<PAGE>
MORGAN GRENFELL
INVESTMENT TRUST
Annual Report October 31, 1998
[PICTURE OF GLOBE]
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Dear Fellow Shareholder:
The Board of Trustees of the Morgan Grenfell Investment Trust and the employees
of Morgan Grenfell thank you for investing in our family of mutual funds.
We are pleased to announce that several of these funds have been recognized by
Morningstar(1) for their strong investment processes and performance. Most
notably, Morgan Grenfell's fixed income team, headed by David Baldt and
including Gary Bartlett, Warren Davis, Thomas Flaherty, Christopher Gagnier,
Timothy Vile, Daniel Taylor and Daniel Scholl, continues to produce consistent,
superior results long after being named FIXED INCOME MANAGER OF THE YEAR (1997)
by Morningstar.
As of October 1998,
- The Morgan Grenfell Fixed Income Fund was rated 4 stars out of 1,499 fixed
income funds.
- The Morgan Grenfell Municipal Bond Fund was rated 5 stars out of 1,586
municipal bond funds.
- The Morgan Grenfell Short-Term Fixed Income Fund was rated 5 stars out of
1,499 fixed income funds.
- The Morgan Grenfell Short-Term Municipal Bond Fund was rated 5 stars out
of 1,586 municipal bond funds.
In addition to providing you with well-managed funds, we strive to provide you
with efficiently managed funds. For this reason, all of Morgan Grenfell's mutual
funds are no-load, and we have capped their total expense ratios regardless of
fund size or investment mandate. We believe that attractively priced funds are
another benefit of investing with Morgan Grenfell.
Commencing October 13, 1998, Morgan Grenfell was appointed as Administrator to
the Trust. We believe this change will create greater efficiencies and enhanced
service to you the shareholders. It is not anticipated that this change will
impact the Funds' present net expense structure.
Our continuing goal is to provide you with high-quality investment management
across a broad range of specialized mutual funds. In the pages that follow you
will find a discussion of the funds' investment performance as written by the
portfolio management teams. The analyses highlight key factors influencing
recent fund performance and are followed by detailed financial statements for
the annual period ending October 31, 1998.
Thank you again for your continued support and confidence in Morgan Grenfell.
Sincerely,
/s/ James E. Minnick
James E. Minnick
President,
Morgan Grenfell Investment Trust
- ------------------------
(1) Morningstar ratings reflect historical risk-adjusted performance. They are
subject to change every month and are calculated from the Fund's three-year
average annual return in excess of 90-day Treasury Bill returns. The top 10%
of the funds in the investment category receive a five-star rating, and the
next 22.5% receive a four-star rating.
<PAGE>
TABLE OF CONTENTS
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<TABLE>
<S> <C>
Management's Discussion and Analysis of Fund
Performance......................................... 1
Schedule of Investments................................. 22
Statement of Assets and Liabilities..................... 80
Statement of Operations................................. 82
Statement of Changes in Net Assets...................... 84
Financial Highlights.................................... 87
Notes to Financial Statements........................... 89
Report of Independent Accountants....................... 98
</TABLE>
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
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TAX-EXEMPT FIXED INCOME FUNDS
- - MUNICIPAL BOND FUND
- - SHORT-TERM MUNICIPAL BOND FUND
MARKET REVIEW
The continued deterioration in the world's economic markets, especially
evident in Asia, Latin America and Russia, and the resulting drop in the U.S.
stock market since mid-July, has caused global investors to pour money into the
safe haven of U.S Treasuries. This high demand drove the price of Treasuries up
while forcing yields to their lowest level in over thirty years.
Meanwhile, municipal bond yields have stayed relatively constant because
foreign investors do not benefit from U.S. municipals, and domestic investors
were reluctant to buy municipal bonds with yields less than 5%.
Additionally, the volume of issuance in the municipal bond market is setting
record levels as state and local governments have been refunding old debt and
issuing new debt to address neglected or required capital needs. This oversupply
has forced bonds to be priced attractively in order to sell in the market.
The combination of high demand for Treasuries and an oversupply in the
municipal market has led to a situation where municipal yields are high relative
to Treasury yields. There have only been a few times over the past thirty years
where the yield ratio of municipals to Treasuries has been this attractive.
MUNICIPAL BOND FUND
Since the inception of the Morgan Grenfell Municipal Bond Fund in December
1991, we have sought to provide shareholders with a high level of federally tax-
exempt income consistent with the preservation of capital, without investing
exclusively in long term bonds in order to obtain that high level of income.
In pursuit of this goal, we have focused on purchasing issues with
intermediate maturities and early retirement features, such as sinking funds and
prepayment bond calls.
In the current market environment, however, longer maturities represented
better value than shorter-term issues in many cases. To capture this value, we
extended slightly the duration of the Municipal Bond Fund, without taking
significant interest-rate risk.
We continue to believe that bonds with sinking fund retirements and mortgage
prepayment calls continue to offer attractive investment opportunities and have
invested in these securities.
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MUNICIPAL BOND FUND,
INSTITUTIONAL SHARES
----------------------------------------------
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN
1 Year 3 Year 5 Year Inception
Return Return Return to Date
<S> <C> <C> <C> <C>
Municipal Bond,
Institutional Shares* 6.58% 6.99% 6.29% 8.38%
</TABLE>
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 LIPPER INTERMEDIATE MUNICIPAL DEBT FUNDS INDEX.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
MORGAN GRENFELL LEHMAN 5 YEAR LIPPER INTERMEDIATE
MUNICIPAL BOND FUND, G.O. INDEX MUNICIPAL DEBT FUNDS INDEX
INSTITUTIONAL SHARES
<S> <C> <C> <C>
12/31/91 $250,000 $250,000 $250,000
10/92 $271,878 $263,497 $262,475
10/93 $311,837 $288,358 $293,027
10/94 $311,394 $286,764 $285,643
10/95 $345,433 $316,453 $316,892
10/96 $369,321 $331,663 $331,121
10/97 $396,960 $353,260 $354,034
10/98 $423,082 $376,284 $378,144
</TABLE>
*COMMENCED OPERATIONS ON DECEMBER 13, 1991. PERFORMANCE BEGINS ON DECEMBER 31,
1991 FOR COMPARATIVE DATA.
NOTE:PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND IS NOT PREDICTIVE
OF FUTURE PERFORMANCE. ACTUAL RETURN AND PRINCIPAL VALUE WILL FLUCTUATE,
AND SHARES WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL
COST.
1
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
- --------------------------------------------------------------------------------
----------------------------------------------
MUNICIPAL BOND FUND, SERVICE SHARES
----------------------------------------------
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN
1 Year Inception
Return to Date
<S> <C> <C>
Municipal Bond, Service Shares* 6.42% 6.11%
</TABLE>
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 LIPPER INTERMEDIATE MUNICIPAL DEBT FUND INDEX.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
MORGAN GRENFELL LIPPER INT
MUNICIPAL BOND FUND, LEHMAN 5 YEAR MUNICIPAL DEBT
SERVICE SHARES G.O. INDEX FUND INDEX
<S> <C> <C> <C>
7/31/97 $250,000 $250,000 $250,000
10/97 $253,038 $252,454 $251,875
10/98 $269,275 $268,908 $269,028
</TABLE>
*COMMENCED OPERATIONS ON JULY 30, 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.
SHORT-TERM MUNICIPAL BOND FUND
The Morgan Grenfell Short-Term Municipal Bond Fund is a diversified
portfolio of federally tax-exempt municipal securities with a very short
duration. It is intended to provide investors with an attractive investment
alternative to lower yield tax-free money market funds. We achieve relative
stability of principal in the Fund by investing in bonds with short-term
maturities and anticipated early redemptions.
During this period, we added value through individual security selection of
attractively priced bonds. We continue to believe that bonds with sinking fund
retirements and mortgage prepayment calls continue to offer attractive
investment opportunities and have invested in these securities. The declining
interest rate environment was also favorable.
----------------------------------------------
SHORT-TERM MUNICIPAL BOND FUND, INSTITUTIONAL SHARES
----------------------------------------------
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN
1 Year 3 Year Inception
Return Return to Date
<S> <C> <C> <C>
Short-Term Municipal Bond,
Institutional Shares* 5.51% 6.12% 6.24%
</TABLE>
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 AND THE LIPPER SHORT-TERM MUNICIPAL DEBT FUND
INDEX.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
MORGAN GRENFELL SHORT TERM IBC ALL TAX-FREE LIPPER SHORT TERM
MUNICIPAL BOND FUND, INSTITUTIONAL SHARES AVERAGE MUNICIPAL DEBT FUND INDEX
<S> <C> <C> <C>
3/31/95 $250,000 $250,000 $250,000
10/95 $259,104 $254,888 $258,943
10/96 $274,418 $262,567 $269,172
10/97 $293,491 $270,601 $281,823
10/98 $309,665 $278,714 $295,632
</TABLE>
*COMMENCED OPERATIONS ON MARCH 6, 1995. PERFORMANCE BEGINS ON MARCH 31, 1995 FOR
COMPARATIVE DATA.
NOTE:PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND IS NOT PREDICTIVE
OF FUTURE PERFORMANCE. ACTUAL RETURN AND PRINCIPAL VALUE WILL FLUCTUATE,
AND SHARES WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL
COST.
2
<PAGE>
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----------------------------------------------
SHORT-TERM MUNICIPAL BOND FUND, SERVICE SHARES
----------------------------------------------
<TABLE>
<CAPTION>
TOTAL RETURN
Inception
to Date
<S> <C> <C> <C> <C>
Short-Term
Municipal Bond,
Service Shares* 4.81%
</TABLE>
COMPARISON OF CHANGE IN THE VALUE OF A $250,000 INVESTMENT IN THE MORGAN
GRENFELL SHORT-TERM MUNICIPAL BOND FUND SERVICE SHARES, VERSUS THE IBC FINANCIAL
ALL TAX-FREE AVERAGE AND THE LIPPER SHORT-TERM MUNICIPAL DEBT FUND INDEX.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
MORGAN GRENFELL SHORT IBC ALL LIPPER SHORT
TERM MUNICIPAL BOND TAX-FREE AVERAGE TERM MUNICIPAL
FUND, SERVICE SHARES DEBT FUND INDEX
<S> <C> <C> <C>
12/31/97 $250,000 $250,000 $250,000
10/98 $260,329 $256,129 $259,925
</TABLE>
*COMMENCED OPERATIONS ON DECEMBER 3, 1997. PERFORMANCE BEGINS ON DECEMBER 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.
MARKET OUTLOOK
We believe the municipal market continues to represent good value for
investors. Given the uncertainty in worldwide financial markets and an
oversupply in the municipal market, municipal bonds will most likely continue to
represent an excellent value through the last quarter of this year.
As the volume of new municipals being brought to market subsides next year,
municipal bond prices should rally as investors bid up the smaller supply of
available bonds. This should cause municipal yields to come more into line with
their historical relationship to U.S. Treasury yields.
TAXABLE FIXED INCOME FUNDS:
INVESTMENT GRADE
- - FIXED INCOME FUND
- - SHORT-TERM FIXED INCOME FUND
MARKET REVIEW
During the third quarter of 1998, the U.S. investment grade bond universe
was indiscriminately repriced as a result of rapidly spreading risk aversion at
all levels of the financial markets. The main beneficiary of the resulting
"flight to quality" was the U.S. Treasury market.
The entire on-the-run Treasury yield curve finished the quarter below 5% for
the first time since the 1960s. However, the price performance of Treasuries
masked what was one of the most violently negative quarters for spread product
in recent memory.
The U.S. Treasury yield curve steepened during the quarter, with the spread
between the 2 year note and 30 year bond widening from 15 basis points on
6/30/98 to 70 basis points on 9/30/98. The steepening owes not only to market
anticipation of further easing by the Federal Reserve (after the late September
25 bp ease), but also to the liquidity preference expressed by investors and
financial intermediaries. By the end of September, the front end of the U.S.
Treasury curve was the only market wherein liquidity had not been noticeably
depleted.
The severe damage inflicted on the market's biggest risk takers (ie,
leveraged hedge funds) necessitated an unwinding of leveraged positions across
the globe. This amplified the premiums assigned to higher-risk investments in
all markets. As a result, the corporate bonds of most financial institutions
underperformed their more defensive utility and industrial counterparts.
3
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
- --------------------------------------------------------------------------------
FIXED INCOME FUND
The Morgan Grenfell Fixed Income Fund posted returns generally in line with
the index, as relatively weak performance in some sectors was offset by strong
performance in others.
In the Corporate sector, our allocation to Financial issues, particularly
those of brokerage firms, hurt Fund performance. Our allocation to Asset-backed
Securities was also detrimental.
These negatives were offset by positions in Insured Utilities, Mortgages and
Taxable Municipals. Insured Utilities were the top-performing Corporate asset
class; they outperformed even Treasuries during the third financial quarter. We
had a relatively significant allocation to bonds in this sector.
In addition, our focus on structure in the Mortgage sector helped limit the
Fund's downside, despite our longer duration. Our investments in Taxable
Municipal securities produced positive performance relative to Corporates,
although not relative to Treasuries.
The Fund also benefited from an active trading strategy. This added value to
the Fund throughout the period.
----------------------------------------------
FIXED INCOME FUND,
INSTITUTIONAL SHARES
----------------------------------------------
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN
1 Year 3 Year 5 Year Inception
Return Return Return to Date
<S> <C> <C> <C> <C>
Fixed Income,
Institutional Shares* 8.25% 7.92% 7.01% 8.45%
</TABLE>
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 AND THE LIPPER INTERMEDIATE INVESTMENT GRADE INDEX.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
LIPPER INTERMEDIATE
MORGAN GRENFELL LEHMAN INVESTMENT
FIXED INCOME AGGREGATE GRADE BOND
FUND, INSTITUTIONAL SHARES BOND INDEX FUND INDEX
<S> <C> <C> <C>
9/18/92 $250,000 $250,000 $250,000
10/92 $249,493 $247,060 $246,918
10/93 $292,725 $276,385 $275,758
10/94 $285,160 $266,242 $265,500
10/95 $326,709 $307,909 $303,015
10/96 $347,218 $325,922 $319,681
10/97 $379,354 $354,896 $346,438
10/98 $410,647 $388,043 $374,742
</TABLE>
*COMMENCED OPERATIONS ON SEPTEMBER 18, 1992.
NOTE:PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND IS NOT PREDICTIVE
OF FUTURE PERFORMANCE. ACTUAL RETURN AND PRINCIPAL VALUE WILL FLUCTUATE,
AND SHARES WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL
COST.
----------------------------------------------
FIXED INCOME FUND, SERVICE SHARES
----------------------------------------------
<TABLE>
<CAPTION>
TOTAL RETURN
Inception
to Date
<S> <C> <C> <C> <C>
Fixed Income,
Service Shares* 5.28%
</TABLE>
COMPARISON OF CHANGE IN THE VALUE OF A $250,000 INVESTMENT IN THE MORGAN
GRENFELL FIXED INCOME FUND, SERVICE SHARES, VERSUS THE LEHMAN AGGREGATE BOND
INDEX AND THE LIPPER INTERMEDIATE INVESTMENT GRADE INDEX.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
MORGAN GRENFELL LEHMAN AGGREGATE LIPPER INTERMEDIATE
FIXED INCOME, BOND INDEX INVESTMENT
SERVICE SHARES GRADE BOND INDEX
<S> <C> <C> <C>
2/28/98 $250,000 $250,000 $250,000
10/98 $263,627 $266,146 $264,075
</TABLE>
*COMMENCED OPERATIONS ON FEBRUARY 11, 1998. PERFORMANCE BEGINS ON FEBRUARY 28,
1998 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.
4
<PAGE>
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SHORT-TERM FIXED INCOME FUND
The Morgan Grenfell Short-Term Fixed Income Fund purchases short-term
investment grade securities, providing a high level of income with limited price
volatility.
The Fund generated strong investment performance relative to its benchmark,
the Merrill Lynch 6-month Treasury Bill Index. The recent decline in short-term
interest rates in response to the Federal Reserve Board's move to an easing
posture contributed positively to performance.
In addition to the beneficial interest rate decline, high-yielding,
high-quality Mortgage-Backed Securities augmented the Fund's income generation.
We view structured Mortage-Backed Securities that have relatively stable, short
retirement periods as the optimal investment for short-term investment horizons.
----------------------------------------------
SHORT-TERM FIXED INCOME FUND
----------------------------------------------
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN
1 Year 3 Year Inception
Return Return to Date
<S> <C> <C> <C>
Short-Term Fixed Income* 6.85% 6.53% 6.45%
</TABLE>
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 AND THE LIPPER SHORT INVESTMENT GRADE DEBT
FUNDS INDEX.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
MORGAN GRENFELL SHORT MERRILL LYNCH 6 LIPPER SHORT INVESTMENT
TERM FIXED INCOME FUND MONTH T-BILL INDEX GRADE DEBT FUNDS INDEX
<S> <C> <C> <C>
3/13/95 $250,000 $250,000 $250,000
10/95 $259,572 $259,881 $265,948
10/96 $275,425 $274,167 $280,655
10/97 $293,670 $289,574 $299,122
10/98 $313,798 $306,126 $316,800
</TABLE>
*COMMENCED OPERATIONS ON MARCH 13, 1995.
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.
MARKET OUTLOOK
The current environment is one that offers fixed income investors many
challenges and many opportunities. Relative value opportunities abound given the
indiscriminate spread widening that has occurred. In all sectors, individual
issues have been painted with the broad brush of uncertain expectations,
regardless of their relative underlying creditworthiness.
In addition, a recession seems to be priced into the market already.
Therefore, barring a deflationary depression, spread product should outperform
mildly near term.
We believe that liquidity will return to the fixed income markets, albeit
slowly. Recognizing this, we are prepared to act decisively to capture a measure
of the unprecedented value that exists in the high quality, U.S. investment
grade bond universe. As bottom-up security selectors, the present environment,
while challenging, offers relative value opportunities unlike any that have been
available in the fixed income markets in recent years.
TAXABLE FIXED INCOME FUNDS:
HIGH YIELD
- - HIGH YIELD BOND FUND
MARKET REVIEW
Riskier asset classes have suffered in recent months, and high yield bonds
were no exception. Fearing a global recession, many investors fled to the
relative safety of US Treasury bonds, causing their prices to rise. Meanwhile,
the prices of high yield bonds fell, resulting in a wider yield spread between
the two.
From this standpoint, the third quarter of 1998 (the three months ending
September 30) was the worst quarter for the high yield market since we began
tracking the index in 1986. Spreads continued to widen at the outset of October
before rebounding later in the month.
5
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
- --------------------------------------------------------------------------------
HIGH YIELD BOND FUND
Despite the fund's negative total return, we were rewarded for having
increased the quality and defensive nature of our holdings. Our overweight in
high quality and "defensive" issues reduced overall portfolio risk.
To remain defensive we invested in non-cyclical industries and avoided
Financials. We favored bonds in the Communications, Media, Food & Beverage and
Utilities sectors.
We also reduced our exposure to bonds of more vulnerable companies with
immediate financing needs. We are looking for companies that are able to build
their businesses over the next 12-24 months, which in turn, will improve their
credit situations.
We continue to find good values in the European bond markets. Many of these
companies are showing improving fundamentals.
----------------------------------------------
HIGH YIELD BOND FUND,
INSTITUTIONAL SHARES
----------------------------------------------
<TABLE>
<CAPTION>
TOTAL RETURN
Inception
to Date
<S> <C> <C> <C> <C>
High Yield Bond,
Institutional
Shares* -7.84%
</TABLE>
COMPARISON OF CHANGE IN THE VALUE OF A $250,000 INVESTMENT IN THE MORGAN
GRENFELL HIGH YIELD BOND FUND, INSTITUTIONAL SHARES, VERSUS THE CREDIT SUISSE
FIRST BOSTON HIGH YIELD INDEX AND THE LIPPER HIGH YIELD BOND FUND INDEX.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
MORGAN GRENFELL CSFB HIGH LIPPER HIGH
HIGH YIELD BOND FUND, YIELD INDEX YIELD BOND
INSTITUTIONAL SHARES FUND INDEX
<S> <C> <C> <C>
3/16/98 $250,000 $250,000 $250,000
10/98 $230,394 $232,686 $228,587
</TABLE>
*COMMENCED OPERATIONS ON MARCH 16, 1998.
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.
----------------------------------------------
HIGH YIELD BOND FUND, SERVICE SHARES
----------------------------------------------
<TABLE>
<CAPTION>
TOTAL RETURN
Inception
to Date
<S> <C> <C> <C> <C>
High Yield Bond,
Service Shares* 0.27%
</TABLE>
COMPARISON OF CHANGE IN THE VALUE OF A $250,000 INVESTMENT IN THE MORGAN
GRENFELL HIGH YIELD BOND FUND, SERVICE SHARES, VERSUS THE CREDIT SUISSE FIRST
BOSTON HIGH YIELD INDEX AND THE LIPPER HIGH YIELD BOND FUND INDEX.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
MORGAN GRENFELL CSFB HIGH LIPPER HIGH
HIGH YIELD BOND YIELD INDEX YIELD BOND
FUND, SERVICE SHARES FUND INDEX
<S> <C> <C> <C>
9/30/98 $250,000 $250,000 $250,000
10/98 $247,050 $245,025 $244,325
</TABLE>
*COMMENCED OPERATIONS ON SEPTEMBER 15, 1998. PERFORMANCE BEGINS ON SEPTEMBER 30,
1998 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.
MARKET OUTLOOK
We believe that high yield spreads reflect a recession and higher defaults
already, making high yield currently attractive as an asset class. We are also
optimistic that investors will continue to seek high yield bonds to maintain
dividend levels in this low interest rate environment.
Still, there are several unknowns that make it difficult to forecast where
spreads will be in the next three to six months. The global economic situation
is still developing and the extent to which Latin America is infected with the
current financial contagion will largely determine the health of the U.S.
economy.
In addition, hedge fund activity in the high yield market was largely
underestimated so to the extent that there are further hedge fund liquidations
without corresponding fund inflows into high yield, spreads could get
significantly wider.
6
<PAGE>
- --------------------------------------------------------------------------------
We believe that spreads have reached levels where investors have begun to
discern some value in the stronger names, giving this asset class significant
price appreciation potential.
SMALL CAPITALIZATION EQUITY FUNDS
- - SMALLER COMPANIES FUND
- - MICROCAP FUND
MARKET REVIEW
Investors sought relative safety in the volatile third quarter, and markets
corrected accordingly. Fear of a global recession, deflation, declining
corporate profits and a credit crunch were the main catalysts for this
correction. Lack of world leadership stemming from a weakened US presidency as
well as the near-collapse of a high profile hedge fund also lessened investor
confidence in the capital markets.
Small and micro capitalization growth stocks, which tend to be riskier
investments, did not fare well in this environment. Indeed, the risk premium on
small cap stocks as compared to large capitalization stocks widened to historic
proportions.
At fiscal year end, the trailing twelve-month relative performance of the
Russell 2000 index of small stocks versus the S&P 500 index of large stocks was
- -27.4%. Moreover, over three-fourths of the stocks in the index were down 20% or
more from their 52-week highs. Even large cap stocks suffered a negative
quarter. However, the large, liquid stocks that comprise the S&P 500 index
declined less than half that of the small cap indices.
SMALLER COMPANIES FUND
The Morgan Grenfell Smaller Companies Fund had a difficult time during this
period. The Fund invests in small company growth stocks, and these suffered a
greater decline than their value-oriented counterparts. The Russell 2000 Growth
Index of small cap growth stocks, for example, declined 15.9%, while the Russell
2000 Value Index declined 7.7% for the fiscal year.
The Fund performed generally in line with the benchmark S&P 600 SmallCap
Index for the twelve-month period (-13.5% for the Fund vs. -12.2% for the
Index). The Fund outperformed the Russell 2000 Growth Index's -15.9% return.
While some stocks in the Fund posted positive quarterly returns, in aggregate
all sectors posted negative returns. This was true for the benchmark as well as
the Fund.
The Fund is broadly diversified across the main sectors of the U.S. economy.
There are 80 holdings in nine sectors. Four sectors have weightings in excess of
10%: Consumer (23%), Technology (20%), Health Care (17%) and Credit Sensitive
(15%). The Fund's weighted average market cap is $969 million.
Wary of moderating consumer confidence, we focused our investments in the
Consumer sector on companies that can generate strong sales in spite of a slower
economy. Examples include two of the Fund's top ten holdings, home accessories
retailer Garden Ridge and pet supplies retailer PetsMart.
The Fund's Technology investments tended toward software and software
services companies and away from commodity-related businesses. Mercury
Interactive and Rational Software, for example, are leaders in the software
testing industry and stand to benefit
7
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
- --------------------------------------------------------------------------------
from spending on the Year 2000 problem and internet application testing. These
stocks were two of our largest ten holdings.
The Fund added innovative Health Care companies like Sepracor, a
pharmaceutical company which owns an attractive portfolio of potentially
improved versions of widely prescribed drugs. The Fund's Credit Sensitive
holdings, like savings & loan Dime Bancorp, are domestically oriented.
----------------------------------------------
SMALLER COMPANIES FUND,
INSTITUTIONAL SHARES
----------------------------------------------
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN
1 Year 3 Year Inception
Return Return to Date
<S> <C> <C> <C>
Smaller Companies,
Institutional Shares* -13.54% 9.92% 10.62%
</TABLE>
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 AND THE LIPPER SMALL CAP FUNDS INDEX.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
MORGAN GRENFELL SMALLER S&P 600 INDEX LIPPER SMALL
COMPANIES FUND, CAP FUNDS
INSTITUTIONAL SHARES INDEX
<S> <C> <C> <C>
6/30/95 $250,000 $250,000 $250,000
10/95 $263,750 $268,050 $272,550
10/96 $328,592 $322,893 $319,156
10/97 $405,111 $426,090 $378,232
10/98 $350,240 $378,964 $326,641
</TABLE>
*COMMENCED OPERATIONS ON JUNE 30, 1995.
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
----------------------------------------------
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN
1 Year Inception
Return to Date
<S> <C> <C> <C> <C>
Smaller
Companies,
Service
Shares* -13.79% -5.68%
</TABLE>
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 AND THE LIPPER SMALL CAP FUND INDEX.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
MORGAN GRENFELL S&P 600 INDEX LIPPER SMALL
SMALLER COMPANIES CAP FUND
FUND, SERVICE SHARES INDEX
<S> <C> <C> <C>
7/11/97 $250,000 $250,000 $250,000
10/97 $268,627 $271,500 $266,375
10/98 $231,593 $241,472 $230,041
</TABLE>
*COMMENCED OPERATIONS ON JULY 11, 1997.
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 had a difficult time during this period.
The Fund invests in very small company growth stocks (the Fund's weighted
average market cap is $177 million), and these suffered a greater decline than
their value-oriented counterparts.
The Russell 2000 Growth Index of small cap growth stocks, for example,
declined 15.9%, while the Russell 2000 Value Index declined 7.7% for the fiscal
year. While some stocks in the Fund posted positive quarterly returns, in
aggregate all sectors posted negative returns. This was true for the benchmark
as well as the Fund.
The Fund is broadly diversified across the main sectors of the U.S. economy.
There are 68 holdings in nine sectors. Four sectors have weightings in excess of
10%: Consumer (22%), Technology (18%), Health Care (14%) and Credit Sensitive
(13%).
8
<PAGE>
- --------------------------------------------------------------------------------
Wary of moderating consumer confidence, the Fund focused its Consumer sector
investments on companies that that can generate strong sales in spite of a
slower economy. Examples include Tractor Supply, a specialty farm equipment
retailer, and PJ America, the largest franchisee of Papa John's pizza. These
stocks were two of our ten largest holdings.
The Fund's Technology investments tended toward software and software
services companies and away from commodity-related businesses. Terayon
Communications, a developer of cable modem systems, for example, should benefit
from the demand for high-speed internet access while Seque Software, a leader in
the software testing industry, should benefit from spending on the Year 2000
problem and internet application testing.
The Fund added innovative Health Care companies like ResMed, a maker of
devices for treating sleep-disordered breathing. The Fund's Credit Sensitive
holdings, like commercial bank Republic Security Financial, are domestically
oriented.
MARKET OUTLOOK
As the small cap universe contains over 6,000 companies and the micro cap
universe over 4,000 companies, we have an excellent opportunity to find
successful companies early in their growth cycles. We believe this will result
in strong investment performance when small company stocks return to market
favor.
Our investment strategy is to continue to find companies with above-average
growth rates selling at reasonable valuations. Our team focuses primarily on
individual stock selection with the goal of providing value-added performance
relative to the universe of U.S. smaller companies.
----------------------------------------------
MICROCAP FUND, INSTITUTIONAL SHARES
----------------------------------------------
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN
1 Year Inception
Return to Date
<S> <C> <C> <C> <C>
Microcap,
Institutional
Shares* -18.16% 1.74%
</TABLE>
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 AND THE LIPPER MICROCAP FUND INDEX.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
MORGAN GRENFELL RUSSELL LIPPER MICROCAP
MICROCAP FUND, INSTITUTIONAL SHARES 2000 INDEX FUND INDEX
<S> <C> <C> <C>
12/18/96 $250,000 $250,000 $250,000
10/97 $315,500 $310,767 $315,222
10/98 $258,194 $273,973 $263,620
</TABLE>
*COMMENCED OPERATIONS ON DECEMBER 18, 1996.
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
----------------------------------------------
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN
1 Year Inception
Return to Date
<S> <C> <C> <C> <C>
Microcap,
Service
Shares* -18.33% -12.87%
</TABLE>
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 AND
THE LIPPER MICROCAP FUND INDEX.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
MORGAN GRENFELL
MICROCAP FUND, RUSSELL LIPPER MICROCAP
SERVICE SHARES 2000 INDEX FUND INDEX
<S> <C> <C> <C>
8/31/97 $250,000 $250,000 $250,000
10/97 $253,210 $256,522 $265,425
10/98 $206,800 $226,149 $221,975
</TABLE>
*COMMENCED OPERATIONS ON AUGUST 21, 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.
9
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
- --------------------------------------------------------------------------------
Earnings disappointments continue to present the primary investment risk.
Historically, small cap growth stocks have been successful during periods of
declining corporate profits. This is because investors become attracted to
companies that are less affected by negative macroeconomic events. Typically
these companies can continue to grow their earnings even in a slower economy.
The low interest rates associated with this environment are a positive for small
companies.
The structure of the U.S. economy, with its high level of entrepreneurial
activity and venture-capital backing, is expected to continue to provide
investors with many attractive investment opportunities as early stage private
companies shift to public ownership. The pace of the IPO market has slowed with
the market correction, but restructuring and consolidation trends create many
opportunities for smaller company investors.
Cash flows into equity mutual funds stalled in the third quarter for the
first time in memory. However, as individuals continue to assume responsibility
for their own retirement planning, mutual fund flows should be an important
source of liquidity and another positive influence on small company stocks.
For these reasons, the investment team at Morgan Grenfell continues to
believe that the small and micro cap growth segments of the equity universe are
very attractive. Stocks of smaller companies can be purchased at substantial
discounts to their growth rates. Moreover, small company stocks have higher
expected growth rates than stocks of large companies, while trading at less
expensive valuations.
10
<PAGE>
- --------------------------------------------------------------------------------
INTERNATIONAL EQUITY FUNDS
- - INTERNATIONAL EQUITY FUND
- - EUROPEAN EQUITY GROWTH FUND
- - INTERNATIONAL SMALL CAP EQUITY FUND
- - EUROPEAN SMALL CAP EQUITY FUND
- - EMERGING MARKETS EQUITY FUND
MARKET REVIEW
The past six months ending October 31, 1998 were marked by extreme
turbulence in international markets. After a strong second quarter, the Russian
currency crisis and mounting investor concern over the slowdown in global growth
caused international markets to fall sharply during September. The fall in the
US equity market also led to sizable liquidations of overseas equity mutual
funds by US investors, compounding the falls.
Renewed confidence, boosted by further declines in interest rates in many
countries, led to a significant recovery in international markets during
October. Much of the fall in September was recouped.
In highly volatile markets, we have maintained our emphasis on companies
with strong growth prospects, sound balance sheets and leading competitive
positions. In the medium-term, these companies will continue to deliver superior
returns.
INTERNATIONAL EQUITY FUND
The Morgan Grenfell International Equity Fund focuses on high quality,
growth companies with visible earnings streams and above average, sustainable
return on capital. Our regional teams select stocks in their sectors of
expertise. Asset allocation and currency risk are actively managed at the
regional level.
In the period under review, active stock selection contributed positively to
Fund performance. As investors searched for stability within market turbulence,
the Fund's holdings in key growth stocks in Sweden (Securitas and Ericsson) and
in the Netherlands were significant outperformers. Positions in the UK also
bolstered performance, particularly within the telecommunications sector, where
the Fund maintains a relatively high weighting.
The Fund holds core positions in stocks in Germany but is underweight the
market as a whole. Following poor relative performance earlier in the year, the
German market held up relatively well as markets fell.
The contribution from Japan was broadly neutral as the market fell sharply.
The Fund is underweight the Japanese market and had only modest exposure to
other markets in the Far East, which was beneficial to returns. The Japanese
market fell 18.8% over the six month period, while Hong Kong (-26.4%) and
Singapore (-39.3%) produced very poor returns. Malaysia took the highly unusual
step of introducing capital controls. This market fell 66.8% in US$ terms and
was subsequently removed from the Morgan Stanley Capital International EAFE
Index.
The outlook for international equities remains mixed in the short-term.
Uncertainty over policy in Japan will continue to weigh on the market,
particularly in the light of problems in the financial sector. The outlook for
Asia is still clouded, but there is clearly value at the individual stock level.
In contrast the outlook for Europe remains relatively good. Domestic demand is
set to accelerate and earnings growth is being boosted by restructuring and
corporate activity. Overall we expect mildly positive returns from international
markets over the coming months, driven by performance in Europe.
11
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
- --------------------------------------------------------------------------------
----------------------------------------------
INTERNATIONAL EQUITY FUND
----------------------------------------------
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN
1 Year 3 Year Inception
Return Return to Date
<S> <C> <C> <C>
International
Equity* 9.28% 8.52% 10.19%
</TABLE>
COMPARISON OF CHANGE IN THE VALUE OF $250,000 INVESTMENT IN THE MORGAN GRENFELL
INTERNATIONAL EQUITY FUND, INSTITUTIONAL SHARES, VERSUS THE MORGAN STANLEY MSCI
EAFE INDEX AND THE LIPPER INTERNATIONAL EQUITY FUNDS INDEX.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
MORGAN GRENFELL MORGAN STANLEY
INTERNATIONAL CAPITAL INTERNATIONAL LIPPER INTERNATIONAL
EQUITY FUND EAFE EQUITY FUNDS INDEX
<S> <C> <C> <C>
5/15/95 $250,000 $250,000 $250,000
10/95 $273,750 $249,047 $259,591
10/96 $308,514 $275,944 $292,378
10/97 $320,187 $289,520 $331,469
10/98 $349,887 $318,328 $346,882
</TABLE>
*COMMENCED OPERATIONS ON MAY 15, 1995.
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 GROWTH FUND
Over the period, the European Equity Growth Fund benefitted from positive
stock and sector selection. Country allocation was neutral.
The Fund was well positioned in volatile markets as the majority of the
investments are purely domestic companies with no exposure to markets outside
Europe. In the past few months, we increased the liquidity of the fund by
raising the average market capitalization of holdings. This reduced risk in the
portfolio.
We also increased the Fund's weighting in traditionally defensive sectors,
such as Food Retail. We combined this position with relatively high exposure to
emerging industries such as Cellular Telephony and Information Technology, which
are less susceptible to macro-economic turmoil. Our holdings in these industries
are not represented in the benchmark index, and they have performed well.
----------------------------------------------
EUROPEAN EQUITY GROWTH FUND
----------------------------------------------
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN
1 Year Inception
Return to Date
<S> <C> <C> <C> <C>
European Equity Growth* 15.36% 20.57%
</TABLE>
COMPARISON OF CHANGE IN THE VALUE OF A $250,000 INVESTMENT IN THE MORGAN
GRENFELL EUROPEAN EQUITY GROWTH FUND, INSTITUTIONAL SHARES, VERSUS THE MORGAN
STANLEY MSCI EUROPE INDEX AND THE LIPPER EUROPEAN REGION FUNDS INDEX.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
MORGAN GRENFELL MORGAN STANLEY LIPPER EUROPEAN
EUROPEAN EQUITY CAPITAL INTERNATIONAL EUROPEAN REGION FUNDS
GROWTH FUND INDEX INDEX
<S> <C> <C> <C>
9/3/96 $250,000 $250,000 $250,000
10/96 $265,000 $255,875 $259,998
10/97 $324,559 $323,426 $319,407
10/98 $374,418 $399,172 $368,372
</TABLE>
*COMMENCED OPERATIONS ON SEPTEMBER 3, 1996.
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 Fund outperformed the benchmark during the 6
months ended October 31, 1998 by 142 basis points. Very strong performance in
stock selection was offset by a negative impact from the Japanese Yen hedge and
country allocation. Throughout the period the portfolio was overweight in Europe
and the UK and underweight in Japan and the Far Eastern markets relative to the
benchmark.
The best performing small cap market was Japan (+2.7%) while several markets
produced significant negative returns particularly Norway (-24.0%), Ireland
(-35.0%) and many Far Eastern markets.
12
<PAGE>
- --------------------------------------------------------------------------------
The period was particularly volatile in world equity markets with a sharp
correction during August and September and a partial recovery towards the end of
October, which has been sustained into November.
Specifically in Japan, our holdings were about 6% behind the benchmark
NatWest Markets Euro Pacific Small Cap Index over the ten months to October
1998, despite the outperformance up to September. The portfolios made up for
some 10% lag in the first quarter by September, but fell behind in October due
to a sell-off of Japanese equities by US mutual funds and short-squeeze.
Over the first half of October the fall in US equities led to a sizable
liquidation of overseas equity mutual funds in the US, which in turn hurt many
fundamentally solid stocks in Japan. On the other hand, the Japanese government
became desperate to stop ever-falling bank and construction stocks and
implemented a sudden legislation to discourage shorting in the middle of
October. It led to a quick buy-back of shorted stocks by short-covering in the
stocks that could go bankrupt any time. These forces worked against us in
October.
The government came up with a number of measures, mainly capital injection
to banks, additional fiscal spendings and some tax-cut proposals to revive the
economy, but more steps need to be implemented before the economy regains
confidence on its future. While the valuation of many, particularly small,
stocks have become attractive, a rebound is unlikely to be seen until market
participants grow confident about the recovery of the economy in the near
future.
European stock markets in the six months to October 31 have been very
exciting. While stock markets were strong at the start of the period, following
strong gains in the spring, they became increasingly volatile from June. This
was a result of further turbulence in the Asian economies and increasing
uncertainty over their impact on European fundamentals.
Market weakness was accentuated in July with a general sell-off of
technology stocks and high volatility in cyclicals. European markets continued
to fall until the middle of October, when a combination of factors helped
confidence to return.
The factors included the increasing perception that European domestic
economies would continue to grow in 1998 and 1999, albeit more slowly than
originally expected; indications that the US economy would also continue to
grow, and, not least, decreasing fears of sudden government change in the United
States. This was combined with the realization that European valuations were
attractive again.
In this environment, small cap stocks continued to underperform relative to
large caps, because the high volatility led investors to seek safety in
liquidity. The prospect of slower growth in many economies has led to concern
over earnings forecasts and particularly the vulnerability of smaller companies.
Our policy is to focus on high quality, growth companies with visible
earnings streams and above average return on capital. Through a disciplined
investment process with a clear control of risk we have constructed a portfolio
of the best small businesses outside North America. We believe these will
deliver superior performance over time.
13
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
- --------------------------------------------------------------------------------
----------------------------------------------
INTERNATIONAL SMALL CAP EQUITY FUND
----------------------------------------------
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN
1 Year 3 Year Inception
Return Return to Date
<S> <C> <C> <C>
International Small Cap
Equity* 1.81% -0.98% -1.32%
</TABLE>
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.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
MORGAN GRENFELL NATWEST MARKETS
INTERNATIONAL SMALL EURO/PACIFIC
CAP EQUITY FUND EQUITY INDEX
<S> <C> <C>
1/3/94 $250,000 $250,000
10/94 $258,750 $301,559
10/95 $241,499 $276,751
10/96 $257,029 $306,830
10/97 $230,310 $273,811
10/98 $234,478 $269,857
</TABLE>
*COMMENCED OPERATIONS ON JANUARY 3, 1994.
NOTE:PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND IS NOT PREDICTIVE
OF FUTURE PERFORMANCE. ACTUAL RETURN AND PRINCIPAL VALUE WILL FLUCTUATE,
AND SHARES WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL
COST.
EUROPEAN SMALL CAP EQUITY FUND
European stock markets in the six months to October 31 have been very
exciting. While stock markets were strong at the start of the period, following
strong gains in the spring, they became increasingly volatile from June. This
was a result of further turbulence in the Asian economies and increasing
uncertainty over their impact on European fundamentals.
Market weakness was accentuated in July with a general sell-off of
technology stocks and high volatility in cyclicals. European markets continued
to fall until the middle of October, when a combination of factors helped
confidence to return.
The factors included the increasing perception that European domestic
economies would continue to grow in 1998 and 1999, albeit more slowly than
originally expected; indications that the US economy would also continue to
grow; and, not least, decreasing fears of sudden government change in the United
Sates. This was combined with the realization that European valuations were
attractive again.
In this environment, small cap stocks continued to underperform relative to
large caps, because the high volatility led investors to seek safety in
liquidity.
----------------------------------------------
EUROPEAN SMALL CAP EQUITY FUND
----------------------------------------------
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN
1 Year 3 Year Inception
Return Return to Date
<S> <C> <C> <C>
European Small Cap
Equity* 14.65% 7.53% 9.51%
</TABLE>
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 AND THE LIPPER EUROPEAN REGION FUNDS
INDEX.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
MORGAN GRENFELL NATWEST MARKETS LIPPER EUROPEAN
EUROPEAN SMALL EUROPEAN SMALL REGION
CAP EQUITY FUND CAP EQUITY INDEX FUNDS INDEX
<S> <C> <C> <C>
10/31/94 $250,000 $250,000 $250,000
10/95 $289,162 $263,971 $273,050
10/96 $318,261 $306,141 $322,308
10/97 $313,592 $347,502 $395,956
10/98 $359,527 $380,195 $456,656
</TABLE>
*COMMENCED OPERATIONS ON NOVEMBER 1, 1994. PERFORMANCE BEGINS ON OCTOBER 31,
1994 FOR COMPARATIVE DATA.
NOTE:PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND IS NOT PREDICTIVE
OF FUTURE PERFORMANCE. ACTUAL RETURN AND PRINCIPAL VALUE WILL FLUCTUATE,
AND SHARES WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL
COST.
EMERGING MARKETS EQUITY FUND
During the third financial quarter (the three months ending September 30),
the MSCI EMF Index fell 22.0% in US$ terms. The emerging markets asset class
produced small positive gains in July and September, but this was overshadowed
by sharp falls in all world markets in August triggered by Russia's decline and
increased investor concerns in Latin
14
<PAGE>
- --------------------------------------------------------------------------------
America. Surprisingly, Asia outperformed other emerging markets during the
quarter, although the announcement of capital controls in Malaysia has
effectively locked foreign investors into the market until September 1999.
In Latin America, new concerns for the stability of the Brazilian Real
surfaced on account of the devaluation of the Russian Ruble. Capital outflows
led to a depletion of Brazilian reserves, leading to a substantial rise in
interest rates. Volatility throughout the region remained high, especially in
Brazil, as the Presidential elections drew nearer. President Cardoso has, as
expected, been successfully re-elected and is now implementing a major fiscal
reform process, which we expect to be backed up with an international
stabilization package.
Brazil's fiscal cuts, while crucial for the country, are likely to cause an
economic slowdown in 1999. Elsewhere within the region, economies remain
reasonably strong and valuations attractive despite some reduction in growth
estimates. Any evidence of a downturn in the US could endanger this picture,
however.
Asian markets remained weak in July and August due to a weak Yen, fears over
a possible devaluation of the Chinese Renminbi and fallout from imposition of
capital controls by Malaysia. They rebounded in September as currencies
stabilized and interest rates started to decline.
A number of pre-conditions for an Asian recovery have started to fall in
place. Currencies have stabilized, supported by large current account surpluses,
foreign direct investment inflows, a stronger Yen and minimal outflows due to
debt rollover. With inflation peaking, interest rates have started falling in
the crisis countries. The overhang of deflation will allow nominal interest
rates to fall further. However, the crisis economies are yet to show definite
signs of bottoming out and broad-based corporate re-structuring remains elusive.
We therefore continue to focus on the more resilient economies of Taiwan and
India.
Emerging Europe came into focus over the quarter, with Russia defaulting on
its debt, devaluing the Ruble and losing its government. In the absence of
external funding, the new Government looks set to target printing money as a
solution to Russia's problems. The remainder of the region was hit by the
contagion as investors sold down across the entire region, despite strong
economic fundamentals in Central and Southern Europe.
In the absence of a European recession, we would expect a medium-term
recovery in Emerging Europe ex-Russia. Russia is likely to return to high
inflation and capital controls and therefore will remain a difficult investment
environment. In Central Europe, we expect corporate and economic restructuring
to continue, driven by privatization and expected entry into the European Union
early in the new millennium. In Greece, the economy continues to converge ahead
of expected entry into the Euro in 2001. Valuations remain attractive and we
remain positive on the region, ex-Russia.
The MSCI South Africa index fell 19.5% during the quarter as financial and
consumer stocks were downgraded. Gold, platinum, coal and steel shares were the
best performers. The outlook for South Africa remains uncertain. Political risk
has risen ahead of elections in 1999 and interest rates remain high. Consumer
spending and bank borrowing have suffered, which will have a negative impact on
the
15
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
- --------------------------------------------------------------------------------
outlook for earnings. We remain generally cautious on the region, despite the
potential for rate cuts.
----------------------------------------------
EMERGING MARKETS EQUITY FUND
----------------------------------------------
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN
1 Year 3 Year Inception
Return Return to Date
<S> <C> <C> <C>
Emerging Markets
Equity* -32.66% -12.74% -10.92%
</TABLE>
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 AND THE LIPPER EMERGING MARKETS EQUITY
FUNDS INDEX.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
MORGAN GRENFELL MORGAN STANLEY
EMERGING MARKETS CAPITAL INTERNATIONAL LIPPER EMERGING MARKETS
EQUITY FUND EMERGING MARKETS FREE EQUITY FUNDS INDEX
<S> <C> <C> <C>
2/1/94 $250,000 $250,000 $250,000
10/94 $275,000 $256,874 $241,165
10/95 $217,263 $206,963 $196,863
10/96 $239,040 $220,375 $215,860
10/97 $214,395 $201,687 $207,528
10/98 $144,367 $139,184 $138,691
</TABLE>
*COMMENCED OPERATIONS ON FEBRUARY 1, 1994. PERFORMANCE BEGINS ON FEBRUARY 1,
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.
MARKET OUTLOOK
In previous reviews we have stated our concern at the high level of
valuation of equity markets in an historical context. Our view has been that as
long as the favorable background of low inflation and bond yields, rising
company profits and high investor cash flows is maintained, returns from equity
markets would continue to be positive. However, it is clear that in recent
months the outlook for global growth, and by implication global earnings, has
worsened markedly. Investors have rightly become nervous about forecasts.
After the recent, sharp correction, we believe that we can find value in
many areas. Although earnings forecasts have been revised downward considerably
in most regions, they remain positive in Western countries. In Continental
Europe, for example, markets have fallen 30% from their peak. On our revised
earnings numbers we believe that they are now trading on forward P/E multiples
of 18 times. This compares to forward multiples of 21 times for the US, 167
times (including Financials) for Japan, and 15 times for Canada and Australia.
Again in Europe, markets are trading at almost exactly their ten-year average
P/E; excluding the UK we believe that Europe is trading at 95% of its 10 year
average P/E.
On this basis, we believe that the current valuation level is attractive.
The interest rate environment in Europe remains supportive even in the UK, where
we have hitherto been cautious. Inflation remains firmly under control in the
core economies, and we expect interest rates to fall further, particularly in
the peripheral EMU countries such as Spain and Italy. We would be remiss,
however, to ignore the risk to earnings forecasts that still remains,
particularly in certain sectors with international exposure such as banks,
engineering companies and commodities. We are therefore focusing on stocks with
visible earnings characteristics such as telecommunications, life assurance and
consumer/business services.
Our view on Japan is much more cautious. With little hope of economic
recovery this year and the outlook for corporate earnings still very poor, a
sustainable rally in the Japanese equity market appears unlikely. Government
controlled funds, however, should continue to support the market and limit the
potential downside. We are focusing on the higher quality stocks in the market,
with earnings visibility as far as possible. Our
16
<PAGE>
- --------------------------------------------------------------------------------
exposure to some of the riskier areas of the market such as banking is below
benchmark, but not significantly so as the likelihood of reform is increasing.
In Japan, the government came up with a number of measures, mainly capital
injection to banks, additional fiscal spending and some tax-cut proposals to
revive the economy, but more steps need to be implemented before the economy
regains confidence on its future. While the valuation of many, particularly
small, stocks has become attractive, a rebound is unlikely to be seen until
market participants grow confident about the recovery of the economy in near
future.
In the rest of Asia, many of our concerns remain, not least the prospect of
further substantial revisions to earnings. However, it is also clear that value
is emerging. A number of high quality stocks with good long-term growth
prospects are now trading at significant discounts to world peers. We are
examining these carefully, particularly in the case of Hong Kong.
We expect Continental European markets to continue to do well over the next
few months. Given the increased market volatility, we will continue to favor the
more established companies with a proven managerial expertise, high earnings
visibility and strong track records.
INTERNATIONAL FIXED INCOME FUNDS
- - GLOBAL FIXED INCOME FUND
- - CORE GLOBAL FIXED INCOME FUND
- - INTERNATIONAL FIXED INCOME FUND
- - EMERGING MARKETS DEBT FUND
MARKET REVIEW
Events in emerging markets--and the consequent slowdown in worldwide
growth-- have been driving performance within the global bond markets since the
turmoil in Asia in October 1997. In the last six months, global growth forecasts
were revised downwards and bond yields fell to record lows.
The implications of slower external demand were not as detrimental to the US
economy as initially anticipated, however. Domestic demand fueled its economic
growth while inflation remained at subdued levels. The Federal Reserve cut
interest rates twice, a positive factor for the US bond market, as bond prices
typically rise when interest rates decline.
In Canada, currency weakness led to poor bond market performance relative to
the US. The Australian economy sustained growth levels above expectations
despite the Asian slowdown, but, again, weak currency and investors' aversion to
risk in spread markets (non-Treasury credit markets) impeded performance in the
latter part of the year.
Over the period there was a growing divergence in performance between
countries participating in the first round of Economic Monetary Union (EMU) and
those remaining outside. Italy and Spain, for example, will be among the first
eleven entrants, and this, in addition to the downward revision of growth
forecasts, resulted in strong performance. The Scandinavian markets also
performed well in the early part of the year but weakened in August and
September. This was caused primarily by global investors' decreased tolerance
for risk.
In the first half of the year the UK economy was extremely strong and wage
inflation was a concern. More recently, the economy demonstrated signs of a
sharp slowdown and inflation dropped to the Bank of
17
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
- --------------------------------------------------------------------------------
England's target levels. This resulted in strong market performance, as low
inflation makes bonds more attractive to investors.
At the end of 1997 high profile bankruptcies brought the problems of Japan's
banking sector into the spotlight. This, combined with an ever deteriorating
economy, led to several large but inadequate fiscal packages and prompted
Japanese authorities to initiate banking reform. Yields fell to record lows as
the economy failed to display any signs of recovery.
Through the end of 1997 and the first half of 1998 the dollar continued to
appreciate against European currencies. Later in the year these currencies
regained ground on expectations that the Federal Reserve would cut rates
aggressively to address international concerns. Year-to-date they have
appreciated against the dollar.
The dollar followed this trend against the Yen as well, appreciating
steadily throughout the early part of 1998 but reversing this move in October
when the Yen appreciated nearly 15%, a move initially triggered by the unwinding
of hedge fund positions. Year-to-date the Yen has still appreciated against the
dollar.
GLOBAL FIXED INCOME FUND AND
CORE GLOBAL FIXED INCOME FUND
The Morgan Grenfell Global Fixed Income Fund and Core Global Fixed Income
Fund established a long-duration position during the year, particularly in US
and German markets. This had a positive impact on performance.
We sold positions in the dollar bloc markets of Canada and Australia, seeing
an opportunity to take profits as spreads contracted. We sold positions in
Europe, as spreads tightened in the Danish and Swedish markets, giving us fewer
opportunities to add value. We invested the proceeds in core first-round EMU
markets, particularly Germany and Italy. The fund maintained its large
underweight position in the Japanese bond market over the year.
In terms of currency, we reduced the large overweight in the US dollar
against the Yen during the year. By the end of October the fund had moved to a
neutral dollar allocation. Our main position was an overweight holding in
European currencies against the Yen.
From May 1998 the Global Fixed Income Fund invested in emerging debt on an
opportunistic basis. At the end of October the Fund held only 1% in the asset
class.
----------------------------------------------
GLOBAL FIXED INCOME FUND
----------------------------------------------
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN
1 Year 3 Year Inception
Return Return to Date
<S> <C> <C> <C>
Global Fixed Income* 10.58% 6.80% 6.68%
</TABLE>
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 AND THE LIPPER GLOBAL INCOME FUNDS INDEX.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
MORGAN GRENFELL SALOMON
GLOBAL FIXED WORLD GOVERNMENT LIPPER GLOBAL
INCOME FUND BOND INDEX INCOME FUNDS INDEX
<S> <C> <C> <C>
1/31/94 $250,000 $250,000 $250,000
10/94 $244,296 $256,648 $233,391
10/95 $278,215 $295,659 $260,021
10/96 $296,573 $311,506 $290,599
10/97 $306,474 $319,636 $306,640
10/98 $338,895 $359,751 $320,316
</TABLE>
*COMMENCED OPERATIONS ON JANUARY 4, 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.
18
<PAGE>
- --------------------------------------------------------------------------------
CORE GLOBAL FIXED
INCOME FUND
----------------------------------------------
CORE GLOBAL FIXED INCOME FUND
----------------------------------------------
<TABLE>
<CAPTION>
TOTAL RETURN
Inception
to Date
<S> <C> <C> <C>
Core Global Fixed Income* 9.70%
</TABLE>
COMPARISON OF CHANGE IN THE VALUE OF A $250,000 INVESTMENT IN THE MORGAN
GRENFELL CORE GLOBAL FIXED INCOME FUND, INSTITUTIONAL SHARES, VERSUS THE SALOMON
WORLD GOVERNMENT BOND INDEX.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
MORGAN GRENFELL CORE SALOMON WORLD
GLOBAL FIXED INCOME GOVERNMENT BOND INDEX
<S> <C> <C>
5/31/98 $250,000 $250,000
10/98 $272,886 $279,248
</TABLE>
*COMMENCED OPERATIONS ON MAY 4, 1998. PERFORMANCE BEGINS MAY 31, 1998 FOR
COMPARATIVE PURPOSES.
NOTE:PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND IS NOT PREDICTIVE
OF FUTURE PERFORMANCE. ACTUAL RETURN AND PRINCIPAL VALUE WILL FLUCTUATE,
AND SHARES WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL
COST.
INTERNATIONAL FIXED INCOME
The Morgan Grenfell International Fixed Income fund established and
benefited from its long-duration position during the year in the German and
Canadian markets. We took profits in Canada as spreads contracted. In October we
reduced our large overweight in the Australian market after the strong
performance in the early part of the year.
We maintained an overweight position in the European bloc. Within Europe, we
sold Scandinavian positions and invested the proceeds into core markets of
first-round EMU participants, particularly Italy and Germany. The fund
maintained its large underweight position in the Japanese bond market.
In terms of currency, we reduced the large overweight in the dollar bloc
against the Yen established in the early part of the year after the strong
performance of US currency. At the end of the year we favored European
currencies, and we continued to overweight these at the expense of the Japanese
Yen.
----------------------------------------------
INTERNATIONAL FIXED INCOME FUND
----------------------------------------------
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN
1 Year 3 Year Inception
Return Return to Date
<S> <C> <C> <C>
International Fixed
Income* 11.87% 6.41% 7.08%
</TABLE>
COMPARISON OF CHANGE IN THE VALUE OF A $250,000 INVESTMENT IN THE MORGAN
GRENFELL INTERNATIONAL FIXED INCOME FUND, INSTITUTIONAL SHARES, VERSUS THE
SALOMON WORLD GOVERNMENT BOND INDEX, NON-U.S. AND THE LIPPER INTERNATIONAL
INCOME FUNDS INDEX.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
MORGAN GRENFELL INTERNATIONAL SALOMON WORLD GOVERNMENT LIPPER INTERNATIONAL
FIXED INCOME FUND BOND INDEX - NON-US INCOME FUNDS INDEX
<S> <C> <C> <C>
3/31/94 $250,000 $250,000 $250,000
10/94 $246,773 $265,125 $248,525
10/95 $282,953 $305,397 $283,592
10/96 $302,259 $322,042 $313,908
10/97 $304,723 $321,043 $326,841
10/98 $340,901 $362,137 $361,584
</TABLE>
*COMMENCED OPERATIONS ON MARCH 15, 1994. PERFORMANCE BEGINS ON MARCH 31, 1994
FOR COMPARATIVE DATA.
NOTE:PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND IS NOT PREDICTIVE
OF FUTURE PERFORMANCE. ACTUAL RETURN AND PRINCIPAL VALUE WILL FLUCTUATE,
AND SHARES WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL
COST.
EMERGING MARKETS DEBT FUND
Emerging debt markets have been extremely weak over the past 12 months. The
crisis, which began last year in Asia, resulted in risk-reduction trades
throughout the emerging markets. In addition, higher interest rates and lower
commodity prices reduced economic growth and lowered fiscal revenues. In Russia,
these circumstances led to defaults on their domestic debt obligations.
19
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
- --------------------------------------------------------------------------------
Against this background, our strategy was to invest in countries that are
not reliant on access to international capital markets in order to fund their
budget deficits. In Latin America these countries included Panama and Mexico. In
Eastern Europe we overweighted Bulgaria and Poland. The Fund has also maintained
overweight positions in African credits such as Morocco, Nigeria and Ivory
Coast. These countries are likely to experience growth rates of over 5% in 1999,
while in Latin America growth is likely to be zero.
The ability of Brazil to maintain its current, managed foreign exchange
regime will be extremely important for the whole emerging debt asset class in
1999. Brazil's fiscal adjustment, combined with IMF financial support, will
enable a reduction in the budget deficit, causing interest rates to fall. This
market outlook will provide a positive background for emerging debt.
----------------------------------------------
EMERGING MARKETS DEBT FUND,
INSTITUTIONAL SHARES
----------------------------------------------
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN
1 Year 3 Year Inception
Return Return to Date
<S> <C> <C> <C>
Emerging Markets Debt,
Institutional
Shares* -30.35% 2.60% 3.43%
</TABLE>
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 INDEX PLUS AND THE LIPPER EMERGING MARKETS DEBT
AVERAGE.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
MORGAN GRENFELL JP MORGAN
EMERGING MARKETS DEBT FUND, EMERGING MARKETS LIPPER EMERGING
INSTITUTIONAL SHARES BOND INDEX PLUS MARKETS DEBT AVERAGE
<S> <C> <C> <C>
8/31/94 $250,000 $250,000 $250,000
10/94 $249,510 $245,310 $250,647
10/95 $261,616 $264,961 $258,341
10/96 $362,126 $386,821 $364,546
10/97 $405,672 $428,675 $417,951
10/98 $282,542 $385,357 $339,000
</TABLE>
*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.
20
<PAGE>
- --------------------------------------------------------------------------------
----------------------------------------------
EMERGING MARKETS DEBT FUND,
SERVICE SHARES
----------------------------------------------
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN
1 Year Inception
Return to Date
<S> <C> <C>
Emerging Markets Debt, Service
Shares* -30.35% -38.87%
</TABLE>
COMPARISON OF CHANGE IN THE VALUE OF A $250,000 INVESTMENT IN THE MORGAN
GRENFELL EMERGING MARKETS DEBT FUND, SERVICE SHARES, VERSUS THE J.P. MORGAN
EMERGING MARKETS BOND INDEX PLUS AND THE LIPPER EMERGING MARKETS DEBT AVERAGE.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
MORGAN GRENFELL
EMERGING MARKETS JP MORGAN LIPPER
DEBT FUND, EMERGING MARKETS EMERGING MARKETS
SERVICE SHARES BOND INDEX DEBT AVERAGE
<S> <C> <C> <C>
10/31/97 $250,000 $250,000 $250,000
10/98 $174,116 $224,725 $202,775
</TABLE>
*EMERGING MARKETS DEBT FUND SERVICE SHARES COMMENCED OPERATIONS ON OCTOBER 22,
1997. PERFORMANCE BEGINS ON OCTOBER 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.
MARKET OUTLOOK
Our view on global bond markets remains constructive, particularly given the
backdrop of slowing global growth and deflationary forces.
The US economy has shown marked signs of a slowdown and inflation remains
negligible. This combined with international responsibility and a troubled
financial sector has led investors to expect further rate cuts in the US. While
the economic situation in Canada and Australia worsens, there is little hope for
outperformance, since currency weakness remains a major risk. At present the
Canadian and Australian markets represent fair value compared to the US.
We believe that slowing, but positive, growth and moderate inflation levels
will provide a supportive environment for bonds within Europe. European central
banks should maintain the drive towards convergence of short rates at 3.3% ahead
of the commencement of EMU in January 1999. Global economic conditions have
increased the likelihood of rate cuts by the European Central Bank in 1999.
Although spreads in Scandinavian markets have widened over recent months,
potential currency weakness dampens the outlook for these markets. The Greek
market should perform well over the longer term as its EMU program remains on
track. Due to a lack of liquidity and risk appetite, however, the short term
outlook looks less positive.
In the UK market, the spread over German bonds should tighten further as
interest rates are cut, although high hedging cost and an inverted yield curve
reduces its attractiveness relative to the rest of Europe.
In Japan, the appointment of Obuchi as Prime Minister leaves the political
landscape unchanged. The conclusion of an agreement into banking sector reform
is positive; however, its implementation will likely be gradual. With yields
close to record lows, we believe the probability of strong performance from the
bond market is minimal.
While we remain confident with regard to Yen weakness against the US dollar
in the long run, we remain cautious in the short term due to the possibility of
further unwinding of short Yen positions. We believe European currencies
represent fair value against the dollar at present and remain negative on the
outlook for resource currencies such as the Canadian and Australian dollar.
21
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1998
Municipal Bond Fund
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
MUNICIPAL BONDS -- 97.08%
ALABAMA -- 0.65%
Birmingham, Medical Clinic Board, Baptist Medical Centers, RB, ETM
8.250%, 07/01/05 $ 30,000 $ 34,950
Birmingham, Private Education Building, Tuition-Miles College, RB, ACA
5.500%, 05/01/28 390,000 402,675
Housing Finance Authority, Multi-Family Mortgage, The Club Apartments, RB,
Series I
5.650%, 06/01/08 2,335,000 2,501,369
Lauderdale & Florence Counties, Public Hospital, RB, ETM
7.000%, 07/01/07 300,000 363,000
Morgan County, Decatur General Hospital, RB, Pre-Refunded @ 102 (D)
7.875%, 03/01/99 425,000 439,960
-------------
3,741,954
-------------
ARIZONA -- 1.88%
Coconino County, Unified School District, GO, AMBAC
5.000%, 07/01/01 935,000 968,894
Maricopa County, Hospital Revenue Authority, Phoenix Baptist Hospital &
Medical Center, RB, ETM
7.125%, 10/01/02 75,000 78,469
Maricopa County, Industrial Development Authority, John C Lincoln Hospital,
RB, FSA
7.000%, 12/01/00 730,000 761,938
Maricopa County, Industrial Development Authority, Pines at Camelback
Apartments Project, RB, Series A, Asset Guaranty
4.900%, 05/01/06 145,000 145,725
5.000%, 05/01/07 155,000 155,969
5.300%, 05/01/13 380,000 383,325
Maricopa County, Samaritan Health Service, RB, ETM
6.750%, 01/01/04 25,000 26,781
Pinal County, Community College, Pledge Obligation, RB, AMBAC
5.250%, 07/01/05 490,000 524,300
5.250%, 07/01/06 835,000 895,538
5.250%, 07/01/07 885,000 950,269
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
5.250%, 07/01/08 $ 930,000 $ 1,004,400
4.800%, 07/01/09 650,000 674,375
Pinal County, Community College, RB, AMBAC
5.400%, 07/01/05 360,000 388,350
5.300%, 07/01/06 380,000 408,974
5.200%, 07/01/07 375,000 401,250
4.750%, 07/01/09 350,000 361,812
Santa Cruz County, Industrial Development Authority, Citizens Utility Company
Project, RB
4.750%, 08/01/20 1,050,000 1,061,812
Yuma, Industrial Development Authority, Multi-Family Mortgage, Regency
Apartments, RB, Series A, GNMA
5.400%, 12/20/17 1,540,000 1,553,475
-------------
10,745,656
-------------
ARKANSAS -- 2.22%
Drew County, Public Facilities Board, Single Family Mortgage, RB, Series A-2,
FNMA
7.900%, 08/01/11 238,435 258,701
Fayeteville, Public Facilities Board, Single Family Mortgage, RB
7.250%, 04/01/11 800,000 868,000
Jefferson County, Health Care Facility, 1978 Conventional Series, RB, ETM, FSA
7.400%, 12/01/10 120,000 141,450
Lonoke County, Residential Housing, RB, Series B
7.375%, 04/01/11 176,401 190,513
Mississippi County, Public Facilities Board, RB, Series 1
7.200%, 07/15/10 645,000 716,756
North Little Rock, Residential Housing Facilities, Capital Appreciation, RB
(A)
0.000%, 12/01/10 5,715,000 2,557,463
Rogers County, Sales & Use Tax Redevelopment, RB
5.350%, 11/01/11 2,335,000 2,483,856
Saline County, Residential Housing Facilities, Single Family Mortgage, RB
7.875%, 03/01/11 555,000 596,625
State Development Finance Authority, Multi-Family Housing, RB, Series A, MBIA
5.450%, 07/01/24 4,675,000 4,674,907
</TABLE>
22
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Stuttgart, Public Facilities Board, Single Family Mortgage, RB, Series B
7.750%, 09/01/11 $ 244,263 $ 262,278
-------------
12,750,549
-------------
CALIFORNIA -- 6.03%
Atwater, Redevelopment Agency, Downtown Redevelopment Project, Tax Allocation
Bond, Series A, ACA
5.500%, 06/01/99 50,000 50,637
Atwater, Redevelopment Agency, Downtown Redevelopment Project, Tax Allocation
Bond, Series A, ACA
5.500%, 06/01/00 100,000 102,500
Atwater, Redevelopment Agency, Downtown Redevelopment Project, Tax Allocation
Bond, Series A, ACA
5.500%, 06/01/01 60,000 62,250
5.500%, 06/01/02 55,000 57,613
5.500%, 06/01/03 65,000 68,656
5.500%, 06/01/04 65,000 68,981
5.500%, 06/01/05 70,000 74,638
4.900%, 06/01/06 75,000 77,438
5.000%, 06/01/07 80,000 83,200
5.050%, 06/01/08 75,000 77,813
5.100%, 06/01/09 85,000 88,081
5.150%, 06/01/10 90,000 93,038
5.200%, 06/01/11 100,000 103,000
5.300%, 06/01/12 105,000 109,069
5.300%, 06/01/13 105,000 108,019
5.300%, 06/01/14 110,000 112,200
5.400%, 06/01/15 115,000 117,875
5.400%, 06/01/16 125,000 127,500
5.400%, 06/01/17 130,000 132,113
5.400%, 06/01/18 135,000 136,688
5.500%, 06/01/19 145,000 148,988
5.500%, 06/01/20 155,000 159,263
5.500%, 06/01/21 165,000 169,538
5.500%, 06/01/22 175,000 179,813
Bellevue, Unified School District, COP, MBIA (A)
0.000%, 09/01/19 295,000 254,438
Contra Costa County, Multi-Family Housing, Bollinger Crest Apartments, RB,
Series C, FNMA
4.850%, 05/01/11 500,000 497,500
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Delta County, California Home Mortgage Finance, Pacific Mortgage Backed
Securities, RB, Series A, AMT, MBIA/GNMA
6.700%, 06/01/24 $ 935,000 $ 1,037,850
Emeryville, Redevelopment Agency, Residential Mortgage, RB, ETM
7.500%, 09/01/11 205,000 244,719
Fairfield, COP, Pre-Refunded @ 100 (D)
10.750%, 08/01/00 100,000 112,125
Fresno, Multi-Family Housing Authority, Central Valley Coalition Projects, RB,
Series A, FNMA
5.150%, 08/01/07 310,000 320,075
Fresno, Multi-Family Housing Authority, Central Valley Coalition Projects, RB,
Series B, FNMA
5.150%, 08/01/07 160,000 165,200
Fresno, Multi-Family Housing Authority, Woodlands Apartments Projects, RB,
Series A, GNMA
6.650%, 05/20/08 465,000 516,150
Home Finance Authority, Mortgage Backed Securities Program, RB, Series B,
GNMA/FNMA
6.900%, 10/01/24 180,000 189,900
Los Angeles, Community Redevelopment Agency, Angelus Plaza Project, RB, Series
A, FNMA
7.400%, 06/15/10 3,625,000 4,114,375
Los Angeles, Community Redevelopment Authority, Monterey Hills Project, RB,
Series B
8.650%, 12/01/22 310,000 359,213
Los Angeles, Multi-Family Housing, Earthquake Rehabilitation, RB, Series A,
AMT, FNMA
5.700%, 12/01/27 1,870,000 1,968,175
Los Angeles, Multi-Family Housing, Earthquake Rehabilitation, RB, Series B,
FNMA
5.850%, 12/01/27 4,350,000 4,719,750
Los Angeles, Multi-Family Housing, Earthquake Rehabilitation, RB, Series C,
FNMA
4.850%, 07/01/02 3,305,000 3,366,969
</TABLE>
23
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1998
Municipal Bond Fund, continued
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Los Angeles, Regional Aiports Lease, RB
10.000%, 01/01/01 $ 245,000 $ 276,850
Napa, Housing Facility, Napa Park Apartments A-10, RB, GNMA
7.500%, 06/20/00 218,061 218,060
Pleasant Hill, Multi-Family Housing, Ellinswood Apartments Project, RB, Series
A, Mandatory Put @ 100 FNMA, (B)
5.300%, 12/01/05 2,960,000 3,130,200
Sacramento, Municipal Utility District, RB, Series M, ETM
8.750%, 04/01/03 110,000 122,237
San Jose, Multi-Family Housing, Almaden Lake Village Apartments, Series B,
AMT, Mandatory Put @ 100 (B)
5.150%, 03/01/01 2,000,000 2,010,000
Santa Clara County, RB
5.080%, 06/20/00 263,901 263,900
Santa Clara County, Housing Authority, Orchard Glen Apartments, RB
4.500%, 11/01/07 1,700,000 1,693,624
Statewide Community Housing Development, Cudahy Gardens Project, RB, Series I,
LOC
5.100%, 10/01/12 1,230,000 1,231,537
Statewide Community Housing Development, Cudahy Gardens Project, RB, Series I,
Mandatory Put @ 100, AMT LOC (B)
5.600%, 04/01/26 1,155,000 1,163,662
Statewide Community Housing Development, Riverside Gardens Project, RB, Series
J, LOC
5.100%, 10/01/12 1,085,000 1,086,355
Vista, Multi-Family Housing, Pepperwood Apartments Project, RB, Series A,
Mandatory Put @ 100, FNMA (B)
5.700%, 06/01/05 2,985,000 3,171,562
-------------
34,743,337
-------------
COLORADO -- 2.33%
Arvada, Industrial Development Authority, Wanco Incorporated Project, RB, LOC
5.600%, 12/01/12 305,000 312,625
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Arvada, Industrial Development Authority, Wanco Incorporated Project, RB, LOC
5.800%, 12/01/17 $ 445,000 $ 455,569
Boulder County, Community Hospital Project, RB, ETM
7.000%, 07/01/09 80,000 89,900
Castle Rock Ranch, Public Improvements Authority, RB
5.900%, 12/01/03 935,000 1,010,969
Commerce City, Single Family Mortgage, RB, Series A
6.875%, 03/01/12 340,000 358,700
Denver, Buerger Brothers Project, RB, Series A, FHA
5.100%, 11/01/07 250,000 256,563
Denver, Multi-Family Mortgage, Garden Court Community, RB, FHA
4.700%, 07/01/08 485,000 487,425
Housing Finance Authority, Multi-Family Mortgage, RB, Series C-3, FHA
5.700%, 10/01/21 1,805,000 1,843,086
Housing Finance Authority, Single Family Program, RB
5.750%, 11/01/04 155,000 161,006
Housing Finance Authority, Single Family Program, RB, Series A
4.750%, 11/01/05 235,000 237,938
Housing Finance Authority, Single Family Program, RB, Series A-3
6.500%, 05/01/16 935,000 1,028,500
Housing Finance Authority, Single Family Program, RB, Series B-2, AMT
6.400%, 11/01/24 935,000 1,020,319
Housing Finance Authority, Single Family Program, RB, Series B-3,
6.550%, 05/01/25 1,400,000 1,545,250
Housing Finance Authority, Single Family Program, RB, Series C
5.000%, 05/01/05 235,000 240,581
Housing Finance Authority, Single Family Program, RB, Series D-1, AMT
5.200%, 12/01/05 895,000 916,255
Student Obligation Board Authority, RB, Series C
7.150%, 09/01/06 880,000 951,500
Vail, Single Family Mortgage, RB, Series A
8.125%, 06/01/10 270,000 287,550
</TABLE>
24
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Westminster, Multi-Family Housing, Semper Village Apartments, Mandatory Put @
100, RB (B)
5.950%, 09/01/06 $ 2,080,000 $ 2,207,400
-------------
13,411,136
-------------
CONNECTICUT -- 0.70%
Waterbury, Housing Mortgage Authority, RB, Series A, AMBAC/FHA
4.850%, 07/01/09 1,965,000 1,972,369
Waterbury, Housing Mortgage Authority, RB, Series C, AMBAC/FHA
4.850%, 07/01/09 2,040,000 2,047,650
-------------
4,020,019
-------------
DELAWARE -- 0.35%
State Economic Development Authority RB, Penninsula United, Series A
6.000%, 05/01/09 35,000 37,144
State Economic Development Authority, Wilmington Friends School Project
6.300%, 07/01/00 50,000 50,875
6.300%, 07/01/01 55,000 56,513
6.300%, 07/01/02 60,000 62,250
6.300%, 07/01/03 60,000 62,775
6.300%, 07/01/04 65,000 68,250
6.300%, 07/01/05 70,000 74,025
6.300%, 07/01/06 75,000 78,844
6.300%, 07/01/07 80,000 84,100
6.300%, 07/01/08 85,000 89,356
6.300%, 07/01/09 90,000 94,613
6.300%, 07/01/10 95,000 99,869
6.300%, 07/01/11 100,000 104,875
6.300%, 07/01/12 110,000 115,363
6.300%, 07/01/13 115,000 120,605
State Housing Authority, Multi-Family Mortgage, RB, HUD
6.600%, 07/01/01 60,000 62,774
State Housing Authority, Residential Mortgage, RB, Series A, FHA
8.750%, 06/01/17 775,000 775,000
-------------
2,037,231
-------------
DISTRICT OF COLUMBIA -- 0.57%
District Housing Finance Agency, Single Family Mortgage, RB, Series A, AMT,
FNMA/GNMA
6.250%, 12/01/28 2,185,000 2,318,831
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
District Of Columbia, Housing Finance Agency, Mayfair Mansions Apartments, RB,
FHA
5.000%, 02/01/08 $ 970,000 $ 970,000
-------------
3,288,831
-------------
FLORIDA -- 3.31%
Dade County, Government Leasing Corporation, COP, Series B
8.500%, 04/01/07 45,000 47,869
Dade County, Government Leasing Corporation, COP, Series C
9.000%, 04/01/20 300,000 320,625
Dade County, Housing Finance Authoriity, Multi-Family Mortgage, Midway Point
Phase I, RB, Series A, Mandatory Put @ 100, AMT, FNMA (B)
5.900%, 06/01/06 980,000 1,041,250
Duval County, Housing Finance Authority, GNMA Mortgage Backed Securities
Program, RB, Series C, FGIC/GNMA
7.650%, 09/01/10 110,000 117,013
Health Facilities Authority, Saint Vincent Medical Center Incorporated, RB,
ETM
9.125%, 01/01/03 480,000 538,800
Housing Finance Agency, Multi-Family Revenue, RB, Series I, Mandatory Put @
100, LOC (B)
4.850%, 12/01/99 1,960,000 1,960,000
Housing Finance Agency, Multi-Family Revenue, RB, Series J, Mandatory Put @
100, LOC (B)
4.850%, 12/01/99 2,215,000 2,217,038
Housing Finance Agency, Multi-Family Revenue, RB, Series K, Mandatory Put @
100, LOC (B)
4.850%, 12/01/99 1,800,000 1,801,134
Jacksonville, Health Facility Authority, Saint Catherine Laboure Manor
Incorporated, RB, ETM
9.125%, 01/01/03 270,000 303,075
Miami, Fernando Apartments
9.750%, 10/01/11 729,159 799,341
</TABLE>
25
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1998
Municipal Bond Fund, continued
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Miami-Dade County, Housing Finance Authority, RB, AMT, FNMA/GNMA
5.900%, 06/01/25 $ 2,315,000 $ 2,419,175
Miami Beach, Housing Authority, Section 8, RB, HUD
6.625%, 01/15/09 1,120,000 1,227,800
Miramar Water Improvement Assesment, GTD
5.125%, 10/01/20 4,070,000 4,146,312
Palm Beach County, Airport Systems, RB, MBIA
7.500%, 10/01/00 320,000 342,400
Pinellas County, Housing Finance Authority, Single Family Mortgage Program,
RB, Series A, AMT, GNMA
6.850%, 03/01/29 1,400,000 1,526,000
St. John's County, Industrial Development Authority, RB, Series A, MBIA
5.500%, 03/01/17 235,000 247,043
-------------
19,054,875
-------------
GEORGIA -- 1.41%
Augusta, Housing Rehabilitation, Multi-Family Housing, Bon Air, RB, Series C,
HUD
7.000%, 09/01/05 935,000 1,016,813
Clayton County, Multi-Family Housing Authority, Pointe South Apartments
Projects, RB, FNMA
5.750%, 01/01/13 100,000 106,000
Fulton County, Housing Authority, Single Family Mortgage, RB, AMT, GNMA
6.200%, 03/01/13 320,000 337,600
Houston County, Development Housing Authority, Emerald Coast Housing, RB,
Series A
7.000%, 08/01/28 2,500,000 2,468,750
Marietta, Housing Authority, Multi-Family Housing, Ridge Point Apartments
Project, RB, Series A, Mandatory Put @ 100 FNMA, (B)
5.700%, 06/01/05 2,360,000 2,516,350
Marietta, Housing Authority, Multi-Family Mortgage, RB, Series A, Mandatory
Put @ 100 FNMA (B)
6.000%, 06/01/01 935,000 945,033
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
St. Marys, Housing Authority, Multi-Family Mortgage, Cumberland Oaks
Apartments, RB, Series A, FHA
7.250%, 09/01/05 $ 500,000 $ 530,625
St. Marys, Housing Authority, Multi-Family Mortgage, Pines Apartments, RB,
Series C, FHA
7.250%, 10/01/05 210,000 221,024
-------------
8,142,195
-------------
HAWAII -- 0.06%
Honolulu, Housing Authority, Multi-Family Mortgage, Waipahu Towers Project,
RB, Series A, GNMA
6.900%, 06/20/05 300,000 324,000
-------------
324,000
-------------
IDAHO -- 1.01%
Bingham County, Industrial Development Company, Supreme Potatoes Incorporated
Project, LOC
4.600%, 11/01/00 45,000 45,675
4.750%, 11/01/01 185,000 189,163
4.850%, 11/01/02 65,000 66,950
4.950%, 11/01/03 300,000 312,000
5.050%, 11/01/04 320,000 336,000
5.150%, 11/01/05 335,000 349,656
5.200%, 11/01/06 360,000 374,400
5.300%, 11/01/07 385,000 401,363
5.400%, 11/01/08 405,000 423,225
5.500%, 11/01/09 435,000 455,663
5.600%, 11/01/10 80,000 84,000
5.700%, 11/01/11 85,000 89,463
5.800%, 11/01/12 90,000 94,950
Housing & Finance Association, Single Family Mortgage, RB, Series B, AMT
5.650%, 07/01/09 445,000 473,925
Housing & Finance Association, Single Family Mortgage, RB, Series C-2, FHA
5.250%, 07/01/11 325,000 329,469
Housing & Finance Association, Single Family Mortgage, RB, Series F-2, FHA
5.100%, 07/01/12 665,000 669,156
Housing Agency, Single Family Mortgage, RB, Series C-1, FHA
7.650%, 07/01/10 245,000 254,493
</TABLE>
26
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Housing Agency, Single Family Mortgage, RB, Series F, FHA
5.800%, 07/01/07 $ 790,000 $ 842,337
-------------
5,791,888
-------------
ILLINOIS -- 5.91%
Alton, Hospital Facility, Alton Memorial Hospital Project, RB, ETM
7.000%, 07/01/05 500,000 554,375
Bethany, Home & Hospital Facility, Methodist Church, Pre-refunded @ 100 (D)
7.750%, 04/01/00 250,000 261,250
Bolingbrook, Capital Appreciation, RB, Series 1 (A)
0.000%, 01/01/11 4,105,000 1,749,756
Buffalo Grove, Economic Development Authority, RB
5.450%, 08/15/02 975,000 992,063
Chicago, Multi-Family Mortgage, Bryne Mawr/ Belle Project, RB, GNMA
4.950%, 06/01/05 140,000 143,150
5.250%, 06/01/08 165,000 170,156
5.350%, 06/01/09 165,000 170,569
5.450%, 06/01/10 175,000 181,563
5.500%, 06/01/11 180,000 187,200
5.550%, 06/01/12 185,000 192,400
Des Plaines, Hospital Facility, Holy Family Hospital, RB, ETM
7.000%, 01/01/07 170,000 188,700
7.000%, 01/01/07 180,000 199,800
7.000%, 01/01/07 205,000 227,550
Development Finance Authority, Catholic Health, RB, Series A, Connie Lee
Insured
5.150%, 02/15/06 945,000 1,005,244
Development Finance Authority, Debt Restructure East Saint Louis, GO
6.050%, 11/15/99 325,000 333,148
6.875%, 11/15/05 875,000 980,000
Development Finance Authority, Fund For Child Project, RB, Series A
7.400%, 09/01/04 1,945,000 2,146,794
Development Finance Authority, Section 8, RB, Series A, FHA/MBIA
5.200%, 07/01/08 170,000 174,463
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Fairfield, Economic Development Authority, Wayne County Center Project, RB
6.000%, 12/15/05 $ 510,000 $ 535,500
Grayslake, Multi-Family Housing, Country Square Apartments Project, RB, Series
A, FHA
6.000%, 06/01/05 1,045,000 1,111,619
Greater Peoria, Airport Authority, GO, AMBAC
6.500%, 12/01/05 95,000 106,281
6.600%, 12/01/06 540,000 605,475
6.700%, 12/01/07 235,000 264,669
Health Facilities Authority, Michael Reese Hospital & Medical Center, RB, ETM
6.750%, 12/01/08 365,000 411,081
Health Facilities Authority, Midwest Group Ltd, RB, ACA
5.375%, 11/15/08 335,000 356,775
Health Facilities Authority, Northwestern Memorial Hospital Project, RB, ETM
6.375%, 05/01/03 180,000 190,125
Health Facility Authority, Lutheran Social Services, RB
6.125%, 08/15/10 795,000 817,856
Health Facility Authority, Sydney R. Forkosh Memorial Hospital, RB,
Pre-Refunded @ 100 (D)
7.000%, 07/01/02 410,000 438,700
Health Facility Authority, Northwestern Medical Facility Foundation, RB, MBIA
5.125%, 11/15/28 1,735,000 1,726,325
Palatine, Tax Increment Revenue, Dundee Road Redevelopment Project, Tax
Allocation, AMBAC
5.000%, 01/01/15 11,220,000 11,149,875
Quincy, Single Family Mortgage, RB
6.875%, 03/01/10 410,000 439,725
Rockford, Faust Landmark Apartments, RB, Series A, MBIA
5.625%, 01/01/07 480,000 505,800
Rockford-Concord Commons, Housing Facility, Concord Commons Project, RB,
Series A, FHA
6.150%, 11/01/22 1,725,000 1,837,125
5.550%, 11/01/06 500,000 533,750
</TABLE>
27
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1998
Municipal Bond Fund, continued
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Southwestern Development Authority, Wood River Township Hospital Project, RB,
ETM
6.875%, 08/01/03 $ 185,000 $ 202,574
Upper River Valley Development Authority, Waste Recovery Illinois Project, RB
5.900%, 02/01/14 2,930,000 2,940,987
-------------
34,032,423
-------------
INDIANA -- 2.36%
Bond Book Special Program Waste Water Treatment, RB, Series 1997C
5.200%, 08/01/07 95,000 102,006
5.300%, 08/01/08 270,000 292,950
5.400%, 08/01/09 240,000 262,500
Gary, Mortgage Redevelopment, Willow On Clark Apartments, RB, Series A
4.750%, 08/20/08 270,000 268,650
5.150%, 08/20/13 350,000 347,813
5.400%, 08/20/38 690,000 684,825
Health Facilities Finance Authority, Kings Daughters Hospital, RB, Asset
Guaranty
5.000%, 08/15/05 245,000 256,025
5.100%, 02/15/06 360,000 377,550
5.100%, 08/15/06 370,000 388,963
5.250%, 02/15/08 375,000 394,219
5.350%, 08/15/09 410,000 433,575
Health Facility Authority, Floyd Memorial Hospital, RB
4.850%, 02/15/06 625,000 638,281
Indianapolis, Industrial Economic Development Authority, Knob in the Woods
Project, RB, AMT, Mandatory Put @ 100 FNMA (B)
6.375%, 12/01/04 3,200,000 3,500,000
Indianapolis, Economic Development Authority, RB, GNMA
5.350%, 04/20/17 1,590,000 1,603,913
Lawrence, Multi-Family Housing, Pinnacle Apartments Project, RB, Mandatory Put
@ 100, FNMA (B)
5.150%, 01/01/08 2,005,000 2,037,581
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Monroe County, Hospital Authority, Bloomington Hospital Inc. Project, RB, MBIA
4.750%, 05/01/06 $ 935,000 $ 968,894
State Health Facility, Floyd Memorial Hospital, RB
4.800%, 02/15/07 325,000 330,688
4.850%, 02/15/08 315,000 320,906
4.950%, 02/15/09 305,000 308,812
Vigo County, Hospital Authority, RB, ETM
6.875%, 04/01/04 90,000 98,324
-------------
13,616,475
-------------
IOWA -- 0.60%
Des Moines, Fairview Community-Iowa Lutheran Hospital, RB, ETM, MBIA
9.500%, 11/15/02 1,635,000 1,845,506
Financial Authority, Small Business, Terrace Center Association LP Project, RB
7.500%, 03/01/22 1,450,000 1,598,625
-------------
3,444,131
-------------
KANSAS -- 0.68%
Labette & Cowley County, Single Family Mortgage, RB, Series A-2, GNMA
7.650%, 12/01/11 420,000 454,125
Labette & Cowley County, Single Family Mortgage, RB, Series A
9.500%, 04/01/13 15,000 16,050
Manhattan, Central Business District Redevelopment, Tax Allocation, Series A,
Asset Guaranty
5.200%, 12/01/03 465,000 480,694
Reno County, Single Family Mortgage, RB, Series B
8.700%, 09/01/11 245,000 262,456
Saline County, Residential Housing Facilities, RB, Series A
9.500%, 10/01/11 140,000 148,925
Sedgwick & Shawnee Counties, Mortgage Backed Securities Program, RB, Series
A-1, GNMA
4.700%, 12/01/08 1,000,000 1,001,250
State Development Finance Authority, Multi-Family Housing, Four Seasons
Apartment Project, RB, LOC
5.300%, 10/01/07 340,000 351,900
</TABLE>
28
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
State Development Finance Authority, Multi-Family Housing, Four Seasons
Apartment Project, RB, AMT, Mandatory Put @ 100, LOC (B)
5.600%, 10/01/07 $ 970,000 $ 1,002,738
Wichita, Single Family Mortgage, RB, Series A
7.100%, 09/01/09 200,000 214,750
-------------
3,932,888
-------------
KENTUCKY -- 1.13%
Ashland, Environmental Import, Allied Chemical Corporation Project, RB, ETM
5.800%, 03/01/03 1,175,000 1,229,344
Greater Housing Assistance Corporation, Section 8 Assisted Project, RB, Series
A, MBIA
7.625%, 01/01/25 395,000 409,319
Greater Kentuky, Housing Assistance Corporation, Section 8, RB, Series C,
FHA/MBIA
5.350%, 07/01/07 505,000 515,100
Jefferson County, Multi-Family Housing, Kentucky Towers Project, RB, Series A,
GNMA
5.650%, 08/20/34 2,985,000 3,082,013
Lakeland, Wesley Village Housing Incorporated, Section 8 Assisted Project, RB,
FHA
7.125%, 11/01/02 255,000 270,938
Owensboro, Electric Light & Power, RB, ETM
10.500%, 01/01/04 385,000 456,225
State Turnpike Authority, RB, ETM
6.125%, 07/01/07 302,000 327,670
6.625%, 07/01/08 220,000 243,374
-------------
6,533,983
-------------
LOUISIANA -- 2.37%
Housing Finance Agency, Malta Square Project, RB, AMT, GNMA
6.450%, 09/01/27 590,000 637,200
6.500%, 09/01/38 1,510,000 1,628,913
Housing Finance Agency, Single Family Housing, RB, GNMA
8.050%, 11/01/14 290,000 297,700
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Housing Finance Agency, Single Family Housing, RB, Series A-1, GNMA
4.625%, 06/01/09 $ 675,000 $ 679,219
Iberia, Single Family Mortgage, RB
7.375%, 01/01/11 745,000 813,913
Jefferson Parish, Hospital Services District, RB, ETM
7.125%, 01/01/02 245,000 259,700
Public Facilities Authority, Multi-Family Housing, Oakleigh Apartments
Project, RB, AXA
5.750%, 03/15/03 275,000 289,094
5.850%, 03/15/04 295,000 310,119
5.950%, 03/15/05 310,000 325,887
Public Facilities Authority, Multi Family Housing, Edgewood Apartments, RB,
Mandatory Put @ 100, FNMA (B)
5.800%, 06/01/05 4,820,000 5,109,200
Public Facilities Authority, Public Health & Education, RB, Series A-1, AMBAC
5.000%, 12/01/15 1,495,000 1,558,537
Public Facility Authority, Multi-Family Housing, Beau Terre Project, RB,
Mandatory Put @ 100, FNMA (B)
5.800%, 06/01/05 700,000 742,000
Public Facility Authority, Single Family Mortgage, RB, Series A
7.375%, 10/01/12 440,000 456,500
Public Facility Authority, Single Family Mortgage, RB, Series C, FHA
8.450%, 12/01/12 508,839 542,548
-------------
13,650,530
-------------
MAINE -- 0.02%
Health & Higher Educational Facilities, Cedar Nursing, RB, Pre-refunded @ 102,
FHA (D)
7.900%, 02/01/00 120,000 128,700
-------------
128,700
-------------
</TABLE>
29
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1998
Municipal Bond Fund, continued
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
MARYLAND -- 1.10%
Annapolis, Economic Development, Saint John's College Facility, RB
4.700%, 10/01/03 $ 180,000 $ 182,475
4.800%, 10/01/04 100,000 101,875
5.000%, 10/01/06 210,000 214,725
5.000%, 10/01/07 220,000 224,675
5.000%, 10/01/08 235,000 239,406
Cecil County, Economic Development Authority, Northeast Plaza Association,
Series A
6.875%, 01/15/08 1,645,000 1,850,625
Cecil County, Economic Development Authority, Northeast Plaza Association,
Series B
6.875%, 01/15/10 490,000 550,025
Frederick County, Economic Redevelopment Authority, Northhampton, RB, Series
A, FHA
5.900%, 02/01/05 285,000 298,538
State Economic Development Corporation, Crescent Cities Project, RB, Series A,
GNMA
5.400%, 12/20/27 1,055,000 1,078,738
State Economic Development Corporation, Crescent Cities Project, RB, Series A,
GNMA
5.450%, 12/20/37 1,545,000 1,579,762
-------------
6,320,844
-------------
MASSACHUSETTS -- 2.35%
Boston, Industrial Development Finance Authority, North End Community, RB,
Series A, FHA
6.450%, 08/01/37 1,870,000 2,085,050
Dartmouth, Housing Development Cororation, CrossRoads Apartments, RB, Series
A, MBIA
4.850%, 07/01/09 610,000 611,525
Educational Loan Authority, RB, Series A, MBIA
7.250%, 01/01/09 650,000 684,125
State Health & Education Authority, Beth Isreal Hospital, RB, ETM
5.750%, 07/01/06 85,000 90,100
State Health & Educational Facilities Authority, RB,
8.000%, 07/01/00 40,000 42,950
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
State Housing Finance Agency, RB, Series A, MBIA
6.125%, 12/01/11 $ 215,000 $ 229,244
State Industrial Finance Agency, Draper Place Project, RB, GNMA
5.400%, 08/20/12 395,000 401,419
6.450%, 08/20/39 6,695,000 7,264,075
State Industrial Finance Agency, Higher Education, Hampshire College Project,
RB
5.800%, 10/01/17 2,055,000 2,119,218
-------------
13,527,706
-------------
MICHIGAN -- 0.77%
Battle Creek, Economic Development Authority, Kellogg Company Project, RB
5.125%, 02/01/09 450,000 451,724
Dickinson County, Economic Development Authority, Champion International
Corporation, RB
6.550%, 03/01/07 700,000 736,750
Novi, Water Supply & Sewer Disposal System, RB, MBIA
5.000%, 07/01/19 1,000,000 996,250
Petoskey, Hospital Finance Authority, RB, ETM
6.700%, 03/01/07 535,000 593,850
Saginaw, Hospital Finance Authority, Saint Luke Hospital, RB, ETM
7.500%, 11/01/10 255,000 306,319
State Building Authority, RB, Series II, MBIA
7.400%, 04/01/01 50,000 51,875
State Hospital Finance Authority, Saint Joseph Mercy Hospital Project, RB, ETM
7.000%, 07/01/05 375,000 416,250
State Hospital Finance Authority, William Beaumont Hospital Project, RB, ETM
6.200%, 01/01/03 115,000 121,038
State Housing Development Authority, RB, Series D, AMT, AMBAC
5.150%, 12/01/08 95,000 97,137
State Housing Development Authority, RB, Series D, AMT, AMBAC
5.250%, 12/01/09 95,000 97,137
</TABLE>
30
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
State Housing Development Authority, RB, Series D, AMT, AMBAC
5.350%, 12/01/10 $ 95,000 $ 97,137
State Housing Development Authority, RB, Series D, AMT, AMBAC
5.050%, 12/01/07 95,000 97,019
State Strategic Fund Obligation, The Oxford Institute, RB, Series A, ETM
7.875%, 08/15/05 320,000 363,600
-------------
4,426,086
-------------
MINNESOTA -- 0.29%
Cambridge, Mortgage Revenue, Health Care Center, RB, Series A, GNMA.
5.400%, 11/20/05 535,000 569,775
Dakota County, Housing & Redevelopment Authority, RB, FNMA/GNMA
5.550%, 10/01/02 110,000 113,850
5.750%, 10/01/04 130,000 135,850
Monticello, Pollution Control Authority, Northern States Power Company, RB
5.375%, 02/01/03 410,000 412,054
Rochester, Saint Mary's Hospital, RB, ETM
5.750%, 10/01/07 410,000 440,750
-------------
1,672,279
-------------
MISSISSIPPI -- 1.97%
Business Finance Corporation, Landau Uniforms Project, RB, LOC
5.450%, 09/01/01 265,000 271,625
5.600%, 09/01/02 285,000 294,619
5.800%, 09/01/04 320,000 336,000
5.900%, 09/01/05 335,000 351,331
Business Finance Corporation, Millsaps College Project, Series B
5.000%, 11/01/19 1,090,000 1,091,362
Corinth & Alcorn County, Magnolia Regional Health Center, RB, Series A
5.000%, 10/01/08 1,585,000 1,606,794
Corinth & Alcorn County, Magnolia Regional Health Center, RB, Series B
5.125%, 10/01/10 1,110,000 1,123,875
Health Facilities Finance Authority, Kings Daughters Hospital, RB, Asset
Guaranty
5.500%, 04/01/18 1,600,000 1,658,000
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Home Corporation, Single Family Mortgage, Access Program, RB, Series A, GNMA
5.000%, 06/01/04 $ 380,000 $ 394,250
Home Corporation, Single Family Mortgage, RB, Series A, AMT, GNMA
5.125%, 12/01/17 930,000 947,438
Home Corporation, Single Family Mortgage, RB, Series I, AMT, GNMA
7.375%, 06/01/28 2,800,600 3,255,697
-------------
11,330,991
-------------
MISSOURI -- 5.12%
Boone County, Industrial Development Authority, Otscon Incorporated Project,
RB, LOC
5.125%, 05/01/18 2,335,000 2,276,625
Joplin, Industrial Development, Tri State Osteopathic Hospital
8.250%, 12/15/14 7,820,000 9,032,100
Kansas City, Industrial Development Authority, Coves Norht Duplexs Project,
RB, Mandatory Put @ 100, FNMA (B)
5.600%, 09/01/05 4,190,000 4,320,938
Kansas City, Industrial Development Authority, Royal Woods Apartment Project,
RB, Mandatory Put @ 100, FNMA (B)
5.600%, 01/01/10 7,125,000 7,472,344
Pacific & Franklin Counties, Industrial Development Authority, Clayton
Corporation Project, RB, LOC
5.450%, 05/01/02 810,000 832,275
5.950%, 05/01/07 900,000 952,875
6.200%, 05/01/12 900,000 952,875
6.450%, 05/01/17 900,000 951,750
St. Louis County, Regional Covention & Sports Center RB, Series B
6.500%, 08/15/01 725,000 773,031
St. Louis, Airport Authority, RB, ETM
12.000%, 07/01/03 45,000 60,525
</TABLE>
31
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1998
Municipal Bond Fund, continued
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
St. Louis, Land Clearance Redevelopment Authority, Westminsters Place
Apartments, RB, Series A, Mandatory Put @ 100, FNMA (B)
5.950%, 04/01/07 $ 560,000 $ 604,100
State Development Finance Board, Greater St. Louis Project, RB, LOC
4.900%, 09/01/10 855,000 863,550
State Housing Development Community, Single Family Mortgage, RB, AMT, GNMA
6.625%, 12/01/17 390,000 413,887
-------------
29,506,875
-------------
MONTANA -- 0.68%
Great Falls, Multi-Family Housing, Autumn Run Apartments Project, RB, AMT,
Mandatory Put @ 100, LOC (B)
4.900%, 01/02/08 3,485,000 3,485,000
Missoula County, Community Hospital
7.125%, 06/01/07 385,000 433,606
-------------
3,918,606
-------------
NEBRASKA -- 0.46%
Investment Finance Authority, Multi-Family Housing, Cheney Apartments, RB,
Series A, Mandatory Put @ 100, FNMA (B)
5.500%, 12/01/05 1,870,000 1,972,850
Investment Finance Authority, Multi-Family Housing, Tara Hills Villa, RB, FNMA
4.875%, 01/01/08 690,000 702,938
-------------
2,675,788
-------------
NEVADA -- 0.49%
Saratoga Palms, Multi Unit Housing, RB, FNMA
5.900%, 04/01/06 625,000 658,594
State Housing Division, Austin Crest Project, RB, FNMA,
5.500%, 10/01/09 450,000 460,688
State Housing Division, Single Family Mortgage, RB, Series B, FHA
6.450%, 10/01/07 710,000 757,925
State Housing Division, Single Family Mortgage, RB, Series C-1, FHA
5.450%, 04/01/10 465,000 478,369
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
State Housing Division, Single Family Mortgage, RB, Series E, FHA
6.000%, 10/01/09 $ 465,000 $ 489,993
-------------
2,845,569
-------------
NEW HAMPSHIRE -- 0.70%
Higher Education & Health Authority, River College
4.650%, 01/01/04 155,000 156,356
4.750%, 01/01/05 160,000 161,600
4.850%, 01/01/07 130,000 131,300
4.900%, 01/01/08 185,000 186,850
Higher Education & Health Facility, Crotched Mountain Rehabilitation Center,
RB, Pre-Refunded @ 102 (D)
7.500%, 01/01/00 105,000 111,825
Higher Education & Health Facility, Kendal at Hanover Issue, RB, LOC
5.200%, 10/01/06 775,000 790,500
5.300%, 10/01/07 585,000 595,969
Higher Educational & Health Authority, Franklin Pierce College, RB
4.900%, 10/01/08 620,000 626,200
Higher Educational & Health Authority, Franklin Pierce College, RB, ACA
5.000%, 10/01/09 465,000 471,394
5.100%, 10/01/10 790,000 800,862
-------------
4,032,856
-------------
NEW JERSEY -- 1.50%
Church Street Corporation, Keansburg Elderly Housing, Series 1994, Section 8
Assistance, HUD
5.000%, 03/01/01 160,000 162,000
Deptford Township, GO
5.600%, 10/15/06 180,000 198,450
5.850%, 10/15/07 185,000 208,588
Economic Development Authority, Cadbury Corporation Project, RB Series A, ACA
4.750%, 07/01/03 290,000 299,063
4.850%, 07/01/04 325,000 336,781
4.600%, 07/01/02 200,000 204,750
Economic Development Authority, RB, Series H-2, LOC
5.000%, 10/01/05 570,000 592,088
</TABLE>
32
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Gloucester County, Import Authority, Electric Mobility Project, RB, County
Guaranteed
5.000%, 11/01/10 $ 265,000 $ 269,306
4.250%, 11/01/01 290,000 291,450
4.500%, 11/01/03 195,000 196,950
4.600%, 11/01/04 105,000 106,706
4.700%, 11/01/05 105,000 106,969
4.750%, 11/01/06 110,000 112,613
4.800%, 11/01/07 115,000 117,588
5.000%, 11/01/08 125,000 128,280
Sayreville, Housing Development Corporation, Section 8 Assisted Project, RB,
Series A, FHA
6.000%, 02/01/23 2,620,000 2,747,724
State Education Facility Authority, Caldwell College, RB, Series A
7.250%, 07/01/25 1,115,000 1,204,200
State Housing & Mortgage Authority, Rogers Gardens Apartment, RB, FHA (A)
0.000%, 11/01/98 205,000 205,000
State Turnpike Authority, RB, ETM
10.375%, 01/01/03 990,000 1,143,450
-------------
8,631,956
-------------
NEW MEXICO -- 0.98%
Albuquerque, Class B-2, CMO, FGIC
0.000%, 05/15/11 (A) 7,785,000 3,279,431
Bernalillo County, Multi-Family Housing, Sunchase Apartments, Mandatory Put @
100, Series A (B)
5.800%, 11/01/06 1,400,000 1,508,500
Mortgage Finance Authority, Single Family Mortgage Program, RB, FHLMC/
FNMA/GNMA
5.500%, 07/01/17 210,000 214,725
5.600%, 07/01/28 465,000 474,881
Roswell, Airport & Marina Improvement, RB
8.500%, 11/01/98 65,000 65,000
Santa Fe, Single Family Mortgage, RB
8.450%, 12/01/11 100,120 107,504
-------------
5,650,041
-------------
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
NEW YORK -- 7.74%
Amherst, Industrial Development Agency, Multi Service Rink Complex, RB, LOC
4.750%, 10/01/02 $ 195,000 $ 198,169
5.180%, 10/01/06 335,000 345,050
Capital District Youth Center Lease, RB, LOC
6.000%, 02/01/17 465,000 489,994
Dutchess County, Solid Waste Systems, RB, Series C, MBIA
5.000%, 01/01/10 2,710,000 2,815,013
Nassau County, General Improvement, GO, Series X, AMBAC
5.000%, 11/01/05 465,000 491,156
5.000%, 11/01/06 465,000 492,900
New York City, Series B, GO, AMBAC
7.250%, 08/15/07 3,625,000 4,427,031
New York City, GO
7.000%, 08/01/07 3,640,000 4,295,200
New York City, Housing Authority, Multi-Family Mortgage, Section 8 Assisted,
RB, Series A, AMBAC
5.450%, 07/01/08 1,545,000 1,649,288
New York City, Industrial Development Agency, College of Aeronautics Project
5.000%, 05/01/06 425,000 429,781
5.200%, 05/01/09 255,000 259,144
New York City, Industrial Development Agency, RB, Mandatory Put @ 100, Series
C (B)
7.625%, 11/01/99 2,650,000 2,659,938
Oneida County, Industrial Development Agency, Mohawk Valley, RB, Series A, FSA
5.000%, 01/01/13 945,000 966,263
4.550%, 02/01/04 785,000 812,475
4.650%, 02/01/05 670,000 695,125
4.700%, 02/01/06 855,000 891,338
5.200%, 02/01/13 935,000 967,725
Oneida County, Industrial Development Agency, Mohawk Valley, RB, Series B, FSA
5.000%, 01/01/13 1,530,000 1,564,425
State Dormitoory Authority, Hunts Point Multi Service Center, RB
5.625%, 07/01/22 2,805,000 2,934,731
</TABLE>
33
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1998
Municipal Bond Fund, continued
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
State Dormitory Authority, Lutheran Nursing Home, RB, AMBAC/FHA
5.125%, 02/01/18 $ 1,240,000 $ 1,253,950
State Dormitory Authority, Long Island University, RB, Asset Guaranty
6.000%, 09/01/08 3,225,000 3,535,406
State Dormitory Authority, Capital Appreciation, RB, Series C, ETM, FSA (A)
0.000%, 07/01/04 105,000 80,325
State Dormitory Authority, Saint Mary's Hospital Amsterdam, RB, MBIA
5.250%, 05/01/05 1,250,000 1,337,500
State Medical Care Finance Facility, Hospital & Nursing Home, RB, Series A,
FHA
7.900%, 02/15/08 5,000 5,119
State Mortgage Agency, Home Owner Mortgage, RB, AMT, FHA
7.700%, 10/01/21 1,430,000 1,503,288
State Power Authority, RB, Series C, ETM
9.500%, 01/01/01 260,000 273,650
State Urban Development Corporation, Correctional Facility, RB, AMBAC
5.625%, 01/01/07 4,675,000 5,037,312
Syracuse, Housing Authority, Loretto Rest Homes, RB, Series A, FHA
5.000%, 08/01/07 2,245,000 2,334,800
Triborough Bridge & Tunnel Authority, Convention Center Project, RB, Series E
7.250%, 01/01/10 445,000 536,224
UFA Development Corporation, Loretto Utica Project, RB, FHA
5.150%, 07/01/03 1,255,000 1,297,355
-------------
44,579,675
-------------
NORTH CAROLINA -- 0.08%
Martin County, Pollution Control Finance Authority, Weyerhaeuser, RB
8.500%, 06/15/99 110,000 113,093
Vance County, Industrial Facility Authority, Carolina Comforters Project, LOC
4.700%, 09/01/00 370,000 374,588
-------------
487,681
-------------
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
OHIO -- 3.60%
Capital Corporation for Housing Mortgage Revenue, Section 8 Assisted Project,
RB, Series A, FHA/ MBIA
4.500%, 01/01/03 $ 260,000 $ 261,300
Capital Corporation for Housing Mortgage Revenue, Section 8 Assisted Project,
RB, Series C, FHA/ MBIA
5.100%, 07/01/09 1,960,000 1,974,700
Capital Corporation for Housing Mortgage Revenue, Section 8 Assisted Project,
RB, Series E, FHA/ MBIA
5.700%, 01/01/05 395,000 416,231
Capital Housing Corporation Mortgage, Georgetown Section 8, RB, Series A, FHA
6.625%, 07/01/22 1,250,000 1,331,250
Cuyahoga County, Multi-Family Housing, Water Street Association, RB, GNMA
6.250%, 12/20/36 1,215,000 1,318,275
Hancock County, Multi-Family Housing, Crystal Glen Apartments, RB, Series C,
LOC
5.050%, 01/01/10 1,135,000 1,139,256
Jefferson County, GO, Asset Guaranty
6.625%, 12/01/05 375,000 410,156
Lorain County, Health Care Facilities, Kendal at Oberlin, RB, Series B
4.750%, 02/01/22 1,465,000 1,468,663
Lorain County, Hospital Finance Authority, Humility Of Mary Health Care, RB,
Series A, Pre-refunded @ 100 (B)
5.900%, 06/15/05 5,515,000 5,983,775
Lorain County, Hospital Finance Authority, Humility Of Mary Health Care, RB,
Series B, ETM
7.200%, 12/15/11 935,000 1,028,500
Lorain County, Hospital Finance Authority, Humility Of Mary Health Care, RB,
Series D, ETM
7.125%, 12/15/06 1,025,000 1,122,375
</TABLE>
34
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Lucas-Palmer Housing Development Corporation, Palmer Gardens, RB, FHA/ MBIA
5.900%, 07/01/07 $ 275,000 $ 294,594
Miami County, Hospital Facility, Upper Valley Medical Center, RB Series A,
Pre-Refunded @ 102, MBIA (D)
6.625%, 05/01/99 100,000 103,752
Stark County, Health Care Facility, Rose Land Incorporated Project, RB,
GNMA/FHA
5.300%, 07/20/18 510,000 522,113
Stark County, Health Care Facility, Rose Land Incorporated Project, RB,
GNMA/FHA
5.350%, 07/20/23 1,170,000 1,199,250
5.400%, 07/20/28 1,425,000 1,467,750
State Mortgage, Home of Ohio, RB, FHA
5.600%, 08/01/06 435,000 454,575
State Pollution Control, General Motors Corporation Project, RB
6.500%, 03/01/06 235,000 235,615
-------------
20,732,130
-------------
OKLAHOMA -- 0.76%
Cleveland County, Home Loan Authority, Single Family Mortgage, Series 1992
8.375%, 08/01/12 1,685,000 1,811,375
Grand River, Dam Authority, RB, ETM
6.250%, 11/01/08 100,000 108,375
Housing Finance Agency, Multi-Family Housing, Northpark & Meadowlane Project,
RB, FNMA
5.100%, 12/01/07 895,000 895,215
McAlester, Public Works Authority, RB, FSA
8.250%, 12/01/04 115,000 142,313
8.250%, 12/01/05 700,000 880,250
8.250%, 12/01/06 175,000 224,875
Payne County, Home Finance Authority, Single Family Mortgage, RB, Series A
8.625%, 03/01/11 310,000 329,374
-------------
4,391,777
-------------
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
PENNSYLVANIA -- 15.67%
Aliquippa Beaver County, Asset Guaranty, ETM
8.250%, 09/15/01 $ 725,000 $ 778,469
Allegheny County, Hospital Development Authority, Health Center-UPMC Health
Systems, RB, MBIA
5.000%, 11/01/23 1,760,000 1,720,400
Allegheny County, Industrial Development Authority, HVL Plaza Project, RB, LOC
6.000%, 10/01/04 935,000 936,496
Allegheny County, Residential Finance Authority, Single Family Mortgage, RB,
GNMA
6.500%, 11/01/14 465,000 484,181
Allegheny County, Residential Finance Authority, Single Family Mortgage, RB,
Series CC-1, GNMA
5.200%, 05/01/17 980,000 983,675
Allegheny County, Residential Finance Authority, Single Family Mortgage, RB,
Series CC-2, GNMA
5.200%, 05/01/17 355,000 356,331
Allegheny County, Residential Finance Authority, Single Family Mortgage, RB,
Series DD-1, AMT, GNMA
4.850%, 05/01/08 255,000 256,594
Allentown, Hospital Authority, Sacred Heart Hospital of Allentown, RB
6.200%, 11/15/03 580,000 616,975
Berks County, Municipal Authority, Health Care Pooled Financing Project, RB
5.000%, 03/01/28 1,490,000 1,428,538
Bucks County, Saint Mary's Hosital Authority, RB, ETM
6.625%, 07/01/04 65,000 70,688
Cambria County, GO, FGIC
5.000%, 08/15/08 360,000 381,150
</TABLE>
35
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1998
Municipal Bond Fund, continued
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Chester County, Health & Education Facility, Immaculata College, RB
4.200%, 10/15/99 $ 95,000 $ 95,252
4.500%, 10/15/00 245,000 246,531
4.650%, 10/15/01 210,000 211,575
4.750%, 10/15/02 280,000 282,800
4.850%, 10/15/03 265,000 268,644
4.900%, 10/15/04 330,000 334,538
5.000%, 10/15/06 325,000 327,438
5.000%, 10/15/07 390,000 392,438
5.100%, 10/15/08 120,000 120,900
5.125%, 10/15/09 280,000 281,750
5.300%, 10/15/11 350,000 352,188
Dauphin County, General Authority, WW15 Term, RB, Manditory Tendor @ 100 (B)
6.850%, 06/01/09 655,000 704,125
Delaware County, Housing Authority, Dunwoody Village Project, RB
5.625%, 04/01/09 160,000 165,200
Erie, Higher Education Building Authority, Gannon University Project, RB,
Series E
5.200%, 07/15/16 1,000,000 997,500
Erie, Higher Education Building Authority, Mercyhurst College Project, RB
5.750%, 03/15/12 110,000 114,538
5.850%, 03/15/17 405,000 421,706
Erie, Higher Education Building Authority, Mercyhurst College Project, RB,
Series B
5.750%, 03/15/13 1,700,000 1,755,250
Falls Township, Hospital Authority, Delaware Valley Medical Center, RB, FHA
6.900%, 08/01/11 2,955,000 3,239,419
Fayette County, Hospital Authority, Uniontown Hospital, RB, Connie Lee Insured
5.200%, 06/15/04 260,000 276,575
5.400%, 06/15/06 1,045,000 1,129,906
5.450%, 06/15/07 560,000 608,300
5.550%, 06/15/08 1,330,000 1,453,025
5.650%, 06/15/09 1,405,000 1,533,206
Geisinger, Health Systems Authority, RB, Series B, Pre-Refunded @ 102 (D)
7.375%, 07/01/02 150,000 157,128
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Green County, Industrial Development Authority, Monongahela Power, RB, Series
B
5.100%, 02/01/12 $ 1,240,000 $ 1,257,050
Green County, Industrial Development Authority, West Penn Power, RB, Series B
4.750%, 02/01/07 3,510,000 3,549,488
Harrisburg, GO, ETM, MBIA
9.750%, 04/15/99 35,000 35,559
Hazelton, Area School District, GO, Series A, FGIC
4.650%, 03/01/07 575,000 595,125
4.750%, 03/01/08 795,000 823,819
Hospital & Higher Education Auhority, Health System, RB, Series A, FHA
5.375%, 01/01/28 3,270,000 3,331,313
Hospital & Higher Education Authority, Jefferson Health Systems, RB, Series A,
MBIA
5.125%, 05/15/18 1,000,000 1,006,250
5.125%, 05/15/21 2,000,000 1,995,000
Housing Finance Agency, Rental Housing, RB, FNMA
6.500%, 07/01/23 4,815,000 5,146,031
5.150%, 07/01/03 375,000 390,000
Housing Finance Agency, Single Family Mortgage, RB, Series 1991-31A
7.000%, 10/01/05 215,000 228,706
Housing Finance Agency, Single Family Mortgage, RB, Series 64, AMT
0.000%, 04/01/30 (A) 1,955,000 1,129,013
Jefferson County, Municipal Authority, RB, ETM, MBIA
7.000%, 12/01/02 25,000 26,906
Kenneth Square, GO
4.500%, 02/01/99 400,000 401,252
Kenneth Square, Sewer Authority, RB, FSA
5.300%, 12/15/27 2,400,000 2,445,000
Lancaster, Sewer Authority, RB, ETM
6.000%, 04/01/12 15,000 16,369
Lehigh County, General Purpose Authority, Lehigh Valley Hospital Health
Network,RB, Series C, MBIA
5.000%, 07/01/28 1,650,000 1,614,938
</TABLE>
36
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Lehigh County, General Purpose Authority, Muhlenberg Continuing Care, RB,
Pre-Refunded @ 102, LOC (D)
7.800%, 03/15/00 $ 2,170,000 $ 2,281,213
Lehigh County, General Purpose Authority, Muhlenberg Hospital Center, RB, ETM
4.800%, 07/15/00 635,000 646,906
4.800%, 07/15/00 405,000 412,594
Metropolitan Lancaster, Water Project Notes, RB
4.250%, 02/15/00 2,900,000 2,903,248
Monroeville, Hospital Authority, East Suburban Health Center Project, RB,
Pre-Refunded @ 100 (D)
7.600%, 07/01/04 645,000 725,625
Montgomery County, GO, ETM
9.000%, 08/15/04 350,000 399,438
Montgomery County, Higher Education Authority, Waverly Hieghts Project, RB
5.000%, 01/01/03 280,000 280,350
Montgomery County, Industrial Development Authority RB, BMHR Associated
Project, LOC
6.750%, 11/15/04 235,000 244,844
Montgomery County, Industrial Development Authority, ECRI Project, RB
6.400%, 06/01/03 430,000 450,425
Montgomery County, Industrial Development Authority, Meadowood Corporation
Project, RB, Series A, Pre-Refunded @ 102 (D)
10.250%, 12/01/00 2,335,000 2,682,331
Mount Lebanon, Hospital Authority, RB, ETM
7.000%, 07/01/06 50,000 55,875
Penn Cambria School District, GO, Asset Guaranty
4.000%, 08/15/99 255,000 256,785
Philadelphia, Authority For Industrial Development, Simpson Housing Project
5.000%, 08/15/09 300,000 301,500
5.000%, 08/15/10 360,000 358,650
5.100%, 08/15/11 300,000 298,875
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Philadelphia, Hospitals & Higher Education, RB, ACA
6.200%, 05/01/11 $ 1,920,000 $ 2,090,400
Philadelphia, Housing Redevelopment Authority, Multi-Family Housing, RB, HUD
5.450%, 02/01/23 1,000,000 1,005,000
Philadelphia, Industrial Development Authority, National Board of Medical
Examiners Project, RB
6.750%, 05/01/12 515,000 560,063
Philadelphia, Industrial Development Authority, Convention Project, RB, Series
1989, AMBAC, ETM
7.000%, 07/01/99 295,000 298,926
Philadelphia, Industrial Development Authority, Elmira Jefferies Memorial
Home, RB, FHA
4.750%, 02/01/08 615,000 624,225
Philadelphia, Industrial Development Authority, Jeanes Physicians' Office, RB,
Series A
9.375%, 07/01/10 830,000 840,707
Philadelphia, Redevelopment Authority, First Lien Mortgage, Series A
6.500%, 01/01/29 700,000 729,750
Philadelphia, Saint Agnes Medical Center Project, RB, ETM, FHA
6.750%, 08/15/01 245,000 254,800
Pittsburgh, Urban Redevelopment Authority, Center Triangle Tax Increment,
Series A, LOC
5.125%, 06/01/00 665,000 674,144
Pittsburgh, Urban Redevelopment Authority, RB, Series C, AMT, FNMA, GNMA
5.950%, 10/01/29 235,000 246,456
Pittsburgh, Urban Redevelopment, Oliver Garage Project, RB, FGIC, LOC
5.200%, 06/01/11 380,000 391,875
Potter County, Hospital Redevelopment Authority, Charles Cole Memorial
Hospital, RB, Asset Guaranty
5.100%, 08/01/02 290,000 301,600
</TABLE>
37
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1998
Municipal Bond Fund, continued
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Pottsville, Hospital Authority, Pottsville Hospital & Warne Clinic, RB
7.250%, 07/01/24 $ 565,000 $ 665,994
4.700%, 07/01/01 750,000 757,500
4.800%, 07/01/02 780,000 789,750
5.150%, 07/01/09 840,000 856,800
5.500%, 07/01/18 2,180,000 2,180,000
River Port Authority, RB, ETM
6.500%, 01/15/11 100,000 113,125
Scranton-Lackawanna Counties, Health & Welfare Authority, RB
6.625%, 04/15/07 250,000 253,165
Seneca Valley, School District, GO, Series A, FGIC
5.250%, 07/01/07 1,660,000 1,792,800
Somerset County, Hospital Authority, Community Hospital District B, RB, Asset
Guaranty
5.200%, 03/01/10 565,000 588,306
5.300%, 03/01/11 135,000 140,569
Southeastern Pennsylvania, Greene School District, GO, ETM
9.375%, 07/01/03 10,000 11,375
State Finance Authority, Municipal Capital Imports Program, RB
6.600%, 11/01/09 1,425,000 1,567,500
State Higher Education Facility, Ursinus College, RB
5.000%, 01/01/02 150,000 153,188
5.100%, 01/01/03 170,000 174,675
5.200%, 01/01/04 180,000 186,525
5.300%, 01/01/05 205,000 213,456
5.400%, 01/01/06 230,000 240,925
5.850%, 01/01/17 1,190,000 1,234,625
State Higher Educational Facility, Alleghney Delaware Valley Obigation, RB,
Series A, MBIA
5.600%, 11/15/09 1,250,000 1,267,188
5.700%, 11/15/11 2,755,000 2,858,313
State Higher Educational Facility, Gwynedd Mercy College, RB
5.000%, 11/01/08 1,395,000 1,415,925
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
State Higher Educational Facility, University of The Arts, RB, Asset Guaranty
4.750%, 03/15/05 $ 155,000 $ 157,325
4.850%, 03/15/06 250,000 254,063
5.100%, 03/15/09 290,000 294,712
5.200%, 03/15/10 305,000 309,955
5.250%, 03/15/11 325,000 329,874
5.300%, 03/15/12 325,000 329,062
State, COP, Series A, AMBAC
5.400%, 07/01/09 165,000 172,630
Tredyffrin Township, GO
5.250%, 11/15/21 1,000,000 1,018,749
York County, Hospital Authority, Hanover Hospital Incorporated, RB, AMBAC
4.600%, 12/01/09 925,000 942,343
York, Housing Redevelopment Mortgage Corporation, RB, Series A
6.875%, 11/01/09 1,165,000 1,199,052
-------------
90,261,322
-------------
RHODE ISLAND -- 0.94%
Central Falls, GO, Pre-Refunded @ 103 (D)
9.250%, 11/15/00 170,000 193,375
Rhode Island, State Industrial Facility Corporation, Crystal Thermoplastics
Project, Series A
6.950%, 08/01/14 355,000 378,963
State Economic Development Corporation, RB, Series B, FSA
5.000%, 07/01/28 950,000 928,625
State Health & Educational Facility, Roger Williams, RB, AMBAC
5.000%, 11/15/24 3,000,000 2,947,500
West Warwick, GO, Series A, Asset Guaranty
7.300%, 07/15/08 850,000 977,500
-------------
5,425,963
-------------
SOUTH CAROLINA -- 1.77%
Economic Jobs Development, Westminster Presbyterian, RB, Series A
5.125%, 11/15/08 1,000,000 987,500
Georgetown County, Pollution Control Center, International Paper Company
Project, RB
6.250%, 06/15/05 3,000,000 3,236,250
</TABLE>
38
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Job Economic Development, Caterpollar Incorporated Project, RB
5.050%, 06/01/08 $ 465,000 $ 465,000
State Housing Finance & Development Authority, Bryton Point Apartments
Project, Mandatory Put @ 100, FNMA (B)
5.700%, 06/01/05 2,850,000 3,092,250
State Housing Finance & Development Authority, Runway Bay Apartments Projects,
RB
5.500%, 12/01/05 890,000 941,175
State Housing Finance & Development Authority, Westbury Plantation, RB, FHA
6.050%, 07/01/27 435,000 454,575
State Housing Finance Authority, Hunting Ridge Apartments, RB, Mandatory Put @
100 (B)
6.750%, 06/01/10 935,000 1,006,294
-------------
10,183,044
-------------
SOUTH DAKOTA -- 0.39%
Crow Creek, Sioux Tribe, GO
4.900%, 11/15/09 400,000 402,000
5.000%, 11/15/10 280,000 276,500
5.100%, 11/15/11 260,000 256,750
5.200%, 11/15/12 185,000 182,456
Housing Development Authority, Multi-Family Housing, RB, Series B, HUD
7.000%, 04/01/12 935,000 998,113
State Building Authority, RB
10.500%, 09/01/00 110,000 120,862
-------------
2,236,681
-------------
TENNESSEE -- 0.96%
Greeneville, Health & Education Facility Board, Southern Advent Hospital, RB,
ETM
8.700%, 10/01/09 350,000 434,000
Nashville & Davidson Counties, Health & Education Facilities Board, Homes Inc.
Project, RB, Series C, Pre-Refunded @ 105 (D)
9.000%, 10/01/07 235,000 318,131
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Nashville & Davidson County, Health & Education Facilities Board, Modal
Health, RB, Asset Guaranty
5.500%, 05/01/23 $ 790,000 $ 822,588
Nashville & Davidson, Multi-Family Housing, Welch Bend Apartments, RB, Series
A, Mandatory Put @ 100, FNMA (B)
5.500%, 01/01/07 1,990,000 2,101,938
Shelby County, Multi-Family Housing, Windsor Apartments, RB, Series A, Asset
Guaranty
6.500%, 10/01/07 1,240,000 1,328,350
6.750%, 10/01/17 460,000 495,074
-------------
5,500,081
-------------
TEXAS -- 6.03%
Austin, Water, Sewer & Electric Authority, RB
14.000%, 11/15/01 820,000 956,325
Bexar County, Housing Finance Corporation, GO (A)
0.000%, 03/01/15 1,650,000 575,438
Brazos, Higher Education Authority, RB, Series B-1
6.500%, 06/01/04 165,000 176,344
Bryan, Higher Education Authority, Allen Academy Project, RB, Series A
6.500%, 12/01/06 400,000 417,500
7.300%, 12/01/16 1,635,000 1,724,925
Capital Area, Housing Finance Corporation, IDK Partners II Trust, Series A
6.500%, 11/01/19 3,112,280 3,260,113
Collin County Housing Financial Corporation, Preston Bend Apartments Project,
RB, Mandatory Put @ 100 (B)
6.500%, 09/01/03 935,000 963,050
De Soto, Housing Finance Corporation, The Colonies Apartments Project, RB,
Mandatory Put @ 100, FNMA (B)
5.125%, 10/01/27 3,450,000 3,549,188
</TABLE>
39
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1998
Municipal Bond Fund, continued
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Del Rio, GO, Asset Guaranty
7.500%, 04/01/03 $ 115,000 $ 130,669
7.500%, 04/01/04 185,000 214,600
7.500%, 04/01/08 95,000 115,188
7.500%, 04/01/09 185,000 223,156
6.500%, 04/01/10 95,000 107,350
5.550%, 04/01/11 45,000 47,250
5.650%, 04/01/13 95,000 100,106
5.750%, 04/01/16 45,000 47,925
5.750%, 04/01/17 235,000 248,219
Denison, Hospital Authority, Texoma Medical Center, RB, ETM
7.125%, 07/01/08 150,000 173,438
Edgewood, Independent School District, RB
4.900%, 08/15/08 660,000 657,525
Edgewood, Independent School District, RB
5.000%, 08/15/09 690,000 689,138
Edgewood, Independent School District, RB
5.000%, 08/15/10 725,000 720,469
Edgewood, Independent School District, RB
5.250%, 08/15/13 805,000 806,006
Gregg County, Housing Finance Corporation, Summer Lake Project, RB, Mandatory
Put @ 100, Series A (B)
6.400%, 03/01/06 465,000 496,969
Gulf Coast Waste Disposal Authority, Atlantic Richfield Company Project, RB,
Pre-Refunded @ 100 (D)
6.500%, 08/01/03 170,000 183,175
Harris County, Housing Finance Corporation, Colonial House Apartments Project,
RB, Mandatory Put @ 100, LOC (B)
5.600%, 09/01/99 210,000 212,602
Harris County, Housing Finance Corporation, Cypress Ridge Apartments, RB, FSA
5.700%, 06/01/06 260,000 273,650
Harris County, Toll Road Authority, GO, MBIA (A)
0.000%, 08/15/01 1,065,000 962,494
Houston, Housing Finance Corparation, RB, Series 1996 A-2 (A)
0.000%, 06/01/14 1,710,000 545,063
Houston, Housing Finance Corparation, Series 1996 A-1, RB
8.000%, 06/01/14 2,010,000 2,198,438
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Houston, Port Authority, Airport and Marina Improvement, RB
5.750%, 05/01/02 $ 235,000 $ 239,308
Houston, Sewer Systems, RB, ETM
5.400%, 10/01/04 45,000 48,431
Houston, Sewer Systems, RB, ETM
6.375%, 10/01/08 80,000 92,500
McAllen, Development Corporation, RB, FSA
4.700%, 02/15/08 235,000 239,113
4.800%, 02/15/09 235,000 238,819
Northeast Hospital Authority, RB, ETM
8.000%, 07/01/08 550,000 650,375
Odessa, Housing Finance Corporation, Single Family Mortgage, RB, Series A,
FNMA
8.450%, 11/01/11 223,938 241,573
Panhandle, Regional Housing Finance Corporation, Single Family Mortgage, RB,
Series A, GNMA
7.500%, 05/01/24 410,000 427,938
Panhandle-Plains, Higher Education Authority, RB, Series D
5.100%, 09/01/03 170,000 175,525
5.250%, 03/01/05 145,000 150,438
State Department Housing & Community Affairs, Meadow Ridge Apartments Project,
RB, FNMA
5.050%, 08/01/08 1,475,000 1,498,969
State Department Housing & Community Affairs, Volente Project, RB, FNMA
5.000%, 07/01/08 1,095,000 1,110,056
Tarrant County, Health Facility, South Central Nursing, RB, Series A, MBIA
6.000%, 01/01/37 225,000 255,375
Tarrant County, Housing Finance Corporation, Multi-Family Housing, Summit
Project, RB, Series A, Mandatory Put @ 100, FNMA (B)
5.080%, 09/01/07 1,870,000 1,919,087
Texarkana, Housing Finance Corporation, Summerhill, RB, Series A, GNMA
5.550%, 01/20/07 215,000 226,287
</TABLE>
40
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Tom Green County, Hospital Authority, ETM
7.875%, 02/01/06 $ 750,000 $ 852,187
Travis County, Housing Finance Corporation, Broadmoor Apartments Project, RB,
FSA
5.700%, 06/01/06 895,000 941,987
Webb County, COP, Series A, Asset Guaranty
5.100%, 10/01/07 700,000 744,624
5.200%, 10/01/08 725,000 774,843
5.300%, 10/01/09 750,000 788,437
Willow Fork, Drain District, GO, AMBAC
4.600%, 09/01/05 80,000 82,700
4.600%, 09/01/06 225,000 232,874
4.650%, 09/01/07 400,000 413,500
4.700%, 09/01/08 265,000 272,618
4.800%, 09/01/09 390,000 401,700
4.900%, 09/01/10 405,000 417,150
4.900%, 09/01/11 480,000 490,800
-------------
34,703,527
-------------
UTAH -- 2.05%
Brigham City, Special Assessment Bond, Pre-Refunded @ 102 (D)
9.000%, 08/01/00 250,000 277,188
Clearfield City, Multi-Family Housing Mortgage, OakStone Apartments, RB,
Series A, AMT, FHA
5.850%, 05/01/39 3,135,000 3,201,619
Hilldale, GO
7.500%, 12/15/03 380,000 417,525
Provo City, Housing Authority, Multi-Family Housing, Lookout Pointe
Apartments, RB, GNMA
6.000%, 07/20/08 590,000 641,625
Salt Lake City, Industrial Development Authority, Hermes Associates Project,
RB, LOC
5.900%, 09/01/99 185,000 188,008
State Housing Agency, Single Family Mortgage, RB, FHA
5.400%, 07/01/20 2,105,000 2,118,156
State Housing Finance Agency, Single Family Mortgage, Series A-2, Class III
5.200%, 07/01/11 465,000 469,069
State Housing Finance Agency, Single Family Mortgage, RB, FHA
5.250%, 07/01/12 325,000 327,031
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
State Housing Finance Agency, Single Family Mortgage, RB, FHA
7.600%, 01/01/22 $ 130,000 $ 135,363
State Housing Finance Agency, Single Family Mortgage, RB, Series A-2I, FHA
5.400%, 07/01/16 935,000 939,675
State Housing Finance Agency, Single Family Mortgage, RB, Series B-2, FHA
5.250%, 07/01/11 515,000 523,369
State Housing Finance Agency, Single Family Mortgage, RB, Series F-1, Class I,
FHA
5.500%, 07/01/16 395,000 402,406
State Housing Finance Agency, Sub-Single Family Mortgage, RB, AMBAC
5.850%, 07/01/07 730,000 786,575
Weber County, Municipal Building Authority, RB, Asset Guaranty
6.750%, 12/15/04 1,190,000 1,364,037
-------------
11,791,646
-------------
VIRGINIA -- 1.15%
Alexandria Redevelopment & Housing Authority, Multi-Family Housing, United
Dominion-Parkwood Court, RB
6.625%, 05/01/24 2,795,000 2,948,725
Newport News, Industrial Development Authority, Mennowood Communities, RB,
Series A, GNMA
7.250%, 08/01/16 1,105,000 1,222,406
Richmond, Metro Expressway Authority, RB, Partially Prerefunded @ 102, AMBAC
(D)
7.000%, 10/15/13 1,490,000 1,655,763
State Housing Development Authority, Multi-Family Mortgage, RB, Series D
6.800%, 11/01/09 750,000 813,750
-------------
6,640,644
-------------
</TABLE>
41
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1998
Municipal Bond Fund, continued
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
VERMONT -- 0.30%
Education & Health Building Finance Authority, Norwich University Project, RB
4.300%, 07/01/00 $ 105,000 $ 105,525
4.750%, 07/01/04 190,000 192,850
5.000%, 07/01/06 345,000 352,331
5.000%, 07/01/07 380,000 387,600
5.750%, 07/01/13 655,000 685,294
-------------
1,723,600
-------------
WASHINGTON -- 1.49%
Grays Harbor County, Public Utility District Number 1, RB, ETM,
5.375%, 01/01/06 395,000 412,281
King County, Housing Authority, Multi-Family Mortgage, Section 8 Assisted, RB,
Series B
7.000%, 08/01/03 210,000 217,875
King County, Housing Authority, Multi-Family Mortgage, Section 8 Assisted. RB,
Series A
7.000%, 08/01/03 700,000 734,125
Seattle, Low Income Housing Assistance Authority, Kin On Project, RB, Series
A, GNMA
7.400%, 11/20/36 1,402,000 1,629,825
Spokane, Housing Authority, Valley 206 Apartments, RB, Series A
5.625%, 04/01/28 935,000 908,119
Spokane, Housing Authority, Valley 206 Apartments, RB, Series B, LOC
5.750%, 04/01/28 560,000 555,800
State Health Care Facilities, Sister Providence, RB, Pre-Refunded @ 102
7.875%, 10/01/10 840,000 884,990
State Housing Finance Commision, Convention Deferred Interest, RB, Series 4A,
AMT, FNMA/ GNMA (A)
0.000%, 12/01/20 3,055,000 1,790,994
State Housing Finance Commision, RB, Series A, FNMA
7.000%, 07/01/99 55,000 55,546
State Housing Finance Commision, RB, Series B, FNMA
6.900%, 07/01/16 1,370,000 1,416,237
-------------
8,605,792
-------------
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
WEST VIRGINIA -- 1.59%
Beckley, Nursing Facility, Beckley Healthcare Corporation Project, RB, LOC
5.550%, 09/01/08 $ 230,000 $ 239,775
Beckley, Nursing Facility, Beckley Healthcare Corporation Project, RB, LOC
5.700%, 09/01/09 190,000 198,788
Harrison County, CMO, Series B, AMBAC (A)
0.000%, 10/20/10 2,637,000 1,137,206
Marshall County, Capital Appreciation, RB, MBIA (A)
0.000%, 05/01/14 2,805,000 873,056
Mason County, Point Pleasant Haven, RB, LOC
6.200%, 12/01/05 795,000 829,781
Preston County, Pollution Control Authority, Community-Monoogahela, RB, Series
C
4.500%, 03/01/03 5,000,000 5,037,500
Raleigh Fayette & Nicholas County, Series B, AMBAC (A)
0.000%, 06/20/10 2,027,000 836,138
-------------
9,152,244
-------------
WISCONSIN -- 1.85%
Housing & Economic Development Authority, RB, Series B, AMT
4.950%, 09/01/09 375,000 378,281
Oshkosh, Hospital Facility, Mercy Medical Center. RB, Pre-Refunded @ 100 (D)
7.375%, 07/01/07 230,000 264,213
Pewaukee, Industrial Development Authority, Lake Country Development Project,
RB, LOC
5.800%, 06/01/04 100,000 105,250
5.900%, 06/01/05 105,000 111,300
6.000%, 06/01/06 130,000 138,775
State Health & Education Facility, Richland Hospital Inc Project, RB, Series
A, ACA
5.375%, 06/01/28 3,335,000 3,355,844
</TABLE>
42
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
State Health & Educational Facilities, Sister Sorrowful Mothers, RB, Series A,
MBIA
5.100%, 08/15/07 $ 1,060,000 $ 1,123,600
5.200%, 08/15/08 1,560,000 1,659,450
5.300%, 08/15/09 1,110,000 1,186,313
State Health & Educational Facilities, Viterbo College Incorporated Project,
RB, LOC
5.250%, 02/01/04 110,000 114,813
5.400%, 02/01/05 95,000 100,106
5.750%, 02/01/12 490,000 508,988
6.000%, 02/01/17 505,000 529,618
Waupun, School District, GO, FGIC
5.625%, 04/01/11 580,000 631,474
West Bend, GO
6.400%, 02/01/05 140,000 152,600
Whitewater, Waterworks Systems Mortgage
7.500%, 07/01/16 235,000 272,600
-------------
10,633,225
-------------
WYOMING -- 0.71%
Cheyene, Federal Mineral Royalty, RB
6.200%, 06/01/09 935,000 995,775
Community Development Authority, RB, Series 5, AMT
5.700%, 12/01/07 185,000 197,256
Community Development Authority, Single Family Mortgage, RB, Series B, FHA
8.125%, 06/01/21 315,000 328,781
Tenton County, School District Number 1 Project, RB, MBIA
5.000%, 06/01/05 2,150,000 2,249,437
Teton County Hospital, St. John's, RB, ACA
5.000%, 12/01/03 310,000 322,400
-------------
4,093,649
-------------
Total Municipal Bonds
(Cost $543,426,909) 559,073,079
-------------
TAX-EXEMPT ASSET-BACKED SECURITIES -- 0.70%
Bridlewood Village Apartments, Participation Certificate, Class A, FHA
5.600%, 09/01/21 1,681,591 1,681,591
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
FHA Insured Trust, Series 1996-1, Class A-2, Private Placement
6.750%, 02/01/13 $ 606,877 $ 609,912
FHA Insured Trust, Series 1996-1, Class A-3, Private Placement
7.000%, 02/01/22 1,713,380 1,721,946
-------------
Total Tax-Exempt Asset-Backed Securities
(Cost $4,001,848) 4,013,449
-------------
<CAPTION>
SHARES
-----------
<S> <C> <C>
CASH EQUIVALENT -- 1.17%
Provident Institutional Municipal Cash Fund
(Cost $6,732,356) 6,732,356 6,732,356
-------------
Total Investments -- 98.95%
(Cost $554,161,113) 569,818,884
-------------
OTHER ASSETS & LIABILITIES, NET -- 1.05% 6,050,381
-------------
Net Assets -- 100.0% $ 575,869,265
-------------
-------------
</TABLE>
<TABLE>
<S> <C> <C>
(A) ZERO COUPON SECURITY
(B) MANDATORY PUT/TENDER SECURITY. THE MANDATORY PUT/TENDER DATE IS SHOWN AS
THE MATURITY DATE ON THE SCHEDULE OF INVESTMENTS.
(C) VARIABLE RATE SECURITY. THE RATE REPORTED ON THE SCHEDULE OF INVESTMENTS
IS THE RATE IN EFFECT AS OF OCTOBER 31, 1998.
(D) PRE-REFUNDED SECURITY. THE PRE-REFUNDED DATE IS SHOWN AS THE MATURITY DATE
ON THE SCHEDULE OF INVESTMENTS.
AMT INCOME FROM SECURITY MAY BE SUBJECT TO ALTERNATIVE MINIMUM TAX
CMO COLLATERALIZED MORTGAGE OBLIGATION
COP CERTIFICATE OF PARTICIPATION
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
</TABLE>
<TABLE>
<S> <C> <C>
THE FOLLOWING ORGANIZATIONS HAVE PROVIDED UNDERLYING CREDIT SUPPORT FOR THE
SECURITIES AS DEFINED IN THE SCHEDULE OF INVESTMENTS.
ACA ACA INSURANCE
AMBAC AMERICAN MUNICIPAL BOND ASSURANCE CORPORATION
ASSET GUARANTY ASSET GUARANTY
AXA AXA REINSURANCE
FGIC FINANCIAL GUARANTY INSURANCE COMPANY
FHA FEDERAL HOUSING ADMINISTRATION
FNMA FEDERAL NATIONAL MORTGAGE ASSOCIATION
FSA FINANCIAL SECURITY ASSURANCE
GNMA GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
GTD GUARANTEED STUDENT LOANS
HUD HOUSING & URBAN DEVELOPMENT
MBIA MUNICIPAL BOND INVESTORS ASSURANCE
VA VETERANS ADMINISTRATION
</TABLE>
The accompanying notes are an integral part of the financial statements.
43
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1998
Fixed Income Fund
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C>
CORPORATE OBLIGATIONS -- 28.00%
American United Life Insurance, 144A
7.750%, 03/30/26 $ 8,425,000 $ 9,135,396
Archstone Community Trust
7.200%, 04/15/03 24,500,000 24,500,000
BankAmerica Institutional-B, 144A
7.700%, 12/31/26 4,670,000 4,761,560
BFC Finance, Series 96-A
7.375%, 12/01/17 7,425,000 8,091,765
Cincinnati Financial
6.900%, 05/15/28 11,175,000 11,454,129
Cinergy Global Resources, 144A
6.200%, 11/03/08 9,100,000 9,079,907
Columbus Southern Power, MTN
6.550%, 06/26/08 14,640,000 15,450,529
Continental Airlines, Series 98-3
7.250%, 11/01/05 5,300,000 5,326,500
Eastern Energy
6.750%, 12/01/06 9,828,000 10,322,958
ERAC USA Finance, 144A
6.375%, 05/15/03 20,950,000 20,999,065
Executive Risk Capital Trust, Series B
8.675%, 02/01/27 5,105,000 5,101,151
Farmers Exchange Capital, 144A
7.050%, 07/15/28 12,000,000 11,628,912
Farmers Insurnace Exchange, 144A
8.625%, 05/01/24 8,380,000 9,361,792
First American Financial
7.550%, 04/01/28 7,760,000 7,949,391
Florida Property, 144A
7.375%, 07/01/03 5,060,000 5,412,591
Household Finance
5.875%, 11/01/02 2,760,000 2,765,804
Household Finance, MTN
6.125%, 02/27/03 11,185,000 10,788,827
HSBC America Capital Trust, 144A
7.808%, 12/15/26 7,750,000 7,170,982
HSBC Americas
7.000%, 11/01/06 12,850,000 13,364,000
Jackson National Life Insurance, 144A
8.150%, 03/15/27 14,575,000 16,237,381
Lehman Brothers
11.625%, 05/15/05 4,410,000 5,387,909
Life Reinsurance Capital Trust, 144A
8.720%, 06/15/27 4,925,000 5,576,868
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Lumvermens Mutual Casualty, 144A
8.300%, 12/01/37 $ 2,980,000 $ 3,145,882
Marshall Islands Republic
7.600%, 10/15/01 5,256,667 5,388,084
Ohio National Life Insurance, 144A
8.500%, 05/15/26 3,725,000 4,356,827
PaineWebber Group
6.750%, 02/01/06 9,685,000 9,722,065
PaineWebber Group, MTN
6.790%, 10/04/04 3,260,000 3,276,300
6.650%, 10/15/02 12,405,000 12,342,975
PP&L Capital Funding, MTN
6.790%, 11/22/04 25,605,000 26,308,574
Prudential Insurance, 144A
6.875%, 04/15/03 10,985,000 11,398,124
Puget Sound Energy, MTN
6.740%, 06/15/18 4,655,000 4,665,520
Shearson Lehman
8.950%, 01/10/00 10,000,000 10,120,300
Summit Propertys Partnership, MTN
6.750%, 07/30/01 27,500,000 27,110,380
Union Center Life, 144A
8.200%, 11/01/26 10,045,000 11,221,089
World Financial Properties, 144A (C)
6.950%, 09/01/13 5,000,000 5,156,450
---------------
Total Corporate Obligations
(Cost $346,682,889) 354,079,987
---------------
ASSET-BACKED SECURITIES -- 13.24%
Aames Mortgage Trust, Series 1998-C, Class A4F
6.268%, 01/15/27 9,900,000 9,788,625
Amresco Residential Securities Mortgage Loan, Series 1997-3, Class A3
6.600%, 01/25/18 276,000 277,460
Barnett Auto Trust, Series 1997-A, Class A4
6.180%, 09/15/02 15,735,000 16,064,806
Chase Manhattan Credit Card Master Trust, Series 1996-3, Class A
7.040%, 02/15/05 4,965,000 5,194,853
Chemical Master Credit Card Trust, Series 1995-3, Class A
6.230%, 04/15/05 8,449,000 8,754,627
Citibank Credit Card Master Trust, Series 1998-3, Class A
5.800%, 02/07/05 2,075,000 2,119,924
</TABLE>
44
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Citibank Credit Card Master Trust, Series 1998-6, Class A
5.850%, 04/10/03 $ 8,865,000 $ 9,052,052
Discover Card Master Trust I, Series 1998-4, Class A
5.750%, 10/16/03 3,548,000 3,612,503
First Omni Bank Credit Card Master Trust, Series 1996-A, Class A
6.650%, 09/15/03 13,830,000 14,338,690
First USA Credit Card Master Trust, Series 1997-6, Class A
6.420%, 03/17/05 22,177,000 23,108,623
Green Tree Home Improvement Loan Trust, Series 1996-F, Class HEA3
6.900%, 01/15/28 4,980,000 5,098,424
Green Tree Home Improvement Loan Trust, Series 1997-D, Class HEA3
6.390%, 09/15/28 6,181,908 6,228,643
Leasing Solution Leasing Trust, Series 1998-1, Class A2
5.780%, 09/20/03 20,925,000 20,934,809
Provident Bank Home Equity Loan Trust, Series 1998-2, Class A7 (C)
5.868%, 06/25/28 5,585,000 5,497,371
Southern Pacific Secured Assets, Series 1998-1, Class A5
6.460%, 01/25/26 10,997,000 11,161,075
UCFC Home Equity Loan, Series 1996-B1, Class A2
7.075%, 04/15/10 58,949 58,853
UCFC Home Equity Loan, Series 1997-D, Class A-2
6.475%, 06/15/12 650,000 655,811
Union Acceptance, Series 1997-C, Class A3
6.490%, 01/08/05 18,625,000 19,100,683
World Omni Automobile Lease Securization, Series 1997-B, Class A4
6.200%, 11/25/03 6,316,000 6,414,340
---------------
Total Asset-Backed Securities
(Cost $164,201,645) 167,462,172
---------------
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C>
MORTGAGE-BACKED SECURITIES -- 18.94%
Access Financial Manufacturing Housing Contract Trust, Series 1995-1, Class A3
7.100%, 05/15/21 $ 740,000 $ 770,355
Access Financial Manufacturing Housing Contract Trust, Series 1996-1, Class A4
7.300%, 11/15/26 800,000 834,617
Associates Manufactured Housing, Series 1996-1, Class A4
7.300%, 03/15/27 3,205,000 3,329,183
Associates Manufactured Housing, Series 1996-1, Class A5
7.600%, 03/15/27 3,910,000 4,194,839
Associates Manufactured Housing, Series 1997-2, Class A5
6.675%, 03/15/28 10,035,000 10,318,689
BankAmerica Manufactured Housing Contract, Series 1996-1, Class A4
7.300%, 10/10/26 13,098,000 13,628,760
Chase Mortgage Finance, REMIC, Series 1993-F1, Class 1A2
5.750%, 04/25/09 66,621 66,391
Chase Mortgage Finance, REMIC, Series 1994-B, Class A1
6.750%, 02/25/25 1,054,081 1,057,317
Chase Mortgage Finance, REMIC, Series 1994-G, Class A3
6.750%, 04/25/25 2,263,911 2,256,599
Countrywide Mortgage Backed Securities, REMIC, Series 1994-C, Class A8
6.500%, 03/25/24 1,265,000 1,195,425
Drexel Burnham Lambert CMO Trust, REMIC, Series T, Class 3
8.450%, 01/20/19 1,045,438 1,057,344
General Electric Capital Mortgage Services, REMIC, Series 1993-14, Class A7
6.500%, 11/25/23 1,790,000 1,741,992
General Electric Capital Mortgage Services, REMIC, Series 1994-10, Class A10
6.500%, 03/25/24 2,555,650 2,559,228
</TABLE>
45
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1998
Fixed Income Fund, continued
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C>
General Electric Capital Mortgage Services, REMIC, Series 1997-7, Class A7
7.500%, 08/25/27 $ 3,270,057 $ 3,326,465
Green Tree Financial, Series 1994-6, Class A5
8.250%, 01/15/20 4,655,000 4,737,580
Green Tree Financial, Series 1997-5, Class A6
6.820%, 05/15/29 11,185,000 11,350,426
Green Tree Financial, Series 1996-2, Class A4
7.200%, 04/15/27 6,520,000 6,744,077
Green Tree Financial, Series 1996-4, Class A6
7.400%, 06/15/27 4,585,000 4,830,337
Green Tree Financial, Series 1996-5, Class A5
7.450%, 07/15/27 4,145,000 4,312,303
Green Tree Financial, Series 1996-8, Class A6
7.600%, 10/15/27 3,630,000 3,868,286
Green Tree Financial, Series 1997-3, Class B1
7.510%, 07/15/28 6,520,000 6,576,659
Green Tree Financial, Series 1997-6, Class B1
7.170%, 01/15/29 10,195,000 10,119,863
Green Tree Financial, Series 1998-2, Class B1
7.360%, 10/01/20 9,310,000 9,274,343
Green Tree Financial, Series 1998-3, Class B1
7.290%, 03/01/30 150,000 148,770
Green Tree Financial, Series 1998-4, Class B1
7.260%, 02/01/30 10,570,000 10,460,178
J.P. Morgan Commercial Mortgage Finance, Series 1997-C5, Class A2
7.069%, 09/15/29 1,020,000 1,080,823
Merrill Lynch Mortgage Investors, Series 1990-C, Class B, 144A
9.700%, 06/15/10 9,310,000 10,066,438
Merrill Lynch Mortgage Investors, Series 1991-I, Class A
7.650%, 01/15/12 739,541 740,983
Merrill Lynch Mortgage Investors, Series 1995-C1, Class A
7.210%, 05/25/15 5,769,193 5,843,154
Merrill Lynch Mortgage Investors, Series 1996-C1, Class A1
7.150%, 04/25/28 8,183,121 8,462,574
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Norwest Asset Securities, REMIC, Series 1996-2, Class A6
7.000%, 09/25/11 $ 7,938,037 $ 7,992,095
Norwest Asset Securities, REMIC, Series 1997-14, Class A2
6.750%, 10/25/27 17,199,000 17,351,383
NYC Mortgage Loan Trust, Series 1996, Class A2, 144A
6.750%, 06/25/11 4,255,000 4,356,056
NYC Mortgage Loan Trust, Series 1996, Class A3, 144A
6.750%, 09/25/19 8,615,000 8,227,325
Oakwood Mortgage Investors, Series 1996-B, Class A3
7.100%, 10/15/26 3,740,000 3,819,325
Oakwood Mortgage Investors, Series 1996-B, Class A4
7.350%, 10/15/26 5,030,000 5,231,418
PaineWebber Mortgage Acceptance, Series 1995-M1, Class A
6.700%, 01/15/07 18,625,000 19,387,321
PNC Mortgage Securities, REMIC, Series 1997-6, Class A2
6.600%, 07/25/27 2,578,998 2,596,973
Prudential Home Mortgage Securities, REMIC, Series 1994-12, Class A7
6.050%, 04/25/24 3,724,000 3,357,372
Prudential Home Mortgage Securities, REMIC, Series 1994-17, Class A5
6.250%, 04/25/24 5,310,000 5,028,092
Residential Accredit Loans, REMIC, Series 1997-QS4, Class A2
7.250%, 05/25/27 1,265,997 1,268,111
Residential Accredited Loans, REMIC, Series 1996-QS4, Class AI4
7.500%, 08/25/26 2,907,472 2,903,285
Residential Asset Securities, REMIC, Series 1998-KS2, Class AI3
6.240%, 02/25/17 955,000 954,838
Residential Asset Securization Trust, REMIC, Series 1997-A4, Class A3
7.250%, 06/25/27 10,108,759 10,102,997
</TABLE>
46
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Residential Funding Mortgage Section I, REMIC, Series 1997-S12, Class A1
7.000%, 08/25/27 $ 1,897,758 $ 1,903,565
---------------
Total Mortgage-Backed Securities
(Cost $233,236,102) 239,434,154
---------------
TAXABLE MUNICIPAL BONDS -- 10.96%
Allegheny County, Pennsylvania, Residential Finance Authority, RB, FHA (A)
0.000%, 08/01/28 8,100,000 915,137
Atlanta, Georgia, Urban Residential Finance Authority, RB, FNMA (A)
0.000%, 10/01/16 9,610,000 2,363,194
Baltimore, Maryland, Public Improvements, Series B, GO, FGIC
8.100%, 10/15/10 1,775,000 2,056,408
8.700%, 10/15/15 1,875,000 2,200,030
Belmont, California, Redevelopment Agency, Tax Allocation Bond, MBIA
7.550%, 08/01/11 895,000 1,043,748
California State, Housing Finance Agency, Single Family Mortgage, Issue A-1,
RB, AMBAC
7.900%, 08/01/07 7,010,000 7,528,038
California State, Housing Finance Authority, Single Family Mortgage,
Mezzanine-Issue A-1, RB, AMBAC/FHA
8.240%, 08/01/14 1,375,000 1,583,862
Cameron County, Texas, Housing Finance Corporation, RB, Series A, Class 1B,
FGIC
10.210%, 09/01/10 1,260,367 1,306,244
Cameron County, Texas, Housing Finance Corporation, Series A, Class 1C, FGIC
10.450%, 09/01/11 945,000 1,070,590
Chattahoochee Valley, Alabama, Water Supply, RB, Asset Guaranty
8.600%, 10/01/07 200,000 230,361
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Connecticut State, Health & Education Authority, Nursing-AHF/Hartford, RB
8.450%, 11/01/99 $ 470,000 $ 484,274
Connecticut State, Health & Education Authority, Sheriden Woods Center
Project, RB
7.950%, 11/01/05 1,755,000 1,942,961
8.730%, 11/01/17 1,150,000 1,375,055
Dade County, Florida, Aviation Revenue, RB, Series C, AMBAC
8.650%, 10/01/03 930,000 1,069,807
Dade County, Florida, Housing Finance Authority, Single Family Mortgage, RB,
Series B-1, GNMA (C)
5.600%, 04/01/27 3,412,514 3,650,570
Delaware State, Housing Authority, Single Family Mortgage, RB, Series B, AMBAC
6.750%, 07/01/14 955,000 964,264
Fulton, Missouri, GO, MBIA
7.500%, 07/01/07 1,135,000 1,267,795
Harrisburg, Pennsylvania, Resource Recovery Authority, RB, Series B, ETM
6.875%, 09/01/03 515,000 539,566
Harrisburg, Pennsylvania, Resource Recovery Authority, RB, Series B,
Pre-Refunded @ 102 (D)
7.750%, 09/01/03 3,145,000 3,539,981
Harristown, Pennsylvania, Development Corporation, Special Obligation, ETM
6.150%, 02/01/16 4,355,000 4,485,650
Hungtington, West Virginia, CMO, RB
9.050%, 01/15/12 842,559 871,121
Idaho State, Sand Creek Associates Ltd Partnership, Multi-Family Housing
Revenue, RB, HUD Section 8
8.250%, 12/01/18 3,515,000 3,730,470
Iowa State, Multi-Family Finance Authority, RB, GNMA
7.125%, 10/20/16 1,980,000 2,230,074
</TABLE>
47
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1998
Fixed Income Fund, continued
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Kanawha & Putnam County, West Virginia, RB, AMBAC (A)
0.000%, 12/01/16 $ 3,440,000 $ 1,018,412
Lake Mills, Iowa, Investors Ltd, RB, Series 1995
7.450%, 11/01/99 250,000 253,889
7.600%, 11/01/00 280,000 283,868
7.600%, 11/01/01 360,000 366,535
7.750%, 11/01/02 385,000 392,517
7.850%, 11/01/03 410,000 417,768
7.850%, 11/04/04 410,000 412,132
7.900%, 11/01/05 450,000 459,912
8.000%, 11/01/06 590,000 603,914
8.000%, 11/01/07 610,000 617,793
Louisiana State, Public Facilities Authority, RB, FSA
6.090%, 12/01/01 10,480,000 10,712,237
Manatee County, Florida, Housing Finance Authority, RB, GNMA
7.300%, 11/01/12 1,270,000 1,335,532
Mississippi State, Residual Home Corporation, RB, FHA (A)
0.000%, 12/01/08 55,000 27,583
0.000%, 12/01/12 8,380,000 3,106,047
Mississippi State, Single Family Home Corporation, RB, Series D, Class 3,
GNMA, FNMA
7.750%, 07/01/24 2,831,036 3,198,788
Mississippi State, Single Family Home Corporation, RB, Series G-CL 1, GNMA
6.450%, 11/01/07 2,805,000 2,880,455
Mississippi State, Single Family Home Corporation, RB, Series H, Class 1,
GNMA, FNMA
6.610%, 12/01/12 2,245,000 2,340,637
Monroe County, Ney York, Industrial Development Agency, Nationwide Products,
RB, LOC (C)
5.950%, 12/01/04 1,675,000 1,675,000
Montgomery County, New York, Industrial Development Agency, Central National
Bank, RB, Series A, FHLB (C)
5.100%, 05/01/25 3,660,000 3,660,000
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Montgomery County, New York, Industrial Development Agency, RB, Series A, FHLB
(C)
5.750%, 05/01/25 $ 905,000 $ 905,000
New Mexico State, Mortgage Finance Authority, Single Family Mortgage Program,
RB, GNMA, FNMA, FHLMC
7.430%, 07/01/29 3,325,000 3,610,950
New Orleans, Louisianna, Home Mortgage Authority, Single Family Mortgage, RB,
Series A, MBIA (A)
0.000%, 10/01/15 3,380,000 795,652
New York City, New York, GO, Pre-Refunded @ 102 (A)(D)
0.000%, 11/15/01 240,000 211,608
New York City, New York, GO, Pre-Refunded @ 103 (A)(D)
0.000%, 08/01/01 45,000 40,622
New York City, New York, GO, Series D
10.000%, 08/01/06 330,000 380,061
New York City, New York, GO, Series F, Pre-Refunded @ 102 (D)
10.500%, 11/15/01 575,000 672,175
New York City, New York, Industrial Development Agency, Civic Facilities
Revenue, RB, Series B, MBIA
8.100%, 09/01/06 1,600,000 1,812,944
New York State, Housing Finance Agency, Multi-Family Housing, RB, FHA
8.110%, 11/15/38 2,965,000 3,376,542
North Greenbush, New York, Industrial Development Agency, RB (C)
9.750%, 11/01/08 6,000,000 6,000,000
North Miami, Florida, Pension Funding Project, RB, FSA
6.850%, 07/01/05 255,000 273,771
North Miami, Florida, Pension Funding Project, RB, FSA
7.000%, 01/01/08 165,000 182,495
</TABLE>
48
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C>
North Miami, Florida, Pension Funding Project, RB, FSA
7.000%, 07/01/08 $ 170,000 $ 188,775
Oklahoma City, Oklahoma, Airport Trust, RB, 17TH Series
8.300%, 10/01/12 1,000,000 1,108,600
Oklahoma City, Oklahoma, Airport Trusts, Federal Bureau Prisons Project, RB
9.800%, 11/01/14 2,650,000 3,519,730
Oklahoma County, Oklahoma, Single Family Home Finance Authority, RB, Series B
(A)
0.000%, 07/01/12 3,450,000 963,929
Panhandle, Texas, Regional Housing Finance Corporation, Single Family Mortgage
Revenue, RB, (A)
0.000%, 10/01/11 1,460,000 490,356
Pima & Maricopa Countys, Arizona, Industrial Development Authority, Bulk Sale
Program, RB, FNMA
6.500%, 01/01/06 590,000 612,479
Plymouth County, Massachuettes, COP, Series B
10.400%, 04/01/22 5,100,000 6,052,170
Quad Cities, Illinois, Regional Economic Development Authority, Heritage Place
Project, RB (C)
6.190%, 08/01/16 495,000 546,579
Sedwick & Shawnee Counties, Kansas, Single Family Revenue, Mortgage Backed
Second Program, RB, Series A-3, GNMA
6.520%, 12/01/12 6,710,000 6,900,564
Sedwick & Shawnee Counties, Kansas, Single Family Revenue, Mortgage Backed
Second Program, RB, Series B, GNMA
8.375%, 06/01/18 11,240,000 12,556,204
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Southwestern Illinois, Developmental Sports Authority, Gateway International
Motorsports, RB
9.200%, 02/01/13 $ 2,250,000 $ 2,954,025
9.250%, 02/01/17 1,500,000 1,849,650
Tarrant County, Texas, Housing Fiance Corporation, RB, MBIA
6.650%, 07/15/16 405,000 413,384
Texas State, Department of Housing & Community Affairs, North Hampton
Foundation, RB, Series B
6.400%, 01/01/99 25,000 25,043
Utah State, Housing Finance Agency, Single Family Mortgage, Series D-1, RB,
FHA
9.850%, 07/01/10 195,000 211,556
Wagner College, New York RB, ETM
8.950%, 10/01/02 1,500,000 1,733,100
---------------
Total Taxable Municipal Bonds
(Cost $130,024,273) 138,600,183
---------------
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED OBLIGATIONS -- 9.56%
Federal Home Loan Mortgage Corporation, REMIC, Series 1178, Class G
6.750%, 05/15/06 11,813 11,830
Federal Home Loan Mortgage Corporation, REMIC, Series 1296, Class G (C)
5.331%, 07/15/99 635,586 635,842
Federal Home Loan Mortgage Corporation, REMIC, Series 1411, Class G
6.500%, 07/15/18 4,190,000 4,247,504
Federal Home Loan Mortgage Corporation, REMIC, Series 1462, Class PT
7.500%, 01/15/03 4,029,466 4,157,556
Federal Home Loan Mortgage Corporation, REMIC, Series 1496, Class KB
6.500%, 05/15/08 1,955,000 1,967,414
</TABLE>
49
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1998
Fixed Income Fund, continued
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Federal Home Loan Mortgage Corporation, REMIC, Series 1562, Class J
7.000%, 05/15/10 $ 9,650,000 $ 9,937,598
Federal Home Loan Mortgage Corporation, REMIC, Series 1633, Class PE
5.750%, 10/15/17 1,390,667 1,396,035
Federal Home Loan Mortgage Corporation, REMIC, Series 32, Class PD
6.350%, 03/25/15 813,553 811,698
Federal Home Loan Mortgage Corporation, REMIC, Series 70, Class C
9.000%, 09/15/20 457,001 475,550
Federal National Mortgage Association, Pool # 2902
6.000%, 08/01/28 720,001 711,282
Federal National Mortgage Association, Pool # 303387
8.000%, 07/01/02 1,278,454 1,306,590
Federal National Mortgage Association, REMIC, Series 1989-79, Class D
9.000%, 11/25/19 1,182,463 1,237,491
Federal National Mortgage Association, REMIC, Series 1992-100, Class M
8.500%, 06/25/05 7,450,000 7,573,196
Federal National Mortgage Association, REMIC, Series 1992-43, Class E
7.500%, 04/25/22 3,185,000 3,294,314
Federal National Mortgage Association, REMIC, Series 1993-192, Class E
5.950%, 11/25/07 1,000,000 1,012,339
Federal National Mortgage Association, REMIC, Series 1994-34, Class PD
5.500%, 10/25/04 447,899 446,990
Federal National Mortgage Association, REMIC, Series 1994-92, Class DE
7.500%, 07/25/07 5,837,556 6,056,833
Federal National Mortgage Association, REMIC, Series 1995-2, Class H
8.500%, 06/25/10 16,945,000 17,610,371
Federal National Mortgage Association, REMIC, Series 1996-12, Class C
6.500%, 03/25/23 6,120,000 6,270,571
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Federal National Mortgage Association, REMIC, Series 1996-23, Class D
6.500%, 10/25/23 $ 2,470,000 $ 2,532,451
Federal National Mortgage Association, REMIC, Series 1997-32, Class PB
6.500%, 03/25/15 12,814,000 13,156,854
Federal National Mortgage Association, REMIC, Series 1997-40, Class PE
6.750%, 07/18/19 4,925,000 4,996,237
Federal National Mortgage Association, REMIC, Series 1997-W2, Class A3
6.575%, 11/25/27 2,000,000 2,038,253
Federal National Mortgage Association, REMIC, Series G-26, Class F (C)
6.188%, 12/25/20 17,005 17,015
Federal National Mortgage Association, REMIC, Series G92-39, Class Q
7.000%, 03/25/01 2,795,000 2,827,806
Federal National Mortgage Association, REMIC, Series G93-31, Class G
7.000%, 01/25/03 3,584,528 3,653,150
Federal National Mortgage Association, Series 1995-M2, Class B
6.700%, 05/25/28 2,346,308 2,364,257
Federal National Mortgage Association, Series 1997-M2, Class B
7.350%, 02/17/08 19,370,000 20,175,066
---------------
Total U.S. Government Agency Mortgage-Backed Obligations
(Cost $117,916,654) 120,922,093
---------------
U.S. TREASURY OBLIGATIONS -- 14.78%
U.S. Treasury Bond
8.000%, 11/15/21 99,680,000 133,633,500
U.S. Treasury Notes
5.750%, 09/30/99 4,345,000 4,396,597
6.500%, 05/31/01 29,047,000 30,562,905
7.875%, 11/15/04 15,688,000 18,423,594
---------------
Total U.S. Treasury Obligations
(Cost $184,217,321) 187,016,596
---------------
</TABLE>
50
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C>
REPURCHASE AGREEMENT -- 2.36%
J.P. Morgan Securities 5.45%, dated 10/30/98, matures, 11/02/98, repurchase value
$29,871,878 (Collateralized by FHLB par value $27,365,000, due 08/20/08, market value
$27,686,304, by FHLB par value $2,740,000, due 09/03/08, market value $2,767,122)
(Cost $29,858,317) $29,858,317 $ 29,858,317
---------------
Total Investments -- 97.84%
(Cost $1,206,137,201) 1,237,373,502
OTHER ASSETS AND LIABILITIES, NET -- 2.16% 27,374,214
---------------
Net Assets -- 100% $ 1,264,747,716
---------------
---------------
</TABLE>
<TABLE>
<S> <C>
(A) ZERO COUPON BOND.
(B) MANDATORY PUT SECURITY. THE MANDATORY PUT DATE IS SHOWN AS THE
MATURITY DATE ON THE SCHEDULE OF INVESTMENTS.
(C) VARIABLE RATE SECURITY. THE RATE REPORTED ON THE SCHEDULE OF
INVESTMENTS IS THE RATE IN EFFECT ON OCTOBER 31, 1998
(D) PRE-REFUNDED SECURITY. THE PRE-REFUNDED DATE IS SHOWN AS THE
MATURITY DATE ON THE SCHEDULE OF INVESTMENTS.
CMO COLLATERIZED MORTGAGE OBLIGATION
ETM ESCROWED TO MATURITY
GO GENERAL OBLIGATION
MTN MEDIUM TERM NOTE
RB REVENUE BOND
REMIC REAL ESTATE MORTGAGE INVESTMENT CONDUIT
144A SECURITY EXEMPT FROM REGISTRATION UNDER 144A OF THE SECURITY
ACT OF 1933. THESE SECURITIES MAY BE RESOLD IN TRANSACTIONS
EXEMPT FROM REGISTRATION, NORMALLY TO QUALIFIED BUYERS.
THE FOLLOWING ORGANIZATIONS HAVE PROVIDED UNDERLYING CREDIT SUPPORT FOR THE
SECURITIES AS DEFINED IN THE SCHEDULE OF INVESTMENTS.
AMBAC AMERICAN MUNICIPAL BOND ASSURANCE CORPORATION
COP CERTIFICATE OF PARTICIPATION
FGIC FINANCIAL GUARANTEE INSURANCE COMPANY
FHA FEDERAL HOUSING ADMINISTRATION
FHLB FEDERAL HOME LOAN BANK
FHLMC FEDERAL HOME LOAN MORTGAGE COMPANY
FSA FINANCIAL SECURITY ASSURANCE INC.
FNMA FEDERAL NATIONAL MORTGAGE ASSOCIATION
GNMA GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
HUD HOUSING AND URBAN DEVELOPMENT
MBIA MUNICIPAL BOND INVESTORS ASSURANCE
</TABLE>
Short-Term
Municipal Bond Fund
<TABLE>
<S> <C> <C>
MUNICIPAL BONDS -- 91.02%
ALABAMA -- 0.09%
Birmingham Medical Clinic Board, Baptist Medical Centers, RB, ETM
8.125%, 07/01/99 $ 25,000 $ 25,445
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Hartselle Medical Clinic, Hospital Clinic America, RB, ETM
6.250%, 10/01/02 $ 20,000 $ 21,775
------------
47,220
------------
ALASKA -- 0.11%
Valdez, Marine Terminal Revenue, ARCO Pipe Line Company Project, RB, Pre-
Refunded @ 100 (D)
6.000%, 08/01/03 55,000 58,575
------------
58,575
------------
ARIZONA -- 0.90%
Maricopa County, Hospital Revenue Authority, Phoenix Baptist Hospital &
Medical Center, RB, ETM
7.125%, 10/01/02 175,000 183,094
Maricopa County, Hospital Revenue Authority, Samaritan Health Services, RB,
ETM
6.750%, 01/01/04 50,000 53,562
Maricopa County, Hospital Revenue Authority, Sun Health Corp., RB, ETM
7.875%, 04/01/02 240,000 257,700
------------
494,356
------------
ARKANSAS -- 4.28%
Crosett, Industrial Development Authority, Georgia Pacific Project, RB,
Pre-Refunded @ 100 (D)
6.000%, 06/01/01 175,000 185,719
Little Rock, Residential Housing & Public Facility Board, RB, Series B (A)
0.000%, 07/15/11 305,000 135,344
Little Rock, Sewer & Construction Refunding, RB
4.300%, 02/01/99 50,000 50,124
Mississippi County, Hospital Revenue, RB, ETM, AMBAC
7.250%, 11/01/02 35,000 37,406
Pulaski County, Health Facility Board, Saint Vincent Infirmary, RB,
Pre-Refunded @ 100, MBIA (D)
9.750%, 09/01/99 75,000 78,545
Pulaski County, Health Facility Board, Saint Vincent Infirmary, RB,
Pre-Refunded @ 100, MBIA (D)
10.000%, 09/02/99 5,000 5,285
</TABLE>
The accompanying notes are an integral part of the financial statements.
51
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1998
Short-Term
Municipal Bond Fund, continued
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Rogers Ark, Residential Housing Facility Board, Innisfree Apartment Project,
RB, Mandatory Put @ 100, LOC (B)
4.875%, 05/01/03 $ 1,000,000 $ 1,000,000
Rogers Ark, Sales & Use Tax Revenue, RB, Series 1996
5.000%, 11/01/15 845,000 853,450
------------
2,345,873
------------
CALIFORNIA -- 1.94%
ABAG Finance Authority For The Non-Profit Co., American Baptist Homes, Series
A, COP
5.500%, 10/01/07 400,000 407,000
Compton, Community Redevelopment Agency, Walnut Industrial Park Project, Tax
Allocation Bond, Pre-Refunded @ 103, AMBAC (D)
10.200%, 08/01/99 15,000 16,104
Los Angeles, Housing Authority, Multi-Family Housing, The Palm Apartments, RB,
Series E, FNMA
4.000%, 07/01/99 80,000 80,458
4.200%, 01/01/00 80,000 80,100
4.200%, 07/01/00 85,000 85,106
4.300%, 01/01/01 35,000 35,088
Los Angeles, Housing Redevelopment Agency, Monterey Hills Redevelopment
Project, RB, Series B
5.500%, 12/01/05 40,000 41,550
Los Angeles, Public Facility Corporation, RB, ETM
5.400%, 08/01/07 25,000 26,313
San Diego, Mercy Hospital & Medical Center, RB, ETM
8.400%, 02/01/99 35,000 35,375
Santa Clara County, Housing Authority, Amberwood Apartments Project, RB,
Series C, FNMA
4.750%, 10/01/07 255,000 255,637
------------
1,062,731
------------
COLORADO -- 1.04%
El Paso County, Colonial Residual Revenue, RB, Series C, AMT (A)
0.000%, 07/10/14 1,000,000 310,000
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Housing & Finance Authority, Single Family Housing Program, RB, Series E
6.250%, 12/01/09 $ 70,000 $ 72,100
Lafayette, GO
4.600%, 12/01/98 25,000 25,030
Logan County, Single Family Mortgage, RB, Series A
8.500%, 11/01/11 155,000 163,331
------------
570,461
------------
CONNECTICUT -- 0.70%
Health & Educational Facilities, Lutheran General Health Care System, RB, ETM
7.250%, 07/01/04 65,000 71,825
State Housing Finance Authority, Housing Mortgage Finance Program, RB, Series
B, FHA
7.000%, 11/15/02 150,000 154,524
State Resource Recovery Authority, Bridgeport Resco Company Project, RB,
Series A
7.625%, 01/01/09 55,000 56,506
Connecticut State, GO
5.250%, 07/01/02 100,000 100,138
------------
382,993
------------
DELAWARE -- 0.13%
Dover, Water & Sewer Revenue, RB, Series B, MBIA
7.200%, 07/01/01 20,000 20,200
State Economic Development Authority, Wilmington Friends School Project
6.300%, 07/01/99 50,000 50,357
------------
70,557
------------
DISTRICT OF COLUMBIA -- 0.24%
Housing Finance Agency, Single Family Housing, RB, Series E-2, FHA, GNMA
7.100%, 12/01/98 130,000 130,230
------------
130,230
------------
FLORIDA -- 5.03%
Alachua County Health Facility Authority, Shands Teaching Hospital & Clinics
Inc., RB, ETM
7.000%, 12/01/01 10,000 10,575
Dade County, Educational Facilities Authority Exchange, University of Miami
Issue, RB, MBIA
7.650%, 04/01/10 900,000 963,000
</TABLE>
52
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Dade County, RB, Pre-Refunded @ 103 (D)
9.750%, 02/01/00 $ 635,000 $ 686,594
Housing Finance Agency, Multi-Family Revenue, RB, LOC
4.850%, 12/01/05 1,000,000 1,000,630
Lee County, Justice Center Complex, RB, Series A, ETM, MBIA
10.750%, 01/01/01 15,000 16,331
Orange County, Housing Authority, RB, CMO, Series A, GNMA
7.250%, 09/01/11 75,000 80,063
------------
2,757,193
------------
GEORGIA -- 2.07%
Clarke County, Hospital Authority, RB, MBIA, ETM
9.750%, 01/01/02 95,000 104,975
Cobb County, Kennestone Hospital Authority, RB, MBIA, ETM
10.250%, 02/01/02 60,000 65,925
Crisp County, Industrial Development Authority, Cobis Products Company, RB,
ETM
6.300%, 07/01/02 174,000 189,008
Crisp County, Solid Waste Development Authority, RB
6.300%, 09/01/10 775,000 775,000
------------
1,134,908
------------
IDAHO -- 1.55%
Boise City, Industrial Development Corporation, Western Trailer Company
Project, RB, LOC
4.750%, 12/15/02 650,000 665,438
State Housing Agency, Single Family Mortgage, RB, Series C-1, FHA
7.650%, 07/01/10 180,000 186,975
------------
852,413
------------
ILLINOIS -- 11.17%
Addison, Alton, Pekin, & Granite City, CMO Series 1989-B, FSA
7.580%, 11/10/09 129,838 130,022
Chicago, Multi-Family Housing, Madison Park Apartments, RB, Series A, LOC
7.000%, 07/01/04 50,000 50,863
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Chicago, School Finance Authority, GO, Series B, MBIA
7.500%, 06/01/00 $ 65,000 $ 65,843
Educational Facilities Authority Revenues, Capital Appreciation Loyola-84-A,
RB, Pre-Refunded @ 60.293 (A) (D)
0.000%, 07/01/99 100,000 59,052
Health Facilities Authority Revenue, MacNeal Memorial Hospital Association
Project, RB, Pre-Refunded @ 100 (D)
6.600%, 08/01/01 95,000 99,513
Health Facilities Revenue Authority, Community Hospital Of Ottawa Project, RB
6.750%, 08/15/14 300,000 334,500
Health Facilities Authority Revenue, Midwest Group Ltd., RB, ACA
5.375%, 11/15/08 3,580,000 3,812,700
Homewood, GO, MBIA
5.700%, 12/01/01 20,000 21,150
Palatine County, Multi-Family Housing, Clover Ridge East Apartments, RB, LOC
(C)
4.750%, 12/15/07 400,000 409,000
Palatine County, Tax Increment Revenue, Dundee Road Redevelopment Project, Tax
Allocation Bond, AMBAC
5.250%, 01/01/17 1,000,000 1,013,750
State Housing Development Authority, Home Owner Mortgage, RB, Series A-1
5.250%, 08/01/00 45,000 45,675
State Toll Highway Authority, RB, Pre-Refunded @ 100 (D)
6.750%, 01/01/06 70,000 77,700
------------
6,119,768
------------
INDIANA -- 1.02%
Mishawaka, LaSalle School Building, First Meeting, RB
4.000%, 07/05/99 50,000 50,205
Monroe County, Bloomington Hospital Project, RB, BIGI
6.800%, 05/01/99 50,000 50,871
North Adams, Community Schools, RB, MBIA
4.700%, 07/15/99 55,000 55,600
Reid Memorial Hospital Inc., RB, ETM
6.250%, 05/01/00 210,000 215,775
</TABLE>
53
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1998
Short-Term
Municipal Bond Fund, continued
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Shelbyville, Middle School Building, First Meeting, RB, ETM
7.150%, 07/15/99 $ 40,000 $ 41,134
Vigo County, Hospital Authority, RB, ETM
6.875%, 04/01/04 135,000 147,487
------------
561,072
------------
KANSAS -- 1.98%
Saline County, Single Family Mortgage, RB, Series A
9.500%, 10/01/11 55,000 58,506
Sedgwick & Shawnee County, Single Family Mortgage-Backed Securities Programs,
RB, AMT, GNMA
4.700%, 12/01/08 850,000 851,063
Wichita, Hospital Revenue, Wesley Medical Center, RB, MBIA, ETM
10.000%, 04/01/02 155,000 174,762
------------
1,084,331
------------
KENTUCKY -- 0.16%
Ashland, Industrial Building, Whayne Supply Company, RB, MBIA
7.375%, 06/01/99 70,000 70,881
McCraken County, Hospital Revenue, RB, ETM
8.250%, 03/01/99 15,000 15,120
------------
86,001
------------
LOUISIANA -- 0.37%
East Baton Rouge Parish Hospital, RB, ETM
6.200%, 10/01/02 50,000 52,438
Public Facility Authority, RB, Series D, Pre-Refunded @ 102 (D)
7.900%, 12/01/98 55,000 56,295
State Health Education Authority, Alton Ochsner Medical Foundation Issue-A,
RB, ETM
8.750%, 05/01/05 85,000 96,156
------------
204,889
------------
MASSACHUSETTS -- 2.14%
Boston City Hospital, Series A, RB, Pre-Refunded @ 100 & 102, FHA (D)
7.625%, 08/15/00 170,000 185,300
7.650%, 08/15/00 260,000 283,725
State Health & Education Facility, Saint Joseph Hospital, RB, Series C, Pre-
Refunded @ 102 (D)
9.500%, 10/01/99 100,000 106,753
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
State Industrial Finance Agency, Ames Safety Envelope Company, RB, Mandatory
Put @ 100 LOC (B)
5.350%, 09/01/00 $ 150,000 $ 153,938
State Industrial Finance Agency, General Motors Corporation, RB
5.550%, 04/01/09 225,000 229,939
State Housing Finance Agency, Single Family Home Project, RB, Series 21
6.500%, 12/01/10 30,000 31,762
State Housing Finance Agency, Single Family Home Project, RB, Series 8, FHA
7.000%, 06/01/99 180,000 182,630
------------
1,174,047
------------
MAINE -- 3.06%
Finance Revenue Authority, Electronic Rate Stabilization, RB, FSA
5.200%, 07/01/18 1,650,000 1,674,750
------------
1,674,750
------------
MARYLAND -- 0.32%
Annapolis, Economic Development, Saint John's College Facility, RB
4.600%, 10/01/02 175,000 176,531
------------
176,531
------------
MICHIGAN -- 0.49%
Detroit, Sewage Disposal Revenue, RB, ETM
6.900%, 12/15/99 100,000 102,125
Kalamazoo, Hospital Finance Authority, RB, ETM
7.000%, 07/01/01 105,000 109,856
State Building Authority, RB, Series II, ETM, MBIA
7.400%, 04/01/01 55,000 57,063
------------
269,044
------------
MINNESOTA -- 0.20%
Saint Paul, Port Authority, RB, Pre-Refunded @ 102 (D)
8.000%, 12/01/98 70,000 71,659
Western Minnesota, Municipal Power Agency, RB, Pre-Refunded @ 100 (D)
10.125%, 01/01/99 35,000 35,394
------------
107,053
------------
</TABLE>
54
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
MISSISSIPPI -- 1.84%
Corinth & Alcorn County, Magnolia Regional Health Center, Series A, RB
4.750%, 10/01/03 $ 1,000,000 $ 1,010,000
------------
1,010,000
------------
MISSOURI -- 1.44%
Freeman Hospital, RB, ETM
6.750%, 08/01/03 115,000 129,519
Saint Louis County, Single Family Mortgage, RB, AMBAC
9.250%, 10/01/16 35,000 38,369
Saint Louis, Airport Revenue, RB, ETM
12.000%, 07/01/99 80,000 84,651
12.100%, 07/01/00 135,000 153,563
12.100%, 07/01/01 30,000 36,375
State Housing Development, Single Family Mortgage, RB, GNMA
6.625%, 12/01/17 325,000 344,905
------------
787,382
------------
NEBRASKA -- 0.48%
Buffalo County, Hospital Authority, Good Samaritan Hospital Project, RB, ETM
7.400%, 11/01/00 45,000 46,575
Douglas County, Hospital Authority, Immanuel Medical Center, RB, ETM
6.250%, 10/01/00 85,000 87,125
State Investment Finance Authority, Single Family Mortgage, RB, GNMA
7.500%, 03/15/15 125,000 131,094
------------
264,794
------------
NEVADA -- 0.48%
Henderson, Local Improvement, Special Assessment Bond
6.700%, 04/01/00 50,000 52,102
Reno Hospital Revenue, Saint Mary's Hospital Inc., RB, Series B, Pre-Refunded
@ 102 (D)
7.750%, 01/01/00 35,000 37,406
Reno Hospital Revenue, Saint Mary's Hospital Inc., RB, Series C, Pre-Refunded
@ 102 (D)
7.750%, 01/02/00 25,000 26,719
State Housing Division, Multi Unit Housing Revenue, RB, Issue A, FNMA
6.450%, 10/01/04 35,000 37,669
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
State, Municipal Bond Bank Project #18 & 19, GO, ETM
8.300%, 09/01/00 $ 100,000 $ 108,000
------------
261,896
------------
NEW HAMPSHIRE -- 0.91%
Higher Educational & Health Facility, Kendal At Hanover Project, RB,
Pre-Refunded @ 102 (D)
8.000%, 10/01/99 190,000 202,052
Housing Finance Authority, Single Family Housing, RB, Series B
7.550%, 07/01/09 55,000 56,925
State, Housing Finance Authority, RB, LOC
6.250%, 01/01/18 240,000 241,368
------------
500,345
------------
NEW JERSEY -- 8.43%
Health Care Facilities, Muhlenberg REGL-B, RB, MBIA
8.000%, 07/01/18 850,000 872,381
Health Care Facilities, Saint Elizabeth Hospital, RB, Pre-Refunded @ 102 (D)
8.250%, 07/01/00 255,000 279,225
Mercer County, Public Improvements Authority, State Justic Complex, RB, ETM
6.000%, 01/01/99 45,000 45,212
New Jersey State, GO
5.000%, 04/30/02 640,000 640,000
State Educational Facilities, Fairleigh Dickinson University, RB, Series C,
ETM
7.750%, 07/01/01 2,095,000 2,225,937
State Turnpike Authority RB, ETM
10.375%, 01/01/03 460,000 531,300
State Turnpike Authority, RB, ETM, MBIA
10.375%, 01/01/03 25,000 28,812
------------
4,622,867
------------
NEW MEXICO -- 1.89%
Albuquerque CMO, Class B-1, FSA
7.650%, 08/15/07 21,517 22,861
Albuquerque CMO, Class B-2, FGIC
7.000%, 05/15/11 641,821 661,363
Sandoval County, Gross Receipts Tax, RB, ETM
6.000%, 11/01/98 105,000 105,000
</TABLE>
55
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1998
Short-Term
Municipal Bond Fund, continued
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Taos County, Local Hospital Gross, RB, Series B, Asset Guaranty
5.000%, 05/15/02 $ 245,000 $ 246,274
------------
1,035,498
------------
NEW YORK -- 2.75%
Battery Park City, New York Revenue Authority, RB, Series B
5.200%, 11/01/23 1,195,000 1,206,950
State Dormitory Authority Revenues, Capital Appreciation, RB, Series C, FSA
(A)
0.000%, 07/01/04 340,000 272,850
State Housing Finance Agency, State University Construction, RB, ETM
7.375%, 11/01/98 20,000 20,000
State Medical Care Facilities Finance, Hospital & Nursing Home, RB, FHA
6.700%, 08/15/01 5,000 5,169
------------
1,504,969
------------
OHIO -- 3.74%
Barberton Hospital Improvement Revenue, RB, ETM
6.500%, 07/15/00 50,000 51,438
Clermont County, Hospital Facility, ETM
7.375%, 06/01/99 10,000 10,120
Hamilton County Hospital Facilities, Saint Francis-Saint Georges Hospital
Inc., RB, ETM
7.625%, 02/15/01 65,000 70,688
Housing Finance Agency, Single Family Mortgage, RB, Series A
5.750%, 04/01/16 305,000 309,956
Lucas County Hospital, Riverside Hospital Project, RB, ETM
6.950%, 08/01/04 30,000 32,625
Lucas County, Hospital Revenue,Toledo Hospital, RB, Pre-Refunded @ 102, MBIA
(D)
6.750%, 11/15/99 170,000 177,670
Lucas County, Mercy Hospital Project, RB, ETM
6.000%, 09/01/04 80,000 85,000
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Miami County, Hospital Facility, Upper Valley Medical Center, RB, Series A,
Pre-Refunded @ 102, MBIA (D)
6.625%, 05/01/99 $ 110,000 $ 114,127
Middletown Hospital Improvements, RB, ETM
6.250%, 04/01/99 15,000 15,083
Montgomery County, Miami Valley Hospital Society, RB, ETM
10.125%, 01/01/00 30,000 31,125
Stark County, Hospital Revenue Authority, RB, ETM
6.875%, 12/01/06 130,000 143,813
State Capital Housing Corporation, Section 8 Assisted, RB, MBIA
4.500%, 01/01/03 1,005,000 1,010,024
------------
2,051,669
------------
OKLAHOMA -- 0.85%
Bryan County, Economic Development Revenue Authority, Single Family Mortgage,
RB, Series A
8.600%, 07/01/10 80,000 83,400
State Industrial Authority Revenue, Presbyterian Hospital, RB, ETM
6.250%, 10/01/02 65,000 67,275
State Industrial Authority, Baptist Medical Center, RB, ETM
7.000%, 07/01/03 190,000 204,250
Tulsa, Airport Improvements, Tulsa International Airport, RB, FGIC, ETM
6.200%, 06/01/00 110,000 112,338
------------
467,263
------------
PENNSYLVANIA -- 16.56%
Allegheny County, Hospital Development Authority, Presbyterian Health Center,
RB, Series B, MBIA
4.875%, 11/01/98 50,000 50,000
Allegheny County, Industrial Development Authority, Three Parkway Center East,
RB, LOC
5.050%, 12/01/04 15,000 15,024
Allegheny Valley School District, GO, ETM
6.000%, 12/01/03 100,000 104,250
</TABLE>
56
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Beaver County, Hospital Authority Revenue, Saint Francis General Hospital, RB,
ETM
7.750%, 07/15/01 $ 125,000 $ 128,594
Beaver County, Housing Authority, RB, MBIA
7.875%, 07/01/99 125,000 125,000
Bensalem Township, Water & Sewer Authority, RB, ETM
5.700%, 11/01/02 25,000 26,781
Bucks County, Saint Mary Hospital Authority, RB, ETM
6.625%, 07/01/04 100,000 108,750
California, Area School Building, MBIA, ETM
5.750%, 05/15/03 40,000 41,650
Cambria County, GO, ETM
8.250%, 06/01/00 50,000 52,000
Chester County, Health & Education Facility, Barclay Friends Project, RB,
Series B, Mandatory Put @ 100, LOC (B)
4.900%, 08/01/99 300,000 302,814
Chester County, Hospital Authority, ETM
5.750%, 02/01/03 5,000 5,163
Chester County, Hospital Authority, RB, ETM
7.500%, 07/01/09 15,000 17,588
Clearfield Hospital Authority, Clearfield Hospital Project, RB
6.875%, 06/01/16 305,000 333,594
Dauphin County, General Authority Sub Mandatory Put @ 100, AMBAC (B)
4.625%, 06/02/03 1,015,000 1,015,000
Dauphin County, General Authority, RB, Mandatory Put @ 100 (B)
6.400%, 06/02/02 200,000 214,750
Delaware County, Authority University Revenues, Villanova University, RB, ETM
9.625%, 08/01/02 55,000 61,531
Delaware County, Pennsylvania Revenue Authority, White Horse Village Project,
RB, ETM
9.000%, 07/01/99 55,000 56,178
East Pennsboro Township, GO, ETM
6.000%, 03/01/02 180,000 187,875
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Emmaus, General Revenue Authority, Local Government Board Pool Program, RB,
Series C
7.900%, 05/15/18 $ 35,000 $ 35,523
Emmaus, General Revenue Authority, Local Government Board Pool Program, RB,
Series D
7.900%, 05/15/18 90,000 91,345
Emmaus, General Revenue Authority, Local Government Board Pool Program, RB,
Series F
7.900%, 05/15/18 155,000 157,316
Energy Development Authority, Piney Creek, RB, Series B, LOC
7.200%, 12/01/00 15,000 15,769
Erie, Higher Education Building Authority, Mercyhurst College Project, RB
4.800%, 03/15/00 225,000 227,250
Harrisburg, GO, MBIA, ETM
9.750%, 04/15/99 15,000 15,240
Housing Finance Agency, Rental Housing, RB, FNMA
5.800%, 07/01/22 1,015,000 1,055,600
Interboro School District Authority, RB, MBIA, ETM
6.400%, 09/01/01 165,000 174,075
Intergovernmental Corporation Authority, Special Tax Bond, ETM, FGIC
6.000%, 06/15/02 50,000 53,000
Ligonier, Municipal Water Revenue Authority, RB
6.300%, 04/15/06 95,000 98,325
Metropolitan Lancaster, Water Authority, RB
4.250%, 02/15/00 570,000 570,638
Northampton County, Hospital Authority, RB, ETM
7.500%, 07/01/02 215,000 230,050
Northeastern Hospital Authority, Wilkes-Barre General Hospital, RB, Series A,
Pre-Refunded @ 102 (D)
7.650%, 07/01/99 130,000 136,409
Northhampton County, Industrial Development Authority, Strawbridge Project,
RB, ETM
7.200%, 12/15/01 75,000 81,188
</TABLE>
57
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1998
Short-Term
Municipal Bond Fund, continued
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Philadelphia Hospitals & Higher Education, Saint Agnes Medical Center Project,
RB, ETM, FHA
6.750%, 08/15/01 $ 240,000 $ 249,600
Pittsburgh, Urban Redevelopment Authority, RB, Series C, AMT
5.000%, 04/01/00 170,000 171,913
Pocono Mountain, School District, GO, MBIA, ETM
9.100%, 03/01/02 15,000 16,369
Ridgway, Area School Revenue Authority, RB, ETM
6.250%, 06/15/02 55,000 57,019
Rochester, Area School District, GO, MBIA (A)
0.000%, 10/01/00 55,000 51,288
Sayre Boro, Hospital Authority, RB, AMBAC, ETM
6.900%, 11/01/02 205,000 219,094
Scranton Lackawanna, Moses Taylor Hospital Project, RB, Series A, ETM
8.250%, 07/01/01 95,000 101,175
State Finance Authority, Capital Improvements Program, RB
6.600%, 11/01/09 1,250,000 1,375,000
State Higher Education Assistance, RB, FGIC, Series A
6.800%, 12/01/00 25,000 26,344
Stroudsburg Area, School District, GO, FGIC, ETM
8.400%, 09/01/01 100,000 107,125
Uniontown Area, School Authority, RB, ETM,
6.300%, 10/01/02 135,000 142,255
Upper St. Clair Township, School Authority, RB, ETM
6.500%, 02/15/04 10,000 10,637
Valley View School Building Authority, RB, ETM
6.050%, 02/01/02 40,000 41,500
6.250%, 02/01/02 45,000 46,743
Wayne Pike, Joint School Authority, RB, MBIA, ETM
6.000%, 12/01/07 515,000 553,624
Williamsport Area, Joint School Authority, RB, MBIA, ETM
6.000%, 03/01/07 55,000 59,124
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
York County, Industrial Development Authority, Fox Ridge Personal Care
Facility, RB, Series A, Pre-Refunded @ 100 (D)
9.500%, 10/01/02 $ 50,000 $ 60,188
------------
9,077,268
------------
SOUTH CAROLINA -- 1.16%
Charleston, Waterworks & Sewer Revenue, RB, ETM
10.125%, 01/01/02 75,000 83,906
Medical University, Harborview Office, COP
7.375%, 01/01/04 500,000 553,125
------------
637,031
------------
SOUTH DAKOTA -- 0.09%
Housing Development Authority, Home Ownership Mortgage, RB, Series E
5.600%, 05/01/01 50,000 51,313
------------
51,313
------------
TENNESSEE -- 2.17%
Bristol, Health & Educational Facilities, RB, ETM
6.900%, 01/01/07 60,000 67,125
Fayetteville & Lincoln County, Industrial Development Board, Franke
Incorporated Project, RB, LOC
5.000%, 06/01/01 340,000 345,525
Housing Development Agency, Homeownership Program, RB
7.375%, 07/01/23 100,000 105,000
Mount Pleasant, Industrial Development Board, Stauffer Chemical Company, RB,
ETM
7.375%, 03/01/00 90,000 92,813
Shelby County, Health & Educational Authority, Multi-Family Housing, Windsor
Apartments, RB, Asset Guaranty
6.500%, 10/01/07 100,000 107,125
6.000%, 10/01/02 450,000 474,187
------------
1,191,775
------------
TEXAS -- 4.33%
Brazos County, Housing Finance Corporation, Single Family Mortgage, RB, FNMA
5.050%, 03/01/07 5,000 5,081
Coastal, Industrial Water Authority, RB, MBIA, ETM
7.200%, 12/15/08 50,000 54,625
</TABLE>
58
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Collin County, Community College, RB, AMBAC
5.150%, 02/01/07 $ 25,000 $ 25,969
Forth Worth, Housing Financial Services Program, Single Family Mortgage, RB,
Series A, GNMA
7.900%, 06/01/01 50,000 51,587
Grand Prairie, Housing Finance Corporation, RB, GNMA
8.000%, 07/01/19 175,000 178,957
Harris County, Fresh Water Supply, GO, MBIA
6.900%, 03/01/99 100,000 101,260
Harris County, Housing Finance Corporation, Colonial House Apartments Project,
RB, Mandatory Put @ 100, LOC (B)
5.600%, 09/01/99 660,000 668,177
Harris County, Municipal Utility District, GO, AMBAC
4.000%, 09/01/99 50,000 50,366
Houston, Housing Finance Corporation, Single Family Housing, RB, Series A-1
8.000%, 06/01/14 600,000 656,250
Montgomery County, Health Facility Department, Woodlands Medical Center
Project, RB, Pre-Refunded @ 102 (D)
8.850%, 08/15/99 110,000 116,119
South Plains, Regional Housing Authority, Section 8 Assistance Project, RB,
Series A, HUD
6.000%, 08/01/00 75,000 75,938
Southeast Housing Finance Corporation, Capital Appreciation, RB, Series B (A)
0.000%, 12/01/16 1,100,000 286,000
Texoma, Housing Finance Corporation, Single Family Mortgage, RB, FNMA, GNMA
5.050%, 09/01/07 100,000 101,750
------------
2,372,079
------------
UTAH -- 0.66%
Ogden City, Housing Finance Corporation, Section 8 Assisted Project, RB,
Series A, FNMA
5.500%, 07/01/05 345,000 363,544
------------
363,544
------------
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
VIRGINIA -- 0.38%
Harrisonburgh, Redevelopment & Housing Authority, United Dominion Projects, RB
5.750%, 12/01/98 $ 145,000 $ 145,220
State Housing Development Authority, Multi-Family Mortgage, RB, Series A
6.125%, 11/01/09 60,000 60,717
------------
205,937
------------
WASHINGTON -- 2.48%
Clark County, Public Utility, RB, ETM
10.250%, 01/01/99 25,000 25,174
State Housing Finance Commission, Multi-Family Housing, Summit Apartments
Project, RB, AMT, Series A, Mandatory Put @ 100, LOC (B)
4.900%, 07/01/08 1,315,000 1,318,288
State Public Power Supply System, RB, ETM
14.375%, 07/01/01 15,000 17,231
------------
1,360,693
------------
WEST VIRGINIA -- 0.51%
State Board of Regents, RB, ETM
6.000%, 04/01/04 75,000 79,500
Wheeling, Parking Revenue, RB, ETM
7.125%, 03/01/02 55,000 57,887
Wood County, Building Community, Saint Joseph's Hospital, RB, ETM, AMBAC
6.625%, 01/01/06 130,000 141,700
------------
279,087
------------
WISCONSIN -- 0.79%
Milwaukee, GO
4.500%, 12/01/98 25,000 25,028
State Health & Educational Facilities, Sisters Sorrowful Mother, RB, Series B,
Pre-Refunded @ 102, MBIA (D)
6.900%, 10/01/99 75,000 79,058
State Health Facilities Authority RB, Hospital Sisters System, RB, Series D,
MBIA
9.125%, 07/01/05 325,000 326,244
------------
430,330
------------
</TABLE>
59
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1998
Short-Term
Municipal Bond Fund, continued
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
WYOMING -- 0.09%
State Community Development Authority, Single Family Mortgage, RB, Series B
8.000%, 06/01/08 $ 45,000 $ 47,193
------------
47,193
------------
Total Municipal Bonds
(Cost $49,206,376) 49,887,929
------------
<CAPTION>
SHARES
------------
<S> <C> <C>
CASH EQUIVALENT -- 6.00%
Provident Institutional Municipal Cash Fund 2,500,000 2,500,000
SEI Institutional Tax Free Portfolio 784,853 784,853
------------
(Cost $3,284,853) 3,284,853
------------
Total Investments -- 97.02%
(cost $52,491,229) 53,172,782
------------
OTHER ASSETS & LIABILITIES, NET -- 2.98% 1,632,889
------------
Net Assets -- 100.0% $ 54,805,671
------------
------------
</TABLE>
<TABLE>
<S> <C>
(A) ZERO COUPON SECURITY.
(B) MANDATORY PUT/TENDER SECURITY. THE MANDATORY PUT/TENDER DATE IS SHOWN AS
THE MATURITY DATE ON THE SCHEDULE OF INVESTMENTS.
(C) VARIABLE RATE SECURITY. THE RATE REPORTED ON THE SCHEDULE OF INVESTMENTS
IS THE RATE IN EFFECT AS OF OCTOBER 31, 1998.
(D) PRE-REFUNDED SECURITY. THE PRE-REFUNDED DATE IS SHOWN AS THE MATURITY DATE
ON THE SCHEDULE OF INVESTMENTS.
AMT INCOME FROM SECURITY MAY BE SUBJECT TO ALTERNATIVE MINIMUM TAX.
CMO COLLATERALIZED MORTGAGE OBLIGATION
COP CERTIFICATE OF PARTICIPATION
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.
</TABLE>
THE FOLLOWING ORGANIZATIONS HAVE PROVIDED UNDERLYING CREDIT SUPPORT FOR THE
SECURITIES AS DEFINED IN THE SCHEDULE OF INVESTMENTS.
<TABLE>
<S> <C>
ACA AMERICAN CAPITAL ACCESS
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
MBIA MUNICIPAL BOND INVESTORS ASSURANCE
</TABLE>
Short-Term
Fixed Income Fund
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- ------------------------------------------------------------------------------------------------------------
<S> <C> <C>
ASSET-BACKED SECURITIES -- 11.70%
Advanta Mortgage Loan Trust, Series 1997-3, Class A3
6.690%, 03/25/17 $ 275,000 $ 274,828
Advanta Mortgage Loan Trust, Series 1993-4, Class A-1
5.500%, 03/25/10 127,597 125,915
Amresco Residential Securities, Series 1997-3, Class A3
6.600%, 01/25/18 185,000 185,979
Delta Funding Home Equity Loan Trust, Series 1996-3, Class A2
6.525%, 10/25/11 670,040 674,664
Delta Funding Home Equity 97-2 A-2
6.640%, 06/25/12 600,000 602,676
Green Tree Financial, Series 1996-C, Class Hia2
6.900%, 07/15/21 52,839 53,035
World Omni Automobile Lease Securitization, Series 1997-b, Class A4
6.200%, 11/25/03 440,000 446,851
------------
Total Asset-Backed Securities
(Cost $2,863,158) 2,363,948
------------
CORPORATE OBLIGATIONS -- 8.52%
ACC Consumer Finance
10.250%, 12/01/03 60,000 63,525
ERAC USA Finance 144a
6.380%, 05/15/03 350,000 350,820
PaineWebber Group
7.310%, 08/09/00 334,000 342,031
7.750%, 09/01/02 350,000 367,054
Summit Properties Partnership
6.750%, 07/30/01 500,000 492,916
Wellsford Residential
7.250%, 08/15/00 50,000 50,009
9.380%, 02/01/02 50,000 54,193
------------
Total Corporate Obligations
(cost $1,694,000) 1,720,548
------------
MORTGAGE-BACKED OBLIGATIONS -- 9.60%
General Electric Capital Mortgage Services, REMIC, Series 1998-12, Class 1a1
6.500%, 7/25/28 375,000 377,108
Green Tree Financial, Series 1994-6, Class A5
8.250%, 01/15/20 87,000 88,543
Green Tree Financial, Series 1995-6, Class A3
6.650%, 09/15/26 330,533 331,941
Green Tree Financial, Series 1996-10, Class A3
6.160%, 11/15/28 565,602 567,893
</TABLE>
The accompanying notes are an integral part of the financial statements.
60
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- ------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Green Tree Financial, Series 1996-2, Class A1
6.10%, 04/15/27 $ 298,242 $ 299,062
Merrill Lynch Mortgage Investors, Series 1990-F, Class A
9.65%, 09/15/10 221,176 226,345
Prudential Home Mortgage Securities, REMIC, Series 1993-36, Class A9
7.25%, 10/25/23 47,690 47,661
------------
Total Mortgage-Backed Obligations
(Cost $1,451,357) 1,938,553
------------
U.S. GOVERMENT AGENCY OBLIGATION -- 0.46%
Federal National Mortgage Association, Variable Inflation Linked (B)
4.621%, 03/13/02 (Cost $94,585) 95,000 92,920
------------
U.S. GOVERNMENT MORTGAGE-BACKED OBLIGATIONS -- 5.17%
Federal Home Loan Mortgage Corporation, REMIC, Series 32, Class PD
6.35%, 03/25/15 437,394 436,396
Federal National Mortgage Association, REMIC, Series 1988-17, Class B
9.40%, 10/25/17 72,260 72,278
Federal National Mortgage Association, REMIC, Series 1997-W2, Class A3
6.58%, 11/25/27 400,000 407,651
Federal National Mortgage Association, REMIC, Series 1998-61, Class ZJ
6.00%, 11/25/28 60,000 59,400
Federal National Mortgage Association, REMIC, Series 1998-61, Class ZK
6.00%, 11/25/28 70,000 69,300
------------
Total U.S. Government Mortgage-Backed Obligations
(Cost $1,042,123) 1,045,025
------------
TAXABLE MUNICIPAL BONDS -- 58.62%
Alaska State Financial Corporation, RB, Series C, MBIA/FHA
7.40%, 01/01/02 160,000 164,928
<CAPTION>
- ------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- ------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Boston, Massachusetts, Industrial Development Financing Authority, North End
Project, RB, Series B, FHA
6.31%, 08/01/00 $ 75,000 $ 75,173
Bryan, Texas, Higher Education Authority, Allen Academy Project, RB, Series B
6.50%, 12/01/99 50,000 50,440
Comanche County, Oklahoma, Home Finance Authority, RB, FNMA, FHA
6.15%, 12/01/00 150,000 151,305
Cuyahoga County, Ohio, Maple Care, RB, GNMA
7.35%, 08/20/00 195,000 197,321
Dartmouth, Massachusetts, Housing Development Corporation, Crossroads
Apartments, RB, MBIA/ FHA
6.00%, 01/01/01 180,000 180,234
Denver, Colorado, City and County Multi-Family Housing, Buerger Brothers, RB,
Series B, FHA
6.75%, 05/01/01 80,000 81,752
Erie County, New York, 4th Resolution, RB, AMBAC
5.88%, 12/01/03 140,000 146,076
5.38%, 12/01/99 100,000 100,416
Fairfax County, Virginia, Redevelopment and Housing Authority, Mount Vernon,
RB, Series B, GNMA
7.88%, 09/20/99 30,000 30,393
Florida State, Housing Finance Agency, RB, Series S-2
6.65%, 06/01/01 145,000 146,885
Fresno, California, Multi-Family Housing, Sunrise Fresno, RB, Series B (B)
5.80%, 12/01/26 385,000 385,000
Fresno, California, Multi-Family Housing Authority, Woodlands Apartments
Project, RB, GNMA
7.25%, 11/20/02 295,000 307,154
Greater Kentucky Housing Assistance Corporation, RB, Series B, MBIA/FHA
6.50%, 01/01/02 125,000 128,163
6.50%, 07/01/00 50,000 50,100
Greater Kentucky Housing Assistance Corporation, RB, Series D, MBIA/FHA
6.50%, 01/01/01 105,000 105,158
</TABLE>
61
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1998
Short-Term
Fixed Income Fund, continued
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- ------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Illinois State Health Facilities Authority, RB, Series C, MBIA
10.30%, 08/15/03 $ 430,000 $ 435,835
Indianapolis, Indiana, Economic Development Authority, Bethany Project, Series
B, RB, GNMA
6.00%, 04/20/00 125,000 126,100
Indianapolis, Indiana, Economic Development Authority, Castle Dore, RB, Series
B, FHA
6.75%, 12/01/00 50,000 51,130
Indianola, Mississippi, Housing Development Corporation, Eastover, RB, Series
B, MBIA
6.60%, 01/01/99 25,000 24,993
Kansas City, Missouri, Industrial Development Authority, Hilltop Village
Apartments, RB, Series B, FNMA
6.70%, 10/01/02 140,000 144,536
Kenton County, Kentucky, Industrial Development Authority, RB, Series B, FHA
6.88%, 12/01/98 40,000 40,056
King County, Washington, Low Income Housing Authority, Fred Lind Manor, RB,
Series B, GNMA
7.25%, 06/20/00 70,000 70,777
Lake Mills, Iowa, Lake Mills Investors Ltd, Mercy Health Center, RB, Series
1995
7.15%, 11/01/98 235,000 235,009
Maricopa County, Arizona, Industrial Development Authority, Arcadia Apartments
Project, RB, Series B (B)
6.08%, 09/01/03 200,000 200,000
Minneapolis, Minnesota, Single Family Mortgage, Home Ownership Program, RB
6.50%, 04/01/99 450,000 452,633
Mississippi Home Residual Corporation, RB, Series B, FHA (A)
0.00%, 12/01/08 265,000 132,898
Moline, Illinois, Housing Authority, Highland Manor, RB, Series B, FHA
7.20%, 03/01/00 85,000 85,374
Moorhead, Mississippi, Housing Development Corporation, Section 8, RB, Series
A, MBIA/FHA
6.60%, 07/01/99 35,000 35,231
<CAPTION>
- ------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- ------------------------------------------------------------------------------------------------------------
<S> <C> <C>
New York State, United Cerebal Palsy and Handicapped Children Association, RB,
Series B, FHA
6.75%, 02/01/99 $ 20,000 $ 20,002
North Slope Boro, Alaska, Supplemental Interest Offering, GO, MBIA (A)
0.00%, 06/30/99 1,237,584 1,196,335
Oak Ridge, Tennessee, Industrial Development Board, The Gardens, Series B, RB,
GNMA
6.15%, 08/20/03 685,000 706,304
Ohio Capital Housing Mortgage Corporation, Bella Vista, RB, FHA
6.30%, 02/01/03 355,000 365,828
Ohio Capital Housing Mortgage Corporation, Dayton, RB, Series I, FHA
6.25%, 07/01/01 235,000 236,387
Ohio Capital Housing Mortgage Corporation, Section 8 Project, RB,
MBIA/FHA
6.38%, 01/01/01 215,000 215,495
Ohio Housing Financial Agency, Ravenwood Project, RB, FHA
6.13%, 03/01/04 180,000 186,174
Oshkosh, Wisconsin, GO
5.90%, 12/01/99 45,000 45,339
Palm Beach County, Florida, Housing Finance Authority, CMO REMIC 90-1, Class
A-3, MBIA (A)
0.00%, 02/20/13 891,216 891,305
Pima County, Arizona, Industrial Development Authority, Western Winds, RB,
Series B, HUD
6.55%, 06/01/01 315,000 319,725
Pittsburgh, Pennsylvania, Urban Redevelopment Authority, Tax Allocation, AMBAC
5.50%, 10/01/99 205,000 206,084
Prince Georges County, Maryland, Housing Authority, Foxglenn Project, RB, GNMA
6.25%, 11/20/04 300,000 309,090
Rockford, Illinois, RB, Series B, MBIA
7.45%, 01/01/03 365,000 374,307
Shawnee, Kansas, Multi-Family Housing, Haverford West Apartments, RB, Series
B, FNMA
6.75%, 06/01/02 85,000 87,226
</TABLE>
62
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- ------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Southwestern Illinois, Solid Waste Development Authority, Series B, RB
6.90%, 02/01/03 $ 850,000 $ 870,570
Spokane, Washington, Elderly Housing Authority, Cheney Care Center, RB, Series
B, GNMA
6.13%, 02/20/04 125,000 129,524
Syracuse, New York, Industrial Development Agency, Syracuse Economic
Development, RB, Series B, Pre-Refunded @ 105 (C)
10.63%, 06/01/00 300,000 340,260
Tarrant County, Texas, Health Facilities Development Corporation, South
Central Project, RB, MBIA, FHA
6.75%, 01/01/37 375,000 386,437
Tarrant County, Texas, Housing Financial Corporation, Series B, RB, FNMA
6.55%, 09/01/02 245,000 250,365
Texas State, Department of Housing and Community Affairs, RB, Series B
7.25%, 07/01/99 95,000 95,161
6.40%, 01/01/99 55,000 55,093
Wilmington, Delaware, Multi-Family Rent, Prestwyck Apartments, RB, Series B,
FHA
6.63%, 11/01/03 215,000 220,374
------------
Total Taxable Municipal Bonds
(Cost $11,669,755) 11,842,455
------------
REPURCHASE AGREEMENT -- 4.22%
J.P. Morgan Securities 5.05%, dated 10/30/98, matures 11/02/98 repurchase
value $853,269, (collateralized by Federal Home Loan Bank, par value
$865,000, due 09/03/08, market value $873,562) (cost $852,910) 852,910 852,910
------------
Total Investments -- 98.29%
(Cost $19,667,888) 19,856,359
OTHER ASSETS & LIABILITIES, NET -- 1.71% 345,099
------------
Net Assets -- 100% $ 20,201,458
------------
------------
</TABLE>
<TABLE>
<S> <C> <C>
(A) ZERO COUPON SECURITY.
(B) VARIABLE RATE SECURITY. THE RATE REPORTED ON THE SCHEDULE OF
INVESTMENTS IS THE RATE IN EFFECT AS OF OCTOBER 31, 1998.
(C) PRE-REFUNDED SECURITY -- THE PRE-REFUNDED DATE IS SHOWN AS THE
MATURITY DATE ON THE SCHEDULE OF INVESTMENTS.
CMO COLLATERALIZED MORTGAGE OBLIGATION
GO GENERAL OBLIGATION
RB REVENUE BOND
REMIC REAL ESTATE MORTGAGE INVESTMENT CONDUIT
<CAPTION>
- -------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------
<S> <C> <C>
144A SECURITY EXEMPT FROM REGISTRATION UNDER 144A OF THE SECURITY ACT
OF 1933. THESE SECURITIES MAY BE RESOLD IN TRANSACTIONS EXEMPT
FROM REGISTRATION, NORMALLY TO QUALIFIED BUYERS.
THE FOLLOWING ORGANIZATIONS HAVE PROVIDED UNDERLYING CREDIT SUPPORT FOR
THE SECURITIES AS DEFINED IN THE SCHEDULE OF INVESTMENTS.
AMBAC AMERICAN MUNICIPAL BOND ASSURANCE CORPORATION
FHA FEDERAL HOUSING ADMINISTRATION
FNMA FEDERAL NATIONAL MORTGAGE ASSOCIATION
GNMA GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
HUD HOUSING AND URBAN DEVELOPMENT
MBIA MUNICIPAL BOND INVESTORS ASSURANCE
</TABLE>
<TABLE>
<S> <C> <C>
High Yield
Bond Fund
CORPORATE BONDS -- 97.63%
CABLE -- 8.63%
Classic Cable 144A
9.875%, 08/01/08 $ 2,000,000 $ 2,015,000
CSC Holdings
7.625%, 07/15/18 4,000,000 3,690,000
Globo Communicacoes 144A
10.625%, 12/05/08 1,000,000 541,250
Globo Communicacoes, Reg S
10.625%, 12/05/08 1,500,000 811,874
Poland Communications, Series B
9.875%, 11/01/03 1,000,000 951,250
------------
8,009,374
------------
COMMUNICATIONS -- 18.36%
Global Crossing 144A
9.625%, 05/15/08 3,000,000 2,932,500
Grupo Iusacell Sa De Cv, Ser B
10.000%, 07/15/04 2,500,000 1,806,250
Metronet Communications 144A (A)
0.00%, 06/15/08 1,750,000 977,813
Netia Holdings, Ser B (B)
0.000%, 11/01/07 4,500,000 2,295,000
Orange Plc
8.000%, 08/01/08 4,500,000 4,421,250
Qwest Communications International (A)
0.00%, 10/15/07 3,000,000 2,268,750
Qwest Communications International 144A
7.50%, 11/01/08 1,000,000 1,015,000
Teligent 144A (A)
0.00%, 03/01/08 3,000,000 1,316,250
------------
17,032,813
------------
CONGLOMERATE/OTHER -- 1.61%
Allied Waste Industries (A)
0.00%, 06/01/07 2,000,000 1,497,500
------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
63
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1998
High Yield
Bond Fund, continued
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
CONSUMER MANUFACTURING -- 0.96%
Cluett American 144A
10.125%, 05/15/08 $ 1,000,000 $ 887,500
------------
ENERGY -- 5.00%
Forcenergy, Ser B
8.500%, 02/15/07 1,000,000 698,750
Lukinter Finance, Reg S
3.500%, 05/06/02 1,500,000 527,678
Ocean Energy 144A
8.375%, 07/01/08 1,500,000 1,410,000
Queen Sand Resources 144A
12.500%, 07/01/08 2,500,000 2,000,000
------------
4,636,428
------------
FOOD & BEVERAGE -- 7.74%
Fage Dairy Industries
9.000%, 02/01/07 1,000,000 773,750
Gruma SA De CV
7.625%, 10/15/07 4,265,000 3,662,569
Windy Hill Pet Food
9.750%, 05/15/07 2,750,000 2,743,125
------------
7,179,444
------------
GENERAL INDUSTRIAL -- 13.15%
Alliance Laundry Systems 144A
9.625%, 05/01/08 3,500,000 3,211,250
Nortek 144A
8.875%, 08/01/08 2,500,000 2,387,500
MCII Holdings USA (A)
0.000%, 11/15/02 1,000,000 913,750
Polymer Group 144A
8.750%, 03/01/08 2,000,000 1,875,000
United Rentals 144A
9.500%, 06/01/08 2,000,000 1,965,000
United Rentals 144A
8.800%, 08/15/08 2,000,000 1,847,500
------------
12,200,000
------------
HEALTHCARE -- 2.09%
Tenet Healthcare
8.00%, 01/15/05 1,900,000 1,942,750
------------
1,942,750
------------
MEDIA -- 10.96%
Antenna TV
9.000%, 08/01/07 3,400,000 2,919,750
Fox Family Worldwide (A)
0.00%, 11/01/07 4,000,000 2,395,000
Fox/Liberty Networks
8.875%, 08/15/07 1,000,000 970,000
Fox/Liberty Networks (A)
0.00%, 08/15/07 6,000,000 3,885,000
------------
10,169,750
------------
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
METALS & MINING -- 3.32%
AEI Holding 144A
10.000%, 11/15/07 $ 2,500,000 $ 2,318,750
Grupo Minero Mexico, Ser B
9.250%, 04/01/28 1,000,000 757,500
------------
3,076,250
------------
PACKAGING -- 3.64%
Grupo Industrial Durango
12.625%, 08/01/03 1,250,000 940,625
Riverwood International
10.875%, 04/01/08 3,000,000 2,433,750
------------
3,374,375
------------
RETAIL -- 2.88%
HMV Media Group 144A
10.25%, 05/15/08 3,000,000 2,670,000
------------
TRANSPORTATION -- 6.57%
American Commercial Lines
144A 10.25%, 06/30/08 3,000,000 2,906,250
Canadian Airlines
12.25%, 08/01/06 4,000,000 3,190,000
------------
6,096,250
------------
TECHNOLOGY -- 3.24%
Psinet 144A
11.50%, 11/01/08 2,000,000 2,055,000
Verio
10.375%, 04/01/05 1,000,000 950,000
------------
3,005,000
------------
UTILITIES -- 9.48%
Calenergy Company
8.48%, 09/15/28 7,000,000 7,271,250
Cemig
9.125%, 11/18/04 1,000,000 775,000
Comp Paranaense De Energia, Reg S
9.75%, 05/02/05 1,000,000 745,000
------------
8,791,250
------------
Total Corporate Bonds (Cost $98,322,091) 90,568,684
------------
Total Investments -- 97.63%
(Cost $98,322,091) 90,568,684
------------
OTHER ASSETS & LIABILITIES, NET -- 2.37% 2,200,345
------------
Net Assets -- 100% $ 92,769,029
------------
------------
(A) STEP UP BOND -- THE RATE REFLECTED ON THE SCHEDULE OF INVESTMENTS IS THE
RATE IN EFFECT ON OCTOBER 31, 1998. THE INITIAL COUPON ON A STEP UP BOND
CHANGES ON A SPECIFIC DATE, TO A PREDETERMINED HIGHER RATE.
144A SECURITY EXEMPT FROM REGISTRATION UNDER 144A OF THE SECURITY ACT OF 1933.
THESE SECURITIES MAY BE RESOLD IN TRANSACTIONS EXEMPT FROM REGISTRATION,
NORMALLY TO QUALIFIED BUYERS.
</TABLE>
The accompanying notes are an integral part of the financial statements.
64
<PAGE>
- --------------------------------------------------------------------------------
Smaller Companies
Fund
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS -- 99.2%
CAPITAL GOODS -- 0.3%
Brunswick Technologies* 2,000 $ 14,750
-----------
14,750
-----------
CONSUMER -- 23.0%
Bally Total Fitness Holding* 5,300 100,037
Cost Plus, Inc.* 3,600 108,000
Damark International* 9,500 55,812
Factory Card Outlet* 4,000 17,000
Furniture Brands International, Inc.* 4,700 101,050
Garden Ridge* 15,735 127,847
Insight Enterprises, Inc.* 3,800 110,200
Just For Feet, Inc.* 6,500 110,094
Marketing Services Group Inc.* 7,300 19,619
Micro Warehouse* 4,400 95,975
Mohawk Industries* 3,900 117,731
Papa John's International, Inc.* 2,200 83,531
Petsmart* 18,000 129,375
Tractor Supply Company* 2,800 69,300
WestPoint Stevens* 2,600 73,938
-----------
1,319,509
-----------
CREDIT SENSITIVE -- 15.2%
Astoria Financial Corporation 575 24,725
Bank United Corp. 1,500 59,766
Dime Bancorp 6,400 152,400
Dime Community Bancshares 2,800 67,025
D.R. Horton, Inc. 5,800 92,075
Golden State Bancorp, Inc. 5,700 109,369
Golden State Bancorp-Litig Wt 2,300 11,212
Independence Community Bank Corp. 4,700 64,331
Lennar 5,300 107,325
LG&E Energy Corp. 900 23,738
LNR Property Corporation 5,800 102,950
Rochester Gas & Electric 2,000 58,250
-----------
873,166
-----------
ENERGY -- 6.4%
BJ Services* 2,800 57,225
Devon Energy 4,000 135,500
Marine Drilling Companies, Inc.* 6,100 68,244
Range Resources Corporation 6,100 34,694
Seagull Energy* 5,800 69,237
-----------
364,900
-----------
HEALTH CARE -- 17.1%
Acuson Corporation* 5,000 75,313
Alpharma Inc - Cl A 2,200 60,913
Bindley Western Industries, Inc. 2,400 87,000
Biochem Pharma Inc.* 4,900 106,269
Cohesion Technologies, Inc.* 6,200 20,537
Collagen 2,400 23,400
CV Therapeutics, Inc.* 3,500 23,188
<CAPTION>
- ----------------------------------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C>
Henry Schein* 1,200 $ 46,425
Integrated Health Services 8,100 131,119
Lincare Holdings* 1,000 39,937
Nanogen, Inc.* 5,100 25,500
Owens & Minor 3,800 60,325
PathoGenesis Corporation* 800 32,000
Pediatrix Medical Group, Inc.* 1,900 88,587
ResMed Inc.* 600 30,600
Sepracor Inc.* 1,700 116,662
Sonosight* 1,900 13,062
-----------
980,837
-----------
PROCESS INDUSTRIES -- 4.3%
Bowater 1,300 53,056
Carbo Ceramics 700 19,162
CompX International* 2,200 42,350
PH Glatfelter 5,800 71,413
Rayonier 1,100 43,106
Republic Group Incorporated 1,000 14,813
-----------
243,900
-----------
SERVICE COMPANIES -- 7.4%
American Tower Corporation 4,045 88,484
Building One Services Corporation* 5,400 66,825
COMSAT Corporation 5,000 197,188
Daisytek International Corporation* 1,100 16,569
Kroll-O'Gara Company* 2,200 54,175
-----------
423,241
-----------
TECHNOLOGY -- 19.5%
ATMI, Inc.* 2,000 27,500
Avant* 2,100 35,831
Cognex* 2,200 34,100
Concord Communications, Inc.* 2,400 89,100
Dycom Industries* 4,400 154,275
Hyperion Solutions Corporation* 2,340 70,200
Intest Corp* 2,100 9,975
Lycos, Inc.* 1,800 73,125
Maxtor Corporation* 6,300 66,938
Mercury Interactive* 4,300 178,450
Pinnacle Systems* 2,000 68,000
Preview Travel* 800 10,850
Rational Software Corporation* 7,700 172,287
Tech Data Corporation* 2,000 78,750
Xylan* 3,100 49,600
-----------
1,118,981
-----------
TRANSPORTATION SERVICES -- 6.0%
ASA Holdings, Inc. 2,150 77,131
Dynamex* 17,900 124,182
Hvide Marine Incorporated* 7,100 53,694
US Freightways 3,600 90,225
-----------
345,232
-----------
</TABLE>
65
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1998
Smaller Companies
Fund, continued
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C>
Total Common Stocks
(Cost $5,820,555) $ 5,684,516
-----------
Total Investments -- 99.2%
(Cost $5,820,555) 5,684,516
-----------
OTHER ASSETS AND LIABILITIES -- 0.8% 46,488
-----------
Net Assets -- 100% $ 5,731,004
-----------
-----------
</TABLE>
* NON-INCOME PRODUCING SECURITY.
Microcap Fund
<TABLE>
<S> <C> <C>
COMMON STOCKS -- 90.2%
CAPITAL GOODS -- 2.9%
Brunswick Technologies* 17,300 $ 127,587
Optek Technology* 18,500 321,438
------------
449,025
------------
CONSUMER -- 22.0%
Bombay Company Inc* 77,300 386,500
Damark International* 36,200 212,675
Factory Card Outlet Corp* 40,400 171,700
Garden Ridge* 37,700 306,313
Marketing Services Group* 88,600 238,112
PJ America Inc* 23,300 413,575
Rainbow Rentals, Inc.* 42,200 419,362
ResortQuest Intl, Inc* 24,700 217,669
Rocky Shoes* 33,700 227,475
Tractor Supply Company* 20,000 495,000
Vans 35,600 293,700
------------
3,382,081
------------
CREDIT SENSITIVE -- 12.9%
Bankunited Financial, Class A 30,000 271,875
Credit Management Solutions* 24,800 161,200
Crusader Holdings* 8,505 103,123
Dime Community Bancshares 8,700 208,256
Engle Homes 13,700 176,387
Fidelity National 2,000 21,000
Intercept Group, Inc.* 16,000 112,000
International Comfort Products 31,800 288,188
Pennfed Financial Services 4,200 58,013
R & G Financial, Class B 3,880 66,930
Realty Information Group, Inc.* 9,300 77,887
Republic Security Financial 48,500 436,500
------------
1,981,359
------------
ENERGY -- 4.5%
Basin Exploration* 15,700 251,200
Magnum Hunter Resources* 41,700 161,588
Mallon Resources* 33,800 278,850
------------
691,638
------------
<CAPTION>
- --------------------------------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE
- --------------------------------------------------------------------------------------------------------
<S> <C> <C>
HEALTH CARE -- 14.1%
Acuson Corp* 9,800 $ 147,612
Alpharma Inc -- Cl A 5,700 157,819
Cohesion Technologies, Inc* 15,000 49,687
Collagen 6,200 60,450
CV Therapeutics* 9,200 60,950
Dendrite International Inc* 8,600 177,375
Infocure Corp* 13,000 208,000
Monarch Dental* 25,350 304,200
Nanogen* 18,800 94,000
Owens & Minor, Inc. 10,000 158,750
ResMed Inc* 10,700 545,700
Synor International Corp* 7,200 131,400
SonoSight Inc* 11,700 80,438
------------
2,176,381
------------
PROCESS INDUSTRIES -- 1.8%
Compx International* 14,900 286,825
------------
286,825
------------
SERVICE COMPANIES -- 8.7%
Correctional Services Corp* 24,500 289,406
Globecomm Systems* 30,200 132,125
Hagler Bailly, Inc.* 16,400 385,400
Lodgenet Entertainment* 2,800 14,700
Powerhouse Technologies* 15,400 150,800
Saga Communications, Class A* 3,406 61,308
Tyler Corporation 34,600 263,825
Vicon* 5,400 44,213
------------
1,341,777
------------
TECHNOLOGY -- 17.9%
American Bank Note Holographics, Inc.* 19,600 184,975
Ansoft* 24,800 141,050
ATMI, Inc.* 11,000 151,250
E. Spire Communications* 11,300 135,600
Intest* 7,300 34,675
OnHealth Network Company* 13,200 40,013
Pinnacle Systems* 3,500 119,000
Pegasus Systems* 16,300 283,212
Polycom, Inc.* 20,300 265,169
Preview Travel* 2,400 32,550
Seque Software, Inc.* 19,300 367,906
Terayon Commnunications Systems, Inc.* 31,500 378,000
Tier Technologies* 18,500 240,500
TranSwitch Corporation* 15,400 375,375
------------
2,749,275
------------
TRANSPORTATION -- 5.4%
Dynamex* 35,300 244,894
Hvide Marine Incorporated* 18,400 139,150
Providence & Worcester 30,000 333,750
</TABLE>
The accompanying notes are an integral part of the financial statements.
66
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE
- --------------------------------------------------------------------------------------------------------
<S> <C> <C>
Smithway Motor Express, Class A* 11,500 $ 110,687
------------
828,481
------------
Total Common Stocks
(Cost $16,633,872) 13,886,842
------------
Total Investments -- 90.2%
(Cost $16,633,872) 13,886,842
------------
OTHER ASSETS AND LIABILITIES -- 9.8% 1,512,490
------------
Net Assets -- 100% $ 15,399,332
------------
------------
</TABLE>
* NON-INCOME PRODUCING SECURITY.
International
Equity Fund
<TABLE>
<S> <C> <C>
FOREIGN COMMON STOCKS -- 99.9%
AUSTRALIA -- 0.0%
Cable & Wireless Optus Rights*(1) 4,320 $ 1,837
-----------
FINLAND -- 3.5%
Nokia, Series A 2,103 191,626
-----------
FRANCE -- 6.8%
AXA 1,530 172,922
STMicroelectronics* 3,161 193,420
-----------
366,342
-----------
GERMANY -- 9.9%
Adidas 100 11,713
Bayerische Motoren Werke AG 246 173,327
Bayerische Motoren Werke -
New * 11 7,505
Bayerische Vereinsbank 2,030 161,169
Hoechst AG 4,385 183,205
-----------
536,919
-----------
ITALY -- 3.2%
Telecom Italia SPA 34,218 172,496
-----------
JAPAN -- 14.6%
KAO Corp 8,000 161,991
Nippon Telegraph & Telephone 19 148,674
Secom 2,000 148,434
Sony 2,400 152,381
Tokyo Electric Power Co 7,000 177,177
-----------
788,657
-----------
MALAYSIA -- 0.0%
Malayan Banking (1) 3,000 2,541
-----------
NETHERLANDS -- 9.4%
Getronics 4,225 175,286
<CAPTION>
- ------------------------------------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE
- ------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Gucci Group NV 4,922 $ 180,489
Philips Electronics 2,874 152,930
-----------
508,705
-----------
SPAIN -- 3.3%
Telefonica de Espana 3,958 178,772
-----------
SWEDEN -- 7.7%
Ericsson LM, Series B 7,831 176,579
Securitas, Series B 6,208 76,354
Skandia Forsakrings AB 12,907 164,535
-----------
417,468
-----------
SWITZERLAND -- 10.2%
Compagnie Financiere Richemont 141 187,237
Novartis, Registered 106 190,808
UBS AG, Registered 640 175,404
-----------
553,449
-----------
UNITED KINGDOM -- 31.3%
Barclays Bank 8,306 177,429
BG Plc 700 4,588
Colt Telecom Group Plc * 16,033 206,674
Flextech Plc 19,295 180,890
Logica Plc 5,994 202,447
National Power 3,315 28,747
Rolls Royce 42,982 158,663
Securicor Plc 24,636 181,470
Standard Chartered Bank 16,947 182,283
Vodafone Group 13,971 186,877
Zeneca 4,798 184,262
-----------
1,694,330
-----------
Total Foreign Common Stocks
(Cost $5,071,021) 5,413,142
-----------
FOREIGN PREFERRED STOCK -- 0.2%
GERMANY -- 0.2%
SAP 20 9,745
-----------
Total Foreign Preferred Stock
(Cost $3,266) 9,745
-----------
Total Investments -- 100.1%
(Cost $5,074,287) 5,422,887
-----------
OTHER ASSETS AND LIABILITIES -- (0.1%) (4,022)
-----------
Net Assets -- 100% $ 5,418,865
-----------
-----------
</TABLE>
* NON-INCOME PRODUCING SECURITY.
(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.
67
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1998
European
Equity Growth Fund
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE
- ---------------------------------------------------------------------------------------------------------
<S> <C> <C>
FOREIGN COMMON STOCKS -- 98.5%
AUSTRIA -- 0.8%
Bank Austria 6,500 $ 353,638
------------
DENMARK -- 1.8%
Danisco 7,939 438,732
Novo Nordisk, Series B 3,250 379,337
------------
818,069
------------
FINLAND -- 2.8%
Nokia, Series A 9,000 820,081
Orion-Yhtymae, Series B 6,000 144,125
Pohjola 7,500 305,223
------------
1,269,429
------------
FRANCE -- 15.4%
Accor 1,400 294,034
Alcatel Alsthom 3,700 412,184
AXA 6,510 735,765
Banque Nationale de Paris, Series A 7,597 481,127
Carrefour 330 219,030
Casino Guichard Perrachon 7,500 746,423
Elf Aquitaine 3,000 347,161
Imetal 3,500 375,416
Lagardere Group 15,000 603,617
Rhodia* 10,500 174,795
S.G.E. 7,500 360,389
Sanofi 5,000 782,867
St. Gobain 2,855 422,354
Total, Series B 4,000 461,442
TV Francaise 3,500 578,242
------------
6,994,846
------------
GERMANY -- 9.5%
Allianz 1,500 514,400
Bayerische Motoren Werke 500 351,666
Bayerische Vereinsbank 9,500 754,241
Dresdner Bank 5,290 206,004
Hoechst AG 12,350 515,981
Mannesmann 7,800 767,615
VEBA 9,300 519,381
Volkswagen 9,270 696,803
------------
4,326,091
------------
ITALY -- 5.7%
Banca di Roma 160,000 279,274
ENI SPA 75,000 446,282
Telecom Italia 85,000 614,726
Telecom Italia Mobile 74,200 430,880
Unicredito Italiano SPA 155,000 832,450
------------
2,603,612
------------
NETHERLANDS -- 10.3%
Aegon 9,070 787,063
Akzo Nobel 12,000 466,377
Getronics 11,000 456,366
ING Groep 10,363 501,503
Koninklijke Ahold NV 26,588 883,887
Koninklijke KPN NV 17,203 668,590
<CAPTION>
- ---------------------------------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE
- ---------------------------------------------------------------------------------------------------------
<S> <C> <C>
Philips Electronics 5,930 $ 315,544
Royal Dutch Petroleum 12,000 579,438
TNT Post Group NV 203 5,434
------------
4,664,202
------------
SPAIN -- 5.3%
Banco Bilbao Vizcaya* 37,000 499,253
Banco Popular 6,100 376,890
Empresa Nacional de Electricidad 22,000 554,647
Telefonica de Espana 22,000 993,677
------------
2,424,467
------------
SWEDEN -- 7.4%
Assa Abloy, Series B 15,900 633,530
Astra AB, Series A 29,000 470,000
Astra AB, Series B 13,333 209,254
Ericsson LM, Series B 13,000 293,134
Granges 32,000 418,177
Securitas, Series B 35,200 432,936
Skandia Forsakrings AB 34,000 433,422
Volvo, Series B 21,000 453,345
------------
3,343,798
------------
SWITZERLAND -- 9.4%
Adecco 600 239,026
Compagnie Financiere Richemont 350 464,773
Credit Suisse Group 1,550 238,132
Nestle, Registered 350 743,637
Novartis, Registered 480 864,036
Roche Holding 80 932,497
UBS, Registered 2,800 767,392
------------
4,249,493
------------
UNITED KINGDOM -- 30.1%
Abbey National 23,000 447,420
Allied Zurich Plc* 13,425 155,076
Associated British Foods 28,000 262,499
Barclays Bank 20,000 427,230
Bass 17,160 209,568
BBA Group 32,318 199,913
BG Plc 62,544 409,920
BICC 23,090 19,327
Blue Circle Industries 51,000 278,336
British Aerospace 41,048 307,316
British Energy Plc 24,000 234,642
British Petroleum 60,930 912,416
British Telecommunications 73,900 955,087
Cable & Wireless 17,000 190,680
Centrica* 58,241 114,076
Colt Telecom Group Plc* 10,480 135,093
Diageo Plc 19,736 213,108
Emap Publishing Plc 12,000 204,307
General Electric 52,000 418,848
Glaxo Wellcome Plc 36,500 1,134,102
Granada Group 21,500 317,582
Great Universal Stores 21,000 225,702
Hammerson 43,000 261,670
HSBC Holdings 10,824 253,686
Kingfisher 26,000 229,733
Lasmo 89,000 253,291
</TABLE>
68
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE
- ---------------------------------------------------------------------------------------------------------
<S> <C> <C>
Lloyds TBS Group 17,000 $ 209,890
Logica Plc 643 21,717
Morrison Supermarkets 12,243 55,032
National Power 18,064 156,648
Prudential 20,000 260,155
Railtrack Group Plc 10,122 272,513
Reed International Plc 20,000 169,252
Rolls Royce 56,500 208,564
Royal & Sun Alliance Insurance Group 44,605 408,463
Securicor Plc 37,845 278,768
Sedgwick Group 46,520 174,839
Smithkline Beecham Plc 54,700 679,474
Smiths Industries 12,510 167,544
Standard Chartered Bank 28,000 301,171
Tate & Lyle 28,000 164,062
Thomson Travel Group Plc 52,000 124,486
Tomkins Plc 63,000 291,620
Unilever 28,000 281,249
United News & Media 21,000 232,382
Vodafone Group 32,000 428,034
------------
13,656,491
------------
Total Foreign Common Stocks
(Cost $37,673,128) 44,704,136
------------
Total Investments -- 98.5%
(Cost $37,673,128) 44,704,136
------------
OTHER ASSETS AND LIABILITIES, NET -- 1.5% 682,736
------------
Net Assets -- 100% $ 45,386,872
------------
------------
</TABLE>
* NON-INCOME PRODUCING SECURITY.
International Small
Cap Equity Fund
<TABLE>
<S> <C> <C>
FOREIGN COMMON STOCKS -- 91.9%
AUSTRIA -- 0.8%
RHI AG 6,100 $ 191,064
------------
DENMARK -- 0.9%
Topdanmark 675 121,126
William Demant 1,777 100,178
------------
221,304
------------
FINLAND -- 1.1%
Talentum Oy B Shares 11,793 182,608
Tamro Yhtymae 18,000 96,480
------------
279,088
------------
FRANCE -- 8.2%
Altran Technologies SA 2,100 410,816
Deveaux SA 1,208 177,183
Eurotunnel SA 99,000 113,138
Genset ADR* 10,500 308,438
Hachette Filipacchi Medias 1,000 191,667
Imetal 711 76,263
<CAPTION>
- ----------------------------------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C>
Manutan 1,173 $ 90,564
Montupet 8,000 355,332
Sidel Bearer 3,800 280,392
------------
2,003,793
------------
GERMANY -- 4.9%
Berliner Kraft Und Licht 8,173 486,048
Cewe Color Holding 995 166,704
GEA 5,579 153,260
Qiagen* 3,200 194,400
SGL Carbon 2,610 206,430
------------
1,206,842
------------
INDONESIA -- 0.0%
Bank Panin Warrants 46 0
------------
IRELAND -- 0.5%
CBT Group Public ADR* 11,100 132,506
------------
ITALY -- 5.6%
Autogrill SPA 28,400 216,310
Banca Popolare di Bergamo 8,458 172,924
Banca Popolare di Brescia 11,500 270,913
Beghelli SPA * 78,500 187,802
Ciga 148,400 112,305
Gruppo Editoriale L'espresso 11,100 98,905
Poligrafici Editoriale 46,196 98,113
Seat Pagine Gialle 330,000 206,434
------------
1,363,706
------------
JAPAN -- 19.8%
Aucnet, Inc. 3,100 61,175
Bellsystem 24, Inc. 1,000 192,192
C. Uyemura & Co. 8,000 192,879
Chubu Sekiwa Real Estate 22,700 118,613
Circle K Japan Co. 3,000 118,147
Disco Corp. 6,000 169,884
Fuji Machine Mfg. Co., Ltd. 5,000 147,147
Fuji Seal, Inc. 3,000 138,996
Fujimi Inc. 6,000 200,772
Hitachi Maxell Ltd. 10,000 142,428
Ibiden Co, Ltd. 16,000 242,986
Itoen, Ltd. 5,000 208,065
Kaneshita Construction 11,000 57,100
Kuroda Electric Co. Ltd. 6,000 83,398
Meitec Corp. 4,200 81,081
Misumi Corp. 9,700 156,465
Mitsui High -- Tec, Inc. 4,000 91,463
Nichiha Corp. 13,000 91,463
Nichii Gakkan Co. 5,000 178,035
Nitto Boseki Co., Ltd. 60,000 138,996
OSG Corp. 30,000 141,570
Otsuka Kagu 3,000 164,736
Sanyo Chemical Ind., Ltd. 18,000 152,124
Shima Seiki Mfg., Ltd. 4,700 147,190
Shimamura Co., Ltd. 4,100 162,523
Shinko Electric Ind. Co. Ltd. 4,800 168,855
Sumitomo Bakelite Co., Ltd. 17,000 113,771
Tokyo Ohka Kogyo Co. Ltd 11,000 275,118
Tokyo Seimitsu Co., Ltd. 7,000 219,219
</TABLE>
The accompanying notes are an integral part of the financial statements.
69
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1998
International Small
Cap Equity Fund, continued
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C>
Tomoegawa Paper Co. Ltd. 70,000 $ 135,135
Union Tool Co. 900 33,127
Yamato Kogyo Co., Ltd. 27,000 122,780
Yasunaga Corp. 8,000 32,947
Yonekyu Corp. 9,500 146,881
------------
4,827,261
------------
NETHERLANDS -- 6.5%
Fugro NV 16,700 452,362
Hunter Douglas NV 6,300 225,962
IHC Caland 4,300 194,511
Laurus NV 7,750 194,993
Randstad Holding NV 3,600 192,718
Wolters Kluwer 1,706 330,603
------------
1,591,149
------------
NORWAY -- 1.7%
Ekornes 24,000 220,017
Tomra Systems 7,107 199,801
------------
419,818
------------
PORTUGAL -- 0.8%
Brisa -- Auto Estradas 3,800 184,132
------------
SPAIN -- 3.3%
Aldeasa SA 2,800 95,448
Baron de Ley* 10,500 350,844
Superdiplo SA* 13,800 357,225
------------
803,517
------------
SWEDEN -- 4.4%
Assa Abloy, Series B 9,600 382,509
Europolitan Holdings 4,600 397,806
Securitas AB 16,488 202,791
Semcon AB 10,000 86,480
------------
1,069,586
------------
SWITZERLAND -- 9.8%
Attisholz Holding 128 90,653
Bachem AG Registered 280 373,884
Bank Sarasin & Cie 140 221,025
Ciba Specialty Chemicals, Registered 2,350 240,981
Compagnie Financiere Richemont 235 312,062
Holderbank Financiere Glarus 300 333,973
Kudelski* 24 265,585
SAirgroup 610 153,906
Valora Holding 1,500 403,357
------------
2,395,426
------------
UNITED KINGDOM -- 23.6%
Aegis Group Plc 112,689 174,504
Barratt Developments 41,021 158,635
BBA Group 10,188 63,021
Bunzl 61,043 282,050
Burmah Castrol Plc 6,806 103,685
Capita Group 13,631 137,146
Capital Shopping Centers 11,521 65,963
Cattles Plc 8,970 91,001
<CAPTION>
- ----------------------------------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C>
Close Brothers Group Plc 9,322 $ 88,486
Daily Mail & General Trust, Series A 7,138 262,535
Debenhams Plc 25,732 164,989
EMAP Publishing Plc 11,157 189,955
Forth Ports 20,912 177,319
Glynwed International 24,925 73,857
Hanson Plc 21,337 150,204
Inchcape 57,135 99,476
Laird Group 31,968 78,403
Lasmo 66,360 188,859
London Clubs Int'l 45,324 102,434
Lonrho Plc 26,885 146,277
Next 11,874 100,385
Northern Rock Plc 14,561 127,977
PIC Int'l Group Plc 22,930 30,134
Pillar Property Plc 73,112 282,737
RMC Group 14,198 206,789
Sage Group (The) 11,975 257,107
Scapa Group Plc 49,745 91,606
Scottish Hydro -- Electric Plc 16,814 172,690
Securicor Plc 45,282 333,549
SIG Plc 91,555 222,245
Smith & Nephew Plc 45,095 122,677
Stagecoach Holdings Plc 96,780 375,885
Telewest Communications Plc 70,666 165,623
TI Group Plc 18,784 111,948
United Assurance Group Plc 19,520 190,024
Vitec Group Plc 19,786 162,968
------------
5,753,143
------------
Total Foreign Common Stocks
(Cost $23,042,257) 22,442,335
------------
FOREIGN PREFERRED STOCKS -- 4.8%
GERMANY
Boss (Hugo) 210 316,972
Henkel KGAA 3,127 267,144
Marschollek Lauten 730 372,426
Rhoen Klinikum 1,990 204,250
------------
Total Foreign Preferred Stocks
(Cost $851,009) 1,160,792
------------
</TABLE>
<TABLE>
<CAPTION>
FACE
AMOUNT(1)
-----------
<S> <C> <C>
FOREIGN CONVERTIBLE BOND -- 0.4%
Sanwa Shutter Corp.
0.900%, 03/31/06
(Cost $94,062) 14,000,000 102,102
------------
Total Investments -- 97.1%
(Cost $23,987,328) 23,705,229
------------
OTHER ASSETS AND LIABILITIES, NET -- 2.9% 705,115
------------
Net Assets -- 100.0% $ 24,410,344
------------
------------
</TABLE>
<TABLE>
<S> <C>
*NON-INCOME PRODUCING SECURITY
ADR AMERICAN DEPOSITORY RECEIPT
(1) IN LOCAL CURRENCY UNLESS OTHERWISE INDICATED
</TABLE>
The accompanying notes are an integral part of the financial statements.
70
<PAGE>
- --------------------------------------------------------------------------------
European Small
Cap Equity Fund
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C>
FOREIGN COMMON STOCKS -- 92.8%
AUSTRIA -- 1.0%
RHI AG 970 $ 30,383
-----------
DENMARK -- 1.1%
Topdanmark* 90 16,151
William Demant Holdings 280 15,785
-----------
31,936
-----------
FINLAND -- 0.5%
Tamro Yhtymae 2,700 14,472
-----------
FRANCE -- 10.8%
Altran Technologies 300 58,688
Deveaux 200 29,335
Eurotunnel Units 15,500 17,713
Hachette Filipacchi Medias 140 26,833
Genset ADR* 1,640 48,175
Imetal 240 25,743
Manutan 140 10,809
Montupet SA 1,250 55,521
Sidel Bearer 600 44,272
-----------
317,089
-----------
GERMANY -- 6.7%
Berliner Kraft Und Licht 1,350 80,284
Cewe Color Holding 150 25,131
GEA 800 21,977
Qiagen* 500 30,375
SGL Carbon 450 35,591
-----------
193,358
-----------
IRELAND -- 1.7%
Anglo Irish 12,500 30,343
CBT Group ADR Plc* 1,700 20,294
-----------
50,637
-----------
ITALY -- 7.5%
Autogrill SPA 4,000 30,466
Banca Popolare di Bergamo 1,300 26,579
Banca Popolare di Brescia 1,847 43,511
Beghelli SPA* 12,800 30,622
Ciga 30,000 22,703
Gruppo Editoriale L'espresso 2,200 19,603
Poligrafici Editoriale SPA 7,200 15,292
Seat Pagine Gialle SPA* 51,000 31,903
-----------
220,679
-----------
NETHERLANDS -- 8.4%
Fugro 2,750 74,491
Hunter Douglas 1,000 35,867
IHC Caland 660 29,855
Randstad Holding 600 32,120
Wolters Kluwer 380 73,640
-----------
245,973
-----------
NORWAY -- 1.9%
Ekornes 3,000 27,502
Tomra Systems 1,000 28,113
-----------
55,615
-----------
<CAPTION>
- -----------------------------------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C>
PORTUGAL -- 1.1%
Brisa-Auto Estradas de Portugal Privatization 650 $ 31,496
-----------
SPAIN -- 4.2%
Aldeasa 450 15,340
Baron de Ley* 1,600 53,462
Superdiplo* 2,100 54,360
-----------
123,162
-----------
SWEDEN -- 5.5%
Assa Abloy, Series B 1,530 60,962
Europolitan Holdings 670 57,941
Securitas, Series B 2,520 30,994
Semcon 1,300 11,242
-----------
161,139
-----------
SWITZERLAND -- 13.1%
Bachem Feinchemikalien* 40 53,412
Bank Sarasin & Cie, Series B 25 39,469
Ciba Specialty Chemicals 390 39,993
Compagnie Financiere Richemont 50 66,396
Holderbank Financiere Glarus 47 52,322
Kudelski* 4 44,264
Sairgroup* 95 23,969
Valora Holdings 235 63,193
-----------
383,018
-----------
UNITED KINGDOM -- 29.3%
Aegis Group Plc 16,167 25,035
Barratt Developments Plc 4,955 19,162
BBA Group Plc 1,396 8,635
Bradford Properties Plc 5,413 18,939
Bunzl Plc 8,758 40,466
Burmah Castrol Plc 870 13,254
Capita Group 3,122 31,412
Capital Shopping Centres 1,578 9,035
Cattles Plc 2,628 26,661
Close Brothers Group Plc 826 7,841
Daily Mail & General Trust, Series A 1,024 37,663
Debenhams Plc 2,676 17,158
Dennis Group Plc 1,794 13,966
Emap Plc 1,601 27,258
Forth Ports Plc 2,865 24,293
Glynwed International Ordinary 5,497 16,288
Hanson Plc 3,081 21,689
Inchcape Plc 7,150 12,449
Laird Group 3,325 8,155
Lasmo Plc 9,746 27,737
London Clubs International 6,502 14,695
Lonrho Plc 3,883 21,127
Next 1,715 14,499
Northern Rock Plc 2,103 18,483
PIC International Group Plc 3,141 4,128
Pillar Property Investment Plc 9,663 37,368
RMC Group 2,028 29,537
Sage Group Plc 1,391 29,865
Scapa Group Plc 8,392 15,454
Scottish Hydro-Electric 2,303 23,653
</TABLE>
71
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1998
European Small
Cap Equity Fund, continued
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C>
Securicor 6,496 $ 47,850
Sheffield Insulations Plc* 6,891 16,728
SIG Plc 6,309 15,315
Smith & Nephew Plc 6,222 16,926
Stagecoach Holdings Plc 13,885 53,928
TeleWest Communications Plc* 11,861 27,799
TI Group 2,543 15,156
United Assurance Group Plc 2,674 26,031
Vitec Group Plc 2,839 23,384
-----------
859,022
-----------
Total Foreign Common Stocks
(Cost $2,652,147) 2,717,979
-----------
FOREIGN PREFERRED STOCKS -- 7.6%
GERMANY -- 7.6%
Boss (Hugo) 35 52,829
Henkel KGAA 430 36,735
Jil Sander 90 39,938
Marschollek Lauten 120 61,221
Rhoen Klinikum 320 32,844
-----------
Total Foreign Preferred Stocks
(Cost $110,032) 223,567
-----------
Total Investments -- 100.4%
(Cost $2,762,179) $ 2,941,546
-----------
OTHER ASSETS AND LIABILITIES,
NET -- (0.4%) (11,695)
-----------
Net Assets -- 100.0% $ 2,929,851
-----------
-----------
</TABLE>
<TABLE>
<S> <C>
* NON-INCOME PRODUCING SECURITY
ADR AMERICAN DEPOSITORY RECEIPT
</TABLE>
Emerging Markets
Equity Fund
<TABLE>
<S> <C> <C>
FOREIGN COMMON STOCKS -- 89.2%
ARGENTINA -- 5.6%
Banco de Galicia ADR 11,812 $ 201,542
Perez Companc, Class B 94,400 466,490
Telecom Argentina ADR 29,900 964,275
YPF ADR 32,300 934,681
------------
2,566,988
------------
BRAZIL -- 6.6%
Cerj* 843,093,000 275,636
CVRD ADR 36,100 544,735
Electrobras 12,815,000 277,162
Telebras ADR 23,380 1,775,419
Unibanco GDR 9,400 164,500
------------
3,037,452
------------
CANADA -- 0.0%
Atacama Minerals* 132,500 41,218
------------
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C>
CHILE -- 4.1%
Andina ADR 19,400 $ 258,262
CTC ADR 28,900 633,994
DyS ADR 33,900 440,700
Enersis ADR 26,200 546,925
------------
1,879,881
------------
COLOMBIA -- 0.4%
Cadenalco ADR* 44,300 177,200
------------
CZECH REPUBLIC -- 0.9%
IF Zivnobanka 3,000 40,635
Komercni Banka ADR 21,000 89,775
SPT Telecom 19,000 287,150
------------
417,560
------------
GREECE -- 7.3%
Alpha Credit Bank 10,074 804,657
Attica Enterprises 39,820 291,267
Ergo Bank 8,478 752,586
Goody's 17,320 442,488
Stet Hellas Telecom ADR 23,650 620,812
Titan Cement 7,330 452,872
------------
3,364,682
------------
HONG KONG -- 0.5%
China Telecom* 122,000 229,193
------------
HUNGARY -- 4.2%
Matav, Registered 171,000 889,092
Mol 13,000 291,655
OTB Bank 16,703 594,549
Raba 19,200 149,209
------------
1,924,505
------------
INDIA -- 7.3%
Asea Brown Boveri 14,033 158,213
Associated Cement Company* 12,500 271,092
Bajaj Auto 14,225 185,890
BSES 3,100 10,944
BSES Limited GDR 17,000 210,375
EIH Limited 205 1,166
Hindustan Lever 15,300 578,782
Hindustan Petroleum 23,000 144,486
Housing Development Finance* 2,800 147,467
ICICI Limited 113,000 107,733
Infosys Technologies Ltd 5,000 285,900
ITC Limited 21,600 356,687
Mahanagar Telephone Nigam 34,300 148,127
Mahindra & Mahindra* 700 2,430
NIIT Limited 3,000 89,894
Ranbaxy Laboratories 20,000 235,634
Reliance Industries 56,900 147,705
State Bank of India 71,000 261,799
------------
3,344,324
------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
72
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C>
INDONESIA -- 0.0%
Bank Panin Warrants* 85 $ 0
------------
ISRAEL -- 3.2%
Bank Leumi Le-Israel 282,000 359,131
Blue Square Chain Stores* 39,800 506,858
Elite Industries* 2,800 73,738
Makhteshim Agan Industries* 162,996 288,323
Tadiran ADR 7,900 232,556
------------
1,460,606
------------
KOREA -- 4.1%
Dae Duck Electronics Company 660 46,868
Korea Electric Power Corp. 32,000 569,913
Pohang Iron & Steel 12,296 540,483
Samsung Display Devices 4,144 155,459
Samsung Electronics 11,766 481,519
Samsung Electronics GDR 144A 293 6,658
SK Telecom 160 75,544
------------
1,876,444
------------
MALAYSIA -- 1.3%
Berjaya Sports Toto (2) 45,000 25,359
Genting Berhad (2) 25,000 31,998
IOI Corp (2) 220,000 60,773
Litrak Holdings* (2) 150,000 66,575
Malayan Banking (2) 55,000 46,593
MNI Holdings Berhad (2) 120,000 81,768
Rothmans of Pall Mall (2) 17,000 56,667
Telekom Malaysia* (2) 110,000 136,740
Tenaga Nasional (2) 120,000 95,028
------------
601,501
------------
MEXICO -- 16.0%
Bancomer 506,300 104,185
Cemex Series B 105,100 291,135
Cifra 489,764 663,808
Desc Series C 560,000 526,316
Desc, ADR 14,700 277,462
Femsa 429,600 1,107,152
Geo GDS 29,600 204,986
Geo, Series B 165,000 285,665
Grupo Carso 85,200 294,592
Grupo Modelo, Series C 408,000 859,755
Kimberly Clark, Series A 128,400 376,003
Panamco, Class A 6,800 137,700
Sigma Alimentos, Series B 237,279 363,853
Televisa GDR 144A 8,700 235,988
Telmex ADR 31,400 1,658,313
------------
7,386,913
------------
PAKISTAN -- 0.0%
Pakistan State Oil* 5,900 5,818
------------
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C>
PERU -- 1.8%
Buenaventura ADR 34,000 $ 416,500
Telefonica de Peru ADR 33,100 430,300
------------
846,800
------------
PHILLIPINES -- 0.9%
International Container Terminal Services 685,500 45,870
Manila Electric 75,000 221,190
SM Prime Holdings 1,000,000 168,525
------------
435,585
------------
POLAND -- 2.1%
Bank Przemyslowo-Handlowy 5,120 331,377
Elektrim 31,050 369,482
Exbud 7,780 72,257
Kety* 6,900 44,458
Wielkopolski Bank Kredytowy 20,000 128,864
------------
946,438
------------
PORTUGAL -- 0.0%
Jeronimo Martins 30 1,300
------------
ROMANIA -- 0.3%
Alro* 9,500 30,597
Dacia* 1,300,000 61,725
Romcim 8,000 43,221
Terapia 42,000 20,945
------------
156,488
------------
SOUTH AFRICA -- 8.4%
ABSA 52,900 288,245
Anglo American Gold Investment 5,700 272,908
Barlow 45,100 213,515
CG Smith Foods 21,050 203,073
De Beers Centenary Linked Units 21,350 297,508
Fedsure Holdings 22,100 219,125
Illovo Sugar 144,100 123,569
Liberty Life 14,000 240,107
McCarthy Retail Limited 375,000 67,664
Metropolitan Life 96,100 175,976
Minorco 25,200 432,193
Nampak 85,900 160,367
New Clicks Holdings 259,956 267,038
Rembrandt Group 49,400 329,186
Sasol 64,200 314,835
South Africa Breweries 14,788 287,438
------------
3,892,747
------------
</TABLE>
73
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1998
Emerging Markets
Equity Fund, continued
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------
SHARES/
DESCRIPTION FACE AMOUNT(1) VALUE
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C>
TAIWAN -- 8.6%
Advanced Semiconductor Engineering GDR* 24,120 $ 310,545
Asia Cement GDR 144A 58,627 542,300
Asutek Computer GDR 93,100 712,215
China Steel GDR 4,600 64,745
Fubon Insurance GDR* 68,180 860,774
Standard Foods GDR* 42,800 497,550
Taiwan Semiconductor ADR* 64,409 962,109
------------
3,950,238
------------
THAILAND -- 1.5%
Advanced Info Services 23,000 169,002
Bangkok Bank 22,300 33,986
Bec World Plc 29,400 179,224
Cogeneration Public 75,000 32,658
PTT Exploration 18,500 178,228
Thai Farmers Bank 60,000 75,929
------------
669,027
------------
TURKEY -- 2.6%
Ardem 7,020,000 112,123
Hurriyet 12,465,000 170,958
T. Garanti Bank 10,500,000 182,288
Tansas 2,640,000 256,662
Vestel 2,200,000 179,511
Yapi ve Kredi Bank 24,405,000 275,399
------------
1,176,941
------------
OTHER -- 1.5%
Framlington Maghreb Fund 12,500 178,125
Mauritius Fund Limited 49,000 343,000
Oryx Fund Limited* 17,000 195,500
------------
716,625
------------
Total Foreign Common Stocks
(Cost $54,702,286) 41,106,474
------------
FOREIGN PREFERRED STOCKS -- 5.8%
BRAZIL--5.5%
Bradesco 51,940,000 296,078
Brahma 640,000 300,444
Cemig 28,838,312 560,859
Electrobras 19,666,000 455,010
Itaubanco 930,000 452,183
Petrobras 3,727,100 468,660
------------
2,533,234
------------
COLOMBIA -- 0.3%
Banco Gondero ADR 17,800 127,938
------------
Total Foreign Preferred Stocks
(Cost $4,217,789) 2,661,172
------------
FOREIGN CONVERTIBLE BONDS -- 2.8%
TAIWAN -- 2.8%
Far Eastern Department Stores
3.00% 7/6/01 $ 225,000 203,625
Nan Ya Plastics
1.75% 7/19/01 638,000 702,483
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT(1) VALUE
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Yang Ming Marine
2.00% 10/06/01 $ 328,000 $ 379,660
------------
Total Foreign Convertible Bonds
(Cost $1,393,599) 1,285,768
------------
Total Investments -- 97.8%
(Cost $60,313,674) 45,053,414
------------
OTHER ASSETS AND LIABILITIES, NET -- 2.2% 1,026,541
------------
Net Assets -- 100% $ 46,079,955
------------
------------
</TABLE>
<TABLE>
<S> <C> <C>
* NON-INCOME PRODUCING SECURITY
ADR AMERICAN DEPOSITORY RECEIPT
GDR GLOBAL DEPOSITORY RECEIPT
144A SECURITY EXEMPT FROM REGISTRATION UNDER 144A OF THE SECURITY ACT OF
1933. THESE SECURITIES MAY BE RESOLD IN TRANSACTIONS EXEMPT FROM
REGISTRATION, NORMALLY TO QUALIFIED BUYERS.
</TABLE>
(1) IN LOCAL CURRENCY UNLESS OTHERWISE INDICATED.
(2) SECURITY FAIR VALUED USING METHODS DETERMINED IN GOOD FAITH BY THE VALUATION
COMMITTEE OF THE BOARD OF TRUSTEES.
Global Fixed
Income Fund
<TABLE>
<S> <C> <C>
FOREIGN BONDS -- 49.7%
GERMANY -- 18.3%
Federal Republic of Germany
4.500%, 02/22/02 2,200,000 $ 1,366,934
4.500%, 02/18/03 3,100,000 1,931,089
6.875%, 05/12/05 4,770,000 3,351,435
6.500%, 07/04/27 3,400,000 2,464,656
5.625%, 01/04/28 (2) 2,500,000 1,600,555
------------
10,714,669
------------
ITALY -- 13.6%
Republic of Italy
4.750%, 05/01/03 1,900,000,000 1,198,185
10.000%, 08/01/03 1,950,000,000 1,499,650
7.750%, 11/01/06 2,830,000,000 2,113,183
5.000%, 05/01/08 4,960,000,000 3,147,268
------------
7,958,286
------------
JAPAN -- 3.8%
European Investment Bank
3.000%, 09/20/06 144,000,000 1,446,525
International Bank for Reconstruction & Development
2.000%, 02/18/08 80,000,000 757,124
------------
2,203,649
------------
NETHERLANDS -- 7.0%
Government of the Netherlands
5.250%, 07/15/08 7,080,000 4,091,431
------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
74
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT(1) VALUE
- -----------------------------------------------------------------------------------------------------------------
<S> <C> <C>
UNITED KINGDOM -- 7.0%
Lloyds Bank Plc
7.750%, 06/18/07 1,150,000 $ 2,108,667
UBS
8.000%, 01/08/07 (2) 1,090,000 1,980,119
------------
4,088,786
------------
Total Foreign Bonds
(Cost $26,953,120) 29,056,821
------------
UNITED STATES -- 46.8%
U.S. TREASURY NOTES -- 27.5%
5.875%, 07/31/99 105,000 106,068
6.000%, 08/15/00 990,000 1,019,925
6.500%, 05/31/01 (2) 4,570,000 4,808,499
6.250%, 01/31/02 1,410,000 1,488,828
5.750%, 10/31/02 1,700,000 1,782,875
7.875%, 11/15/04 (2) 4,380,000 5,143,763
7.000%, 07/15/06 1,500,000 1,725,938
------------
Total U.S. Treasury Notes
(Cost $15,809,873) 16,075,896
------------
U.S. TREASURY BONDS -- 10.1%
8.500%, 02/15/20 1,200,000 1,666,357
7.125%, 02/15/23 3,410,000 4,208,813
------------
Total U.S. Treasury Bonds
(Cost $5,538,470) 5,875,170
------------
CORPORATE OBLIGATION -- 1.2%
General Electric Capital
8.125%, 02/23/07
(Cost $649,392) 615,000 724,972
------------
ASSET-BACKED SECURITIES -- 7.1%
American Express Credit
Account Master Trust Series 1997-1
6.400%, 04/15/05 (2) 3,050,000 3,180,154
Premier Auto Trust Series: 1996-4,
Series A, Class A3
6.200%, 11/06/00 953,877 963,327
------------
Total Asset-Backed Securities
(Cost $4,031,653) 4,143,481
------------
SOVEREIGN EMERGING DEBT BONDS -- 0.9%
ARGENTINA -- 0.2%
Republic of Argentina
11.375%, 01/30/17 100,000 96,000
------------
BRAZIL -- 0.1%
Republic of Brazil
10.125%, 05/15/27 140,000 91,350
------------
BULGARIA -- 0.2%
Republic of Bulgaria IAB FRN
6.688%, 07/28/11 150,000 99,375
------------
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT(1) VALUE
- -----------------------------------------------------------------------------------------------------------------
<S> <C> <C>
MEXICO -- 0.1%
United Mexican States
11.500%, 05/15/26 75,000 $ 77,250
------------
VENEZUELA -- 0.3%
Republic of Venezuela DCB FRN
6.625%, 12/18/07 250,000 148,750
------------
Total Sovereign Emerging Debt Bonds (Cost $513,846) 512,725
------------
Total United States (Cost $26,543,234) 27,332,244
------------
OPTIONS -- 0.0%
Japanese Yen Put Option Strike price 137, expiring 12/18/98
(Cost $98,976) JPY 445,000,000 1,928
------------
Total Investments -- 96.5%
(Cost $53,595,330) $ 56,390,993
------------
OTHER ASSETS AND LIABILITIES, NET -- 3.5% 2,030,629
------------
Net Assets -- 100.0% $ 58,421,622
------------
------------
</TABLE>
<TABLE>
<S> <C>
(1) IN LOCAL CURRENCY UNLESS OTHERWISE INDICATED.
(2) SECURITIES SEGREGATED TO COLLATERALIZE FORWARD EXCHANGE FOREIGN CONTRACTS
WITH AN AGGREGATE MARKET VALUE OF $16,713,090.
DCB DEBT CONVERTIBLE BOND
FRN FLOATING RATE NOTE
IAB INTEREST ARREARS BOND
JPY JAPANESE YEN
</TABLE>
Core Global Fixed
Income Fund
<TABLE>
<S> <C> <C>
FOREIGN BONDS -- 49.2%
GERMANY -- 17.9%
Federal Republic of Germany
4.500%, 02/22/02 1,000,000 $ 621,334
4.500%, 02/18/03 2,200,000 1,370,450
6.875%, 05/12/05 2,550,000 1,791,648
6.500%, 07/04/27 905,000 656,033
5.625%, 01/04/28 2,440,000 1,562,142
------------
6,001,607
------------
ITALY -- 13.0%
Republic of Italy
4.750%, 05/01/03 1,100,000,000 693,686
10.000%, 08/01/03 540,000,000 415,288
7.750%, 11/01/06 3,190,000,000 2,381,998
5.000%, 05/01/08 1,390,000,000 881,996
------------
4,372,968
------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
75
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1998
Core Global Fixed
Income Fund, continued
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT(1) VALUE
- -----------------------------------------------------------------------------------------------------------------
<S> <C> <C>
JAPAN -- 4.5%
European Investment Bank
3.000%, 09/20/06 16,000,000 $ 160,725
2.125%, 09/20/07 143,000,000 1,356,999
------------
1,517,724
------------
NETHERLANDS -- 7.4%
Government of the Netherlands
5.250%, 07/15/08 4,300,000 2,484,908
------------
UNITED KINGDOM -- 6.4%
Lloyds Bank Plc
7.750%, 06/18/07 590,000 1,081,838
UBS
8.000%, 01/08/07 590,000 1,071,807
------------
2,153,645
------------
Total Foreign Bonds
(Cost $15,430,914) 16,530,852
------------
UNITED STATES -- 46.5%
SUPRANATIONAL -- 0.5%
International Bank for Reconstruction & Development
9.750%, 01/23/16
(Cost $169,925) 125,000 175,902
------------
CORPORATE OBLIGATION -- 1.4%
General Electric Capital
8.125%, 02/23/07 (Cost $409,298) 365,000 430,268
------------
ASSET-BACKED SECURITIES -- 6.1%
American Express Credit
Account Master Trust Series 1997-1
6.400%, 04/15/05 950,000 990,540
Citibank Credit Card Master
Trust 1, Series 1997-7, Class A
6.350%, 08/15/02 710,000 741,227
Premium Auto Trust Series 1996-4
Series A, Class A3
6.200%, 11/06/00 298,086 301,040
------------
Total Asset-Backed Securities
(Cost $1,981,485) 2,032,807
------------
U.S. TREASURY NOTES -- 28.9%
7.125%, 09/30/99(2) 2,045,000 2,093,844
6.000%, 08/15/00 310,000 319,371
6.500%, 05/31/01 2,130,000 2,241,160
6.250%, 01/31/02 900,000 950,316
5.750%, 10/31/02 1,600,000 1,678,000
7.875%, 11/15/04 1,350,000 1,585,406
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT(1) VALUE
- -----------------------------------------------------------------------------------------------------------------
<S> <C> <C>
7.000%, 07/15/06 750,000 $ 862,969
------------
Total U.S. Treasury Notes
(Cost $9,642,632) 9,731,066
------------
U.S. TREASURY BONDS -- 9.6%
8.500%, 02/15/20 430,000 597,111
7.125%, 02/15/23 2,135,000 2,635,137
------------
Total U.S. Treasury Bonds
(Cost $3,022,054) 3,232,248
------------
Total United States
(Cost $15,225,394) 15,602,291
------------
OPTIONS -- 0.0%
Japanese Yen Put Option, Strike price 137, expiring 12/18/98
(Cost $38,923) JPY 175,000,000 759
------------
Total Investments -- 95.7%
(Cost $30,695,231) $ 32,133,902
------------
OTHER ASSETS AND LIABILITIES, NET -- 4.3% 1,450,729
------------
Net Assets -- 100.0% $ 33,584,631
------------
------------
</TABLE>
<TABLE>
<S> <C>
(1) IN LOCAL CURRENCY UNLESS OTHERWISE INDICATED.
(2) SECURITIES SEGREGATED TO COLLATERALIZE FORWARD EXCHANGE FOREIGN CONTRACTS
WITH AN AGGREGATE MARKET VALUE OF $2,093,844.
JPY JAPANESE YEN
</TABLE>
International Fixed
Income Fund
<TABLE>
<S> <C> <C>
FOREIGN BONDS -- 93.4%
AUSTRALIA -- 4.6%
Government of Australia
9.500%, 08/15/03 1,200,000 $ 907,070
------------
CANADA -- 1.3%
Government of Canada
8.000%, 06/01/27 285,000 251,308
------------
DENMARK -- 6.6%
Kingdom of Denmark
8.000%, 05/15/03 1,200,000 219,381
Kingdom of Denmark
7.000%, 12/15/04 1,050,000 189,439
Kingdom of Denmark
8.000%, 03/15/06 4,600,000 882,457
------------
1,291,277
------------
FRANCE -- 4.6%
Government of France
4.500%, 07/12/03 4,800,000 892,426
------------
GERMANY -- 20.0%
Federal Republic of Germany
4.500%, 02/22/02 570,000 354,160
LKB Bad-Wurt Fin
6.625%, 08/20/03 900,000 604,510
</TABLE>
The accompanying notes are an integral part of the financial statements.
76
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT(1) VALUE
- -----------------------------------------------------------------------------------------------------------------
<S> <C> <C>
KFW International Finance
6.250%, 10/15/03 (2) 1,200,000 $ 807,596
Federal Republic of Germany
6.875%, 05/12/05 890,000 625,320
Federal Republic of Germany
6.250%, 01/04/24 1,180,000 828,263
Federal Republic of Germany
5.625%, 01/04/28 1,070,000 685,038
------------
3,904,887
------------
ITALY -- 20.3%
Istituto Mobiliare Italian Bank
7.500%, 12/10/01 1,300,000,000 873,907
DSL Bank
7.750%, 05/27/02 1,100,000,000 739,807
General Electric
6.125%, 07/31/02 1,100,000,000 723,359
Republic of Italy
7.800%, 11/12/03 325,000,000 230,689
Republic of Italy
9.500%, 02/01/06 (2) 750,000,000 607,130
Republic of Italy
7.750%, 11/01/06 1,050,000,000 784,043
------------
3,958,935
------------
JAPAN -- 11.3%
Export-Import Bank of Japan
2.875%, 07/28/05 90,000,000 851,737
European Investment Bank
3.000%, 09/20/06 97,000,000 974,395
Federal National Mortgage Association
2.125%, 10/09/07 40,000,000 381,672
------------
2,207,804
------------
NETHERLANDS -- 7.5%
Government of the Netherlands
5.250%, 07/15/08 (2) 2,530,000 1,462,051
------------
SPAIN -- 7.4%
Kingdom of Spain
8.000%, 05/30/04 (2) 170,000,000 1,443,484
------------
UNITED KINGDOM -- 9.8%
Lloyds Bank plc
7.750%, 06/18/07 330,000 605,095
UBS
8.000%, 01/08/07 575,000 1,044,557
United Kingdom Treasury
7.250%, 12/07/07 140,000 272,155
------------
1,921,807
------------
Total Foreign Bonds -- 93.4%
(Cost $17,106,166) 18,241,049
------------
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT(1) VALUE
- -----------------------------------------------------------------------------------------------------------------
<S> <C> <C>
TIME DEPOSIT -- 1.6%(1)
CANADA -- 1.6%
Royal Bank of Canada
5.000%, 11/06/98
(Cost $308,406) 475,808 $ 308,406
------------
OPTIONS -- 0.0%
Japanese Yen Put Option Strike Price, 137 expiring 12/18/98
(Cost $34,474) JPY 155,000,000 671
------------
Total Investments -- 95.0%
(Cost $17,449,046) $ 18,550,126
------------
OTHER ASSETS AND LIABILITIES, NET -- 5.0% 970,679
------------
Net Assets -- 100.0% $ 19,520,805
------------
------------
</TABLE>
<TABLE>
<S> <C>
(1) IN LOCAL CURRENCY UNLESS OTHERWISE INDICATED
(2) SECURITIES SEGREGATED TO COLLATERALIZE FORWARD EXCHANGE CONTRACTS WITH AN
AGGREGATE MARKET VALUE OF $4,320,261.
JPY JAPANESE YEN
</TABLE>
Emerging Markets
Debt Fund
<TABLE>
<S> <C> <C>
FOREIGN BONDS -- 82.4%
ARGENTINA -- 18.9%
Government of Argentina FRB Series L
6.625%, 03/31/05 282,000 $ 232,876
Telefonica de Argentina
9.125%, 05/07/08 1,000,000 870,000
Telefonica de Argentina 144A
9.125%, 05/07/08 100,000 87,000
Government of Argentina
11.375%, 01/30/17 4,200,000 4,034,000
Government of Argentina FRN
6.625%, 03/31/23 3,750,000 2,587,500
Government of Argentina Par Series L
5.750%, 03/31/23 3,950,000 2,740,313
------------
10,551,689
------------
BRAZIL -- 23.1%
Government of Brazil FRN Series L
6.125%, 04/15/06 384,000 243,360
Government of Brazil FLIRB Series L
5.000%, 04/15/09 5,000,000 2,350,000
4.500%, 04/15/09 250,000 116,875
Government of Brazil DCB FRN Series L
6.188%, 04/15/12 6,750,000 3,543,750
Government of Brazil C Bond PIK
8.000%, 04/15/14 6,241,386 3,854,056
</TABLE>
The accompanying notes are an integral part of the financial statements.
77
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1998
Emerging Markets
Debt Fund, continued
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT(1) VALUE
- -------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Government of Brazil FRN Series ZL
6.125%, 04/15/24 4,650,000 $ 2,749,313
------------
12,857,354
------------
BULGARIA -- 4.6%
Government of Bulgaria IAB
6.688%, 07/28/11 2,050,000 1,358,125
Government of Bulgaria Tranche A FRN
6.688%, 07/28/24 1,700,000 1,190,000
------------
2,548,125
------------
CROATIA -- 1.3%
Government of Croatia FRN
6.563%, 07/31/06 969,063 734,857
------------
IVORY COAST -- 4.1%
Government of Ivory Coast FLIRB
1.900%, 03/31/18 3,731,250 154,447
Ivory Coast PDI (2)
2.000%, 03/31/18 9,500,000 2,137,500
------------
2,291,947
------------
JORDAN -- 3.0%
Government of Jordan Par
5.000%, 12/23/23 3,250,000 1,658,033
------------
MEXICO -- 8.7%
Petroleos Mexicano
9.250%, 03/30/18 3,300,000 2,640,000
United Mexican States
11.500%, 05/15/26 2,150,000 2,214,500
United Mexican States Warrants 06/30/03* 1,153,000 --
------------
4,854,500
------------
NIGERIA -- 3.7%
Central Bank of Nigeria Par
6.250%, 11/15/20 3,250,000 2,015,000
Central Bank of Nigeria Warrants
11/15/20* 13,500 --
------------
2,015,000
------------
PANAMA -- 2.6%
Government of Panama IRB
4.000%, 07/17/14 2,000,000 1,445,000
------------
PERU -- 2.0%
Republic of Peru PDI
4.000%, 03/07/17 2,000,000 1,137,500
------------
POLAND -- 2.0%
Government of Poland Par
3.000%, 10/27/24 1,700,000 1,122,000
------------
RUSSIA -- .1%
Government of Russia IAN FRN
6.625%, 12/15/15 200,000 20,000
Russia IAN 144A FRN
6.625%, 12/15/15 92,458 9,245
------------
29,245
------------
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT(1) VALUE
- -------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
VENEZUELA -- 8.3%
Government of Venezuela FRN
6.625%, 12/18/07 3,845,230 $ 2,287,912
Government of Venezuela DCB
13.625%, 08/15/18 1,000,000 712,500
Government of Venezuela Warrants
04/18/20* 5,355 --
Government of Venezuela
9.250%, 09/15/27 2,750,000 1,650,000
------------
4,650,412
------------
Total Foreign Bonds
(Cost $47,788,396) 45,895,662
------------
LOAN PARTICIPATIONS -- 11.3%(3)
ALGERIA -- 4.6%
Algeria Tranche A FRN
(Chase Manhattan)
6.375%, 03/04/00 3,071,363 2,549,232
MOROCCO -- 4.0%
Government of Morocco FRN
(Morgan Guaranty Trust Company of New York)
6.563%, 01/01/09 2,950,000 2,212,500
RUSSIA -- 2.7%
Government of Russia-Principal Loan FRN(4)
(Chase Manhattan, Bank of America, ING Securities, JP Morgan, Union Bank of
Switzerland)
6.625%, 12/15/20 21,200,000 1,537,000
------------
Total Loan Participations
(Cost $6,584,439) 6,298,732
------------
Total Investments -- 93.7%
(Cost $54,372,835) $ 52,194,394
------------
OTHER ASSETS AND LIABILITIES, NET -- 6.3% 3,507,500
------------
Total Net Assets -- 100.0% $ 55,701,894
------------
------------
</TABLE>
<TABLE>
<S> <C>
DCB DEBT CONVERTIBLE BOND
FLIRB FRONT LOADED INTEREST REDUCTION BOND
FRB FLOATING RATE BOND
FRN FLOATING RATE NOTE. THE RATE REFLECTED ON THE SCHEDULE OF INVESTMENTS IS
THE RATE IN EFFECT ON OCTOBER 31, 1998.
IAB INTEREST ARREARS BOND
IAN INTEREST ARREARS NOTE
IRB INTEREST REVENUE BOND
PDI PAST DUE INCOME
PIK PAYMENT IN KIND
PRIN PRINCIPAL LOAN
(1) IN U.S. DOLLARS UNLESS OTHERWISE INDICATED.
(2) IN FRENCH FRANCS.
(3) PARTICIPATIONS WERE ACQUIRED THROUGH FINANCIAL INSTITUTIONS INDICATED
PARENTHETICALLY. SEE NOTE 6.
(4) PORTION OF INCOME EARNED IS CAPITALIZED AS RUSSIAN INTEREST IN ARREARS
NOTES.
144A SECURITY EXEMPT FROM REGISTRATION UNDER 144A OF THE SECURITY ACT OF
1933. THESE SECURITIES MAY BE RESOLD IN TRANSACTIONS EXEMPT FROM
REGISTRATION, NORMALLY TO QUALIFIED BUYERS.
AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0.
*NON-INCOME PRODUCING SECURITY.
</TABLE>
The accompanying notes are an integral part of the financial statements.
78
<PAGE>
(THIS PAGE LEFT BLANK INTENTIONALLY.)
79
<PAGE>
STATEMENT OF ASSETS AND LIABILITIES
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1998
<TABLE>
<CAPTION>
-------------- -------------- ------------ ------------ ------------ -----------
SHORT-TERM SHORT-TERM
MUNICIPAL FIXED MUNICIPAL FIXED HIGH YIELD SMALLER
BOND INCOME BOND INCOME BOND COMPANIES
FUND FUND FUND FUND FUND FUND
-------------- -------------- ------------ ------------ ------------ -----------
<S> <C> <C> <C> <C> <C> <C>
ASSETS
Investment at Value(1) $ 569,818,884 $1,237,373,502 $ 53,172,782 $ 19,856,359 $ 90,568,684 $ 5,684,516
Cash 3,813,270 -- 18,301 273,342 2,342,915 103,893
Foreign Currency(1) -- -- -- -- -- --
Receivable for Securities Sold -- 25,914,257 -- 741,285 9,352,986 46,434
Receivable for Capital Shares
Issued 2,177,137 19,560,980 850,298 -- 1,949 20,029
Dividend and Interest Receivable 9,549,488 17,916,700 938,656 265,449 2,229,694 2,010
Receivable for Foreign Taxes
Withheld -- -- -- -- -- --
Unrealized Appreciation on
Forward Currency Contracts -- -- -- -- -- --
Prepaid Expenses and Other Assets -- -- -- 22 -- --
Due from Adviser -- -- -- -- -- 2,432
-------------- -------------- ------------ ------------ ------------ -----------
Total Assets $ 585,358,779 $1,300,765,439 $ 54,980,037 $ 21,136,457 $104,496,228 $ 5,859,314
-------------- -------------- ------------ ------------ ------------ -----------
LIABILITIES
Due to Adviser $ 58,283 $ 466,887 $ 9,635 $ 1,211 $ 12,521 $ --
Due to Custodian -- 10,187,566 -- -- -- --
Payable for Securities Purchased 8,476,646 19,951,611 107,161 838,960 11,661,794 109,224
Payable for Capital Shares
Redeemed 289,635 3,628,981 13,858 -- -- 11,317
Dividend Payable 395,450 1,491,867 20,068 87,651 -- --
Unrealized Depreciation on
Forward Currency Contracts -- -- -- -- -- --
Accrued Expenses and Other
Liabilities 269,500 290,811 23,644 7,177 52,884 7,769
-------------- -------------- ------------ ------------ ------------ -----------
Total Liabilities $ 9,489,514 $ 36,017,723 $ 174,366 $ 934,999 $ 11,727,199 $ 128,310
-------------- -------------- ------------ ------------ ------------ -----------
Net Assets $ 575,869,265 $1,264,747,716 $ 54,805,671 $ 20,201,458 $ 92,769,029 $ 5,731,004
-------------- -------------- ------------ ------------ ------------ -----------
-------------- -------------- ------------ ------------ ------------ -----------
SHARES OUTSTANDING AT OCTOBER 31,
1998
Institutional Shares 50,509,285 116,080,913 5,244,924 1,993,340 10,636,017 422,077
Service Shares 453,646 140,853 42,086 -- 9,344 89,166
NET ASSET VALUE PER SHARE AT
OCTOBER 31, 1998
Institutional Shares $ 11.30 $ 10.88 $ 10.37 $ 10.13 $ 8.71 $ 11.22
Service Shares $ 11.30 $ 10.88 $ 10.37 n/a $ 8.71 $ 11.18
COMPOSITION OF NET ASSETS
Capital Shares of Institutional
Shares (unlimited authorization
$0.001 par value). Based on
Outstanding Shares of
Beneficial Interest $ 552,722,053 $1,212,671,162 $ 53,777,622 $ 19,981,197 $104,284,018 $ 4,779,227
Capital Shares of Service Shares
(unlimited authorization $0.001
par value). Based on
Outstanding Shares of
Beneficial Interest 4,988,832 1,382,695 432,753 -- 81,239 1,196,446
Undistributed Net Investment
Income (Loss) (8,781) (85,975) -- (5,324) -- 16,055
Accumulated Net Realized Gains
(Losses) from Securities,
Forward Currency Contracts and
Foreign Currency Transactions 2,509,390 19,543,533 (86,257) 37,114 (3,842,821) (124,685)
Net Unrealized Appreciation
(Depreciation) on Investments 15,657,771 31,236,301 681,553 188,471 (7,753,407) (136,039)
Net Unrealized Appreciation
(Depreciation) on Foreign
Currencies and Forward Currency
Contracts -- -- -- -- -- --
-------------- -------------- ------------ ------------ ------------ -----------
Net Assets, October 31, 1998 $ 575,869,265 $1,264,747,716 $ 54,805,671 $ 20,201,458 $ 92,769,029 $ 5,731,004
-------------- -------------- ------------ ------------ ------------ -----------
-------------- -------------- ------------ ------------ ------------ -----------
(1) COST OF INVESTMENTS AND
CURRENCY Investments Currency
-------------- --------------
Municipal Bond Fund $ 554,161,113 $ --
Fixed Income Fund 1,206,137,201 --
Short-Term Municipal Bond
Fund 52,491,229 --
Short-Term Fixed Income Fund 19,667,888 --
High-Yield Bond Fund 98,322,091 --
Smaller Companies Fund 5,820,555 --
Microcap Fund 16,633,872 --
International Equity Fund 5,074,287 348,582
European Equity Growth Fund 37,673,128 201,233
International Small Cap
Equity Fund 23,987,328 552,322
European Small Cap Equity
Fund 2,762,179 11,287
Emerging Markets Equity Fund 60,313,674 667,433
Global Fixed Income Fund 53,595,330 9,194
Core Global Fixed Income Fund 30,695,231 489
International Fixed Income
Fund 17,449,046 475
Emerging Markets Debt Fund 54,372,835 168
</TABLE>
(2) AS OF OCTOBER 31, 1998, EMERGING MARKETS EQUITY FUND HELD $327,775 OF
MALAYSIAN RINGGIT WHICH WAS 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.
80
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
------------ -------------- ------------- ------------- ------------
INTERNATIONAL EUROPEAN
INTERNATIONAL EUROPEAN SMALL CAP SMALL CAP
MICROCAP EQUITY EQUITY GROWTH EQUITY EQUITY
FUND FUND FUND FUND FUND
------------ -------------- ------------- ------------- ------------
<S> <C> <C> <C> <C> <C>
ASSETS
Investment at Value(1) $ 13,886,842 $ 5,422,887 $44,704,136 $ 23,705,229 $ 2,941,546
Cash 1,913,929 -- 456,402 543,417 --
Foreign Currency(1) -- 347,758 198,278 551,497 10,860
Receivable for Securities Sold 47,723 4,997 -- 897,986 80,423
Receivable for Capital Shares
Issued 236,154 -- -- -- --
Dividend and Interest Receivable 1,044 7,102 52,367 45,654 4,603
Receivable for Foreign Taxes
Withheld -- 5,364 73,923 36,561 3,346
Unrealized Appreciation on
Forward Currency Contracts -- -- -- -- --
Prepaid Expenses and Other Assets 10,719 -- -- -- --
Due from Adviser -- 7,016 -- -- 11,497
------------ -------------- ------------- ------------- ------------
Total Assets $ 16,096,411 $ 5,795,124 $45,485,106 $ 25,780,344 $ 3,052,275
------------ -------------- ------------- ------------- ------------
LIABILITIES
Due to Adviser $ 17,986 $ -- $ 22,949 $ 12,974 $ --
Due to Custodian -- 49,537 -- -- 27,980
Payable for Securities Purchased 642,044 241,598 54,022 753,720 85,205
Payable for Capital Shares
Redeemed 23,071 -- -- -- --
Dividend Payable -- -- -- -- --
Unrealized Depreciation on
Forward Currency Contracts -- 72,696 -- 572,130 --
Accrued Expenses and Other
Liabilities 13,978 12,428 21,263 31,176 9,239
------------ -------------- ------------- ------------- ------------
Total Liabilities $ 697,079 $ 376,259 $ 98,234 $ 1,370,000 $ 122,424
------------ -------------- ------------- ------------- ------------
Net Assets $ 15,399,332 $ 5,418,865 $45,386,872 $ 24,410,344 $ 2,929,851
------------ -------------- ------------- ------------- ------------
------------ -------------- ------------- ------------- ------------
SHARES OUTSTANDING AT OCTOBER 31,
1998
Institutional Shares 1,450,843 450,968 3,361,631 2,754,321 217,295
Service Shares 104,917 -- -- -- --
NET ASSET VALUE PER SHARE AT
OCTOBER 31, 1998
Institutional Shares $ 9.90 $ 12.02 $ 13.50 $ 8.86 $ 13.48
Service Shares $ 9.88 n/a n/a n/a n/a
COMPOSITION OF NET ASSETS
Capital Shares of Institutional
Shares (unlimited authorization
$0.001 par value). Based on
Outstanding Shares of
Beneficial Interest $ 18,036,521 $ 4,740,624 $33,338,077 $ 28,909,909 $ 329,346
Capital Shares of Service Shares
(unlimited authorization $0.001
par value). Based on
Outstanding Shares of
Beneficial Interest 1,412,933 -- -- -- --
Undistributed Net Investment
Income (Loss) -- 98,817 498,433 594,421 33,139
Accumulated Net Realized Gains
(Losses) from Securities,
Forward Currency Contracts and
Foreign Currency Transactions (1,303,092) 300,551 4,516,935 (4,239,855) 2,388,719
Net Unrealized Appreciation
(Depreciation) on Investments (2,747,030) 348,600 7,031,008 (282,099) 179,367
Net Unrealized Appreciation
(Depreciation) on Foreign
Currencies and Forward Currency
Contracts -- (69,727) 2,419 (572,032) (720)
------------ -------------- ------------- ------------- ------------
Net Assets, October 31, 1998 $ 15,399,332 $ 5,418,865 $45,386,872 $ 24,410,344 $ 2,929,851
------------ -------------- ------------- ------------- ------------
------------ -------------- ------------- ------------- ------------
<CAPTION>
-------------- ------------ ------------ ------------- ------------
EMERGING GLOBAL CORE INTERNATIONAL EMERGING
MARKETS FIXED GLOBAL FIXED FIXED MARKETS
EQUITY INCOME INCOME INCOME DEBT
FUND FUND FUND FUND FUND
-------------- ------------ ------------ ------------- ------------
<S> <C> <C> <C> <C> <C>
ASSETS
Investment at Value(1) $ 45,053,414 $ 56,390,993 $ 32,133,902 $ 18,550,126 $ 52,194,394
Cash 1,329,693(2) -- 344,340 117,706 14,511,319
Foreign Currency(1) 665,144 9,619 489 1,172 763
Receivable for Securities Sold 353,868 2,688,696 -- 3,623,284 --
Receivable for Capital Shares
Issued -- -- -- -- 6,630,000
Dividend and Interest Receivable 230,386 1,399,702 784,472 556,576 1,475,861
Receivable for Foreign Taxes
Withheld 3,142 -- -- 1,971 --
Unrealized Appreciation on
Forward Currency Contracts -- 602,593 509,670 292,265 1,013
Prepaid Expenses and Other Assets -- -- 1,226 -- --
Due from Adviser 3,482 -- 1,617 -- 22,739
-------------- ------------ ------------ ------------- ------------
Total Assets $ 47,639,129 $ 61,091,603 $ 33,775,716 $ 23,143,100 $ 74,836,089
-------------- ------------ ------------ ------------- ------------
LIABILITIES
Due to Adviser $ -- $ 17,917 $ -- $ 2,264 $ --
Due to Custodian -- 908,110 -- -- --
Payable for Securities Purchased 1,036,093 1,207,025 -- 3,288,441 19,097,907
Payable for Capital Shares
Redeemed -- -- -- -- 4,941
Dividend Payable -- -- -- -- --
Unrealized Depreciation on
Forward Currency Contracts 448,048 512,356 170,611 324,531 --
Accrued Expenses and Other
Liabilities 75,033 24,573 20,474 7,059 31,347
-------------- ------------ ------------ ------------- ------------
Total Liabilities $ 1,559,174 $ 2,669,981 $ 191,085 $ 3,622,295 $ 19,134,195
-------------- ------------ ------------ ------------- ------------
Net Assets $ 46,079,955 $ 58,421,622 $ 33,584,631 $ 19,520,805 $ 55,701,894
-------------- ------------ ------------ ------------- ------------
-------------- ------------ ------------ ------------- ------------
SHARES OUTSTANDING AT OCTOBER 31,
1998
Institutional Shares 9,375,179 5,144,363 3,061,128 1,782,966 9,574,863
Service Shares -- -- -- -- 3,026
NET ASSET VALUE PER SHARE AT
OCTOBER 31, 1998
Institutional Shares $ 4.92 $ 11.36 $ 10.97 $ 10.95 $ 5.82
Service Shares n/a n/a n/a n/a $ 5.82
COMPOSITION OF NET ASSETS
Capital Shares of Institutional
Shares (unlimited authorization
$0.001 par value). Based on
Outstanding Shares of
Beneficial Interest $ 81,871,604 $ 49,979,007 $ 30,691,626 $ 17,012,784 $109,914,988
Capital Shares of Service Shares
(unlimited authorization $0.001
par value). Based on
Outstanding Shares of
Beneficial Interest -- -- -- -- 182,318
Undistributed Net Investment
Income (Loss) (213,219) 2,856,066 1,022,828 766,882 7,423,807
Accumulated Net Realized Gains
(Losses) from Securities,
Forward Currency Contracts and
Foreign Currency Transactions (19,855,390) 2,676,749 76,963 654,303 (59,370,570)
Net Unrealized Appreciation
(Depreciation) on Investments (15,260,260) 2,795,663 1,438,671 1,101,080 (2,178,441)
Net Unrealized Appreciation
(Depreciation) on Foreign
Currencies and Forward Currency
Contracts (462,780) 114,137 354,543 (14,244) (270,208)
-------------- ------------ ------------ ------------- ------------
Net Assets, October 31, 1998 $ 46,079,955 $ 58,421,622 $ 33,584,631 $ 19,520,805 $ 55,701,894
-------------- ------------ ------------ ------------- ------------
-------------- ------------ ------------ ------------- ------------
</TABLE>
81
<PAGE>
STATEMENT OF OPERATIONS
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- FOR THE YEAR/PERIOD ENDED OCTOBER 31, 1998
<TABLE>
<CAPTION>
------------ ------------ ----------- ----------- ------------- ------------ ------------
SHORT-TERM SHORT-TERM HIGH
MUNICIPAL FIXED MUNICIPAL FIXED YIELD SMALLER
BOND INCOME BOND INCOME BOND COMPANIES MICROCAP
FUND FUND FUND FUND FUND (1) FUND FUND
------------ ------------ ----------- ----------- ------------- ------------ ------------
<S> <C> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME:
Interest $ 24,928,949 $ 78,763,945 $1,684,794 $1,087,568 $ 3,531,510 $ 30,457 $ 59,443
Dividends -- -- -- -- -- 67,453 9,138
Less: Foreign Taxes
Withheld -- -- -- -- -- -- --
------------ ------------ ----------- ----------- ------------- ------------ ------------
Total Investment Income 24,928,949 78,763,945 1,684,794 1,087,568 3,531,510 97,910 68,581
------------ ------------ ----------- ----------- ------------- ------------ ------------
EXPENSES:
Investment Advisory Fees 1,898,038 4,796,826 134,692 67,313 179,056 64,602 138,127
Administration Fee 331,733 941,016 60,177 60,177 26,888 60,177 57,677
Registration & Filing Fees 109,099 189,760 14,546 1,929 33,851 -- 4,531
Custody Fee 44,382 66,276 3,405 2,393 3,845 3,454 3,023
Transfer Agency Fee 41,860 69,205 22,746 13,077 11,649 25,787 25,830
Professional Fee 154,579 350,713 12,691 5,761 17,166 1,811 3,471
Printing Fees 40,687 91,102 3,351 685 5,588 531 1,156
Servicing Plan Fee (3) 4,151 1,286 891 -- -- 1,101 1,506
Trustees Fee 20,209 57,290 1,440 690 1,545 290 432
Miscellaneous 99,937 145,324 21,272 4,939 11,211 1,463 3,289
------------ ------------ ----------- ----------- ------------- ------------ ------------
Total Expenses 2,744,675 6,708,798 275,211 156,964 290,799 159,216 239,042
Less: Expenses Absorbed by
Adviser (163,285) (108,777) (88,986) (64,906) (59,475) (77,361) (100,301)
------------ ------------ ----------- ----------- ------------- ------------ ------------
Net Expenses 2,581,390 6,600,021 186,225 92,058 231,324 81,855 138,741
------------ ------------ ----------- ----------- ------------- ------------ ------------
NET INVESTMENT INCOME (LOSS) 22,347,559 72,163,924 1,498,569 995,510 3,300,186 16,055 (70,160)
------------ ------------ ----------- ----------- ------------- ------------ ------------
REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS AND
FOREIGN CURRENCY RELATED
TRANSACTIONS:
Net Realized Gain (Loss)
from:
Investment Transactions 2,514,786 19,843,425 (77,366) 47,847 (3,842,821) (112,049) (1,303,092)
Foreign Currency
Transactions -- -- -- -- -- -- --
Net Change in Unrealized
Appreciation
(Depreciation) on:
Investments 4,590,771 3,157,301 399,553 76,471 (7,753,407) (983,039) (3,151,030)
Foreign Currencies,
Forward Currency
Contracts, and Other
Assets and Liabilities
Denominated in Foreign
Currencies -- -- -- -- -- -- --
------------ ------------ ----------- ----------- ------------- ------------ ------------
Net Realized and
Unrealized Gain (Loss)
on Investments and
Foreign Currency
Related Transactions 7,105,557 23,000,726 322,187 124,318 (11,596,228) (1,095,088) (4,454,122)
------------ ------------ ----------- ----------- ------------- ------------ ------------
NET INCREASE (DECREASE) IN
NET ASSETS FROM
OPERATIONS $ 29,453,116 $ 95,164,650 $1,820,756 $1,119,828 $ (8,296,042) $(1,079,033) $ (4,524,282)
------------ ------------ ----------- ----------- ------------- ------------ ------------
------------ ------------ ----------- ----------- ------------- ------------ ------------
</TABLE>
(1) HIGH YIELD BOND FUND COMMENCED OPERATIONS ON 03/16/98.
(2) CORE GLOBAL FIXED INCOME FUND COMMENCED OPERATIONS OF 05/04/98.
(3) APPLICABLE TO SERVICE SHARES ONLY.
* NET OF $59,000 DECREASE IN ACCRUED FOREIGN WITHHOLDING TAXES ON NET
UNREALIZED CAPITAL GAINS.
AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
82
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
------------- ----------- ------------- ------------ ------------- -----------
EUROPEAN INTERNATIONAL EUROPEAN EMERGING GLOBAL
INTERNATIONAL EQUITY SMALL CAP SMALL CAP MARKETS FIXED
EQUITY GROWTH EQUITY EQUITY EQUITY INCOME
FUND FUND FUND FUND FUND FUND
------------- ----------- ------------- ------------ ------------- -----------
<S> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME:
Interest $ 5,165 $ 32,138 $ 67,464 $ 10,309 $ -- $ 4,281,391
Dividends 100,503 932,282 638,858 86,231 1,914,977 --
Less: Foreign Taxes
Withheld (7,442) (41,949) (36,148) (3,940) (157,167) (8,273)
------------- ----------- ------------- ------------ ------------- -----------
Total Investment Income 98,226 922,471 670,174 92,600 1,757,810 4,273,118
------------- ----------- ------------- ------------ ------------- -----------
EXPENSES:
Investment Advisory Fees 37,901 319,877 398,018 58,123 815,712 394,210
Administration Fee 60,177 60,177 60,177 60,177 70,980 68,216
Registration & Filing Fees -- 5,479 -- -- 6,011 --
Custody Fee 33,829 81,877 103,565 30,239 266,614 73,958
Transfer Agency Fee 13,470 15,016 15,032 13,540 15,981 15,735
Professional Fee 1,409 13,386 6,185 1,297 19,423 21,149
Printing Fees 376 3,519 1,124 158 4,411 4,015
Servicing Plan Fee (3) -- -- -- -- -- --
Trustees Fee 234 2,014 1,552 247 3,673 3,376
Miscellaneous 8,976 14,722 7,739 8,530 38,038 23,730
------------- ----------- ------------- ------------ ------------- -----------
Total Expenses 156,372 516,067 593,392 172,311 1,240,843 604,389
Less: Expenses Absorbed by
Adviser (107,822) (104,609) (95,866) (99,649) (220,970) (131,454)
------------- ----------- ------------- ------------ ------------- -----------
Net Expenses 48,550 411,458 497,526 72,662 1,019,873 472,935
------------- ----------- ------------- ------------ ------------- -----------
NET INVESTMENT INCOME (LOSS) 49,676 511,013 172,648 19,938 737,937 3,800,183
------------- ----------- ------------- ------------ ------------- -----------
REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS AND
FOREIGN CURRENCY RELATED
TRANSACTIONS:
Net Realized Gain (Loss)
from:
Investment Transactions 331,027 4,555,162 2,863,460 2,476,805 (19,044,324) 2,677,674
Foreign Currency
Transactions 59,364 (13,518) (32,641) 7,506 (1,334,277) 100,762
Net Change in Unrealized
Appreciation
(Depreciation) on:
Investments 98,600 1,054,008 (2,122,099) (1,295,633) (4,433,260)* 889,663
Foreign Currencies,
Forward Currency
Contracts, and Other
Assets and Liabilities
Denominated in Foreign
Currencies (80,727) (581) (586,032) (2,720) (485,780) (407,863)
------------- ----------- ------------- ------------ ------------- -----------
Net Realized and
Unrealized Gain (Loss)
on Investments and
Foreign Currency
Related Transactions 408,264 5,595,071 122,688 1,185,958 (25,297,641) 3,260,236
------------- ----------- ------------- ------------ ------------- -----------
NET INCREASE (DECREASE) IN
NET ASSETS FROM
OPERATIONS $ 457,940 $ 6,106,084 $ 295,336 $ 1,205,896 $ (24,559,704) $ 7,060,419
------------- ----------- ------------- ------------ ------------- -----------
------------- ----------- ------------- ------------ ------------- -----------
<CAPTION>
------------ ------------- -------------
CORE INTERNATIONAL EMERGING
GLOBAL FIXED FIXED MARKETS
INCOME INCOME DEBT
FUND (2) FUND FUND
------------ ------------- -------------
<S> <C> <C> <C>
INVESTMENT INCOME:
Interest $ 663,476 $1,187,714 $ 15,346,469
Dividends -- -- --
Less: Foreign Taxes
Withheld -- (2,755) --
------------ ------------- -------------
Total Investment Income 663,476 1,184,959 15,346,469
------------ ------------- -------------
EXPENSES:
Investment Advisory Fees 70,288 120,232 1,408,860
Administration Fee 10,606 60,177 116,281
Registration & Filing Fees 21,944 4,309 --
Custody Fee 11,684 32,817 245,252
Transfer Agency Fee 6,794 13,192 36,734
Professional Fee 5,586 7,276 14,949
Printing Fees 1,986 1,622 3,392
Servicing Plan Fee (3) -- -- 519
Trustees Fee 568 1,046 6,014
Miscellaneous 5,097 18,101 18,818
------------ ------------- -------------
Total Expenses 134,553 258,772 1,850,819
Less: Expenses Absorbed by
Adviser (57,237) (121,922) (372,894)
------------ ------------- -------------
Net Expenses 77,316 136,850 1,477,925
------------ ------------- -------------
NET INVESTMENT INCOME (LOSS) 586,160 1,048,109 13,868,544
------------ ------------- -------------
REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS AND
FOREIGN CURRENCY RELATED
TRANSACTIONS:
Net Realized Gain (Loss)
from:
Investment Transactions 76,963 654,484 (59,264,364)
Foreign Currency
Transactions 436,668 (69,977) (2,903,958)
Net Change in Unrealized
Appreciation
(Depreciation) on:
Investments 1,438,671 871,080 19,386,559
Foreign Currencies,
Forward Currency
Contracts, and Other
Assets and Liabilities
Denominated in Foreign
Currencies 354,543 (128,244) (216,208)
------------ ------------- -------------
Net Realized and
Unrealized Gain (Loss)
on Investments and
Foreign Currency
Related Transactions 2,306,845 1,327,343 (42,997,971)
------------ ------------- -------------
NET INCREASE (DECREASE) IN
NET ASSETS FROM
OPERATIONS $2,893,005 $2,375,452 $ (29,129,427)
------------ ------------- -------------
------------ ------------- -------------
</TABLE>
83
<PAGE>
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- FOR THE YEAR/PERIOD ENDED OCTOBER 31,
<TABLE>
<CAPTION>
-------------------------- -----------------------------
MUNICIPAL FIXED
BOND INCOME
FUND FUND
-------------------------- -----------------------------
1997 1997
1998 (000) 1998 (000)
-------------- --------- --------------- -----------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN
NET ASSETS FROM
OPERATIONS:
Net investment income
(loss) $ 22,347,559 $ 15,269 $ 72,163,924 $ 58,355
Net realized gain
(loss) on investments 2,514,786 112 19,843,425 9,128
Net realized gain
(loss) on foreign
currency transactions -- -- -- --
Net change in
unrealized
appreciation
(depreciation) on
investments 4,590,771 6,264 3,157,301 15,437
Net change in
unrealized gain
(loss) on foreign
currency denominated
balances -- -- -- --
-------------- --------- --------------- -----------
Net increase (decrease)
in net assets from
operations 29,453,116 21,645 95,164,650 82,920
-------------- --------- --------------- -----------
DISTRIBUTIONS TO
SHAREHOLDERS FROM:
Net Investment Income:
Institutional Shares (22,320,826) (15,243) (72,511,714) (58,276)
Service Shares (73,052) (1) (29,385) --
Net Realized Gains from
Investment
Transactions:
Institutional Shares (105,558) (2,204) (8,583,217) --
Service Shares (91) -- (9,380) --
-------------- --------- --------------- -----------
Total Distributions (22,499,527) (17,448) (81,133,696) (58,276)
-------------- --------- --------------- -----------
CAPITAL SHARE
TRANSACTIONS:
INSTITUTIONAL SHARES:
Proceeds from shares
issued 298,011,029 145,890 414,156,559 397,158
Shares issued in lieu
of cash distributions 16,860,415 13,868 65,825,126 47,532
Cost of shares
repurchased (112,406,600) (54,645) (333,768,618) (124,216)
-------------- --------- --------------- -----------
Increase (decrease) in
net assets from
Institutional Share
transactions 202,464,844 105,113 146,213,067 320,474
-------------- --------- --------------- -----------
SERVICE SHARES:
Proceeds from shares
issued 5,062,392 197 1,544,700 --
Shares issued in lieu
of cash distributions 25,205 -- 18,511 --
Cost of shares
repurchased (289,765) (6) (180,516) --
-------------- --------- --------------- -----------
Increase (decrease) in
net assets from
Service Share
transactions 4,797,832 191 1,382,695 --
-------------- --------- --------------- -----------
NET INCREASE (DECREASE)
IN NET ASSETS FROM
CAPITAL TRANSACTIONS 207,262,676 105,304 147,595,762 320,474
-------------- --------- --------------- -----------
Total Increase
(Decrease) in Net
Assets 214,216,265 109,501 161,626,716 345,118
-------------- --------- --------------- -----------
NET ASSETS:
Beginning of Period 361,653,000 252,152 1,103,121,000 758,003
-------------- --------- --------------- -----------
End of Period $ 575,869,265 $ 361,653 $ 1,264,747,716 $ 1,103,121
-------------- --------- --------------- -----------
-------------- --------- --------------- -----------
CAPITAL SHARE
TRANSACTIONS:
INSTITUTIONAL SHARES:
Shares issued 26,295,860 13,267 38,319,732 37,690
Shares issued in lieu
of cash distributions 1,655,100 1,263 6,099,421 4,510
Shares repurchased (10,011,191) (4,980) (30,901,519) (11,781)
-------------- --------- --------------- -----------
Increase (decrease) in
capital shares from
Institutional Share
transactions 17,939,769 9,550 13,517,634 30,419
-------------- --------- --------------- -----------
-------------- --------- --------------- -----------
SERVICE SHARES:
Shares issued 457,659 18 156,664 --
Shares issued in lieu
of cash distributions 3,435 -- 779 --
Shares repurchased (25,796) (1) (16,591) --
-------------- --------- --------------- -----------
Increase (decrease) in
capital shares from
Service Share
transactions 435,298 17 140,852 --
-------------- --------- --------------- -----------
-------------- --------- --------------- -----------
<CAPTION>
------------------------ ------------------------ -------------
SHORT-TERM SHORT-TERM HIGH
MUNICIPAL FIXED YIELD
BOND INCOME BOND
FUND FUND FUND (1)
------------------------ ------------------------ -------------
1997 1997
1998 (000) 1998 (000) 1998
------------ --------- ------------- -------- -------------
<S> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN
NET ASSETS FROM
OPERATIONS:
Net investment income
(loss) $ 1,498,569 $ 830 $ 995,510 $ 763 $ 3,300,186
Net realized gain
(loss) on investments (77,366) (9) 47,847 15 (3,842,821)
Net realized gain
(loss) on foreign
currency transactions -- -- -- -- --
Net change in
unrealized
appreciation
(depreciation) on
investments 399,553 242 76,471 105 (7,753,407)
Net change in
unrealized gain
(loss) on foreign
currency denominated
balances -- -- -- -- --
------------ --------- ------------- -------- -------------
Net increase (decrease)
in net assets from
operations 1,820,756 1,063 1,119,828 883 (8,296,042)
------------ --------- ------------- -------- -------------
DISTRIBUTIONS TO
SHAREHOLDERS FROM:
Net Investment Income:
Institutional Shares (1,476,764) (828) (999,506) (764) (3,304,955)
Service Shares (15,539) -- -- -- (120)
Net Realized Gains from
Investment
Transactions:
Institutional Shares (9,024) (21) -- -- --
Service Shares (78) -- -- -- --
------------ --------- ------------- -------- -------------
Total Distributions (1,501,405) (849) (999,506) (764) (3,305,075)
------------ --------- ------------- -------- -------------
CAPITAL SHARE
TRANSACTIONS:
INSTITUTIONAL SHARES:
Proceeds from shares
issued 41,593,860 21,637 19,499,507 14,973 126,862,208
Shares issued in lieu
of cash distributions 1,357,362 727 146,897 331 3,191,531
Cost of shares
repurchased (8,847,655) (11,760) (16,648,268) (5,091) (25,764,832)
------------ --------- ------------- -------- -------------
Increase (decrease) in
net assets from
Institutional Share
transactions 34,103,567 10,604 2,998,136 10,213 104,288,907
------------ --------- ------------- -------- -------------
SERVICE SHARES:
Proceeds from shares
issued 495,386 -- -- -- 81,115
Shares issued in lieu
of cash distributions 14,360 -- -- -- 124
Cost of shares
repurchased (76,993) -- -- -- --
------------ --------- ------------- -------- -------------
Increase (decrease) in
net assets from
Service Share
transactions 432,753 -- -- -- 81,239
------------ --------- ------------- -------- -------------
NET INCREASE (DECREASE)
IN NET ASSETS FROM
CAPITAL TRANSACTIONS 34,536,320 10,604 2,998,136 10,213 104,370,146
------------ --------- ------------- -------- -------------
Total Increase
(Decrease) in Net
Assets 34,855,671 10,818 3,118,458 10,332 92,769,029
------------ --------- ------------- -------- -------------
NET ASSETS:
Beginning of Period 19,950,000 9,132 17,083,000 6,751 --
------------ --------- ------------- -------- -------------
End of Period $ 54,805,671 $ 19,950 $ 20,201,458 $ 17,083 $ 92,769,029
------------ --------- ------------- -------- -------------
------------ --------- ------------- -------- -------------
CAPITAL SHARE
TRANSACTIONS:
INSTITUTIONAL SHARES:
Shares issued 4,029,505 2,127 1,926,561 1,499 12,869,157
Shares issued in lieu
of cash distributions 131,472 71 16,378 33 347,270
Shares repurchased (857,405) (1,158) (1,646,203) (509) (2,580,410)
------------ --------- ------------- -------- -------------
Increase (decrease) in
capital shares from
Institutional Share
transactions 3,303,572 1,040 296,736 1,023 10,636,017
------------ --------- ------------- -------- -------------
------------ --------- ------------- -------- -------------
SERVICE SHARES:
Shares issued 48,160 -- -- -- 9,330
Shares issued in lieu
of cash distributions 1,391 -- -- -- 14
Shares repurchased (7,465) -- -- -- --
------------ --------- ------------- -------- -------------
Increase (decrease) in
capital shares from
Service Share
transactions 42,086 -- -- -- 9,344
------------ --------- ------------- -------- -------------
------------ --------- ------------- -------- -------------
</TABLE>
(1) HIGH YIELD BOND FUND COMMENCED OPERATIONS ON 03/16/98.
AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
84
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
---------------------- ---------------------- --------------------- ----------------------
EUROPEAN
SMALLER INTERNATIONAL EQUITY
COMPANIES MICROCAP EQUITY GROWTH
FUND FUND FUND FUND
---------------------- ---------------------- --------------------- ----------------------
1997 1997 1997 1997
1998 (000) 1998 (000) 1998 (000) 1998 (000)
------------ ------- ------------ ------- ----------- ------- ----------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN
NET ASSETS FROM
OPERATIONS:
Net investment income $ 16,055 $ (14) $ (70,160) $ (10) $ 49,676 $ 48 $ 511,013 $ 540
Net realized gain
(loss) on investments (112,049) 692 (1,303,092) 143 331,027 165 4,555,162 2,749
Net realized gain
(loss) on foreign
currency transactions -- -- -- -- 59,364 16 (13,518) 213
Net change in
unrealized
appreciation
(depreciation) on
investments (983,039) 347 (3,151,030) 404 98,600 (43) 1,054,008 2,252
Net change in
unrealized gain
(loss) on foreign
currency denominated
balances -- -- -- -- (80,727) 11 (581) (2)
------------ ------- ------------ ------- ----------- ------- ----------- --------
Net increase (decrease)
in net assets from
operations (1,079,033) 1,025 (4,524,282) 537 457,940 197 6,106,084 5,752
------------ ------- ------------ ------- ----------- ------- ----------- --------
DISTRIBUTIONS TO
SHAREHOLDERS FROM:
Net Investment Income:
Institutional Shares -- -- -- -- (99,273) (44) (749,614) (59)
Service Shares -- -- -- -- -- -- -- --
Net Realized Gains from
Investment
Transactions:
Institutional Shares (671,791) (354) (129,704) -- (165,498) (157) (2,750,326) (206)
Service Shares (714) -- (3,729) -- -- -- -- --
------------ ------- ------------ ------- ----------- ------- ----------- --------
Total Distributions (672,505) (354) (133,433) -- (264,771) (201) (3,499,940) (265)
------------ ------- ------------ ------- ----------- ------- ----------- --------
CAPITAL SHARE
TRANSACTIONS:
INSTITUTIONAL SHARES:
Proceeds from shares
issued 993,107 955 18,023,858 2,924 7,298 1,630 1,843,652 15,743
Shares issued in lieu
of cash distributions 671,184 353 128,979 -- 264,769 201 3,499,940 265
Cost of shares
repurchased (1,102,195) (370) (2,784,723) (185) (371) (296) (1,892,864) (67)
------------ ------- ------------ ------- ----------- ------- ----------- --------
Increase (decrease) in
net assets from
Institutional Share
transactions 562,096 938 15,368,114 2,739 271,696 1,535 3,450,728 15,941
------------ ------- ------------ ------- ----------- ------- ----------- --------
SERVICE SHARES:
Proceeds from shares
issued 1,426,709 6 2,163,562 15 -- -- -- --
Shares issued in lieu
of cash distributions 123 -- 3,630 -- -- -- -- --
Cost of shares
repurchased (236,386) -- (764,259) (5) -- -- -- --
------------ ------- ------------ ------- ----------- ------- ----------- --------
Increase (decrease) in
net assets from
Service Share
transactions 1,190,446 6 1,402,933 10 -- -- -- --
------------ ------- ------------ ------- ----------- ------- ----------- --------
NET INCREASE (DECREASE)
IN NET ASSETS FROM
CAPITAL TRANSACTIONS 1,752,542 944 16,771,047 2,749 271,696 1,535 3,450,728 15,941
------------ ------- ------------ ------- ----------- ------- ----------- --------
Total Increase
(Decrease) in Net
Assets 1,004 1,615 12,113,332 3,286 464,865 1,531 6,056,872 21,428
------------ ------- ------------ ------- ----------- ------- ----------- --------
NET ASSETS:
Beginning of Period 5,730,000 4,115 3,286,000 -- 4,954,000 3,423 39,330,000 17,902
------------ ------- ------------ ------- ----------- ------- ----------- --------
End of Period $ 5,731,004 $ 5,730 $ 15,399,332 $ 3,286 $ 5,418,865 $ 4,954 $45,386,872 $ 39,330
------------ ------- ------------ ------- ----------- ------- ----------- --------
------------ ------- ------------ ------- ----------- ------- ----------- --------
CAPITAL SHARE
TRANSACTIONS:
INSTITUTIONAL SHARES:
Shares issued 78,159 74 1,444,154 275 519 144 155,926 1,363
Shares issued in lieu
of cash distributions 53,523 28 11,373 -- 24,048 17 290,693 23
Shares repurchased (98,460) (27) (264,431) (15) (30) (23) (155,920) (5)
------------ ------- ------------ ------- ----------- ------- ----------- --------
Increase (decrease) in
capital shares from
Institutional Share
transactions 33,222 75 1,191,096 260 24,537 138 290,699 1,381
------------ ------- ------------ ------- ----------- ------- ----------- --------
------------ ------- ------------ ------- ----------- ------- ----------- --------
SERVICE SHARES:
Shares issued 111,719 -- 168,183 1 -- -- -- --
Shares issued in lieu
of cash distributions 10 -- 320 -- -- -- -- --
Shares repurchased (22,987) -- (64,347) -- -- -- -- --
------------ ------- ------------ ------- ----------- ------- ----------- --------
Increase (decrease) in
capital shares from
Service Share
transactions 88,742 -- 104,156 1 -- -- -- --
------------ ------- ------------ ------- ----------- ------- ----------- --------
------------ ------- ------------ ------- ----------- ------- ----------- --------
<CAPTION>
------------------------- ---------------------- -------------------------
INTERNATIONAL EUROPEAN EMERGING
SMALL CAP SMALL CAP MARKETS
EQUITY EQUITY EQUITY
FUND FUND FUND
------------------------- ---------------------- -------------------------
1997 1997 1997
1998 (000) 1998 (000) 1998 (000)
------------- --------- ------------ ------- ------------- ---------
<S> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN
NET ASSETS FROM
OPERATIONS:
Net investment income $ 172,648 $ 141 $ 19,938 $ 60 $ 737,937 $ 675
Net realized gain
(loss) on investments 2,863,460 (6,005) 2,476,805 (84) (19,044,324) 4,348
Net realized gain
(loss) on foreign
currency transactions (32,641) 427 7,506 (23) (1,334,277) (1,113)
Net change in
unrealized
appreciation
(depreciation) on
investments (2,122,099) (2,990) (1,295,633) (125) (4,433,260)* (15,042)**
Net change in
unrealized gain
(loss) on foreign
currency denominated
balances (586,032) 13 (2,720) 2 (485,780) (16)
------------- --------- ------------ ------- ------------- ---------
Net increase (decrease)
in net assets from
operations 295,336 (8,414) 1,205,896 (170) (24,559,704) (11,148)
------------- --------- ------------ ------- ------------- ---------
DISTRIBUTIONS TO
SHAREHOLDERS FROM:
Net Investment Income:
Institutional Shares (538,867) (1,326) (33,989) (147) -- (53)
Service Shares -- -- -- -- -- --
Net Realized Gains from
Investment
Transactions:
Institutional Shares -- -- -- (301) (4,910,374) (2,255)
Service Shares -- -- -- -- -- --
------------- --------- ------------ ------- ------------- ---------
Total Distributions (538,867) (1,326) (33,989) (448) (4,910,374) (2,308)
------------- --------- ------------ ------- ------------- ---------
CAPITAL SHARE
TRANSACTIONS:
INSTITUTIONAL SHARES:
Proceeds from shares
issued 10,555,621 4,190 605,000 660 40,703,882 67,367
Shares issued in lieu
of cash distributions 538,867 1,253 33,999 448 4,910,371 2,308
Cost of shares
repurchased (39,835,613) (49,017) (8,522,055) (705) (64,165,220) (50,397)
------------- --------- ------------ ------- ------------- ---------
Increase (decrease) in
net assets from
Institutional Share
transactions (28,741,125) (43,574) (7,883,056) 403 (18,550,967) 19,278
------------- --------- ------------ ------- ------------- ---------
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 -- -- -- -- -- --
------------- --------- ------------ ------- ------------- ---------
NET INCREASE (DECREASE)
IN NET ASSETS FROM
CAPITAL TRANSACTIONS (28,741,125) (43,574) (7,883,056) 403 (18,550,967) 19,278
------------- --------- ------------ ------- ------------- ---------
Total Increase
(Decrease) in Net
Assets (28,984,656) (53,314) (6,711,149) (215) (48,021,045) 5,822
------------- --------- ------------ ------- ------------- ---------
NET ASSETS:
Beginning of Period 53,395,000 106,709 9,641,000 9,856 94,101,000 88,279
------------- --------- ------------ ------- ------------- ---------
End of Period $ 24,410,344 $ 53,395 $ 2,929,851 $ 9,641 $ 46,079,955 $ 94,101
------------- --------- ------------ ------- ------------- ---------
------------- --------- ------------ ------- ------------- ---------
CAPITAL SHARE
TRANSACTIONS:
INSTITUTIONAL SHARES:
Shares issued 1,079,352 456 45,688 53 5,358,001 7,353
Shares issued in lieu
of cash distributions 65,715 130 2,939 37 674,502 265
Shares repurchased (4,450,840) (5,236) (648,608) (59) (8,898,386) (5,414)
------------- --------- ------------ ------- ------------- ---------
Increase (decrease) in
capital shares from
Institutional Share
transactions (3,305,773) (4,650) (599,981) 31 (2,865,883) 2,204
------------- --------- ------------ ------- ------------- ---------
------------- --------- ------------ ------- ------------- ---------
SERVICE SHARES:
Shares issued -- -- -- -- -- --
Shares issued in lieu
of cash distributions -- -- -- -- -- --
Shares repurchased -- -- -- -- -- --
------------- --------- ------------ ------- ------------- ---------
Increase (decrease) in
capital shares from
Service Share
transactions -- -- -- -- -- --
------------- --------- ------------ ------- ------------- ---------
------------- --------- ------------ ------- ------------- ---------
</TABLE>
* NET OF $59,000 DECREASE IN ACCRUED FOREIGN WITHHOLDING TAXES ON NET
UNREALIZED CAPITAL GAINS.
** NET OF $16,000 INCREASE IN ACCRUED FOREIGN WITHHOLDING TAXES ON NET
UNREALIZED CAPITAL GAINS.
85
<PAGE>
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- FOR THE YEAR/PERIOD ENDED OCTOBER 31,
<TABLE>
<CAPTION>
------------------------- ------------- ------------------------ ---------------------------
GLOBAL CORE INTERNATIONAL EMERGING
FIXED GLOBAL FIXED FIXED MARKETS
INCOME INCOME INCOME DEBT
FUND FUND (1) FUND FUND
------------------------- ------------- ------------------------ ---------------------------
1997 1997 1997
1998 (000) 1998 1998 (000) 1998 (000)
------------- --------- ------------- ------------- -------- -------------- ----------
<S> <C> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN
NET ASSETS FROM
OPERATIONS:
Net investment income $ 3,800,183 $ 6,274 $ 586,160 $ 1,048,109 $ 1,169 $ 13,868,544 $ 10,173
Net realized gain
(loss) on investments 2,677,674 2,051 76,963 654,484 267 (59,264,364) 24,233
Net realized gain
(loss) on foreign
currency transactions 100,762 (3,599) 436,668 (69,977) (685) (2,903,958) 157
Net change in
unrealized
appreciation
(depreciation) on
investments 889,663 (2,915) 1,438,671 871,080 (643) 19,386,559 (28,717)
Net change in
unrealized gain
(loss) on foreign
currency denominated
balances (407,863) 1,375 354,543 (128,244) 265 (216,208) (49)
------------- --------- ------------- ------------- -------- -------------- ----------
Net increase (decrease)
in net assets from
operations 7,060,419 3,186 2,893,005 2,375,452 373 (29,129,427) 5,797
------------- --------- ------------- ------------- -------- -------------- ----------
DISTRIBUTIONS TO
SHAREHOLDERS FROM:
Net Investment Income:
Institutional Shares (3,130,028) (5,886) -- (737,726) (1,179) (12,702,680) (7,732)
Service Shares -- -- -- -- -- (28,239) --
Net Realized Gains from
Investment
Transactions:
Institutional Shares (2,047,622) (3,253) -- (262,608) (1,069) (23,972,503) (9,044)
Service Shares -- -- -- -- -- (53,476) --
------------- --------- ------------- ------------- -------- -------------- ----------
Total Distributions (5,177,650) (9,139) -- (1,000,334) (2,248) (36,756,898) (16,776)
------------- --------- ------------- ------------- -------- -------------- ----------
CAPITAL SHARE
TRANSACTIONS:
INSTITUTIONAL SHARES:
Proceeds from shares
issued 18,835,092 9,513 30,903,705 5,031,771 10,502 331,848,915 230,139
Shares issued in lieu
of cash distributions 4,869,068 8,013 -- 771,090 2,079 36,380,368 16,515
Cost of shares
repurchased (59,345,307) (69,310) (212,079) (15,594,174) (3,924) (434,265,382) (150,664)
------------- --------- ------------- ------------- -------- -------------- ----------
Increase (decrease) in
net assets from
Institutional Share
transactions (35,641,147) (51,784) 30,691,626 (9,791,313) 8,657 (66,036,099) 95,990
------------- --------- ------------- ------------- -------- -------------- ----------
SERVICE SHARES:
Proceeds from shares
issued -- -- -- -- -- 278,773 145
Shares issued in lieu
of cash distributions -- -- -- -- -- 277 --
Cost of shares
repurchased -- -- -- -- -- (241,732) --
------------- --------- ------------- ------------- -------- -------------- ----------
Increase (decrease) in
net assets from
Service Share
transactions -- -- -- -- -- 37,318 145
------------- --------- ------------- ------------- -------- -------------- ----------
NET INCREASE (DECREASE)
IN NET ASSETS FROM
CAPITAL TRANSACTIONS (35,641,147) (51,784) 30,691,626 (9,791,313) 8,657 (65,998,781) 96,135
------------- --------- ------------- ------------- -------- -------------- ----------
Total Increase
(Decrease) in Net
Assets (33,758,378) (57,737) 33,584,631 (8,416,195) 6,782 (131,885,106) 85,156
------------- --------- ------------- ------------- -------- -------------- ----------
NET ASSETS:
Beginning of Period 92,180,000 149,917 -- 27,937,000 21,155 187,587,000 102,431
------------- --------- ------------- ------------- -------- -------------- ----------
End of Period $ 58,421,622 $ 92,180 $ 33,584,631 $ 19,520,805 $ 27,937 $ 55,701,894 $ 187,587
------------- --------- ------------- ------------- -------- -------------- ----------
------------- --------- ------------- ------------- -------- -------------- ----------
CAPITAL SHARE
TRANSACTIONS:
INSTITUTIONAL SHARES:
Shares issued 1,769,238 907 3,082,005 517,241 1,061 39,256,473 18,219
Shares issued in lieu
of cash distributions 478,768 757 -- 80,658 205 4,096,888 1,455
Shares repurchased (5,604,513) (6,481) (20,877) (1,567,741) (385) (49,459,434) (11,661)
------------- --------- ------------- ------------- -------- -------------- ----------
Increase (decrease) in
capital shares from
Institutional Share
transactions (3,356,507) (4,817) 3,061,128 (969,842) 881 (6,106,073) 8,013
------------- --------- ------------- ------------- -------- -------------- ----------
------------- --------- ------------- ------------- -------- -------------- ----------
SERVICE SHARES:
Shares issued -- -- -- -- -- 33,769 11
Shares issued in lieu
of cash distributions -- -- -- -- -- 31 --
Shares repurchased -- -- -- -- -- (41,899) --
------------- --------- ------------- ------------- -------- -------------- ----------
Increase (decrease) in
capital shares from
Service Share
transactions -- -- -- -- -- (8,099) 11
------------- --------- ------------- ------------- -------- -------------- ----------
------------- --------- ------------- ------------- -------- -------------- ----------
</TABLE>
(1) CORE GLOBAL FIXED INCOME FUND COMMENCED OPERATIONS ON 05/04/98.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
86
<PAGE>
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- FOR THE YEARS/PERIOD ENDED OCTOBER 31,
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
NET
NET ASSET NET REALIZED DISTRIBUTIONS
VALUE INVESTMENT AND FROM NET DISTRIBUTIONS NET ASSET
BEGINNING INCOME/ UNREALIZED INVESTMENT FROM REALIZED VALUE END TOTAL
OF PERIOD (LOSS) GAINS (LOSSES) INCOME CAPITAL GAINS OF PERIOD RETURN
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
- -----------------------
MUNICIPAL BOND FUND:
- -----------------------
Institutional Shares
1998 $11.12 $ 0.53 $ 0.18 $(0.53) -- $11.30 6.58%
1997 10.99 0.57 0.22 (0.57) (0.09) 11.12 7.49
1996 10.86 0.60 0.13 (0.60) -- 10.99 6.90
1995 10.37 0.61 0.49 (0.61) -- 10.86 10.90
1994 11.36 0.60 (0.61) (0.60) (0.38) 10.37 (0.15)
1993 10.56 0.67 0.84 (0.67) (0.04) 11.36 14.68
1992(1) 10.00 0.60 0.56 (0.60) -- 10.56 13.42
Service Shares
1998 $11.11 $ 0.50 $ 0.19 $(0.50) -- $11.30 6.42%
1997(2) 11.11 0.14 -- (0.14) -- 11.11 1.22+
- --------------------
FIXED INCOME FUND:
- --------------------
Institutional Shares
1998 $10.76 $ 0.65 $ 0.20 $(0.65) $(0.08) $10.88 8.25%
1997 10.51 0.68 0.25 (0.68) -- 10.76 9.22
1996 10.62 0.68 (0.04) (0.68) (0.07) 10.51 6.27
1995 9.93 0.70 0.69 (0.70) -- 10.62 14.53
1994 10.95 0.64 (0.91) (0.64) (0.11) 9.93 (2.58)
1993 9.92 0.64 1.03 (0.64) -- 10.95 17.28
1992(3) 10.00 0.06 (0.08) (0.06) -- 9.92 (1.61)
Service Shares
1998(4) $10.75 $ 0.45 $ 0.13 $(0.45) $ -- $10.88 5.28%+
- -----------------------------------
SHORT-TERM MUNICIPAL BOND FUND:
- -----------------------------------
Institutional Shares
1998 $10.28 $ 0.46 $ 0.09 $(0.46) $ -- $10.37 5.51%
1997 10.13 0.52 0.16 (0.52) (0.01) 10.28 6.93
1996 10.13 0.54 0.04 (0.54) (0.04) 10.13 5.90
1995(5) 10.00 0.30 0.13 (0.30) -- 10.13 4.39+
Service Shares
1998(6) $10.28 $ 0.39 $ 0.09 $(0.39) $ -- $10.37 4.81%+
- --------------------------------
SHORT-TERM FIXED INCOME FUND:
- --------------------------------
Institutional Shares
1998 $10.06 $ 0.60 $ 0.07 $(0.60) $ -- $10.13 6.85%
1997 10.00 0.58 0.06 (0.58) -- 10.06 6.61
1996 10.01 0.60 (0.01) (0.60) -- 10.00 6.09
1995(7) 10.00 0.37 0.01 (0.37) -- 10.01 3.82+
- -----------------------
HIGH YIELD BOND FUND:
- -----------------------
Institutional Shares
1998(8) $10.00 $ 0.54 $(1.29) $(0.54)+ $ -- $ 8.71 (7.84)%+
Service Shares
1998(9) $10.28 $ 0.11 $(1.57) $(0.11) $ -- $ 8.71 0.27%+
- --------------------------
SMALLER COMPANIES FUND:
- --------------------------
Institutional Shares
1998 $14.72 $(0.01) $(1.81) $ -- $(1.68) $11.22 (13.54)%
1997 13.10 (0.03) 2.87 -- (1.22) 14.72 23.29
1996 10.55 (0.02) 2.61 (0.04) -- 13.10 24.58
1995(10) 10.00 0.03 0.52 -- -- 10.55 5.50+
Service Shares
1998 $14.71 $(0.05) $(1.80) $ -- $(1.68) $11.18 (13.79)%
1997(11) 13.77 (0.03) 0.97 -- -- 14.71 7.45+
- ---------------
MICROCAP FUND:
- ---------------
Institutional Shares
1998 $12.62 $(0.05) $(2.18) $ -- $(0.49) $ 9.90 (18.16)%
1997(12) 10.00 (0.04) 2.66 -- -- 12.62 26.20+
Service Shares
1998 $12.62 $(0.06) $(2.19) $ -- $(0.49) $ 9.88 (18.33)%
1997(13) 12.12 (0.02) 0.52 -- -- 12.62 3.87+
<CAPTION>
RATIO OF NET
RATIO OF INVESTMENT
RATIO OF EXPENSES INCOME/(LOSS)
NET TO AVERAGE TO AVERAGE NET
RATIO OF INVESTMENT NET ASSETS ASSETS
NET ASSETS EXPENSES INCOME/(LOSS) (EXCLUDING (EXCLUDING PORTFOLIO
END OF TO AVERAGE TO AVERAGE EXPENSE EXPENSE TURNOVER
PERIOD (000) NET ASSETS NET ASSETS LIMITATIONS) LIMITATIONS) RATE
- -------------------------------- ------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
- -----------------------
MUNICIPAL BOND FUND:
- -----------------------
Institutional Shares
1998 $ 570,743 0.54% 4.71% 0.58% 4.68% 42%
1997 361,461 0.54 5.19 0.61 5.12 67
1996 252,152 0.55 5.50 0.61 5.44 66
1995 221,058 0.54 5.75 0.62 5.67 63
1994 165,677 0.54 5.60 0.67 5.47 94
1993 148,022 0.55 5.94 0.75 5.74 160
1992(1) 94,700 0.55 6.31 0.79 6.07 143
Service Shares
1998 $ 5,126 0.79% 4.41% 0.85% 4.35% 42%
1997(2) 192 0.79 4.95 0.85 4.89 67
- --------------------
FIXED INCOME FUND:
- --------------------
Institutional Shares
1998 $1,263,215 0.55% 6.01% 0.56% 6.00% 122%
1997 1,103,121 0.55 6.50 0.60 6.45 178
1996 758,003 0.55 6.52 0.61 6.46 176
1995 494,221 0.54 6.81 0.63 6.72 182
1994 239,556 0.54 6.22 0.66 6.10 251
1993 147,917 0.55 6.01 0.72 5.84 196
1992(3) 25,528 0.55 5.24 1.66 4.13 148
Service Shares
1998(4) $ 1,533 0.80% 5.77% 0.87% 5.70% 122%
- --------------------------------
SHORT-TERM MUNICIPAL BOND FUND:
- --------------------------------
Institutional Shares
1998 $ 54,369 0.55% 4.46% 0.82% 4.19% 26%
1997 19,950 0.53 5.14 1.02 4.65 95
1996 9,132 0.53 5.34 1.58 4.29 129
1995(5) 3,724 0.52 4.60 2.16 2.96 62
Service Shares
1998(6) $ 436 0.80% 4.20% 1.02% 3.98% 26%
- --------------------------------
SHORT-TERM FIXED INCOME FUND:
- --------------------------------
Institutional Shares
1998 $ 20,201 0.55% 5.92% 0.93% 5.54% 98%
1997 17,083 0.53 5.77 1.09 5.21 186
1996 6,751 0.53 6.00 1.29 5.24 124
1995(7) 4,140 0.52 5.86 2.84 3.54 90
- -----------------------
HIGH YIELD BOND FUND:
- -----------------------
Institutional Shares
1998(8) $ 92,688 0.65% 9.34% 0.82% 9.17% 131%
Service Shares
1998(9) $ 81 0.90% 11.89% 1.05% 11.74% 131%
- --------------------------
SMALLER COMPANIES FUND:
- --------------------------
Institutional Shares
1998 $ 4,734 1.25% 0.26% 2.44% (0.93)% 108%
1997 $ 5,724 1.25 (0.29) 2.63 (1.67) 122
1996 4,115 1.25 (0.23) 2.55 (1.53) 141
1995(10) 2,638 1.25 0.94 2.28 (0.09) 23
Service Shares
1998 $ 997 1.50% 0.09% 2.76% (1.17)% 108%
1997(11) 6 1.50 (0.77) 2.79 (2.06) 122
- ---------------
MICROCAP FUND:
- ---------------
Institutional Shares
1998 $ 14,363 1.49% (0.75)% 2.59% (1.85)% 85%
1997(12) 3,276 1.63 (0.49) 3.39 (2.25) 272
Service Shares
1998 $ 1,036 1.74% (0.98)% 2.68% (1.92)% 85%
1997(13) 10 1.74 (1.15) 3.52 (2.93) 272
</TABLE>
+ 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 7/30/97. 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) FIXED INCOME FUND SERVICE SHARES COMMENCED OPERATIONS ON 2/11/98. ALL
RATIOS FOR THE PERIOD HAVE BEEN ANNUALIZED.
(5) SHORT-TERM MUNICIPAL BOND FUND INSTITUTIONAL SHARES COMMENCED OPERATIONS ON
3/06/95. ALL RATIOS FOR THE PERIOD HAVE BEEN ANNUALIZED.
(6) SHORT-TERM MUNICIPAL BOND FUND SERVICE SHARES COMMENCED OPERATIONS ON
12/3/97. ALL RATIOS FOR THE PERIOD HAVE BEEN ANNUALIZED.
(7) SHORT-TERM FIXED INCOME FUND INSTITUTIONAL SHARES COMMENCED OPERATIONS ON
3/13/95. ALL RATIOS FOR THE PERIOD HAVE BEEN ANNUALIZED.
(8) HIGH YIELD BOND FUND INSTITUTIONAL SHARES COMMENCED OPERATIONS ON 3/16/98.
ALL RATIOS FOR THE PERIOD HAVE BEEN ANNUALIZED.
(9) HIGH YIELD BOND FUND SERVICE SHARES COMMENCED OPERATIONS ON 9/15/98. ALL
RATIOS FOR THE PERIOD HAVE BEEN ANNUALIZED.
(10) SMALLER COMPANIES FUND INSTITUTIONAL SHARES COMMENCED OPERATIONS ON
6/30/95. ALL RATIOS FOR THE PERIOD HAVE BEEN ANNUALIZED.
(11) SMALLER COMPANIES FUND SERVICE SHARES COMMENCED OPERATIONS ON 7/11/97. ALL
RATIOS FOR THE PERIOD HAVE BEEN ANNUALIZED.
(12) MICROCAP FUND INSTITUTIONAL SHARES COMMENCED OPERATIONS ON 12/18/96. ALL
RATIOS FOR THE PERIOD HAVE BEEN ANNUALIZED.
(13) MICROCAP FUND SERVICE SHARES COMMENCED OPERATIONS ON 8/21/97. ALL RATIOS
FOR THE PERIOD HAVE BEEN ANNUALIZED.
AMOUNTS DESIGNATED AS "--" ARE EITHER $0.00 OR HAVE BEEN ROUNDED TO $0.00.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
87
<PAGE>
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- FOR THE YEARS/PERIOD ENDED OCTOBER 31,
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
NET
NET ASSET NET REALIZED DISTRIBUTIONS
VALUE INVESTMENT AND FROM NET DISTRIBUTIONS NET ASSET
BEGINNING INCOME/ UNREALIZED INVESTMENT FROM REALIZED VALUE END TOTAL
OF PERIOD (LOSS) GAINS (LOSSES) INCOME CAPITAL GAINS OF PERIOD RETURN
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
- ---------------------------
INTERNATIONAL EQUITY FUND:
- ---------------------------
Institutional Shares
1998 $11.62 $ 0.12 $ 0.90 $(0.23) $(0.39) $12.02 9.28%
1997 11.88 0.16 0.28 (0.15) (0.55) 11.62 3.78
1996 10.95 0.11 1.25 (0.43) -- 11.88 12.70
1995(1) 10.00 0.08 0.87 -- -- 10.95 9.50+
- --------------------------------
EUROPEAN EQUITY GROWTH FUND:
- --------------------------------
Institutional Shares
1998 $12.81 $ 0.15 $ 1.68 $(0.24) $(0.90) $13.50 15.36%
1997 10.60 0.25 2.11 (0.03) (0.12) 12.81 22.48
1996(2) 10.00 -- 0.60 -- -- 10.60 6.00+
- --------------------------------------
INTERNATIONAL SMALL CAP EQUITY FUND:
- --------------------------------------
Institutional Shares
1998 $ 8.81 $ 0.08 $ 0.07 $(0.10) $ -- $ 8.86 1.81%
1997 9.96 0.10 (1.12) (0.13) -- 8.81 (10.40)
1996 9.40 0.03 0.57 (0.04) -- 9.96 6.43
1995 10.35 0.03 (0.72) (0.04) (0.22) 9.40 (6.67)
1994(3) 10.00 0.02 0.33 -- -- 10.35 3.50+
- -----------------------------------
EUROPEAN SMALL CAP EQUITY FUND:
- -----------------------------------
Institutional Shares
1998 $11.80 $ 0.11 $ 1.61 $(0.04) $ -- $13.48 14.65%
1997 12.54 0.04 (0.22) (0.18) (0.38) 11.80 (1.47)
1996 11.55 0.12 1.03 (0.12) (0.04) 12.54 10.06
1995(4) 10.00 0.12 1.44 (0.01) -- 11.55 15.66+
- --------------------------------
EMERGING MARKETS EQUITY FUND:
- --------------------------------
Institutional Shares
1998 $ 7.69 $ 0.03 $(2.42) $ -- $(0.38) $ 4.92 (32.66)%
1997 8.80 (0.03) (0.85) (0.01) (0.22) 7.69 (10.31)
1996 8.11 0.06 0.75 (0.03) (0.09) 8.80 10.02
1995 11.00 0.04 (2.29) (0.02) (0.62) 8.11 (21.00)
1994(5) 10.00 (0.01) 1.01 -- -- 11.00 10.00+
- ----------------------------
GLOBAL FIXED INCOME FUND:
- ----------------------------
Institutional Shares
1998 $10.84 $ 0.63 $ 0.45 $(0.34) $(0.22) $11.36 10.58%
1997 11.26 0.35 0.01 (0.50) (0.28) 10.84 3.34
1996 10.99 0.59 0.12 (0.37) (0.07) 11.26 6.60
1995 9.85 0.35 0.99 (0.20) -- 10.99 13.88
1994(6) 10.00 0.25 (0.40) -- -- 9.85 (1.50)+
- ---------------------------
CORE GLOBAL FIXED INCOME:
- ---------------------------
Institutional Shares
1998 (7) $10.00 $ 0.19 $ 0.78 $ -- $ -- $10.97 9.70%+
- ----------------------------------
INTERNATIONAL FIXED INCOME FUND:
- ----------------------------------
Institutional Shares
1998 $10.16 $ 0.51 $ 0.65 $(0.27) $(0.10) $10.95 11.87%
1997 11.30 0.20 (0.11) (0.64) (0.59) 10.16 0.82
1996 11.34 0.86 (0.12) (0.66) (0.12) 11.30 6.82
1995 9.94 0.42 1.03 (0.05) -- 11.34 14.66
1994(8) 10.00 0.29 (0.35) -- -- 9.94 (0.60)+
- -------------------------------
EMERGING MARKETS DEBT FUND:
- -------------------------------
Institutional Shares
1998 $11.95 $ 1.81 $(4.12) $(1.32) $(2.50) $ 5.82 (30.35)%
1997 13.36 1.05 0.40 (1.32) (1.54) 11.95 12.03
1996 10.55 1.21 2.60 (1.00) -- 13.36 38.42
1995 10.19 0.65 (0.17) (0.11) (0.01) 10.55 4.85
1994(9) 10.00 0.13 0.06 -- -- 10.19 1.90+
Service Shares
1998 $11.95 $ 6.65 $(8.96) $(1.32) $(2.50) $ 5.82 (30.35)%
1997(10) 13.61 0.03 (1.69) -- -- 11.95 (12.20)+
<CAPTION>
RATIO OF NET
RATIO OF INVESTMENT
RATIO OF EXPENSES INCOME/(LOSS)
NET TO AVERAGE TO AVERAGE NET
RATIO OF INVESTMENT NET ASSETS ASSETS
NET ASSETS EXPENSES INCOME/(LOSS) (EXCLUDING (EXCLUDING PORTFOLIO
END OF TO AVERAGE TO AVERAGE EXPENSE EXPENSE TURNOVER
PERIOD (000) NET ASSETS NET ASSETS LIMITATIONS) LIMITATIONS) RATE
- ----------------------------------- ------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
- ---------------------------
INTERNATIONAL EQUITY FUND:
- ---------------------------
Institutional Shares
1998 $ 5,419 0.90% 0.92% 2.89% (1.07)% 127%
1997 4,954 0.90 0.97 2.79 (0.92) 55
1996 3,423 0.90 0.72 3.59 (1.97) 39
1995(1) 2,738 0.90 1.55 2.73 (0.28) 19
- --------------------------------
EUROPEAN EQUITY GROWTH FUND:
- --------------------------------
Institutional Shares
1998 $ 45,387 0.90% 1.12% 1.13% 0.89% 49%
1997 39,330 0.90 1.71 1.17 1.44 45
1996(2) 17,902 0.90 (0.41) 1.40 (0.91) 5
- -----------------------------------
INTERNATIONAL SMALL CAP EQUITY FUND
- -----------------------------------
Institutional Shares
1998 $ 24,410 1.25% 0.43% 1.49% 0.19% 106%
1997 53,395 1.25 0.16 1.37 0.04 59
1996 106,709 1.25 0.35 1.38 0.22 47
1995 90,917 1.25 0.41 1.48 0.18 62
1994(3) 68,798 1.25 0.34 1.67 (0.08) 41
- -----------------------------------
EUROPEAN SMALL CAP EQUITY FUND:
- -----------------------------------
Institutional Shares
1998 $ 2,930 1.25% 0.34% 2.96% (1.37)% 111%
1997 9,641 1.25 0.58 2.12 (0.29) 44
1996 9,856 1.25 0.96 2.50 (0.29) 49
1995(4) 9,336 1.25 1.25 2.24 0.26 34
- --------------------------------
EMERGING MARKETS EQUITY FUND:
- --------------------------------
Institutional Shares
1998 $ 46,080 1.25% 0.90% 1.52% 0.63% 85%
1997 94,101 1.25 0.68 1.44 0.49 94
1996 88,279 1.25 0.63 1.52 0.36 69
1995 93,288 1.25 0.44 1.55 0.14 49
1994(5) 56,892 1.36 (0.12) 1.79 (0.55) 45
- ----------------------------
GLOBAL FIXED INCOME FUND:
- ----------------------------
Institutional Shares
1998 $ 58,422 0.60% 4.82% 0.77% 4.65% 182%
1997 92,180 0.65 5.30 0.77 5.18 179
1996 149,917 0.75 5.39 0.79 5.35 223
1995 139,337 0.78 5.61 0.87 5.52 147
1994(6) 53,915 0.85 5.71 1.28 5.28 173
- ---------------------------
CORE GLOBAL FIXED INCOME:
- ---------------------------
Institutional Shares
1998 (7) $ 33,585 0.55% 4.19% 0.96% 3.78% 151%
- ----------------------------------
INTERNATIONAL FIXED INCOME FUND:
- ----------------------------------
Institutional Shares
1998 $ 19,521 0.57% 4.36% 1.08% 3.85% 181%
1997 27,937 0.65 5.00 1.06 4.59 174
1996 21,155 0.75 5.41 1.03 5.13 235
1995 27,603 0.78 5.51 1.15 5.14 187
1994(8) 15,238 0.85 5.66 1.42 5.09 130
- -------------------------------
EMERGING MARKETS DEBT FUND:
- -------------------------------
Institutional Shares
1998 $ 55,684 1.05% 9.82% 1.31% 9.56% 638%
1997 187,455 1.32 7.15 1.47 7.00 472
1996 102,431 1.50 10.15 1.92 9.73 227
1995 84,438 1.79 10.97 2.05 10.71 266
1994(9) 16,248 1.90 7.04 2.60 6.34 52
Service Shares
1998 $ 18 1.30% 10.78% 1.76% 10.32% 638%
1997(10) 132 1.50 18.65 1.71 18.44 472
</TABLE>
+ RETURNS ARE FOR THE PERIOD INDICATED AND HAVE NOT BEEN ANNUALIZED.
(1) INTERNATIONAL EQUITY FUND INSTITUTIONAL SHARES COMMENCED OPERATIONS ON
5/15/95. ALL RATIOS FOR THE PERIOD HAVE BEEN ANNUALIZED.
(2) EUROPEAN EQUITY GROWTH FUND INSTITUTIONAL SHARES COMMENCED OPERATIONS ON
9/03/96. ALL RATIOS FOR THE PERIOD HAVE BEEN ANNUALIZED.
(3) INTERNATIONAL SMALL CAP EQUITY FUND INSTITUTIONAL SHARES COMMENCED
OPERATIONS ON 1/03/94. ALL RATIOS FOR THE PERIOD HAVE BEEN ANNUALIZED.
(4) EUROPEAN SMALL CAP EQUITY FUND INSTITUTIONAL SHARES COMMENCED OPERATIONS ON
11/01/94. ALL RATIOS FOR THE PERIOD HAVE BEEN ANNUALIZED.
(5) EMERGING MARKETS EQUITY FUND INSTITUTIONAL SHARES COMMENCED OPERATIONS ON
2/01/94. ALL RATIOS FOR THE PERIOD HAVE BEEN ANNUALIZED.
(6) GLOBAL FIXED INCOME FUND INSTITUTIONAL SHARES COMMENCED OPERATIONS ON
1/04/94. ALL RATIOS FOR THE PERIOD HAVE BEEN ANNUALIZED.
(7) CORE GLOBAL FIXED INCOME FUND INSTITUTIONAL SHARES COMMENCED OPERATIONS ON
5/4/98. ALL RATIOS FOR THE PERIOD HAVE BEEN ANNUALIZED.
(8) INTERNATIONAL FIXED INCOME FUND INSTITUTIONAL SHARES COMMENCED OPERATIONS
ON 3/15/94. ALL RATIOS FOR THE PERIOD HAVE BEEN ANNUALIZED.
(9) EMERGING MARKETS DEBT FUND INSTITUTIONAL SHARES COMMENCED OPERATIONS ON
8/4/94. ALL RATIOS FOR THE PERIOD HAVE BEEN ANNUALIZED.
(10) EMERGING MARKETS DEBT FUND SERVICE SHARES COMMENCED OPERATIONS ON 10/22/97.
ALL RATIOS FOR THE PERIOD HAVE BEEN ANNUALIZED.
AMOUNTS DESIGNATED AS "--" ARE EITHER $0.00 OR HAVE BEEN ROUNDED TO $0.00.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
88
<PAGE>
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1998
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 twenty two 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 Total Return Bond Fund, Morgan Grenfell High Yield Bond 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 Growth Fund
(formerly, Morgan Grenfell European Equity Fund), Morgan Grenfell Global Equity
Fund, Morgan Grenfell New Asia Equity Fund (formerly 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 Core Global Fixed Income Fund, Morgan
Grenfell International Fixed Income Fund, Morgan Grenfell Emerging Markets Debt
Fund and Morgan Grenfell Emerging Local Currency Debt Fund (collectively the
"International Funds"). The Domestic Funds and International Funds are hereafter
referred to each as the "Fund" and collectively as the "Funds". At October 31,
1998, the Total Return Bond Fund, Large Cap Growth Fund, Global Equity Fund, New
Asia Equity Fund, Japanese Small Cap Equity Fund and Emerging Local Currency
Debt 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 Inc. (formerly Morgan
Grenfell Capital Management, Inc.) and Morgan Grenfell Investment Services
Limited (the "Advisers"), 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
89
<PAGE>
NOTES TO FINANCIAL STATEMENTS (continued)
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1998
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 or Class, less its liabilities,
by the number of outstanding shares, of the Fund or Class.
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.
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 equity 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 may 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 Assets and Liabilities as an
investment and subsequently
90
<PAGE>
- --------------------------------------------------------------------------------
marked to market to reflect the current market value of the option. For an
option held by a Fund on the stipulated expiration date, the Fund realizes a
loss. If the Fund enters into a closing sale transaction, it realizes a gain or
loss, depending on whether the proceeds from the sale are greater or less than
the cost of the purchased option. If the Fund exercises a purchased put option,
it realizes a gain or loss from the sale of the underlying investment and
proceeds from such sale will be decreased by the premium originally paid. If the
Fund exercises a purchased call option, the cost of the underlying investment
which the Fund purchases upon exercise will be increased by the premium
originally paid. Certain foreign currency options may be required to be
marked-to-market for Federal income tax purposes at the close of a Fund's
taxable year, giving rise to a gain or loss that may, depending upon whether
certain elections are made, be capital or ordinary in character.
DISTRIBUTIONS--Distributions from net investment income and net realized
capital gains are determined in accordance with U.S. Federal income tax
regulations, which may differ from those amounts determined under generally
accepted accounting principles. These book/tax differences are either temporary
or permanent in nature. To the extent these differences are permanent, they are
charged or credited to paid in capital in the period that the difference arises.
Accordingly, permanent differences primarily attributable to net operating
loss for the year or realized foreign exchange gains and losses have been
reclassified as follows:
<TABLE>
<CAPTION>
UNDISTRIBUTED ACCUMULATED
NET INVESTMENT NET REALIZED PAID-IN
FUND INCOME (LOSS) GAINS (LOSSES) CAPITAL
- ------------------------- ---------------- --------------- ---------
<S> <C> <C> <C>
Short-Term Municipal Bond
Fund $ (8,027) $ 9,102 $ (1,075)
High Yield Bond Fund 4,891 -- (4,891)
Microcap Fund 71,666 63 (71,729)
International Equity Fund 89,510 (89,510) --
European Equity Growth
Fund 24,207 (24,207) --
<CAPTION>
UNDISTRIBUTED ACCUMULATED
NET INVESTMENT NET REALIZED PAID-IN
FUND INCOME (LOSS) GAINS (LOSSES) CAPITAL
- ------------------------- ---------------- --------------- ---------
<S> <C> <C> <C>
International Small Cap
Equity Fund $ 384,286 $ 32,641 (416,927)
European Small Cap Eq-
uity fund 7,506 (7,506) --
Emerging Markets
Equity fund (738,144) 1,471,448 (733,304)
Global Fixed Income Fund 100,762 (100,762) --
Core Global Fixed
Income Fund 436,668 (436,668) --
International Fixed
Income Fund (69,977) 69,977 --
Emerging Markets Debt
Fund 2,905,082 (2,905,082) --
</TABLE>
The above reclassifications have no effect on net assets or net asset value
per share of the above Funds.
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, 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
By an agreement dated August 27, 1998, the Trust entered into an administration
agreement with
91
<PAGE>
NOTES TO FINANCIAL STATEMENTS (continued)
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1998
Morgan Grenfell Inc. (the "Administrator"), pursuant to which the Administrator
will receive an annual fee based on the aggregate average daily net assets of
all the Funds as follows:
ANNUAL
FUND FEES
- ---------------------------------------- -----
Municipal Bond Fund 0.12%
Fixed Income Fund 0.12%
Short-Term Municipal Bond Fund 0.12%
Short-Term Fixed Income Fund 0.12%
High Yield Bond 0.12%
Smaller Companies 0.22%
Microcap Fund 0.22%
International Equity Fund 0.30%
European Equity Growth Fund 0.30%
International Small Cap Equity Fund 0.30%
European Small Cap Equity Fund 0.30%
Emerging Markets Equity Fund 0.30%
Global Fixed Income Fund 0.25%
Core Global Fixed Income Fund 0.25%
International Fixed Income Fund 0.25%
Emerging Markets Debt Fund 0.25%
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. The
Administrator is also responsible for engaging an accounting agent, custodian
and transfer agent for the Trust's operations. Fees for services rendered by the
accounting agent and the transfer agent are paid by the Administrator and not
the Fund. The Administrator began serving as the Trust's Administrator effective
October 13, 1998; however, fees payable to the Administrator at the above rates
became effective from November 1, 1998.
Prior to October 13, 1998, SEI Financial Management Corporation ("SEI")
served as the Trust's Administrator and received an annual fee based on the
aggregate average daily net assets of all the Funds as follows: 0.10% up to $1
billion; 0.07% from $1 billion to $1.5 billion; 0.05% from $1.5 billion to $2.5
billion; and 0.04% in excess of $2.5 billion. Each Fund also paid SEI a minimum
annual administration fee of $60,000 (after a one-year phase in period).
Services rendered by SEI to the Trust were substantially the same as being
rendered by the Administrator; however, administration fees payable to SEI did
not include fees payable to the Trust's transfer agent and SEI as accounting
agent to the Trust. During the period from November 1, 1997 through October 12,
1998, SEI received in aggregate $2,104,813 in fees from the Trust which has been
allocated to the Funds based on their relative net assets during the period.
Under the advisory agreements with the Trust, Morgan Grenfell Inc. serves as
the Adviser for the Domestic Funds and Morgan Grenfell Investment Services
Limited serves as the Adviser for the International Funds (collectively referred
to as "Advisers"). For these services, the Advisers 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%
High Yield Bond Fund 0.50%
Smaller Companies Fund 1.00%
Microcap Fund 1.50%
International Equity Fund 0.70%
European Equity Growth Fund 0.70%
International Small Cap Equity Fund 1.00%
European Small Cap Equity Fund 1.00%
Emerging Markets Equity Fund 1.00%
Global Fixed Income Fund 0.50%
Core Global Fixed Income Fund 0.50%
International Fixed Income Fund 0.50%
Emerging Markets Debt Fund 1.00%
92
<PAGE>
- --------------------------------------------------------------------------------
The Advisers 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:
<TABLE>
<CAPTION>
INSTITUTIONAL SERVICE
SHARES SHARES
----------------- -------------
<S> <C> <C>
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%
High Yield Bond Fund 0.65% 0.90%
Smaller Companies Fund 1.25% 1.50%
Microcap Fund 1.49% 1.74%
International Equity Fund 0.90% 1.15%
European Equity Growth 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 0.60%(1) 0.85%
Core Global Fixed Income Fund 0.55% 0.80%
International Fixed Income Fund 0.55%(2) 0.80%
Emerging Markets Debt Fund 1.00%(3) 1.25%
</TABLE>
(1) 0.65% PRIOR TO JANUARY 1, 1998, 0.55% PRIOR TO MARCH 6, 1998
(2) 0.65% PRIOR TO JANUARY 1, 1998
(3) 1.25% PRIOR TO JANUARY 1, 1998
Certain officers and/or Trustees of the Trust are affiliated with the
Administrator, SEI or Advisers.
SEI Investments Distribution Co. (the "Distributor") serves as the
distributor of shares of the Funds pursuant to a distribution agreement with the
Trust and assists in the sale of shares of the Funds. The Advisers, 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. Service 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, 1998, certain portfolios of the Trust
purchased securities from and sold securities to other portfolios of the Trust
or other accounts managed by the Advisers at market value.
4. Forward Foreign Currency Contracts
The International Funds may 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, 1998:
<TABLE>
<CAPTION>
CURRENCY TO IN UNREALIZED
MATURITY (DELIVER)/ EXCHANGE APPRECIATION
DATE RECEIVE FOR (DEPRECIATION)
- ---------- -------------------- ------------ --------------
<S> <C> <C> <C>
INTERNATIONAL EQUITY FUND
- ----------------------------------------------------------------
FOREIGN CURRENCY SALES:
11/13/98 JPY (42,314,000) $ 290,918 $ (72,696)
--------------
--------------
INTERNATIONAL SMALL CAP FUND
- ----------------------------------------------------------------
FOREIGN CURRENCY SALES:
11/13/98 JPY (377,000,000) $ 2,667,516 $(572,130)
--------------
--------------
EMERGING MARKETS EQUITY FUND
- ----------------------------------------------------------------
FOREIGN CURRENCY SALES:
2/26/99 ZAR (11,166,000) $ 1,553,855 $(363,028)
2/26/99 ZAR (2,564,000) 356,805 (83,360)
--------------
$(446,388)
--------------
--------------
FOREIGN CURRENCY PURCHASES:
2/26/99 ZAR 2,564,000 $ (441,825) $ (1,660)
--------------
$(448,048)
--------------
--------------
</TABLE>
93
<PAGE>
NOTES TO FINANCIAL STATEMENTS (continued)
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1998
<TABLE>
<CAPTION>
CURRENCY TO IN UNREALIZED
MATURITY (DELIVER)/ EXCHANGE APPRECIATION
DATE RECEIVE FOR (DEPRECIATION)
- ---------- -------------------- ------------ --------------
<S> <C> <C> <C>
GLOBAL FIXED INCOME FUND
- ----------------------------------------------------------------
FORWARD CURRENCY SALES:
11/2/98 DEM (510,000) $ 308,176 $ 260
11/18/98 AUD (5,200,000) 3,108,352 (143,578)
11/18/98 DEM (3,900,000) 2,260,018 (96,387)
11/18/98 DEM (600,000) 369,936 7,413
11/18/98 JPY (158,000,000) 1,101,045 (257,613)
12/16/98 DEM (3,000,000) 1,819,638 4,570
1/27/99 DEM (890,000) 545,009 5,552
1/27/99 DEM (328,000) 200,857 2,046
1/27/99 DEM (570,000) 345,769 274
1/27/99 JPY (170,000,000) 1,470,970 (6,632)
1/27/99 JPY (40,000,000) 346,081 (1,591)
--------------
$(485,686)
--------------
--------------
FOREIGN CURRENCY PURCHASES:
11/18/98 AUD 5,200,000 $ (3,076,008) $ 175,923
11/18/98 DEM 700,000 (392,205) 30,739
11/18/98 DEM 3,900,000 (2,185,143) 171,262
12/16/98 DEM 7,700,000 (4,597,440) 61,232
1/27/99 DEM 890,000 (546,012) (6,555)
1/27/99 JPY 990,000,000 (8,461,538) 143,322
--------------
$ 575,923
--------------
$ 90,237
--------------
--------------
CORE GLOBAL FIXED INCOME FUND
- ----------------------------------------------------------------
FOREIGN CURRENCY SALES:
11/18/98 DEM (1,630,000) $ 944,572 $ (40,285)
11/18/98 DEM (1,650,000) 999,521 2,581
11/18/98 GRD (376,000,000) 1,210,872 (120,841)
12/16/98 DEM (120,000) 73,484 882
1/27/99 DEM (1,650,000) 1,011,581 11,463
1/27/99 DEM (410,000) 251,534 3,020
1/27/99 DEM (520,000) 316,209 1,021
--------------
$(142,159)
--------------
FOREIGN CURRENCY PURCHASES:
11/13/98 JPY 196,295,000 $ (1,680,320) $ 6,487
11/18/98 DEM 570,000 (319,365) 25,032
11/18/98 DEM 1,630,000 (913,273) 71,584
11/18/98 DEM 2,200,000 (1,311,589) 17,665
11/18/98 DEM 1,800,000 (1,007,275) 80,297
11/18/98 GRD 376,000,000 (1,241,744) 89,969
12/16/98 DEM 540,000 (336,197) (9,485)
12/16/98 JPY 120,000,000 (917,554) 118,695
1/27/99 JPY 120,000,000 (1,036,448) 6,565
1/27/99 JPY 272,000,000 (2,289,755) 74,409
--------------
$ 481,218
--------------
$ 339,059
--------------
--------------
<CAPTION>
CURRENCY TO IN UNREALIZED
MATURITY (DELIVER)/ EXCHANGE APPRECIATION
DATE RECEIVE FOR (DEPRECIATION)
- ---------- -------------------- ------------ --------------
<S> <C> <C> <C>
INTERNATIONAL FIXED INCOME FUND
- ----------------------------------------------------------------
FOREIGN CURRENCY SALES:
11/18/98 DEM (1,700,000) $ 975,296 $ (51,855)
11/18/98 DEM (100,000) 58,001 (2,419)
11/18/98 DEM (950,000) 551,012 (22,984)
11/18/98 DEM (1,480,000) 884,374 (9,851)
11/18/98 DEM (150,000) 89,633 (998)
11/18/98 ESP (242,000,000) 1,649,625 (69,620)
11/18/98 GRD (298,000,000) 959,681 (95,773)
12/16/98 JPY (60,000,000) 447,094 (71,031)
1/27/99 DEM (970,000) 589,404 1,456
1/27/99 DEM (255,000) 155,064 500
--------------
$(322,575)
--------------
--------------
FOREIGN CURRENCY PURCHASES:
11/18/98 DEM 100,000 $ (56,029) $ 4,392
11/18/98 DEM 1,700,000 (952,493) 74,658
11/18/98 DEM 680,000 (380,526) 30,334
11/18/98 DEM 950,000 (531,617) 42,379
11/18/98 DEM 1,180,000 (703,489) 9,475
11/18/98 DEM 150,000 (89,820) 811
11/18/98 ESP 30,000,000 (211,566) 1,564
11/18/98 GRD 298,000,000 (984,148) 71,305
12/16/98 JPY 56,000,000 (428,192) 55,391
--------------
$ 290,309
--------------
$ (32,266)
--------------
--------------
EMERGING MARKETS DEBT FUND
- ----------------------------------------------------------------
FOREIGN CURRENCY SALES:
11/30/98 FRF (880,000) $ 159,594 $ 1,013
--------------
--------------
</TABLE>
CURRENCY LEGEND
- ----------------------------------
AUD Australian Dollar DEM German Mark
ESP Spanish Peseta FRF French Franc
JPY Japanese Yen GRD Greek Drachma
ZAR South African Rand
94
<PAGE>
- --------------------------------------------------------------------------------
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, 1998, were as follows:
<TABLE>
<CAPTION>
PURCHASES SALES
-------------- --------------
<S> <C> <C>
Municipal Bond Fund $ 414,700,145 $ 206,764,032
Fixed Income Fund 1,554,887,977 1,405,510,776
Short-Term Municipal Bond Fund 42,662,716 9,434,487
Short-Term Fixed Income Fund 21,042,117 16,669,958
High Yield Bond Fund 175,528,154 77,206,063
Smaller Companies Fund 7,854,399 6,945,844
Microcap Fund 21,999,324 8,205,452
International Equity Fund 7,127,967 6,675,680
European Equity Growth Fund 27,055,076 22,011,948
International Small Cap Equity
Fund 37,940,164 64,884,836
European Small Cap Equity Fund 5,586,067 10,896,888
Emerging Markets Equity Fund 66,056,810 107,631,922
Global Fixed Income Fund 132,996,856 166,773,526
Core Global Fixed Income Fund 72,931,778 42,236,547
International Fixed Income Fund 40,220,966 49,547,920
Emerging Markets Debt Fund 792,948,993 912,949,157
</TABLE>
For Federal income tax purposes, the cost of securities owned at October 31,
1998 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, 1998 for each Fund is as follows:
<TABLE>
<CAPTION>
NET
UNREALIZED
APPRECIATED DEPRECIATED APPRECIATION/
SECURITIES SECURITIES (DEPRECIATION)
------------- ------------- ---------------
<S> <C> <C> <C>
Municipal Bond Fund $16,153,780 $ (496,009) $ 15,657,771
Fixed Income Fund 34,552,055 (3,315,754) 31,236,301
Short-Term Municipal Bond
Fund 733,452 (51,899) 681,553
Short-Term Fixed Income
Fund 202,190 (13,719) 188,471
High Yield Bond Fund 109,342 (7,862,749) (7,753,407)
Smaller Companies Fund 689,807 (825,846) (136,039)
Microcap Fund 571,370 (3,318,400) (2,747,030)
International Equity Fund 470,783 (122,183) 348,600
European Equity Growth
Fund 9,511,698 (2,480,690) 7,031,008
<CAPTION>
NET
UNREALIZED
APPRECIATED DEPRECIATED APPRECIATION/
SECURITIES SECURITIES (DEPRECIATION)
------------- ------------- ---------------
<S> <C> <C> <C>
International Small Cap
Equity Fund $ 2,516,667 $(2,798,766) $ (282,099)
European Small Cap Equity
Fund 485,418 (306,051) 179,367
Emerging Markets Equity
Fund 1,709,911 (16,970,171) (15,260,260)
Global Fixed Income Fund 3,025,996 (230,333) 2,795,663
Core Global Fixed Income
Fund 1,537,030 (98,359) 1,438,671
International Fixed Income
Fund 1,178,898 (77,818) 1,101,080
Emerging Markets Debt Fund 71,297 (2,249,738) (2,178,441)
</TABLE>
At October 31, 1998 the following Funds had available realized capital losses to
offset future net capital gains:
<TABLE>
<CAPTION>
EXPIRATION
DATE
-----------------
<S> <C> <C>
Short-Term Municipal Bond Fund $ 81,796 10/31/2005-2006
High Yield Bond Fund 3,828,196 10/31/2006
Smaller Companies Fund 77,665 10/31/2006
Microcap Fund 1,288,735 10/31/2006
International Small Cap Equity
Fund 3,907,438 10/31/2005
Emerging Markets Equity Fund 19,039,901 10/31/2006
Emerging Markets Debt Fund 58,257,758 10/31/2006
</TABLE>
During the year ended October 31, 1998, Short-Term Fixed Income Fund and
International Small Cap Equity Fund utilized $10,733 and $2,954,781 of available
realized capital losses from prior period.
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
95
<PAGE>
NOTES TO FINANCIAL STATEMENTS (concluded)
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1998
only with the Lender, not with the sovereign borrower. The Fund has the right to
receive payments of principal, interest and any fees to which it is entitled
from the Lender selling the Participation and only upon receipt by the Lender of
the payments from the borrower. In connection with purchasing Participations,
the Fund generally has no right to enforce compliance by the borrower with the
terms of the loan agreement relating to the Loan, nor any rights of set-off
against the borrower, and the Fund will not benefit directly from any collateral
supporting the Loan in which it has purchased the Participation. As a result,
the Fund assumes the credit risk of both the borrower and the Lender that is
selling the Participation. The Fund may have difficulty disposing of
Participations and Assignments because the market for such instruments is not
highly liquid.
7. Concentration of Risks
The Municipal Bond Fund and Short-Term Municipal Bond Fund invest primarily in a
diversified portfolio of municipal securities, including municipal bonds and
debentures. Although the Municipal Bond Fund and Short-Term Municipal Bond Fund
maintain diversified portfolios, the municipal bond issuers' abilities to meet
their obligations may be affected by economic developments in a specific state
or region.
The Fixed Income Fund, Short-Term Fixed Income Fund and High Yield Bond 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,
Short-Term Fixed Income Fund and High Yield Bond 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, Core
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
In 1997, certain Funds of the Trust had 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 participating Funds at
that time). The maximum aggregate credit available to all the participating
Funds under the Agreement, which expired on July 31, 1998 was $50,000,000.
Interest payments on borrowings were payable by the borrowing Funds on a monthly
basis at the federal funds rate plus 0.50% per annum. The participating Funds
were 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 year
ended October 31, 1998, the participating Funds incurred approximately $38,330
in commitment fees under the Agreement which has been allocated to the
participating Funds based on their relative net assets during the non-borrowing
period. During the period ended October 31, 1998, the Global Fixed Income Fund,
International Fixed Income Fund
96
<PAGE>
- --------------------------------------------------------------------------------
and the Emerging Markets Equity Fund (the "Borrowing Funds") borrowed under the
Agreement at different times. During the period ended October 31, 1998, the
weighted average interest rate paid by the Borrowing Funds was 5.74% and the
maximum and average amount of the loans outstanding during the borrowing period
was $10,800,000 and $4,280,682. During the period ended October 31, 1998, the
Borrowing Funds incurred and paid aggregate interest charges of $30,918 under
the Agreement.
At October 31, 1998, there were no borrowings outstanding under the
Agreement. Effective November 2, 1998, certain Funds of the Trust entered into a
Credit Agreement with BankBoston, N.A. for an aggregate maximum credit of
$50,000,000.
97
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
- --------------------------------------------------------------------------------
To the Shareholders and Board of Trustees
Morgan Grenfell Investment Trust
In our opinion, the accompanying statements of assets and liabilities, including
the schedules of investments, and the related statements of operations and of
changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of the Short-Term Municipal Bond Fund,
Short-Term Fixed Income Fund, High Yield Bond Fund, Smaller Companies Fund,
Microcap Fund, International Equity Fund, European Equity Growth Fund,
International Small Cap Equity Fund, European Small Cap Equity Fund, Emerging
Markets Equity Fund, Global Fixed Income Fund, Core Global Fixed Income Fund,
International Fixed Income Fund and Emerging Markets Debt Fund series of Morgan
Grenfell Investment Trust (the "Trust") at October 31, 1998, 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,
1998, 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 four 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, 1998 by correspondence with the custodians and brokers, 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.
PricewaterhouseCoopers LLP
1177 Avenue of the Americas
New York, NY 10036
December 16, 1998
98
<PAGE>
NOTICE TO SHAREHOLDERS
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- UNAUDITED
For the fiscal year ended October 31, 1998, 99.0% and 99.0% of the income
distribution paid by the Municipal Bond Fund and the Short-Term Municipal Bond
Fund, respectively, was derived from federal tax-exempt interest obligations.
TAXPAYERS FILING ON A CALENDAR YEAR BASIS WILL RECEIVE TAX INFORMATION FOR THE
1998 CALENDAR YEAR AFTER YEAR END.
<PAGE>
MORGAN
GRENFELL
INVESTMENT
TRUST
- ------------------
ANNUAL
REPORT
OCTOBER 31, 1998
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
Joan A. Binstock,
VICE PRESIDENT AND SECRETARY
David W. Baldt,
VICE PRESIDENT
James H. Grifo,
VICE PRESIDENT
Neil P. Jenkins,
VICE PRESIDENT
Ian D. Kelson,
VICE PRESIDENT
Tracie E. Richter,
TREASURER, CHIEF FINANCIAL OFFICER
INVESTMENT ADVISORS
Morgan Grenfell Inc.
Morgan Grenfell Investment Services Limited
ADMINISTRATOR
Morgan Grenfell Inc.
DISTRIBUTOR
SEI Investments Distribution Co.
CUSTODIAN
Brown Brothers Harriman & Co.
TRANSFER AGENT
DST Systems, Inc.
INDEPENDENT ACCOUNTANTS
PricewaterhouseCoopers 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.
MG-F-11-1098-01
<PAGE>
ATTACHMENT A
STATEMENT OF ASSETS AND LIABILITIES
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST - OCTOBER 31, 1998
<TABLE>
<CAPTION>
------------- ------------- ------------- -------------
NEW JAPANESE
TOTAL GLOBAL ASIA SMALL CAP
RETURN BOND EQUITY EQUITY EQUITY
FUND FUND FUND FUND
------------- ------------- ------------- -------------
<S> <C> <C> <C> <C>
ASSETS:
Cash $1,000 $1,000 $1,000 $1,000
------------- ------------- ------------- -------------
Total assets 1,000 1,000 1,000 1,000
------------- ------------- ------------- -------------
LIABILITIES: - - - -
------------- ------------- ------------- -------------
NET ASSETS: $1,000 $1,000 $1,000 $1,000
------------- ------------- ------------- -------------
------------- ------------- ------------- -------------
Shares of beneficial interest issued
and outstanding (unlimited authorization-
based on $0.001 par value) 100 100 100 100
------------- ------------- ------------- -------------
------------- ------------- ------------- -------------
NET ASSET VALUE, OFFERING PRICE AND
REDEMPTION PRICE PER SHARE $10.00 $10.00 $10.00 $10.00
------------- ------------- ------------- -------------
------------- ------------- ------------- -------------
</TABLE>
THE FUNDS HAVE NOT COMMENCED OPERATIONS AS OF OCTOBER 31, 1998.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENT.
<PAGE>
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1998
NOTES TO FINANCIAL STATEMENT
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 twenty two 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 Total Return Bond Fund, Morgan Grenfell High
Yield Bond 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 Growth Fund (formerly, Morgan Grenfell European Equity Fund),
Morgan Grenfell Global Equity Fund, Morgan Grenfell New Asia Equity Fund
(formerly 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 Core Global Fixed Income Fund, Morgan Grenfell International
Fixed Income Fund, Morgan Grenfell Emerging Markets Debt Fund and Morgan
Grenfell Emerging Local Currency Debt Fund (collectively the "International
Funds"). At October 31, 1998, the Total Return Bond Fund, Large Cap Growth
Fund, Global Equity Fund, New Asia Equity Fund, Japanese Small Cap Equity
Fund and Emerging Local Currency Debt Fund had no operations. The Global
Equity Fund, New Asia Equity Fund and Japanese Small Cap Equity issued shares
to SEI Financial Management Corporation ("SEI", the former "Administrator"),
a wholly-owned subsidiary of SEI Corporation on December 29, 1993. The Total
Return Bond Fund issued shares to SEI on March 31, 1998. Morgan Grenfell
Inc., the Adviser for the Domestic Funds, absorbed all expenses of organizing
the Trust. The accompanying financial statement relates only to the Total
Return Bond Fund, Global Equity Fund, New Asia Equity Fund and Japanese Small
Cap Equity Fund.
2. ADMINISTRATION, INVESTMENT ADVISORY, DISTRIBUTION AND SERVICE AGREEMENTS
By an agreement dated August 27, 1998, the Trust entered into an
administration agreement with Morgan Grenfell Inc. (the "Administrator"),
pursuant to which the Administrator will receive an annual fee based on the
aggregate average daily net assets of the respective Fund as follows:
<TABLE>
<CAPTION>
Annual
Fund Fees
---- ------
<S> <C>
Total Return Bond Fund 0.12%
Global Equity Fund 0.30%
New Asia Equity Fund 0.30%
Japanese Small Cap Equity Fund 0.30%
</TABLE>
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. The
Administrator is also responsible for engaging an accounting agent, custodian
and transfer agent for the Trust's operations. Fees for services rendered by the
accounting agent and the transfer agent are paid by the Administrator and not
the Fund.
Under the advisory agreements with the Trust, Morgan Grenfell Inc. serves as
the Adviser for the Domestic Funds and Morgan Grenfell Investment Services
Limited serves as the Adviser for the International Funds. For these
services, the Advisers are entitled to a monthly fee at an annual rate of each
Fund's average daily net assets as follows:
<TABLE>
<CAPTION>
<S> <C>
Total Return Bond Fund 0.45%
Global Equity Fund 0.70%
New Asia Equity Fund 0.70%
Japanese Small Cap Equity Fund 1.00%
</TABLE>
<PAGE>
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1998
NOTES TO FINANCIAL STATEMENT
The Advisers has voluntarily agreed to reduce its advisory fee to the extent
necessary to limit the Fund's operating expenses to a specified percentage of
its average net assets as follows:
<TABLE>
<CAPTION>
<S> <C>
Total Return Bond Fund 0.60%
Global Equity Fund 0.90%
New Asia Equity Fund 0.90%
Japanese Small Cap Equity Fund 1.25%
</TABLE>
Certain officers and/or Trustees of the Trust are affiliated with the
Administrator or Advisers.
SEI Investments Distribution Co. (the "Distributor") serves as the
distributor of shares of the Funds pursuant to a distribution agreement with
the Trust and assists in the sale of shares of the Funds. The Adviser, and
not the Trust, is responsible for payment of any expenses or fees incurred in
the marketing and distribution of shares of the Trust.
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
To the Shareholder and Board of Trustees
Morgan Grenfell Investment Trust
In our opinion, the accompanying statement of assets and liabilities presents
fairly, in all material respects, the financial position of the Total Return
Bond Fund, Global Equity Fund, New Asia Equity Fund and Japanese Small Cap
Equity Fund (separate portfolios of Morgan Grenfell Investment Trust, hereafter
referred to as the "Trust") at October 31, 1998, in conformity with generally
accepted accounting principles. This financial statement is the responsibility
of the Trust's management; our responsibility is to express an opinion on this
financial statement based on our audit. We conducted our audit of this financial
statement in accordance with generally accepted auditing standards which require
that we plan and perform the audit to obtain reasonable assurance about whether
the financial statement is free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures in
the financial statement, assessing the accounting principles used and
significant estimates made by management, and evaluating the overall financial
statement presentation. We believe that our audit provides a reasonable basis
for the opinion expressed above.
PRICEWATERHOUSECOOPERS LLP
1177 Avenue of the Americas
New York, NY 10036
December 16, 1998
