,850 808
Ellerine Holdings 30,201 229
Fedsure Holdings 88,000 951
Illovo Sugar 182,600 345
Metropolitan Life 354,000 758
Nampak 165,500 516
New Clicks Holdings 278,756 365
Rembrandt Group 96,000 788
Sasol 81,000 977
South African Druggists 35,700 224
-------
9,322
-------
SOUTH KOREA -- 1.8%
Daewoo Heavy Industries 43,000 251
Hyundai Engineering
& Construction* 4 --
Korea Chemical 1,750 62
Korea Electric Power 19,883 284
LG Electronics 4,775 65
Pohang Iron & Steel 11,246 502
Samsung Electronics 9,739 384
- ----------------------------------------------------------
VALUE
DESCRIPTION SHARES (000)
- ----------------------------------------------------------
Samsung Electronics GDR* 249 $ 5
Yukong 11,000 149
-------
1,702
-------
TAIWAN -- 4.1%
Acer GDR 80,680 530
Advanced Semiconductor
Engineering GDR* 68,000 969
Asia Cement GDR 39,185 414
Asustek Computer GDR* 58,240 712
China Steel GDR* 35,025 524
President Enterprises GDR* 47,436 498
Taiwan Semiconductor ADR* 10,000 198
-------
3,845
-------
THAILAND -- 1.5%
Bangkok Bank `F' 31,000 106
Bec World PLC `F' 55,400 278
Cogeneration Public `F'* (3) 70,000 71
Electricity Generating `F' 233,000 381
PTT Exploration `F' 58,300 583
-------
1,419
-------
TURKEY -- 2.2%
Ardem 1,750,000 203
Ford Otomotive Sanayii 294,000 257
Hurriyet Gazetesi 2,240,000 266
Tansas 805,000 342
Turk Siemens 1,750,000 177
Turkiye Garanti Bankasi 4,600,000 238
Vakif Finansal Kiralama 8,270,000 126
Yapi Ve Kredi Bankasi 14,500,000 443
-------
2,052
-------
UNITED STATES -- 1.0%
Mauritius Fund* 64,000 568
Oryx Fund* 17,000 332
-------
900
-------
VENEZUELA -- 1.0%
CANTV - ADR 22,550 987
-------
ZIMBABWE -- 0.3%
Meikles Africa 124,000 248
-------
Total Foreign Common Stocks
(Cost $91,238) 80,919
-------
FOREIGN PREFERRED STOCKS -- 7.9%
BRAZIL -- 7.9%
Cemig 26,318,900 1,050
Copel B 86,900,000 1,072
62
<PAGE>
================================================================================
- ----------------------------------------------------------
SHARES/ VALUE
DESCRIPTION FACE AMOUNT (000)(1) (000)
- ----------------------------------------------------------
Duratex 16,000,000 $ 871
Eletrobras B 1,716,400 747
Petrobras 8,281,700 1,540
Telerj 9,648,692 919
Telesp 2,480,000 648
Weg 850,000 578
-------
7,425
-------
Total Foreign Preferred Stocks
(Cost $7,341) 7,425
-------
FOREIGN CONVERTIBLE BONDS -- 3.1%
TAIWAN -- 3.1%
Delta Electronics
0.500%, 03/06/04 $ 48 52
Far East Department Stores
3.000%, 07/06/01 $ 545 530
Nan Ya Plastic*
1.750%, 07/19/01 $ 1,038 1,130
United Micro Electric*
0.250%, 05/16/04 $ 695 755
Yang Ming Marine
2.000%, 10/06/01 $ 428 475
-------
2,942
-------
Total Foreign Convertible Bonds
(Cost $3,475) 2,942
-------
DEMAND DEPOSIT -- 4.1%
UNITED STATES -- 4.1%
Northern Trust
3.400%, 11/03/97 $3,857 3,857
-------
Total Demand Deposit
(Cost $3,857) 3,857
-------
Total Investments -- 101.1%
(Cost $105,911) 95,143
-------
OTHER ASSETS AND LIABILITIES, NET-- (1.1%) (1,042)
-------
- ----------------------------------------------------------
FACE VALUE
DESCRIPTION AMOUNT (000)(1) (000)
- ----------------------------------------------------------
NET ASSETS:
Capital shares of Institutional Shares
(unlimited authorization -- $0.001
par value) based on 12,241,062
outstanding shares of beneficial interest $101,155
Accumulated net investment loss (213)
Accumulated net realized gain
on investments 3,963
Net unrealized appreciation on forward
foreign currency contracts, foreign
currency, and translation of other
assets and liabilities in foreign currency 23
Net unrealized depreciation on investments (2) (10,827)
-------
Total Net Assets -- 100.0% $ 94,101
========
Net Asset Value, Offering and Redemption
Price Per Share -- Institutional Shares $ 7.69
========
*NON-INCOME PRODUCING SECURITY
ADR AMERICAN DEPOSITORY RECEIPT
F FOREIGN SHARES
GDR GLOBAL DEPOSITORY RECEIPT
GDS GLOBAL DEPOSITORY SHARES
(1) IN LOCAL CURRENCY UNLESS OTHERWISE INDICATED.
(2) NET OF $59(000) ACCRUED FOREIGN WITHHOLDING TAXES.
(3) SECURITY FAIR VALUED USING METHODS DETERMINED IN GOOD FAITH BY THE
VALUATION COMMITTEE OF THE BOARD OF TRUSTEES.
AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
GLOBAL FIXED
INCOME FUND
FOREIGN GOVERNMENT BONDS -- 58.0%
AUSTRALIA -- 4.7%
Government of Austrailia
9.750%, 03/15/02 $3,110 $ 2,539
9.000%, 09/15/04 $2,220 1,839
-------
4,378
-------
CANADA -- 13.3%
Government of Canada
7.000%, 09/01/01 5,000 3,794
8.750%, 12/01/05 7,100 6,129
Province of British Columbia
9.000%, 06/21/04 2,700 2,305
-------
12,228
-------
63
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1997
GLOBAL FIXED
INCOME FUND, CONTINUED
- ----------------------------------------------------------
FACE VALUE
DESCRIPTION AMOUNT (000)(1) (000)
- ----------------------------------------------------------
DENMARK -- 11.5%
Kingdom of Denmark
9.000%, 11/15/00 12,000 $ 2,054
7.000%, 12/15/04 16,400 2,670
8.000%, 03/15/06 (2) 34,000 5,852
-------
10,576
-------
ITALY -- 9.1%
Government of Italy
10.000%, 08/01/03 3,900,000 2,737
7.750%, 11/01/06 (2) 8,600,000 5,631
-------
8,368
-------
JAPAN -- 4.2%
Export-Import Bank of Japan
2.875%, 07/28/05 280,000 2,528
Japanese Development Bank
6.500%, 09/20/01 135,000 1,355
-------
3,883
-------
SPAIN -- 5.8%
Government of Spain
8.800%, 04/30/06 660,000 5,388
-------
SWEDEN -- 4.7%
Kingdom of Sweden
6.000%, 02/09/05 (2) 33,200 4,379
-------
UNITED KINGDOM -- 3.9%
United Kingdom Treasury
7.500%, 12/07/06 2,000 3,562
-------
UNITED STATES -- 0.8%
International Bank for
Reconstruction & Development
9.750%, 01/23/16 530 706
-------
Total Foreign Bonds
(Cost $52,657) 53,468
-------
CORPORATE OBLIGATIONS -- 4.8%
UNITED STATES -- 2.9%
General Electric Capital
8.125%, 02/23/07 2,370 2,635
UNITED KINGDOM -- 1.9%
UBS - Union Bank of Switzerland
8.000%, 01/08/07 1,000 1,763
-------
Total Corporate Obligations
(Cost 44,228) 4,398
-------
- ----------------------------------------------------------
FACE VALUE
DESCRIPTION AMOUNT (000)(1) (000)
- ----------------------------------------------------------
ASSET BACKED -- 5.6%
UNITED STATES -- 5.6%
Citibank Credit Card Master
Trust I 1997-7 Class A
6.350%, 08/15/02 3,000 $ 3,019
Premier Auto Trust
Series: 1996-4 Class A3
6.200%, 11/06/00 2,100 2,109
-------
Total Asset Backed
(Cost $5,122) 5,128
-------
U.S. TREASURY OBLIGATIONS -- 28.0%
U.S. Treasury Bonds
8.500%, 02/15/20 2,100 2,665
7.125%, 02/15/23 2,830 3,144
U.S. Treasury Notes
6.750%, 06/30/99 3,750 3,815
7.125%, 09/30/99 (2) 1,930 1,981
6.250%, 01/31/02 (2) 4,500 4,575
6.500%, 08/15/05 3,300 3,419
6.875%, 05/15/06 2,300 2,444
7.000%, 07/15/06 1,100 1,178
6.500%, 10/15/06 2,500 2,596
-------
Total U.S. Treasury Obligations
(Cost $24,771) 25,817
-------
FOREIGN CURRENCY OPTION -- 0.0%
German Deutschemark Put*
Strike 1.8793, 02/09/98 9,800 13
-------
Total Foreign Currency Option
(Cost $140) 13
-------
DEMAND DEPOSIT -- 0.5%
UNITED STATES -- 0.5%
Northern Trust
3.400%, 11/03/97 454 454
-------
Total Demand Deposit
(Cost $454) 454
-------
Total Investments -- 96.9%
(Cost $87,372) 89,278
-------
OTHER ASSETS AND LIABILITIES, NET -- 3.1% 2,902
-------
64
<PAGE>
================================================================================
- ----------------------------------------------------------
FACE VALUE
DESCRIPTION AMOUNT (000)(1) (000)
- ----------------------------------------------------------
NET ASSETS:
Capital shares of Institutional Shares
(unlimited authorization --
$0.001 par value) based on 8,500,871
outstanding shares of beneficial interest $ 85,618
Undistributed net investment income 2,086
Accumulated net realized gain
on investments 2,048
Net unrealized appreciation on forward
foreign currency contracts, foreign
currency, and translation of other
assets and liabilities in foreign currency 522
Net unrealized appreciation on investments 1,906
--------
Total Net Assets -- 100.0% $ 92,180
========
Net Asset Value, Offering and Redemption
Price Per Share -- Institutional Shares $ 10.84
========
*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 $22,417,783.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
INTERNATIONAL FIXED
INCOME FUND
FOREIGN BONDS -- 95.9%
AUSTRALIA -- 4.7%
Government of Australia
9.750%, 03/15/02 1,120 $ 914
Government of Australia ACGB
9.000%, 09/15/04 480 398
-------
1,312
-------
CANADA -- 22.4%
Government of Canada
6.500%, 06/01/04 1,700 1,290
Province of Alberta
6.375%, 06/04/04 1,570 1,184
Province of British Columbia
9.000%, 06/21/04 1,370 1,167
Province of Ontario
7.500%, 01/19/06 1,600 1,252
Province of Manitoba
5.750%, 06/02/08 1,900 1,355
-------
6,248
-------
- ----------------------------------------------------------
FACE VALUE
DESCRIPTION AMOUNT(000)(1) (000)
- ----------------------------------------------------------
DENMARK -- 19.2%
Kingdom of Denmark
9.000%, 11/15/00 5,100 $ 873
8.000%, 05/15/03 8,500 1,445
7.000%, 12/15/04 8,700 1,417
8.000%, 03/15/06 (2) 9,400 1,618
-------
5,353
-------
FRANCE -- 4.5%
Government of France
7.500%, 04/25/05 EC 1,000 1,273
-------
ITALY -- 14.3%
Government of Italy
12.000%, 05/01/02 (2) 1,485,000 1,084
7.750%, 11/01/06 (2) 3,130,000 2,049
Westlb Curac
8.650%, 08/07/03 1,300,000 866
-------
3,999
-------
JAPAN -- 9.3%
European Investment Bank
3.000%, 09/20/06 120,000 1,095
Export-Import Bank
4.375%, 10/01/03 83,000 804
International Bank for
Reconstruction & Development
5.250%, 03/20/02 (2) 70,000 684
-------
2,583
-------
SPAIN -- 5.7%
Government of Spain
8.800%, 04/30/06 195,000 1,592
-------
SWEDEN -- 4.8%
Kingdom of Sweden
6.000%, 02/09/05 10,200 1,345
-------
UNITED KINGDOM -- 8.6%
British Telecom PLC
7.125%, 09/15/03 255 432
UBS - Union Bank of Switzerland
8.000%, 01/08/07 670 1,181
United Kingdom Treasury
7.500%, 12/07/06 440 784
-------
2,397
-------
UNITED STATES -- 2.4%
FNMA
2.000%, 12/20/99 JY 20,000 171
2.125%, 10/09/07 JY 60,000 508
-------
679
-------
Total Foreign Bonds
(Cost $26,524) 26,781
-------
65
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1997
INTERNATIONAL FIXED
INCOME FUND, CONTINUED
- ----------------------------------------------------------
FACE VALUE
DESCRIPTION AMOUNT(000)(1) (000)
- ----------------------------------------------------------
DEMAND DEPOSIT -- 0.8%
UNITED STATES -- 0.8%
Northern Trust
3.400%, 11/03/97 222 $ 222
--------
Total Demand Deposit
(Cost $222) 222
--------
FOREIGN CURRENCY OPTION -- 0.0%
German Deutschemark Put
Strike 1.8793, 02/09/98* 2,100 3
--------
Total Foreign Currency Option
(Cost $30) 3
--------
Total Investments -- 96.7%
(Cost $26,776) 27,006
--------
OTHER ASSETS AND LIABILITIES, NET -- 3.3% 931
--------
NET ASSETS:
Capital shares of Institutional Shares
(unlimited authorization --
$0.001 par value) based on 2,751,031
outstanding shares of beneficial interest 26,804
Undistributed net investment income 526
Accumulated net realized gain
on investments 263
Net unrealized appreciation on forward
foreign currency contracts, foreign
currency, and translation of other
assets and liabilities in foreign currency 114
Net unrealized appreciation on investments 230
--------
Total Net Assets -- 100.0% $ 27,937
========
Net Asset Value, Offering and Redemption
Price Per Share -- Institutional Shares $ 10.16
========
*NON-INCOME PRODUCING SECURITY.
EC EUROPEAN CURRENCY UNIT
JY JAPANESE YEN
(1) IN LOCAL CURRENCY UNLESS OTHERWISE INDICATED.
(2) SECURITIES SEGREGATED TO COLLATERIZE FORWARD EXCHANGE CONTRACTS WITH AN
AGGREGATE MARKET VALUE OF $5,435,695.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
EMERGING MARKETS
DEBT FUND
- ----------------------------------------------------------
FACE VALUE
DESCRIPTION AMOUNT(000)(1) (000)
- ----------------------------------------------------------
FOREIGN BONDS -- 68.4%
ARGENTINA -- 11.0%
Government of Argentina
11.375%, 01/30/17 8,750 $ 8,341
5.500%, 03/31/23 17,500 12,334
-------
20,675
-------
BRAZIL -- 16.8%
Government of Brazil
4.500%, 04/15/14 8,754 6,269
5.250%, 04/15/24 1,000 650
10.125%, 05/15/27 10,555 8,291
Government of Brazil FRN
6.813%, 01/01/01 3,297 3,028
6.688%, 04/15/06 8,820 6,880
6.750%, 04/15/12 2,800 2,100
Government of Brazil MYDFA
6.688%, 09/15/07 3,293 2,519
Petroleo Brazil FRN
10.000%, 10/17/06 2,000 2,030
-------
31,767
-------
BULGARIA -- 4.6%
Government of Bulgaria FRB
2.281%, 07/28/12 3,400 1,802
Government of Bulgaria FRN
6.688%, 07/28/24 9,800 6,811
-------
8,613
-------
ECUADOR -- 4.4%
Government of Ecuador PDI
3.250%, 02/27/15 13,698 8,168
-------
MACEDONIA -- 1.5%
Macedonia FRN
3.500%, 07/02/12 4,959 2,877
-------
MEXICO -- 6.9%
Government of Mexico
11.500%, 05/15/26 7,250 7,830
Petroleos Mexicanos
9.000%, 06/01/07 5,150 5,050
-------
12,880
-------
NIGERIA -- 4.4%
Government of Nigeria
6.250%, 11/15/20 500 320
Nigerian Promissory Note
8.000%, 01/05/10 17,000 7,990
-------
8,310
-------
66
<PAGE>
================================================================================
- ----------------------------------------------------------
FACE VALUE
DESCRIPTION AMOUNT(000)(1) (000)
- ----------------------------------------------------------
PANAMA -- 4.6%
Government of Panama FRB
3.750%, 07/17/14 8,000 $ 5,570
Government of Panama PDI
4.000%, 07/17/16 4,141 3,082
--------
8,652
--------
PERU -- 3.7%
Republic of Peru FRB
3.250%, 03/07/17 5,000 2,506
Republic of Peru PDI
4.000%, 03/07/17 7,700 4,350
--------
6,856
--------
SOUTH AFRICA -- 2.1%
Republic of South Africa
13.500%, 09/15/15 SA 20,000 3,860
--------
TURKEY -- 4.4%
Turkey Treasury Bill
106.206%, 05/27/98 TL 427,000,000 1,443
112.715%, 07/29/98 TL 1,200,000,000 3,541
113.900%, 08/05/98 TL 378,000,000 1,097
113.851%, 08/12/98 TL 754,750,000 2,165
--------
8,246
--------
VENEZUELA -- 4.0%
Government of Venezuela
9.250%, 09/15/27 4,774 3,841
Government of Venezuela
FRB, Series A
6.750%, 03/31/07 452 385
Government of Venezuela
FRB, Series B
6.750%, 03/31/07 678 578
Government of Venezuela
FRB, Series W-B
6.750%, 03/31/20 2,500 2,187
Government of Venezuela FRN
6.750%, 12/18/07 500 433
Government of Venezuela Warrants
0.000%, 04/15/20 (4) 17 --
--------
7,424
--------
Total Foreign Bonds
(Cost $147,589) 128,328
--------
LOAN PARTICIPATION -- 13.0%
RUSSIA -- 13.0%
Russian Loan Agreement (2)
(Participation: J.P. Morgan) (3)
28,800 24,480
--------
Total Loan Participation
(Cost $26,784) 24,480
--------
- ----------------------------------------------------------
FACE VALUE
DESCRIPTION AMOUNT(000)(1) (000)
- ----------------------------------------------------------
DEMAND DEPOSIT -- 19.0%
UNITED STATES -- 19.0%
Northern Trust
3.400%, 11/03/97 35,577 $ 35,577
--------
Total Demand Deposit
(Cost $35,577) 35,577
--------
Total Investments -- 100.4%
(Cost $209,950) 188,385
--------
OTHER ASSETS AND LIABILITIES, NET-- (0.4%) (798)
--------
NET ASSETS:
Capital shares of Institutional Shares
(unlimited authorization --
$0.001 par value) based on 15,680,935
outstanding shares of beneficial interest 175,954
Capital shares of Service Shares
(unlimited authorization --
$0.001 par value) based on 11,125
outstanding shares of beneficial interest 145
Undistributed net investment income 9,190
Accumulated net realized gain
on investments 23,917
Net unrealized appreciation on forward
foreign currency contracts, foreign
currency, and translation of other
assets and liabilities in foreign currency (54)
Net unrealized appreciation on investments (21,565)
--------
Total Net Assets -- 100.0% $187,587
========
Net Asset Value, Offering and Redemption
Price Per Share -- Institutional Shares $ 11.95
========
Net Asset Value, Offering and Redemption
Price Per Share -- Service Shares $ 11.95
========
FRB FLOATING RATE BOND
FRN FLOATING RATE NOTE
MYDFA MULTI-YEAR DEPOSIT FINANCE AGREEMENT
PDI PAST DUE INCOME
SA SOUTH AFRICAN RAND
TL TURKISH LIRA
(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.
(4) SECURITY FAIR VALUED USING METHODS DETERMINED IN GOOD FAITH BY THE
VALUATION COMMITTEE OF THE BOARD OF TRUSTEES.
AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
67
<PAGE>
STATEMENT OF OPERATIONS (000)
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- FOR THE YEAR/PERIOD ENDED OCTOBER 31, 1997
<TABLE>
<CAPTION>
--------- ------- ---------- ---------- --------- -------- -------------
SHORT-TERM SHORT-TERM
MUNICIPAL FIXED MUNICIPAL FIXED SMALLER INTERNATIONAL
BOND INCOME BOND INCOME COMPANIES MICROCAP EQUITY
FUND FUND FUND FUND FUND FUND (1) FUND
--------- ------- ---------- ---------- --------- -------- -------------
<S> <C> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME:
Interest $16,856 $63,274 $ 916 $833 $ 34 $ 21 $ 13
Dividends -- -- -- -- 13 3 88
Less: Foreign taxes withheld -- -- -- -- -- -- (8)
------- ------- ------ ---- ------ ---- ------
Total Investment Income 16,856 63,274 916 833 47 24 93
------- ------- ------ ---- ------ ---- ------
EXPENSES:
Investment advisory fees 1,177 3,589 64 53 49 31 35
Less: Waiver of investment
advisory fees (199) (417) (64) (53) (49) (31) (35)
Administration fees 296 902 60 60 60 23 60
Custodian fees 17 53 3 2 1 1 17
Transfer agent fees 23 39 13 13 15 13 12
Professional fees 75 233 5 4 1 1 1
Registration & filing fees 102 310 7 6 1 1 2
Printing fees 35 107 2 2 1 -- 1
Servicing plan fee (2) -- -- -- -- -- -- --
Trustee fees 19 58 1 1 -- -- --
Pricing fees 31 13 10 2 1 -- 10
Other expenses 11 32 -- 1 -- 1 1
------- ------- ------ ---- ------ ---- ------
Total expenses 1,587 4,919 101 91 80 40 104
Less: Reimbursement from Advisor -- -- (15) (21) (19) (6) (59)
------- ------- ------ ---- ------ ---- ------
Total Net Expenses 1,587 4,919 86 70 61 34 45
------- ------- ------ ---- ------ ---- ------
NET INVESTMENT INCOME (LOSS) 15,269 58,355 830 763 (14) (10) 48
------- ------- ------ ---- ------ ---- ------
NET REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS AND FOREIGN
CURRENCY TRANSACTIONS:
Net realized gain (loss) on investments:
Security transactions 112 9,128 (9) 15 692 143 165
Option transactions -- -- -- -- -- -- --
Net realized gain (loss) on forward
foreign currency contracts and
foreign currency transactions -- -- -- -- -- -- 16
Net change in unrealized appreciation
(depreciation) on forward foreign
currency contracts, foreign currency,
and translation of other assets and
liabilities in foreign currency -- -- -- -- -- -- 11
Net change in unrealized appreciation
(depreciation) on investments 6,264 15,437 242 105 347 404 (43)
------- ------- ------ ---- ------ ---- ------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS $21,645 $82,920 $1,063 $883 $1,025 $537 $ 197
======= ======= ====== ==== ====== ==== ======
</TABLE>
<TABLE>
<CAPTION>
-------- ------------ --------- -------- ------- ------------- ----------
INTERNATIONAL EUROPEAN EMERGING GLOBAL INTERNATIONAL EMERGING
EUROPEAN SMALL CAP SMALL CAP MARKETS FIXED FIXED MARKETS
EQUITY EQUITY EQUITY EQUITY INCOME INCOME DEBT
FUND FUND FUND FUND FUND FUND FUND
-------- ------------ --------- -------- ------- ------------- ----------
<S> <C> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME:
Interest $ 48 $ 82 $ 13 $ 66 $7,042 $ 1,328 $ 12,045
Dividends 840 1,312 197 1,963 -- -- --
Less: Foreign taxes withheld (64) (129) (22) (114) -- (7) --
------ ------- ----- -------- ------ ------- --------
Total Investment Income 824 1,265 188 1,915 7,042 1,321 12,045
------ ------- ----- -------- ------ ------- --------
EXPENSES:
Investment advisory fees 221 899 103 992 591 117 1,612
Less: Waiver of investment
advisory fees (84) (104) (89) (187) (147) (95) (213)
Administration fees 39 91 64 100 119 60 139
Custodian fees 56 157 20 212 102 27 193
Transfer agent fees 13 16 12 15 16 13 16
Professional fees 9 17 2 22 25 5 34
Registration & filing fees 11 15 3 30 22 8 46
Printing fees 4 10 1 11 13 3 17
Servicing plan fee (2) -- -- -- -- -- -- --
Trustee fees 2 6 1 6 8 2 9
Pricing fees 12 13 11 13 15 11 13
Other expenses 1 4 -- 26 4 1 6
------ ------- ----- -------- ------ ------- --------
Total expenses 284 1,124 128 1,240 768 152 1,872
Less: Reimbursement from Advisor -- -- -- -- -- -- --
------ ------- ----- -------- ------ ------- --------
Total Net Expenses 284 1,124 128 1,240 768 152 1,872
------ ------- ----- -------- ------ ------- --------
NET INVESTMENT INCOME (LOSS) 540 141 60 675 6,274 1,169 10,173
------ ------- ----- -------- ------ ------- --------
NET REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS AND FOREIGN
CURRENCY TRANSACTIONS:
Net realized gain (loss) on investments:
Security transactions 2,749 (6,005) (84) 4,348 1,909 246 24,233
Option transactions -- -- -- -- 142 21 --
Net realized gain (loss) on forward
foreign currency contracts and
foreign currency transactions 213 427 (23) (1,113) (3,599) (685) 157
Net change in unrealized appreciation
(depreciation) on forward foreign
currency contracts, foreign currency,
and translation of other assets and
liabilities in foreign currency (2) 13 2 (16) 1,375 265 (49)
Net change in unrealized appreciation
(depreciation) on investments 2,252 (2,990) (125) (15,042)* (2,915) (643) (28,717)
------ ------- ----- -------- ------ ------- --------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS $5,752 $(8,414) $(170) $(11,148) $3,186 $ 373 $ 5,797
====== ======= ===== ======== ====== ======= ========
<FN>
(1) MICROCAP FUND COMMENCED OPERATIONS ON 12/18/96.
(2) APPLICABLE TO SERVICE SHARES ONLY.
AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0.
*NET OF $16(000) INCREASE IN ACCRUED FOREIGN WITHHOLDING TAXES ON NET UNREALIZED
CAPITAL GAINS.
</FN>
</TABLE>
68-69
<PAGE>
STATEMENT OF CHANGES IN NET ASSETS (000)
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- FOR THE YEARS/PERIODS ENDED OCTOBER 31,
<TABLE>
<CAPTION>
-------------- -------------- -------------- --------------
SHORT-TERM SHORT-TERM
MUNICIPAL FIXED MUNICIPAL FIXED
BOND INCOME BOND INCOME
FUND FUND FUND FUND
-------------- -------------- -------------- --------------
1997 1996 1997 1996 1997 1996 1997 1996
---- ---- ---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment income (loss) $ 15,269 $ 12,800 $ 58,355 $ 39,299 $ 830 $ 252 $ 763 $ 384
Net realized gain (loss) from
security and option transactions 112 3,750 9,128 (617) (9) 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 6,264 (969) 15,437 702 242 15 105 --
-------- -------- ---------- -------- ------- ------ ------- ------
Net increase (decrease) in net assets
from operations 21,645 15,581 82,920 39,384 1,063 288 883 357
-------- -------- ---------- -------- ------- ------ ------- ------
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Institutional shares (15,243) (12,782) (58,276) (39,300) (828) (252) (764) (384)
Service shares (1) -- -- -- -- -- -- --
Net realized gains:
Institutional shares (2,204) -- -- (3,091) (21) (15) --
Service shares -- -- -- -- -- -- -- --
-------- -------- ---------- -------- ------- ------ ------- ------
Total Distributions (17,448) (12,782) (58,276) (42,391) (849) (267) (764) (384)
-------- -------- ---------- -------- ------- ------ ------- ------
CAPITAL SHARE TRANSACTIONS:
INSTITUTIONAL SHARES:
Proceeds from shares issued 145,890 63,066 397,158 406,477 21,637 7,467 14,973 9,087
Shares issued in lieu of cash
distributions 13,868 10,998 47,532 40,193 727 219 331 331
Cost of shares repurchased (54,645) (45,769) (124,216)(179,881) (11,760) (2,299) (5,091) (6,780)
-------- -------- ---------- -------- ------- ------ ------- ------
Increase (decrease) in net assets from
institutional share transactions 105,113 28,295 320,474 266,789 10,604 5,387 10,213 2,638
-------- -------- ---------- -------- ------- ------ ------- ------
SERVICE SHARES:
Proceeds from shares issued 197 -- -- -- -- -- -- --
Shares issued in lieu of cash
distributions -- -- -- -- -- -- -- --
Cost of shares repurchased (6) -- -- -- -- -- -- --
-------- -------- ---------- -------- ------- ------ ------- ------
Increase (decrease) in net assets from
service share transactions 191 -- -- -- -- -- -- --
-------- -------- ---------- -------- ------- ------ ------- ------
INCREASE (DECREASE) IN NET ASSETS FROM
CAPITAL SHARE TRANSACTIONS 105,304 28,295 320,474 266,789 10,604 5,387 10,213 2,638
-------- -------- ---------- -------- ------- ------ ------- ------
Net increase (decrease) in net assets 109,501 31,094 345,118 263,782 10,818 5,408 10,332 2,611
-------- -------- ---------- -------- ------- ------ ------- ------
NET ASSETS:
Beginning of period 252,152 221,058 758,003 494,221 9,132 3,724 6,751 4,140
-------- -------- ---------- -------- ------- ------ ------- ------
End of period $361,653 $252,152 $1,103,121 $758,003 $19,950 $9,132 $17,083 $6,751
======== ======== ========== ======== ======= ====== ======= ======
CAPITAL SHARE TRANSACTIONS:
INSTITUTIONAL SHARES:
Shares issued 13,267 5,794 37,690 39,016 2,127 740 1,499 908
Shares issued in lieu of cash
distributions 1,263 1,008 4,510 3,842 71 22 33 33
Shares repurchased (4,980) (4,200) (11,781) (17,233) (1,158) (228) (509) (679)
-------- -------- ---------- -------- ------- ------ ------- ------
Increase (decrease) in capital shares
from institutional share transactions 9,550 2,602 30,419 25,625 1,040 534 1,023 262
-------- -------- ---------- -------- ------- ------ ------- ------
SERVICE SHARES:
Shares issued 18 -- -- -- -- -- -- --
Shares issued in lieu of cash
distributions -- -- -- -- -- -- -- --
Shares repurchased (1) -- -- -- -- -- -- --
-------- -------- ---------- -------- ------- ------ ------- ------
Increase (decrease) in capital shares
from service share transactions 17 -- -- -- -- -- -- --
-------- -------- ---------- -------- ------- ------ ------- ------
Net increase (decrease) in
capital shares 9,567 2,602 30,419 25,625 1,040 534 1,023 262
======== ======== ========== ======== ======= ====== ======= ======
</TABLE>
<TABLE>
<CAPTION>
----------------- -------------- -------------- ---------------
SMALLER INTERNATIONAL EUROPEAN
COMPANIES MICROCAP EQUITY EQUITY
FUND FUND (1) FUND FUND (2)
----------------- -------------- -------------- ---------------
1997 1996 1997 1997 1996 1997 1996
---- ---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment income (loss) $ (14) $ (8) $ (10) $ 48 $ 19 $ 540 $ (12)
Net realized gain (loss) from
security transactions 692 351 143 165 162 2,749 206
Net realized gain (loss) on forward
foreign currency contracts
and foreign currency transactions -- -- -- 16 30 213 31
Net change in unrealized appreciation
(depreciation) on forward foreign
currency contracts, foreign currency,
and translation of other assets and
liabilities in foreign currency -- -- -- 11 (9) (2) 5
Net change in unrealized appreciation
(depreciation) on investments 347 364 404 (43) 158 2,252 775
------ ------ ------ ------ ------- ------- -------
Net increase (decrease) in net assets
from operations 1,025 707 537 197 360 5,752 1,005
------ ------ ------ ------ ------- ------- -------
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Institutional shares -- (9) -- (44) (108) (59) --
Service shares -- -- -- -- -- -- --
Net realized gains:
Institutional shares (354) -- -- (157) -- (206) --
Service shares -- -- -- -- -- -- --
------ ------ ------ ------ ------- ------- -------
Total Distributions (354) (9) -- (201) (108) (265) --
------ ------ ------ ------ ------- ------- -------
CAPITAL SHARE TRANSACTIONS:
INSTITUTIONAL SHARES:
Proceeds from shares issued 955 783 2,924 1,630 325 15,743 16,896
Shares issued in lieu of cash
distributions 353 9 -- 201 108 265 --
Cost of shares repurchased (370) (13) (185) (296) -- (67) --
------ ------ ------ ------ ------- ------- -------
Increase (decrease) in net assets from
institutional share transactions 938 779 2,739 1,535 433 15,941 16,896
------ ------ ------ ------ ------- ------- -------
SERVICE SHARES:
Proceeds from shares issued 6 -- 15 -- -- -- --
Shares issued in lieu of cash
distributions -- -- -- -- -- -- --
Cost of shares repurchased -- (5) -- -- -- --
------ ------ ------ ------ ------- ------- -------
Increase (decrease) in net assets from
service share transactions 6 -- 10 -- -- -- --
------ ------ ------ ------ ------- ------- -------
INCREASE (DECREASE) IN NET ASSETS FROM
CAPITAL SHARE TRANSACTIONS 944 779 2,749 1,535 433 15,941 16,896
------ ------ ------ ------ ------- ------- -------
Net increase (decrease) in net assets 1,615 1,477 3,286 1,531 685 21,428 17,901
------ ------ ------ ------ ------- ------- -------
NET ASSETS:
Beginning of period 4,115 2,638 -- 3,423 2,738 17,902 1
------ ------ ------ ------ ------- ------- -------
End of period $5,730 $4,115 $3,286 $4,954 $ 3,423 $39,330 $17,902
====== ====== ====== ====== ======= ======= =======
CAPITAL SHARE TRANSACTIONS:
INSTITUTIONAL SHARES:
Shares issued 74 64 275 144 28 1,363 1,690
Shares issued in lieu of cash
distributions 28 1 -- 17 10 23 --
Shares repurchased (27) (1) (15) (23) -- (5) --
------ ------ ------ ------ ------- ------- -------
Increase (decrease) in capital shares
from institutional share transactions 75 64 260 138 38 1,381 1,690
------ ------ ------ ------ ------- ------- -------
SERVICE SHARES:
Shares issued -- -- 1 -- -- -- --
Shares issued in lieu of cash
distributions -- -- -- -- -- -- --
Shares repurchased -- -- -- -- -- -- --
------ ------ ------ ------ ------- ------- -------
Increase (decrease) in capital shares
from service share transactions -- -- 1 -- -- -- --
------ ------ ------ ------ ------- ------- -------
Net increase (decrease) in
capital shares 75 64 261 138 38 1,381 1,690
====== ====== ====== ====== ======= ======= =======
</TABLE>
<TABLE>
<CAPTION>
----------------- ------------- --------------
INTERNATIONAL EUROPEAN EMERGING
SMALL CAP SMALL CAP MARKETS
EQUITY EQUITY EQUITY
FUND FUND FUND
----------------- ------------- --------------
1997 1996 1997 1996 1997 1996
---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment income (loss) $ 141 $ 399 $ 60 $ 100 $ 675 $ 627
Net realized gain (loss) from
security transactions (6,005) 2,740 (84) 295 4,348 2,393
Net realized gain (loss) on forward
foreign currency contracts
and foreign currency transactions 427 1,161 (23) 33 (1,113) (584)
Net change in unrealized appreciation
(depreciation) on forward foreign
currency contracts, foreign currency,
and translation of other assets and
liabilities in foreign currency 13 (169) 2 21 (16) 54
Net change in unrealized appreciation
(depreciation) on investments (2,990) 3,160 (125) 521 (15,042)* 7,045**
-------- -------- ------ ------ -------- -------
Net increase (decrease) in net assets
from operations (8,414) 7,291 (170) 970 (11,148) 9,535
-------- -------- ------ ------ -------- -------
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Institutional shares (1,326) (479) (147) (99) (53) (332)
Service shares -- -- -- --
Net realized gains:
Institutional shares -- -- (301) (30) (2,255) (1,017)
Service shares -- -- -- -- -- --
-------- -------- ------ ------ -------- -------
Total Distributions (1,326) (479) (448) (129) (2,308) (1,349)
CAPITAL SHARE TRANSACTIONS:
INSTITUTIONAL SHARES:
Proceeds from shares issued 4,190 52,024 660 518 67,367 33,310
Shares issued in lieu of cash
distributions 1,253 458 448 129 2,308 1,350
Cost of shares repurchased (49,017) (43,502) (705) (968) (50,397) (47,855)
-------- -------- ------ ------ -------- -------
Increase (decrease) in net assets from
institutional share transactions (43,574) 8,980 403 (321) 19,278 (13,195)
-------- -------- ------ ------ -------- -------
SERVICE SHARES:
Proceeds from shares issued -- -- -- -- -- --
Shares issued in lieu of cash
distributions -- -- -- -- -- --
Cost of shares repurchased -- -- -- -- -- --
-------- -------- ------ ------ -------- -------
Increase (decrease) in net assets from
service share transactions -- -- -- -- -- --
-------- -------- ------ ------ -------- -------
INCREASE (DECREASE) IN NET ASSETS FROM
CAPITAL SHARE TRANSACTIONS (43,574) 8,980 403 (321) 19,278 (13,195)
-------- -------- ------ ------ -------- -------
Net increase (decrease) in net assets (53,314) 15,792 (215) 520 5,822 (5,009)
-------- -------- ------ ------ -------- -------
NET ASSETS:
Beginning of period 106,709 90,917 9,856 9,336 88,279 93,288
-------- -------- ------ ------ -------- -------
End of period $ 53,395 $106,709 $9,641 $9,856 $ 94,101 $88,279
======== ======== ====== ====== ======== =======
CAPITAL SHARE TRANSACTIONS:
INSTITUTIONAL SHARES:
Shares issued 456 5,092 53 43 7,353 3,766
Shares issued in lieu of cash
distributions 130 47 37 12 265 165
Shares repurchased (5,236) (4,102) (59) (78) (5,414) (5,393)
-------- -------- ------ ------ -------- -------
Increase (decrease) in capital shares
from institutional share transactions (4,650) 1,037 31 (23) 2,204 (1,462)
-------- -------- ------ ------ -------- -------
SERVICE SHARES:
Shares issued -- -- -- -- -- --
Shares issued in lieu of cash
distributions -- -- -- -- -- --
Shares repurchased -- -- -- -- -- --
-------- -------- ------ ------ -------- -------
Increase (decrease) in capital shares
from service share transactions -- -- -- -- -- --
-------- -------- ------ ------ -------- -------
Net increase (decrease) in
capital shares (4,650) 1,037 31 (23) 2,204 (1,462)
======== ======== ====== ====== ======== =======
<FN>
(1) MICROCAP FUND COMMENCED OPERATIONS ON 12/18/96.
(2) EUROPEAN EQUITY FUND COMMENCED OPERATIONS ON 09/03/96.
* NET OF $16,000 INCREASE IN ACCRUED FOREIGN WITHHOLDING TAXES ON NET CAPITAL
GAINS.
** NET OF $43,000 INCREASE IN ACCRUED FOREIGN WITHHOLDING TAXES ON NET CAPITAL
GAINS.
AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0.
</FN>
</TABLE>
70-71
<PAGE>
STATEMENT OF CHANGES IN NET ASSETS (000)
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- FOR THE YEARS/PERIODS ENDED OCTOBER 31,
<TABLE>
<CAPTION>
------------------- ---------------- -----------------
GLOBAL INTERNATIONAL EMERGING
FIXED FIXED MARKETS
INCOME INCOME DEBT
FUND FUND FUND
------------------- ---------------- -----------------
1997 1996 1997 1996 1997 1996
--------- --------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment income $ 6,274 $ 8,155 $ 1,169 $ 1,593 $ 10,173 $ 7,665
Net realized gain (loss) from security and option
transactions 2,051 3,388 267 1,093 24,233 10,414
Net realized gain (loss) on forward foreign currency
contracts and foreign currency transactions (3,599) (2,158) (685) (153) 157 (53)
Net change in unrealized appreciation (depreciation) on
forward foreign currency contracts, foreign
currency, and translation of other assets and
liabilities in foreign currency 1,375 (391) 265 (203) (49) 57
Net change in unrealized appreciation
(depreciation) on investments (2,915) 209 (643) (354) (28,717) 7,275
-------- -------- ------- ------- -------- --------
Net increase (decrease) in net assets from operations 3,186 9,203 373 1,976 5,797 25,358
-------- -------- ------- ------- -------- --------
DISTRIBUTIONS TO SHAREHOLDERS:
NET INVESTMENT INCOME:
Institutional shares (5,886) (5,023) (1,179) (1,587) (7,732) (6,316)
Service shares -- -- -- -- -- --
NET REALIZED GAINS:
Institutional shares (3,253) (946) (1,069) (283) (9,044) --
Service shares -- -- -- -- -- --
-------- -------- ------- ------- -------- --------
Total Distributions (9,139) (5,969) (2,248) (1,870) (16,776) (6,316)
-------- -------- ------- ------- -------- --------
CAPITAL SHARE TRANSACTIONS (1):
INSTITUTIONAL SHARES:
Proceeds from shares issued 9,513 55,202 10,502 7,725 230,139 67,563
Shares issued in lieu of cash distributions 8,013 5,007 2,079 1,681 16,515 6,316
Cost of shares repurchased (69,310) (52,863) (3,924) (15,960) (150,664) (74,928)
-------- -------- ------- ------- -------- --------
Increase (decrease) in net assets from
Institutional share transactions (51,784) 7,346 8,657 (6,554) 95,990 (1,049)
-------- -------- ------- ------- -------- --------
SERVICE SHARES:
Proceeds from shares issued -- -- -- -- 145 --
Shares issued in lieu of cash distributions -- -- -- -- -- --
Cost of shares repurchased -- -- -- -- -- --
-------- -------- ------- ------- -------- --------
Increase (decrease) in net assets from
service share transactions -- -- -- -- 145 --
-------- -------- ------- ------- -------- --------
INCREASE (DECREASE) IN NET ASSETS FROM
CAPITAL SHARE TRANSACTIONS (51,784) 7,346 8,657 (6,554) 96,135 (1,049)
-------- -------- ------- ------- -------- --------
Net increase (decrease) in net assets (57,737) 10,580 6,782 (6,448) 85,156 17,993
-------- -------- ------- ------- -------- --------
NET ASSETS:
Beginning of period 149,917 139,337 21,155 27,603 102,431 84,438
-------- -------- ------- ------- -------- --------
End of period $ 92,180 $149,917 $27,937 $21,155 $187,587 $102,431
======== ======== ======= ======= ======== ========
CAPITAL SHARE TRANSACTIONS:
INSTITUTIONAL SHARES:
Shares issued 907 5,070 1,061 719 18,219 5,922
Shares issued in lieu of cash distributions 757 463 205 155 1,455 587
Shares repurchased (6,481) (4,891) (385) (1,436) (11,661) (6,847)
-------- -------- ------- ------- -------- --------
Increase (decrease) in capital shares
from institutional share transactions (4,817) 642 881 (562) 8,013 (338)
-------- -------- ------- ------- -------- --------
SERVICE SHARES:
Shares issued -- -- -- -- 11 --
Shares issued in lieu of cash distributions -- -- -- -- -- --
Shares repurchased -- -- -- -- -- --
-------- -------- ------- ------- -------- --------
Increase (decrease) in capital shares from
service share transactions -- -- -- -- 11 --
-------- -------- ------- ------- -------- --------
Net increase (decrease) in capital shares (4,817) 642 881 (562) 8,024 (338)
======== ======== ======= ======= ======== ========
<FN>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
</FN>
</TABLE>
72
<PAGE>
FINANCIAL HIGHLIGHTS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- FOR THE YEARS/PERIODS ENDED OCTOBER 31,
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
NET DISTRIBUTIONS
NET ASSET NET REALIZED DISTRIBUTIONS FROM RATIO OF
VALUE INVESTMENT AND FROM NET REALIZED NET ASSET NET ASSETS EXPENSES
BEGINNING INCOME/ UNREALIZED INVESTMENT CAPITAL VALUE END TOTAL END OF TO AVERAGE
OF PERIOD (LOSS) GAINS (LOSSES) INCOME GAINS OF PERIOD RETURN PERIOD (000) NET ASSETS
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
- --------------------
MUNICIPAL BOND FUND:
- --------------------
Institutional Shares
1997 $10.99 $0.57 $ 0.22 $(0.57) $(0.09) $11.12 7.49% $361,461 0.54%
1996 10.86 0.60 0.13 (0.60) -- 10.99 6.90 252,152 0.55
1995 10.37 0.61 0.49 (0.61) -- 10.86 10.90 221,058 0.54
1994 11.36 0.60 (0.61) (0.60) (0.38) 10.37 (0.15) 165,677 0.54
1993 10.56 0.67 0.84 (0.67) (0.04) 11.36 14.68 148,022 0.55
1992(1) 10.00 0.60 0.56 (0.60) -- 10.56 13.42 94,700 0.55
Service Shares
1997(2) $11.11 $0.14 $ -- $(0.14) $ -- $11.11 1.22%(DAGGER) $ 192 0.79%
- ------------------
FIXED INCOME FUND:
- ------------------
Institutional Shares
1997 $10.51 $0.68 $0.25 $(0.68) $ -- $10.76 9.22% $1,103,121 0.55%
1996 10.62 0.68 (0.04) (0.68) (0.07) 10.51 6.27 758,003 0.55
1995 9.93 0.70 0.69 (0.70) -- 10.62 14.53 494,221 0.54
1994 10.95 0.64 (0.91) (0.64) (0.11) 9.93 (2.58) 239,556 0.54
1993 9.92 0.64 1.03 (0.64) -- 10.95 17.28 147,917 0.55
1992(3) 10.00 0.06 (0.08) (0.06) -- 9.92 (1.61) 25,528 0.55
- -------------------------------
SHORT-TERM MUNICIPAL BOND FUND:
- -------------------------------
Institutional Shares
1997 $10.13 $0.52 $0.16 $(0.52) $(0.01) $10.28 6.93% $19,950 0.53%
1996 10.13 0.54 0.04 (0.54) (0.04) 10.13 5.90 9,132 0.53
1995(4) 10.00 0.30 0.13 (0.30) -- 10.13 4.39(DAGGER) 3,724 0.52
- -----------------------------
SHORT-TERM FIXED INCOME FUND:
- -----------------------------
Institutional Shares
1997 $10.00 $0.58 $ 0.06 $(0.58) $ -- $10.06 6.61% $17,083 0.53%
1996 10.01 0.60 (0.01) (0.60) -- 10.00 6.09 6,751 0.53
1995(5) 10.00 0.37 0.01 (0.37) -- 10.01 3.82(DAGGER) 4,140 0.52
- ------------------------
SMALLER COMPANIES FUND:
- ------------------------
Institutional Shares
1997 $13.10 $(0.03) $2.87 $ -- $(1.22) $14.72 23.29% $5,724 1.25%
1996 10.55 (0.02) 2.61 (0.04) -- 13.10 24.58 4,115 1.25
1995(6) 10.00 0.03 0.52 -- -- 10.55 5.50(DAGGER) 2,638 1.25
Service Shares
1997(7) $13.77 $(0.03) $0.97 $ -- $ -- $14.71 7.45%(DAGGER) $ 6 1.50%
- --------------
MICROCAP FUND:
- --------------
Institutional Shares
1997(8) $10.00 $(0.04) $2.66 $ -- $ -- $12.62 26.20%(DAGGER) $3,276 1.63%
Service Shares
1997(9) $12.12 $(0.02) $0.52 $ -- $ -- $12.62 3.87%(DAGGER) $ 10 1.74%
- --------------------------
INTERNATIONAL EQUITY FUND:
- --------------------------
Institutional Shares
1997 $11.88 $0.16 $0.28 $(0.15) $(0.55) $11.62 3.78% $4,954 0.90%
1996 10.95 0.11 1.25 (0.43) -- 11.88 12.70 3,423 0.90
1995(10) 10.00 0.08 0.87 -- -- 10.95 9.50(DAGGER) 2,738 0.90
</TABLE>
<TABLE>
<CAPTION>
RATIO OF
RATIO OF NET INVESTMENT
RATIO OF EXPENSES INCOME/(LOSS)
NET TO AVERAGE TO AVERAGE
INVESTMENT NET ASSETS NET ASSETS
INCOME/(LOSS) (EXCLUDING (EXCLUDING PORTFOLIO AVERAGE
TO AVERAGE EXPENSE EXPENSE TURNOVER COMMISSION
NET ASSETS LIMITATIONS) LIMITATIONS) RATE RATE*
- -------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
- --------------------
MUNICIPAL BOND FUND:
- --------------------
Institutional Shares
1997 5.19% 0.61% 5.12% 67% N/A
1996 5.50 0.61 5.44 66 --
1995 5.75 0.62 5.67 63 --
1994 5.60 0.67 5.47 94 --
1993 5.94 0.75 5.74 160 --
1992(1) 6.31 0.79 6.07 143 --
Service Shares
1997(2) 4.95% 0.85% 4.89% 67% N/A
- ------------------
FIXED INCOME FUND:
- ------------------
Institutional Shares
1997 6.50% 0.60% 6.45% 178% N/A
1996 6.52 0.61 6.46 176 --
1995 6.81 0.63 6.72 182 --
1994 6.22 0.66 6.10 251 --
1993 6.01 0.72 5.84 196 --
1992(3) 5.24 1.66 4.13 148 --
- -------------------------------
SHORT-TERM MUNICIPAL BOND FUND:
- -------------------------------
Institutional Shares
1997 5.14% 1.02% 4.65% 95% N/A
1996 5.34 1.58 4.29 129 --
1995(4) 4.60 2.16 2.96 62 --
- -----------------------------
SHORT-TERM FIXED INCOME FUND:
- -----------------------------
Institutional Shares
1997 5.77% 1.09% 5.21% 186% N/A
1996 6.00 1.29 5.24 124 --
1995(5) 5.86 2.84 3.54 90 --
- -----------------------
SMALLER COMPANIES FUND:
- -----------------------
Institutional Shares
1997 (0.29)% 2.63% (1.67)% 122% $0.0552
1996 (0.23) 2.55 (1.53) 141 0.0560
1995(6) 0.94 2.28 (0.09) 23 --
Service Shares
1997(7 (0.77)% 2.79% (2.06)% 122% $0.0552
- --------------
MICROCAP FUND:
- --------------
Institutional Shares
1997(8) (0.49)% 3.39% (2.25)% 272% $0.0634
Service Shares
1997(9) (1.15)% 3.52% (2.93)% 272% $0.0634
- --------------------------
INTERNATIONAL EQUITY FUND:
- --------------------------
Institutional Shares
1997 0.97% 2.79% (0.92)% 55% $0.0325
1996 0.72 3.59 (1.97) 39 0.0221
1995(10) 1.55 2.73 (0.28) 19 --
<FN>
(DAGGER) RETURNS ARE FOR THE PERIOD INDICATED AND HAVE NOT BEEN ANNUALIZED.
(1) MUNICIPAL BOND FUND INSTITUTIONAL SHARES COMMENCED OPERATIONS ON 12/13/91.
ALL RATIOS FOR THE PERIOD HAVE BEEN ANNUALIZED.
(2) MUNICIPAL BOND FUND SERVICE SHARES COMMENCED OPERATIONS ON 7/31/97 ALL
RATIOS FOR THE PERIOD HAVE BEEN ANNUALIZED.
(3) FIXED INCOME FUND INSTITUTIONAL SHARES COMMENCED OPERATIONS ON 9/18/92. ALL
RATIOS FOR THE PERIOD HAVE BEEN ANNUALIZED.
(4) SHORT-TERM MUNICIPAL BOND FUND INSTITUTIONAL SHARES COMMENCED OPERATIONS ON
3/6/95. ALL RATIOS FOR THE PERIOD HAVE BEEN ANNUALIZED.
(5) SHORT-TERM FIXED INCOME FUND INSTITUTIONAL SHARES COMMENCED OPERATIONS ON
3/13/95. ALL RATIOS FOR THE PERIOD HAVE BEEN ANNUALIZED.
(6) SMALLER COMPANIES FUND INSTITUTIONAL SHARES COMMENCED OPERATIONS ON
6/30/95. ALL RATIOS FOR THE PERIOD HAVE BEEN ANNUALIZED.
(7) SMALLER COMPANIES FUND SERVICE SHARES COMMENCED OPERATIONS ON 7/14/97. ALL
RATIOS FOR THE PERIOD HAVE BEEN ANNUALIZED.
(8) MICROCAP FUND INSTITUTIONAL SHARES COMMENCED OPERATIONS ON 12/18/96. ALL
RATIOS FOR THE PERIOD HAVE BEEN ANNUALIZED.
(9) MICROCAP FUND SERVICE SHARES COMMENCED OPERATIONS ON 8/22/97. ALL
RATIOS FOR THE PERIOD HAVE BEEN ANNUALIZED.
(10) INTERNATIONAL EQUITY FUND INSTITUTIONAL SHARES COMMENCED OPERATIONS ON
5/15/95. 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 9/ 1/95.
AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0.
</FN>
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
73
<PAGE>
FINANCIAL HIGHLIGHTS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- FOR THE YEARS/PERIODS ENDED OCTOBER 31,
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
NET DISTRIBUTIONS
NET ASSET NET REALIZED DISTRIBUTIONS FROM RATIO OF
VALUE INVESTMENT AND FROM NET REALIZED NET ASSET NET ASSETS EXPENSES
BEGINNING INCOME/ UNREALIZED INVESTMENT CAPITAL VALUE END TOTAL END OF TO AVERAGE
OF PERIOD (LOSS) GAINS (LOSSES) INCOME GAINS OF PERIOD RETURN PERIOD (000) NET ASSETS
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
- ----------------------
EUROPEAN EQUITY FUND:
- ----------------------
Institutional Shares
1997 $10.60 $0.25 $2.11 $(0.03) $(0.12) $12.81 22.48% $39,330 0.90%
1996(1) 10.00 -- 0.60 -- -- 10.60 6.00(DAGGER) 17,902 0.90
- ------------------------------------
INTERNATIONAL SMALL CAP EQUITY FUND:
- ------------------------------------
Institutional Shares
1997 $ 9.96 $0.10 $(1.12) $(0.13) $ -- $ 8.81 (10.40)% $53,395 1.25%
1996 9.40 0.03 0.57 (0.04) -- 9.96 6.43 106,709 1.25
1995 10.35 0.03 (0.72) (0.04) (0.22) 9.40 (6.67) 90,917 1.25
1994(2) 10.00 0.02 0.33 -- -- 10.35 3.50(DAGGER) 68,798 1.25
- -------------------------------
EUROPEAN SMALL CAP EQUITY FUND:
- -------------------------------
Institutional Shares
1997 $12.54 $0.04 $(0.22) $(0.18) $(0.38) $11.80 (1.47)% $9,641 1.25%
1996 11.55 0.12 1.03 (0.12) (0.04) 12.54 10.06 9,856 1.25
1995(3) 10.00 0.12 1.44 (0.01) -- 11.55 15.66(DAGGER) 9,336 1.25
- ------------------------------
EMERGING MARKETS EQUITY FUND:
- ------------------------------
Institutional Shares
1997 $ 8.80 $(0.03) $(0.85) $(0.01) $(0.22) $ 7.69 (10.31)% $94,101 1.25%
1996 8.11 0.06 0.75 (0.03) (0.09) 8.80 10.02 88,279 1.25
1995 11.00 0.04 (2.29) (0.02) (0.62) 8.11 (21.00) 93,288 1.25
1994(4) 10.00 (0.01) 1.01 -- -- 11.00 10.00(DAGGER) 56,892 1.36
- -------------------------
GLOBAL FIXED INCOME FUND:
- -------------------------
Institutional Shares
1997 $11.26 $0.35 $0.01 $(0.50) $(0.28) $10.84 3.34% $92,180 0.65%
1996 10.99 0.59 0.12 (0.37) (0.07) 11.26 6.60 149,917 0.75
1995 9.85 0.35 0.99 (0.20) -- 10.99 13.88 139,337 0.78
1994(5) 10.00 0.25 (0.40) -- -- 9.85 (1.50)(DAGGER) 53,915 0.85
- --------------------------------
INTERNATIONAL FIXED INCOME FUND:
- --------------------------------
Institutional Shares
1997 $11.30 $0.20 $ (0.11) $(0.64) $(0.59) $10.16 0.82% $27,937 0.65%
1996 11.34 0.86 (0.12) (0.66) (0.12) 11.30 6.82 21,155 0.75
1995 9.94 0.42 1.03 (0.05) -- 11.34 14.66 27,603 0.78
1994(6) 10.00 0.29 (0.35) -- -- 9.94 (0.60)(DAGGER) 15,238 0.85
- ---------------------------
EMERGING MARKETS DEBT FUND:
- ---------------------------
Institutional Shares
1997 $13.36 $1.05 $ 0.40 $(1.32) $(1.54) $11.95 12.03% $187,455 1.32%
1996 10.55 1.21 2.60 (1.00) -- 13.36 38.42 102,431 1.50
1995 10.19 0.65 (0.17) (0.11) (0.01) 10.55 4.85 84,438 1.79
1994(7) 10.00 0.13 0.06 -- -- 10.19 1.90(DAGGER) 16,248 1.90
Service Shares
1997(8) $13.61 $0.03 $(1.69) $ -- $ -- $11.95 (12.20)%(DAGGER)$ 132 1.50%
</TABLE>
<TABLE>
<CAPTION>
RATIO OF
RATIO OF NET INVESTMENT
RATIO OF EXPENSES INCOME/(LOSS)
NET TO AVERAGE TO AVERAGE
INVESTMENT NET ASSETS NET ASSETS
INCOME/(LOSS) (EXCLUDING (EXCLUDING PORTFOLIO AVERAGE
TO AVERAGE EXPENSE EXPENSE TURNOVER COMMISSION
NET ASSETS LIMITATIONS) LIMITATIONS) RATE RATE*
- ------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
- ---------------------
EUROPEAN EQUITY FUND:
- ---------------------
Institutional Shares
1997 1.71% 1.17% 1.44% 45% $0.0381
1996(1) (0.41) 1.40 (0.91) 5 0.0324
- ------------------------------------
INTERNATIONAL SMALL CAP EQUITY FUND:
- ------------------------------------
Institutional Shares
1997 0.16% 1.37% 0.04% 59% $0.0074
1996 0.35 1.38 0.22 47 0.0170
1995 0.41 1.48 0.18 62 --
1994(2) 0.34 1.67 (0.08) 41 --
- -------------------------------
EUROPEAN SMALL CAP EQUITY FUND:
- -------------------------------
Institutional Shares
1997 0.58% 2.12% (0.29)% 44% $0.0656
1996 0.96 2.50 (0.29) 49 0.0327
1995(3) 1.25 2.24 0.26 34 --
- -----------------------------
EMERGING MARKETS EQUITY FUND:
- -----------------------------
Institutional Shares
1997 0.68% 1.44% 0.49% 94% $0.0006
1996 0.63 1.52 0.36 69 0.0003
1995 0.44 1.55 0.14 49 --
1994(4) (0.12) 1.79 (0.55) 45 --
- -------------------------
GLOBAL FIXED INCOME FUND:
- -------------------------
Institutional Shares
1997 5.30% 0.77% 5.18% 179% N/A
1996 5.39 0.79 5.35 223 --
1995 5.61 0.87 5.52 147 --
1994(5) 5.71 1.28 5.28 173 --
- --------------------------------
INTERNATIONAL FIXED INCOME FUND:
- --------------------------------
Institutional Shares
1997 5.00% 1.06% 4.59% 174% N/A
1996 5.41 1.03 5.13 235 --
1995 5.51 1.15 5.14 187 --
1994(6) 5.66 1.42 5.09 130 --
- ---------------------------
EMERGING MARKETS DEBT FUND:
- ---------------------------
Institutional Shares
1997 7.15% 1.47% 7.00% 472% N/A
1996 10.15 1.92 9.73 227 --
1995 10.97 2.05 10.71 266 --
1994(7) 7.04 2.60 6.34 52 --
Service Shares
1997(8) 18.65% 1.71% 18.44% 472% N/A
<FN>
(DAGGER)RETURNS ARE FOR THE PERIOD INDICATED AND HAVE NOT BEEN ANNUALIZED.
(1) EUROPEAN EQUITY FUND INSTITUTIONAL SHARES COMMENCED OPERATIONS ON 9/3/96.
ALL RATIOS FOR THE PERIOD HAVE BEEN ANNUALIZED.
(2) INTERNATIONAL SMALL CAP EQUITY FUND INSTITUTIONAL SHARES COMMENCED
OPERATIONS ON 1/3/94. ALL RATIOS FOR THE PERIOD HAVE BEEN ANNUALIZED.
(3) EUROPEAN SMALL CAP EQUITY FUND INSTITUTIONAL SHARES COMMENCED OPERATIONS ON
11/1/94. ALL RATIOS FOR THE PERIOD HAVE BEEN ANNUALIZED.
(4) EMERGING MARKETS EQUITY FUND INSTITUTIONAL SHARES COMMENCED OPERATIONS ON
2/2/94. ALL RATIOS FOR THE PERIOD HAVE BEEN ANNUALIZED.
(5) GLOBAL FIXED INCOME FUND INSTITUTIONAL SHARES COMMENCED OPERATIONS ON
1/3/94. ALL RATIOS FOR THE PERIOD HAVE BEEN ANNUALIZED.
(6) INTERNATIONAL FIXED INCOME FUND INSTITUTIONAL SHARES COMMENCED OPERATIONS
ON 3/15/94. ALL RATIOS FOR THE PERIOD HAVE BEEN ANNUALIZED.
(7) EMERGING MARKETS DEBT FUND INSTITUTIONAL SHARES COMMENCED OPERATIONS ON
8/4/94. ALL RATIOS FOR THE PERIOD HAVE BEEN ANNUALIZED.
(8) EMERGING MARKETS DEBT FUND SERVICE SHARES COMMENCED OPERATIONS ON 10/23/97.
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 9/1/95.
AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0.
</FN>
</TABLE>
74
<PAGE>
NOTES TO FINANCIAL STATEMENTS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1997
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 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, 1997, the Large Cap Growth 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.
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
recently quoted bid price. Unlisted securities for which market quotations are
readily available are valued at the most recently 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 quotations are not readily available or securities
whose market quotations do not, in the opinion of the applicable Advisor,
reflect market value are valued at fair value using methods determined in good
faith by the valuation committee of the Board of Trustees.
INCOME TAXES--It is the intention of each Fund to continue to qualify as a
regulated investment company and to distribute all of its taxable income.
Accordingly, no provision for Federal income taxes is considered necessary.
The International Funds may be subject to taxes imposed by countries in
which they invest with respect to their investments in issuers existing or
operating in such countries. Such taxes are generally based on either income
earned or repatriated. The International Funds accrue such taxes when the
related income is earned.
NET ASSET VALUE PER SHARE--The net asset value per share is calculated on a
daily basis by dividing the assets of each Fund, less its liabilities, by the
number of outstanding shares of the Fund.
CLASSES--Class-specific expenses, such as service plan fees, are borne by
that class. Income, expenses and realized and unrealized gains/losses are
allocated to the respective classes on the basis of relative daily net assets.
75
<PAGE>
NOTES TO FINANCIAL STATEMENTS (Continued)
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1997
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 or loss 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.
76
<PAGE>
NOTES TO FINANCIAL STATEMENTS (Continued)
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1996
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 $ 16
European Equity Fund 213
International Small Cap Equity Fund 427
European Small Cap Equity Fund (23)
Emerging Markets Equity Fund (1,113)
Global Fixed Income Fund (3,599)
International Fixed Income Fund (685)
Emerging Markets Debt Fund 157
These reclassifications have no effect on net asset value per share.
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.
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, DISTRIBUTION AND SERVICE 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: 0.12% up to $1 billion; 0.08% from
$1 billion to $1.5 billion; 0.06% from $1.5 billion to $2.5 billion; and 0.04%
in excess of $2.5 billion. Each Fund pays the Administrator a minimum annual
fee of $60,000 (after a one-year phase in period).
The Administrator generally assists in all matters relating to the
administration of the Funds, including the coordination and monitoring of any
third parties furnishing services to the Funds, preparation and maintenance of
financial accounting records, and the provision of necessary office space,
equipment and personnel to perform administrative and clerical functions.
Under advisory agreements with the Trust, Morgan Grenfell Capital
Management, Inc. serves as the Advisor for the Domestic Funds and Morgan
Grenfell Investment Services Limited serves as the Advisor for the International
Funds (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%
Microcap Fund 1.50%
International Equity Fund 0.70%
European Equity Fund 0.70%
International Small Cap Equity Fund 1.00%
77
<PAGE>
NOTES TO FINANCIAL STATEMENTS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1997
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 1.00%(1)
(1) 1.50% PRIOR TO MARCH 1, 1997.
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:
Institutional Service
Shares Shares
------------- --------
Municipal Bond Fund 0.55% 0.80%
Fixed Income Fund 0.55% 0.80%
Short-Term Municipal Bond Fund 0.55% 0.80%
Short-Term Fixed Income Fund 0.55% 0.80%
Smaller Companies Fund 1.25% 1.50%
Microcap Fund 1.49%(1) 1.74%
International Equity Fund 0.90% 1.15%
European Equity Fund 0.90% 1.15%
International Small Cap Equity Fund 1.25% 1.50%
European Small Cap Equity Fund 1.25% 1.50%
Emerging Markets Equity Fund 1.25% 1.50%
Global Fixed Income Fund 0.65% 0.90%
International Fixed Income Fund 0.65% 0.90%
Emerging Markets Debt Fund 1.25%(2) 1.50%
(1) 1.75% PRIOR TO JULY 1, 1997.
(2) 1.50% PRIOR TO MARCH 1, 1997.
Certain officers and/or Trustees of the Trust are affiliated with the
Administrator or Advisors.
SEI Investments Distribution Co.(the "Distributor", formerly SEI Financial
Serivces Company) 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.
The Trust, on behalf of each Fund, has adopted a service plan pursuant to
which each Fund that offers Service Shares pays service fees at an aggregate
annual rate of up to 0.25% of the Fund's average daily net assets attributable
to Service Shares. Servicing plan fees are payable to Service Organizations that
have agreements with the Trust, and are intended to compensate Service
Organizations for providing personal services and/or account maintenance
services to their customers who invest in Service Shares.
During the period ended October 31, 1997, certain portfolios of the Trust
purchased securities from and sold securities to other portfolios of the Trust
or other accounts managed by the Advisors at market value.
4. FORWARD FOREIGN CURRENCY CONTRACTS
The International Funds enter into forward foreign currency 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,
1997:
78
<PAGE>
================================================================================
UNREALIZED
CURRENCY TO IN APPRECIATION
MATURITY (DELIVER)/ EXCHANGE (DEPRECIATION)
DATE RECEIVE FOR (000)
- --------------- --------------- ----------- --------------
INTERNATIONAL EQUITY
- --------------------
FOREIGN CURRENCY SALES:
11/04/97-11/13/97 JY (36,566,895) $ 314,883 $ 11
-------
$ 11
=======
EUROPEAN EQUITY
- ---------------
FOREIGN CURRENCY PURCHASES:
11/03/97 UK 166,681 $ 278,858 $ 1
-------
$ 1
=======
INTERNATIONAL SMALL CAP
- -----------------------
FOREIGN CURRENCY SALES:
11/03/97 UK (144,442) $ (240,352) $ (2)
-------
$ (2)
-------
FOREIGN CURRENCY PURCHASES:
11/03/97 CH 345,429 $ 246,207 $ 1
-------
$ (1)
-------
EUROPEAN SMALL CAP EQUITY
- -------------------------
FOREIGN CURRENCY PURCHASES:
11/03/97 CH 107,335 $ 76,504 $ --
-------
$ --
=======
EMERGING MARKETS EQUITY
- -----------------------
FOREIGN CURRENCY SALES:
11/03/97 PP (433,088) $ (11,865) $ (1)
11/03/97 ZA (54,120) (11,045) --
-------
$ (1)
=======
FOREIGN CURRENCY PURCHASES:
11/03/97 MR 399,935 $ 116,940 $ 3
-------
$ 2
=======
GLOBAL FIXED INCOME
- -------------------
FOREIGN CURRENCY SALES:
12/18/97 AD (7,900,000) $(5,678,520) $ 120
01/20/97 CA (15,900,000) (11,585,567) 260
12/18/97-02/19/98 DM (31,550,000) (17,543,818) (856)
12/18/97-01/20/98 DK (60,200,000) (8,967,494) (261)
12/18/97-02/19/98 ES (1,073,600,000) (7,052,746) (335)
11/18/97-02/19/98 IL(15,410,000,000) (8,880,113) (223)
11/18/97-02/19/98 JY (1,915,000,000) (16,165,642) 108
12/18/97 SK (41,200,000) (5,401,862) (115)
11/18/97-01/20/98 UK (8,950,000) (14,296,580) (589)
-------
$(1,891)
-------
FOREIGN CURRENCY PURCHASES:
1/20/98-02/19/98 AD 1,800,000 $ 1,270,890 $ (2)
02/19/98 CA 2,400,000 1,725,998 (14)
11/18/97-02/19/98 DM 44,500,000 25,210,595 756
02/19/98 DK 12,000,000 1,799,262 43
12/18/97-01/20/98 ES 1,630,000,000 10,664,868 553
11/18/97-01/20/98 IL 22,890,000,000 12,952,808 570
11/4/97-02/19/98 JY 2,530,100,000 21,292,375 (47)
12/18/97 SK 41,200,000 5,466,163 50
12/18/97-01/20/98 UK 8,950,000 14,380,320 476
-------
2,385
-------
$ 494
=======
UNREALIZED
CURRENCY TO IN APPRECIATION
MATURITY (DELIVER)/ EXCHANGE (DEPRECIATION)
DATE RECEIVE FOR (000)
- --------------- --------------- ----------- --------------
INTERNATIONAL FIXED INCOME
- --------------------------
FOREIGN CURRENCY SALES:
12/18/97-01/20/98 AD (1,850,000) $(1,330,968) $ 29
11/18/97-02/19/98 CA (6,950,000) (5,028,252) 77
12/18/97-01/20/98 DM (9,190,000) (5,149,154) (212)
12/18/97-01/20/98 DK (19,400,000) (2,880,313) (93)
12/18/97 ES (210,000,000) (1,376,553) (68)
01/20/98 IL (4,410,000,000) (2,543,364) (61)
11/18/97-02/19/98 JY (444,000,000) (3,757,801) 37
12/18/97-01/20/98 SK (10,350,000) (1,358,969) (27)
11/18/97-01/20/98 UK (2,150,000) (3,434,700) (140)
-------
$ (458)
-------
FOREIGN CURRENCY PURCHASES:
11/18/97-02/19/98 DM 13,900,000 7,920,443 $ 192
11/18/97-02/19/98 DK 4,650,000 672,536 39
12/18/97-01/20/98 ES 455,000,000 3,012,160 120
11/18/97-02/19/98 IL 5,395,000,000 3,056,849 130
11/18/97-02/19/98 JY 711,380,000 6,002,660 (29)
12/18/97-01/20/98 SK 10,350,000 1,373,750 12
12/18/97-01/20/98 UK 2,150,000 3,456,232 111
-------
$ 575
-------
EMERGING MARKETS DEBT
- ---------------------
FOREIGN CURRENCY PURCHASES:
11/03/97 ZA 19,568 $4,068 $ --
-------
$ (1)
=======
$ 117
=======
CURRENCY LEGEND
- ---------------
AD Australian Dollar JY Japanese Yen
CA Canadian Dollar MR Malaysian Ringgit
CH Swiss Franc PP Phillipine Peso
DM German Mark SK Swedish Krona
DK Danish Kroner UK British Pound Sterling
ES Spanish Peseta ZA South African Rand
IL Italian Lira
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
year ended October 31, 1997, were as follows:
79
<PAGE>
NOTES TO FINANCIAL STATEMENTS (Concluded)
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1997
PURCHASES SALES
(000) (000)
---------- --------
Municipal Bond Fund $272,899 $170,012
Fixed Income Fund 811,569 438,991
Short-Term Municipal Bond Fund 16,984 8,723
Short-Term Fixed Income Fund 9,389 5,732
Smaller Companies Fund 6,056 5,215
Microcap Fund 5,491 2,794
International Equity Fund 3,806 2,481
European Equity Fund 27,724 13,271
International Small Cap Equity Fund 50,524 95,819
European Small Cap Equity Fund 4,588 4,271
Emerging Markets Equity Fund 104,894 89,908
Global Fixed Income Fund 169,088 203,046
International Fixed Income Fund 673,136 614,925
Emerging Markets Debt Fund 45,602 37,843
The cost of U.S. Government security purchases and the proceeds from the
sale of U.S. Government securities during the year ended October 31, 1997, were
as follows:
PURCHASES SALES
(000) (000)
--------- --------
Municipal Bond Fund $ 16,356 $ 16,285
Fixed Income Fund 908,023 970,707
Short-Term Municipal Bond Fund 1,501 1,500
Short-Term Fixed Income Fund 7,507 4,884
International Fixed Income Fund 495 --
For Federal income tax purposes, the cost of securities owned at October
31, 1997 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, 1997 for each Fund is as follows:
NET
UNREALIZED
APPRECIATED DEPRECIATED APPRECIATION/
SECURITIES SECURITIES (DEPRECIATION)
(000) (000) (000)
---------- ------------- -------------
Municipal Bond Fund $11,251 $ (184) $11,067
Fixed Income Fund 29,283 (1,204) 28,079
Short-Term Municipal
Bond Fund 289 (7) 282
Short-Term Fixed Income Fund 119 (7) 112
Smaller Companies Fund 1,124 (277) 847
Microcap Fund 519 (115) 404
International Equity Fund 664 (414) 250
European Equity Fund 6,619 (642) 5,977
International Small Cap
Equity Fund 6,429 (4,589) 1,840
European Small Cap
Equity Fund 1,988 (513) 1,475
Emerging Markets
Equity Fund 8,035* (18,862) (10,827)
Global Fixed Income Fund 2,922 (1,016) 1,906
International Fixed
Income Fund 548 (318) 230
Emerging Markets
Debt Fund 79 (21,644) (21,565)
* NET OF $59(000) ACCRUED FOREIGN WITHHOLDING TAXES.
At October 31, 1997 the following Funds had available realized capital losses to
offset future net capital gains:
EXPIRATION
(000) DATE
---------- ------------
Short-Term Municipal Bond Fund $ 9 10/31/2005
Short-Term Fixed Income Fund 11 10/31/2004
International Small Cap Equity Fund 6,862 10/31/2004-2005
European Small Cap Equity Fund 84 10/31/2005
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
80
<PAGE>
================================================================================
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.
8. REVOLVING CREDIT AGREEMENT
During the period ended October 31, 1997, each of the Funds of the Trust other
than the Municipal Bond Fund and the Fixed Income Fund entered into a Revolving
Credit Agreement (the "Agreement"), as amended, payable on demand, with The
Northern Trust Company (the "Lender" and the custodian for the Funds which are
parties to the Agreement). The maximum aggregate credit available to all the
participating Funds under the Agreement is $50,000,000. Interest payments on
borrowings are payable by the borrowing Funds on a monthly basis at the federal
funds rate plus 0.50% per annum. The participating Funds are also subject to a
commitment fee of 0.10% per annum of the unused portion of the maximum aggregate
credit available under the Agreement. During the period ended October 31, 1997,
the participating Funds incurred approximately $17,600 in commitment fees under
the agreement which has been allocated to each participating Fund based on their
relative net assets during the period. During the period ended October 31, 1997,
only the Emerging Markets Equity Fund borrowed under the Agreement with maximum
borrowings of $13,250,000 during the period from June 11, 1997 through July 16,
1997. Emerging Markets Equity Fund paid $24,496 in interest at a weighted
average rate of 6.00%. At October 31, 1997, there were no borrowings outstanding
under the Agreement.
81
NOTES TO FINANCIAL STATEMENTS (Concluded)
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1997
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. Deutsche Bank had also agreed to indemnify each of the Funds
for any related loss, plus reasonable interest, if it was subsequently
determined based upon findings by independent third parties that there were
irregularities in the purchase of the securities or if the August 30, 1996
valuation of the securities was found to be inadequate.
Although there were no findings by the appointed independent third parties
that there were irregularities in the purchase of the securities or that the
August 30, 1996 valuation of the securities was inadequate, Deutsche Bank
subsequently and voluntarily agreed to pay approximately $280,000 and $450,000
directly to the shareholders of International Small Cap Equity Fund and European
Small Cap Equity Fund, respectively, who owned shares of the Funds at the time
the Funds were invested in the unlisted securities.
82
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
================================================================================
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, Microcap 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, 1997, 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, 1997, the results of each
of their operations for the year then ended, and the changes in each of their
net assets for each of the two years in the period then ended and the financial
highlights for each of the three 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 of the Trust's management; our responsibility is to express an
opinion on these financial statements based on our audits. We conducted our
audits of these financial statements in accordance with generally accepted
auditing standards which require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements, assessing the
accounting principles used and significant estimates made by management, and
evaluating the overall financial statement presentation. We believe that our
audits, which included confirmation of securities at October 31, 1997 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.
PRICE WATERHOUSE LLP
1177 Avenue of the Americas
New York, NY 10036
December 12, 1997
83
<PAGE>
NOTICE TO SHAREHOLDERS (Unaudited)
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1997
TAXPAYERS FILING ON A CALENDAR YEAR BASIS WILL RECEIVE TAX INFORMATION FOR THE
1997 CALENDAR YEAR AFTER YEAR END.
Dear Morgan Grenfell Shareholders:
For the fiscal year ended October 31, 1997, 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)(DAGGER) (TAX BASIS)(DAGGER) (TAX BASIS)(DAGGER) DIVIDENDS (1) INTEREST CREDIT (2)
- ---- ------------------- ------------------- ------------------- ------------- -------- ----------
<S> <C> <C> <C> <C> <C> <C>
Municipal Bond Fund 12.18% 87.82% 100.0% 0.00% 98.99% 0.00%
Fixed Income Fund 0.00% 100.00% 100.0% 0.00% 0.00% 0.00%
Short-Term Municipal Bond Fund 0.05% 99.95% 100.0% 0.00% 97.72% 0.00%
Short-Term Fixed Income Fund 0.00% 100.00% 100.0% 0.00% 0.00% 0.00%
Smaller Companies Fund 0.47% 99.53% 100.0% 92.31% 0.00% 0.00%
Microcap Fund 0.00% 0.00% 100.0% 66.67% 0.00% 0.00%
International Equity Fund 63.07% 36.93% 100.0% 0.00% 0.00% 7.79%
European Equity Fund 77.63% 22.37% 100.0% 0.00% 0.00% 8.45%
International Small Cap Equity Fund 0.00% 100.00% 100.0% 0.00% 0.00% 18.80%
European Small Cap Equity Fund 67.14% 32.86% 100.0% 0.00% 0.00% 21.05%
Emerging Markets Equity Fund 24.26% 75.74% 100.0% 0.00% 0.00% 6.52%
Global Fixed Income Fund 14.48% 85.52% 100.0% 0.00% 0.00% 0.00%
International Fixed Income Fund 13.29% 86.71% 100.0% 0.00% 0.00% 0.00%
Emerging Markets Debt Fund 0.00% 100.00% 100.0% 0.00% 0.00% 0.00%
<FN>
- -------------------
(DAGGER)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.
84
<PAGE>
================================================================================
TAXPAYERS FILING ON A CALENDAR YEAR BASIS WILL RECEIVE TAX INFORMATION FOR THE
1997 CALENDAR YEAR AFTER YEAR END.
The Morgan Grenfell International Equity Fund, International Small Cap Equity
Fund, European Small Cap Equity Fund, European Equity 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, 1997. 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 27, 1996 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 0.0096 0.0012
Finland 0.0046 0.0002
France 0.0134 0.0024
Germany 0.0009 0.0001
Hong Kong 0.0126 0.0000
Italy 0.0003 0.0000
Japan 0.0250 0.0036
Malaysia 0.0026 0.0006
Netherlands 0.0165 0.0021
Singapore 0.0013 0.0001
South Korea 0.0000 0.0000
Spain 0.0046 0.0005
Sweden 0.0096 0.0014
Switzerland 0.0043 0.0005
United Kingdom 0.0516 0.0074
United States 0.0154 0.0000
------ ------
0.1723 0.0201
====== ======
MORGAN GRENFELL EUROPEAN EQUITY FUND
GROSS FOREIGN
COUNTRY DIVIDEND TAXES PAID
- ------- -------- ---------
Denmark 0.0013 0.0002
France 0.0009 0.0001
Germany 0.0001 0.0000
Netherlands 0.0110 0.0003
Spain 0.0014 0.0001
Sweden 0.0001 0.0000
United Kingdom 0.0201 0.0022
United States 0.0018 0.0000
------ ------
0.0367 0.0029
====== ======
MORGAN GRENFELL INTERNATIONAL SMALL CAP EQUITY FUND
GROSS FOREIGN
COUNTRY DIVIDEND TAXES PAID
- ------- -------- ---------
Australia 0.0081 0.0019
Austria 0.0006 0.0001
Belgium 0.0002 0.0000
Denmark 0.0011 0.0002
Finland 0.0001 0.0000
France 0.0052 0.0011
Germany 0.0192 0.0034
Hong Kong 0.0091 0.0000
Indonesia 0.0012 0.0001
Italy 0.0020 0.0001
Japan 0.0231 0.0041
Malaysia 0.0036 0.0011
Netherlands 0.0031 0.0005
Norway 0.0019 0.0003
Philippines 0.0001 0.0000
Singapore 0.0021 0.0005
South Korea 0.0002 0.0000
Spain 0.0014 0.0003
Sweden 0.0041 0.0008
Switzerland 0.0021 0.0004
Thailand 0.0019 0.0002
United Kingdom 0.0474 0.0084
United States 0.0107 0.0000
------ ------
0.1485 0.0235
====== ======
MORGAN GRENFELL EUROPEAN SMALL CAP EQUITY FUND
GROSS FOREIGN
COUNTRY DIVIDEND TAXES PAID
- ------- -------- ---------
Austria 0.0015 0.0002
Belgium 0.0006 0.0000
Denmark 0.0023 0.0005
Finland 0.0003 0.0002
France 0.0133 0.0025
Germany 0.0462 0.0097
Italy 0.0055 0.0005
Netherlands 0.0055 0.0010
Norway 0.0045 0.0008
Spain 0.0040 0.0007
Sweden 0.0121 0.0023
Switzerland 0.0038 0.0000
United Kingdom 0.1176 0.0210
United States 0.0094 0.0000
------ ------
0.2266 0.0394
====== ======
85
<PAGE>
NOTICE TO SHAREHOLDERS (Unaudited)
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1997
MORGAN GRENFELL EMERGING MARKETS EQUITY FUND
GROSS FOREIGN
COUNTRY DIVIDEND TAXES PAID
- ------- -------- ---------
Botswana 0.0001 0.0000
Brazil 0.0010 0.0001
Chile 0.0001 0.0001
Colombia 0.0002 0.0001
Greece 0.0001 0.0000
India 0.0002 0.0000
Indonesia 0.0016 0.0013
Malaysia 0.0066 0.0060
Mexico 0.0004 0.0001
Peru 0.0001 0.0000
Philippines 0.0002 0.0002
Poland 0.0004 0.0004
Portugal 0.0005 0.0004
South Africa 0.0015 0.0007
South Korea 0.0005 0.0003
Taiwan 0.0002 0.0002
Thailand 0.0018 0.0014
Turkey 0.0001 0.0000
United States 0.0010 0.0000
------ ------
0.0166 0.0113
====== ======
85
<PAGE>
MORGAN
GRENFELL
INVESTMENT
TRUST
- --------------------------------------------------------------------------------
ANNUAL
REPORT
OCTOBER 31, 1997
TRUSTEES AND OFFICERS
James E. Minnick,
PRESIDENT, CHIEF EXECUTIVE OFFICER AND
CHAIRMAN OF THE BOARD OF TRUSTEES
Patrick W. 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
Joan A. Binstock,
VICE PRESIDENT AND SECRETARY
INVESTMENT ADVISORS
Morgan Grenfell Capital Management, Inc.
Morgan Grenfell Investment Services Limited
ADMINISTRATOR AND SHAREHOLDER SERVICING AGENT
SEI Financial Management Corporation
DISTRIBUTOR
SEI Investments Distribution Co.
CUSTODIANS
The Northern Trust Company
CoreStates Bank, N.A.
TRANSFER AGENT
DST Systems, Inc.
INDEPENDENT ACCOUNTANTS
Price Waterhouse LLP
LEGAL COUNSEL
Hale and Dorr LLP
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 INVESTMENTS DISTRIBUTION CO., THE DISTRIBUTOR OF THE MORGAN
GRENFELL INVESTMENT TRUST, IS NOT AFFILIATED WITH ANY BANK.
MIT-F-0004-04
